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Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2020
Fair Value Measurements  
Schedule of financial instruments carried at fair value on a recurring basis

The following table presents the Company’s financial instruments carried at fair value on a recurring basis as of March 31, 2020:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(In Thousands)

 

Level 1

 

Level 2

 

Level 3

 

Total

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Loans, held for sale, at fair value

 

$

 —

 

$

310,345

 

$

 —

 

$

310,345

Loans, net, at fair value

 

 

 —

 

 

 —

 

 

19,813

 

 

19,813

Mortgage backed securities, at fair value

 

 

 —

 

 

78,437

 

 

103

 

 

78,540

Derivative instruments, at fair value

 

 

 —

 

 

506

 

 

17,250

 

 

17,756

Residential mortgage servicing rights, at fair value

 

 

 —

 

 

 —

 

 

78,631

 

 

78,631

Total assets

 

$

 —

 

$

389,288

 

$

115,797

 

$

505,085

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Derivative instruments, at fair value

 

$

 —

 

$

16,585

 

$

 —

 

$

16,585

Total liabilities

 

$

 —

 

$

16,585

 

$

 —

 

$

16,585

 

The following table presents the Company’s financial instruments carried at fair value on a recurring basis as of December 31, 2019:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(In Thousands)

 

Level 1

 

Level 2

 

Level 3

 

Total

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Loans, held for sale, at fair value

 

$

 —

 

$

192,510

 

$

 —

 

$

192,510

Loans, net, at fair value

 

 

 —

 

 

 —

 

 

20,212

 

 

20,212

Mortgage backed securities, at fair value

 

 

 —

 

 

92,006

 

 

460

 

 

92,466

Derivative instruments, at fair value

 

 

 —

 

 

 —

 

 

2,814

 

 

2,814

Residential mortgage servicing rights, at fair value

 

 

 —

 

 

 —

 

 

91,174

 

 

91,174

Total assets

 

$

 —

 

$

284,516

 

$

114,660

 

$

399,176

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Derivative instruments, at fair value

 

$

 —

 

$

5,250

 

$

 —

 

$

5,250

Total liabilities

 

$

 —

 

$

5,250

 

$

 —

 

$

5,250

 

Summary of changes in the fair value of financial instruments held at fair value classified as Level 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended March 31, 2020

(In Thousands)

    

MBS

    

Derivatives

    

Loans, held at fair value

    

Residential MSRs, at fair value

Beginning Balance

 

$

460

 

$

2,814

 

$

20,212

 

$

91,174

Purchases or Originations

 

 

 —

 

 

 —

 

 

 —

 

 

 -

Additions due to loans sold, servicing retained

 

 

 —

 

 

 —

 

 

 —

 

 

7,147

Sales / Principal payments

 

 

(2)

 

 

 —

 

 

(8)

 

 

(3,253)

Unrealized gains (losses), net

 

 

(40)

 

 

14,436

 

 

(391)

 

 

(16,437)

Transfer to (from) Level 3

 

 

(315)

 

 

 —

 

 

 —

 

 

 —

Ending Balance

 

$

103

 

$

17,250

 

$

19,813

 

$

78,631

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized gains (losses), net on assets or liabilities held at the end of the period

 

$

(1)

 

$

17,250

 

$

255

 

$

(26,392)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended March 31, 2019

(In Thousands)

    

MBS

    

Derivatives

    

Loans, held at fair value

    

Residential MSRs, at fair value

    

Contingent consideration

Beginning Balance

 

$

12,148

 

$

1,776

 

$

22,664

 

$

93,065

 

$

1,207

Purchases or Originations

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 

 —

Additions due to loans sold, servicing retained

 

 

 —

 

 

 —

 

 

 —

 

 

3,593

 

 

 —

Sales / Principal payments

 

 

(102)

 

 

 —

 

 

(29)

 

 

(1,312)

 

 

 —

Realized gains (losses), net

 

 

(20)

 

 

 —

 

 

(1)

 

 

 —

 

 

 —

Unrealized gains (losses), net

 

 

89

 

 

707

 

 

(39)

 

 

(7,128)

 

 

 —

Accreted discount, net

 

 

 2

 

 

 —

 

 

 —

 

 

 —

 

 

 —

Amortization and adjustment for earn-out payments

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 

(1,207)

Transfer to (from) Level 3

 

 

