Short-Term Debt (Tables)

3 Months Ended

Mar. 31, 2023

Short-Term Debt

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

	Quarter ended March 31,
	2023		2022
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	3,508,262	$	3,722,179
Weighted average interest rate (1)		6.54%		2.19%
Total interest expense	$	59,223	$	23,770
Maximum daily amount outstanding	$	5,768,570	$	7,289,147

		March 31,		December 31,
	2023		2022
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	5,768,570		3,004,690
Unamortized debt issuance costs		(4,413)		(3,407)
	$	5,764,157	$	3,001,283
Weighted average interest rate		6.44%		6.00%
Available borrowing capacity (2):
Committed	$	383,569	$	1,078,927
Uncommitted		3,522,861		5,391,383
	$	3,906,430	$	6,470,310
Assets securing repurchase agreements:
Loans held for sale	$	6,124,986	$	3,139,870
Servicing advances (3)	$	315,323	$	381,379
Mortgage servicing rights (3)	$	5,365,294	$	5,339,513
Deposits (3)	$	31,909	$	12,277

(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.

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.

Summary of amount at risk relating to the assets sold under agreements to repurchase by counterparty

			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.

Summary of participating mortgage loans

	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