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v3.25.1

Fair Value (Tables) | 3 Months Ended
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Mar. 31, 2025
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, 2025 |  | December 31, 2024
| Level |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Financial assets |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value (a) (d) | 3, 2 |  | $ | 1,402.2 |  |  | $ | 1,402.2 |  |  | $ | 1,290.2 |  |  | $ | 1,290.2 |
Loans held for investment, at fair value (a) | 3 |  | $ | 10,812.5 |  |  | $ | 10,812.5 |  |  | $ | 11,125.3 |  |  | $ | 11,125.3 |
Advances, net (b) | 3 |  | $ | 514.0 |  |  | $ | 514.0 |  |  | $ | 577.2 |  |  | $ | 577.2 |
Receivables, net (b) | 3 |  | $ | 222.3 |  |  | $ | 222.3 |  |  | $ | 176.4 |  |  | $ | 176.4 |
Financial liabilities |  |  |  |  |  |  |  |  |
Advance match funded liabilities (b) | 3 |  | $ | 377.5 |  |  | $ | 377.5 |  |  | $ | 417.1 |  |  | $ | 417.1 |
HMBS-related borrowings, at fair value (a) | 3 |  | $ | 10,587.6 |  |  | $ | 10,587.6 |  |  | $ | 10,872.1 |  |  | $ | 10,872.1 |
Other financing liabilities, at fair value (a) | 3 |  | 835.5 |  |  | 835.5 |  |  | 846.9 |  |  | 846.9 |
Mortgage loan financing facilities (b) (c) | 3 |  | $ | 1,577.4 |  |  | $ | 1,584.6 |  |  | $ | 1,528.2 |  |  | $ | 1,535.3 |
MSR financing facilities (b) (c) | 3 |  | $ | 1,136.0 |  |  | $ | 1,126.7 |  |  | $ | 957.9 |  |  | $ | 947.6 |
Senior notes (b) (c) | 2 |  | $ | 488.0 |  |  | $ | 480.0 |  |  | $ | 487.4 |  |  | $ | 495.0 |
Derivative financial instrument assets (liabilities), net |  |  |  |  |  |  |  |  |
Interest rate lock commitments (IRLCs) (a) | 3 |  | $ | 9.4 |  |  | $ | 9.4 |  |  | $ | (0.5) |  |  | $ | (0.5) |
Other derivatives (a) | 1 |  | (0.2) |  |  | (0.2) |  |  | (11.7) |  |  | (11.7) |
MSRs (a) | 3 |  | $ | 2,547.4 |  |  | $ | 2,547.4 |  |  | $ | 2,466.3 |  |  | $ | 2,466.3 |
(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.
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):
|  | Three Months Ended March 31,
|  | 2025 |  | 2024
|  | Loans Held for Sale - Fair Value |  | IRLCs |  | Loans Held for Sale - Fair Value |  | IRLCs
Beginning balance |  | $ | 472.9 |  |  | $ | (0.5) |  |  | $ | 203.1 |  |  | $ | 5.6 |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |
Purchases and other |  | 134.9 |  |  | — |  |  | 145.1 |  |  | — |
Issuances (1) |  | — |  |  | 32.7 |  |  | — |  |  | 17.2 |
Sales |  | (60.4) |  |  | — |  |  | (38.0) |  |  | — |
Settlements |  | (30.5) |  |  | — |  |  | (22.1) |  |  | — |
Transfers from (to): |  |  |  |  |  |  |  |
Loans held for sale, at fair value (1) |  | — |  |  | (47.3) |  |  | — |  |  | (5.8) |
Loans held for investment, at fair value |  | 3.1 |  |  | — |  |  | 1.0 |  |  | — |
Receivables, net |  | (20.5) |  |  | — |  |  | (10.6) |  |  | — |
REO (Other assets) |  | (12.3) |  |  | — |  |  | (3.0) |  |  | — |
Advances (incl. capitalization upon Ginnie Mae modification) |  | 4.8 |  |  | — |  |  | 2.1 |  |  | — |
Net additions (disposition/derecognition) |  | 19.0 |  |  | (14.6) |  |  | 74.5 |  |  | 11.4 |
Included in earnings: |  |  |  |  |  |  |  |
Change in fair value (1) |  | 4.7 |  |  | 24.6 |  |  | 6.4 |  |  | (12.0) |
Ending balance |  | $ | 496.6 |  |  | $ | 9.4 |  |  | $ | 284.0 |  |  | $ | 5.0 |
(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 $9.9 million and $(0.6) million for the three months ended March 31, 2025 and 2024, respectively. See Note 16 – Derivative Financial Instruments and Hedging Activities.
Schedule of Significant Assumptions used in Valuation |
Significant unobservable assumptions | March 31, 2025 |  | December 31, 2024
Life in years |  |  |
Range | 0.4 to 7.6 |  | 0.4 to 7.6
Weighted average | 4.4 |  | 4.2 |
Conditional prepayment rate (CPR), including voluntary and involuntary prepayments (a) |  |
Range | 13.2% to 32.0% |  | 13.1% to 31.6%
Weighted average | 20.3 | % |  | 21.3 | %
Discount rate | 5.0 | % |  | 5.4 | %
Significant unobservable assumptions | March 31, 2025 |  | December 31, 2024
Agency |  | Non-Agency |  | Agency |  | Non-Agency
Weighted average prepayment speed | 6.7 | % |  | 7.7% |  | 6.4 | % |  | 7.8 | %
Weighted average lifetime delinquency rate | 1.2 | % |  | 10.8% |  | 1.2 | % |  | 10.4 | %
Weighted average discount rate | 9.6 | % |  | 10.9% |  | 10.0 | % |  | 10.9 | %
Weighted average cost to service (in dollars) | $ | 71 |  |  | $ | 194 |  | $ | 71 |  |  | $ | 193 |
Significant unobservable assumptions | March 31, 2025 |  | December 31, 2024
Life in years |  |  |
Range | 0.4 to 7.6 |  | 0.4 to 7.6
Weighted average | 4.4 |  | 4.2 |
Conditional prepayment rate |  |  |
Range | 13.2% to 32.0% |  | 13.1% to 31.6%
Weighted average | 20.3 | % |  | 21.3 | %
Discount rate | 5.0 | % |  | 5.3 | %
Significant unobservable assumptions | March 31, 2025 |  | December 31, 2024
Weighted average prepayment speed | 5.5 | % |  | 5.4 | %
Weighted average delinquency rate | 3.1 | % |  | 3.0 | %
Weighted average subservicing life (in years) | 4.7 |  | 4.7
Weighted average discount rate | 10.0 | % |  | 10.3 | %
Weighted average cost to service (in dollars) | $ | 133 |  |  | $ | 133 |
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, 2025 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 | $ | (66.3) |  |  | $ | (130.4) |
Change in weighted average discount rate (in percentage points) | 1.0 |  |  | 1.9 |
Change in fair value due to change in weighted average discount rate | $ | (86.5) |  |  | $ | (166.1) |

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