UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

________________________________________________________________________________________________________

 FORM 10-Q

☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2021

or

☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from _______ to _______                    

Commission file number: 001-14667

________________________________________________________________________________________________________

Mr. Cooper Group Inc.

(Exact name of registrant as specified in its charter)

Delaware	91-1653725
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)
8950 Cypress Waters Blvd, Coppell, TX	75019
(Address of principal executive offices)	(Zip Code)
(469) 549-2000
Registrant’s telephone number, including area code

Securities registered pursuant to Section 12(b) of the Act:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
Common stock, $0.01 par value per share	COOP	The Nasdaq Stock Market

____________________________________________________________________________________________________

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  x    No  ¨

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    Yes  x    No  ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12(b)-2 of the Exchange Act.

Large Accelerated Filer	x	Accelerated Filer	☐
Non-Accelerated Filer	¨	Smaller reporting company	☐
		Emerging growth company	☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes  ☐    No  x

Number of shares of common stock, $0.01 par value, outstanding as of July 22, 2021 was 86,148,567.

MR. COOPER GROUP INC.

QUARTERLY REPORT ON FORM 10-Q

TABLE OF CONTENTS

		Page
PART I	FINANCIAL INFORMATION
Item 1.	Financial Statements	3
	Condensed Consolidated Balance Sheets as of June 30, 2021 (unaudited) and December 31, 2020	3
	Condensed Consolidated Statements of Operations (unaudited) for the Three and Six Months Ended June 30, 2021 and 2020	4
	Condensed Consolidated Statements of Stockholders’ Equity (unaudited) for the Three and Six Months Ended June 30, 2021 and 2020	5
	Condensed Consolidated Statements of Cash Flows (unaudited) for the Six Months Ended June 30, 2021 and 2020	7
	Notes to Condensed Consolidated Financial Statements (unaudited)	9
	1. Nature of Business and Basis of Presentation	9
	2. Discontinued Operations	10
	3. Mortgage Servicing Rights and Related Liabilities	11
	4. Advances and Other Receivables	14
	5. Mortgage Loans Held for Sale	15
	6. Loans Subject to Repurchase from Ginnie Mae	16
	7. Goodwill and Intangible Assets	16
	8. Derivative Financial Instruments	17
	9. Indebtedness	19
	10. Securitizations and Financings	20
	11. Earnings Per Share	21
	12. Income Taxes	23
	13. Fair Value Measurements	23
	14. Capital Requirements	27
	15. Commitments and Contingencies	27
	16. Segment Information	29
Item 2.	Management's Discussion and Analysis of Financial Condition and Results of Operations	33
Item 3.	Quantitative and Qualitative Disclosures about Market Risk	62
Item 4.	Controls and Procedures	63
PART II	OTHER INFORMATION
Item 1.	Legal Proceedings	64
Item 1A.	Risk Factors	64
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	64
Item 3.	Defaults Upon Senior Securities	64
Item 4.	Mine Safety Disclosures	64
Item 5.	Other Information	64
Item 6.	Exhibits	65

2

PART I. Financial Information

Item 1. Financial Statements

MR. COOPER GROUP INC.

CONDENSED CONSOLIDATED BALANCE SHEETS

(millions of dollars, except share data)

	June 30, 2021		December 31, 2020
	(unaudited)
Assets
Cash and cash equivalents	$	716	$	695
Restricted cash	113		135
Mortgage servicing rights at fair value	3,307		2,703
Advances and other receivables, net of reserves of $191 and $208, respectively	837		940
Mortgage loans held for sale at fair value	6,961		5,720
Property and equipment, net of accumulated depreciation of $108 and $96, respectively	110		113
Deferred tax assets, net	1,118		1,339
Other assets	5,211		7,173
Assets of discontinued operations	4,935		5,347
Total assets	$	23,308	$	24,165
Liabilities and Stockholders’ Equity
Unsecured senior notes, net	$	2,075	$	2,074
Advance and warehouse facilities, net	7,310		6,258
Payables and other liabilities	4,895		7,159
MSR related liabilities - nonrecourse at fair value	888		967
Liabilities of discontinued operations	4,790		5,203
Total liabilities	19,958		21,661
Commitments and contingencies (Note 15)
Preferred stock at $0.00001 - 10 million shares authorized, 1.0 million shares issued and outstanding, respectively; aggregate liquidation preference of ten dollars, respectively	—		—
Common stock at $0.01 par value - 300 million shares authorized, 93.2 million and 92.0 million shares issued, respectively	1		1
Additional paid-in-capital	1,120		1,126
Retained earnings	2,434		1,434
Treasury shares at cost - 7.1 million and 2.6 million shares, respectively	(206)		(58)
Total Mr. Cooper stockholders’ equity	3,349		2,503
Non-controlling interests	1		1
Total stockholders’ equity	3,350		2,504
Total liabilities and stockholders’ equity	$	23,308	$	24,165

