XML 60 R40.htm IDEA: XBRL DOCUMENT v3.10.0.1
Borrowings (Tables)
 9 Months Ended
Sep. 30, 2018
Borrowings  
Summary of financial data pertaining to assets sold under agreements to repurchase

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 

 

Nine months ended September 30, 

 

 

 

    

2018

    

2017

    

2018

    

2017

 

 

 

 

(dollars in thousands)

 

 

Average balance of assets sold under agreements to repurchase

 

$

1,563,053

 

$

1,960,332

 

$

1,618,008

 

$

1,854,786

 

 

Weighted average interest rate (1)

 

 

3.91

%  

 

3.23

%

 

3.72

%  

 

3.15

%

 

Total interest expense (2)

 

$

4,676

 

$

19,203

 

$

15,943

 

$

52,249

 

 

Maximum daily amount outstanding

 

$

2,201,880

 

$

2,564,756

 

$

2,380,121

 

$

2,581,199

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 

 

 

December 31, 

 

 

    

 

 

 

 

 

 

2018

    

2017

 

 

 

 

 

 

 

 

 

(dollars in thousands)

 

Carrying value:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unpaid principal balance

 

 

 

 

 

 

 

$

1,738,839

 

$

2,380,866

 

Unamortized premiums and debt issuance costs, net

 

 

 

 

 

 

 

 

799

 

 

672

 

 

 

 

 

 

 

 

 

$

1,739,638

 

$

2,381,538

 

Weighted average interest rate

 

 

 

 

 

 

 

 

3.93

%

 

3.24

%

Available borrowing capacity (3):

 

 

 

 

 

 

 

 

 

 

 

 

 

Committed

 

 

 

 

 

 

 

$

449,370

 

$

316,503

 

Uncommitted

 

 

 

 

 

 

 

 

2,796,791

 

 

2,257,631

 

 

 

 

 

 

 

 

 

$

3,246,161

 

$

2,574,134

 

Fair value of assets securing repurchase agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage loans held for sale

 

 

 

 

 

 

 

$

1,841,097

 

$

2,530,299

 

Servicing advances (4)

 

 

 

 

 

 

 

$

102,222

 

$

114,643

 

Mortgage servicing rights (4)

 

 

 

 

 

 

 

$

2,539,575

 

$

2,098,067

 

Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell

 

 

 

 

 

 

 

$

133,128

 

$

144,128

 

Margin deposits placed with counterparties (5)

 

 

 

 

 

 

 

$

3,750

 

$

3,750

 

(1)

Excludes the effect of amortization of net premiums totaling $10.9 million and $29.7 million for the quarter and nine months ended September 30, 2018, respectively, and commitment fees and issuance costs totaling $3.0 million and $7.9 million for the quarter and nine months ended September 30, 2017, respectively.

(2)

In 2017, PFSI entered into a master repurchase agreement that provides the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. The Company included $12.8 million and $35.5 million of such incentives as a reduction in Interest expense during the quarter and nine months ended September 30, 2018, respectively. The master repurchase agreement is subject to a rolling six-month term through August 21, 2019, unless terminated earlier at the option of the lender. There can be no assurance that the lender will not terminate this agreement before its stated maturity.

(3)

The amount the Company is able to borrow under asset repurchase agreements is tied to the fair value of unencumbered assets eligible to secure those agreements and the Company’s ability to fund the agreements’ margin requirements relating to the assets financed.

(4)

Beneficial interests in the Ginnie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN, 2018-GT1 Notes and 2018-GT2 Notes. Financing of the VFN is included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable on the Company's consolidated balance sheet.

(5)

Margin deposits are included in Other assets on the Company’s consolidated balance sheet.

