Fair Value (Tables)

12 Months Ended

Dec. 31, 2019

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Carrying Amounts and Estimated Fair Values of Financial Instruments and Nonfinancial Assets Measured at Fair Value on a Recurring or Non-recurring basis or Disclosed, but not Carried, at Fair Value

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:

		December 31,
		2019				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	$	208,752	$	208,752	$	176,525	$	176,525
Loans held for sale, at lower of cost or fair value (b)	3	66,517		66,517		66,097		66,097
Total Loans held for sale		$	275,269	$	275,269	$	242,622	$	242,622
Loans held for investment
Loans held for investment - Reverse mortgages (a)	3	$	6,269,596	$	6,269,596	$	5,472,199	$	5,472,199
Loans held for investment - Restricted for securitization investors (a)	3	23,342		23,342		26,520		26,520
Total loans held for investment		6,292,938		6,292,938		5,498,719		5,498,719
Advances (including match funded), net (c)	3	1,056,523		1,056,523		1,186,676		1,186,676
Receivables, net (c)	3	201,220		201,220		198,262		198,262
Mortgage-backed securities (a)	3	2,075		2,075		1,502		1,502
U.S. Treasury notes (a)	1	—		—		1,064		1,064
Corporate bonds (a)	2	441		441		450		450

		December 31,
		2019						2018
	Level	Carrying Value			Fair Value			Carrying Value			Fair Value
Financial liabilities:
Match funded liabilities (c)	3	$	679,109		$	679,507		$	778,284		$	776,485
Financing liabilities:
HMBS-related borrowings (a)	3	$	6,063,435		$	6,063,435		$	5,380,448		$	5,380,448
Financing liability - MSRs pledged (Rights to MSRs) (a)	3	950,593			950,593			1,032,856			1,032,856
Financing liability - Owed to securitization investors (a)	3	22,002			22,002			24,815			24,815
Other (c)	3	—			—			4,419			4,419
Total Financing liabilities		$	7,036,030		$	7,036,030		$	6,442,538		$	6,442,538
Other secured borrowings:
Senior secured term loan (c) (d)	2	$	322,758		$	324,643		$	226,825		$	227,449
Other (c)	3	703,033			686,146			221,236			204,864
Total Other secured borrowings		$	1,025,791		$	1,010,789		$	448,061		$	432,313
Senior notes:
Senior unsecured notes (c) (d)	2	$	21,046		$	13,821		$	119,924		$	119,258
Senior secured notes (c) (d)	2	290,039			256,201			328,803			306,889
Total Senior notes		$	311,085		$	270,022		$	448,727		$	426,147
Derivative financial instrument assets (liabilities)
Interest rate lock commitments (a)	2	$	4,878		$	4,878		$	3,871		$	3,871
Forward trades - Loans held for sale (a)	1	(92		)	(92		)	(4,983		)	(4,983		)
TBA / Forward mortgage-backed securities (MBS) trades - MSR hedging (a)	1	1,121			1,121			—			—
Interest rate caps (a)	3	—			—			678			678
MSRs (a)	3	$	1,486,395		$	1,486,395		$	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 14 — Borrowings for additional information.

Summary of Reconciliation of the Changes in Fair Value of Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis

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 Securitiza - tion Investors			Mortgage-Backed Securities		Financing Liability - MSRs Pledged			Derivatives			MSRs
Year Ended December 31, 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	—			—			—			—			—		(1,276		)	—			162,300
Issuances	1,026,154			(962,113		)	—			—			—		—			—			—
Sales	—			—			—			—			—		(44		)	—			(4,344		)
Settlements	(558,720		)	549,600			(3,178		)	2,813			—		214,364			—			(7,309		)
Transfers (to) from:
Loans held for sale, at fair value	(1,892		)	—			—			—			—		—			—			—
Receivables, net	(327		)	—			—			—			—		—			—			—
Other assets	(513		)	—			—			—			—		—			—			—
	464,702			(412,513		)	(3,178		)	2,813			—		213,044			—			150,647
Total realized and unrealized gains (losses)
Included in earnings:
Change in fair value (1)	332,430			(270,473		)	—			—			573		(152,986		)	(678		)	(121,401		)
Calls and other	—			—			—			—			—		22,205			—			—
	332,430			(270,473		)	—			—			573		(130,781		)	(678		)	(121,401		)
Transfers in and / or out of Level 3	—			—			—			—			—		—			—			—
Ending balance	$	6,269,331		$	(6,063,434	)	$	23,342		$	(22,002	)	$	2,075	$	(950,593	)	$	—		$	1,486,395

