Borrowings (Tables)

12 Months Ended

Dec. 31, 2019

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


	Year ended December 31,
	2019			2018			2017
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	2,185,830		$	1,626,729		$	1,829,257
Weighted average interest rate (1)		3.74	%		3.87	%		3.18	%
Total interest expense (2)	$	74,215		$	22,463		$	60,286
Maximum daily amount outstanding	$	4,141,680		$	2,380,121		$	3,022,656


	December 31,
	2019			2018
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	4,141,680		$	1,935,200
Unamortized debt issuance premiums and costs, net		(627)			(1,341)
	$	4,141,053		$	1,933,859
Weighted average interest rate		3.29	%		4.22	%
Available borrowing capacity (3):
Committed	$	125,810		$	695,767
Uncommitted		782,510			2,354,033
	$	908,320		$	3,049,800
Fair value of assets securing repurchase agreements:
Loans held for sale	$	4,322,789		$	1,923,857
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell	$	107,512		$	131,025
Servicing advances (4)	$	207,460		$	162,895
Mortgage servicing rights (4)	$	2,902,721		$	2,807,333
Margin deposits placed with counterparties (5)	$	5,000		$	3,750

(1)

Excludes the effect of amortization of net debt issuance premiums totaling $7.5 million, $40.5 million and $1.3 million, for the years ended December 31, 2019, 2018 and 2017, respectively.

(2)

In 2017, PFSI entered into a master repurchase agreement that provided the Company with incentives to finance mortgage loans approved for satisfying certain consumer relief characteristics as provided in the agreement. The Company included $14.7 million, $48.1 million and $9.2 million of such incentives as a reduction in Interest expense during the years ended December 31, 2019, 2018 and 2017, 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 of $2.8 billion 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 secured by mortgage servicing assets. 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 secured by mortgage servicing assets 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, 2019	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	715,059
Over 30 to 90 days		3,157,444
Over 90 to 180 days		269,177
Total assets sold under agreements to repurchase	$	4,141,680
Weighted average maturity (in months)		2.0

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	$	1,709,197	April 26, 2020	April 26, 2020
Credit Suisse First Boston Mortgage Capital LLC	$	72,865	February 12, 2020	April 24, 2020
JP Morgan Chase Bank, N.A.	$	61,561	March 1, 2020	October 9, 2020
Citibank, N.A.	$	48,017	March 18, 2020	August 4, 2020
Morgan Stanley Bank, N.A.	$	42,181	March 16, 2020	August 21, 2020
Bank of America, N.A.	$	29,252	January 27, 2020	January 27, 2020
Royal Bank of Canada	$	13,811	March 31, 2020	March 31, 2020
BNP Paribas	$	10,233	March 12, 2020	July 31, 2020

Summary of participating mortgage loans


	Year ended December 31,
	2019			2018			2017
	(dollars in thousands)
Average balance	$	244,203		$	248,539		$	208,613
Weighted average interest rate (1)		3.42	%		3.29	%		2.34	%
Total interest expense	$	8,874		$	8,754		$	5,496
Maximum daily amount outstanding	$	548,038		$	722,611		$	532,266

(1)

Excludes the effect of amortization of debt issuance costs totaling $514,000, $588,000 and $545,000 for the years ended December 31, 2019, 2018 and 2017, respectively.


	December 31,			December 31,
	2019			2018
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	497,948		$	532,466
Unamortized debt issuance costs		—			(215)
	$	497,948		$	532,251
Weighted average interest rate		3.05	%		3.77	%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	523,349		$	555,001

Summary of obligations under capital lease


	Year ended December 31,
	2019			2018			2017
	(dollars in thousands)
Average balance	$	17,021		$	13,498		$	24,830
Weighted average interest rate		4.07	%		3.96	%		3.07	%
Total interest expense	$	693		$	536		$	769
Maximum daily amount outstanding	$	28,295		$	20,971		$	30,044


	December 31,			December 31,
	2019			2018
	(dollars in thousands)
Unpaid principal balance	$	20,810		$	6,605
Weighted average interest rate		3.74	%		4.46	%
Assets pledged to secure obligations under capital lease:
Furniture, fixtures and equipment	$	20,406		$	16,281
Capitalized software	$	12,192		$	1,017

Summary of note payable


	Year ended December 31,
	2019			2018			2017
	(dollars in thousands)
Average balance	$	1,300,000		$	1,169,452		$	586,135
Weighted average interest rate (1)		5.08	%		5.29	%		5.86	%
Total interest expense	$	67,789		$	71,697		$	37,001
Maximum daily amount outstanding	$	1,300,000		$	1,300,000		$	900,006

(1)

Excluding the effect of amortization of debt issuance costs totaling $1.8 million, $9.8 million and $3.4 million for the years ended December 31, 2019, 2018 and 2017, respectively.


	December 31,
	2019			2018
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	1,300,000		$	1,300,000
Unamortized debt issuance costs		(5,930)			(7,709)
	$	1,294,070		$	1,292,291
Weighted average interest rate		4.46	%		5.07	%
Assets pledged to secure notes payable:
Servicing advances (1)	$	207,460		$	162,895
Mortgage servicing rights (1)	$	2,861,442		$	2,807,333

(1)

Beneficial interests in the Ginnie Mae MSRs of $2.8 billion 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 secured by mortgage servicing assets on the Company's consolidated balance sheet.

Summary of Corporate revolving line of credit


	Year ended December 31,
	2019		2018		2017
	(in thousands)
Interest expense (1)	$	1,921	$	1,913	$	2,368

			December 31,
			2019		2018
			(in thousands)
Carrying value			$	—	$	—
Unused amount			$	150,000	$	150,000
Cash pledged to secure corporate revolving line of credit			$	52,599	$	108,174

(1)

Interest expenses for the years ended December 31, 2019 and 2018 represent debt issuance costs and non-utilization fees.

Summary of roll forward of Excess Servicing Spread Financing


	Year ended December 31,
	2019		2018		2017
	(in thousands)
Balance at beginning of year	$	216,110	$	236,534	$	288,669
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust pursuant to recapture agreement		1,757		2,688		5,244
Accrual of interest		10,291		15,138		16,951
Repayment		(40,316)		(46,750)		(54,980)
Change in fair value		(9,256)		8,500		(19,350)
Balance at end of year	$	178,586	$	216,110	$	236,534