XML 47 R33.htm IDEA: XBRL DOCUMENT v3.21.2

Fair Value (Tables)

6 Months Ended

Jun. 30, 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:

									June 30, 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						$	680,866					$	680,866					$	366,364					$	366,364
Loans held for sale, at lower of cost or fair value (b)			3						15,154						15,154						21,472						21,472
Total Loans held for sale									$	696,020					$	696,020					$	387,836					$	387,836
Loans held for investment
Loans held for investment - Reverse mortgages (a)			3						$	7,112,273					$	7,112,273					$	6,997,127					$	6,997,127
Loans held for investment - Restricted for securitization investors (a)			3						8,680						8,680						9,770						9,770
Total loans held for investment									$	7,120,953					$	7,120,953					$	7,006,897					$	7,006,897

									June 30, 2021												December 31, 2020
			Level						Carrying Value						Fair Value						Carrying Value						Fair Value
Advances, net (c)			3						$	761,973					$	761,973					$	828,239					$	828,239
Receivables, net (c)			3						165,185						165,185						187,665						187,665
Mortgage-backed securities (a)			3						1,607						1,607						2,019						2,019
Corporate bonds (a)			2						211						211						211						211
Investment in equity method investee (c)			3						11,878						11,878						—						—
Financial liabilities:
Advance match funded liabilities (c)			3						$	530,182					$	530,765					$	581,288					$	581,997
Financing liabilities:
HMBS-related borrowings (a)			3						$	6,823,911					$	6,823,911					$	6,772,711					$	6,772,711
Financing liability - MSRs pledged (Rights to MSRs) (a)			3						535,571						535,571						566,952						566,952
Financing liability - Owed to securitization investors (a)			3						8,680						8,680						9,770						9,770
Total Financing liabilities									$	7,368,162					$	7,368,162					$	7,349,433					$	7,349,433
Senior secured term loan (c) (d)			2						$	—					$	—					$	179,776					$	184,639
Mortgage loan warehouse facilities (c)			3						773,352						773,352						451,713						451,713
MSR financing facilities(c) (d)			3						1,012,478						982,795						437,672						406,860
Senior notes:
Senior notes (c) (d) (f)			2						391,750						406,144						311,898						320,879
OFC Senior notes due 2027 (c) (d) (f)			3						218,850						259,874						—						—
Total Senior notes									$	610,600					$	666,018					$	311,898					$	320,879
Derivative financial instrument assets (liabilities)
Interest rate lock commitments (a)			3						$	17,437					$	17,437					$	22,706					$	22,706
Forward trades - Loans held for sale (a)			2						147						147						(50)						(50)
TBA / Forward mortgage-backed securities (MBS) trades (a)			1						2,250						2,250						(4,554)						(4,554)
Interest rate swap futures (a)			1						2,297						2,297						504						504
TBA forward Pipeline trades (a)			1						(1,580)						(1,580)						—						—
Other			3						(5)						(5)						—						—
MSRs (a)			3						$	2,072,518					$	2,072,518					$	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 12 – Borrowings for additional information.

(e)Loans repurchased from Ginnie Mae securitizations with a fair value of $139.0 million and $51.1 million at June 30, 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 and May 3, 2021, Ocwen completed the private placement of $199.5 million and $85.5 million, respectively, aggregate principal amount of senior secured second lien notes. These notes are classified as Level 3. See Note 12 – 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 June 30, 2021
Beginning balance															$	8,820					$	(8,820)					$	71,367					$	1,613											$	14,589
Purchases, issuances, sales and settlements
Purchases															—						—						107,206						—												—
Issuances															—						—						—						—												127,386
Sales															—						—						(38,167)						—												—
Settlements															(140)						140						—						—												—
Transfers (to) from:
Loans held for sale, at fair value															—						—						—						—												(113,822)
Other assets															—						—						(281)						—												—
Receivables, net															—						—						(555)						—												—
															(140)						140						68,203						—												13,564
Change in fair value included in earnings															—						—						(728)						(6)												(10,716)
Ending balance															$	8,680					$	(8,680)					$	138,842					$	1,607											$	17,437

															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 June 30, 2020
Beginning balance															$	22,561					$	(21,365)					$	25,582					$	1,670											$	10,478
Purchases, issuances, sales and settlements
Purchases															—						—						58,510						—												—
Issuances															—						—						—						—												69,504
Deconsolidation of mortgage-backed securitization trusts															(10,715)						9,519						—						—												—
Sales															—						—						(58,550)						—												—
Settlements															(182)						326						(426)						—												(62,323)
Transfers (to) from:
Other assets															—						—						(270)						—												—
															(10,897)						9,845						(736)						—												7,181
Change in fair value included in earnings															—						(144)						1,104						56												159
Ending balance															$	11,664					$	(11,664)					$	25,950					$	1,726											$	17,818

