Fair Value (Tables)

6 Months Ended

Jun. 30, 2013

Summary of Assets and Liabilities in Each Level of Fair Value Hierarchy

The following tables summarize the assets and liabilities in each level of the fair value hierarchy (in thousands):


	Recurring Fair Value Measurements at June 30, 2013
	Level 1		Level 2		Level 3		Total
Assets
Reverse loans	$	—	$	—	$	7,906,635	$	7,906,635
Residential loans related to Non-Residual Trusts		—		—		613,627		613,627
Forward loans held for sale		—		1,664,215		—		1,664,215
Receivables related to Non-Residual Trusts		—		—		50,890		50,890
Servicing rights carried at fair value		—		—		880,950		880,950
Derivative instruments		—		167,703		61,680		229,383

Total assets	$	—	$	1,831,918	$	9,513,782	$	11,345,700

Liabilities
Mandatory repurchase obligation	$	—	$	—	$	8,867	$	8,867
Professional fees liability related to certain securitizations		—		—		7,350		7,350
Contingent earn-out payments		—		—		10,900		10,900
Derivative instruments		—		39,279		19,327		58,606
Mortgage-backed debt related to Non-Residual Trusts		—		—		721,080		721,080
HMBS related obligations		—		—		7,805,846		7,805,846

Total liabilities	$	—	$	39,279	$	8,573,370	$	8,612,649


	Recurring Fair Value Measurements at December 31, 2012
	Level 1		Level 2		Level 3		Total
Assets
Reverse loans ⁽¹⁾	$	—	$	—	$	6,047,108	$	6,047,108
Residential loans related to Non-Residual Trusts		—		—		646,498		646,498
Forwards loans held for sale		—		16,605		—		16,605
Receivables related to Non-Residual Trusts		—		—		53,975		53,975
Derivative instruments		—		—		949		949

Total assets	$	—	$	16,605	$	6,748,530	$	6,765,135

Liabilities
Mandatory repurchase obligation	$	—	$	—	$	9,999	$	9,999
Professional fees liability related to certain securitizations		—		—		8,147		8,147
Contingent earn-out payments		—		—		6,100		6,100
Derivative instruments		—		1,102		—		1,102
Mortgage-backed debt related to Non-Residual Trusts		—		—		757,286		757,286
HMBS related obligations		—		—		5,874,552		5,874,552

Total liabilities	$	—	$	1,102	$	6,656,084	$	6,657,186

(1)	Includes $28.5 million in reverse loans held for sale at December 31, 2012.

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 in 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 Three Months Ended June 30, 2013
	Fair Value April 1, 2013			ResCap Net Assets Acquisition		Total Gains (Losses) Included in Net Income			Purchases		Sales			Issuances			Settlements			Fair Value June 30, 2013
Assets
Reverse loans	$	7,106,943		$	—	$	101,304		$	464,494	$	(272	)	$	337,972		$	(103,806	)	$	7,906,635
Residential loans related to Non-Residual Trusts		627,430			—		16,938			—		—			—			(30,741	)		613,627
Receivables related to Non-Residual Trusts		53,671			—		1,219			—		—			—			(4,000	)		50,890
Servicing rights carried at fair value		759,683			—		65,077			19,885		—			36,305			—			880,950
Derivative instruments (IRLCs)		59,573			—		2,107			—		—			—			—			61,680

Total assets	$	8,607,300		$	—	$	186,645		$	484,379	$	(272	)	$	374,277		$	(138,547	)	$	9,513,782


Liabilities
Mandatory repurchase obligation	$	(9,695	)	$	—	$	566		$	—	$	—		$	—		$	262		$	(8,867	)
Professional fees liability related to certain securitizations		(7,739	)		—		(210	)		—		—			—			599			(7,350	)
Derivative instruments (IRLCs)		—			—		(19,327	)		—		—			—			—			(19,327	)
Contingent earn-out payments		(9,794	)		—		(1,106	)		—		—			—			—			(10,900	)
Mortgage-backed debt related to Non-Residual Trusts		(738,434	)		—		(15,845	)		—		—			—			33,199			(721,080	)
HMBS related obligations		(6,887,583	)		—		(74,353	)		—		—			(943,359	)		99,449			(7,805,846	)

