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Fair value of financial instruments (Tables)
 6 Months Ended
Jun. 30, 2016
Fair Value Disclosures [Abstract]  
Fair value measurements, recurring and nonrecurring
The following table sets forth the fair value of financial assets and liabilities by level within the fair value hierarchy as of June 30, 2016 and December 31, 2015 ($ in thousands):
 
 
Level 1
 
Level 2
 
Level 3
 
 
Quoted Prices in Active Markets
 
 Observable Inputs Other Than Level 1 Prices
 
 Unobservable Inputs
June 30, 2016
 
 
 
 
 
 
Recurring basis (assets)
 
 
 
 
 
 
Mortgage loans at fair value
 
$
—

 
$
—

 
$
707,445

Nonrecurring basis (assets)
 
 
 
 
 
 
Real estate assets held for sale
 
—

 
—

 
225,682

Not recognized on consolidated balance sheets at fair value (assets)
 
 
 
 
 
 
Mortgage loans held for sale
 
—

 
—

 
4,058

Not recognized on consolidated balance sheets at fair value (liabilities)
 
 
 
 
 
 
Repurchase agreements at fair value
 
—

 
746,757

 
—

Other secured borrowings
 
—

 
161,496

 
—

 
 
 
 
 
 
 
December 31, 2015
 
 
 
 
 
 
Recurring basis (assets)
 
 
 
 
 
 
Mortgage loans at fair value
 
$
—

 
$
—

 
$
960,534

Nonrecurring basis (assets)
 
 
 
 
 
 
Real estate assets held for sale
 
—

 
—

 
250,557

Not recognized on consolidated balance sheets at fair value (assets)
 
 
 
 
 
 
Mortgage loans held for sale
 
—

 
—

 
317,336

Not recognized on consolidated balance sheets at fair value (liabilities)
 
 
 
 
 
 
Repurchase agreements at fair value
 
—

 
767,513

 
—

Other secured borrowings
 
—

 
502,268

 
—
Fair value, assets measured on recurring basis, reconciliation
The following table sets forth the changes in our level 3 assets that are measured at fair value on a recurring basis ($ in thousands):
 
Three months ended June 30, 2016
 
Three months ended June 30, 2015
 
Six months ended June 30, 2016
 
Six months ended June 30, 2015
Mortgage loans at fair value
 
 
 
 
 
 
 
Beginning balance
$
924,543

 
$
1,853,495

 
$
960,534

 
$
1,959,044

Change in unrealized gain on mortgage loans at fair value
2,372

 
42,209

 
28,628

 
103,343

Net realized gain on mortgage loans at fair value
8,180

 
19,272

 
20,912

 
34,654

Transfers of mortgage loans at fair value to mortgage loans held for sale, net
(137,144
)
 
—

 
(103,115
)
 
—

Mortgage loans at fair value resolutions and payments
(34,896
)
 
(82,070
)
 
(84,827
)
 
(147,238
)
Real estate tax advances to borrowers
1,652

 
4,264

 
5,094

 
11,391

Reclassification of realized gains on real estate sold from unrealized gains
—

 
13,175

 
—

 
23,977

Transfer of mortgage loans at fair value to real estate owned, net
(57,262
)
 
(133,856
)
 
(119,781
)
 
(268,682
)
Ending balance at June 30
$
707,445

 
$
1,716,489

 
$
707,445

 
$
1,716,489

 
 
 
 
 
 
 
 
Change in unrealized gain on mortgage loans at fair value held at the end of the period
$
(10,924
)
 
$
29,784

 
$
9,718

 
$
80,852
Fair value measurements, recurring and nonrecurring, unobservable inputs
The following table sets forth quantitative information about the significant unobservable inputs used to measure the fair value of our mortgage loans as of the dates indicated:
Input
 
June 30, 2016
 
December 31, 2015
Equity discount rate
 
15.0%
 
15.0%
Debt to asset ratio
 
65.0%
 
65.0%
Cost of funds
 
3.5% over 1 month LIBOR
 
3.5% over 1 month LIBOR
Annual change in home pricing index
 
-18.6% to 25.1%
 
0.0% to 10.2%
Loan resolution probabilities — modification
 
0% to 44.7%
 
0% to 44.7%
Loan resolution probabilities — rental
 
0% to 100.0%
 
0% to 100.0%
Loan resolution probabilities — liquidation
 
0% to 100.0%
 
0% to 100.0%
Loan resolution timelines (in years)
 
0.1 - 4.4
 
0.1 - 5.6
Value of underlying properties
 
$3,000 - $4,250,000
 
$3,000 - $4,500,000