XML 71 R47.htm IDEA: XBRL DOCUMENT v3.10.0.1
Borrowings (Tables)
 12 Months Ended
Dec. 31, 2018
Borrowings  
Summary of financial data pertaining to assets sold under agreements to repurchase

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year ended December 31, 

 

 

 

 

2018

 

2017

 

2016

 

 

 

 

(dollars in thousands)

 

 

Average balance of assets sold under agreements to repurchase

 

$

1,626,729

 

$

1,829,257

 

$

1,438,181

 

 

Weighted average interest rate (1)

 

 

3.87

% 

 

3.18

% 

 

2.91

%

 

Total interest expense (2)

 

$

22,463

 

$

60,286

 

$

49,791

 

 

Maximum daily amount outstanding

 

$

2,380,121

 

$

3,022,656

 

$

2,661,746

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 

 

 

 

2018

    

2017

 

 

 

(dollars in thousands)

 

Carrying value:

 

 

 

 

 

 

 

Unpaid principal balance

 

$

1,935,200

    

$

2,380,866

    

Unamortized debt issuance premiums and costs, net

 

 

(1,341)

 

 

672

 

 

 

$

1,933,859

    

$

2,381,538

 

Weighted average interest rate

 

 

4.22

% 

 

3.24

% 

Available borrowing capacity (3):

 

 

 

 

 

 

 

Committed

 

$

695,767

 

$

316,503

 

Uncommitted

 

 

2,354,033

 

 

2,257,631

 

 

 

$

3,049,800

 

$

2,574,134

 

Fair value of assets securing repurchase agreements:

 

 

 

 

 

 

 

Mortgage loans held for sale

 

$

1,923,857

 

$

2,530,299

 

Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell

 

$

131,025

 

$

144,128

 

Servicing advances (4)

 

$

162,895

 

$

114,643

 

Mortgage servicing rights (4)

 

$

2,807,333

 

$

2,098,067

 

Margin deposits placed with counterparties (5)

 

$

3,750

 

$

3,750

 

(1)

Excludes the effect of amortization of net premiums totaling $40.5 million and $1.3 million, for the years ended December 31, 2018 and 2017, respectively; and debt issuance costs of $7.3 million for the year ended December 31, 2016.

 

(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 $48.1 million and $9.2 million of such incentives as a reduction in Interest expense during the year ended December 31, 2018 and 2017, 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. The Company expects that it will cease to accrue the incentives under the repurchase agreement in the second quarter of 2019.

 

(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 described in Notes Payable. The VFN financing 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 sheets.

 

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

 

 

 

 

 

Remaining maturity at December 31, 2018

    

Balance

 

 

(dollars in thousands)

Within 30 days

 

$

397,374

Over 30 to 90 days

 

 

1,397,080

Over 90 to 180 days

 

 

746

Over one to two years

 

 

140,000

Total assets sold under agreements to repurchase

 

$

1,935,200

Weighted average maturity (in months)

 

 

2.9

 

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

 

$

1,416,794

 

April 26, 2020

 

April 26, 2020

Credit Suisse First Boston Mortgage Capital LLC

 

$

33,906

 

February 2, 2019

 

April 26, 2019

Deutsche Bank AG

 

$

53,901

 

March 16, 2019

 

June 30, 2019

Bank of America, N.A.

 

$

15,863

 

January 30, 2019

 

October 28, 2019

BNP Paribas

 

$

9,222

 

March 18, 2019

 

August 2, 2019

Morgan Stanley Bank, N.A.

 

$

5,825

 

March 7, 2019

 

August 23, 2019

JP Morgan Chase Bank, N.A.

 

$

5,286

 

March 3, 2019

 

October 11, 2019

Royal Bank of Canada

 

$

2,129

 

January 25, 2019

 

March 29, 2019

Citibank, N.A.

 

$

586

    

February 28, 2019

    

June 7, 2019

 

Summary of participating mortgage loans

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year ended December 31, 

 

 

 

 

2018

    

2017

 

2016

 

 

 

 

(dollars in thousands)

 

Average balance

 

 

$

248,539

 

$

208,613

 

$

268,416

 

Weighted average interest rate (1)

 

 

 

3.29

%  

 

2.34

%  

 

1.75

%

Total interest expense

 

 

$

8,754

 

$

5,496

 

$

5,523

 

Maximum daily amount outstanding

 

 

$

722,611

 

$

532,266

 

$

1,268,871

 

(1)

Excludes the effect of amortization of debt issuance costs totaling $588,000,  $545,000 and $740,000 for the years ended December 31, 2018, 2017 and 2016, respectively.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 

 

 

 

 

2018

 

2017

 

