Fair Value Measurements (Tables)

12 Months Ended

Dec. 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 December 31, 2020:

(In Thousands)	Level 1		Level 2		Level 3		Total
Assets:
Loans, held for sale, at fair value	$	—	$	340,288	$	—	$	340,288
Loans, net, at fair value		—		—		88,726		88,726
Mortgage backed securities, at fair value		—		62,880		25,131		88,011
Derivative instruments, at fair value		—		—		16,363		16,363
Residential mortgage servicing rights, at fair value		—		—		76,840		76,840
Total assets	$	—	$	403,168	$	207,060	$	610,228
Liabilities:
Derivative instruments, at fair value	$	—	$	11,604	$	—	$	11,604
Total liabilities	$	—	$	11,604	$	—	$	11,604

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

	Year Ended December 31, 2020
(In Thousands)	MBS		Derivatives		Loans, net, at fair value		Residential MSRs, at fair value
Beginning Balance	$	460	$	2,814	$	20,212	$	91,174
Purchases or Originations		12,640		—		106,704		—
Additions due to loans sold, servicing retained		—		—		—		43,701
Sales / Principal payments		(13)		—		(37,435)		(20,777)
Realized gains, net		—		—		350		—
Unrealized gains (losses), net		(348)		13,549		(1,105)		(37,258)
Accreted discount, net		12		—		—		—
Transfer to (from) Level 3		12,380		—		—		—
Ending Balance	$	25,131	$	16,363	$	88,726	$	76,840
Unrealized gains (losses), net on assets/liabilities held at the end of the period	$	602	$	16,363	$	(293)	$	(47,209)

	Year Ended December 31, 2019
(In Thousands)	MBS		Derivatives		Loans, net, at fair value		Residential MSRs, at fair value
Beginning Balance	$	12,148	$	1,776	$	22,664	$	93,065
Purchases or Originations		9,593		—		—		—
Additions due to loans sold, servicing retained		—		—		—		26,854
Sales / Principal payments		(2,230)		—		(2,744)		(10,178)
Realized gains (losses), net		517		—		(141)		—
Unrealized gains (losses), net		98		1,038		433		(18,567)
Accreted discount, net		141		—		—		—
Transfer to (from) Level 3		(19,807)		—		—		—
Ending Balance	$	460	$	2,814	$	20,212	$	91,174
Unrealized gains (losses), net on assets/liabilities held at the end of the period	$	355	$	1,038	$	647	$	(18,567)

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 December 31, 2020 using third party information without adjustment:

(In Thousands, except price)	Fair Value		Predominant Valuation Technique (a)		Type	Range		Weighted Average
Residential mortgage servicing rights, at fair value	$	76,840		Income Approach	Discounted cash flow		N/A		N/A
Derivative instruments, at fair value	$	16,363		Market Approach	Origination pull-through rate | Servicing Fee Multiple | Percentage of unpaid principal balance		47.62 - 100% | 0.51 - 12.8% | 0.13 to 2.9%		84.1% | 3.6% | 1.1%

(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:

(In Thousands, except price)	Fair Value		Predominant Valuation Technique (a)	Type	Range		Weighted Average
Residential mortgage servicing rights, at fair value	$	91,174	Income Approach	Discounted cash flow	$	N/A		N/A
Derivative instruments, at fair value	$	2,814	Market Approach	Origination pull-through rate | Servicing Fee Multiple | Percentage of unpaid principal balance		48.00 - 100% | 0.35 - 8.0% | 0.09 to 3.3%		84.1% | 5.2% | 1.7%

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

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

	December 31, 2020				December 31, 2019
(In Thousands)	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Assets:
Loans, net	$	4,009,636	$	4,103,200	$	4,033,972	$	4,147,831
Purchased future receivables, net		17,308		17,308		43,265		43,265
Servicing rights		37,823		47,567		30,795		34,723
Total assets	$	4,064,767	$	4,168,075	$	4,108,032	$	4,225,819
Liabilities:
Secured borrowings	$	1,370,519	$	1,370,519	$	1,189,392	$	1,189,392
Securitized debt obligations of consolidated VIEs, net		1,905,749		1,907,541		1,815,154		1,859,047
Senior secured note, net		179,659		188,114		179,289		190,923
Guaranteed loan financing		401,705		426,348		485,461		515,182
Convertible notes, net		112,129		68,186		111,040		116,654
Corporate debt, net		150,989		151,209		149,986		161,098
Total liabilities	$	4,120,750	$	4,111,917	$	3,930,322	$	4,032,296