Fair Value (Tables)

6 Months Ended

Jun. 30, 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:



		June 30, 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	$	339,687	$	339,687	$	309,054	$	309,054
Loans held for sale, at lower of cost or fair value (b)	3	62,103		62,103		104,992		104,992



		June 30, 2016						December 31, 2015
	Level	Carrying Value			Fair Value			Carrying Value		Fair Value
Total Loans held for sale		$	401,790		$	401,790		$	414,046	$	414,046
Loans held for investment - Reverse mortgages, at fair value (a)	3	$	3,057,564		$	3,057,564		$	2,488,253	$	2,488,253
Advances and match funded advances (c)	3	1,943,675			1,943,675			2,151,066		2,151,066
Receivables, net (c)	3	307,372			307,372			286,981		286,981
Mortgage-backed securities, at fair value (a)	3	9,063			9,063			7,985		7,985

Financial liabilities:
Match funded liabilities (c)	3	$	1,431,381		$	1,432,592		$	1,584,049	$	1,581,786
Financing liabilities:
HMBS-related borrowings, at fair value (a)	3	$	2,935,928		$	2,935,928		$	2,391,362	$	2,391,362
Financing liability - MSRs pledged (a)	3	495,126			495,126			541,704		541,704
Other (c)	3	136,963			104,925			156,189		131,940
Total Financing liabilities		$	3,568,017		$	3,535,979		$	3,089,255	$	3,065,006
Other secured borrowings:
Senior secured term loan (c)(d)	2	$	351,703		$	367,719		$	377,091	$	397,956
Other (c)	3	385,809			385,809			385,320		385,320
Total Other secured borrowings		$	737,512		$	753,528		$	762,411	$	783,276

Senior unsecured notes (c)(d)	2	$	346,179		$	238,000		$	345,511	$	318,063

Derivative financial instruments assets (liabilities) (a):
Interest rate lock commitments	2	$	14,576		$	14,576		$	6,080	$	6,080
Forward mortgage-backed securities trades	1	(7,365		)	(7,365		)	295		295
Interest rate caps	3	200			200			2,042		2,042

Mortgage servicing rights:
Mortgage servicing rights, at fair value (a)	3	$	700,668		$	700,668		$	761,190	$	761,190
Mortgage servicing rights, at amortized cost (c)(e)	3	346,474			367,951			377,379		461,555
Total Mortgage servicing rights		$	1,047,142		$	1,068,619		$	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 June 30, 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 $56.4 million, the carrying value of this stratum at June 30, 2016 was $154.2 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 June 30, 2016
Beginning balance	$	2,771,242		$	(2,648,100	)	$	8,386	$	(523,503	)	$	570		$	732,174		$	340,769
Purchases, issuances, sales and settlements:
Purchases	—			—			—		—			144			—			144
Issuances	371,607			(289,807		)	—		—			—			(1,694		)	80,106
Sales	—			—			—		—			—			(1		)	(1		)
Settlements	(151,600		)	59,223			—		28,377			—			—			(64,000		)
	220,007			(230,584		)	—		28,377			144			(1,695		)	16,249
Total realized and unrealized gains and (losses):
Included in earnings	66,315			(57,244		)	677		—			(514		)	(29,811		)	(20,577		)
Included in Other comprehensive income	—			—			—		—			—			—			—
	66,315			(57,244		)	677		—			(514		)	(29,811		)	(20,577		)
Transfers in and / or out of Level 3	—			—			—		—			—			—			—
Ending balance	$	3,057,564		$	(2,935,928	)	$	9,063	$	(495,126	)	$	200		$	700,668		$	336,441



	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
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
Six months ended June 30, 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	—			—			—		—			144			—			144
Issuances	675,665			(522,981		)	—		—			—			(1,275		)	151,409
Sales	—			—			—		—			—			(143		)	(143		)
Settlements (1)	(238,838		)	98,876			—		46,578			(81		)	—			(93,465		)
	436,827			(424,105		)	—		46,578			63			(1,418		)	57,945
Total realized and unrealized gains and (losses): (2)
Included in earnings	132,484			(120,461		)	1,078		—			(1,905		)	(59,104		)	(47,908		)
Included in Other comprehensive income (loss)	—			—			—		—			—			—			—
	132,484			(120,461		)	1,078		—			(1,905		)	(59,104		)	(47,908		)
Transfers in and / or out of Level 3	—			—			—		—			—			—			—
Ending Balance	$	3,057,564		$	(2,935,928	)	$	9,063	$	(495,126	)	$	200		$	700,668		$	336,441




	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


(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 six months ended June 30, 2015 includes $2.2 million of such reimbursements. There have been no such payments in 2016.


(2)	Total losses attributable to derivative financial instruments still held at June 30, 2016 and June 30, 2015 were $1.9 million and $0.5 million for the six months ended June 30, 2016 and 2015, respectively. Total losses attributable to MSRs still held at June 30, 2016 and June 30, 2015 were $58.5 million and $40.9 million for the six months ended June 30, 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 June 30, 2016 valuation include:



Weighted average prepayment speed	13.17		%
Weighted average delinquency rate	11.57		%
Advance financing cost	5-year swap
Interest rate for computing float earnings	5-year swap
Weighted average discount rate	9.06		%
Weighted average cost to service (in dollars)	$	107

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, 2016 valuation include:



	Agency			Non Agency
Weighted average prepayment speed	17.89		%	16.93		%
Weighted average delinquency rate	0.51		%	27.94		%
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		%	14.98		%
Weighted average cost to service (in dollars)	$	77		$	287

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, 2016 include:



Weighted average prepayment speed	17.45		%
Weighted average delinquency rate	29.73		%
Advance financing cost	1ML plus 3.5%
Interest rate for computing float earnings	1ML
Weighted average discount rate	15.04		%
Weighted average cost to service (in dollars)	$	321