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Fair Value (Tables)
9 Months Ended
Sep. 30, 2019
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
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, 2019
 
December 31, 2018
 
Level
 
Carrying Value
 
Fair Value
 
Carrying Value
 
Fair Value
Financial assets
 
 
 

 
 

 
 

 
 

Loans held for sale
 
 
 
 
 
 
 
 
 
Loans held for sale, at fair value (a)
2
 
$
207,645

 
$
207,645

 
$
176,525

 
$
176,525

Loans held for sale, at lower of cost or fair value (b)
3
 
67,934

 
67,934

 
66,097

 
66,097

Total Loans held for sale
 
 
$
275,579

 
$
275,579

 
$
242,622

 
$
242,622

 
 
 
 
 
 
 
 
 
 
Loans held for investment
 
 
 
 
 
 
 
 
 
Loans held for investment - Reverse mortgages (a)
3
 
$
6,049,242

 
$
6,049,242

 
$
5,472,199

 
$
5,472,199

Loans held for investment - Restricted for securitization investors (a)
3
 
24,445

 
24,445

 
26,520

 
26,520

Total loans held for investment
 
 
$
6,073,687

 
$
6,073,687

 
$
5,498,719

 
$
5,498,719

 
 
 
 
 
 
 
 
 
 
Advances (including match funded), net (c)
3
 
$
1,038,444

 
$
1,038,444

 
$
1,186,676

 
$
1,186,676

Receivables, net (c)
3
 
152,222

 
152,222

 
198,262

 
198,262

Mortgage-backed securities (a)
3
 
2,036

 
2,036

 
1,502

 
1,502

U.S. Treasury notes (a)
1
 

 

 
1,064

 
1,064

Corporate bonds (a)
2
 
442

 
442

 
450

 
450

 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 

 
 

 
 

 
 

Match funded liabilities (c)
3
 
$
687,497

 
$
688,038

 
$
778,284

 
$
776,485

Financing liabilities:
 
 
 
 
 
 
 
 
 
HMBS-related borrowings (a)
3
 
$
5,903,965

 
$
5,903,965

 
$
5,380,448

 
$
5,380,448

Financing liability - MSRs pledged (Rights to MSRs) (a)
3
 
986,952

 
986,952

 
1,032,856

 
1,032,856

Financing liability - Owed to securitization investors (a)
3
 
22,827

 
22,827

 
24,815

 
24,815

Other (c)
3
 
59,815

 
39,707

 
69,942

 
53,570

Total Financing liabilities
 
 
$
6,973,559

 
$
6,953,451

 
$
6,508,061

 
$
6,491,689

Other secured borrowings:
 
 
 
 
 
 
 
 
 
Senior secured term loan (c) (d)
2
 
$
328,119

 
$
327,855

 
$
226,825

 
$
227,449

Other (c)
3
 
380,810

 
380,810

 
155,713

 
155,713

Total Other secured borrowings
 
 
$
708,929

 
$
708,665

 
$
382,538

 
$
383,162

 
 
 
 
 
 
 
 
 
 
Senior notes:
 
 
 
 
 
 
 
 
 
Senior unsecured notes (c) (d)
2
 
$
20,973

 
$
13,246

 
$
119,924

 
$
119,258

Senior secured notes (c) (d)
2
 
289,815

 
244,868

 
328,803

 
306,889

Total Senior notes
 
 
$
310,788

 
$
258,114

 
$
448,727

 
$
426,147

 
 
 
 
 
 
 
 
 
 
Derivative financial instrument assets (liabilities)
 
 
 

 
 

 
 

 
 

Interest rate lock commitments (a)
2
 
$
4,781

 
$
4,781

 
$
3,871

 
$
3,871

Forward trades - Loans held for sale (a)
1
 
(3,126
)
 
(3,126
)
 
(4,983
)
 
(4,983
)
TBA / Forward mortgage-backed securities (MBS) trades - MSR hedging (a)
1
 
887

 
887

 

 

Interest rate caps (a)
3
 

 

 
678

 
678

 
 
 
 
 
 
 
 
 
 
MSRs (a)
3
 
$
1,455,553

 
$
1,455,553

 
$
1,457,149

 
$
1,457,149


(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 13 – Borrowings for additional information.
Schedule of Reconciliation of Changes in Fair Value of Level 3 Assets and Liabilities
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 - Reverse Mortgages
 
HMBS-Related Borrowings
 
Loans Held for Inv. - Restricted for Securitiza-
tion Investors
 
Financing Liability - Owed to Securit -
ization Investors
 
Mortgage-Backed Securities
 
Financing Liability - MSRs Pledged
 
Derivatives
 
MSRs
Three months ended September 30, 2019
Beginning balance
$
5,872,407

 
$
(5,745,383
)
 
$
25,324

 
$
(23,697
)
 
$
2,014

 
$
(844,913
)
 
$
47

 
$
1,312,633

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 
 
 
 
 

 
 

