Fair Value (Tables)

6 Months Ended

Jun. 30, 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:



		June 30, 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	$	276,581	$	276,581	$	401,120		$	401,120
Loans held for sale, at lower of cost or fair value (b)	3	75,817		75,817		87,492			87,492
Total Loans held for sale		$	352,398	$	352,398	$	488,612		$	488,612
Loans held for investment - Reverse mortgages, at fair value (a)	3	$	2,097,192	$	2,097,192	$	1,550,141		$	1,550,141
Advances and match funded advances (c)	3	2,754,435		2,754,435		3,303,356			3,303,356
Receivables, net (c)	3	379,279		379,279		270,596			270,596
Mortgage-backed securities, at fair value (a)	3	8,157		8,157		7,335			7,335

Financial liabilities:
Match funded liabilities (c)	3	$	1,741,122	$	1,741,122	$	2,090,247		$	2,090,247
Financing liabilities:
HMBS-related borrowings, at fair value (a)	3	$	1,987,998	$	1,987,998	$	1,444,252		$	1,444,252
Financing liability - MSRs pledged (a)	3	581,219		581,219		614,441			614,441
Other (c)	3	174,453		161,806		199,948			189,648
Total Financing liabilities		$	2,743,670	$	2,731,023	$	2,258,641		$	2,248,341
Other secured borrowings:
Senior secured term loan (c)	2	$	932,797	$	933,214	$	1,273,219		$	1,198,227
Other (c)	3	357,634		357,634		460,472			460,472
Total Other secured borrowings		$	1,290,431	$	1,290,848	$	1,733,691		$	1,658,699

Senior unsecured notes (c)	2	$	350,000	$	327,250	$	350,000		$	321,563

Derivative financial instruments assets (liabilities) (a):
Interest Rate Lock Commitments (IRLCs)	2	$	5,056	$	5,056	$	6,065		$	6,065
Forward MBS trades	1	2,125		2,125		(2,854		)	(2,854		)
Interest rate caps	3	155		155		567			567

MSRs:
MSRs, at fair value (a)	3	$	814,450	$	814,450	$	93,901		$	93,901
MSRs, at amortized cost (c) (d)	3	526,617		648,840		1,820,091			2,237,703
Total MSRs		$	1,341,067	$	1,463,290	$	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 June 30, 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 June 30, 2015 was $143.7 million, net of a valuation allowance of $1.6 million.

Schedule of Reconciliation of Level 3 Assets and Liabilities

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 six months ended June 30, 2015 and 2014.



	Loans Held for Investment - Reverse Mortgages			HMBS-Related Borrowings			Mortgage-Backed Securities		Financing Liability - MSRs Pledged			Derivatives			MSRs			Total
Three months ended June 30, 2015
Beginning balance	$	1,808,141		$	(1,702,397	)	$	7,701	$	(594,495	)	$	203		$	897,797		$	416,950
Purchases, issuances, sales and settlements:
Purchases	—			—			—		—			116			—			116
Issuances	295,131			(294,241		)	—		—			—			30			920
Transfer from MSRs, at amortized cost	—			—			—		—			—			—			—
Sales	—			—			—		—			—			(68,072		)	(68,072		)
Settlements	(37,690		)	37,812			—		13,276			—			—			13,398
	257,441			(256,429		)	—		13,276			116			(68,042		)	(53,638		)
Total realized and unrealized gains and (losses):
Included in earnings	31,610			(29,172		)	456		—			(164		)	(15,305		)	(12,575		)
Included in Other comprehensive income	—			—			—		—			—			—			—
	31,610			(29,172		)	456		—			(164		)	(15,305		)	(12,575		)
Transfers in and / or out of Level 3	—			—			—		—			—			—			—
Ending balance	$	2,097,192		$	(1,987,998	)	$	8,157	$	(581,219	)	$	155		$	814,450		$	350,737



	Loans Held for Investment - Reverse Mortgages			HMBS-Related Borrowings			Mortgage-Backed Securities			Financing Liability - MSRs Pledged			Derivatives			MSRs			Total
Three months ended June 30, 2014
Beginning balance	$	923,464		$	(870,462	)	$	7,521		$	(634,399	)	$	324		$	110,826		$	(462,726	)
Purchases, issuances, sales and settlements:
Purchases	—			—			—			—			—			—			—
Issuances	180,445			(154,952		)	—			—			—			—			25,493
Sales	—			—			—			—						—			—
Settlements	(14,572		)	7,648			—			4,820			—			—			(2,104		)
	165,873			(147,304		)	—			4,820			—			—			23,389
Total realized and unrealized gains and (losses):
Included in earnings	18,289			(15,946		)	(19		)	—			(227		)	(6,606		)	(4,509		)
Included in Other comprehensive income	—			—			—			—			—			—			—
	18,289			(15,946		)	(19		)	—			(227		)	(6,606		)	(4,509		)
Transfers in and / or out of Level 3	—			—			—			—			—			—			—
Ending balance	$	1,107,626		$	(1,033,712	)	$	7,502		$	(629,579	)	$	97		$	104,220		$	(443,846	)



