Mortgage Servicing (Tables)

3 Months Ended

Mar. 31, 2017

Schedule of Activity Related to MSRs - Amortization Method

The following table summarizes changes in the net carrying value of servicing assets that we account for using the amortization method:



	For the Three Months Ended March 31,
	2017			2016
Beginning balance	$	363,722		$	377,379
Additions recognized in connection with asset acquisitions	1,229			4,263
Additions recognized on the sale of mortgage loans	8,126			7,156
Sales	(430		)	—
	372,647			388,798
Amortization	(12,715		)	(12,806		)
Increase in impairment valuation allowance (1)	(1,401		)	(29,953		)
Ending balance	$	358,531		$	346,039

Estimated fair value at end of period	$	462,289		$	390,970


(1)	Impairment of MSRs is recognized in Servicing and origination expense in the unaudited consolidated statements of operations. See Note 3 – Fair Value for additional information regarding impairment and the valuation allowance.

Schedule of Activity Related to MSRs - Fair Value Measurement Method

The following table summarizes changes in the fair value of servicing assets that we account for at fair value on a recurring basis:



	For the Three Months Ended March 31,
	2017									2016
	Agency			Non-Agency			Total			Agency			Non-Agency			Total
Beginning balance	$	13,357		$	665,899		$	679,256		$	15,071		$	746,119		$	761,190
Sales	—			(228		)	(228		)	—			(142		)	(142		)
Servicing transfers and adjustments	—			(706		)	(706		)	—			419			419
Changes in fair value (1):
Changes in valuation inputs or other assumptions	494			—			494			(2,709		)	(3,671		)	(6,380		)
Realization of expected future cash flows and other changes	(445		)	(26,384		)	(26,829		)	(351		)	(22,562		)	(22,913		)
Ending balance	$	13,406		$	638,581		$	651,987		$	12,011		$	720,163		$	732,174


(1)	Changes in fair value are recognized in Servicing and origination expense in the unaudited consolidated statements of operations.

Schedule of Estimated Change in Fair Value of MSRs

The following table summarizes the estimated change in the value of the MSRs that we carry at fair value as of March 31, 2017 given hypothetical shifts in lifetime prepayments and yield assumptions:



	Adverse change in fair value
	10%			20%
Weighted average prepayment speeds	$	(63,546	)	$	(129,059	)
Discount rate (option-adjusted spread)	(12,177		)	(24,349		)

Schedule of Composition of Servicing and Subservicing Portfolios by Type of Property Serviced

The following table presents the composition of our primary servicing and subservicing portfolios by type of property serviced as measured by UPB. The servicing portfolio represents loans for which we own the servicing rights while subservicing represents all other loans. The UPB of assets serviced for others are not included on our unaudited consolidated balance sheets.



	Residential		Commercial		Total
UPB at March 31, 2017
Servicing	$	83,841,793	$	—	$	83,841,793
Subservicing	4,196,729		92,817		4,289,546
NRZ (1)	114,330,492		—		114,330,492
	$	202,369,014	$	92,817	$	202,461,831
UPB at December 31, 2016
Servicing	$	86,049,298	$	—	$	86,049,298
Subservicing	4,330,084		92,933		4,423,017
NRZ (1)	118,712,748		—		118,712,748
	$	209,092,130	$	92,933	$	209,185,063
UPB at March 31, 2016
Servicing	$	97,826,653	$	—	$	97,826,653
Subservicing	6,517,180		136,473		6,653,653
NRZ (1)	132,737,203		—		132,737,203
	$	237,081,036	$	136,473	$	237,217,509


(1)	UPB of loans serviced for which the Rights to MSRs have been sold to NRZ.

Schedule of Components of Servicing and Subservicing Fees

The following table presents the components of servicing and subservicing fees:



	For the Three Months Ended March 31,
	2017		2016
Loan servicing and subservicing fees:
Servicing	$	67,172	$	76,509
Subservicing	3,605		7,239
NRZ	147,311		162,129
	218,088		245,877
Home Affordable Modification Program (HAMP) fees	20,983		22,618
Late charges	16,784		18,603
Loan collection fees	6,318		7,129
Other	10,329		3,269
	$	272,502	$	297,496