SERVICER ADVANCE INVESTMENTS (Tables)

9 Months Ended

Sep. 30, 2023

Investments, All Other Investments [Abstract]

Summary of Investments in Servicer Advances

The table below summarizes the type of advances included in the servicer advances receivable:

	September 30, 2023		December 31, 2022
Principal and interest advances	$	579,277	$	664,495
Escrow advances (taxes and insurance advances)	1,093,779		1,426,409
Foreclosure advances	833,680		754,073
Total(A)(B)(C)	$	2,506,736	$	2,844,977

(A)Includes $426.5 million and $526.5 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies.

(B)Includes $296.1 million and $261.8 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 $72.5 million and $19.5 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)
September 30, 2023
Servicer advance investments	$	361,325	$	387,669	6.2	%	7.1	%	8.6
December 31, 2022
Servicer advance investments	$	392,749	$	398,820	5.7	%	5.6	%	8.4

(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
September 30, 2023
Servicer advance investments(D)	$	15,654,419	$	314,165	2.0	%	$	275,952	84.1	%	81.9	%	7.5	%	6.9	%
December 31, 2022
Servicer advance investments(D)	$	17,033,753	$	341,628	2.0	%	$	319,276	90.2	%	88.3	%	6.5	%	5.9	%

(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:

	September 30, 2023		December 31, 2022
Principal and interest advances	$	55,058	$	66,892
Escrow advances (taxes and insurance advances)	142,995		155,438
Foreclosure advances	116,112		119,298
Total	$	314,165	$	341,628