XML 62 R43.htm IDEA: XBRL DOCUMENT v3.25.0.1

Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2024

Fair Value Disclosures [Abstract]

Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at December 31, 2024 and 2023, as well as the fair value hierarchy of the valuation inputs used to measure fair value.

Table 6.1 – Assets and Liabilities Measured at Fair Value on a Recurring Basis

December 31, 2024						Fair Value						Fair Value Measurements Using
(In Thousands)												Level 1						Level 2						Level 3
Assets
Residential consumer loans						$	11,077,823					$	—					$	—					$	11,077,823
Residential investor loans						4,587,090						—						—						4,587,090
Consolidated Agency multifamily loans						424,597						—						—						424,597
Real estate securities:
Trading						193,749						—						—						193,749
Available-for-sale						211,474						—						—						211,474
HEI						589,785						—						—						589,785
Other investments:
Servicer advance investments						233,820						—						—						233,820
Excess MSRs						32,274						—						—						32,274
MSRs						31,589						—						—						31,589
Strategic investments						3,460						—						—						3,460
Derivative assets						46,003						16,446						23,738						5,819
Total Assets						$	17,431,664					$	16,446					$	23,738					$	17,391,480
Liabilities
ABS issued						$	12,879,530					$	—					$	—					$	12,879,530
Derivative liabilities						23,660						23,164						—						496
Non-controlling interest						99,510						—						—						99,510
Total Liabilities						$	13,002,700					$	23,164					$	—					$	12,979,536

December 31, 2023						Fair Value						Fair Value Measurements Using
(In Thousands)												Level 1						Level 2						Level 3
Assets
Residential consumer loans						$	7,050,637					$	—					$	—					$	7,050,637
Residential investor loans						5,220,297						—						—						5,220,297
Consolidated agency multifamily loans						425,285						—						—						425,285
Real estate securities:
Trading						40,424						—						—						40,424
Available-for-sale						87,373						—						—						87,373
HEI						550,436						—						—						550,436
Other investments:
Servicer advance investments						225,345						—						—						225,345
MSRs						24,877						—						—						24,877
Excess MSRs						37,367						—						—						37,367
Strategic investments						3,193						—						—						3,193
Derivative assets						14,212						952						1,742						11,518
Total Assets						$	13,679,446					$	952					$	1,742					$	13,676,752
Liabilities
ABS issued						$	9,151,263					$	—					$	—					$	9,151,263
Derivative liabilities						33,828						30,414						—						3,414
Non-controlling interest						59,752						—						—						59,752
Total Liabilities						$	9,244,843					$	30,414					$	—					$	9,214,429

Schedule of Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the years ended December 31, 2024.

Table 6.2 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis

						Assets
						Residential Consumer Loans						Residential Investor Loans						Consolidated Agency Multifamily Loans						Real Estate Trading Securities						Real Estate AFS Securities						HEI						Servicer Advance Investments						Excess MSRs						MSRs/Strategic Investments/Other
(In Thousands)
Beginning balance - December 31, 2023						$	7,050,637					$	5,220,297					$	425,285					$	40,424					$	87,373					$	550,436					$	225,345					$	37,367					$	28,070
Acquisitions						7,120,201						19,746						—						117,502						117,280						—						—						—						2,061
Originations						—						1,681,723						—						—						—						2,043						—						—						—
Sales						(1,667,513)						(1,236,441)						—						(2,833)						—						—						—						—						—
Principal paydowns						(1,458,762)						(1,412,926)						(8,638)						(673)						(7,835)						(49,553)						(357)						—						(141)
Consolidation of securitized CAFL bridge loans						—						298,553						—						—						—						—						—						—						—
Gains (losses) in net income (loss), net						36,147						37,035						7,950						39,329						2,360						86,687						8,832						(5,093)						5,159
Unrealized gains in OCI, net						—						—						—						—						12,296						—						—						—						—
Other settlements, net (1)						(2,887)						(20,897)						—						—						—						172						—						—						(100)
Ending balance - December 31, 2024						$	11,077,823					$	4,587,090					$	424,597					$	193,749					$	211,474					$	589,785					$	233,820					$	32,274					$	35,049
Change in unrealized gains or (losses) for the period included in earnings for assets held at the end of the reporting period (2)						$	(58,330)					$	1,697					$	7,682					$	39,014					$	12,345					$	75,525					$	8,832					$	(5,093)					$	6,693

