XML 52 R42.htm IDEA: XBRL DOCUMENT v3.22.2.2

Fair Value Measurements (Tables)

9 Months Ended

Sep. 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
September 30, 2022	​	​	​	​	​	​	​	​	​	​	​
Assets:	​	​	​	​	​	​	​	​	​	​	​
Loans, held for sale, at fair value	$	—	​	$	215,894	​	$	187,715	​	$	403,609
Loans, net, at fair value		—	​		—	​		9,582	​		9,582
Paycheck Protection Program loans		—	​		599	​		—	​		599
MBS, at fair value		—	​		37,895	​		—	​		37,895
Derivative instruments, at fair value	​	—	​	​	26,212	​	​	—	​	​	26,212
Residential MSRs, at fair value		—	​		—	​		192,153	​		192,153
Investment in unconsolidated joint ventures		—	​		—	​		8,268	​		8,268
Total assets	$	—	​	$	280,600	​	$	397,718	​	$	678,318
​	​	​	​	​	​	​	​	​	​	​	​
Liabilities:	​	​	​	​	​	​	​	​	​	​	​
Derivative instruments, at fair value	$	—	​	$	—	​	$	4,345	​	$	4,345
Contingent consideration	​	—	​	​	—	​	​	33,200	​	​	33,200
Total liabilities	$	—	​	$	—	​	$	37,545	​	$	37,545
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
September 30, 2022	​	​	​	​	​	​	​	​	​	​
Residential MSRs, at fair value	$	192,153		Income Approach		Forward prepayment rate | Forward Default Rate | Discount rate | Servicing expense	​	(b)	​	(b)
Investment in unconsolidated joint ventures	​ $	8,268	​	Income Approach	​	Discount rate	​	9.0%	​	9.0%
Derivative instruments, at fair value	​ ​ $	(4,345)	​	Market Approach	​	Origination pull-through rate | Servicing Fee Multiple | Percentage of unpaid principal balance	​	55.0 - 100% | 0.2 - 6.7% | 0.1 to 3.3%	​	85.1% | 5.3% | 1.8%
​ Contingent consideration- Red Stone	​ $	(8,200)	​	Monte Carlo Simulation Model	​	EBT volatility | EBT discount rate | Liability discount rate	​	25.0% | 15.2% | 3.8%	​	25.0% | 15.2% | 3.8%
Contingent consideration- Mosaic CER dividends	​ $	(5,000)	​	Monte Carlo Simulation Model	​	Equity volatility | Risk-free rate of return | Discount Rate	​	45.0% | 4.2% | 11.8%	​	45.0% | 4.2% | 11.8%
Contingent consideration- Mosaic CER units	​ $	(20,000)	​	Income Approach and PWERM Model	​	Revaluation discount rate | Discount rate	​	12.0% | 11.8%	​	12.0% | 11.8%
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 September 30, 2022

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Beginning Balance

$

1,666

​

$

2,399

​

$

9,956

​

$

200,863

​

$

9,601

​

$

—

​

$

168,653

​

$

8,439

​

$

(92,548)

​

$

309,029

Additions due to loans sold, servicing retained

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

9,463

​

​

—

​

​

—

​

​

9,463

Sales / Principal payments

​

—

​

​

—

​

​

—

​

​

(182)

​

​

(5,877)

​

​

—

​

​

(2,610)

​

​

—

​

​

—

​

​

(8,669)

Measurement Period Adjustment

​

—

​

​

—

​

​

—

​

​

—

​

​

(3,724)

​

​

—

​

​

—

​

​

—

​

​

59,348

​

​

55,624

Realized losses, net

​

—

​

​

—

​

​

—

​

​

(1)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(1)

Unrealized gains (losses), net

​

(17)

​

​

(6,744)

​

​

(374)

​

​

(12,965)

​

​

—

​

​

—

​

​

16,647

​

​

(171)

​

​

—

​

​

(3,624)

Transfer to (from) Level 3

​

(1,649)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(1,649)

Ending Balance

$

—

​

$

(4,345)

​

$

9,582

​

$

187,715

​

$

—

​

$

—

​

$

192,153

​

$

8,268

​

$

(33,200)

​

$

360,173

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Nine Months Ended September 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

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

32,417

​

​

—

​

​

—

​

​

32,417

Sales / Principal payments

​

(1,352)

​

​

—

​

​

—

​

​

(32,891)

​

​

(13,173)

​

​

(1,400)

​

​

(9,636)

​

​

—

​

​

9,000

​

​

(49,452)

Accreted discount, net

​

1

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

1

Realized gains (losses), net

​

(1,449)

​

​

—

​

​

—

​

​

(788)

​

​

(156)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(2,393)

Unrealized gains (losses), net

​

2,688

​

​

(6,684)

​

​

(1,184)

​

​

(28,739)

​

​

—

​

​

—

​

​

49,230

​

​

(626)

​

​

(800)

​

​

13,885

Measurement Period Adjustment

​

—

​

​

—

​

​

—

​

​

—

​

​

(3,724)

​

​

—

​

​

—

​

​

—

​

​

59,348

​

​

55,624

Merger

​

—

​

​

—

​

​

—

​

​

—

​

​

17,053

​

​

—

​

​

—

​

​

—

​

​

(84,348)

