Quarterly report pursuant to Section 13 or 15(d)

Servicing Activities (Tables)

v3.7.0.1
Servicing Activities (Tables)
6 Months Ended
Jun. 30, 2017
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract]  
Schedule of Servicing Assets at Fair Value
The following table summarizes activity related to MSR for the three and six months ended June 30, 2017 and 2016.
 
Three Months Ended
 
Six Months Ended
 
June 30,
 
June 30,
(in thousands)
2017
 
2016
 
2017
 
2016
Balance at beginning of period
$
747,580

 
$
446,170

 
$
693,815

 
$
493,688

Additions from purchases of mortgage servicing rights
196,920

 
55,938

 
273,876

 
106,211

Additions from sales of residential mortgage loans

 
318

 
20

 
522

Subtractions from sales of mortgage servicing rights
(946
)
 

 
(946
)
 

Changes in fair value due to:
 
 
 
 
 
 
 
Changes in valuation inputs or assumptions used in the valuation model
(26,111
)
 
(59,074
)
 
(22,929
)
 
(143,433
)
Other changes in fair value (1)
(19,951
)
 
(17,461
)
 
(37,948
)
 
(34,542
)
Other changes (2)
533

 
1,922

 
(7,863
)
 
5,367

Balance at end of period
$
898,025

 
$
427,813

 
$
898,025

 
$
427,813

____________________
(1)
Other changes in fair value primarily represents changes due to the realization of expected cash flows.
(2)
Other changes includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral.

Schedule of Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets
As of June 30, 2017 and December 31, 2016, the key economic assumptions and sensitivity of the fair value of MSR to immediate 10% and 20% adverse changes in these assumptions were as follows:
(dollars in thousands)
June 30,
2017
 
December 31,
2016
Weighted average prepayment speed:
10.0
%
 
9.2
%
Impact on fair value of 10% adverse change
$
(33,975
)
 
$
(25,012
)
Impact on fair value of 20% adverse change
$
(65,496
)
 
$
(48,602
)
Weighted average delinquency:
1.5
%
 
1.9
%
Impact on fair value of 10% adverse change
$
(3,891
)
 
$
(1,908
)
Impact on fair value of 20% adverse change
$
(7,723
)
 
$
(3,816
)
Weighted average discount rate:
10.0
%
 
9.4
%
Impact on fair value of 10% adverse change
$
(29,276
)
 
$
(23,590
)
Impact on fair value of 20% adverse change
$
(56,695
)
 
$
(45,861
)
Components of Servicing Revenue
The following table presents the components of servicing income recorded on the Company’s condensed consolidated statements of comprehensive income for the three and six months ended June 30, 2017 and 2016:
 
Three Months Ended
 
Six Months Ended
 
June 30,
 
June 30,
(in thousands)
2017
 
2016
 
2017
 
2016
Servicing fee income
$
49,434

 
$
34,431

 
$
87,934

 
$
67,540

Ancillary fee income
165

 
488

 
305

 
973

Float income
1,709

 
897

 
2,842

 
1,436

Total
$
51,308

 
$
35,816

 
$
91,081

 
$
69,949

Schedule of Total Serviced Mortgage Assets
The following table presents the number of loans and unpaid principal balance of the mortgage assets for which the Company manages the servicing as of June 30, 2017 and December 31, 2016:
 
June 30, 2017
 
December 31, 2016
(dollars in thousands)
Number of Loans
 
Unpaid Principal Balance
 
Number of Loans
 
Unpaid Principal Balance
Mortgage servicing rights
379,711

 
$
84,814,247

 
280,185

 
$
62,827,975

Residential mortgage loans held-for-investment in securitization trusts
4,404

 
3,052,238

 
4,604

 
3,234,044

Residential mortgage loans held-for-sale
259

 
39,941

 
333

 
49,986

Total serviced mortgage assets
384,374

 
$
87,906,426

 
285,122

 
$
66,112,005