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Fair Value (Tables) | 9 Months Ended
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Sep. 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:
|  |  | September 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) (e) | 3, 2 |  | $ | 366,966 |  |  | $ | 366,966 |  |  | $ | 208,752 |  |  | $ | 208,752 |
Loans held for sale, at lower of cost or fair value (b) | 3 |  | 23,665 |  |  | 23,665 |  |  | 66,517 |  |  | 66,517 |
Total Loans held for sale |  |  | $ | 390,631 |  |  | $ | 390,631 |  |  | $ | 275,269 |  |  | $ | 275,269 |
Loans held for investment |  |  |  |  |  |  |  |  |
Loans held for investment - Reverse mortgages (a) | 3 |  | $ | 6,849,930 |  |  | $ | 6,849,930 |  |  | $ | 6,269,596 |  |  | $ | 6,269,596 |
Loans held for investment - Restricted for securitization investors (a) | 3 |  | 11,012 |  |  | 11,012 |  |  | 23,342 |  |  | 23,342 |
Total loans held for investment |  |  | $ | 6,860,942 |  |  | $ | 6,860,942 |  |  | $ | 6,292,938 |  |  | $ | 6,292,938 |
Advances, net (c) | 3 |  | $ | 832,604 |  |  | $ | 832,604 |  |  | $ | 1,056,523 |  |  | $ | 1,056,523 |
Receivables, net (c) | 3 |  | 201,607 |  |  | 201,607 |  |  | 201,220 |  |  | 201,220 |
Mortgage-backed securities (a) | 3 |  | 2,150 |  |  | 2,150 |  |  | 2,075 |  |  | 2,075 |
Corporate bonds (a) | 2 |  | 211 |  |  | 211 |  |  | 441 |  |  | 441 |
|  |  | September 30, 2020 |  | December 31, 2019
| Level |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Financial liabilities: |  |  |  |  |  |  |  |  |
Advance match funded liabilities (c) | 3 |  | $ | 580,078 |  |  | $ | 580,602 |  |  | $ | 679,109 |  |  | $ | 679,507 |
Financing liabilities: |  |  |  |  |  |  |  |  |
HMBS-related borrowings (a) | 3 |  | $ | 6,606,543 |  |  | $ | 6,606,543 |  |  | $ | 6,063,435 |  |  | $ | 6,063,435 |
Financing liability - MSRs pledged (Rights to MSRs) (a) | 3 |  | 577,309 |  |  | 577,309 |  |  | 950,593 |  |  | 950,593 |
Financing liability - Owed to securitization investors (a) | 3 |  | 11,012 |  |  | 11,012 |  |  | 22,002 |  |  | 22,002 |
Total Financing liabilities |  |  | $ | 7,194,864 |  |  | $ | 7,194,864 |  |  | $ | 7,036,030 |  |  | $ | 7,036,030 |
Other secured borrowings: |  |  |  |  |  |  |  |  |
Senior secured term loan (c) (d) | 2 |  | $ | 183,822 |  |  | $ | 188,666 |  |  | $ | 322,758 |  |  | $ | 324,643 |
Other (c) (d) | 3 |  | 731,470 |  |  | 701,037 |  |  | 703,033 |  |  | 686,146 |
Total Other secured borrowings |  |  | $ | 915,292 |  |  | $ | 889,703 |  |  | $ | 1,025,791 |  |  | $ | 1,010,789 |
Senior notes: |  |  |  |  |  |  |  |  |
Senior unsecured notes (c) (d) | 2 |  | $ | 21,278 |  |  | $ | 18,501 |  |  | $ | 21,046 |  |  | $ | 13,821 |
Senior secured notes (c) (d) | 2 |  | 290,411 |  |  | 267,314 |  |  | 290,039 |  |  | 256,201 |
Total Senior notes |  |  | $ | 311,689 |  |  | $ | 285,815 |  |  | $ | 311,085 |  |  | $ | 270,022 |
Derivative financial instrument assets (liabilities) |  |  |  |  |  |  |  |  |
Interest rate lock commitments (a) (f) | 3, 2 |  | $ | 22,679 |  |  | $ | 22,679 |  |  | $ | 4,878 |  |  | $ | 4,878 |
Forward trades - Loans held for sale (a) | 1 |  | (83) |  |  | (83) |  |  | (21) |  |  | (21) |
TBA / Forward mortgage-backed securities (MBS) trades and futures - MSR hedging (a) | 1 |  | (579) |  |  | (579) |  |  | 1,121 |  |  | 1,121 |
Derivatives Futures (a) | 1 |  | (213) |  |  | (213) |  |  | — |  |  | — |
