Annual report pursuant to Section 13 and 15(d)

Fair Value (Tables)

v3.20.4
Fair Value (Tables)
 12 Months Ended
Dec. 31, 2020
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
December 31, 2020
(in thousands) Level 1 Level 2 Level 3 Total
Assets
Available-for-sale securities $ —  $ 14,637,891  $ 13,031  $ 14,650,922 
Mortgage servicing rights —  —  1,596,153  1,596,153 
Derivative assets 33,737  62,200  —  95,937 
Total assets $ 33,737  $ 14,700,091  $ 1,609,184  $ 16,343,012 
Liabilities
Derivative liabilities $ 10,462  $ 596  $ —  $ 11,058 
Total liabilities $ 10,462  $ 596  $ —  $ 11,058 
Recurring Fair Value Measurements
December 31, 2019
(in thousands) Level 1 Level 2 Level 3 Total
Assets
Available-for-sale securities $ —  $ 31,157,154  $ 249,174  $ 31,406,328 
Mortgage servicing rights —  —  1,909,444  1,909,444 
Derivative assets 8,513  179,538  —  188,051 
Total assets $ 8,513  $ 31,336,692  $ 2,158,618  $ 33,503,823 
Liabilities
Derivative liabilities $ 6,711  $ 29  $ —  $ 6,740 
Total liabilities $ 6,711  $ 29  $ —  $ 6,740 
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following tables present the reconciliation for the Company’s Level 3 assets measured at fair value on a recurring basis:
Year Ended
December 31,
2020 2019
(in thousands) Available-For-Sale Securities Mortgage Servicing Rights Available-For-Sale Securities Mortgage Servicing Rights
Beginning of period level 3 fair value
 $ 249,174  $ 1,909,444  $ 105,157  $ 1,993,440 
Gains (losses) included in net (loss) income:
Realized (losses) gains, net (24,218) (544,157) (22,055) (313,402)
Unrealized (losses) gains, net —  (391,540)
(1)
 —  (384,257)
(1)
Provision for credit losses (10,593) —  —  — 
Net gains (losses) included in net (loss) income (34,811) (935,697) (22,055) (697,659)
Other comprehensive (loss) income (4,963) —  (934) — 
Purchases —  623,284  14,318  627,815 
Sales (214,673) 2,012  —  1,898 
Settlements —  (2,890) —  (16,050)
Gross transfers into level 3 23,785  —  550,695  — 
Gross transfers out of level 3 (5,481) —  (398,007) — 
End of period level 3 fair value $ 13,031  $ 1,596,153  $ 249,174  $ 1,909,444 
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period
 $ —  $ (199,016)
(2)
 $ —  $ (331,919)
(2)
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
 $ 19,804  $ —  $ 8,389  $ — 
____________________
(1)The change in unrealized gains or losses on MSR was recorded in loss on servicing asset on the consolidated statements of comprehensive (loss) income.
(2)The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in loss on servicing asset on the 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 December 31, 2020 and December 31, 2019:
December 31, 2020
Valuation Technique
Unobservable Input (1)
Range
Weighted Average (2)
Discounted cash flow Constant prepayment speed 14.1 - 23.5 % 19.4%
Delinquency 1.5 - 2.6 % 2.2%
Discount rate 4.4 - 7.1 % 4.8%
Per loan annual cost to service $64.56 - $79.43 $68.27
December 31, 2019
Valuation Technique
Unobservable Input (1)
Range
Weighted Average (2)
Discounted cash flow Constant prepayment speed 12.6 - 16.4 % 14.8%
Delinquency 0.7 - 1.0 % 0.9%
Discount rate 6.4 - 7.8 % 7.2%
Per loan annual cost to service $63.38 - $78.04 $66.62
___________________
(1)Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of delinquency and a directionally opposite change in the assumption used for prepayment rates.
(2)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 December 31, 2020 and December 31, 2019:
December 31, 2020 December 31, 2019
(in thousands) Carrying Value Fair Value Carrying Value Fair Value
Assets:
Available-for-sale securities $ 14,650,922  $ 14,650,922  $ 31,406,328  $ 31,406,328 
Mortgage servicing rights $ 1,596,153  $ 1,596,153  $ 1,909,444  $ 1,909,444 
Cash and cash equivalents $ 1,384,764  $ 1,384,764  $ 558,136  $ 558,136 
Restricted cash $ 1,261,667  $ 1,261,667  $ 1,058,690  $ 1,058,690 
Derivative assets $ 95,937  $ 95,937  $ 188,051  $ 188,051 
Reverse repurchase agreements $ 91,525  $ 91,525  $ 220,000  $ 220,000 
Other assets $ 13,292  $ 13,292  24,352  24,352 
Liabilities:
Repurchase agreements $ 15,143,898  $ 15,143,898  $ 29,147,463  $ 29,147,463 
Federal Home Loan Bank advances $ —  $ —  $ 210,000  $ 210,000 
Revolving credit facilities $ 283,830  $ 283,830  $ 300,000  $ 300,000 
Term notes payable $ 395,609  $ 380,000  $ 394,502  $ 400,000 
Convertible senior notes $ 286,183  $ 291,376  $ 284,954  $ 299,147 
Derivative liabilities $ 11,058  $ 11,058  $ 6,740  $ 6,740