Fair Value Measurements (Tables)

9 Months Ended

Sep. 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:

	September 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	$	7,939	$	—	$	7,939	$	—
Forward mortgage servicing rights	3,666		—		—		3,666
Equity securities	58		8		—		50
Derivative financial instruments
IRLCs	167		—		—		167
LPCs	6		—		—		6
Forward MBS trades	61		—		61		—
Liabilities
Derivative financial instruments
LPCs	13		—		—		13
Forward MBS trades	23		—		23		—
Swap futures	12		—		12		—
Mortgage servicing rights financing	20		—		—		20
Excess spread financing	822		—		—		822

	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:

	Nine Months Ended September 30, 2021
	Assets								Liabilities
Fair Value - Level 3 Assets and Liabilities	Forward mortgage servicing rights		Equity securities		IRLCs		LPCs		Excess spread financing		Mortgage servicing rights financing		LPCs
Balance - beginning of period	$	2,703	$	—	$	414	$	38	$	934	$	33	$	1
Changes in fair value included in earnings	(296)		—		(247)		(32)		6		(13)		12
Other changes	44		—		—		—		—		—		—
Purchases, issuances, sales, repayments and settlements
Purchases/Additions	438		50		—		—		—		—		—
Issuances	790		—		—		—		—		—		—
Sales	(13)		—		—		—		—		—		—
Settlements and repayments	—		—		—		—		(118)		—		—
Balance - end of period	$	3,666	$	50	$	167	$	6	$	822	$	20	$	13

	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
Changes in fair value included in earnings	(1,332)		279		26		(132)		10
Other changes	57		—		—		—		—
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

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, 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		%	10.9		%	8.2		%	12.0		%	9.4		%
Prepayment speed	11.8		%	16.5		%	12.9		%	14.2		%	21.3		%	15.4		%
Cost to service per loan(1)	$	61		$	180		$	79		$	66		$	257		$	98
Average life(2)							5.8 years									5.0 years
IRLCs
Value of servicing (basis points per loan)	(1.3)			2.4			1.3			(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	12.8		%	15.1		%	13.4		%	13.9		%	15.0		%	14.4		%
Recapture rate	17.3		%	28.9		%	23.1		%	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	5.2		%	8.0		%	6.7		%	4.6		%	8.5		%	7.5		%
Annual advance recovery rates	18.8		%	22.6		%	20.7		%	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:

	September 30, 2021
	Carrying Amount		Fair Value
Financial Instruments			Level 1		Level 2		Level 3
Financial assets
Cash and cash equivalents	$	731	$	731	$	—	$	—
Restricted cash	118		118		—		—
Advances and other receivables, net	909		—		—		909
Loans subject to repurchase from Ginnie Mae	2,703		—		2,703		—
Financial liabilities
Unsecured senior notes, net	2,076		2,168		—		—
Advance and warehouse facilities, net	8,206		—		8,219		—
Liability for loans subject to repurchase from Ginnie Mae	2,703		—		2,703		—

	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		—