Fair Value (Tables)

9 Months Ended

Sep. 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:



		September 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	$	235,909		$	235,909		$	401,120		$	401,120
Loans held for sale, at lower of cost or fair value (b)	3	291,063			291,063			87,492			87,492
Total Loans held for sale		$	526,972		$	526,972		$	488,612		$	488,612
Loans held for investment - Reverse mortgages, at fair value (a)	3	$	2,319,515		$	2,319,515		$	1,550,141		$	1,550,141
Advances and match funded advances (c)	3	2,472,996			2,472,996			3,303,356			3,303,356
Receivables, net (c)	3	361,572			361,572			270,596			270,596
Mortgage-backed securities, at fair value (a)	3	8,541			8,541			7,335			7,335

Financial liabilities:
Match funded liabilities (c)	3	$	1,589,846		$	1,589,901		$	2,090,247		$	2,090,247
Financing liabilities:
HMBS-related borrowings, at fair value (a)	3	$	2,229,604		$	2,229,604		$	1,444,252		$	1,444,252
Financing liability - MSRs pledged (a)	3	560,059			560,059			614,441			614,441
Other (c)	3	163,855			144,725			199,948			189,648
Total Financing liabilities		$	2,953,518		$	2,934,388		$	2,258,641		$	2,248,341
Other secured borrowings:
Senior secured term loan (c)	2	$	702,918		$	702,397		$	1,273,219		$	1,198,227
Other (c)	3	298,152			298,152			460,472			460,472
Total Other secured borrowings		$	1,001,070		$	1,000,549		$	1,733,691		$	1,658,699

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

Derivative financial instruments assets (liabilities) (a):
Interest Rate Lock Commitments (IRLCs)	2	$	10,010		$	10,010		$	6,065		$	6,065
Forward MBS trades	1	(3,438		)	(3,438		)	(2,854		)	(2,854		)
Interest rate caps	3	1,501			1,501			567			567

MSRs:
MSRs, at fair value (a)	3	$	787,344		$	787,344		$	93,901		$	93,901
MSRs, at amortized cost (c) (d)	3	365,951			404,533			1,820,091			2,237,703
Total MSRs		$	1,153,295		$	1,191,877		$	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 September 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 September 30, 2015 was $144.2 million, net of a valuation allowance of $25.1 million.

Schedule of Reconciliation of Changes in Fair Value 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 nine months ended September 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 September 30, 2015
Beginning balance	$	2,097,192		$	(1,987,998	)	$	8,157	$	(581,219	)	$	155		$	814,450		$	350,737
Purchases, issuances, sales and settlements:
Purchases	—			—			—		—			2,084			—			2,084
Issuances	250,600			(271,068		)	—		—			—			—			(20,468		)
Sales	—			—			—		—			—			(2,329		)	(2,329		)
Settlements	(41,582		)	43,725			—		21,160			—			—			23,303
	209,018			(227,343		)	—		21,160			2,084			(2,329		)	2,590
Total realized and unrealized gains and (losses):
Included in earnings	13,305			(14,263		)	384		—			(738		)	(24,777		)	(26,089		)
Included in Other comprehensive income	—			—			—		—			—			—			—
	13,305			(14,263		)	384		—			(738		)	(24,777		)	(26,089		)
Transfers in and / or out of Level 3	—			—			—		—			—			—			—
Ending balance	$	2,319,515		$	(2,229,604	)	$	8,541	$	(560,059	)	$	1,501		$	787,344		$	327,238



	Loans Held for Investment - Reverse Mortgages			HMBS-Related Borrowings			Mortgage-Backed Securities			Financing Liability - MSRs Pledged			Derivatives			MSRs			Total
Three months ended September 30, 2014
Beginning balance	$	1,107,626		$	(1,033,712	)	$	7,502		$	(629,579	)	$	97		$	104,220		$	(443,846	)
Purchases, issuances, sales and settlements:
Purchases	—			—			—			—			—			—			—
Issuances	208,566			(190,452		)	—			—			—			—			18,114
Sales	—			—			—			—						—			—
Settlements	(27,592		)	12,690			—			10,724			—			(934		)	(5,112		)
	180,974			(177,762		)	—			10,724			—			(934		)	13,002
Total realized and unrealized gains and (losses):
Included in earnings	26,724			(24,620		)	(124		)	—			(6		)	(1,338		)	636
Included in Other comprehensive income	—			—			—			—			—			—			—
	26,724			(24,620		)	(124		)	—			(6		)	(1,338		)	636
Transfers in and / or out of Level 3	—			—			—			—			—			—			—
Ending balance	$	1,315,324		$	(1,236,094	)	$	7,378		$	(618,855	)	$	91		$	101,948		$	(430,208	)



