SERVICER ADVANCE INVESTMENTS (Tables)

6 Months Ended

Jun. 30, 2024

Investments, All Other Investments [Abstract]

Schedule of Servicer Advance Investments and Additional Information Regarding the Servicer Advance Investments and Related Financing

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

	June 30, 2024		December 31, 2023
Principal and interest advances	$	624,563	$	616,801
Escrow advances (taxes and insurance advances)	1,358,320		1,442,697
Foreclosure advances	891,268		767,171
Gross advance balance(A)(B)	2,874,151		2,826,669
Reserves, impairment, unamortized discount, net of recovery accruals	(99,641)		(66,419)
Total servicer advances receivable	$	2,774,510	$	2,760,250

(A)Includes $550.8 million and $585.0 million of servicer advances receivable related to Agency MSRs, respectively, recoverable either from the borrower or the Agencies.

(B)Includes $367.8 million and $405.6 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 value through a non-reimbursable advance loss assumption.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)
June 30, 2024
Servicer advance investments	$	336,131	$	357,220	6.2	%	7.0	%	8.3
December 31, 2023
Servicer advance investments	$	362,760	$	376,881	6.2	%	6.6	%	8.1

(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
June 30, 2024
Servicer advance investments(D)	$	13,974,237	$	302,282	2.2	%	$	262,069	84.7	%	82.5	%	7.3	%	6.9	%
December 31, 2023
Servicer advance investments(D)	$	15,499,559	$	320,630	2.1	%	$	278,845	84.1	%	81.9	%	7.5	%	6.9	%

(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:

	June 30, 2024		December 31, 2023
Principal and interest advances	$	52,686	$	57,909
Escrow advances (taxes and insurance advances)	137,726		149,346
Foreclosure advances	111,870		113,375
Total	$	302,282	$	320,630