 

Summary of maturities of outstanding advances under repurchase agreements by maturity date

 

 

 

 

 

Remaining maturity at September 30, 2018

    

Balance

 

 

(dollars in thousands)

Within 30 days

 

$

444,530

Over 30 to 90 days

 

 

1,239,074

Over 90 to 180 days

 

 

5,235

Over one to two years

 

 

50,000

Total assets sold under agreements to repurchase

 

$

1,738,839

Weighted average maturity (in months)

 

 

2.3

 

Summary of amount at risk relating to the assets sold under agreements to repurchase by counterparty

 

 

 

 

 

 

 

 

 

 

 

 

 

Weighted average

 

 

 

 

 

 

 

maturity of advances  

 

 

 

 

 

 

 

under repurchase

 

 

Counterparty

    

Amount at risk

    

agreement

    

Facility maturity

 

 

(in thousands)

 

 

 

 

Credit Suisse First Boston Mortgage Capital LLC

 

$

1,290,904

 

April 26, 2020

 

April 26, 2020

Credit Suisse First Boston Mortgage Capital LLC

 

$

33,078

 

October 24, 2018

 

April 26, 2019

Deutsche Bank AG

 

$

84,185

 

December 19, 2018

 

August 21, 2019

Bank of America, N.A.

 

$

17,796

 

October 12, 2018

 

October 12, 2018

JP Morgan Chase Bank, N.A.

 

$

4,937

 

October 12, 2018

 

October 12, 2018

Morgan Stanley Bank, N.A.

 

$

4,656

 

December 19, 2018

 

August 23, 2019

BNP Paribas

 

$

4,384

 

November 16, 2018

 

November 16, 2018

Royal Bank of Canada

 

$

1,704

 

November 6, 2018

 

December 31, 2018

Citibank, N.A.

 

$

783

    

December 21, 2018

    

June 7, 2019

 

Summary of mortgage loan participations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 

 

 

 

Nine months ended September 30, 

 

    

2018

    

2017

    

 

 

2018

    

2017

 

 

 

(dollars in thousands)

Average balance

 

$

289,008

 

$

213,486

 

 

 

$

250,599

 

$

200,119

 

Weighted average interest rate (1)

 

 

3.31

%  

 

2.48

%

 

 

 

3.14

%  

 

2.25

%

Total interest expense

 

$

2,533

 

$

1,484

 

 

 

$

6,450

 

$

3,780

 

Maximum daily amount outstanding

 

$

722,611

 

$

532,266

 

 

 

$

722,611

 

$

532,266

 

(1)

Excludes the effect of amortization of facility fees totaling $92,000 and $134,000 for the quarters ended September 30, 2018 and 2017, respectively, and $475,000 and $365,000 for the nine months ended September 30, 2018 and 2017, respectively.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 

 

December 31, 

 

 

    

 

 

 

 

 

 

 

 

2018

    

2017

    

 

 

 

 

 

 

 

 

 

 

(dollars in thousands)

 

Carrying value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unpaid principal balance

 

 

 

 

 

 

 

 

 

$

524,686

 

$

527,706

 

Unamortized debt issuance costs

 

 

 

 

 

 

 

 

 

 

(19)

 

 

(311)

 

 

 

 

 

 

 

 

 

 

 

$

524,667

    

$

527,395

 

Weighted average interest rate

 

 

 

 

 

 

 

 

 

 

3.51

%  

 

2.81

%

Fair value of mortgage loans pledged to secure mortgage loan participation purchase and sale agreements

 

 

 

 

 

 

 

 

 

$

547,969

 

$

551,688

 

 

Summary of note payable

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 

 

Nine months ended September 30, 

 

 

 

    

2018

    

2017

 

2018

    

2017

    

 

 

 

(dollars in thousands)

 

 

Average balance

 

$

1,234,783

 

$

689,417

 

$

1,125,458

 

$

483,370

 

 

Weighted average interest rate (1)

 

 

5.07

%  

 

5.85

%

 

5.29

%  

 

5.87

%

 

Total interest expense

 

$

21,369

 

$

11,747

 

$

55,939

 

$

24,746

 

 

Maximum daily amount outstanding

 

$

1,300,000

 

$

890,879

 

$

1,300,000

 

$

891,011

 

 

(1)

