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v3.23.3

Fair Value (Tables) | 9 Months Ended
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Sep. 30, 2023
Fair Value Disclosures [Abstract] |
Schedule of Fair Value Assets and Liabilities | 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:
|  |  | September 30, 2023 |  | December 31, 2022
| 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 |  | $ | 944.7 |  |  | $ | 944.7 |  |  | $ | 617.8 |  |  | $ | 617.8 |
Loans held for sale, at lower of cost or fair value (b) | 3 |  | 3.6 |  |  | 3.6 |  |  | 4.9 |  |  | 4.9 |
Total Loans held for sale |  |  | $ | 948.3 |  |  | $ | 948.3 |  |  | $ | 622.7 |  |  | $ | 622.7 |
Loans held for investment, at fair value |  |  |  |  |  |  |  |  |
Loans held for investment - Reverse mortgages (a) | 3 |  | $ | 7,777.6 |  |  | $ | 7,777.6 |  |  | $ | 7,504.1 |  |  | $ | 7,504.1 |
Loans held for investment - Restricted for securitization investors (a) | 3 |  | 5.9 |  |  | 5.9 |  |  | 6.7 |  |  | 6.7 |
Total Loans held for investment, at fair value |  |  | $ | 7,783.5 |  |  | $ | 7,783.5 |  |  | $ | 7,510.8 |  |  | $ | 7,510.8 |
Advances, net (c) | 3 |  | $ | 564.6 |  |  | $ | 564.6 |  |  | $ | 718.9 |  |  | $ | 718.9 |
Receivables, net (c) | 3 |  | 164.7 |  |  | 164.7 |  |  | 180.8 |  |  | 180.8 |
|  |  | September 30, 2023 |  | December 31, 2022
| Level |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Financial liabilities |  |  |  |  |  |  |  |  |
Advance match funded liabilities (c) | 3 |  | $ | 403.0 |  |  | $ | 403.0 |  |  | $ | 513.7 |  |  | $ | 513.7 |
Financing liabilities, at fair value |  |  |  |  |  |  |  |  |
HMBS-related borrowings (a) | 3 |  | $ | 7,613.6 |  |  | $ | 7,613.6 |  |  | $ | 7,326.8 |  |  | $ | 7,326.8 |
Other financing liabilities |  |  |  |  |  |  |  |  |
Financing liability - Pledged MSR liability (a) | 3 |  | $ | 1,119.1 |  |  | $ | 1,119.1 |  |  | $ | 931.7 |  |  | $ | 931.7 |
Financing liability - Excess Servicing Spread (ESS) (a) | 3 |  | 255.4 |  |  | 255.4 |  |  | 199.0 |  |  | 199.0 |
Financing liability - Owed to securitization investors (a) | 3 |  | 5.9 |  |  | 5.9 |  |  | 6.7 |  |  | 6.7 |
Total Other financing liabilities |  |  | $ | 1,380.3 |  |  | $ | 1,380.3 |  |  | $ | 1,137.4 |  |  | $ | 1,137.4 |
Mortgage loan financing facilities (c) (d) | 3 |  | 1,034.7 |  |  | 1,038.5 |  |  | 702.7 |  |  | 702.7 |
MSR financing facilities (c) (d) | 3 |  | 901.7 |  |  | 884.0 |  |  | 953.8 |  |  | 932.1 |
Senior notes: |  |  |  |  |  |  |  |  |
PMC Senior secured notes due 2026 (c) (d) | 2 |  | $ | 356.8 |  |  | $ | 324.2 |  |  | $ | 369.4 |  |  | $ | 331.4 |
OFC Senior secured notes due 2027 (c) (d) | 3 |  | 237.2 |  |  | 227.9 |  |  | 230.2 |  |  | 223.9 |
Total Senior notes |  |  | $ | 594.1 |  |  | $ | 552.1 |  |  | $ | 599.6 |  |  | $ | 555.2 |
Derivative financial instrument assets (liabilities), net |  |  |  |  |  |  |  |  |
Interest rate lock commitments (IRLCs) (a) | 3 |  | $ | (1.1) |  |  | $ | (1.1) |  |  | $ | (0.7) |  |  | $ | (0.7) |
Forward sales of loans (a) | 1 |  | 1.3 |  |  | 1.3 |  |  | 0.5 |  |  | 0.5 |
TBA / Forward mortgage-backed securities (MBS) trades (a) | 1 |  | (9.6) |  |  | (9.6) |  |  | (0.7) |  |  | (0.7) |
Interest rate swap futures (a) | 1 |  | (10.2) |  |  | (10.2) |  |  | (13.6) |  |  | (13.6) |
TBA forward pipeline trades (a) | 1 |  | 10.6 |  |  | 10.6 |  |  | 6.6 |  |  | 6.6 |
Option contracts (a) | 1 |  | (1.4) |  |  | (1.4) |  |  | — |  |  | — |
Other (a) | 3 |  | (0.2) |  |  | (0.2) |  |  | (0.1) |  |  | (0.1) |
MSRs (a) | 3 |  | $ | 2,859.8 |  |  | $ | 2,859.8 |  |  | $ | 2,665.2 |  |  | $ | 2,665.2 |
(a)Measured at fair value on a recurring basis in our financial statements. (b)Measured at fair value on a non-recurring basis in our financial statements. (c)Disclosed, but not measured at fair value in our financial statements. (d)The carrying values are net of unamortized debt issuance costs and discount. See Note 12 – Borrowings for additional information. (e)Loans repurchased from Ginnie Mae securitizations with a fair value of $199.8 million (includes loans which were previously classified as Level 2) and $32.1 million at September 30, 2023 and December 31, 2022, respectively, are classified as Level 3. The newly originated portfolio of loans held for sale pending securitization with the Agencies is classified as Level 2.
