Quarterly report pursuant to Section 13 or 15(d)

Servicing Activities (Tables)

v3.21.2
Servicing Activities (Tables)
6 Months Ended
Jun. 30, 2021
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 six months ended June 30, 2021 and 2020.
Three Months Ended Six Months Ended
June 30, June 30,
(in thousands) 2021 2020 2021 2020
Balance at beginning of period $ 2,091,761  $ 1,505,163  $ 1,596,153  $ 1,909,444 
Purchases of mortgage servicing rights
198,526  21,551  373,749  205,334 
Sales of mortgage servicing rights
—  381  —  1,814 
Changes in fair value due to:
Changes in valuation inputs or assumptions used in the valuation model (1)
(72,910) (111,013) 428,783  (611,776)
Other changes in fair value (2)
(195,141) (127,778) (369,396) (213,680)
Other changes (3)
(2,130) (9,109) (9,183) (11,941)
Balance at end of period (4)
$ 2,020,106  $ 1,279,195  $ 2,020,106  $ 1,279,195 
____________________
(1)Includes the impact of acquiring MSR at a cost different from fair value.
(2)Primarily represents changes due to the realization of expected 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 June 30, 2021 and December 31, 2020, 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) June 30,
2021
December 31,
2020
Weighted average prepayment speed: 13.4  % 19.4  %
Impact on fair value of 10% adverse change $ (112,850) $ (121,973)
Impact on fair value of 20% adverse change $ (216,017) $ (229,676)
Weighted average delinquency: 1.5  % 2.2  %
Impact on fair value of 10% adverse change $ (3,030) $ (2,038)
Impact on fair value of 20% adverse change $ (4,855) $ (4,161)
Weighted average option-adjusted spread: 4.7  % 4.8  %
Impact on fair value of 10% adverse change $ (38,638) $ (28,678)
Impact on fair value of 20% adverse change $ (75,936) $ (56,211)
Weighted average per loan annual cost to service: $ 67.20  $ 68.27 
Impact on fair value of 10% adverse change $ (24,652) $ (21,708)
Impact on fair value of 20% adverse change $ (50,105) $ (43,527)
Components of Servicing Revenue
The following table presents the components of servicing income recorded on the Company’s condensed consolidated statements of comprehensive (loss) income for the three and six months ended June 30, 2021 and 2020:
Three Months Ended Six Months Ended
June 30, June 30,
(in thousands) 2021 2020 2021 2020
Servicing fee income $ 111,083  $ 104,463  $ 216,248  $ 222,354 
Ancillary and other fee income 622  476  1,238  997 
Float income 1,111  7,952  2,449  20,337 
Total $ 112,816  $ 112,891  $ 219,935  $ 243,688 
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 June 30, 2021 and December 31, 2020:
June 30, 2021 December 31, 2020
(dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance
Mortgage servicing rights 784,334  $ 185,209,738  781,905  $ 177,861,483 
Residential mortgage loans
1,106  681,799  1,674  1,067,500 
Other assets 46  —  — 
Total serviced mortgage assets 785,442  $ 185,891,583  783,579  $ 178,928,983