XML 49 R30.htm IDEA: XBRL DOCUMENT v2.4.1.9
Fair Value (Tables)
 3 Months Ended
Mar. 31, 2015
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). There were no assets or liabilities measured at fair value on a recurring basis utilizing Level 1 assumptions.
 
 
March 31, 
 2015
 
December 31, 
 2014
Level 2
 
 
 
 
Assets
 
 
 
 
Mortgage loans held for sale
 
$
1,156,187

 
$
1,124,615

Freestanding derivative instruments
 
15,810

 
7,751

Level 2 assets
 
$
1,171,997

 
$
1,132,366

Liabilities
 
 
 
 
Freestanding derivative instruments
 
$
37,733

 
$
29,761

Level 2 liabilities
 
$
37,733

 
$
29,761

 
 
 
 
 
Level 3
 
 
 
 
Assets
 
 
 
 
Reverse loans
 
$
10,429,893

 
$
10,064,365

Mortgage loans related to Non-Residual Trusts
 
567,912

 
586,433

Charged-off loans
 
50,845

 
57,217

Receivables related to Non-Residual Trusts
 
22,935

 
25,201

Servicing rights carried at fair value
 
1,570,320

 
1,599,541

Freestanding derivative instruments (IRLCs)
 
84,925

 
60,400

Level 3 assets
 
$
12,726,830

 
$
12,393,157

Liabilities
 
 
 
 
Freestanding derivative instruments (IRLCs)
 
$
204

 
$
263

Excess servicing spread liability
 
63,349

 
66,311

Mortgage-backed debt related to Non-Residual Trusts
 
635,239

 
653,167

HMBS related obligations
 
10,304,384

 
9,951,895

Level 3 liabilities
 
$
11,003,176

 
$
10,671,636
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 tables provide a reconciliation of the beginning and ending balances of these assets and liabilities (in thousands):
 
 
For the Three Months Ended March 31, 2015
 
 
Fair Value
January 1,
2015
 
Total
Gains (Losses)
Included in
Comprehensive Loss
 
Purchases
 
Sales
 
Originations / Issuances
 
Settlements
 
Fair Value March 31, 2015
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Reverse loans (1)
 
$
10,064,365

 
$
122,909

 
$
239,375

 
$
(16,592
)
 
$
189,510

 
$
(169,674
)
 
$
10,429,893

Mortgage loans related to Non-Residual Trusts
 
586,433

 
8,164

 
—

 
—

 
—

 
(26,685
)
 
567,912

Charged-off loans
 
57,217

 
5,984

 
—

 
—

 
—

 
(12,356
)
 
50,845

Receivables related to Non-Residual Trusts
 
25,201

 
(246
)
 
—

 
—

 
—

 
(2,020
)
 
22,935

Servicing rights carried at fair value
 
1,599,541

 
(129,235
)
 
27,713

 
—

 
72,301

 
—

 
1,570,320

Freestanding derivative instruments (IRLCs)
 
60,400

 
24,724

 
—

 
—

 
—

 
(199
)
 
84,925

Total assets
 
$
12,393,157

 
$
32,300

 
$
267,088

 
$
(16,592
)
 
$
261,811

 
$
(210,934
)
 
$
12,726,830

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Freestanding derivative instruments (IRLCs)
 
$
(263
)
 
$
59

 
$
—

 
$
—

 
$
—

 
$
—

 
$
(204
)
Excess servicing spread liability
 
(66,311
)
 
(1,818
)
 
—

 
—

 
—

 
4,780

 
(63,349
)
Mortgage-backed debt related to Non-Residual Trusts
 
(653,167
)
 
(8,556
)
 
—

 
—

 
—

 
26,484

 
(635,239
)
HMBS related obligations
 
(9,951,895
)
 
(92,233
)
 


 
—

 
(457,448
)
 
197,192

 
(10,304,384
)
Total liabilities
 
$
(10,671,636
)
 
$
(102,548
)
 
$
—

 
$
—

 
$
(457,448
)
 
$
228,456

 
$
(11,003,176
)
__________
(1)
During the three months ended March 31, 2015, the Company sold $16.6 million in reverse loans and recognized $0.1 million in net losses on sales of loans.


