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Fair Value (Tables) | 3 Months Ended
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Mar. 31, 2024
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:
|  |  | March 31, 2024 |  | December 31, 2023
| 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 |  | $ | 1,025.7 |  |  | $ | 1,025.7 |  |  | $ | 674.2 |  |  | $ | 674.2 |
Loans held for sale, at lower of cost or fair value (b) | 3 |  | 3.2 |  |  | 3.2 |  |  | 3.1 |  |  | 3.1 |
Total Loans held for sale |  |  | $ | 1,028.9 |  |  | $ | 1,028.9 |  |  | $ | 677.3 |  |  | $ | 677.3 |
Loans held for investment, at fair value |  |  |  |  |  |  |  |  |
Loans held for investment - Reverse mortgages (a) | 3 |  | $ | 8,125.0 |  |  | $ | 8,125.0 |  |  | $ | 7,970.0 |  |  | $ | 7,970.0 |
Loans held for investment - Restricted for securitization investors (a) | 3 |  | 5.5 |  |  | 5.5 |  |  | 5.6 |  |  | 5.6 |
Total Loans held for investment, at fair value |  |  | $ | 8,130.5 |  |  | $ | 8,130.5 |  |  | $ | 7,975.5 |  |  | $ | 7,975.5 |
Advances, net (c) | 3 |  | $ | 602.7 |  |  | $ | 602.7 |  |  | $ | 678.8 |  |  | $ | 678.8 |
Receivables, net (c) | 3 |  | $ | 152.1 |  |  | $ | 152.1 |  |  | $ | 154.8 |  |  | $ | 154.8 |
Financial liabilities |  |  |  |  |  |  |  |  |
Advance match funded liabilities (c) | 3 |  | $ | 440.2 |  |  | $ | 440.2 |  |  | $ | 499.7 |  |  | $ | 499.7 |
Financing liabilities, at fair value: |  |  |  |  |  |  |  |  |
HMBS-related borrowings (a) | 3 |  | $ | 7,945.0 |  |  | $ | 7,945.0 |  |  | $ | 7,797.3 |  |  | $ | 7,797.3 |
Other financing liabilities | 3 |  | 906.8 |  |  | 906.8 |  |  | 900.0 |  |  | 900.0 |
Mortgage loan financing facilities (c) (d) | 3 |  | $ | 1,108.9 |  |  | $ | 1,119.3 |  |  | $ | 710.6 |  |  | $ | 717.6 |
MSR financing facilities (c) (d) | 3 |  | $ | 964.1 |  |  | $ | 950.5 |  |  | $ | 916.2 |  |  | $ | 900.3 |
Senior notes |  |  |  |  |  |  |  |  |
PMC Senior secured notes due 2026 (c) (d) | 2 |  | $ | 309.5 |  |  | $ | 302.7 |  |  | $ | 356.1 |  |  | $ | 326.0 |
OFC Senior secured notes due 2027 (c) (d) | 3 |  | 242.4 |  |  | 252.3 |  |  | 239.7 |  |  | 230.5 |
Total Senior notes |  |  | $ | 552.0 |  |  | $ | 555.1 |  |  | $ | 595.8 |  |  | $ | 556.5 |
|  |  | March 31, 2024 |  | December 31, 2023
| Level |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Derivative financial instrument assets (liabilities), net |  |  |  |  |  |  |  |  |
Interest rate lock commitments (IRLCs) (a) | 3 |  | $ | 5.0 |  |  | $ | 5.0 |  |  | $ | 5.6 |  |  | $ | 5.6 |
Forward sales of loans (a) | 1 |  | (0.1) |  |  | (0.1) |  |  | (0.1) |  |  | (0.1) |
TBA / Forward mortgage-backed securities (MBS) trades (a) | 1 |  | 4.3 |  |  | 4.3 |  |  | 9.6 |  |  | 9.6 |
Interest rate swap futures (a) | 1 |  | (0.7) |  |  | (0.7) |  |  | 3.9 |  |  | 3.9 |
TBA forward pipeline trades (a) | 1 |  | (3.7) |  |  | (3.7) |  |  | (6.3) |  |  | (6.3) |
Option contracts (a) | 1 |  | — |  |  | — |  |  | 1.9 |  |  | 1.9 |
Other (a) | 3 |  | — |  |  | — |  |  | (0.1) |  |  | (0.1) |
MSRs (a) | 3 |  | $ | 2,374.7 |  |  | $ | 2,374.7 |  |  | $ | 2,272.2 |  |  | $ | 2,272.2 |
(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 13 – Borrowings for additional information. (e)The newly originated portfolio of GSE and forward Ginnie Mae loans held for sale pending securitization with the Agencies is classified as Level 2; all other loans are classified as Level 3.
