Fair Value (Tables)

6 Months Ended

Jun. 30, 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:



		June 30, 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	$	239,490	$	239,490	$	284,632	$	284,632
Loans held for sale, at lower of cost or fair value (b)	3	21,469		21,469		29,374		29,374
Total Loans held for sale		$	260,959	$	260,959	$	314,006	$	314,006

Loans held for investment (a)	3	$	4,223,776	$	4,223,776	$	3,565,716	$	3,565,716
Advances (including match funded) (c)	3	1,478,255		1,478,255		1,709,846		1,709,846
Automotive dealer financing notes (including match funded) (c)	3	33,867		33,527		33,224		33,147
Receivables, net (c)	3	252,797		252,797		265,720		265,720
Mortgage-backed securities, at fair value (a)	3	8,986		8,986		8,342		8,342
U.S. Treasury notes (a)	1	2,076		2,076		2,078		2,078

Financial liabilities:
Match funded liabilities (c)	3	$	1,108,377	$	1,103,202	$	1,280,997	$	1,275,059
Financing liabilities:
HMBS-related borrowings, at fair value (a)	3	$	4,061,626	$	4,061,626	$	3,433,781	$	3,433,781
Financing liability - MSRs pledged, at fair value (a)	3	441,007		441,007		477,707		477,707
Other (c)	3	92,799		73,154		101,324		81,805
Total Financing liabilities		$	4,595,432	$	4,575,787	$	4,012,812	$	3,993,293
Other secured borrowings:
Senior secured term loan (c) (d)	2	$	316,739	$	326,625	$	323,514	$	327,674
Other (c)	3	327,121		327,121		355,029		355,029
Total Other secured borrowings		$	643,860	$	653,746	$	678,543	$	682,703



		June 30, 2017				December 31, 2016
	Level	Carrying Value		Fair Value		Carrying Value			Fair Value
Senior notes:
Senior unsecured notes (c) (d)	2	$	3,100	$	2,948	$	3,094		$	3,048
Senior secured notes (c) (d)	2	343,963		332,136		$	343,695		352,255
Total Senior notes		$	347,063	$	335,084	$	346,789		$	355,303

Derivative financial instruments assets (liabilities), at fair value (a):
Interest rate lock commitments	2	$	5,352	$	5,352	$	6,507		$	6,507
Forward mortgage-backed securities	1	1,752		1,752		(614		)	(614		)
Interest rate caps	3	1,937		1,937		1,836			1,836

Mortgage servicing rights:
Mortgage servicing rights, at fair value (a)	3	$	625,650	$	625,650	$	679,256		$	679,256
Mortgage servicing rights, at amortized cost (c) (e)	3	349,535		440,311		363,722			467,911
Total Mortgage servicing rights		$	975,185	$	1,065,961	$	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 $32.8 million, the carrying value of the impaired stratum at June 30, 2017 was $168.3 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 June 30, 2017
Beginning balance	$	3,916,387		$	(3,739,265	)	$	8,658	$	(459,187	)	$	2,262		$	651,987		$	380,842
Purchases, issuances, sales and settlements:
Purchases	—			—			—		—			—			—			—
Issuances	351,392			(357,704		)	—		—			—			(711		)	(7,023		)
Sales	—			—			—		—			—			(2		)	(2		)
Transfers to Real estate (Other assets)	(1,423		)	—			—		—			—			—			(1,423		)
Settlements (1)	(112,279		)	101,132			—		16,194			(42		)	—			5,005
	237,690			(256,572		)	—		16,194			(42		)	(713		)	(3,443		)
Total realized and unrealized gains and (losses) (2):
Included in earnings	69,699			(65,789		)	328		1,986			(283		)	(25,624		)	(19,683		)
Transfers in and / or out of Level 3	—			—			—		—			—			—			—
Ending balance	$	4,223,776		$	(4,061,626	)	$	8,986	$	(441,007	)	$	1,937		$	625,650		$	357,716



