XML 52 R37.htm IDEA: XBRL DOCUMENT v2.4.0.8
Fair Value (Tables)
 9 Months Ended
Sep. 30, 2013
Fair Value  
Summary of financial statement items measured at estimated fair value on a recurring basis

 

 

 

September 30, 2013

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 

 

(in thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

Short-term investment

 

$

127,487

 

$

—

 

$

—

 

$

127,487

 

Mortgage loans held for sale at fair value

 

—

 

526,063

 

4,185

 

530,248

 

Investment in PMT

 

1,701

 

—

 

—

 

1,701

 

Mortgage servicing rights at fair value

 

—

 

—

 

26,768

 

26,768

 

Derivative assets:

 

 

 

 

 

 

 

 

 

Interest rate lock commitments

 

—

 

—

 

21,717

 

21,717

 

Forward purchase contracts

 

—

 

21,226

 

—

 

21,226

 

Forward sales contracts

 

—

 

505

 

—

 

505

 

Total derivative assets before netting

 

—

 

21,731

 

21,717

 

43,448

 

Netting (1)

 

—

 

—

 

—

 

(19,382

)

Total derivative assets

 

—

 

21,731

 

21,717

 

24,066

 

 

 

$

129,188

 

$

547,794

 

$

52,670

 

$

710,270

 

Liabilities:

 

 

 

 

 

 

 

 

 

Excess servicing spread financing at fair value

 

$

—

 

$

—

 

$

2,857

 

$

2,857

 

Derivative liabilities:

 

 

 

 

 

 

 

 

 

Interest rate lock commitments

 

—

 

—

 

159

 

159

 

Forward purchase contracts

 

—

 

215

 

—

 

215

 

Forward sales contracts

 

—

 

48,069

 

—

 

48,069

 

Total derivative liabilities before netting

 

—

 

48,284

 

159

 

48,443

 

Netting (1)

 

—

 

—

 

—

 

(42,667

)

Total derivative liabilities

 

—

 

48,284

 

159

 

5,776

 

 

 

$

—

 

$

48,284

 

$

3,016

 

$

8,633

 

 

(1)         Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement.

 

 

 

December 31, 2012

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 

 

 

 

(in thousands)

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

Short-term investment

 

$

53,164

 

$

—

 

$

—

 

$

53,164

 

Mortgage loans held for sale at fair value

 

—

 

448,384

 

—

 

448,384

 

Investment in PMT

 

1,897

 

—

 

—

 

1,897

 

Mortgage servicing rights at fair value

 

—

 

—

 

19,798

 

19,798

 

Derivative assets:

 

 

 

 

 

 

 

 

 

Interest rate lock commitments

 

—

 

—

 

23,951

 

23,951

 

Forward purchase contracts

 

—

 

1,645

 

—

 

1,645

 

Forward sales contracts

 

—

 

1,818

 

—

 

1,818

 

MBS put options

 

—

 

967

 

—

 

967

 

Total derivative assets before netting

 

—

 

4,430

 

23,951

 

28,381

 

Netting (1)

 

—

 

—

 

—

 

(1,091

)

Total derivative assets

 

—

 

4,430

 

23,951

 

27,290

 

 

 

$

55,061

 

$

452,814

 

$

43,749

 

$

550,533

 

Liabilities:

 

 

 

 

 

 

 

 

 

Derivative liabilities:

 

 

 

 

 

 

 

 

 

Interest rate lock commitments

 

$

—

 

$

—

 

$

11

 

$

11

 

Forward purchase contracts

 

—

 

389

 

—

 

389

 

Forward sales contracts

 

—

 

1,894

 

—

 

1,894

 

Total derivative liabilities before netting

 

—

 

2,283

 

11

 

2,294

 

Netting (1)

 

—

 

—

 

—

 

(1,785

)

Net derivative liabilities

 

$

—

 

$

2,283

 

$

11

 

$

509

 

 

(1)         Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the setoff of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement.

