Mortgage Servicing Rights and Related Liabilities (Tables)

12 Months Ended

Dec. 31, 2023

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, 2023		December 31, 2022
MSRs at fair value	$	9,090	$	6,654

Excess spread financing at fair value	$	437	$	509
Mortgage servicing rights financing at fair value	29		19
MSR related liabilities - nonrecourse at fair value	$	466	$	528

The following table sets forth the activities of MSRs:


	Year Ended December 31,
MSRs at Fair Value	2023		2022
Fair value - beginning of year	$	6,654	$	4,223
Additions:
Servicing retained from mortgage loans sold	273		554
Purchases and acquisitions of servicing rights	3,189		1,595
Dispositions:
Sales of servicing assets and excess yield	(573)		(294)
Changes in fair value:
Changes in valuation inputs or assumptions used in the valuation model (MSR MTM)	121		1,328
Changes in valuation due to amortization	(604)		(779)
Other changes(1)	30		27
Fair value - end of year	$	9,090	$	6,654

(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:


	December 31, 2023				December 31, 2022
MSRs - UPB and Fair Value Breakdown by Investor Pools	UPB		Fair Value		UPB		Fair Value
Agency	$	561,656	$	8,774	$	380,502	$	6,322
Non-agency	26,286		316		30,880		332
Total	$	587,942	$	9,090	$	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:


	Option Adjusted Spread(1)				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
December 31, 2023
Mortgage servicing rights	$	(368)	$	(706)	$	(219)	$	(425)	$	(89)	$	(178)

	Discount Rate				Total Prepayment Speeds				Cost to Service per Loan
	100 bps Adverse Change		200 bps Adverse Change		10% Adverse Change		20% Adverse Change		10% Adverse Change		20% Adverse Change
December 31, 2022
Mortgage servicing rights	$	(266)	$	(511)	$	(136)	$	(264)	$	(61)	$	(122)

(1)Beginning in the second quarter of 2023, the Company valued MSRs using a stochastic option adjusted spread (“OAS”) instead of a static discount rate. Refer to Note 14, Fair Value Measurements, for further discussion.

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:


	Option Adjusted Spread(1)				Prepayment Speeds
Excess Spread Financing - Hypothetical Sensitivities	100 bps Adverse Change		200 bps Adverse Change		10% Adverse Change		20% Adverse Change
December 31, 2023
Excess spread financing	$	16	$	32	$	10	$	20

	Discount Rate				Prepayment Speeds
	100 bps Adverse Change		200 bps Adverse Change		10% Adverse Change		20% Adverse Change
December 31, 2022
Excess spread financing	$	19	$	40	$	11	$	22

Schedule of Fees Earned in Exchange for Servicing Financial Assets

Revenues - Service Related, net

The following table sets forth the items comprising total “revenues - service related, net”:


	Year Ended December 31,
Revenues - Service Related, net	2023		2022		2021
Contractually specified servicing fees(1)	$	1,700	$	1,458	$	1,122
Other service-related income(1)	72		105		72
Incentive and modification income(1)	43		29		51
Servicing late fees(1)	89		76		71
Mark-to-market adjustments - Servicing
MSR MTM	121		1,328		502
Loss on MSR hedging activities	(68)		(332)		(86)
Gain (loss) on MSR sales	23		(3)		7
Reclassifications(2)	(33)		(30)		(35)
Excess spread / MSR financing MTM	(18)		(142)		33
Total mark-to-market adjustments - Servicing	25		821		421
Amortization, net of accretion
MSR amortization	(604)		(779)		(1,008)
Excess spread accretion	41		86		255
Total amortization, net of accretion	(563)		(693)		(753)
Originations service fees(3)	61		98		176
Corporate/Xome related service fees	84		76		186
Other(4)	(71)		(105)		(279)
Total revenues - Service Related, net	$	1,440	$	1,865	$	1,067

(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 $708, $661 and $495 for the years ended December 31, 2023, 2022 and 2021, respectively.

(2)Reclassifications include 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.

(3)Amounts include fees collected from customers for originated loans and from other lenders for loans purchased through the correspondent channel, and includes loan application, underwriting, and other similar fees.

(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.