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Borrowings (Tables)
 9 Months Ended
Sep. 30, 2019
Borrowings  
Summary of financial data pertaining to assets sold under agreements to repurchase

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 

 

Nine months ended September 30, 

 

 

    

2019

    

2018

    

2019

    

2018

 

 

 

(dollars in thousands)

 

Average balance of assets sold under agreements to repurchase

 

$

2,098,208

 

$

1,563,053

 

$

1,861,086

 

$

1,618,008

 

Weighted average interest rate (1)

 

 

3.66

%  

 

3.91

%

 

4.08

%  

 

3.72

%

Total interest expense (2)

 

$

19,429

 

$

4,676

 

$

47,709

 

$

15,943

 

Maximum daily amount outstanding

 

$

3,539,459

 

$

2,201,880

 

$

3,539,459

 

$

2,380,121

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 

 

 

December 31, 

 

 

    

 

 

 

 

 

 

2019

    

2018

 

 

 

 

 

 

 

 

 

(dollars in thousands)

 

Carrying value:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unpaid principal balance

 

 

 

 

 

 

 

$

3,539,459

 

$

1,935,200

 

Unamortized debt issuance premiums and costs, net

 

 

 

 

 

 

 

 

(570)

 

 

(1,341)

 

 

 

 

 

 

 

 

 

$

3,538,889

 

$

1,933,859

 

Weighted average interest rate

 

 

 

 

 

 

 

 

3.53

%

 

4.22

%

Available borrowing capacity (3):

 

 

 

 

 

 

 

 

 

 

 

 

 

Committed

 

 

 

 

 

 

 

$

2,665

 

$

695,767

 

Uncommitted

 

 

 

 

 

 

 

 

1,292,876

 

 

2,354,033

 

 

 

 

 

 

 

 

 

$

1,295,541

 

$

3,049,800

 

Fair value of assets securing repurchase agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

Loans held for sale

 

 

 

 

 

 

 

$

3,939,161

 

$

1,923,857

 

Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell

 

 

 

 

 

 

 

$

107,678

 

$

131,025

 

Servicing advances (4)

 

 

 

 

 

 

 

$

181,747

 

$

162,895

 

Mortgage servicing rights (4)

 

 

 

 

 

 

 

$

2,532,369

 

$

2,807,333

 

Margin deposits placed with counterparties (5)

 

 

 

 

 

 

 

$

5,000

 

$

3,750

 

(1)

Excludes the effect of amortization of net issuance costs and premiums totaling $0.2 million and $9.2 million for the quarter and nine months ended September 30, 2019, respectively, and net premiums totaling $10.9 million and $29.7 million for the quarter and nine months ended September 30, 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. The Company included $1.6 million and $12.8 million of such incentives as reductions in Interest expense during the quarters ended September 30, 2019 and 2018, respectively, and $14.7 million and $35.5 million during the nine months ended September 30, 2019 and 2018, respectively. The master repurchase agreement expired on August 21, 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 September 30, 2019

    

Balance

 

 

(dollars in thousands)

Within 30 days

 

$

276,113

Over 30 to 90 days

 

 

3,041,052

Over 90 to 180 days

 

 

122,294

Over 180 days to one year

 

 

100,000

Total assets sold under agreements to repurchase

 

$

3,539,459

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

 

$

1,313,083

 

April 26, 2020

 

April 26, 2020

Credit Suisse First Boston Mortgage Capital LLC

 

$

231,656

 

December 2, 2019

 

April 24, 2020

Bank of America, N.A.

 

$

82,942

 

October 28, 2019

 

October 28, 2019

JP Morgan Chase Bank, N.A.

 

$

79,142

 

October 9, 2019

 

October 11, 2019

Citibank, N.A.

 

$

41,279

    

December 17, 2019

    

August 4, 2020

Morgan Stanley Bank, N.A.

 

$

40,511

 

December 16, 2019

 

August 21, 2020

BNP Paribas

 

$

12,363

 

December 17, 2019

 

July 31, 2020

Royal Bank of Canada

 

$

9,804

 

December 31, 2019

 

December 31, 2019

 

Summary of mortgage loan participations

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 

 

 

Nine months ended September 30, 

 

 

    

2019

    

2018

    

 

2019

    

2018

 

 

 

(dollars in thousands)

Average balance

 

$

258,169

 

$

289,008

 

 

$

249,023

 

$

250,599

 

Weighted average interest rate (1)

 

 

3.36

%  

 

3.31

%

 

 

3.55

%  

 

3.14

%  

Total interest expense

 

$

2,304

 

$

2,533

 

 

$

7,034

 

$

6,450

 

Maximum daily amount outstanding

 

$

524,095

 

$

722,611

 

 

$

548,038

 

$

722,611

 

(1)

Excludes the effect of amortization of facility fees totaling $135,000 and $92,000 for the quarters ended September 30, 2019 and 2018, respectively, and $405,000 and $475,000 for the nine months ended September 30, 2019 and 2018, respectively.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

 

 

 

 