 
Summary of roll forward of items measured using Level 3 inputs on a recurring basis

 

 

 

Quarter ended September 30, 2013

 

 

 

Mortgage
loans held
for sale

 

Mortgage servicing
rights

 

Net interest
rate lock
commitments (1)

 

Total

 

 

 

(in thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

Balance, June 30, 2013

 

$

4,525

 

$

23,070

 

$

(16,210

)

$

11,385

 

Repayments

 

(436

)

—

 

—

 

(436

)

Interest rate lock commitments issued, net

 

—

 

—

 

23,788

 

23,788

 

Purchases of MSR

 

—

 

1,116

 

—

 

1,116

 

Servicing received as proceeds from sales of mortgage loans

 

—

 

4,157

 

—

 

4,157

 

Changes in fair value included in income arising from:

 

 

 

 

 

 

 

 

 

Changes in instrument-specific credit risk

 

—

 

—

 

—

 

—

 

Other factors

 

96

 

(1,575

)

10,585

 

9,106

 

 

 

96

 

(1,575

)

10,585

 

9,106

 

Transfers of interest rate lock commitments (asset) liability to mortgage loans acquired for sale

 

—

 

—

 

3,395

 

3,395

 

Balance, September 30, 2013

 

$

4,185

 

$

26,768

 

$

21,558

 

$

52,511

 

Changes in fair value recognized during the period relating to assets still held at September 30, 2013

 

$

16

 

$

(1,575

)

$

21,558

 

 

 

Accumulated changes in fair value relating to assets still held at September 30, 2013

 

$

96

 

 

 

$

21,558

 

 

 

 

(1)  For the purpose of this table, the interest rate lock asset and liability positions are shown net.

 

 

 

Excess servicing
spread financing

 

 

 

 

 

 

 

 

 

(in thousands)

 

 

 

 

 

 

 

Liability:

 

 

 

 

 

 

 

 

 

Balance, June 30, 2013

 

$

—

 

 

 

 

 

 

 

Initial proceeds received from financing of excess servicing spread

 

2,828

 

 

 

 

 

 

 

Changes in fair value included in income

 

29

 

 

 

 

 

 

 

Repayments

 

—

 

 

 

 

 

 

 

Balance, September 30, 2013

 

$

2,857

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in fair value recognized during the period relating to liability still held at September 30, 2013

 

$

29

 

 

 

 

 

 

 

Accumulated changes in fair value relating to liability still held at September 30, 2013

 

$

29

 

 

 

 

 

 

 

 

 

 

Quarter ended September 30, 2012

 

 

 

Mortgage servicing
rights

 

Net interest
rate lock
commitments

 

Total

 

 

 

 

 

(in thousands)

 

 

 

Balance, June 30, 2012

 

$

23,449

 

$

12,710

 

$

36,159

 

Interest rate lock commitments issued, net

 

—

 

48,044

 

48,044

 

Servicing received as proceeds from sales of mortgage loans

 

30

 

—

 

30

 

Changes in fair value included in income arising from:

 

 

 

 

 

 

 

Changes in instrument-specific credit risk

 

—

 

—

 

—

 

Other factors

 

(2,239

)

128

 

(2,111

)

 

 

(2,239

)

128

 

(2,111

)

Transfers of interest rate lock commitments (asset) liability to mortgage loans acquired for sale

 

—

 

(27,449

)

(27,449

)

Balance, September 30, 2012

 

$

21,240

 

$

33,433

 

$

54,673

 

Changes in fair value recognized during the period relating to assets still held at September 30, 2012

 

$

(2,239

)

$

33,433

 

 

 

Accumulated changes in fair value relating to assets still held at September 30, 2012

 

 

 

$

33,433

 

 

 

 

 

 

Nine months ended September 30, 2013

 

 

 

Mortgage
loans held
for sale

 

Mortgage servicing
rights

 

Net interest
rate lock
commitments (1)

 

Total

 

 

 

(in thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

Balance, December 31, 2012

 

$

—

 

$

19,798

 

$

23,940

 

$

43,738

 

Repurchases

 

5,529

 

—

 

—

 

5,529

 

Repayments

 

(1,059

)

—

 

—

 