	Loans Held for Investment - Reverse Mortgages			HMBS-Related Borrowings			Loans Held for Inv. - Restricted for Securitiza- tion Investors			Financing Liability - Owed to Securitiza - tion Investors			Mortgage-Backed Securities			Financing Liability - MSRs Pledged			Derivatives			MSRs
Year Ended December 31, 2018
Beginning balance	$	4,715,831		$	(4,601,556	)	$	—		$	—		$	1,592		$	(508,291	)	$	2,056		$	671,962
Purchases, issuances, sales and settlements
Purchases	—			—			—			—			—			(667		)	95			13,712
Recognized (assumed) in connection with the acquisition of PHH	—			—			—			—			—			(481,020		)	—			518,127
Issuances (2)	920,476			(948,917		)	—			—			—			(279,586		)	—			—
Consolidation of mortgage-backed securitization trusts	—			—			28,373			(26,643		)	—			—			—			—
Sales	—			—			—			—			—			—			—			(6,240		)
Settlements	(400,521		)	391,985			(1,853		)	1,828			—			211,766			(371		)	(5,880		)
Transfers (to) from:
MSRs carried at amortized cost, net of valuation allowance	—			—			—			—			—			—			—			418,925
Loans held for sale, at fair value	(1,039		)	—			—			—			—			—			—			—
Receivables, net	(158		)	—			—			—			—			—			—			—
Other assets	(411		)	—			—			—			—			—			—			—
	518,347			(556,932		)	26,520			(24,815		)	—			(549,507		)	(276		)	938,644
Total realized and unrealized gains (losses)
Included in earnings:
Change in fair value (2)	238,021			(221,960		)	—			—			(90		)	19,269			(1,102		)	(153,457		)
Calls and other	—			—			—			—			—			5,673			—			—
	238,021			(221,960		)	—			—			(90		)	24,942			(1,102		)	(153,457		)
Transfers in and / or out of Level 3	—			—			—			—			—			—			—			—
Ending balance	$	5,472,199		$	(5,380,448	)	$	26,520		$	(24,815	)	$	1,502		$	(1,032,856	)	$	678		$	1,457,149

	Loans Held for Investment - Reverse Mortgages			HMBS-Related Borrowings			Mortgage-Backed Securities			Financing Liability - MSRs Pledged			Derivatives			MSRs
Year Ended December 31, 2017
Beginning balance	$	3,565,716		$	(3,433,781	)	$	8,342		$	(477,707	)	$	1,836		$	679,256
Purchases, issuances, sales and settlements
Purchases	—			—			—			—			655			—
Issuances (3)	1,277,615			(1,281,543		)	—			(54,601		)	—			(2,214		)
Sales	—			—			—			—			—			(540		)
Settlements	(444,388		)	418,503			—			59,190			(445		)	—
Transfers (to) from:
Loans held for sale, at fair value	(3,803		)	—			—			—			—			—
Receivables, net	(3,583		)	—			—			—			—			—
Other assets	(1,929		)	—			—			—			—			—
	823,912			(863,040		)	—			4,589			210			(2,754		)
Total realized and unrealized gains (losses) (4)
Included in earnings
Change in fair value (3)	326,203			(304,735		)	(6,750		)	(41,282		)	10			(4,540		)
Calls and other	—			—			—			6,109			—			—
	326,203			(304,735		)	(6,750		)	(35,173		)	10			(4,540		)
Transfers in and / or out of Level 3	—			—			—			—			—			—
Ending balance	$	4,715,831		$	(4,601,556	)	$	1,592		$	(508,291	)	$	2,056		$	671,962

(1) The change in fair value adjustments on Loans held for investment for 2019 include $12.2 million in connection with the fair value election for future draw commitments on HECM reverse mortgage loans purchased or originated after December 31, 2018.

