Long-Term Debt (Tables)

9 Months Ended

Sep. 30, 2024

Summary of Financial Information Relating to Note Payable Secured by Credit Risk Transfer and Mortgage Servicing Assets

Following is a summary of financial information relating to notes payable secured by credit risk transfer and mortgage servicing assets:

	Quarter ended September 30,						Nine months ended September 30,
	2024			2023			2024			2023
	(dollars in thousands)
Average balance	$	2,854,487		$	3,106,809		$	2,871,883		$	2,995,752
Weighted average interest rate (1)		8.60	%		8.70	%		8.84	%		8.28	%
Total interest expense	$	66,305		$	69,952		$	198,760		$	191,049
Maximum daily amount outstanding	$	3,183,237		$	3,380,951		$	3,327,400		$	3,403,116

(1)Excludes the effect of amortization of debt issuance costs of $4.6 million and $8.7 million for the quarter and nine months ended September 30, 2024, respectively, and $1.9 million and $5.4 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:
CRT arrangement financing	$	769,742		$	747,662
Fannie Mae MSR financing		1,075,000			1,025,000
Freddie Mac MSR and servicing advance receivable financing		995,000			1,145,000
		2,839,742			2,917,662
Unamortized debt issuance costs		(9,634	)		(7,057	)
	$	2,830,108		$	2,910,605
Weighted average interest rate		8.08	%		8.73	%
Assets securing notes payable:
MSRs (1)	$	3,756,894		$	3,871,249
Servicing advances	$	24,757		$	79,274
CRT Agreements:
Deposits securing CRT arrangements	$	1,063,472		$	1,132,081
Derivative assets	$	29,690		$	16,160

(1)Beneficial interests in Freddie Mac MSRs are pledged as collateral for the Notes payable secured by credit risk transfer and mortgage servicing assets. Beneficial interests in Fannie Mae MSRs are pledged for both Assets sold under agreements to repurchase and Notes payable secured by credit risk transfer and mortgage servicing assets.

Summary of Financial Information Relating to Unsecured Senior Notes

Following is financial information relating to the unsecured senior notes:

	Quarter ended September 30,						Nine months ended September 30,
	2024			2023			2024			2023
	(in thousands)
Average balance	$	825,000		$	553,338		$	710,496		$	549,063
Weighted average interest rate (1)		6.45	%		5.56	%		6.16	%		5.60	%
Interest expense	$	14,571		$	8,541		$	35,884		$	25,316
	September 30, 2024			December 31, 2023
	(in thousands)
Carrying value:
Unpaid principal balance	$	825,000		$	608,500
Unamortized debt issuance costs		(10,085	)		(8,042	)
	$	814,915		$	600,458

(1)Excludes the effect of amortization of debt issuance costs of $1.2 million and $3.1 million for the quarter and nine months ended September 30, 2024, respectively, and $790,000 and $2.3 million for the quarter and nine months ended September 30, 2023, respectively.

Summary of Financial Information Relating to Asset-Backed Financing of a VIE at Fair Value

Following is a summary of financial information relating to the asset-backed financings of VIEs at fair value described in Note 6 ‒ Variable Interest Entities ‒ Subordinate Mortgage-Backed Securities:

	Quarter ended September 30,						Nine months ended September 30,
	2024			2023			2024			2023
	(dollars in thousands)
Average balance	$	1,542,753		$	1,342,093		$	1,561,810		$	1,381,994
Total interest expense	$	10,838		$	13,652		$	34,918		$	38,796
Weighted average interest rate (1)		3.06	%		3.70	%		3.08	%		3.69	%

(1)Excludes the effect of (accrual) amortization of net issuance premiums and debt issuance costs of $(1.0) million and $(1.1) million for the quarter and nine months ended September 30, 2024, respectively, and $1.1 million and $666,000 for the quarter and nine months ended September 30, 2023, respectively.

	September 30, 2024			December 31, 2023
	(dollars in thousands)
Fair value	$	1,334,797		$	1,336,731
Unpaid principal balance	$	1,527,681		$	1,590,003
Weighted average interest rate		3.22	%		3.22	%

Schedule of Contractual Maturities on Long Term Debt Obligations

Maturities of Long-Term Debt

Contractual maturities of long-term debt obligations (based on final maturity dates) are as follows:

			Twelve months ended September 30,
	Total		2025		2026		2027		2028		2029		Thereafter
	(in thousands)
Notes payable secured by credit risk transfer     and mortgage servicing assets (1)	$	2,839,742	$	89,018	$	1,345,000	$	525,250	$	880,474	$	—	$	—
Unsecured senior notes		825,000		210,000		345,000		—		53,500		216,500		—
Asset-backed financings at fair value (2)		1,527,681		—		—		—		—		—		1,527,681
Interest-only security payable at fair value (2)		35,098		—		—		—		—		—		35,098
Total	$	5,227,521	$	299,018	$	1,690,000	$	525,250	$	933,974	$	216,500	$	1,562,779

(1)Based on stated maturity. As discussed above, certain of the Notes payable secured by credit risk and mortgage servicing assets allow the Company to exercise optional extensions.

(2)Contractual maturity does not reflect expected repayment as borrowers of the underlying loans generally have the right to repay their loans at any time.

CRT Arrangement Financing [Member]

Summary of Term Note Issued to Qualified Institutional Buyers

Following is a summary of the CRT Term Notes outstanding:

CRT Term Notes	Issuance date	Issuance amount		Unpaid principal balance		Annual interest rate spread (1)	Maturity date
		(in thousands)
2024 3R	August 28, 2024	$	158,500	$	155,474	3.10%	September 27, 2028
2024 2R	April 4, 2024	$	247,000		235,364	3.35%	March 29, 2027
2024 1R	March 6, 2024	$	306,000		289,886	3.50%	March 1, 2027
2020 1R	February 14, 2020	$	350,000		46,100	3.35%	February 27, 2025
2019 3R	October 16, 2019	$	375,000		42,918	3.70%	October 29, 2024
				$	769,742

(1)Interest rates are charged at a spread to the Secured Overnight Financing Rate ("SOFR").

Fannie Mae MSR Financing

Summary of Term Note Issued to Qualified Institutional Buyers

Following is a summary of the term financing of the Company’s Fannie Mae MSRs:

					Maturity date
Issuance	Issuance date	Unpaid principal balance		Annual interest rate spread(1)	Stated	Optional extension (2)
		(in thousands)
Term Loans
2023	May 25, 2023	$	370,000	3.00%	May 25, 2028	May 25, 2029
Term Notes
2024	June 27, 2024		355,000	2.75%	December 27, 2027	June 26, 2028
2021	March 30, 2021		350,000	3.00%	March 25, 2026	March 27, 2028
		$	1,075,000

(1)Interest rates are charged at a spread to SOFR.

(2)The indentures relating to these issuances provide the Company with the option of extending the maturity dates of FT-1 Term Notes and FTL-1 Term Loans under conditions specified in the respective agreements.

Exchangeable Senior Notes [Member]

Summary of Term Note Issued to Qualified Institutional Buyers

The Exchangeable Notes are summarized below:

Initial issuance date		Unpaid principal balance		Annual interest rate	Conversion rates (1)	Maturity date (2)
	(in thousands)
May 24, 2024		$	216,500	8.50%	63.3332	June 1, 2029
March 5, 2021			345,000	5.50%	46.1063	March 15, 2026
November 7, 2019			210,000	5.50%	40.1010	November 1, 2024
		$	771,500

(1)Common Shares per $1,000 principal amount.

(2)Unless repurchased or exchanged in accordance with their terms before such date.