Fair Value (Tables)

12 Months Ended

Dec. 31, 2015

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Carrying Amounts and Estimated Fair Values of Financial Instruments and Nonfinancial Assets Measured at Fair Value on a Recurring or Non-recurring basis or Disclosed, but not Carried, at Fair Value

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 December 31:



		2015				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	$	309,054	$	309,054	$	401,120		$	401,120
Loans held for sale, at lower of cost or fair value (b)	3	104,992		104,992		87,492			87,492
Total Loans held for sale		$	414,046	$	414,046	$	488,612		$	488,612
Loans held for investment - Reverse mortgages, at fair value (a)	3	$	2,488,253	$	2,488,253	$	1,550,141		$	1,550,141
Advances and match funded advances (c)	3	2,151,066		2,151,066		3,303,356			3,303,356
Receivables, net (c)	3	286,981		286,981		270,596			270,596
Mortgage-backed securities, at fair value (a)	3	7,985		7,985		7,335			7,335

Financial liabilities:
Match funded liabilities (c)	3	$	1,584,049	$	1,581,786	$	2,090,247		$	2,090,247
Financing liabilities:
HMBS-related borrowings, at fair value (a)	3	$	2,391,362	$	2,391,362	$	1,444,252		$	1,444,252
Financing liability - MSRs pledged (a)	3	541,704		541,704		614,441			614,441
Other (c)	3	156,189		131,940		199,948			189,648
Total Financing liabilities		$	3,089,255	$	3,065,006	$	2,258,641		$	2,248,341
Other secured borrowings:
Senior secured term loan (c)	2	$	397,103	$	397,956	$	1,273,219		$	1,198,227
Other (c)	3	385,320		385,320		460,472			460,472
Total Other secured borrowings		$	782,423	$	783,276	$	1,733,691		$	1,658,699

Senior unsecured notes (c)	2	$	350,000	$	318,063	$	350,000		$	321,563

Derivative financial instruments assets (liabilities) (a):
Interest rate lock commitments	2	$	6,080	$	6,080	$	6,065		$	6,065
Forward mortgage-backed securities trades	1	295		295		(2,854		)	(2,854		)
Interest rate caps	3	2,042		2,042		567			567

Mortgage servicing rights:
Mortgage servicing rights, at fair value (a)	3	$	761,190	$	761,190	$	93,901		$	93,901
Mortgage servicing rights, at amortized cost (c) (d)	3	377,379		461,555		1,820,091			2,237,703
Total Mortgage servicing rights		$	1,138,569	$	1,222,745	$	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 December 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 December 31, 2015 was $146.5 million, net of a valuation allowance of $17.3 million.

Summary of Reconciliation of the Changes in Fair Value of Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis

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, 2015	Loans Held for Investment - Reverse Mortgages			HMBS-Related Borrowings			Mortgage-Backed Securities		Financing Liability - MSRs Pledged			Derivatives			MSRs			Total
Beginning balance	$	1,550,141		$	(1,444,252	)	$	7,335	$	(614,441	)	$	567		$	93,901		$	(406,749	)
Purchases, issuances, sales and settlements:
Purchases	—			—			—		—			2,506			1,007			3,513
Issuances	1,008,065			(1,024,361		)	—		—			—			(2,428		)	(18,724		)
Transfer from MSRs carried at amortized cost	—			—			—		—			—			839,157			839,157
Sales	—			—			—		—			—			(72,274		)	(72,274		)
Settlements (1)	(151,134		)	153,016			—		72,737			346			—			74,965
	856,931			(871,345		)	—		72,737			2,852			765,462			826,637
Total realized and unrealized gains and (losses) (2):
Included in earnings	81,181			(75,765		)	650		—			(1,377		)	(98,173		)	(93,484		)
Included in Other comprehensive income	—			—			—		—			—			—			—
	81,181			(75,765		)	650		—			(1,377		)	(98,173		)	(93,484		)
Transfers in and / or out of Level 3	—			—			—		—			—			—			—
Ending balance	$	2,488,253		$	(2,391,362	)	$	7,985	$	(541,704	)	$	2,042		$	761,190		$	326,404



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	(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):
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			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) (2):
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	)


(1)	Settlements of Financing liability - MSRs pledged for 2015 and 2014 include reimbursements of $2.2 million and $2.0 million, respectively, to NRZ related to servicing terminations.


(2)	Total losses attributable to derivative financial instruments still held at December 31, 2015 and 2014 were $1.0 million and $0.7 million for 2015 and 2014, respectively. Total losses for 2015 attributable to MSRs still held at December 31, 2015 were $90.3 million.

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 December 31, 2015 valuation include:



Weighted average prepayment speed	11.34		%
Weighted average delinquency rate	13.27		%
Advance financing cost	5-year swap
Interest rate for computing float earnings	5-year swap
Weighted average discount rate	9.41		%
Weighted average cost to service (in dollars)	$	92

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 December 31, 2015 valuation include:



	Agency			Non-Agency
Weighted average prepayment speed	9.91		%	16.83		%
Weighted average delinquency rate	0.82		%	27.99		%
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		%	15.03		%
Weighted average cost to service (in dollars)	$	71		$	321

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 December 31, 2015 include:



Weighted average prepayment speed	17.43		%
Weighted average delinquency rate	29.83		%
Advance financing cost	1 ML plus 3.5%
Interest rate for computing float earnings	1ML
Weighted average discount rate	14.92		%
Weighted average cost to service (in dollars)	$	326