XML 45 R25.htm IDEA: XBRL DOCUMENT v3.22.2.2
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 present the carrying amount and estimated fair value of financial instruments included in the consolidated financial statements.

September 30, 2022
Carrying AmountEstimated Fair Value
Level 1Level 2Level 3
Assets
Cash and cash equivalents$1,143,948 $1,143,948 $— $— 
Restricted cash160,926 160,926 — — 
Loans held for sale, at fair value2,692,820 — 2,692,820 — 
Derivative assets, at fair value316,647 — 295,737 20,910 
Servicing rights, at fair value2,030,026 — — 2,030,026 
Trading securities, at fair value97,210 — 97,210 — 
Loans eligible for repurchase554,892 — 554,892 — 
Liabilities
Warehouse and other lines of credit$2,529,436 $— $2,529,436 $— 
Derivative liabilities, at fair value149,837 26,123 38,086 85,628 
Servicing rights, at fair value16,757 — — 16,757 
Debt obligations:
Secured credit facilities1,092,977 — 1,094,433 — 
Term Notes199,540 — 200,000 — 
Senior Notes991,187 — 561,900 — 
Liability for loans eligible for repurchase554,892 — 554,892 — 
December 31, 2021
Carrying AmountEstimated Fair Value
Level 1Level 2Level 3
Assets
Cash and cash equivalents$419,571 $419,571 $— $— 
Restricted cash201,025 201,025 — — 
Loans held for sale, at fair value8,136,817 — 8,136,817 — 
Derivative assets, at fair value194,665 4,924 5,358 184,383 
Servicing rights, at fair value2,006,712 — — 2,006,712 
Trading securities, at fair value72,874 — 72,874 — 
Loans eligible for repurchase363,373 — 363,373 — 
Liabilities
Warehouse and other lines of credit$7,457,199 $— $7,457,199 $— 
Derivative liabilities, at fair value37,797 31,070 2,964 3,763 
Servicing rights, at fair value7,310 — — 7,310 
Debt obligations:
Secured credit facilities343,759 — 345,596 — 
Term Notes199,133 — 200,000 — 
Senior Notes1,085,316 — 1,057,977 — 
Liability for loans eligible for repurchase363,373 — 363,373 — 