(2) On January 18, 2018, Ocwen received a lump-sum payment of $279.6 million in accordance with terms of the agreements with NRZ. See Note 10 — Rights to MSRs.

(3) On September 1, 2017, Ocwen transferred MSRs with UPB of $15.9 billion to NRZ and received a lump-sum payment of $54.6 million. See Note 10 — Rights to MSRs.

(4) Total gains (losses) attributable to derivative financial instruments still held at December 31, 2019 and 2018 and 2017 were $(0.7) million, $(1.1) million and $0.1 million for 2019, 2018 and 2017, respectively. Total losses for 2019, 2018 and 2017 attributable to MSRs still held at December 31, 2019, 2018 and 2017 were $98.1 million, $153.5 million and $4.5 million, respectively.

Summary of Estimated Change in the Value of MSRs Carried at Fair Value

The following table summarizes the estimated change in the value of the MSRs that we carry at fair value as of December 31, 2019 given hypothetical shifts in lifetime prepayments and yield assumptions:

Adverse change in fair value	10%			20%
Weighted average prepayment speeds	$	(116,951	)	$	(224,689	)
Weighted average discount rate	(49,463		)	(95,885		)

Loans Held for Investment

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Significant Assumptions used in Valuation

	December 31,
Significant valuation assumptions	2019		2018
Life in years
Range	2.4 to 7.8		3.0 to 7.6
Weighted average	6.0		5.9
Conditional repayment rate
Range	7.8% to 28.3%		6.8% to 38.4%
Weighted average	14.6	%	14.7	%
Discount rate	2.8	%	3.4	%

Fair Value Mortgage Servicing Rights

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Significant Assumptions used in Valuation

	December 31,
Significant valuation assumptions	2019						2018
	Agency			Non-Agency			Agency			Non-Agency
Weighted average prepayment speed	11.7		%	12.2		%	8.5		%	15.4		%
Weighted average delinquency rate	3.2		%	27.3		%	6.6		%	27.1		%
Advance financing cost	5-year swap			5-yr swap plus 2.00%			5-year swap			5-yr swap plus 2.75%
Interest rate for computing float earnings	5-year swap			5-yr swap minus 0.50%			5-year swap			5-yr swap minus 0.50%
Weighted average discount rate	9.3		%	11.3		%	9.1		%	12.8		%
Weighted average cost to service (in dollars)	$	85		$	277		$	90		$	297

HMBS - Related Borrowings

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Significant Assumptions used in Valuation

	December 31,
Significant valuation assumptions	2019		2018
Life in years
Range	2.4 to 7.8		3.0 to 7.6
Weighted average	6.0		5.9
Conditional repayment rate
Range	7.8% to 28.3%		6.8% to 38.4%
Weighted average	14.6	%	14.7	%
Discount rate	2.7	%	3.3	%

Mortgage Servicing Rights Pledged

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Significant Assumptions used in Valuation

	December 31,
Significant valuation assumptions	2019			2018
Weighted average prepayment speed	11.9		%	13.9		%
Weighted average delinquency rate	20.3		%	20.3		%
Advance financing cost	5-year swap plus 0% to 2.00%			5-year swap plus 0% to 2.75%
Interest rate for computing float earnings	5-year swap minus 0% to 0.50%			5-year swap minus 0% to 0.50%
Weighted average discount rate	10.7		%	12.0		%
Weighted average cost to service (in dollars)	$	223		$	234