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Fair Value (Tables)
 9 Months Ended
Sep. 30, 2014
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Assets and Liabilities
The carrying amounts and the estimated fair values of our financial instruments and our nonfinancial assets measured at fair value on a recurring or non-recurring basis are as follows at the dates indicated:
 
 
 
September 30, 2014
 
December 31, 2013
 
Level
 
Carrying Value
 
Fair Value
 
Carrying Value
 
Fair Value
Financial assets:
 
 
 

 
 

 
 

 
 

Loans held for sale:
 
 
 
 
 
 
 
 
 
Loans held for sale, at fair value (a)
2
 
$
335,950

 
$
335,950

 
$
503,753

 
$
503,753

Loans held for sale, at lower of cost or fair value (b)
3
 
71,937

 
71,937

 
62,907

 
62,907

Total Loans held for sale
 
 
$
407,887

 
$
407,887

 
$
566,660

 
$
566,660

Loans held for investment - Reverse mortgages, at fair value (a)
3
 
$
1,315,324

 
$
1,315,324

 
$
618,018

 
$
618,018

Advances and match funded advances (c)
3
 
3,346,865

 
3,346,865

 
3,443,215

 
3,443,215

Receivables, net (c)
3
 
245,817

 
245,817

 
152,516

 
152,516

 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 

 
 

 
 

 
 

Match funded liabilities (c)
3
 
$
2,035,639

 
$
2,035,639

 
$
2,364,814

 
$
2,364,814

Financing liabilities:
 
 
 
 
 
 
 
 
 
HMBS-related borrowings, at fair value (a)
3
 
$
1,236,094

 
$
1,236,094

 
$
615,576

 
$
615,576

Financing liability - MSRs pledged (a)
3
 
618,855

 
618,855

 
633,804

 
633,804

Other (c)
3
 
202,541

 
206,261

 
17,593

 
17,593

Total Financing liabilities
 
 
$
2,057,490

 
$
2,061,210

 
$
1,266,973

 
$
1,266,973

Other secured borrowings:
 
 
 
 
 
 
 
 
 
Senior secured term loan (c)
3
 
$
1,276,142

 
$
1,259,601

 
$
1,284,901

 
$
1,270,108

Other (c)
3
 
390,285

 
390,285

 
492,768

 
492,768

Total Other secured borrowings
 
 
$
1,666,427

 
$
1,649,886

 
$
1,777,669

 
$
1,762,876

 
 
 
 
 
 
 
 
 
 
Senior unsecured notes
2
 
$
350,000

 
$
338,625

 
$
—

 
$
—

 
 
 
 
 
 
 
 
 
 
Derivative financial instruments (a):
 
 
 

 
 

 
 

 
 

IRLCs
2
 
$
6,117

 
$
6,117

 
$
8,433

 
$
8,433

Forward MBS trades
1
 
(1,089
)
 
(1,089
)
 
6,905

 
6,905

Interest rate caps
3
 
91

 
91

 
442

 
442

 
 
 
 
 
 
 
 
 
 
MSRs:
 
 
 
 
 
 
 
 
 
MSRs, at fair value (a)
3
 
$
101,948

 
$
101,948

 
$
116,029

 
$
116,029

MSRs, at amortized cost (c)
3
 
1,856,818

 
2,364,393

 
1,953,352

 
2,441,719

Total MSRs
 
 
$
1,958,766

 
$
2,466,341

 
$
2,069,381

 
$
2,557,748


(a)
Measured at fair value on a recurring basis.
(b)
Measured at fair value on a non-recurring basis.
(c)
Disclosed, but not carried, at fair value.
Reconciliation of Level 3 Assets
The following tables present a reconciliation of the changes in fair value of Level 3 assets and liabilities that we measure at fair value on a recurring basis for the three and nine months ended September 30. The information presented for 2013 has been revised to include Financing liability - MSRs pledged in conformity with the 2014 presentation of Level 3 assets and liabilities.
 
Loans Held for Investment - Reverse Mortgages
 
Financing Liability - MSRs Pledged
 
HMBS-Related Borrowings
 
Derivative Financial Instruments, net
 
MSRs
 
Total
Three months ended September 30, 2014
 
 
 
 
 
 
 
 
 
 
 
Fair value at July 1, 2014
$
1,107,626

 
$
(629,579
)
 
$
(1,033,712
)
 
$
97

 
$
104,220

 
$
(451,348
)
Purchases, issuances, sales and settlements:
 
 
 
 
 
 
 

 
 

 
 

Purchases
—

 
—

 
—

 
—

 
—

 
—

Issuances
208,566

 
—

 
(190,452
)
 
—

 
—

 
18,114

Sales
—

 
—

 
—

 
—

 
—

 
—

Settlements (1)
(27,592
)
 
10,724

 
12,690

 
—

 
(934
)
 
(5,112
)
 
180,974

 
10,724

 
(177,762
)
 
—

 
(934
)
 
13,002

Total realized and unrealized gains and (losses):
 
 
 
 
 
 
 

 
 

 
 

Included in earnings
26,724

 
—

 
(24,620
)
 
(6
)
 
(1,338
)
 
760

Included in Other comprehensive income (loss)
—

 
—

 
—

 
—

 
—

 
—

 
26,724

 
—

 
(24,620
)
 
(6
)
 
(1,338
)
 
760

Transfers in and / or out of Level 3
—

 
—

 
—

 
—

 
—

 
—

Fair value at September 30, 2014
$
1,315,324

 
$
(618,855
)
 
$
(1,236,094
)
 
$
91

 
$
101,948

 
$
(437,586
)
 
Loans Held for Investment - Reverse Mortgages
 
Financing Liability - MSRs Pledged
 
HMBS-Related Borrowings
 
Derivative Financial Instruments, net
 
MSRs
 
Total
Three months ended September 30, 2013
 
 
 
