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Fair Value (Tables) | 3 Months Ended
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Mar. 31, 2021
Fair Value Disclosures [Abstract] |
Schedule of Fair Value Assets and Liabilities | The carrying amounts and the estimated fair values of our financial instruments and certain of our nonfinancial assets measured at fair value on a recurring or non-recurring basis or disclosed, but not measured, at fair value are as follows:
|  |  | March 31, 2021 |  | December 31, 2020
| Level |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Financial assets |  |  |  |  |  |  |  |  |
Loans held for sale |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value (a) (e) | 3, 2 |  | $ | 500,814 |  |  | $ | 500,814 |  |  | $ | 366,364 |  |  | $ | 366,364 |
Loans held for sale, at lower of cost or fair value (b) | 3 |  | 17,009 |  |  | 17,009 |  |  | 21,472 |  |  | 21,472 |
Total Loans held for sale |  |  | $ | 517,823 |  |  | $ | 517,823 |  |  | $ | 387,836 |  |  | $ | 387,836 |
Loans held for investment |  |  |  |  |  |  |  |  |
Loans held for investment - Reverse mortgages (a) | 3 |  | $ | 7,044,374 |  |  | $ | 7,044,374 |  |  | $ | 6,997,127 |  |  | $ | 6,997,127 |
Loans held for investment - Restricted for securitization investors (a) | 3 |  | 8,820 |  |  | 8,820 |  |  | 9,770 |  |  | 9,770 |
Total loans held for investment |  |  | $ | 7,053,194 |  |  | $ | 7,053,194 |  |  | $ | 7,006,897 |  |  | $ | 7,006,897 |
Advances, net (c) | 3 |  | $ | 786,678 |  |  | $ | 786,678 |  |  | $ | 828,239 |  |  | $ | 828,239 |
Receivables, net (c) | 3 |  | 178,209 |  |  | 178,209 |  |  | 187,665 |  |  | 187,665 |
Mortgage-backed securities (a) | 3 |  | 1,613 |  |  | 1,613 |  |  | 2,019 |  |  | 2,019 |
Corporate bonds (a) | 2 |  | 211 |  |  | 211 |  |  | 211 |  |  | 211 |
Financial liabilities: |  |  |  |  |  |  |  |  |
Advance match funded liabilities (c) | 3 |  | $ | 550,437 |  |  | $ | 550,862 |  |  | $ | 581,288 |  |  | $ | 581,997 |
Financing liabilities: |  |  |  |  |  |  |  |  |
HMBS-related borrowings (a) | 3 |  | $ | 6,778,195 |  |  | $ | 6,778,195 |  |  | $ | 6,772,711 |  |  | $ | 6,772,711 |
Financing liability - MSRs pledged (Rights to MSRs) (a) | 3 |  | 550,364 |  |  | 550,364 |  |  | 566,952 |  |  | 566,952 |
Financing liability - Owed to securitization investors (a) | 3 |  | 8,820 |  |  | 8,820 |  |  | 9,770 |  |  | 9,770 |
Total Financing liabilities |  |  | $ | 7,337,379 |  |  | $ | 7,337,379 |  |  | $ | 7,349,433 |  |  | $ | 7,349,433 |
Other secured borrowings: |  |  |  |  |  |  |  |  |
Senior secured term loan (c) (d) | 2 |  | $ | — |  |  | $ | — |  |  | $ | 179,776 |  |  | $ | 184,639 |
Mortgage warehouse and MSR financing (c) (d) | 3 |  | 1,066,022 |  |  | 1,037,199 |  |  | 889,385 |  |  | 858,573 |
Total Other secured borrowings |  |  | $ | 1,066,022 |  |  | $ | 1,037,199 |  |  | $ | 1,069,161 |  |  | $ | 1,043,212 |
|  |  | March 31, 2021 |  | December 31, 2020
| Level |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Senior notes: |  |  |  |  |  |  |  |  |
Senior notes (c) (d) (f) | 2 |  | 391,377 |  |  | 399,537 |  |  | 311,898 |  |  | 320,879 |
OFC Senior notes due 2027 (c) (d) (f) | 3 |  | 151,550 |  |  | 180,318 |  |  | — |  |  | — |
Total Senior notes |  |  | $ | 542,927 |  |  | $ | 579,855 |  |  | $ | 311,898 |  |  | $ | 320,879 |
