| Schedule of Servicing Assets at Fair Value |
The following table summarizes activity related to the Company’s MSR portfolio for the three and nine months ended September 30, 2024 and 2023.
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Three Months Ended |
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Nine Months Ended |
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September 30, |
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September 30, |
| (in thousands) |
2024 |
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2023 |
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2024 |
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2023 |
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| Balance at beginning of period |
$ |
3,065,415 |
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$ |
3,273,956 |
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$ |
3,052,016 |
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$ |
2,984,937 |
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Purchases of mortgage servicing rights |
43,088 |
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6,756 |
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87,224 |
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305,729 |
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| Additions from sales of mortgage loans |
166 |
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— |
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166 |
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— |
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Sales of mortgage servicing rights |
(68,143) |
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(112,351) |
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(81,014) |
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(115,044) |
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| Changes in fair value due to: |
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Changes in valuation inputs or assumptions used in the valuation model (1)
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(93,828) |
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111,186 |
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775 |
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213,803 |
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Other changes in fair value (2)
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(62,481) |
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(63,999) |
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(174,239) |
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(172,177) |
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Other changes (3)
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87 |
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(2,435) |
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(624) |
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(4,135) |
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Balance at end of period (4)
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$ |
2,884,304 |
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$ |
3,213,113 |
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$ |
2,884,304 |
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$ |
3,213,113 |
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____________________
(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 prior month-end’s principal balance of the loans underlying the Company’s MSR, increased for current month purchases.
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| Schedule of Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets |
As of September 30, 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:
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| (dollars in thousands, except per loan data) |
September 30,
2024 |
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December 31,
2023 |
| Weighted average prepayment speed: |
6.6 |
% |
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6.2 |
% |
| Impact on fair value of 10% adverse change |
$ |
(78,785) |
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$ |
(74,042) |
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| Impact on fair value of 20% adverse change |
$ |
(153,445) |
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$ |
(146,237) |
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| Weighted average delinquency: |
0.8 |
% |
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0.9 |
% |
| Impact on fair value of 10% adverse change |
$ |
(5,076) |
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$ |
(4,654) |
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| Impact on fair value of 20% adverse change |
$ |
(13,037) |
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$ |
(12,376) |
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| Weighted average option-adjusted spread: |
5.4 |
% |
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5.3 |
% |
| Impact on fair value of 10% adverse change |
$ |
(66,728) |
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$ |
(59,285) |
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| Impact on fair value of 20% adverse change |
$ |
(130,169) |
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$ |
(119,776) |
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| Weighted average per loan annual cost to service: |
$ |
68.56 |
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$ |
68.27 |
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| Impact on fair value of 10% adverse change |
$ |
(28,598) |
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$ |
(24,111) |
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| Impact on fair value of 20% adverse change |
$ |
(58,941) |
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$ |
(48,985) |
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| Schedule 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, 2024 and 2023:
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Three Months Ended |
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Nine Months Ended |
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September 30, |
|
September 30, |
| (in thousands) |
2024 |
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2023 |
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2024 |
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2023 |
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| Servicing fee income |
$ |
126,597 |
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$ |
141,816 |
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$ |
400,278 |
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$ |
415,423 |
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| Ancillary and other fee income |
3,928 |
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|
476 |
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12,220 |
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2,236 |
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| Float income |
41,207 |
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36,333 |
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101,582 |
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89,509 |
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| Total |
$ |
171,732 |
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$ |
178,625 |
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$ |
514,080 |
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$ |
507,168 |
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