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Fair Value (Tables) | 9 Months Ended
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Sep. 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:
|  |  | September 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 |  | $ | 921,621 |  |  | $ | 921,621 |  |  | $ | 366,364 |  |  | $ | 366,364 |
Loans held for sale, at lower of cost or fair value (b) | 3 |  | 12,079 |  |  | 12,079 |  |  | 21,472 |  |  | 21,472 |
Total Loans held for sale |  |  | $ | 933,700 |  |  | $ | 933,700 |  |  | $ | 387,836 |  |  | $ | 387,836 |
Loans held for investment |  |  |  |  |  |  |  |  |
Loans held for investment - Reverse mortgages (a) | 3 |  | $ | 7,100,726 |  |  | $ | 7,100,726 |  |  | $ | 6,997,127 |  |  | $ | 6,997,127 |
Loans held for investment - Restricted for securitization investors (a) | 3 |  | 8,004 |  |  | 8,004 |  |  | 9,770 |  |  | 9,770 |
Total loans held for investment |  |  | $ | 7,108,730 |  |  | $ | 7,108,730 |  |  | $ | 7,006,897 |  |  | $ | 7,006,897 |
Advances, net (c) | 3 |  | $ | 739,596 |  |  | $ | 739,596 |  |  | $ | 828,239 |  |  | $ | 828,239 |
Receivables, net (c) | 3 |  | 183,090 |  |  | 183,090 |  |  | 187,665 |  |  | 187,665 |
Mortgage-backed securities (a) | 3 |  | 1,618 |  |  | 1,618 |  |  | 2,019 |  |  | 2,019 |
Corporate bonds (a) | 2 |  | 211 |  |  | 211 |  |  | 211 |  |  | 211 |
Investment in equity method investee (c) | 3 |  | 19,794 |  |  | 19,794 |  |  | — |  |  | — |
Financial liabilities: |  |  |  |  |  |  |  |  |
Advance match funded liabilities (c) | 3 |  | $ | 516,572 |  |  | $ | 515,405 |  |  | $ | 581,288 |  |  | $ | 581,997 |
Financing liabilities: |  |  |  |  |  |  |  |  |
HMBS-related borrowings (a) | 3 |  | $ | 6,782,564 |  |  | $ | 6,782,564 |  |  | $ | 6,772,711 |  |  | $ | 6,772,711 |
Other financing liabilities |  |  |  |  |  |  |  |  |
Financing liability -Transferred MSR liability (a) | 3 |  | 702,907 |  |  | 702,907 |  |  | 566,952 |  |  | 566,952 |
Financing liability - Owed to securitization investors (a) | 3 |  | 8,004 |  |  | 8,004 |  |  | 9,770 |  |  | 9,770 |
Total Other financing liabilities |  |  | 710,911 |  |  | 710,911 |  |  | 576,722 |  |  | 576,722 |
Senior secured term loan (c) (d) | 2 |  | $ | — |  |  | $ | — |  |  | $ | 179,776 |  |  | $ | 184,639 |
Mortgage loan warehouse facilities (c) | 3 |  | 1,069,170 |  |  | 1,069,170 |  |  | 451,713 |  |  | 451,713 |
MSR financing facilities (c) (d) | 3 |  | 945,744 |  |  | 918,217 |  |  | 437,672 |  |  | 406,860 |
Senior notes: |  |  |  |  |  |  |  |  |
Senior notes (c) (d) (f) | 2 |  | 392,190 |  |  | 403,490 |  |  | 311,898 |  |  | 320,879 |
OFC Senior notes due 2027 (c) (d) (f) | 3 |  | 220,468 |  |  | 258,805 |  |  | — |  |  | — |
Total Senior notes |  |  | $ | 612,658 |  |  | $ | 662,295 |  |  | $ | 311,898 |  |  | $ | 320,879 |
|  |  | September 30, 2021 |  | December 31, 2020
| Level |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Derivative financial instrument assets (liabilities) |  |  |  |  |  |  |  |  |
Interest rate lock commitments (a) | 3 |  | $ | 14,030 |  |  | $ | 14,030 |  |  | $ | 22,706 |  |  | $ | 22,706 |
Forward trades - Loans held for sale (a) | 2 |  | 421 |  |  | 421 |  |  | (50) |  |  | (50) |
TBA / Forward mortgage-backed securities (MBS) trades (a) | 1 |  | (11,227) |  |  | (11,227) |  |  | (4,554) |  |  | (4,554) |
Interest rate swap futures (a) | 1 |  | (8,236) |  |  | (8,236) |  |  | 504 |  |  | 504 |
TBA forward Pipeline trades (a) | 1 |  | 5,262 |  |  | 5,262 |  |  | — |  |  | — |
Other | 3 |  | (438) |  |  | (438) |  |  | — |  |  | — |
MSRs (a) | 3 |  | $ | 2,176,260 |  |  | $ | 2,176,260 |  |  | $ | 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 $210.8 million and $51.1 million at September 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 September 30, 2021
