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Fair Value (Tables) | 9 Months Ended
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Sep. 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:
|  |  | September 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 |  | $ | 302,114 |  |  | $ | 302,114 |  |  | $ | 309,054 |  |  | $ | 309,054 |
Loans held for sale, at lower of cost or fair value (b) | 3 |  | 37,651 |  |  | 37,651 |  |  | 104,992 |  |  | 104,992 |
Total Loans held for sale |  |  | $ | 339,765 |  |  | $ | 339,765 |  |  | $ | 414,046 |  |  | $ | 414,046 |
Loans held for investment - Reverse mortgages, at fair value (a) | 3 |  | $ | 3,339,641 |  |  | $ | 3,339,641 |  |  | $ | 2,488,253 |  |  | $ | 2,488,253 |
Advances and match funded advances (c) | 3 |  | 1,823,336 |  |  | 1,823,336 |  |  | 2,151,066 |  |  | 2,151,066 |
Receivables, net (c) | 3 |  | 279,883 |  |  | 279,883 |  |  | 286,981 |  |  | 286,981 |
Mortgage-backed securities, at fair value (a) | 3 |  | 9,040 |  |  | 9,040 |  |  | 7,985 |  |  | 7,985 |
|  |  | September 30, 2016 |  | December 31, 2015
| Level |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |
Match funded liabilities (c) | 3 |  | $ | 1,365,532 |  |  | $ | 1,364,988 |  |  | $ | 1,584,049 |  |  | $ | 1,581,786 |
Financing liabilities: |  |  |  |  |  |  |  |  |
HMBS-related borrowings, at fair value (a) | 3 |  | $ | 3,224,610 |  |  | $ | 3,224,610 |  |  | $ | 2,391,362 |  |  | $ | 2,391,362 |
Financing liability - MSRs pledged (a) | 3 |  | 494,532 |  |  | 494,532 |  |  | 541,704 |  |  | 541,704 |
Other (c) | 3 |  | 108,877 |  |  | 83,026 |  |  | 156,189 |  |  | 131,940 |
Total Financing liabilities |  |  | $ | 3,828,019 |  |  | $ | 3,802,168 |  |  | $ | 3,089,255 |  |  | $ | 3,065,006 |
Other secured borrowings: |  |  |  |  |  |  |  |  |
Senior secured term loan (c)(d) | 2 |  | $ | 310,278 |  |  | $ | 321,365 |  |  | $ | 377,091 |  |  | $ | 397,956 |
Other (c) | 3 |  | 352,892 |  |  | 352,892 |  |  | 385,320 |  |  | 385,320 |
Total Other secured borrowings |  |  | $ | 663,170 |  |  | $ | 674,257 |  |  | $ | 762,411 |  |  | $ | 783,276 |
Senior unsecured notes (c)(d) | 2 |  | $ | 346,511 |  |  | $ | 312,946 |  |  | $ | 345,511 |  |  | $ | 318,063 |
Derivative financial instruments assets (liabilities) (a): |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate lock commitments | 2 |  | $ | 10,827 |  |  | $ | 10,827 |  |  | $ | 6,080 |  |  | $ | 6,080 |
Forward mortgage-backed securities trades | 1 |  | (2,525 | ) |  | (2,525 | ) |  | 295 |  |  | 295 |
Interest rate caps | 3 |  | 793 |  |  | 793 |  |  | 2,042 |  |  | 2,042 |
Mortgage servicing rights: |  |  |  |  |  |  |  |  |
Mortgage servicing rights, at fair value (a) | 3 |  | $ | 696,108 |  |  | $ | 696,108 |  |  | $ | 761,190 |  |  | $ | 761,190 |
Mortgage servicing rights, at amortized cost (c)(e) | 3 |  | 340,561 |  |  | 357,817 |  |  | 377,379 |  |  | 461,555 |
Total Mortgage servicing rights |  |  | $ | 1,036,669 |  |  | $ | 1,053,925 |  |  | $ | 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 September 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 $54.5 million, the carrying value of this stratum at September 30, 2016 was $172.4 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 September 30, 2016
Beginning balance | $ | 3,057,564 |  |  | $ | (2,935,928 | ) |  | $ | 9,063 |  |  | $ | (495,126 | ) |  | $ | 200 |  |  | $ | 700,668 |  |  | $ | 336,441 |
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | — |  |  | — |  |  | — |  |  | — |  |  | 638 |  |  | — |  |  | 638 |
Issuances | 509,900 |  |  | (297,457 | ) |  | — |  |  | — |  |  | — |  |  | (50 | ) |  | 212,393 |
Sales | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (5 | ) |  | (5 | )
Settlements | (289,428 | ) |  | 63,119 |  |  | — |  |  | 594 |  |  | — |  |  | — |  |  | (225,715 | )
| 220,472 |  |  | (234,338 | ) |  | — |  |  | 594 |  |  | 638 |  |  | (55 | ) |  | (12,689 | )