MSRs (a) | 3 |  | $ | 1,069,013 |  |  | $ | 1,069,013 |  |  | $ | 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 12 – Borrowings for additional information. (e)Loans repurchased from Ginnie Mae securitizations with a fair value of $26.4 million at September 30, 2020 are classified as Level 3. The remaining balance of loans held for sale at fair value at September 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. (f)Level 3 at September 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 - Restricted for Securitization Investors |  | Financing Liability - Owed to Securitization Investors |  | Loans Held for Sale - Fair Value |  | Mortgage-Backed Securities |  |  |  | IRLCs |  |  |  |
Three months ended September 30, 2020
Beginning balance |  |  |  |  | $ | 11,664 |  |  | $ | (11,664) |  |  | $ | 25,950 |  |  | $ | 1,726 |  |  |  |  | $ | 17,818 |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases |  |  |  |  | — |  |  | — |  |  | 45,445 |  |  | — |  |  |  |  | — |  |  |  |  |
Issuances |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | 87,311 |  |  |  |  |
Sales |  |  |  |  | — |  |  | — |  |  | (45,723) |  |  | — |  |  |  |  | — |  |  |  |  |
Settlements |  |  |  |  | (652) |  |  | 652 |  |  | 356 |  |  | — |  |  |  |  | — |  |  |  |  |
Transfers (to) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | (77,785) |  |  |  |  |
Receivables, net |  |  |  |  | — |  |  | — |  |  | 157 |  |  | — |  |  |  |  | — |  |  |  |  |
|  |  |  |  | (652) |  |  | 652 |  |  | 235 |  |  | — |  |  |  |  | 9,526 |  |  |  |  |
Change in fair value included in earnings |  |  |  |  | — |  |  | — |  |  | 224 |  |  | 424 |  |  |  |  | (4,665) |  |  |  |  |
|  |  |  |  | — |  |  | — |  |  | 224 |  |  | 424 |  |  |  |  | (4,665) |  |  |  |  |
Transfers in and / or out of Level 3 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Ending balance |  |  |  |  | $ | 11,012 |  |  | $ | (11,012) |  |  | $ | 26,409 |  |  | $ | 2,150 |  |  |  |  | $ | 22,679 |  |  |  |  |
|  |  |  |  | Loans Held for Investment - Restricted for Securitization Investors |  | Financing Liability - Owed to Securitization Investors |  | Mortgage-Backed Securities |  |  |  | Derivatives - Interest Rate Caps |  |  |  |
Three months ended September 30, 2019
Beginning balance |  |  |  |  | $ | 25,324 |  |  | $ | (23,697) |  |  | $ | 2,014 |  |  |  |  | $ | 47 |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Issuances |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Sales |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Settlements |  |  |  |  | (879) |  |  | 870 |  |  | — |  |  |  |  | — |  |  |  |  |
|  |  |  |  | (879) |  |  | 870 |  |  | — |  |  |  |  | — |  |  |  |  |
Change in fair value included in earnings |  |  |  |  | — |  |  | — |  |  | 22 |  |  |  |  | (47) |  |  |  |  |
|  |  |  |  | — |  |  | — |  |  | 22 |  |  |  |  | (47) |  |  |  |  |
Transfers in and / or out of Level 3 |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Ending balance |  |  |  |  | $ | 24,445 |  |  | $ | (22,827) |  |  | $ | 2,036 |  |  |  |  | $ | — |  |  |  |  |
|  |  |  |  | Loans Held for Investment - Restricted for Securitization Investors |  | Financing Liability - Owed to Securitization Investors |  | Loans Held for Sale - Fair Value |  | Mortgage-backed Securities |  |  |  | IRLCs |  |  |  |
Nine Months Ended September 30, 2020
Beginning balance |  |  |  |  | $ | 23,342 |  |  | $ | (22,002) |  |  | $ | — |  |  | $ | 2,075 |  |  |  |  | $ | — |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases |  |  |  |  | — |  |  | — |  |  | 103,955 |  |  | — |  |  |  |  | — |  |  |  |  |
Issuances |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | 144,931 |  |  |  |  |
Deconsolidation of mortgage-backed securitization trusts |  |  |  |  | (10,715) |  |  | 9,519 |  |  |  |  | — |  |  |  |  | — |  |  |  |  |
Sales |  |  |  |  | — |  |  | — |  |  | (104,273) |  |  | — |  |  |  |  | — |  |  |  |  |
