At March 31, 2022, we were obligated under seven non-cancelable operating leases with expiration dates through 2031 for $23 million of cumulative lease payments. Our operating lease expense was $1 million each for the three-month periods ended March 31, 2022 and 2021.


(In Thousands)	March 31, 2022
2022 (9 months)	$	3,228
2023	4,428
2024	4,338
2025	3,475
2026	3,420
2027 and thereafter	4,553
Total Lease Commitments	23,442
Less: Imputed interest	(3,224)
Operating Lease Liabilities	$	20,218

During the three months ended March 31, 2022, we did not enter into any new office leases. At March 31, 2022, our operating lease liabilities were $20 million, which were a component of Accrued expenses and other liabilities, and our operating lease right-of-use assets were $18 million, which were a component of Other assets.

We determined that none of our leases contained an implicit interest rate and used a discount rate equal to our incremental borrowing rate on a collateralized basis to determine the present value of our total lease payments. As such, we determined the applicable discount rate for each of our leases using a swap rate plus an applicable spread for borrowing arrangements secured by our real estate loans and securities for a length of time equal to the remaining lease term on the date of adoption. At March 31, 2022, the weighted-average remaining lease term and weighted-average discount rate for our leases was 6 years and 5.1%, respectively.

As of March 31, 2022, we had commitments to fund up to $792 million of additional advances on existing bridge loans. These commitments are generally subject to loan agreements with covenants regarding the financial performance of the borrower and other terms regarding advances that must be met before we fund the commitment. At March 31, 2022, we carried a $1 million contingent liability related to these commitments to fund construction advances. During the three months ended March 31, 2022, we recorded a net market valuation loss of $0.2 million related to this liability through Mortgage banking activities, net on our consolidated statements of income. During the three months ended March 31, 2021, we recorded a net market valuation gain of $1 million related to this liability through Mortgage banking activities, net on our consolidated statements of income.

In 2018, we invested in two partnerships created to acquire and manage certain mortgage servicing related assets (see Note 10 for additional detail). In connection with this investment, we are required to fund future net servicer advances related to the underlying mortgage loans. The actual amount of net servicer advances we may fund in the future is subject to significant uncertainty and will be based on the credit and prepayment performance of the underlying loans.

In the third quarter of 2021, we amended an existing flow purchase agreement with a third party and committed to acquire $125 million of HEIs from the date of the amended agreement. In the first quarter of 2022, we exercised an option and committed to acquire an additional $125 million of HEIs from the third-party HEI originator. At March 31, 2022, we had acquired $70 million HEIs of our $250 million commitment under this flow purchase agreement. See Note 10 for additional detail on these investments.

In the first quarter of 2022, we entered into a $25 million commitment to an investment fund with the mission of providing quality workforce housing opportunities in San Francisco Bay Area urban communities. At March 31, 2022, we had funded $0.3 million of this commitment. This investment is included in Other Investments on our Consolidated Balance Sheets.

In 2021, we entered into commitments to fund $5 million to each of two different RWT Horizons investments. At March 31, 2022, we had funded $4 million of these commitments. These investments are included in Other Investments on our Consolidated Balance Sheets.

During 2015 and 2016, we sold conforming loans to the Agencies with an original unpaid principal balance of $3.19 billion, subject to our risk-sharing arrangements with the Agencies. At March 31, 2022, the maximum potential amount of future payments we could be required to make under these arrangements was $44 million and this amount was partially collateralized by assets we transferred to pledged accounts and is presented as pledged collateral in Other assets on our consolidated balance sheets. We have no recourse to any third parties that would allow us to recover any amounts related to our obligations under the arrangements. At March 31, 2022, we had incurred less than $0.1 million of losses under these arrangements. For the three months ended March 31, 2022 and 2021, other income related to these arrangements was $0.5 million and $1 million, respectively, and net market valuation changes related to these investments were less than $0.1 million of gains and $0.1 million of losses, respectively.

All of the loans in the reference pools subject to these risk-sharing arrangements were originated in 2014 and 2015, and at March 31, 2022, the loans had an unpaid principal balance of $504 million and a weighted average FICO score of 756 (at origination) and LTV ratio of 74% (at origination). At March 31, 2022, $14 million of the loans were 90 days or more delinquent, of which two of these loans with an unpaid principal balance of $0.2 million were in foreclosure. At March 31, 2022, the carrying value of our guarantee obligation was $7 million and included $5 million designated as a non-amortizing credit reserve, which we believe is sufficient to cover current expected losses under these obligations.

Our consolidated balance sheets include assets of special purpose entities ("SPEs") associated with these risk-sharing arrangements (i.e., the "pledged collateral" referred to above) that can only be used to settle obligations of these SPEs for which the creditors of these SPEs (the Agencies) do not have recourse to us. At both March 31, 2022 and December 31, 2021, assets of such SPEs totaled $34 million, and liabilities of such SPEs totaled $7 million.

We maintain a repurchase reserve for potential obligations arising from representation and warranty violations related to residential loans we have sold to securitization trusts or third parties and for conforming residential loans associated with MSRs that we have purchased from third parties. We do not originate residential loans and we believe the initial risk of loss due to loan repurchases (i.e., due to a breach of representations and warranties) would generally be a contingency to the companies from whom we acquired the loans. However, in some cases, for example, where loans were acquired from companies that have since become insolvent, repurchase claims may result in our being liable for a repurchase obligation. Additionally, for certain loans we sold during the second quarter of 2020 that were previously held for investment, we have a direct obligation to repurchase these loans in the event of any early payment defaults (or "EPDs") by the underlying mortgage borrowers within certain specified periods following the sales.

At March 31, 2022 and December 31, 2021, our repurchase reserve associated with our residential loans and MSRs was $10 million and $9 million, respectively, and was recorded in Accrued expenses and other liabilities on our consolidated balance sheets. During both the three months ended March 31, 2022 and 2021, we received zero repurchase requests and repurchased zero loans.

During the three months ended March 31, 2022 and 2021, we recorded repurchase provisions of $0.2 million and $0.1 million, respectively, that were recorded in Mortgage banking activities, net, Investment fair value changes, net, and Other income on our consolidated statements of income.