XML 66 R46.htm IDEA: XBRL DOCUMENT v3.24.0.1
Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2023
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following table presents 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:
December 31, 2023
Total Fair ValueRecurring Fair Value Measurements
Fair Value - Recurring BasisLevel 1Level 2Level 3
Assets
Mortgage loans held for sale$927 $— $846 $81 
Mortgage servicing rights9,090 — — 9,090 
Equity investments9 1 — 8 
Derivative financial instruments:
Treasury futures113 — 113 — 
Forward MBS trades22 — 22 — 
IRLCs21 — — 21 
LPCs3 — — 3 
Liabilities
Derivative financial instruments:
Forward MBS trades9 — 9 — 
Mortgage servicing rights financing29 — — 29 
Excess spread financing437 — — 437 
December 31, 2022
Total Fair ValueRecurring Fair Value Measurements
Fair Value - Recurring BasisLevel 1Level 2Level 3
Assets
Mortgage loans held for sale$893 $— $819 $74 
Mortgage servicing rights6,654 — — 6,654 
Equity investments47 2 — 45 
Derivative financial instruments:
Forward MBS trades8 — 8 — 
IRLCs22 — — 22 
LPCs1 — — 1 
Liabilities
Derivative financial instruments:
Forward MBS trades9 — 9 — 
LPCs1 — — 1 
Treasury futures14 — 14 — 
Mortgage servicing rights financing19 — — 19 
Excess spread financing509 — — 509 
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:
Year Ended December 31, 2023
AssetsLiabilities
Fair Value - Level 3 Assets and LiabilitiesMortgage servicing rightsMortgage loans held for saleEquity investmentsIRLCsExcess spread
financing		Mortgage servicing rights financing
Balance - beginning of year$6,654 $74 $45 $22 $509 $19 
Changes in fair value included in earnings(483)18 (37)(1)8 10 
Purchases/additions(1)
3,189 180 — — — — 
Issuances273 — — — — — 
Sales/dispositions(1)
(573)(189)— — — — 
Repayments— (6)— — (9)— 
Settlements— — — — (71)— 
Other changes30 4 — — — — 
Balance - end of year$9,090 $81 $8 $21 $437 $29 
Year Ended December 31, 2022
AssetsLiabilities
Fair Value - Level 3 Assets and LiabilitiesMortgage servicing rightsMortgage loans held for saleEquity investmentsIRLCsExcess spread
financing		Mortgage servicing rights financing
Balance - beginning of year$4,223 $76 $54 $134 $768 $10 
Changes in fair value included in earnings549 (3)(9)(112)133 9 
Purchases/additions(1)
1,595 130 — — — — 
Issuances554 — — — — — 
Sales/dispositions(1)
(294)(124)— — — — 
Repayments— (2)— — (293)— 
Settlements— — — — (99)— 
Other changes27 (3)— — — — 
Balance - end of year$6,654 $74 $45 $22 $509 $19 
(1)Additions for mortgages loans held for sale include loans that are purchased or transferred in. Dispositions for mortgage loans held for sales include loans that are sold or transferred out.
Fair Value Measurement Inputs and Valuation Techniques
The tables below present the quantitative information for significant unobservable inputs used in the fair value measurement of Level 3 assets and liabilities:
December 31, 2023December 31, 2022
RangeWeighted AverageRangeWeighted Average
Level 3 InputsMinMaxMinMax
MSR(1)
Option adjusted spread(2)
6.9 %12.3 %8.0 %N/AN/AN/A
Discount rateN/AN/AN/A10.4 %13.7 %11.4 %
Prepayment speed6.8 %9.3 %7.5 %6.3 %12.2 %7.2 %
Cost to service per loan(3)
$56 $160 $80 $54 $155 $80 
Average life(4)
7.9 years8.1 years
Mortgage loans held for sale
Market pricing45.0 %103.4 %81.1 %37.3 %114.7 %77.4 %
IRLCs
Value of servicing (reflected as a percentage of loan commitment)1.1 %3.5 %1.9 %(0.6)%3.9 %2.3 %
Excess spread financing
Option adjusted spread(2)
7.0 %12.3 %8.8 %N/AN/AN/A
Discount rateN/AN/AN/A10.0 %13.8 %11.3 %
Prepayment speed7.7 %9.1 %8.4 %6.9 %13.3 %9.2 %
Average life(4)
6.7 years6.6 years
Mortgage servicing rights financing
Advance financing and counterparty fee rates6.6 %9.2 %7.6 %5.2 %8.6 %7.1 %
Annual advance recovery rates12.2 %14.8 %13.0 %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.
Fair Value, by Balance Sheet Grouping
The tables below present a summary of the carrying amount and estimated fair value of the Company’s financial instruments not carried at fair value:
 December 31, 2023
 Carrying
Amount		Fair Value
Financial InstrumentsLevel 1Level 2Level 3
Financial assets
Cash and cash equivalents$571 $571 $— $— 
Restricted cash169 169 — — 
Advances and other receivables, net996 — 996 
Loans subject to repurchase from Ginnie Mae966 — 966 — 
Financial liabilities
Unsecured senior notes, net3,151 — 3,056 — 
Advance, warehouse and MSR facilities, net4,302 — 4,318 — 
Liability for loans subject to repurchase from Ginnie Mae966 — 966 — 

December 31, 2022
Carrying
Amount		Fair Value
Financial InstrumentsLevel 1Level 2Level 3
Financial assets
Cash and cash equivalents$527 $527 $— $— 
Restricted cash175 175 — — 
Advances and other receivables, net1,019 — — 1,019 
Loans subject to repurchase from Ginnie Mae1,865 — 1,865 — 
Financial liabilities
Unsecured senior notes, net2,673 — 2,209 — 
Advance, warehouse and MSR facilities, net2,885 — 2,896 — 
Liability for loans subject to repurchase from Ginnie Mae1,865 — 1,865 —