 
 
For the Three Months Ended March 31, 2014
 
 
Fair Value
January 1,
2014
 
Acquisition
of EverBank
Net Assets
 
Total
Gains (Losses)
Included in
Comprehensive
Income
 
Purchases
 
Originations / Issuances
 
Settlements
 
Fair Value
March 31, 2014
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Reverse loans
 
$
8,738,503

 
$
—

 
$
205,409

 
$
193,676

 
$
129,463

 
$
(117,472
)
 
$
9,149,579

Mortgage loans related to Non-Residual Trusts
 
587,265

 
—

 
10,783

 
—

 
—

 
(28,951
)
 
569,097

Receivables related to Non-Residual Trusts
 
43,545

 
—

 
(987
)
 
—

 
—

 
(3,230
)
 
39,328

Servicing rights carried at fair value
 
1,131,124

 
58,680

 
(47,634
)
 
319,047

 
52,613

 
—

 
1,513,830

Freestanding derivative instruments (IRLCs)
 
42,831

 
—

 
(4,641
)
 
—

 
—

 
—

 
38,190

Total assets
 
$
10,543,268

 
$
58,680

 
$
162,930

 
$
512,723

 
$
182,076

 
$
(149,653
)
 
$
11,310,024

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

 
$
3,035

 
$
—

 
$
—

 
$
—

 
$
(720
)
Mortgage-backed debt related to Non-Residual Trusts
 
(684,778
)
 
—

 
(11,835
)
 
—

 
—

 
29,077

 
(667,536
)
HMBS related obligations
 
(8,652,746
)
 
—

 
(188,173
)
 
—

 
(445,046
)
 
118,967

 
(9,166,998
)
Total liabilities
 
$
(9,341,279
)
 
$
—

 
$
(196,973
)
 
$
—

 
$
(445,046
)
 
$
148,044

 
$
(9,835,254
)
Significant Unobservable Inputs Used for Assets and Liabilities Measured at Fair Value on Recurring Basis
 
 
 
 
March 31, 2015
 
December 31, 2014
 
 
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
 
1.6 - 12.0
 
4.7

 
1.8 - 12.3
 
4.7

 
 
Conditional repayment rate
 
13.30% - 45.30%
 
22.21
%
 
13.40% - 42.20%
 
21.68
%
 
 
Discount rate
 
1.96% - 3.37%
 
2.61
%
 
2.00% - 3.65%
 
2.76
%
Mortgage loans related to Non-Residual Trusts
 
Conditional prepayment rate
 
2.31% - 3.84%
 
3.10
%
 
2.24% - 3.76%
 
3.17
%
 
 
Conditional default rate
 
1.33% - 3.49%
 
2.34
%
 
1.68% - 3.51%
 
2.34
%
 
 
Loss severity
 
69.01% - 90.72%
 
85.80
%
 
76.12% - 92.53%
 
85.88
%
 
 
Discount rate
 
8.00%
 
8.00
%
 
8.00%
 
8.00
%
Charged-off loans
 
Collection rate
 
2.15% - 4.38%
 
2.27
%
 
2.34% - 4.53%
 
2.46
%
 
 
Discount rate
 
30.00% - 32.25%
 
30.19
%
 
30.00% - 32.25%
 
30.19
%
Receivables related to Non-Residual Trusts
 
Conditional prepayment rate
 
1.92% - 3.37%
 
2.61
%
 
1.89% - 3.33%
 
2.72
%
 
 
Conditional default rate
 
1.40% - 3.79%
 
2.53
%
 
1.92% - 3.81%
 
2.55
%
 
 
Loss severity
 
66.08% - 87.84%
 
82.61
%
 
73.26% - 89.78%
 
82.87
%
 
 
Discount rate
 
0.50%
 
0.50
%
 
0.50%
 
0.50
%
Servicing rights carried at fair value
 
Weighted-average remaining life in years
 
4.0 - 9.8
 
6.2

 
5.6 - 9.3
 
6.6

 
 
