Short-Term Debt

3 Months Ended

Mar. 31, 2024

Short-Term Debt

Short-Term Debt

Note 14—Short-Term Debt

The borrowing facilities described throughout these Notes 14 and 15 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, 2024.

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 principal-only stripped mortgage-backed securities at fair value, 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 March 31,
	2024		2023
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	3,542,537	$	3,508,262
Weighted average interest rate (1)		7.24%		6.54%
Total interest expense	$	70,435	$	59,223
Maximum daily amount outstanding	$	5,442,438	$	5,768,570

(1) Excludes the effect of amortization of debt issuance costs and utilization fees of $6.7 million and $2.6 million for the quarters ended March 31, 2024 and 2023, respectively.

		March 31,		December 31,
	2024		2023
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	5,441,126	$	3,769,449
Unamortized debt issuance costs		(5,772)		(5,493)
	$	5,435,354	$	3,763,956
Weighted average interest rate		6.92%		7.05%
Available borrowing capacity (1):
Committed	$	712,341	$	1,282,040
Uncommitted		4,838,453		5,548,511
	$	5,550,794	$	6,830,551
Assets securing repurchase agreements:
Principal-only stripped MBS	$	524,576		—
Loans held for sale	$	4,741,330	$	3,858,977
Servicing advances (2)	$	271,947	$	354,831
Mortgage servicing rights (2)	$	6,533,305	$	6,284,239
Deposits (2)	$	16,175	$	15,653

(1) 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.

(2) Beneficial interests in the Ginnie Mae MSRs, Fannie Mae MSRs, servicing advances and deposits together serve as the collateral backing servicing asset financing 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 15 — 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 March 31, 2024 (1)	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	1,291,192
Over 30 to 90 days		3,225,500
Over 90 to 180 days		139,760
Over 180 days to one year		210,923
Over one year to two years		573,751
Total assets sold under agreements to repurchase	$	5,441,126
Weighted average maturity (in months)		3.5

(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, 2024:

Loans held for sale and MSRs

			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)	$	4,537,873	March 13, 2025	June 27, 2025
Atlas Securitized Products, L.P.	$	121,197	September 10, 2024	June 27, 2025
Bank of America, N.A.	$	73,125	April 28, 2024	June 12, 2025
Barclays Bank PLC	$	30,560	August 1, 2024	March 6, 2026
Royal Bank of Canada	$	29,023	April 28, 2024	February 12, 2025
JP Morgan Chase Bank, N.A.	$	21,732	July 20, 2024	June 9, 2025
BNP Paribas	$	13,954	June 15, 2024	September 30, 2025
Goldman Sachs Bank USA	$	12,362	July 16, 2024	December 8, 2025
Wells Fargo Bank, N.A.	$	11,917	June 11, 2024	May 3, 2025
Morgan Stanley Bank, N.A.	$	11,023	June 18, 2024	February 6, 2026
Citibank, N.A.	$	7,661	June 4, 2024	June 27, 2025

(1) The amount at risk includes the beneficial interests in Ginnie Mae MSRs, Fannie 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.

Principal-only stripped MBS

Counterparty	Amount at risk		Maturity
	(in thousands)
Wells Fargo Bank, N.A.	$	11,838	April 26, 2024
JP Morgan Chase Bank, N.A.	$	11,546	April 26, 2024
Santander US Capital Markets LLC	$	8,968	April 30, 2024

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 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,
	2024		2023
Average balance	$	234,874	$	184,193
Weighted average interest rate (1)		6.69%		6.06%
Total interest expense	$	4,077	$	2,923
Maximum daily amount outstanding	$	515,990	$	515,537

(1) Excludes the effect of amortization of debt issuance costs totaling $172,000 for the quarters ended March 31, 2024 and 2023.

	March 31,		December 31,
	2024		2023
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	363,978	$	446,406
Unamortized debt issuance costs		(180)		(352)
	$	363,798	$	446,054
Weighted average interest rate		6.58%		6.60%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	385,804	$	470,524