MORTGAGE SERVICING RIGHTS

6 Months Ended

Jun. 30, 2017

Transfers and Servicing [Abstract]

MORTGAGE SERVICING RIGHTS

7.MORTGAGE SERVICING RIGHTS

In connection with the Hatteras Acquisition, the Company acquired an MSR portfolio and began investing in MSRs through a Hatteras wholly-owned subsidiary. The Company elected to carry all investments in MSRs at fair value.

The following table presents activity related to MSRs for the three and six months ended June 30, 2017:

	For the Three Months Ended			For the Six Months Ended
	June 30, 2017			June 30, 2017
	(dollars in thousands)
Fair value, beginning of period	$	632,166		$	652,216
Purchases (1)		(210	)		3
Change in fair value due to:
Changes in valuation inputs or assumptions (2)		(9,205	)		(15,438	)
Other changes, including realization of expected cash flows		(17,098	)		(31,128	)
Fair value, end of period	$	605,653		$	605,653
(1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable.
(2) Principally represent changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.

For the three and six months ended June 30, 2017, the Company recognized $33.3 million and $67.8 million, respectively, of net servicing income from MSRs in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).