Discount rate
 
8.16% - 29.41%
 
9.77
%
 
8.24% - 29.16%
 
9.55
%
 
 
Conditional prepayment rate
 
4.77% - 17.07%
 
8.88
%
 
5.04% - 11.15%
 
7.87
%
 
 
Conditional default rate
 
0.17% - 2.83%
 
1.63
%
 
0.28% - 3.53%
 
2.36
%
Interest rate lock commitments
 
Loan funding probability
 
6.90% - 100.00%
 
75.78
%
 
3.44% - 100.00%
 
77.45
%
 
 
Fair value of initial servicing rights multiple (4) 
 
0.16 - 5.88
 
3.98

 
0.20 - 5.47
 
3.83


 
 
 
 
March 31, 2015
 
December 31, 2014
 
 
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
 
38.00% - 100.00%
 
84.03
%
 
28.00% - 100.00%
 
80.90
%
 
 
Fair value of initial servicing rights multiple (4)
 
2.34 - 5.40
 
4.43

 
0.67 - 5.47
 
4.06

Excess servicing spread liability
 
Weighted-average remaining life in years
 
6.9 - 7.0
 
6.9

 
7.2 - 7.4
 
7.3

 
 
Discount rate
 
13.85%
 
13.85
%
 
13.60%
 
13.60
%
 
 
Conditional prepayment rate
 
8.38% - 8.86%
 
8.60
%
 
7.71% - 7.89%
 
7.79
%
 
 
Conditional default rate
 
0.53% - 1.38%
 
0.89
%
 
0.86% - 2.31%
 
1.51
%
Mortgage-backed debt related to Non-Residual Trusts
 
Conditional prepayment rate
 
1.92% - 3.37%
 
2.61
%
 
1.89% - 3.33%
 
2.72
%
 
 
Conditional default rate
 
1.40% - 3.79%
 
2.53
%
 
1.92% - 3.81%
 
2.55
%
 
 
Loss severity
 
66.08% - 87.84%
 
82.61
%
 
73.26% - 89.78%
 
82.87
%
 
 
Discount rate
 
6.00%
 
6.00
%
 
6.00%
 
6.00
%
HMBS related obligations
 
Weighted-average remaining life in years
 
1.2 - 7.7
 
3.9

 
1.3 - 7.7
 
3.9

 
 
Conditional repayment rate
 
11.60% - 50.40%
 
21.78
%
 
11.30% - 48.65%
 
21.21
%
 
 
Discount rate
 
1.46% - 2.66%
 
2.20
%
 
1.44% - 3.06%
 
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)
Fair value of servicing rights embedded in IRLCs, which represents a multiple of the annual servicing fee, 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):
 
 
March 31, 2015
 
December 31, 2014
 
 
Estimated
Fair Value
 
Unpaid Principal
Balance
 
Estimated
Fair Value
 
Unpaid Principal
Balance
Loans at fair value under the fair value option
 
 
 
 
 
 
 
 
Reverse loans (1)
 
$
10,429,893

 
$
9,663,598

 
$
10,064,365

 
$
9,340,270

Mortgage loans held for sale (1)
 
1,156,187

 
1,102,720

 
1,124,615

 
1,071,787

Mortgage loans related to Non-Residual Trusts
 
567,912

 
632,326

 
586,433

 
650,382

Charged-off loans
 
50,845

 
3,196,241

 
57,217

 
3,366,504

Total
 
$
12,204,837

 
$
14,594,885

 
$
11,832,630

 
$
14,428,943


 
 
 
 
 
 
 
 
Debt instruments at fair value under the fair value option
 
 
 
 
 
 
 
 
Mortgage-backed debt related to Non-Residual Trusts
 
$
635,239

 
$
639,095

 
$
653,167

 
$
657,174

HMBS related obligations (2)
 
