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Fair Value (Tables)

9 Months Ended

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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