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Fair Value (Tables)

3 Months Ended

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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