(1,059

)

Interest rate lock commitments issued, net

 

—

 

—

 

78,722

 

78,722

 

Purchases of MSR

 

—

 

5,124

 

—

 

5,124

 

Sales of MSR

 

—

 

(550

)

—

 

(550

)

Servicing received as proceeds from sales of mortgage loans

 

—

 

4,177

 

—

 

4,177

 

Changes in fair value included in income arising from:

 

 

 

 

 

 

 

 

 

Changes in instrument-specific credit risk

 

—

 

—

 

—

 

—

 

Other factors

 

(285

)

(1,781

)

(15,289

)

(17,355

)

 

 

(285

)

(1,781

)

(15,289

)

(17,355

)

Transfers of interest rate lock commitments (asset) liability to mortgage loans acquired for sale

 

—

 

—

 

(65,815

)

(65,815

)

Balance, September 30, 2013

 

$

4,185

 

$

26,768

 

$

21,558

 

$

52,511

 

Changes in fair value recognized during the period relating to assets still held at September 30, 2013

 

$

(344

)

$

(1,781

)

$

21,558

 

 

 

Accumulated changes in fair value relating to assets still held at September 30, 2013

 

$

(285

)

 

 

$

21,558

 

 

 

 

(1)  For the purpose of this table, the interest rate lock asset and liability positions are shown net.

 

 

 

Excess servicing
spread financing

 

 

 

 

 

 

 

 

 

(in thousands)

 

 

 

 

 

 

 

Liability:

 

 

 

 

 

 

 

 

 

Balance, December 31, 2012

 

$

—

 

 

 

 

 

 

 

Initial proceeds received from financing of excess servicing spread

 

2,828

 

 

 

 

 

 

 

Changes in fair value included in income

 

29

 

 

 

 

 

 

 

Repayments

 

—

 

 

 

 

 

 

 

Balance, September 30, 2013

 

$

2,857

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in fair value recognized during the period relating to liability still held at September 30, 2013

 

$

29

 

 

 

 

 

 

 

Accumulated changes in fair value relating to liability still held at September 30, 2013

 

$

29

 

 

 

 

 

 

 

 

 

 

Nine months ended September 30, 2012

 

 

 

Mortgage servicing
rights

 

Net interest
rate lock commitments

 

Total

 

 

 

(in thousands)

 

Balance, December 31, 2011

 

$

25,698

 

$

7,905

 

$

33,603

 

Interest rate lock commitments issued, net

 

—

 

65,192

 

65,192

 

Servicing received as proceeds from sales of mortgage loans

 

772

 

—

 

772

 

Changes in fair value included in income arising from:

 

 

 

 

 

 

 

Changes in instrument-specific credit risk

 

—

 

—

 

—

 

Other factors

 

(5,230

)

—

 

(5,230

)

 

 

(5,230

)

—

 

(5,230

)

Transfers of interest rate lock commitments (asset) liability to mortgage loans acquired for sale

 

—

 

(39,664

)

(39,664

)

Balance, September 30, 2012

 

$

21,240

 

$

33,433

 

$

54,673

 

Changes in fair value recognized during the period relating to assets still held at September 30, 2012

 

$

(5,230

)

$

33,433

 

 

 

Accumulated changes in fair value relating to assets still held at September 30, 2012

 

 

 

$

33,433

 

 

 

 
Summary of gains (losses) from changes in estimated fair values included in earnings for financial statement items carried at estimated fair value

 

 

 

Quarter ended September 30, 2013

 

Quarter ended September 30, 2012

 

 

 

Change in fair value of
mortgage loans held
for sale at fair value

 

Net
servicing
income

 

Total

 

Change in fair value of
mortgage loans held
for sale at fair value

 

Net
servicing
income

 

Total

 

 

 

(in thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage loans held for sale at fair value

 

$

(6,060

)

$

—

 

$

(6,060

)

$

56,079

 

$

—

 

$

56,079

 

Mortgage servicing rights at fair value

 

—

 

(1,575

)

(1,575

)

—

 

(2,239

)

(2,239

)

 

 