Total liabilities	$	(7,653,245	)	$	—	$	(110,275	)	$	—	$	—		$	(943,359	)	$	133,509		$	(8,573,370	)


	For the Six Months Ended June 30, 2013
	Fair Value January 1, 2013			ResCap Net Assets Acquisition		Total Gains (Losses) Included in Net Income			Purchases		Sales			Issuances			Settlements			Fair Value June 30, 2013
Assets
Reverse loans ⁽¹⁾	$	6,047,108		$	—	$	184,581		$	1,258,891	$	(76,441	)	$	646,163		$	(153,667	)	$	7,906,635
Residential loans related to Non-Residual Trusts		646,498			—		29,957			—		—			—			(62,828	)		613,627
Receivables related to Non-Residual Trusts		53,975			—		5,056			—		—			—			(8,141	)		50,890
Servicing rights carried at fair value		26,382			242,604		44,002			530,367		—			37,595			—			880,950
Derivative instruments (IRLCs)		949			—		60,731			—		—			—			—			61,680

Total assets	$	6,774,912		$	242,604	$	324,327		$	1,789,258	$	(76,441	)	$	683,758		$	(224,636	)	$	9,513,782


Liabilities
Mandatory repurchase obligation	$	(9,999	)	$	—	$	404		$	—	$	—		$	—		$	728		$	(8,867	)
Professional fees liability related to certain securitizations		(8,147	)		—		(430	)		—		—			—			1,227			(7,350	)
Derivative instruments (IRLCs)		—			—		(19,327	)		—		—			—			—			(19,327	)
Contingent earn-out payments		(6,100	)		—		(4,800	)		—		—			—			—			(10,900	)
Mortgage-backed debt related to Non-Residual Trusts		(757,286	)		—		(29,850	)		—		—			—			66,056			(721,080	)
HMBS related obligations		(5,874,552	)		—		(116,370	)		—		—			(1,972,103	)		157,179			(7,805,846	)

Total liabilities	$	(6,656,084	)	$	—	$	(170,373	)	$	—	$	—		$	(1,972,103	)	$	225,190		$	(8,573,370	)

(1)	Includes $28.5 million in reverse loans held for sale at January 1, 2013. There were no reverse loans held for sale at June 30, 2013.


	For the Three Months Ended June 30, 2012
	Fair Value April 1, 2012			Total Gains (Losses) Included in Net Income			Settlements			Fair Value June 30, 2012
Assets
Residential loans related to Non-Residual Trusts	$	687,848		$	24,263		$	(33,429	)	$	678,682
Receivables related to Non-Residual Trusts		77,900			(5,663	)		(4,130	)		68,107

Total assets	$	765,748		$	18,600		$	(37,559	)	$	746,789

Liabilities
Mandatory repurchase obligation	$	(11,573	)	$	118		$	555		$	(10,900	)
Professional fees liability related to certain securitizations		(9,265	)		(268	)		673			(8,860	)
Mortgage-backed debt related to Non-Residual Trusts		(819,345	)		(17,204	)		35,211			(801,338	)

Total liabilities	$	(840,183	)	$	(17,354	)	$	36,439		$	(821,098	)


	For the Six Months Ended June 30, 2012
	Fair Value January 1, 2012			Total Gains (Losses) Included in Net Income			Settlements			Fair Value June 30, 2012
Assets
Residential loans related to Non-Residual Trusts	$	672,714		$	74,075		$	(68,107	)	$	678,682
Receivables related to Non-Residual Trusts		81,782			(5,104	)		(8,571	)		68,107

Total assets	$	754,496		$	68,971		$	(76,678	)	$	746,789

Liabilities
Mandatory repurchase obligation	$	(11,849	)	$	(177	)	$	1,126		$	(10,900	)
Professional fees liability related to certain securitizations		(9,666	)		(554	)		1,360			(8,860	)
Mortgage-backed debt related to Non-Residual Trusts		(811,245	)		(61,782	)		71,689			(801,338	)

Total liabilities	$	(832,760	)	$	(62,513	)	$	74,175		$	(821,098	)

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 these assets and liabilities at June 30, 2013. Significant increases or decreases in any of these inputs in isolation would result in a significantly lower or higher fair value measurement.


