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Fair Value (Tables)
 6 Months Ended
Jun. 30, 2020
Fair Value Disclosures [Abstract]  
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, 2020
 
December 31, 2019
 
Level
 
Carrying Value
 
Fair Value
 
Carrying Value
 
Fair Value
Financial assets
 
 
 

 
 

 
 

 
 

Loans held for sale
 
 
 
 
 
 
 
 
 
Loans held for sale, at fair value (a) (f)
3, 2
 
$
253,037

 
$
253,037

 
$
208,752

 
$
208,752

Loans held for sale, at lower of cost or fair value (b)
3
 
25,480

 
25,480

 
66,517

 
66,517

Total Loans held for sale
 
 
$
278,517

 
$
278,517

 
$
275,269

 
$
275,269

 
 
 
 
 
 
 
 
 
 
Loans held for investment
 
 
 
 
 
 
 
 
 
Loans held for investment - Reverse mortgages (a)
3
 
$
6,718,992

 
$
6,718,992

 
$
6,269,596

 
$
6,269,596

Loans held for investment - Restricted for securitization investors (a)
3
 
11,664

 
11,664

 
23,342

 
23,342

Total loans held for investment
 
 
$
6,730,656

 
$
6,730,656

 
$
6,292,938

 
$
6,292,938

 
 
 
 
 
 
 
 
 
 
Advances, net (c)
3
 
$
901,009

 
$
901,009

 
$
1,056,523

 
$
1,056,523

Receivables, net (c)
3
 
247,616

 
247,616

 
201,220

 
201,220

Mortgage-backed securities (a)
3
 
1,726

 
1,726

 
2,075

 
2,075

Corporate bonds (a)
2
 
211

 
211

 
441

 
441

 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 

 
 

 
 

 
 

Advance match funded liabilities (c)
3
 
$
612,650

 
$
617,950

 
$
679,109

 
$
679,507

Financing liabilities:
 
 
 
 
 
 
 
 
 
HMBS-related borrowings (a)
3
 
$
6,477,616

 
$
6,477,616

 
$
6,063,435

 
$
6,063,435

Financing liability - MSRs pledged (Rights to MSRs) (a) (e)
3
 
582,558

 
582,558

 
950,593

 
950,593

Financing liability - Owed to securitization investors (a)
3
 
11,664

 
11,664

 
22,002

 
22,002

Total Financing liabilities
 
 
$
7,071,838

 
$
7,071,838

 
$
7,036,030

 
$
7,036,030

Other secured borrowings:
 
 
 
 
 
 
 
 
 
Senior secured term loan (c) (d)
2
 
$
187,986

 
$
172,121

 
$
322,758

 
$
324,643

Other (c)
3
 
659,345

 
629,305

 
703,033

 
686,146

Total Other secured borrowings
 
 
$
847,331

 
$
801,426

 
$
1,025,791

 
$
1,010,789

 
 
 
 
 
 
 
 
 
 
Senior notes:
 
 
 
 
 
 
 
 
 
Senior unsecured notes (c) (d)
2
 
$
21,205

 
$
12,765

 
$
21,046

 
$
13,821

Senior secured notes (c) (d)
2
 
290,279

 
222,276

 
290,039

 
256,201

Total Senior notes
 
 
$
311,484

 
$
235,041

 
$
311,085

 
$
270,022

 
 
 
 
 
 
 
 
 
 
Derivative financial instrument assets (liabilities)
 
 
 

 
 

 
 

 
 

Interest rate lock commitments (a) (g)
3, 2
 
$
17,818

 
$
17,818

 
$
4,878

 
$
4,878

Forward trades - Loans held for sale (a)
1
 
(1,017
)
 
(1,017
)
 
(92
)
 
(92
)
TBA / Forward mortgage-backed securities (MBS) trades and futures - MSR hedging (a)
1
 
5,019

 
5,019

 
1,121

 
1,121

 
 
 
 
 
 
 
 
 
 
MSRs (a) (e)
3
 
$
1,044,914

 
$
1,044,914

 
$
1,486,395

 
$
1,486,395



(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 11 – Borrowings for additional information.
(e)
A rollforward of the beginning and ending balances of MSRs and Financing liability - MSRs pledged that we measure at fair value on a recurring basis is provided in Note 7 – Mortgage Servicing and Note 8 — Rights to MSRs, respectively.
(f)
Loans repurchased from Ginnie Mae securitizations with a fair value of $26.0 million at June 30, 2020 are classified as Level 3. The remaining balance of loans held for sale at fair value at June 30, 2020 is classified as Level 2. The entire balance of Loans held for sale at fair value at December 31, 2019 was classified as Level 2.
(g)
Level 3 at June 30, 2020 and Level 2 at December 31, 2019.
Schedule of Reconciliation of Changes in Fair Value of Level 3 Assets and Liabilities
The following tables present a rollforward of the beginning and ending balances 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
 
