Fair Value (Tables)
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9 Months Ended |
Sep. 30, 2021 |
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| Fair Value Disclosures [Abstract] |
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| Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities:
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Recurring Fair Value Measurements |
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September 30, 2021 |
| (in thousands) |
Level 1 |
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Level 2 |
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Level 3 |
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Total |
| Assets: |
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| Available-for-sale securities |
$ |
— |
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$ |
6,656,571 |
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$ |
8,173 |
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$ |
6,664,744 |
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| Mortgage servicing rights |
— |
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— |
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2,213,312 |
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2,213,312 |
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| Derivative assets |
2,556 |
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50,488 |
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— |
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53,044 |
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| Total assets |
$ |
2,556 |
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$ |
6,707,059 |
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$ |
2,221,485 |
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$ |
8,931,100 |
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| Liabilities: |
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| Derivative liabilities |
$ |
76,454 |
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$ |
6,441 |
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$ |
— |
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$ |
82,895 |
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| Total liabilities |
$ |
76,454 |
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$ |
6,441 |
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$ |
— |
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$ |
82,895 |
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Recurring Fair Value Measurements |
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December 31, 2020 |
| (in thousands) |
Level 1 |
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Level 2 |
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Level 3 |
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Total |
| Assets: |
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| Available-for-sale securities |
$ |
— |
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$ |
14,637,891 |
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$ |
13,031 |
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$ |
14,650,922 |
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| Mortgage servicing rights |
— |
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— |
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1,596,153 |
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1,596,153 |
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| Derivative assets |
33,737 |
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62,200 |
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— |
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95,937 |
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| Total assets |
$ |
33,737 |
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$ |
14,700,091 |
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$ |
1,609,184 |
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$ |
16,343,012 |
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| Liabilities: |
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| Derivative liabilities |
$ |
10,462 |
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$ |
596 |
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$ |
— |
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$ |
11,058 |
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| Total liabilities |
$ |
10,462 |
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$ |
596 |
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$ |
— |
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$ |
11,058 |
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| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
The following table presents the reconciliation for the Company’s Level 3 assets measured at fair value on a recurring basis:
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Three Months Ended |
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Nine Months Ended |
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September 30, 2021 |
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September 30, 2021 |
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| (in thousands) |
Available-For-Sale Securities |
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Mortgage Servicing Rights |
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Available-For-Sale Securities |
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Mortgage Servicing Rights |
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Beginning of period level 3 fair value |
$ |
5,559 |
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$ |
2,020,106 |
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$ |
13,031 |
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$ |
1,596,153 |
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| Gains (losses) included in net income (loss): |
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| Realized |
(939) |
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(155,371) |
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(7,931) |
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(524,767) |
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| Unrealized |
(22) |
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(1) |
112,871 |
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(2) |
(22) |
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(1) |
541,654 |
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(2) |
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| Reversal of provision for credit losses |
1,340 |
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— |
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9,138 |
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— |
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| Net gains (losses) included in net income (loss) |
379 |
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(42,500) |
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1,185 |
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16,887 |
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| Other comprehensive (loss) income |
(2,124) |
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— |
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(8,825) |
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— |
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| Purchases |
4,358 |
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282,719 |
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4,358 |
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656,468 |
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| Sales |
— |
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(32,354) |
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(1,577) |
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(32,354) |
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| Settlements |
— |
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(14,659) |
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— |
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(23,842) |
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| Gross transfers into level 3 |
— |
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— |
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— |
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— |
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| Gross transfers out of level 3 |
— |
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— |
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— |
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— |
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| End of period level 3 fair value |
$ |
8,172 |
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$ |
2,213,312 |
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$ |
8,172 |
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$ |
2,213,312 |
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Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period |
$ |
(22) |
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(3) |
$ |
109,640 |
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(4) |
$ |
(22) |
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(3) |
$ |
464,180 |
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(4) |
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Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period |
$ |
(2,124) |
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$ |
— |
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$ |
(8,826) |
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$ |
— |
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____________________
(1)The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option was recorded in gain (loss) on investment securities on the condensed consolidated statements of comprehensive income (loss).
