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Fair Value (Tables)
 12 Months Ended
Dec. 31, 2016
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:
 
 
 
2016
 
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
 
$
284,632

 
$
284,632

 
$
309,054

 
$
309,054

Loans held for sale, at lower of cost or fair value (b)
3
 
29,374

 
29,374

 
104,992

 
104,992

Total Loans held for sale
 
 
$
314,006

 
$
314,006

 
$
414,046

 
$
414,046

Loans held for investment - Reverse mortgages, at fair value (a)
3
 
$
3,565,716

 
$
3,565,716

 
$
2,488,253

 
$
2,488,253

Advances and match funded advances (c)
3
 
1,709,846

 
1,709,846

 
2,151,066

 
2,151,066

Receivables, net (c)
3
 
265,720

 
265,720

 
286,981

 
286,981

Mortgage-backed securities, at fair value (a)
3
 
8,342

 
8,342

 
7,985

 
7,985

U.S. Treasury notes (a)
1
 
2,078

 
2,078

 
—

 
—

 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 

 
 

 
 

 
 

Match funded liabilities (c)
3
 
$
1,280,997

 
$
1,275,059

 
$
1,584,049

 
$
1,581,786

Financing liabilities:
 
 
 
 
 
 
 
 
 
HMBS-related borrowings, at fair value (a)
3
 
$
3,433,781

 
$
3,433,781

 
$
2,391,362

 
$
2,391,362

Financing liability - MSRs pledged (a)
3
 
477,707

 
477,707

 
541,704

 
541,704

Other (c)
3
 
101,324

 
81,805

 
156,189

 
131,940

Total Financing liabilities
 
 
$
4,012,812

 
$
3,993,293

 
$
3,089,255

 
$
3,065,006

Other secured borrowings:
 
 
 
 
 
 
 
 
 
Senior secured term loan (c) (d)
2
 
$
323,514

 
$
327,674

 
$
377,091

 
$
397,956

Other (c)
3
 
355,029

 
355,029

 
385,320

 
385,320

Total Other secured borrowings
 
 
$
678,543

 
$
682,703

 
$
762,411

 
$
783,276

 
 
 
 
 
 
 
 
 
 
Senior notes:
 
 
 
 
 
 
 
 
 
Senior unsecured notes (c) (d)
2
 
$
3,094

 
$
3,048

 
$
345,511

 
$
318,063

Senior secured notes (c) (d)
2
 
343,695

 
352,255

 
—

 
—

Total Senior notes
 
 
$
346,789

 
$
355,303

 
$
345,511

 
$
318,063

 
 
 
 
 
 
 
 
 
 
Derivative financial instruments assets (liabilities) (a):
 
 
 

 
 

 
 

 
 

Interest rate lock commitments
2
 
$
6,507

 
$
6,507

 
$
6,080

 
$
6,080

Forward mortgage-backed securities trades
1
 
(614
)
 
(614
)
 
295

 
295

Interest rate caps
3
 
1,836

 
1,836

 
2,042

 
2,042

 
 
 
 
 
 
 
 
 
 
Mortgage servicing rights:
 
 
 
 
 
 
 
 
 
Mortgage servicing rights, at fair value (a)
3
 
$
679,256

 
$
679,256

 
$
761,190

 
$
761,190

Mortgage servicing rights, at amortized cost (c) (e)
3
 
363,722

 
467,911

 
377,379

 
461,555

Total Mortgage servicing rights
 
 
$
1,042,978

 
$
1,147,167

 
$
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 13 — Borrowings for additional information. 
(e)
Balances include our impaired government-insured stratum of amortization method MSRs, which is measured at fair value on a non-recurring basis and reported net of the valuation allowance. Before applying the valuation allowance of $28.2 million, the carrying value of the impaired stratum at December 31, 2016 was $172.9 million. At December 31, 2015, the carrying value of this stratum was $146.5 million before applying the 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:
 
Loans Held for Investment - Reverse Mortgages
 
HMBS-Related Borrowings
 
Mortgage-Backed Securities
 
Financing Liability - MSRs Pledged (1)
 
Derivatives
 
MSRs
 
Total
Year Ended December 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
—

 
—

 
—

 
—

 
1,337

 
—

 
1,337

Issuances
1,107,046

 
(1,086,795
)
 
—

 
—

 
—

 
(1,548
)
 
18,703

Sales
—

 
—

 
—

 
—

 
—

 
(148
)
 
(148
)
Settlements (2)
(243,596
)
 
230,045

 
—

 
63,997

 
(156
)
 
—

 
50,290

 
863,450

 
(856,750
)
 
—

 
63,997

 
1,181

 
(1,696
)
 
70,182

Total realized and unrealized gains and (losses) (3):
 
 
 
 
 
