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Fair Value (Tables)

3 Months Ended

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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