Beginning balance |  |  |  |  | $ | 8,680 |  |  | $ | (8,680) |  |  | $ | 138,842 |  |  | $ | 1,607 |  |  |  |  | $ | 17,437 |  |  |  |  |
Cumulative effect of fair value election |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases |  |  |  |  | — |  |  | — |  |  | 136,996 |  |  | — |  |  |  |  | — |  |  |  |  |
Issuances |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | 184,995 |  |  |  |  |
Sales |  |  |  |  | — |  |  | — |  |  | (64,032) |  |  | — |  |  |  |  | — |  |  |  |  |
Settlements |  |  |  |  | (676) |  |  | 676 |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Transfers (to) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | (182,783) |  |  |  |  |
Receivables, net |  |  |  |  | — |  |  | — |  |  | (558) |  |  | — |  |  |  |  | — |  |  |  |  |
|  |  |  |  | (676) |  |  | 676 |  |  | 72,406 |  |  | — |  |  |  |  | 2,212 |  |  |  |  |
Change in fair value included in earnings |  |  |  |  | — |  |  | — |  |  | (496) |  |  | 11 |  |  |  |  | (5,619) |  |  |  |  |
Transfers in and / or out of Level 3 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Ending balance |  |  |  |  | $ | 8,004 |  |  | $ | (8,004) |  |  | $ | 210,752 |  |  | $ | 1,618 |  |  |  |  | $ | 14,030 |  |  |  |  |
|  |  |  |  | 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 September 30, 2020
Beginning balance |  |  |  |  | $ | 11,664 |  |  | $ | (11,664) |  |  | $ | 25,950 |  |  | $ | 1,726 |  |  |  |  | $ | 17,818 |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases |  |  |  |  | — |  |  | — |  |  | 45,445 |  |  | — |  |  |  |  | — |  |  |  |  |
Issuances |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | 87,311 |  |  |  |  |
Sales |  |  |  |  | — |  |  | — |  |  | (45,723) |  |  | — |  |  |  |  | — |  |  |  |  |
Settlements |  |  |  |  | (652) |  |  | 652 |  |  | 356 |  |  | — |  |  |  |  | (77,785) |  |  |  |  |
Transfers (to) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Receivables, net |  |  |  |  | — |  |  | — |  |  | 157 |  |  | — |  |  |  |  | — |  |  |  |  |
|  |  |  |  | (652) |  |  | 652 |  |  | 235 |  |  | — |  |  |  |  | 9,526 |  |  |  |  |
Change in fair value included in earnings |  |  |  |  | — |  |  | — |  |  | 224 |  |  | 424 |  |  |  |  | (4,665) |  |  |  |  |
Ending balance |  |  |  |  | $ | 11,012 |  |  | $ | (11,012) |  |  | $ | 26,409 |  |  | $ | 2,150 |  |  |  |  | $ | 22,679 |  |  |  |  |
|  |  |  |  | Loans Held for Investment - Restricted for Securitization Investors |  | Financing Liability - Owed to Securitization Investors |  | Loans Held for Sale - Fair Value |  | Mortgage-backed Securities |  |  |  | IRLCs |  |  |  |
Nine Months Ended September 30, 2021
Beginning balance |  |  |  |  | $ | 9,770 |  |  | $ | (9,770) |  |  | $ | 51,072 |  |  | $ | 2,019 |  |  |  |  | $ | 22,706 |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases |  |  |  |  | — |  |  | — |  |  | 303,117 |  |  | — |  |  |  |  | — |  |  |  |  |
Issuances |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | 446,751 |  |  |  |  |
Sales |  |  |  |  | — |  |  | — |  |  | (135,088) |  |  | — |  |  |  |  | — |  |  |  |  |
Settlements |  |  |  |  | (1,766) |  |  | 1,766 |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Transfers (to) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | (425,169) |  |  |  |  |
Other assets |  |  |  |  | — |  |  | — |  |  | (377) |  |  | — |  |  |  |  | — |  |  |  |  |
Receivables, net |  |  |  |  | — |  |  | — |  |  | (1,113) |  |  | — |  |  |  |  | — |  |  |  |  |
|  |  |  |  | (1,766) |  |  | 1,766 |  |  | 166,539 |  |  | — |  |  |  |  | 21,582 |  |  |  |  |