Loans Held for Sale - Fair Value
 
Mortgage-Backed Securities
 
IRLCs
Three months ended June 30, 2020
Beginning balance
$
6,568,821

 
$
(6,323,091
)
 
$
22,561

 
$
(21,365
)
 
$
25,582

 
$
1,670

 
$
10,478

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 
 
 
 
 

Purchases
—

 
—

 
—

 
—

 
58,510

 
—

 
—

Issuances
273,142

 
(278,391
)
 
—

 
—

 
—

 
—

 
69,504

Deconsolidation of mortgage-backed securitization trusts
—

 
—

 
(10,715
)
 
9,519

 
—

 
—

 
—

Sales
—

 
—

 
—

 
—

 
(58,550
)
 
—

 
—

Settlements
(195,019
)
 
192,804

 
(182
)
 
326

 
(426
)
 
—

 
(62,323
)
Transfers (to) from:
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans held for sale, at fair value
(541
)
 
—

 
—

 
—

 
—

 
—

 
—

Other assets
(100
)
 
—

 
—

 
—

 
—

 
—

 
—

Receivables, net
(157
)
 
—

 
—

 
—

 
(270
)
 
—

 
—

 
77,325

 
(85,587
)
 
(10,897
)
 
9,845

 
(736
)
 
—

 
7,181

Total realized and unrealized gains (losses)
 
 
 
 
 
 
 
 
 
 
 
 
 
Included in earnings:
 
 
 
 
 
 
 
 
 
 
 
 
 
Change in fair value
72,846

 
(68,938
)
 
—

 
(144
)
 
1,104

 
56

 
159

Calls and other
—

 
—

 
—

 
—

 
—

 
—

 
—

Included in Other comprehensive income
—

 
—

 
—

 
—

 
—

 
—

 
—

 
72,846

 
(68,938
)
 
—

 
(144
)
 
1,104

 
56

 
159

Transfers in and / or out of Level 3
—

 
—

 
—

 
—

 
—

 
—

 
—

Ending balance
$
6,718,992

 
$
(6,477,616
)
 
$
11,664

 
$
(11,664
)
 
$
25,950

 
$
1,726

 
$
17,818

 
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
 
Derivatives - Interest Rate Caps
Three months ended June 30, 2019
Beginning balance
$
5,726,917

 
$
(5,614,688
)
 
$
26,237

 
$
(24,562
)
 
$
1,786

 
$
276

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 
 
 
Purchases
—

 
—

 
—

 
—

 
—

 
—

Issuances
217,757

 
(214,543
)
 
—

 
—

 
—

 
—

Sales
—

 
—

 
—

 
—

 
—

 
—

Settlements
(127,884
)
 
125,626

 
(913
)
 
865

 
—

 
—

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

 
—

 
—

 
—

 
—

Other assets
(36
)
 
—

 
—

 
—

 
—

 
—

Receivables, net
(45
)
 
—

 
—

 
—

 
—

 
—

 
89,304

 
(88,917
)
 
(913
)
 
865

 
—

 
—

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

 
(41,778
)
 
—

 
—

 
228

 
(229
)
Calls and other
—

 
—

 
—

 
—

 
—

 
—

Included in Other comprehensive income
—

 
—

 
—

 
—

 
—

 
—

 
56,186

 
(41,778
)
 
—

 
—

 
228

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

 
—

 
—

 
—

 
—

 
—

Ending balance
$
5,872,407

 
$
(5,745,383
)
 
$
25,324

 
$
(23,697
)
 
$
2,014

 
$
47


 
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
 
Loans Held for Sale - Fair Value
 
Mortgage-backed Securities
 
IRLCs
Six Months Ended June 30, 2020
Beginning balance
$
6,269,596

 
$
(6,063,434
)
 
$
23,342

 
$
(22,002
)
 
$
—

 
$
2,075

 
$
—

Cumulative effect of fair value election
47,038

 
—

 
—

 
—

 
—

 
—

 
—

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 
 
 
 
 

Purchases
—

 
—

 
—

 
—

 
58,510

 
—

 
—

Issuances
568,074

 
(590,640
)
 
—

 
—

 
—

 
—

 
69,504

Deconsolidation of mortgage-backed securitization trusts
—

 
—

 
(10,715
)
 
9,519

 
 
 
—

 
—

Sales
—

 
—

 
—

 
—

 
(58,550
)
 