Purchases

 

 

 

 

 
(345
)
 

 
11,801

Issuances
248,877

 
(240,714
)
 

 

 

 

 

 

Sales

 

 

 

 

 
(11
)
 

 
(15
)
Settlements
(151,292
)
 
149,079

 
(879
)
 
870

 

 
53,756

 

 
(3,105
)
Transfers (to) from:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans held for sale, at fair value
(521
)
 

 

 

 

 

 

 

Other assets
(211
)
 

 

 

 

 

 

 

Receivables, net
(89
)
 

 

 

 

 

 

 

 
96,764

 
(91,635
)
 
(879
)
 
870

 

 
53,400

 

 
8,681

Total realized and unrealized gains (losses)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Included in earnings:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Change in fair value (1)
80,071

 
(66,947
)
 

 

 
22

 
(200,703
)
 
(47
)
 
134,239

Calls and other

 

 

 

 

 
5,264

 

 

 
80,071

 
(66,947
)
 

 

 
22

 
(195,439
)
 
(47
)
 
134,239

Transfers in and / or out of Level 3

 

 

 

 

 

 

 

Ending balance
$
6,049,242

 
$
(5,903,965
)
 
$
24,445

 
$
(22,827
)
 
$
2,036

 
$
(986,952
)
 
$

 
$
1,455,553

 
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
 
Financing Liability - MSRs Pledged
 
Derivatives
 
MSRs
Three months ended September 30, 2018
Beginning balance
$
5,143,758

 
$
(5,040,983
)
 
$

 
$

 
$
1,732

 
$
(672,619
)
 
$
1,657

 
$
1,043,995

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Purchases

 

 

 

 

 

 

 
2,924

Issuances
223,563

 
(229,169
)
 

 

 

 

 

 
1,930

Consolidation of mortgage-backed securitization trusts
 
 
 
 
28,373

 
(26,643
)
 
 
 
 
 
 
 
 
Sales

 

 

 

 

 

 

 
(8,119
)
Settlements
(110,584
)
 
108,790

 

 

 

 
49,620

 

 

Transfers (to) from:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans held for sale, at fair value
(253
)
 

 

 

 

 

 

 

Other assets
(170
)
 

 

 

 

 

 

 

Receivables, net
(20
)
 

 

 

 

 

 

 

 
112,536

 
(120,379
)
 
28,373

 
(26,643
)
 

 
49,620

 

 
(3,265
)
Total realized and unrealized gains (losses)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Included in earnings:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Change in fair value
22,893

 
(22,865
)
 

 

 
(62
)
 
2,681

 
(446
)
 
(41,448
)
Calls and other

 

 

 

 

 
119

 

 

 
22,893

 
(22,865
)
 

 

 
(62
)
 
2,800

 
(446
)
 
(41,448
)
Transfers in and / or out of Level 3

 

 

 

 

 

 

 

Ending balance
$
5,279,187

 
$
(5,184,227
)
 
$
28,373

 
$
(26,643
)
 
$
1,670

 
$
(620,199
)
 
$
1,211

 
$
999,282



 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
 
Financing Liability - MSRs Pledged
 
Derivatives
 
MSRs
Nine months ended September 30, 2019
Beginning balance
$
5,472,199

 
$
(5,380,448
)
 
$
26,520

 
$
(24,815
)
 
$
1,502

 
$
(1,032,856
)
 
$
678

 
$
1,457,149

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 
 
 
 
 

 
 

Purchases

 

 

 

 

 
(1,221
)
 

 
128,888

Issuances
675,898

 
(665,820
)
 

 

 

 

 

 

Sales

 

 

 

 

 
(11
)
 

 
(585
)
Settlements
(383,806
)
 
377,094

 
(2,075
)
 
1,988

 

 
157,173

 

 
(7,872
)
Transfers (to) from:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Loans held for sale, at fair value
(1,405
)
 

 

 

 

 

 

 

Other assets
(366
)
 

 

 

 

 

 

 

Receivables, net
(202
)
 

 

 

 

 

 

 

 
290,119

 
(288,726
)
 
(2,075
)
 
1,988

 

 
155,941

 

 
120,431

Total realized and unrealized gains (losses) included in earnings
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Included in earnings:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Change in fair value (1)
286,924

 
(234,791
)
 

 

 
534

 
(123,721
)
 
(678
)
 
(122,027
)
Calls and other

 

 

 

 

 
13,684

 

 

 
286,924

 
(234,791
)
 

 

 
534

 
(110,037
)
 
(678
)
 
(122,027
)
Transfers in and / or out of Level 3

 

 

 

 

 

 

 

Ending balance
$
6,049,242

 
$
(5,903,965
)
 
$
24,445

 
$
(22,827
)
 
$
2,036

 
$
(986,952
)
 
$

 
$
1,455,553

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
 
Financing Liability - MSRs Pledged
 
Derivatives
 
MSRs
Nine months ended September 30, 2018
Beginning balance
$
4,715,831

 
$
(4,601,556
)
 
