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FAIR VALUE | 12 Months Ended
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Dec. 31, 2023
Fair Value Disclosures [Abstract] |
FAIR VALUE | FAIR VALUE The Company's consolidated financial statements include assets and liabilities that are measured based on their estimated fair values. Refer to Note 1- Description of Business and Summary of Significant Accounting Policies for information on the fair value hierarchy, valuation methodologies, and key inputs used to measure financial assets and liabilities recorded at fair value, as well as methods and assumptions used to estimate fair value disclosures for financial instruments not recorded at fair value in their entirety on a recurring basis. 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.
|  | December 31, 2023
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Fair value through net income: |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |
Loans held for sale |  | $ | — |  |  | $ | 2,132,880 |  |  | $ | — |  |  | $ | 2,132,880 |
Trading securities |  | — |  |  | 92,901 |  |  | — |  |  | 92,901 |
Derivative assets: |  |  |  |  |  |  |  |
Interest rate lock commitments |  | — |  |  | — |  |  | 49,112 |  |  | 49,112 |
Forward sale contracts |  | — |  |  | 16,610 |  |  | — |  |  | 16,610 |
Interest rate swap futures |  | 26,476 |  |  | — |  |  | — |  |  | 26,476 |
MBS put options |  | — |  |  | 1,376 |  |  | — |  |  | 1,376 |
Servicing rights |  | — |  |  | — |  |  | 1,999,763 |  |  | 1,999,763 |
Total assets at fair value |  | $ | 26,476 |  |  | $ | 2,243,767 |  |  | $ | 2,048,875 |  |  | $ | 4,319,118 |
Liabilities: |  |  |  |  |  |  |  |
Derivative liabilities: |  |  |  |  |  |  |  |
Interest rate lock commitments |  | $ | — |  |  | $ | — |  |  | $ | 1,172 |  |  | $ | 1,172 |
Forward sale contracts |  | — |  |  | 83,728 |  |  | — |  |  | 83,728 |
Put options on treasuries |  | 62 |  |  | — |  |  | — |  |  | 62 |
Servicing rights |  | — |  |  | — |  |  | 14,045 |  |  | 14,045 |
Total liabilities at fair value |  | $ | 62 |  |  | $ | 83,728 |  |  | $ | 15,217 |  |  | $ | 99,007 |
|  | December 31, 2022
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Fair value through net income: |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |
Loans held for sale |  | $ | — |  |  | $ | 2,373,427 |  |  | $ | — |  |  | $ | 2,373,427 |
Trading securities |  | — |  |  | 94,243 |  |  | — |  |  | 94,243 |
Derivative assets: |  |  |  |  |  |  |  |
Interest rate lock commitments |  | — |  |  | — |  |  | 29,374 |  |  | 29,374 |
Forward sale contracts |  | — |  |  | 6,676 |  |  | — |  |  | 6,676 |
MBS put options |  | — |  |  | 3,361 |  |  | — |  |  | 3,361 |
Servicing rights |  | — |  |  | — |  |  | 2,037,447 |  |  | 2,037,447 |
Total assets at fair value |  | $ | — |  |  | $ | 2,477,707 |  |  | $ | 2,066,821 |  |  | $ | 4,544,528 |
Liabilities: |  |  |  |  |  |  |  |
Derivative liabilities: |  |  |  |  |  |  |  |
Interest rate lock commitments |  | $ | — |  |  | $ | — |  |  | $ | 5,784 |  |  | $ | 5,784 |
Interest rate swap futures |  | 7,395 |  |  | — |  |  | — |  |  | 7,395 |
Forward sale contracts |  | — |  |  | 43,482 |  |  | — |  |  | 43,482 |
Put options on treasuries |  | 10,831 |  |  | — |  |  | — |  |  | 10,831 |
Servicing rights |  | — |  |  | — |  |  | 12,311 |  |  | 12,311 |
Total liabilities at fair value |  | $ | 18,226 |  |  | $ | 43,482 |  |  | $ | 18,095 |  |  | $ | 79,803 |
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):
|  | Year Ended December 31, 2023
|  | IRLCs, net |  | Servicing Rights, net
Balance at beginning of period |  | $ | 23,590 |  |  | $ | 2,025,136 |
Total net gains (losses) included in: |  |  |  |
Gain on origination and sale of loans, net: |  |  |  |
Issuances and additions |  | 387,498 |  |  | 277,387 |
Transfers of IRLC to LHFS |  | (275,451) |  |  | — |
Other factors |  | (87,697) |  |  | — |
Change in fair value of servicing rights, net(1) |  | — |  |  | (136,118) |
Sales |  | — |  |  | (180,687) |
Balance at end of period |  | $ | 47,940 |  |  | $ | 1,985,718 |
(1)The change in unrealized gains or losses relating to servicing rights still held at December 31, 2023 amounted to a net loss of $61.1 million for the year ended December 31, 2023.
