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Fair Value (Tables) | 12 Months Ended
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Dec. 31, 2020
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
Schedule of Carrying Amounts and Estimated Fair Values of Financial Instruments and Nonfinancial Assets Measured at Fair Value on a Recurring or Non-recurring basis or Disclosed, but not Carried, at Fair Value | 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:
|  |  | December 31,
|  |  | 2020 |  | 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 |  | $ | 366,364 |  |  | $ | 366,364 |  |  | $ | 208,752 |  |  | $ | 208,752 |
Loans held for sale, at lower of cost or fair value (b) | 3 |  | 21,472 |  |  | 21,472 |  |  | 66,517 |  |  | 66,517 |
Total Loans held for sale |  |  | $ | 387,836 |  |  | $ | 387,836 |  |  | $ | 275,269 |  |  | $ | 275,269 |
Loans held for investment |  |  |  |  |  |  |  |  |
Loans held for investment - Reverse mortgages (a) | 3 |  | $ | 6,997,127 |  |  | $ | 6,997,127 |  |  | $ | 6,269,596 |  |  | $ | 6,269,596 |
Loans held for investment - Restricted for securitization investors (a) | 3 |  | 9,770 |  |  | 9,770 |  |  | 23,342 |  |  | 23,342 |
Total loans held for investment |  |  | 7,006,897 |  |  | 7,006,897 |  |  | 6,292,938 |  |  | 6,292,938 |
Advances, net (c) | 3 |  | 828,239 |  |  | 828,239 |  |  | 1,056,523 |  |  | 1,056,523 |
Receivables, net (c) | 3 |  | 187,665 |  |  | 187,665 |  |  | 201,220 |  |  | 201,220 |
Mortgage-backed securities (a) | 3 |  | 2,019 |  |  | 2,019 |  |  | 2,075 |  |  | 2,075 |
Corporate bonds (a) | 2 |  | 211 |  |  | 211 |  |  | 441 |  |  | 441 |
|  |  | December 31,
|  |  | 2020 |  | 2019
| Level |  | Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
Financial liabilities: |  |  |  |  |  |  |  |  |
Advance match funded liabilities (c) | 3 |  | $ | 581,288 |  |  | $ | 581,997 |  |  | $ | 679,109 |  |  | $ | 679,507 |
Financing liabilities: |  |  |  |  |  |  |  |  |
HMBS-related borrowings (a) | 3 |  | $ | 6,772,711 |  |  | $ | 6,772,711 |  |  | $ | 6,063,435 |  |  | $ | 6,063,435 |
Financing liability - MSRs pledged (Rights to MSRs) (a) | 3 |  | 566,952 |  |  | 566,952 |  |  | 950,593 |  |  | 950,593 |
Financing liability - Owed to securitization investors (a) | 3 |  | 9,770 |  |  | 9,770 |  |  | 22,002 |  |  | 22,002 |
Total Financing liabilities |  |  | $ | 7,349,433 |  |  | $ | 7,349,433 |  |  | $ | 7,036,030 |  |  | $ | 7,036,030 |
Other secured borrowings: |  |  |  |  |  |  |  |  |
Senior secured term loan (c) (d) | 2 |  | $ | 179,776 |  |  | $ | 184,639 |  |  | $ | 322,758 |  |  | $ | 324,643 |
Mortgage warehouse and MSR financing (c) | 3 |  | 889,385 |  |  | 858,573 |  |  | 703,033 |  |  | 686,146 |
Total Other secured borrowings |  |  | $ | 1,069,161 |  |  | $ | 1,043,212 |  |  | $ | 1,025,791 |  |  | $ | 1,010,789 |
Senior notes: |  |  |  |  |  |  |  |  |
Senior unsecured notes (c) (d) | 2 |  | $ | 21,357 |  |  | $ | 20,625 |  |  | $ | 21,046 |  |  | $ | 13,821 |
Senior secured notes (c) (d) | 2 |  | 290,541 |  |  | 300,254 |  |  | 290,039 |  |  | 256,201 |
Total Senior notes |  |  | $ | 311,898 |  |  | $ | 320,879 |  |  | $ | 311,085 |  |  | $ | 270,022 |
Derivative financial instrument assets (liabilities) |  |  |  |  |  |  |  |  |
Interest rate lock commitments (a) (f) | 3, 2 |  | $ | 22,706 |  |  | $ | 22,706 |  |  | $ | 4,878 |  |  | $ | 4,878 |
Forward trades - Loans held for sale (a) | 1 |  | (50) |  |  | (50) |  |  | (21) |  |  | (21) |
TBA / Forward mortgage-backed securities (MBS) trades and futures- MSR hedging (a) | 1 |  | (4,554) |  |  | (4,554) |  |  | 1,121 |  |  | 1,121 |
Derivatives futures (a) | 1 |  | 504 |  |  | 504 |  |  | — |  |  | — |
MSRs (a) | 3 |  | $ | 1,294,817 |  |  | $ | 1,294,817 |  |  | $ | 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 14 — Borrowings for additional information. (e)Loans repurchased from Ginnie Mae securitizations with a fair value of $51.1 million at December 31, 2020 are classified as Level 3. The remaining balance of loans held for sale at fair value at December 31, 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 December 31, 2020 and Level 2 at December 31, 2019.
