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Fair Value (Tables) | 12 Months Ended
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Dec. 31, 2024
Fair Value Disclosures [Abstract] |
Schedule of Carrying Amounts and Estimated Fair Values of Financial Instruments and Nonfinancial Assets Measured at Fair Value on a Recurring or Non-recurring basis or Disclosed, but not Carried, at Fair Value | 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:
|  |  | December 31,
|  |  | 2024 |  | 2023
| Level |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Financial assets: |  |  |  |  |  |  |  |  |
Loans held for sale (a) (d) | 3, 2 |  | $ | 1,290.2 |  |  | $ | 1,290.2 |  |  | $ | 677.3 |  |  | $ | 677.3 |
Loans held for investment, at fair value (a) (e) | 3 |  | $ | 11,125.3 |  |  | $ | 11,125.3 |  |  | $ | 7,975.5 |  |  | $ | 7,975.5 |
Advances, net (b) | 3 |  | $ | 577.2 |  |  | $ | 577.2 |  |  | $ | 678.8 |  |  | $ | 678.8 |
Receivables, net (b) | 3 |  | $ | 176.4 |  |  | $ | 176.4 |  |  | $ | 154.8 |  |  | $ | 154.8 |
Financial liabilities: |  |  |  |  |  |  |  |  |
Advance match funded liabilities (b) | 3 |  | $ | 417.1 |  |  | $ | 417.1 |  |  | $ | 499.7 |  |  | $ | 499.7 |
HMBS-related borrowings, at fair value (a) | 3 |  | $ | 10,872.1 |  |  | $ | 10,872.1 |  |  | $ | 7,797.3 |  |  | $ | 7,797.3 |
Other financing liabilities, at fair value (a) | 3 |  | 846.9 |  |  | 846.9 |  |  | 900.0 |  |  | 900.0 |
Mortgage loan financing facilities (b) (c) | 3 |  | $ | 1,528.2 |  |  | $ | 1,535.3 |  |  | $ | 710.6 |  |  | $ | 717.6 |
MSR financing facilities (b) (c) | 3 |  | $ | 957.9 |  |  | $ | 947.6 |  |  | $ | 916.2 |  |  | $ | 900.3 |
Senior notes (b) (c) | 3, 2 |  | $ | 487.4 |  |  | $ | 495.0 |  |  | $ | 595.8 |  |  | $ | 556.5 |
Derivative financial instrument assets (liabilities), net |  |  |  |  |  |  |  |  |
Interest rate lock commitments (IRLCs) (a) | 3 |  | $ | (0.5) |  |  | $ | (0.5) |  |  | $ | 5.6 |  |  | $ | 5.6 |
Other derivatives (a) | 1 |  | (11.7) |  |  | (11.7) |  |  | 8.9 |  |  | 8.9 |
MSRs (a) | 3 |  | $ | 2,466.3 |  |  | $ | 2,466.3 |  |  | $ | 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 14 — 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 nil and $5.6 million at December 31, 2024 and December 31, 2023, respectively, of Loans held for investment - Restricted for securitization investors (non-reverse).