 
 
 
 
 
 
 
 
Fair value at July 1, 2013
$
76,649

 
$
(437,734
)
 
$
(73,641
)
 
$
176

 
$
97,163

 
$
(337,387
)
Purchases, issuances, sales and settlements:
 
 
 
 
 
 
 

 
 

 
 

Purchases
—

 
—

 
—

 
—

 
—

 
—

Issuances
211,052

 
(239,851
)
 
(206,714
)
 
—

 
—

 
(235,513
)
Sales
—

 
—

 
—

 


 
—

 
—

Settlements
(1,293
)
 
17,764

 
1,021

 
(176
)
 
—

 
17,316

 
209,759

 
(222,087
)
 
(205,693
)
 
(176
)
 
—

 
(218,197
)
Total realized and unrealized gains and (losses):


 
 
 


 
 

 
 

 
 

Included in earnings
4,445

 
—

 
(4,942
)
 
—

 
(225
)
 
(722
)
Included in Other comprehensive income (loss)
—

 
—

 
—

 
—

 
—

 
—

 
4,445

 
—

 
(4,942
)
 
—

 
(225
)
 
(722
)
Transfers in and / or out of Level 3
—

 
—

 
—

 
—

 
—

 
—

Fair value at September 30, 2013
$
290,853

 
$
(659,821
)
 
$
(284,276
)
 
$
—

 
$
96,938

 
$
(556,306
)
 
 
Loans Held for Investment - Reverse Mortgages
 
Financing Liability - MSRs Pledged
 
HMBS-Related Borrowings
 
Derivative Financial Instruments, net
 
MSRs
 
Total
Nine months ended September 30, 2014
 
 
 
 
 
 
 
 
 
 
 
Fair value at January 1, 2014
$
618,018

 
$
(633,804
)
 
$
(615,576
)
 
$
442

 
$
116,029

 
$
(514,891
)
Purchases, issuances, sales and settlements:
 
 
 
 
 
 
 

 
 

 
 

Purchases
—

 
—

 
—

 
23

 
—

 
23

Issuances
565,670

 
—

 
(572,031
)
 
—

 
—

 
(6,361
)
Transfer from loans held for sale, at fair value
110,874

 
—

 
—

 
—

 
—

 
110,874

Sales
—

 
—

 
—

 
—

 
—

 
—

Settlements (1)
(56,193
)
 
14,949

 
25,725

 
—

 
(934
)
 
(16,453
)
 
620,351

 
14,949

 
(546,306
)
 
23

 
(934
)
 
88,083

Total realized and unrealized gains and (losses): (2)
 
 
 
 
 
 
 

 
 

 
 

Included in earnings
76,955

 
—

 
(74,212
)
 
(374
)
 
(13,147
)
 
(10,778
)
Included in Other comprehensive income (loss)
—

 
—

 
—

 
—

 
—

 
—

 
76,955

 
—

 
(74,212
)
 
(374
)
 
(13,147
)
 
(10,778
)
Transfers in and / or out of Level 3
—

 
—

 
—

 
—

 
—

 
—

Fair value at September 30, 2014
$
1,315,324

 
$
(618,855
)
 
$
(1,236,094
)
 
$
91

 
$
101,948

 
$
(437,586
)
 
Loans Held for Investment - Reverse Mortgages
 
Financing Liability - MSRs Pledged
 
HMBS-Related Borrowings
 
Derivative Financial Instruments, net
 
MSRs
 
Total
Nine months ended September 30, 2013
 
 
 
 
 
 
 
 
 
 
 
Fair value at January 1, 2013
$
—

 
$
(303,705
)
 
$
—

 
$
(10,668
)
 
$
85,213

 
$
(229,160
)
Purchases, issuances, sales and settlements:
 
 
 
 
 
 
 

 
 

 
 

Purchases
10,251

 
—

 
(10,179
)
 
—

 
—

 
72

Issuances
274,081

 
(388,473
)
 
(272,652
)
 
—

 
—

 
(387,044
)
Sales
—

 
—

 
—

 
24,156

 
—

 
24,156

Settlements
(2,164
)
 
32,357

 
1,888

 
(1,242
)
 
—

 
30,839

 
282,168

 
(356,116
)
 
(280,943
)
 
22,914

 
—

 
(331,977
)
Total realized and unrealized gains and (losses):
 
 
 
 
 
 
 

 
 

 
 

Included in earnings
8,685

 
—

 
(3,333
)
 
117

 
11,725

 
17,194

Included in Other comprehensive income (loss)
—

 
—

 
—

 
(12,363
)
 
—

 
(12,363
)
 
8,685

 
—

 
(3,333
)
 
(12,246
)
 
11,725

 
4,831

Transfers in and / or out of Level 3
—

 
—

 
—

 
—

 
—

 
—

Fair value at September 30, 2013
$
290,853

 
$
(659,821
)
 
$
(284,276
)
 
$
—

 
$
96,938

 
$
(556,306
)
(1)
In the event of a transfer of servicing to another party related to Rights to MSRs sold to HLSS, we are required to reimburse HLSS at predetermined contractual rates for the loss of servicing revenues. Settlements for Financing liability - MSRs pledged for the three and nine months ended September 30, 2014 includes $2.0 million of such reimbursements.
(2)
Total losses attributable to derivative financial instruments still held at September 30, 2014 were $0.4 million for the nine months ended September 30, 2014.
Schedule of Assumptions for Fair Value
Other assumptions typically used in the internal valuation are:
•
Cost of servicing
•
Interest rate used for computing float earnings
•
Discount rate
•
Compensating interest expense
•
Interest rate used for computing the cost of financing servicing advances
•
Collection rate of other ancillary fees