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Fair Value Measurements | 9 Months Ended
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Sep. 30, 2024
Fair Value Disclosures [Abstract] |
Fair Value Measurements | 13. Fair Value Measurements Fair value is a market-based measurement, not an entity-specific measurement, and should be determined based on the assumptions that market participants would use in pricing the asset or liability. As a basis for considering market participant assumptions in fair value measurements, a three-tiered fair value hierarchy has been established based on the level of observable inputs used in the measurement of fair value (e.g., Level 1 representing quoted prices for identical assets or liabilities in an active market; Level 2 representing values using observable inputs other than quoted prices included within Level 1; and Level 3 representing estimated values based on significant unobservable inputs). There have been no significant changes to the valuation techniques and inputs used by the Company in estimating fair values of Level 2 and Level 3 assets and liabilities as disclosed in the Company’s Annual Reports on Form 10-K for the year ended December 31, 2023. 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, 2024
|  |  | Recurring Fair Value Measurements
Fair Value - Recurring Basis | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Assets |  |  |  |  |  |  |
Mortgage servicing rights | $ | 10,035 |  |  | $ | — |  |  | $ | — |  |  | $ | 10,035 |
Mortgage loans held for sale | 1,962 |  |  | — |  |  | 1,897 |  |  | 65 |
Equity investments | 9 |  |  | 1 |  |  | — |  |  | 8 |
Derivative financial instruments |  |  |  |  |  |  |
IRLCs | 41 |  |  | — |  |  | — |  |  | 41 |
LPCs | 3 |  |  | — |  |  | — |  |  | 3 |
Forward MBS trades | 7 |  |  | — |  |  | 7 |  |  | — |
Treasury Futures | 16 |  |  | — |  |  | 16 |  |  | — |
Liabilities |  |  |  |  |  |  |
Derivative financial instruments |  |  |  |  |  |  |
LPCs | 3 |  |  | — |  |  | — |  |  | 3 |
Forward MBS trades | 44 |  |  | — |  |  | 44 |  |  | — |
Excess spread financing | 403 |  |  | — |  |  | — |  |  | 403 |
Mortgage servicing rights financing | 40 |  |  | — |  |  | — |  |  | 40 |
| December 31, 2023 |
|  |  | Recurring Fair Value Measurements |
Fair Value - Recurring Basis | Total Fair Value |  | Level 1 |  | Level 2 |  | Level 3 |
Assets |  |  |  |  |  |  |  |
Mortgage servicing rights | $ | 9,090 |  |  | $ | — |  |  | $ | — |  |  | $ | 9,090 |  |
Mortgage loans held for sale | 927 |  |  | — |  |  | 846 |  |  | 81 |  |
Equity investments | 9 |  |  | 1 |  |  | — |  |  | 8 |  |
Derivative financial instruments |  |  |  |  |  |  |  |
Treasury futures | 113 |  |  | — |  |  | 113 |  |  | — |  |
IRLCs | 21 |  |  | — |  |  | — |  |  | 21 |  |
Forward MBS trades | 22 |  |  | — |  |  | 22 |  |  | — |  |
LPCs | 3 |  |  | — |  |  | — |  |  | 3 |  |
Liabilities |  |  |  |  |  |  |  |
Derivative financial instruments |  |  |  |  |  |  |  |
Forward MBS trades | 9 |  |  | — |  |  | 9 |  |  | — |  |
Excess spread financing | 437 |  |  | — |  |  | — |  |  | 437 |  |
Mortgage servicing rights financing | 29 |  |  | — |  |  | — |  |  | 29 |  |
The tables below set forth the activities for all of the Company’s Level 3 assets and liabilities measured at fair value on a recurring basis:
| Nine Months Ended September 30, 2024
| 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 | $ | 9,090 |  |  | $ | 81 |  |  | $ | 8 |  |  | $ | 21 |  |  | $ | 437 |  |  | $ | 29 |
Changes in fair value included in earnings | (694) |  |  | 2 |  |  | — |  |  | 20 |  |  | 15 |  |  | 11 |
Purchases/additions(1) | 1,640 |  |  | 95 |  |  | — |  |  | — |  |  | — |  |  | — |
Issuances | 267 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales/dispositions(2) | (297) |  |  | (110) |  |  | — |  |  | — |  |  | — |  |  | — |
Repayments | — |  |  | (3) |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements | — |  |  | — |  |  | — |  |  | — |  |  | (49) |  |  | — |