Settlements |  |  |  |  | (1,615) |  |  | 1,615 |  |  | (70) |  |  | — |  |  |  |  | — |  |  |  |  |
Transfers (to) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | (128,224) |  |  |  |  |
Receivables, net |  |  |  |  | — |  |  | — |  |  | (113) |  |  | — |  |  |  |  | — |  |  |  |  |
|  |  |  |  | (12,330) |  |  | 11,134 |  |  | (501) |  |  | — |  |  |  |  | 16,707 |  |  |  |  |
Change in fair value included in earnings |  |  |  |  | — |  |  | (144) |  |  | 1,328 |  |  | 75 |  |  |  |  | (4,506) |  |  |  |  |
Transfers in and / or out of Level 3 |  |  |  |  | — |  |  | — |  |  | 25,582 |  |  | — |  |  |  |  | 10,478 |  |  |  |  |
Ending balance |  |  |  |  | $ | 11,012 |  |  | $ | (11,012) |  |  | $ | 26,409 |  |  | $ | 2,150 |  |  |  |  | $ | 22,679 |  |  |  |  |
|  |  |  |  | Loans Held for Investment - Restricted for Securitization Investors |  | Financing Liability - Owed to Securitization Investors |  | Mortgage-backed Securities |  |  |  | Derivatives - Interest Rate Caps |  |  |  |
Nine Months Ended September 30, 2019
Beginning balance |  |  |  |  | $ | 26,520 |  |  | $ | (24,815) |  |  | $ | 1,502 |  |  |  |  | $ | 678 |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Issuances |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Sales |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Settlements |  |  |  |  | (2,075) |  |  | 1,988 |  |  | — |  |  |  |  | — |  |  |  |  |
|  |  |  |  | (2,075) |  |  | 1,988 |  |  | — |  |  |  |  | — |  |  |  |  |
Change in fair value included in earnings |  |  |  |  | — |  |  | — |  |  | 534 |  |  |  |  | (678) |  |  |  |  |
|  |  |  |  | — |  |  | — |  |  | 534 |  |  |  |  | (678) |  |  |  |  |
Transfers in and / or out of Level 3 |  |  |  |  |  |  |  |  | — |  |  |  |  | — |  |  |  |  |
Ending balance |  |  |  |  | $ | 24,445 |  |  | $ | (22,827) |  |  | $ | 2,036 |  |  |  |  | $ | — |  |  |  |  |
Schedule of Significant Assumptions used in Valuation |
Significant valuation assumptions | September 30, 2020 |  | December 31, 2019
Life in years |  |  |
Range | 1.0 to 8.2 |  | 2.4 to 7.8
Weighted average | 6.1 |  | 6.0 |
Conditional repayment rate |  |  |
Range | 10.4% to 34.1% |  | 7.8% to 28.3%
Weighted average | 14.3 | % |  | 14.6 | %
Discount rate | 1.8 | % |  | 2.8 | %
Significant valuation assumptions | September 30, 2020 |  | December 31, 2019
Agency |  | Non-Agency |  | Agency |  | Non-Agency
Weighted average prepayment speed | 14.9 | % |  | 11.5 | % |  | 11.7 | % |  | 12.2 | %
Weighted average delinquency rate | 4.7 | % |  | 27.7 | % |  | 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) | $ | 96 |  |  | $ | 271 |  |  | $ | 85 |  |  | $ | 277 |
Significant valuation assumptions | September 30, 2020 |  | December 31, 2019
Life in years |  |  |
Range | 1.0 to 8.2 |  | 2.4 to 7.8
Weighted average | 6.1 |  | 6.0 |
Conditional repayment rate |  |  |
Range | 10.4 % to 34.1% |  | 7.8% to 28.3%
Weighted average | 14.3 | % |  | 14.6 | %
Discount rate | 1.6 | % |  | 2.7 | %
Significant valuation assumptions | September 30, 2020 |  | December 31, 2019
Weighted average prepayment speed | 11.6 | % |  | 11.9 | %
Weighted average delinquency rate | 29.4 | % |  | 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 | 11.7 | % |  | 10.7 | %
Weighted average cost to service (in dollars) | $ | 286 |  |  | $ | 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 September 30, 2020 given hypothetical shifts in lifetime prepayments and yield assumptions:
Adverse change in fair value | 10% |  | 20%
Weighted average prepayment speeds | $ | (55,715) |  |  | $ | (106,603) |
Weighted average discount rate | (15,696) |  |  | (30,468) |

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