Summary of Reconciliation of the Changes in Fair Value of Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis | 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 |  |  |  |
Year Ended December 31, 2024 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Beginning balance |  |  |  |  |  |  |  |  | $ | 203.1 |  |  |  |  | $ | (248.9) |  |  | $ | 5.6 |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases and other |  |  |  |  |  |  |  |  | 550.9 |  |  |  |  | — |  |  | — |  |  |  |  |
Issuances (1) |  |  |  |  |  |  |  |  | — |  |  |  |  | (23.8) |  |  | 28.9 |  |  |  |  |
Sales |  |  |  |  |  |  |  |  | (170.8) |  |  |  |  | — |  |  | — |  |  |  |  |
Settlements |  |  |  |  |  |  |  |  | (92.2) |  |  |  |  | 28.0 |  |  | — |  |  |  |  |
Transfers from (to): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value (1) |  |  |  |  |  |  |  |  | — |  |  |  |  | — |  |  | (26.0) |  |  |  |  |
Loans held for investment, at fair value |  |  |  |  |  |  |  |  | 4.8 |  |  |  |  | — |  |  | — |  |  |  |  |
Receivables, net |  |  |  |  |  |  |  |  | (32.9) |  |  |  |  | — |  |  | — |  |  |  |  |
REO (Other assets) |  |  |  |  |  |  |  |  | (26.8) |  |  |  |  | — |  |  | — |  |  |  |  |
Advances (capitalization upon Ginnie Mae modification) |  |  |  |  |  |  |  |  | 9.4 |  |  |  |  | — |  |  | — |  |  |  |  |
Other |  |  |  |  |  |  |  |  | 2.9 |  |  |  |  | — |  |  | — |  |  |  |  |
Net additions (disposition/derecognition) |  |  |  |  |  |  |  |  | 245.3 |  |  |  |  | 4.2 |  |  | 3.0 |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Change in fair value (1) |  |  |  |  |  |  |  |  | 24.5 |  |  |  |  | (18.7) |  |  | (9.1) |  |  |  |  |
Ending balance |  |  |  |  |  |  |  |  | $ | 472.9 |  |  |  |  | $ | (263.3) |  |  | $ | (0.5) |  |  |  |  |
|  |  |  |  |  |  |  |  | Loans Held for Sale - Fair Value |  |  |  | ESS Financing Liability |  | IRLCs |  |  |  |
Year Ended December 31, 2023 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Beginning balance |  |  |  |  |  |  |  |  | $ | 32.1 |  |  |  |  | $ | (199.0) |  |  | $ | (0.7) |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases and other |  |  |  |  |  |  |  |  | 364.2 |  |  |  |  | — |  |  | — |  |  |  |  |
Issuances (1) |  |  |  |  |  |  |  |  | — |  |  |  |  | (68.7) |  |  | 39.3 |  |  |  |  |
Sales |  |  |  |  |  |  |  |  | (102.4) |  |  |  |  | — |  |  | — |  |  |  |  |
Settlements |  |  |  |  |  |  |  |  | (60.5) |  |  |  |  | 29.9 |  |  | — |  |  |  |  |
Transfers from (to): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value (1) |  |  |  |  |  |  |  |  | — |  |  |  |  | — |  |  | (64.9) |  |  |  |  |
Loans held for investment, at fair value |  |  |  |  |  |  |  |  | 4.5 |  |  |  |  |  |  |  |  |  |  |
Receivables, net |  |  |  |  |  |  |  |  | (34.7) |  |  |  |  | — |  |  | — |  |  |  |  |
REO (Other assets) |  |  |  |  |  |  |  |  | (15.2) |  |  |  |  |  |  |  |  |  |  |
Advances (capitalization upon Ginnie Mae modification) |  |  |  |  |  |  |  |  | 4.4 |  |  |  |  |  |  |  |  |  |  |
Other |  |  |  |  |  |  |  |  | (0.9) |  |  |  |  | — |  |  | — |  |  |  |  |
Net additions (disposition/derecognition) |  |  |  |  |  |  |  |  | 159.3 |  |  |  |  | (38.7) |  |  | (25.6) |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Change in fair value (1) |  |  |  |  |  |  |  |  | 11.7 |  |  |  |  | (11.1) |  |  | 32.0 |  |  |  |  |
Ending balance |  |  |  |  |  |  |  |  | $ | 203.1 |  |  |  |  | $ | (248.9) |  |  | $ | 5.6 |  |  |  |  |
|  |  |  |  | Loans Held for Sale - Fair Value |  |  |  | ESS Financing Liability |  | IRLCs |  |  |  |
Year Ended December 31, 2022 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Beginning balance |  |  |  |  | $ | 220.9 |  |  |  |  | $ | — |  |  | $ | 18.1 |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases |  |  |  |  | 140.4 |  |  |  |  | — |  |  | — |  |  |  |  |
