Borrowings (Tables)

3 Months Ended

Mar. 31, 2020

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


	Quarter ended March 31,
	2020			2019
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	3,139,328		$	1,437,957
Weighted average interest rate (1)		3.07	%		4.47	%
Total interest expense (2)	$	25,684		$	8,635
Maximum daily amount outstanding	$	4,446,795		$	2,152,588


		March 31,			December 31,
	2020			2019
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	4,446,795		$	4,141,680
Unamortized debt issuance costs		(2,250)			(627)
	$	4,444,545		$	4,141,053
Weighted average interest rate		2.54	%		3.29	%
Available borrowing capacity (3):
Committed	$	—		$	125,810
Uncommitted		1,403,205			782,510
	$	1,403,205		$	908,320
Fair value of assets securing repurchase agreements:
Loans held for sale	$	4,937,094		$	4,322,789
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell	$	99,766		$	107,512
Servicing advances (4)	$	182,531		$	207,460
Mortgage servicing rights (4)	$	2,151,501		$	2,902,721
Margin deposits placed with counterparties (5)	$	5,000		$	5,000

(1)

Excludes the effect of amortization of net issuance costs of $1.6 million and premiums of $7.4 million for the quarters ended March 31, 2020 and 2019, 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 $9.3 million of such incentives as reductions in Interest expense during the quarter ended March 31, 2019. 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 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 sheets.

(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 March 31, 2020	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	1,585,379
Over 30 to 90 days		2,614,849
Over 90 to 180 days		246,567
Total assets sold under agreements to repurchase	$	4,446,795
Weighted average maturity (in months)		1.2

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)	$	983,098	April 26, 2020	April 26, 2020
Credit Suisse First Boston Mortgage Capital LLC	$	245,618	April 24, 2020	April 24, 2020
JP Morgan Chase Bank, N.A.	$	97,688	June 1, 2020	October 9, 2020
Citibank, N.A.	$	67,788	April 10, 2020	August 4, 2020
Bank of America, N.A.	$	61,809	May 4, 2020	March 11, 2021
Morgan Stanley Bank, N.A.	$	26,408	June 12, 2020	August 21, 2020
Royal Bank of Canada	$	24,012	April 30, 2020	April 30, 2020
BNP Paribas	$	15,575	June 16, 2020	July 31, 2020

Summary of mortgage loan participations


	Quarter ended March 31,
	2020			2019
	(dollars in thousands)
Average balance	$	247,811		$	236,667
Weighted average interest rate (1)		2.64	%		3.68	%
Total interest expense	$	1,810		$	2,311
Maximum daily amount outstanding	$	530,220		$	548,038

(1)

Excludes the effect of amortization of facility fees totaling $173,000 and $135,000 for the quarters ended March 31, 2020 and 2019, respectively.


	March 31,			December 31,
	2020			2019
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	528,750		$	497,948
Unamortized debt issuance costs		—			—
	$	528,750		$	497,948
Weighted average interest rate		2.18	%		3.05	%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	556,238		$	523,349

Summary of obligations under capital lease


	Quarter ended March 31,
	2020			2019
	(dollars in thousands)
Average balance	$	19,406		$	5,848
Weighted average interest rate		3.36	%		4.50	%
Total interest expense	$	167		$	66
Maximum daily amount outstanding	$	20,810		$	6,605


	March 31,			December 31,
	2020			2019
	(dollars in thousands)
Unpaid principal balance	$	18,145		$	20,810
Weighted average interest rate		3.18	%		3.74	%
Assets pledged to secure obligations under capital lease:
Furniture, fixtures and equipment	$	7,392		$	20,406
Capitalized software	$	10,606		$	12,192

Summary of note payable


	Quarter ended March 31,
	2020			2019
	(dollars in thousands)
Average balance	$	1,300,000		$	1,300,000
Weighted average interest rate (1)		4.43	%		5.25	%
Total interest expense	$	14,846		$	17,510
Maximum daily amount outstanding	$	1,300,000		$	1,300,000

(1)

Excludes the effect of amortization of debt issuance costs totaling $445,000 and $734,000 for the quarters ended March 31, 2020 and 2019, respectively.


	March 31,			December 31,
	2020			2019
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	1,300,000		$	1,300,000
Unamortized debt issuance costs		(5,486)			(5,930)
	$	1,294,514		$	1,294,070
Weighted average interest rate		4.38	%		4.46	%
Assets pledged to secure notes payable:
Servicing advances (1)	$	182,531		$	207,460
Mortgage servicing rights (1)	$	2,117,619		$	2,861,442

(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 secured by mortgage servicing assets on the Company's consolidated balance sheet.

Summary of Corporate revolving line of credit


	Quarter ended March 31,
	2020		2019
	(dollars in thousands)
Interest expense (1)	$	503	$	485

	March 31,		December 31,
	2020		2019
	(dollars in thousands)
Carrying value	$	—	$	—
Unused amount	$	150,000	$	150,000
Cash pledged to secure corporate revolving line of credit	$	773,361	$	52,599

(1)

Interest expenses represent debt issuance costs and non-utilization fees.

Summary of roll forward of Excess Servicing Spread Financing


	Quarter ended March 31,
	2020		2019
	(in thousands)
Balance at beginning of quarter	$	178,586	$	216,110
Issuances of excess servicing spread to PennyMac Mortgage Investment Trust pursuant to recapture agreement		379		508
Accrual of interest		1,974		3,066
Repayment		(9,308)		(10,552)
Change in fair value		(14,522)		(4,051)
Balance at end of quarter	$	157,109	$	205,081