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Mortgage Servicing (Tables)
 9 Months Ended
Sep. 30, 2017
Transfers and Servicing [Abstract]  
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:
Nine months ended September 30,
2017
 
2016
Beginning balance
$
363,722

 
$
377,379

Additions recognized in connection with asset acquisitions
1,658

 
15,968

Additions recognized on the sale of mortgage loans
18,604

 
26,494

Sales and other transfers
(814
)
 
(23,521
)
 
383,170

 
396,320

Amortization (1)
(38,560
)
 
(18,595
)
Decrease (increase) in impairment valuation allowance (2)
1,551

 
(37,164
)
Ending balance
$
346,161

 
$
340,561

 
 
 
 
Estimated fair value at end of period
$
424,208

 
$
357,817


(1)
During 2016, principally in the third quarter, we participated in HUD’s Aged Delinquent Portfolio Loan Sale (ADPLS) program, which accelerates FHA insurance claims for a population of significantly delinquent FHA loans. The expedited claim filing process allows a servicer to reduce significantly its standard claim losses on accepted loans by shortening the servicing timeline and related expenses, some of which are not reimbursed by FHA insurance. Our participation required that we recognize $23.1 million of life-to-date losses on the claims filed in the third quarter of 2016. This loss is reported in Servicing and origination expense in the unaudited consolidated statements of operations. Because the MSRs related to the loans that were assigned to HUD had negative carrying values, our recognition of the losses on the loans reduced the negative carrying value of the MSRs, thereby generating negative amortization expense for this population of MSRs. In the third quarter of 2016, this ADPLS-related negative amortization expense of $18.1 million exceeded the positive amortization expense on the remaining MSRs, generating net negative amortization for the quarter.
(2)
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:
Nine months ended September 30,
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 and other transfers
—

 
(2,672
)
 
(2,672
)
 
(3
)
 
(1,471
)
 
(1,474
)
Changes in fair value (1):
 
 
 
 

 
 
 
 
 

Changes in valuation inputs or other assumptions
(131
)
 
2,303

 
2,172

 
(4,654
)
 
—

 
(4,654
)
Realization of expected future cash flows and other changes
(1,385
)
 
(79,224
)
 
(80,609
)
 
(1,399
)
 
(57,555
)
 
(58,954
)
Ending balance
$
11,841

 
$
586,306

 
$
598,147

 
$
9,015

 
$
687,093

 
$
696,108

(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 September 30, 2017 given hypothetical shifts in lifetime prepayments and yield assumptions:
 
Adverse change in fair value
 
10%
 
20%
Weighted average prepayment speeds
$
(59,993
)
 
$
(121,587
)
Discount rate (option-adjusted spread)
(10,383
)
 
(20,807
)
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 September 30, 2017
 

 
 

 
 

Servicing
$
78,254,463

 
$
—

 
$
78,254,463

Subservicing
3,656,197

 
9,750

 
3,665,947

NRZ (1)
105,557,658

 
—

 
105,557,658

 
$
187,468,318

 
$
9,750

 
$
187,478,068

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 September 30, 2016
 

 
 

 
 

Servicing
$
89,018,280

 
$
—

 
$
89,018,280

Subservicing
4,692,236

 
151,432

 
4,843,668

NRZ (1)
123,181,486

 
—

 
123,181,486

 
$
216,892,002

 
$
151,432

 
$
217,043,434

(1)
UPB of loans serviced for which the Rights to MSRs have been sold to NRZ, including those subserviced for which third-party consents have been received and the MSRs have been transferred to NRZ.
Schedule of Components of Servicing and Subservicing Fees
The following table presents the components of servicing and subservicing fees:
Periods ended September 30,
Three Months
 
Nine Months
2017
 
2016
 
2017
 
2016
Loan servicing and subservicing fees:
 
 
 
 
 
 
 
Servicing
$
63,071

 
$
74,105

 
$
197,712

 
$
229,686

Subservicing
1,760

 
2,989

 
5,877

 
11,436

NRZ
129,228

 
159,919

 
420,151

 
482,566

 
194,059

 
237,013

 
623,740

 
723,688

Late charges
14,958

 
15,225

 
47,352

 
51,301

Home Affordable Modification Program (HAMP) fees
6,202

 
32,029

 
37,692

 
88,141

Loan collection fees
5,663

 
6,746

 
17,918

 
20,860

Other
12,338

 
11,222

 
34,821

 
23,003

 
$
233,220

 
$
302,235

 
$
761,523

 
$
906,993