Securitizations and Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2023

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 March 31,
	2023		2022
Proceeds received from securitizations	$	2,316.8	$	3,588.3
Servicing fees collected (1)	27.0		21.7
Purchases of previously transferred assets, net of claims reimbursed	(3.1)		(2.0)
	$	2,340.6	$	3,607.9

(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:


	March 31, 2023		December 31, 2022
Carrying value of assets
MSRs, at fair value	$	515.2	$	524.3
Advances	62.5		75.9
UPB of loans transferred (1)	39,283.7		37,571.1
Maximum exposure to loss (2)	$	39,861.4	$	38,171.2

(1)Includes $7.5 billion and $6.8 billion of loans delivered to Ginnie Mae as of March 31, 2023 and December 31, 2022, respectively, and includes loan modifications repurchased and delivered through the Ginnie Mae Early Buyout Program (EBO).

(2)The maximum exposure to loss in the table above is primarily based on the remaining UPB of loans serviced and assumes all loans were deemed worthless as of the reporting date. It does not take into consideration the proceeds from the underlying collateral liquidation, recoveries or any other recourse available to us, including from mortgage insurance, guarantees or correspondent sellers. We do not believe the maximum exposure to loss from our involvement with these previously transferred loans is representative of the actual loss we are likely to incur based on our contractual rights and historical loss experience and projections. Also, refer to the Loan Put-Back and Related Contingencies section in Note 20 – Contingencies.

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:


	March 31, 2023		December 31, 2022
Match funded advances (Advances, net)	$	548.8	$	608.4
Debt service accounts (Restricted cash)	15.9		15.8
Unamortized deferred lender fees (Other assets)	1.4		2.3
Prepaid interest (Other assets)	0.7		0.9
Advance match funded liabilities	468.9		512.5

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 Agency MSR financing facility and the PLS Notes facility:


	March 31, 2023		December 31, 2022

MSRs pledged (MSRs, at fair value)	$	599.8	$	696.9
Debt service account (Restricted cash)	1.9		1.8
Unamortized deferred lender fees (Other assets)	0.6		1.1
Outstanding borrowings (MSR financing facilities, net)	342.3		366.5
Unamortized debt issuance costs (MSR financing facilities, net)	0.6		0.8