Derivative and Credit Risk Transfer Strip Assets and Liabilities (Tables)
|
9 Months Ended |
Sep. 30, 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:
|
|
|
|
|
|
|
|
|
|
|
September 30, 2026 |
|
|
December 31, 2025 |
|
|
|
(in thousands) |
|
Derivative assets with nonaffiliates |
|
$ |
53,001 |
|
|
$ |
49,696 |
|
Derivative assets with PennyMac Financial Services, Inc. |
|
$ |
5,668 |
|
|
$ |
6,247 |
|
|
|
|
|
|
|
|
Derivative liabilities with nonaffiliates |
|
$ |
6,102 |
|
|
$ |
933 |
|
Credit risk transfer strip liabilities |
|
|
5,231 |
|
|
|
5,999 |
|
|
|
$ |
11,333 |
|
|
$ |
6,932 |
|
Derivative liabilities with PennyMac Financial Services, Inc. |
|
$ |
16,456 |
|
|
$ |
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:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 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 |
|
|
187,500 |
|
|
$ |
88 |
|
|
$ |
— |
|
|
|
3,250,000 |
|
|
$ |
1,289 |
|
|
$ |
— |
|
Put options on interest rate futures purchase contracts |
|
|
187,500 |
|
|
|
5,566 |
|
|
|
— |
|
|
|
2,500,000 |
|
|
|
4,109 |
|
|
|
— |
|
Forward purchase contracts |
|
|
2,028,054 |
|
|
|
— |
|
|
|
13,166 |
|
|
|
3,703,628 |
|
|
|
4,113 |
|
|
|
158 |
|
Forward sale contracts |
|
|
5,507,527 |
|
|
|
89,048 |
|
|
|
2,959 |
|
|
|
7,933,760 |
|
|
|
2,381 |
|
|
|
17,340 |
|
Bond futures |
|
|
3,116,000 |
|
|
|
— |
|
|
|
— |
|
|
|
1,896,100 |
|
|
|
— |
|
|
|
— |
|
Swap futures |
|
|
216,800 |
|
|
|
— |
|
|
|
— |
|
|
|
751,200 |
|
|
|
— |
|
|
|
— |
|
Swaptions |
|
|
2,000,000 |
|
|
|
54,793 |
|
|
|
32 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Other derivatives not subject to master netting arrangements: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit risk transfer derivatives |
|
|
2,906,185 |
|
|
|
30,695 |
|
|
|
— |
|
|
|
455,682 |
|
|
|
32,659 |
|
|
|
— |
|
Total derivative instruments before netting |
|
|
|
|
|
180,190 |
|
|
|
16,157 |
|
|
|
|
|
|
44,551 |
|
|
|
17,498 |
|
Netting |
|
|
|
|
|
(127,189 |
) |
|
|
(10,055 |
) |
|
|
|
|
|
5,145 |
|
|
|
(16,565 |
) |
|
|
|
|
|
$ |
53,001 |
|
|
$ |
6,102 |
|
|
|
|
|
$ |
49,696 |
|
|
$ |
933 |
|
PennyMac Financial Services, Inc.: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate lock commitments not subject to
master netting arrangements |
|
|
883,146 |
|
|
$ |
370 |
|
|
$ |
16,456 |
|
|
|
1,207,859 |
|
|
$ |
4,605 |
|
|
$ |
2,257 |
|
Forward purchase contract subject to
master netting arrangement |
|
|
311,414 |
|
|
|
5,462 |
|
|
|
164 |
|
|
|
250,638 |
|
|
|
1,784 |
|
|
|
142 |
|
Total derivatives before netting |
|
|
|
|
|
5,832 |
|
|
|
16,620 |
|
|
|
|
|
|
6,389 |
|
|
|
2,399 |
|
Netting |
|
|
|
|
|
(164 |
) |
|
|
(164 |
) |
|
|
|
|
|
(142 |
) |
|
|
(142 |
) |
|
|
|
|
|
$ |
5,668 |
|
|
$ |
16,456 |
|
|
|
|
|
$ |
6,247 |
|
