Fair Value of Financial Instruments (Tables)
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12 Months Ended |
Dec. 31, 2020 |
Fair Value of Financial Instruments |
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Schedule of estimated fair value of financial instruments included in consolidated financial statements |
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December 31, 2020
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December 31, 2019
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Carrying
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Estimated Fair Value
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Carrying
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Estimated Fair Value
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Amount
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Level 1
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Level 2
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Level 3
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Amount
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Level 1
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Level 2
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Level 3
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Assets
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Cash and cash equivalents
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$
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54,150
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$
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54,150
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$
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—
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$
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—
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$
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24,666
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$
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24,666
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$
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—
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$
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—
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Restricted cash
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5,602
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5,602
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—
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—
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12,466
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12,466
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—
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—
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Mortgage loans held-for-sale
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164,422
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—
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164,422
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—
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782,143
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—
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782,143
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—
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Mortgage servicing rights
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339
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—
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—
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339
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41,470
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—
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—
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41,470
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Derivative assets, lending, net (1)
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7,275
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—
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—
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7,275
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7,791
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—
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—
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7,791
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Securitized mortgage collateral
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2,100,175
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—
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—
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2,100,175
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2,628,064
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—
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—
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2,628,064
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Liabilities
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Warehouse borrowings
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$
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151,932
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$
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—
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$
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151,932
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$
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—
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$
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701,563
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$
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—
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$
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701,563
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$
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—
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Convertible notes
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20,000
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—
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—
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20,000
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24,996
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—
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—
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24,996
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Long-term debt
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44,413
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—
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—
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44,413
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45,434
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—
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—
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45,434
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Securitized mortgage borrowings
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2,086,557
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—
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—
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2,086,557
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2,619,210
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—
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—
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2,619,210
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Derivative liabilities, lending, net (2)
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143
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—
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143
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—
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651
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—
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651
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—
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(1)
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Represents IRLCs and are included in other assets in the accompanying consolidated balance sheets. |
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(2)
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Represents Hedging Instruments and are included in other liabilities in the accompanying consolidated balance sheets. |
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Schedule of assets and liabilities that are measured at estimated fair value on recurring basis |
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Recurring Fair Value Measurements
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December 31, 2020
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December 31, 2019
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Level 1
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Level 2
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Level 3
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Level 1
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Level 2
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Level 3
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Assets
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Mortgage loans held-for-sale
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$
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—
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$
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164,422
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$
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—
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$
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—
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$
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782,143
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$
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—
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Derivative assets, lending, net (1)
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—
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—
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7,275
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—
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—
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7,791
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Mortgage servicing rights
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—
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—
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339
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—
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—
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41,470
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Securitized mortgage collateral
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—
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—
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2,100,175
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—
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—
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2,628,064
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Total assets at fair value
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$
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—
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$
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164,422
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$
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2,107,789
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$
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—
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$
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782,143
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$
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2,677,325
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Liabilities
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Securitized mortgage borrowings
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$
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—
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$
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—
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$
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2,086,557
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$
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—
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$
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—
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$
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2,619,210
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Long-term debt
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—
