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Fair Value Measurements (Tables) | 3 Months Ended
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Mar. 31, 2021
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:
| March 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 | $ | 6,351 |  |  | $ | — |  |  | $ | 6,351 |  |  | $ | — |
Forward mortgage servicing rights | 3,354 |  |  | — |  |  | — |  |  | 3,354 |
Derivative financial instruments |  |  |  |  |  |  |
IRLCs | 232 |  |  | — |  |  | — |  |  | 232 |
Forward MBS trades | 286 |  |  | — |  |  | 286 |  |  | — |
LPCs | 8 |  |  | — |  |  | — |  |  | 8 |
Liabilities |  |  |  |  |  |  |
Derivative financial instruments |  |  |  |  |  |  |
IRLCs | 1 |  |  | — |  |  | — |  |  | 1 |
Forward MBS trades | 76 |  |  | — |  |  | 76 |  |  | — |
LPCs | 38 |  |  | — |  |  | — |  |  | 38 |
Swap futures | 1 |  |  | — |  |  | 1 |  |  | — |
Mortgage servicing rights financing | 23 |  |  | — |  |  | — |  |  | 23 |
Excess spread financing | 934 |  |  | — |  |  | — |  |  | 934 |
| December 31, 2020
|  |  | Recurring Fair Value Measurements
Fair Value - Recurring Basis | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Assets |  |  |  |  |  |  |
Mortgage loans held for sale | $ | 5,720 |  |  | $ | — |  |  | $ | 5,720 |  |  | $ | — |
Forward mortgage servicing rights | 2,703 |  |  | — |  |  | — |  |  | 2,703 |
Derivative financial instruments |  |  |  |  |  |  |
IRLCs | 414 |  |  | — |  |  | — |  |  | 414 |
Forward MBS trades | 37 |  |  | — |  |  | 37 |  |  | — |
LPCs | 38 |  |  | — |  |  | — |  |  | 38 |
Liabilities |  |  |  |  |  |  |
Derivative financial instruments |  |  |  |  |  |  |
Forward MBS trades | 156 |  |  | — |  |  | 156 |  |  | — |
LPCs | 1 |  |  | — |  |  | — |  |  | 1 |
Mortgage servicing rights financing | 33 |  |  | — |  |  | — |  |  | 33 |
Excess spread financing | 934 |  |  | — |  |  | — |  |  | 934 |
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:
| Three Months Ended March 31, 2021
| Assets |  | Liabilities
Fair Value - Level 3 Assets and Liabilities | Forward mortgage servicing rights |  | IRLCs |  | LPCs |  | Excess spread financing |  | Mortgage servicing rights financing |  | LPCs
Balance - beginning of period | $ | 2,703 |  |  | $ | 414 |  |  | $ | 38 |  |  | $ | 934 |  |  | $ | 33 |  |  | $ | 1 |
Total gains or losses included in earnings | 298 |  |  | (182) |  |  | (30) |  |  | 41 |  |  | (10) |  |  | 37 |
Purchases, issuances, sales, repayments and settlements |  |  |  |  |  |  |  |  |  |  |
Purchases | 67 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Issuances | 288 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales | (2) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements and repayments | — |  |  | — |  |  | — |  |  | (41) |  |  | — |  |  | — |
Balance - end of period | $ | 3,354 |  |  | $ | 232 |  |  | $ | 8 |  |  | $ | 934 |  |  | $ | 23 |  |  | $ | 38 |
| Three Months Ended March 31, 2020
| Assets |  | Liabilities
Fair Value - Level 3 Assets and Liabilities | Forward mortgage servicing rights |  | Excess spread financing |  | Mortgage servicing rights financing
Balance - beginning of period | $ | 3,496 |  |  | $ | 1,311 |  |  | $ | 37 |
Total gains or losses included in earnings | (534) |  |  | (35) |  |  | 6 |
Purchases, issuances, sales, repayments and settlements |  |  |  |  |
Purchases | 24 |  |  | — |  |  | — |
Issuances | 123 |  |  | 24 |  |  | — |
Settlements and repayments | — |  |  | (58) |  |  | — |
Balance - end of period | $ | 3,109 |  |  | $ | 1,242 |  |  | $ | 43 |
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:
| March 31, 2021 |  | December 31, 2020
| Range |  | Weighted Average |  | Range |  | Weighted Average
Level 3 Inputs | Min |  | Max |  |  | Min |  | Max |
Forward MSR |  |  |  |  |  |  |  |  |  |  |
