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Short-Term Debt (Tables)

9 Months Ended

Sep. 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 September 30,						Nine months ended September 30,
	2024			2023			2024			2023
	(dollars in thousands)
Weighted average interest rate (1)		6.02	%		5.97	%		6.09	%		5.81	%
Average balance	$	5,513,519		$	5,714,082		$	5,225,906		$	6,451,377
Total interest expense	$	86,900		$	87,414		$	244,821		$	284,027
Maximum daily amount outstanding	$	6,474,799		$	6,318,746		$	7,624,113		$	9,412,768

(1)

Excludes the effect of amortization of debt issuance costs and non-utilization fees of $3.4 million and $6.4 million for the quarter and nine months ended September 30, 2024, respectively, and $1.4 million and $3.8 million for the quarter and nine months ended September 30, 2023, respectively.


	September 30, 2024			December 31, 2023
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	5,751,519		$	5,627,807
Unamortized debt issuance costs		(3,058	)		(3,249	)
	$	5,748,461		$	5,624,558
Weighted average interest rate		5.55	%		6.14	%
Available borrowing capacity (1):
Committed	$	597,072		$	634,147
Uncommitted		4,944,783			5,221,706
	$	5,541,855		$	5,855,853
Margin deposits placed with (received from) counterparties included in Other assets (Accounts payable and accrued liabilities), net	$	36,657		$	(116,358	)
Assets securing agreements to repurchase:
Mortgage-backed securities	$	4,182,382		$	4,836,292
Loans acquired for sale at fair value	$	1,619,233		$	659,751
Loans at fair value:
Securities retained in asset-backed financings	$	83,417		$	85,344
Distressed	$	147		$	207
Deposits securing credit risk transfer arrangements	$	71,975		$	77,417
Mortgage servicing rights (2)	$	1,935,890		$	2,000,574
Servicing advances	$	34,364		$	101,927
Real estate acquired in settlement of loans	$	1,230		$	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 September 30, 2024 (1)	Unpaid principal balance
	(in thousands)
Within 30 days	$	287,565
Over 30 to 90 days		4,071,705
Over 90 days to 180 days		1,240,249
Over 180 days to 1 year		—
Over 1 year to 2 years		152,000
	$	5,751,519
Weighted average maturity (in months)		2.6

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.	$	45,724	December 27, 2024
Bank of America, N.A.	$	29,249	November 14, 2024
JPMorgan Chase & Co.	$	58,000	November 11, 2024
Wells Fargo Securities, LLC	$	33,220	January 23, 2025
Barclays Capital Inc.	$	24,401	November 27, 2024
Santander US Capital	$	19,410	December 23, 2024
Daiwa Capital Markets America Inc.	$	6,617	January 2, 2025
Mizuho Financial Group	$	5,448	January 6, 2025

CRT arrangements

Summary of Mortgage Loan Participation Purchase and Sale Agreement

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


	Quarter ended September 30,						Nine months ended September 30,
	2024			2023			2024			2023
	(dollars in thousands)
Average balance	$	32,353		$	22,043		$	18,829		$	20,991
Weighted average interest rate (1)		6.59	%		6.69	%		6.66	%		6.46	%
Total interest expense	$	568		$	403		$	1,033		$	1,109
Maximum daily amount outstanding	$	78,068		$	46,303		$	78,068		$	90,565

(1)

Excludes the effect of amortization of debt issuance costs of $31,000 and $94,000, respectively, for the quarter and nine months ended September 30, 2024 and 2023.


	September 30, 2024
	(dollars in thousands)
Carrying value:
Amount outstanding	$	28,878
Unamortized debt issuance costs		(88	)
	$	28,790
Weighted average interest rate		6.10	%
Loans acquired for sale pledged to secure mortgage loan participation purchase and sale agreement	$	30,178

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)
Goldman Sachs & Co. LLC	$	94,042	December 23, 2024	January 26, 2026
Citibank, N.A.	$	44,524	November 9, 2024	June 11, 2026
Bank of America, N.A.	$	43,142	October 11, 2024	June 10, 2026
JPMorgan Chase & Co.	$	10,946	November 9, 2024	June 28, 2026
Atlas Securitized Products, L.P.	$	51,541	November 24, 2024	June 26, 2026
Wells Fargo Securities, LLC	$	7,448	December 19, 2024	October 15, 2025
Barclays Capital Inc.	$	10,112	December 23, 2024	March 6, 2026
RBC Capital Markets, L.P.	$	10,722	January 1, 2025	August 11, 2025
Morgan Stanley & Co. LLC	$	9,549	December 19, 2024	May 22, 2026
BNP Paribas	$	3,207	December 23, 2024	September 30, 2025

Counterparty

Amount at risk

Weighted average maturity

(in thousands)

Goldman Sachs & Co. LLC

January 8, 2025