 
 
 
 

 
 

 
 

Included in earnings
214,013

 
(185,669
)
 
357

 
—

 
(1,387
)
 
(80,238
)
 
(52,924
)
Included in Other comprehensive income
—

 
—

 
—

 
—

 
—

 
—

 
—

 
214,013

 
(185,669
)
 
357

 
—

 
(1,387
)
 
(80,238
)
 
(52,924
)
Transfers in and / or out of Level 3
—

 
—

 
—

 
—

 
—

 
—

 
—

Ending balance
$
3,565,716

 
$
(3,433,781
)
 
$
8,342

 
$
(477,707
)
 
$
1,836

 
$
679,256

 
$
343,662

 
Loans Held for Investment - Reverse Mortgages
 
HMBS-Related Borrowings
 
Mortgage-Backed Securities
 
Financing Liability - MSRs Pledged (1)
 
Derivatives
 
MSRs
 
Total
Year Ended December 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
—

 
—

 
—

 
—

 
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 (2)
(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) (3):
 
 
 
 
 
 
 
 
 

 
 

 
 

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

 
Loans Held for Investment - Reverse Mortgages
 
HMBS-Related Borrowings
 
Mortgage-Backed Securities
 
Financing Liability - MSRs Pledged (1)
 
Derivatives
 
MSRs
 
Total
Year Ended December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
 
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

Transfers from Loans held for sale, at fair value
110,874

 
—

 
—

 
—

 
—

 
—

 
110,874

Sales
—

 
—

 
—

 
—

 
—

 
—

 
—

Settlements (2)
(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
)
 
(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 2015 and 2014 include $2.2 million and $2.0 million, respectively, of such reimbursements. There were no such payments in 2016.
(2)
Settlements for Loans held for investment - reverse mortgages consist chiefly of principal payments received but also may include non-cash settlements of loans.
(3)
Total gains (losses) attributable to derivative financial instruments still held at December 31, 2016 and 2015 were $0.3 million and $(1.0) million for 2016 and 2015, respectively. Total losses for 2016 and 2015 attributable to MSRs still held at December 31, 2016 and 2015 were $78.3 million and $90.3 million, respectively.
Loans Held for Investment [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 included in the valuations consisted of the following at December 31:
 
2016
 
2015
Life in years
 
 
 
Range
5.53 to 8.67

 
6.11 to 9.70

Weighted average
6.05

 
6.49

Conditional repayment rate
 
 
 
Range
5.23% to 53.75%

 
4.96% to 53.75%

Weighted average
20.91
%
 
19.85
%
Discount rate
3.32
%
 
3.36
%
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
 
2016
 
2015
Weighted average prepayment speed
8.90
%
 
11.34
%
Weighted average delinquency rate
11.08
%
 
13.27
%
Advance financing cost
5-year swap

 
5-year swap

Interest rate for computing float earnings
5-year swap

 
5-year swap

Weighted average discount rate
8.90
%
 
9.41
%
Weighted average cost to service (in dollars)
$
108

 
$
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 valuations consisted of the following at December 31:
 
2016
 
2015
 
Agency
 
Non-Agency
 
Agency
 
Non-Agency
Weighted average prepayment speed
8.36
%
 
16.47
%
 
9.91
%
 
16.83
%
Weighted average delinquency rate
0.99
%
 
29.32
%
 
0.82
%
 
27.99
%
Advance financing cost
5-year swap

 
1-Month LIBOR (1ML) plus 3.5%

 
5-year swap

 
1-Month LIBOR (1ML) plus 3.5%

Interest rate for computing float earnings
5-year swap

 
1ML

 
5-year swap

 
1ML

Weighted average discount rate
9.00
%
 
14.93
%
 
9.00
%
 
15.03
%
Weighted average cost to service (in dollars)
$
64

 
$
307

 
$
71

 
$
321
HMBS - Related Borrowings [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 valuations consisted of the following at December 31:
 
2016
 
2015
Life in years
 
 
 
Range
4.50 to 8.67

 
4.73 to 9.70

Weighted average
5.09

 
5.39

Conditional repayment rate
 
 
 
Range
5.23 % to 53.75%

 
4.96% to 53.75%

Weighted average
20.91
%
 
19.85
%
Discount rate
2.70
%
 
2.78
%
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 prices of the underlying MSRs consisted of the following at December 31:
 
2016
 
2015
Weighted average prepayment speed
16.96
%
 
17.43
%
Weighted average delinquency rate
29.80
%
 
29.83
%
Advance financing cost
1ML plus 3.5%

 
1 ML plus 3.5%

Interest rate for computing float earnings
1ML

 
1ML

Weighted average discount rate
14.85
%
 
14.92
%
Weighted average cost to service (in dollars)
$
313

 
$
326