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Fair Value (Tables)
 6 Months Ended
Jun. 30, 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:
 
 
 
June 30, 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
 
$
153,906

 
$
153,906

 
$
214,262

 
$
214,262

Loans held for sale, at lower of cost or fair value (b)
3
 
55,547

 
55,547

 
24,096

 
24,096

 
 
 
June 30, 2018
 
December 31, 2017
 
Level
 
Carrying Value
 
Fair Value
 
Carrying Value
 
Fair Value
Total Loans held for sale
 
 
$
209,453

 
$
209,453

 
$
238,358

 
$
238,358

 
 
 
 
 
 
 
 
 
 
Loans held for investment (a)
3
 
$
5,143,758

 
$
5,143,758

 
$
4,715,831

 
$
4,715,831

Advances (including match funded) (c)
3
 
1,167,713

 
1,167,713

 
1,356,393

 
1,356,393

Automotive dealer financing notes (including match funded) (c)
3
 
22

 
22

 
32,757

 
32,590

Receivables, net (c)
3
 
178,678

 
178,678

 
199,529

 
199,529

Mortgage-backed securities, at fair value (a)
3
 
1,732

 
1,732

 
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
 
$
750,694

 
$
745,539

 
$
998,618

 
$
992,698

Financing liabilities:
 
 
 
 
 
 
 
 
 
HMBS-related borrowings, at fair value (a)
3
 
$
5,040,983

 
$
5,040,983

 
$
4,601,556

 
$
4,601,556

Financing liability - MSRs pledged, at fair value (a)
3
 
672,619

 
672,619

 
508,291

 
508,291

Other (c)
3
 
74,884

 
59,608

 
85,227

 
65,202

Total Financing liabilities
 
 
$
5,788,486

 
$
5,773,210

 
$
5,195,074

 
$
5,175,049

Other secured borrowings:
 
 
 
 
 
 
 
 
 
Senior secured term loan (c) (d)
2
 
$
233,786

 
$
240,475

 
$
290,068

 
$
299,741

Other (c)
3
 
106,632

 
106,632

 
255,782

 
255,782

Total Other secured borrowings
 
 
$
340,418

 
$
347,107

 
$
545,850

 
$
555,523

 
 
 
 
 
 
 
 
 
 
Senior notes:
 
 
 
 
 
 
 
 
 
Senior unsecured notes (c) (d)
2
 
$
3,122

 
$
3,138

 
$
3,122

 
$
2,872

Senior secured notes (c) (d)
2
 
344,490

 
356,987

 
344,216

 
355,550

Total Senior notes
 
 
$
347,612

 
$
360,125

 
$
347,338

 
$
358,422

 
 
 
 
 
 
 
 
 
 
Derivative financial instrument assets (liabilities), at fair value (a)
 
 
 

 
 

 
 

 
 

Interest rate lock commitments
2
 
$
3,315

 
$
3,315

 
$
3,283

 
$
3,283

Forward mortgage-backed securities
1
 
(2,422
)
 
(2,422
)
 
(545
)
 
(545
)
Interest rate caps
3
 
1,657

 
1,657

 
2,056

 
2,056

 
 
 
 
 
 
 
 
 
 
Mortgage servicing rights
 
 
 
 
 
 
 
 
 
Mortgage servicing rights, at fair value (a)
3
 
$
1,043,995

 
$
1,043,995

 
$
671,962

 
$
671,962

Mortgage servicing rights, at amortized cost (c) (e)
3
 
—

 
—

 
336,882

 
418,745

Total Mortgage servicing rights
 
 
$
1,043,995

 
$
1,043,995

 
$
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 June 30, 2018
Beginning balance
$
4,988,151

 
$
(4,838,193
)
 
$
1,679

 
$
(715,924
)
 
$
1,866

 
$
1,074,247

 
$
511,826

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 

 
 

 
 

Purchases
—

 
—

 
—

 
—

 
95

 
3,507

 
3,602

Issuances
236,386

 
(276,751
)
 
—

 
—

 
—

 
(617
)
 
(40,982
)
Sales
—

 
—

 
—

 
—

 
—

 
(24
)
 
(24
)
Settlements
(103,497
)
 
100,737

 
—

 
49,962

 
—

 
—

 
47,202

Transfers (to) from:
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans held for sale, at fair value
(257
)
 
—

 
—

 
—

 
—

 
—

 
(257
)
Other assets
(33
)
 
—

 
—

 
—

 
—

 
—

 
(33
)
Receivables, net
(22
)
 
—

 
—

 
—

 
—

 
—

 
(22
)
 
132,577

 
(176,014
)
 
—

 
49,962

 
95

 
2,866

 
9,486

Total realized and unrealized gains (losses) included in earnings
 
 
 
 
 
 
 
 
 
 
 
 
 
Change in fair value
23,030

 
(26,776
)
 
53

 
(8,069
)
 
(304
)
 
(33,118
)
 
(45,184
)
Calls and other
—

 
—

 
—

 
1,412

 
—

 
—

 
1,412

 
23,030

 
(26,776
)
 
53

 
(6,657
)
 
(304
)
 
(33,118
)
 
