XML 52 R42.htm IDEA: XBRL DOCUMENT v3.22.2

Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2022

Fair Value Measurements

Schedule of financial instruments carried at fair value on a recurring basis

​

​	​	​	​	​	​	​	​	​	​	​	​
(in thousands)	Level 1		​	Level 2		​	Level 3		​	Total
June 30, 2022	​	​	​	​	​	​	​	​	​	​	​
Assets:	​	​	​	​	​	​	​	​	​	​	​
Loans, held for sale, at fair value	$	—	​	$	268,579	​	$	200,863	​	$	469,442
Loans, net, at fair value		—	​		—	​		9,956	​		9,956
Investments held to maturity		—	​		—	​		9,601	​		9,601
Paycheck Protection Program loans		—	​		763	​		—	​		763
MBS, at fair value		—	​		38,982	​		1,666	​		40,648
Derivative instruments, at fair value	​	—	​	​	44,131	​	​	2,399	​	​	46,530
Residential MSRs, at fair value		—	​		—	​		168,653	​		168,653
Investment in unconsolidated joint ventures		—	​		—	​		8,439	​		8,439
Total assets	$	—	​	$	352,455	​	$	401,577	​	$	754,032
​	​	​	​	​	​	​	​	​	​	​	​
Liabilities:	​	​	​	​	​	​	​	​	​	​	​
Derivative instruments, at fair value	$	—	​	$	1,303	​	$	—	​	$	1,303
Contingent consideration	​	—	​	​	—	​	​	92,548	​	​	92,548
Total liabilities	$	—	​	$	1,303	​	$	92,548	​	$	93,851
December 31, 2021	​	​	​	​	​	​	​	​	​	​	​
Assets:	​	​	​	​	​	​	​	​	​	​	​
Loans, held for sale, at fair value	$	—	​	$	321,070	​	$	231,865	​	$	552,935
Loans, net, at fair value		—	​		—	​		10,766	​		10,766
Paycheck Protection Program loans		—	​		—	​		3,243	​		3,243
MBS, at fair value		—	​		97,915	​		1,581	​		99,496
Derivative instruments, at fair value		—	​	​	4,683	​	​	2,339	​		7,022
Residential MSRs, at fair value		—	​		—	​		120,142	​		120,142
Investment in unconsolidated joint ventures		—	​		—	​		8,894	​	​	8,894
Total assets	$	—	​	$	423,668	​	$	378,830	​	$	802,498
​	​	​	​	​	​	​	​	​	​	​	​
Liabilities:	​	​	​	​	​	​	​	​	​	​	​
Derivative instruments, at fair value	$	—	​	$	410	​	$	—	​	$	410
Contingent consideration	​	—	​	​	—	​	​	16,400	​	​	16,400
Total liabilities	$	—	​	$	410	​	$	16,400	​	$	16,810

Summary of the valuation techniques and significant unobservable inputs used for the Company's financial instruments that are categorized within Level 3 of the fair value hierarchy

​

The table below presents the valuation techniques and significant unobservable inputs used to value Level 3 financial instruments, using third party information without adjustment.

