Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 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:

	June 30, 2021
			Recurring Fair Value Measurements
Fair Value - Recurring Basis	Total Fair Value		Level 1		Level 2		Level 3
Assets
Mortgage loans held for sale	$	6,961	$	—	$	6,961	$	—
Forward mortgage servicing rights	3,307		—		—		3,307
Derivative financial instruments
IRLCs	204		—		—		204
LPCs	10		—		—		10
Forward MBS trades	27		—		27		—
Liabilities
Derivative financial instruments
LPCs	1		—		—		1
Forward MBS trades	25		—		25		—
Mortgage servicing rights financing	21		—		—		21
Excess spread financing	867		—		—		867

	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
LPCs	38		—		—		38
Forward MBS trades	37		—		37		—
Liabilities
Derivative financial instruments
LPCs	1		—		—		1
Forward MBS trades	156		—		156		—
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:

	Six Months Ended June 30, 2021
	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	$	2,703	$	414	$	38	$	934	$	33
Changes in fair value included in earnings	(190)		(210)		(28)		14		(12)
Other changes	34		—		—		—		—
Purchases, issuances, sales, repayments and settlements
Purchases	218		—		—		—		—
Issuances	554		—		—		—		—
Sales	(12)		—		—		—		—
Settlements and repayments	—		—		—		(81)		—
Balance - end of period	$	3,307	$	204	$	10	$	867	$	21

	Six Months Ended June 30, 2020
	Assets				Liabilities
Fair Value - Level 3 Assets and Liabilities	Forward mortgage servicing rights		IRLCs		Excess spread financing		Mortgage servicing rights financing
Balance - beginning of period	$	3,496	$	135	$	1,311	$	37
Changes in fair value included in earnings	(1,055)		235		(101)		12
Other changes	43		—		—		—
Purchases, issuances, sales, repayments and settlements
Purchases	24		—		—		—
Issuances	249		—		24		—
Settlements and repayments	—		—		(110)		—
Balance - end of period	$	2,757	$	370	$	1,124	$	49

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:

	June 30, 2021									December 31, 2020
	Range						Weighted Average			Range						Weighted Average
Level 3 Inputs	Min			Max						Min			Max
Forward MSR
Discount rate	9.5		%	13.8		%	11.0		%	8.2		%	12.0		%	9.4		%
Prepayment speed	12.4		%	18.8		%	13.6		%	14.2		%	21.3		%	15.4		%
Cost to service per loan(1)	$	63		$	223		$	86		$	66		$	257		$	98
Average life(2)							5.5 years									5.0 years
IRLCs
Value of servicing (basis points per loan)	(0.7)			2.3			1.4			(1.0)			2.2			1.2
Excess spread financing
Discount rate	9.5		%	13.8		%	11.2		%	9.9		%	15.7		%	12.2		%
Prepayment speed	12.6		%	15.3		%	13.5		%	13.9		%	15.0		%	14.4		%
Recapture rate	13.7		%	29.5		%	21.3		%	17.7		%	24.2		%	19.5		%
Average life(2)							5.4 years									5.1 years
Mortgage servicing rights financing
Advance financing and counterparty fee rates	5.3		%	8.2		%	6.9		%	4.6		%	8.5		%	7.5		%
Annual advance recovery rates	18.9		%	22.7		%	20.8		%	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:

	June 30, 2021
	Carrying Amount		Fair Value
Financial Instruments			Level 1		Level 2		Level 3
Financial assets
Cash and cash equivalents	$	716	$	716	$	—	$	—
Restricted cash	113		113		—		—
Advances and other receivables, net	837		—		—		837
Loans subject to repurchase from Ginnie Mae	4,057		—		4,057		—
Financial liabilities
Unsecured senior notes, net	2,075		2,117		—		—
Advance and warehouse facilities, net	7,310		—		7,317		—
Liability for loans subject to repurchase from Ginnie Mae	4,057		—		4,057		—

	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	135		135		—		—
Advances and other receivables, net	940		—		—		940
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	6,258		—		6,269		—
Liability for loans subject to repurchase from Ginnie Mae	6,159		—		6,159		—