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Fair Value (Tables)
 3 Months Ended
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