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Mortgage Servicing Rights and Related Liabilities (Tables)
 12 Months Ended
Dec. 31, 2018
Transfers and Servicing [Abstract]  
Schedule of Servicing Assets at Fair Value
The following table sets forth the activities of forward MSRs.
 
Successor
 
 
Predecessor
Forward MSRs - Fair Value
For the Period August 1 - December 31, 2018
 
 
For the Period January 1 - July 31, 2018
 
Year ended December 31, 2017
Fair value - beginning of period
$
3,413

 
 
$
2,937

 
$
3,160

Additions:
 
 
 
 
 
 
Servicing retained from mortgage loans sold
120

 
 
162

 
203

Purchases of servicing rights
479

 
 
144

 
66

Dispositions:
 
 
 
 
 
 
Sales of servicing assets(1)
(111
)
 
 
4

 
(60
)
Changes in fair value:
 
 
 
 
 
 
Changes in valuation inputs or assumptions used in the valuation model
(123
)
 
 
330

 
(101
)
Other changes in fair value
(113
)
 
 
(164
)
 
(331
)
Fair value - end of period
$
3,665

 
 
$
3,413

 
$
2,937



(1) 
Amount for the seven months ended July 31, 2018 is related to the sale of MSRs collateralized by nonperforming loans, which have a negative MSR value.
The following table sets forth the carrying value of the Company’s MSRs and the related liabilities.
 
Successor
 
 
Predecessor
MSRs and Related Liabilities
December 31, 2018
 
 
December 31, 2017
Forward MSRs - fair value
$
3,665

 
 
$
2,937

Reverse MSRs - amortized cost
11

 
 
4

Mortgage servicing rights
$
3,676

 
 
$
2,941

 
 
 
 
 
Mortgage servicing liabilities - amortized cost
$
71

 
 
$
41

 
 
 
 
 
Excess spread financing - fair value
$
1,184

 
 
$
996

Mortgage servicing rights financing - fair value
32

 
 
10

MSR related liabilities - nonrecourse at fair value
$
1,216

 
 
$
1,006



The following table provides a breakdown of credit sensitive and interest sensitive UPB for the Company’s forward MSRs.
 
Successor
 
 
Predecessor
 
December 31, 2018
 
 
December 31, 2017
MSRs - Sensitivity Pools
UPB
 
Fair Value
 
 
UPB
 
Fair Value
Credit sensitive
$
135,752

 
$
1,495

 
 
$
167,605

 
$
1,572

Interest sensitive
159,729

 
2,170

 
 
113,775

 
1,365

Total
$
295,481

 
$
3,665

 
 
$
281,380

 
$
2,937
Schedule of Assumptions for Fair Value of Mortgage Service Rights
The range of key assumptions used in the Company’s valuation of excess spread financing are as follows:
Excess Spread Financing
Prepayment
Speeds
 
Average
Life (Years)
 
Discount
Rate
 
Recapture
Rate
Successor
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
Low
6.0
%
 
5.0
 
8.5
%
 
8.5
%
High
16.7
%
 
8.1
 
13.9
%
 
30.5
%
Weighted-average
11.0
%
 
6.5
 
10.4
%
 
18.6
%
 
 
 
 
 
 
 
 
Predecessor
 
 
 
 
 
 
 
December 31, 2017
 
 
 
 
 
 
 
Low
6.2
%
 
4.4
 
8.5
%
 
7.2
%
High
21.2
%
 
6.9
 
14.1
%
 
30.0
%
Weighted-average
13.7
%
 
5.9
 
10.8
%
 
18.7
%
The following table sets forth the weighted average assumptions used in the valuation of the mortgage servicing rights financing.
 
Successor
 
 
Predecessor
Mortgage Servicing Rights Financing Assumptions
December 31, 2018
 
 
December 31, 2017
Advance financing rates
4.2
%
 
 
3.5
%
Annual advance recovery rates
19.0
%
 
 
23.2
%
The Company used the following key weighted-average inputs and assumptions in estimating the fair value of forward MSRs.
 
