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Fair Value (Tables)

12 Months Ended

Dec. 31, 2021

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Carrying Amounts and Estimated Fair Values of Financial Instruments and Nonfinancial Assets Measured at Fair Value on a Recurring or Non-recurring basis or Disclosed, but not Carried, at Fair Value

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:

									December 31,
									2021												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						$	917,534					$	917,534					$	366,364					$	366,364
Loans held for sale, at lower of cost or fair value (b)			3						10,993						10,993						21,472						21,472
Total Loans held for sale									$	928,527					$	928,527					$	387,836					$	387,836

									December 31,
									2021												2020
			Level						Carrying Value						Fair Value						Carrying Value						Fair Value
Loans held for investment
Loans held for investment - Reverse mortgages (a)			3						$	7,199,762					$	7,199,762					$	6,997,127					$	6,997,127
Loans held for investment - Restricted for securitization investors (a)			3						7,879						7,879						9,770						9,770
Total loans held for investment									7,207,641						7,207,641						7,006,897						7,006,897
Advances, net (c)			3						772,433						772,433						828,239						828,239
Receivables, net (c)			3						180,707						180,707						187,665						187,665
Mortgage-backed securities (a)			3						1						1						2,019						2,019
Corporate bonds (a)			2						211						211						211						211
Investment in equity method investee (c)			3						23,297						23,297						—						—
Financial liabilities:
Advance match funded liabilities (c)			3						$	512,297					$	511,994					$	581,288					$	581,997
Financing liabilities:
HMBS-related borrowings (a)			3						$	6,885,022					$	6,885,022					$	6,772,711					$	6,772,711
Other financing liabilities:
Financing liability - Pledged MSR liability (a)			3						797,084						797,084						566,952						566,952
Financing liability - Owed to securitization investors (a)			3						7,879						7,879						9,770						9,770
Total Other financing liabilities									$	804,963					$	804,963					$	576,722					$	576,722
Mortgage loan warehouse facilities (c)			3						$	1,085,076					$	1,085,076					$	451,713					$	451,713
MSR financing facilities (c) (d)			3						900,760						873,820						437,672						406,860
Senior secured term loan (c) (d)			2						$	—					$	—					$	179,776					$	184,639
Senior notes:
PMC & PHH Senior notes (c) (d) (f)			2						392,555						413,472						311,898						320,879
OFC Senior notes due 2027 (c) (d) (f)			3						222,242						261,455						—						—
Total Senior notes									$	614,797					$	674,927					$	311,898					$	320,879
Derivative financial instrument assets (liabilities)
Interest rate lock commitments (a)			3						$	18,084					$	18,084					$	22,706					$	22,706
Forward trades - Loans held for sale (a)			1						364						364						(50)						(50)
TBA / Forward mortgage-backed securities (MBS) trades (a)			1						(287)						(287)						(4,554)						(4,554)
Interest rate swap futures (a)			1						1,734						1,734						504						504
TBA forward Pipeline trades (a)			1						48						48						—						—
Option contracts (a)			2						(277)						(277)						—						—
Other (a)			3						(1,070)						(1,070)						—						—
MSRs (a)			3						$	2,250,147					$	2,250,147					$	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 14 — Borrowings for additional information. 

(e)Loans repurchased from Ginnie Mae securitizations with a fair value of $220.9 million and $51.1 million at December 31, 2021 and 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 14 — Borrowings for additional information.

Summary of Reconciliation of the Changes in Fair Value of Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis

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 Securitiza - tion Investors						Loans Held for Sale - Fair Value						Mortgage-Backed Securities												IRLCs
Year Ended December 31, 2021
Beginning balance															$	9,770					$	(9,770)					51,072						$	2,019											$	22,706
Purchases, issuances, sales and settlements
Purchases															—						—						436,154						—												—
Issuances (1)															—						—						—						—												627,677
Sales															—						—						(259,995)						(1,617)												—
Settlements															(1,891)						1,891						—						—												—
Transfers to:
Loans held for sale, at fair value (1)															—						—						—						—												(591,701)
Receivables, net															—						—						(1,644)						—												—
Other assets															—						—						(377)						—												—
															(1,891)						1,891						174,138						(1,617)												35,976
Change in fair value included in earnings (1)															—						—						(4,270)						(401)												(40,597)
Transfers in and / or out of Level 3															—						—						—						—												—
Ending balance															$	7,879					$	(7,879)					$	220,940					$	1											$	18,085

(1)IRLC activity (issuances and transfers) represent changes in fair value included in earnings. This activity is presented on a gross basis in the table for disclosure purposes. Total net change in fair value included in earnings attributed to IRLCs for 2021 is a $4.6 million loss. See Note 17 — Derivative Financial Instruments and Hedging Activities.

