Fair Value (Tables)

3 Months Ended

Mar. 31, 2016

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, 2016				December 31, 2015
	Level	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial assets:
Loans held for sale:
Loans held for sale, at fair value (a)	2	$	321,739	$	321,739	$	309,054	$	309,054
Loans held for sale, at lower of cost or fair value (b)	3	87,070		87,070		104,992		104,992
Total Loans held for sale		$	408,809	$	408,809	$	414,046	$	414,046
Loans held for investment - Reverse mortgages, at fair value (a)	3	$	2,771,242	$	2,771,242	$	2,488,253	$	2,488,253
Advances and match funded advances (c)	3	2,038,245		2,038,245		2,151,066		2,151,066
Receivables, net (c)	3	237,583		237,583		286,981		286,981
Mortgage-backed securities, at fair value (a)	3	8,386		8,386		7,985		7,985

Financial liabilities:
Match funded liabilities (c)	3	$	1,537,096	$	1,537,611	$	1,584,049	$	1,581,786
Financing liabilities:
HMBS-related borrowings, at fair value (a)	3	$	2,648,100	$	2,648,100	$	2,391,362	$	2,391,362
Financing liability - MSRs pledged (a)	3	523,503		523,503		541,704		541,704
Other (c)	3	148,043		106,857		156,189		131,940
Total Financing liabilities		$	3,319,646	$	3,278,460	$	3,089,255	$	3,065,006
Other secured borrowings:
Senior secured term loan (c)(d)	2	$	359,428	$	382,508	$	377,091	$	397,956
Other (c)	3	359,402		359,402		385,320		385,320
Total Other secured borrowings		$	718,830	$	741,910	$	762,411	$	783,276

Senior unsecured notes (c)(d)	2	$	345,847	$	294,350	$	345,511	$	318,063



		March 31, 2016						December 31, 2015
	Level	Carrying Value			Fair Value			Carrying Value		Fair Value
Derivative financial instruments assets (liabilities) (a):
Interest rate lock commitments	2	$	13,545		$	13,545		$	6,080	$	6,080
Forward mortgage-backed securities trades	1	(5,291		)	(5,291		)	295		295
Interest rate caps	3	570			570			2,042		2,042

Mortgage servicing rights:
Mortgage servicing rights, at fair value (a)	3	$	732,174		$	732,174		$	761,190	$	761,190
Mortgage servicing rights, at amortized cost (c)(e)	3	346,039			390,970			377,379		461,555
Total Mortgage servicing rights		$	1,078,213		$	1,123,144		$	1,138,569	$	1,222,745


(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 carrying values are net of unamortized debt issuance costs and discount. See Note 11 – Borrowings for additional information.

(e)

The net carrying value at March 31, 2016 and December 31, 2015 is net of the valuation allowance on the impaired government-insured stratum of our amortization method MSRs, which is measured at fair value on a non-recurring basis. Before applying the valuation allowance of $47.3 million, the carrying value of this stratum at March 31, 2016 was $146.7 million. At December 31, 2015, the carrying value of this stratum was $146.5 million before applying the valuation allowance of $17.3 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:



	Loans Held for Investment - Reverse Mortgages			HMBS-Related Borrowings			Mortgage-Backed Securities		Financing Liability - MSRs Pledged			Derivatives			MSRs			Total
Three months ended March 31, 2016
Beginning balance	$	2,488,253		$	(2,391,362	)	$	7,985	$	(541,704	)	$	2,042		$	761,190		$	326,404
Purchases, issuances, sales and settlements:
Purchases	—			—			—		—			—			419			419
Issuances	304,058			(233,174		)	—		—			—			—			70,884
Transfer from MSRs carried at amortized cost	—			—			—		—			—			—			—
Sales	—			—			—		—			—			(142		)	(142		)
Settlements (1)	(87,237		)	39,654			—		18,201			(81		)	—			(29,463		)
	216,821			(193,520		)	—		18,201			(81		)	277			41,698
Total realized and unrealized gains and (losses) (2):
Included in earnings	66,168			(63,218		)	401		—			(1,391		)	(29,293		)	(27,333		)
Included in Other comprehensive income	—			—			—		—			—			—			—
	66,168			(63,218		)	401		—			(1,391		)	(29,293		)	(27,333		)
Transfers in and / or out of Level 3	—			—			—		—			—			—			—
Ending balance	$	2,771,242		$	(2,648,100	)	$	8,386	$	(523,503	)	$	570		$	732,174		$	340,769



	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 carried at amortized cost	—			—			—		—			—			839,157			839,157
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


(1)	In the event of a transfer to another party of servicing 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 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, 2016 and March 31, 2015 were $1.5 million and $0.4 million for the three months ended March 31, 2016 and 2015, respectively. Total losses attributable to MSRs still held at March 31, 2016 and March 31, 2015 were $29.1 million and $31.7 million for the three months ended March 31, 2016 and 2015, 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 March 31, 2016 valuation include:



Weighted average prepayment speed	12.11		%
Weighted average delinquency rate	12.32		%
Advance financing cost	5-year swap
Interest rate for computing float earnings	5-year swap
Weighted average discount rate	9.33		%
Weighted average cost to service (in dollars)	$	111

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, 2016 valuation include:



	Agency			Non Agency
Weighted average prepayment speed	13.27		%	16.83		%
Weighted average delinquency rate	0.99		%	27.42		%
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		%	14.68		%
Weighted average cost to service (in dollars)	$	74		$	313

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, 2016 include:



Weighted average prepayment speed	17.35		%
Weighted average delinquency rate	29.21		%
Advance financing cost	1 ML plus 3.5%
Interest rate for computing float earnings	1ML
Weighted average discount rate	14.54		%
Weighted average cost to service (in dollars)	$	318