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 certain Level 3 assets and liabilities that we measure at fair value on a recurring basis (refer to the respective notes for other Level 3 assets and liabilities):
|  |  |  |  |  |  |  |  | Loans Held for Sale - Fair Value |  |  |  | ESS Financing Liability |  | IRLCs |  |  |  |
Three months ended March 31, 2024
Beginning balance |  |  |  |  |  |  |  |  | $ | 203.1 |  |  |  |  | $ | (248.9) |  |  | $ | 5.6 |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases and other |  |  |  |  |  |  |  |  | 145.1 |  |  |  |  | — |  |  | — |  |  |  |  |
Issuances (1) |  |  |  |  |  |  |  |  | — |  |  |  |  | — |  |  | 17.2 |  |  |  |  |
Sales |  |  |  |  |  |  |  |  | (38.0) |  |  |  |  | — |  |  | — |  |  |  |  |
Settlements (2) |  |  |  |  |  |  |  |  | (22.1) |  |  |  |  | 7.4 |  |  | — |  |  |  |  |
Transfers from (to) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for investment, at fair value |  |  |  |  |  |  |  |  | 1.0 |  |  |  |  | — |  |  | — |  |  |  |  |
Loans held for sale, at fair value (1) |  |  |  |  |  |  |  |  | — |  |  |  |  | — |  |  | (5.8) |  |  |  |  |
REO (Other assets) |  |  |  |  |  |  |  |  | (3.0) |  |  |  |  | — |  |  | — |  |  |  |  |
Receivables, net |  |  |  |  |  |  |  |  | (10.6) |  |  |  |  | — |  |  | — |  |  |  |  |
Advances - (capitalization upon Ginnie Mae modification) |  |  |  |  |  |  |  |  | 2.1 |  |  |  |  | — |  |  | — |  |  |  |  |
Net addition (disposition/derecognition) |  |  |  |  |  |  |  |  | 74.5 |  |  |  |  | 7.4 |  |  | 11.4 |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Change in fair value (1) |  |  |  |  |  |  |  |  | 6.4 |  |  |  |  | (11.9) |  |  | (12.0) |  |  |  |  |
Ending balance |  |  |  |  |  |  |  |  | $ | 284.0 |  |  |  |  | $ | (253.4) |  |  | $ | 5.0 |  |  |  |  |
|  |  |  |  |  | Loans Held for Sale - Fair Value |  |  |  |  |  | ESS Financing Liability |  | IRLCs |  |  |  |
Three months ended March 31, 2023
Beginning balance |  |  |  |  |  | $ | 32.1 |  |  |  |  |  |  | $ | (199.0) |  |  | $ | (0.7) |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases and other |  |  |  |  |  | 12.4 |  |  |  |  |  |  | — |  |  | — |  |  |  |  |
Issuances (1) |  |  |  |  |  | — |  |  |  |  |  |  | (68.7) |  |  | 5.8 |  |  |  |  |
Sales |  |  |  |  |  | (20.2) |  |  |  |  |  |  | — |  |  | — |  |  |  |  |
Settlements (2) |  |  |  |  |  | — |  |  |  |  |  |  | 6.8 |  |  | — |  |  |  |  |
Transfers from (to): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value (1) |  |  |  |  |  | — |  |  |  |  |  |  | — |  |  | (20.4) |  |  |  |  |
Receivables, net |  |  |  |  |  | (0.4) |  |  |  |  |  |  | — |  |  | — |  |  |  |  |
Net addition (disposition/derecognition) |  |  |  |  |  | (8.2) |  |  |  |  |  |  | (62.0) |  |  | (14.6) |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Change in fair value (1) |  |  |  |  |  | (0.5) |  |  |  |  |  |  | (2.1) |  |  | 20.1 |  |  |  |  |
Ending balance |  |  |  |  |  | $ | 23.3 |  |  |  |  |  |  | $ | (263.1) |  |  | $ | 4.8 |  |  |  |  |
(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 $(0.6) million and $5.6 million for the three months ended March 31, 2024 and 2023, respectively. See Note 15 – Derivative Financial Instruments and Hedging Activities. (2)ESS financing liability settlement is determined based on collections on reference pools of the related mortgage loans.
Schedule of Significant Assumptions used in Valuation |
Significant unobservable assumptions | March 31, 2024 |  | December 31, 2023
Life in years |  |  |
Range | 0.8 to 8.0 |  | 0.8 to 7.9
Weighted average | 5.1 |  | 5.2 |
Conditional prepayment rate, including voluntary and involuntary prepayments |  |  |
Range | 11.6% to 35.5% |  | 12.0% to 35.4%
Weighted average | 17.5 | % |  | 17.2 | %
Discount rate | 5.2 | % |  | 4.9 | %
Significant unobservable assumptions | March 31, 2024 |  | December 31, 2023
Agency |  | Non-Agency |  | Agency |  | Non-Agency
Weighted average prepayment speed | 6.5 | % |  | 7.9 | % |  | 7.7 | % |  | 7.9 | %
Weighted average lifetime delinquency rate | 1.3 | % |  | 10.3 | % |  | 1.3 | % |  | 10.0 | %
Weighted average discount rate | 10.1 | % |  | 10.9 | % |  | 9.2 | % |  | 11.4 | %
Weighted average cost to service (in dollars) | $ | 71 |  |  | $ | 195 |  |  | $ | 71 |  |  | $ | 192 |
Significant unobservable assumptions | March 31, 2024 |  | December 31, 2023
Life in years |  |  |
Range | 0.8 to 8.0 |  | 0.8 to 7.9
Weighted average | 5.1 |  | 5.2 |
Conditional prepayment rate |  |  |
Range | 11.6% to 35.5% |  | 12.0% to 35.4%
Weighted average | 17.5 | % |  | 17.2 | %
Discount rate | 5.1 | % |  | 4.9 | %
Significant unobservable assumptions | March 31, 2024 |  | December 31, 2023
Weighted average prepayment speed | 5.4 | % |  | 6.5 | %
Weighted average delinquency rate | 2.8 | % |  | 2.8 | %
Weighted average subservicing life (in years) | 4.6 |  | 4.3
Weighted average discount rate | 10.6 | % |  | 9.6 | %
Weighted average cost to service (in dollars) | $ | 132 |  |  | $ | 130 |
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 March 31, 2024 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 | $ | (54.8) |  |  | $ | (109.0) |
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 | $ | (80.1) |  |  | $ | (153.4) |

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