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—
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44,413
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—
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—
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45,434
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Derivative liabilities, lending, net (2)
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—
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143
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—
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—
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651
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—
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Total liabilities at fair value
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$
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—
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$
|
143
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$
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2,130,970
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$
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—
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$
|
651
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$
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2,664,644
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(1)
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At December 31, 2020, derivative assets, lending, net included $7.3 million in IRLCs and is included in other assets in the accompanying consolidated balance sheets. At December 31, 2019, derivative assets, lending, net included $7.8 million in IRLCs and is included in other assets in accompanying consolidated balance sheets. |
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(2)
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At December 31, 2020 and 2019, derivative liabilities, lending, net are included in other liabilities in the accompanying consolidated balance sheets. |
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Schedule of reconciliation for all assets and liabilities measured at estimated fair value on recurring basis using significant unobservable inputs (Level 3) |
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Level 3 Recurring Fair Value Measurements
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For the Year Ended December 31, 2020
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Interest
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Securitized
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Securitized
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Mortgage
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rate lock
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Long-
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mortgage
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mortgage
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servicing
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commitments,
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term
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collateral
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borrowings
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rights
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net
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debt
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Fair value, December 31, 2019
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$
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2,628,064
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$
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(2,619,210)
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$
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41,470
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$
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7,791
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$
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(45,434)
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Total (losses) gains included in earnings:
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Interest income (1)
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747
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—
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—
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|
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—
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—
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Interest expense (1)
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—
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(65,421)
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—
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—
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(850)
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Change in fair value
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(92,562)
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|
79,481
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(21,962)
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(516)
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1,899
|
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Change in instrument specific credit risk
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—
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—
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—
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—
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(28)
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(2)
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Total (losses) gains included in earnings
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(91,815)
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14,060
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(21,962)
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(516)
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|
1,021
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Transfers in and/or out of Level 3
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—
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—
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—
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—
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—
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Purchases, issuances and settlements:
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Purchases
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—
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—
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—
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—
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—
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Issuances
|
|
|
—
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|
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—
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|
|
2,094
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|
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—
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—
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Settlements
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|
|
(436,074)
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|
|
518,593
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|
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(21,263)
|
|
|
—
|
|
|
—
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|
Fair value, December 31, 2020
|
|
$
|
2,100,175
|
|
$
|
(2,086,557)
|
|
$
|
339
|
|
$
|
7,275
|
|
$
|
(44,413)
|
|
Unrealized (losses) gains still held (3)
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|
$
|
(275,818)
|
|
$
|
2,500,674
|
|
$
|
339
|
|
$
|
7,275
|
|
$
|
17,587
|
|
|
(1)
| |
Amounts primarily represent accretion to recognize interest income and interest expense using effective yields based on estimated fair values for trust assets and trust liabilities. Net interest income, including cash received and paid, was $8.9 million for the year ended December 31, 2020. The difference between accretion of interest income and expense and the amounts of interest income and expense recognized in the consolidated statements of operations and comprehensive loss is primarily from contractual interest on the securitized mortgage collateral and borrowings. |
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(2)
| |
Amount represents the change in instrument specific credit risk in other comprehensive loss in the consolidated statements of operations and comprehensive loss. |
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(3)
| |
Represents the amount of unrealized gains (losses) relating to assets and liabilities classified as Level 3 that are still held and reflected in the fair values at December 31, 2020. |
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|
|
|
|
|
|
|
|
|
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Level 3 Recurring Fair Value Measurements
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|
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For the Year Ended December 31, 2019
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|
|
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|
|
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|
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Interest
|
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Securitized
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Securitized
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Mortgage
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rate lock
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Long-
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mortgage
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mortgage
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servicing
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commitments,
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term
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collateral
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borrowings
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|
rights
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net
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|
debt
|
|
Fair value, December 31, 2018
|
|
$
|
3,157,071
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|
$
|
(3,148,215)
|
|
$
|
64,728
|
|
$
|
3,351
|
|
$
|
(44,856)
|
|
Total gains (losses) included in earnings:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest income (1)
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|
|
11,279
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Interest expense (1)
|
|
|
—
|
|
|
(38,127)
|
|
|
—
|
|
|
—
|
|
|
(425)
|
|
Change in fair value
|
|
|
52,499
|
|
|
(55,896)
|
|
|
(25,771)
|
|
|
4,440
|
|
|
(1,429)
|
|
Change in instrument specific credit risk
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,276
|
(2)
|
Total gains (losses) included in earnings
|
|
|
63,778
|
|
|
(94,023)
|
|
|
(25,771)
|
|
|
4,440
|
|
|
(578)
|
|
Transfers in and/or out of Level 3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Purchases, issuances and settlements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchases
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
Issuances
|
|
|
—
|
|
|
—
|
|
|
2,491
|
|
|
—
|
|
|
—
|
|
Settlements
|
|
|
(592,785)
|
|
|
623,028
|
|
|
22
|
|
|
—
|
|
|
—
|
|
Fair value, December 31, 2019
|
|
$
|
2,628,064
|
|
$
|
(2,619,210)
|
|
$
|
41,470
|
|
$
|
7,791
|
|
$
|
(45,434)
|
|
Unrealized (losses) gains still held (3)
|
|
$
|
(232,469)
|
|
$
|
2,486,615
|
|
$
|
41,470
|
|
$
|
7,791
|
|
$
|
16,566
|
|
|
(1)
| |
Amounts primarily represent accretion to recognize interest income and interest expense using effective yields based on estimated fair values for trust assets and trust liabilities. Net interest income, including cash received and paid, was $9.4 million for the year ended December 31, 2019. The difference between accretion of interest income and expense and the amounts of interest income and expense recognized in the consolidated statements of operations and comprehensive loss is primarily from contractual interest on the securitized mortgage collateral and borrowings. |
|
(2)
| |
Amount represents the change in instrument specific credit risk in other comprehensive loss in the consolidated statements of operations and comprehensive loss. |
|
(3)
| |
Represents the amount of unrealized gains (losses) relating to assets and liabilities classified as Level 3 that were still held and reflected in the fair values at December 31, 2019. |
|
Schedule of 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 and non-recurring basis |
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 and non‑recurring basis at December 31, 2020.
