Mortgage Servicing Rights and Related Liabilities (Tables)

12 Months Ended

Dec. 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 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	December 31, 2021		December 31, 2020
Forward MSRs at fair value	$	4,223	$	2,703
Excess spread financing at fair value	$	768	$	934
Mortgage servicing rights financing at fair value	10		33
MSR related liabilities - nonrecourse at fair value	$	778	$	967

The following table sets forth the activities of forward MSRs:

	Year Ended December 31,
Forward MSRs - Fair Value	2021		2020
Fair value - beginning of year	$	2,703	$	3,496
Additions:
Servicing retained from mortgage loans sold	1,077		687
Purchases of servicing rights	948		124
Dispositions:
Sales of servicing assets	(55)		(9)
Changes in fair value:
Changes in valuation inputs or assumptions used in the valuation model (MSR MTM)	502		(819)
Changes in valuation due to amortization	(1,008)		(848)
Other changes	56		72
Fair value - end of year	$	4,223	$	2,703

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

	December 31, 2021				December 31, 2020
Forward MSRs - UPB and Fair Value Breakdown	UPB		Fair Value		UPB		Fair Value
Investor Pools
Agency	$	302,851	$	3,859	$	227,136	$	2,305
Non-agency	36,357		364		44,053		398
Total	$	339,208	$	4,223	$	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
December 31, 2021
Mortgage servicing rights	$	(141)	$	(272)	$	(148)	$	(286)	$	(46)	$	(93)
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
December 31, 2021
Excess spread financing	$	26	$	54	$	28	$	58
December 31, 2020
Excess spread financing	$	30	$	62	$	41	$	84

Schedule of Fees Earned in Exchange for Servicing Financial Assets

Servicing Segment Revenues

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

	Year Ended December 31,
Total Revenues - Servicing	2021		2020
Contractually specified servicing fees(1)	$	1,122	$	1,141
Other service-related income(1)	640		290
Incentive and modification income(1)	51		39
Late fees(1)	71		83
Mark-to-market adjustments(2)	421		(609)
Amortization, net of accretion(3)	(753)		(510)
Other(4)	(279)		(371)
Total revenues - Servicing	$	1,273	$	63

(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 $35 and $28 for the years ended December 31, 2021 and 2020, respectively.

(3)Amortization for the Company is net of excess spread accretion of $255 and $338 for the years ended December 31, 2021 and 2020, respectively.

(4)Other represents the excess servicing fee that the Company pays to the counterparties under the excess spread financing arrangements, portfolio runoff and the payments made associated with MSR financing arrangements.