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Fair Value Measurements (Tables) | 3 Months Ended
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Mar. 31, 2023
Fair Value Disclosures [Abstract] |
Schedule of Financial Statement Items Measured at Estimated Fair Value on a Recurring Basis | The table below shows a summary of financial statement items that are measured at estimated fair value on a recurring basis, including assets measured under the fair value option. There were no material transfers of assets or liabilities recorded at fair value on a recurring basis between Levels 1, 2 or 3 during the three months ended March 31, 2023 or the year ended December 31, 2022.
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Balance at March 31, 2023 |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |
Mortgage loans held for sale (1) | $ | — |  |  | $ | 7,674,953 |  |  | $ | 763,761 |  |  | $ | 8,438,714 |
IRLCs | — |  |  | — |  |  | 182,112 |  |  | 182,112 |
MSRs | — |  |  | — |  |  | 6,669,939 |  |  | 6,669,939 |
Forward commitments | — |  |  | 5,101 |  |  | — |  |  | 5,101 |
Investment securities (2) | — |  |  | 38,201 |  |  | — |  |  | 38,201 |
Non-mortgage loans held for sale (2) | — |  |  | — |  |  | 32,490 |  |  | 32,490 |
Total assets | $ | — |  |  | $ | 7,718,255 |  |  | $ | 7,648,302 |  |  | $ | 15,366,557 |
Liabilities: |  |  |  |  |  |  |
Forward commitments | $ | — |  |  | $ | 87,918 |  |  | $ | — |  |  | $ | 87,918 |
Total liabilities | $ | — |  |  | $ | 87,918 |  |  | $ | — |  |  | $ | 87,918 |
Balance at December 31, 2022 |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |
Mortgage loans held for sale (1) | $ | — |  |  | $ | 6,260,745 |  |  | $ | 1,082,730 |  |  | $ | 7,343,475 |
IRLCs | — |  |  | — |  |  | 90,635 |  |  | 90,635 |
MSRs | — |  |  | — |  |  | 6,946,940 |  |  | 6,946,940 |
Forward commitments | — |  |  | 22,444 |  |  | — |  |  | 22,444 |
Total assets | $ | — |  |  | $ | 6,283,189 |  |  | $ | 8,120,305 |  |  | $ | 14,403,494 |
Liabilities: |  |  |  |  |  |  |
Forward commitments | $ | — |  |  | $ | 25,117 |  |  | $ | — |  |  | $ | 25,117 |
Total liabilities | $ | — |  |  | $ | 25,117 |  |  | $ | — |  |  | $ | 25,117 |
(1) As of March 31, 2023 and December 31, 2022, $315.2 million and $314.4 million of unpaid principal balance of the level 3 mortgage loans held for sale were 90 days or more delinquent and were in non-accrual status. (2) These assets are included in Other assets on the Condensed Consolidated Balance Sheets.
Schedule of Quantitative Information About Fair Value Measurements of Level 3 Financial Instruments | The following tables present the quantitative information about recurring Level 3 fair value financial instruments and the fair value measurements as of:
|  | March 31, 2023 |  | December 31, 2022
Unobservable Input |  | Range |  | Weighted Average |  | Range |  | Weighted Average
Mortgage loans held for sale |  |  |  |  |  |  |  |
Model pricing |  | 65% - 100% |  | 88 | % |  | 67% - 100% |  | 86 | %
IRLCs |  |  |  |  |  |  |  |
Loan funding probability |  | 0% - 100% |  | 71 | % |  | 0% - 100% |  | 68 | %
MSRs |  |  |  |  |  |  |  |
Discount rate |  | 9.5% - 12.5% |  | 9.9 | % |  | 9.5% - 12.5% |  | 9.9 | %
Conditional prepayment rate |  | 6.2% - 28.6% |  | 7.1 | % |  | 6.1% - 26.6% |  | 6.9 | %
Non-mortgage loans held for sale |  |  |  |  |  |  |  |
Discount rate |  | 6.2% - 8.5% |  | 8.2 | % |  | N/A |  | N/A
Schedule of Reconciliation of Level 3 Assets | The table below presents a reconciliation of Level 3 assets measured at fair value on a recurring basis for the three months ended March 31, 2023 and 2022. Mortgage servicing rights are also classified as a Level 3 asset measured at fair value on a recurring basis and its reconciliation is found in Note 3, Mortgage Servicing Rights.
