The borrowing facilities described throughout these Notes 12 and 13 contain various covenants, including financial covenants governing the Company’s net worth, debt-to-equity ratio and liquidity. Management believes that the Company was in compliance with these covenants as of March 31, 2023.

The Company has multiple borrowing facilities in the form of asset sales under agreements to repurchase. These borrowing facilities are secured by loans held for sale at fair value or participation certificates backed by mortgage servicing assets. Eligible assets are sold at advance rates based on the fair value (as determined by the lender) of the assets sold. Interest is charged at a rate based on the Secured Overnight Financing Rate (“SOFR”). Loans and participation certificates financed under these agreements may be re-pledged by the lenders.

(1)	Excludes the effect of amortization of debt issuance costs and utilization fees of $2.6 million and $3.7 million for the quarters ended March 31, 2023 and 2022, 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 together serve as the collateral backing servicing asset facilities that are included in Assets sold under agreements to repurchase and the term notes and term loans included in Notes payable secured by mortgage servicing assets. The term notes and term loans are described in Note 13 — Long-Term Debt - Notes payable secured by mortgage servicing assets.

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


Remaining maturity at March 31, 2023 (1)	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	549,822
Over 30 to 90 days		4,673,986
Over 90 to 180 days		393,948
Over 180 days to one year		814
Over one year to two years		150,000
Total assets sold under agreements to repurchase	$	5,768,570
Weighted average maturity (in months)		2.6

(1)

The Company is subject to margin calls during the periods the agreements are outstanding and therefore may be required to repay a portion of the borrowings before the respective agreements mature if the fair values (as determined by the applicable lender) of the assets securing those agreements decrease.

The amount at risk (the fair value of the assets pledged plus the related margin deposit, less the amount advanced by the counterparty and interest payable) relating to the Company’s assets sold under agreements to repurchase is summarized by counterparty below as of March 31, 2023:



			Weighted average
Counterparty	Amount at risk		maturity of advances	Facility maturity
	(in thousands)
Atlas Securitized Products, L.P. & Citibank, N.A. & Goldman Sachs Bank USA (1)	$	3,068,850	May 31, 2024	May 31, 2024
Bank of America, N.A.	$	166,185	June 10, 2023	June 5, 2024
JP Morgan Chase Bank, N.A. (warehouse facility)	$	83,772	May 26, 2023	June 17, 2024
Atlas Securitized Products, L.P.	$	75,661	May 25, 2023	May 31, 2024
Barclays Bank PLC	$	38,521	June 2, 2023	November 13, 2024
Morgan Stanley Bank, N.A.	$	31,024	June 12, 2023	January 27, 2025
Citibank, N.A.	$	30,114	June 7, 2023	April 26, 2024
Royal Bank of Canada	$	23,068	July 9, 2023	March 14, 2024
BNP Paribas	$	19,801	June 6, 2023	July 31, 2024
Wells Fargo Bank, N.A.	$	19,112	June 11, 2023	November 17, 2023
JP Morgan Chase Bank, N.A. (EBO facility)	$	10,667	May 1, 2023	October 11, 2024
Goldman Sachs Bank USA	$	8,935	June 16, 2023	December 23, 2023

(1)

The calculation of the amount at risk includes the beneficial interests in Ginnie Mae MSRs and servicing advances which together serve as the collateral backing servicing asset facilities included in Assets sold under agreements to repurchase and the term notes and term loans included in Notes payable secured by mortgage servicing assets.

Mortgage Loan Participation Purchase and Sale Agreements

Two of the borrowing facilities secured by loans held for sale are in the form of mortgage loan participation purchase and sale agreements. Participation certificates, each of which represents an undivided beneficial ownership interest in mortgage loans that have been pooled with Fannie Mae, Freddie Mac or Ginnie Mae, are sold to a lender pending the securitization of the mortgage loans and sale of the resulting securities. A commitment to sell the securities resulting from the pending securitization between the Company and a non-affiliate is also assigned to the lender at the time a participation certificate is sold.

The purchase price paid by the lender for each participation certificate is based on the trade price of the security, plus an amount of interest expected to accrue on the security to its anticipated delivery date, minus a present value adjustment, any related hedging costs and a holdback amount that is based on a percentage of the purchase price. The holdback amount is not required to be paid to the Company until the settlement of the security and its delivery to the lender.

The mortgage loan participation purchase and sale agreements are summarized below:


	Quarter ended March 31,
	2023		2022

	(dollars in thousands)
Average balance	$	184,193	$	223,347
Weighted average interest rate (1)		6.06%		1.72%
Total interest expense	$	2,923	$	1,120
Maximum daily amount outstanding	$	515,537	$	515,043

(1)	Excludes the effect of amortization of debt issuance costs totaling $172,000 for each of the quarters ended March 31, 2023 and 2022.


	March 31,		December 31,
	2023		2022

	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	515,537	$	287,943
Unamortized debt issuance costs		(179)		(351)
	$	515,358	$	287,592
Weighted average interest rate		6.15%		5.71%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	543,432	$	302,977