​

​

(67,295)

Transfer to loans, held for investment

​

—

​

​

—

​

​

—

​

​

(3,862)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(3,862)

Transfer to (from) Level 3

​

(1,469)

​

​

—

​

​

—

​

​

(1,340)

​

​

—

​

​

(1,843)

​

​

—

​

​

—

​

​

—

​

​

(4,652)

Ending Balance

$

—

​

$

(4,345)

​

$

9,582

​

$

187,715

​

$

—

​

$

—

​

$

192,153

​

$

8,268

​

$

(33,200)

​

$

360,173

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three Months Ended September 30, 2021

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Beginning Balance

$

1,714

​

$

6,130

​

$

13,681

​

$

—

​

$

—

​

$

16,431

​

$

100,820

​

$

—

​

$

—

​

$

138,776

Purchases or Originations

—

​

—

​

—

​

—

​

—

​

—

​

—

​

—

​

(12,400)

​

​

(12,400)

Additions due to loans sold, servicing retained

—

​

—

​

—

​

—

​

—

​

—

​

11,622

​

—

​

—

​

​

11,622

Sales / Principal payments

​

—

​

​

—

​

​

(1,380)

​

​

—

​

​

—

​

​

(6,558)

​

​

(5,000)

​

​

—

​

​

—

​

​

(12,938)

Unrealized gains (losses), net

​

29

​

​

(3,770)

​

​

(139)

​

​

—

​

​

—

​

​

—

​

​

147

​

​

—

​

​

—

​

​

(3,733)

Transfer to (from) Level 3

​

(191)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(191)

Ending Balance

$

1,552

​

$

2,360

​

$

12,162

​

$

—

​

$

—

​

$

9,873

​

$

107,589

​

$

—

​

$

(12,400)

​

$

121,136

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Nine Months Ended September 30, 2021

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Beginning Balance

$

25,131

​

$

16,363

​

$

13,795

​

$

—

​

$

—

​

$

74,931

​

$

76,840

​

$

—

​

$

—

​

$

207,060

Purchases or Originations

—

​

—

​

—

​

—

​

—

​

3,866

​

—

​

—

​

(12,400)

​

​

(8,534)

Additions due to loans sold, servicing retained

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

35,595

​

​

—

​

​

—

​

​

35,595

Sales / Principal payments

​

(92)

​

​

—

​

​

(1,592)

​

​

—

​

​

—

​

​

(68,924)

​

​

(15,650)

​

​

—

​

​

—

​

​

(86,258)

Realized losses, net

​

—

​

​

—

​

​

(5)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(5)

Unrealized gains (losses), net

​

1,223

​

​

(14,003)

​

​

(36)

​

​

—

​

​

—

​

​

—

​

​

10,804

​

​

—

​

​

—

​

​

(2,012)

Accreted discount, net

​

60

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

60

Transfer to (from) Level 3

​

(24,770)

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

—

​

​

(24,770)

Ending Balance

$

1,552

​

$

2,360

​

$

12,162

​

$

—

​

$

—

​

$

9,873

​

$

107,589

​

$

—

​

$

(12,400)

​

$

121,136

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

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

September 30, 2022

​

December 31, 2021

(in thousands)

Carrying Value

Estimated Fair Value

Carrying Value

Estimated Fair Value

Assets:

​

​

​

​

​

​

​

​

​

​

​

​

Loans, net

​

$

9,832,532

​

$

9,564,785

​

$

6,986,528

​

$

7,112,282

Paycheck Protection Program loans

​

​

275,162

​

​

289,041

​

​

867,109

​

​

927,766

Investments held to maturity

​

​

148,512

​

​

148,512

​

​

—

​

​

—

Purchased future receivables, net

​

​

8,593

​

​

8,593

​

​

7,872

​

​

7,872

Servicing rights

​

​

85,539

​

89,338

​

84,457

​

89,470

Total assets

​

$

10,350,338

​

$

10,100,269

​

$

7,945,966

​

$

8,137,390

Liabilities:

​

​

​

​

​

​

​

​

​

​

​

​

Secured borrowings

​

$

3,348,249

​

$

3,348,249

​

$

2,517,600

​

$

2,517,600

Paycheck Protection Program Liquidity Facility borrowings

​

​

305,797

​

​

305,797

​

​

941,505

​

​

941,505

Securitized debt obligations of consolidated VIEs, net

​

4,429,846

​

4,377,054

​

3,214,303

​

3,238,155

Senior secured note, net

​

​

341,720

​

​

298,390

​

​

342,035

​

​

338,990

Guaranteed loan financing

​

283,822

​

297,402

​

345,217

​

366,887

Convertible notes, net

​

​

114,108

​

​

115,617

​

​

113,247

​

​

118,922

Corporate debt, net

​

​

663,439

​

​

641,978

​

​

441,817

​

​

457,741

Total liabilities

​

$

9,486,981

​

$

9,384,487

​

$

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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Namespace Prefix:	rc_
Data Type:	dtr-types:textBlockItemType
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Period Type:	duration

X

- Definition

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 https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

+ Details

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X

- Definition

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
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI https://asc.fasb.org/extlink&oid=126976982&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)
-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

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