Mortgage Servicing Rights (Tables)

9 Months Ended

Sep. 30, 2018

Mortgage Servicing Rights

Schedule of changes in the fair value of MSRs

	September 30,		December 31,
	2018		2017
Balance at beginning of period	$	154,405	$	131,537
Additions from servicing retained loan sales		22,473		56,049
Addition from purchases		—		5,618
Reductions from bulk sales (1)		—		(895)
Changes in fair value (2)		4,127		(37,904)
Fair value of MSRs at end of period	$	181,005	$	154,405

(1) In the first quarter of 2017, the Company sold substantially all of its NonQM MSRs.

(2) Changes in fair value are included within gain (loss) on MSRs, net in the accompanying consolidated statements of operations and comprehensive (loss) earnings.

Schedule of the outstanding loans serviced by entity

	September 30,		December 31,
	2018		2017
Government insured (1)	$	3,820,752	$	2,834,680
Conventional (2)		12,966,922		13,493,463
NonQM		1,860		1,957
Total loans serviced	$	16,789,534	$	16,330,100

(1) In October 2018, the Company sold approximately $3.4 billion in UPB of Ginne Mae (GNMA) servicing.

(2) At September 30, 2018 and December 31, 2017,  $13.0 billion and $13.5 billion, respectively, of Fannie Mae and Freddie Mac servicing was pledged as collateral as part of the MSR Financing (See Note 5.—Debt– MSR Financings).  Pledged collateral was approximately 77% and 81% of the fair value of MSRs in the consolidated balance sheets at September 30, 2018 and December 31, 2017, respectively.

Schedule of hypothetical changes in the fair values of MSRs

	September 30,		December 31,
Mortgage Servicing Rights Sensitivity Analysis	2018		2017
Fair value of MSRs	$	181,005	$	154,405
Prepayment Speed:
Decrease in fair value from 10% adverse change		(1,846)		(5,643)
Decrease in fair value from 20% adverse change		(3,914)		(11,275)
Decrease in fair value from 30% adverse change		(6,216)		(16,807)
Discount Rate:
Decrease in fair value from 10% adverse change		(5,357)		(5,461)
Decrease in fair value from 20% adverse change		(10,346)		(10,555)
Decrease in fair value from 30% adverse change		(15,001)		(15,316)

Schedule of Gain (loss) on mortgage servicing rights

	For the Three Months Ended				For the Nine Months Ended
	September 30,				September 30,
	2018		2017		2018		2017
Change in fair value of mortgage servicing rights	$	(5,445)	$	(11,177)	$	4,127	$	(20,038)
Loss on sale of mortgage servicing rights		—		(8)		—		(90)
Realized and unrealized (losses) gains from hedging instruments		253		672		(1,445)		1,969
(Loss) gain on mortgage servicing rights, net	$	(5,192)	$	(10,513)	$	2,682	$	(18,159)

Schedule of components of servicing income

	For the Three Months Ended				For the Nine Months Ended
	September 30,				September 30,
	2018			2017	2018		2017
Contractual servicing fees	$	11,458	$	9,978	$	34,322	$	27,356
Late and ancillary fees		182		117		500		275
Subservicing and other costs		(1,516)		(1,603)		(5,377)		(4,056)
Servicing fees, net	$	10,124	$	8,492	$	29,445	$	23,575