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Fair Value (Tables)

3 Months Ended

Mar. 31, 2017

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:

			March 31, 2017								December 31, 2016
	Level		Carrying Value				Fair Value				Carrying Value				Fair Value
Financial assets:
Loans held for sale:
Loans held for sale, at fair value (a)	2		$	313,558			$	313,558			$	284,632			$	284,632
Loans held for sale, at lower of cost or fair value (b)	3		25,595				25,595				29,374				29,374

			March 31, 2017								December 31, 2016
	Level		Carrying Value				Fair Value				Carrying Value				Fair Value
Total Loans held for sale			$	339,153			$	339,153			$	314,006			$	314,006
Loans held for investment (a)	3		$	3,916,387			$	3,916,387			$	3,565,716			$	3,565,716
Advances (including match funded) (c)	3		1,599,598				1,599,598				1,709,846				1,709,846
Automotive dealer financing notes (including match funded) (c)	3		28,364				28,244				33,224				33,147
Receivables, net (c)	3		212,781				212,781				265,720				265,720
Mortgage-backed securities, at fair value (a)	3		8,658				8,658				8,342				8,342
U.S. Treasury notes (a)	1		2,065				2,065				2,078				2078
Financial liabilities:
Match funded liabilities (c)	3		$	1,215,212			$	1,208,789			$	1,280,997			$	1,275,059
Financing liabilities:
HMBS-related borrowings, at fair value (a)	3		$	3,739,265			$	3,739,265			$	3,433,781			$	3,433,781
Financing liability - MSRs pledged, at fair value (a)	3		459,187				459,187				477,707				477,707
Other (c)	3		96,956				83,013				101,324				81,805
Total Financing liabilities			$	4,295,408			$	4,281,465			$	4,012,812			$	3,993,293
Other secured borrowings:
Senior secured term loan (c) (d)	2		$	320,131			$	333,707			$	323,514			$	327,674
Other (c)	3		418,316				418,316				355,029				355,029
Total Other secured borrowings			$	738,447			$	752,023			$	678,543			$	682,703
Senior notes
Senior unsecured notes (c) (d)	2		$	3,097			$	3,087			$	3,094			$	3,048
Senior secured notes (c) (d)	2		343,832				357,284				$	343,695			352,255
Total Senior notes			$	346,929			$	360,371			$	346,789			$	355,303
Derivative financial instruments assets (liabilities), at fair value (a):
Interest rate lock commitments	2		$	7,765			$	7,765			$	6,507			$	6,507
Forward mortgage-backed securities	1		(3,868		)		(3,868		)		(614		)		(614		)
Interest rate caps	3		2,262				2,262				1,836				1,836
Mortgage servicing rights:
Mortgage servicing rights, at fair value (a)	3		$	651,987			$	651,987			$	679,256			$	679,256
Mortgage servicing rights, at amortized cost (c) (e)	3		358,531				462,289				363,722				467,911
Total Mortgage servicing rights			$	1,010,518			$	1,114,276			$	1,042,978			$	1,147,167

(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) Balances include the 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 $29.6 million, the carrying value of the impaired stratum at March 31, 2017 was $171.2 million. At December 31, 2016, the carrying value of this stratum was $172.9 million before applying the valuation allowance of $28.2 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 March 31, 2017
Beginning balance	$	3,565,716			$	(3,433,781	)		$	8,342			$	(477,707	)		$	1,836			$	679,256			$	343,662
Purchases, issuances, sales and settlements:
Purchases	—				—				—				—				—				—				—
Issuances	347,080				(306,749		)		—				—				—				(706		)		39,625
Sales	—				—				—				—				—				(228		)		(228		)
Settlements (1)	(80,290		)		75,099				—				16,999				—				—				11,808
	266,790				(231,650		)		—				16,999				—				(934		)		51,205
Total realized and unrealized gains and (losses) (2):
Included in earnings	83,881				(73,834		)		316				1,521				426				(26,335		)		(14,025		)
Transfers in and / or out of Level 3	—				—				—				—				—				—				—
Ending balance	$	3,916,387			$	(3,739,265	)		$	8,658			$	(459,187	)		$	2,262			$	651,987			$	380,842