Derivative financial instrument assets (liabilities) |  |  |  |  |  |  |  |  |
Interest rate lock commitments (a) | 3 |  | $ | 14,589 |  |  | $ | 14,589 |  |  | $ | 22,706 |  |  | $ | 22,706 |
Forward trades - Loans held for sale (a) | 2 |  | (52) |  |  | (52) |  |  | (50) |  |  | (50) |
TBA / Forward mortgage-backed securities (MBS) trades (a) | 1 |  | 480 |  |  | 480 |  |  | (4,554) |  |  | (4,554) |
Interest rate swap futures (a) | 1 |  | (9,532) |  |  | (9,532) |  |  | 504 |  |  | 504 |
Other | 3 |  | (14) |  |  | (14) |  |  | — |  |  | — |
MSRs (a) | 3 |  | $ | 1,400,217 |  |  | $ | 1,400,217 |  |  | $ | 1,294,817 |  |  | $ | 1,294,817 |
(a)Measured at fair value on a recurring basis. (b)Measured at fair value on a non-recurring basis. (c)Disclosed, but not measured, at fair value. (d)The carrying values are net of unamortized debt issuance costs and discount. See Note 11 – Borrowings for additional information. (e)Loans repurchased from Ginnie Mae securitizations with a fair value of $71.4 million and $51.1 million at March 31, 2021 and December 31, 2020, respectively, are classified as Level 3. The remaining balance of loans held for sale at fair value is classified as Level 2. (f)On March 4, 2021, PMC completed the issuance and sale of $400.0 million aggregate principal amount of senior secured notes. Fair value is based on valuation data obtained from a pricing service. Therefore, these notes are classified as Level 2. Additionally on March 4, 2021, Ocwen completed the private placement of $199.5 million aggregate principal amount of senior secured second lien notes. These notes are classified as Level 3 as we determine fair value based on valuations provided by third parties involved in the issuance and placement of the notes. These methodologies are consistent with our current fair value policies. See Note 11 – Borrowings for additional information.
Schedule of Reconciliation of Changes in Fair Value of Level 3 Assets and Liabilities | The following tables present a reconciliation of the changes in fair value of Level 3 assets and liabilities that we measure at fair value on a recurring basis:
|  |  |  |  | Loans Held for Investment - Restricted for Securitization Investors |  | Financing Liability - Owed to Securitization Investors |  | Loans Held for Sale - Fair Value |  | Mortgage-Backed Securities |  |  |  | IRLCs |  |  |  |
Three months ended March 31, 2021
Beginning balance |  |  |  |  | $ | 9,770 |  |  | $ | (9,770) |  |  | $ | 51,072 |  |  | $ | 2,019 |  |  |  |  | $ | 22,706 |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases |  |  |  |  | — |  |  | — |  |  | 58,916 |  |  | — |  |  |  |  | — |  |  |  |  |
Issuances |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | 134,370 |  |  |  |  |
Sales |  |  |  |  | — |  |  | — |  |  | (32,889) |  |  | — |  |  |  |  | — |  |  |  |  |
Settlements |  |  |  |  | (950) |  |  | 950 |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Transfers (to) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | (128,564) |  |  |  |  |
Other assets |  |  |  |  | — |  |  | — |  |  | (96) |  |  | — |  |  |  |  | — |  |  |  |  |
|  |  |  |  | (950) |  |  | 950 |  |  | 25,931 |  |  | — |  |  |  |  | 5,806 |  |  |  |  |