$

(6,060

)

$

(1,575

)

$

(7,635

)

$

56,079

 

$

(2,239

)

$

53,840

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Excess servicing spread financing at fair value

 

$

—

 

$

(29

)

$

(29

)

$

—

 

$

—

 

$

—

 

 

 

$

—

 

$

(29

)

$

(29

)

$

—

 

$

—

 

$

—

 

 

 

 

Nine months ended September 30, 2013

 

Nine months ended September 30, 2012

 

 

 

Change in fair value of
mortgage loans held
for sale at fair value

 

Net
servicing
income

 

Total

 

Change in fair value of
mortgage loans held
for sale at fair value

 

Net
servicing
income

 

Total

 

 

 

(in thousands)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage loans held for sale at fair value

 

$

12,428

 

$

—

 

$

12,428

 

$

108,205

 

$

—

 

$

108,205

 

Mortgage servicing rights at fair value

 

—

 

(1,781

)

(1,781

)

—

 

(5,230

)

(5,230

)

 

 

$

12,428

 

$

(1,781

)

$

10,647

 

$

108,205

 

$

(5,230

)

$

102,975

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Excess servicing spread financing at fair value

 

$

—

 

$

(29

)

$

(29

)

$

—

 

$

—

 

$

—

 

 

 

$

—

 

$

(29

)

$

(29

)

$

—

 

$

—

 

$

—

 

 
Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option

 

 

 

September 30, 2013

 

 

 

Fair
value

 

Principal amount due
upon maturity

 

Difference

 

 

 

(in thousands)

 

Mortgage loans held for sale:

 

 

 

 

 

 

 

Current through 89 days delinquent

 

$

529,244

 

$

496,853

 

$

32,391

 

90 or more days delinquent

 

1,004

 

1,297

 

(293

)

 

 

$

530,248

 

$

498,150

 

$

32,098

 

 

 

 

December 31, 2012

 

 

 

Fair
value

 

Principal amount due
upon maturity

 

Difference

 

 

 

(in thousands)

 

Mortgage loans held for sale:

 

 

 

 

 

 

 

Current through 89 days delinquent

 

$

447,889

 

$

418,650

 

$

29,239

 

90 or more days delinquent

 

495

 

623

 

(128

)

 

 

$

448,384

 

$

419,273

 

$

29,111

 

 
Summary of financial statement items measured at estimated fair value on a nonrecurring basis

 

 

 

September 30, 2013

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 

 

(in thousands)

 

Mortgage servicing rights at lower of amortized cost or fair value

 

$

—

 

$

—

 

$

102,116

 

$

102,116

 

 

 

$

—

 

$

—

 

$

102,116

 

$

102,116

 

 

 

 

December 31, 2012

 

 

 

Level 1

 

Level 2

 

Level 3

 

Total

 

 

 

(in thousands)

 

Mortgage servicing rights at lower of amortized cost or fair value

 

$

—

 

$

—

 

$

51,180

 

$

51,180

 

 

 

$

—

 

$

—

 

$

51,180

 

$

51,180

 

 
Summary of total gains (losses) on assets measured at estimated fair values on a nonrecurring basis

 

 

 

Quarter ended September 30,

 

Nine months ended September 30,

 

 

 

2013

 

2012

 

2013

 

2012

 

 

 

(in thousands)

 

Mortgage servicing rights at lower of amortized cost or fair value

 

$

(1,164

)

$

(1,000

)

$

(521

)

$

(1,784

)

 

 

$

(1,164

)

$

(1,000

)

$

(521

)

$

(1,784

)

 
Schedule of key inputs used in determining the fair value of excess servicing spread financing at the time of initial recognition

 

 

 

September 30, 2013

 

December 31, 2012

 

Key Inputs

 

 

 

 

 

Pricing spread

 

6.80

%

—

 

Average life

 

6.7

 

—

 

Prepayment speed

 

9.1

%

—

 

 
Mortgage loans held for sale at fair value
  
Fair Value  
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items

 

 

 

September 30, 2013

 

 

 

Range
(Weighted average)

 

Key Inputs

 

 

 

Discount rate

 

7.8% - 13.4%

 

 

 

(9.2%)

 

Twelve-month projected housing price index change

 

6.7% - 7.3%

 

 

 

(6.8%)

 

Prepayment speed (1) 

 

2.1% - 5.6%

 

 

 

(4.8%)

 

Total prepayment speed (2) 

 

3.4% - 5.7%

 

 

 

(5.1%)

 

 

(1) Prepayment speed is measured using Life Voluntary Conditional Prepayment Rate (“CPR”).