Schedule of Reconciliation of Changes in Fair Value of Level 3 Assets and Liabilities | 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 Securitization Investors |  | Loans Held for Sale - Fair Value |  |  |  | ESS Financing Liability |  | IRLCs |  |  |  |
Three months ended September 30, 2023
Beginning balance |  |  |  |  | $ | 6.0 |  |  | $ | (6.0) |  |  | $ | 197.4 |  |  |  |  | $ | (258.5) |  |  | $ | 1.4 |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases and other |  |  |  |  | — |  |  | — |  |  | 50.5 |  |  |  |  | — |  |  | — |  |  |  |  |
Issuances (1) |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | 19.6 |  |  |  |  |
Sales |  |  |  |  | — |  |  | — |  |  | (17.9) |  |  |  |  | — |  |  | — |  |  |  |  |
Settlements (2) |  |  |  |  | (0.1) |  |  | 0.1 |  |  | (14.8) |  |  |  |  | 7.6 |  |  | — |  |  |  |  |
Transfers: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for investment, at fair value |  |  |  |  | — |  |  | — |  |  | 1.5 |  |  |  |  | — |  |  | — |  |  |  |  |
Loans held for sale, at fair value (1) |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | (2.8) |  |  |  |  |
REO (Other assets) |  |  |  |  | — |  |  | — |  |  | (3.6) |  |  |  |  | — |  |  | — |  |  |  |  |
Receivables, net |  |  |  |  | — |  |  | — |  |  | (11.5) |  |  |  |  | — |  |  | — |  |  |  |  |
Capitalization of advances on Ginnie Mae modifications |  |  |  |  | — |  |  | — |  |  | 1.3 |  |  |  |  | — |  |  | — |  |  |  |  |
Other |  |  |  |  | — |  |  | — |  |  | 1.3 |  |  |  |  | — |  |  | — |  |  |  |  |
Net addition (disposition/derecognition) |  |  |  |  | (0.1) |  |  | 0.1 |  |  | 6.8 |  |  |  |  | 7.6 |  |  | 16.8 |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Change in fair value (1) |  |  |  |  | — |  |  | — |  |  | (4.1) |  |  |  |  | (4.6) |  |  | (19.4) |  |  |  |  |
Gain (loss) on sale of loans and other |  |  |  |  | — |  |  | — |  |  | (0.2) |  |  |  |  | — |  |  | — |  |  |  |  |
|  |  |  |  | — |  |  | — |  |  | (4.4) |  |  |  |  | (4.6) |  |  | (19.4) |  |  |  |  |
Ending balance |  |  |  |  | $ | 5.9 |  |  | $ | (5.9) |  |  | $ | 199.8 |  |  |  |  | $ | (255.4) |  |  | $ | (1.1) |  |  |  |  |
|  | Loans Held for Investment - Restricted for Securitization Investors |  | Financing Liability - Owed to Securitization Investors |  | Loans Held for Sale - Fair Value |  |  |  |  |  | ESS Financing Liability |  | IRLCs |  |  |  |
Three months ended September 30, 2022
Beginning balance |  | $ | 7.3 |  |  | $ | (7.3) |  |  | $ | 41.4 |  |  |  |  |  |  | $ | — |  |  | $ | 5.7 |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases and other |  | — |  |  | — |  |  | 9.5 |  |  |  |  |  |  | — |  |  | — |  |  |  |  |
Issuances (1) |  | — |  |  | — |  |  | — |  |  |  |  |  |  | (36.2) |  |  | 50.9 |  |  |  |  |
Sales |  | — |  |  | — |  |  | (16.6) |  |  |  |  |  |  | — |  |  | — |  |  |  |  |
Settlements |  | (0.5) |  |  | 0.5 |  |  | — |  |  |  |  |  |  | 0.6 |  |  | — |  |  |  |  |
Transfers: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value (1) |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |  |  | 17.6 |  |  |  |  |
Receivables, net |  | — |  |  | — |  |  | (1.6) |  |  |  |  |  |  | — |  |  | — |  |  |  |  |
Net addition (disposition/derecognition) |  | (0.5) |  |  | 0.5 |  |  | (8.7) |  |  |  |  |  |  | (35.6) |  |  | 68.6 |  |  |  |  |
Change in fair value included in earnings (1) |  | — |  |  | — |  |  | (2.2) |  |  |  |  |  |  | (0.7) |  |  | (86.5) |  |  |  |  |
