The borrowing facilities described throughout these Notes 12 and 13 contain various covenants, including financial covenants governing the Company’s net worth, debt-to-equity ratio, profitability and liquidity. Management believes that the Company was in compliance with these covenants as of March 31, 2021.

The Company has multiple borrowing facilities in the form of asset sales under agreements to repurchase. These borrowing facilities are secured by loans held for sale at fair value or participation certificates backed by MSRs. Eligible loans and participation certificates backed by MSRs are sold at advance rates based on the fair value (as determined by the lender) of the assets sold. Interest is charged at a rate based on LIBOR. Loans and MSRs financed under these agreements may be re-pledged by the lenders.

On April 1, 2020, the Company issued a series of variable funding notes, the Series 2020-SPIADVF1 Notes (“GMSR Servicing Advance Notes”), to be sold under agreement to repurchase pursuant to a Master Repurchase Agreement, dated as of April 1, 2020, with Credit Suisse First Boston Mortgage Capital LLC, acting as administrative agent on behalf of Credit Suisse AG, Cayman Islands Branch, as buyer (the “GMSR Servicing Advances Repurchase Agreement”).

The GMSR Servicing Advances Repurchase Agreement provides the Company with financing secured by its servicing advances to pay, in accordance with the Ginnie Mae requirements, in the event borrowers are delinquent: (i) regularly scheduled monthly principal and interest to mortgage-backed securities holders; (ii) taxes, homeowner’s insurance, and other escrowed items; and (iii) other expenses related to servicing delinquent loans as specified by (A) state and federal laws and (B) government agencies, including the FHA, the VA, and the USDA.

The borrowing capacity under the GMSR Servicing Advances Repurchase Agreement, shared with VFN financing capacity, is $600 million, all of which is committed and may be used to finance the servicing advances related to delinquent FHA, VA, and USDA loans, including delinquencies caused by forbearance provided to the borrower in accordance with the CARES Act. The VFN is described in Note 4—Related Party Transactions—Investing Activities.

(1)	Excludes the effect of amortization of net issuance costs of $6.2 million and $1.6 million for the quarters ended March 31, 2021 and 2020, respectively,

(2)	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.

(3)

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 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 Term Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets.

(4)	Margin deposits are included in Other assets on the Company’s consolidated balance sheets.

Following is a summary of maturities of outstanding advances under repurchase agreements by maturity date:


Remaining maturity at March 31, 2021	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	2,712,890
Over 30 to 90 days		5,075,748
Over 90 to 180 days		428,639
Over 180 days to one year		2,639,400
Total assets sold under agreements to repurchase	$	10,856,677
Weighted average maturity (in months)		5.1

The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) relating to the Company’s assets sold under agreements to repurchase is summarized by counterparty below as of March 31, 2021:



			Weighted average
Counterparty	Amount at risk		maturity of advances	Facility maturity
	(in thousands)
Credit Suisse First Boston Mortgage Capital LLC (1)	$	2,069,444	April 23, 2021	April 23, 2021
Credit Suisse First Boston Mortgage Capital LLC	$	592,940	April 18, 2021	April 23, 2021
Bank of America, N.A.	$	501,873	May 3, 2021	June 9, 2021
JP Morgan Chase Bank, N.A.	$	282,086	November 1, 2021	September 30, 2022
JP Morgan Chase Bank, N.A.	$	15,597	April 7, 2021	April 7, 2021
BNP Paribas	$	252,959	June 14, 2021	July 30, 2021
Barclays Bank PLC	$	94,629	June 19, 2021	November 3, 2022
Goldman Sachs	$	53,150	June 7, 2021	December 23, 2022
Citibank, N.A.	$	41,738	June 16, 2021	August 3, 2021
Morgan Stanley Bank, N.A.	$	33,515	June 16, 2021	November 2, 2022
Royal Bank of Canada	$	30,200	July 19, 2021	March 14, 2022
Wells Fargo Bank, N.A.	$	20,988	June 11, 2021	October 6, 2022

(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, and the 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 Term Notes are included in Notes payable secured by mortgage servicing assets on the Company's consolidated balance sheets.

The Company is subject to margin calls during the period the repurchase agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective agreements mature if the fair value (as determined by the applicable lender) of the assets securing those agreements decreases.

Mortgage Loan Participation Purchase and Sale Agreements

Certain of the borrowing facilities secured by loans held for sale are in the form of mortgage loan participation purchase and sale agreements. Participation certificates, each of which represents an undivided beneficial ownership interest in mortgage loans that have been pooled with Fannie Mae, Freddie Mac or Ginnie Mae, are sold to a lender pending the securitization of the mortgage loans and sale of the resulting securities. A commitment to sell the securities resulting from the pending securitization between the Company and a non-affiliate is also assigned to the lender at the time a participation certificate is sold.

The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount that is based on a percentage of the purchase price. The holdback amount is not required to be paid to the Company until the settlement of the security and its delivery to the lender.

The mortgage loan participation purchase and sale agreements are summarized below:


	Quarter ended March 31,
	2021			2020

	(dollars in thousands)
Average balance	$	276,561		$	247,811
Weighted average interest rate (1)		1.34	%		2.64	%
Total interest expense	$	1,095		$	1,810
Maximum daily amount outstanding	$	528,844		$	530,220

(1)	Excludes the effect of amortization of debt issuance costs totaling $172,000 and $173,000 for the quarters ended March 31, 2021 and 2020, respectively.


	March 31,			December 31,
	2021			2020

	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	518,747		$	521,477
Unamortized debt issuance costs		—			—
	$	518,747		$	521,477
Weighted average interest rate		1.36	%		1.39	%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	541,206		$	545,500

Corporate Revolving Line of Credit

The Company, through its subsidiary PennyMac, entered into an amended and restated credit agreement on November 18, 2016, as amended (the “Credit Agreement”) under which PennyMac established a revolving line of credit in an amount not to exceed $150 million. PennyMac did not borrow under the revolving line of credit during the periods presented and terminated the Credit Agreement on September 29, 2020 concurrent with the issuance the Unsecured Senior Notes described below.