(2) Total prepayment speed is measured using Life Total CPR.

 
IRLCs
  
Fair Value  
Summary of roll forward of items measured using Level 3 inputs on a recurring basis

 

 

 

Excess servicing
spread financing

 

 

 

 

 

 

 

 

 

(in thousands)

 

 

 

 

 

 

 

Liability:

 

 

 

 

 

 

 

 

 

Balance, June 30, 2013

 

$

—

 

 

 

 

 

 

 

Initial proceeds received from financing of excess servicing spread

 

2,828

 

 

 

 

 

 

 

Changes in fair value included in income

 

29

 

 

 

 

 

 

 

Repayments

 

—

 

 

 

 

 

 

 

Balance, September 30, 2013

 

$

2,857

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in fair value recognized during the period relating to liability still held at September 30, 2013

 

$

29

 

 

 

 

 

 

 

Accumulated changes in fair value relating to liability still held at September 30, 2013

 

$

29

 

 

 

 

 

 

 

 

 

 

 

 

 

Excess servicing
spread financing

 

 

 

 

 

 

 

 

 

(in thousands)

 

 

 

 

 

 

 

Liability:

 

 

 

 

 

 

 

 

 

Balance, December 31, 2012

 

$

—

 

 

 

 

 

 

 

Initial proceeds received from financing of excess servicing spread

 

2,828

 

 

 

 

 

 

 

Changes in fair value included in income

 

29

 

 

 

 

 

 

 

Repayments

 

—

 

 

 

 

 

 

 

Balance, September 30, 2013

 

$

2,857

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in fair value recognized during the period relating to liability still held at September 30, 2013

 

$

29

 

 

 

 

 

 

 

Accumulated changes in fair value relating to liability still held at September 30, 2013

 

$

29

 

 

 

 

 

 

 

 
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items

 

 

 

September 30, 2013

 

December 31, 2012

 

 

 

Range
(Weighted average)

 

Key Inputs

 

 

 

 

 

Pull-through rate

 

56.6% - 98.0%

 

61.6% – 98.1%

 

 

 

(78.3%)

 

(79.1%)

 

MSR value expressed as:

 

 

 

 

 

Servicing fee multiple

 

2.1 - 5.0

 

3.2 – 4.2

 

 

 

(4.0)

 

(4.0)

 

Percentage of unpaid principal balance

 

0.4% - 2.6%

 

0.6% – 2.2%

 

 

 

(1.1%)

 

(0.9%)

 

 
MSRs
  
Fair Value  
Quantitative summary of key inputs or assumptions used in the valuation of financial statement items

 

 

 

Quarter ended September 30,

 

 

 

2013

 

2012

 

 

 

Range
(Weighted average)

 

 

 

Fair
value

 

Amortized
cost

 

Fair
value

 

Amortized
cost

 

Unpaid principal balance of underlying loans

 

$315,869

 

$4,120,962

 

$4,217

 

$2,485,982

 

Weighted-average servicing fee rate (in basis points)

 

31

 

30

 

27

 

27

 

 

 

 

 

 

 

 

 

 

 

Pricing spread (1) 

 

7.4% - 13.1%

 

5.4% - 15.9%

 

7.5% - 9.9%

 

7.5% - 9.9%

 

 

 

(9.9%)

 

(8.2%)

 

(7.8%)

 

(9.8%)

 

Annual total prepayment speed (2) 

 

8.8% - 17.2%

 

8.5% - 14.7%

 

8.4% - 9.5%

 

8.4% - 9.5%

 

 

 

