Mortgage Servicing Rights (Tables)

3 Months Ended

Mar. 31, 2020

Mortgage Servicing Rights

Schedule of changes in the fair value of MSRs

	March 31,		December 31,
	2020		2019
Balance at beginning of year	$	41,470	$	64,728
Additions from servicing retained loan sales		1,689		2,491
Other		—		22
Changes in fair value (1)		(18,831)		(25,771)
Fair value of MSRs at end of period	$	24,328	$	41,470

(1) Changes in fair value are included within loss on mortgage servicing rights, net in the accompanying consolidated statements of operations and comprehensive loss.

Schedule of the outstanding loans serviced by entity

	March 31,		December 31,
	2020		2019
Government insured	$	155,821	$	105,442
Conventional (1)		4,541,150		4,826,407
Total loans serviced (2)	$	4,696,971	$	4,931,849

(1) In May 2020, the Company sold all of the conventional mortgage servicing for approximately $20.1 million, receiving approximately 74% of the proceeds upon sale, 6% of the proceeds upon transfer of the servicing and the final 20% upon transfer of all trailing documents. The Company used the proceeds from the MSR sale to pay off the MSR financing. (See Note 5.—Debt– MSR Financings)

(2) At March 31, 2020, $4.5 billion of Freddie Mac servicing was pledged as collateral as part of the MSR Financing.  Pledged collateral was approximately 95% of the fair value of MSRs in the consolidated balance sheets at March 31, 2020.  No collateral was pledged as part of the MSR Financing at December 31, 2019.  (See Note 5.—Debt– MSR Financings)

Schedule of hypothetical changes in the fair values of MSRs

	March 31,		December 31,
Mortgage Servicing Rights Sensitivity Analysis	2020		2019
Fair value of MSRs	$	24,328	$	41,470
Prepayment Speed:
Decrease in fair value from 10% adverse change		(1,951)		(1,850)
Decrease in fair value from 20% adverse change		(3,709)		(3,631)
Decrease in fair value from 30% adverse change		(5,305)		(5,325)
Discount Rate:
Decrease in fair value from 10% adverse change		(649)		(1,330)
Decrease in fair value from 20% adverse change		(1,266)		(2,579)
Decrease in fair value from 30% adverse change		(1,853)		(3,753)

Schedule of gain (loss) on mortgage servicing rights

	For the Three Months Ended
	March 31,
	2020		2019
Change in fair value of mortgage servicing rights	$	(18,831)	$	(6,488)
Gain on sale of mortgage servicing rights		521		865
Loss on mortgage servicing rights, net	$	(18,310)	$	(5,623)

Schedule of components of servicing income

	For the Three Months Ended
	March 31,
	2020		2019
Contractual servicing fees	$	3,049	$	4,189
Late and ancillary fees		39		55
Subservicing and other costs		(581)		(1,275)
Servicing fees, net	$	2,507	$	2,969