MORTGAGE SERVICING RIGHTS

12 Months Ended

Dec. 31, 2022

Transfers and Servicing [Abstract]

MORTGAGE SERVICING RIGHTS

7. MORTGAGE SERVICING RIGHTS

MSR represent the rights and obligations associated with servicing pools of residential mortgage loans. The Company and its subsidiaries do not originate or directly service residential mortgage loans. Rather, these activities are carried out by duly licensed subservicers who perform substantially all servicing functions for the loans underlying the MSR. The Company generally intends to hold the MSR as investments and elected to account for all of its investments in MSR at fair value. As such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss).

Interests in MSR represent agreements to purchase all, or a component of, net servicing cash flows. A third party acted as a master servicer for the loans providing the net servicing cash flows represented by the Interests in MSR. The Company accounts for its Interests in MSR at fair value with change in fair value presented in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Cash flows received for Interests in MSR are recorded in Other, net in the Consolidated Statements of Comprehensive Income (Loss).

The following table presents activity related to MSR and Interests in MSR for the years ended December 31, 2022 and 2021:  

Mortgage Servicing Rights	December 31, 2022		December 31, 2021
	(dollars in thousands)
Fair value, beginning of period	$	544,562	$	100,895
Purchases (1)	1,009,351		468,196
Transfers (2)	82,650		—
Sales	(9,084)		(82,176)
Change in fair value due to
Changes in valuation inputs or assumptions (3)	205,463		120,879
Other changes, including realization of expected cash flows	(84,733)		(63,232)
Fair value, end of period	$	1,748,209	$	544,562
(1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. (2) Transfers from Interests in MSR - Refer to the “Variable Interest Entities” Note for additional information. (3) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.

Interests in MSR	December 31, 2022		December 31, 2021
	(dollars in thousands)
Beginning balance	$	69,316	$	—
Purchases (1)	4,860		65,107
Transfers (2)	(82,650)		—
Gain (loss) included in net income	8,474		4,209
Ending balance December 31, 2022	$	—	$	69,316
(1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. (2) Transfers to MSR - Refer to the “Variable Interest Entities” Note for additional information