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Mortgage Servicing Rights and Related Liabilities (Tables)
 3 Months Ended
Mar. 31, 2023
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, 2023December 31, 2022
MSRs - fair value$6,566 $6,654 
Excess spread financing at fair value$491 $509 
Mortgage servicing rights financing at fair value21 19 
MSR related liabilities - nonrecourse at fair value$512 $528 
The following table sets forth the activities of MSRs:
Three Months Ended March 31,
MSRs - Fair Value20232022
Fair value - beginning of period$6,654 $4,223 
Additions:
Servicing retained from mortgage loans sold54 200 
Purchases of servicing rights102 1,015 
Dispositions:
Sales of servicing assets(15)(4)
Changes in fair value:
Changes in valuation inputs or assumptions used in the valuation model (MSR MTM)(105)798 
Changes in valuation due to amortization(125)(235)
Other changes(1)
1 9 
Fair value - end of period$6,566 $6,006 

(1)Amounts primarily represent negative fair values reclassified from the MSR asset to reserves as underlying loans are removed from the MSR and other reclassification adjustments.
The following table provides a breakdown of UPB and fair value for the Company’s MSRs:
March 31, 2023December 31, 2022
MSRs - UPB and Fair Value Breakdown by Investor PoolsUPBFair ValueUPBFair Value
Agency$382,368 $6,258 $380,502 $6,322 
Non-agency30,070 308 30,880 332 
Total$412,438 $6,566 $411,382 $6,654 
Schedule of sensitivity analysis of fair value, transferor's interests in transferred financial assets
The following table shows the hypothetical effect on the fair value of the Company’s MSRs when applying certain unfavorable variations of key assumptions to these assets for the dates indicated:
Discount Rate
Total Prepayment Speeds
Cost to Service per Loan
MSRs - Hypothetical Sensitivities
100 bps
Adverse
Change
200 bps
Adverse
Change
10%
Adverse
Change
20%
Adverse
Change
10%
Adverse
Change
20%
Adverse
Change
March 31, 2023
Mortgage servicing rights$(273)$(525)$(139)$(270)$(65)$(130)
December 31, 2022
Mortgage servicing rights$(266)$(511)$(136)$(264)$(61)$(122)
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, 2023
Excess spread financing$19 $38 $10 $22 
December 31, 2022
Excess spread financing$19 $40 $11 $22 
Schedule of fees earned in exchange for servicing financial assets
The following table sets forth the items comprising total “revenues - service related, net”:
Three Months Ended March 31,
Revenues - Service Related, net20232022
Contractually specified servicing fees(1)
$384 $327 
Other service-related income(1)
14 33 
Incentive and modification income(1)
6 9 
Servicing late fees(1)
21 19 
Mark-to-market adjustments - Servicing(2)(3)
(61)553 
Amortization, net of accretion(4)
(115)(202)
Originations service fees(5)
11 42 
Corporate/Xome related service fees19 12 
Other(6)
(18)(38)
Total revenues - Service Related, net$261 $755 

(1)The Company recognizes revenue on an earned basis for services performed. Amounts include subservicing related revenues. Amounts also include servicing fees from loans sold with servicing retained of $177 and $146 for the three months ended March 31, 2023 and 2022, respectively.
(2)Mark-to-market (“MTM”) adjustments - Servicing 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 $9 and $6 for the three months ended March 31, 2023 and 2022, respectively.
(3)MTM adjustments - Servicing includes a gain of $59 and loss of $140 from MSR hedging activities during the three months ended March 31, 2023, and 2022, respectively.
(4)Amortization is net of excess spread accretion of $10 and $33 during the three months ended March 31, 2023 and 2022, respectively.
(5)Amounts include fees collected from customers for originated loans and from other lenders for loans purchased through the correspondent channel, and include loan application, underwriting, and other similar fees.
(6)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.