	Significant Unobservable Input	Range	Weighted Average
Assets
Reverse loans	Weighted-average remaining life in years	1.3 - 11.6		4.5
	Conditional repayment rate	4.80% - 36.10%		18.46	%
	Discount rate	1.39% - 4.27%		2.35	%
Residential loans related to Non-Residual Trusts	Conditional prepayment rate	3.82% - 6.21%		5.50	%
	Loss severity	75.46% - 91.76%		87.00	%
Receivables related to Non-Residual Trusts	Conditional prepayment rate	3.91% - 6.22%		5.49	%
	Loss severity	72.70% - 89.19%		84.33	%
Servicing rights carried at fair value	Weighted-average remaining life in years	5.0 - 9.3		5.4
	Discount rate	9.17% - 10.40%		9.37	%
	Conditional prepayment rate	4.95% - 10.37%		9.31	%
	Conditional default rate	0.92% - 4.86%		4.02	%
Derivative instruments (IRLCs)	Loan funding probability	33.40% - 100.00%		80.00	%
Liabilities
Mandatory repurchase obligation	Conditional prepayment rate	6.92%		6.92	%
	Loss severity	70.55%		70.55	%
Professional fees liability related to certain securitizations	Conditional prepayment rate	3.91% - 6.83%		5.55	%
Mortgage-backed debt related to Non-Residual Trusts	Conditional prepayment rate	3.91% - 6.22%		5.49	%
	Loss severity	72.70% -89.19%		84.33	%
HMBS related obligations	Weighted-average remaining life in years	2.1 - 7.5		4.2
	Conditional repayment rate	10.40% - 36.00%		19.47	%
	Discount rate	0.92% - 2.81%		1.72	%
Derivative instruments (IRLCs)	Loan funding probability	19.20% - 100.00%		84.30	%

Assets Measured at Fair Value on Non-Recurring Basis

The following assets are measured in the consolidated financial statements at fair value on a non-recurring basis utilizing significant unobservable inputs or Level 3 assumptions in their valuation (in thousands):


	June 30, 2013		December 31, 2012
Real estate owned, net	$	68,380	$	64,959

Significant Unobservable Inputs Used for Assets Measured at Fair Value on Non-Recurring Basis

The following table presents the significant unobservable inputs used in the fair value measurement of Level 3 assets at June 30, 2013 measured in the consolidated financial statements at fair value on a non-recurring basis:


	Significant Unobservable Input	Range	Weighted Average
Real estate owned, net	Loss severity	0.00% - 71.17%		10.25	%

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):


	June 30, 2013					December 31, 2012
	Carrying Amount		Estimated Fair Value		Fair Value Hierarchy	Carrying Amount		Estimated Fair Value
Financial assets
Cash and cash equivalents	$	532,620	$	532,620	Level 1	$	442,054	$	442,054
Restricted cash and cash equivalents		1,057,503		1,057,503	Level 1		653,338		653,338
Residential loans at amortized cost		1,443,707		1,389,137	Level 3		1,490,321		1,436,592
Receivables, net:
Insurance premium receivables		106,734		101,347	Level 3		107,824		101,238
Other		111,397		111,397	Level 1		97,210		97,210
Servicer and protective advances, net		1,044,410		1,003,524	Level 3		173,047		160,632

Financial liabilities
Payables and accrued liabilities:
Payables to insurance carriers		67,548		66,617	Level 3		51,377		50,614
Other		548,078		548,078	Level 1		183,885		183,885
Servicer payables		959,565		959,565	Level 1		587,929		587,929
Servicing advance liabilities ⁽¹⁾		737,100		737,181	Level 3		99,508		99,915
Debt ⁽²⁾		3,588,254		3,646,543	Level 2		1,115,804		1,165,811
Mortgage-backed debt carried at amortized cost ⁽³⁾		1,244,458		1,249,739	Level 3		1,298,999		1,300,979

(1)	The carrying amount of servicing advance liabilities is net of deferred issuance costs of $0.5 million and $0.7 million at June 30, 2013 and December 31, 2012, respectively.

