v3.25.1
Fair Value (Tables)
3 Months Ended
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, 2025December 31, 2024
 LevelCarrying ValueFair ValueCarrying ValueFair 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)
3835.5 835.5 846.9 846.9 
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,
20252024
Loans Held for Sale - Fair ValueIRLCsLoans Held for Sale - Fair ValueIRLCs
Beginning balance$472.9 $(0.5)$203.1 $5.6 
Purchases, issuances, sales and settlements 
Purchases and other134.9 — 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 value3.1 — 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 assumptionsMarch 31,
2025
December 31,
2024
Life in years
Range
0.4 to 7.6
0.4 to 7.6
Weighted average 4.44.2 
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 rate5.0 %5.4 %
Significant unobservable assumptionsMarch 31, 2025December 31, 2024
AgencyNon-AgencyAgencyNon-Agency
Weighted average prepayment speed6.7 %7.7%6.4 %7.8 %
Weighted average lifetime delinquency rate1.2 %10.8%1.2 %10.4 %
Weighted average discount rate9.6 %10.9%10.0 %10.9 %
Weighted average cost to service (in dollars)$71 $194$71 $193 
Significant unobservable assumptionsMarch 31,
2025
December 31,
2024
Life in years
Range
0.4 to 7.6
0.4 to 7.6
Weighted average 4.44.2 
Conditional prepayment rate
Range
13.2% to 32.0%
13.1% to 31.6%
Weighted average20.3 %21.3 %
Discount rate5.0 %5.3 %
Significant unobservable assumptionsMarch 31,
2025
December 31,
2024
Weighted average prepayment speed5.5 %5.4 %
Weighted average delinquency rate3.1 %3.0 %
Weighted average subservicing life (in years)4.74.7
Weighted average discount rate10.0 %10.3 %
Weighted average cost to service (in dollars)$133 $133 
Summary of Estimated Change in the Value of MSRs Carried at Fair Value The following table summarizes the estimated change in the value of the MSRs as of March 31, 2025 given hypothetical increases in lifetime prepayments and yield assumptions:
Adverse change in fair value10%20%
Change in weighted average prepayment speeds (in percentage points)0.8 1.6 
Change in fair value due to change in weighted average prepayment speeds$(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)