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Securitizations and Variable Interest Entities (Tables)
 9 Months Ended
Sep. 30, 2022
Transfers and Servicing [Abstract]  
Schedule of Cash Flows Related to Transfers Accounted for as Sales
The following table presents a summary of cash flows received from and paid to securitization trusts related to transfers of loans accounted for as sales that were outstanding:
 Three Months Ended September 30,Nine Months Ended September 30,
2022202120222021
Proceeds received from securitizations$5,227,470 $5,823,765 $12,925,295 $12,220,596 
Servicing fees collected (1)21,577 16,440 67,154 43,968 
Purchases of previously transferred assets, net of claims reimbursed
(3,500)(6,065)(10,324)(16,085)
$5,245,547 $5,834,140 $12,982,125 $12,248,479 
(1)We receive servicing fees based upon the securitized loan balances and certain ancillary fees, all of which are reported in Servicing and subservicing fees in the unaudited consolidated statements of operations.
Schedule of Assets That Relate to Continuing Involvement with Transferred Financial Assets with Servicing Rights and Maximum Exposure to Loss Including the Unpaid Principal Balance
The following table presents the carrying amounts of our assets that relate to our continuing involvement with forward loans that we have transferred with servicing rights retained as well as an estimate of our maximum exposure to loss including the UPB of the transferred loans:
September 30, 2022December 31, 2021
Carrying value of assets
MSRs, at fair value$510,427 $360,830 
Advances63,396 151,166 
UPB of loans transferred (1)34,060,639 31,864,769 
Maximum exposure to loss (2)$34,634,462 $32,376,765 
(1)Includes $6.3 billion and $5.6 billion of loans delivered to Ginnie Mae as of September 30, 2022 and December 31, 2021, respectively, and includes loan modifications repurchased and delivered through the Ginnie Mae Early Buyout Program (EBO).
(2)The maximum exposure to loss does not take into consideration any recourse available to us, including from the underlying collateral or from correspondent sellers. Also, refer to Loan Put-Back and Related Contingencies in Note 22 – Contingencies.
Carrying Value and Classification of Assets and Liabilities of Loans Held for Sale Financing Facility
The table below presents the carrying value and classification of the assets and liabilities of the loans held for sale financing facility:
September 30, 2022December 31, 2021
Mortgage loans (Loans held for sale, at fair value)$— $462,144 
Outstanding borrowings (Mortgage loan warehouse facilities)— 459,344 
Carrying Value And Classification Of Assets And Liabilities Of Advance Financing Facilities
The table below presents the carrying value and classification of the assets and liabilities of the advance financing facilities:
September 30, 2022December 31, 2021
Match funded advances (Advances, net)$540,142 $587,059 
Debt service accounts (Restricted cash)10,064 7,687 
Unamortized deferred lender fees (Other assets)2,379 1,305 
Prepaid interest (Other assets)477 225 
Advance match funded liabilities456,233 512,297 
Carrying Value And Classification Of Assets And Liabilities Of Agency MSR Financing Facility
The table below presents the carrying value and classification of the assets and liabilities of the Agency MSR financing facility:
September 30, 2022December 31, 2021
MSRs pledged (MSRs, at fair value)$820,382 $630,605 
Unamortized deferred lender fees (Other assets)1,716 1,495 
Debt service account (Restricted cash)103 104 
Outstanding borrowings (MSR financing facilities, net) 412,287 317,523 
Carrying Value And Classification Of Assets And Liabilities Of PLS Notes Facility
The table below presents the carrying value and classification of the assets and liabilities of the PLS Notes facility:
September 30, 2022December 31, 2021
MSRs pledged (MSRs, at fair value)$129,586 $99,833 
Debt service account (Restricted cash)1,692 1,968 
Outstanding borrowings (MSR financing facilities, net) 61,752 41,663 
Unamortized debt issuance costs (MSR financing facilities, net) 884 413