Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

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, 2022
			Recurring Fair Value Measurements
Fair Value - Recurring Basis	Total Fair Value		Level 1		Level 2		Level 3
Assets
Mortgage loans held for sale	$	1,581	$	—	$	1,581	$	—
Mortgage servicing rights	6,408		—		—		6,408
Equity investments	48		3		—		45
Derivative financial instruments
IRLCs	21		—		—		21
LPCs	1		—		—		1
Forward MBS trades	74		—		74		—
Liabilities
Derivative financial instruments
IRLCs	8		—		—		8
LPCs	5		—		—		5
Forward MBS trades	19		—		19		—
Treasury futures	62		—		62		—
Mortgage servicing rights financing	20		—		—		20
Excess spread financing	519		—		—		519

	December 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	$	4,381	$	—	$	4,381	$	—
Mortgage servicing rights	4,223		—		—		4,223
Equity investments	63		9		—		54
Derivative financial instruments
IRLCs	134		—		—		134
Forward MBS trades	7		—		7		—
LPCs	3		—		—		3
Liabilities
Derivative financial instruments
Forward MBS trades	8		—		8		—
LPCs	2		—		—		2
Swap futures	6		—		6		—
Mortgage servicing rights financing	10		—		—		10
Excess spread financing	768		—		—		768

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, 2022
	Assets						Liabilities
Fair Value - Level 3 Assets and Liabilities	Mortgage servicing rights		Equity investments		IRLCs		Excess spread financing		Mortgage servicing rights financing
Balance - beginning of period	$	4,223	$	54	$	134	$	768	$	10
Changes in fair value included in earnings	719		(9)		(113)		124		10
Purchases	1,256		—		—		—		—
Issuances	481		—		—		—		—
Sales	(293)		—		—		—		—
Repayments	—		—		—		(293)		—
Settlements	—		—		—		(80)		—
Other changes	22		—		—		—		—
Balance - end of period	$	6,408	$	45	$	21	$	519	$	20

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

Fair value measurement inputs and valuation techniques

The table below presents the quantitative information for significant unobservable inputs used in the fair value measurement of Level 3 assets and liabilities.

	September 30, 2022									December 31, 2021
	Range						Weighted Average			Range						Weighted Average
Level 3 Inputs	Min			Max						Min			Max
MSR(1)
Discount rate	10.4		%	13.7		%	11.4		%	9.5		%	13.7		%	10.9		%
Prepayment speed	6.6		%	13.3		%	7.4		%	11.7		%	16.4		%	13.0		%
Cost to service per loan(2)	$	59		$	128		$	78		$	59		$	168		$	77
Average life(3)							8.0 years									5.8 years
IRLCs
Value of servicing (reflected as a percentage of loan commitment)	(0.3)		%	4.4		%	2.1		%	(0.7)		%	2.4		%	1.4		%
Excess spread financing(1)
Discount rate	10.0		%	13.8		%	11.3		%	9.5		%	13.8		%	11.2		%
Prepayment speed	6.6		%	13.5		%	9.5		%	12.8		%	15.2		%	13.4		%
Average life(3)							6.6 years									5.4 years
Mortgage servicing rights financing
Advance financing and counterparty fee rates	5.0		%	8.7		%	7.3		%	4.5		%	7.9		%	6.5		%
Annual advance recovery rates	16.9		%	22.9		%	18.5		%	19.2		%	23.0		%	21.3		%

(1)The inputs are weighted by investor.

(2)Presented in whole dollar amounts.

(3)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, 2022
	Carrying Amount		Fair Value
Financial Instruments			Level 1		Level 2		Level 3
Financial assets
Cash and cash equivalents	$	530	$	530	$	—	$	—
Restricted cash	148		148		—		—
Advances and other receivables, net	831		—		—		831
Loans subject to repurchase from Ginnie Mae	1,575		—		1,575		—
Financial liabilities
Unsecured senior notes, net	2,673		2,085		—		—
Advance and warehouse facilities, net	3,070		—		3,076		—
Liability for loans subject to repurchase from Ginnie Mae	1,575		—		1,575		—

	December 31, 2021
	Carrying Amount		Fair Value
Financial Instruments			Level 1		Level 2		Level 3
Financial assets
Cash and cash equivalents	$	895	$	895	$	—	$	—
Restricted cash	146		146		—		—
Advances and other receivables, net	1,228		—		—		1,228
Loans subject to repurchase from Ginnie Mae	1,496		—		1,496		—
Financial liabilities
Unsecured senior notes, net	2,670		2,737		—		—
Advance and warehouse facilities, net	4,997		—		5,009		—
Liability for loans subject to repurchase from Ginnie Mae	1,496		—		1,496		—