Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v3.21.2
Fair Value (Tables)
6 Months Ended
Jun. 30, 2021
Fair Value Disclosures [Abstract]  
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:
Recurring Fair Value Measurements
June 30, 2021
(in thousands) Level 1 Level 2 Level 3 Total
Assets:
Available-for-sale securities $ —  $ 7,834,487  $ 5,559  $ 7,840,046 
Mortgage servicing rights —  —  2,020,106  2,020,106 
Derivative assets 9,391  50,985  —  60,376 
Total assets $ 9,391  $ 7,885,472  $ 2,025,665  $ 9,920,528 
Liabilities:
Derivative liabilities $ 8,320  $ 5,888  $ —  $ 14,208 
Total liabilities $ 8,320  $ 5,888  $ —  $ 14,208 
Recurring Fair Value Measurements
December 31, 2020
(in thousands) Level 1 Level 2 Level 3 Total
Assets:
Available-for-sale securities $ —  $ 14,637,891  $ 13,031  $ 14,650,922 
Mortgage servicing rights —  —  1,596,153  1,596,153 
Derivative assets 33,737  62,200  —  95,937 
Total assets $ 33,737  $ 14,700,091  $ 1,609,184  $ 16,343,012 
Liabilities:
Derivative liabilities $ 10,462  $ 596  $ —  $ 11,058 
Total liabilities $ 10,462  $ 596  $ —  $ 11,058 
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following tables present the reconciliation for the Company’s Level 3 assets measured at fair value on a recurring basis:
Three Months Ended Six Months Ended
June 30, 2021 June 30, 2021
(in thousands) Available-For-Sale Securities Mortgage Servicing Rights Available-For-Sale Securities Mortgage Servicing Rights
Beginning of period level 3 fair value
$ 9,219  $ 2,091,761  $ 13,031  $ 1,596,153 
Gains (losses) included in net (loss) income:
Realized (5,361) (195,141) (6,992) (369,396)
Unrealized —  (72,910)
(1)
—  428,783 
(1)
Reversal of provision for credit losses 4,803  —  7,798  — 
Net gains (losses) included in net (loss) income (558) (268,051) 806  59,387 
Other comprehensive (loss) income (1,525) —  (6,701) — 
Purchases —  198,526  —  373,749 
Sales (1,577) —  (1,577) — 
Settlements —  (2,130) —  (9,183)
Gross transfers into level 3 —  —  —  — 
Gross transfers out of level 3 —  —  —  — 
End of period level 3 fair value $ 5,559  $ 2,020,106  $ 5,559  $ 2,020,106 
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period
$ —  $ (68,379)
(2)
$ —  $ 381,029 
(2)
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
$ (145) $ —  $ (6,702) $ — 
____________________
(1)The change in unrealized gains or losses on MSR was recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive (loss) income.
(2)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 (loss) income.
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 June 30, 2021 and December 31, 2020:
June 30, 2021
Valuation Technique Unobservable Input Range
Weighted Average (1)
Discounted cash flow Constant prepayment speed 10.1% - 18.5% 13.4%
Delinquency 1.0% - 2.1% 1.5%
Option-adjusted spread 4.5% - 9.2% 4.7%
Per loan annual cost to service $66.11 - $84.94 $67.20
December 31, 2020
Valuation Technique Unobservable Input Range
Weighted Average (1)
Discounted cash flow Constant prepayment speed 14.1% - 23.5% 19.4%
Delinquency 1.5% - 2.6% 2.2%
Option-adjusted spread 4.7% - 9.7% 4.8%
Per loan annual cost to service $64.56 - $79.43 $68.27
___________________
(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.
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 June 30, 2021 and December 31, 2020:
June 30, 2021 December 31, 2020
(in thousands) Carrying Value Fair Value Carrying Value Fair Value
Assets:
Available-for-sale securities $ 7,840,046  $ 7,840,046  $ 14,650,922  $ 14,650,922 
Mortgage servicing rights $ 2,020,106  $ 2,020,106  $ 1,596,153  $ 1,596,153 
Cash and cash equivalents $ 1,281,230  $ 1,281,230  $ 1,384,764  $ 1,384,764 
Restricted cash $ 866,547  $ 866,547  $ 1,261,667  $ 1,261,667 
Derivative assets $ 60,376  $ 60,376  $ 95,937  $ 95,937 
Reverse repurchase agreements $ 70,000  $ 70,000  $ 91,525  $ 91,525 
Other assets $ 3,338  $ 3,338  $ 13,292  $ 13,292 
Liabilities:
Repurchase agreements $ 8,350,622  $ 8,350,622  $ 15,143,898  $ 15,143,898 
Revolving credit facilities $ 533,519  $ 533,519  $ 283,830  $ 283,830 
Term notes payable $ 396,183  $ 394,211  $ 395,609  $ 380,000 
Convertible senior notes $ 423,742  $ 457,549  $ 286,183  $ 291,376 
Derivative liabilities $ 14,208  $ 14,208  $ 11,058  $ 11,058