Short-Term Borrowings (Tables)

6 Months Ended

Jun. 30, 2021

Short-Term Borrowings

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

	Quarter ended June 30,						Six months ended June 30,
	2021			2020			2021			2020
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	7,571,340		$	2,529,217		$	7,999,580		$	2,833,444
Weighted average interest rate (1)		2.07	%		2.32	%		2.13	%		2.74	%
Total interest expense	$	44,623		$	17,487		$	96,802		$	43,171
Maximum daily amount outstanding	$	10,856,677		$	3,769,495		$	10,856,677		$	3,769,495

		June 30,			December 31,
	2021			2020
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	8,262,251		$	9,663,995
Unamortized debt issuance costs		(7,708)			(9,198)
	$	8,254,543		$	9,654,797
Weighted average interest rate		1.86	%		1.90	%
Available borrowing capacity (2):
Committed	$	666,772		$	372,803
Uncommitted		6,695,976			2,163,202
	$	7,362,748		$	2,536,005
Fair value of assets securing repurchase agreements:
Loans held for sale	$	9,917,262		$	10,912,178
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell	$	—		$	80,862
Servicing advances (3)	$	311,896		$	413,484
Mortgage servicing rights (3)	$	3,209,383		$	2,490,267
Deposits (3)	$	49,934		$	153,054
Margin deposits placed with counterparties (4)	$	10,875		$	5,625

(1) Excludes the effect of amortization of net issuance costs and utilization fees of $5.3 million and $2.8 million for the quarters ended June 30, 2021 and 2020, respectively, and $11.8 million and $4.4 million for the six months ended June 30, 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 Note 13 – Long-Term Debt- 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 June 30, 2021	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	3,532,563
Over 30 to 90 days		3,396,557
Over 90 to 180 days		987,861
Over 180 days to one year		295,270
Over one year to two year		50,000
Total assets sold under agreements to repurchase	$	8,262,251
Weighted average maturity (in months)		2.2

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)	$	2,126,158	March 31, 2023	March 31, 2023
Credit Suisse First Boston Mortgage Capital LLC	$	724,309	August 18, 2021	March 31, 2023
Bank of America, N.A.	$	397,300	July 31, 2021	June 7, 2023
JP Morgan Chase Bank, N.A.	$	207,772	August 3, 2021	September 30, 2022
JP Morgan Chase Bank, N.A.	$	1,891	August 6, 2021	June 6, 2023
BNP Paribas	$	124,512	July 18, 2021	July 30, 2021
Goldman Sachs	$	77,468	October 8, 2021	December 23, 2022
Royal Bank of Canada	$	55,641	September 26, 2021	June 14, 2022
Morgan Stanley Bank, N.A.	$	44,701	August 28, 2021	November 2, 2022
Barclays Bank PLC	$	41,978	August 26, 2021	November 3, 2022
Wells Fargo Bank, N.A.	$	20,750	September 16, 2021	October 6, 2022
Citibank, N.A.	$	11,835	August 3, 2021	August 3, 2021

(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 June 30,						Six months ended June 30,
	2021			2020			2021			2020
	(dollars in thousands)
Average balance	$	254,343		$	240,119		$	265,390		$	243,965
Weighted average interest rate (1)		1.36	%		1.53	%		1.35	%		2.09	%
Total interest expense	$	1,039		$	1,061		$	2,134		$	2,871
Maximum daily amount outstanding	$	528,844		$	540,977		$	528,844		$	540,977

(1) Excludes the effect of amortization of debt issuance costs totaling $172,000 and $145,000 for the quarters ended June 30, 2021 and 2020, respectively, and $344,000 and $318,000 for the six months ended June 30, 2021 and 2020, respectively.

	June 30,			December 31,
	2021			2020
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	512,253		$	521,477
Unamortized debt issuance costs		—			—
	$	512,253		$	521,477
Weighted average interest rate		1.48	%		1.39	%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	533,864		$	545,500