																																																Assets						Liabilities
																																																Derivatives (3)						ABS Issued						Non-controlling interests
(In Thousands)
Beginning balance - December 31, 2023																																																$	8,104					$	9,151,263					$	59,752
Acquisitions (4)																																																—						5,596,807						11,882
Sales																																																—						(1,544)						—
Principal paydowns																																																—						(1,878,771)						(315)
Gains (losses) in net income (loss), net																																																9,231						11,775						27,738
Other settlements, net (1)																																																(12,012)						—						453
Ending balance - December 31, 2024																																																$	5,323					$	12,879,530					$	99,510
Change in unrealized gains or (losses) for the period included in earnings for liabilities held at the end of the reporting period (2)																																																$	5,323					$	288,862					$	(27,738)

Footnotes to table 6.2

(1)Other settlements, net: for residential consumer and residential investor loans, represents the transfer of loans to REO; for HEI, represents the profit share fee we pay our third party originators for our purchased HEI portfolio; for derivatives, represents the transfer of the fair value of loan purchase and interest rate lock commitments at the time loans are acquired to the basis of residential consumer and investor loans; and for mortgage servicing rights ("MSRs) and other investments, primarily represents an investment that was exchanged into a new instrument that is no longer measured at fair value on a recurring basis.

(2)All changes in unrealized gains or (losses) are included in earnings with the exception of Real Estate AFS Securities, which are included in comprehensive income.

(3)For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented on a net basis.

(4)Includes $285 million of ABS and $12 million of non-controlling interests associated with the consolidation of securitized CAFL bridge loans.

Schedule of Fair Value Methodology for Level 3 Financial Instruments

The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value for the years ended December 31, 2024.

Table 6.3 – Fair Value Methodology for Level 3 Financial Instruments

December 31, 2024						Fair Value (1)												Input Values
(Dollars in Thousands, except Input Values)												Unobservable Input						Range															Weighted Average (2)
Assets
Residential consumer loans (4)						$	11,077,823					Senior Credit Spread to TBA price (3)						$	0.63		-			$	1.25								$	0.68
												Senior credit spread to Swap rate (3)						150			-			170			bps						151			bps
												Subordinate credit spread to Swap rate						185			-			600			bps						274			bps
												Senior credit support (3)						7			-			10			%						7			%
												IO discount rate (3)						28			-			28			%						28			%
												Liability price (4)						$	34		-			$	103								$	94
Residential investor loans:
Residential investor term loans (4)						2,643,706						Whole loan spread (3)						243			-			243			bps						243			bps
												Liability price (4)						$	91		-			$	102								$	94
Residential investor bridge loans (4)						1,943,384						Whole loan discount rate						9			-			12			%						10			%
												Whole loan spread						445			-			445			bps						445			bps
												Liability Price (4)						$	100		-			$	138								$	122
												Dollar price of non-performing loans						$	29		-			$	100								$	79
Consolidated agency multifamily loans(6)						424,597						Liability price (4)						$	99		-			$	99								$	99
Trading and AFS securities						405,223						Discount rate						6			-			40			%						12			%
												Prepayment rate (Annual CPR)						—			-			27			%						8			%
												Default rate						—			-			10			%						0.1			%
												Loss severity						25			-			50			%						24			%
HEI						589,785						Discount rate						10			-			10			%						10			%
												Prepayment rate (Annual CPR)						1			-			20			%						14			%
												Home price appreciation (depreciation)						4			-			4			%						4			%
												Liability price (4)						$	138		-			$	191								$	157
Servicer advance investments						233,820						Prepayment rate (Annual CPR)						12			-			30			%						14			%
												Expected remaining life (5)						5			-			5			yrs						5			yrs
												Mortgage servicing amount						1			-			58			bps						9			bps
Excess MSRs & MSRs						63,863						Discount rate						9			-			46			%						14			%
												Prepayment rate (Annual CPR)						2			-			48			%						11			%
Residential loan purchase commitments, net						5,272						Senior credit spread to TBA price (3)						$	0.63		-			$	1.25								$	0.68
												Senior credit spread to Swap rate (3)						150			-			170			bps						151			bps

