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FAIR VALUE (Tables) | 6 Months Ended
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Jun. 30, 2022
Fair Value Disclosures [Abstract] |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following tables present the carrying amount and estimated fair value of financial instruments included in the consolidated financial statements.
|  | June 30, 2022
|  | Carrying Amount |  | Estimated Fair Value
|  |  | Level 1 |  | Level 2 |  | Level 3
Assets |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 954,930 |  |  | $ | 954,930 |  |  | $ | — |  |  | $ | — |
Restricted cash |  | 194,645 |  |  | 194,645 |  |  | — |  |  | — |
Loans held for sale, at fair value |  | 4,656,338 |  |  | — |  |  | 4,656,338 |  |  | — |
Derivative assets, at fair value |  | 153,607 |  |  | — |  |  | 61,721 |  |  | 91,886 |
Servicing rights, at fair value |  | 2,213,700 |  |  | — |  |  | — |  |  | 2,213,700 |
Trading securities, at fair value |  | 105,308 |  |  | — |  |  | 105,308 |  |  | — |
Loans eligible for repurchase |  | 506,454 |  |  | — |  |  | 506,454 |  |  | — |
Liabilities |  |  |  |  |  |  |  |
Warehouse and other lines of credit |  | $ | 4,265,343 |  |  | $ | — |  |  | $ | 4,265,343 |  |  | $ | — |
Derivative liabilities, at fair value |  | 72,758 |  |  | 14,859 |  |  | 23,618 |  |  | 34,281 |
Servicing rights, at fair value |  | 9,107 |  |  | — |  |  | — |  |  | 9,107 |
Debt obligations: |  |  |  |  |  |  |  |
Secured credit facilities |  | 1,237,269 |  |  | — |  |  | 1,239,841 |  |  | — |
Term Notes |  | 199,415 |  |  | — |  |  | 200,000 |  |  | — |
Senior Notes |  | 990,456 |  |  | — |  |  | 657,453 |  |  | — |
Liability for loans eligible for repurchase |  | 506,454 |  |  | — |  |  | 506,454 |  |  | — |
|  | December 31, 2021
|  | Carrying Amount |  | Estimated Fair Value
|  |  | Level 1 |  | Level 2 |  | Level 3
Assets |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 419,571 |  |  | $ | 419,571 |  |  | $ | — |  |  | $ | — |
Restricted cash |  | 201,025 |  |  | 201,025 |  |  | — |  |  | — |
Loans held for sale, at fair value |  | 8,136,817 |  |  | — |  |  | 8,136,817 |  |  | — |
Derivative assets, at fair value |  | 194,665 |  |  | 4,924 |  |  | 5,358 |  |  | 184,383 |
Servicing rights, at fair value |  | 2,006,712 |  |  | — |  |  | — |  |  | 2,006,712 |
Trading securities, at fair value |  | 72,874 |  |  | — |  |  | 72,874 |  |  | — |
Loans eligible for repurchase |  | 363,373 |  |  | — |  |  | 363,373 |  |  | — |
Liabilities |  |  |  |  |  |  |  |
Warehouse and other lines of credit |  | $ | 7,457,199 |  |  | $ | — |  |  | $ | 7,457,199 |  |  | $ | — |
Derivative liabilities, at fair value |  | 37,797 |  |  | 31,070 |  |  | 2,964 |  |  | 3,763 |
Servicing rights, at fair value |  | 7,310 |  |  | — |  |  | — |  |  | 7,310 |
Debt obligations: |  |  |  |  |  |  |  |
Secured credit facilities |  | 343,759 |  |  | — |  |  | 345,596 |  |  | — |
Term Notes |  | 199,133 |  |  | — |  |  | 200,000 |  |  | — |
Senior Notes |  | 1,085,316 |  |  | — |  |  | 1,057,977 |  |  | — |
Liability for loans eligible for repurchase |  | 363,373 |  |  | — |  |  | 363,373 |  |  | — |
Financial Statement Items Measured at Fair Value on a Recurring Basis The following tables presents the Company’s assets and liabilities that are measured at fair value on a recurring basis by fair value hierarchy as of the dates indicated.