	Loans Held for Investment - Reverse Mortgages			HMBS-Related Borrowings			Mortgage-Backed Securities		Financing Liability - MSRs Pledged			Derivatives			MSRs			Total
Three months ended June 30, 2016
Beginning balance	$	2,771,242		$	(2,648,100	)	$	8,386	$	(523,503	)	$	570		$	732,174		$	340,769
Purchases, issuances, sales and settlements:
Purchases	—			—			—		—			144			—			144
Issuances	371,607			(289,807		)	—		—			—			(1,694		)	80,106
Sales	—			—			—		—			—			(1		)	(1		)
Settlements (1)	(151,600		)	59,223			—		28,377			—			—			(64,000		)
	220,007			(230,584		)	—		28,377			144			(1,695		)	16,249
Total realized and unrealized gains and (losses):
Included in earnings	66,315			(57,244		)	677		—			(514		)	(29,811		)	(20,577		)
Transfers in and / or out of Level 3	—			—			—		—			—			—			—
Ending balance	$	3,057,564		$	(2,935,928	)	$	9,063	$	(495,126	)	$	200		$	700,668		$	336,441



	Loans Held for Investment - Reverse Mortgages			HMBS-Related Borrowings			Mortgage-backed Securities		Financing Liability - MSRs Pledged			Derivatives			MSRs			Total
Six months ended June 30, 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	698,473			(664,453		)	—		—			—			(1,417		)	32,603
Sales	—			—			—		—			—			(230		)	(230		)
Transfers to Real estate (Other assets)	(1,423		)	—			—		—			—			—			(1,423		)
Settlements	(192,569		)	176,231			—		33,193			(42		)	—			16,813
	504,481			(488,222		)	—		33,193			(42		)	(1,647		)	47,763
Total realized and unrealized gains and (losses): (2)
Included in earnings	153,579			(139,623		)	644		3,507			143			(51,959		)	(33,709		)
Transfers in and / or out of Level 3	—			—			—		—			—			—			—
Ending Balance	$	4,223,776		$	(4,061,626	)	$	8,986	$	(441,007	)	$	1,937		$	625,650		$	357,716



	Loans Held for Investment - Reverse Mortgages			HMBS-Related Borrowings			Mortgage-backed Securities		Financing Liability - MSRs Pledged (1)			Derivatives			MSRs			Total
Six months ended June 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	—			—			—		—			144			—			144
Issuances	675,665			(522,981		)	—		—			—			(1,275		)	151,409
Sales	—			—			—		—			—			(143		)	(143		)
Settlements	(238,838		)	98,876			—		46,578			(81		)	—			(93,465		)
	436,827			(424,105		)	—		46,578			63			(1,418		)	57,945
Total realized and unrealized gains and (losses) (2):
Included in earnings	132,484			(120,461		)	1,078		—			(1,905		)	(59,104		)	(47,908		)
	132,484			(120,461		)	1,078		—			(1,905		)	(59,104		)	(47,908		)
Transfers in and / or out of Level 3	—			—			—		—			—			—			—
Ending balance	$	3,057,564		$	(2,935,928	)	$	9,063	$	(495,126	)	$	200		$	700,668		$	336,441


(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 June 30, 2017 and June 30, 2016 were $0.2 million and $(2.0) million for the six months ended June 30, 2017 and 2016, respectively. Total losses attributable to MSRs still held at June 30, 2017 and June 30, 2016 were $51.5 million and $58.5 million for the six months ended June 30, 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:



	June 30, 2017		December 31, 2016
Life in years
Range	5.4 to 8.2		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	21.3	%	20.9	%
Discount rate	3.2	%	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:



	June 30, 2017			December 31, 2016
Weighted average prepayment speed	9.0		%	8.9		%
Weighted average delinquency rate	10.5		%	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	9.1		%	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:



	June 30, 2017						December 31, 2016
	Agency			Non Agency			Agency			Non Agency
Weighted average prepayment speed	8.5		%	16.4		%	8.4		%	16.5		%
Weighted average delinquency rate	0.7		%	29.2		%	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)	$	63		$	313		$	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:



	June 30, 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	21.9	%	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:



	June 30, 2017		December 31, 2016
Life in years
Range	4.4 to 8.2		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	21.3	%	20.9	%
Discount rate	2.6	%	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:



	June 30, 2017			December 31, 2016
Weighted average prepayment speed	16.8		%	17.0		%
Weighted average delinquency rate	29.6		%	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	13.6		%	14.9		%
Weighted average cost to service (in dollars)	$	319		$	313