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Fair Value (Tables) | 3 Months Ended
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Mar. 31, 2015
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
Schedule of Fair Value Assets and Liabilities | The carrying amounts and the estimated fair values of our financial instruments and certain of our nonfinancial assets measured at fair value on a recurring or non-recurring basis or disclosed, but not carried, at fair value are as follows at the dates indicated:
|  |  | March 31, 2015 |  | December 31, 2014
| Level |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Financial assets: |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale: |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value (a) | 2 |  | $ | 339,508 |  |  | $ | 339,508 |  |  | $ | 401,120 |  |  | $ | 401,120 |
Loans held for sale, at lower of cost or fair value (b) | 3 |  | 68,489 |  |  | 68,489 |  |  | 87,492 |  |  | 87,492 |
Total Loans held for sale |  |  | $ | 407,997 |  |  | $ | 407,997 |  |  | $ | 488,612 |  |  | $ | 488,612 |
Loans held for investment - Reverse mortgages, at fair value (a) | 3 |  | $ | 1,808,141 |  |  | $ | 1,808,141 |  |  | $ | 1,550,141 |  |  | $ | 1,550,141 |
Advances and match funded advances (c) | 3 |  | 3,195,505 |  |  | 3,195,505 |  |  | 3,303,356 |  |  | 3,303,356 |
Receivables, net (c) | 3 |  | 299,836 |  |  | 299,836 |  |  | 270,596 |  |  | 270,596 |
Mortgage-backed securities, at fair value (a) | 3 |  | 7,701 |  |  | 7,701 |  |  | 7,335 |  |  | 7,335 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |
Match funded liabilities (c) | 3 |  | $ | 2,000,676 |  |  | $ | 2,000,676 |  |  | $ | 2,090,247 |  |  | $ | 2,090,247 |
Financing liabilities: |  |  |  |  |  |  |  |  |
HMBS-related borrowings, at fair value (a) | 3 |  | $ | 1,702,397 |  |  | $ | 1,702,397 |  |  | $ | 1,444,252 |  |  | $ | 1,444,252 |
Financing liability - MSRs pledged (a) | 3 |  | 594,495 |  |  | 594,495 |  |  | 614,441 |  |  | 614,441 |
Other (c) | 3 |  | 191,715 |  |  | 172,610 |  |  | 199,948 |  |  | 189,648 |
Total Financing liabilities |  |  | $ | 2,488,607 |  |  | $ | 2,469,502 |  |  | $ | 2,258,641 |  |  | $ | 2,248,341 |
Other secured borrowings: |  |  |  |  |  |  |  |  |
Senior secured term loan (c) | 2 |  | $ | 1,196,498 |  |  | $ | 1,155,166 |  |  | $ | 1,273,219 |  |  | $ | 1,198,227 |
Other (c) | 3 |  | 407,209 |  |  | 407,209 |  |  | 460,472 |  |  | 460,472 |
Total Other secured borrowings |  |  | $ | 1,603,707 |  |  | $ | 1,562,375 |  |  | $ | 1,733,691 |  |  | $ | 1,658,699 |
Senior unsecured notes (c) | 2 |  | $ | 350,000 |  |  | $ | 304,500 |  |  | $ | 350,000 |  |  | $ | 321,563 |
Derivative financial instruments assets (liabilities) (a): |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate Lock Commitments (IRLCs) | 2 |  | $ | 9,516 |  |  | $ | 9,516 |  |  | $ | 6,065 |  |  | $ | 6,065 |
Forward MBS trades | 1 |  | (5,249 | ) |  | (5,249 | ) |  | (2,854 | ) |  | (2,854 | )
Interest rate caps | 3 |  | 203 |  |  | 203 |  |  | 567 |  |  | 567 |
MSRs: |  |  |  |  |  |  |  |  |
MSRs, at fair value (a) | 3 |  | $ | 897,797 |  |  | $ | 897,797 |  |  | $ | 93,901 |  |  | $ | 93,901 |
MSRs, at amortized cost (c) (d) | 3 |  | 922,854 |  |  | 1,064,134 |  |  | 1,820,091 |  |  | 2,237,703 |
Total MSRs |  |  | $ | 1,820,651 |  |  | $ | 1,961,931 |  |  | $ | 1,913,992 |  |  | $ | 2,331,604 |
(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.
(d) | The balance at March 31, 2015 includes our impaired government-insured stratum of amortization method MSRs, which is measured at fair value on a non-recurring basis. The carrying value of this stratum at March 31, 2015 was $127.1 million, net of a valuation allowance of $17.8 million.
Schedule of 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.
