Long-Term Debt

6 Months Ended

Jun. 30, 2024

Debt Disclosure [Abstract]

Long-Term Debt

Note 15— Long-Term Debt

Notes Payable Secured By Credit Risk Transfer and Mortgage Servicing Assets

CRT Arrangement Financing

The Company, through various wholly-owned subsidiaries, issued secured term notes (the “CRT Term Notes”) to qualified institutional buyers under Rule 144A of the Securities Act of 1933, as amended (the “Securities Act”). All of the CRT Term Notes rank pari passu with each other.

Following is a summary of the CRT Term Notes outstanding:

CRT Term Notes	Issuance date	Issuance amount		Unpaid principal balance		Annual interest rate spread(1)	Maturity date
		(in thousands)
2024 2R	April 4, 2024	$	247,000	$	240,923	3.35%	March 29, 2027
2024 1R	March 6, 2024	$	306,000		296,723	3.50%	March 1, 2027
2020 1R	February 14, 2020	$	350,000		47,637	3.35%	February 27, 2025
2019 3R	October 16, 2019	$	375,000		44,416	3.70%	October 29, 2024
2019 2R	June 11, 2019	$	638,000		153,538	3.75%	May 28, 2025
				$	783,237

(1)Interest rates are charged at a spread to the Secured Overnight Financing Rate ("SOFR").

Fannie Mae MSR Financing

The Company, through two subsidiaries, PMT ISSUER TRUST-FMSR and PMT CO-ISSUER TRUST-FMSR (together, the "Issuer Trusts"), finances MSRs owned by PMC and the related Excess Servicing Spread ("ESS") owned by PennyMac Holdings, LLC (“PMH”), another subsidiary of PMT, through a combination of repurchase agreements and term financing.

The repurchase agreements financings for Fannie Mae MSRs and ESS are effected through the issuance of variable funding notes (a Series 2017-VF1 Note and a Series 2024-VF1 Note, and together the "FMSR VFNs") by the Issuer Trusts to PMC and PMH, which are then sold to qualified institutional buyers under agreements to repurchase. The amounts outstanding under the FMSR VFNs are included in Assets sold under agreements to repurchase in the Company’s consolidated balance sheets. The FMSR VFNs have a committed borrowing combined capacity of $1.4 billion under two-year repurchase agreement facilities.

The term financing for Fannie Mae MSRs through the Issuer Trusts is effected through the issuance of term notes (the “FT-1 Term Notes”) to qualified institutional buyers under Rule 144A of the Securities Act and a series of syndicated term loans with various lenders (the “FTL-1 Term Loans").

The FT-1 Term Notes and FTL-1 Term Loans and the FMSR VFN are secured by certain participation certificates relating to Fannie Mae MSRs and ESS and rank pari passu with each other.

Following is a summary of the term financing of the Company’s Fannie Mae MSRs:

		Unpaid		Annual	Maturity date
Issuance	Issuance date	principal balance		interest rate spread(1)	Stated	Optional extension (2)
		(in thousands)
Term Loans
2023	May 25, 2023	$	370,000	3.00%	May 25, 2028	May 25, 2029
Term Notes
2024	June 27, 2024		355,000	2.75%	December 27, 2027	June 26, 2028
2022	June 28, 2022		305,000	4.19%	June 25, 2027	(3)
2021	March 30, 2021		350,000	3.00%	March 25, 2026	March 27, 2028
		$	1,380,000

(1)Interest rates are charged at a spread to SOFR.

(2)The indentures relating to these issuances provide the Company with the option of extending the maturity dates of certain of the FT-1 Term Notes and FTL-1 Term Loans under the conditions specified in the respective agreements.

(3)Either June 26, 2028 or June 25, 2029.

Freddie Mac MSR and Servicing Advance Receivables Financing

The Company, through PMC and PMH, finances certain MSRs relating to loans pooled into Freddie Mac securities through various credit agreements. The total loan amount available under the agreements is approximately $2.0 billion, bearing interest at an annual rate equal to SOFR plus a spread as defined in each agreement. The agreements have a weighted average maturity of
March 2025. The total loan amount available under the agreements may be reduced by other debt outstanding with the counterparties. Advances under the credit agreements are secured by MSRs relating to loans serviced for Freddie Mac guaranteed securities.

