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Fair Value (Tables) | 12 Months Ended
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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 |

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