Quarterly report pursuant to Section 13 or 15(d)

Servicing Activities (Tables)

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Servicing Activities (Tables)
 3 Months Ended
Mar. 31, 2024
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract]  
Schedule of Servicing Assets at Fair Value
The following table summarizes activity related to the Company’s MSR portfolio for the three months ended March 31, 2024 and 2023.
Three Months Ended
March 31,
(in thousands) 2024 2023
Balance at beginning of period $ 3,052,016  $ 2,984,937 
Purchases of mortgage servicing rights
 40,335  118,341 
Sales of mortgage servicing rights
 (12,871) (2,693)
Changes in fair value due to:
Changes in valuation inputs or assumptions used in the valuation model (1)
54,430  20,421 
Other changes in fair value (2)
(48,768) (47,661)
Other changes (3)
(263) (900)
Balance at end of period (4)
$ 3,084,879  $ 3,072,445 
____________________
(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, 2024 and December 31, 2023, 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,
2024		 December 31,
2023
Weighted average prepayment speed: 6.2  % 6.2  %
Impact on fair value of 10% adverse change $ (78,387) $ (74,042)
Impact on fair value of 20% adverse change $ (154,074) $ (146,237)
Weighted average delinquency: 1.0  % 0.9  %
Impact on fair value of 10% adverse change $ (5,445) $ (4,654)
Impact on fair value of 20% adverse change $ (13,974) $ (12,376)
Weighted average option-adjusted spread: 5.4  % 5.3  %
Impact on fair value of 10% adverse change $ (71,353) $ (59,285)
Impact on fair value of 20% adverse change $ (138,989) $ (119,776)
Weighted average per loan annual cost to service: $ 68.47  $ 68.27 
Impact on fair value of 10% adverse change $ (27,471) $ (24,111)
Impact on fair value of 20% adverse change $ (55,188) $ (48,985)
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 months ended March 31, 2024 and 2023:
Three Months Ended
March 31,
(in thousands) 2024 2023
Servicing fee income $ 134,320  $ 129,237 
Ancillary and other fee income 3,857  369 
Float income 28,156  23,714 
Total $ 166,333  $ 153,320