$

 
$

 
$
1,592

 
$
(508,291
)
 
$
2,056

 
$
671,962

Purchases, issuances, sales and settlements
 
 
 
 
 
 
 
 
 
 
 
 
 

 
 

Purchases

 

 

 

 

 

 
95

 
8,809

Issuances
711,035

 
(728,745
)
 

 

 

 
(279,586
)
 

 
(445
)
Consolidation of mortgage-backed securitization trusts

 

 
28,373

 
(26,643
)
 

 

 

 

Sales

 

 

 

 

 

 

 
(8,274
)
Settlements
(296,800
)
 
290,338

 

 

 

 
154,129

 
(371
)
 

Transfers (to) from:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
MSRs carried at amortized cost, net of valuation allowance

 

 

 

 

 

 

 
418,925

Loans held for sale, at fair value
(694
)
 

 

 

 

 

 

 

Other assets
(307
)
 

 

 

 

 

 

 

Receivables, net
(92
)
 

 

 

 

 

 

 

 
413,142

 
(438,407
)
 
28,373

 
(26,643
)
 

 
(125,457
)
 
(276
)
 
419,015

Total realized and unrealized gains (losses) included in earnings
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Included in earnings:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Change in fair value
150,214

 
(144,264
)
 

 

 
78

 
11,323

 
(569
)
 
(91,695
)
Calls and other

 

 

 

 

 
2,226

 

 

 
150,214

 
(144,264
)
 

 

 
78

 
13,549

 
(569
)
 
(91,695
)
Transfers in and / or out of Level 3

 

 
 
 
 
 

 

 

 

Ending balance
$
5,279,187

 
$
(5,184,227
)
 
$
28,373

 
$
(26,643
)
 
$
1,670

 
$
(620,199
)
 
$
1,211

 
$
999,282


(1)
The Change in fair value adjustments on Loans held for investment for the three and nine months ended September 30, 2019 include $3.6 million and $9.2 million, respectively, in connection with the fair value election for future draw commitments on HECM reverse mortgage loans purchased or originated after December 31, 2018.
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 that we carry at fair value as of September 30, 2019 given 10% and 20% hypothetical shifts in prepayment speeds and discount rate assumptions:
Adverse change in fair value
10%
 
20%
Weighted average prepayment speeds
$
(123,564
)
 
$
(235,153
)
Weighted average discount rate
(47,473
)
 
(92,074
)
Loans Held for Investment [Member]  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule of Significant Assumptions used in Valuation
Significant valuation assumptions
September 30,
2019
 
December 31,
2018
Life in years
 
 
 
Range
2.2 to 8.1

 
3.0 to 7.6

Weighted average
6.3

 
5.9

Conditional repayment rate
 
 
 
Range
6.9% to 29.3%

 
6.8% to 38.4%

Weighted average
13.6
%
 
14.7
%
Discount rate
2.6
%
 
3.4
%
Mortgage Servicing Rights - Fair Value [Member]  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule of Significant Assumptions used in Valuation
Significant valuation assumptions
September 30, 2019
 
December 31, 2018
Agency
 
Non-Agency
 
Agency
 
Non-Agency
Weighted average prepayment speed
13.4
%
 
12.2
%
 
8.5
%
 
15.4
%
Weighted average delinquency rate
3.4
%
 
26.3
%
 
6.6
%
 
27.1
%
Advance financing cost
5-year swap

 
5-year swap plus 2.00%

 
5-year swap

 
5-yr swap plus 2.75%

Interest rate for computing float earnings
5-year swap

 
5-year swap minus 0.50%

 
5-year swap

 
5-yr swap minus 0.50%

Weighted average discount rate
9.3
%
 
11.3
%
 
9.1
%
 
12.8
%
Weighted average cost to service (in dollars)
$
84

 
$
277

 
$
90

 
$
297


HMBS - Related Borrowings [Member]  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule of Significant Assumptions used in Valuation
Significant valuation assumptions
September 30,
2019
 
December 31,
2018
Life in years
 
 
 
Range
2.2 to 8.1

 
3.0 to 7.6

Weighted average
6.3

 
5.9

Conditional repayment rate
 
 
 
Range
6.9% to 29.3%

 
6.8% to 38.4%

Weighted average
13.6
%
 
14.7
%
Discount rate
2.5
%
 
3.3
%
Mortgage Servicing Rights Pledged [Member]  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule of Significant Assumptions used in Valuation
Significant valuation assumptions
September 30,
2019
 
December 31,
2018
Weighted average prepayment speed
12.6
%
 
13.9
%
Weighted average delinquency rate
20.6
%
 
20.3
%
Advance financing cost
5-year swap plus 0% to 2.00%

 
5-year swap plus 0% to 2.75%

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
10.6
%
 
12.0
%
Weighted average cost to service (in dollars)
$
222

 
$
234