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Fair Value (Tables)
 12 Months Ended
Dec. 31, 2014
Fair Value Disclosures [Abstract]  
Summary of Assets and Liabilities in Each Level of Fair Value Hierarchy
The following table summarizes the assets and liabilities in each level of the fair value hierarchy (in thousands):
 
 
December 31,
 
 
2014
 
2013
Level 1
 
 
 
 
Liabilities
 
 
 
 
Contingent earn-out payments
 
$
—

 
$
5,900

Level 1 liabilities
 
$
—

 
$
5,900

 
 
 
 
 
Level 2
 
 
 
 
Assets
 
 
 
 
Mortgage loans held for sale
 
$
1,124,615

 
$
1,015,607

Freestanding derivative instruments
 
7,751

 
19,534

Level 2 assets
 
$
1,132,366

 
$
1,035,141

Liabilities
 
 
 
 
Freestanding derivative instruments
 
$
29,761

 
$
2,127

Level 2 liabilities
 
$
29,761

 
$
2,127

 
 
 
 
 
 
 
December 31,
 
 
2014
 
2013
Level 3
 
 
 
 
Assets
 
 
 
 
Reverse loans
 
$
10,064,365

 
$
8,738,503

Mortgage loans related to Non-Residual Trusts
 
586,433

 
587,265

Charged-off loans
 
57,217

 
—

Receivables related to Non-Residual Trusts
 
25,201

 
43,545

Servicing rights carried at fair value
 
1,599,541

 
1,131,124

Freestanding derivative instruments (IRLCs)
 
60,400

 
42,831

Level 3 assets
 
$
12,393,157

 
$
10,543,268

Liabilities
 
 
 
 
Freestanding derivative instruments (IRLCs)
 
$
263

 
$
3,755

Excess servicing spread liability
 
66,311

 
—

Mortgage-backed debt related to Non-Residual Trusts
 
653,167

 
684,778

HMBS related obligations
 
9,951,895

 
8,652,746

Level 3 liabilities
 
$
10,671,636

 
$
9,341,279
Reconciliation of Beginning and Ending Balances of Company's Assets and Liabilities Measured at Fair Value on Recurring Basis Using Significant Unobservable Inputs (Level 3)
The following assets and liabilities are measured on the consolidated financial statements at fair value on a recurring basis utilizing significant unobservable inputs or Level 3 assumptions in their valuation. The following tables provide a reconciliation of the beginning and ending balances of these assets and liabilities (in thousands):
 
 
For the Year Ended December 31, 2014
 
 
Fair Value
January 1,
2014
 
Acquisition of EverBank Net Assets
 
Total
Gains (Losses)
Included in
Comprehensive
Loss
 
Purchases
 
Sales
 
Originations / Issuances
 
Settlements
 
Fair Value December 31, 2014
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Reverse loans
 
$
8,738,503

 
$
—

 
$
434,197

 
$
894,252

 
$
—

 
$
611,826

 
$
(614,413
)
 
$
10,064,365

Mortgage loans related to Non-Residual Trusts
 
587,265

 
—

 
111,258

 
—

 
—

 
—

 
(112,090
)
 
586,433

Charged-off loans
 
—

 
—

 
22,501

 
64,548

 
—

 
—

 
(29,832
)
 
57,217

Receivables related to Non-Residual Trusts
 
43,545

 
—

 
(8,873
)
 
—

 
—

 
—

 
(9,471
)
 
25,201

Servicing rights carried at fair value
 
1,131,124

 
58,680

 
(273,502
)
 
479,820

 
(10,866
)
 
214,285

 
—

 
1,599,541

Freestanding derivative instruments (IRLCs)
 
42,831

 
—

 
17,569

 
—

 
—

 
—

 
—

 
60,400

Total assets
 
$
10,543,268

 
$
58,680

 
$
303,150

 
$
1,438,620

 
$
(10,866
)
 
$
826,111

 
$
(765,806
)
 
$
12,393,157

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Freestanding derivative instruments (IRLCs)
 
$
(3,755
)
 
$
—

 
$
3,492

 
$
—

 
$
—

 
$
—

 
$
—

 
$
(263
)
Excess servicing spread liability
 
—

 
—

 
(2,800
)
 
—

 
—

 
(75,426
)
 