Financial Statement Items Measured at Fair Value on a Recurring Basis

The following tables presents the Company’s assets and liabilities that are measured at fair value on a recurring basis by fair value hierarchy as of the dates indicated.
September 30, 2022
Recurring Fair Value Measurements of Assets and Liabilities Using:
Quoted Market Prices in Active Markets for Identical Assets
 (Level 1)		Significant Other Observable Inputs
(Level 2)		Significant Unobservable Inputs
(Level 3)		Total Fair Value Measurements
Fair value through net income:
Assets:
Loans held for sale$— $2,692,820 $— $2,692,820 
Trading securities— 97,210 — 97,210 
Derivative assets:
Interest rate lock commitments— — 20,910 20,910 
Forward sale contracts— 295,737 — 295,737 
Servicing rights— — 2,030,026 2,030,026 
Total assets at fair value$— $3,085,767 $2,050,936 $5,136,703 
Liabilities:
Derivative liabilities:
Interest rate lock commitments$— $— $85,628 $85,628 
Interest rate swap futures19,480 — — 19,480 
Forward sale contracts— 38,086 — 38,086 
Put options on treasuries6,643 — — 6,643 
Servicing rights— — 16,757 16,757 
Total liabilities at fair value$26,123 $38,086 $102,385 $166,594 
December 31, 2021
Recurring Fair Value Measurements of Assets and Liabilities Using:
Quoted Market Prices in Active Markets for Identical Assets
 (Level 1)		Significant Other Observable Inputs
(Level 2)		Significant Unobservable Inputs
(Level 3)		Total Fair Value Measurements
Fair value through net income:
Assets:
Loans held for sale$— $8,136,817 $— $8,136,817 
Trading securities— 72,874 — 72,874 
Derivative assets:
Interest rate lock commitments— — 184,383 184,383 
Forward sale contracts— 5,358 — 5,358 
Interest rate swap futures4,924 — — 4,924 
Servicing rights— — 2,006,712 2,006,712 
Total assets at fair value$4,924 $8,215,049 $2,191,095 $10,411,068 
Liabilities:
Derivative liabilities:
Interest rate lock commitments$— $— $3,763 $3,763 
Forward sale contracts— 2,964 — 2,964 
Put options on treasuries31,070 — — 31,070 
Servicing rights— — 7,310 7,310 
Total liabilities at fair value$31,070 $2,964 $11,073 $45,107 
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following presents the changes in the Company’s assets and liabilities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
Three Months Ended September 30, 2022Nine Months Ended September 30, 2022
IRLCs, netServicing
Rights, net		IRLCs, netServicing
Rights, net
Balance at beginning of period$57,605 $2,204,593 $180,620 $1,999,402 
Total net gains or losses included in earnings (realized and unrealized)22,112 140,598 279,266 765,143 
Sales and settlements
Sales(331,922)(751,276)
Settlements (1)
(102,686)— (374,144)— 
Transfers of IRLCs to closed loans(41,749)— (150,460)— 
Balance at end of period$(64,718)$2,013,269 $(64,718)$2,013,269 
(1)Funded amount for IRLCs.
Three Months Ended September 30, 2021Nine Months Ended September 30, 2021
IRLCs, netServicing
Rights, net		IRLCs, netServicing
Rights, net
Balance at beginning of period$333,081 $1,776,395 $647,045 $1,124,302 
Total net gains or losses included in earnings (realized and unrealized)640,372 233,166 1,749,343 1,079,525 
Sales and settlements
Sales— (172,867)— (367,133)
Settlements (1)
(558,918)— (1,585,368)— 
Transfers of IRLCs to closed loans(155,325)— (551,810)— 
Balance at end of period$259,210 $1,836,694 $259,210 $1,836,694 
(1)Funded amount for IRLCs.

The following presents the gains and losses included in earnings relating to the Company’s assets and liabilities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
Three Months Ended September 30, 2022Nine Months Ended September 30, 2022
IRLCs, net (1)
Servicing
Rights, net(2)
IRLCs, net (1)
Servicing
Rights, net(3)
Total net (losses) gains included in earnings
$(122,323)$140,598 $(245,338)$765,143 
Change in unrealized (losses) gains relating to assets and liabilities still held at period end
$(64,718)$150,534 $(64,718)$683,413 

(1)Gains (losses) included in gain on origination and sale of loans, net.
(2)Includes $124.2 million in gains included in gain on origination and sale of loans, net and $16.4 million of gains included in change in fair value of servicing rights, net, for the three months ended September 30, 2022.
(3)Includes $574.5 million in gains included in gain on origination and sale of loans, net and $190.7 million of gains included in change in fair value of servicing rights, net, for the nine months ended September 30, 2022.
Three Months Ended September 30, 2021Nine Months Ended September 30, 2021
IRLCs, net (1)
Servicing
Rights, net(2)
Interest Rate Lock Commitments(1)
Servicing
Rights, net(3)
Total net (losses) gains included in earnings
$(73,871)$233,166 $(387,835)$1,079,525 
Change in unrealized gains relating to assets and liabilities still held at period end
$259,210 $326,527 $259,210 $1,126,433 
(1)(Losses) gains included in gain on origination and sale of loans, net.
(2)Includes $345.9 million in gains included in gain on origination and sale of loans, net and $112.7 million in losses included in change in fair value of servicing rights, net, for the three months ended September 30, 2021.
(3)Includes $1.3 billion in gains included in gain on origination and sale of loans, net and $223.4 million of losses included in change in fair value of servicing rights, net, for the nine months ended September 30, 2021.
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
The following presents the changes in the Company’s assets and liabilities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
Three Months Ended September 30, 2022Nine Months Ended September 30, 2022
IRLCs, netServicing
Rights, net		IRLCs, netServicing
Rights, net
Balance at beginning of period$57,605 $2,204,593 $180,620 $1,999,402 
Total net gains or losses included in earnings (realized and unrealized)22,112 140,598 279,266 765,143 
Sales and settlements
Sales(331,922)(751,276)
Settlements (1)
(102,686)— (374,144)— 
Transfers of IRLCs to closed loans(41,749)— (150,460)— 
Balance at end of period$(64,718)$2,013,269 $(64,718)$2,013,269 
(1)Funded amount for IRLCs.
Three Months Ended September 30, 2021Nine Months Ended September 30, 2021
IRLCs, netServicing
Rights, net		IRLCs, netServicing
Rights, net
Balance at beginning of period$333,081 $1,776,395 $647,045 $1,124,302 
Total net gains or losses included in earnings (realized and unrealized)640,372 233,166 1,749,343 1,079,525 
Sales and settlements
Sales— (172,867)— (367,133)
Settlements (1)
(558,918)— (1,585,368)— 
Transfers of IRLCs to closed loans(155,325)— (551,810)— 
Balance at end of period$259,210 $1,836,694 $259,210 $1,836,694 
(1)Funded amount for IRLCs.

