Short-Term Debt

9 Months Ended

Sep. 30, 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 September 30, 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”). Principal-only stripped mortgage-backed securities, participation certificates and loans 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,
	2024		2023		2024		2023
	(dollars in thousands)
Average balance of assets sold under agreements to repurchase	$	5,638,124	$	3,208,434	$	4,982,988	$	3,800,502
Weighted average interest rate (1)		6.88%		7.19%		7.04%		7.01%
Total interest expense	$	102,708	$	62,758	$	279,730	$	209,461
Maximum daily amount outstanding	$	6,608,245	$	4,418,359	$	7,122,796	$	6,358,007

(1) Excludes the effect of amortization of debt issuance costs and non-utilization fees of $5.2 million and $4.6 million for the quarters ended September 30, 2024 and 2023, respectively, and $17.3 million and $10.1 million for the nine months ended September 30, 2024 and 2023, respectively.

		September 30,		December 31,
	2024		2023
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	6,609,703	$	3,769,449
Unamortized debt issuance costs		(8,706)		(5,493)
	$	6,600,997	$	3,763,956
Weighted average interest rate		6.49%		7.05%
Available borrowing capacity (1):
Committed	$	943,876	$	1,282,040
Uncommitted		4,803,203		5,548,511
	$	5,747,079	$	6,830,551
Assets securing repurchase agreements:
Principal-only stripped MBS	$	960,267		—
Loans held for sale	$	5,954,470	$	3,858,977
Servicing advances (2)	$	232,766	$	354,831
Mortgage servicing rights (2)	$	6,799,741	$	6,284,239
Deposits (2)	$	16,082	$	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.

Following is a summary of maturities of outstanding advances under asset repurchase agreements by maturity date:

Remaining maturity at September 30, 2024 (1)	Unpaid principal balance
	(dollars in thousands)
Within 30 days	$	1,676,719
Over 30 to 90 days		4,139,432
Over 90 to 180 days		207,823
Over 180 days to one year		435,729
Over one year to two years		150,000
Total assets sold under agreements to repurchase	$	6,609,703
Weighted average maturity (in months)		3.0

(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 asset type and counterparty below as of September 30, 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., Goldman Sachs Bank USA, Nomura Corporate Funding Americas and Mizuho Bank, Ltd. (1)	$	4,965,381	November 5, 2025	November 5, 2025
Royal Bank of Canada	$	144,170	October 30, 2024	August 11, 2025
Bank of America, N.A.	$	131,432	November 7, 2024	June 10, 2026
Atlas Securitized Products, L.P.	$	86,753	February 5, 2025	June 26, 2026
BNP Paribas	$	68,995	December 18, 2024	September 30, 2025
Barclays Bank PLC	$	51,364	January 31, 2025	March 6, 2026
JP Morgan Chase Bank, N.A.	$	33,726	December 29, 2024	June 28, 2026
Citibank, N.A.	$	26,294	November 27, 2024	June 11, 2026
Wells Fargo Bank, N.A.	$	24,140	December 12, 2024	October 15, 2025
Morgan Stanley Bank, N.A.	$	12,327	December 14, 2024	May 22, 2026
Goldman Sachs Bank USA	$	10,536	January 16, 2025	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 July 25, 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.	$	2,602	January 24, 2025
JP Morgan Chase Bank, N.A.	$	23,009	January 6, 2025
Wells Fargo Bank, N.A.	$	21,452	January 23, 2025
Santander US Capital Markets LLC	$	11,970	January 15, 2025

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 September 30,				Nine months ended September 30,
	2024		2023		2024		2023
	(dollars in thousands)
Average balance	$	256,995	$	251,904	$	242,890	$	234,583
Weighted average interest rate (1)		6.56%		6.63%		6.64%		6.41%
Total interest expense	$	4,411	$	4,383	$	12,597	$	11,768
Maximum daily amount outstanding	$	518,042	$	508,062	$	518,042	$	515,537

(1) Excludes the effect of amortization of debt issuance costs totaling $176,000 and $172,000 for the quarters ended September 30, 2024 and 2023, respectively, and $523,000 and $516,000 for the nine months ended September 30, 2024 and 2023, respectively.

	September 30,		December 31,
	2024		2023
	(dollars in thousands)
Carrying value:
Unpaid principal balance	$	518,043	$	446,406
Unamortized debt issuance costs		(516)		(352)
	$	517,527	$	446,054
Weighted average interest rate		6.10%		6.60%
Fair value of loans pledged to secure mortgage loan participation purchase and sale agreements	$	548,948	$	470,524