SERVICING RIGHTS, AT FAIR VALUE (Tables)

9 Months Ended

Sep. 30, 2022

Transfers and Servicing [Abstract]

Summary of Outstanding Principal Balance of Servicing Rights

The outstanding principal balance of the servicing portfolio was comprised of the following:

	September 30, 2022		December 31, 2021
Conventional	$	103,719,089	$	127,270,097
Government	35,990,544		34,842,868
Total servicing portfolio	$	139,709,633	$	162,112,965

Summary of Unpaid Principal Balance Underlying Servicing Rights

A summary of the unpaid principal balance underlying servicing rights is as follows:

	September 30, 2022		December 31, 2021
Current loans	$	137,990,039	$	160,302,966
Loans 30 - 89 days delinquent	572,209		504,467
Loans 90 or more days delinquent or in foreclosure	1,147,385		1,305,532
Total servicing portfolio (1)	$	139,709,633	$	162,112,965

(1)At September 30, 2022 and December 31, 2021 0.2% and 0.6%, respectively, of the servicing portfolio was in forbearance as a result of payment relief efforts afforded to borrowers as a result of the Coronavirus Aid, Relief, and Economic Security Act and other regulatory guidance.

Summary of Changes in Servicing Rights

A summary of the changes in the balance of servicing rights, net of servicing rights liability is as follows:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
Balance at beginning of period	$	2,204,593	$	1,776,395	$	1,999,402	$	1,124,302
Additions	124,244		345,882		574,459		1,302,884
Sales proceeds, net	(341,415)		(182,892)		(740,728)		(365,680)
Changes in fair value:
Due to changes in valuation inputs or assumptions	75,366		(3,461)		373,158		98,295
Due to collection/realization of cash flows	(49,519)		(99,230)		(193,022)		(323,107)
Balance at end of period	$	2,013,269	$	1,836,694	$	2,013,269	$	1,836,694

Summary of Components of Loan Servicing Fee Income

The following is a summary of the components of loan servicing fee income as reported in the Company’s consolidated statements of operations:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
Contractual servicing fees	$	104,917	$	99,640	$	327,567	$	271,374
Late, ancillary and other fees	8,627		2,789		14,362		8,364
Servicing fee income	$	113,544	$	102,429	$	341,929	$	279,738

Summary of Components of Changes in Fair Value of Servicing Rights

The following is a summary of the components of change in fair value of servicing rights, net as reported in the Company’s consolidated statements of operations:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
Changes in fair value:
Due to changes in valuation inputs or assumptions	$	75,366	$	(3,461)	$	373,158	$	98,295
Due to collection/realization of cash flows	(49,519)		(99,230)		(193,022)		(323,107)
Realized losses on sales of servicing rights	(13,489)		(14,218)		(5,949)		(8,224)
Net loss from derivatives hedging servicing rights	(50,837)		(21,553)		(314,557)		(94,158)
Changes in fair value of servicing rights, net	$	(38,479)	$	(138,462)	$	(140,370)	$	(327,194)

Servicing Rights Sensitivity Analysis

The table below illustrates hypothetical changes in fair values of servicing rights, caused by assumed immediate changes to key assumptions that are used to determine fair value.

	September 30, 2022		December 31, 2021
Fair Value of Servicing Rights, net	$	2,013,269	$	1,999,402
Change in Fair Value from adverse changes:
Discount Rate:
Increase 1%	(81,235)		(85,066)
Increase 2%	(156,903)		(163,255)
Cost of Servicing:
Increase 10%	(18,990)		(20,843)
Increase 20%	(38,066)		(41,727)
Prepayment Speed:
Increase 10%	(17,625)		(76,532)
Increase 20%	(35,139)		(148,556)