(43,772
)
Transfers in and / or out of Level 3
—

 
—

 
—

 
—

 
—

 
—

 
—

Ending balance
$
5,143,758

 
$
(5,040,983
)
 
$
1,732

 
$
(672,619
)
 
$
1,657

 
$
1,043,995

 
$
477,540

 
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
)
Settlements
(112,279
)
 
101,132

 
—

 
16,194

 
(42
)
 
—

 
5,005

Transfers (to) from:
 
 
 
 
 
 
 
 
 
 
 
 
 
Other assets
(1,423
)
 
—

 
—

 
—

 
—

 
—

 
(1,423
)
 
237,690

 
(256,572
)
 
—

 
16,194

 
(42
)
 
(713
)
 
(3,443
)
Total realized and unrealized gains (losses) included in earnings
 
 
 
 
 
 
 
 
 
 
 
 
 
Change in fair value
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
Six months ended June 30, 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
—

 
—

 
—

 
—

 
95

 
5,885

 
5,980

Issuances
487,472

 
(499,576
)
 
—

 
(279,586
)
 
—

 
(2,375
)
 
(294,065
)
Sales
—

 
—

 
—

 
—

 
—

 
(155
)
 
(155
)
Settlements
(186,216
)
 
181,548

 
—

 
104,509

 
(371
)
 
—

 
99,470

Transfers (to) from:
 
 
 
 
 
 
 
 
 
 
 
 
 
MSRs carried at amortized cost, net of valuation allowance
—

 
—

 
—

 
—

 
—

 
418,925

 
418,925

Loans held for sale, at fair value
(441
)
 
—

 
—

 
—

 
—

 
—

 
(441
)
Other assets
(137
)
 
—

 
—

 
—

 
—

 
—

 
(137
)
Receivables, net
(72
)
 
—

 
—

 
—

 
—

 
—

 
(72
)
 
300,606

 
(318,028
)
 
—

 
(175,077
)
 
(276
)
 
422,280

 
229,505

Total realized and unrealized gains (losses) included in earnings
 
 
 
 
 
 
 
 
 
 
 
 


Change in fair value
127,321

 
(121,399
)
 
140

 
8,642

 
(123
)
 
(50,247
)
 
(35,666
)
Calls and other
—

 
—

 
—

 
2,107

 
—

 
—

 
2,107

 
127,321

 
(121,399
)
 
140

 
10,749

 
(123
)
 
(50,247
)
 
(33,559
)
Transfers in and / or out of Level 3
—

 
—

 
—

 
—

 
—

 
—

 
—

Ending Balance
$
5,143,758

 
$
(5,040,983
)
 
$
1,732

 
$
(672,619
)
 
$
1,657

 
$
1,043,995

 
$
477,540

 
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
)
Settlements
(192,569
)
 
176,231

 
—

 
33,193

 
(42
)
 
—

 
16,813

Transfers (to) from:
 
 
 
 
 
 
 
 
 
 
 
 
 
Other assets
(1,423
)
 
—

 
—

 
—

 
—

 
—

 
(1,423
)
 
504,481

 
(488,222
)
 
—

 
33,193

 
(42
)
 
(1,647
)
 
47,763

Total realized and unrealized gains (losses) included in earnings
 
 
 
 
 
 
 
 
 
 
 
 


Change in fair value
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 [Member]  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule of Significant Assumptions used in Valuation
Significant valuation assumptions
June 30,
2018
 
December 31, 2017
Life in years
 
 
 
Range
3.3 to 9.0

 
4.4 to 8.1

Weighted average
5.9

 
6.4

Conditional repayment rate
 
 
 
Range
6.1% to 45.8%

 
5.4% to 51.9%

Weighted average
14.4
%
 
13.1
%
Discount rate
3.5
%
 
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
June 30, 2018
 
December 31, 2017
Agency (1)
 
Non-Agency
 
Agency
 
Non-Agency
Weighted average prepayment speed
8.0
%
 
15.8
%
 
8.1
%
 
16.6
%
Weighted average delinquency rate
10.3
%
 
27.6
%
 
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 0.50%

 
5-year swap

 
5-yr swap minus 0.50%

Weighted average discount rate
9.0
%
 
12.9
%
 
9.0
%
 
13.0
%
Weighted average cost to service (in dollars)
$
106

 
$
301

 
$
64

 
$
305

(1)
Valuation assumptions for Agency MSRs at June 30, 2018 include assumptions for MSRs we carried at amortized cost at December 31, 2017.
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
June 30,
2018
 
December 31, 2017
Life in years
 
 
 
Range
3.3 to 9.0

 
4.4 to 8.1

Weighted average
5.9

 
6.4

Conditional repayment rate
 
 
 
Range
6.1% to 45.8%

 
5.4% to 51.9%

Weighted average
14.4
%
 
13.1
%
Discount rate
3.4
%
 
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
June 30, 2018
 
December 31, 2017
Weighted average prepayment speed
16.2
%
 
17.0
%
Weighted average delinquency rate
28.1
%
 
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 0.50%

 
5-year swap minus 0.50%

Weighted average discount rate
13.8
%
 
13.7
%
Weighted average cost to service (in dollars)
$
307

 
$
311