XML 51 R40.htm IDEA: XBRL DOCUMENT v3.20.2
Borrowings (Tables)
6 Months Ended
Jun. 30, 2020
Borrowings  
Summary of financial data pertaining to assets sold under agreements to repurchase

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Quarter ended June 30, 

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Six months ended June 30, 

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2020

    

2019

    

2020

    

2019

 

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(dollars in thousands)

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Average balance of assets sold under agreements to repurchase

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$

2,529,217

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$

1,988,920

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$

2,833,444

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$

1,715,846

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Weighted average interest rate (1)

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​

2.32

%  

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4.35

%

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2.74

%  

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4.40

%

Total interest expense (2)

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$

17,487

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$

19,645

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$

43,171

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$

28,280

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Maximum daily amount outstanding

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$

3,769,495

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$

2,748,375

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$

3,769,495

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$

2,748,375

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June 30, 

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December 31, 

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2020

    

2019

 

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(dollars in thousands)

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Carrying value:

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Unpaid principal balance

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$

3,769,495

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$

4,141,680

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Unamortized debt issuance costs

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(10,180)

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(627)

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$

3,759,315

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$

4,141,053

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Weighted average interest rate

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2.13

%

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3.29

%

Available borrowing capacity (3):

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Committed

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$

—

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$

125,810

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Uncommitted

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​

2,090,894

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​

782,510

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$

2,090,894

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$

908,320

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Fair value of assets securing repurchase agreements:

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Loans held for sale

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$

4,315,116

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$

4,322,789

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Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell

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$

90,101

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$

107,512

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Servicing advances (4)

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$

197,094

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$

207,460

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Mortgage servicing rights (4)

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$

2,188,921

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$

2,902,721

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Deposits (4)

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$

125,017

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$

—

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Margin deposits placed with counterparties (5)

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$

4,375

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$

5,000

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(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

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Remaining maturity at June 30, 2020

    

Unpaid principal balance

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(dollars in thousands)

Within 30 days

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$

1,244,673

Over 30 to 90 days

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​

2,116,162

Over 90 to 180 days

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​

408,660

Total assets sold under agreements to repurchase

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$

3,769,495

Weighted average maturity (in months)

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1.4

Summary of amount at risk relating to the assets sold under agreements to repurchase by counterparty

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Weighted average

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maturity of advances  

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under repurchase

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Counterparty

    

Amount at risk

    

agreement

    

Facility maturity

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(in thousands)

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Credit Suisse First Boston Mortgage Capital LLC (1)

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$

1,032,963

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October 21, 2020

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October 21, 2020

Credit Suisse First Boston Mortgage Capital LLC

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$

352,900

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August 17, 2020

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April 23, 2021

Bank of America, N.A.

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$

120,991

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July 31, 2020

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March 11, 2021

Royal Bank of Canada

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$

35,008

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July 31, 2020

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July 31, 2020

Morgan Stanley Bank, N.A.

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$

34,949

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August 21, 2020

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August 21, 2020

Citibank, N.A.

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$

27,323

    

August 4, 2020

    

August 4, 2020

BNP Paribas

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$

14,888

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July 31, 2020

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July 31, 2020

JP Morgan Chase Bank, N.A.

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$

9,812

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September 5, 2020

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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

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Quarter ended June 30, 

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Six months ended June 30, 

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2020

    

2019

    

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2020

    

2019

 

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(dollars in thousands)

Average balance

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$

240,119

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$

251,997

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$

243,965

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$

244,374

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Weighted average interest rate (1)

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1.53

%  

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3.63

%

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2.09

%  

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3.65

%  

Total interest expense

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$

1,061

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$

2,419

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$

2,871

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$

4,730

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Maximum daily amount outstanding

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$

540,977

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$

523,279

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$

540,977

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$

548,038

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(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.

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June 30, 

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December 31, 

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2020

    

2019

    

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(dollars in thousands)

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Carrying value:

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Unpaid principal balance

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$

536,395

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$

497,948

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Unamortized debt issuance costs

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—

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—

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$

536,395

    

$

497,948

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Weighted average interest rate

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1.43

%  

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3.05

%

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

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$

558,546

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$

523,349

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Summary of obligations under capital lease

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Quarter ended June 30, 

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Six months ended June 30, 

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2020

    

2019

    

2020

    

2019

 

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(dollars in thousands)

Average balance

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$

17,272

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$

10,135

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$

18,367

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$

8,406

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Weighted average interest rate

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2.70

%  

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4.39

%

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3.05

%  

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4.39

%  

Total interest expense

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$

104

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$

136

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$

271

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$

202

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Maximum daily amount outstanding

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$

18,145

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$

28,295

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$

20,810

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$

28,295

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June 30, 

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December 31, 

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2020

    

2019

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(dollars in thousands)

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Unpaid principal balance

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$

16,749

    

$

20,810

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Weighted average interest rate

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2.70

%  

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3.74

%  

Assets pledged to secure obligations under capital lease:

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Furniture, fixtures and equipment

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$

6,670

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$

20,406

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Capitalized software

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$

9,730

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$

12,192

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Summary of term notes issued

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Issuance Date

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Principal

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Stated interest rate (1)

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Maturity date (2)

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(in thousands)

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(Annually)

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February 28, 2018 (the "2018-GT1 Notes")

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$

650,000

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2.85%

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2/25/2023

August 10, 2018 (the "2018-GT2 Notes")

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​

650,000

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2.65%

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8/25/2023

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$

1,300,000

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(1)Spread over one-month LIBOR.

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(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

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Quarter ended June 30, 

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Six months ended June 30, 

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2020

    

2019

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2020

    

2019

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(dollars in thousands)

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Average balance

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$

1,300,000

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$

1,300,000

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$

1,300,000

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$

1,300,000

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Weighted average interest rate (1)

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3.28

%  

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5.27

%

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3.86

%  

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5.26

%

Total interest expense

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$

11,109

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$

17,564

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$

25,955

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$

35,074

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Maximum daily amount outstanding

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$

1,300,000

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$

1,300,000

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$

1,300,000

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$

1,300,000

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(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.

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June 30, 

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December 31, 

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2020

    

2019

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(dollars in thousands)

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Carrying value:

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Unpaid principal balance

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$

1,300,000

    

$

1,300,000

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Unamortized debt issuance costs

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(5,051)

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(5,930)

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$

1,294,949

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$

1,294,070

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Weighted average interest rate

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2.92

%

​

4.46

%

Assets pledged to secure notes payable (1):

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Servicing advances

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$

197,094

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$

207,460

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Mortgage servicing rights

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$

2,129,361

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$

2,861,442

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Deposits

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$

125,017

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$

—

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(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

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Quarter ended June 30, 

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Six months ended June 30, 

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2020

    

2019

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2020

    

2019

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(dollars in thousands)

Interest expense (1)

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$

472

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$

475

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$

975

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$

960

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June 30, 

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December 31, 

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2020

    

2019

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(dollars in thousands)

Carrying value

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$

—

    

$

—

Unused amount

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$

150,000

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$

150,000

Cash pledged to secure corporate revolving line of credit

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$

896,058

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$

52,599

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