Successor
 
 
Predecessor
Credit Sensitive
December 31, 2018
 
 
December 31, 2017
Discount rate
11.3
%
 
 
11.4
%
Total prepayment speeds
11.8
%
 
 
15.2
%
Expected weighted-average life
6.4 years

 
 
5.7 years

 
 
 
 
 
Interest Sensitive
 
 
 
 
Discount rate
9.3
%
 
 
9.2
%
Total prepayment speeds
10.0
%
 
 
10.7
%
Expected weighted-average life
7.0 years

 
 
6.7 years
Schedule of Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets [Table Text Block]
The following table shows the hypothetical effect on the fair value of the forward MSRs when applying certain unfavorable variations of key assumptions to these assets for the dates indicated.
 
Discount Rate
 
Total Prepayment Speeds
Forward MSRs - Hypothetical Sensitivities
100 bps
Adverse
Change
 
200 bps
Adverse
Change
 
10%
Adverse
Change
 
20%
Adverse
Change
Successor
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
Forward mortgage servicing rights
$
(137
)
 
$
(265
)
 
$
(129
)
 
$
(250
)
 
 
 
 
 
 
 
 
Predecessor
 
 
 
 
 
 
 
December 31, 2017
 
 
 
 
 
 
 
Forward mortgage servicing rights
$
(108
)
 
$
(208
)
 
$
(118
)
 
$
(227
)
The following table shows the hypothetical effect on the excess spread financing fair value when applying certain unfavorable variations of key assumptions to these liabilities for the dates indicated.
 
Discount Rate
 
Prepayment Speeds
Excess Spread Financing - Hypothetical Sensitivities
100 bps
Adverse
Change
 
200 bps
Adverse
Change
 
10%
Adverse
Change
 
20%
Adverse
Change
Successor
 
 
 
 
 
 
 
December 31, 2018
 
 
 
 
 
 
 
Excess spread financing
$
47

 
$
99

 
$
38

 
$
81

 
 
 
 
 
 
 
 
Predecessor
 
 
 
 
 
 
 
December 31, 2017
 
 
 
 
 
 
 
 Excess spread financing
$
37

 
$
78

 
$
34

 
$
71
Schedule of Fees Earned in Exchange for Servicing Financial Assets
The following table sets forth the items comprising revenues associated with servicing loan portfolios.
 
Successor
 
 
Predecessor
Servicing Revenue
For the Period August 1 - December 31, 2018
 
 
For the Period January 1 - July 31, 2018
 
Year ended December 31, 2017
 
Year ended December 31, 2016
Contractually specified servicing fees(1)
$
421

 
 
$
574

 
$
1,003

 
$
1,045

Other service-related income(1)
44

 
 
66

 
168

 
245

Incentive and modification income(1)
17

 
 
37

 
80

 
113

Late fees(1)
34

 
 
53

 
89

 
82

Reverse servicing fees
16

 
 
37

 
58

 
57

Mark-to-market adjustments(2)
(164
)
 
 
196

 
(160
)
 
(177
)
Counterparty revenue share(3)
(68
)
 
 
(111
)
 
(230
)
 
(298
)
Amortization, net of accretion(4)
(64
)
 
 
(112
)
 
(242
)
 
(314
)
Total servicing revenue
$
236

 
 
$
740

 
$
766

 
$
753


(1) 
Amounts include subservicing related revenues.
(2) 
Mark-to-market (“MTM”) adjustments include fair value adjustments on MSR, excess spread financing and MSR financing liabilities. The amount of MSR MTM includes the impact of negative modeled cash flows which have been transferred to reserves on advances and other receivables. The negative modeled cash flows relate to advances and other receivables associated with inactive and liquidated loans that are no longer part of the MSR portfolio. The impact of negative modeled cash flows was $25 for the five months ended December 31, 2018. The impact of negative modeled cash flows for the Predecessor was $38 for the seven months ended July 31, 2018 and $72 and $81 for the years ended December 31, 2017 and 2016, respectively.
(3) 
Counterparty revenue share represents the excess servicing fee that the Company pays to the counterparties under the excess spread financing arrangements and the payments made associated with MSR financing arrangements.
(4) 
Amortization for the Successor is net of excess spread accretion of $53 and MSL accretion of $15 for the five months ended December 31, 2018. Amortization for the Predecessor is net of excess spread accretion of $78 for the seven months ended July 31, 2018, and $161 and $200 for the years ended December 31, 2017 and 2016, respectively. The Predecessor recorded MSL accretion within reverse servicing fees, whereas the Successor has elected to record MSL accretion within Amortization, net of accretion.