(9.2%)

 

(8.8%)

 

(9.2%)

 

(8.4%)

 

Life (in years)

 

3.6 – 7.0

 

2.9 – 6.9

 

6.4 – 6.7

 

6.4 – 6.7

 

 

 

(6.9)

 

(6.7)

 

(6.4)

 

(6.7)

 

Cost of servicing

 

$68 – $120

 

$68 – $120

 

$68 – $100

 

$68 – $100

 

 

 

($101)

 

($104)

 

($71)

 

($99)

 

 

 

 

Nine months ended September 30,

 

 

 

2013

 

2012

 

 

 

Range
(Weighted average)

 

 

 

Fair
value

 

Amortized
cost

 

Fair
value

 

Amortized
cost

 

Unpaid principal balance of underlying loans

 

$318,066

 

$12,350,104

 

$17,504

 

$4,811,328

 

Weighted-average servicing fee rate (in basis points)

 

31

 

29

 

28

 

27

 

 

 

 

 

 

 

 

 

 

 

Pricing spread (1) 

 

7.4% - 13.1%

 

5.4% - 15.9%

 

7.5% - 9.9%

 

7.5% - 9.9%

 

 

 

(9.9%)

 

(8.2%)

 

(8.4%)

 

(9.8%)

 

Annual total prepayment speed (2) 

 

8.8% - 17.2%

 

8.5% - 18.5%

 

7.8% - 9.5%

 

7.8% - 9.5%

 

 

 

(9.2%)

 

(8.8%)

 

(8.6%)

 

(8.3%)

 

Life (in years)

 

3.6 – 7.0

 

2.9 – 6.9

 

5.9 – 6.9

 

5.9 – 6.9

 

 

 

(6.9)

 

(6.7)

 

(6.4)

 

(6.7)

 

Cost of servicing

 

$68 – $120

 

$68 – $120

 

$68 – $100

 

$68 – $100

 

 

 

($101)

 

($102)

 

($77)

 

($99)

 

 

(1)                                 Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans.

(2)                                Prepayment speed is measured using CPR.

 
Purchased MSRs backed by distressed mortgage loans
  
Fair Value  
Quantitative summary of key inputs used in the valuation of the MSRs at period end and the effect on estimated fair value from adverse changes in those assumptions

 

 

 

September 30, 2013

 

December 31, 2012

 

 

 

Range
(Weighted average)

 

 

 

Fair
value

 

Amortized
cost

 

Fair
value

 

Amortized
cost

 

 

 

(Unpaid principal balance of underlying loans and effect on value amounts
in thousands)

 

Carrying value

 

$10,125

 

—

 

$12,370

 

—

 

Unpaid principal balance of underlying loans

 

$1,051,220

 

—

 

$1,271,478

 

—

 

Weighted-average note rate

 

5.88%

 

—

 

6.01%

 

—

 

Weighted-average servicing fee rate (in basis points)

 

50

 

—

 

50

 

—

 

 

 

 

 

 

 

 

 

 

 

Discount rate

 

15.3% – 15.3%

 

—

 

15.3% – 15.3%

 

—

 

 

 

(15.3%)

 

—

 

(15.3%)

 

—

 

Effect on value of 5% adverse change

 

($252)

 

—

 

($302)

 

—

 

Effect on value of 10% adverse change

 

($494)

 

—

 

($590)

 

—

 

Effect on value of 20% adverse change

 

($945)

 

—

 

($1,130)

 

—

 

 

 

 

 

 

 

 

 

 

 

Life (in years)

 

4.8 – 4.8

 

—

 

5.0 – 5.0

 

—

 

 

 

(4.8)

 

—

 

(5.0)

 

—

 

 

 

 

 

 

 

 

 

 

 

Prepayment speed (1) 

 

11.7% – 11.7%

 

—

 

10.7% – 10.7%

 

—

 

 

 

(11.7%)

 

—

 

(10.7%)

 

—

 

Effect on value of 5% adverse change

 

($252)

 

—

 

($273)

 

—

 

Effect on value of 10% adverse change

 

($492)

 

