v3.26.1
Derivative Financial Instruments (Tables)
6 Months Ended
Jun. 30, 2026
Derivative Financial Instruments  
Summary of derivative financial instruments

June 30, 2026

December 31, 2025

Fair value

Fair value

Notional

Derivative

Derivative

Notional

Derivative

Derivative

Derivative instrument

  ​ ​ ​

amounts (1)

  ​ ​ ​

assets

  ​ ​ ​

liabilities

  ​ ​ ​

amount (1)

  ​ ​ ​

assets

  ​ ​ ​

liabilities

(in thousands)

Non-affiliates:

Not subject to master netting arrangements:

Interest rate lock commitments

12,053,063

$

145,095

$

3,887

13,474,638

$

131,536

$

4,260

Subject to master netting arrangements (2):

Forward purchase contracts

10,704,164

10,230

9,736

14,311,234

49,499

2,845

Forward sales contracts

17,273,500

15,879

46,426

22,291,811

16,399

47,692

MBS put options

500,000

Put options on interest rate futures purchase contracts

11,250,000

21,453

12,625,000

22,769

Call options on interest rate futures purchase contracts

7,750,000

2,086

Swaptions

5,000,000

65,152

17,175

Total return swap

39,998

136

39,998

8

Treasury futures purchase contracts

20,226,500

11,841,400

Treasury futures sale contracts

20,165,000

8,607,100

Total derivatives before netting

257,945

77,224

222,297

54,797

Netting

(57,498)

(42,661)

(36,779)

(45,238)

$

200,447

$

34,563

$

185,518

$

9,559

PennyMac Mortgage Investment Trust:

Not subject to master netting arrangements:

Interest rate lock commitments

1,049,341

1,234

4,179

1,207,859

2,257

4,605

Subject to master netting arrangements (2):

Forward sales contracts

125,582

28

1,088

250,638

142

1,784

Total derivatives before netting

1,262

5,267

2,399

6,389

Netting

(28)

(28)

(142)

(142)

$

1,234

$

5,239

$

2,257

$

6,247

Deposits (received from) placed with derivative counterparties included in the derivative balances above, net

$

(14,837)

$

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.
Summary of the amount of derivative asset positions by significant counterparty after considering master netting arrangements and financial instruments or cash pledged

June 30, 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

$

145,095

$

$

$

145,095

$

131,536

$

$

$

131,536

RJ O' Brien

21,453

21,453

24,855

24,855

Citibank, N.A.

13,471

13,471

638

638

JPMorgan Chase Bank, N.A.

9,406

9,406

933

933

Barclays Capital

3,448

3,448

3,919

3,919

Goldman Sachs

1,836

1,836

1,769

1,769

Bank of Montreal

1,469

1,469

2,676

2,676

Morgan Stanley Bank, N.A.

10,673

10,673

Santander US Capital Markets LLC

1,723

1,723

Others

4,269

4,269

6,796

6,796

$

200,447

$

$

$

200,447

$

185,518

$

$

$

185,518

PennyMac Mortgage Investment Trust

$

1,234

$

$

$

1,234

$

2,257

$

$

$

2,257

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

June 30, 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

$

3,887

$

$

$

3,887

$

4,260

$

$

$

4,260

Atlas Securitized Products, L.P.

1,660,310

(1,660,310)

3,151,222

(3,151,222)

Bank of America, N.A.

1,618,294

(1,616,385)

1,909

1,121,585

(1,120,457)

1,128

Nomura Corporate Funding Americas

833,017

(833,012)

5

596,608

(596,608)

Wells Fargo Bank, N.A.

737,949

(731,513)

6,436

650,094

(650,094)

JPMorgan Chase Bank, N.A.

572,548

(572,076)

472

767,903

(767,903)

Royal Bank of Canada

550,025

(550,025)

534,163

(534,163)

Goldman Sachs

471,712

(471,712)

168,428

(168,428)

Barclays Capital

459,332

(459,332)

229,055

(229,055)

BNP Paribas

452,424

(452,424)

342,500

(342,500)

Morgan Stanley Bank, N.A.

449,599

(437,266)

12,333

407,678

(407,678)

Mizuho Bank, Ltd.

238,970

(238,970)

149,588

(149,588)

Citibank, N.A.

215,499

(215,499)

444,851

(444,851)

Santander US Capital Markets LLC

203,060

(201,540)

1,520

238,668

(238,668)

Others

8,001

8,001

4,171

4,171

$

8,474,627

$

(8,440,064)

$

$

34,563

$

8,810,774

$

(8,801,215)

$

$

9,559

PennyMac Mortgage Investment Trust

$

5,239

$

$

$

5,239

$

6,247

$

$

$

6,247

(1)Amounts represent the UPB of Assets sold under agreements to repurchase.
Summary of gains (losses) recognized on derivative financial instruments and the respective income statement line items

Quarter ended June 30, 

Six months ended June 30, 

Derivative activity

  ​ ​ ​

Consolidated statement of income line

  ​ ​ ​

2026

  ​ ​ ​

2025

  ​ ​ ​

2026

  ​ ​ ​

2025

(in thousands)

Interest rate lock commitments

Net gains on loans held for sale at fair value (1)

$

32,326

$

32,211

$

13,335

$

108,588

Hedged item:

Interest rate lock commitments
and loans held for sale

Net gains on loans held for sale at fair value

$

(59,010)

$

(28,853)

$

42,460

$

(173,899)

Mortgage servicing rights

Net loan servicing fees–Owned servicing–Mortgage servicing rights hedging results

$

(182,495)

$

(116,294)

$

(389,743)

$

(27,654)

(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 loans or the cancellation of the commitment are shown in the rollforward of IRLCs for the period in Note 7 – Fair Value – Assets and Liabilities Measured at Fair Value on a Recurring Basis.