Borrowings (Tables)

9 Months Ended

Sep. 30, 2020

Borrowings

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

	Quarter ended September 30,						Nine months ended September 30,
	2020			2019			2020			2019
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	3,363,140		$	2,098,208		$	2,669,336		$	1,861,086
Weighted average interest rate (1)		2.68	%		3.66	%		3.06	%		4.08	%
Total interest expense (2)	$	27,322		$	19,429		$	70,493		$	47,709
Maximum daily amount outstanding	$	7,267,046		$	3,539,459		$	7,267,046		$	3,539,459

		September 30,			December 31,
	2020			2019
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	7,267,046		$	4,141,680
Unamortized debt issuance costs		(7,858)			(627)
	$	7,259,188		$	4,141,053
Weighted average interest rate		1.85	%		3.29	%
Available borrowing capacity (3):
Committed	$	17,072		$	125,810
Uncommitted		2,940,882			782,510
	$	2,957,954		$	908,320
Fair value of assets securing repurchase agreements:
Loans held for sale	$	8,453,522		$	4,322,789
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell	$	86,958		$	107,512
Servicing advances (4)	$	232,519		$	207,460
Mortgage servicing rights (4)	$	2,283,876		$	2,902,721
Deposits (4)	$	192,597		$	—
Margin deposits placed with counterparties (5)	$	4,375		$	5,000

(1) Excludes the effect of amortization of net issuance costs of $4.8 million and $9.2 million for the quarter and nine months ended September 30, 2020, respectively, and net issuance costs and premiums of $0.2 million and $9.2 million for the quarter and nine months ended September 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 $1.6 million and $14.7 million of such incentives as reductions in Interest expense during the quarter and nine months ended September 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, the 2018 Term 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 the 2018 Term 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 September 30, 2020	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	1,490,837
Over 30 to 90 days		5,365,208
Over 90 to 180 days		361,001
Over 180 days to one year		50,000
Total assets sold under agreements to repurchase	$	7,267,046
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)	$	1,092,694	April 23, 2021	April 23, 2021
Credit Suisse First Boston Mortgage Capital LLC	$	460,264	October 19, 2020	April 23, 2021
Bank of America, N.A.	$	410,222	November 2, 2020	March 11, 2021
JP Morgan Chase Bank, N.A.	$	192,579	December 2, 2020	January 7, 2021
Morgan Stanley Bank, N.A.	$	62,630	November 3, 2020	November 3, 2020
Citibank, N.A.	$	48,231	December 15, 2020	August 3, 2021
Royal Bank of Canada	$	33,343	October 30, 2020	October 30, 2020
BNP Paribas	$	27,646	December 16, 2020	July 30, 2021

(1) The calculation of the amount at risk includes the VFN and the 2018 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 Term Notes described in Notes payable secured by mortgage servicing assets below. The VFN financing is included in Assets sold under agreements to repurchase and the 2018 Term 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 September 30,						Nine months ended September 30,
	2020			2019			2020			2019
	(dollars in thousands)
Average balance	$	235,713		$	258,169		$	227,460		$	249,023
Weighted average interest rate (1)		1.40	%		3.36	%		1.98	%		3.55	%
Total interest expense	$	999		$	2,304		$	3,870		$	7,034
Maximum daily amount outstanding	$	538,074		$	524,095		$	540,977		$	548,038

(1) Excludes the effect of amortization of debt issuance costs totaling $172,000 and $135,000 for the quarters ended September 30, 2020 and 2019, respectively, and $490,000 and $405,000 for the nine months ended September 30, 2020 and 2019, respectively.

	September 30,			December 31,
	2020			2019
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	535,378		$	497,948
Unamortized debt issuance costs		(315)			—
	$	535,063		$	497,948
Weighted average interest rate		1.40	%		3.05	%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	558,023		$	523,349

Summary of obligations under capital lease

	Quarter ended September 30,						Nine months ended September 30,
	2020			2019			2020			2019
	(dollars in thousands)
Average balance	$	15,179		$	25,812		$	17,253		$	13,380
Weighted average interest rate		2.16	%		4.47	%		2.69	%		4.48	%
Total interest expense	$	83		$	274		$	354		$	476
Maximum daily amount outstanding	$	16,749		$	28,295		$	20,810		$	28,295

	September 30,			December 31,
	2020			2019
	(dollars in thousands)
Unpaid principal balance	$	13,957		$	20,810
Weighted average interest rate		2.15	%		3.74	%
Assets pledged to secure obligations under capital lease:
Furniture, fixtures and equipment	$	6,088		$	20,406
Capitalized software	$	8,862		$	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 September 30,						Nine months ended September 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)		2.99	%		5.11	%		3.57	%		5.21	%
Total interest expense	$	10,177		$	17,044		$	36,131		$	52,118
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 $459,000 and $445,000 for the quarters ended September 30, 2020 and 2019, respectively, and $1.4 million and $1.3 million for the nine month periods ended September 30, 2020 and 2019, respectively.

	September 30,			December 31,
	2020			2019
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	1,300,000		$	1,300,000
Unamortized debt issuance costs		(4,857)			(5,930)
	$	1,295,143		$	1,294,070
Weighted average interest rate		2.93	%		4.46	%
Assets pledged to secure notes payable (1):
Servicing advances	$	232,519		$	207,460
Mortgage servicing rights	$	2,213,344		$	2,861,442
Deposits	$	192,597		$	—

(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 and the 2018 Term Notes. The VFN financing and the GMSR Servicing Advance Notes are included in Assets sold under agreements to repurchase and the 2018 Term Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheet.