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Fair Value (Tables)

12 Months Ended

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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