Mortgage Servicing Rights and Related Liabilities (Tables)

3 Months Ended

Mar. 31, 2021

Transfers and Servicing [Abstract]

Schedule of servicing assets at fair value

The following table sets forth the carrying value of the Company’s mortgage servicing rights (“MSRs”) and the related liabilities. In estimating the fair value of all mortgage servicing rights and related liabilities, the impact of the COVID-19 pandemic was considered in the determination of key assumptions.

MSRs and Related Liabilities	March 31, 2021		December 31, 2020
Forward MSRs - fair value	$	3,354	$	2,703
Reverse MSRs - amortized cost	5		5
Mortgage servicing rights	$	3,359	$	2,708
Mortgage servicing liabilities - amortized cost	$	38	$	41
Excess spread financing - fair value	$	934	$	934
Mortgage servicing rights financing - fair value	23		33
MSR related liabilities - nonrecourse at fair value	$	957	$	967

The following table sets forth the activities of forward MSRs:

	Three Months Ended March 31,
Forward MSRs - Fair Value	2021		2020
Fair value - beginning of period	$	2,703	$	3,496
Additions:
Servicing retained from mortgage loans sold	288		123
Purchases of servicing rights	67		24
Dispositions:
Sales of servicing assets	(2)		—
Changes in fair value:
Changes in valuation inputs or assumptions used in the valuation model	510		(401)
Other changes in fair value	(212)		(133)
Fair value - end of period	$	3,354	$	3,109

The following table provides a breakdown of UPB and fair value for the Company’s forward MSRs:

	March 31, 2021				December 31, 2020
Forward MSRs - UPB and Fair Value Breakdown	UPB		Fair Value		UPB		Fair Value
Investor Pools
Agency	$	234,589	$	2,965	$	227,136	$	2,305
Non-agency	41,439		389		44,053		398
Total	$	276,028	$	3,354	$	271,189	$	2,703

Schedule of sensitivity analysis of fair value, transferor's interests in transferred financial assets

The following table shows the hypothetical effect on the fair value of the Company’s forward MSRs when applying certain unfavorable variations of key assumptions to these assets for the dates indicated:

	Discount Rate				Total Prepayment Speeds				Cost to Service per Loan
Forward MSRs - Hypothetical Sensitivities	100 bps Adverse Change		200 bps Adverse Change		10% Adverse Change		20% Adverse Change		10% Adverse Change		20% Adverse Change
March 31, 2021
Mortgage servicing rights	$	(142)	$	(273)	$	(187)	$	(360)	$	(49)	$	(99)
December 31, 2020
Mortgage servicing rights	$	(100)	$	(192)	$	(181)	$	(347)	$	(45)	$	(89)

The following table shows the hypothetical effect on the Company’s excess spread financing fair value when applying certain unfavorable variations of key assumptions to these liabilities for the dates indicated:

	Discount Rate				Prepayment Speeds
Excess Spread Financing - Hypothetical Sensitivities	100 bps Adverse Change		200 bps Adverse Change		10% Adverse Change		20% Adverse Change
March 31, 2021
Excess spread financing	$	33	$	68	$	36	$	75
December 31, 2020
Excess spread financing	$	30	$	62	$	41	$	84

Schedule of reverse mortgage servicing rights and liabilities - amortized cost

The following table sets forth the activities of reverse MSRs and mortgage servicing liabilities (“MSL”):

	Three Months Ended March 31,
	2021				2020
Reverse MSRs and MSLs - Amortized Cost	Reverse MSRs		Reverse MSLs		Reverse MSRs		Reverse MSLs
Balance - beginning of period	$	5	$	41	$	6	$	61
Amortization/accretion	—		(3)		—		(8)
Balance - end of the period	$	5	$	38	$	6	$	53
Fair value - end of period	$	5	$	38	$	6	$	27

Schedule of fees earned in exchange for servicing financial assets

The following table sets forth the items comprising total revenues for the Servicing segment:

	Three Months Ended March 31,
Total Revenues - Servicing	2021		2020
Contractually specified servicing fees(1)	$	276	$	297
Other service-related income(1)	145		49
Incentive and modification income(1)	14		10
Late fees(1)	18		27
Reverse servicing fees	5		6
Mark-to-market adjustments(2)	354		(383)
Counterparty revenue share(3)	(83)		(76)
Amortization, net of accretion(4)	(153)		(76)
Total revenues - Servicing	$	576	$	(146)

(1)The Company recognizes revenue on an earned basis for services performed. Amounts include subservicing related revenues.

(2)Mark-to-market (“MTM”) adjustments include fair value adjustments on MSR, excess spread financing and MSR financing liabilities. The amount of MSR MTM includes the impact of negative modeled cash flows which have been transferred to reserves on advances and other receivables. The negative modeled cash flows relate to advances and other receivables associated with inactive and liquidated loans that are no longer part of the MSR portfolio. The impact of negative modeled cash flows was $12 and $10 during the three months ended March 31, 2021 and 2020, respectively.

(3)Counterparty revenue share represents the excess servicing fee that the Company pays to the counterparties under the excess spread financing arrangements and the payments made associated with MSR financing arrangements.

(4)Amortization is net of excess spread accretion of $76 and $68 and MSL accretion of $3 and $8 during the three months ended March 31, 2021 and 2020, respectively.