	Loans Held for Investment - Reverse Mortgages			HMBS-Related Borrowings			Mortgage-backed Securities		Financing Liability - MSRs Pledged			Derivatives			MSRs			Total
Six months ended June 30, 2015
Beginning balance	$	1,550,141		$	(1,444,252	)	$	7,335	$	(614,441	)	$	567		$	93,901		$	(406,749	)
Purchases, issuances, sales and settlements:
Purchases	—			—			—		—			116			—			116
Issuances	530,402			(532,856		)	—		—			—			(1,139		)	(3,593		)
Transfer from MSRs, at amortized cost	—			—			—		—			—			839,157			839,157
Sales	—			—			—		—			—			(68,989		)	(68,989		)
Settlements (1)	(63,923		)	63,797			—		33,222			—			—			33,096
	466,479			(469,059		)	—		33,222			116			769,029			799,787
Total realized and unrealized gains and (losses): (2)
Included in earnings	80,572			(74,687		)	822		—			(528		)	(48,480		)	(42,301		)
Included in Other comprehensive income (loss)	—			—			—		—			—			—			—
	80,572			(74,687		)	822		—			(528		)	(48,480		)	(42,301		)
Transfers in and / or out of Level 3	—			—			—		—			—			—			—
Ending Balance	$	2,097,192		$	(1,987,998	)	$	8,157	$	(581,219	)	$	155		$	814,450		$	350,737




	Loans Held for Investment - Reverse Mortgages			HMBS-Related Borrowings			Mortgage-backed Securities			Financing Liability - MSRs Pledged			Derivatives			MSRs			Total
Six months ended June 30, 2014
Beginning balance	$	618,018		$	(615,576	)	$	—		$	(633,804	)	$	442		$	116,029		$	(514,891	)
Purchases, issuances, sales and settlements:
Purchases	357,104			(381,579		)	7,677			—			23			—			(16,775		)
Issuances	—			—			—			—			—			—			—
Transfer from loans held for sale, at fair value	110,874			—			—			—			—			—			110,874
Sales	—			—			—			—			—			—			—
Settlements	(28,601		)	13,035			—			4,225			—			—			(11,341		)
	439,377			(368,544		)	7,677			4,225			23			—			82,758
Total realized and unrealized gains and (losses):
Included in earnings	50,231			(49,592		)	(175		)	—			(368		)	(11,809		)	(11,713		)
Included in Other comprehensive income (loss)	—			—			—			—			—			—			—
	50,231			(49,592		)	(175		)	—			(368		)	(11,809		)	(11,713		)
Transfers in and / or out of Level 3	—			—			—			—			—			—			—
Ending balance	$	1,107,626		$	(1,033,712	)	$	7,502		$	(629,579	)	$	97		$	104,220		$	(443,846	)


(1)	In the event of a transfer of servicing to another party related to Rights to MSRs we are required to reimburse NRZ, at predetermined contractual rates for the loss of servicing revenues. Settlements for Financing liability - MSRs pledged for the six months ended June 30, 2015 includes $2.2 million of such reimbursements during the three months ended March 31, 2015.


(2)	Total losses attributable to derivative financial instruments still held at June 30, 2015 were $0.5 million for the six months ended June 30, 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 June 30, 2015 valuation include:



Weighted average prepayment speed	11.08		%
Weighted average delinquency rate	13.94		%
Advance financing cost	5-year swap
Interest rate for computing float earnings	5-year swap
Weighted average discount rate	9.55		%
Weighted average cost to service (in dollars)	$	95

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 June 30, 2015 valuation include:



	Agency			Non Agency
Weighted average prepayment speed	9.18		%	16.68		%
Weighted average delinquency rate	2.19		%	29.99		%
Advance financing cost	5-year swap			1ML plus 3.5%
Interest rate for computing float earnings	5-year swap			1ML
Weighted average discount rate	9.00		%	15.29		%
Weighted average cost to service (in dollars)	$	72		$	337

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 June 30, 2015 include:



Weighted average prepayment speed	17.17		%
Weighted average delinquency rate	30.94		%
Advance financing cost	1 ML plus 3.5%
Interest rate for computing float earnings	1ML
Weighted average discount rate	15.21		%
Weighted average cost to service (in dollars)	$	342