Quarterly report pursuant to Section 13 or 15(d)

Servicing Activities (Tables)

v3.22.1
Servicing Activities (Tables)
 3 Months Ended
Mar. 31, 2022
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract]  
Schedule of Servicing Assets at Fair Value
The following table summarizes activity related to MSR for the three months ended March 31, 2022 and 2021.
Three Months Ended
March 31,
(in thousands) 2022 2021
Balance at beginning of period $ 2,191,578  $ 1,596,153 
Purchases of mortgage servicing rights
 484,805  175,223 
Changes in fair value due to:
Changes in valuation inputs or assumptions used in the valuation model (1)
524,913  501,693 
Other changes in fair value (2)
(114,289) (174,255)
Other changes (3)
2,956  (7,053)
Balance at end of period (4)
$ 3,089,963  $ 2,091,761 
____________________
(1)Includes the impact of acquiring MSR at a cost different from fair value.
(2)Primarily represents changes due to the realization of expected cash flows.
(3)Includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral.
(4)Based on the principal balance of the loans underlying the MSR reported by servicers on a month lag, adjusted for current month purchases.
Schedule of Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets
As of March 31, 2022 and December 31, 2021, the key economic assumptions and sensitivity of the fair value of MSR to immediate 10% and 20% adverse changes in these assumptions were as follows:
(dollars in thousands, except per loan data) March 31,
2022		 December 31,
2021
Weighted average prepayment speed: 9.0  % 12.9  %
Impact on fair value of 10% adverse change $ (103,050) $ (110,222)
Impact on fair value of 20% adverse change $ (202,454) $ (210,406)
Weighted average delinquency: 0.9  % 1.3  %
Impact on fair value of 10% adverse change $ (5,021) $ (3,470)
Impact on fair value of 20% adverse change $ (10,058) $ (6,947)
Weighted average option-adjusted spread: 5.0  % 4.7  %
Impact on fair value of 10% adverse change $ (61,150) $ (42,188)
Impact on fair value of 20% adverse change $ (12,065) $ (82,126)
Weighted average per loan annual cost to service: $ 68.12  $ 66.76 
Impact on fair value of 10% adverse change $ (29,046) $ (25,919)
Impact on fair value of 20% adverse change $ (60,100) $ (51,911)
Components of Servicing Revenue
The following table presents the components of servicing income recorded on the Company’s condensed consolidated statements of comprehensive loss for the three months ended March 31, 2022 and 2021:
Three Months Ended
March 31,
(in thousands) 2022 2021
Servicing fee income $ 135,214  $ 105,165 
Ancillary and other fee income 470  616 
Float income 942  1,338 
Total $ 136,626  $ 107,119 
Schedule of Total Serviced Mortgage Assets The following table presents the number of loans and unpaid principal balance of the mortgage assets for which the Company manages the servicing as of March 31, 2022 and December 31, 2021:
March 31, 2022 December 31, 2021
(dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance
Mortgage servicing rights 909,562  $ 229,415,913  796,205  $ 193,770,566 
Residential mortgage loans
 715  422,065  868  519,270 
Other assets 1  25  2  40 
Total serviced mortgage assets 910,278  $ 229,838,003  797,075  $ 194,289,876