Derivative Financial Instruments (Tables)
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6 Months Ended |
Jun. 30, 2026 |
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| Derivative Financial Instruments |
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| 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. |
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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 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 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 |
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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 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | 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. |
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| 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. |
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