Short-Term Borrowings (Tables)

12 Months Ended

Dec. 31, 2021

Short-Term Borrowings

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

	Year ended December 31,
	2021			2020			2019
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	6,911,843		$	3,348,928		$	2,185,830
Weighted average interest rate (1)		2.09	%		2.91	%		3.74	%
Total interest expense	$	164,132		$	112,778		$	74,215
Maximum daily amount outstanding	$	10,969,029		$	9,663,995		$	4,141,680

	December 31,
	2021			2020
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	7,297,360		$	9,663,995
Unamortized debt issuance costs		(4,625)			(9,198)
	$	7,292,735		$	9,654,797
Weighted average interest rate		1.83	%		1.90	%
Available borrowing capacity (2):
Committed	$	285,419		$	372,803
Uncommitted		8,417,221			2,163,202
	$	8,702,640		$	2,536,005
Fair value of assets securing repurchase agreements:
Loans held for sale	$	8,629,861		$	10,912,178
Assets purchased from PennyMac Mortgage Investment Trust under agreements to resell pledged to creditors	$	—		$	80,862
Servicing advances (3)	$	232,107		$	413,484
Mortgage servicing rights (3)	$	3,552,812		$	2,490,267
Deposits (3)	$	36,632		$	153,054
Margin deposits (4)	$	10,875		$	5,625

(1) Excludes the effect of amortization of net issuance costs totaling $19.4 million and $15.3 million for the years ended December 31, 2021 and 2020, respectively, and the effect of amortization of net debt issuance premiums of $7.5 million for the year ended December 31, 2019.

(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 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 December 31, 2021	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	1,152,623
Over 30 to 90 days		5,640,686
Over 90 to 180 days		308,434
Over 180 days to one year		95,617
Over one year to two years		100,000
Total assets sold under agreements to repurchase	$	7,297,360
Weighted average maturity (in months)		2.7

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

			Weighted average
Counterparties	Amount at risk		maturity of advances	Facility maturity
	(in thousands)
Credit Suisse First Boston Mortgage Capital LLC & Citibank, N.A. (1)	$	2,688,383	March 31, 2023	March 31, 2023
Credit Suisse First Boston Mortgage Capital LLC	$	137,054	February 18, 2022	March 31, 2023
Bank of America, N.A.	$	674,074	March 20, 2022	June 7, 2023
JP Morgan Chase Bank, N.A.	$	355,202	June 23, 2022	September 29, 2023
JP Morgan Chase Bank, N.A.	$	9,914	March 3, 2022	June 6, 2023
Barclays Bank PLC	$	74,455	February 25, 2022	November 3, 2022
Royal Bank of Canada	$	68,643	March 12, 2022	December 14, 2022
Goldman Sachs	$	48,483	January 5, 2022	December 23, 2022
Citibank, N.A.	$	20,948	March 7, 2022	August 10, 2023
BNP Paribas	$	17,568	March 13, 2022	July 31, 2023
Morgan Stanley Bank, N.A.	$	17,469	March 5, 2022	November 2, 2022
Wells Fargo Bank, N.A.	$	12,395	March 17, 2022	November 17, 2023

(1) The calculation of the amount at risk includes the VFN and the Term Notes because beneficial interests in the Ginnie Mae MSRs, Fannie 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 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

	Year ended December 31,
	2021			2020			2019
	(dollars in thousands)
Average balance	$	249,255		$	226,689		$	244,203
Weighted average interest rate (1)		1.39	%		1.88	%		3.42	%
Total interest expense	$	4,153		$	4,933		$	8,874
Maximum daily amount outstanding	$	532,819		$	540,977		$	548,038

(1) Excludes the effect of amortization of debt issuance costs totaling $688,000, $662,000 and $514,000 for the years ended December 31, 2021, 2020 and 2019, respectively.

	December 31,
	2021			2020
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	479,845		$	521,477
Unamortized debt issuance costs		—			—
	$	479,845		$	521,477
Weighted average interest rate		1.48	%		1.39	%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	505,716		$	545,500