Quarterly report pursuant to Section 13 or 15(d)

Servicing Activities (Tables)

v3.23.3
Servicing Activities (Tables)
 9 Months Ended
Sep. 30, 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 and nine months ended September 30, 2023 and 2022.
Three Months Ended Nine Months Ended
September 30, September 30,
(in thousands) 2023 2022 2023 2022
Balance at beginning of period $ 3,273,956  $ 3,226,191  $ 2,984,937  $ 2,191,578 
Purchases of mortgage servicing rights
 6,756  56,391  305,729  601,141 
Sales of mortgage servicing rights (1)
(112,351) (259,059) (115,044) (259,059)
Changes in fair value due to:
Changes in valuation inputs or assumptions used in the valuation model (2)
111,186  75,887  213,803  800,072 
Other changes in fair value (3)
(63,999) (82,111) (172,177) (310,115)
Other changes (4)
(2,435) 4,491  (4,135) (1,827)
Balance at end of period (5)
$ 3,213,113  $ 3,021,790  $ 3,213,113  $ 3,021,790 
____________________
(1)During the three and nine months ended September 30, 2023, excess MSR was transferred to Agency-sponsored trusts in exchange for stripped mortgage backed securities, or SMBS. In each transaction, a portion of the SMBS was acquired by third parties and the Company acquired the remaining balance of those SMBS, which are included within Agency AFS securities unless sold prior to September 30, 2023.
(2)Includes the impact of acquiring MSR at a cost different from fair value.
(3)Primarily represents changes due to the realization of cash flows.
(4)Includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral.
(5)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 September 30, 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) September 30,
2023		 December 31,
2022
Weighted average prepayment speed: 5.7  % 6.9  %
Impact on fair value of 10% adverse change $ (67,700) $ (50,192)
Impact on fair value of 20% adverse change $ (135,577) $ (100,995)
Weighted average delinquency: 1.0  % 0.9  %
Impact on fair value of 10% adverse change $ (4,547) $ (3,880)
Impact on fair value of 20% adverse change $ (10,732) $ (7,777)
Weighted average option-adjusted spread: 5.3  % 5.3  %
Impact on fair value of 10% adverse change $ (56,920) $ (44,431)
Impact on fair value of 20% adverse change $ (115,897) $ (87,354)
Weighted average per loan annual cost to service: $ 68.05  $ 67.92 
Impact on fair value of 10% adverse change $ (22,974) $ (20,148)
Impact on fair value of 20% adverse change $ (44,984) $ (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 and nine months ended September 30, 2023 and 2022:
Three Months Ended Nine Months Ended
September 30, September 30,
(in thousands) 2023 2022 2023 2022
Servicing fee income $ 141,816  $ 138,140  $ 415,423  $ 426,974 
Ancillary and other fee income 476  483  2,236  1,514 
Float income 36,333  10,210  89,509  14,497 
Total $ 178,625  $ 148,833  $ 507,168  $ 442,985 
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 September 30, 2023 and December 31, 2022:
September 30, 2023 December 31, 2022
(dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance
Mortgage servicing rights 854,816  $ 218,662,270  809,025  $ 204,876,693 
Residential mortgage loans
 599  346,224  636  374,005 
Other assets 6  280  4  269 
Total serviced mortgage assets 855,421  $ 219,008,774  809,665  $ 205,250,967