See accompanying Notes to the Condensed Consolidated Financial Statements (unaudited).

3

MR. COOPER GROUP INC.

UNAUDITED CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS

(millions of dollars, except for earnings per share data)

	Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
Revenues:
Service related, net	$	(8)	$	—	$	572	$	(67)
Net gain on mortgage loans held for sale	582		618		1,261		949
Total revenues	574		618		1,833		882
Expenses:
Salaries, wages and benefits	277		238		554		472
General and administrative	148		160		325		350
Total expenses	425		398		879		822
Interest income	51		22		97		97
Interest expense	(119)		(127)		(245)		(266)
Other income, net	486		—		486		1
Total other income (expenses), net	418		(105)		338		(168)
Income (loss) from continuing operations before income tax expense (benefit)	567		115		1,292		(108)
Less: Income tax expense (benefit)	140		38		306		(26)
Net income (loss) from continuing operations	427		77		986		(82)
Net income (loss) from discontinued operations	12		(4)		14		(16)
Net income (loss)	439		73		1,000		(98)
Less: Net loss attributable to non-controlling interests	—		—		—		(3)
Net income (loss) attributable to Mr. Cooper	439		73		1,000		(95)
Less: Undistributed earnings attributable to participating stockholders	4		1		9		—
Net income (loss) attributable to common stockholders	$	435	$	72	$	991	$	(95)
Earnings from continuing operations per common share attributable to Mr. Cooper:
Basic	$	4.91	$	0.82	$	11.13	$	(0.86)
Diluted	$	4.72	$	0.81	$	10.65	$	(0.86)
Earnings from discontinued operations per common share attributable to Mr. Cooper:
Basic	$	0.14	$	(0.04)	$	0.16	$	(0.18)
Diluted	$	0.13	$	(0.04)	$	0.15	$	(0.18)
Earnings per common share attributable to Mr. Cooper:
Basic	$	5.05	$	0.78	$	11.29	$	(1.04)
Diluted	$	4.85	$	0.77	$	10.80	$	(1.04)

    

See accompanying Notes to the Condensed Consolidated Financial Statements (unaudited).

4

MR. COOPER GROUP INC.

UNAUDITED CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY

(millions of dollars, except share data)

	Preferred Stock			Common Stock
	Shares (in thousands)	Amount		Shares (in thousands)	Amount		Additional Paid-in Capital		Retained Earnings		Treasury Share Amount		Total Mr. Cooper Stockholders’ Equity		Non-controlling Interests		Total Stockholders’ Equity
Balance at March 31, 2020	1,000	$	—	91,970	$	1	$	1,108	$	961	$	—	$	2,070	$	(4)	$	2,066
Shares issued / (surrendered) under incentive compensation plan	—	—		52	—		—		—		—		—		—		—
Share-based compensation	—	—		—	—		6		—		—		6		—		6
Net income	—	—		—	—		—		73		—		73		—		73
Balance at June 30, 2020	1,000	$	—	92,022	$	1	$	1,114	$	1,034	$	—	$	2,149	$	(4)	$	2,145
Balance at March 31, 2021	1,000	$	—	86,135	$	1	$	1,113	$	1,995	$	(206)	$	2,903	$	1	$	2,904
Shares issued / (surrendered) under incentive compensation plan	—	—		14	—		(1)		—		—		(1)		—		(1)
Share-based compensation	—	—		—	—		8		—		—		8		—		8
Net income	—	—		—	—		—		439		—		439		—		439
Balance at June 30, 2021	1,000	$	—	86,149	$	1	$	1,120	$	2,434	$	(206)	$	3,349	$	1	$	3,350

See accompanying Notes to the Condensed Consolidated Financial Statements (unaudited).

