Mortgage Servicing Rights and Related Liabilities (Tables)

6 Months Ended

Jun. 30, 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 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

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

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

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
June 30, 2021
Mortgage servicing rights	$	(112)	$	(216)	$	(139)	$	(268)	$	(43)	$	(87)
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
June 30, 2021
Excess spread financing	$	30	$	61	$	34	$	70
December 31, 2020
Excess spread financing	$	30	$	62	$	41	$	84

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 June 30,				Six Months Ended June 30,
Total Revenues - Servicing	2021		2020		2021		2020
Contractually specified servicing fees(1)	$	275	$	285	$	551	$	582
Other service-related income(1)	214		62		359		111
Incentive and modification income(1)	14		8		28		18
Late fees(1)	16		20		34		47
Mark-to-market adjustments(2)	(180)		(261)		174		(644)
Counterparty revenue share(3)	(76)		(88)		(159)		(164)
Amortization, net of accretion(4)	(158)		(107)		(314)		(191)
Total revenues - Servicing	$	105	$	(81)	$	673	$	(241)

(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 $8 and $3 for the three months ended June 30, 2021 and 2020 and $20 and $13 for the six months ended June 30, 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 $70 and $79 during the three months ended June 30, 2021 and 2020, respectively. For the six months ended June 30, 2021 and 2020, amortization is net of excess spread accretion of $146 and $147, respectively.