Excluding the effect of amortization of debt issuance costs totaling $5.2 million and $1.2 million for the quarters ended September 30, 2018 and 2017, respectively, and $10.3 million and $3.2 million for the nine months ended September 30, 2018 and 2017, respectively. Also excludes the effect of non-utilization fees of $179,000 and $562,000 for the quarter and nine months ended September 30, 2018, respectively.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 

 

December 31, 

 

 

    

 

 

 

 

 

 

2018

    

2017

  

 

 

 

 

 

 

 

 

(dollars in thousands)

 

Carrying value:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unpaid principal balance

 

 

 

 

 

 

 

$

1,300,000

    

$

900,006

 

Unamortized debt issuance costs

 

 

 

 

 

 

 

 

(8,153)

 

 

(8,501)

 

 

 

 

 

 

 

 

 

$

1,291,847

 

$

891,505

 

Weighted average interest rate

 

 

 

 

 

 

 

 

4.82

%

 

5.66

%

Unused amount

 

 

 

 

 

 

 

$

150,000

 

$

280,000

 

Assets pledged to secure notes payable:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash

 

 

 

 

 

 

 

$

81,640

 

$

20,765

 

Other assets‒Carried Interest

 

 

 

 

 

 

 

$

 —

 

$

8,552

 

Servicing advances (1)

 

 

 

 

 

 

 

$

102,222

 

$

114,643

 

Mortgage servicing rights (1)

 

 

 

 

 

 

 

$

2,539,575

 

$

2,098,067

 

(1)

Beneficial interests in the Ginnie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing the VFN, 2018-GT1 Notes and 2018-GT2 Notes. Financing of the VFN is included in Assets sold under agreements to repurchase and 2018-GT1 Notes and 2018-GT2 Notes are included in Notes payable on the Company's consolidated balance sheet.
Summary of obligations under capital lease

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 

 

Nine months ended September 30, 

 

 

 

    

2018

    

2017

    

2018

    

2017

 

 

 

 

(dollars in thousands)

 

 

Average balance

 

$

11,615

 

$

25,507

 

$

15,187

 

$

25,573

 

 

Weighted average interest rate

 

 

4.09

%  

 

3.25

%

 

3.87

%  

 

3.01

%  

 

Total interest expense

 

$

122

 

$

205

 

$

444

 

$

585

 

 

Maximum daily amount outstanding

 

$

13,032

 

$

26,641

 

$

20,971

 

$

30,044

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 

 

December 31, 

 

 

    

 

 

 

 

 

 

2018

    

2017

 

 

 

 

 

 

 

 

 

(in thousands)

 

Unpaid principal balance

 

 

 

 

 

 

 

$

9,630

    

$

20,971

 

Weighted average interest rate

 

 

 

 

 

 

 

 

4.16

%  

 

3.26

%  

Assets pledged to secure obligations under capital lease:

 

 

 

 

 

 

 

 

 

 

 

 

 

Furniture, fixtures and equipment

 

 

 

 

 

 

 

$

19,022

 

$

23,915

 

Capitalized software

 

 

 

 

 

 

 

$

1,231

 

$

1,568

 

 

Summary of roll forward of Excess Servicing Spread Financing

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 

 

Nine months ended September 30, 

 

 

    

2018

    

2017

    

2018

    

2017

 

 

 

(in thousands)

 

Balance at beginning of period

 

$

229,470

 

$

261,796

 

$

236,534

 

$

288,669

 

Issuances of excess servicing spread to PennyMac Mortgage Investment Trust pursuant to recapture agreement

 

 

499

 

 

1,207

 

 

1,983

 

 

4,160

 

Accrual of interest

 

 

3,740

 

 

3,998

 

 

11,584

 

 

13,011

 

Repayment

 

 

(11,543)

 

 

(13,410)

 

 

(35,852)

 

 

(42,320)

 

Change in fair value

 

 

1,109

 

 

(4,828)

 

 

9,026

 

 

(14,757)

 

Balance at end of period

 

$

223,275

 

$

248,763

 

$

223,275

 

$

248,763