5

MR. COOPER GROUP INC.

UNAUDITED CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY

(millions of dollars, except share data)

	Preferred Stock			Common Stock
	Shares (in thousands)	Amount		Shares (in thousands)	Amount		Additional Paid-in Capital		Retained Earnings		Treasury Share Amount		Total Mr. Cooper Stockholders’ Equity		Non-controlling Interests		Total Stockholders’ Equity
Balance at January 1, 2020	1,000	$	—	91,118	$	1	$	1,109	$	1,122	$	—	$	2,232	$	(1)	$	2,231
Shares issued / (surrendered) under incentive compensation plan	—	—		904	—		(5)		—		—		(5)		—		(5)
Share-based compensation	—	—		—	—		10		—		—		10		—		10
Cumulative effect adjustments pursuant to the adoption of CECL-related accounting guidance	—	—		—	—		—		7		—		7		—		7
Net loss	—	—		—	—		—		(95)		—		(95)		(3)		(98)
Balance at June 30, 2020	1,000	$	—	92,022	$	1	$	1,114	$	1,034	$	—	$	2,149	$	(4)	$	2,145
Balance at January 1, 2021	1,000	$	—	89,457	$	1	$	1,126	$	1,434	$	(58)	$	2,503	$	1	$	2,504
Shares issued / (surrendered) under incentive compensation plan	—	—		1,197	—		(20)		—		—		(20)		—		(20)
Share-based compensation	—	—		—	—		14		—		—		14		—		14
Repurchase of common stock	—	—		(4,505)	—		—		—		(148)		(148)		—		(148)
Net income	—	—		—	—		—		1,000		—		1,000		—		1,000
Balance at June 30, 2021	1,000	$	—	86,149	$	1	$	1,120	$	2,434	$	(206)	$	3,349	$	1	$	3,350

See accompanying Notes to the Condensed Consolidated Financial Statements (unaudited).

6

MR. COOPER GROUP INC.

UNAUDITED CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS

(millions of dollars)

	Six Months Ended June 30,
	2021		2020
Operating Activities
Net income (loss)	$	1,000	$	(98)
Less: Net income (loss) from discontinued operations	14		(16)
Net income (loss) from continuing operations	986		(82)
Adjustments to reconcile net income (loss) from continuing operations to net cash attributable to operating activities:
Deferred tax expense (benefit)	220		(49)
Net gain on mortgage loans held for sale	(1,261)		(949)
Provision for servicing and non-servicing reserves	21		11
Fair value changes and amortization of mortgage servicing rights	190		1,055
Fair value changes in MSR related liabilities	2		(89)
Depreciation and amortization for property and equipment and intangible assets	31		36
Gain on sale of business	(487)		—
Other operating activities	24		26
Repurchases of forward loan assets out of Ginnie Mae securitizations	(5,812)		(2,092)
Mortgage loans originated and purchased for sale, net of fees	(47,560)		(23,110)
Sales proceeds and loan payment proceeds for mortgage loans held for sale	52,923		26,606
Changes in assets and liabilities:
Advances and other receivables	48		270
Other assets	101		(5)
Payables and other liabilities	13		(119)
Net cash attributable to operating activities - continuing operations	(561)		1,509
Net cash attributable to operating activities - discontinued operations	447		557
Net cash attributable to operating activities	(114)		2,066
Investing Activities
Property and equipment additions, net of disposals	(26)		(26)
Purchase of forward mortgage servicing rights	(217)		(31)
Proceeds on sale of forward mortgage servicing rights	13		43
Other investing activities	(17)		—
Net cash attributable to investing activities - continuing operations	(247)		(14)
Net cash attributable to investing activities - discontinued operations	—		—
Net cash attributable to investing activities	(247)		(14)
Financing Activities
Increase in advance and warehouse facilities	1,047		(520)
Settlements and repayments of excess spread financing	(81)		(110)
Issuance of unsecured senior notes	—		600
Redemption and repayment of unsecured senior notes	—		(698)
Repurchase of common stock	(148)		—
Other financing activities	(24)		(2)
Net cash attributable to financing activities - continuing operations	794		(730)
Net cash attributable to financing activities - discontinued operations	(440)		(633)
Net cash attributable to financing activities	354		(1,363)
Net (decrease) increase in cash, cash equivalents, and restricted cash	(7)		689
Cash, cash equivalents, and restricted cash - beginning of period	913		612
Cash, cash equivalents, and restricted cash - end of period(1)	$	906	$	1,301
Supplemental Disclosures of Non-cash Investing Activities
Consideration from sale of business	$	499	$	—
Purchase of forward mortgage servicing rights	$	7	$	—

