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Fair Value (Tables)
 9 Months Ended
Sep. 30, 2022
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities:
Recurring Fair Value Measurements
September 30, 2022
(in thousands)Level 1Level 2Level 3Total
Assets:
Available-for-sale securities$— $9,348,983 $124,860 $9,473,843 
Mortgage servicing rights— — 3,021,790 3,021,790 
Derivative assets1,687 16,719 — 18,406 
Total assets$1,687 $9,365,702 $3,146,650 $12,514,039 
Liabilities:
Derivative liabilities$107,379 $— $— $107,379 
Total liabilities$107,379 $— $— $107,379 
Recurring Fair Value Measurements
December 31, 2021
(in thousands)Level 1Level 2Level 3Total
Assets:
Available-for-sale securities$— $7,149,399 $12,304 $7,161,703 
Mortgage servicing rights— — 2,191,578 2,191,578 
Derivative assets38,767 41,367 — 80,134 
Total assets$38,767 $7,190,766 $2,203,882 $9,433,415 
Liabilities:
Derivative liabilities$1,915 $51,743 $— $53,658 
Total liabilities$1,915 $51,743 $— $53,658 
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following table presents the reconciliation for the Company’s Level 3 assets measured at fair value on a recurring basis:
Three Months EndedNine Months Ended
September 30, 2022September 30, 2022
(in thousands)Available-For-Sale SecuritiesMortgage Servicing RightsAvailable-For-Sale SecuritiesMortgage Servicing Rights
Beginning of period level 3 fair value
$87,490 $3,226,191 $12,304 $2,191,578 
Gains (losses) included in net income:
Realized(36)(82,607)(1,309)(310,611)
Unrealized(5,272)
(1)
75,887 
(2)
(3,592)
(1)
800,072 
(2)
Reversal of provision for credit losses50 — 1,177 — 
Net gains (losses) included in net income(5,258)(6,720)(3,724)489,461 
Other comprehensive income198 — 625 — 
Purchases42,430 56,391 122,030 601,141 
Sales— (258,563)(6,375)(258,563)
Settlements— 4,491 — (1,827)
Gross transfers into level 3— — — — 
Gross transfers out of level 3— — — — 
End of period level 3 fair value$124,860 $3,021,790 $124,860 $3,021,790 
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period
$(5,272)
(3)
$85,374 
(4)
$(4,495)
(3)
$712,252 
(4)
Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period
$(5,073)$— $(3,869)$— 
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(1)The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option was recorded in (loss) gain on investment securities on the condensed consolidated statements of comprehensive (loss) income.
(2)The change in unrealized gains or losses on MSR was recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive (loss) income.
(3)The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option that were held at the end of the reporting period was recorded in (loss) gain on investment securities on the condensed consolidated statements of comprehensive (loss) income.
(4)The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive (loss) income.
Fair Value Inputs, Assets, Quantitative Information The tables below present information about the significant unobservable market data used by the third-party pricing vendors as inputs into models utilized to inform their best estimates of the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at September 30, 2022 and December 31, 2021:
September 30, 2022
Valuation TechniqueUnobservable InputRange
Weighted Average (1)
Discounted cash flowConstant prepayment speed6.3%-7.4%6.9%
Delinquency0.7%-0.7%0.7%
Option-adjusted spread4.9%-8.2%5.0%
Per loan annual cost to service$67.32-$80.52$67.71
December 31, 2021
Valuation TechniqueUnobservable InputRange
Weighted Average (1)
Discounted cash flowConstant prepayment speed10.0%-17.9%12.9%
Delinquency0.9%-1.8%1.3%
Option-adjusted spread4.6%-9.2%4.7%
Per loan annual cost to service$66.04-$83.91$66.76
___________________
(1)Calculated by averaging the weighted average significant unobservable inputs used by the multiple third-party pricing vendors in the fair value measurement of MSR.
Fair Value, by Balance Sheet Grouping
The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at September 30, 2022 and December 31, 2021:
September 30, 2022December 31, 2021
(in thousands)Carrying ValueFair ValueCarrying ValueFair Value
Assets:
Available-for-sale securities$9,473,843 $9,473,843 $7,161,703 $7,161,703 
Mortgage servicing rights$3,021,790 $3,021,790 $2,191,578 $2,191,578 
Cash and cash equivalents$732,482 $732,482 $1,153,856 $1,153,856 
Restricted cash$842,534 $842,534 $934,814 $934,814 
Derivative assets$18,406 $18,406 $80,134 $80,134 
Reverse repurchase agreements$207,206 $207,206 $134,682 $134,682 
Other assets$3,254 $3,254 $3,332 $3,332 
Liabilities:
Repurchase agreements$10,034,018 $10,034,018 $7,656,445 $7,656,445 
Revolving credit facilities$1,131,161 $1,131,161 $420,761 $420,761 
Term notes payable$397,697 $377,625 $396,776 $395,030 
Convertible senior notes$282,096 $238,780 $424,827 $435,774 
Derivative liabilities$107,379 $107,379 $53,658 $53,658