Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

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Fair Value (Tables)
 3 Months Ended
Mar. 31, 2024
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
March 31, 2024
(in thousands) Level 1 Level 2 Level 3 Total
Assets:
Available-for-sale securities $ —  $ 8,178,591  $ 3,953  $ 8,182,544 
Mortgage servicing rights —  —  3,084,879  3,084,879 
Derivative assets 14,512  9,885  —  24,397 
Total assets $ 14,512  $ 8,188,476  $ 3,088,832  $ 11,291,820 
Liabilities:
Derivative liabilities $ 3,027  $ —  $ —  $ 3,027 
Total liabilities $ 3,027  $ —  $ —  $ 3,027 
Recurring Fair Value Measurements
December 31, 2023
(in thousands) Level 1 Level 2 Level 3 Total
Assets:
Available-for-sale securities $ —  $ 8,322,999  $ 4,150  $ 8,327,149 
Mortgage servicing rights —  —  3,052,016  3,052,016 
Derivative assets 72,980  12,311  —  85,291 
Total assets $ 72,980  $ 8,335,310  $ 3,056,166  $ 11,464,456 
Liabilities:
Derivative liabilities $ 21,506  $ —  $ —  $ 21,506 
Total liabilities $ 21,506  $ —  $ —  $ 21,506 
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following table presents the reconciliation for the Company’s Level 3 assets measured at fair value on a recurring basis:
Three Months Ended
March 31, 2024
(in thousands) Available-For-Sale Securities Mortgage Servicing Rights
Beginning of period level 3 fair value
 $ 4,150  $ 3,052,016 
Gains (losses) included in net income (loss):
Realized (155) (43,418)
Unrealized — 
(1)
 54,430 
(2)
Reversal of provision for credit losses (65) — 
Net gains (losses) included in net income (loss) (220) 11,012 
Other comprehensive income 23  — 
Purchases —  40,335 
Sales —  (18,221)
Settlements —  (263)
Gross transfers into level 3 —  — 
Gross transfers out of level 3 —  — 
End of period level 3 fair value $ 3,953  $ 3,084,879 
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period
 $ — 
(3)
 $ 61,247 
(4)
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
 $ 23  $ — 
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(1)The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option was recorded in (loss) gain on investment securities on the condensed consolidated statements of comprehensive income (loss).
(2)The change in unrealized gains or losses on MSR was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive income (loss).
(3)The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option that were held at the end of the reporting period was recorded in (loss) gain on investment securities on the condensed consolidated statements of comprehensive income (loss).
(4)The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive income (loss).
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 March 31, 2024 and December 31, 2023:
March 31, 2024
Valuation Technique Unobservable Input Range
Weighted Average (1)
Discounted cash flow Constant prepayment speed 5.6% - 6.8% 6.2%
Option-adjusted spread 5.2% - 8.7% 5.4%
Per loan annual cost to service $67.90 - $81.54 $68.47
December 31, 2023
Valuation Technique Unobservable Input Range
Weighted Average (1)
Discounted cash flow Constant prepayment speed 5.0% - 6.9% 6.2%
Option-adjusted spread 4.8% - 8.6% 5.3%
Per loan annual cost to service $66.31 - $81.30 $68.27
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(1)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 March 31, 2024 and December 31, 2023:
March 31, 2024 December 31, 2023
(in thousands) Carrying Value Fair Value Carrying Value Fair Value
Assets:
Available-for-sale securities $ 8,182,544  $ 8,182,544  $ 8,327,149  $ 8,327,149 
Mortgage servicing rights $ 3,084,879  $ 3,084,879  $ 3,052,016  $ 3,052,016 
Cash and cash equivalents $ 666,244  $ 666,244  $ 729,732  $ 729,732 
Restricted cash $ 72,184  $ 72,184  $ 65,101  $ 65,101 
Derivative assets $ 24,397  $ 24,397  $ 85,291  $ 85,291 
Reverse repurchase agreements $ 351,843  $ 351,843  $ 284,091  $ 284,091 
Other assets $ 31,562  $ 31,562  $ 31,704  $ 31,704 
Liabilities:
Repurchase agreements $ 8,361,638  $ 8,361,638  $ 8,020,207  $ 8,020,207 
Revolving credit facilities $ 1,357,671  $ 1,357,671  $ 1,329,171  $ 1,329,171 
Term notes payable $ 295,520  $ 292,552  $ 295,271  $ 289,653 
Convertible senior notes $ 268,953  $ 259,507  $ 268,582  $ 254,232 
Derivative liabilities $ 3,027  $ 3,027  $ 21,506  $ 21,506