15,083

 

 

 —

 

 

 —

 

 

 —

 

 

 —

Ending Balance

 

$

27,200

 

$

2,483

 

$

22,595

 

$

88,218

 

$

 —

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized gains (losses), net on assets or liabilities held at the end of the period

 

$

2,501

 

$

2,483

 

$

300

 

$

1,502

 

$

 —

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Summary of the valuation techniques and significant unobservable inputs used for the Company’s financial instruments that are categorized within Level 3 of the fair value hierarchy

The following table summarizes the valuation techniques and significant unobservable inputs used for the Company’s financial instruments that are categorized within Level 3 of the fair value hierarchy as of March 31, 2020 using third party information without adjustment:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Predominant

 

 

 

 

 

 

Weighted

 

 

 

 

 

 Valuation

 

 

 

 

 

 

Average Price

(In Thousands, except price)

    

Fair Value

    

Technique

    

Type

    

Price Range

    

(a)

Loans, held at fair value

 

$

19,813

 

Single External Source

 

Third Party Mark

 

$

99.77 – 105.70

 

$

101.31

Mortgage backed securities, at fair value

 

 

103

 

Transaction Price

 

Transaction Price

 

 

99.00 – 99.00

 

 

99.00

Residential mortgage servicing rights, at fair value

 

 

78,631

 

Single external source

 

Discounted cash flow

 

 

N/A

 

 

N/A

(a)

Prices are weighted based on the unpaid principal balance of the loans and securities included in the range for each class

 

 

The following table summarizes the valuation techniques and significant unobservable inputs used for the Company’s financial instruments that are categorized within Level 3 of the fair value hierarchy as of December 31, 2019 using third-party information without adjustment:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

 

 

    

Predominant

    

 

    

 

 

    

Weighted

 

 

 

 

 

Valuation

 

 

 

 

 

 

Average Price

(In Thousands, except price)

 

Fair Value

 

Technique

 

Type

 

Price Range

 

(a)

Loans, held at fair value

 

$

20,212

 

Single External Source

 

Third Party Mark

 

$

100.47 – 110.83

 

$

103.31

Mortgage backed securities, at fair value (b)

 

 

357

 

Broker Quotes

 

Third Party Mark

 

 

1.00 – 1.00

 

 

1.00

Mortgage backed securities, at fair value

 

 

103

 

Transaction Price

 

Transaction Price

 

 

99.00 – 99.00

 

 

99.00

Residential mortgage servicing rights, at fair value

 

 

91,174

 

Single external source

 

Discounted cash flow

 

 

N/A

 

 

N/A

(a)

Prices are weighted based on the unpaid principal balance of the loans and securities included in the range for each class

(b)

Price ranges and weighted averages represent interest-only strips with a fair value of $0.4 million as of December 31, 2019

 

Summary of the carrying value and estimated fair value of financial instruments not carried at fair value on the consolidated balance sheets and are classified as Level 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31, 2020

 

December 31, 2019

(In Thousands)

    

Carrying Value

    

Estimated
Fair Value

    

Carrying Value

    

Estimated
Fair Value

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Loans, net

 

$

4,144,416

 

$

4,073,947

 

$

4,033,972

 

$

4,147,831

Purchased future receivables, net

 

 

49,150

 

 

49,150

 

 

43,265

 

 

43,265

Servicing rights

 

 

31,480

 

 

35,006

 

 

30,795

 

 

34,723

Total assets

 

$

4,225,046

 

$

4,158,103

 

$

4,108,032

 

$

4,225,819

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Secured borrowings

 

$

1,698,937

 

$

1,698,937

 

$

1,189,392

 

$

1,189,392

Securitized debt obligations of consolidated VIEs, net

 

 

1,692,074

 

 

1,665,922

 

 

1,815,154

 

 

1,859,047

Senior secured note, net

 

 

179,387

 

 

181,708

 

 

179,289

 

 

190,923

Guaranteed loan financing

 

 

457,032

 

 

472,466

 

 

485,461

 

 

515,182

Convertible notes, net

 

 

111,310

 

 

67,720

 

 

111,040

 

 

116,654

Corporate debt, net

 

 

150,074

 

 

95,109

 

 

149,986

 

 

161,098

Total liabilities

 

$

4,288,814

 

$

4,181,862

 

$

3,930,322

 

$

4,032,296