Quarterly report pursuant to Section 13 or 15(d)

Servicing Activities (Tables)

v3.21.2
Servicing Activities (Tables)
9 Months Ended
Sep. 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 nine months ended September 30, 2021 and 2020.
Three Months Ended Nine Months Ended
September 30, September 30,
(in thousands) 2021 2020 2021 2020
Balance at beginning of period $ 2,020,106  $ 1,279,195  $ 1,596,153  $ 1,909,444 
Purchases of mortgage servicing rights
282,719  88,706  656,468  294,040 
Sales of mortgage servicing rights
(43,411) —  (43,411) 1,814 
Changes in fair value due to:
Changes in valuation inputs or assumptions used in the valuation model (1)
112,871  41,429  541,654  (570,347)
Other changes in fair value (2)
(144,314) (154,184) (513,710) (367,864)
Other changes (3)
(14,659) 2,357  (23,842) (9,584)
Balance at end of period (4)
$ 2,213,312  $ 1,257,503  $ 2,213,312  $ 1,257,503 
____________________
(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 September 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) September 30,
2021
December 31,
2020
Weighted average prepayment speed: 13.1  % 19.4  %
Impact on fair value of 10% adverse change $ (116,251) $ (121,973)
Impact on fair value of 20% adverse change $ (221,449) $ (229,676)
Weighted average delinquency: 1.3  % 2.2  %
Impact on fair value of 10% adverse change $ (3,239) $ (2,038)
Impact on fair value of 20% adverse change $ (5,179) $ (4,161)
Weighted average option-adjusted spread: 4.7  % 4.8  %
Impact on fair value of 10% adverse change $ (42,532) $ (28,678)
Impact on fair value of 20% adverse change $ (83,634) $ (56,211)
Weighted average per loan annual cost to service: $ 66.69  $ 68.27 
Impact on fair value of 10% adverse change $ (26,080) $ (21,708)
Impact on fair value of 20% adverse change $ (52,389) $ (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 income (loss) for the three and nine months ended September 30, 2021 and 2020:
Three Months Ended Nine Months Ended
September 30, September 30,
(in thousands) 2021 2020 2021 2020
Servicing fee income $ 121,221  $ 96,332  $ 337,469  $ 318,686 
Ancillary and other fee income 650  391  1,888  1,388 
Float income 1,089  2,391  3,538  22,728 
Total $ 122,960  $ 99,114  $ 342,895  $ 342,802 
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, 2021 and December 31, 2020:
September 30, 2021 December 31, 2020
(dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance
Mortgage servicing rights 801,239  $ 194,393,942  781,905  $ 177,861,483 
Residential mortgage loans
982  589,465  1,674  1,067,500 
Other assets 43  —  — 
Total serviced mortgage assets 802,223  $ 194,983,450  783,579  $ 178,928,983