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Mortgage Servicing Rights (Tables)

3 Months Ended

Mar. 31, 2022

Transfers and Servicing [Abstract]

Summary of Changes to MSR Assets

The following table summarizes changes to the MSR assets for the three months ended:

						Three Months Ended March 31,
						2022						2021
Fair value, beginning of period						$	5,385,613					$	2,862,685
MSRs originated						796,616						1,173,164
MSRs sales						(253,997)						(15,865)
Changes in fair value:
Due to changes in valuation model inputs or assumptions (1)						767,271						583,307
Due to collection/realization of cash flows						(285,215)						(298,529)
Total changes in fair value						482,056						284,778
Fair value, end of period						$	6,410,288					$	4,304,762

(1)    Reflects changes in assumptions including discount rates and prepayment speed assumptions, mostly due to changes in market interest rates. Does not include the change in fair value of derivatives that economically hedge MSRs identified for sale or the effects of contractual prepayment protection resulting from sales of MSRs.

Schedule of Assumptions Used to Determine Fair Value of MSRs

The following is a summary of the weighted average discount rate and prepayment speed assumptions used to determine the fair value of MSRs as well as the expected life of the loans in the servicing portfolio:

			March 31, 2022						December 31, 2021
Discount rate			9.5		%				9.5		%
Prepayment speeds			7.1		%				8.7		%
Life (in years)			7.97						7.25

Summary of Discount Rate and Prepayment Speeds at Two Different Data Points

The following table stresses the discount rate and prepayment speeds at two different data points:

			Discount Rate												Prepayment Speeds
			100 BPS Adverse Change						200 BPS Adverse Change						10% Adverse Change						20% Adverse Change
March 31, 2022
Mortgage servicing rights			$	(281,487)					$	(529,914)					$	(218,374)					$	(416,199)
December 31, 2021
Mortgage servicing rights			$	(232,658)					$	(435,181)					$	(198,153)					$	(372,018)

X

- Definition

Tabular disclosure of all information related to the key inputs and assumptions (including, at a minimum, but not limited to, and if applicable, quantitative information about discount rates, expected prepayments including the expected weighted-average life of prepayable financial assets, and anticipated credit losses) used in measuring the fair value of assets or liabilities that relate to the transferor's continuing involvement with transferred financial assets, as of the balance sheet date.

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 860
-SubTopic 20
-Section 50
-Paragraph 4
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719

+ Details

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X

- Definition

Tabular disclosure of a sensitivity analysis or stress test showing the hypothetical effect on the fair value of the transferor's interests in transferred financial assets (including any servicing assets or servicing liabilities) of two or more unfavorable variations from the expected levels for each key assumption that is reported, independently determined from any change in another key assumption, and a description of the objectives, methodology, and limitations of the sensitivity analysis or stress test.

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 860
-SubTopic 20
-Section 50
-Paragraph 4
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719

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X

- Definition

Tabular disclosure of the activity in the balance of servicing assets (including a description of where changes in fair value are reported in the statement of income for each period for which results of operations are presented), including but not limited to, the following: beginning and ending balances, additions (for instance, through purchases of servicing assets), disposals, changes in fair value during the period resulting from changes in inputs or assumptions used in the valuation model, other changes in fair value along with a description of those changes, and other changes that affect the balance along with a description of those changes.

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 860
-SubTopic 50
-Section 50
-Paragraph 3
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=125521744&loc=d3e122625-111746

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X

- References

No definition available.

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