XML 80 R66.htm IDEA: XBRL DOCUMENT v3.21.2
Fair Value Measurements - Unobservable Inputs (Details) - USD ($)
3 Months Ended 9 Months Ended
Mar. 31, 2021
Sep. 30, 2021
Forward MSR    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Average life(2) 5 years 5 years 9 months 18 days
Excess spread financing    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Average life(2) 5 years 1 month 6 days 5 years 4 months 24 days
Min | Forward MSR    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Discount rate 8.20% 9.50%
Prepayment speed 14.20% 11.80%
Cost to service per loan(1) $ 66 $ 61
Min | IRLCs    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Value of servicing (basis points per loan) (0.00010) (0.00013)
Min | Excess spread financing    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Discount rate 9.90% 9.50%
Prepayment speed 13.90% 12.80%
Recapture rate 17.70% 17.30%
Min | Mortgage servicing rights financing    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Advance financing and counterparty fee rates 4.60% 5.20%
Annual advance recovery rates 18.30% 18.80%
Max | Forward MSR    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Discount rate 12.00% 13.80%
Prepayment speed 21.30% 16.50%
Cost to service per loan(1) $ 257 $ 180
Max | IRLCs    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Value of servicing (basis points per loan) 0.00022 0.00024
Max | Excess spread financing    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Discount rate 15.70% 13.80%
Prepayment speed 15.00% 15.10%
Recapture rate 24.20% 28.90%
Max | Mortgage servicing rights financing    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Advance financing and counterparty fee rates 8.50% 8.00%
Annual advance recovery rates 22.00% 22.60%
Weighted Average | Forward MSR    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Discount rate 9.40% 10.90%
Prepayment speed 15.40% 12.90%
Cost to service per loan(1) $ 98 $ 79
Weighted Average | IRLCs    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Value of servicing (basis points per loan) 0.00012 0.00013
Weighted Average | Excess spread financing    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Discount rate 12.20% 11.20%
Prepayment speed 14.40% 13.40%
Recapture rate 19.50% 23.10%
Weighted Average | Mortgage servicing rights financing    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Advance financing and counterparty fee rates 7.50% 6.70%
Annual advance recovery rates 19.90% 20.70%