​	​	​	​	​	​	​	​	​	​	​
​	​	​	​	​	​	​	​	​	​	​
(in thousands)	Fair Value		Predominant Valuation Technique (a)			Type	Range		Weighted Average
June 30, 2022	​	​	​	​	​	​	​	​	​	​
Investments held to maturity	$	9,601	​	Income Approach	​	Discount rate	​	12.0%	​	12.0%
Residential MSRs, at fair value	$	168,653		Income Approach		Forward prepayment rate | Forward Default Rate | Discount rate | Servicing expense	​	(b)	​	(b)
Investment in unconsolidated joint ventures	​ $	8,439	​	Income Approach	​	Discount rate	​	9.0%	​	9.0%
Derivative instruments, at fair value	​ ​ $	2,399	​	Market Approach	​	Origination pull-through rate | Servicing Fee Multiple | Percentage of unpaid principal balance	​	48.3 - 100% | 1.1 - 6.5% | 0.3 to 3.2%	​	85.1% | 4.7% | 1.6%
​ Contingent consideration- Red Stone	​ $	(8,200)	​	Monte Carlo Simulation Model	​	EBT volatility | EBT discount rate | Liability discount rate	​	25.0% | 4.0% | 6.5%	​	25.0% | 4.0% | 6.5%
Contingent consideration- Mosaic CER dividends	​ $	(18,475)	​	Monte Carlo Simulation Model	​	Equity volatility | Risk-free rate of return | Discount Rate	​	45.0% | 2.14% | 9.98%	​	45.0% | 2.14% | 9.98%
Contingent consideration- Mosaic CER units	​ $	(65,873)	​	Income Approach and PWERM Model	​	Revaluation discount rate | Discount rate	​	8.50 - 12.00% | 9.98%	​	9.6% | 9.98%
December 31, 2021	​		​			​	​		​
Derivative instruments, at fair value	$	2,339	​	Market Approach	​	Origination pull-through rate | Servicing Fee Multiple | Percentage of unpaid principal balance	​	63.0 - 100% | 0.4 - 5.2% | 0.1 to 3.1%	​	86.7% | 4.1% | 1.3%
Residential MSRs, at fair value	$	120,142		Income Approach		Forward prepayment rate | Forward Default Rate | Discount rate | Servicing expense	​	(b)	​	(b)
Investment in unconsolidated joint ventures	$	8,894	​	Income Approach	​	Discount rate	​	9.0%	​	9.0%
Contingent consideration	$	(16,400)	​	Monte Carlo Simulation Model	​	EBT volatility | Risk-free rate of return | EBT discount rate | Liability discount rate	​	25.0% | 0.4% | 17.6% | 3.8%	​	25.0% | 0.4% | 17.6% | 3.8%

(a) Prices are weighted based on the unpaid principal balance of the loans and securities included in the range for each class.

(b)Refer to Note 9 - Servicing Rights for more information on residential MSRs unobservable inputs.

​

Summary of changes in the fair value of financial instruments held at fair value classified as Level 3

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

(in thousands)

MBS

Derivatives

Loans, net

Loans, held for sale, at fair value

​

Investments held to maturity

​

PPP loans

Residential MSRs

​

Investment in unconsolidated joint ventures

​

Contingent Consideration

​

​

Total

Three Months Ended June 30, 2022

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Beginning Balance

$

7,014

​

$

(2,616)

​

$

10,722

​

$

203,958

​

$

17,053

​

$

—

​

$

159,834

​

$

8,610

​

$

(92,148)

​

$

312,427

Purchases or Originations

—

​

—

​

—

​

5,900

​

—

​

—

​

—

​

—

​

—

​

​

5,900

Additions due to loans sold, servicing retained

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

12,448

​

​

—

​

​

—

​

​

12,448

Sales / Principal payments

​

(1,352)

​

​

—

​

​

—

​

​

(115)

​

​

(7,296)

​

​

—

​

​

(3,614)

​

​

—

​

​

—

​

​

(12,377)

Realized gains (losses), net

​

(1,449)

​

​

—

​

​

—

​

​

(1)

​

​

(156)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(1,606)

Unrealized gains (losses), net

​

2,661

​

​

5,015

​

​

(766)

​

​

(5,014)

​

​

—

​

​

—

​

​

(15)

​

​

(171)

​

​

(400)

​

​

1,310

Accreted discount, net

​

1

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

1

Transfer to loans, held for investment

​

—

​

​

—

​

​

—

​

​

(3,862)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(3,862)

Transfer to (from) Level 3

​

(5,209)

​

​

—

​

​

—

​

​

(3)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(5,212)