Change in fair value included in earnings |  |  |  |  | — |  |  | — |  |  | (5,640) |  |  | (406) |  |  |  |  | (13,923) |  |  |  |  |
Calls and other |  |  |  |  | — |  |  | — |  |  | 4 |  |  | — |  |  |  |  | — |  |  |  |  |
|  |  |  |  | — |  |  | — |  |  | (5,636) |  |  | (406) |  |  |  |  | (13,923) |  |  |  |  |
Ending balance |  |  |  |  | $ | 8,820 |  |  | $ | (8,820) |  |  | $ | 71,367 |  |  | $ | 1,613 |  |  |  |  | $ | 14,589 |  |  |  |  |
|  |  |  |  | Loans Held for Investment - Restricted for Securitization Investors |  | Financing Liability - Owed to Securitization Investors |  | Loans Held for Sale - Fair Value |  | Mortgage-Backed Securities |  |  |  | IRLCs |  |  |  |
Three months ended March 31, 2020
Beginning balance |  |  |  |  | $ | 23,342 |  |  | $ | (22,002) |  |  | $ | — |  |  | $ | 2,075 |  |  |  |  | $ | — |  |  |  |  |
Settlements |  |  |  |  | (781) |  |  | 637 |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Change in fair value included in earnings |  |  |  |  | — |  |  | — |  |  |  |  | (405) |  |  |  |  | — |  |  |  |  |
Transfers in and / or out of Level 3 |  |  |  |  | — |  |  | — |  |  | 25,582 |  |  | — |  |  |  |  | 10,478 |  |  |  |  |
Ending balance |  |  |  |  | $ | 22,561 |  |  | $ | (21,365) |  |  | $ | 25,582 |  |  | $ | 1,670 |  |  |  |  | $ | 10,478 |  |  |  |  |
Schedule of Significant Assumptions used in Valuation |
Significant unobservable assumptions | March 31, 2021 |  | December 31, 2020
Life in years |  |  |
Range | 0.9 to 7.9 |  | 0.9 to 8.0
Weighted average | 5.5 |  | 5.9 |
Conditional prepayment rate, including voluntary and involuntary prepayments |  |  |
Range | 10.7% to 37.6% |  | 10.6% to 28.8%
Weighted average | 16.5 | % |  | 15.4 | %
Discount rate | 2.4 | % |  | 1.9 | %
Significant unobservable assumptions | March 31, 2021 |  | December 31, 2020
Agency |  | Non-Agency |  | Agency |  | Non-Agency
Weighted average prepayment speed | 10.0 | % |  | 11.4 | % |  | 11.8 | % |  | 11.5 | %
Weighted average lifetime delinquency rate | 2.6 | % |  | 27.8 | % |  | 3.0 | % |  | 28.0 | %
Weighted average discount rate | 9.2 | % |  | 11.5 | % |  | 9.2 | % |  | 11.4 | %
Weighted average cost to service (in dollars) | $ | 76 |  |  | $ | 270 |  |  | $ | 79 |  |  | $ | 270 |
Significant unobservable assumptions | March 31, 2021 |  | December 31, 2020
Life in years |  |  |
Range | 0.9 to 8.0 |  | 0.9 to 8.0
Weighted average | 5.9 |  | 5.9 |
Conditional prepayment rate |  |  |
Range | 10.7% to 37.6% |  | 10.6% to 28.8%
Weighted average | 16.5 | % |  | 15.4 | %
Discount rate | 2.3 | % |  | 1.7 | %
Significant unobservable assumptions | March 31, 2021 |  | December 31, 2020
Weighted average prepayment speed | 11.4 | % |  | 11.5 | %
Weighted average delinquency rate | 29.5 | % |  | 29.8 | %
Weighted average discount rate | 11.5 | % |  | 11.4 | %
Weighted average cost to service (in dollars) | $ | 286 |  |  | $ | 287 |
Summary of Estimated Change in the Value of MSRs Carried at Fair Value | The following table summarizes the estimated change in the value of the MSRs as of March 31, 2021 given hypothetical shifts in lifetime prepayments and yield assumptions:
Adverse change in fair value | 10% |  | 20%
Weighted average prepayment speeds | $ | (42,029) |  |  | $ | (82,863) |
Weighted average discount rate | (30,387) |  |  | (58,785) |

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