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Fair Value (Tables)

3 Months Ended

Mar. 31, 2019

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 measured, at fair value are as follows:

			March 31, 2019								December 31, 2018
	Level		Carrying Value				Fair Value				Carrying Value				Fair Value
Financial assets
Loans held for sale
Loans held for sale, at fair value (a)	2		$	153,140			$	153,140			$	176,525			$	176,525
Loans held for sale, at lower of cost or fair value (b)	3		69,547				69,547				66,097				66,097
Total Loans held for sale			$	222,687			$	222,687			$	242,622			$	242,622

			March 31, 2019								December 31, 2018
	Level		Carrying Value				Fair Value				Carrying Value				Fair Value
Loans held for investment
Loans held for investment - Reverse mortgages (a)	3		$	5,726,917			$	5,726,917			$	5,472,199			$	5,472,199
Loans held for investment - Restricted for securitization investors (a)	3		26,237				26,237				26,520				26,520
Total loans held for investment			$	5,753,154			$	5,753,154			$	5,498,719			$	5,498,719
Advances (including match funded) (c)	3		$	1,094,080			$	1,094,080			$	1,186,676			$	1,186,676
Receivables, net (c)	3		197,043				197,043				198,262				198,262
Mortgage-backed securities (a)	3		1,786				1,786				1,502				1,502
U.S. Treasury notes (a)	1		1,068				1,068				1,064				1,064
Corporate bonds (a)	2		446				446				450				450
Financial liabilities:
Match funded liabilities (c)	3		$	649,384			$	649,121			$	778,284			$	776,485
Financing liabilities:
HMBS-related borrowings (a)	3		$	5,614,688			$	5,614,688			$	5,380,448			$	5,380,448
Financing liability - MSRs pledged (a)	3		951,216				951,216				1,032,856				1,032,856
Financing liability - Owed to securitization investors (a)	3		24,562				24,562				24,815				24,815
Other (c)	3		67,920				51,980				69,942				53,570
Total Financing liabilities			$	6,658,386			$	6,642,446			$	6,508,061			$	6,491,689
Other secured borrowings:
Senior secured term loan (c) (d)	2		$	338,943			$	344,710			$	226,825			$	227,449
Other (c)	3		98,039				98,039				155,713				155,713
Total Other secured borrowings			$	436,982			$	442,749			$	382,538			$	383,162
Senior notes:
Senior unsecured notes (c) (d)	2		$	119,224			$	115,657			$	119,924			$	119,258
Senior secured notes (c) (d)	2		328,919				315,261				328,803				306,889
Total Senior notes			$	448,143			$	430,918			$	448,727			$	426,147
Derivative financial instrument assets (liabilities)
Interest rate lock commitments (a)	2		$	3,982			$	3,982			$	3,871			$	3,871
Forward mortgage-backed securities (a)	1		(4,126		)		(4,126		)		(4,983		)		(4,983		)
Interest rate caps (a)	3		276				276				678				678
Mortgage servicing rights (a)	3		$	1,400,191			$	1,400,191			$	1,457,149			$	1,457,149

(a) Measured at fair value on a recurring basis.

(b) Measured at fair value on a non-recurring basis.

(c) Disclosed, but not measured, at fair value. 

(d) The carrying values are net of unamortized debt issuance costs and discount. See Note 13 – Borrowings for additional information.

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				Loans Held for Inv. - Restricted for Securitiza- tion Investors				Financing Liability - Owed to Securit - ization Investors				Mortgage-Backed Securities				Financing Liability - MSRs Pledged				Derivatives				MSRs
Three months ended March 31, 2019
Beginning balance	$	5,472,199			$	(5,380,448	)		$	26,520			$	(24,815	)		$	1,502			$	(1,032,856	)		$	678			$	1,457,149
Purchases, issuances, sales and settlements
Purchases	—				—				—				—				—				(577		)		—				55,920
Issuances	209,264				(210,563		)		—				—				—				—				—				—
Sales	—				—				—				—				—				—				—				(567		)
Settlements	(104,630		)		102,389				(283		)		253				—				50,129				—				(3,313		)
Transfers (to) from:
Loans held for sale, at fair value	(396		)		—				—				—				—				—				—				—
Other assets	(119		)		—				—				—				—				—				—				—
Receivables, net	(68		)		—				—				—				—				—				—				—
	104,051				(108,174		)		(283		)		253				—				49,552				—				52,040
Total realized and unrealized gains (losses)
Included in earnings:
Change in fair value (1)	150,667				(126,066		)		—				—				284				26,237				(402		)		(108,998		)
Calls and other	—				—				—				—				—				5,851				—				—
Included in Other comprehensive income	—				—												—				—				—				—
	150,667				(126,066		)		—				—				284				32,088				(402		)		(108,998		)
Transfers in and / or out of Level 3	—				—				—				—				—				—				—				—
Ending balance	$	5,726,917			$	(5,614,688	)		$	26,237			$	(24,562	)		$	1,786			$	(951,216	)		$	276			$	1,400,191