Ending Balance

$

1,666

​

$

2,399

​

$

9,956

​

$

200,863

​

$

9,601

​

$

—

​

$

168,653

​

$

8,439

​

$

(92,548)

​

$

309,029

Unrealized gains (losses), net on assets/liabilities

$

239

​

$

2,399

​

$

(1,000)

​

$

(13,953)

​

$

—

​

$

—

​

$

2,293

​

$

(757)

​

$

(800)

​

$

(11,579)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Six Months Ended June 30, 2022

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Beginning Balance

$

1,581

​

$

2,339

​

$

10,766

​

$

231,865

​

$

—

​

$

3,243

​

$

120,142

​

$

8,894

​

$

(16,400)

​

$

362,430

Purchases or Originations

—

​

—

​

—

​

23,470

​

—

​

—

​

—

​

—

​

—

​

23,470

Additions due to loans sold, servicing retained

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

22,954

​

​

—

​

​

—

​

​

22,954

Sales / Principal payments

​

(1,352)

​

​

—

​

​

—

​

​

(32,709)

​

​

(7,296)

​

​

(1,400)

​

​

(7,026)

​

​

—

​

​

9,000

​

​

(40,783)

Realized gains (losses), net

​

(1,449)

​

​

—

​

​

—

​

​

(787)

​

​

(156)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(2,392)

Unrealized gains (losses), net

​

2,705

​

​

60

​

​

(810)

​

​

(15,774)

​

​

—

​

​

—

​

​

32,583

​

​

(455)

​

​

(800)

​

​

17,509

Accreted discount, net

​

1

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

1

Merger

​

—

​

​

—

​

​

—

​

​

—

​

​

17,053

​

​

—

​

​

—

​

​

—

​

​

(84,348)

​

​

(67,295)

Transfer to loans, held for investment

​

—

​

​

—

​

​

—

​

​

(3,862)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(3,862)

Transfer to (from) Level 3

​

180

​

​

—

​

​

—

​

​

(1,340)

​

​

—

​

​

(1,843)

​

​

—

​

​

—

​

​

—

​

​

(3,003)

Ending Balance

$

1,666

​

$

2,399

​

$

9,956

​

$

200,863

​

$

9,601

​

$

—

​

$

168,653

​

$

8,439

​

$

(92,548)

​

$

309,029

Unrealized gains (losses), net on assets/liabilities

$

239

​

$

2,399

​

$

(1,000)

​

$

(13,953)

​

$

—

​

$

—

​

$

2,293

​

$

(757)

​

$

(800)

​

$

(11,579)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three Months Ended June 30, 2021

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Beginning Balance

$

5,633

​

$

11,724

​

$

13,618

​

$

—

​

$

—

​

$

38,388

​

$

98,542

​

$

—

​

$

—

​

$

167,905

Accreted discount, net

2

​

—

​

—

​

—

​

—

​

—

​

—

​

—

​

—

​

​

2

Additions due to loans sold, servicing retained

—

​

—

​

—

​

—

​

—

​

—

​

11,925

​

—

​

—

​

​

11,925

Sales / Principal payments

​

—

​

​

—

​

​

(11)

​

​

—

​

​

—

​

​

(21,957)

​

​

(4,948)

​

​

—

​

​

—

​

​

(26,916)

Unrealized gains (losses), net

​

125

​

​

(5,594)

​

​

74

​

​

—

​

​

—

​

​

—

​

​

(4,699)

​

​

—

​

​

—

​

​

(10,094)

Transfer to (from) Level 3

​

(4,046)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(4,046)

Ending Balance

$

1,714

​

$

6,130

​

$

13,681

​

$

—

​

$

—

​

$

16,431

​

$

100,820

​

$

—

​

$

—

​

$

138,776

Unrealized gains (losses), net on assets/liabilities

$

286

​

$

6,130

​

$

(189)

​

$

—

​

$

—

​

$

—

​

$

(36,553)