7

(1)The following table provides a reconciliation of cash, cash equivalents and restricted cash to amounts reported within the condensed consolidated balance sheets.

	June 30, 2021		June 30, 2020
Cash and cash equivalents	$	716	$	1,041
Restricted cash	113		178
Restricted cash within assets of discontinued operations	77		82
Total cash, cash equivalents, and restricted cash	$	906	$	1,301

See accompanying Notes to the Condensed Consolidated Financial Statements (unaudited). 

8

MR COOPER GROUP INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

(millions of dollars, unless otherwise stated)

1. Nature of Business and Basis of Presentation

Nature of Business

Mr. Cooper Group Inc., collectively with its consolidated subsidiaries, (“Mr. Cooper,” the “Company,” “we,” “us” or “our”) provides servicing, origination and transaction-based services related to single family residences throughout the United States with operations under its primary brands: Mr. Cooper® and Xome®. Mr. Cooper is one of the largest home loan originators and servicers in the country focused on delivering a variety of servicing and lending products, services and technologies. Xome provides technology and data enhanced solutions to homebuyers, home sellers, real estate agents and mortgage companies. The Company’s corporate website is located at www.mrcoopergroup.com. The Company has provided a glossary of terms, which defines certain industry-specific and other terms that are used herein, in Item 2, Management’s Discussion and Analysis of Financial Condition and Results of Operations, of this Form 10-Q.

On March 12, 2021, the Company entered into a Stock Purchase Agreement with Blend Labs, Inc. (“Blend Labs”), a Delaware corporation, pursuant to which Blend Labs will acquire the title business of the Company for a purchase price of approximately $500, consisting of approximately $450 in cash, subject to certain adjustments specified therein, and a retained interest of 9.9% for the Company (the “Title Transaction”). The Title Transaction was completed on June 30, 2021, with consideration received on July 1, 2021. A receivable for consideration was recorded in other assets in the Company’s condensed consolidated balance sheets as of June 30, 2021. Pursuant to the Stock Purchase Agreement, all cash generated, subject to certain adjustments, between March 13, 2021 and the closing date of the Title Transaction, were held for the benefit of Blend Labs. A $487 gain on the Title Transaction was recorded in the second quarter of 2021 upon closing of the Title Transaction, which was included in other income, net within the condensed consolidated statements of operations. In addition, the Company recorded total transaction costs of $2 and $5 for the three and six months ended June 30, 2021, respectively. The results of the title business were previously reported under the Xome segment. The carrying amounts of assets and liabilities associated with the title business were not material to the condensed consolidated balance sheets as of December 31, 2020.

On July 1, 2021, the Company entered into a definitive agreement for the sale of its reverse servicing portfolio, operating under the Champion Mortgage brand (“Champion”), to Mortgage Assets Management, LLC and its affiliates (“MAM”). The reverse servicing operation was previously reported in the Company’s Servicing segment. The Company determined the sale of the reverse servicing portfolio qualified for reporting as discontinued operations as of June 30, 2021. As a result, the reverse servicing operation is presented as discontinued operations in the Company’s condensed consolidated statements of operations and the assets and liabilities of the reverse servicing operation are presented as discontinued operations in the Company’s condensed consolidated balance sheets for all periods presented. Unless otherwise indicated, information in this report relates to the Company’s continuing operations. Refer to Note 2, Discontinued Operations for further details.

Basis of Presentation

The interim condensed consolidated financial statements of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and in accordance with the instructions to Form 10-Q and Article 10 of Regulation S-X as promulgated by the Securities and Exchange Commission. Accordingly, the financial statements do not include all of the information and footnotes required by GAAP for complete financial statements and should be read in conjunction with the audited consolidated financial statements and notes thereto included in the Company’s Annual Reports on Form 10-K for the year ended December 31, 2020.

