Quarterly report pursuant to Section 13 or 15(d)

Servicing Activities (Tables)

v3.23.1
Servicing Activities (Tables)
 3 Months Ended
Mar. 31, 2023
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, 2023 and 2022.
Three Months Ended
March 31,
(in thousands) 2023 2022
Balance at beginning of period $ 2,984,937  $ 2,191,578 
Purchases of mortgage servicing rights
 118,341  484,805 
Sales of mortgage servicing rights
 (2,693) — 
Changes in fair value due to:
Changes in valuation inputs or assumptions used in the valuation model (1)
20,421  524,913 
Other changes in fair value (2)
(47,661) (114,289)
Other changes (3)
(900) 2,956 
Balance at end of period (4)
$ 3,072,445  $ 3,089,963 
____________________
(1)Includes the impact of acquiring MSR at a cost different from fair value.
(2)Primarily represents changes due to the realization of 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, 2023 and December 31, 2022, 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,
2023		 December 31,
2022
Weighted average prepayment speed: 6.8  % 6.9  %
Impact on fair value of 10% adverse change $ (75,183) $ (50,192)
Impact on fair value of 20% adverse change $ (150,519) $ (100,995)
Weighted average delinquency: 0.9  % 0.9  %
Impact on fair value of 10% adverse change $ (4,532) $ (3,880)
Impact on fair value of 20% adverse change $ (9,079) $ (7,777)
Weighted average option-adjusted spread: 5.4  % 5.3  %
Impact on fair value of 10% adverse change $ (60,373) $ (44,431)
Impact on fair value of 20% adverse change $ (121,961) $ (87,354)
Weighted average per loan annual cost to service: $ 67.97  $ 67.92 
Impact on fair value of 10% adverse change $ (24,272) $ (20,148)
Impact on fair value of 20% adverse change $ (47,776) $ (39,401)
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, 2023 and 2022:
Three Months Ended
March 31,
(in thousands) 2023 2022
Servicing fee income $ 129,237  $ 135,214 
Ancillary and other fee income 369  470 
Float income 23,714  942 
Total $ 153,320  $ 136,626 
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, 2023 and December 31, 2022:
March 31, 2023 December 31, 2022
(dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance
Mortgage servicing rights 831,028  $ 212,444,503  809,025  $ 204,876,693 
Residential mortgage loans
 626  365,556  636  374,005 
Other assets 5  301  4  269 
Total serviced mortgage assets 831,659  $ 212,810,360  809,665  $ 205,250,967