															Loans Held for Investment - Restricted for Securitization Investors						Financing Liability - Owed to Securitization Investors						Loans Held for Sale - Fair Value						Mortgage-backed Securities												IRLCs
Six Months Ended June 30, 2021
Beginning balance															$	9,770					$	(9,770)					$	51,072					$	2,019											$	22,706
Purchases, issuances, sales and settlements
Purchases															—						—						166,121						—												—
Issuances															—						—						—						—												261,756
Sales															—						—						(71,056)						—												—
Settlements															(1,090)						1,090						—						—												—
Transfers (to) from:
Loans held for sale, at fair value															—						—						—						—												(242,386)
Other assets															—						—						(377)						—												—
Receivables, net															—						—						(555)						—												—
															(1,090)						1,090						94,133						—												19,370
Change in fair value included in earnings															—						—						(6,363)						(412)												(24,639)
Ending balance															$	8,680					$	(8,680)					$	138,842					$	1,607											$	17,437

															Loans Held for Investment - Restricted for Securitization Investors						Financing Liability - Owed to Securitization Investors						Loans Held for Sale - Fair Value						Mortgage-backed Securities												IRLCs
Six Months Ended June 30, 2020
Beginning balance															$	23,342					$	(22,002)					$	—					$	2,075											$	—
Purchases, issuances, sales and settlements
Purchases															—						—						58,510						—												—
Issuances															—						—						—						—												69,504
Deconsolidation of mortgage-backed securitization trusts															(10,715)						9,519						—						—												—
Sales															—						—						(58,550)						—												—
Settlements															(963)						963						(426)						—												(62,323)
Transfers (to) from:
Receivables, net															—						—						(270)						—												—
															(11,678)						10,482						(736)						—												7,181
Change in fair value included in earnings															—						(144)						1,104						(349)												159
Transfers in and / or out of Level 3															—						—						25,582						—												10,478
Ending balance															$	11,664					$	(11,664)					$	25,950					$	1,726											$	17,818

Schedule of Significant Assumptions used in Valuation

Significant unobservable assumptions			June 30, 2021						December 31, 2020
Life in years
Range			1.2 to 8.4						0.9 to 8.0
Weighted average			5.7						5.9
Conditional prepayment rate, including voluntary and involuntary prepayments
Range			10.8% to 32.9%						10.6% to 28.8%
Weighted average			16.0		%				15.4		%
Discount rate			2.2		%				1.9		%

Significant unobservable assumptions			June 30, 2021												December 31, 2020
			Agency						Non-Agency						Agency						Non-Agency
Weighted average prepayment speed			9.1		%				12.1		%				11.8		%				11.5		%
Weighted average lifetime delinquency rate			2.1		%				28.0		%				3.0		%				28.0		%
Weighted average discount rate			8.6		%				11.0		%				9.2		%				11.4		%
Weighted average cost to service (in dollars)			$	78					$	272					$	79					$	270

Significant unobservable assumptions			June 30, 2021						December 31, 2020
Life in years
Range			1.2 to 8.4						0.9 to 8.0
Weighted average			5.7						5.9
Conditional prepayment rate
Range			10.8% to 32.9%						10.6% to 28.8%
Weighted average			16.0		%				15.4		%
Discount rate			2.0		%				1.7		%

Significant unobservable assumptions			June 30, 2021						December 31, 2020
Weighted average prepayment speed			11.7		%				11.5		%
Weighted average delinquency rate			29.4		%				29.8		%
Weighted average discount rate			11.0		%				11.4		%
Weighted average cost to service (in dollars)			$	285					$	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 June 30, 2021 given hypothetical increases in lifetime prepayments and yield assumptions:

Adverse change in fair value			10%						20%
Weighted average prepayment speeds			$	(68,082)					$	(131,504)
Weighted average discount rate			(55,639)						(107,581)

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 http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnNonrecurringBasisValuationTechniquesTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

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 http://asc.fasb.org/extlink&oid=117815213&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 http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
-URI http://asc.fasb.org/extlink&oid=121572278&loc=d3e13467-108611

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 (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueByBalanceSheetGroupingTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of a sensitivity analysis or stress test showing the hypothetical effect on the fair value of the transferor's interests in transferred financial assets (including any servicing assets or servicing liabilities) of two or more unfavorable variations from the expected levels for each key assumption that is reported, independently determined from any change in another key assumption, and a description of the objectives, methodology, and limitations of the sensitivity analysis or stress test.

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 860
-SubTopic 20
-Section 50
-Paragraph 4
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719

+ Details

Name:	us-gaap_ScheduleOfSensitivityAnalysisOfFairValueOfInterestsContinuedToBeHeldByTransferorServicingAssetsOrServicingLiabilitiesTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration