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Fair Value (Tables)

9 Months Ended

Sep. 30, 2022

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, 2022												December 31, 2021
			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						$	725,218					$	725,218					$	917,534					$	917,534
Loans held for sale, at lower of cost or fair value (b)			3						4,420						4,420						10,993						10,993
Total Loans held for sale									$	729,638					$	729,638					$	928,527					$	928,527

									September 30, 2022												December 31, 2021
			Level						Carrying Value						Fair Value						Carrying Value						Fair Value
Loans held for investment
Loans held for investment - Reverse mortgages (a)			3						$	7,395,483					$	7,395,483					$	7,199,762					$	7,199,762
Loans held for investment - Restricted for securitization investors (a)			3						6,802						6,802						7,879						7,879
Total loans held for investment									$	7,402,285					$	7,402,285					$	7,207,641					$	7,207,641
Advances, net (c)			3						$	642,461					$	642,461					$	772,433					$	772,433
Receivables, net (c)			3						170,838						170,838						180,707						180,707
Mortgage-backed securities (a)			3						—						—						1						1
Corporate bonds (a)			2						211						211						211						211
Financial liabilities:
Advance match funded liabilities (c)			3						$	457,452					$	457,452					$	512,297					$	511,994
Financing liabilities:
HMBS-related borrowings (a)			3						$	7,208,385					$	7,208,385					$	6,885,022					$	6,885,022
Other financing liabilities
Financing liability -Transferred MSR liability (a)			3						$	946,619					$	946,619					$	797,084					$	797,084
Financing liability - Excess Servicing Spread (ESS) (a)			3						36,301						36,301						—						—
Financing liability - Owed to securitization investors (a)			3						6,802						6,802						7,879						7,879
Total Other financing liabilities									$	989,722					$	989,722					$	804,963					$	804,963
Mortgage loan warehouse facilities (c)			3						819,557						819,557						1,085,076						1,085,076
MSR financing facilities (c) (d)			3						1,020,606						999,022						900,760						873,820
Senior notes:
PMC Senior secured notes due 2026 (c) (d)			2						$	369,007					$	325,736					$	392,555					$	413,472
OFC Senior secured notes due 2027 (c) (d)			3						228,122						218,647						222,242						261,455
Total Senior notes									$	597,129					$	544,383					$	614,797					$	674,927
Derivative financial instrument assets (liabilities), net
Interest rate lock commitments (IRLCs) (a)			3						$	(12,190)					$	(12,190)					$	18,085					$	18,085
Forward trades - Reverse Loans (a)			2						87						87						364						364
TBA / Forward mortgage-backed securities (MBS) trades (a)			1						21,769						21,769						(240)						(240)
Interest rate swap futures (a)			1						(7,274)						(7,274)						1,734						1,734
Option contracts (a)			2						(1,172)						(1,172)						(277)						(277)
Other (a)			3						(164)						(164)						(1,070)						(1,070)
MSRs (a)			3						$	2,714,225					$	2,714,225					$	2,250,147					$	2,250,147

(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 13 – Borrowings for additional information.

(e)Loans repurchased from Ginnie Mae securitizations with a fair value of $30.5 million and $220.9 million at September 30, 2022 and December 31, 2021, respectively, are classified as Level 3. The remaining balance of loans held for sale at fair value is classified as Level 2.

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												ESS Financing Liability						IRLCs
Three months ended September 30, 2022
Beginning balance															$	7,289					$	(7,289)					$	41,363											$	—					$	5,746
Purchases, issuances, sales and settlements
Purchases															—						—						9,478												—						—
Issuances (1)															—						—						—												(36,241)						50,912
Sales															—						—						(16,569)												—						—
Settlements															(487)						487						—												644						—
Transfers (to) from:
Loans held for sale, at fair value (1)															—						—						—												—						17,643
Receivables, net															—						—						(1,581)												—						—
															(487)						487						(8,672)												(35,597)						68,555
Change in fair value included in earnings (1)															—						—						(2,171)												(704)						(86,491)
Ending balance															$	6,802					$	(6,802)					$	30,520											$	(36,301)					$	(12,190)

