Quarterly report pursuant to Section 13 or 15(d)

Servicing Activities (Tables)

v3.20.1
Servicing Activities (Tables)
3 Months Ended
Mar. 31, 2020
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 months ended March 31, 2020 and 2019.
 
Three Months Ended
 
March 31,
(in thousands)
2020
 
2019
Balance at beginning of period
$
1,909,444

 
$
1,993,440

Purchases of mortgage servicing rights
183,783

 
220,812

Sales of mortgage servicing rights
1,433

 

Changes in fair value due to:
 
 
 
Changes in valuation inputs or assumptions used in the valuation model
(500,763
)
 
(151,614
)
Other changes in fair value (1)
(85,902
)
 
(37,649
)
Other changes (2)
(2,832
)
 
(10,619
)
Balance at end of period
$
1,505,163

 
$
2,014,370

____________________
(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 March 31, 2020 and December 31, 2019, 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, except per loan data)
March 31,
2020
 
December 31,
2019
Weighted average prepayment speed:
18.1
%
 
14.8
%
Impact on fair value of 10% adverse change
$
(96,004
)
 
(88,459
)
Impact on fair value of 20% adverse change
$
(217,491
)
 
(188,209
)
Weighted average delinquency:
0.8
%
 
0.9
%
Impact on fair value of 10% adverse change
$
(1,553
)
 
(7,470
)
Impact on fair value of 20% adverse change
$
(3,735
)
 
(15,020
)
Weighted average discount rate:
6.0
%
 
7.2
%
Impact on fair value of 10% adverse change
$
(29,420
)
 
(49,274
)
Impact on fair value of 20% adverse change
$
(57,603
)
 
(95,963
)
Weighted average per loan annual cost to service:
$
68.56

 
$
66.62

Impact on fair value of 10% adverse change
$
(15,960
)
 
$
(23,932
)
Impact on fair value of 20% adverse change
$
(31,558
)
 
$
(48,054
)

Components of Servicing Revenue
The following table presents the components of servicing income recorded on the Company’s condensed consolidated statements of comprehensive (loss) income for the three months ended March 31, 2020 and 2019:
 
Three Months Ended
 
March 31,
(in thousands)
2020
 
2019
Servicing fee income
$
117,891

 
$
105,936

Ancillary and other fee income
521

 
310

Float income
12,385

 
10,702

Total
$
130,797

 
$
116,948


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 March 31, 2020 and December 31, 2019:
 
March 31, 2020
 
December 31, 2019
(dollars in thousands)
Number of Loans
 
Unpaid Principal Balance
 
Number of Loans
 
Unpaid Principal Balance
Mortgage servicing rights
807,975

 
$
179,714,087

 
793,470

 
$
175,882,142

Residential mortgage loans (1)
3,040

 
1,911,591

 
3,157

 
2,033,951

Other assets
1

 
11

 
71

 
12,511

Total serviced mortgage assets
811,016

 
$
181,625,689

 
796,698

 
$
177,928,604

____________________
(1)
Off-balance sheet residential mortgage loans owned by other entities but serviced by the Company.