The interim condensed consolidated financial statements are unaudited; however, in the opinion of management, all adjustments, consisting of normal recurring items, considered necessary for a fair presentation of the results of the interim periods have been included. Dollar amounts are reported in millions, except per share data and other key metrics, unless otherwise noted.

9

Basis of Consolidation

The condensed consolidated financial statements include the accounts of the Company, its wholly-owned subsidiaries, other entities in which the Company has a controlling financial interest and those variable interest entities (“VIE”) where the Company’s wholly-owned subsidiaries are the primary beneficiaries. Assets and liabilities of VIEs and their respective results of operations are consolidated from the date that the Company became the primary beneficiary through the date the Company ceases to be the primary beneficiary. The Company applies the equity method of accounting to investments where it is able to exercise significant influence, but not control, over the policies and procedures of the entity and owns less than 50% of the voting interests. Investments in certain companies over which the Company does not exert significant influence are accounted for as cost method investments. Intercompany balances and transactions on consolidated entities have been eliminated.

Use of Estimates

The preparation of the condensed consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed consolidated financial statements and accompanying notes. Actual results could differ from these estimates due to factors such as adverse changes in the economy, changes in interest rates, secondary market pricing for loans held for sale and derivatives, strength of underwriting and servicing practices, changes in prepayment assumptions, declines in home prices or discrete events adversely affecting specific borrowers, uncertainties in the economy from the COVID-19 pandemic, and such differences could be material.

In the second quarter of 2021, the Company refined its estimation process for determining the fair value of forward MSRs by incorporating an estimate of future cash flows from existing loans that are expected to be recaptured, which is consistent with recent pricing observed from market participants. This refinement did not result in a significant change to the overall valuation of the Company’s mortgage servicing rights (“MSRs”) portfolio. See Note 3, Mortgage Servicing Rights and Related Liabilities and Note 13, Fair Value Measurements for further discussion. There were no other changes to the Company’s use of estimates for the period ended June 30, 2021.

Recent Accounting Guidance Adopted

Accounting Standards Update 2019-12, Income Taxes (Topic 740) - Simplifying the Accounting for Income Taxes (“ASU 2019-12”) simplifies accounting for income taxes by removing certain exceptions from the general principles in Topic 740 including elimination of the exception to the incremental approach for intraperiod tax allocation when there is a loss from continuing operations and income or a gain from other items such as other comprehensive income. ASU 2019-12 also clarifies and amends certain guidance in Topic 740. ASU 2019-12 is effective for the Company on January 1, 2021. The adoption of the standard did not have a material impact to the Company’s condensed consolidated financial statements.

2. Discontinued Operations

On July 1, 2021, the Company entered into a definitive agreement for the sale of its reverse servicing portfolio, operating under Champion, to MAM. Upon close of the transaction, which is subject to regulatory approvals and other closing conditions, MAM will assume Champion’s reverse portfolio and related operations. The sale is expected to close prior to the end of 2021. The carrying amounts of assets and liabilities associated with the reverse servicing operation are reported under the Servicing segment. The Company determined reverse servicing operations met the criteria for classification as held for sale as of June 30, 2021 and represents a strategic shift in the Company’s operations. Therefore, the sale of the reverse servicing portfolio qualifies for reporting as discontinued operations, and the assets and liabilities of the reverse servicing portfolio are reported as discontinued operations in the condensed consolidated balance sheets and related results of operations are reported as discontinued operations in the condensed consolidated statements of operations for all periods presented.

As part of the transaction, the Company entered into a servicing agreement with MAM, under which the Company will be compensated for continuing to service these reverse loans through the date that the loans are transferred out of Company’s servicing system, which will be the date of close. In addition, the Company will retain certain loans related to the reverse servicing portfolio, primarily related to previously liquidated loans, with total assets of $112 and total liabilities of $88 as of June 30, 2021.