| Mortgage Loans Held for Sale |  | IRLCs |  | Non-Mortgage Loans Held for Sale
Balance at December 31, 2022 | $ | 1,082,730 |  |  | $ | 90,635 |  |  | $ | — |
Transfers in (1) | 211,058 |  |  | — |  |  | 32,838 |
Transfers out/principal reductions (1) | (600,454) |  |  | — |  |  | — |
Net transfers and revaluation gains | — |  |  | 91,477 |  |  | — |
Total gains (losses) included in net income | 70,427 |  |  | — |  |  | (348) |
Balance at March 31, 2023 | $ | 763,761 |  |  | $ | 182,112 |  |  | $ | 32,490 |
Balance at December 31, 2021 | $ | 2,309,366 |  |  | $ | 538,861 |  |  | $ | — |
Transfers in (1) | 522,640 |  |  | — |  |  | — |
Transfers out/principal reductions (1) | (618,320) |  |  | — |  |  | — |
Net transfers and revaluation losses | — |  |  | (325,651) |  |  | — |
Total losses included in net income | (34,924) |  |  | — |  |  | — |
Balance at March 31, 2022 | $ | 2,178,762 |  |  | $ | 213,210 |  |  | $ | — |
(1) Transfers in represent loans repurchased from investors or loans originated for which an active market currently does not exist. Transfers out primarily represent loans sold to third parties and loans paid in full.
Available-for-Sale Investment Securities | The amortized cost and estimated fair value of available for sale investment securities as of March 31, 2023 consisted of the following:
| Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Fair Value
Debt Securities: |  |  |  |  |  |  |
U.S. Treasury | $ | 23,902 |  |  | $ | 1 |  |  | $ | (1,231) |  |  | $ | 22,672 |
Corporate and Other | 15,888 |  |  | 36 |  |  | (395) |  |  | 15,529 |
Total | $ | 39,790 |  |  | $ | 37 |  |  | $ | (1,626) |  |  | $ | 38,201 |
The amortized cost and estimated fair value of investment in debt securities as of March 31, 2023 by contractual maturity is as follows:
| U.S. Treasury |  | Corporate and Other
| Amortized Costs |  | Fair Value |  | Amortized Costs |  | Fair Value
Less than 1 year | $ | — |  |  | $ | — |  |  | $ | 5,957 |  |  | $ | 5,838 |
1-5 years | 23,902 |  |  | 22,672 |  |  | 8,955 |  |  | 8,716 |
5-10 years | — |  |  | — |  |  | 976 |  |  | 975 |
10 years and beyond | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Schedule of Fair Value Option for Mortgage Loans Held For Sale | The following is the estimated fair value and unpaid principal balance (“UPB”) of mortgage and non-mortgage loans held for sale that have contractual principal amounts and for which the Company has elected the fair value option. The fair value option was elected for mortgage and non-mortgage loans held for sale as the Company believes fair value best reflects their expected future economic performance:
| Fair Value |  | Principal Amount Due Upon Maturity |  | Difference (1)
Balance at March 31, 2023 |  |  |  |  |
Mortgage loans held for sale | $ | 8,438,714 |  |  | $ | 8,429,074 |  |  | $ | 9,640 |
Non-mortgage loans held for sale | $ | 32,490 |  |  | $ | 32,838 |  |  | $ | (348) |
Balance at December 31, 2022 | $ | 7,343,475 |  |  | $ | 7,424,223 |  |  | $ | (80,748) |
Mortgage loans held for sale |  |  |  |  |
(1) Represents the amount of gains (losses) included in Gain on sale of loans, net for Mortgage loans held for sale and Other income for Non-mortgage loans held for sale, due to changes in fair value of items accounted for using the fair value option.
Schedule of Liabilities not Recorded at Fair Value on a Recurring or Nonrecurring Basis | The following table presents the carrying amounts and estimated fair value of financial liabilities that are not recorded at fair value on a recurring or nonrecurring basis. This table excludes cash and cash equivalents, restricted cash, warehouse borrowings, and line of credit borrowing facilities as these financial instruments are highly liquid or short-term in nature and as a result, their carrying amounts approximate fair value:
| March 31, 2023 |  | December 31, 2022
| Carrying Amount |  | Estimated Fair Value |  | Carrying Amount |  | Estimated Fair Value
Senior Notes, due 10/15/2026 | $ | 1,142,003 |  |  | $ | 1,029,606 |  |  | $ | 1,141,432 |  |  | $ | 984,963 |
Senior Notes, due 1/15/2028 | 61,363 |  |  | 58,700 |  |  | 61,330 |  |  | 57,039 |
Senior Notes, due 3/1/2029 | 744,066 |  |  | 645,188 |  |  | 743,815 |  |  | 595,493 |
Senior Notes, due 3/1/2031 | 1,239,296 |  |  | 1,043,550 |  |  | 1,238,958 |  |  | 961,450 |
Senior Notes, due 10/15/2033 | 842,611 |  |  | 681,258 |  |  | 842,435 |  |  | 625,175 |
Total Senior Notes, net | $ | 4,029,339 |  |  | $ | 3,458,302 |  |  | $ | 4,027,970 |  |  | $ | 3,224,120 |

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- Definition Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2C -URI https://asc.fasb.org/extlink&oid=126976982&loc=SL7498348-110258 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bb) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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