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Fair Value (Tables) | 9 Months Ended | 12 Months Ended
--- | --- | ---
Sep. 30, 2015 | Dec. 31, 2014
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.
| The carrying amounts and the estimated fair values of financial instruments and certain 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 December 31:
|  |  | 2014 |  | 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 |  | $ | 401,120 |  |  | $ | 401,120 |  |  | $ | 503,753 |  |  | $ | 503,753 |
Loans held for sale, at lower of cost or fair value (b) | 3 |  | 87,492 |  |  | 87,492 |  |  | 62,907 |  |  | 62,907 |
Total Loans held for sale |  |  | $ | 488,612 |  |  | $ | 488,612 |  |  | $ | 566,660 |  |  | $ | 566,660 |
Loans held for investment - Reverse mortgages, at fair value (a) | 3 |  | $ | 1,550,141 |  |  | $ | 1,550,141 |  |  | $ | 618,018 |  |  | $ | 618,018 |
Advances and match funded advances (c) | 3 |  | 3,303,356 |  |  | 3,303,356 |  |  | 3,443,215 |  |  | 3,443,215 |
Receivables, net (c) | 3 |  | 270,596 |  |  | 270,596 |  |  | 152,516 |  |  | 152,516 |
Mortgage-backed securities, at fair value (a) | 3 |  | 7,335 |  |  | 7,335 |  |  | — |  |  | — |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |
Match funded liabilities (c) | 3 |  | $ | 2,090,247 |  |  | $ | 2,090,247 |  |  | $ | 2,364,814 |  |  | $ | 2,364,814 |
Financing liabilities: |  |  |  |  |  |  |  |  |
HMBS-related borrowings, at fair value (a) | 3 |  | $ | 1,444,252 |  |  | $ | 1,444,252 |  |  | $ | 615,576 |  |  | $ | 615,576 |
Financing liability - MSRs pledged (a) | 3 |  | 614,441 |  |  | 614,441 |  |  | 633,804 |  |  | 633,804 |
Other (c) | 3 |  | 199,948 |  |  | 189,648 |  |  | 17,593 |  |  | 17,593 |
Total Financing liabilities |  |  | $ | 2,258,641 |  |  | $ | 2,248,341 |  |  | $ | 1,266,973 |  |  | $ | 1,266,973 |
Other secured borrowings: |  |  |  |  |  |  |  |  |
Senior secured term loan (c) | 2 |  | $ | 1,273,219 |  |  | $ | 1,198,227 |  |  | $ | 1,284,901 |  |  | $ | 1,270,108 |
Other (c) | 3 |  | 460,472 |  |  | 460,472 |  |  | 492,768 |  |  | 492,768 |
Total Other secured borrowings |  |  | $ | 1,733,691 |  |  | $ | 1,658,699 |  |  | $ | 1,777,669 |  |  | $ | 1,762,876 |
Senior unsecured notes (c) | 2 |  | $ | 350,000 |  |  | $ | 321,563 |  |  | $ | — |  |  | $ | — |
Derivative financial instruments assets (liabilities) (a): |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate Lock Commitments (IRLCs) | 2 |  | $ | 6,065 |  |  | $ | 6,065 |  |  | $ | 8,433 |  |  | $ | 8,433 |
Forward mortgage-backed securities (MBS) trades | 1 |  | (2,854 | ) |  | (2,854 | ) |  | 6,905 |  |  | 6,905 |
Interest rate caps | 3 |  | 567 |  |  | 567 |  |  | 442 |  |  | 442 |
MSRs: |  |  |  |  |  |  |  |  |
MSRs, at fair value (a) | 3 |  | $ | 93,901 |  |  | $ | 93,901 |  |  | $ | 116,029 |  |  | $ | 116,029 |
MSRs, at amortized cost (c) | 3 |  | 1,820,091 |  |  | 2,237,703 |  |  | 1,953,352 |  |  | 2,441,719 |
Total MSRs |  |  | $ | 1,913,992 |  |  | $ | 2,331,604 |  |  | $ | 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.
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.
