Mortgage Servicing Rights and Related Liabilities (Tables)

3 Months Ended

Mar. 31, 2025

Schedule of servicing assets at fair value

The following table sets forth the carrying value of the Company’s MSR and the related liabilities. In estimating the fair value of all MSRs and related liabilities, the impact of the current environment was considered in the determination of key assumptions.


MSRs and Related Liabilities	March 31, 2025		December 31, 2024
MSRs at fair value	$	11,345	$	11,736

Excess spread financing at fair value	$	366	$	386
Mortgage servicing rights financing at fair value	32		32
MSR related liabilities - nonrecourse at fair value	$	398	$	418

The following table sets forth the activities of MSRs:


	Three Months Ended March 31,
MSRs - Fair Value	2025		2024
Balance - beginning of period	$	11,736	$	9,090
Additions:
Servicing retained from mortgage loans sold	164		64
Purchases and acquisitions of servicing rights	106		663
Dispositions:
Sales of servicing assets and excess yield	(164)		(42)
Changes in fair value:
Changes in valuation inputs or assumptions used in the valuation model (MSR MTM)	(274)		189
Changes in valuation due to amortization	(231)		(179)
Other changes(1)	8		11
Balance - end of period	$	11,345	$	9,796

(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, 2025				December 31, 2024
MSRs - UPB and Fair Value Breakdown by Investor Pools	UPB		Fair Value		UPB		Fair Value
Agency	$	708,803	$	11,012	$	710,997	$	11,397
Non-agency	24,949		333		25,074		339
Total	$	733,752	$	11,345	$	736,071	$	11,736

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				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, 2025
Mortgage servicing rights	$	(444)	$	(854)	$	(304)	$	(588)	$	(83)	$	(166)

December 31, 2024
Mortgage servicing rights	$	(470)	$	(904)	$	(308)	$	(597)	$	(84)	$	(169)

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				Prepayment Speeds
Excess Spread Financing - Hypothetical Sensitivities	100 bps Adverse Change		200 bps Adverse Change		10% Adverse Change		20% Adverse Change
March 31, 2025
Excess spread financing	$	13	$	26	$	8	$	17

December 31, 2024
Excess spread financing	$	13	$	28	$	8	$	17

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, net	2025		2024
Contractually specified servicing fees(1)	$	621	$	514
Other service-related income(1)	35		22
Incentive and modification income(1)	25		18
Servicing late fees(1)	38		30
Mark-to-market adjustments - Servicing
MSR MTM	(274)		189
Gain (loss) on MSR hedging activities	209		(122)
Loss on MSR and excess yield sales	(15)		(12)
Reclassifications to reserve provision(2)	(6)		(6)
Excess spread / MSR financing MTM	5		(6)
Total mark-to-market adjustments - Servicing	(81)		43
Amortization, net of accretion
MSR amortization	(231)		(179)
Excess spread accretion	8		9
Total amortization, net of accretion	(223)		(170)
Originations service related fees(3)	26		16
Corporate/Xome service related fees	17		22
Other(4)	(18)		(17)
Total revenues - Service related, net	$	440	$	478

(1)Amounts include subservicing related revenues. Amounts also include servicing fees from loans sold with servicing retained of $203 and $185 for the three months ended March 31, 2025 and 2024, respectively.

(2)Reclassifications to reserve provision 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 include 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.