	Loans Held for Investment - Reverse Mortgages				HMBS-Related Borrowings				Mortgage-Backed Securities				Financing Liability - MSRs Pledged				Derivatives				MSRs				Total
Three months ended March 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	—				—				—				—				—				419				419
Issuances	304,058				(233,174		)		—				—				—				—				70,884
Sales	—				—				—				—				—				(142		)		(142		)
Settlements (1)	(87,237		)		39,654				—				18,201				(81		)		—				(29,463		)
	216,821				(193,520		)		—				18,201				(81		)		277				41,698
Total realized and unrealized gains and (losses):
Included in earnings	66,168				(63,218		)		401				—				(1,391		)		(29,293		)		(27,333		)
Transfers in and / or out of Level 3	—				—				—				—				—				—				—
Ending balance	$	2,771,242			$	(2,648,100	)		$	8,386			$	(523,503	)		$	570			$	732,174			$	340,769

(1) Settlements for Loans held for investment - reverse mortgages consist chiefly of principal payments received, but also may include non-cash settlements of loans.

(2) Total gains (losses) attributable to derivative financial instruments still held at March 31, 2017 and March 31, 2016 were $0.4 million and $(1.5) million for the three months ended March 31, 2017 and 2016, respectively. Total losses attributable to MSRs still held at March 31, 2017 and March 31, 2016 were $26.3 million and $29.1 million for the three months ended March 31, 2017 and 2016, 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 the dates indicated:

	March 31, 2017			December 31, 2016
Life in years
Range	5.5 to 8.5			5.5 to 8.7
Weighted average	5.9			6.1
Conditional repayment rate
Range	5.3% to 53.8%			5.2% to 53.8%
Weighted average	21.2	%		20.9	%
Discount rate	3.3	%		3.3	%

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 valuations consisted of the following at the dates indicated:

	March 31, 2017				December 31, 2016
Weighted average prepayment speed	8.8		%		8.9		%
Weighted average delinquency rate	10.9		%		11.1		%
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	8.9		%		8.9		%
Weighted average cost to service (in dollars)	$	107			$	108

Mortgage Servicing Rights - Fair Value [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 the dates indicated:

	March 31, 2017								December 31, 2016
	Agency				Non Agency				Agency				Non Agency
Weighted average prepayment speed	7.9		%		16.5		%		8.4		%		16.5		%
Weighted average delinquency rate	1.5		%		29.3		%		1.0		%		29.3		%
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	9.0		%		12.8		%		9.0		%		14.9		%
Weighted average cost to service (in dollars)	$	65			$	308			$	64			$	307

Automotive Dealer Financing Notes [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 valuation consisted of the following at the dates indicated:

	March 31, 2017			December 31, 2016
Weighted average life in months	2.7			2.7
Average note rate	8.3	%		8.3	%
Discount rate	10.0	%		10.0	%
Loan loss rate	26.7	%		11.3	%

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 the dates indicated:

	March 31, 2017			December 31, 2016
Life in years
Range	4.5 to 8.5			4.5 to 8.7
Weighted average	5.0			5.1
Conditional repayment rate
Range	5.3% to 53.8%			5.2% to 53.8%
Weighted average	21.2	%		20.9	%
Discount rate	2.7	%		2.7	%

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 the dates indicated:

	March 31, 2017				December 31, 2016
Weighted average prepayment speed	17.0		%		17.0		%
Weighted average delinquency rate	29.8		%		29.8		%
Advance financing cost	1ML plus 3.5%				1ML plus 3.5%
Interest rate for computing float earnings	1ML				1ML
Weighted average discount rate	13.7		%		14.9		%
Weighted average cost to service (in dollars)	$	315			$	313

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