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Fair Value (Tables)
 6 Months Ended
Jun. 30, 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:
 
 
 
June 30, 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
 
$
135,691

 
$
135,691

 
$
176,525

 
$
176,525

Loans held for sale, at lower of cost or fair value (b)
3
 
60,380

 
60,380

 
66,097

 
66,097

Total Loans held for sale
 
 
$
196,071

 
$
196,071

 
$
242,622

 
$
242,622

 
 
 
 
 
 
 
 
 
 
Loans held for investment
 
 
 
 
 
 
 
 
 
Loans held for investment - Reverse mortgages (a)
3
 
$
5,872,407

 
$
5,872,407

 
$
5,472,199

 
$
5,472,199

Loans held for investment - Restricted for securitization investors (a)
3
 
25,324

 
25,324

 
26,520

 
26,520

Total loans held for investment
 
 
$
5,897,731

 
$
5,897,731

 
$
5,498,719

 
$
5,498,719

 
 
 
 
 
 
 
 
 
 
Advances (including match funded), net (c)
3
 
$
1,104,499

 
$
1,104,499

 
$
1,186,676

 
$
1,186,676

Receivables, net (c)
3
 
187,985

 
187,985

 
198,262

 
198,262

Mortgage-backed securities (a)
3
 
2,014

 
2,014

 
1,502

 
1,502

U.S. Treasury notes (a)
1
 
1,073

 
1,073

 
1,064

 
1,064

Corporate bonds (a)
2
 
450

 
450

 
450

 
450

 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 

 
 

 
 

 
 

Match funded liabilities (c)
3
 
$
671,796

 
$
673,168

 
$
778,284

 
$
776,485

Financing liabilities:
 
 
 
 
 
 
 
 
 
HMBS-related borrowings (a)
3
 
$
5,745,383

 
$
5,745,383

 
$
5,380,448

 
$
5,380,448

Financing liability - MSRs pledged (a)
3
 
844,913

 
844,913

 
1,032,856

 
1,032,856

Financing liability - Owed to securitization investors (a)
3
 
23,697

 
23,697

 
24,815

 
24,815

Other (c)
3
 
62,841

 
45,470

 
69,942

 
53,570

Total Financing liabilities
 
 
$
6,676,834

 
$
6,659,463

 
$
6,508,061

 
$
6,491,689

Other secured borrowings:
 
 
 
 
 
 
 
 
 
Senior secured term loan (c) (d)
2
 
$
333,552

 
$
338,150

 
$
226,825

 
$
227,449

Other (c)
3
 
182,929

 
182,929

 
155,713

 
155,713

Total Other secured borrowings
 
 
$
516,481

 
$
521,079

 
$
382,538

 
$
383,162

 
 
 
 
 
 
 
 
 
 
 
 
 
June 30, 2019
 
December 31, 2018
 
Level
 
Carrying Value
 
Fair Value
 
Carrying Value
 
Fair Value
Senior notes:
 
 
 
 
 
 
 
 
 
Senior unsecured notes (c) (d)
2
 
$
118,524

 
$
113,540

 
$
119,924

 
$
119,258

Senior secured notes (c) (d)
2
 
329,053

 
276,283

 
328,803

 
306,889

Total Senior notes
 
 
$
447,577

 
$
389,823

 
$
448,727

 
$
426,147

 
 
 
 
 
 
 
 
 
 
Derivative financial instrument assets (liabilities)
 
 
 

 
 

 
 

 
 

Interest rate lock commitments (a)
2
 
$
4,105

 
$
4,105

 
$
3,871

 
$
3,871

Forward mortgage-backed securities (a)
1
 
(3,863
)
 
(3,863
)
 
(4,983
)
 
(4,983
)
Interest rate caps (a)
3
 
47

 
47

 
678

 
678

 
 
 
 
 
 
 
 
 
 
MSRs (a)
3
 
$
1,312,633

 
$
1,312,633

 
$
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 June 30, 2019
Beginning balance
$
5,726,917

 
$
(5,614,688
)
 
$
26,237

 
$
(24,562
)
 
$
1,786

 
$
(951,216
)
 
$
276

 
$
1,400,191

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 
 
 
 