Discount rate | 8.2 | % |  | 12.0 | % |  | 9.3 | % |  | 8.2 | % |  | 12.0 | % |  | 9.4 | %
Prepayment speed | 10.5 | % |  | 17.7 | % |  | 12.4 | % |  | 14.2 | % |  | 21.3 | % |  | 15.4 | %
Cost to service per loan(1) | $ | 64 |  |  | $ | 226 |  |  | $ | 92 |  |  | $ | 66 |  |  | $ | 257 |  |  | $ | 98 |
Average life(2) |  |  |  |  | 5.9 years |  |  |  |  |  | 5.0 years
IRLCs |  |  |  |  |  |  |  |  |  |  |
Value of servicing (basis points per loan) | (1.3) |  |  | 2.2 |  |  | 1.2 |  |  | (1.0) |  |  | 2.2 |  |  | 1.2 |
Excess spread financing |  |  |  |  |  |  |  |  |  |  |
Discount rate | 9.6 | % |  | 15.7 | % |  | 11.9 | % |  | 9.9 | % |  | 15.7 | % |  | 12.2 | %
Prepayment speed | 11.3 | % |  | 14.6 | % |  | 12.5 | % |  | 13.9 | % |  | 15.0 | % |  | 14.4 | %
Recapture rate | 17.1 | % |  | 23.1 | % |  | 19.0 | % |  | 17.7 | % |  | 24.2 | % |  | 19.5 | %
Average life(2) |  |  |  |  | 5.7 years |  |  |  |  |  | 5.1 years
Mortgage servicing rights financing |  |  |  |  |  |  |  |  |  |  |
Advance financing and counterparty fee rates | 4.1 | % |  | 8.4 | % |  | 7.4 | % |  | 4.6 | % |  | 8.5 | % |  | 7.5 | %
Annual advance recovery rates | 18.1 | % |  | 22.0 | % |  | 19.9 | % |  | 18.3 | % |  | 22.0 | % |  | 19.9 | %
(1)Presented in whole dollar amounts. (2)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:
| March 31, 2021
| Carrying Amount |  | Fair Value
Financial Instruments | Level 1 |  | Level 2 |  | Level 3
Financial assets |  |  |  |  |  |  |
Cash and cash equivalents | $ | 674 |  |  | $ | 674 |  |  | $ | — |  |  | $ | — |
Restricted cash | 261 |  |  | 261 |  |  | — |  |  | — |
Advances and other receivables, net | 838 |  |  | — |  |  | — |  |  | 838 |
Reverse mortgage interests, net | 5,091 |  |  | — |  |  | — |  |  | 5,166 |
Loans subject to repurchase from Ginnie Mae | 5,816 |  |  | — |  |  | 5,816 |  |  | — |
Financial liabilities |  |  |  |  |  |  |
Unsecured senior notes, net | 2,074 |  |  | 2,120 |  |  | — |  |  | — |
Advance and warehouse facilities, net | 7,379 |  |  | — |  |  | 7,388 |  |  | — |
Liability for loans subject to repurchase from Ginnie Mae | 5,816 |  |  | — |  |  | 5,816 |  |  | — |
Participating interest financing, net | 3,318 |  |  | — |  |  | — |  |  | 3,319 |
HECM Securitization (HMBS), net |  |  |  |  |  |  |
Trust 2020-1 | 469 |  |  | — |  |  | — |  |  | 471 |
Trust 2019-2 | 231 |  |  | — |  |  | — |  |  | 231 |
Trust 2019-1 | 203 |  |  | — |  |  | — |  |  | 203 |
| December 31, 2020
| Carrying Amount |  | Fair Value
Financial Instruments | Level 1 |  | Level 2 |  | Level 3
Financial assets |  |  |  |  |  |  |
Cash and cash equivalents | $ | 695 |  |  | $ | 695 |  |  | $ | — |  |  | $ | — |
Restricted cash | 218 |  |  | 218 |  |  | — |  |  | — |
Advances and other receivables, net | 940 |  |  | — |  |  | — |  |  | 940 |
Reverse mortgage interests, net | 5,253 |  |  | — |  |  | — |  |  | 5,383 |
Loans subject to repurchase from Ginnie Mae | 6,159 |  |  | — |  |  | 6,159 |  |  | — |
Financial liabilities |  |  |  |  |  |  |
Unsecured senior notes, net | 2,074 |  |  | 2,208 |  |  | — |  |  | — |
Advance and warehouse facilities, net | 6,763 |  |  | — |  |  | 6,774 |  |  | — |
Liability for loans subject to repurchase from Ginnie Mae | 6,159 |  |  | — |  |  | 6,159 |  |  | — |
Participating interest financing, net | 3,485 |  |  | — |  |  | — |  |  | 3,496 |
HECM Securitization (HMBS), net |  |  |  |  |  |  |
Trust 2020-1 | 488 |  |  | — |  |  | — |  |  | 490 |
Trust 2019-2 | 240 |  |  | — |  |  | — |  |  | 241 |
Trust 2019-1 | 211 |  |  | — |  |  | — |  |  | 212 |

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- Definition Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=121572278&loc=d3e13467-108611 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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