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Fair Value (Tables)

12 Months Ended

Dec. 31, 2022

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Carrying Amounts and Estimated Fair Values of Financial Instruments and Nonfinancial Assets Measured at Fair Value on a Recurring or Non-recurring basis or Disclosed, but not Carried, at Fair Value

The carrying amounts and the estimated fair values of our financial instruments and certain of our nonfinancial assets measured at fair value on a recurring or non-recurring basis or disclosed, but not measured, at fair value are as follows:

									December 31,
									2022												2021
			Level						Carrying Value						Fair Value						Carrying Value						Fair Value
Financial assets:
Loans held for sale
Loans held for sale, at fair value (a) (e)			3, 2						$	617.8					$	617.8					$	917.5					$	917.5
Loans held for sale, at lower of cost or fair value (b)			3						4.9						4.9						11.0						11.0
Total Loans held for sale									$	622.7					$	622.7					$	928.5					$	928.5
Loans held for investment, at fair value
Loans held for investment - Reverse mortgages (a)			3						$	7,504.1					$	7,504.1					$	7,199.8					$	7,199.8
Loans held for investment - Restricted for securitization investors (a)			3						6.7						6.7						7.9						7.9
Total loans held for investment									7,510.8						7,510.8						7,207.7						7,207.7
Advances, net (c)			3						718.9						718.9						772.4						772.4
Receivables, net (c)			3						180.8						180.8						180.7						180.7
Financial liabilities:
Advance match funded liabilities (c)			3						$	513.7					$	513.7					$	512.3					$	512.0
Financing liabilities, at fair value:
HMBS-related borrowings (a)			3						$	7,326.8					$	7,326.8					$	6,885.0					$	6,885.0
Other financing liabilities:
Financing liability - Pledged MSR liability (a)			3						931.7						931.7						797.1						797.1
Financing liability - Excess Servicing Spread (ESS) (a)			3						199.0						199.0						—						—
Financing liability - Owed to securitization investors (a)			3						6.7						6.7						7.9						7.9
Total Other financing liabilities									$	1,137.4					$	1,137.4					$	805.0					$	805.0
Mortgage loan warehouse facilities (c)			3						$	702.7					$	702.7					$	1,085.1					$	1,085.1
MSR financing facilities (c) (d)			3						953.8						932.1						900.8						873.8
Senior notes:
PMC Senior notes due 2026 (c) (d)			2						369.4						331.4						392.6						413.5
OFC Senior secured notes due 2027 (c) (d)			3						230.2						223.9						222.2						261.5
Total Senior notes									$	599.6					$	555.2					$	614.8					$	674.9

									December 31,
									2022												2021
			Level						Carrying Value						Fair Value						Carrying Value						Fair Value
Derivative financial instrument assets (liabilities), net
Interest rate lock commitments (IRLCs) (a)			3						$	(0.7)					$	(0.7)					$	18.1					$	18.1
Forward sales of loans (a)			1						0.5						0.5						0.4						0.4
TBA / Forward mortgage-backed securities (MBS) trades (a)			1						(0.7)						(0.7)						(0.3)						(0.3)
Interest rate swap futures (a)			1						(13.6)						(13.6)						1.7						1.7
TBA forward Pipeline trades (a)			1						6.6						6.6						—						—
Option contracts (a)			2						—						—						(0.3)						(0.3)
Other (a)			3						(0.1)						(0.1)						(1.1)						(1.1)
MSRs (a)			3						$	2,665.2					$	2,665.2					$	2,250.1					$	2,250.1

(a)Measured at fair value on a recurring basis.

(b)Measured at fair value on a non-recurring basis.

(c)Disclosed, but not measured, at fair value.

(d)The carrying values are net of unamortized debt issuance costs and discount. See Note 13 — Borrowings for additional information. 

(e)Loans repurchased from Ginnie Mae securitizations with a fair value of $32.1 million and $220.9 million at December 31, 2022 and 2021, respectively, are classified as Level 3. The remaining balance of loans held for sale at fair value is classified as Level 2.

Summary of Reconciliation of the Changes in Fair Value of Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following tables present a reconciliation of the changes in fair value of Level 3 assets and liabilities that we measure at fair value on a recurring basis:

															Loans Held for Investment - Restricted for Securitization Investors						Financing Liability - Owed to Securitiza - tion Investors						Loans Held for Sale - Fair Value												ESS Financing Liability						IRLCs
Year Ended December 31, 2022
Beginning balance															$	7.9					$	(7.9)					220.9												$	—					$	18.1
Purchases, issuances, sales and settlements
Purchases															—						—						140.4												—						—
Issuances (1)															—						—						—												(200.9)						168.0
Sales															—						—						(318.0)												—						—
Settlements															(1.2)						1.2						—												6.6						—
Transfers:
Loans held for sale, at fair value (1)															—						—						—												—						(141.5)
Receivables, net															—						—						(4.2)												—						—
Other assets and liabilities															—						—						(0.3)												(6.1)						—
Net addition (disposition/derecognition)															(1.2)						1.2						(182.1)												(200.4)						26.5
Change in fair value included in earnings (1)															—						—						(6.8)												1.4						(45.3)
Ending balance															$	6.7					$	(6.7)					$	32.1											$	(199.0)					$	(0.7)