Summary of Reconciliation of the Changes in Fair Value of Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis | 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 - Restricted for Securitization Investors |  | Financing Liability - Owed to Securitiza - tion Investors |  | Loans Held for Sale - Fair Value |  | Mortgage-Backed Securities |  |  |  | IRLCs |  |  |  |
Year Ended December 31, 2020 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Beginning balance |  |  |  |  | $ | 23,342 |  |  | $ | (22,002) |  |  | — |  |  | $ | 2,075 |  |  |  |  | $ | — |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases |  |  |  |  | — |  |  | — |  |  | 162,589 |  |  | — |  |  |  |  | — |  |  |  |  |
Issuances |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | 286,992 |  |  |  |  |
De-consolidation of mortgage-backed securitization trusts |  |  |  |  | (10,715) |  |  | 9,519 |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Sales |  |  |  |  | — |  |  | — |  |  | (137,780) |  |  | — |  |  |  |  | — |  |  |  |  |
Settlements |  |  |  |  | (2,857) |  |  | 2,857 |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Transfers to: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  |  |  | (285,198) |  |  |  |  |
Receivables, net |  |  |  |  | — |  |  | — |  |  | (969) |  |  | — |  |  |  |  | — |  |  |  |  |
|  |  |  |  | (13,572) |  |  | 12,376 |  |  | 23,840 |  |  | — |  |  |  |  | 1,794 |  |  |  |  |
Change in fair value included in earnings |  |  |  |  | — |  |  | (144) |  |  | 1,650 |  |  | (56) |  |  |  |  | 10,434 |  |  |  |  |
Transfers in and / or out of Level 3 |  |  |  |  | — |  |  | — |  |  | 25,582 |  |  | — |  |  |  |  | 10,478 |  |  |  |  |
Ending balance |  |  |  |  | $ | 9,770 |  |  | $ | (9,770) |  |  | $ | 51,072 |  |  | $ | 2,019 |  |  |  |  | $ | 22,706 |  |  |  |  |
|  |  |  |  | Loans Held for Investment - Restricted for Securitization Investors |  | Financing Liability - Owed to Securitiza - tion Investors |  | Mortgage-Backed Securities |  |  |  | Derivatives - Interest Rate Caps |  |  |  |
Year Ended December 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Beginning balance |  |  |  |  | $ | 26,520 |  |  | $ | (24,815) |  |  | $ | 1,502 |  |  |  |  | $ | 678 |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Issuances |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Sales |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Settlements |  |  |  |  | (3,178) |  |  | 2,813 |  |  | — |  |  |  |  | — |  |  |  |  |
|  |  |  |  | (3,178) |  |  | 2,813 |  |  | — |  |  |  |  | — |  |  |  |  |
Change in fair value included in earnings |  |  |  |  | — |  |  | — |  |  | 573 |  |  |  |  | (678) |  |  |  |  |
Transfers in and / or out of Level 3 |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Ending balance |  |  |  |  | $ | 23,342 |  |  | $ | (22,002) |  |  | $ | 2,075 |  |  |  |  | $ | — |  |  |  |  |
| Loans Held for Investment - Restricted for Securitization Investors |  | Financing Liability - Owed to Securitiza - tion Investors |  | Mortgage-Backed Securities |  |  |  | Derivatives - Interest Rate Caps |  |  |  |
Year Ended December 31, 2018 |  |  |  |  |  |  |  |  |  |  |  |
Beginning balance | $ | — |  |  | $ | — |  |  | $ | 1,592 |  |  |  |  | $ | 2,056 |  |  |  |  |