	Loans Held for Investment - Reverse Mortgages			HMBS-Related Borrowings			Mortgage-backed Securities		Financing Liability - MSRs Pledged			Derivatives			MSRs			Total
Nine months ended September 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	—			—			—		—			2,201			—			2,201
Issuances	781,002			(803,924		)	—		—			—			(1,139		)	(24,061		)
Transfer from MSRs carried at amortized cost	—			—			—		—			—			839,157			839,157
Sales	—			—			—		—			—			(71,318		)	(71,318		)
Settlements (1)	(105,505		)	107,522			—		54,382			346			—			56,745
	675,497			(696,402		)	—		54,382			2,547			766,700			802,724
Total realized and unrealized gains and (losses): (2)
Included in earnings	93,877			(88,950		)	1,206		—			(1,613		)	(73,257		)	(68,737		)
Included in Other comprehensive income (loss)	—			—			—		—			—			—			—
	93,877			(88,950		)	1,206		—			(1,613		)	(73,257		)	(68,737		)
Transfers in and / or out of Level 3	—			—			—		—			—			—			—
Ending Balance	$	2,319,515		$	(2,229,604	)	$	8,541	$	(560,059	)	$	1,501		$	787,344		$	327,238



	Loans Held for Investment - Reverse Mortgages			HMBS-Related Borrowings			Mortgage-backed Securities			Financing Liability - MSRs Pledged			Derivatives			MSRs			Total
Nine months ended September 30, 2014
Beginning balance	$	618,018		$	(615,576	)	$	—		$	(633,804	)	$	442		$	116,029		$	(514,891	)
Purchases, issuances, sales and settlements:
Purchases	—			—			7,677			—			23			—			7,700
Issuances	565,670			(572,031		)	—			—			—			—			(6,361		)
Transfer from loans held for sale, at fair value	110,874			—			—			—			—			—			110,874
Sales	—			—			—			—			—			—			—
Settlements	(56,193		)	25,725			—			14,949			—			(934		)	(16,453		)
	620,351			(546,306		)	7,677			14,949			23			(934		)	95,760
Total realized and unrealized gains and (losses):
Included in earnings	76,955			(74,212		)	(299		)	—			(374		)	(13,147		)	(11,077		)
Included in Other comprehensive income (loss)	—			—			—			—			—			—			—
	76,955			(74,212		)	(299		)	—			(374		)	(13,147		)	(11,077		)
Transfers in and / or out of Level 3	—			—			—			—			—			—			—
Ending balance	$	1,315,324		$	(1,236,094	)	$	7,378		$	(618,855	)	$	91		$	101,948		$	(430,208	)


(1)	In the event of a transfer to another party of servicing related to Rights to MSRs, we are required to reimburse New Residential Investment Corp. (NRZ) at predetermined contractual rates for the loss of servicing revenues. Settlements for Financing liability - MSRs pledged for the nine months ended September 30, 2015 includes $2.2 million of such reimbursements.


(2)	Total losses attributable to derivative financial instruments still held at September 30, 2015 were $1.3 million for the nine months ended September 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 September 30, 2015 valuation include:



Weighted average prepayment speed	12.67		%
Weighted average delinquency rate	14.39		%
Advance financing cost	5-year swap
Interest rate for computing float earnings	5-year swap
Weighted average discount rate	9.30		%
Weighted average cost to service (in dollars)	$	98

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 September 30, 2015 valuation include:



	Agency			Non Agency
Weighted average prepayment speed	10.80		%	16.48		%
Weighted average delinquency rate	1.10		%	29.80		%
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		%	14.94		%
Weighted average cost to service (in dollars)	$	70		$	336

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 September 30, 2015 include:



Weighted average prepayment speed	16.98		%
Weighted average delinquency rate	30.75		%
Advance financing cost	1 ML plus 3.5%
Interest rate for computing float earnings	1ML
Weighted average discount rate	14.77		%
Weighted average cost to service (in dollars)	$	341