|  | June 30, 2022
|  | Recurring Fair Value Measurements of Assets and Liabilities Using:
|  | Quoted Market Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value Measurements
Fair value through net income: |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |
Loans held for sale |  | $ | — |  |  | $ | 4,656,338 |  |  | $ | — |  |  | $ | 4,656,338 |
Trading securities |  | — |  |  | 105,308 |  |  | — |  |  | 105,308 |
Derivative assets: |  |  |  |  |  |  |  |
Interest rate lock commitments |  | — |  |  | — |  |  | 91,886 |  |  | 91,886 |
Forward sale contracts |  | — |  |  | 43,926 |  |  | — |  |  | 43,926 |
MBS put options |  | — |  |  | 17,795 |  |  | — |  |  | 17,795 |
Servicing rights |  | — |  |  | — |  |  | 2,213,700 |  |  | 2,213,700 |
Total assets at fair value |  | $ | — |  |  | $ | 4,823,367 |  |  | $ | 2,305,586 |  |  | $ | 7,128,953 |
Liabilities: |  |  |  |  |  |  |  |
Derivative liabilities: |  |  |  |  |  |  |  |
Interest rate lock commitments |  | $ | — |  |  | $ | — |  |  | $ | 34,281 |  |  | $ | 34,281 |
Interest rate swap futures |  | 5,746 |  |  | — |  |  | — |  |  | 5,746 |
Forward sale contracts |  | — |  |  | 10,694 |  |  | — |  |  | 10,694 |
Put options on treasuries |  | 9,113 |  |  | — |  |  | — |  |  | 9,113 |
MBS put options |  | — |  |  | 12,924 |  |  | — |  |  | 12,924 |
Servicing rights |  | — |  |  | — |  |  | 9,107 |  |  | 9,107 |
Total liabilities at fair value |  | $ | 14,859 |  |  | $ | 23,618 |  |  | $ | 43,388 |  |  | $ | 81,865 |
|  | December 31, 2021
|  | Recurring Fair Value Measurements of Assets and Liabilities Using:
|  | Quoted Market Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value Measurements
Fair value through net income: |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |
Loans held for sale |  | $ | — |  |  | $ | 8,136,817 |  |  | $ | — |  |  | $ | 8,136,817 |
Trading securities |  | — |  |  | 72,874 |  |  | — |  |  | 72,874 |
Derivative assets: |  |  |  |  |  |  |  |
Interest rate lock commitments |  | — |  |  | — |  |  | 184,383 |  |  | 184,383 |
Forward sale contracts |  | — |  |  | 5,358 |  |  | — |  |  | 5,358 |
Interest rate swap futures |  | 4,924 |  |  | — |  |  | — |  |  | 4,924 |
Servicing rights |  | — |  |  | — |  |  | 2,006,712 |  |  | 2,006,712 |
Total assets at fair value |  | $ | 4,924 |  |  | $ | 8,215,049 |  |  | $ | 2,191,095 |  |  | $ | 10,411,068 |
Liabilities: |  |  |  |  |  |  |  |
Derivative liabilities: |  |  |  |  |  |  |  |
Interest rate lock commitments |  | $ | — |  |  | $ | — |  |  | $ | 3,763 |  |  | $ | 3,763 |
Forward sale contracts |  | — |  |  | 2,964 |  |  | — |  |  | 2,964 |
Put options on treasuries |  | 31,070 |  |  | — |  |  | — |  |  | 31,070 |
Servicing rights |  | — |  |  | — |  |  | 7,310 |  |  | 7,310 |
Total liabilities at fair value |  | $ | 31,070 |  |  | $ | 2,964 |  |  | $ | 11,073 |  |  | $ | 45,107 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following presents the changes in the Company’s assets and liabilities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
|  | Three Months Ended June 30, 2022 |  | Six Months Ended June 30, 2022
|  | IRLCs, net |  | Servicing Rights, net |  | IRLCs, net |  | Servicing Rights, net
Balance at beginning of period |  | $ | 12,000 |  |  | $ | 2,078,187 |  |  | $ | 180,620 |  |  | $ | 1,999,402 |
Total net gains or losses included in earnings (realized and unrealized) |  | 114,197 |  |  | 212,777 |  |  | 257,154 |  |  | 624,546 |
Sales and settlements |  |  |  |  |  |  |  |
Sales |  | — |  |  | (86,371) |  |  | — |  |  | (419,355) |
Settlements (1) |  | (38,536) |  |  | — |  |  | (271,458) |  |  | — |
Transfers of IRLCs to closed loans |  | (30,056) |  |  | — |  |  | (108,711) |  |  | — |
Balance at end of period |  | $ | 57,605 |  |  | $ | 2,204,593 |  |  | $ | 57,605 |  |  | $ | 2,204,593 |
(1)Funded amount for IRLCs.