On August 10, 2023, the Company, through its- wholly-owned subsidiaries, PMT ISSUER TRUST - FHLMC SAF, PMT SAF Funding, LLC, and PMC, entered into a structured finance transaction that allows PMC to finance Freddie Mac servicing advance receivables (the “Series 2023-VF1”). The maturity date of the related Series 2023-VF1, Class A-VF1 Variable Funding Note is
August 9, 2025 and has a maximum principal amount of $150 million.

Following is a summary of financial information relating to notes payable secured by credit risk transfer and mortgage servicing assets:

	Quarter ended June 30,						Six months ended June 30,
	2024			2023			2024			2023
	(dollars in thousands)
Average balance	$	2,894,850		$	3,074,414		$	2,880,677		$	2,939,303
Weighted average interest rate (1)		9.09	%		8.40	%		8.96	%		8.06	%
Total interest expense	$	67,466		$	66,150		$	132,455		$	121,097
Maximum daily amount outstanding	$	3,277,400		$	3,188,116		$	3,327,400		$	3,188,116

(1)Excludes the effect of amortization of debt issuance costs of $2.0 million and $4.1 million for the quarter and six months ended June 30, 2024, respectively, and $1.8 million and $3.6 million for the quarter and six months ended June 30, 2023, respectively.

	June 30, 2024			December 31, 2023
	(dollars in thousands)
Carrying value:
Unpaid principal balance:
CRT arrangement financing	$	783,237		$	747,662
Fannie Mae MSR financing		1,380,000			1,025,000
Freddie Mac MSR and servicing advance receivable financing		780,000			1,145,000
		2,943,237			2,917,662
Unamortized debt issuance costs		(9,392	)		(7,057	)
	$	2,933,845		$	2,910,605
Weighted average interest rate		8.59	%		8.73	%
Assets securing notes payable:
MSRs (1)	$	3,889,087		$	3,871,249
Servicing advances	$	29,366		$	79,274
CRT Agreements:
Deposits securing CRT arrangements	$	1,089,385		$	1,132,081
Derivative assets	$	24,305		$	16,160

(1)Beneficial interests in Freddie Mac MSRs are pledged as collateral for the Notes payable secured by credit risk transfer and mortgage servicing assets. Beneficial interests in Fannie Mae MSRs are pledged for both Assets sold under agreements to repurchase and Notes payable secured by credit risk transfer and mortgage servicing assets.

Unsecured Senior Notes

Exchangeable Senior Notes

PMC has issued, $216.5 million aggregate principal amount of exchangeable senior notes due 2029 (the “2029 Exchangeable Notes”), $345 million aggregate principal amount of exchangeable senior notes due 2026 (the “2026 Exchangeable Notes”) and $210 million aggregate principal amount of exchangeable senior notes due 2024 (the “2024 Exchangeable Notes”). The 2029 Exchangeable Notes, together with the 2026 Exchangeable Notes and the 2024 Exchangeable Notes, are the (“Exchangeable Notes”). The Exchangeable Notes are summarized below:

Initial issuance date		Unpaid principal balance		Annual interest rate	Conversion rates (1)	Maturity date (2)
	(in thousands)
May 24, 2024		$	216,500	8.50%	63.3332	June 1, 2029
March 5, 2021			345,000	5.50%	46.1063	March 15, 2026
November 7, 2019			210,000	5.50%	40.1010	November 1, 2024
		$	771,500

(1)Common Shares per $1,000 principal amount.

(2)Unless repurchased or exchanged in accordance with their terms before such date.

Effective June 21, 2024, the Company and PMC entered into a supplemental indenture, pursuant to which PMC made an irrevocable election to eliminate its option to elect physical share settle on any exchange of the 2024 Exchangeable Notes and the 2026 Exchangeable Notes. As a result of entering into the supplemental indenture, the 2024 Exchangeable Notes and the 2026 Exchangeable Notes are exchangeable for: (1) cash for the principal amount of the notes to be exchanged; and (2) cash, PMT Common Shares or a combination of cash and PMT Common Shares, at the Company’s election, for the remainder, if any, of the exchange obligation in excess of the aggregate principal amount of the notes being exchanged, at any time until the close of business on the second scheduled trading day immediately preceding the maturity date.