Issuances (1) |  |  |  |  | — |  |  |  |  | (200.9) |  |  | 168.0 |  |  |  |  |
Sales |  |  |  |  | (318.0) |  |  |  |  | — |  |  | — |  |  |  |  |
Settlements |  |  |  |  |  |  |  |  | 6.6 |  |  | — |  |  |  |  |
Transfers from (to): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value (1) |  |  |  |  | — |  |  |  |  | — |  |  | (141.5) |  |  |  |  |
Receivables, net |  |  |  |  | (4.2) |  |  |  |  | — |  |  | — |  |  |  |  |
Other |  |  |  |  | (0.3) |  |  |  |  | (6.1) |  |  | — |  |  |  |  |
Net additions (disposition/derecognition) |  |  |  |  | (182.1) |  |  |  |  | (200.5) |  |  | 26.5 |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Change in fair value (1) |  |  |  |  | (6.8) |  |  |  |  | 1.4 |  |  | (45.3) |  |  |  |  |
Ending balance |  |  |  |  | $ | 32.1 |  |  |  |  | $ | (199.0) |  |  | $ | (0.7) |  |  |  |  |
(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 $(6.2) million, $6.3 million and $(18.8) million for 2024, 2023 and 2022, respectively. See Note 18 — Derivative Financial Instruments and Hedging Activities.
Schedule of Significant Assumptions used in Valuation | Significant unobservable assumptions include conditional prepayment rate and discount rate. The conditional prepayment rate assumption displayed in the table below is inclusive of voluntary (repayment or payoff) and involuntary (inactive/delinquent status and default) prepayments. The discount rate assumption is primarily based on an assessment of current market yields on reverse mortgage loan and tail securitizations, expected duration of the asset and current market interest rates.
| December 31,
Significant unobservable assumptions | 2024 |  | 2023
Life in years |  |  |
Range | 0.4 to 7.6 |  | 0.8 to 7.9
Weighted average | 4.2 |  |  | 5.2 |
Conditional prepayment rate (CPR), including voluntary and involuntary prepayments (a) |  |
Range | 13.1% to 31.6% |  | 12.0% to 35.4%
Weighted average | 21.3 | % |  | 17.2 | %
Discount rate | 5.4 | % |  | 4.9 | %
(a)Annualized rate of lifetime projected prepayments as a percentage of the UPB at the beginning of any given period.
| December 31,
| 2024 |  | 2023
Significant unobservable assumptions | Agency |  | Non-Agency |  | Agency |  | Non-Agency
Weighted average prepayment speed | 6.4 | % |  | 7.8 | % |  | 7.7 | % |  | 7.9 | %
Weighted average lifetime delinquency rate | 1.2 | % |  | 10.4 | % |  | 1.3 | % |  | 10.0 | %
Weighted average discount rate | 10.0 | % |  | 10.9 | % |  | 9.2 | % |  | 11.4 | %
Weighted average cost to service (in dollars) | $ | 71 |  |  | $ | 193 |  |  | $ | 71 |  |  | $ | 192 |
| December 31,
Significant unobservable assumptions | 2024 |  | 2023
Life in years |  |  |
Range | 0.4 to 7.6 |  | 0.8 to 7.9
Weighted average | 4.2 |  |  | 5.2
Conditional prepayment rate |  |  |
Range | 13.1% to 31.6% |  | 12.0% to 35.4%
Weighted average | 21.3 | % |  | 17.2 | %
Discount rate | 5.3 | % |  | 4.9 | %
| December 31,
Significant unobservable assumptions | 2024 |  | 2023
Weighted average prepayment speed | 5.4 | % |  | 6.5 | %
Weighted average delinquency rate | 3.0 | % |  | 2.8 | %
Weighted average subservicing life (in years) | 4.7 |  | 4.3
Weighted average discount rate | 10.3 | % |  | 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 December 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) | 0.7 |  |  | 1.5 |
Change in fair value due to change in weighted average prepayment speeds | $ | (59.3) |  |  | $ | (117.2) |
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 | $ | (86.2) |  |  | $ | (165.3) |

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