(2)	The carrying amount of debt is net of deferred issuance costs of $36.9 million and $30.4 million at June 30, 2013 and December 31, 2012, respectively.

(3)	The carrying amount of mortgage-backed debt carried at amortized cost is net of deferred issuance costs of $15.3 million and $16.4 million at June 30, 2013 and December 31, 2012, respectively.

Fair Value and Unpaid Principal Balance of Assets and Liabilities Carried Under Fair Value Option

Presented in the table below is the fair value and unpaid principal balance of loans, receivables and debt instruments for which the Company has elected the fair value option (in thousands):


	June 30, 2013				December 31, 2012
	Estimated Fair Value		Unpaid Principal Balance⁽¹⁾		Estimated Fair Value		Unpaid Principal Balance⁽¹⁾
Loans and receivables at fair value under the fair value option
Reverse loans ^(2) (3)	$	7,906,635	$	7,087,547	$	6,047,108	$	5,400,876
Residential loans related to Non-Residual Trusts		613,627		770,917		646,498		814,481
Forward loans held for sale ⁽³⁾		1,664,215		1,652,690		16,605		16,325
Receivables related to Non-Residual Trusts		50,890		51,464		53,975		54,604

Total	$	10,235,367	$	9,562,618	$	6,764,186	$	6,286,286

Debt instruments at fair value under the fair value option
Mortgage-backed debt related to Non-Residual Trusts	$	721,080	$	780,116	$	757,286	$	825,200
HMBS related obligations		7,805,846		6,899,305		5,874,552		5,169,135

Total	$	8,526,926	$	7,679,421	$	6,631,838	$	5,994,335

(1)	For the receivables related to Non-Residual Trusts, the unpaid principal balance represents the notional amount of expected draws under the LOCs. For the HMBS related obligations, the unpaid principal balance represents the balance outstanding.

(2)	Includes $28.5 million in reverse loans held for sale at December 31, 2012. There were no reverse loans held for sale at June 30, 2013.

(3)	Includes loans that collateralize master repurchase agreements. See Note 15 for further information.

Summary of Net Fair Value Gains

Provided in the table below is a summary of the components of other net fair value gains (in thousands):


	For the Three Months Ended June 30,						For the Six Months Ended June 30,
	2013			2012			2013			2012
Other net fair value gains (losses)
Assets of Non-Residual Trusts	$	18,157		$	18,600		$	35,013		$	68,971
Liabilities of Non-Residual Trusts		(15,845	)		(17,204	)		(29,850	)		(61,782	)
Mandatory repurchase obligation		566			118			404			(177	)
Professional fees liability related to certain securitizations		(210	)		(268	)		(430	)		(554	)
Contingent earn-out payments		(1,106	)		—			(4,800	)		—
Other		94			(458	)		58			(907	)

Other net fair value gains	$	1,656		$	788		$	395		$	5,551

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 June 30, 2013			For the Six Months Ended June 30, 2013
Net fair value gains (losses) on reverse loans and related HMBS obligations
Reverse loans	$	101,084		$	179,889
HMBS related obligations		(74,353	)		(116,370	)

Net fair value gains on reverse loans and related HMBS obligations	$	26,731		$	63,519

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 June 30, 2013			For the Six Months Ended June 30, 2013
Gains on sales of loans	$	75,918		$	84,226
Unrealized losses on loans held for sale		(15,897	)		(2,271	)
Net fair value gains on derivatives		141,746			196,430
Capitalized servicing rights		27,605			28,895
Provision for repurchases		(2,010	)		(2,181	)
Interest income		8,473			9,261
Other		114			34

Net gains on sales of loans	$	235,949		$	314,394