Fair Value (Tables)

9 Months Ended

Sep. 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:



		September 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	$	200,438	$	200,438	$	284,632		$	284,632
Loans held for sale, at lower of cost or fair value (b)	3	23,224		23,224		29,374			29,374
Total Loans held for sale		$	223,662	$	223,662	$	314,006		$	314,006

Loans held for investment (a)	3	$	4,459,760	$	4,459,760	$	3,565,716		$	3,565,716
Advances (including match funded) (c)	3	1,405,816		1,405,816		1,709,846			1,709,846
Automotive dealer financing notes (including match funded) (c)	3	36,036		38,578		33,224			33,147
Receivables, net (c)	3	231,514		231,514		265,720			265,720
Mortgage-backed securities, at fair value (a)	3	9,327		9,327		8,342			8,342
U.S. Treasury notes (a)	1	1,575		1,575		2,078			2,078

Financial liabilities:
Match funded liabilities (c)	3	$	1,028,016	$	1,023,241	$	1,280,997		$	1,275,059
Financing liabilities:
HMBS-related borrowings, at fair value (a)	3	$	4,358,277	$	4,358,277	$	3,433,781		$	3,433,781
Financing liability - MSRs pledged, at fair value (a)	3	447,843		447,843		477,707			477,707
Other (c)	3	89,138		68,615		101,324			81,805
Total Financing liabilities		$	4,895,258	$	4,874,735	$	4,012,812		$	3,993,293
Other secured borrowings:
Senior secured term loan (c) (d)	2	$	313,316	$	322,238	$	323,514		$	327,674
Other (c)	3	231,273		231,273		355,029			355,029
Total Other secured borrowings		$	544,589	$	553,511	$	678,543		$	682,703

Senior notes:
Senior unsecured notes (c) (d)	2	$	3,122	$	2,997	$	3,094		$	3,048
Senior secured notes (c) (d)	2	344,079		340,808		$	343,695		352,255
Total Senior notes		$	347,201	$	343,805	$	346,789		$	355,303

Derivative financial instruments assets (liabilities), at fair value (a):
Interest rate lock commitments	2	$	4,969	$	4,969	$	6,507		$	6,507
Forward mortgage-backed securities	1	973		973		(614		)	(614		)
Interest rate caps	3	1,839		1,839		1,836			1,836



		September 30, 2017				December 31, 2016
	Level	Carrying Value		Fair Value		Carrying Value		Fair Value
Mortgage servicing rights:
Mortgage servicing rights, at fair value (a)	3	$	598,147	$	598,147	$	679,256	$	679,256
Mortgage servicing rights, at amortized cost (c) (e)	3	346,161		424,208		363,722		467,911
Total Mortgage servicing rights		$	944,308	$	1,022,355	$	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 $26.6 million, the carrying value of the impaired stratum at September 30, 2017 was $163.5 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 September 30, 2017
Beginning balance	$	4,223,776		$	(4,061,626	)	$	8,986	$	(441,007	)	$	1,937		$	625,650		$	357,716
Purchases, issuances, sales and settlements:
Purchases	—			—			—		—			655			—			655
Issuances	263,169			(317,277		)	—		(54,601		)	—			(715		)	(109,424		)
Sales	—			—			—		—			—			(311		)	(311		)
Transfers to Real estate (Other assets)	88			—			—		—			—			—			88
Settlements (1)	(118,991		)	111,677			—		19,770			(403		)	—			12,053
	144,266			(205,600		)	—		(34,831		)	252			(1,026		)	(96,939		)
Total realized and unrealized gains (losses) included in earnings	91,718			(91,051		)	341		27,995			(350		)	(26,477		)	2,176
Transfers in and / or out of Level 3	—			—			—		—			—			—			—
Ending balance	$	4,459,760		$	(4,358,277	)	$	9,327	$	(447,843	)	$	1,839		$	598,147		$	262,953



	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 (1)	(289,428		)	63,119			—			594			—			—			(225,715		)
	220,472			(234,338		)	—			594			638			(55		)	(12,689		)
Total realized and unrealized gains (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
Nine months ended September 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	—			—			—		—			655			—			655
Issuances	961,642			(981,730		)	—		(54,601		)	—			(2,131		)	(76,820		)
Sales	—			—			—		—			—			(541		)	(541		)
Transfers to Real estate (Other assets)	(1,335		)	—			—		—			—			—			(1,335		)
Settlements (1)	(311,560		)	287,908			—		52,963			(445		)	—			28,866
	648,747			(693,822		)	—		(1,638		)	210			(2,672		)	(49,175		)
Total realized and unrealized gains (losses) included in earnings (2)	245,297			(230,674		)	985		31,502			(207		)	(78,437		)	(31,534		)
Transfers in and / or out of Level 3	—			—			—		—			—			—			—
Ending Balance	$	4,459,760		$	(4,358,277	)	$	9,327	$	(447,843	)	$	1,839		$	598,147		$	262,953



	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 (1)	(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 (losses) included in earnings (2)	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


(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 losses attributable to derivative financial instruments still held at September 30, 2017 and September 30, 2016 were $0.2 million and $0.5 million for the nine months ended September 30, 2017 and 2016, respectively. Total losses attributable to MSRs still held at September 30, 2017 and September 30, 2016 were $78.4 million and $62.4 million for the nine months ended September 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:



	September 30, 2017		December 31, 2016
Life in years
Range	6.1 to 6.9		5.5 to 8.7
Weighted average	6.4		6.1
Conditional repayment rate
Range	5.7% to 53.8%		5.2% to 53.8%
Weighted average	12.9	%	20.9	%
Discount rate	2.7	%	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:



	September 30, 2017			December 31, 2016
Weighted average prepayment speed	9.5		%	8.9		%
Weighted average delinquency rate	12.0		%	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	9.2		%	8.9		%
Weighted average cost to service (in dollars)	$	99		$	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:



	September 30, 2017						December 31, 2016
	Agency			Non-Agency			Agency			Non-Agency
Weighted average prepayment speed	8.8		%	16.5		%	8.4		%	16.5		%
Weighted average delinquency rate	0.7		%	29.7		%	1.0		%	29.3		%
Advance financing cost	5-year swap			5-yr swap plus 2.75%			5-year swap			1-Month LIBOR (1ML) plus 3.5%
Interest rate for computing float earnings	5-year swap			5-yr swap minus .50%			5-year swap			1ML
Weighted average discount rate	9.0		%	12.6		%	9.0		%	14.9		%
Weighted average cost to service (in dollars)	$	63		$	312		$	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:



	September 30, 2017		December 31, 2016
Weighted average life in months	2.2		2.7
Average note rate	8.3	%	8.3	%
Discount rate	10.0	%	10.0	%
Loan loss rate	19.2	%	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:



	September 30, 2017		December 31, 2016
Life in years
Range	6.1 to 6.9		4.5 to 8.7
Weighted average	6.4		5.1
Conditional repayment rate
Range	5.7% to 53.8%		5.2% to 53.8%
Weighted average	12.9	%	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:



	September 30, 2017			December 31, 2016
Weighted average prepayment speed	17.0		%	17.0		%
Weighted average delinquency rate	30.5		%	29.8		%
Advance financing cost	5-yr swap plus 2.75%			1ML plus 3.5%
Interest rate for computing float earnings	5-yr swap minus .50%			1ML
Weighted average discount rate	13.3		%	14.9		%
Weighted average cost to service (in dollars)	$	320		$	313