 

 

 

(dollars in thousands)

 

Carrying value:

 

 

 

 

 

 

 

 

Unpaid principal balance

 

 

$

532,466

 

$

527,706

 

Unamortized debt issuance costs

 

 

 

(215)

 

 

(311)

 

 

 

 

$

532,251

    

$

527,395

 

Weighted average interest rate

 

 

 

3.77

%  

 

2.81

%

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

 

 

$

555,001

 

$

551,688

 

 

Summary of note payable

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year ended December 31, 

 

 

 

    

2018

    

2017

    

2016

 

 

 

 

  (dollars in thousands)

 

 

Average balance

 

$

1,169,452

 

$

586,135

 

$

108,475

 

 

Weighted average interest rate (1)

 

 

5.29

%

 

5.86

%

 

5.13

%

 

Total interest expense

 

$

73,610

 

$

39,369

 

$

8,688

 

 

Maximum daily amount outstanding

 

$

1,300,000

 

$

900,006

 

$

153,849

 

 

(1)

Excluding the effect of amortization of debt issuance costs and non-utilization fees totaling $11.7 million, $4.5 million and $3.0 million for the years ended December 31, 2018, 2017 and 2016, respectively.

 

 

 

 

 

 

 

 

 

 

 

December 31, 

 

 

 

2018

    

2017

 

 

 

(dollars in thousands)

 

Carrying value:

 

 

 

 

 

 

 

Unpaid principal balance

 

$

1,300,000

    

$

900,006

 

Unamortized debt issuance costs

 

 

(7,709)

 

 

(8,501)

 

 

 

$

1,292,291

 

$

891,505

 

Weighted average interest rate

 

 

5.07

%

 

5.66

%

Unused amount

 

$

150,000

 

$

280,000

 

Assets pledged to secure notes payable:

 

 

 

 

 

 

 

Cash

 

$

108,174

 

$

20,765

 

Servicing advances (1)

 

$

162,895

 

$

114,643

 

Mortgage servicing rights (1)

 

$

2,807,333

 

$

2,098,067

 

Other assets‒Carried Interest

 

$

 —

 

$

8,552

 

(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. The VFN financing 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Year ended December 31, 

 

 

 

    

2018

    

2017

 

2016

 

 

 

 

(dollars in thousands)

 

 

Average balance

 

$

13,498

 

$

24,830

 

$

18,620

 

 

Weighted average interest rate

 

 

3.96

%  

 

3.07

%  

 

2.47

%  

 

Total interest expense

 

$

536

 

$

769

 

$

510

 

 

Maximum daily amount outstanding

 

$

20,971

 

$

30,044

 

$

24,242

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 

 

December 31, 

 

 

    

2018

    

2017

 

 

 

(in thousands)

 

Unpaid principal balance

 

$

6,605

    

$

20,971

 

Weighted average interest rate

 

 

4.46

%  

 

3.26

%  

Assets pledged to secure obligations under capital lease:

 

 

 

 

 

 

 

Furniture, fixtures and equipment

 

$

16,281

 

$

23,915

 

Capitalized software

 

$

1,017

 

$

1,568

 

 

Summary of roll forward of Excess Servicing Spread Financing

 

 

 

 

 

 

 

 

 

 

 

 

 

Year ended December 31, 

 

 

 

2018

    

2017

    

2016

 

 

 

(in thousands)

 

Balance at beginning of year

 

$

236,534

 

$

288,669

 

$

412,425

 

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

 

 

2,688

 

 

5,244

 

 

6,603

 

Accrual of interest

 

 

15,138

 

 

16,951

 

 

22,601

 

Repayment

 

 

(46,750)

 

 

(54,980)

 

 

(69,992)

 

Settlement (1)

 

 

 —

 

 

 —

 

 

(59,045)

 

Change in fair value

 

 

8,500

 

 

(19,350)

 

 

(23,923)

 

Balance at end of year

 

$

216,110

 

$

236,534

 

$

288,669

 

On February 29, 2016, the Company and PMT terminated that certain master spread acquisition and MSR servicing agreement that the parties entered into effective February 1, 2013 (the “2/1/2013 Spread Acquisition Agreement”) and all amendments thereto. In connection with the termination of 2/1/2013 Spread Acquisition Agreement, the Company reacquired from PMT all of its right, title and interest in and to all of the Fannie Mae ESS previously sold by the Company to PMT under the 2/1/2013 Spread Acquisition Agreement and then subject to such 2/1/2013 Spread Acquisition Agreement. On February 29, 2016, the Company also reacquired from PMT all of its right, title and interest in and to all of the Freddie Mac ESS previously sold to PMT by the Company.