												Subordinate credit spread to Swap rate						185			-			600			bps						274			bps
												Senior credit support (3)						7			-			10			%						7			%
												IO discount rate (3)						28			-			28			%						28			%
												Pull-through rate						12			-			100			%						73			%
Strategic investments						3,460						Transaction price						$	200		-			$	1,000								$	494
Other assets (8)						547
Total Assets						$	17,391,480
December 31, 2024						Fair Value (1)												Input Values
(Dollars in Thousands, except Input Values)												Unobservable Input						Range															Weighted Average (2)
Liabilities
ABS issued (4)						$	12,879,530					Discount rate						4			-			45			%						7			%
												Prepayment rate (annual CPR)						—			-			100			%						3			%
												Default rate						—			-			24			%						5			%
												Loss severity						—			-			50			%						20			%
Non-controlling interests (7)						99,510						Discount rate						13			-			20			%						16			%
Other liabilities (8)						496
Total Liabilities						$	12,979,536

(1)The predominant valuation technique used to determine our Level 3 fair value assets and liabilities is based on the discounted cash flow model.

(2)The weighted average input values for all loan types are based on unpaid principal balance. The weighted average input values for all other assets and liabilities are based on relative fair value.

(3)Values represent pricing inputs used in a securitization pricing model. Credit spreads represent spreads to applicable swap rates unless specified otherwise.

(4)The fair value of the loans and HEI held by consolidated entities is based on the fair value of the ABS issued by these entities and the securities and other investments we own in those entities, which we determined were more readily observable in accordance with accounting guidance for collateralized financing entities. At December 31, 2024, the fair value of securities we owned at the consolidated Sequoia, CAFL Term, Freddie Mac SLST, and Freddie Mac K-Series was $419 million, $326 million, $242 million and $35 million, respectively. At December 31, 2024, the fair value of our securities in the two CAFL Bridge loan securitizations accounted for under the CFE election and our HEI securitization entities was $21 million and $47 million, respectively.

(5)Represents the estimated average duration of outstanding servicer advances at a given point in time (not taking into account new advances made with respect to the pool).

(6)Consolidated agency multifamily loans represent securitized financial assets and liabilities of the Company's CFEs.

(7)Of the total $123 million payable to non-controlling interests, $100 million is measured at fair value on a recurring basis.

(8)Represents less than 1% of the individual and aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis.

Schedule of Carrying Values and Fair Values of Assets and Liabilities

The following table summarizes the fair values of assets and liabilities that are not measured at fair value at December 31, 2024 and December 31, 2023.

Table 6.4 – Carrying Values and Fair Values of Assets and Liabilities

												December 31, 2024												December 31, 2023
						Level in Fair Value Hierarchy						Carrying Value						Estimated Fair Value						Carrying Value						Estimated Fair Value
(In Thousands)
Assets
Cash and cash equivalents						1						$	245,165					$	245,165					$	293,104					$	293,104
Restricted cash						1						67,762						67,762						75,684						75,684
Liabilities
Debt obligation facilities and other financing						2						$	2,818,292					$	2,819,393					$	2,596,582					$	2,591,931
ABS issued, net						3						390,674						392,344						660,617						637,816
Convertible notes, net						2						365,739						365,455						503,728						488,341
Trust preferred securities and subordinated notes, net						3						138,860						93,465						138,813						92,070
Senior Notes						1						139,989						146,716						—						—
Guarantee obligations (1)						3						2,806						3,204						5,781						3,772

(1)These liabilities are included in Accrued expenses and other liabilities on our consolidated balance sheets.

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

Reference 1: http://www.xbrl.org/2003/role/exampleRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 55
-Paragraph 103
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482078/820-10-55-103

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (bbb)(2)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (bbb)(1)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

+ Details

Name:	us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References

Reference 1: http://www.xbrl.org/2003/role/exampleRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 55
-Paragraph 101
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482078/820-10-55-101

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 3
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-3

Reference 3: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (d)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 4: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (c)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482907/825-10-50-11

+ Details

Name:	us-gaap_FairValueByBalanceSheetGroupingTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

+ Details

Name:	us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration