Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2021

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:

	March 31, 2021
			Recurring Fair Value Measurements
Fair Value - Recurring Basis	Total Fair Value		Level 1		Level 2		Level 3
Assets
Mortgage loans held for sale	$	6,351	$	—	$	6,351	$	—
Forward mortgage servicing rights	3,354		—		—		3,354
Derivative financial instruments
IRLCs	232		—		—		232
Forward MBS trades	286		—		286		—
LPCs	8		—		—		8
Liabilities
Derivative financial instruments
IRLCs	1		—		—		1
Forward MBS trades	76		—		76		—
LPCs	38		—		—		38
Swap futures	1		—		1		—
Mortgage servicing rights financing	23		—		—		23
Excess spread financing	934		—		—		934

	December 31, 2020
			Recurring Fair Value Measurements
Fair Value - Recurring Basis	Total Fair Value		Level 1		Level 2		Level 3
Assets
Mortgage loans held for sale	$	5,720	$	—	$	5,720	$	—
Forward mortgage servicing rights	2,703		—		—		2,703
Derivative financial instruments
IRLCs	414		—		—		414
Forward MBS trades	37		—		37		—
LPCs	38		—		—		38
Liabilities
Derivative financial instruments
Forward MBS trades	156		—		156		—
LPCs	1		—		—		1
Mortgage servicing rights financing	33		—		—		33
Excess spread financing	934		—		—		934

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:

	Three Months Ended March 31, 2021
	Assets						Liabilities
Fair Value - Level 3 Assets and Liabilities	Forward mortgage servicing rights		IRLCs		LPCs		Excess spread financing		Mortgage servicing rights financing		LPCs
Balance - beginning of period	$	2,703	$	414	$	38	$	934	$	33	$	1
Total gains or losses included in earnings	298		(182)		(30)		41		(10)		37
Purchases, issuances, sales, repayments and settlements
Purchases	67		—		—		—		—		—
Issuances	288		—		—		—		—		—
Sales	(2)		—		—		—		—		—
Settlements and repayments	—		—		—		(41)		—		—
Balance - end of period	$	3,354	$	232	$	8	$	934	$	23	$	38

	Three Months Ended March 31, 2020
	Assets		Liabilities
Fair Value - Level 3 Assets and Liabilities	Forward mortgage servicing rights		Excess spread financing		Mortgage servicing rights financing
Balance - beginning of period	$	3,496	$	1,311	$	37
Total gains or losses included in earnings	(534)		(35)		6
Purchases, issuances, sales, repayments and settlements
Purchases	24		—		—
Issuances	123		24		—
Settlements and repayments	—		(58)		—
Balance - end of period	$	3,109	$	1,242	$	43

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:

	March 31, 2021									December 31, 2020
	Range						Weighted Average			Range						Weighted Average
Level 3 Inputs	Min			Max						Min			Max
Forward MSR
Discount rate	8.2		%	12.0		%	9.3		%	8.2		%	12.0		%	9.4		%
Prepayment speed	10.5		%	17.7		%	12.4		%	14.2		%	21.3		%	15.4		%
Cost to service per loan(1)	$	64		$	226		$	92		$	66		$	257		$	98
Average life(2)							5.9 years									5.0 years
IRLCs
Value of servicing (basis points per loan)	(1.3)			2.2			1.2			(1.0)			2.2			1.2
Excess spread financing
Discount rate	9.6		%	15.7		%	11.9		%	9.9		%	15.7		%	12.2		%
Prepayment speed	11.3		%	14.6		%	12.5		%	13.9		%	15.0		%	14.4		%
Recapture rate	17.1		%	23.1		%	19.0		%	17.7		%	24.2		%	19.5		%
Average life(2)							5.7 years									5.1 years
Mortgage servicing rights financing
Advance financing and counterparty fee rates	4.1		%	8.4		%	7.4		%	4.6		%	8.5		%	7.5		%
Annual advance recovery rates	18.1		%	22.0		%	19.9		%	18.3		%	22.0		%	19.9		%

(1)Presented in whole dollar amounts.

(2)Average life is included for informational purposes.

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:

	March 31, 2021
	Carrying Amount		Fair Value
Financial Instruments			Level 1		Level 2		Level 3
Financial assets
Cash and cash equivalents	$	674	$	674	$	—	$	—
Restricted cash	261		261		—		—
Advances and other receivables, net	838		—		—		838
Reverse mortgage interests, net	5,091		—		—		5,166
Loans subject to repurchase from Ginnie Mae	5,816		—		5,816		—
Financial liabilities
Unsecured senior notes, net	2,074		2,120		—		—
Advance and warehouse facilities, net	7,379		—		7,388		—
Liability for loans subject to repurchase from Ginnie Mae	5,816		—		5,816		—
Participating interest financing, net	3,318		—		—		3,319
HECM Securitization (HMBS), net
Trust 2020-1	469		—		—		471
Trust 2019-2	231		—		—		231
Trust 2019-1	203		—		—		203

	December 31, 2020
	Carrying Amount		Fair Value
Financial Instruments			Level 1		Level 2		Level 3
Financial assets
Cash and cash equivalents	$	695	$	695	$	—	$	—
Restricted cash	218		218		—		—
Advances and other receivables, net	940		—		—		940
Reverse mortgage interests, net	5,253		—		—		5,383
Loans subject to repurchase from Ginnie Mae	6,159		—		6,159		—
Financial liabilities
Unsecured senior notes, net	2,074		2,208		—		—
Advance and warehouse facilities, net	6,763		—		6,774		—
Liability for loans subject to repurchase from Ginnie Mae	6,159		—		6,159		—
Participating interest financing, net	3,485		—		—		3,496
HECM Securitization (HMBS), net
Trust 2020-1	488		—		—		490
Trust 2019-2	240		—		—		241
Trust 2019-1	211		—		—		212