MSRs

During the three months ended March 31, 2017, the Company retained the servicing rights associated with an aggregate principal balance of $377,124,596 of residential mortgage loans that the Company had previously transferred to three residential mortgage loan securitization trusts. The Company’s MSRs are held and managed at the Company’s TRS, and the Company employs one or more licensed sub-servicers to perform the related servicing activities. To the extent that the Company determines it is the primary beneficiary of a residential mortgage loan securitization trust into which it has sold loans, any associated MSRs are eliminated on the consolidation of the trust. The trust is contractually obligated to pay a portion of the interest payments from the associated residential mortgage loans for the direct servicing of the loans, and after deduction of sub-servicing fees payable to contracted sub-servicers, the net amount, excess servicing rights, represents a liability of the trust. Upon consolidation of the trust, the fair value of the excess servicing rights is equal to the related MSRs held at the Company’s TRS. As a result of the Company’s determination that it is not the primary beneficiary of OAKS Mortgage Trust 2015-1 and OAKS Mortgage Trust 2015-2, it does not consolidate these trusts, and as a consequence, MSRs associated with these trusts are recorded on the Company’s condensed consolidated balance sheet at March 31, 2017. In addition, the Company previously consolidated the assets and liabilities of the JPMMT 2014-OAK4Trust, but based on the sale of subordinated and first loss securities during the second quarter of 2016, has determined that it is no longer the primary beneficiary of the trust, and accordingly no longer consolidates its assets and liabilities. As a consequence, MSRs associated with this trust are also recorded on the Company’s condensed consolidated balance sheet at March 31, 2017.

The following table presents the Company’s MSR activity as of March 31, 2017 and the year ended December 31, 2016:



	March 31, 2017			December 31, 2016
Balance at beginning of year	$	3,440,809		$	4,268,673
MSRs retained from sales to securitizations	—			—
MSRs related to deconsolidation of securitization trust	—			364,163
Changes in fair value due to:
Changes in valuation inputs or assumptions used in valuation model	54,662			(102,855		)
Other changes to fair value (1)	(181,108		)	(1,089,172		)
Balance at end of period	$	3,314,363		$	3,440,809

Loans associated with MSRs (2)	$	377,124,596		$	397,925,409
MSR values as percent of loans (3)	0.88		%	0.86		%


(1)	Amounts represent changes due to realization of expected cash flows


(2)	Amounts represent the principal balance of loans associated with MSRs outstanding at March 31, 2017 and December 31, 2016, respectively


(3)	Amounts represent the carrying value of MSRs at March 31, 2017 and December 31, 2016, respectively divided by the outstanding balance of the loans associated with these MSRs

The following table presents the components of servicing income recorded on the Company’s statements of operations for the three months ended March 31, 2017, and March 31, 2016:



	Three Months Ended March 31, 2017		Three Months Ended March 31, 2016
Servicing income, net	$	252,738	$	223,678
Income from MSRs, net	$	252,738	$	223,678