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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2020

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 June 30, 2020:


(In Thousands)	Level 1		Level 2		Level 3		Total
Assets:
Loans, held for sale, at fair value	$	—	$	301,304	$	—	$	301,304
Loans, net, at fair value		—		—		124,298		124,298
Mortgage backed securities, at fair value		—		75,000		411		75,411
Derivative instruments, at fair value		—		—		19,037		19,037
Residential mortgage servicing rights, at fair value		—		—		73,645		73,645
Total assets	$	—	$	376,304	$	217,391	$	593,695

Liabilities:
Derivative instruments, at fair value	$	—	$	9,106	$	—	$	9,106
Total liabilities	$	—	$	9,106	$	—	$	9,106

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 June 30, 2020
(In Thousands)	MBS		Derivatives		Loans, held at fair value		Residential MSRs, at fair value
Beginning Balance	$	103	$	17,250	$	19,813	$	78,631
Purchases or Originations		—		—		105,530		13,331
Sales / Principal payments		—		—		(288)		(6,274)
Unrealized gains (losses), net		—		1,787		(757)		(12,043)
Transfer to (from) Level 3		308		—		—		—
Ending Balance	$	411	$	19,037	$	124,298	$	73,645

Unrealized gains (losses), net on assets or liabilities held at the end of the period	$	307	$	19,037	$	(501)	$	(38,435)


	Three Months Ended June 30, 2019
(In Thousands)	MBS		Derivatives		Loans, held at fair value		Residential MSRs, at fair value		Contingent consideration
Beginning Balance	$	27,200	$	2,483	$	22,595	$	88,218	$	—
Purchases or Originations		9,593		—		—		—		—
Additions due to loans sold, servicing retained		—		—		—		5,861		—
Sales / Principal payments		(567)		—		(2,165)		(2,082)		—
Realized gains, net		127		—		(165)		—		—
Unrealized gains (losses), net		200		1,187		144		(6,339)		—
Accreted discount, net		44		—		—		—		—
Transfer to (from) Level 3		58		—		—		—		—
Ending Balance	$	36,655	$	3,670	$	20,409	$	85,658	$	—

Unrealized gains (losses), net on assets or liabilities held at the end of the period	$	2,699	$	3,670	$	331	$	(2,705)	$	—


	Six Months Ended June 30, 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		—		—		105,530		—
Additions due to loans sold, servicing retained		—		—		—		20,478
Sales / Principal payments		(2)		—		(296)		(9,527)
Unrealized gains (losses), net		(40)		16,223		(1,148)		(28,480)
Transfer to (from) Level 3		(7)		—		—		—
Ending Balance	$	411	$	19,037	$	124,298	$	73,645

Unrealized gains (losses), net on assets or liabilities held at the end of the period	$	307	$	19,037	$	(501)	$	(38,435)


	Six Months Ended June 30, 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		9,593		—		—		—		—
Additions due to loans sold, servicing retained		—		—		—		9,454		—
Sales / Principal payments		(669)		—		(2,194)		(3,394)		—
Realized gains (losses), net		107		—		(166)		—		—
Unrealized gains (losses), net		289		1,894		105		(13,467)		—
Accreted discount, net		46		—		—		—		—
Amortization and adjustment for earn-out payments		—		—		—		—		(1,207)
Transfer to (from) Level 3		15,141		—		—		—		—
Ending Balance	$	36,655	$	3,670	$	20,409	$	85,658	$	—

Unrealized gains (losses), net on assets or liabilities held at the end of the period	$	2,699	$	3,670	$	331	$	(2,705)	$	—

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 June 30, 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

124,298

Single External Source

Third Party Mark

94.31 – 107.74

99.60

Mortgage backed securities, at fair value (b)

308

Broker Quotes

Third Party Mark

1.00 – 1.00

1.00

Mortgage backed securities, at fair value

103

Transaction Price

99.00 – 99.00

99.00

Residential mortgage servicing rights, at fair value

73,645

Single external source

Discounted cash flow

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 $0.3 million as of June 30, 2020

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

99.00 – 99.00

99.00

Residential mortgage servicing rights, at fair value

91,174

Single external source

Discounted cash flow

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


	June 30, 2020				December 31, 2019
(In Thousands)	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Assets:
Loans, net	$	4,030,683	$	4,065,820	$	4,033,972	$	4,147,831
Purchased future receivables, net		27,190		27,190		43,265		43,265
Servicing rights		34,116		38,407		30,795		34,723
Total assets	$	4,091,989	$	4,131,417	$	4,108,032	$	4,225,819
Liabilities:
Secured borrowings	$	1,253,895	$	1,253,895	$	1,189,392	$	1,189,392
Securitized debt obligations of consolidated VIEs, net		2,140,009		2,158,456		1,815,154		1,859,047
Senior secured note, net		179,481		186,738		179,289		190,923
Guaranteed loan financing		436,532		462,852		485,461		515,182
Convertible notes, net		111,581		79,537		111,040		116,654
Corporate debt, net		150,387		124,302		149,986		161,098
Total liabilities	$	4,271,885	$	4,265,780	$	3,930,322	$	4,032,296