|
$ |
2,257 |
|
Margin deposits (received from) placed with derivative
counterparties included in derivative balances above, net |
|
|
|
|
$ |
(117,134 |
) |
|
|
|
|
|
|
|
$ |
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 |
|
|
|
|
$ |
30,695 |
|
|
|
|
|
|
|
|
$ |
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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 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 |
|
$ |
30,695 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
30,695 |
|
|
$ |
32,659 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
32,659 |
|
Metro Life Ins Co |
|
|
7,639 |
|
|
|
— |
|
|
|
— |
|
|
|
7,639 |
|
|
|
151 |
|
|
|
— |
|
|
|
— |
|
|
|
151 |
|
Bank of America, N.A. |
|
|
6,163 |
|
|
|
— |
|
|
|
— |
|
|
|
6,163 |
|
|
|
4,745 |
|
|
|
— |
|
|
|
— |
|
|
|
4,745 |
|
RJ O’Brien & Associates, LLC |
|
|
5,654 |
|
|
|
— |
|
|
|
— |
|
|
|
5,654 |
|
|
|
5,398 |
|
|
|
— |
|
|
|
— |
|
|
|
5,398 |
|
Morgan Stanley & Co. LLC |
|
|
1,078 |
|
|
|
— |
|
|
|
— |
|
|
|
1,078 |
|
|
|
3,500 |
|
|
|
— |
|
|
|
— |
|
|
|
3,500 |
|
Nomura |
|
|
382 |
|
|
|
— |
|
|
|
— |
|
|
|
382 |
|
|
|
137 |
|
|
|
— |
|
|
|
— |
|
|
|
137 |
|
Ares Management Corporation |
|
|
334 |
|
|
|
— |
|
|
|
— |
|
|
|
334 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
J.P. Morgan Securities LLC |
|
|
126 |
|
|
|
— |
|
|
|
— |
|
|
|
126 |
|
|
|
102 |
|
|
|
— |
|
|
|
— |
|
|
|
102 |
|
BNP Paribas |
|
|
46 |
|
|
|
— |
|
|
|
— |
|
|
|
46 |
|
|
|
236 |
|
|
|
— |
|
|
|
— |
|
|
|
236 |
|
Other |
|
|
884 |
|
|
|
— |
|
|
|
— |
|
|
|
884 |
|
|
|
2,768 |
|
|
|
— |
|
|
|
— |
|
|
|
2,768 |
|
|
|
$ |
53,001 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
53,001 |
|
|
$ |
49,696 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
49,696 |
|
PennyMac Financial Services, Inc. |
|
$ |
5,668 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
5,668 |
|
|
$ |
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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 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: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank of America, N.A. |
|
$ |
1,465,715 |
|
|
$ |
(1,465,715 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,074,334 |
|
|
$ |
(1,074,334 |
) |
|
$ |
— |
|
|
$ |
— |
|
Santander US Capital |
|
|
1,346,450 |
|
|
|
(1,346,450 |
) |
|
|
— |
|
|
|
— |
|
|
|
952,951 |
|
|
|
(952,933 |
) |
|
|
— |
|
|
|
18 |
|
J.P. Morgan Securities LLC |
|
|
988,161 |
|
|
|
(988,161 |
) |
|
|
— |
|
|
|
— |
|
|
|
1,536,038 |
|
|
|
(1,536,038 |
) |
|
|
— |
|
|
|
— |
|
Wells Fargo Securities, LLC |
|
|
814,970 |
|
|
|
(814,499 |
) |
|
|
— |
|
|
|
471 |
|
|
|
782,547 |
|
|
|
(782,547 |
) |
|
|
— |
|
|
|
— |
|
Atlas Securitized Products, L.P. |
|
|
709,399 |
|
|
|
(709,399 |
) |