Purchases, issuances, sales and settlements |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | — |  |  | — |  |  | — |  |  |  |  | 95 |  |  |  |  |
Issuances | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Consolidation of mortgage-backed securitization trusts | 28,373 |  |  | (26,643) |  |  | — |  |  |  |  | — |  |  |  |  |
Sales | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Settlements | (1,853) |  |  | 1,828 |  |  | — |  |  |  |  | (371) |  |  |  |  |
| 26,520 |  |  | (24,815) |  |  | — |  |  |  |  | (276) |  |  |  |  |
Change in fair value | — |  |  | — |  |  | (90) |  |  |  |  | (1,102) |  |  |  |  |
Transfers in and / or out of Level 3 | — |  |  | — |  |  | — |  |  |  |  | — |  |  |  |  |
Ending balance | $ | 26,520 |  |  | $ | (24,815) |  |  | $ | 1,502 |  |  |  |  | $ | 678 |  |  |  |  |
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 December 31, 2020 given hypothetical shifts in lifetime prepayments and yield assumptions:
Adverse change in fair value | 10% |  | 20%
Weighted average prepayment speeds | $ | (39,478) |  |  | $ | (76,100) |
Weighted average discount rate | (24,362) |  |  | (47,227) |
Loans Held for Investment |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
Schedule of Significant Assumptions used in Valuation |
| December 31,
Significant unobservable assumptions | 2020 |  | 2019
Life in years |  |  |
Range | 0.9 to 8.0 |  | 2.4 to 7.8
Weighted average | 5.9 |  |  | 6.0 |
Conditional prepayment rate (1) |  |  |
Range | 10.6% to 28.8% |  | 7.8% to 28.3%
Weighted average | 15.4 | % |  | 14.6 | %
Discount rate | 1.9 | % |  | 2.8 | %
(1)Includes voluntary and involuntary prepayments.
Fair Value Mortgage Servicing Rights |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
Schedule of Significant Assumptions used in Valuation |
| December 31,
Significant unobservable assumptions | 2020 |  | 2019
| Agency |  | Non-Agency |  | Agency |  | Non-Agency
Weighted average prepayment speed | 11.8 | % |  | 11.5 | % |  | 11.7 | % |  | 12.2 | %
Weighted average delinquency rate | 3.0 | % |  | 28.0 | % |  | 3.2 | % |  | 27.3 | %
Weighted average discount rate | 9.2 | % |  | 11.4 | % |  | 9.3 | % |  | 11.3 | %
Weighted average cost to service (in dollars) | $ | 79 |  |  | $ | 270 |  |  | $ | 85 |  |  | $ | 277 |
HMBS - Related Borrowings |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
Schedule of Significant Assumptions used in Valuation |
| December 31,
Significant unobservable assumptions | 2020 |  | 2019
Live in years |  |  |
Range | 0.9 to 8.0 |  | 2.4 to 7.8
Weighted average | 5.9 |  |  | 6.0
Conditional prepayment rate |  |  |
Range | 10.6% to 28.8% |  | 7.8% to 28.3%
Weighted average | 15.4 | % |  | 14.6 | %
Discount rate | 1.7 | % |  | 2.7 | %
Mortgage Servicing Rights Pledged |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
Schedule of Significant Assumptions used in Valuation |
| December 31,
Significant valuation assumptions | 2020 |  | 2019
Weighted average prepayment speed | 11.5 | % |  | 11.9 | %
Weighted average delinquency rate | 29.8 | % |  | 20.3 | %
Weighted average discount rate | 11.4 | % |  | 10.7 | %
Weighted average cost to service (in dollars) | $ | 287 |  |  | $ | 223 |

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