The following presents the gains and losses included in earnings relating to the Company’s assets and liabilities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
Three Months Ended September 30, 2022Nine Months Ended September 30, 2022
IRLCs, net (1)
Servicing
Rights, net(2)
IRLCs, net (1)
Servicing
Rights, net(3)
Total net (losses) gains included in earnings
$(122,323)$140,598 $(245,338)$765,143 
Change in unrealized (losses) gains relating to assets and liabilities still held at period end
$(64,718)$150,534 $(64,718)$683,413 

(1)Gains (losses) included in gain on origination and sale of loans, net.
(2)Includes $124.2 million in gains included in gain on origination and sale of loans, net and $16.4 million of gains included in change in fair value of servicing rights, net, for the three months ended September 30, 2022.
(3)Includes $574.5 million in gains included in gain on origination and sale of loans, net and $190.7 million of gains included in change in fair value of servicing rights, net, for the nine months ended September 30, 2022.
Three Months Ended September 30, 2021Nine Months Ended September 30, 2021
IRLCs, net (1)
Servicing
Rights, net(2)
Interest Rate Lock Commitments(1)
Servicing
Rights, net(3)
Total net (losses) gains included in earnings
$(73,871)$233,166 $(387,835)$1,079,525 
Change in unrealized gains relating to assets and liabilities still held at period end
$259,210 $326,527 $259,210 $1,126,433 
(1)(Losses) gains included in gain on origination and sale of loans, net.
(2)Includes $345.9 million in gains included in gain on origination and sale of loans, net and $112.7 million in losses included in change in fair value of servicing rights, net, for the three months ended September 30, 2021.
(3)Includes $1.3 billion in gains included in gain on origination and sale of loans, net and $223.4 million of losses included in change in fair value of servicing rights, net, for the nine months ended September 30, 2021.
Fair Value Measurement Inputs and Valuation Techniques
The following table presents quantitative information about the valuation techniques and unobservable inputs applied to Level 3 fair value measurements for financial instruments measured at fair value on a recurring basis:
September 30, 2022December 31, 2021
Unobservable InputRange of inputs
Weighted Average (2)
Range of inputs
Weighted Average (2)
IRLCs:
  Pull-through rate6.2%-99.9%80.2%0.3%-99.3%74.2%
Servicing rights
  Discount rate(1)
4.9%-14.9%6.3%4.5%-9.0%5.8%
  Prepayment rate(1)
5.5%-19.0%7.0%8.4%-18.7%10.2%
  Cost to service (per loan)$62-$143$86$70-$114$82
(1)The Company estimates the fair value of MSRs using an option-adjusted spread (“OAS”) model, which projects MSR cash flows over multiple interest rate scenarios in conjunction with the Company’s prepayment model, and then discounts these cash flows at risk-adjusted rates.
(2)Weighted average inputs are based on the committed amounts for IRLCs and the UPB of the underlying loans for servicing rights.