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|
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|
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|
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Estimated
|
|
Valuation
|
|
Unobservable
|
|
Range of
|
|
Weighted
|
|
Financial Instrument
|
|
Fair Value
|
|
Technique
|
|
Input
|
|
Inputs
|
|
Average
|
|
Assets and liabilities backed by real estate
|
|
|
|
|
|
|
|
|
|
|
|
|
Securitized mortgage collateral, and
|
|
$
|
2,100,175
|
|
Discounted Cash Flow
|
|
Prepayment rates
|
|
2.0 - 25.6
|
%
|
12.4
|
%
|
Securitized mortgage borrowings
|
|
|
(2,086,557)
|
|
|
|
Default rates
|
|
0.07 - 24.1
|
%
|
3.4
|
%
|
|
|
|
|
|
|
|
Loss severities
|
|
0.01 - 97.7
|
%
|
64.1
|
%
|
|
|
|
|
|
|
|
Discount rates
|
|
1.1 - 25.0
|
%
|
2.6
|
%
|
Other assets and liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage servicing rights
|
|
$
|
339
|
|
Discounted Cash Flow
|
|
Discount rates
|
|
12.5 - 15.0
|
%
|
12.8
|
%
|
|
|
|
|
|
|
|
Prepayment rates
|
|
9.1 - 27.5
|
%
|
12.3
|
%
|
Derivative assets - IRLCs, net
|
|
|
7,275
|
|
Market pricing
|
|
Pull-through rates
|
|
21.6 - 99.9
|
%
|
69.0
|
%
|
Long-term debt
|
|
|
(44,413)
|
|
Discounted Cash Flow
|
|
Discount rates
|
|
8.3
|
%
|
8.3
|
%
|
|
Schedule of changes in recurring fair value measurements included in net loss |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Recurring Fair Value Measurements
|
|
|
|
Changes in Fair Value Included in Net Loss
|
|
|
|
For the Year Ended December 31, 2020
|
|
|
|
|
|
|
|
|
|
Change in Fair Value of
|
|
|
|
|
|
|
Interest
|
|
Interest
|
|
Net Trust
|
|
Long-term
|
|
Other Income
|
|
Gain on Sale
|
|
|
|
|
|
|
Income (1)
|
|
Expense (1)
|
|
Assets
|
|
Debt
|
|
and Expense
|
|
of Loans, net
|
|
Total
|
|
Securitized mortgage collateral
|
|
$
|
747
|
|
$
|
—
|
|
$
|
(92,562)
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
(91,815)
|
|
Securitized mortgage borrowings
|
|
|
—
|
|
|
(65,421)
|
|
|
79,481
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
14,060
|
|
Long-term debt
|
|
|
—
|
|
|
(850)
|
|
|
—
|
|
|
1,899
|
|
|
—
|
|
|
—
|
|
|
1,049
|
|
Mortgage servicing rights (2)
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(21,962)
|
|
|
—
|
|
|
(21,962)
|
|
Mortgage loans held-for-sale
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(15,955)
|
|
|
(15,955)
|
|
Derivative assets — IRLCs
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(516)
|
|
|
(516)
|
|
Derivative liabilities — Hedging Instruments
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
509
|
|
|
509
|
|
Total
|
|
$
|
747
|
|
$
|
(66,271)
|
|
$
|
(13,081)
|
(3)
|
$
|
1,899
|
|
$
|
(21,962)
|
|
$
|
(15,962)
|
|
$
|
(114,630)
|
|
|
(1)
| |
Amounts primarily represent accretion to recognize interest income and interest expense using effective yields based on estimated fair values for trust assets and trust liabilities. |
|
(2)
| |
Included in loss on mortgage servicing rights, net in the consolidated statements of operations and comprehensive loss. |
|
(3)
| |
For the year ended December 31, 2020, change in the fair value of trust assets, excluding REO was $13.1 million. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Recurring Fair Value Measurements
|
|
|
|
Changes in Fair Value Included in Net Loss
|
|
|
|
For the Year Ended December 31, 2019
|
|
|
|
|
|
|
|
|
|
Change in Fair Value of
|
|
|
|
|
|
|
Interest
|
|
Interest
|
|
Net Trust
|
|
Long-term
|
|
Other Income
|
|
Gain on Sale
|
|
|
|
|
|
|
Income (1)
|
|
Expense (1)
|
|
Assets
|
|
Debt
|
|
and Expense
|
|
of Loans, net
|
|
Total
|
|
Securitized mortgage collateral
|
|
$
|
11,279
|
|
$
|
—
|
|
$
|
52,499
|
|
$
|
—
|
|
$
|
—
|
|
$
|
—
|
|
$
|
63,778
|
|
Securitized mortgage borrowings
|
|
|
—
|
|
|
(38,127)
|
|
|
(55,896)
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(94,023)
|
|
Long-term debt
|
|
|
—
|
|
|
(425)
|
|
|
—
|
|
|
(1,429)
|
|
|
—
|
|
|
—
|
|
|
(1,854)
|
|
Mortgage servicing rights (2)
