Quarterly report pursuant to Section 13 or 15(d)

Servicing Activities (Tables)

v3.20.2
Servicing Activities (Tables)
9 Months Ended
Sep. 30, 2020
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, 2020 and 2019.
Three Months Ended Nine Months Ended
September 30, September 30,
(in thousands) 2020 2019 2020 2019
Balance at beginning of period $ 1,279,195  $ 1,800,826  $ 1,909,444  $ 1,993,440 
Purchases of mortgage servicing rights
88,706  76,588  294,040  341,110 
Sales of mortgage servicing rights
—  905  1,814  905 
Changes in fair value due to:
Changes in valuation inputs or assumptions used in the valuation model
41,429  (144,071) (570,347) (477,710)
Other changes in fair value (1)
(154,184) (90,529) (367,864) (198,585)
Other changes (2)
2,357  7,837  (9,584) (7,604)
Balance at end of period (3)
$ 1,257,503  $ 1,651,556  $ 1,257,503  $ 1,651,556 
____________________
(1)Other changes in fair value primarily represents changes due to the realization of expected cash flows.
(2)Other changes includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral.
(3)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, 2020 and December 31, 2019, 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,
2020
December 31,
2019
Weighted average prepayment speed: 21.4  % 14.8  %
Impact on fair value of 10% adverse change $ (103,057) $ (88,459)
Impact on fair value of 20% adverse change $ (193,815) $ (188,209)
Weighted average delinquency: 2.4  % 0.9  %
Impact on fair value of 10% adverse change $ (2,159) $ (7,470)
Impact on fair value of 20% adverse change $ (3,894) $ (15,020)
Weighted average discount rate: 5.1  % 7.2  %
Impact on fair value of 10% adverse change $ (19,684) $ (49,274)
Impact on fair value of 20% adverse change $ (38,195) $ (95,963)
Weighted average per loan annual cost to service: $ 68.63  $ 66.62 
Impact on fair value of 10% adverse change $ (18,506) $ (23,932)
Impact on fair value of 20% adverse change $ (37,096) $ (48,054)
Components of Servicing Revenue
The following table presents the components of servicing income recorded on the Company’s condensed consolidated statements of comprehensive income (loss) for the three and nine months ended September 30, 2020 and 2019:
Three Months Ended Nine Months Ended
September 30, September 30,
(in thousands) 2020 2019 2020 2019
Servicing fee income $ 96,332  $ 106,700  $ 318,686  $ 327,184 
Ancillary and other fee income 391  499  1,388  1,302 
Float income 2,391  18,826  22,728  45,436 
Total $ 99,114  $ 126,025  $ 342,802  $ 373,922 
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, 2020 and December 31, 2019:
September 30, 2020 December 31, 2019
(dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance
Mortgage servicing rights 719,344  $ 156,444,362  793,470  $ 175,882,142 
Residential mortgage loans
2,139  1,372,188  3,157  2,033,951 
Other assets —  —  71  12,511 
Total serviced mortgage assets 721,483  $ 157,816,550  796,698  $ 177,928,604