Mortgage Servicing Rights (Tables)

9 Months Ended

Sep. 30, 2022

Transfers and Servicing [Abstract]

Summary of Mortgage Servicing Rights

The following table summarizes changes in the MSR assets for the three and nine months ended September 30, 2022 and 2021 (in thousands):

	For the three months ended September 30,				For the nine months ended September 30,
	2022		2021		2022		2021
Fair value, beginning of period	$	3,736,359	$	2,662,556	$	3,314,952	1,760,304
Capitalization of MSRs	682,510		663,246		1,740,625		1,843,861
MSR sales	(359,014)		(269,925)		(1,231,810)		(269,925)
Changes in fair value:
Due to changes in valuation inputs or assumptions	373,232		61,477		940,668		221,244
Due to collection/realization of cash flows/other	(127,401)		(217,044)		(458,749)		(655,174)
Fair value, end of period	$	4,305,686	$	2,900,310	$	4,305,686	$	2,900,310

The following is a summary of the components of change in fair value of servicing rights as reported in the condensed consolidated statements of operations (in thousands):

	For the three months ended September 30,				For the nine months ended September 30,
	2022		2021		2022		2021
Changes in fair value:
Due to changes in valuation inputs and assumptions	$	373,232	$	61,477	$	940,668	$	221,244
Due to collection/realization of cash flows and other	(127,401)		(217,044)		(458,749)		(655,174)
Reserves and transaction costs on sales of servicing rights	(9,051)		(14,895)		(47,007)		(14,895)
Changes in fair value of mortgage servicing rights	$	236,780	$	(170,462)	$	434,912	$	(448,825)

Summary of Loan Servicing Income

The following table summarizes the loan servicing income recognized during the three and nine months ended September 30, 2022 and 2021, respectively (in thousands):

	For the three months ended September 30,				For the nine months ended September 30,
	2022		2021		2022		2021
Contractual servicing fees	$	193,715	$	173,133	$	567,040	$	439,386
Late, ancillary and other fees	3,066		1,562		7,807		4,376
Loan servicing income	$	196,781	$	174,695	$	574,847	$	443,762

Summary of Key Assumptions Used in Determining the Fair Value

The key unobservable inputs used in determining the fair value of the Company’s MSRs were as follows at September 30, 2022 and December 31, 2021, respectively:

	September 30, 2022							December 31, 2021
	Range					Weighted Average		Range					Weighted Average
Discount rates	9.5	%	—	15.0	%	10.1	%	9.0	%	—	14.5	%	9.6	%
Annual prepayment speeds	6.7	%	—	13.7	%	7.8	%	8.3	%	—	45.4	%	10.5	%
Cost of servicing	$75		—	$106		$80		$74		—	$162		$81

Schedule of Analysis of Change in Fair Value

The hypothetical effect of adverse changes in these key assumptions would result in a decrease in fair values as follows at September 30, 2022 and December 31, 2021, respectively, (in thousands):

	September 30, 2022		December 31, 2021
Discount rate:
+ 10% adverse change – effect on value	$	(159,984)	$	(107,992)
+ 20% adverse change – effect on value	(307,114)		(208,567)
Prepayment speeds:
+ 10% adverse change – effect on value	$	(133,988)	$	(138,807)
+ 20% adverse change – effect on value	(259,876)		(267,964)
Cost of servicing:
+ 10% adverse change – effect on value	$	(38,795)	$	(37,370)
+ 20% adverse change – effect on value	(77,590)		(74,741)