Total realized and unrealized gains and (losses): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings | 61,605 |  |  | (54,344 | ) |  | (23 | ) |  | — |  |  | (45 | ) |  | (4,505 | ) |  | 2,688 |
Transfers in and / or out of Level 3 | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Ending balance | $ | 3,339,641 |  |  | $ | (3,224,610 | ) |  | $ | 9,040 |  |  | $ | (494,532 | ) |  | $ | 793 |  |  | $ | 696,108 |  |  | $ | 326,440 |
| 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 | )
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, 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 | — |  |  | — |  |  | — |  |  | — |  |  | 782 |  |  | — |  |  | 782 |
Issuances | 1,185,565 |  |  | (820,438 | ) |  | — |  |  | — |  |  | — |  |  | (1,325 | ) |  | 363,802 |
Sales | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (148 | ) |  | (148 | )
Settlements | (528,263 | ) |  | 161,995 |  |  | — |  |  | 47,172 |  |  | (81 | ) |  | — |  |  | (319,177 | )
| 657,302 |  |  | (658,443 | ) |  | — |  |  | 47,172 |  |  | 701 |  |  | (1,473 | ) |  | 45,259 |
Total realized and unrealized gains and (losses): (2) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Included in earnings | 194,086 |  |  | (174,805 | ) |  | 1,055 |  |  | — |  |  | (1,950 | ) |  | (63,609 | ) |  | (45,223 | )
Transfers in and / or out of Level 3 | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Ending Balance | $ | 3,339,641 |  |  | $ | (3,224,610 | ) |  | $ | 9,040 |  |  | $ | (494,532 | ) |  | $ | 793 |  |  | $ | 696,108 |  |  | $ | 326,440 |
| Loans Held for Investment - Reverse Mortgages |  | HMBS-Related Borrowings |  | Mortgage-backed Securities |  | Financing Liability - MSRs Pledged (1) |  | 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, at amortized cost | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 839,157 |  |  | 839,157 |
Sales | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (71,318 | ) |  | (71,318 | )
Settlements | (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 | )
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 |
(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 nine months ended September 30, 2015 include $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 September 30, 2016 and September 30, 2015 were $0.5 million and $1.3 million for the nine months ended September 30, 2016 and 2015, respectively. Total losses attributable to MSRs still held at September 30, 2016 and September 30, 2015 were $62.4 million and $65.1 million for the nine months ended September 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 September 30, 2016 valuation include:
Weighted average prepayment speed | 13.89 | %
Weighted average delinquency rate | 11.60 | %
Advance financing cost | 5-year swap |
Interest rate for computing float earnings | 5-year swap |
Weighted average discount rate | 8.85 | %
Weighted average cost to service (in dollars) | $ | 108 |
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, 2016 valuation include:
| Agency |  | Non Agency
Weighted average prepayment speed | 16.86 | % |  | 16.58 | %
Weighted average delinquency rate | 1.06 | % |  | 29.35 | %
Advance financing cost | 5-year swap |  |  | 1-Month LIBOR (1ML) plus 3.5% |
Interest rate for computing float earnings | 5-year swap |  |  | 1ML |
Weighted average discount rate | 9.00 | % |  | 15.08 | %
Weighted average cost to service (in dollars) | $ | 75 |  |  | $ | 308 |
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, 2016 include:
Weighted average prepayment speed | 17.09 | %
Weighted average delinquency rate | 29.81 | %
Advance financing cost | 1ML plus 3.5% |
Interest rate for computing float earnings | 1ML |
Weighted average discount rate | 15.03 | %
Weighted average cost to service (in dollars) | $ | 314 |

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