Short-Term Borrowings (Tables)

3 Months Ended

Mar. 31, 2021

Short-Term Borrowings

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

	Quarter ended March 31,
	2021			2020
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	8,432,579		$	3,139,328
Weighted average interest rate (1)		2.17	%		3.07	%
Total interest expense	$	52,179		$	25,684
Maximum daily amount outstanding	$	10,856,677		$	4,446,795

		March 31,			December 31,
	2021			2020
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	10,856,677		$	9,663,995
Unamortized debt issuance costs		(8,200)			(9,198)
	$	10,848,477		$	9,654,797
Weighted average interest rate		1.93	%		1.90	%
Available borrowing capacity (2):
Committed	$	67,463		$	372,803
Uncommitted		3,700,860			2,163,202
	$	3,768,323		$	2,536,005
Fair value of assets securing repurchase agreements:
Loans held for sale	$	12,726,461		$	10,912,178
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell	$	—		$	80,862
Servicing advances (3)	$	373,110		$	413,484
Mortgage servicing rights (3)	$	3,105,051		$	2,490,267
Deposits (3)	$	102,270		$	153,054
Margin deposits placed with counterparties (4)	$	10,875		$	5,625

(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.

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

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

			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.

Summary of participating mortgage loans

	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