	Loans Held for Investment - Reverse Mortgages				HMBS-Related Borrowings				Mortgage-Backed Securities				Financing Liability - MSRs Pledged				Derivatives				MSRs
Three months ended March 31, 2018
Beginning balance	$	4,715,831			$	(4,601,556	)		$	1,592			$	(508,291	)		$	2,056			$	671,962
Purchases, issuances, sales and settlements
Purchases	—				—				—				—				—				2,378
Issuances	251,086				(222,825		)		—				(279,586		)		—				(1,758		)
Sales	—				—				—				—				—				(131		)
Settlements	(82,719		)		80,811				—				54,547				(371		)		—
Transfers (to) from:
MSRs carried at amortized cost, net of valuation allowance	—				—				—				—				—				418,925
Loans held for sale, at fair value	(184		)		—				—				—				—				—
Other assets	(104		)		—				—				—				—				—
Receivables, net	(50		)		—				—				—				—				—
	168,029				(142,014		)		—				(225,039		)		(371		)		419,414
Total realized and unrealized gains (losses)
Included in earnings:
Change in fair value	104,291				(94,623		)		87				16,712				181				(17,129		)
Calls and other	—				—				—				694				—				—
Included in Other comprehensive income	—				—				—				—				—				—
	104,291				(94,623		)		87				17,406				181				(17,129		)
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

(1) The Change in fair value adjustments on Loans held for investment for the three months ended March 31, 2019 include $2.9 million in connection with the fair value election for future draw commitments on HECM reverse mortgage loans purchased or originated after December 31, 2018.

Summary of Estimated Change in the Value of MSRs Carried at Fair Value

The following table summarizes the estimated change in the value of the MSRs that we carry at fair value as of March 31, 2019 given 10% and 20% hypothetical shifts in prepayment speeds and interest rate assumptions:

Adverse change in fair value	10%				20%
Weighted average prepayment speeds	$	(127,188	)		$	(245,678	)
Weighted average discount rate	(39,816		)		(77,754		)

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, 2019			December 31, 2018
Life in years
Range	3.2 to 7.5			3.0 to 7.6
Weighted average	6.0			5.9
Conditional repayment rate
Range	6.8% to 36.1%			6.8% to 38.4%
Weighted average	14.4	%		14.7	%
Discount rate	3.1	%		3.4	%

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, 2019								December 31, 2018
	Agency				Non-Agency				Agency				Non-Agency
Weighted average prepayment speed	9.8		%		15.4		%		8.5		%		15.4		%
Weighted average delinquency rate	6.5		%		27.2		%		6.6		%		27.1		%
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		%		12.7		%		9.1		%		12.8		%
Weighted average cost to service (in dollars)	$	89			$	297			$	90			$	297

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, 2019			December 31, 2018
Life in years
Range	3.2 to 7.5			3.0 to 7.6
Weighted average	6.0			5.9
Conditional repayment rate
Range	6.8% to 36.1%			6.8% to 38.4%
Weighted average	14.4	%		14.7	%
Discount rate	3.1	%		3.3	%

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, 2019				December 31, 2018
Weighted average prepayment speed	14.3		%		13.9		%
Weighted average delinquency rate	20.3		%		20.3		%
Advance financing cost	5-year swap plus 0% to 2.75%				5-year swap plus 0% to 2.75%
Interest rate for computing float earnings	5-year swap minus 0% to 0.50%				5-year swap minus 0% to 0.50%
Weighted average discount rate	11.9		%		12.0		%
Weighted average cost to service (in dollars)	$	233			$	234

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