Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2020

Fair Value Disclosures [Abstract]

Schedule of fair value, assets and liabilities measured on recurring basis

The following tables present the estimated carrying amount and fair value of the Company’s financial instruments and other assets and liabilities measured at fair value on a recurring basis:

	September 30, 2020
			Recurring Fair Value Measurements
Fair value - Recurring basis	Total Fair Value		Level 1		Level 2		Level 3
Assets
Mortgage loans held for sale	$	3,817	$	—	$	3,817	$	—
Forward mortgage servicing rights	2,663		—		—		2,663
Derivative financial instruments
IRLCs	414		—		—		414
Forward MBS trades	23		—		23		—
LPCs	38		—		—		38
Liabilities
Derivative financial instruments
Forward MBS trades	$	42	$	—	$	42	$	—
LPCs	2		—		—		2
Mortgage servicing rights financing	47		—		—		47
Excess spread financing	1,044		—		—		1,044

	December 31, 2019
			Recurring Fair Value Measurements
Fair value - Recurring basis	Total Fair Value		Level 1		Level 2		Level 3
Assets
Mortgage loans held for sale	$	4,077	$	—	$	4,077	$	—
Forward mortgage servicing rights	3,496		—		—		3,496
Derivative financial instruments
IRLCs	135		—		135		—
Forward MBS trades	7		—		7		—
LPCs	12		—		12		—
Liabilities
Derivative financial instruments
Forward MBS trades	$	12	$	—	$	12	$	—
LPCs	3		—		3		—
Mortgage servicing rights financing	37		—		—		37
Excess spread financing	1,311		—		—		1,311

Schedule of fair value, assets and liabilities measured on recurring basis, unobservable input reconciliation

The tables below present a reconciliation for all of the Company’s Level 3 assets and liabilities measured at fair value on a recurring basis:

	Nine Months Ended September 30, 2020
	Assets						Liabilities
Fair value - Level 3 assets and liabilities	Forward mortgage servicing rights		IRLCs		LPCs		Excess spread financing		Mortgage servicing rights financing
Balance - beginning of period	$	3,496	$	135	$	12	$	1,311	$	37
Total gains or losses included in earnings	(1,275)		279		26		(132)		10
Purchases, issuances, sales, repayments and settlements
Purchases	30		—		—		—		—
Issuances	412		—		—		24		—
Settlements and repayments	—		—		—		(159)		—
Balance - end of period	$	2,663	$	414	$	38	$	1,044	$	47

	Nine Months Ended September 30, 2019
	Assets				Liabilities
Fair value - Level 3 assets and liabilities	Forward mortgage servicing rights		Mortgage loans held for investment		Excess spread financing		Mortgage servicing rights financing
Balance - beginning of period	$	3,665	$	119	$	1,184	$	32
Total gains or losses included in earnings	(1,039)		3		(190)		15
Payments received from borrowers	—		(11)		—		—
Purchases, issuances, sales, repayments and settlements
Purchases	732		—		469		—
Issuances	298		—		—		—
Sales	(317)		(94)		—		—
Settlements and repayments	—		—		(182)		—
Transfers to mortgage loans held for sale	—		(12)		—		—
Transfers to real estate owned	—		(5)		—		—
Balance - end of period	$	3,339	$	—	$	1,281	$	47

Fair value measurement inputs and valuation techniques

The tables below present the quantitative information for significant unobservable inputs used in the fair value measurement of Level 3 assets and liabilities:

	September 30, 2020
	Range						Weighted Average
Level 3 inputs	Min			Max
Forward MSR
Discount rate	8.3		%	12.0		%	9.5		%
Prepayment speed	12.6		%	19.2		%	14.4		%
Cost to service per loan(1)	$	68		$	295		$	105
IRLCs
Value of servicing (basis points per loan)	(0.4)			2.1			1.2
Excess spread financing
Discount rate	9.8		%	15.5		%	11.9		%
Prepayment speed	13.4		%	14.0		%	13.6		%
Recapture rate	17.1		%	23.5		%	19.1		%
Average life	5.2 years			5.5 years			5.3 years
Mortgage servicing rights financing
Advance financing and counterparty fee rates	6.4		%	9.4		%	8.2		%
Annual advance recovery rates	18.6		%	22.6		%	20.2		%

(1)Presented in whole dollar amounts.

Schedule of fair value, by balance sheet grouping

The tables below present a summary of the estimated carrying amount and fair value of the Company’s financial instruments not carried at fair value:

	September 30, 2020
	Carrying Amount		Fair Value
Financial instruments			Level 1		Level 2		Level 3
Financial assets
Cash and cash equivalents	$	946	$	946	$	—	$	—
Restricted cash	229		229		—		—
Advances and other receivables, net	745		—		—		745
Reverse mortgage interests, net	5,460		—		—		5,574
Financial liabilities
Unsecured senior notes(1)	2,167		2,237		—		—
Advance and warehouse facilities(1)	4,851		—		4,851		—
Participating interest financing(1)	3,676		—		—		3,679
HECM Securitization (HMBS)(1)
Trust 2020-1	513		—		—		513
Trust 2019-2	257		—		—		257
Trust 2019-1	225		—		—		225

(1)The amounts are presented net of unamortized debt issuance costs, premium and discount.

	December 31, 2019
	Carrying Amount		Fair Value
Financial instruments			Level 1		Level 2		Level 3
Financial assets
Cash and cash equivalents	$	329	$	329	$	—	$	—
Restricted cash	283		283		—		—
Advances and other receivables, net	988		—		—		988
Reverse mortgage interests, net	6,279		—		—		6,318
Financial liabilities
Unsecured senior notes(1)	2,366		2,505		—		—
Advance and warehouse facilities(1)	4,997		—		4,997		—
Participating interest financing(1)	4,299		—		—		4,299
HECM Securitization (HMBS)(1)
Trust 2019-2	331		—		—		331
Trust 2019-1	300		—		—		300
Trust 2018-3	208		—		—		208
Trust 2018-2	148		—		—		148

(1)The amounts are presented net of unamortized debt issuance costs, premium and discount.