															Loans Held for Investment - Restricted for Securitization Investors						Financing Liability - Owed to Securitiza - tion Investors						Loans Held for Sale - Fair Value						Mortgage-Backed Securities												IRLCs
Year Ended December 31, 2021
Beginning balance															$	9.8					$	(9.8)					$	51.1					$	2.0											$	22.7
Purchases, issuances, sales and settlements
Purchases															—						—						436.2						—												—
Issuances (1)															—						—						—						—												627.7
Sales															—						—						(260.0)						(1.6)												—
Settlements															(1.9)						1.9						—						—												—
Transfers:
Loans held for sale, at fair value (1)															—						—						—						—												(591.7)
Receivables, net															—						—						(1.6)						—												—
Other assets															—						—						(0.4)						—												—
Net addition (disposition/derecognition)															(1.9)						1.9						174.1						(1.6)												36.0
Change in fair value included in earnings (1)															—						—						(4.3)						(0.4)												(40.6)
Ending balance															$	7.9					$	(7.9)					$	220.9					$	—											$	18.1

			Loans Held for Investment - Restricted for Securitization Investors						Financing Liability - Owed to Securitiza - tion Investors						Loans Held for Sale - Fair Value						Mortgage-Backed Securities												IRLCs
Year Ended December 31, 2020
Beginning balance			$	23.3					$	(22.0)					$	—					$	2.1											$	—
Purchases, issuances, sales and settlements
Purchases			—						—						162.6						—												—
Issuances (1)			—						—						—						—												287.0
Deconsolidation of mortgage-backed securitization trusts			(10.7)						9.5						—						—												—
Sales			—						—						(137.8)						—												—
Settlements			(2.9)						2.9						—						—												—
Transfers:
Loans held for sale, at fair value (1)			—						—						—						—												(285.2)
Receivables, net			—						—						(1.0)						—												—
Net addition (disposition/derecognition)			(13.6)						12.4						23.8						—												1.8
Change in fair value included in earnings (1)			—						(0.1)						1.7						(0.1)												10.4
Transfers in and / or out of Level 3			—						—						25.6						—												10.5
Ending balance			$	9.8					$	(9.8)					$	51.1					$	2.0											$	22.7

(1) IRLC activity (issuances and transfers) represent changes in fair value included in earnings. This activity is presented on a gross basis in the table for disclosure purposes. Total net change in fair value included in earnings attributed to IRLCs is a gain (loss) of $(18.8) million, $(4.6) million and $17.8 million for 2022, 2021 and 2020, respectively. See Note 16 — Derivative Financial Instruments and Hedging Activities.

Summary of Estimated Change in the Value of MSRs Carried at Fair Value

The following table summarizes the estimated change in the value of the MSRs as of December 31, 2022 given hypothetical increases in lifetime prepayments and yield assumptions:

Adverse change in fair value			10%						20%
Change in weighted average prepayment speeds (in percentage points)			0.8						1.6
Change in fair value due to change in weighted average prepayment speeds			$	(61.7)					$	(120.8)
Change in weighted average discount rate (in percentage points)			1.0						1.9
Change in fair value due to change weighted average discount rate			$	(76.1)					$	(146.2)

Loans Held for Investment

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Significant Assumptions used in Valuation

			December 31,
Significant unobservable assumptions			2022						2021
Life in years
Range			1.0 to 7.6						1.0 to 8.2
Weighted average			5.0						5.7
Conditional prepayment rate, including voluntary and involuntary prepayments
Range			13.2% to 45.0%						11.2% to 36.6%
Weighted average			18.0		%				16.0		%
Discount rate			5.1		%				2.6		%

Fair Value Mortgage Servicing Rights

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Significant Assumptions used in Valuation

			December 31,
Significant unobservable assumptions			2022												2021
			Agency						Non-Agency						Agency						Non-Agency
Weighted average prepayment speed			6.9		%				7.9		%				8.5		%				12.1		%
Weighted average lifetime delinquency rate			1.4		%				10.1		%				1.2		%				11.9		%
Weighted average discount rate			9.6		%				10.6		%				8.5		%				11.2		%
Weighted average cost to service (in dollars)			$	72					$	201					$	71					$	205

HMBS - Related Borrowings

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Significant Assumptions used in Valuation

			December 31,
Significant unobservable assumptions			2022						2021
Life in years
Range			1.0 to 7.6						1.0 to 8.2
Weighted average			5.0						5.7
Conditional prepayment rate
Range			13.2% to 45.0%						11.2% to 36.6%
Weighted average			18.0		%				16.0		%
Discount rate			5.0		%				2.5		%

Mortgage Servicing Rights Pledged

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Significant Assumptions used in Valuation

			December 31,
Significant unobservable assumptions			2022						2021
Weighted average prepayment speed			7.6		%				10.9		%
Weighted average delinquency rate			7.1		%				8.8		%
Weighted average discount rate			10.2		%				10.5		%
Weighted average cost to service (in dollars)			$	174					$	182

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