11,915

 
(66,311
)
Mortgage-backed debt related to Non-Residual Trusts
 
(684,778
)
 
—

 
(82,253
)
 
—

 
—

 
—

 
113,864

 
(653,167
)
HMBS related obligations
 
(8,652,746
)
 
—

 
(324,225
)
 
—

 
—

 
(1,617,398
)
 
642,474

 
(9,951,895
)
Total liabilities
 
$
(9,341,279
)
 
$
—

 
$
(405,786
)
 
$
—

 
$
—

 
$
(1,692,824
)
 
$
768,253

 
$
(10,671,636
)


 
 
For the Year Ended December 31, 2013
 
 
Fair Value
January 1,
2013
 
Acquisition
of ResCap
Net Assets
 
Total
Gains (Losses)
Included in
Comprehensive
Income
 
Purchases
 
Sales
 
Originations / Issuances
 
Settlements
 
Transfers Out
 
Fair Value
December 31, 2013
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Reverse loans (1)
 
$
6,047,108

 
$
—

 
$
112,772

 
$
2,080,857

 
$
(76,441
)
 
$
981,390

 
$
(407,183
)
 
$
—

 
$
8,738,503

Mortgage loans related to Non-Residual Trusts
 
646,498

 
—

 
64,848

 
—

 
—

 
—

 
(124,081
)
 
—

 
587,265

Receivables related to Non-Residual Trusts
 
53,975

 
—

 
4,374

 
—

 
—

 
—

 
(14,804
)
 
—

 
43,545

Servicing rights carried at fair value
 
26,382

 
242,604

 
48,058

 
626,331

 
—

 
187,749

 
—

 
—

 
1,131,124

Freestanding derivative instruments (IRLCs)
 
949

 
—

 
41,882

 
—

 
—

 
—

 
—

 
—

 
42,831

Total assets
 
$
6,774,912

 
$
242,604

 
$
271,934

 
$
2,707,188

 
$
(76,441
)
 
$
1,169,139

 
$
(546,068
)
 
$
—

 
$
10,543,268

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Freestanding derivative instruments (IRLCs)
 
$
—

 
$
—

 
$
(3,755
)
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
(3,755
)
Contingent earn-out payments
 
(6,100
)
 
—

 
(4,800
)
 
—

 
—

 
—

 
5,000

 
5,900

 
—

Mortgage-backed debt related to Non-Residual Trusts
 
(757,286
)
 
—

 
(57,678
)
 
—

 
—

 
—

 
130,186

 
—

 
(684,778
)
HMBS related obligations
 
(5,874,552
)
 
—

 
12,302

 
—

 
—

 
(3,203,959
)
 
413,463

 
—

 
(8,652,746
)
Total liabilities
 
$
(6,637,938
)
 
$
—

 
$
(53,931
)
 
$
—

 
$
—

 
$
(3,203,959
)
 
$
548,649

 
$
5,900

 
$
(9,341,279
)
_______
(1)
Includes $28.5 million in reverse loans held for sale at January 1, 2013. There were no reverse loans held for sale at December 31, 2013.
Significant Unobservable Inputs Used for Assets and Liabilities Measured at Fair Value on Recurring Basis
The following table presents the significant unobservable inputs used in the fair value measurement of the assets and liabilities described above. The Company utilizes a discounted cash flow method in the fair value measurement of all Level 3 assets and liabilities included on the consolidated financial statements at fair value on a recurring basis, with the exception of IRLCs for which the Company utilizes a market approach.
With the exception of IRLCs and collection rates associated with charged-off loans, significant increases (decreases) in any of the inputs related to assets disclosed below, in isolation, could result in a significantly lower (higher) fair value measurement. Significant increases (decreases) in any of the inputs related to liabilities, other than IRLCs, and collection rates on charged-off loans, as disclosed below, in isolation, could result in a significantly higher (lower) fair value measurement. The impact on fair value for increases and decreases to significant unobservable inputs related to IRLCs is discussed above.
 
