Fair Value Measurements (Tables)

9 Months Ended

Sep. 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:


	September 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	$	893	$	—	$	792	$	101
Mortgage servicing rights	8,504		—		—		8,504
Equity investments	9		1		—		8
Derivative financial instruments
IRLCs	22		—		—		22
LPCs	1		—		—		1
Forward MBS trades	13		—		13		—

Liabilities
Derivative financial instruments
LPCs	2		—		—		2
Forward MBS trades	28		—		28		—
Treasury futures	65		—		65		—
Mortgage servicing rights financing	21		—		—		21
Excess spread financing	446		—		—		446


	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:


	Nine Months Ended September 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	(140)		3		(37)		—		(4)		2
Purchases/additions (1)	2,305		130		—		—		—		—
Issuances	219		—		—		—		—		—
Sales/dispositions (2)	(555)		(105)		—		—		—		—
Repayments	—		(3)		—		—		(5)		—
Settlements	—		—		—		—		(54)		—
Other changes	21		2		—		—		—		—
Balance - end of period	$	8,504	$	101	$	8	$	22	$	446	$	21


	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

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, 2023									December 31, 2022
	Range						Weighted Average			Range						Weighted Average
Level 3 Inputs	Min			Max						Min			Max
MSRs(1)
Option adjusted spread(2)	6.9		%	12.3		%	8.0		%	N/A			N/A			N/A
Discount rate	N/A			N/A			N/A			10.4		%	13.7		%	11.4		%
Prepayment speed	6.1		%	9.8		%	7.0		%	6.3		%	12.2		%	7.2		%
Cost to service per loan(3)	$	56		$	151		$	80		$	54		$	155		$	80
Average life(4)							8.2 years									8.1 years

Mortgage loans held for sale
Market pricing	45.0		%	99.5		%	88.3		%	37.3		%	114.7		%	77.4		%

IRLCs
Value of servicing (reflected as a percentage of loan commitment)	0.8		%	4.6		%	1.9		%	(0.6)		%	3.9		%	2.3		%

Excess spread financing(1)
Option adjusted spread(2)	7.0		%	12.3		%	8.8		%	N/A			N/A			N/A
Discount rate	N/A			N/A			N/A			10.0		%	13.8		%	11.3		%
Prepayment speed	7.5		%	10.5		%	8.5		%	6.9		%	13.3		%	9.2		%
Average life(4)							6.7 years									6.6 years

Mortgage servicing rights financing
Advance financing and counterparty fee rates	6.5		%	8.8		%	7.7		%	5.2		%	8.6		%	7.1		%
Annual advance recovery rates	12.6		%	15.4		%	13.5		%	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:


	September 30, 2023
	Carrying Amount		Fair Value
Financial Instruments			Level 1		Level 2		Level 3
Financial assets
Cash and cash equivalents	$	553	$	553	$	—	$	—
Restricted cash	151		151		—		—
Advances and other receivables, net	758		—		—		758

Loans subject to repurchase from Ginnie Mae	1,027		—		1,027		—
Financial liabilities
Unsecured senior notes, net	3,147		—		2,815		—
Advance, warehouse and MSR facilities, net	3,545		—		3,560		—
Liability for loans subject to repurchase from Ginnie Mae	1,027		—		1,027		—


	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		—