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Mortgage Servicing Rights and Related Liabilities (Tables)
 3 Months Ended
Mar. 31, 2022
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 LiabilitiesMarch 31, 2022December 31, 2021
MSRs - fair value$6,006 $4,223 
Excess spread financing - fair value$815 $768 
Mortgage servicing rights financing - fair value30 10 
MSR related liabilities - nonrecourse at fair value$845 $778 
The following table sets forth the activities of MSRs:
Three Months Ended March 31,
MSRs - Fair Value20222021
Fair value - beginning of period$4,223 $2,703 
Additions:
Servicing retained from mortgage loans sold200 288 
Purchases of servicing rights1,015 67 
Dispositions:
Sales of servicing assets(4)(2)
Changes in fair value:
Changes in valuation inputs or assumptions used in the valuation model (MSR MTM)798 521 
Changes in valuation due to amortization(235)(243)
Other changes9 20 
Fair value - end of period$6,006 $3,354 
The following table provides a breakdown of UPB and fair value for the Company’s MSRs:
March 31, 2022December 31, 2021
MSRs - UPB and Fair Value BreakdownUPBFair ValueUPBFair Value
Investor Pools
Agency$377,225 $5,635 $302,851 $3,859 
Non-agency34,615 371 36,357 364 
Total$411,840 $6,006 $339,208 $4,223 
Schedule of sensitivity analysis of fair value, transferor's interests in transferred financial assets
The following table shows the hypothetical effect on the fair value of the Company’s MSRs when applying certain unfavorable variations of key assumptions to these assets for the dates indicated:
Discount Rate
Total Prepayment Speeds
Cost to Service per Loan
MSRs - Hypothetical Sensitivities
100 bps
Adverse
Change
200 bps
Adverse
Change
10%
Adverse
Change
20%
Adverse
Change
10%
Adverse
Change
20%
Adverse
Change
March 31, 2022
Mortgage servicing rights$(207)$(399)$(134)$(259)$(56)$(113)
December 31, 2021
Mortgage servicing rights$(141)$(272)$(148)$(286)$(46)$(93)
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, 2022
Excess spread financing$31 $64 $23 $47 
December 31, 2021
Excess spread financing$26 $54 $28 $58 
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 - Servicing20222021
Contractually specified servicing fees(1)
$327 $276 
Other service-related income(1)
48 145 
Incentive and modification income(1)
9 14 
Late fees(1)
19 18 
Mark-to-market adjustments(2)
553 365 
Amortization, net of accretion(3)
(202)(167)
Other(4)
(38)(83)
Total revenues - Servicing$716 $568 

(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 $6 and $12 for the three months ended March 31, 2022 and 2021.
(3)Amortization is net of excess spread accretion of $33 and $76 during the three months ended March 31, 2022 and 2021, 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.