|  | Three Months Ended June 30, 2021 |  | Six Months Ended June 30, 2021
|  | IRLCs, net |  | Servicing Rights, net |  | IRLCs, net |  | Servicing Rights, net
Balance at beginning of period |  | $ | 246,778 |  |  | $ | 1,766,088 |  |  | $ | 647,045 |  |  | $ | 1,124,302 |
Total net gains or losses included in earnings (realized and unrealized) |  | 720,422 |  |  | 203,937 |  |  | 1,108,970 |  |  | 846,359 |
Sales and settlements |  |  |  |  |  |  |  |
Sales |  | — |  |  | (193,630) |  |  | — |  |  | (194,266) |
Settlements (1) |  | (432,748) |  |  | — |  |  | (1,026,450) |  |  | — |
Transfers of IRLCs to closed loans |  | (201,371) |  |  | — |  |  | (396,484) |  |  | — |
Balance at end of period |  | $ | 333,081 |  |  | $ | 1,776,395 |  |  | $ | 333,081 |  |  | $ | 1,776,395 |
(1)Funded amount for IRLCs. The following presents the gains and losses included in earnings relating to the Company’s assets and liabilities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
|  | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2022
|  | IRLCs, net (1) |  | Servicing Rights, net(2) |  | IRLCs, net (1) |  | Servicing Rights, net(3)
Total net gains (losses) included in earnings |  | $ | 45,605 |  |  | $ | 212,777 |  |  | $ | (123,015) |  |  | $ | 624,546 |
Change in unrealized gains relating to assets and liabilities still held at period end |  | $ | 57,605 |  |  | $ | 215,835 |  |  | $ | 57,605 |  |  | $ | 615,444 |
(1)Gains (losses) included in gain on origination and sale of loans, net. (2)Includes $180.5 million in gains included in gain on origination and sale of loans, net and $32.3 million of gains included in change in fair value of servicing rights, net, for the three months ended June 30, 2022. (3)Includes $450.2 million in gains included in gain on origination and sale of loans, net and $174.3 million of gains included in change in fair value of servicing rights, net, for the six months ended June 30, 2022.
|  | Three Months Ended June 30, 2021 |  | Six Months Ended June 30, 2021
|  | IRLCs, net (1) |  | Servicing Rights, net(2) |  | Interest Rate Lock Commitments(1) |  | Servicing Rights, net(3)
Total net gains (losses) included in earnings |  | $ | 86,303 |  |  | $ | 203,937 |  |  | $ | (313,964) |  |  | $ | 846,359 |
Change in unrealized gains relating to assets and liabilities still held at period end |  | $ | 333,081 |  |  | $ | 296,555 |  |  | $ | 333,081 |  |  | $ | 1,038,347 |
(1)Gains (losses) included in gain on origination and sale of loans, net. (2)Includes $427.5 million in gains included in gain on origination and sale of loans, net and $223.5 million in losses included in change in fair value of servicing rights, net, for the three months ended June 30, 2021. (3)Includes $957.0 million in gains included in gain on origination and sale of loans, net and $110.6 million of losses included in change in fair value of servicing rights, net, for the six months ended June 30, 2021.
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | The following presents the changes in the Company’s assets and liabilities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
|  | Three Months Ended June 30, 2022 |  | Six Months Ended June 30, 2022
|  | IRLCs, net |  | Servicing Rights, net |  | IRLCs, net |  | Servicing Rights, net
Balance at beginning of period |  | $ | 12,000 |  |  | $ | 2,078,187 |  |  | $ | 180,620 |  |  | $ | 1,999,402 |
Total net gains or losses included in earnings (realized and unrealized) |  | 114,197 |  |  | 212,777 |  |  | 257,154 |  |  | 624,546 |
Sales and settlements |  |  |  |  |  |  |  |
Sales |  | — |  |  | (86,371) |  |  | — |  |  | (419,355) |
Settlements (1) |  | (38,536) |  |  | — |  |  | (271,458) |  |  | — |
Transfers of IRLCs to closed loans |  | (30,056) |  |  | — |  |  | (108,711) |  |  | — |
Balance at end of period |  | $ | 57,605 |  |  | $ | 2,204,593 |  |  | $ | 57,605 |  |  | $ | 2,204,593 |
(1)Funded amount for IRLCs.