Ending balance |  | $ | 6.8 |  |  | $ | (6.8) |  |  | $ | 30.5 |  |  |  |  |  |  | $ | (36.3) |  |  | $ | (12.2) |  |  |  |  |
|  |  |  |  | Loans Held for Investment - Restricted for Securitization Investors |  | Financing Liability - Owed to Securitization Investors |  | Loans Held for Sale - Fair Value |  |  |  | ESS Financing Liability |  | IRLCs |  |  |  |
Nine Months Ended September 30, 2023
Beginning balance |  |  |  |  | $ | 6.7 |  |  | $ | (6.7) |  |  | $ | 32.1 |  |  |  |  | $ | (199.0) |  |  | $ | (0.7) |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases and other |  |  |  |  | — |  |  | — |  |  | 303.3 |  |  |  |  | — |  |  | — |  |  |  |  |
Issuances (1) |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | (68.7) |  |  | 39.4 |  |  |  |  |
Sales |  |  |  |  | — |  |  | — |  |  | (76.6) |  |  |  |  | — |  |  | — |  |  |  |  |
Settlements (2) |  |  |  |  | (0.8) |  |  | 0.8 |  |  | (40.6) |  |  |  |  | 22.5 |  |  | — |  |  |  |  |
Transfers: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for investment, at fair value |  |  |  |  | — |  |  | — |  |  | 3.0 |  |  |  |  | — |  |  | — |  |  |  |  |
Loans held for sale, at fair value (1) |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | (16.3) |  |  |  |  |
REO (Other assets) |  |  |  |  | — |  |  | — |  |  | (10.6) |  |  |  |  | — |  |  | — |  |  |  |  |
Receivables, net |  |  |  |  | — |  |  | — |  |  | (27.5) |  |  |  |  | — |  |  | — |  |  |  |  |
Capitalization of advances on Ginnie Mae modifications |  |  |  |  | — |  |  | — |  |  | 3.0 |  |  |  |  | — |  |  | — |  |  |  |  |
Other |  |  |  |  | — |  |  | — |  |  | 4.1 |  |  |  |  | — |  |  | — |  |  |  |  |
Net addition (disposition/derecognition) |  |  |  |  | (0.8) |  |  | 0.8 |  |  | 158.1 |  |  |  |  | (46.2) |  |  | 23.0 |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Change in fair value (1) |  |  |  |  | — |  |  | — |  |  | 7.0 |  |  |  |  | (10.2) |  |  | (23.5) |  |  |  |  |
Gain (loss) on sale of loans and other |  |  |  |  | — |  |  | — |  |  | 2.6 |  |  |  |  | — |  |  | — |  |  |  |  |
|  |  |  |  | — |  |  | — |  |  | 9.7 |  |  |  |  | (10.2) |  |  | (23.5) |  |  |  |  |
Ending balance |  |  |  |  | $ | 5.9 |  |  | $ | (5.9) |  |  | $ | 199.8 |  |  |  |  | $ | (255.4) |  |  | $ | (1.1) |  |  |  |  |
|  | Loans Held for Investment - Restricted for Securitization Investors |  | Financing Liability - Owed to Securitization Investors |  | Loans Held for Sale - Fair Value |  |  |  | ESS Financing Liability |  |  |  | IRLCs |  |
Nine Months Ended September 30, 2022
Beginning balance |  | $ | 7.9 |  |  | $ | (7.9) |  |  | $ | 220.9 |  |  |  |  | $ | — |  |  |  |  | $ | 18.1 |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases and other |  | — |  |  | — |  |  | 127.7 |  |  |  |  | — |  |  |  |  | — |  |  |
Issuances (1) |  | — |  |  | — |  |  | — |  |  |  |  | (36.2) |  |  |  |  | 212.8 |  |  |
Sales |  | — |  |  | — |  |  | (308.2) |  |  |  |  | — |  |  |  |  | — |  |  |
Settlements |  | (1.1) |  |  | 1.1 |  |  | — |  |  |  |  | 0.6 |  |  |  |  | — |  |  |
Transfers: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value (1) |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  | (36.2) |  |  |
Receivables, net |  | — |  |  | — |  |  | (3.4) |  |  |  |  | — |  |  |  |  | — |  |  |
Net addition (disposition/derecognition) |  | (1.1) |  |  | 1.1 |  |  | (183.8) |  |  |  |  | (35.6) |  |  |  |  | 176.5 |  |  |
Change in fair value included in earnings (1) |  | — |  |  | — |  |  | (6.6) |  |  |  |  | (0.7) |  |  |  |  | (206.8) |  |  |
