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Mortgage Servicing Rights ("MSRs") and Related Liabilities (Tables) | 9 Months Ended
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Sep. 30, 2018
Transfers and Servicing [Abstract] |
Schedule of Servicing Assets at Fair Value | The following table sets forth the carrying value of the Company's and Predecessor's MSRs and the related liabilities.
| Successor |  | Predecessor
MSRs and Related Liabilities | September 30, 2018 |  | December 31, 2017
Forward MSRs - fair value | $ | 3,485 |  |  | $ | 2,937 |
Reverse MSRs - amortized cost | 15 |  |  | 4 |
Mortgage servicing rights | $ | 3,500 |  |  | $ | 2,941 |
Mortgage servicing liabilities - amortized cost | $ | 79 |  |  | $ | 41 |
Excess spread financing - fair value | $ | 1,097 |  |  | $ | 996 |
Mortgage servicing rights financing - fair value | 26 |  |  | 10 |
MSR related liabilities - nonrecourse at fair value | $ | 1,123 |  |  | $ | 1,006 |
The following table sets forth the activities of forward MSRs.
| Successor |  |  | Predecessor
| For the Period August 1 - September 30, 2018 |  |  | For the Period January 1 - July 31, 2018 |  | Nine Months Ended September 30, 2017
MSRs - Fair Value |  |  |
Fair value - beginning of period | $ | 3,413 |  |  |  | $ | 2,937 |  |  | $ | 3,160 |
Additions: |  |  |  |  |  |
Servicing retained from mortgage loans sold | 43 |  |  |  | 162 |  |  | 151 |
Purchases of servicing rights | 72 |  |  |  | 144 |  |  | 30 |
Dispositions: |  |  |  |  |  |
Sales of servicing assets(1) | (63 | ) |  |  | 4 |  |  | (24 | )
Changes in fair value: |  |  |  |  |  |
Changes in valuation inputs or assumptions used in the valuation model | 65 |  |  |  | 330 |  |  | (113 | )
Other changes in fair value | (45 | ) |  |  | (164 | ) |  | (248 | )
Fair value - end of period | $ | 3,485 |  |  |  | $ | 3,413 |  |  | $ | 2,956 |
(1) Amount for the seven months ended July 31, 2018 is related to the sale of nonperforming loans, which have a negative MSR value. The following table provides a breakdown of credit sensitive and interest sensitive unpaid principal balance ("UPB") for the Company's forward MSRs.
| Successor |  | Predecessor
| September 30, 2018 |  | December 31, 2017
MSRs - Sensitivity Pools | UPB |  | Fair Value |  | UPB |  | Fair Value
Credit sensitive | $ | 144,697 |  |  | $ | 1,652 |  |  | $ | 167,605 |  |  | $ | 1,572 |
Interest sensitive | 129,789 |  |  | 1,833 |  |  | 113,775 |  |  | 1,365 |
Total | $ | 274,486 |  |  | $ | 3,485 |  |  | $ | 281,380 |  |  | $ | 2,937 |
Schedule of Assumptions for Fair Value of Mortgage Service Rights | The Company used the following key weighted-average inputs and assumptions in estimating the fair value of MSRs.
| Successor |  | Predecessor
Credit Sensitive | September 30, 2018 |  | December 31, 2017
Discount rate | 11.2 | % |  | 11.4 | %
Total prepayment speeds | 11.2 | % |  | 15.2 | %
Expected weighted-average life | 6.7 years |  |  | 5.7 years |
Interest Sensitive |  |  |
Discount rate | 9.2 | % |  | 9.2 | %
Total prepayment speeds | 8.9 | % |  | 10.7 | %
Expected weighted-average life | 7.4 years |  |  | 6.7 years |
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 |  |  |  |  |  |  |
September 30, 2018 |  |  |  |  |  |  |
Low | 5.9% |  | 5.3 |  | 8.5% |  | 7.6%
High | 15.0% |  | 8.5 |  | 14.0% |  | 26.7%
Weighted-average | 10.6% |  | 6.7 |  | 10.6% |  | 17.7%
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 liability.
| Successor |  | Predecessor
Mortgage Servicing Rights Financing Assumptions | September 30, 2018 |  | December 31, 2017
Advance financing rates | 4.9 | % |  | 3.5 | %
Annual advance recovery rates | 18.2 | % |  | 23.2 | %
Schedule of Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets | 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 |  |  |  |  |  |  |
September 30, 2018 |  |  |  |  |  |  |
Excess spread financing | $ | 44 |  |  | $ | 92 |  |  | $ | 33 |  |  | $ | 68 |
Predecessor |  |  |  |  |  |  |
December 31, 2017 |  |  |  |  |  |  |
Excess spread financing | $ | 37 |  |  | $ | 78 |  |  | $ | 34 |  |  | $ | 71 |
The following table shows the hypothetical effect on the fair value of the MSRs when applying certain unfavorable variations of key assumptions to these assets for the dates indicated.