10,304,384

 
9,487,008

 
9,951,895

 
9,172,083

Total
 
$
10,939,623

 
$
10,126,103

 
$
10,605,062

 
$
9,829,257

__________
(1)
Includes loans that collateralize master repurchase agreements. Refer to Note 13 for additional 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 loans, receivables and liabilities for which the Company has elected the fair value option (in thousands):
 
 
For the Three Months 
 Ended March 31,
 
 
2015
 
2014
Gains (losses) from changes in instrument-specific credit risk associated with loans and receivables under the fair value option
 
 
 
 
Mortgage loans related to Non-Residual Trusts
 
$
(196
)
 
$
683

Charged-off loans
 
—

 
—

Receivables related to Non-Residual Trusts
 
(171
)
 
(1,118
)
Total
 
$
(367
)
 
$
(435
)
 
 
 
 
 
Gains (losses) from changes in instrument-specific credit risk associated with liabilities under the fair value option
 
 
 
 
Mortgage-backed debt related to Non-Residual Trusts
 
113

 
524

Total
 
$
113

 
$
524
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:
 
 
 
 
March 31, 2015
 
December 31, 2014
 
 
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% - 88.67%
 
9.14
%
 
0.00% - 59.58%
 
8.04
%

__________
(1)
Loss severity is based on the balance of real estate owned.
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.
 
 
 
 
March 31, 2015
 
December 31, 2014
 
 
Fair Value
Hierarchy
 
Carrying
Amount
 
Estimated
Fair Value
 
Carrying
Amount
 
Estimated
Fair Value
Financial assets
 
 
 
 
 
 
 
 
 
 
Residential loans at amortized cost, net
 
Level 3
 
$
1,288,898

 
$
1,354,884

 
$
1,314,539

 
$
1,377,213

Insurance premium receivables
 
Level 3
 
95,826

 
90,829

 
98,220

 
93,395

Servicer and protective advances, net
 
Level 3
 
1,612,988

 
1,551,659

 
1,761,082

 
1,691,443

 
 
 
 
 
 
 
 
 
 
 
Financial liabilities
 
 
 
 
 
 
 
 
 
 
Payables to insurance carriers
 
Level 3
 
64,429

 
63,636

 
69,498

 
68,673

Servicing advance liabilities (1)
 
Level 3
 
1,282,138

 
1,286,318

 
1,362,017

 
1,367,519

Corporate debt (1)
 
Level 2
 
2,230,837

 
2,091,582

 
2,230,557

 
2,095,286

Mortgage-backed debt carried at amortized cost (1)
 
Level 3
 
1,060,011

 
1,094,842

 
1,086,660

 
1,121,369

__________
(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 Three Months 
 Ended March 31,
 
 
2015
 
2014
Realized gains on sales of loans
 
$
61,379

 
$
86,833

Change in unrealized gains (losses) on loans held for sale
 
1,389

 
(4,176
)
Gains (losses) on interest rate lock commitments
 
24,782

 
(1,606
)
Losses on forward sales commitments
 
(38,648
)
 
(35,856
)
Gains (losses) on MBS purchase commitments
 
(5,679
)
 
67

Capitalized servicing rights
 
72,301

 
52,613

Provision for repurchases
 
(2,025
)
 
(2,186
)
Interest income
 
11,728

 
8,345

Net gains on sales of loans
 
$
125,227

 
$
104,034
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 Three Months 
 Ended March 31,
 
 
2015
 
2014
Interest income on reverse loans
 
$
106,280

 
$
96,881

Change in fair value of reverse loans
 
16,727

 
108,528

Net fair value gains on reverse loans
 
123,007

 
205,409

 
 
 
 
 
Interest expense on HMBS related obligations
 
(98,536
)
 
(90,560
)
Change in fair value of HMBS related obligations
 
6,303

 
(97,613
)
Net fair value losses on HMBS related obligations
 
(92,233
)
 
(188,173
)
Net fair value gains on reverse loans and related HMBS obligations
 
$
30,774

 
$
17,236