 

 
 

Purchases
—

 
—

 
—

 
—

 
—

 
—

 
—

 
61,080

Issuances
217,757

 
(214,543
)
 
—

 
—

 
—

 
(299
)
 
—

 
—

Sales
—

 
—

 
—

 
—

 
—

 
—

 
—

 
(3
)
Settlements
(127,884
)
 
125,626

 
(913
)
 
865

 
—

 
53,288

 
—

 
(1,367
)
Transfers (to) from:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans held for sale, at fair value
(488
)
 
—

 
—

 
—

 
—

 
—

 
—

 
—

Other assets
(36
)
 
—

 
—

 
—

 
—

 
—

 
—

 
—

Receivables, net
(45
)
 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
89,304

 
(88,917
)
 
(913
)
 
865

 
—

 
52,989

 
—

 
59,710

Total realized and unrealized gains (losses)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Included in earnings:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Change in fair value (1)
56,186

 
(41,778
)
 
—

 
—

 
228

 
50,745

 
(229
)
 
(147,268
)
Calls and other
—

 
—

 
—

 
—

 
—

 
2,569

 
—

 
—

 
56,186

 
(41,778
)
 
—

 
—

 
228

 
53,314

 
(229
)
 
(147,268
)
Transfers in and / or out of Level 3
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Ending balance
$
5,872,407

 
$
(5,745,383
)
 
$
25,324

 
$
(23,697
)
 
$
2,014

 
$
(844,913
)
 
$
47

 
$
1,312,633

 
Loans Held for Investment - Reverse Mortgages
 
HMBS-Related Borrowings
 
Mortgage-Backed Securities
 
Financing Liability - MSRs Pledged
 
Derivatives
 
MSRs
Three months ended June 30, 2018
Beginning balance
$
4,988,151

 
$
(4,838,193
)
 
$
1,679

 
$
(715,924
)
 
$
1,866

 
$
1,074,247

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 
 
 
Purchases
—

 
—

 
—

 
—

 
95

 
3,507

Issuances
236,386

 
(276,751
)
 
—

 
—

 
—

 
(617
)
Sales
—

 
—

 
—

 
—

 
—

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

 
—

 
49,962

 
—

 
—

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

 
—

 
—

 
—

 
—

Other assets
(33
)
 
—

 
—

 
—

 
—

 
—

Receivables, net
(22
)
 
—

 
—

 
—

 
—

 
—

 
132,577

 
(176,014
)
 
—

 
49,962

 
95

 
2,866

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

 
(26,776
)
 
53

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

 
—

 
—

 
1,412

 
—

 
—

 
23,030

 
(26,776
)
 
53

 
(6,657
)
 
(304
)
 
(33,118
)
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



 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans Held for Investment - Reverse Mortgages
 
HMBS-Related Borrowings
 
Loans Held for Inv. - Restricted for Securitiza-
tion Investors
 
Financing Liability - Owed to Securiti-
zation Investors
 
Mortgage-backed Securities
 
Financing Liability - MSRs Pledged
 
Derivatives
 
MSRs
Six months ended June 30, 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
—

 
—

 
—

 
—

 
—

 
(876
)
 
—

 
117,000

Issuances
427,021

 
(425,106
)
 
—

 
—

 
—

 
—

 
—

 
—

Sales
—

 
—

 
—

 
—

 
—

 
—

 
—

 
(570
)
Settlements
(232,514
)
 
228,015

 
(1,196
)
 
1,118

 
—

 
103,417

 
—

 
(4,680
)
Transfers (to) from:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans held for sale, at fair value
(884
)
 
—

 
—

 
—

 
—

 
—

 
—

 
—

Other assets
(155
)
 
—

 
—

 
—

 
—

 
—

 
—

 
—

Receivables, net
(113
)
 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
193,355

 
(197,091
)
 
(1,196
)
 
1,118

 
—

 
102,541

 
—

 
111,750

Total realized and unrealized gains (losses) included in earnings
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Included in earnings:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Change in fair value (1)
206,853

 
(167,844
)
 
—

 
—

 
512

 
76,982

 
(631
)
 