| Discount Rate |  | Total Prepayment Speeds
MSRs - Hypothetical Sensitivities | 100 bps Adverse Change |  | 200 bps Adverse Change |  | 10% Adverse Change |  | 20% Adverse Change
Successor |  |  |  |  |  |  |
September 30, 2018 |  |  |  |  |  |  |
Mortgage servicing rights | $ | (138 | ) |  | $ | (266 | ) |  | $ | (117 | ) |  | $ | (227 | )
Predecessor |  |  |  |  |  |  |
December 31, 2017 |  |  |  |  |  |  |
Mortgage servicing rights | $ | (108 | ) |  | $ | (208 | ) |  | $ | (118 | ) |  | $ | (227 | )
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
| For the Period August 1 - September 30, 2018 |  |  | For the Period July 1 - July 31, 2018 |  | Three Months Ended September 30, 2017 |  | For the Period January 1 - July 31, 2018 |  | Nine Months Ended September 30, 2017
Servicing Revenue |  |  |  |  |
Contractually specified servicing fees(1) | $ | 163 |  |  |  | $ | 79 |  |  | $ | 251 |  |  | $ | 574 |  |  | $ | 759 |
Other service-related income(1)(2) | 18 |  |  |  | 10 |  |  | 40 |  |  | 66 |  |  | 126 |
Incentive and modification income(1) | 8 |  |  |  | 4 |  |  | 19 |  |  | 37 |  |  | 63 |
Late fees(1) | 14 |  |  |  | 7 |  |  | 22 |  |  | 53 |  |  | 67 |
Reverse servicing fees | 13 |  |  |  | 4 |  |  | 16 |  |  | 37 |  |  | 43 |
Mark-to-market adjustments(2)(3) | 24 |  |  |  | 25 |  |  | (44 | ) |  | 196 |  |  | (160 | )
Counterparty revenue share(4) | (26 | ) |  |  | (16 | ) |  | (53 | ) |  | (111 | ) |  | (174 | )
Amortization, net of accretion(5) | (31 | ) |  |  | (16 | ) |  | (60 | ) |  | (112 | ) |  | (187 | )
Total servicing revenue | $ | 183 |  |  |  | $ | 97 |  |  | $ | 191 |  |  | $ | 740 |  |  | $ | 537 |
(1) Amounts include subservicing related revenues. (2) In the fourth quarter of 2017, the Predecessor reevaluated presentation of adjustments related to certain Ginnie Mae early buyout activities and reclassified $4 and $16 from other service-related income to mark-to-market adjustments for the three and nine months ended September 30, 2017, respectively. Total servicing revenue was not affected by this reclassification adjustment. (3) Mark-to-market ("MTM") adjustments include fair value adjustments on MSR, excess spread financing and MSR financing liabilities. The amount of MSR MTM reflected is net of cumulative incurred losses related to advances and other receivables associated with inactive and liquidated loans that are no longer part of the MSR portfolio, and these incurred losses have been transferred to reserves on advances and other receivables. These cumulative incurred losses for the Company totaled $13 for the two months ended September 30, 2018. These cumulative incurred losses for the Predecessor totaled $4 and $38 for the one and seven months ended July 31, 2018, respectively, and $15 and $53 for the three and nine months ended September 30, 2017, respectively. (4) 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 MSRs financing arrangements. (5) Amortization is net of excess spread accretion of $22 for the two months ended September 30, 2018, $11 and $78 for the one and seven months ended July 31, 2018, respectively, and $41 and $123 for the three and nine months ended September 30, 2017, respectively.

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- Definition Tabular disclosure of all information related to the key inputs and assumptions (including, at a minimum, but not limited to, and if applicable, quantitative information about discount rates, expected prepayments including the expected weighted-average life of prepayable financial assets, and anticipated credit losses) used in measuring the fair value of assets or liabilities that relate to the transferor's continuing involvement with transferred financial assets, as of the balance sheet date. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=109247956&loc=d3e107314-111719 + Details
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- Definition Tabular disclosure of a sensitivity analysis or stress test showing the hypothetical effect on the fair value of the transferor's interests in transferred financial assets (including any servicing assets or servicing liabilities) of two or more unfavorable variations from the expected levels for each key assumption that is reported, independently determined from any change in another key assumption, and a description of the objectives, methodology, and limitations of the sensitivity analysis or stress test. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=109247956&loc=d3e107314-111719 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=109247956&loc=d3e107314-111719 + Details
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- Definition Tabular disclosure of the activity in the balance of servicing assets (including a description of where changes in fair value are reported in the statement of income for each period for which results of operations are presented), including but not limited to, the following: beginning and ending balances, additions (for instance, through purchases of servicing assets), disposals, changes in fair value during the period resulting from changes in inputs or assumptions used in the valuation model, other changes in fair value along with a description of those changes, and other changes that affect the balance along with a description of those changes. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 50 -Section 50 -Paragraph 3 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=68078379&loc=d3e122625-111746 + Details
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