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Mortgage Servicing (Tables) | 9 Months Ended
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Sep. 30, 2018
Transfers and Servicing [Abstract] |
Schedule of Activity Related to MSRs - Amortization Method |
Mortgage Servicing Rights – Amortization Method | Nine Months Ended September 30,
2018 |  | 2017
Beginning balance | $ | 336,882 |  |  | $ | 363,722 |
Fair value election - transfer of MSRs carried at fair value (1) | (361,670 | ) |  | — |
Additions recognized in connection with asset acquisitions | — |  |  | 1,658 |
Additions recognized on the sale of mortgage loans | — |  |  | 18,604 |
Sales and other transfers | — |  |  | (814 | )
| (24,788 | ) |  | 383,170 |
Amortization (1) | — |  |  | (38,560 | )
Decrease in impairment valuation allowance (1) (2) | 24,788 |  |  | 1,551 |
Ending balance | $ | — |  |  | $ | 346,161 |
Estimated fair value at end of period | $ | — |  |  | $ | 424,208 |
(1) | Effective January 1, 2018, we elected fair value accounting for our MSRs previously accounted for using the amortization method, which included Agency MSRs and government-insured MSRs. This irrevocable election applies to all subsequently acquired or originated servicing assets and liabilities that have characteristics consistent with each of these classes. We recorded a cumulative-effect adjustment of $82.0 million to retained earnings as of January 1, 2018 to reflect the excess of the fair value of the Agency MSRs over their carrying amount. We also recognized the tax effect of this adjustment through an increase in retained earnings of $6.8 million and a deferred tax asset for the same amount. However, we established a full valuation allowance on the resulting deferred tax asset through a reduction in retained earnings. The government-insured MSRs were impaired by $24.8 million at December 31, 2017; therefore, these MSRs were already effectively carried at fair value.
(2) | Impairment of MSRs is recognized in MSR valuation adjustments, net in the unaudited consolidated statements of operations for the nine months ended September 30, 2017. Impairment valuation allowance balance of $24.8 million was reclassified to reduce the carrying value of the related MSRs on January 1, 2018 in connection with our fair value election. See Note 3 – Fair Value for additional information regarding impairment and the valuation allowance.
Schedule of Activity Related to MSRs - Fair Value Measurement Method |
Mortgage Servicing Rights – Fair Value Measurement Method | Nine Months Ended September 30,
2018 |  | 2017
| Agency |  | Non-Agency |  | Total |  | Agency |  | Non-Agency |  | Total
Beginning balance | $ | 11,960 |  |  | $ | 660,002 |  |  | $ | 671,962 |  |  | $ | 13,357 |  |  | $ | 665,899 |  |  | $ | 679,256 |
Fair value election - transfer of MSRs carried at amortized cost, net of valuation allowance | 336,882 |  |  | — |  |  | 336,882 |  |  | — |  |  | — |  |  | — |
Cumulative effect of fair value election | 82,043 |  |  | — |  |  | 82,043 |  |  | — |  |  | — |  |  | — |
Sales and other transfers | (5,950 | ) |  | (175 | ) |  | (6,125 | ) |  | — |  |  | (2,672 | ) |  | (2,672 | )
Additions | 8,809 |  |  | — |  |  | 8,809 |  |  | — |  |  | — |  |  | — |
Servicing transfers and adjustments | — |  |  | (2,594 | ) |  | (2,594 | ) |  | — |  |  | — |  |  | — |
Changes in fair value (1): |  |  |  |  |  |  |  |  |  |  |
Changes in valuation inputs or other assumptions | 19,217 |  |  | (424 | ) |  | 18,793 |  |  | (131 | ) |  | 2,303 |  |  | 2,172 |
Realization of expected future cash flows and other changes | (43,545 | ) |  | (66,943 | ) |  | (110,488 | ) |  | (1,385 | ) |  | (79,224 | ) |  | (80,609 | )
Ending balance | $ | 409,416 |  |  | $ | 589,866 |  |  | $ | 999,282 |  |  | $ | 11,841 |  |  | $ | 586,306 |  |  | $ | 598,147 |
(1) | Changes in fair value are recognized in MSR valuation adjustments, net 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, 2018 given hypothetical shifts in lifetime prepayments and yield assumptions:
| Adverse change in fair value
| 10% |  | 20%
Weighted average prepayment speeds | $ | (92,659 | ) |  | $ | (178,462 | )
Discount rate (option-adjusted spread) | (28,326 | ) |  | (54,351 | )
Schedule of Composition of Servicing and Subservicing Portfolios by Type of Property Serviced | The following table presents the composition of our residential primary servicing and subservicing portfolios as measured by UPB, including foreclosed real estate and small-balance commercial loans. 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.
