Short-Term Debt (Tables)

6 Months Ended

Jun. 30, 2022

Short-Term Debt

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

	Quarter ended June 30,						Six months ended June 30,
	2022			2021			2022			2021
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	2,215,595		$	7,571,340		$	2,964,727		$	7,999,580
Weighted average interest rate (1)		2.80	%		2.07	%		2.42	%		2.13	%
Total interest expense	$	18,949		$	44,623		$	42,719		$	96,802
Maximum daily amount outstanding	$	3,316,376		$	10,856,677		$	7,289,147		$	10,856,677

		June 30,			December 31,
	2022			2021
	(dollars in thousands)
Carrying value:
Unpaid principal balance funded under:
Committed facilities	$	2,290,666		$	5,079,581
Uncommitted facilities		155,348			2,217,779
		2,446,014			7,297,360
Unamortized debt issuance costs		(4,198)			(4,625)
	$	2,441,816		$	7,292,735
Weighted average interest rate		3.32	%		1.83	%
Available borrowing capacity (2):
Committed	$	1,614,334		$	285,419
Uncommitted		6,464,652			8,417,221
	$	8,078,986		$	8,702,640
Fair value of assets securing repurchase agreements:
Loans held for sale	$	2,738,333		$	8,629,861
Servicing advances (3)	$	279,664		$	232,107
Mortgage servicing rights (3)	$	5,163,544		$	3,552,812
Deposits (3)	$	25,547		$	36,632
Margin deposits (4)	$	8,375		$	10,875

(1) Excludes the effect of amortization of debt issuance costs and utilization fees of $3.5 million and $5.3 million for the quarters ended June 30, 2022 and 2021, respectively, and $7.1 million and $11.8 million for the six months ended June 30, 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 for 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 June 30, 2022	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	430,925
Over 30 to 90 days		1,491,071
Over 90 to 180 days		41,509
Over 180 days to one year		382,509
Over one year to two years		100,000
Total assets sold under agreements to repurchase	$	2,446,014
Weighted average maturity (in months)		4.0

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)	$	3,085,625	May 31, 2024	May 31, 2024
Royal Bank of Canada	$	88,969	August 2, 2022	June 14, 2023
Bank of America, N.A.	$	82,621	October 12, 2022	June 5, 2024
JP Morgan Chase Bank, N.A.	$	75,401	August 17, 2022	June 6, 2024
Credit Suisse First Boston Mortgage Capital LLC	$	58,007	September 23, 2022	May 31, 2024
Barclays Bank PLC	$	19,202	September 29, 2022	November 3, 2022
Wells Fargo Bank, N.A.	$	18,324	September 29, 2022	November 17, 2023
Goldman Sachs	$	16,177	October 20, 2022	December 23, 2022
JP Morgan Chase Bank, N.A.	$	13,596	October 29, 2022	June 17, 2024
Citibank, N.A.	$	12,895	October 9, 2022	April 26, 2024
BNP Paribas	$	7,534	October 4, 2022	July 31, 2023
Morgan Stanley Bank, N.A.	$	4,359	October 14, 2022	January 3, 2024

(1) The calculation of the amount at risk includes the VFN and the Term Notes because beneficial interests in the Ginnie Mae MSRs and servicing advances are pledged to the Issuer Trust and together serve as the collateral backing for 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 June 30,						Six months ended June 30,
	2022			2021			2022			2021
	(dollars in thousands)
Average balance	$	214,654		$	254,343		$	218,977		$	265,390
Weighted average interest rate (1)		2.25	%		1.36	%		1.98	%		1.35	%
Total interest expense	$	1,377		$	1,039		$	2,497		$	2,134
Maximum daily amount outstanding	$	514,054		$	528,844		$	515,043		$	528,844

(1) Excludes the effect of amortization of debt issuance costs totaling $172,000 for the quarters ended June 30, 2022 and 2021, and $344,000 for the six months ended June 30, 2022 and 2021.

	June 30,			December 31,
	2022			2021
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	502,775		$	479,845
Unamortized debt issuance costs		(659)			—
	$	502,116		$	479,845
Weighted average interest rate		2.85	%		1.48	%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	532,175		$	505,716