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Other Assets and Liabilities (Tables)
 6 Months Ended
Jun. 30, 2018
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract]  
Components of Other Assets
Other assets at June 30, 2018 and December 31, 2017, are summarized in the following table.
Table 9.1 – Components of Other Assets
(In Thousands)
 
June 30, 2018
 
December 31, 2017
Mortgage servicing rights
 
$
64,674

 
$
63,598

Margin receivable
 
49,538

 
85,044

FHLBC stock
 
43,393

 
43,393

Pledged collateral
 
42,201

 
42,615

Participation in loan warehouse facility
 
41,658

 
—

Investment in 5 Arches
 
10,973

 
—

Fixed assets and leasehold improvements (1)
 
5,189

 
2,645

Guarantee asset
 
2,936

 
2,869

REO
 
2,649

 
3,354

Other
 
9,459

 
15,046

Total Other Assets
 
$
272,670

 
$
258,564

(1)
Fixed assets and leasehold improvements had a basis of $10 million and accumulated depreciation of $4 million at June 30, 2018.
Components of Accrued Expenses and Other Liabilities
Accrued expenses and other liabilities at June 30, 2018 and December 31, 2017 are summarized in the following table.
Table 9.2 – Components of Accrued Expenses and Other Liabilities
(In Thousands)
 
June 30, 2018
 
December 31, 2017
Guarantee obligations
 
$
18,124

 
$
19,487

Accrued compensation
 
13,387

 
24,025

Deferred tax liabilities
 
11,764

 
11,764

Unsettled trades
 
11,328

 
13

Margin payable
 
7,282

 
390

Residential loan and MSR repurchase reserve
 
4,443

 
4,916

Accrued income taxes payable
 
2,547

 
—

Legal reserve
 
2,000

 
2,000

Other
 
8,696

 
5,134

Total Accrued Expenses and Other Liabilities
 
$
79,571

 
$
67,729
Activity for Mortgage Servicing Rights
The following table presents activity for MSRs for the three and six months ended June 30, 2018 and 2017.
Table 9.3 – Activity for MSRs
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
(In Thousands)
 
2018
 
2017
 
2018
 
2017
Balance at beginning of period
 
$
66,496

 
$
111,013

 
$
63,598

 
$
118,526

Additions
 
—

 
216

 
—

 
7,701

Sales
 
(1,077
)
 
(41,038
)
 
(1,077
)
 
(52,966
)
Changes in fair value due to:
 
 
 
 
 
 
 
 
Changes in assumptions (1)
 
943

 
(3,356
)
 
5,289

 
(4,013
)
Other changes (2)
 
(1,688
)
 
(3,065
)
 
(3,136
)
 
(5,478
)
Balance at End of Period
 
$
64,674

 
$
63,770

 
$
64,674

 
$
63,770

(1)
Primarily reflects changes in prepayment assumptions due to changes in market interest rates.
(2)
Represents changes due to the realization of expected cash flows.
Components of Mortgage Servicing Rights Income (Loss), net
The following table presents the components of our MSR income for the three and six months ended June 30, 2018 and 2017.
Table 9.4 – Components of MSR Income, net
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
(In Thousands)
 
2018
 
2017
 
2018
 
2017
Servicing income
 
$
3,802

 
$
6,511

 
$
7,597

 
$
13,418

Cost of sub-servicer
 
(338
)
 
(659
)
 
(930
)
 
(2,039
)
Net servicing fee income
 
3,464

 
5,852

 
6,667

 
11,379

Market valuation changes of MSRs
 
(745
)
 
(6,421
)
 
2,147

 
(9,491
)
Market valuation changes of associated derivatives
 
(1,122
)
 
3,040

 
(6,261
)
 
2,291

MSR reversal of provision for repurchases
 
277

 
307

 
277

 
312

MSR Income, Net (1)
 
$
1,874

 
$
2,778

 
$
2,830

 
$
4,491

(1)
MSR income, net is included in Other income, net on our consolidated statements of income.