Annual report pursuant to Section 13 and 15(d)

Servicing Activities (Tables)

v3.24.0.1
Servicing Activities (Tables)
 12 Months Ended
Dec. 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 the Company’s MSR portfolio for the years ended December 31, 2023, 2022 and 2021.
Year Ended
December 31,
(in thousands) 2023 2022 2021
Balance at beginning of period $ 2,984,937  $ 2,191,578  $ 1,596,153 
Purchases of mortgage servicing rights
 317,194  640,051  777,305 
Sales of mortgage servicing rights (1)
(115,754) (259,059) (43,411)
Changes in fair value due to:
Changes in valuation inputs or assumptions used in the valuation model (2)
97,859  793,631  562,843 
Other changes in fair value (3)
(227,663) (371,023) (666,160)
Other changes (4)
(4,557) (10,241) (35,152)
Balance at end of period (5)
$ 3,052,016  $ 2,984,937  $ 2,191,578 
____________________
(1)During the year ended December 31, 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 December 31, 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 December 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) December 31,
2023		 December 31,
2022
Weighted average prepayment speed: 6.2  % 6.9  %
Impact on fair value of 10% adverse change $ (74,042) $ (50,192)
Impact on fair value of 20% adverse change $ (146,237) $ (100,995)
Weighted average delinquency: 0.9  % 0.9  %
Impact on fair value of 10% adverse change $ (4,654) $ (3,880)
Impact on fair value of 20% adverse change $ (12,376) $ (7,777)
Weighted average option-adjusted spread: 5.3  % 5.3  %
Impact on fair value of 10% adverse change $ (59,285) $ (44,431)
Impact on fair value of 20% adverse change $ (119,776) $ (87,354)
Weighted average per loan annual cost to service: $ 68.27  $ 67.92 
Impact on fair value of 10% adverse change $ (24,111) $ (20,148)
Impact on fair value of 20% adverse change $ (48,985) $ (39,401)
Components of Servicing Revenue
The following table presents the components of servicing income recorded on the Company’s consolidated statements of comprehensive loss for the years ended December 31, 2023, 2022 and 2021:
Year Ended
December 31,
(in thousands) 2023 2022 2021
Servicing fee income $ 555,221  $ 564,923  $ 461,381 
Ancillary and other fee income 5,149  1,932  2,436 
Float income 125,407  37,056  4,589 
Total $ 685,777  $ 603,911  $ 468,406