Change in fair value included in earnings |  |  |  |  | — |  |  | — |  |  | (6,859) |  |  | (401) |  |  |  |  | (30,258) |  |  |  |  |
Ending balance |  |  |  |  | $ | 8,004 |  |  | $ | (8,004) |  |  | $ | 210,752 |  |  | $ | 1,618 |  |  |  |  | $ | 14,030 |  |  |  |  |
|  |  |  |  | Loans Held for Investment - Restricted for Securitization Investors |  | Financing Liability - Owed to Securitization Investors |  | Loans Held for Sale - Fair Value |  | Mortgage-backed Securities |  |  |  | IRLCs |  |
Nine Months Ended September 30, 2020
Beginning balance |  |  |  |  | $ | 23,342 |  |  | $ | (22,002) |  |  | $ | — |  |  | $ | 2,075 |  |  |  |  | $ | — |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases |  |  |  |  | — |  |  | — |  |  | 103,955 |  |  | — |  |  |  |  | — |  |  |
Issuances |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | 144,931 |  |  |
Deconsolidation of mortgage-backed securitization trusts |  |  |  |  | (10,715) |  |  | 9,519 |  |  | — |  |  | — |  |  |  |  | — |  |  |
Sales |  |  |  |  | — |  |  | — |  |  | (104,273) |  |  | — |  |  |  |  | — |  |  |
Settlements |  |  |  |  | (1,615) |  |  | 1,615 |  |  | (70) |  |  | — |  |  |  |  | — |  |  |
Transfers (to) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | (128,224) |  |  |
Receivables, net |  |  |  |  | — |  |  | — |  |  | (113) |  |  | — |  |  |  |  | — |  |  |
|  |  |  |  | (12,330) |  |  | 11,134 |  |  | (501) |  |  | — |  |  |  |  | 16,707 |  |  |
Change in fair value included in earnings |  |  |  |  | — |  |  | (144) |  |  | 1,328 |  |  | 75 |  |  |  |  | (4,506) |  |  |
Transfers in and / or out of Level 3 |  |  |  |  | — |  |  | — |  |  | 25,582 |  |  | — |  |  |  |  | 10,478 |  |  |
Ending balance |  |  |  |  | $ | 11,012 |  |  | $ | (11,012) |  |  | $ | 26,409 |  |  | $ | 2,150 |  |  |  |  | $ | 22,679 |  |  |
Schedule of Significant Assumptions used in Valuation |
Significant unobservable assumptions | September 30, 2021 |  | December 31, 2020
Life in years |  |  |
Range | 1.1 to 8.0 |  | 0.9 to 8.0
Weighted average | 5.6 |  | 5.9 |
Conditional prepayment rate, including voluntary and involuntary prepayments |  |  |
Range | 11.0% to 35.5% |  | 10.6% to 28.8%
Weighted average | 16.2 | % |  | 15.4 | %
Discount rate | 2.5 | % |  | 1.9 | %
Significant unobservable assumptions | September 30, 2021 |  | December 31, 2020
Agency |  | Non-Agency |  | Agency |  | Non-Agency
Weighted average prepayment speed | 9.0 | % |  | 12.0 | % |  | 11.8 | % |  | 11.5 | %
Weighted average lifetime delinquency rate | 1.4 | % |  | 12.8 | % |  | 3.0 | % |  | 28.0 | %
Weighted average discount rate | 8.6 | % |  | 11.2 | % |  | 9.2 | % |  | 11.4 | %
Weighted average cost to service (in dollars) | $ | 72 |  |  | $ | 209 |  |  | $ | 79 |  |  | $ | 270 |
Significant unobservable assumptions | September 30, 2021 |  | December 31, 2020
Life in years |  |  |
Range | 1.1 to 8.0 |  | 0.9 to 8.0
Weighted average | 5.6 |  | 5.9 |
Conditional prepayment rate |  |  |
Range | 11.0% to 35.5% |  | 10.6% to 28.8%
Weighted average | 16.2 | % |  | 15.4 | %
Discount rate | 2.3 | % |  | 1.7 | %
Significant unobservable assumptions | September 30, 2021 |  | December 31, 2020
Weighted average prepayment speed | 11.2 | % |  | 11.5 | %
Weighted average delinquency rate | 11.2 | % |  | 29.8 | %
Weighted average discount rate | 10.7 | % |  | 11.4 | %
Weighted average cost to service (in dollars) | $ | 199 |  |  | $ | 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 September 30, 2021 given hypothetical increases in lifetime prepayments and yield assumptions:
Adverse change in fair value | 10% |  | 20%
Weighted average prepayment speeds | $ | (65,965) |  |  | $ | (128,151) |
Weighted average discount rate | (53,571) |  |  | (103,573) |

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