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(25,771)
|
|
|
—
|
|
|
(25,771)
|
|
Mortgage loans held-for-sale
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
15,810
|
|
|
15,810
|
|
Derivative assets — IRLCs
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,440
|
|
|
4,440
|
|
Derivative liabilities — Hedging Instruments
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
32
|
|
|
32
|
|
Total
|
|
$
|
11,279
|
|
$
|
(38,552)
|
|
$
|
(3,397)
|
(3)
|
$
|
(1,429)
|
|
$
|
(25,771)
|
|
$
|
20,282
|
|
$
|
(37,588)
|
|
|
(1)
| |
Amounts primarily represent accretion to recognize interest income and interest expense using effective yields based on estimated fair values for trust assets and trust liabilities. |
|
(2)
| |
Included in loss on mortgage servicing rights, net in the consolidated statements of operations and comprehensive loss. |
|
(3)
| |
For the year ended December 31, 2019, change in the fair value of trust assets, excluding REO was $3.4 million. |
|
Schedule of information for derivative assets and liabilities - lending |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Gains (Losses)
|
|
|
Notional Amount
|
|
For the Year Ended
|
|
|
December 31,
|
|
December 31,
|
|
December 31,
|
|
|
2020
|
|
2019
|
|
2020
|
|
2019
|
Derivative – IRLC's (1)
|
|
$
|
450,913
|
|
$
|
419,035
|
|
$
|
(516)
|
|
$
|
4,440
|
Derivative – TBA MBS (2)
|
|
|
45,000
|
|
|
485,459
|
|
|
(10,531)
|
|
|
(5,595)
|
Derivative – Forward delivery loan commitment (3)
|
|
|
20,000
|
|
|
232,530
|
|
|
—
|
|
|
—
|
|
(1)
| |
Amounts included in gain on sale of loans, net within the accompanying consolidated statements of operations and comprehensive loss. |
|
(2)
| |
Amounts included in gain on sale of loans, net within the accompanying consolidated statements of operations and comprehensive loss. |
As of December 31, 2020, $20.0 million of forward loan commitment remained unallocated and are recorded at fair value. As of December 31, 2019, $232.5 million in mortgage loans had been allocated to forward delivery loan commitments and were recorded at fair value within LHFS in the accompanying consolidated balance sheets.
|
Schedule of financial and non-financial assets and liabilities measured using nonrecurring fair value measurements |
The following table presents financial and non‑financial assets and liabilities measured using nonrecurring fair value measurements at December 31, 2020 and 2019, respectively:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nonrecurring Fair Value Measurements
|
|
|
|
December 31, 2020
|
|
December 31, 2019
|
|
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
REO (1)
|
|
$
|
—
|
|
$
|
3,173
|
|
$
|
—
|
|
$
|
—
|
|
$
|
6,834
|
|
$
|
—
|
|
ROU asset
|
|
|
—
|
|
|
—
|
|
|
13,512
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1)
| |
Balance represents REO at December 31, 2020 and December 31, 2019 which has been impaired subsequent to foreclosure. |
The following table presents total losses on financial and non‑financial assets and liabilities measured using nonrecurring fair value measurements for the years ended December 31, 2020 and 2019, respectively:
|
|
|
|
|
|
|
|
|
|
Total Gains (Losses) (1)
|
|
|
For the Year Ended December 31,
|
|
|
2020
|
|
2019
|
|
REO (2)
|
|
$
|
7,393
|
|
$
|
(6,434)
|
|
|
|
|
|
|
|
|
|
|
(1)
| |
Total gains (losses) reflect gains (losses) from all nonrecurring measurements during the period. |
|
(2)
| |
For the years ended December 31, 2020 and 2019, the Company recorded $7.4 million and ($6.4) million, respectively, of gains (losses) related to changes in the NRV of REO. Gains represent recovery of the NRV attributable to an improvement in state specific loss severities on properties held during the period which resulted in an increase to NRV. Losses represent impairment of the NRV attributable to an increase in state specific loss severities on REO held during the period which resulted in a decrease to NRV. |
|