Fair Value (Tables)

12 Months Ended

Dec. 31, 2017

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:



		December 31,
		2017						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	$	214,262		$	214,262		$	284,632		$	284,632
Loans held for sale, at lower of cost or fair value (b)	3	24,096			24,096			29,374			29,374
Total Loans held for sale		$	238,358		$	238,358		$	314,006		$	314,006
Loans held for investment (a)	3	$	4,715,831		$	4,715,831		$	3,565,716		$	3,565,716
Advances (including match funded) (c)	3	1,356,393			1,356,393			1,709,846			1,709,846
Automotive dealer financing notes (including match funded) (c)	3	32,757			32,590			33,224			33,147
Receivables, net (c)	3	199,529			199,529			265,720			265,720
Mortgage-backed securities, at fair value (a)	3	1,592			1,592			8,342			8,342
U.S. Treasury notes (a)	1	1,567			1,567			2,078			2,078

Financial liabilities:
Match funded liabilities (c)	3	$	998,618		$	992,698		$	1,280,997		$	1,275,059
Financing liabilities:
HMBS-related borrowings, at fair value (a)	3	$	4,601,556		$	4,601,556		$	3,433,781		$	3,433,781
Financing liability - MSRs pledged, at fair value (a)	3	508,291			508,291			477,707			477,707
Other (c)	3	85,227			65,202			101,321			81,805
Total Financing liabilities		$	5,195,074		$	5,175,049		$	4,012,809		$	3,993,293
Other secured borrowings:
Senior secured term loan (c) (d)	2	$	290,068		$	299,741		$	323,514		$	327,674
Other (c)	3	255,782			255,782			355,029			355,029
Total Other secured borrowings		$	545,850		$	555,523		$	678,543		$	682,703

Senior notes:
Senior unsecured notes (c) (d)	2	$	3,122		$	2,872		$	3,094		$	3,048
Senior secured notes (c) (d)	2	344,216			355,550			343,695			352,255
Total Senior notes		$	347,338		$	358,422		$	346,789		$	355,303

Derivative financial instrument assets (liabilities), at fair value (a):
Interest rate lock commitments	2	$	3,283		$	3,283		$	6,507		$	6,507
Forward mortgage-backed securities	1	(545		)	(545		)	(614		)	(614		)
Interest rate caps	3	2,056			2,056			1,836			1,836

Mortgage servicing rights:
Mortgage servicing rights, at fair value (a)	3	$	671,962		$	671,962		$	679,256		$	679,256
Mortgage servicing rights, at amortized cost (c) (e)	3	336,882			418,745			363,722			467,911
Total Mortgage servicing rights		$	1,008,844		$	1,090,707		$	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 12 — 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 $24.8 million, the carrying value of the impaired stratum at December 31, 2017 was $158.0 million. At December 31, 2016, the carrying value of this stratum was $172.9 million before applying the valuation allowance of $28.2 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			Derivatives			MSRs			Total
Year Ended December 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	—			—			—			—			655			—			655
Issuances (1)	1,277,615			(1,281,543		)	—			(54,601		)	—			(2,214		)	(60,743		)
Sales	—			—			—			—			—			(540		)	(540		)
Transfers to Loans held for sale - Fair value	(3,803		)	—			—			—			—			—			(3,803		)
Transfers to Receivables	(3,583		)	—			—			—			—			—			(3,583		)
Transfers to Other assets	(1,929		)	—			—			—			—			—			(1,929		)
Settlements	(444,388		)	418,503			—			59,190			(445		)	—			32,860
	823,912			(863,040		)	—			4,589			210			(2,754		)	(37,083		)
Total realized and unrealized gains (losses) (2)
Included in earnings (1):
Change in fair value	326,203			(304,735		)	(6,750		)	(41,282		)	10			(4,540		)	(31,094		)
Calls and other	—			—			—			6,109			—			—			6,109
Included in Other comprehensive income	—			—			—			—			—			—			—
	326,203			(304,735		)	(6,750		)	(35,173		)	10			(4,540		)	(24,985		)
Transfers in and / or out of Level 3	—			—			—			—			—			—			—
Ending balance	$	4,715,831		$	(4,601,556	)	$	1,592		$	(508,291	)	$	2,056		$	671,962		$	281,594



	Loans Held for Investment - Reverse Mortgages			HMBS-Related Borrowings			Mortgage-Backed Securities		Financing Liability - MSRs Pledged			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	(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 (losses) (2)
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			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	(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 (losses)
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

(1)

On September 1, 2017, Ocwen transferred MSRs with UPB of $15.9 billion to NRZ and received a lump-sum payment of $54.6 million. The fair value of the portion of the Financing Liability - MSRs Pledged recognized in connection with the transfer declined $42.0 million in 2017 primarily due to $37.6 million recognized at the time of the initial transfer of the MSRs, which had a contractual servicing fee rate of 33.4 bps as compared to the weighted average of 47.1 bps for the loan characteristics used to determine the lump sum payment. See Note 8 — Rights to MSRs.


(2)	Total gains (losses) attributable to derivative financial instruments still held at December 31, 2017 and 2016 were $0.1 million, $0.3 million and $(1.0) million for 2017, 2016 and 2015, respectively. Total losses for 2017, 2016 and 2015 attributable to MSRs still held at December 31, 2017, 2016 and 2015 were $4.5 million, $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



	December 31,
Significant valuation assumptions	2017		2016
Life in years
Range	4.4 to 8.1		5.5 to 8.7
Weighted average	6.4		6.1
Conditional repayment rate
Range	5.4% to 51.9%		5.2% to 53.8%
Weighted average	13.1	%	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



	December 31,
Significant valuation assumptions	2017			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	9.2		%	8.9		%
Weighted average cost to service (in dollars)	$	108		$	108

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



	December 31,
Significant valuation assumptions	2017						2016
	Agency			Non-Agency			Agency			Non-Agency
Weighted average prepayment speed	8.1		%	16.6		%	8.4		%	16.5		%
Weighted average delinquency rate	1.0		%	28.5		%	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 0.50%			5-year swap			1ML
Weighted average discount rate	9.0		%	13.0		%	9.0		%	14.9		%
Weighted average cost to service (in dollars)	$	64		$	305		$	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



	December 31,
Significant valuation assumptions	2017		2016
Weighted average life in months	2.2		2.7
Average note rate	8.5	%	8.3	%
Discount rate	10.0	%	10.0	%
Loan loss rate	21.5	%	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



	December 31,
Significant valuation assumptions	2017		2016
Life in years
Range	4.4 to 8.1		4.5 to 8.7
Weighted average	6.4		5.1
Conditional repayment rate
Range	5.4% to 51.9%		5.2% to 53.8%
Weighted average	13.1	%	20.9	%
Discount rate	3.1	%	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



	December 31,
Significant valuation assumptions	2017			2016
Weighted average prepayment speed	17.0		%	17.0		%
Weighted average delinquency rate	28.9		%	29.8		%
Advance financing cost	5-year swap plus 2.75%			1ML plus 3.5%
Interest rate for computing float earnings	5-year swap minus 0.50%			1ML
Weighted average discount rate	13.7		%	14.9		%
Weighted average cost to service (in dollars)	$	311		$	313