Quarterly report pursuant to Section 13 or 15(d)

Servicing Activities (Tables)

v3.19.3
Servicing Activities (Tables)
9 Months Ended
Sep. 30, 2019
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 nine months ended September 30, 2019 and 2018.
 
Three Months Ended
 
Nine Months Ended
 
September 30,
 
September 30,
(in thousands)
2019
 
2018
 
2019
 
2018
Balance at beginning of period
$
1,800,826

 
$
1,450,261

 
$
1,993,440

 
$
1,086,717

Purchases of mortgage servicing rights
76,588

 
201,197

 
341,110

 
480,462

Sales of mortgage servicing rights
905

 

 
905

 

Changes in fair value due to:
 
 
 
 
 
 
 
Changes in valuation inputs or assumptions used in the valuation model
(144,071
)
 
62,680

 
(477,710
)
 
209,610

Other changes in fair value (1)
(90,529
)
 
(42,085
)
 
(198,585
)
 
(107,754
)
Other changes (2)
7,837

 
(8,029
)
 
(7,604
)
 
(5,011
)
Balance at end of period
$
1,651,556

 
$
1,664,024

 
$
1,651,556

 
$
1,664,024

____________________
(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 September 30, 2019 and December 31, 2018, 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)
September 30,
2019
 
December 31,
2018
Weighted average prepayment speed:
16.1
%
 
8.6
%
Impact on fair value of 10% adverse change
$
(96,530
)
 
(67,245
)
Impact on fair value of 20% adverse change
$
(182,573
)
 
(130,371
)
Weighted average delinquency:
0.8
%
 
1.3
%
Impact on fair value of 10% adverse change
$
(6,435
)
 
(6,911
)
Impact on fair value of 20% adverse change
$
(12,898
)
 
(13,688
)
Weighted average discount rate:
7.0
%
 
9.4
%
Impact on fair value of 10% adverse change
$
(37,901
)
 
(62,528
)
Impact on fair value of 20% adverse change
$
(74,275
)
 
(121,135
)

Components of Servicing Revenue
The following table presents the components of servicing income recorded on the Company’s condensed consolidated statements of comprehensive income (loss) for the three and nine months ended September 30, 2019 and 2018:
 
Three Months Ended
 
Nine Months Ended
 
September 30,
 
September 30,
(in thousands)
2019
 
2018
 
2019
 
2018
Servicing fee income
$
106,700

 
$
80,690

 
$
327,184

 
$
218,022

Ancillary and other fee income
499

 
358

 
1,302

 
1,004

Float income
18,826

 
8,570

 
45,436

 
19,447

Total
$
126,025

 
$
89,618

 
$
373,922

 
$
238,473


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 September 30, 2019 and December 31, 2018:
 
September 30, 2019
 
December 31, 2018
(dollars in thousands)
Number of Loans
 
Unpaid Principal Balance
 
Number of Loans
 
Unpaid Principal Balance
Mortgage servicing rights
742,723

 
$
165,332,533

 
717,167

 
$
163,102,308

Residential mortgage loans in securitization trusts
3,340

 
2,166,758

 
3,612

 
2,392,471

Other assets
74

 
12,833

 
220

 
34,374

Total serviced mortgage assets
746,137

 
$
167,512,124

 
720,999

 
$
165,529,153