10

The following table sets forth the assets and liabilities included in discontinued operations:

	June 30, 2021		December 31, 2020
Carrying amounts of assets of discontinued operations
Restricted cash	$	77	$	83
Reverse mortgage interests, net	4,910		5,253
Other	9		11
Loss recognized on classification as discontinued operations	(61)		—
Total assets of discontinues operations	$	4,935	$	5,347
Carrying amounts of liabilities of discontinued operations
Advances and warehouse facilities, net	$	525	$	505
Payables and other liabilities	224		233
Mortgage servicing liabilities	42		41
Other nonrecourse debt, net	3,999		4,424
Total liabilities of discontinued operations	$	4,790	$	5,203

The following table sets forth the condensed consolidated statements of operations data for discontinued operations:

	Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
Revenue - service related, net	$	1	$	12	$	9	$	26
Salaries, wages and benefits expense	(8)		(10)		(16)		(22)
General and administrative expense	71		(10)		64		(18)
Interest income	43		53		87		96
Interest expense	(30)		(50)		(64)		(103)
Loss on classification as discontinued operations	(61)		—		(61)		—
Income (loss) from discontinued operations before income tax expense (benefit)	16		(5)		19		(21)
Less: Income tax expense (benefit)	4		(1)		5		(5)
Net income (loss) from discontinued operations	$	12	$	(4)	$	14	$	(16)

3. Mortgage Servicing Rights and Related Liabilities

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 current environment was considered in the determination of key assumptions.

MSRs and Related Liabilities	June 30, 2021		December 31, 2020
Forward MSRs - fair value	$	3,307	$	2,703
Excess spread financing - fair value	$	867	$	934
Mortgage servicing rights financing - fair value	21		33
MSR related liabilities - nonrecourse at fair value	$	888	$	967

11

Forward Mortgage Servicing Rights

The following table sets forth the activities of forward MSRs:

	Six Months Ended June 30,
Forward MSRs - Fair Value	2021		2020
Fair value - beginning of period	$	2,703	$	3,496
Additions:
Servicing retained from mortgage loans sold	554		249
Purchases of servicing rights	218		24
Dispositions:
Sales of servicing assets	(12)		—
Changes in fair value:
Changes in valuation inputs or assumptions used in the valuation model	270		(717)
Changes in valuation due to amortization	(460)		(338)
Other changes	34		43
Fair value - end of period	$	3,307	$	2,757

During the six months ended June 30, 2021 and 2020, the Company sold $1,076 and $71 in unpaid principal balance (“UPB”) of forward MSRs, of which $1,008 and none were retained by the Company as subservicer, respectively.

MSRs measured at fair value are segregated between investor type into agency and non-agency pools (referred to herein as “investor pools”) based upon contractual servicing agreements with investors at the respective balance sheet date to evaluate the MSR portfolio and fair value of the portfolio. Agency investors primarily consist of government sponsored enterprises (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae” or “FNMA”) and the Federal Home Loan Mortgage Corp (“Freddie Mac” or “FHLMC”), and the Government National Mortgage Association (“Ginnie Mae” or “GNMA”). Non-agency investors consist of investors in private-label securitizations.

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

	June 30, 2021				December 31, 2020
Forward MSRs - UPB and Fair Value Breakdown	UPB		Fair Value		UPB		Fair Value
Investor Pools
Agency	$	248,799	$	2,955	$	227,136	$	2,305
Non-agency	38,656		352		44,053		398
Total	$	287,455	$	3,307	$	271,189	$	2,703

In the second quarter of 2021, the Company refined its estimate of the fair value of forward MSRs by incorporating an estimate of future cash flows from existing loans that are expected to be recaptured. The estimate of future cash flows related to recapture is consistent with recent pricing observed from various market participants, including the Company’s independent, third-party valuation firms. As a result of considering the recapture rate, the Company adjusted its discount rate assumption in order to ensure that the fair value of forward MSRs remains consistent with current market participant pricing and was also corroborated with valuations provided by independent, third parties. The net impact on the overall forward MSRs fair value was not significant during the three and six months ended June 30, 2021. Refer to Note 13, Fair Value Measurements, for further discussion on key weighted-average inputs and assumptions used in estimating the fair value of forward MSRs.

12

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
June 30, 2021
Mortgage servicing rights	$	(112)	$	(216)	$	(139)	$	(268)	$	(43)	$	(87)
December 31, 2020
Mortgage servicing rights	$	(100)	$	(192)	$	(