|  | Three Months Ended June 30, 2021 |  | Six Months Ended June 30, 2021
|  | IRLCs, net |  | Servicing Rights, net |  | IRLCs, net |  | Servicing Rights, net
Balance at beginning of period |  | $ | 246,778 |  |  | $ | 1,766,088 |  |  | $ | 647,045 |  |  | $ | 1,124,302 |
Total net gains or losses included in earnings (realized and unrealized) |  | 720,422 |  |  | 203,937 |  |  | 1,108,970 |  |  | 846,359 |
Sales and settlements |  |  |  |  |  |  |  |
Sales |  | — |  |  | (193,630) |  |  | — |  |  | (194,266) |
Settlements (1) |  | (432,748) |  |  | — |  |  | (1,026,450) |  |  | — |
Transfers of IRLCs to closed loans |  | (201,371) |  |  | — |  |  | (396,484) |  |  | — |
Balance at end of period |  | $ | 333,081 |  |  | $ | 1,776,395 |  |  | $ | 333,081 |  |  | $ | 1,776,395 |
(1)Funded amount for IRLCs. The following presents the gains and losses included in earnings relating to the Company’s assets and liabilities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
|  | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2022
|  | IRLCs, net (1) |  | Servicing Rights, net(2) |  | IRLCs, net (1) |  | Servicing Rights, net(3)
Total net gains (losses) included in earnings |  | $ | 45,605 |  |  | $ | 212,777 |  |  | $ | (123,015) |  |  | $ | 624,546 |
Change in unrealized gains relating to assets and liabilities still held at period end |  | $ | 57,605 |  |  | $ | 215,835 |  |  | $ | 57,605 |  |  | $ | 615,444 |
(1)Gains (losses) included in gain on origination and sale of loans, net. (2)Includes $180.5 million in gains included in gain on origination and sale of loans, net and $32.3 million of gains included in change in fair value of servicing rights, net, for the three months ended June 30, 2022. (3)Includes $450.2 million in gains included in gain on origination and sale of loans, net and $174.3 million of gains included in change in fair value of servicing rights, net, for the six months ended June 30, 2022.
|  | Three Months Ended June 30, 2021 |  | Six Months Ended June 30, 2021
|  | IRLCs, net (1) |  | Servicing Rights, net(2) |  | Interest Rate Lock Commitments(1) |  | Servicing Rights, net(3)
Total net gains (losses) included in earnings |  | $ | 86,303 |  |  | $ | 203,937 |  |  | $ | (313,964) |  |  | $ | 846,359 |
Change in unrealized gains relating to assets and liabilities still held at period end |  | $ | 333,081 |  |  | $ | 296,555 |  |  | $ | 333,081 |  |  | $ | 1,038,347 |
(1)Gains (losses) included in gain on origination and sale of loans, net. (2)Includes $427.5 million in gains included in gain on origination and sale of loans, net and $223.5 million in losses included in change in fair value of servicing rights, net, for the three months ended June 30, 2021. (3)Includes $957.0 million in gains included in gain on origination and sale of loans, net and $110.6 million of losses included in change in fair value of servicing rights, net, for the six months ended June 30, 2021.
Fair Value Measurement Inputs and Valuation Techniques | The following table presents quantitative information about the valuation techniques and unobservable inputs applied to Level 3 fair value measurements for financial instruments measured at fair value on a recurring basis:
|  | June 30, 2022 |  | December 31, 2021
Unobservable Input |  | Range of inputs |  | Weighted Average (2) |  | Range of inputs |  | Weighted Average (2)
IRLCs: |  |  |  |  |  |  |  |  |  |  |  |
Pull-through rate |  | 1.0% | - | 99.9% |  | 80.2% |  | 0.3% | - | 99.3% |  | 74.2%
Servicing rights |  |  |  |  |  |  |  |  |  |  |  |
Discount rate(1) |  | 4.6% | - | 10.5% |  | 6.2% |  | 4.5% | - | 9.0% |  | 5.8%
Prepayment rate(1) |  | 5.4% | - | 14.9% |  | 7.2% |  | 8.4% | - | 18.7% |  | 10.2%
Cost to service (per loan) |  | $63 | - | $136 |  | $85 |  | $70 | - | $114 |  | $82
(1)The Company estimates the fair value of MSRs using an option-adjusted spread (“OAS”) model, which projects MSR cash flows over multiple interest rate scenarios in conjunction with the Company’s prepayment model, and then discounts these cash flows at risk-adjusted rates. (2)Weighted average inputs are based on the committed amounts for IRLCs and the UPB of the underlying loans for servicing rights.

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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -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://www.xbrl.org/2003/role/disclosureRef -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 + Details
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