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Fair Value (Tables)

9 Months Ended

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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