(2)The change in unrealized gains or losses on MSR was recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive income (loss).
(3)The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option that were held at the end of the reporting period was recorded in gain (loss) on investment securities on the condensed consolidated statements of comprehensive income (loss).
(4)The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive income (loss).
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| Fair Value Inputs, Assets, Quantitative Information |
The tables below present information about the significant unobservable market data used by the third-party pricing vendors as inputs into models utilized to inform their best estimates of the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at September 30, 2021 and December 31, 2020:
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| September 30, 2021 |
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| Valuation Technique |
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Unobservable Input |
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Range |
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Weighted Average (1)
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| Discounted cash flow |
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Constant prepayment speed |
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10.4% |
- |
17.8% |
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13.1% |
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Delinquency |
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0.8% |
- |
2.0% |
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1.3% |
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Option-adjusted spread |
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4.6% |
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9.2% |
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4.7% |
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Per loan annual cost to service |
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$66.24 |
- |
$83.77 |
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$66.69 |
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| December 31, 2020 |
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| Valuation Technique |
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Unobservable Input |
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Range |
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Weighted Average (1)
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| Discounted cash flow |
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Constant prepayment speed |
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14.1% |
- |
23.5% |
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19.4% |
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Delinquency |
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1.5% |
- |
2.6% |
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2.2% |
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Option-adjusted spread |
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4.7% |
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9.7% |
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4.8% |
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Per loan annual cost to service |
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$64.56 |
- |
$79.43 |
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$68.27 |
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___________________
(1)Calculated by averaging the weighted average significant unobservable inputs used by the multiple third-party pricing vendors in the fair value measurement of MSR.
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| Fair Value, by Balance Sheet Grouping |
The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at September 30, 2021 and December 31, 2020:
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September 30, 2021 |
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December 31, 2020 |
| (in thousands) |
Carrying Value |
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Fair Value |
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Carrying Value |
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Fair Value |
| Assets: |
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| Available-for-sale securities |
$ |
6,664,744 |
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$ |
6,664,744 |
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$ |
14,650,922 |
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$ |
14,650,922 |
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| Mortgage servicing rights |
$ |
2,213,312 |
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$ |
2,213,312 |
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$ |
1,596,153 |
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$ |
1,596,153 |
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| Cash and cash equivalents |
$ |
1,076,216 |
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$ |
1,076,216 |
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$ |
1,384,764 |
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$ |
1,384,764 |
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| Restricted cash |
$ |
783,974 |
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$ |
783,974 |
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$ |
1,261,667 |
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$ |
1,261,667 |
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| Derivative assets |
$ |
53,044 |
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$ |
53,044 |
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$ |
95,937 |
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$ |
95,937 |
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| Reverse repurchase agreements |
$ |
85,000 |
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$ |
85,000 |
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$ |
91,525 |
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$ |
91,525 |
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| Other assets |
$ |
3,335 |
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$ |
3,335 |
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$ |
13,292 |
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$ |
13,292 |
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| Liabilities: |
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| Repurchase agreements |
$ |
7,123,701 |
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$ |
7,123,701 |
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$ |
15,143,898 |
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$ |
15,143,898 |
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| Revolving credit facilities |
$ |
420,761 |
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$ |
420,761 |
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$ |
283,830 |
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$ |
283,830 |
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| Term notes payable |
$ |
396,479 |
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$ |
396,595 |
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$ |
395,609 |
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$ |
380,000 |
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| Convertible senior notes |
$ |
424,270 |
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$ |
442,324 |
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$ |
286,183 |
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$ |
291,376 |
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| Derivative liabilities |
$ |
82,895 |
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$ |
82,895 |
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$ |
11,058 |
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$ |
11,058 |
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