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Fair Value Measurements (Tables)

3 Months Ended

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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Tabular disclosure of investment in debt security measured at fair value with change in fair value recognized in other comprehensive income (available-for-sale).

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