 

 

 

September 30, 

 

December 31, 

 

 

 

 

 

 

 

 

 

 

2019

    

2018

    

 

 

 

 

 

 

 

 

 

(dollars in thousands)

 

Carrying value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unpaid principal balance

 

 

 

 

 

 

 

 

$

514,625

 

$

532,466

 

Unamortized debt issuance costs

 

 

 

 

 

 

 

 

 

 —

 

 

(215)

 

 

 

 

 

 

 

 

 

 

$

514,625

    

$

532,251

 

Weighted average interest rate

 

 

 

 

 

 

 

 

 

3.27

%  

 

3.77

%

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

 

 

 

 

 

 

 

 

$

542,049

 

$

555,001

 

 

Summary of note payable

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 

 

Nine months ended September 30, 

 

 

    

2019

    

2018

 

2019

    

2018

 

 

 

(dollars in thousands)

 

Average balance

 

$

1,300,000

 

$

1,234,783

 

$

1,300,000

 

$

1,125,458

 

Weighted average interest rate (1)

 

 

5.11

%  

 

5.07

%

 

5.21

%  

 

5.29

%

Total interest expense

 

$

17,525

 

$

21,369

 

$

53,559

 

$

55,939

 

Maximum daily amount outstanding

 

$

1,300,000

 

$

1,300,000

 

$

1,300,000

 

$

1,300,000

 

(1)

Excludes the effect of amortization of debt issuance costs and non-utilization fees totaling $0.9 million and $2.0 million for the quarters ended September 30, 2019 and 2018, respectively, and $2.7 million and $2.8 million for the nine months ended September 30, 2019 and 2018, respectively, as well as unamortized debt issuance costs of $3.4 million and $8.0 million, recognized in Interest expense due to repayments of certain previously issued notes during the quarter and nine months ended September 30, 2018, respectively.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 

 

December 31, 

 

 

    

 

 

 

 

 

 

2019

    

2018

 

 

 

 

 

 

 

 

 

(dollars in thousands)

 

Carrying value:

 

 

 

 

 

 

 

 

 

 

 

 

 

Unpaid principal balance

 

 

 

 

 

 

 

$

1,300,000

    

$

1,300,000

 

Unamortized debt issuance costs

 

 

 

 

 

 

 

 

(6,375)

 

 

(7,709)

 

 

 

 

 

 

 

 

 

$

1,293,625

 

$

1,292,291

 

Weighted average interest rate

 

 

 

 

 

 

 

 

4.90

%

 

5.07

%

Unused amount

 

 

 

 

 

 

 

$

150,000

 

$

150,000

 

Assets pledged to secure notes payable:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash

 

 

 

 

 

 

 

$

101,773

 

$

108,174

 

Servicing advances (1)

 

 

 

 

 

 

 

$

181,747

 

$

162,895

 

Mortgage servicing rights (1)

 

 

 

 

 

 

 

$

2,489,481

 

$

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 September 30, 

 

Nine months ended September 30, 

 

 

 

    

2019

    

2018

    

2019

    

2018

 

 

 

 

(dollars in thousands)

 

Average balance

 

$

25,812

 

$

11,615

 

$

13,380

 

$

15,187

 

 

Weighted average interest rate

 

 

4.47

%  

 

4.09

%

 

4.48

%  

 

3.87

%  

 

Total interest expense

 

$

274

 

$

122

 

$

476

 

$

444

 

 

Maximum daily amount outstanding

 

$

28,295

 

$

13,032

 

$

28,295

 

$

20,971

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

September 30, 

 

December 31, 

 

 

 

 

 

 

 

 

 

2019

    

2018

 

 

 

 

 

 

 

 

 

(dollars in thousands)

 

Unpaid principal balance

 

 

 

 

 

 

 

$

23,881

    

$

6,605

 

Weighted average interest rate

 

 

 

 

 

 

 

 

4.45

%  

 

4.46

%  

Assets pledged to secure obligations under capital lease:

 

 

 

 

 

 

 

 

 

 

 

 

 

Furniture, fixtures and equipment

 

 

 

 

 

 

 

$

22,172

 

$

16,281

 

Capitalized software

 

 

 

 

 

 

 

$

14,090

 

$

1,017

 

 

Summary of roll forward of Excess Servicing Spread Financing

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 

 

Nine months ended September 30, 

 

    

2019

    

2018

    

2019

    

2018

 

 

(in thousands)

Balance at beginning of period

 

$

194,156

 

$

229,470

 

$

216,110

 

$

236,534

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

 

 

377

 

 

499

 

 

1,327

 

 

1,983

Accrual of interest

 

 

2,291

 

 

3,740

 

 

8,124

 

 

11,584

Repayment

 

 

(9,819)

 

 

(11,543)

 

 

(30,901)

 

 

(35,852)

Change in fair value

 

 

(3,864)

 

 

1,109

 

 

(11,519)

 

 

9,026

Balance at end of period

 

$

183,141

 

$

223,275

 

$

183,141

 

$

223,275