Short-Term Debt (Tables)

6 Months Ended

Jun. 30, 2024

Short-Term Debt

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

	Quarter ended June 30,				Six months ended June 30,
	2024		2023		2024		2023
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	5,761,107	$	4,688,102	$	4,651,823	$	4,101,440
Weighted average interest rate (1)		7.06%		7.25%		7.13%		6.95%
Total interest expense	$	106,587	$	87,480	$	177,022	$	146,703
Maximum daily amount outstanding	$	7,122,796	$	6,358,007	$	7,122,796	$	6,358,007

(1) Excludes the effect of amortization of debt issuance costs and utilization fees of $5.4 million and $2.8 million for the quarters ended June 30, 2024 and 2023, respectively, and $12.1 million and $5.4 million for the six months ended June 30, 2024 and 2023, respectively.

		June 30,		December 31,
	2024		2023
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	6,414,295	$	3,769,449
Unamortized debt issuance costs		(5,867)		(5,493)
	$	6,408,428	$	3,763,956
Weighted average interest rate		6.73%		7.05%
Available borrowing capacity (1):
Committed	$	901,560	$	1,282,040
Uncommitted		4,622,248		5,548,511
	$	5,523,808	$	6,830,551
Assets securing repurchase agreements:
Principal-only stripped MBS	$	914,223		—
Loans held for sale	$	5,640,584	$	3,858,977
Servicing advances (2)	$	232,944	$	354,831
Mortgage servicing rights (2)	$	7,037,241	$	6,284,239
Deposits (2)	$	19,834	$	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 margin 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.

Summary of maturities of outstanding advances under repurchase agreements by maturity date

Remaining maturity at June 30, 2024 (1)	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	1,829,545
Over 30 to 90 days		3,986,816
Over 90 to 180 days		147,757
Over 180 days to one year		193,771
Over one year to two years		256,406
Total assets sold under agreements to repurchase	$	6,414,295
Weighted average maturity (in months)		2.7

(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., Goldman Sachs Bank USA & Nomura Corporate Funding Americas (1)	$	5,252,807	May 25, 2025	May 25, 2025
Bank of America, N.A.	$	108,009	July 29, 2024	June 10, 2026
Atlas Securitized Products, L.P.	$	62,961	December 31, 2024	June 26, 2026
JP Morgan Chase Bank, N.A.	$	27,772	October 11, 2024	June 16, 2025
Barclays Bank PLC	$	44,030	October 19, 2024	March 6, 2026
Morgan Stanley Bank, N.A.	$	40,467	September 12, 2024	May 22, 2026
Wells Fargo Bank, N.A.	$	17,568	September 14, 2024	May 3, 2025
BNP Paribas	$	28,617	September 18, 2024	September 30, 2025
Royal Bank of Canada	$	28,422	July 24, 2024	May 9, 2025
Citibank, N.A.	$	13,261	September 11, 2024	June 27, 2025
Goldman Sachs Bank USA	$	8,921	September 19, 2024	December 8, 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. The facilities mature on various dates through June 29, 2026 and the facility maturity date shown in this table represents a weighted average of those dates.

Principal-only stripped MBS

Counterparty	Amount at risk		Maturity
	(in thousands)
Bank of America, N.A.	$	451	July 30, 2024
JP Morgan Chase Bank, N.A.	$	20,982	July 26, 2024
Wells Fargo Bank, N.A.	$	18,073	July 25, 2024
Santander US Capital Markets LLC	$	10,766	July 31, 2024

Summary of participating mortgage loans

	Quarter ended June 30,				Six months ended June 30,
	2024		2023		2024		2023
	(dollars in thousands)
Average balance	$	236,647	$	266,907	$	235,761	$	225,778
Weighted average interest rate (1)		6.69%		6.45%		6.69%		6.29%
Total interest expense	$	4,109	$	4,462	$	8,186	$	7,385
Maximum daily amount outstanding	$	512,528	$	515,537	$	515,990	$	515,537

(1) Excludes the effect of amortization of debt issuance costs totaling $176,000 and $172,000 for the quarters ended June 30, 2024 and 2023, respectively, and $348,000 and $344,000 for the six months ended June 30, 2024 and 2023, respectively.

	June 30,		December 31,
	2024		2023
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	512,528	$	446,406
Unamortized debt issuance costs		(691)		(352)
	$	511,837	$	446,054
Weighted average interest rate		6.58%		6.60%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	542,141	$	470,524