—

 

($529)

 

—

 

Effect on value of 20% adverse change

 

($951)

 

—

 

($1,040)

 

—

 

 

 

 

 

 

 

 

 

 

 

Per-loan cost of servicing

 

$250 – $250

 

—

 

$270 – $270

 

—

 

 

 

($250)

 

—

 

($270)

 

—

 

Effect on value of 5% adverse change

 

($223)

 

—

 

($290)

 

—

 

Effect on value of 10% adverse change

 

($447)

 

—

 

($580)

 

—

 

Effect on value of 20% adverse change

 

($893)

 

—

 

($1,159)

 

—

 

 

(1)                                 Prepayment speed is measured using Life Voluntary CPR.

 
All other MSRs
  
Fair Value  
Quantitative summary of key inputs used in the valuation of the MSRs at period end and the effect on estimated fair value from adverse changes in those assumptions

 

 

 

September 30, 2013

 

December 31, 2012

 

 

 

Range
(Weighted average)

 

 

 

Fair
value

 

Amortized
cost

 

Fair
value

 

Amortized
cost

 

 

 

(Unpaid principal balance of underlying loans and
effect on value amounts in thousands)

 

Carrying value

 

$16,643

 

$226,090

 

$7,428

 

$89,177

 

Unpaid principal balance of underlying loans

 

$1,700,612

 

$20,024,781

 

$1,166,765

 

$8,730,686

 

Weighted-average note rate

 

4.68%

 

3.57%

 

5.22%

 

3.65%

 

Weighted-average servicing fee rate (in basis points)

 

27

 

28

 

26

 

28

 

Pricing spread (1)

 

6.4% – 17.5%

 

5.4% – 15.9%

 

7.5% – 19.5%

 

7.5% – 16.5%

 

 

 

(8.9%)

 

(7.6%)

 

(10.6%)

 

(9.8%)

 

Effect on value of 5% adverse change

 

($303)

 

($4,833)

 

($113)

 

($1,814)

 

Effect on value of 10% adverse change

 

($596)

 

($9,488)

 

($222)

 

($3,562)

 

Effect on value of 20% adverse change

 

($1,153)

 

($18,303)

 

($430)

 

($6,870)

 

 

 

 

 

 

 

 

 

 

 

Average life (in years)

 

0.2 – 14.4

 

2.6 – 6.9

 

0.2 – 14.4

 

2.5 – 6.9

 

 

 

(6.6)

 

(6.7)

 

(5.0)

 

(6.6)

 

Prepayment speed (2) 

 

8.7% – 72.8%

 

8.5% – 16.0%

 

9.0% – 84.2%

 

8.7% – 28.3%

 

 

 

(10.6%)

 

(9.0%)

 

(19.2%)

 

(9.2%)

 

Effect on value of 5% adverse change

 

($376)

 

($4,696)

 

($238)

 

($1,751)

 

Effect on value of 10% adverse change

 

($738)

 

($9,238)

 

($462)

 

($3,446)

 

Effect on value of 20% adverse change

 

($1,423)

 

($17,891)

 

($877)

 

($6,674)

 

 

 

 

 

 

 

 

 

 

 

Per-loan cost of servicing

 

$68 – $120

 

$68 – $120

 

$68 – $140

 

$68 – $140

 

 

 

($77)

 

($102)

 

($76)

 

($99)

 

Effect on value of 5% adverse change

 

($150)

 

($2,383)

 

($77)

 

($963)

 

Effect on value of 10% adverse change

 

($300)

 

($4,766)

 

($153)

 

($1,926)

 

Effect on value of 20% adverse change

 

($601)

 

($9,531)

 

($307)

 

($3,852)

 

 

(1)         Pricing spread represents a margin that is applied to a reference interest rate’s forward curve to develop periodic discount rates. The Company applies a pricing spread to the United States Dollar LIBOR curve for purposes of discounting cash flows relating to MSRs acquired as proceeds from the sale of mortgage loans and purchased MSRs not backed by pools of distressed mortgage loans.

(2)         Prepayment speed is measured using CPR.