Fair Value (Tables)

9 Months Ended

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