The Exchangeable Notes are fully and unconditionally guaranteed by the Company.

2028 Senior Notes

In September 2023, the Company issued $53.5 million principal amount of unsecured 8.50% senior notes due

September 30, 2028 (the "2028 Senior Notes”). Interest on the 2028 Senior Notes is payable quarterly.

On or after September 30, 2025, PMT may redeem for cash all or any portion of the 2028 Senior Notes, at its option, at a redemption price equal to 100% of the principal amount of the notes to be redeemed, plus accrued and unpaid interest to, but excluding, the redemption date.

The 2028 Senior Notes are fully and unconditionally guaranteed on a senior unsecured basis by PMC, including the due and punctual payment of principal and interest, whether at stated maturity, upon acceleration, call for redemption or otherwise.

Following is financial information relating to the unsecured senior notes:

	Quarter ended June 30,						Six months ended June 30,
	2024			2023			2024			2023
	(in thousands)
Average balance	$	696,731		$	547,264		$	652,615		$	546,890
Weighted average interest rate (1)		6.13	%		5.59	%		5.97	%		5.63	%
Interest expense	$	11,629		$	8,395		$	21,313		$	16,775
	June 30, 2024			December 31, 2023
	(in thousands)
Carrying value:
Unpaid principal balance	$	825,000		$	608,500
Unamortized debt issuance costs		(11,162	)		(8,042	)
	$	813,838		$	600,458

(1)Excludes the effect of amortization of debt issuance costs of $1.0 million and $1.9 million for the quarter and six months ended June 30, 2024, respectively, and $764,000 and $1.5 million for the quarter and six months ended June 30, 2023. respectively.

Asset-Backed Financing of Variable Interest Entities at Fair Value

Following is a summary of financial information relating to the asset-backed financings of VIEs at fair value described in Note 6 ‒ Variable Interest Entities ‒ Subordinate Mortgage-Backed Securities:

	Quarter ended June 30,						Six months ended June 30,
	2024			2023			2024			2023
	(dollars in thousands)
Average balance	$	1,561,068		$	1,392,667		$	1,571,443		$	1,402,275
Total interest expense	$	11,402		$	12,791		$	24,080		$	25,144
Weighted average interest rate (1)		3.09	%		3.66	%		3.10	%		3.68	%

(1)Excludes the effect of (accrual) amortization of net issuance premiums and debt issuance costs of $(604,000) and $(112,000) for the quarter and six months ended June 30, 2024, respectively, and $75,000 and $(466,000) for the quarter and six months ended June 30, 2023, respectively.

	June 30, 2024			December 31, 2023
	(dollars in thousands)
Fair value	$	1,288,180		$	1,336,731
Unpaid principal balance	$	1,552,958		$	1,590,003
Weighted average interest rate		3.22	%		3.22	%

The asset-backed financings are non-recourse liabilities and are secured solely by the assets of consolidated VIEs and not by any other assets of the Company. The assets of the VIEs are the only source of funds for repayment of the asset-backed financing.

Maturities of Long-Term Debt

Contractual maturities of long-term debt obligations (based on final maturity dates) are as follows:

			Twelve months ended June 30,
	Total		2025		2026		2027		2028		2029		Thereafter
	(in thousands)
Notes payable secured by credit risk transfer     and mortgage servicing assets (1)	$	2,943,237	$	1,000,591	$	375,000	$	842,646	$	725,000	$	—	$	—
Unsecured senior notes		825,000		210,000		345,000		—		—		270,000		—
Asset-backed financings at fair value (2)		1,552,958		—		—		—		—		—		1,552,958
Interest-only security payable at fair value (2)		32,708		—		—		—		—		—		32,708
Total	$	5,353,903	$	1,210,591	$	720,000	$	842,646	$	725,000	$	270,000	$	1,585,666

(1)Based on stated maturity. As discussed above, certain of the Notes payable secured by credit risk and mortgage servicing assets allow the Company to exercise optional extensions.

(2)Contractual maturity does not reflect expected repayment as borrowers of the underlying loans generally have the right to repay their loans at any time.