—

 
—

Settlements
(370,114
)
 
365,233

 
(963
)
 
963

 
(426
)
 
—

 
(62,323
)
Transfers (to) from:
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans held for sale, at fair value
(1,119
)
 
—

 
—

 
—

 
—

 
—

 
—

Other assets
(365
)
 
—

 
—

 
—

 
—

 
—

 
—

Receivables, net
(286
)
 
—

 
—

 
—

 
(270
)
 
—

 
—

 
243,228

 
(225,407
)
 
(11,678
)
 
10,482

 
(736
)
 
—

 
7,181

Total realized and unrealized gains (losses) included in earnings
 
 
 
 
 
 
 
 
 
 
 
 
 
Included in earnings:
 
 
 
 
 
 
 
 
 
 
 
 
 
Change in fair value
206,168

 
(188,775
)
 
—

 
(144
)
 
1,104

 
(349
)
 
159

Calls and other
—

 
—

 
—

 
—

 
—

 
—

 
—

 
206,168

 
(188,775
)
 
—

 
(144
)
 
1,104

 
(349
)
 
159

Transfers in and / or out of Level 3
—

 
—

 
—

 
—

 
25,582

 
—

 
10,478

Ending balance
$
6,718,992

 
$
(6,477,616
)
 
$
11,664

 
$
(11,664
)
 
$
25,950

 
$
1,726

 
$
17,818


 
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
 
Derivatives
Six Months Ended June 30, 2019
Beginning balance
$
5,472,199

 
$
(5,380,448
)
 
$
26,520

 
$
(24,815
)
 
$
1,502

 
$
678

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 
 
 

Purchases
—

 
—

 
—

 
—

 
—

 
—

Issuances
427,021

 
(425,106
)
 
—

 
—

 
—

 
—

Sales
—

 
—

 
—

 
—

 
—

 
—

Settlements
(232,514
)
 
228,015

 
(1,196
)
 
1,118

 
—

 
—

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

 
—

 
—

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

 
(167,844
)
 
—

 
—

 
512

 
(631
)
Calls and other
—

 
—

 
—

 
—

 
—

 
—

 
206,853

 
(167,844
)
 
—

 
—

 
512

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

 
—

 
 
 
 
 
—

 
—

Ending balance
$
5,872,407

 
$
(5,745,383
)
 
$
25,324

 
$
(23,697
)
 
$
2,014

 
$
47
Schedule of Significant Assumptions used in Valuation
Significant valuation assumptions
June 30,
2020
 
December 31,
2019
Life in years
 
 
 
Range
0.6 to 8.4

 
2.4 to 7.8

Weighted average
6.5

 
6.0

Conditional repayment rate
 
 
 
Range
8.2% to 29.3%

 
7.8% to 28.3%

Weighted average
13.3
%
 
14.6
%
Discount rate
1.8
%
 
2.8
%

Significant valuation assumptions
June 30, 2020
 
December 31, 2019
Agency
 
Non-Agency
 
Agency
 
Non-Agency
Weighted average prepayment speed
15.7
%
 
11.8
%
 
11.7
%
 
12.2
%
Weighted average delinquency rate
5.1
%
 
28.1
%
 
3.2
%
 
27.3
%
Advance financing cost
5-year swap

 
5-yr swap plus 2.00%

 
5-year swap

 
5-yr swap plus 2.00%

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
9.5
%
 
11.4
%
 
9.3
%
 
11.3
%
Weighted average cost to service (in dollars)
$
100

 
$
273

 
$
85

 
$
277


Significant valuation assumptions
June 30,
2020
 
December 31,
2019
Life in years
 
 
 
Range
0.6 to 8.4

 
2.4 to 7.8

Weighted average
6.5

 
6.0

Conditional repayment rate
 
 
 
Range
8.2% to 29.3%

 
7.8% to 28.3%

Weighted average
13.3
%
 
14.6
%
Discount rate
1.7
%
 
2.7
%

Significant valuation assumptions
June 30,
2020
 
December 31,
2019
Weighted average prepayment speed
11.9
%
 
11.9
%
Weighted average delinquency rate
29.7
%
 
20.3
%
Advance financing cost
5-year swap plus 0% to 2.00%

 
5-year swap plus 0% to 2.00%

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
11.5
%
 
10.7
%
Weighted average cost to service (in dollars)
$
288

 
$
223
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 as of June 30, 2020 given hypothetical shifts in lifetime prepayments and yield assumptions:
Adverse change in fair value
10%
 
20%
Weighted average prepayment speeds
$
(86,826
)
 
$
(165,611
)
Weighted average discount rate
(33,066
)
 
(64,206
)