Securitizations and Financings

9 Months Ended

Sep. 30, 2023

Variable Interest Entities and Securitizations [Abstract]

Securitizations and Financings

11. Securitizations and Financings

Variable Interest Entities

In the normal course of business, the Company enters into various types of on- and off-balance sheet transactions with special purpose entities (“SPEs”) determined to be VIEs, which primarily consist of securitization trusts established for a limited purpose. Generally, these SPEs are formed for the purpose of securitization transactions in which the Company transfers assets to an SPE, which then issues to investors various forms of debt obligations supported by those assets.

The Company has determined that the SPEs created in connection with certain advance facilities trusts should be consolidated as the Company is the primary beneficiary of each of these entities.

A summary of the assets and liabilities of the Company’s transactions with VIEs included in the Company’s condensed consolidated balance sheets is presented below:

	September 30, 2023		December 31, 2022
Consolidated Transactions with VIEs	Transfers Accounted for as Secured Borrowings		Transfers Accounted for as Secured Borrowings
Assets
Restricted cash	$	92	$	78
Advances and other receivables, net	366		398
Total assets	$	458	$	476
Liabilities
Advance facilities, net(1)	$	306	$	321
Payables and other liabilities	1		1
Total liabilities	$	307	$	322

(1)Refer to advance facilities in Note 10, Indebtedness, for additional information.

The following table shows a summary of the outstanding collateral and certificate balances for securitization trusts for which the Company was the transferor, including any retained beneficial interests and MSRs, that were not consolidated by the Company:

Unconsolidated Securitization Trusts	September 30, 2023		December 31, 2022
Total collateral balances - UPB	$	901	$	976
Total certificate balances	$	876	$	949

The Company has not retained any variable interests in the unconsolidated securitization trusts that were outstanding as of September 30, 2023 and December 31, 2022. Therefore, it does not have a significant maximum exposure to loss related to these unconsolidated VIEs.

A summary of mortgage loans transferred by the Company to unconsolidated securitization trusts that are 60 days or more past due are presented below:

Principal Amount of Transferred Loans 60 Days or More Past Due	September 30, 2023		December 31, 2022
Unconsolidated securitization trusts	$	93	$	119