 
 
 
December 31, 2014
 
December 31, 2013
 
 
Significant
Unobservable Input (1) (2)
 
Range of Input (3)
 
Weighted
Average of Input (3)
 
Range of Input (3)
 
Weighted
Average of Input (3)
Assets
 
 
 
 
 
 
 
 
 
 
Reverse loans
 
Weighted-average remaining life in years
 
1.8 - 12.3
 
4.7

 
2.0 - 12.9
 
4.4

 
 
Conditional repayment rate
 
13.40% - 42.20%
 
21.68
%
 
10.67% - 36.61%
 
20.70
%
 
 
Discount rate
 
2.00% - 3.65%
 
2.76
%
 
1.79% - 5.30%
 
2.98
%
Mortgage loans related to Non-Residual Trusts
 
Conditional prepayment rate
 
2.24% - 3.76%
 
3.17
%
 
2.20% - 3.78%
 
2.99
%
 
 
Conditional default rate
 
1.68% - 3.51%
 
2.34
%
 
1.81% - 3.60%
 
2.90
%
 
 
Loss severity
 
76.12% - 92.53%
 
85.88
%
 
75.90% - 96.67%
 
88.09
%
 
 
Discount rate
 
8.00%
 
8.00
%
 
10.00%
 
10.00
%
Charged-off loans
 
Collection rate
 
2.34% - 4.53%
 
2.46
%
 
—
 
—
 
 
Discount rate
 
30.00% - 32.25%
 
30.19
%
 
—
 
—
Receivables related to Non-Residual Trusts
 
Conditional prepayment rate
 
1.89% - 3.33%
 
2.72
%
 
1.93% - 3.11%
 
2.66
%
 
 
Conditional default rate
 
1.92% - 3.81%
 
2.55
%
 
1.98% - 3.85%
 
3.16
%
 
 
Loss severity
 
73.26% - 89.78%
 
82.87
%
 
72.94% - 94.16%
 
85.25
%
 
 
Discount rate
 
0.50%
 
0.50
%
 
0.50%
 
0.50
%
Servicing rights carried at fair value
 
Weighted-average remaining life in years
 
5.6 - 9.3
 
6.6

 
6.0 - 10.8
 
6.8

 
 
Discount rate
 
8.24% - 29.16%
 
9.55
%
 
8.87% - 18.11%
 
9.76
%
 
 
Conditional prepayment rate
 
5.04% - 11.15%
 
7.87
%
 
3.85% - 8.08%
 
7.06
%
 
 
Conditional default rate
 
0.28% - 3.53%
 
2.36
%
 
0.50% - 3.74%
 
2.90
%
Interest rate lock commitments
 
Loan funding probability
 
3.44% - 100.00%
 
77.45
%
 
11.99% - 100.00%
 
78.23
%
 
 
Fair value of initial servicing rights multiple (4) 
 
0.20 - 5.47
 
3.83

 
1.64 - 5.60
 
4.21

 
 
 
 
December 31, 2014
 
December 31, 2013
 
 
Significant
Unobservable Input (1) (2)
 
Range of Input (3)
 
Weighted
Average of Input (3)
 
Range of Input (3)
 
Weighted
Average of Input (3)
Liabilities
 
 
 
 
 
 
 
 
 
 
Interest rate lock commitments
 
Loan funding probability
 
28.00% - 100.00%
 
80.90
%
 
46.50% - 100.00%
 
82.67
%
 
 
Fair value of initial servicing rights multiple (4)
 
0.67 - 5.47
 
4.06

 
1.89 - 5.30
 
4.52

Excess servicing spread liability
 
Weighted-average remaining life in years
 
7.2 - 7.4
 
7.3

 
—
 
—
 
 
Discount rate
 
13.60%
 
13.60
%
 
—
 
—
 
 
Conditional prepayment rate
 
7.71% - 7.89%
 
7.79
%
 
—
 
—
 
 
Conditional default rate
 
0.86% - 2.31%
 
1.51
%
 
—
 
—
Mortgage-backed debt related to Non-Residual Trusts
 
Conditional prepayment rate
 
1.89% - 3.33%
 
2.72
%
 
1.93% - 3.11%
 
2.66
%
 
 
Conditional default rate
 
1.92% - 3.81%
 
2.55
%
 
1.98% - 3.85%
 
3.16
%
 
 
Loss severity
 
73.26% - 89.78%
 
82.87
%
 
72.94% - 94.16%
 
85.25
%
 
 
Discount rate
 
6.00%
 
6.00
%
 
8.00%
 
8.00
%
HMBS related obligations
 
Weighted-average remaining life in years
 
1.3 - 7.7
 
3.9

 
1.9 - 7.8
 
4.1

 
 
