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. |
|