Short-Term Debt (Tables)

3 Months Ended

Mar. 31, 2022

Short-Term Debt

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

	Quarter ended March 31,
	2022			2021
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	3,722,179		$	8,432,579
Weighted average interest rate (1)		2.19	%		2.17	%
Total interest expense	$	23,770		$	52,179
Maximum daily amount outstanding	$	7,289,147		$	10,856,677

		March 31,			December 31,
	2022			2021
	(dollars in thousands)
Carrying value:
Unpaid principal balance under committed facilities	$	3,014,266		$	5,079,581
Unpaid principal balance under uncommitted facilities		322,311			2,217,779
		3,336,577			7,297,360
Unamortized debt issuance costs		(3,133)			(4,625)
	$	3,333,444		$	7,292,735
Weighted average interest rate		2.17	%		1.83	%
Available borrowing capacity (2):
Committed	$	2,350,734		$	285,419
Uncommitted		10,512,689			8,417,221
	$	12,863,423		$	8,702,640
Fair value of assets securing repurchase agreements:
Loans held for sale	$	4,491,903		$	8,629,861
Servicing advances (3)	$	230,395		$	232,107
Mortgage servicing rights (3)	$	4,662,515		$	3,552,812
Deposits (3)	$	36,106		$	36,632
Margin deposits (4)	$	10,875		$	10,875

(1) Excludes the effect of amortization of debt issuance costs and utilization fees of $3.7 million and $6.2 million for the quarters ended March 31, 2022 and 2021, 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 March 31, 2022	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	1,154,865
Over 30 to 90 days		1,712,249
Over 90 to 180 days		358,203
Over 180 days to one year		111,260
Total assets sold under agreements to repurchase	$	3,336,577
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)	$	3,112,276	March 31, 2023	March 31, 2023
Bank of America, N.A.	$	922,218	June 22, 2022	June 7, 2023
JP Morgan Chase Bank, N.A.	$	207,343	June 19, 2022	September 29, 2023
Credit Suisse First Boston Mortgage Capital LLC	$	43,561	May 16, 2022	March 31, 2023
Barclays Bank PLC	$	34,012	June 13, 2022	November 3, 2022
Goldman Sachs	$	19,656	March 31, 2022	December 23, 2022
Royal Bank of Canada	$	14,506	July 13, 2022	March 14, 2023
Morgan Stanley Bank, N.A.	$	10,214	June 6, 2022	January 3, 2024
BNP Paribas	$	3,866	June 15, 2022	July 31, 2023
JP Morgan Chase Bank, N.A.	$	2,757	June 4, 2022	June 6, 2023
Wells Fargo Bank, N.A.	$	2,259	May 25, 2022	November 17, 2023
Citibank, N.A.	$	1,043	June 5, 2022	August 10, 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 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 March 31,
	2022			2021
	(dollars in thousands)
Average balance	$	223,347		$	276,561
Weighted average interest rate (1)		1.72	%		1.34	%
Total interest expense	$	1,120		$	1,095
Maximum daily amount outstanding	$	515,043		$	528,844

(1) Excludes the effect of amortization of debt issuance costs totaling $172,000 for the quarters ended March 31, 2022 and 2021.

	March 31,			December 31,
	2022			2021
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	494,539		$	479,845
Unamortized debt issuance costs		(143)			—
	$	494,396		$	479,845
Weighted average interest rate		1.83	%		1.48	%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	523,742		$	505,716