Conditional repayment rate
 
11.30% - 48.65%
 
21.21
%
 
10.22% - 38.67%
 
20.31
%
 
 
Discount rate
 
1.44% - 3.06%
 
2.36
%
 
1.38% - 4.01%
 
2.36
%
__________
(1)
Conditional repayment rate includes assumptions for both voluntary and involuntary rates as well as assumptions for the assignment of HECMs to HUD, in accordance with obligations as servicer.
(2)
Voluntary and involuntary prepayment rates have been presented as conditional prepayment rate and conditional default rate, respectively.
(3)
With the exception of loss severity, fair value of initial servicing rights embedded in IRLCs and discount rate on charged-off loans, all significant unobservable inputs above are based on the related unpaid principal balance of the underlying collateral, or in the case of HMBS related obligations, the balance outstanding. Loss severity is based on projected liquidations. Fair value of servicing rights embedded in IRLCs represents a multiple of the annual servicing fee. The discount rate on charged-off loans is based on the loan balance at fair value.
(4)
Excludes the impact of IRLCs identified as servicing released.
Fair Value, Option, Quantitative Disclosures
Presented in the table below is the estimated fair value and unpaid principal balance of loans and debt instruments that have contractual principal amounts and for which the Company has elected the fair value option (in thousands):
 
 
December 31, 2014
 
December 31, 2013
 
 
Estimated
Fair Value
 
Unpaid Principal
Balance
 
Estimated
Fair Value
 
Unpaid Principal
Balance
Loans at fair value under the fair value option
 
 
 
 
 
 
 
 
Reverse loans (1)
 
$
10,064,365

 
$
9,340,270

 
$
8,738,503

 
$
8,135,927

Mortgage loans held for sale (1)
 
1,124,615

 
1,071,787

 
1,015,607

 
976,774

Mortgage loans related to Non-Residual Trusts
 
586,433

 
650,382

 
587,265

 
727,110

Charged-off loans
 
57,217

 
3,366,504

 
—

 
—

Total
 
$
11,832,630

 
$
14,428,943

 
$
10,341,375

 
$
9,839,811

 
 
 
 
 
 
 
 
 
Debt instruments at fair value under the fair value option
 
 
 
 
 
 
 
 
Mortgage-backed debt related to Non-Residual Trusts
 
$
653,167

 
$
657,174

 
$
684,778

 
$
735,379

HMBS related obligations (2)
 
9,951,895

 
9,172,083

 
8,652,746

 
7,959,711

Total
 
$
10,605,062

 
$
9,829,257

 
$
9,337,524

 
$
8,695,090

__________
(1)
Includes loans that collateralize master repurchase agreements. Refer to Note 18 for further information.
(2)
For HMBS related obligations, the unpaid principal balance represents the balance outstanding.
Fair Value, Option, Instrument Specific Credit Risk
Presented in the table below are the fair value gains and losses from instrument-specific credit risk associated with the assets and liabilities for which the Company has elected the fair value option (in thousands):
 
 
For the Years Ended December 31,
 
 
2014
 
2013
 
2012
Gains (losses) from changes in instrument-specific credit risk associated with assets under the fair value option
 
 
 
 
 
 
Mortgage loans related to Non-Residual Trusts
 
$
62,103

 
$
(4,340
)
 
$
17,845

Charged-off loans
 
7,598

 
—

 
—

Receivables related to Non-Residual Trusts
 
(8,120
)
 
2,903

 
(11,986
)
Total
 
$
61,581

 
$
(1,437
)
 
$
5,859

 
 
 
 
 
 
 
Gains (losses) from changes in instrument-specific credit risk associated with liabilities under the fair value option
 
 
 
 
 
 
Excess servicing spread liability
 
$
2,292

 
$
—

 
$
—

Mortgage-backed debt related to Non-Residual Trusts
 
(35,438
)
 
54

 
(5,416
)
Total
 
$
(33,146
)
 
$
54

 
$
(5,416
)
Significant Unobservable Inputs Used for Assets Measured at Fair Value on Non-Recurring Basis
The following table presents the significant unobservable input used in the fair value measurement of real estate owned, net:
 
 
 
