Quarterly report pursuant to Section 13 or 15(d)

Servicing Activities (Tables)

v3.22.2.2
Servicing Activities (Tables)
9 Months Ended
Sep. 30, 2022
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, 2022 and 2021.
Three Months Ended Nine Months Ended
September 30, September 30,
(in thousands) 2022 2021 2022 2021
Balance at beginning of period $ 3,226,191  $ 2,020,106  $ 2,191,578  $ 1,596,153 
Purchases of mortgage servicing rights
56,391  282,719  601,141  656,468 
Sales of mortgage servicing rights
(259,059) (43,411) (259,059) (43,411)
Changes in fair value due to:
Changes in valuation inputs or assumptions used in the valuation model (1)
75,887  112,871  800,072  541,654 
Other changes in fair value (2)
(82,111) (144,314) (310,115) (513,710)
Other changes (3)
4,491  (14,659) (1,827) (23,842)
Balance at end of period (4)
$ 3,021,790  $ 2,213,312  $ 3,021,790  $ 2,213,312 
____________________
(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 September 30, 2022 and December 31, 2021, 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,
2022
December 31,
2021
Weighted average prepayment speed: 6.9  % 12.9  %
Impact on fair value of 10% adverse change $ (50,494) $ (110,222)
Impact on fair value of 20% adverse change $ (100,112) $ (210,406)
Weighted average delinquency: 0.7  % 1.3  %
Impact on fair value of 10% adverse change $ (3,898) $ (3,470)
Impact on fair value of 20% adverse change $ (7,826) $ (6,947)
Weighted average option-adjusted spread: 5.0  % 4.7  %
Impact on fair value of 10% adverse change $ (43,287) $ (42,188)
Impact on fair value of 20% adverse change $ (84,217) $ (82,126)
Weighted average per loan annual cost to service: $ 67.71  $ 66.76 
Impact on fair value of 10% adverse change $ (20,095) $ (25,919)
Impact on fair value of 20% adverse change $ (39,132) $ (51,911)
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 nine months ended September 30, 2022 and 2021:
Three Months Ended Nine Months Ended
September 30, September 30,
(in thousands) 2022 2021 2022 2021
Servicing fee income $ 138,140  $ 121,221  $ 426,974  $ 337,469 
Ancillary and other fee income 483  650  1,514  1,888 
Float income 10,210  1,089  14,497  3,538 
Total $ 148,833  $ 122,960  $ 442,985  $ 342,895 
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, 2022 and December 31, 2021:
September 30, 2022 December 31, 2021
(dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance
Mortgage servicing rights 812,242  $ 206,613,560  796,205  $ 193,770,566 
Residential mortgage loans
647  382,436  868  519,270 
Other assets 38  40 
Total serviced mortgage assets 812,891  $ 206,996,034  797,075  $ 194,289,876