XML 18 R8.htm IDEA: XBRL DOCUMENT
v3.23.1

Fair Value Measurements | 3 Months Ended
--- | ---
Mar. 31, 2023
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Fair Value Measurements Fair value is the price that would be received if an asset were sold or the price that would be paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. Required disclosures include classification of fair value measurements within a three-level hierarchy (Level 1, Level 2, and Level 3). Classification of a fair value measurement within the hierarchy is dependent on the classification and significance of the inputs used to determine the fair value measurement. Observable inputs are those that are observed, implied from, or corroborated with externally available market information. Unobservable inputs represent the Company’s estimates of market participants’ assumptions. Fair value measurements are classified in the following manner: Level 1—Valuation is based on quoted prices in active markets for identical assets or liabilities at the measurement date. Level 2—Valuation is based on either observable prices for identical assets or liabilities in inactive markets, observable prices for similar assets or liabilities, or other inputs that are derived directly from, or through correlation to, observable market data at the measurement date. Level 3—Valuation is based on the Company’s internal models using assumptions at the measurement date that a market participant would use. In determining fair value measurement, the Company uses observable inputs whenever possible. The level of a fair value measurement within the hierarchy is dependent on the lowest level of input that has a significant impact on the measurement as a whole. If quoted market prices are available at the measurement date or are available for similar instruments, such prices are used in the measurements. If observable market data is not available at the measurement date, judgment is required to measure fair value. The following is a description of measurement techniques for items recorded at fair value on a recurring basis. There were no material items recorded at fair value on a nonrecurring basis as of March 31, 2023 or December 31, 2022. Mortgage loans held for sale: Loans held for sale that trade in active secondary markets are valued using Level 2 measurements derived from observable market data, including market prices of securities backed by similar mortgage loans adjusted for certain factors to approximate the fair value of a whole mortgage loan, including the value attributable to mortgage servicing and credit risk. Loans held for sale for which there is little to no observable trading activity of similar instruments are valued using Level 3 measurements based upon dealer price quotes and internal models. IRLCs: The fair value of IRLCs is based on current market prices of securities backed by similar mortgage loans (as determined above under mortgage loans held for sale), net of costs to close the loans, subject to the estimated loan funding probability, or “pull-through factor”. Given the significant and unobservable nature of the pull-through factor, IRLCs are classified as Level 3. MSRs: The fair value of MSRs is determined using an internal valuation model that calculates the present value of estimated net future cash flows. The model includes estimates of prepayment speeds, discount rate, cost to service, float earnings, contractual servicing fee income, and ancillary income among others. MSRs are classified as Level 3. Forward commitments: The Company’s forward commitments are valued based on quoted prices for similar assets in an active market with inputs that are observable and are classified within Level 2 of the valuation hierarchy. Investment Securities: Investment securities are available for sale debt securities that are recorded at fair value using observable market prices for similar securities or identical securities that are traded in less active markets, which are classified as Level 2 and include highly rated municipal, government, and corporate bonds. Non-mortgage loans held for sale: Non-mortgage loans held for sale are personal loans including loans to finance solar panel installation projects. The fair value of non-mortgage loans is determined using an internal valuation model that calculates the present value of estimated net future cash flows. Non-mortgage loans are classified as Level 3. Assets and Liabilities Measured at 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. 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
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. Investment Securities Investment securities consist of debt securities that are classified as available for sale. For any available for sale debt securities in an unrealized loss position, the Company assesses the intent and ability to sell and whether it is more likely than not we will be required to sell the security before recovery of its amortized cost basis. If either criteria regarding intent or requirement to sell is met, the securities' unrealized losses are written down through Other income. As of March 31, 2023 neither of those criteria were met for any of the securities in an unrealized loss position, as the losses are a result of market rate conditions, but continue to pay as scheduled and accordingly do not effect the Company's intent or ability to sell. 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 |
Net unrealized losses on available for sale debt securities of $1,589 are recorded in Accumulated Other Comprehensive Income (Loss) within Condensed Consolidated Statements of Changes in Equity as of March 31, 2023. There were no transfers of available for sale debt securities during the three months ended March 31, 2023. There were no securities classified as held to maturity as of March 31, 2023. 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 | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Fair Value Option 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. Disclosures of the fair value of certain financial instruments are required when it is practical to estimate the value. In cases where quoted market prices are not available, fair values are based on estimates using present value or other valuation techniques. 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 |
The fair value of Senior Notes was calculated using the observable bond price at March 31, 2023 and December 31, 2022, respectively. The Senior Notes are classified as Level 2 in the fair value hierarchy.

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration