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Fair Value (Tables)

9 Months Ended

Sep. 30, 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:

									September 30, 2024												December 31, 2023
			Level						Carrying Value						Fair Value						Carrying Value						Fair Value
Financial assets
Loans held for sale (a) (d) (e)			3, 2						$	1,197.7					$	1,197.7					$	677.3					$	677.3
Loans held for investment, at fair value (a) (f)			3						$	8,331.5					$	8,331.5					$	7,975.5					$	7,975.5
Advances, net (b)			3						$	522.7					$	522.7					$	678.8					$	678.8
Receivables, net (b)			3						$	172.2					$	172.2					$	154.8					$	154.8
Financial liabilities
Advance match funded liabilities (b)			3						$	377.2					$	377.2					$	499.7					$	499.7
Financing liabilities, at fair value:
HMBS-related borrowings (a)			3						$	8,132.5					$	8,132.5					$	7,797.3					$	7,797.3
Other financing liabilities (a)			3						826.2						826.2						900.0						900.0
Mortgage loan financing facilities (b) (c)			3						$	1,355.9					$	1,367.8					$	710.6					$	717.6
MSR financing facilities (b) (c)			3						$	804.8					$	793.4					$	916.2					$	900.3
Senior notes
PMC Senior secured notes due 2026 (b) (c)			2						$	286.9					$	289.5					$	356.1					$	326.0
Onity Senior secured notes due 2027 (b) (c)			3						248.2						267.4						239.7						230.5
Total Senior notes									$	535.1					$	556.9					$	595.8					$	556.5
Derivative financial instrument assets (liabilities), net
Interest rate lock commitments (IRLCs) (a)			3						$	5.2					$	5.2					$	5.6					$	5.6
Other derivatives (a)			1						(8.9)						(8.9)						9.1						9.1
Other commitments (a)			3						—						—						(0.1)						(0.1)
MSRs (a)			3						$	2,223.6					$	2,223.6					$	2,272.2					$	2,272.2

(a)Measured at fair value on a recurring basis in our financial statements.

(b)Disclosed, but not measured at fair value in our financial statements. 

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

(d)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.

(e)Includes $2.1 million and $3.1 million at September 30, 2024 and December 31, 2023, respectively, of Loans held for sale, at lower of cost or fair value (measured at fair value on a non-recurring basis in our financial statements).

(f)Includes $5.2 million and $5.6 million at September 30, 2024 and December 31, 2023, respectively, of Loans held for investment - Restricted for securitization investors (non-reverse).

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 September 30, 2024
Beginning balance						$	296.7											$	(250.5)					$	4.1
Purchases, issuances, sales and settlements
Purchases and other						211.7												—						—
Issuances (1)						—												—						33.5
Sales						(43.8)												—						—
Settlements (2)						(20.7)												6.9						—
Transfers from (to):
Loans held for investment, at fair value						1.0												—						—
Loans held for sale, at fair value (1)						—												—						(27.4)
REO (Other assets)						(8.2)												—						—
Receivables, net						(9.2)												—						—
Advances (capitalization upon Ginnie Mae modification)						2.1												—						—
Other						0.8												—						—
Net additions (disposition/derecognition)						133.8												6.9						6.2
Included in earnings:
Change in fair value (1)						16.0												0.3						(5.1)
Ending balance						$	446.5											$	(243.3)					$	5.2

						Loans Held for Sale - Fair Value						ESS Financing Liability						IRLCs
Three months ended September 30, 2023
Beginning balance						$	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)						(14.8)						7.6						—
Transfers from (to):
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)						—						—
Advances (capitalization upon Ginnie Mae modification)						1.3						—						—
Other						1.3						—						—
Net additions (disposition/derecognition)						6.8						7.6						16.8
Included in earnings:
Change in fair value (1)						(4.4)						(4.6)						(19.4)
Ending balance						$	199.8					$	(255.4)					$	(1.1)

						Loans Held for Sale - Fair Value						ESS Financing Liability						IRLCs
Nine Months Ended September 30, 2024
Beginning balance						$	203.1					$	(248.9)					$	5.6
Purchases, issuances, sales and settlements
Purchases and other						437.3						—						—
Issuances (1)						—						—						54.7
Sales						(120.5)						—						—
Settlements (2)						(68.0)						21.2						—
Transfers from (to):
Loans held for investment, at fair value						2.9						—						—
Loans held for sale, at fair value (1)						—						—						(24.6)
REO (Other assets)						(15.5)						—						—
Receivables, net						(27.4)						—						—
Advances - (capitalization upon Ginnie Mae modification)						7.0						—						—
Other						0.8						—						—
Net additions (disposition/derecognition)						216.6						21.2						30.1
Included in earnings:
Change in fair value (1)						26.9						(15.7)						(30.6)
Ending balance						$	446.5					$	(243.3)					$	5.2

						Loans Held for Sale - Fair Value												ESS Financing Liability						IRLCs
Nine Months Ended September 30, 2023
Beginning balance						$	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)						(40.6)												22.5						—
Transfers from (to):
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)												—						—
Advances - (capitalization upon Ginnie Mae modification)						3.0												—						—
Other						4.1												—						—
Net additions (disposition/derecognition)						158.1												(46.2)						23.0
Included in earnings:
Change in fair value (1)						9.7												(10.2)						(23.5)
Ending balance						$	199.8											$	(255.4)					$	(1.1)

(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 $1.1 million and $(0.4) million for the three and nine months ended September 30, 2024, respectively, and $(2.6) million and $0.4 million for the three and nine months ended September 30, 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. ESS financing liabilities are presented within Other financing liabilities, at fair value in our consolidated balance sheets.

Schedule of Significant Assumptions used in Valuation

Significant unobservable assumptions			September 30, 2024						December 31, 2023
Life in years
Range			0.5 to 7.9						0.8 to 7.9
Weighted average			5.3						5.2
Conditional prepayment rate (CPR), including voluntary and involuntary prepayments (a)
Range			11.3% to 31.7%						12.0% to 35.4%
Weighted average			16.9		%				17.2		%
Discount rate			4.7		%				4.9		%

Significant unobservable assumptions			September 30, 2024												December 31, 2023
			Agency						Non-Agency						Agency						Non-Agency
Weighted average prepayment speed			7.0		%				7.8%						7.7		%				7.9		%
Weighted average lifetime delinquency rate			1.2		%				10.1%						1.3		%				10.0		%
Weighted average discount rate			9.1		%				10.9%						9.2		%				11.4		%
Weighted average cost to service (in dollars)			$	72					$	192					$	71					$	192

Significant unobservable assumptions			September 30, 2024						December 31, 2023
Life in years
Range			0.5 to 7.9						0.8 to 7.9
Weighted average			5.3						5.2
Conditional prepayment rate
Range			11.3% to 31.7%						12.0% to 35.4%
Weighted average			16.9		%				17.2		%
Discount rate			4.6		%				4.9		%

Significant unobservable assumptions			September 30, 2024						December 31, 2023
Weighted average prepayment speed			5.5		%				6.5		%
Weighted average delinquency rate			3.0		%				2.8		%
Weighted average subservicing life (in years)			4.6						4.3
Weighted average discount rate			9.7		%				9.6		%
Weighted average cost to service (in dollars)			$	133					$	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 September 30, 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						1.7
Change in fair value due to change in weighted average prepayment speeds			$	(60.4)					$	(118.3)
Change in weighted average discount rate (in percentage points)			0.9						1.9
Change in fair value due to change in weighted average discount rate			$	(68.7)					$	(132.3)

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