Borrowings (Tables)

6 Months Ended

Jun. 30, 2020

Borrowings

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

	Quarter ended June 30,						Six months ended June 30,
	2020			2019			2020			2019
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	2,529,217		$	1,988,920		$	2,833,444		$	1,715,846
Weighted average interest rate (1)		2.32	%		4.35	%		2.74	%		4.40	%
Total interest expense (2)	$	17,487		$	19,645		$	43,171		$	28,280
Maximum daily amount outstanding	$	3,769,495		$	2,748,375		$	3,769,495		$	2,748,375

		June 30,			December 31,
	2020			2019
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	3,769,495		$	4,141,680
Unamortized debt issuance costs		(10,180)			(627)
	$	3,759,315		$	4,141,053
Weighted average interest rate		2.13	%		3.29	%
Available borrowing capacity (3):
Committed	$	—		$	125,810
Uncommitted		2,090,894			782,510
	$	2,090,894		$	908,320
Fair value of assets securing repurchase agreements:
Loans held for sale	$	4,315,116		$	4,322,789
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell	$	90,101		$	107,512
Servicing advances (4)	$	197,094		$	207,460
Mortgage servicing rights (4)	$	2,188,921		$	2,902,721
Deposits (4)	$	125,017		$	—
Margin deposits placed with counterparties (5)	$	4,375		$	5,000

(1) Excludes the effect of amortization of net issuance costs of $2.8 million and $4.4 million for the quarter and six months ended June 30, 2020, respectively, and net premiums of $2.0 million and $9.4 million for the quarter and six months ended June 30, 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 $3.9 million and $13.2 million of such incentives as reductions in Interest expense during the quarter and six months ended June 30, 2019, 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, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes, 2018-GT1 Notes and 2018-GT2 Notes described in Notes payable secured by mortgage servicing assets. The VFN financing and the GMSR Servicing Advance Notes are 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 June 30, 2020	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	1,244,673
Over 30 to 90 days		2,116,162
Over 90 to 180 days		408,660
Total assets sold under agreements to repurchase	$	3,769,495
Weighted average maturity (in months)		1.4

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)	$	1,032,963	October 21, 2020	October 21, 2020
Credit Suisse First Boston Mortgage Capital LLC	$	352,900	August 17, 2020	April 23, 2021
Bank of America, N.A.	$	120,991	July 31, 2020	March 11, 2021
Royal Bank of Canada	$	35,008	July 31, 2020	July 31, 2020
Morgan Stanley Bank, N.A.	$	34,949	August 21, 2020	August 21, 2020
Citibank, N.A.	$	27,323	August 4, 2020	August 4, 2020
BNP Paribas	$	14,888	July 31, 2020	July 31, 2020
JP Morgan Chase Bank, N.A.	$	9,812	September 5, 2020	October 9, 2020

(1) The calculation of the amount at risk includes the VFN and the Term Notes because 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 below. 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.

Summary of mortgage loan participations

	Quarter ended June 30,						Six months ended June 30,
	2020			2019			2020			2019
	(dollars in thousands)
Average balance	$	240,119		$	251,997		$	243,965		$	244,374
Weighted average interest rate (1)		1.53	%		3.63	%		2.09	%		3.65	%
Total interest expense	$	1,061		$	2,419		$	2,871		$	4,730
Maximum daily amount outstanding	$	540,977		$	523,279		$	540,977		$	548,038

(1) Excludes the effect of amortization of facility fees totaling $145,000 and $135,000 for the quarters ended June 30, 2020 and 2019, respectively, and $318,000 and $270,000 for the six months ended June 30, 2020 and 2019, respectively.

	June 30,			December 31,
	2020			2019
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	536,395		$	497,948
Unamortized debt issuance costs		—			—
	$	536,395		$	497,948
Weighted average interest rate		1.43	%		3.05	%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	558,546		$	523,349

Summary of obligations under capital lease

	Quarter ended June 30,						Six months ended June 30,
	2020			2019			2020			2019
	(dollars in thousands)
Average balance	$	17,272		$	10,135		$	18,367		$	8,406
Weighted average interest rate		2.70	%		4.39	%		3.05	%		4.39	%
Total interest expense	$	104		$	136		$	271		$	202
Maximum daily amount outstanding	$	18,145		$	28,295		$	20,810		$	28,295

	June 30,			December 31,
	2020			2019
	(dollars in thousands)
Unpaid principal balance	$	16,749		$	20,810
Weighted average interest rate		2.70	%		3.74	%
Assets pledged to secure obligations under capital lease:
Furniture, fixtures and equipment	$	6,670		$	20,406
Capitalized software	$	9,730		$	12,192

Summary of term notes issued

Issuance Date	Principal		Stated interest rate (1)	Maturity date (2)
	(in thousands)		(Annually)
February 28, 2018 (the "2018-GT1 Notes")	$	650,000	2.85%	2/25/2023
August 10, 2018 (the "2018-GT2 Notes")		650,000	2.65%	8/25/2023
	$	1,300,000

(1) Spread over one-month LIBOR.

(2) The 2018 Term Notes indentures provide the Company with the option to extend the maturity of the 2018 Term Notes by two years after the stated maturity.

Summary of note payable

	Quarter ended June 30,						Six months ended June 30,
	2020			2019			2020			2019
	(dollars in thousands)
Average balance	$	1,300,000		$	1,300,000		$	1,300,000		$	1,300,000
Weighted average interest rate (1)		3.28	%		5.27	%		3.86	%		5.26	%
Total interest expense	$	11,109		$	17,564		$	25,955		$	35,074
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 totaling $451,000 and $445,000 for the quarters ended June 30, 2020 and 2019, respectively, and $896,000 and $889,000 for the six month periods ended June 30, 2020 and 2019, respectively.

	June 30,			December 31,
	2020			2019
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	1,300,000		$	1,300,000
Unamortized debt issuance costs		(5,051)			(5,930)
	$	1,294,949		$	1,294,070
Weighted average interest rate		2.92	%		4.46	%
Assets pledged to secure notes payable (1):
Servicing advances	$	197,094		$	207,460
Mortgage servicing rights	$	2,129,361		$	2,861,442
Deposits	$	125,017		$	—

(1) Beneficial interests in the Ginnie Mae MSRs, servicing advances and deposits are pledged to the Issuer Trust and together serve as the collateral backing the VFN, GMSR Servicing Advance Notes, 2018-GT1 Notes and 2018-GT2 Notes. The VFN financing and the GMSR Servicing Advance Notes are 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 June 30,				Six months ended June 30,
	2020		2019		2020		2019
	(dollars in thousands)
Interest expense (1)	$	472	$	475	$	975	$	960
					June 30,		December 31,
					2020		2019
					(dollars in thousands)
Carrying value					$	—	$	—
Unused amount					$	150,000	$	150,000
Cash pledged to secure corporate revolving line of credit					$	896,058	$	52,599

(1) Interest expense is comprised of debt issuance costs and non-utilization fees.