MSRs

9 Months Ended

Sep. 30, 2021

Mortgage Servicing Rights MSR Disclosure [Abstract]

MSRs

MSRs

As of September 30, 2021, the Company retained the servicing rights associated with an aggregate principal balance of $110,144,748 of residential mortgage loans that the Company had previously transferred to residential mortgage loan securitization trusts. The Company’s MSRs are held and managed at the Company’s TRS, and the Company employs two licensed sub-servicers to perform the related servicing activities.

The following table presents the Company’s MSR activity for the nine months ended September 30, 2021 and the nine months ended September 30, 2020:

	September 30, 2021			September 30, 2020
Balance at beginning of period	$	919,678		$	2,700,207
Changes in fair value due to:
Changes in valuation inputs or assumptions used in valuation model	91,669			(838,437)
Other changes to fair value(1)	(392,335)			(764,616)
Balance at end of period	$	619,012		$	1,097,154
Loans associated with MSRs(2)	$	110,144,748		$	239,180,324
MSR values as percent of loans(3)	0.56		%	0.46		%

(1)Amounts represent changes due to realization of expected cash flows and prepayment of principal of the underlying loan portfolio.

(2)Amounts represent the unpaid principal balance of loans associated with MSRs outstanding at September 30, 2021 and September 30, 2020, respectively.

(3)Amounts represent the carrying value of MSRs at September 30, 2021 and September 30, 2020, respectively divided by the outstanding balance of the loans associated with these MSRs.

The following table presents the servicing income recorded on the Company’s condensed consolidated statements of operations for the three and nine months ended September 30, 2021 and September 30, 2020:

	Three Months Ended September 30, 2021		Three Months Ended September 30, 2020
Servicing income, net	$	106,392	$	187,989
Total servicing income	$	106,392	$	187,989

	Nine Months Ended September 30, 2021		Nine Months Ended September 30, 2020
Servicing income, net	$	326,314	$	585,516
Total servicing income	$	326,314	$	585,516