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Fair Value (Tables) | 3 Months Ended
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Mar. 31, 2018
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:
|  |  | March 31, 2018 |  | December 31, 2017
| Level |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Financial assets |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value (a) | 2 |  | $ | 125,848 |  |  | $ | 125,848 |  |  | $ | 214,262 |  |  | $ | 214,262 |
Loans held for sale, at lower of cost or fair value (b) | 3 |  | 52,230 |  |  | 52,230 |  |  | 24,096 |  |  | 24,096 |
|  |  | March 31, 2018 |  | December 31, 2017
| Level |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Total Loans held for sale |  |  | $ | 178,078 |  |  | $ | 178,078 |  |  | $ | 238,358 |  |  | $ | 238,358 |
Loans held for investment (a) | 3 |  | $ | 4,988,151 |  |  | $ | 4,988,151 |  |  | $ | 4,715,831 |  |  | $ | 4,715,831 |
Advances (including match funded) (c) | 3 |  | 1,281,877 |  |  | 1,281,877 |  |  | 1,356,393 |  |  | 1,356,393 |
Automotive dealer financing notes (including match funded) (c) | 3 |  | 2,399 |  |  | 2,399 |  |  | 32,757 |  |  | 32,590 |
Receivables, net (c) | 3 |  | 166,518 |  |  | 166,518 |  |  | 199,529 |  |  | 199,529 |
Mortgage-backed securities, at fair value (a) | 3 |  | 1,679 |  |  | 1,679 |  |  | 1,592 |  |  | 1,592 |
U.S. Treasury notes (a) | 1 |  | 1,560 |  |  | 1,560 |  |  | 1,567 |  |  | 1,567 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |
Match funded liabilities (c) | 3 |  | $ | 800,596 |  |  | $ | 793,547 |  |  | $ | 998,618 |  |  | $ | 992,698 |
Financing liabilities: |  |  |  |  |  |  |  |  |
HMBS-related borrowings, at fair value (a) | 3 |  | $ | 4,838,193 |  |  | $ | 4,838,193 |  |  | $ | 4,601,556 |  |  | $ | 4,601,556 |
Financing liability - MSRs pledged, at fair value (a) | 3 |  | 715,924 |  |  | 715,924 |  |  | 508,291 |  |  | 508,291 |
Other (c) | 3 |  | 77,981 |  |  | 62,780 |  |  | 85,227 |  |  | 65,202 |
Total Financing liabilities |  |  | $ | 5,632,098 |  |  | $ | 5,616,897 |  |  | $ | 5,195,074 |  |  | $ | 5,175,049 |
Other secured borrowings: |  |  |  |  |  |  |  |  |
Senior secured term loan (c) (d) | 2 |  | $ | 286,665 |  |  | $ | 297,371 |  |  | $ | 290,068 |  |  | $ | 299,741 |
Other (c) | 3 |  | 155,691 |  |  | 155,691 |  |  | 255,782 |  |  | 255,782 |
Total Other secured borrowings |  |  | $ | 442,356 |  |  | $ | 453,062 |  |  | $ | 545,850 |  |  | $ | 555,523 |
Senior notes: |  |  |  |  |  |  |  |  |
Senior unsecured notes (c) (d) | 2 |  | $ | 3,122 |  |  | $ | 2,768 |  |  | $ | 3,122 |  |  | $ | 2,872 |
Senior secured notes (c) (d) | 2 |  | 344,353 |  |  | 357,718 |  |  | $ | 344,216 |  |  | 355,550 |
Total Senior notes |  |  | $ | 347,475 |  |  | $ | 360,486 |  |  | $ | 347,338 |  |  | $ | 358,422 |
Derivative financial instrument assets (liabilities), at fair value (a) |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate lock commitments | 2 |  | $ | 4,952 |  |  | $ | 4,952 |  |  | $ | 3,283 |  |  | $ | 3,283 |
Forward mortgage-backed securities | 1 |  | (2,169 | ) |  | (2,169 | ) |  | (545 | ) |  | (545 | )
Interest rate caps | 3 |  | 1,866 |  |  | 1,866 |  |  | 2,056 |  |  | 2,056 |
Mortgage servicing rights |  |  |  |  |  |  |  |  |
Mortgage servicing rights, at fair value (a) | 3 |  | $ | 1,074,247 |  |  | $ | 1,074,247 |  |  | $ | 671,962 |  |  | $ | 671,962 |
Mortgage servicing rights, at amortized cost (c) (e) | 3 |  | — |  |  | — |  |  | 336,882 |  |  | 418,745 |
Total Mortgage servicing rights |  |  | $ | 1,074,247 |  |  | $ | 1,074,247 |  |  | $ | 1,008,844 |  |  | $ | 1,090,707 |
(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) | Effective January 1, 2018, we elected fair value accounting for our MSRs previously accounted for using the amortization method, which included Agency MSRs and government-insured MSRs. The balance at December 31, 2017 includes the impaired government-insured stratum of amortization method MSRs, which was measured at fair value on a non-recurring basis and reported net of the valuation allowance. At December 31, 2017, the carrying value of this stratum was $158.0 million before applying the valuation allowance of $24.8 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, 2018
Beginning balance | $ | 4,715,831 |  |  | $ | (4,601,556 | ) |  | $ | 1,592 |  |  | $ | (508,291 | ) |  | $ | 2,056 |  |  | $ | 671,962 |  |  | $ | 281,594 |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 2,378 |  |  | 2,378 |
Issuances | 251,086 |  |  | (222,825 | ) |  | — |  |  | (279,586 | ) |  | — |  |  | (1,758 | ) |  | (253,083 | )
Transfer from MSRs carried at amortized cost, net of valuation allowance | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 336,882 |  |  | 336,882 |
Cumulative effect of MSR fair value election | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 82,043 |  |  | 82,043 |
Transfer to Loans held for sale, at fair value | (184 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (184 | )