| Loans Held for Investment - Reverse Mortgages |  | HMBS-Related Borrowings |  | Mortgage-Backed Securities |  | Financing Liability - MSRs Pledged |  | Derivatives |  | MSRs |  | Total
Three months ended March 31, 2015 |  |  |  |  |  |  |  |  |  |  |  |  |
Beginning balance | $ | 1,550,141 |  |  | $ | (1,444,252 | ) |  | $ | 7,335 |  |  | $ | (614,441 | ) |  | $ | 567 |  |  | $ | 93,901 |  |  | $ | (406,749 | )
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Issuances | 235,271 |  |  | (238,615 | ) |  | — |  |  | — |  |  | — |  |  | (1,169 | ) |  | (4,513 | )
Transfer from MSRs, at amortized cost | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 839,157 |  |  | 839,157 |
Transfer from loans held for sale, at fair value | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Sales | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (917 | ) |  | (917 | )
Settlements (1) | (26,233 | ) |  | 25,985 |  |  | — |  |  | 19,946 |  |  | — |  |  | — |  |  | 19,698 |
| 209,038 |  |  | (212,630 | ) |  | — |  |  | 19,946 |  |  | — |  |  | 837,071 |  |  | 853,425 |
Total realized and unrealized gains and (losses) (2): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings | 48,962 |  |  | (45,515 | ) |  | 366 |  |  | — |  |  | (364 | ) |  | (33,175 | ) |  | (29,726 | )
Included in Other comprehensive income | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
| 48,962 |  |  | (45,515 | ) |  | 366 |  |  | — |  |  | (364 | ) |  | (33,175 | ) |  | (29,726 | )
Transfers in and / or out of Level 3 | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Ending balance | $ | 1,808,141 |  |  | $ | (1,702,397 | ) |  | $ | 7,701 |  |  | $ | (594,495 | ) |  | $ | 203 |  |  | $ | 897,797 |  |  | $ | 416,950 |
| Loans Held for Investment - Reverse Mortgages |  | HMBS-Related Borrowings |  | Mortgage-Backed Securities |  | Financing Liability - MSRs Pledged |  | Derivatives |  | MSRs |  | Total
Three months ended March 31, 2014 |  |  |  |  |  |  |  |  |  |  |  |  |
Beginning balance | $ | 618,018 |  |  | $ | (615,576 | ) |  | $ | — |  |  | $ | (633,804 | ) |  | $ | 442 |  |  | $ | 116,029 |  |  | $ | (514,891 | )
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | — |  |  | — |  |  | 7,677 |  |  | — |  |  | — |  |  | — |  |  | 7,677 |
Issuances | 176,658 |  |  | (226,626 | ) |  | — |  |  | — |  |  | 24 |  |  | — |  |  | (49,944 | )
Transfer from loans held for sale, at fair value | 110,874 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 110,874 |
Sales | — |  |  | — |  |  | — |  |  | — |  |  |  |  |  | — |  |  | — |
Settlements | (14,029 | ) |  | 5,386 |  |  | — |  |  | (595 | ) |  | — |  |  | — |  |  | (9,238 | )
| 273,503 |  |  | (221,240 | ) |  | 7,677 |  |  | (595 | ) |  | 24 |  |  | — |  |  | 59,369 |
Total realized and unrealized gains and (losses): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings | 31,943 |  |  | (33,646 | ) |  | (156 | ) |  | — |  |  | (142 | ) |  | (5,203 | ) |  | (7,204 | )
Included in Other comprehensive income | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
| 31,943 |  |  | (33,646 | ) |  | (156 | ) |  | — |  |  | (142 | ) |  | (5,203 | ) |  | (7,204 | )
Transfers in and / or out of Level 3 | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Ending balance | $ | 923,464 |  |  | $ | (870,462 | ) |  | $ | 7,521 |  |  | $ | (634,399 | ) |  | $ | 324 |  |  | $ | 110,826 |  |  | $ | (462,726 | )
(1) | In the event of a transfer of servicing to another party related to Rights to MSRs sold to HLSS, and now NRZ, we are required to reimburse HLSS, and now NRZ, at predetermined contractual rates for the loss of servicing revenues. Settlements for Financing liability - MSRs pledged for the three months ended March 31, 2015 includes $2.2 million of such reimbursements.
(2) | Total losses attributable to derivative financial instruments still held at March 31, 2015 were $0.4 million for the three months ended March 31, 2015.
Mortgage Servicing Rights - Amortized Costs [Member] |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
Schedule of Significant Assumptions used in Valuation | The more significant assumptions used in the March 31, 2015 valuation include:
Weighted average prepayment speed |  | 12.57 | %
Weighted average delinquency rate |  | 10.81 | %
Advance financing cost |  | 5-year swap |
Interest rate for computing float earnings |  | 5-year swap |
Weighted average discount rate |  | 9.38 | %
Weighted average cost to service (in dollars) |  | $ | 86 |
Fair Value Mortgage Servicing Rights [Member] |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
Schedule of Significant Assumptions used in Valuation | The primary assumptions used in the March 31, 2015 valuation include:
|  | Agency |  | Non Agency
Weighted average prepayment speed |  | 10.47 | % |  | 17.28 | %
Weighted average delinquency rate |  | 0.86 | % |  | 30.02 | %
Advance financing cost |  | 5-year swap |  |  | 1ML plus 3.5% |
Interest rate for computing float earnings |  | 5-year swap |  |  | 1ML |
Weighted average discount rate |  | 9.01 | % |  | 14.95 | %
Weighted average cost to service (in dollars) |  | $ | 69 |  |  | $ | 339 |
Mortgage Servicing Rights Pledged [Member] |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
Schedule of Significant Assumptions used in Valuation | The more significant assumptions used in determination of the price of the underlying MSRs at March 31, 2015 include:
Weighted average prepayment speed |  | 17.83 | %
Weighted average delinquency rate |  | 31.00 | %
Advance financing cost |  | 1ML plus 3.5% |
Interest rate for computing float earnings |  | 1ML |
Weighted average discount rate |  | 15.22 | %
Weighted average cost to service (in dollars) |  | $ | 345 |

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- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=25499696&loc=d3e19279-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=25499696&loc=d3e19207-110258 + Details
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