															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
Purchases, issuances, sales and settlements
Purchases															—						—						136,996						—												—
Issuances (1)															—						—						—						—												184,995
Sales															—						—						(64,032)						—												—
Settlements															(676)						676						—						—												—
Transfers (to) from:
Loans held for sale, at fair value (1)															—						—						—						—												(182,783)
Receivables, net															—						—						(558)						—												—
															(676)						676						72,406						—												2,212
Change in fair value included in earnings (1)															—						—						(496)						11												(5,619)
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												ESS Financing Liability						IRLCs
Nine Months Ended September 30, 2022
Beginning balance															$	7,879					$	(7,879)					$	220,940											$	—					$	18,085
Purchases, issuances, sales and settlements
Purchases															—						—						127,715																		—
Issuances (1)															—						—						—												(36,241)						212,764
Sales															—						—						(308,181)												—						—
Settlements															(1,077)						1,077						—												644						—
Transfers (to) from:
Loans held for sale, at fair value (1)															—						—						—												—						(36,220)
Receivables, net															—						—						(3,350)												—						—
															(1,077)						1,077						(183,816)												(35,597)						176,544
Change in fair value included in earnings (1)															—						—						(6,604)												(704)						(206,819)
Ending balance															$	6,802					$	(6,802)					$	30,520											$	(36,301)					$	(12,190)

															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 (1)															—						—						—						—												446,751
Sales															—						—						(135,088)						—												—
Settlements															(1,766)						1,766						—						—												—
Transfers (to) from:
Loans held for sale, at fair value (1)															—						—						—						—												(425,169)
Other assets															—						—						(377)						—												—
Receivables, net															—						—						(1,113)						—												—
															(1,766)						1,766						166,539						—												21,582
Change in fair value included in earnings (1)															—						—						(6,859)						(401)												(30,258)
Ending balance															$	8,004					$	(8,004)					$	210,752					$	1,618											$	14,030

(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 is a gain (loss) of $(17.9) million and $(30.3) million for the three and nine months ended September 30, 2022, respectively, and $(3.4) million and $(8.7) million for the three and nine months ended September 30, 2021, respectively. See Note 16 – Derivative Financial Instruments and Hedging Activities.

Schedule of Significant Assumptions used in Valuation

Significant unobservable assumptions			September 30, 2022						December 31, 2021
Life in years
Range			0.4 to 7.2						1.0 to 8.2
Weighted average			4.8						5.7
Conditional prepayment rate, including voluntary and involuntary prepayments
Range			13.0% to 48.1%						11.2% to 36.6%
Weighted average			18.7		%				16.0		%
Discount rate			5.1		%				2.6		%

Significant unobservable assumptions			September 30, 2022												December 31, 2021
			Agency						Non-Agency						Agency						Non-Agency
Weighted average prepayment speed			6.6		%				9.3		%				8.5		%				12.1		%
Weighted average lifetime delinquency rate			1.4		%				10.3		%				1.2		%				11.9		%
Weighted average discount rate			9.1		%				10.6		%				8.5		%				11.2		%
Weighted average cost to service (in dollars)			$	72					$	193					$	71					$	205

Significant unobservable assumptions			September 30, 2022						December 31, 2021
Life in years
Range			0.4 to 7.2						1.0 to 8.2
Weighted average			4.8						5.7
Conditional prepayment rate
Range			13.0% to 48.1%						11.2% to 36.6%
Weighted average			18.7		%				16.0		%
Discount rate			5.0		%				2.5		%

Significant unobservable assumptions			September 30, 2022						December 31, 2021
Weighted average prepayment speed			8.5		%				10.9		%
Weighted average delinquency rate			7.2		%				8.8		%
Weighted average discount rate			10.1		%				10.5		%
Weighted average cost to service (in dollars)			$	169					$	182

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, 2022 given hypothetical increases in lifetime prepayments and yield assumptions:

Adverse change in fair value			10%						20%
Weighted average prepayment speeds			$	(60,457)					$	(118,162)
Weighted average discount rate			(76,572)						(147,150)

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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.

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