Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2023

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, 2023
			Recurring Fair Value Measurements
Fair Value - Recurring Basis	Total Fair Value		Level 1		Level 2		Level 3
Assets
Mortgage loans held for sale	$	1,187	$	—	$	1,120	$	67
Mortgage servicing rights	7,149		—		—		7,149
Equity investments	43		1		—		42
Derivative financial instruments
IRLCs	30		—		—		30
LPCs	1		—		—		1
Forward MBS trades	10		—		10		—


Liabilities
Derivative financial instruments
LPCs	1		—		—		1
Forward MBS trades	3		—		3		—
Treasury futures	20		—		20		—
Mortgage servicing rights financing	23		—		—		23
Excess spread financing	459		—		—		459


	December 31, 2022
			Recurring Fair Value Measurements
Fair Value - Recurring Basis	Total Fair Value		Level 1		Level 2		Level 3
Assets
Mortgage loans held for sale	$	893	$	—	$	819	$	74
Mortgage servicing rights	6,654		—		—		6,654
Equity investments	47		2		—		45
Derivative financial instruments
IRLCs	22		—		—		22
Forward MBS trades	8		—		8		—
LPCs	1		—		—		1

Liabilities
Derivative financial instruments
Forward MBS trades	9		—		9		—
LPCs	1		—		—		1
Treasury futures	14		—		14		—
Mortgage servicing rights financing	19		—		—		19
Excess spread financing	509		—		—		509

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, 2023
	Assets								Liabilities
Fair Value - Level 3 Assets and Liabilities	Mortgage servicing rights		Mortgage loans held for sale		Equity investments		IRLCs		Excess spread financing		Mortgage servicing rights financing
Balance - beginning of period	$	6,654	$	74	$	45	$	22	$	509	$	19
Changes in fair value included in earnings	(239)		2		(3)		8		(10)		4
Purchases/additions (1)	870		47		—		—		—		—
Issuances	133		—		—		—		—		—
Sales/dispositions (2)	(280)		(54)		—		—		—		—
Repayments	—		(2)		—		—		(4)		—
Settlements	—		—		—		—		(36)		—
Other changes	11		—		—		—		—		—
Balance - end of period	$	7,149	$	67	$	42	$	30	$	459	$	23


	Six Months Ended June 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	663		—		(72)		117		14
Purchases	1,178		—		—		—		—
Issuances	360		—		—		—		—
Sales	(289)		—		—		—		—

Repayments	—		—		—		(292)		—
Settlements	—		—		—		(61)		—
Other changes	16		—		—		—		—
Balance - end of period	$	6,151	$	54	$	62	$	532	$	24

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.


	June 30, 2023									December 31, 2022
	Range						Weighted Average			Range						Weighted Average
Level 3 Inputs	Min			Max						Min			Max
MSRs(1)
Option adjusted spread(2)	6.8		%	12.0		%	8.0		%	N/A			N/A			N/A
Discount rate	N/A			N/A			N/A			10.4		%	13.7		%	11.4		%
Prepayment speed	6.5		%	12.7		%	7.6		%	6.3		%	12.2		%	7.2		%
Cost to service per loan(3)	$	56		$	157		$	83		$	54		$	155		$	80
Average life(4)							7.9 years									8.1 years

Mortgage loans held for sale
Market pricing	45.0		%	102.1		%	77.5		%	37.3		%	114.7		%	77.4		%

IRLCs
Value of servicing (reflected as a percentage of loan commitment)	—		%	4.0		%	2.0		%	(0.6)		%	3.9		%	2.3		%

Excess spread financing(1)
Option adjusted spread(2)	6.8		%	12.0		%	8.5		%	N/A			N/A			N/A
Discount rate	N/A			N/A			N/A			10.0		%	13.8		%	11.3		%
Prepayment speed	7.3		%	13.7		%	9.7		%	6.9		%	13.3		%	9.2		%
Average life(4)							6.4 years									6.6 years

Mortgage servicing rights financing
Advance financing and counterparty fee rates	5.6		%	8.8		%	7.0		%	5.2		%	8.6		%	7.1		%
Annual advance recovery rates	14.0		%	17.2		%	15.0		%	15.9		%	20.6		%	17.3		%

(1)The inputs are weighted by investor.

(2)OAS represents incremental spread above a risk-free rate (one-month SOFR), which is an observable input. See discussion on methodology above.

(3)Presented in whole dollar amounts.

(4)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, 2023
	Carrying Amount		Fair Value
Financial Instruments			Level 1		Level 2		Level 3
Financial assets
Cash and cash equivalents	$	517	$	517	$	—	$	—
Restricted cash	170		170		—		—
Advances and other receivables, net	802		—		—		802

Loans subject to repurchase from Ginnie Mae	1,650		—		1,650		—
Financial liabilities
Unsecured senior notes, net	2,676		—		2,322		—
Advance, warehouse and MSR facilities, net	3,512		—		3,526		—
Liability for loans subject to repurchase from Ginnie Mae	1,650		—		1,650		—


	December 31, 2022
	Carrying Amount		Fair Value
Financial Instruments			Level 1		Level 2		Level 3
Financial assets
Cash and cash equivalents	$	527	$	527	$	—	$	—
Restricted cash	175		175		—		—
Advances and other receivables, net	1,019		—		—		1,019
Loans subject to repurchase from Ginnie Mae	1,865		—		1,865		—
Financial liabilities
Unsecured senior notes, net	2,673		—		2,209		—
Advance, warehouse and MSR facilities, net	2,885		—		2,896		—
Liability for loans subject to repurchase from Ginnie Mae	1,865		—		1,865		—