SERVICER ADVANCE INVESTMENTS (Tables)

12 Months Ended

Dec. 31, 2022

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,
	2022		2021
Principal and interest advances	$	664,495	$	562,418
Escrow advances (taxes and insurance advances)	1,426,409		1,523,154
Foreclosure advances	754,073		793,098
Total(A)(B)(C)	$	2,844,977	$	2,878,670

(A)Includes $526.5 million and $593.0 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies.

(B)Includes $261.8 million and $212.9 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)Excludes $19.5 million and $23.5 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, 2022
Servicer Advance Investments	$	392,749	$	398,820	5.7	%	5.6	%	8.4
December 31, 2021
Servicer Advance Investments	$	405,786	$	421,807	5.2	%	5.5	%	6.9

(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:

	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		Loan-to-Value (“LTV”)(A)				Cost of Funds(C)
									Gross		Net(B)		Gross		Net
December 31, 2022
Servicer Advance Investments(D)	$	17,033,753	$	341,628	2.0	%	$	319,276	90.2	%	88.3	%	6.5	%	5.9	%
December 31, 2021
Servicer Advance Investments(D)	$	20,314,977	$	369,440	1.8	%	$	356,580	91.4	%	90.7	%	1.3	%	1.2	%

(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,
	2022		2021
Principal and interest advances	$	66,892	$	67,014
Escrow advances (taxes and insurance advances)	155,438		174,681
Foreclosure advances	119,298		127,745
Total	$	341,628	$	369,440

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,
	2022		2021		2020
Interest income, gross of amounts attributable to servicer compensation	$	15,821	$	12,501	$	34,262
Amounts attributable to basic servicer compensation	(891)		(1,798)		(3,248)
Amounts attributable to incentive servicer compensation	27,075		(9,025)		(12,832)
Interest income from servicer advance investments	$	42,005	$	1,678	$	18,182

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

	December 31,
	2022		2021		2020
Interest income:
Loans held-for-investment, at fair value	$	45,287	$	44,369	$	53,264
Loans held-for-sale, at lower of cost or fair value	6,898		23,280		50,130
Loans held-for-sale, at fair value	211,238		260,062		135,729
Total interest income	263,423		327,711		239,123
Interest expense:
Loans held-for-investment, at fair value	17,583		16,919		21,029
Loans held-for-sale, at lower of cost or fair value	3,402		21,333		22,541
Loans held-for-sale, at fair value and SFR properties	181,071		159,413		90,064
Total interest expense	202,056		197,665		133,634
Net interest income	$	61,367	$	130,046	$	105,489