UPB at September 30, 2018 |  |
Servicing | $ | 68,076,254 |
Subservicing | 1,387,641 |
NRZ (1) | 91,532,579 |
| $ | 160,996,474 |
UPB at December 31, 2017 |  |
Servicing | $ | 75,469,327 |
Subservicing | 2,063,669 |
NRZ (1) | 101,819,557 |
| $ | 179,352,553 |
UPB at September 30, 2017 |  |
Servicing | $ | 78,254,463 |
Subservicing (2) | 3,656,197 |
NRZ (1) | 105,557,658 |
| $ | 187,468,318 |
(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.
(2) | Excludes $9.8 million of large-balance commercial foreclosed real estate. During 2017, we sold or transferred servicing on the remaining managed assets.
Schedule of Components of Servicing and Subservicing Fees |
Servicing Revenue | Three Months Ended September 30, |  | Nine Months Ended September 30,
2018 |  | 2017 |  | 2018 |  | 2017
Loan servicing and subservicing fees |  |  |  |  |  |  |
Servicing | $ | 52,610 |  |  | $ | 63,071 |  |  | $ | 167,389 |  |  | $ | 197,712 |
Subservicing | 658 |  |  | 1,760 |  |  | 2,443 |  |  | 5,877 |
NRZ | 120,593 |  |  | 129,228 |  |  | 374,322 |  |  | 420,151 |
| 173,861 |  |  | 194,059 |  |  | 544,154 |  |  | 623,740 |
Late charges | 14,839 |  |  | 14,958 |  |  | 44,743 |  |  | 47,352 |
Custodial accounts (float earnings) | 10,241 |  |  | 7,489 |  |  | 25,965 |  |  | 18,322 |
Loan collection fees | 4,916 |  |  | 5,663 |  |  | 14,700 |  |  | 17,918 |
Home Affordable Modification Program (HAMP) fees (1) | 3,365 |  |  | 6,202 |  |  | 11,622 |  |  | 37,692 |
Other | 6,508 |  |  | 4,849 |  |  | 16,911 |  |  | 16,499 |
| $ | 213,730 |  |  | $ | 233,220 |  |  | $ | 658,095 |  |  | $ | 761,523 |
(1) | The HAMP program expired on December 31, 2016. Borrowers who had requested assistance or to whom an offer of assistance had been extended as of that date had until September 30, 2017 to finalize their modification. We continue to earn HAMP success fees for HAMP modifications that remain less than 90 days delinquent at the first, second and third year anniversary of the start of the trial modification.

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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://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (d) -URI http://asc.fasb.org/extlink&oid=82924980&loc=d3e107314-111719 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=82924980&loc=d3e107314-111719 + Details
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- Definition Tabular disclosure of activity in the balance of servicing assets subsequently measured at amortized cost. Includes, but is not limited to, beginning and ending balances, additions, disposals, and amortization. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 50 -Section 50 -Paragraph 4 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=68078379&loc=d3e122739-111746 + 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://www.xbrl.org/2003/role/presentationRef -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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