Short-Term Debt (Tables)

9 Months Ended

Sep. 30, 2022

Short-Term Debt

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

	Quarter ended September 30,						Nine months ended September 30,
	2022			2021			2022			2021
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	1,949,452		$	6,031,491		$	2,622,581		$	7,336,341
Weighted average interest rate (1)		4.34	%		2.11	%		2.90	%		2.12	%
Total interest expense	$	24,329		$	35,783		$	67,048		$	132,585
Maximum daily amount outstanding	$	3,490,082		$	8,044,148		$	7,289,147		$	10,969,029

		September 30,			December 31,
	2022			2021
	(dollars in thousands)
Carrying value:
Unpaid principal balance funded under:
Committed facilities	$	2,703,673		$	5,079,581
Uncommitted facilities		786,409			2,217,779
		3,490,082			7,297,360
Unamortized debt issuance costs		(2,747)			(4,625)
	$	3,487,335		$	7,292,735
Weighted average interest rate		4.66	%		1.83	%
Available borrowing capacity (2):
Committed	$	801,328		$	285,419
Uncommitted		5,333,590			8,417,221
	$	6,134,918		$	8,702,640
Fair value of assets securing repurchase agreements:
Loans held for sale	$	3,626,320		$	8,629,861
Servicing advances (3)	$	253,370		$	232,107
Mortgage servicing rights (3)	$	5,604,447		$	3,552,812
Deposits (3)	$	9,886		$	36,632

(1) Excludes the effect of amortization of debt issuance costs and utilization fees of $3.0 million and $3.7 million for the quarters ended September 30, 2022 and 2021, respectively, and $10.1 million and $15.5 million for the nine months ended September 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 and GMSR Servicing Advance Notes described above, 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.

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

Summary of maturities of outstanding advances under repurchase agreements by maturity date

Remaining maturity at September 30, 2022	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	715,649
Over 30 to 90 days		2,469,343
Over 90 to 180 days		191,861
Over 180 days to one year		13,229
Over one year to two years		100,000
Total assets sold under agreements to repurchase	$	3,490,082
Weighted average maturity (in months)		3.1

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)	$	3,451,397	May 31, 2024	May 31, 2024
JP Morgan Chase Bank, N.A. (warehouse facility)	$	77,947	December 4, 2022	June 17, 2024
JP Morgan Chase Bank, N.A. (EBO facility)	$	39,006	August 16, 2023	June 6, 2024
Credit Suisse First Boston Mortgage Capital LLC	$	39,317	November 13, 2022	May 31, 2024
Royal Bank of Canada	$	24,518	January 13, 2023	September 14, 2023
Morgan Stanley Bank, N.A.	$	23,564	December 10, 2022	January 3, 2024
BNP Paribas	$	13,192	December 16, 2022	July 31, 2023
Barclays Bank PLC	$	11,178	November 3, 2022	November 3, 2022
Citibank, N.A.	$	7,062	December 16, 2022	April 26, 2024
Bank of America, N.A.	$	5,367	December 15, 2022	June 5, 2024
Goldman Sachs	$	414	December 11, 2022	December 23, 2023
Wells Fargo Bank, N.A.	$	—	September 30, 2022	November 17, 2023

(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 September 30,						Nine months ended September 30,
	2022			2021			2022			2021
	(dollars in thousands)
Average balance	$	210,639		$	237,849		$	216,167		$	256,109
Weighted average interest rate (1)		3.65	%		1.44	%		2.53	%		1.38	%
Total interest expense	$	2,073		$	1,026		$	4,570		$	3,160
Maximum daily amount outstanding	$	507,297		$	532,819		$	515,043		$	532,819

(1) Excludes the effect of amortization of debt issuance costs totaling $135,000 and $172,000 for the quarters ended September 30, 2022 and 2021, respectively, and $479,000 and $516,000 for the nine months ended September 30, 2022 and 2021, respectively.

	September 30,			December 31,
	2022			2021
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	367,997		$	479,845
Unamortized debt issuance costs		(524)			—
	$	367,473		$	479,845
Weighted average interest rate		4.48	%		1.48	%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	385,944		$	505,716