 
December 31, 2014
 
December 31, 2013
 
 
Significant
Unobservable Input
 
Range of Input
 
Weighted
Average of Input
 
Range of Input
 
Weighted
Average of Input
Real estate owned, net
 
Loss severity (1)
 
0.00% - 59.58%
 
8.04
%
 
0.00% - 88.68%
 
9.48
%
__________
(1)
Loss severity is based on projected liquidations.
Carrying Values and Estimated Fair Values of Financial Assets and Liabilities Required to be Disclosed at Fair Value
The following table presents the carrying amounts and estimated fair values of financial assets and liabilities that are not recorded at fair value on a recurring or non-recurring basis and their respective levels within the fair value hierarchy (in thousands). This table excludes cash and cash equivalents, restricted cash and cash equivalents, servicer payables and warehouse borrowings as these financial instruments are highly liquid or short-term in nature and as a result, their carrying amounts approximate fair value.
 
 
 
 
December 31, 2014
 
December 31, 2013
 
 
Fair Value
Hierarchy
 
Carrying
Amount
 
Estimated
Fair Value
 
Carrying
Amount
 
Estimated
Fair Value
Financial assets
 
 
 
 
 
 
 
 
 
 
Residential loans at amortized cost, net
 
Level 3
 
$
1,314,539

 
$
1,377,213

 
$
1,394,871

 
$
1,341,376

Insurance premium receivables
 
Level 3
 
98,220

 
93,395

 
103,149

 
97,902

Servicer and protective advances, net
 
Level 3
 
1,761,082

 
1,691,443

 
1,381,434

 
1,332,315

 
 
 
 
 
 
 
 
 
 
 
Financial liabilities
 
 
 
 
 
 
 
 
 
 
Payables to insurance carriers
 
Level 3
 
69,498

 
68,673

 
69,489

 
68,470

Servicing advance liabilities (1)
 
Level 3
 
1,362,017

 
1,367,519

 
970,884

 
971,286

Corporate debt (1)
 
Level 2
 
2,230,557

 
2,095,286

 
2,229,969

 
2,322,709

Mortgage-backed debt carried at amortized cost (1)
 
Level 3
 
1,086,660

 
1,121,369

 
1,189,536

 
1,192,510

__________
(1)
The carrying amounts of servicing advance liabilities, corporate debt and mortgage-backed debt carried at amortized cost are net of deferred issuance costs.
Components of Net Gains on Sales of Loans
Provided in the table below is a summary of the components of net gains on sales of loans (in thousands):
 
 
For the Years Ended December 31,
 
 
2014
 
2013
 
2012
Realized gains on sales of loans
 
$
367,314

 
$
218,504

 
$
537

Change in unrealized gains on loans held for sale
 
1,412

 
24,771

 
266

Gains on interest rate lock commitments
 
21,061

 
38,126

 
949

Gains (losses) on forward sales commitments
 
(156,201
)
 
111,830

 
(1,102
)
Losses on MBS purchase commitments
 
(18,009
)
 
(5,599
)
 
—

Capitalized servicing rights
 
214,285

 
187,749

 
—

Provision for repurchases
 
(7,741
)
 
(9,067
)
 
(18
)
Interest income
 
40,051

 
32,625

 
16

Other
 
—

 
35

 
—

Net gains on sales of loans
 
$
462,172

 
$
598,974

 
$
648
Summary of Components of Net Fair Value Gains on Reverse Loans and Related HMBS Obligations
Provided in the table below is a summary of the components of net fair value gains on reverse loans and related HMBS obligations (in thousands):
 
 
For the Years Ended December 31,
 
 
2014
 
2013
 
2012
Interest income on reverse loans
 
$
398,925

 
$
347,497

 
$
44,314

Change in fair value of reverse loans
 
35,272

 
(239,417
)
 
20,716

Net fair value gains on reverse loans
 
434,197

 
108,080

 
65,030

 
 
 
 
 
 
 
Interest expense on HMBS related obligations
 
(372,346
)
 
(321,820
)
 
(41,114
)
Change in fair value of HMBS related obligations
 
48,121

 
334,122

 
(16,637
)
Net fair value gains (losses) on HMBS related obligations
 
(324,225
)
 
12,302

 
(57,751
)
Net fair value gains on reverse loans and related HMBS obligations
 
$
109,972

 
$
120,382

 
$
7,279