|
|
— |
|
|
|
— |
|
|
|
1,216,779 |
|
|
|
(1,216,779 |
) |
|
|
— |
|
|
|
— |
|
Citigroup Global Markets Inc. |
|
|
562,910 |
|
|
|
(562,667 |
) |
|
|
— |
|
|
|
243 |
|
|
|
397,162 |
|
|
|
(397,162 |
) |
|
|
— |
|
|
|
— |
|
Barclays Capital Inc. |
|
|
470,168 |
|
|
|
(468,959 |
) |
|
|
— |
|
|
|
1,209 |
|
|
|
431,016 |
|
|
|
(431,016 |
) |
|
|
— |
|
|
|
— |
|
Morgan Stanley & Co. LLC |
|
|
442,352 |
|
|
|
(439,804 |
) |
|
|
— |
|
|
|
2,548 |
|
|
|
319,500 |
|
|
|
(319,500 |
) |
|
|
— |
|
|
|
— |
|
Nomura Holdings America, Inc |
|
|
394,628 |
|
|
|
(394,628 |
) |
|
|
— |
|
|
|
— |
|
|
|
231,308 |
|
|
|
(231,308 |
) |
|
|
— |
|
|
|
— |
|
Bank of Montreal |
|
|
358,433 |
|
|
|
(358,267 |
) |
|
|
— |
|
|
|
166 |
|
|
|
160,388 |
|
|
|
(160,324 |
) |
|
|
— |
|
|
|
64 |
|
RBC Capital Markets, L.P. |
|
|
243,687 |
|
|
|
(243,687 |
) |
|
|
— |
|
|
|
— |
|
|
|
438,781 |
|
|
|
(438,781 |
) |
|
|
— |
|
|
|
— |
|
BNP Paribas |
|
|
196,344 |
|
|
|
(196,344 |
) |
|
|
— |
|
|
|
— |
|
|
|
54,191 |
|
|
|
(54,191 |
) |
|
|
— |
|
|
|
— |
|
Daiwa Capital Markets |
|
|
168,993 |
|
|
|
(168,921 |
) |
|
|
— |
|
|
|
72 |
|
|
|
195,268 |
|
|
|
(195,268 |
) |
|
|
— |
|
|
|
— |
|
Goldman Sachs & Co. LLC |
|
|
164,011 |
|
|
|
(163,491 |
) |
|
|
— |
|
|
|
520 |
|
|
|
151,274 |
|
|
|
(151,274 |
) |
|
|
— |
|
|
|
— |
|
Mizuho Financial Group |
|
|
63,108 |
|
|
|
(62,800 |
) |
|
|
— |
|
|
|
308 |
|
|
|
81,701 |
|
|
|
(81,701 |
) |
|
|
— |
|
|
|
— |
|
Other |
|
|
565 |
|
|
|
— |
|
|
|
— |
|
|
|
565 |
|
|
|
851 |
|
|
|
— |
|
|
|
— |
|
|
|
851 |
|
|
|
$ |
8,389,894 |
|
|
$ |
(8,383,792 |
) |
|
$ |
— |
|
|
$ |
6,102 |
|
|
$ |
8,024,089 |
|
|
$ |
(8,023,156 |
) |
|
$ |
— |
|
|
$ |
933 |
|
PennyMac Financial Services, Inc. |
|
$ |
16,456 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
16,456 |
|
|
$ |
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 September 30, |
|
|
Nine months ended September 30, |
|
Derivative activity |
|
Consolidated statements of operations line |
|
2026 |
|
|
2025 |
|
|
2026 |
|
|
2025 |
|
|
|
|
|
(in thousands) |
|
Interest rate lock commitments |
|
Net gains on loans held for sale (1) |
|
$ |
(19,031 |
) |
|
$ |
(2,033 |
) |
|
$ |
(18,434 |
) |
|
$ |
5,045 |
|
CRT derivatives |
|
Net (losses) gains on investments
and financings |
|
$ |
2,504 |
|
|
$ |
2,947 |
|
|
$ |
4,895 |
|
|
$ |
10,302 |
|
Hedged item: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate lock commitments
and loans held for sale |
|
Net gains on loans held for sale at fair value |
|
$ |
119,935 |
|
|
$ |
(30,433 |
) |
|
$ |
126,299 |
|
|
$ |
(69,130 |
) |
Mortgage servicing rights |
|
Net loan servicing fees |
|
$ |
(30,820 |
) |
|
$ |
(27,360 |
) |
|
$ |
(75,532 |
) |
|
$ |
(127,941 |
) |
(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.
|