(256,266
)
Calls and other
—

 
—

 
—

 
—

 
—

 
8,420

 
—

 
—

 
206,853

 
(167,844
)
 
—

 
—

 
512

 
85,402

 
(631
)
 
(256,266
)
Transfers in and / or out of Level 3
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Ending balance
$
5,872,407

 
$
(5,745,383
)
 
$
25,324

 
$
(23,697
)
 
$
2,014

 
$
(844,913
)
 
$
47

 
$
1,312,633

 
 
 
 
 
 
 
 
 
 
 
 
 
Loans Held for Investment - Reverse Mortgages
 
HMBS-Related Borrowings
 
Mortgage-backed Securities
 
Financing Liability - MSRs Pledged
 
Derivatives
 
MSRs
Six months ended June 30, 2018
Beginning balance
$
4,715,831

 
$
(4,601,556
)
 
$
1,592

 
$
(508,291
)
 
$
2,056

 
$
671,962

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 

 
 

Purchases
—

 
—

 
—

 
—

 
95

 
5,885

Issuances
487,472

 
(499,576
)
 
—

 
(279,586
)
 
—

 
(2,375
)
Sales
—

 
—

 
—

 
—

 
—

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

 
—

 
104,509

 
(371
)
 
—

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

 
—

 
—

 
—

 
—

 
418,925

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

 
—

 
—

 
—

 
—

Other assets
(137
)
 
—

 
—

 
—

 
—

 
—

Receivables, net
(72
)
 
—

 
—

 
—

 
—

 
—

 
300,606

 
(318,028
)
 
—

 
(175,077
)
 
(276
)
 
422,280

Total realized and unrealized gains (losses) included in earnings
 
 
 
 
 
 
 
 
 
 
 
Included in earnings:
 
 
 
 
 
 
 
 
 
 
 
Change in fair value
127,321

 
(121,399
)
 
140

 
8,642

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

 
—

 
—

 
2,107

 
—

 
—

 
127,321

 
(121,399
)
 
140

 
10,749

 
(123
)
 
(50,247
)
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


(1)
The Change in fair value adjustments on Loans held for investment for the three and six months ended June 30, 2019 include $2.7 million and $5.6 million, respectively, 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 June 30, 2019 given 10% and 20% hypothetical shifts in prepayment speeds and discount rate assumptions:
Adverse change in fair value
10%
 
20%
Weighted average prepayment speeds
$
(130,889
)
 
$
(251,379
)
Weighted average discount rate
(35,280
)
 
(68,984
)
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,
2019
 
December 31,
2018
Life in years
 
 
 
Range
2.9 to 7.8

 
3.0 to 7.6

Weighted average
6.2

 
5.9

Conditional repayment rate
 
 
 
Range
6.9% to 32.4%

 
6.8% to 38.4%

Weighted average
13.9
%
 
14.7
%
Discount rate
2.8
%
 
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
June 30, 2019
 
December 31, 2018
Agency
 
Non-Agency
 
Agency
 
Non-Agency
Weighted average prepayment speed
11.7
%
 
15.5
%
 
8.5
%
 
15.4
%
Weighted average delinquency rate
6.9
%
 
27.2
%
 
6.6
%
 
27.1
%
Advance financing cost
5-year swap

 
5-year swap plus 2.75%

 
5-year swap

 
5-yr swap plus 2.75%

Interest rate for computing float earnings
5-year swap

 
5-year swap minus 0.50%

 
5-year swap

 
5-yr swap minus 0.50%

Weighted average discount rate
9.3
%
 
12.6
%
 
9.1
%
 
12.8
%
Weighted average cost to service (in dollars)
$
86

 
$
295

 
$
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
June 30,
2019
 
December 31, 2018
Life in years
 
 
 
Range
2.9 to 7.8

 
3.0 to 7.6

Weighted average
6.2

 
5.9

Conditional repayment rate
 
 
 
Range
6.9% to 32.4%

 
6.8% to 38.4%

Weighted average
13.9
%
 
14.7
%
Discount rate
2.8
%
 
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
June 30, 2019
 
December 31, 2018
Weighted average prepayment speed
14.6
%
 
13.9
%
Weighted average delinquency rate
19.7
%
 
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)
$
226

 
$
234