|  | Year Ended December 31, 2022
|  | IRLCs, net |  | Servicing Rights, net
Balance at beginning of period |  | $ | 180,620 |  |  | $ | 1,999,402 |
Total net gains (losses) included in: |  |  |  |
Gain on origination and sale of loans, net: |  |  |  |
Issuances and additions |  | 380,443 |  |  | 647,716 |
Transfers of IRLC to LHFS |  | (377,071) |  |  | — |
Other factors |  | (160,402) |  |  | — |
Change in fair value of servicing rights, net(1) |  | — |  |  | 143,169 |
Sales |  | — |  |  | (765,151) |
Balance at end of period |  | $ | 23,590 |  |  | $ | 2,025,136 |
(1)The change in unrealized gains or losses relating to servicing rights that were still held at December 31, 2022, amounted to a net gain of $710.3 million for the year ended December 31, 2022.
| Year Ended December 31, 2021
|  | IRLCs, net |  | Servicing Rights, net
Balance at beginning of period |  | $ | 647,045 |  |  | $ | 1,124,302 |
Total net gains (losses) included in: |  |  |  |
Gain on origination and sale of loans, net: |  |  |  |
Issuances and additions |  | 2,169,847 |  |  | 1,610,596 |
Transfers of IRLC to LHFS |  | (1,969,541) |  |  | — |
Other factors |  | (666,731) |  |  | — |
Change in fair value of servicing rights, net(1) |  | — |  |  | (351,767) |
Sales |  | — |  |  | (383,729) |
Balance at end of period |  | $ | 180,620 |  |  | $ | 1,999,402 |
(1)The change in unrealized gains or losses relating to servicing rights that were still held at December 31, 2021, amounted to a net gain of $1.3 billion for the year ended December 31, 2021. 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:
|  | December 31, 2023 |  | December 31, 2022
Unobservable Input |  | Range of inputs |  | Weighted Average(1) |  | Range of inputs |  | Weighted Average(1)
IRLCs |  |  |  |  |  |  |  |  |  |  |  |
Pull-through rate |  | 2.7% | - | 99.9% |  | 76.7% |  | 8.4% | - | 99.9% |  | 75.3%
Servicing rights |  |  |  |  |  |  |  |  |  |  |  |
Discount rate(2) |  | 4.6% | - | 16.8% |  | 6.4% |  | 5.0% | - | 16.1% |  | 6.5%
Prepayment rate(2) |  | 5.6% | - | 22.4% |  | 8.1% |  | 5.8% | - | 17.6% |  | 7.2%
Cost to service (per loan) |  | $72 | - | $126 |  | $90 |  | $63 | - | $138 |  | $87
(1)Weighted average inputs are based on the committed amounts for IRLCs and the UPB of the underlying loans for servicing rights. (2)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. Financial Statement Items Measured at Fair Value on a Nonrecurring Basis The Company did not have any material assets or liabilities that were recorded at fair value on a non-recurring basis as of December 31, 2023 or December 31, 2022. Financial Statement Items Measured at Amortized Cost The following table presents the carrying amount and estimated fair value of financial instruments included in the consolidated financial statements that are not recorded at fair value on a recurring or nonrecurring basis. The table excludes cash and cash equivalents, restricted cash, warehouse and other lines of credit, and secured debt facilities as these financial instruments are highly liquid or short-term in nature and as a result, their carrying amounts approximate fair value:
|  | December 31, 2023 |  | December 31, 2022
|  | Carrying Amount |  | Estimated Fair Value |  | Carrying Amount |  | Estimated Fair Value
Senior Notes |  | $ | 989,318 |  |  | $ | 886,492 |  |  | $ | 991,822 |  |  | $ | 645,495 |
Fair value of the Company’s Senior Notes issued in October 2020 and March 2021 was estimated using quoted market prices and classified as Level 2 in the fair value hierarchy.

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- 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 -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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