| 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:
Year Ended December 31, 2014 | Loans Held for Investment - Reverse Mortgages |  | HMBS-Related Borrowings |  | Mortgage-Backed Securities |  | Financing Liability - MSRs Pledged |  | Derivatives |  | MSRs |  | Total
Beginning balance | $ | 618,018 |  |  | $ | (615,576 | ) |  | $ | — |  |  | $ | (633,804 | ) |  | $ | 442 |  |  | $ | 116,029 |  |  | $ | (514,891 | )
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | — |  |  | — |  |  | 7,677 |  |  | — |  |  | 787 |  |  | — |  |  | 8,464 |
Issuances | 816,881 |  |  | (783,009 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | 33,872 |
Transfer from Loans held for sale, at fair value | 110,874 |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | 110,874 |
Sales | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Settlements (1) | (99,923 | ) |  | 47,077 |  |  | — |  |  | 19,363 |  |  | — |  |  | — |  |  | (33,483 | )
| 827,832 |  |  | (735,932 | ) |  | 7,677 |  |  | 19,363 |  |  | 787 |  |  | — |  |  | 119,727 |
Total realized and unrealized gains and (losses) (2): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings | 104,291 |  |  | (92,744 | ) |  | (342 | ) |  | — |  |  | (662 | ) |  | (22,128 | ) |  | (11,585 | )
Included in Other comprehensive income | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
| 104,291 |  |  | (92,744 | ) |  | (342 | ) |  | — |  |  | (662 | ) |  | (22,128 | ) |  | (11,585 | )
Transfers in and / or out of Level 3 | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Ending balance | $ | 1,550,141 |  |  | $ | (1,444,252 | ) |  | $ | 7,335 |  |  | $ | (614,441 | ) |  | $ | 567 |  |  | $ | 93,901 |  |  | $ | (406,749 | )
Year Ended December 31, 2013 | Loans Held for Investment - Reverse Mortgages |  | HMBS-Related Borrowings |  | Financing Liability - MSRs Pledged |  | Derivatives, net |  | MSRs |  | Total
Beginning balance | $ | — |  |  | $ | — |  |  | $ | (303,705 | ) |  | $ | (10,668 | ) |  | $ | 85,213 |  |  | $ | (229,160 | )
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | 10,251 |  |  | (10,179 | ) |  | — |  |  | 498 |  |  | — |  |  | 570 |
Issuances | 609,555 |  |  | (604,991 | ) |  | (417,167 | ) |  | — |  |  | — |  |  | (412,603 | )
Sales | — |  |  | — |  |  | — |  |  | 24,156 |  |  | — |  |  | 24,156 |
Settlements | (5,886 | ) |  | 5,440 |  |  | 87,068 |  |  | (1,241 | ) |  | — |  |  | 85,381 |
| 613,920 |  |  | (609,730 | ) |  | (330,099 | ) |  | 23,413 |  |  | — |  |  | (302,496 | )
Total realized and unrealized gains and (losses): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings | 4,098 |  |  | (5,846 | ) |  | — |  |  | 60 |  |  | 30,816 |  |  | 29,128 |
Included in Other comprehensive income | — |  |  | — |  |  | — |  |  | (12,363 | ) |  | — |  |  | (12,363 | )
| 4,098 |  |  | (5,846 | ) |  | — |  |  | (12,303 | ) |  | 30,816 |  |  | 16,765 |
Transfers in and / or out of Level 3 | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Ending balance | $ | 618,018 |  |  | $ | (615,576 | ) |  | $ | (633,804 | ) |  | $ | 442 |  |  | $ | 116,029 |  |  | $ | (514,891 | )
Year Ended December 31, 2012 | Loans Held for Investment - Reverse Mortgages |  | HMBS-Related Borrowings |  | Financing Liability - MSRs Pledged |  | Derivatives, net |  | MSRs |  | Total
Beginning balance | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (16,676 | ) |  | $ | — |  |  | $ | (16,676 | )
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |
Purchases | — |  |  | — |  |  | — |  |  | 4,946 |  |  | 85,183 |  |  | 90,129 |
Issuances | — |  |  | — |  |  | (316,607 | ) |  | — |  |  | — |  |  | (316,607 | )
Sales | — |  |  | — |  |  | — |  |  | (405 | ) |  | — |  |  | (405 | )
Settlements | — |  |  | — |  |  | 12,902 |  |  | 2,451 |  |  | — |  |  | 15,353 |
| — |  |  | — |  |  | (303,705 | ) |  | 6,992 |  |  | 85,183 |  |  | (211,530 | )
Total realized and unrealized gains and (losses) (2): |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings | — |  |  | — |  |  | — |  |  | 7,331 |  |  | 30 |  |  | 7,361 |
Included in Other comprehensive income | — |  |  | — |  |  | — |  |  | (8,315 | ) |  | — |  |  | (8,315 | )
| — |  |  | — |  |  | — |  |  | (984 | ) |  | 30 |  |  | (954 | )
Transfers in and / or out of Level 3 | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Ending balance | $ | — |  |  | $ | — |  |  | $ | (303,705 | ) |  | $ | (10,668 | ) |  | $ | 85,213 |  |  | $ | (229,160 | )
(1) | In the event of a transfer of servicing to another party related to Rights to MSRs, we are required to reimburse the owner of the Rights to MSRs at predetermined contractual rates for the loss of servicing revenues. Settlements for Financing liability - MSRs pledged for the year ended December 31, 2014 include $2.0 million of such reimbursements.
(2) | Total losses attributable to derivative financial instruments still held at December 31, 2014 and 2012 were $0.7 million and $1.2 million, respectively.
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 |

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