Short-Term Debt (Tables)

6 Months Ended

Jun. 30, 2023

Short-Term Debt

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

	Quarter ended June 30,				Six months ended June 30,
	2023		2022		2023		2022
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	4,688,102	$	2,215,595	$	4,101,440	$	2,964,727
Weighted average interest rate (1)		7.25%		2.80%		6.95%		2.42%
Total interest expense	$	87,480	$	18,949	$	146,703	$	42,719
Maximum daily amount outstanding	$	6,358,007	$	3,316,376	$	6,358,007	$	7,289,147

		June 30,		December 31,
	2023		2022
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	3,786,306	$	3,004,690
Unamortized debt issuance costs		(5,782)		(3,407)
	$	3,780,524	$	3,001,283
Weighted average interest rate		6.87%		6.00%
Available borrowing capacity (2):
Committed	$	1,284,131	$	1,078,927
Uncommitted		5,204,563		5,391,383
	$	6,488,694	$	6,470,310
Assets securing repurchase agreements:
Loans held for sale	$	3,661,755	$	3,139,870
Servicing advances (3)	$	288,082	$	381,379
Mortgage servicing rights (3)	$	5,774,905	$	5,339,513
Deposits (3)	$	38,118	$	12,277

(1) Excludes the effect of amortization of debt issuance costs and utilization fees of $2.8 million and $3.5 million for the quarters ended June 30, 2023 and 2022, respectively, and $5.4 million and $7.1 million for the six months ended June 30, 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 June 30, 2023 (1)	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	678,162
Over 30 to 90 days		2,652,552
Over 90 to 180 days		2,758
Over one year to two years		452,834
Total assets sold under agreements to repurchase	$	3,786,306
Weighted average maturity (in months)		4.2

(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)	$	3,580,863	February 7, 2025	February 7, 2025
Atlas Securitized Products, L.P (2)	$	312,426	June 27, 2025	June 27, 2025
Bank of America, N.A.	$	100,954	August 1, 2023	June 12, 2025
Atlas Securitized Products, L.P.	$	77,346	August 30, 2023	June 27, 2025
Wells Fargo Bank, N.A.	$	21,712	September 17, 2023	May 3, 2025
Barclays Bank PLC	$	21,248	September 1, 2023	November 13, 2024
Royal Bank of Canada	$	16,897	August 1, 2023	May 10, 2024
JP Morgan Chase Bank, N.A.	$	10,883	August 28, 2023	June 16, 2025
Morgan Stanley Bank, N.A.	$	7,810	September 17, 2023	January 27, 2025
JP Morgan Chase Bank, N.A. (EBO facility)	$	7,029	June 9, 2025	June 9, 2025
BNP Paribas	$	6,393	September 12, 2023	July 31, 2024
Goldman Sachs Bank USA	$	3,062	September 11, 2023	December 23, 2023
Citibank, N.A.	$	2,804	August 31, 2023	June 27, 2025

(1) The amount at risk includes the beneficial interests in Ginnie Mae MSRs and servicing advances pledged to 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.

(2) The amount at risk includes the beneficial interests in Fannie Mae MSRs pledged to serve as the collateral backing servicing asset facilities included in Assets sold under agreements to repurchase.

Summary of participating mortgage loans

	Quarter ended June 30,				Six months ended June 30,
	2023		2022		2023		2022
	(dollars in thousands)
Average balance	$	266,907	$	214,654	$	225,778	$	218,977
Weighted average interest rate (1)		6.45%		2.25%		6.29%		1.98%
Total interest expense	$	4,462	$	1,377	$	7,385	$	2,497
Maximum daily amount outstanding	$	515,537	$	514,054	$	515,537	$	515,043

(1) Excludes the effect of amortization of debt issuance costs totaling $172,000 for each of the quarters ended June 30, 2023 and 2022, respectively, and $344,000 for the six months ended June 30, 2023 and 2022, respectively.

	June 30,		December 31,
	2023		2022
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	506,407	$	287,943
Unamortized debt issuance costs		(695)		(351)
	$	505,712	$	287,592
Weighted average interest rate		6.39%		5.71%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	533,084	$	302,977