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Short-Term Debt (Tables)

6 Months Ended

Jun. 30, 2024

Summary of Financial Information Relating to Assets Sold under Agreements to Repurchase

Following is a summary of financial information relating to assets sold under agreements to repurchase:


	Quarter ended June 30,						Six months ended June 30,
	2024			2023			2024			2023
	(dollars in thousands)
Weighted average interest rate (1)		6.09	%		5.95	%		6.13	%		5.74	%
Average balance	$	5,016,206		$	6,414,368		$	5,080,520		$	6,826,134
Total interest expense	$	77,364		$	96,346		$	157,921		$	196,613
Maximum daily amount outstanding	$	5,525,266		$	8,499,053		$	6,562,795		$	9,330,819

(1)

Excludes the effect of amortization of debt issuance costs of $1.4 million and $3.0 million for the quarter and six months ended June 30, 2024, respectively, and $1.2 million and $2.4 million for the quarter and six months ended June 30, 2023, respectively.


	June 30, 2024			December 31, 2023
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	4,703,577		$	5,627,807
Unamortized debt issuance costs		(3,352	)		(3,249	)
	$	4,700,225		$	5,624,558
Weighted average interest rate		5.83	%		6.14	%
Available borrowing capacity (1):
Committed	$	909,369		$	634,147
Uncommitted		5,588,880			5,221,706
	$	6,498,249		$	5,855,853
Margin deposits placed with (received from) counterparties included in Other assets (Accounts payable and accrued liabilities), net	$	22,851		$	(116,358	)
Assets securing agreements to repurchase:
Mortgage-backed securities	$	4,068,337		$	4,836,292
Loans acquired for sale at fair value	$	670,978		$	659,751
Loans at fair value:
Securities retained in asset-backed financings	$	78,337		$	85,344
Distressed	$	167		$	207
Deposits securing credit risk transfer arrangements	$	73,883		$	77,417
Mortgage servicing rights (2)	$	2,001,478		$	2,000,574
Servicing advances	$	49,420		$	101,927
Real estate acquired in settlement of loans	$	1,515		$	1,905

(1)

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.

(2)

Beneficial interests in Fannie Mae MSRs are pledged to secure both Assets sold under agreements to repurchase and Notes payable secured by credit risk transfer and mortgage servicing assets.

Summary of Maturities of Outstanding Advances Under Repurchase Agreements by Maturity Date

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


Remaining maturity at June 30, 2024 (1)	Unpaid principal balance
	(in thousands)
Within 30 days	$	3,797,413
Over 30 to 90 days		682,420
Over 90 days to 180 days		156,744
Over 180 days to 1 year		57,000
Over 1 year to 2 years		10,000
	$	4,703,577
Weighted average maturity (in months)		1.1

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 repurchase agreements mature if the fair values (as determined by the applicable lender) of the assets securing those repurchase agreements decrease.

Summary of Assets Sold under Agreements to Repurchase by Counterparty

Securities


Counterparty	Amount at risk		Weighted average maturity
	(in thousands)
Citibank, N.A.	$	48,619	September 1, 2024
JPMorgan Chase & Co.	$	42,526	July 14, 2024
Bank of America, N.A.	$	13,118	July 15, 2024
Wells Fargo Securities, LLC	$	27,829	July 24, 2024
Barclays Capital Inc.	$	25,179	July 14, 2024
Santander US Capital	$	16,765	July 21, 2024
Daiwa Capital Markets America Inc.	$	5,446	July 1, 2024
Mizuho Financial Group	$	3,820	July 25, 2024
Nomura Holdings America, Inc	$	3,432	August 4, 2024

CRT arrangements

Summary of Mortgage Loan Participation Purchase and Sale Agreement

The mortgage loan participation purchase and sale agreement is summarized below:


	Quarter ended June 30,						Six months ended June 30,
	2024			2023			2024			2023
	(dollars in thousands)
Average balance	$	11,255		$	23,767		$	11,993		$	20,456
Weighted average interest rate (1)		6.72	%		6.44	%		6.75	%		6.34	%
Total interest expense	$	219		$	413		$	465		$	706
Maximum daily amount outstanding	$	56,423		$	90,565		$	56,423		$	90,565

(1)

Excludes the effect of amortization of debt issuance costs of $31,000 and $63,000 for the quarter and six months ended June 30, 2024 and 2023, respectively.


	June 30, 2024
	(dollars in thousands)
Carrying value:
Amount outstanding	$	13,582
Unamortized debt issuance costs		—
	$	13,582
Weighted average interest rate		6.59	%
Loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreement	$	14,253

Loans RE and MSRs Sold Under Agreements to Repurchase [Member]

Summary of Assets Sold under Agreements to Repurchase by Counterparty

Loans, REO and MSRs


			Weighted-average maturity
Counterparty	Amount at risk		Advances	Facility
	(in thousands)
Citibank, N.A.	$	35,610	September 8, 2024	June 27, 2025
JPMorgan Chase & Co.	$	3,275	September 8, 2024	June 16, 2025
Atlas Securitized Products, L.P.	$	33,413	September 3, 2024	June 26, 2026
Goldman Sachs & Co. LLC	$	10,798	September 18, 2024	December 8, 2025
Bank of America, N.A.	$	19,043	July 28, 2024	June 10, 2026
Wells Fargo Securities, LLC	$	4,051	September 23, 2024	May 3, 2025
Barclays Capital Inc.	$	3,269	September 19, 2024	March 6, 2026
RBC Capital Markets, L.P.	$	5,535	October 13, 2024	May 9, 2025
Morgan Stanley & Co. LLC	$	3,373	September 22, 2024	May 22, 2026
BNP Paribas	$	817	September 23, 2024	September 30, 2025

Counterparty

Amount at risk

Weighted average maturity

(in thousands)

Goldman Sachs & Co. LLC

September 5, 2024