​

$

—

​

$

—

​

$

(30,326)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Six Months Ended June 30, 2021

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Beginning Balance

$

25,131

​

$

16,363

​

$

13,795

​

$

—

​

$

—

​

$

74,931

​

$

76,840

​

$

—

​

$

—

​

$

207,060

Purchases or Originations

—

​

—

​

—

​

—

​

—

​

3,866

​

—

​

—

​

—

​

​

3,866

Additions due to loans sold, servicing retained

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

23,973

​

​

—

​

​

—

​

​

23,973

Sales / Principal payments

​

(92)

​

​

—

​

​

(212)

​

​

—

​

​

—

​

​

(62,366)

​

​

(10,650)

​

​

—

​

​

—

​

​

(73,320)

Realized gains (losses), net

​

—

​

​

—

​

​

(5)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(5)

Unrealized gains (losses), net

​

1,194

​

​

(10,233)

​

​

103

​

​

—

​

​

—

​

​

—

​

​

10,657

​

​

—

​

​

—

​

​

1,721

Accreted discount, net

​

60

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

60

Transfer to (from) Level 3

​

(24,579)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(24,579)

Ending Balance

$

1,714

​

$

6,130

​

$

13,681

​

$

—

​

$

—

​

$

16,431

​

$

100,820

​

$

—

​

$

—

​

$

138,776

Unrealized gains (losses), net on assets/liabilities

$

286

​

$

6,130

​

$

(189)

​

$

—

​

$

—

​

$

—

​

$

(36,553)

​

$

—

​

$

—

​

$

(30,326)

Summary of the carrying value and estimated fair value of financial instruments not carried at fair value on the consolidated balance sheets and are classified as Level 3

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

June 30, 2022

​

December 31, 2021

(in thousands)

Carrying Value

Estimated Fair Value

Carrying Value

Estimated Fair Value

Assets:

​

​

​

​

​

​

​

​

​

​

​

​

Loans, net

​

$

9,701,653

​

$

9,795,382

​

$

6,986,528

​

$

7,112,282

Paycheck Protection Program loans

​

​

388,426

​

​

388,427

​

​

867,109

​

​

927,766

Investments held to maturity

​

​

149,440

​

​

149,440

​

​

—

​

​

—

Purchased future receivables, net

​

​

8,704

​

​

8,704

​

​

7,872

​

​

7,872

Servicing rights

​

​

84,858

​

88,455

​

84,457

​

89,470

Total assets

​

$

10,333,081

​

$

10,430,408

​

$

7,945,966

​

$

8,137,390

Liabilities:

​

​

​

​

​

​

​

​

​

​

​

​

Secured borrowings

​

$

3,212,383

​

$

3,212,383

​

$

2,517,600

​

$

2,517,600

Paycheck Protection Program Liquidity Facility borrowings

​

​

427,759

​

​

427,759

​

​

941,505

​

​

941,505

Securitized debt obligations of consolidated VIEs, net

​

4,533,789

​

4,499,632

​

3,214,303

​

3,238,155

Senior secured note, net

​

​

342,469

​

​

318,459

​

​

342,035

​

​

338,990

Guaranteed loan financing

​

304,158

​

318,209

​

345,217

​

366,887

Convertible notes, net

​

​

113,818

​

​

116,733

​

​

113,247

​

​

118,922

Corporate debt, net

​

​

565,230

​

​

550,057

​

​

441,817

​

​

457,741

Total liabilities

​

$

9,499,606

​

$

9,443,232

​

$

7,915,724

​

$

7,979,800

X

- Definition

Tabular disclosure of carrying and estimated fair value of assets and liabilities not carried at fair value and are classified as Level 3.

+ References

No definition available.

+ Details

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Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique used to measure similar asset in prior period by class of asset or liability on non-recurring 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 http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258

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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
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-Publisher FASB
-Name Accounting Standards Codification
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-Section 50
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-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258

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No definition available.

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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)
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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258

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