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Fair Value (Tables)

9 Months Ended

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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