SERVICER ADVANCE INVESTMENTS (Tables)

12 Months Ended

Dec. 31, 2021

Investments, All Other Investments [Abstract]

Schedule of Investment in Servicer Advances

The following types of advances are included in the Servicer Advances Receivable:

	December 31,
	2021		2020
Principal and interest advances	$	562,418	$	665,538
Escrow advances (taxes and insurance advances)	1,523,154		1,547,796
Foreclosure advances	793,098		816,400
Total(A)(B)(C)	$	2,878,670	$	3,029,734

(A)Includes $593.0 million and $583.9 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies.

(B)Includes $212.9 million and $181.2 million of servicer advances receivable related to Ginnie Mae MSRs, respectively, recoverable from either the borrower or Ginnie Mae. Expected losses for advances associated with Ginnie Mae loans in the MSR portfolio are considered in the MSR fair valuation through a non reimbursable advance loss assumption.

(C)Net of $23.5 million and $27.5 million, respectively, in unamortized advance discount and reserves, net of accruals for advance recoveries. These reserves relate to inactive loans in the foreclosure or liquidation process.

The following table summarizes Servicer Advance Investments, including the right to the basic fee component of the related MSRs:

	Amortized Cost Basis		Carrying Value(A)		Weighted Average Discount Rate		Weighted Average Yield		Weighted Average Life (Years)(B)
December 31, 2021
Servicer Advance Investments	$	405,786	$	421,807	5.2	%	5.5	%	6.9
December 31, 2020
Servicer Advance Investments	$	512,958	$	538,056	5.2	%	5.7	%	6.0

(A)Represents the fair value of the Servicer Advance Investments, including the basic fee component of the related MSRs.

(B)Represents the weighted average expected timing of the receipt of expected net cash flows for this investment.

The following table provides additional information regarding the Servicer Advance Investments and related financing:

									Loan-to-Value (“LTV”)(A)				Cost of Funds(C)
	UPB of Underlying Residential Mortgage Loans		Outstanding Servicer Advances		Servicer Advances to UPB of Underlying Residential Mortgage Loans		Face Amount of Secured Notes and Bonds Payable		Gross		Net(B)		Gross		Net
December 31, 2021
Servicer Advance Investments(D)	$	20,314,977	$	369,440	1.8	%	$	356,580	91.4	%	90.7	%	1.3	%	1.2	%
December 31, 2020
Servicer Advance Investments(D)	$	26,061,499	$	449,150	1.7	%	$	423,144	88.4	%	88.6	%	1.5	%	1.3	%

(A)Based on outstanding servicer advances, excluding purchased but unsettled servicer advances.

(B)Ratio of face amount of borrowings to par amount of servicer advance collateral, net of any general reserve.

(C)Annualized measure of the cost associated with borrowings. Gross cost of funds primarily includes interest expense and facility fees. Net cost of funds excludes facility fees.

(D)The following table summarizes the types of advances included in Servicer Advance Investments:

	December 31,
	2021		2020
Principal and interest advances	$	67,014	$	84,976
Escrow advances (taxes and insurance advances)	174,681		186,426
Foreclosure advances	127,745		177,748
Total	$	369,440	$	449,150

Schedule of Interest Income Related to Investments in Servicer Advances

The following table summarizes interest income related to Servicer Advance Investments:

	Year Ended December 31,
	2021		2020		2019
Interest income, gross of amounts attributable to servicer compensation	$	12,501	$	34,262	$	51,940
Amounts attributable to basic servicer compensation	(1,798)		(3,248)		(6,209)
Amounts attributable to incentive servicer compensation	(9,025)		(12,832)		(18,065)
Interest income from servicer advance investments	$	1,678	$	18,182	$	27,666

Net Interest Income

The following table summarizes the net interest income for residential mortgage loans:

	December 31,
	2021		2020		2019
Interest income:
Loans held-for-investment, at fair value	$	44,369	$	53,264	$	60,301
Loans held-for-sale, at lower of cost or fair value	23,280		50,130		65,926
Loans held-for-sale, at fair value	260,062		135,729		175,926
Total interest income	327,711		239,123		302,153
Interest expense:
Loans held-for-investment, at fair value	16,919		21,029		19,381
Loans held-for-sale, at lower of cost or fair value	21,333		22,541		40,067
Loans held-for-sale, at fair value	159,413		90,064		109,723
Total interest expense	197,665		133,634		169,171
Net interest income	$	130,046	$	105,489	$	132,982