Sales | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (131 | ) |  | (131 | )
Transfers to Other assets | (104 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (104 | )
Transfers to Receivables, net | (50 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (50 | )
Settlements | (82,719 | ) |  | 80,811 |  |  | — |  |  | 54,547 |  |  | (371 | ) |  | — |  |  | 52,268 |
| 168,029 |  |  | (142,014 | ) |  | — |  |  | (225,039 | ) |  | (371 | ) |  | 419,414 |  |  | 220,019 |
Total realized and unrealized gains (losses) included in earnings |  |  |  |  |  |  |  |  |  |  |  |  |
Change in fair value | 104,291 |  |  | (94,623 | ) |  | 87 |  |  | 16,712 |  |  | 181 |  |  | (17,129 | ) |  | 9,519 |
Calls and other | — |  |  | — |  |  | — |  |  | 694 |  |  | — |  |  | — |  |  | 694 |
| 104,291 |  |  | (94,623 | ) |  | 87 |  |  | 17,406 |  |  | 181 |  |  | (17,129 | ) |  | 10,213 |
Transfers in and / or out of Level 3 | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Ending balance | $ | 4,988,151 |  |  | $ | (4,838,193 | ) |  | $ | 1,679 |  |  | $ | (715,924 | ) |  | $ | 1,866 |  |  | $ | 1,074,247 |  |  | $ | 511,826 |
| 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 | (80,290 | ) |  | 75,099 |  |  | — |  |  | 16,999 |  |  | — |  |  | — |  |  | 11,808 |
| 266,790 |  |  | (231,650 | ) |  | — |  |  | 16,999 |  |  | — |  |  | (934 | ) |  | 51,205 |
Total realized and unrealized gains (losses) included in earnings |  |  |  |  |  |  |  |  |  |  |  |  |
Change in fair value | 83,881 |  |  | (73,834 | ) |  | 316 |  |  | 1,521 |  |  | 426 |  |  | (26,335 | ) |  | (14,025 | )
Calls and other | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
| 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 [Member] |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
Schedule of Significant Assumptions used in Valuation |
Significant valuation assumptions | March 31, 2018 |  | December 31, 2017
Life in years |  |  |
Range | 3.7 to 8.3 |  |  | 4.4 to 8.1 |
Weighted average | 6.1 |  |  | 6.4 |
Conditional repayment rate |  |  |
Range | 6.0% to 51.2% |  |  | 5.4% to 51.9% |
Weighted average | 14.0 | % |  | 13.1 | %
Discount rate | 2.8 | % |  | 3.2 | %
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 |
Significant valuation assumptions | December 31, 2017
Weighted average prepayment speed | 8.8 | %
Weighted average delinquency rate | 10.9 | %
Advance financing cost | 5-year swap |
Interest rate for computing float earnings | 5-year swap |
Weighted average discount rate | 9.2 | %
Weighted average cost to service (in dollars) | $ | 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 |
Significant valuation assumptions | March 31, 2018 |  | December 31, 2017
Agency (1) |  | Non-Agency |  | Agency |  | Non-Agency
Weighted average prepayment speed | 7.6 | % |  | 16.1 | % |  | 8.1 | % |  | 16.6 | %
Weighted average delinquency rate | 11.1 | % |  | 28.5 | % |  | 1.0 | % |  | 28.5 | %
Advance financing cost | 5-year swap |  |  | 5-yr swap plus 2.75% |  |  | 5-year swap |  |  | 5-yr swap plus 2.75% |
Interest rate for computing float earnings | 5-year swap |  |  | 5-yr swap minus .50% |  |  | 5-year swap |  |  | 5-yr swap minus 0.50% |
Weighted average discount rate | 9.2 | % |  | 12.9 | % |  | 9.0 | % |  | 13.0 | %
Weighted average cost to service (in dollars) | $ | 108 |  |  | $ | 305 |  |  | $ | 64 |  |  | $ | 305 |
(1) | The change in valuation assumptions for Agency MSRs at March 31, 2018, as compared to December 31, 2017, reflects the effects of our fair value election on January 1, 2018 for our remaining MSRs carried at amortized cost.
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 |
Significant valuation assumptions | December 31, 2017
Weighted average life in months | 2.2 |
Average note rate | 8.5 | %
Discount rate | 10.0 | %
Loan loss rate | 21.5 | %
Mortga
HMBS - Related Borrowings [Member] |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
Schedule of Significant Assumptions used in Valuation |
Significant valuation assumptions | March 31, 2018 |  | December 31, 2017
Life in years |  |  |
Range | 3.7 to 8.3 |  |  | 4.4 to 8.1 |
Weighted average | 6.1 |  |  | 6.4 |
Conditional repayment rate |  |  |
Range | 6.0% to 51.2% |  |  | 5.4% to 51.9% |
Weighted average | 14.0 | % |  | 13.1 | %
Discount rate | 2.7 | % |  | 3.1 | %
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 |
Significant valuation assumptions | March 31, 2018 |  | December 31, 2017
Weighted average prepayment speed | 16.5 | % |  | 17.0 | %
Weighted average delinquency rate | 28.9 | % |  | 28.9 | %
Advance financing cost | 5-yr swap plus 2.75% |  |  | 5-year swap plus 2.75% |
Interest rate for computing float earnings | 5-yr swap minus .50% |  |  | 5-year swap minus 0.50% |
Weighted average discount rate | 13.7 | % |  | 13.7 | %
Weighted average cost to service (in dollars) | $ | 311 |  |  | $ | 311 |

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