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Short-Term Debt

9 Months Ended

Sep. 30, 2023

Note 12—Short-Term Debt

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 September 30, 2023.

Assets Sold Under Agreements to Repurchase

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.

Assets sold under agreements to repurchase are summarized below:


	Quarter ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022

	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	3,208,434	$	1,949,452	$	3,800,502	$	2,622,581
Weighted average interest rate (1)		7.19%		4.34%		7.01%		2.90%
Total interest expense	$	62,758	$	24,329	$	209,461	$	67,048
Maximum daily amount outstanding	$	4,418,359	$	3,490,082	$	6,358,007	$	7,289,147


		September 30,		December 31,
	2023		2022

	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	4,418,297	$	3,004,690
Unamortized debt issuance costs		(6,550)		(3,407)
	$	4,411,747	$	3,001,283
Weighted average interest rate		6.94%		6.00%
Available borrowing capacity (2):
Committed	$	771,567	$	1,078,927
Uncommitted		5,235,136		5,391,383
	$	6,006,703	$	6,470,310
Assets securing repurchase agreements:
Loans held for sale	$	4,500,588	$	3,139,870
Servicing advances (3)	$	268,987	$	381,379
Mortgage servicing rights (3)	$	6,293,514	$	5,339,513
Deposits (3)	$	30,021	$	12,277

(1)	Excludes the effect of amortization of debt issuance costs and utilization fees of $4.6 million and $3.0 million for the quarters ended September 30, 2023 and 2022, respectively, and $10.1 million for each of the nine months ended September 30, 2023 and 2022.

(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 asset repurchase agreements by maturity date:


Remaining maturity at September 30, 2023 (1)	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	700,101
Over 30 to 90 days		3,248,232
Over 90 to 180 days		57,266
Over one year to two years		412,698
Total assets sold under agreements to repurchase	$	4,418,297
Weighted average maturity (in months)		3.6

(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 September 30, 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 & Nomura Corporate Funding Americas (1)	$	3,223,281	March 2, 2025	June 27, 2025
Atlas Securitized Products, L.P.	$	89,951	March 2, 2024	June 27, 2025
Bank of America, N.A.	$	60,451	October 30, 2023	June 12, 2025
Barclays Bank PLC	$	34,571	December 28, 2023	November 13, 2024
JP Morgan Chase Bank, N.A.	$	29,343	December 1, 2023	June 16, 2025
BNP Paribas	$	16,378	December 17, 2023	September 30, 2025
Goldman Sachs Bank USA	$	12,769	December 17, 2023	December 23, 2023
Royal Bank of Canada	$	12,753	October 21, 2023	August 9, 2024
Citibank, N.A.	$	8,819	December 6, 2023	June 27, 2025
Wells Fargo Bank, N.A.	$	6,740	December 16, 2023	May 3, 2025
Morgan Stanley Bank, N.A.	$	5,368	December 16, 2023	January 27, 2025
JP Morgan Chase Bank, N.A. (EBO facility)	$	4,056	June 9, 2025	June 9, 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.

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 September 30,				Nine months ended September 30,
	2023		2022		2023		2022

	(dollars in thousands)
Average balance	$	251,904	$	210,639	$	234,583	$	216,167
Weighted average interest rate (1)		6.63%		3.65%		6.41%		2.53%
Total interest expense	$	4,383	$	2,073	$	11,768	$	4,570
Maximum daily amount outstanding	$	508,062	$	507,297	$	515,537	$	515,043

(1)	Excludes the effect of amortization of debt issuance costs totaling $172,000 and $135,000 for the quarters ended September 30, 2023 and 2022, respectively, and $516,000 and $479,000 for the nine months ended September 30, 2023 and 2022, respectively.


	September 30,		December 31,
	2023		2022

	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	498,916	$	287,943
Unamortized debt issuance costs		(524)		(351)
	$	498,392	$	287,592
Weighted average interest rate		6.57%		5.71%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	526,230	$	302,977