Loans Held for Sale (Tables)

12 Months Ended

Dec. 31, 2021

Summary of Activity in Balance of Loans Held for Sale, at Fair Value


Loans Held for Sale - Fair Value	Years Ended December 31,
	2021		2020		2019
Beginning balance	$	366,364	$	208,752	$	176,525
Originations and purchases	19,972,375		7,552,026		1,168,885
Proceeds from sales	(19,279,150)		(7,344,151)		(1,124,247)
Principal collections	(58,603)		(25,976)		(23,116)
Transfers from (to):
Loans held for investment, at fair value	4,271		3,084		1,892

Receivables	(33,638)		(85,001)		(2,480)
REO (Other assets)	(8,438)		(3,657)		(2,520)
Gain (loss) on sale of loans	(69,927)		50,248		25,253
Capitalization of advances on Ginnie Mae modifications	24,752		12,789		—
Increase (decrease) in fair value of loans	(948)		1,075		(589)
Other	474		(2,825)		(10,851)
Ending balance (1) (2)	$	917,534	$	366,364	$	208,752

(1)At December 31, 2021, 2020 and 2019, the balances include $(4.4) million, $(6.7) million and $(7.8) million, respectively, of fair value adjustments.

(2)At December 31, 2021 and 2020, the balances include $220.9 million and $51.1 million, respectively, of loans that we repurchased from Ginnie Mae guaranteed securitizations pursuant to Ginnie Mae servicing guidelines. Effective January 1, 2020, we elected to classify repurchased loans as Loans held for sale at fair value. See table below for the December 31, 2019 balance. We may repurchase loans that have been modified, to facilitate loss reduction strategies, or as otherwise obligated as a Ginnie Mae servicer. Repurchased loans may be modified or otherwise remediated through loss mitigation activities, may be sold to a third party, or are reclassified to Receivables.

Summary of Activity in Balance of Loans Held for Sale, at Lower of Cost or Fair Value


Loans Held for Sale - Lower of Cost or Fair Value	Years Ended December 31,
	2021		2020		2019
Beginning balance - before Valuation allowance	$	27,652	$	73,160	$	77,666
Purchases (1)	—		—		320,089
Proceeds from sales	(10,607)		(58,575)		(221,471)
Principal collections	(989)		(1,842)		(11,304)
Transfers from (to):
Receivables, net	(1,020)		61		(104,635)
REO (Other assets)	—		—		(4,116)

Gain on sale of loans	549		11,189		4,974

Capitalization of advances on Ginnie Mae modifications	—		—		2,485
Other	(220)		3,659		9,472
Ending balance - before Valuation allowance (2)	15,365		27,652		73,160

Beginning balance - Valuation allowance	$	(6,180)	$	(6,643)	$	(11,569)
(Provision for) reversal of valuation allowance	1,802		(1,144)		(2,537)
Transfer to (from) Liability for indemnification obligations (Other liabilities)	7		(68)		(403)
Sales of loans	—		1,675		7,866

Ending balance - Valuation allowance	(4,372)		(6,180)		(6,643)

Ending balance, net	$	10,993	$	21,472	$	66,517

(1)We elected the fair value option for all newly repurchased loans after December 31, 2019.

(2)At December 31, 2021, 2020 and 2019, the balances include $2.7 million, $12.5 million and $60.6 million, respectively, of loans that we repurchased from Ginnie Mae guaranteed securitizations pursuant to Ginnie Mae servicing guidelines.

Summary of Activity in Gain on Loans Held for Sale, Net


	Years Ended December 31,
Gains on Loans Held for Sale, Net	2021		2020		2019
Gain on sales of loans, net
MSRs retained on transfers of forward mortgage loans	$	222,715	$	68,734	$	7,458

Gain (loss) on sale of forward mortgage loans (1) (2)	(87,850)		45,459		25,310
Gain on sale of repurchased Ginnie Mae loans (2)	18,358		15,947		4,764

	153,223		130,140		37,532
Change in fair value of IRLCs	(6,152)		17,479		756
Change in fair value of loans held for sale	1,934		2,280		3,005
Gain (loss) on economic hedge instruments (3)	1,483		(10,069)		(2,689)
Other	(4,733)		(2,594)		(304)
	$	145,755	$	137,236	$	38,300

(1)Includes $27.1 million gain in 2021 related to loans purchased through the exercise of our servicer call rights with respect to certain Non-Agency trusts and sold, servicing released, in 2021.

(2)Realized gain (loss) on sale of loans, excluding retained MSR.

(3)Excludes gain (loss) of $25.3 million and $(17.4) million on inter-segment economic hedge derivatives presented within MSR valuation adjustments, net for 2021 and 2020, respectively. Third-party derivatives are hedging the net exposure of MSR and pipeline, and the change in fair value of derivatives are reported within MSR valuation adjustments, net. Inter-segment derivatives are established to transfer risk and allocate hedging gains/losses to the pipeline separately from the MSR portfolio. Refer to Note 23 — Business Segment Reporting.