															Loans Held for Investment - Restricted for Securitization Investors						Financing Liability - Owed to Securitiza - tion Investors						Loans Held for Sale - Fair Value						Mortgage-Backed Securities												IRLCs
Year Ended December 31, 2020
Beginning balance															$	23,342					$	(22,002)					$	—					$	2,075											$	—
Purchases, issuances, sales and settlements
Purchases															—						—						162,589						—												—
Issuances															—						—						—						—												286,992
Deconsolidation of mortgage-backed securitization trusts															(10,715)						9,519						—						—												—
Sales															—						—						(137,780)						—												—
Settlements															(2,857)						2,857						—						—												—
Transfers (to) from:
Loans held for sale, at fair value															—						—						—						—												(285,198)
Receivables, net															—						—						(969)						—												—
															(13,572)						12,376						23,840						—												1,794
Change in fair value included in earnings															—						(144)						1,650						(56)												10,434
Transfers in and / or out of Level 3															—						—						25,582						—												10,478
Ending balance															$	9,770					$	(9,770)					$	51,072					$	2,019											$	22,706

			Loans Held for Investment - Restricted for Securitization Investors						Financing Liability - Owed to Securitiza - tion Investors						Mortgage-Backed Securities												Derivatives - Interest Rate Caps
Year Ended December 31, 2019
Beginning balance			$	26,520					$	(24,815)					$	1,502											$	678
Purchases, issuances, sales and settlements
Purchases			—						—						—												—
Issuances			—						—						—												—
Sales			—						—						—												—
Settlements			(3,178)						2,813						—												—
			(3,178)						2,813						—												—
Change in fair value included in earnings			—						—						573												(678)
Ending balance			$	23,342					$	(22,002)					$	2,075											$	—

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 December 31, 2021 given hypothetical increases in lifetime prepayments and yield assumptions:

Adverse change in fair value			10%						20%
Weighted average prepayment speeds			$	(62,497)					$	(121,391)
Weighted average discount rate			(63,711)						(114,336)

Loans Held for Investment

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Significant Assumptions used in Valuation

			December 31,
Significant unobservable assumptions			2021						2020
Life in years
Range			1.0 to 8.2						0.9 to 8.0
Weighted average			5.7						5.9
Conditional prepayment rate, including voluntary and involuntary prepayments
Range			11.2% to 36.6%						10.6% to 28.8%
Weighted average			16.0		%				15.4		%
Discount rate			2.6		%				1.9		%

Fair Value Mortgage Servicing Rights

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Significant Assumptions used in Valuation

			December 31,
Significant unobservable assumptions			2021												2020
			Agency						Non-Agency						Agency						Non-Agency
Weighted average prepayment speed			8.5		%				12.1		%				11.8		%				11.5		%
Weighted average lifetime delinquency rate			1.2		%				11.9		%				3.0		%				28.0		%
Weighted average discount rate			8.5		%				11.2		%				9.2		%				11.4		%
Weighted average cost to service (in dollars)			$	71					$	205					$	79					$	270

HMBS - Related Borrowings

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Significant Assumptions used in Valuation

			December 31,
Significant unobservable assumptions			2021						2020
Life in years
Range			1.0 to 8.2						0.9 to 8.0
Weighted average			5.7						5.9
Conditional prepayment rate
Range			11.2% to 36.6%						10.6% to 28.8%
Weighted average			16.0		%				15.4		%
Discount rate			2.5		%				1.7		%

Mortgage Servicing Rights Pledged

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Significant Assumptions used in Valuation

			December 31,
Significant unobservable assumptions			2021						2020
Weighted average prepayment speed			10.9		%				11.5		%
Weighted average delinquency rate			8.8		%				29.8		%
Weighted average discount rate			10.5		%				11.4		%
Weighted average cost to service (in dollars)			$	182					$	287

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