Ending balance |  | $ | 6.8 |  |  | $ | (6.8) |  |  | $ | 30.5 |  |  |  |  | $ | (36.3) |  |  |  |  | $ | (12.2) |  |  |
(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 $(2.6) million and $(0.4) million for the three and nine months ended September 30, 2023, respectively, and $(17.9) million and $(30.3) million for the three and nine months ended September 30, 2022, respectively. See Note 14 – Derivative Financial Instruments and Hedging Activities (2)Settlements related to the ESS financing liability are recorded in earnings as MSR valuation adjustments, net. See Note 7 – Mortgage Servicing
Schedule of Significant Assumptions used in Valuation |
Significant unobservable assumptions | September 30, 2023 |  | December 31, 2022
Life in years |  |  |
Range | 0.8 to 7.5 |  | 1.0 to 7.6
Weighted average | 4.9 |  | 5.0 |
Conditional prepayment rate, including voluntary and involuntary prepayments |  |  |
Range | 12.1% to 40.7% |  | 13.2% to 45.0%
Weighted average | 18.3 | % |  | 18.0 | %
Discount rate | 5.7 | % |  | 5.1 | %
Significant unobservable assumptions | September 30, 2023 |  | December 31, 2022
Agency |  | Non-Agency |  | Agency |  | Non-Agency
Weighted average prepayment speed | 6.7 | % |  | 7.8 | % |  | 6.9 | % |  | 7.9 | %
Weighted average lifetime delinquency rate | 1.2 | % |  | 10.4 | % |  | 1.4 | % |  | 10.1 | %
Weighted average discount rate | 9.7 | % |  | 10.6 | % |  | 9.6 | % |  | 10.6 | %
Weighted average cost to service (in dollars) | $ | 71 |  |  | $ | 201 |  |  | $ | 72 |  |  | $ | 201 |
Significant unobservable assumptions | September 30, 2023 |  | December 31, 2022
Life in years |  |  |
Range | 0.8 to 7.5 |  | 1.0 to 7.6
Weighted average | 4.9 |  | 5.0 |
Conditional prepayment rate |  |  |
Range | 12.1% to 40.7% |  | 13.2% to 45.0%
Weighted average | 18.3 | % |  | 18.0 | %
Discount rate | 5.6 | % |  | 5.0 | %
Significant unobservable assumptions | September 30, 2023 |  | December 31, 2022
Weighted average prepayment speed | 7.0 | % |  | 7.6 | %
Weighted average delinquency rate | 6.1 | % |  | 7.1 | %
Weighted average subservicing life (in years) | 4.5 |  | 5.6
Weighted average discount rate | 10.1 | % |  | 10.2 | %
Weighted average cost to service (in dollars) | $ | 163 |  |  | $ | 174 |
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 September 30, 2023 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 |  |  | 1.5 |
Change in fair value due to change in weighted average prepayment speeds | $ | (62.2) |  |  | $ | (121.8) |
Change in weighted average discount rate (in percentage points) | 1.0 |  |  | 2.0 |
Change in fair value due to change in weighted average discount rate | $ | (77.7) |  |  | $ | (149.1) |

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- Definition Tabular disclosure of a sensitivity analysis or stress test showing the hypothetical effect on the fair value of the transferor's interests in transferred financial assets (including any servicing assets or servicing liabilities) of two or more unfavorable variations from the expected levels for each key assumption that is reported, independently determined from any change in another key assumption, and a description of the objectives, methodology, and limitations of the sensitivity analysis or stress test. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (c) -URI https://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719 + Details
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