Borrowings (Tables)

3 Months Ended

Mar. 31, 2019

Summary of financial data pertaining to assets sold under agreements to repurchase


	Quarter ended March 31,
	2019			2018
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	1,437,957		$	1,643,443
Weighted average interest rate (1)		4.47	%		3.59	%
Total interest expense (2)	$	8,635		$	6,732
Maximum daily amount outstanding	$	2,152,588		$	2,380,121


		March 31,			December 31,
	2019			2018
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	2,152,588		$	1,935,200
Unamortized debt issuance premiums and costs, net		(650)			(1,341)
	$	2,151,938		$	1,933,859
Weighted average interest rate		4.35	%		4.22	%
Available borrowing capacity (3):
Committed	$	625,413		$	695,767
Uncommitted		2,206,999			2,354,033
	$	2,832,412		$	3,049,800
Fair value of assets securing repurchase agreements:
Mortgage loans held for sale	$	2,065,151		$	1,923,857
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell	$	125,929		$	131,025
Servicing advances (4)	$	147,435		$	162,895
Mortgage servicing rights (4)	$	2,574,228		$	2,807,333
Margin deposits placed with counterparties (5)	$	3,750		$	3,750

(1)

Excludes the effect of amortization of net premiums totaling $7.4 million and $8.0 million for the quarters ended March 31, 2019 and 2018, 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. During the quarters ended March 31, 2019 and 2018, the Company included $9.3 million and $10.2 million, respectively, of such incentives as reductions in Interest expense. The master repurchase agreement expires on 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 sheet.

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


Remaining maturity at March 31, 2019	Balance
	(dollars in thousands)
Within 30 days	$	518,972
Over 30 to 90 days		1,334,389
Over 90 to 180 days		44,227
Over one to two years		255,000
Total assets sold under agreements to repurchase	$	2,152,588
Weighted average maturity (in months)		2.5

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	$	1,165,339	April 26, 2020	April 26, 2020
Credit Suisse First Boston Mortgage Capital LLC	$	26,541	April 16, 2019	April 26, 2019
Deutsche Bank AG	$	90,911	June 16, 2019	August 21, 2019
BNP Paribas	$	16,691	June 19, 2019	August 2, 2019
Bank of America, N.A.	$	14,405	May 4, 2019	October 28, 2019
Morgan Stanley Bank, N.A.	$	5,237	June 15, 2019	August 23, 2019
Citibank, N.A.	$	4,828	June 7, 2019	June 7, 2019
JP Morgan Chase Bank, N.A.	$	4,360	May 31, 2019	October 11, 2019
Royal Bank of Canada	$	2,631	June 28, 2019	June 28, 2019

Summary of mortgage loan participations


	Quarter ended March 31,
	2019			2018
	(dollars in thousands)
Average balance	$	236,667		$	215,614
Weighted average interest rate (1)		3.68	%		2.89	%
Total interest expense	$	2,311		$	1,727
Maximum daily amount outstanding	$	548,038		$	527,706

(1)

Excludes the effect of amortization of facility fees totaling $135,000 and $171,000 for the quarters ended March 31, 2019 and 2018, respectively.


	March 31,			December 31,
	2019			2018
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	548,038		$	532,466
Unamortized debt issuance costs		(159)			(215)
	$	547,879		$	532,251
Weighted average interest rate		3.75	%		3.77	%
Fair value of mortgage loans pledged to secure mortgage loan participation purchase and sale agreements	$	574,518		$	555,001

Summary of note payable


	Quarter ended March 31,
	2019			2018
	(dollars in thousands)
Average balance	$	1,300,000		$	979,868
Weighted average interest rate (1)		5.25	%		5.63	%
Total interest expense	$	17,995		$	18,222
Maximum daily amount outstanding	$	1,300,000		$	1,150,000

(1)

Excluding the effect of amortization of debt issuance costs totaling $0.7 million and $4.2 million for the quarters ended March 31, 2019 and 2018, respectively. Also excludes the effect of non-utilization fees of $196,000 and $192,000 for the quarters ended March 31, 2019 and 2018, respectively.


	March 31,			December 31,
	2019			2018
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	1,300,000		$	1,300,000
Unamortized debt issuance costs		(7,264)			(7,709)
	$	1,292,736		$	1,292,291
Weighted average interest rate		5.24	%		5.07	%
Unused amount	$	150,000		$	150,000
Assets pledged to secure notes payable:
Cash	$	93,372		$	108,174
Servicing advances (1)	$	147,435		$	162,895
Mortgage servicing rights (1)	$	2,675,704		$	2,807,333

(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


	Quarter ended March 31,
	2019			2018
	(dollars in thousands)
Average balance	$	5,848		$	18,703
Weighted average interest rate		4.50	%		3.64	%
Total interest expense	$	66		$	170
Maximum daily amount outstanding	$	6,605		$	20,971


	March 31,			December 31,
	2019			2018
	(dollars in thousands)
Unpaid principal balance	$	5,091		$	6,605
Weighted average interest rate		4.48	%		4.46	%
Assets pledged to secure obligations under capital lease:
Furniture, fixtures and equipment	$	15,254		$	16,281
Capitalized software	$	940		$	1,017

Summary of roll forward of Excess Servicing Spread Financing


	Quarter ended March 31,
	2019		2018
	(in thousands)
Balance at beginning of quarter	$	216,110	$	236,534
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust pursuant to recapture agreement		508		904
Accrual of interest		3,066		3,934
Repayment		(10,552)		(12,291)
Change in fair value		(4,051)		6,921
Balance at end of quarter	$	205,081	$	236,002