Other changes | 29 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Balance - end of period | $ | 10,035 |  |  | $ | 65 |  |  | $ | 8 |  |  | $ | 41 |  |  | $ | 403 |  |  | $ | 40 |
| 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 |
(1)Additions for mortgages loans held for sale include loans that are purchased or transferred in. (2)Dispositions for mortgage loans held for sales include loans that are sold or transferred out. The Company had immaterial LPCs assets and liabilities as of September 30, 2024 and 2023. No transfers were made in or out of Level 3 fair value assets and liabilities for the Company during the nine months ended September 30, 2024 and 2023. 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, 2024 |  | December 31, 2023
| Range |  | Weighted Average |  | Range |  | Weighted Average
Level 3 Inputs | Min |  | Max |  |  | Min |  | Max |
MSRs(1) |  |  |  |  |  |  |  |  |  |  |
Option adjusted spread(2) | 6.8 | % |  | 12.3 | % |  | 7.6 | % |  | 6.9 | % |  | 12.3 | % |  | 8.0 | %
Prepayment speed | 6.8 | % |  | 10.2 | % |  | 9.0 | % |  | 6.8 | % |  | 9.3 | % |  | 7.5 | %
Cost to service per loan(3) | $ | 47 |  |  | $ | 119 |  |  | $ | 62 |  |  | $ | 56 |  |  | $ | 160 |  |  | $ | 80 |
Average life(4) |  |  |  |  | 7.3 years |  |  |  |  |  | 7.9 years
Mortgage loans held for sale |  |  |  |  |  |  |  |  |  |  |
Market pricing | 45.0 | % |  | 103.5 | % |  | 79.1 | % |  | 45.0 | % |  | 103.4 | % |  | 81.1 | %
IRLCs |  |  |  |  |  |  |  |  |  |  |
Value of servicing (reflected as a percentage of loan commitment) | — | % |  | 3.4 | % |  | 1.6 | % |  | 1.1 | % |  | 3.5 | % |  | 1.9 | %
Excess spread financing(1) |  |  |  |  |  |  |  |  |  |  |
Option adjusted spread(2) | 6.9 | % |  | 12.3 | % |  | 8.7 | % |  | 7.0 | % |  | 12.3 | % |  | 8.8 | %
Prepayment speed | 7.3 | % |  | 8.4 | % |  | 8.0 | % |  | 7.7 | % |  | 9.1 | % |  | 8.4 | %
Average life(4) |  |  |  |  | 6.7 years |  |  |  |  |  | 6.7 years
Mortgage servicing rights financing |  |  |  |  |  |  |  |  |  |  |
Advance financing and counterparty fee rates | 7.0 | % |  | 9.0 | % |  | 8.3 | % |  | 6.6 | % |  | 9.2 | % |  | 7.6 | %
Annual advance recovery rates | 15.4 | % |  | 16.9 | % |  | 16.4 | % |  | 12.2 | % |  | 14.8 | % |  | 13.0 | %
(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. (3)Presented in whole dollar amounts. (4)Average life is included for informational purposes. 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, 2024
| Carrying Amount |  | Fair Value
Financial Instruments | Level 1 |  | Level 2 |  | Level 3
Financial assets |  |  |  |  |  |  |
Cash and cash equivalents | $ | 733 |  |  | $ | 733 |  |  | $ | — |  |  | $ | — |
Restricted cash | 186 |  |  | 186 |  |  | — |  |  | — |
Advances and other receivables, net | 940 |  |  | — |  |  | — |  |  | 940 |
Loans subject to repurchase from Ginnie Mae | 971 |  |  | — |  |  | 971 |  |  | — |
Financial liabilities |  |  |  |  |  |  |
Unsecured senior notes, net | 4,885 |  |  | — |  |  | 4,963 |  |  | — |
Advance, warehouse and MSR facilities, net | 4,379 |  |  | — |  |  | 4,402 |  |  | — |
Liability for loans subject to repurchase from Ginnie Mae | 971 |  |  | — |  |  | 971 |  |  | — |
| December 31, 2023
| Carrying Amount |  | Fair Value
Financial Instruments | Level 1 |  | Level 2 |  | Level 3
Financial assets |  |  |  |  |  |  |
Cash and cash equivalents | $ | 571 |  |  | $ | 571 |  |  | $ | — |  |  | $ | — |
Restricted cash | 169 |  |  | 169 |  |  | — |  |  | — |
Advances and other receivables, net | 996 |  |  | — |  |  | — |  |  | 996 |
Loans subject to repurchase from Ginnie Mae | 966 |  |  | — |  |  | 966 |  |  | — |
Financial liabilities |  |  |  |  |  |  |
Unsecured senior notes, net | 3,151 |  |  | — |  |  | 3,056 |  |  | — |
Advance, warehouse and MSR facilities, net | 4,302 |  |  | — |  |  | 4,318 |  |  | — |
Liability for loans subject to repurchase from Ginnie Mae | 966 |  |  | — |  |  | 966 |  |  | — |

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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