Fair Value Measurements (Tables)
|
6 Months Ended |
Jun. 30, 2020 |
|---|
| 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, 2020 | | | | | | | | | | | Recurring Fair Value Measurements | | | | | | Fair value - Recurring basis | Total Fair Value | | Level 1 | | Level 2 | | Level 3 | | Assets | | | | | | | | | Mortgage loans held for sale | $ | 3,179 | | | $ | — | | | $ | 3,179 | | | $ | — | | | Forward mortgage servicing rights | 2,757 | | | — | | | — | | | 2,757 | | | Derivative financial instruments | | | | | | | | IRLCs | 370 | | | — | | | — | | | 370 | | Forward MBS trades | 3 | | | — | | | 3 | | | — | | LPCs | 18 | | | — | | | — | | | 18 | | | Total assets | $ | 6,327 | | | $ | — | | | $ | 3,182 | | | $ | 3,145 | | | Liabilities | | | | | | | | | Derivative financial instruments | | | | | | | | | Forward MBS trades | $ | 50 | | | $ | — | | | $ | 50 | | | $ | — | | | | | | | | | | | Mortgage servicing rights financing | 49 | | | — | | | — | | | 49 | | | Excess spread financing | 1,124 | | | — | | | — | | | 1,124 | | | Total liabilities | $ | 1,223 | | | $ | — | | | $ | 50 | | | $ | 1,173 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2019 | | | | | | | | | | | Recurring Fair Value Measurements | | | | | | Fair value - Recurring basis | Total Fair Value | | Level 1 | | Level 2 | | Level 3 | | Assets | | | | | | | | | Mortgage loans held for sale | $ | 4,077 | | | $ | — | | | $ | 4,077 | | | $ | — | | | Forward mortgage servicing rights | 3,496 | | | — | | | — | | | 3,496 | | | Derivative financial instruments | | | | | | | | | IRLCs | 135 | | | — | | | 135 | | | — | | | Forward MBS trades | 7 | | | — | | | 7 | | | — | | | LPCs | 12 | | | — | | | 12 | | | — | | | Total assets | $ | 7,727 | | | $ | — | | | $ | 4,231 | | | $ | 3,496 | | | Liabilities | | | | | | | | | Derivative financial instruments | | | | | | | | | Forward MBS trades | $ | 12 | | | $ | — | | | $ | 12 | | | $ | — | | | LPCs | 3 | | | — | | | 3 | | | — | | | Mortgage servicing rights financing | 37 | | | — | | | — | | | 37 | | | Excess spread financing | 1,311 | | | — | | | — | | | 1,311 | | | Total liabilities | $ | 1,363 | | | $ | — | | | $ | 15 | | | $ | 1,348 | |
|
| 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, 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 | | | Total gains or losses included in earnings | (1,012) | | | 235 | | | (101) | | | 12 | | | | | | | | | | | 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 | |
| | | | | | | | | | | | | | | | | | | | | Six Months Ended June 30, 2019 | | | | | | | | | Assets | | | | Liabilities | | | | Fair value - Level 3 assets and liabilities | Forward mortgage servicing rights | | | | Excess spread financing | | Mortgage servicing rights financing | | Balance - beginning of period | $ | 3,665 | | | | | $ | 1,184 | | | $ | 32 | | | Total gains or losses included in earnings | (724) | | | | | (74) | | | 11 | | | | | | | | | | | Purchases, issuances, sales, repayments and settlements | | | | | | | | | Purchases | 689 | | | | | — | | | — | | | Issuances | 169 | | | | | 438 | | | — | | | Sales | (294) | | | | | — | | | — | | | Settlements and repayments | — | | | | | (119) | | | — | | | Balance - end of period | $ | 3,505 | | | | | $ | 1,429 | | | $ | 43 | |
|
| 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: | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2020 | | | | | | | | | Carrying
Amount | | Fair Value | | | | | | Financial instruments | | | Level 1 | | Level 2 | | Level 3 | | Financial assets | | | | | | | | | Cash and cash equivalents | $ | 1,041 | | | $ | 1,041 | | | $ | — | | | $ | — | | | Restricted cash | 260 | | | 260 | | | — | | | — | | | Advances and other receivables, net | 668 | | | — | | | — | | | 668 | | | Reverse mortgage interests, net | 5,709 | | | — | | | — | | | 5,736 | | | Mortgage loans held for sale | 3,179 | | | — | | | 3,179 | | | — | | | Derivative financial instruments | 391 | | | — | | | 3 | | | 388 | | | Financial liabilities | | | | | | | | Unsecured senior notes(1) | 2,261 | | | 2,307 | | | — | | | — | | Advance facilities(1) | 475 | | | — | | | 475 | | | — | | Warehouse facilities(1) | 4,031 | | | — | | | 4,031 | | | — | | | Mortgage servicing rights financing liability | 49 | | | — | | | — | | | 49 | | | Excess spread financing | 1,124 | | | — | | | — | | | 1,124 | | | Derivative financial instruments | 50 | | | — | | | 50 | | | — | | Participating interest financing(1) | 3,886 | | | — | | | — | | | 3,857 | | HECM Securitization (HMBS)(1) | | | | | | | | | Trust 2019-2 | 272 | | | — | | | — | | | 272 | | | Trust 2019-1 | 243 | | | — | | | — | | | 243 | | | Trust 2018-3 | 179 | | | — | | | — | | | 179 | | | Trust 2018-2 | 127 | | | — | | | — | | | 127 | |
(1)The amounts are presented net of unamortized debt issuance costs, premium and discount. | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2019 | | | | | | | | Carrying
Amount | | Fair Value | | | | | | Financial instruments | | | Level 1 | | Level 2 | | Level 3 | | Financial assets | | | | | | | | | Cash and cash equivalents | $ | 329 | | | $ | 329 | | | $ | — | | | $ | — | | | Restricted cash | 283 | | | 283 | | | — | | | — | | | Advances and other receivables, net | 988 | | | — | | | — | | | 988 | | | Reverse mortgage interests, net | 6,279 | | | — | | | — | | | 6,318 | | | Mortgage loans held for sale | 4,077 | | | — | | | 4,077 | | | — | | | | | | | | | | | Derivative financial instruments | 153 | | | — | | | 153 | | | — | | | Financial liabilities | | | | | | | | Unsecured senior notes(1) | 2,366 | | | 2,505 | | | — | | | — | | Advance facilities(1) | 422 | | | — | | | 422 | | | — | | Warehouse facilities(1) | 4,575 | | | — | | | 4,575 | | | — | | | Mortgage servicing rights financing liability | 37 | | | — | | | — | | | 37 | | | Excess spread financing | 1,311 | | | — | | | — | | | 1,311 | | | Derivative financial instruments | 15 | | | — | | | 15 | | | — | | Participating interest financing(1) | 4,299 | | | — | | | — | | | 4,299 | | HECM Securitization (HMBS)(1) | | | | | | | | | Trust 2019-2 | 331 | | | — | | | — | | | 331 | | | Trust 2019-1 | 300 | | | — | | | — | | | 300 | | | Trust 2018-3 | 208 | | | — | | | — | | | 208 | | | Trust 2018-2 | 148 | | | — | | | — | | | 148 | |
(1)The amounts are presented net of unamortized debt issuance costs, premium and discount.
|