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Mortgage Servicing Rights and Related Liabilities (Tables) | 3 Months Ended
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Mar. 31, 2021
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 COVID-19 pandemic was considered in the determination of key assumptions.
MSRs and Related Liabilities | March 31, 2021 |  | December 31, 2020
Forward MSRs - fair value | $ | 3,354 |  |  | $ | 2,703 |
Reverse MSRs - amortized cost | 5 |  |  | 5 |
Mortgage servicing rights | $ | 3,359 |  |  | $ | 2,708 |
Mortgage servicing liabilities - amortized cost | $ | 38 |  |  | $ | 41 |
Excess spread financing - fair value | $ | 934 |  |  | $ | 934 |
Mortgage servicing rights financing - fair value | 23 |  |  | 33 |
MSR related liabilities - nonrecourse at fair value | $ | 957 |  |  | $ | 967 |
The following table sets forth the activities of forward MSRs:
| Three Months Ended March 31, |  |  |
Forward MSRs - Fair Value | 2021 |  | 2020 |  |  |
Fair value - beginning of period | $ | 2,703 |  |  | $ | 3,496 |  |  |  |
Additions: |  |  |  |  |  |
Servicing retained from mortgage loans sold | 288 |  |  | 123 |  |  |  |
Purchases of servicing rights | 67 |  |  | 24 |  |  |  |
Dispositions: |  |  |  |  |  |
Sales of servicing assets | (2) |  |  | — |  |  |  |
Changes in fair value: |  |  |  |  |  |
Changes in valuation inputs or assumptions used in the valuation model | 510 |  |  | (401) |  |  |  |
Other changes in fair value | (212) |  |  | (133) |  |  |  |
Fair value - end of period | $ | 3,354 |  |  | $ | 3,109 |  |  |  |
The following table provides a breakdown of UPB and fair value for the Company’s forward MSRs:
| March 31, 2021 |  | December 31, 2020
Forward MSRs - UPB and Fair Value Breakdown | UPB |  | Fair Value |  | UPB |  | Fair Value
Investor Pools |  |  |  |  |  |  |
Agency | $ | 234,589 |  |  | $ | 2,965 |  |  | $ | 227,136 |  |  | $ | 2,305 |
Non-agency | 41,439 |  |  | 389 |  |  | 44,053 |  |  | 398 |
Total | $ | 276,028 |  |  | $ | 3,354 |  |  | $ | 271,189 |  |  | $ | 2,703 |
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 forward 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
Forward 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, 2021 |  |  |  |  |  |  |  |  |  |  |
Mortgage servicing rights | $ | (142) |  |  | $ | (273) |  |  | $ | (187) |  |  | $ | (360) |  |  | $ | (49) |  |  | $ | (99) |
December 31, 2020 |  |  |  |  |  |  |  |  |  |  |
Mortgage servicing rights | $ | (100) |  |  | $ | (192) |  |  | $ | (181) |  |  | $ | (347) |  |  | $ | (45) |  |  | $ | (89) |
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, 2021 |  |  |  |  |  |  |
Excess spread financing | $ | 33 |  |  | $ | 68 |  |  | $ | 36 |  |  | $ | 75 |
December 31, 2020 |  |  |  |  |  |  |
Excess spread financing | $ | 30 |  |  | $ | 62 |  |  | $ | 41 |  |  | $ | 84 |
Schedule of reverse mortgage servicing rights and liabilities - amortized cost | The following table sets forth the activities of reverse MSRs and mortgage servicing liabilities (“MSL”):
| Three Months Ended March 31,
| 2021 |  | 2020
Reverse MSRs and MSLs - Amortized Cost | Reverse MSRs |  | Reverse MSLs |  | Reverse MSRs |  | Reverse MSLs
Balance - beginning of period | $ | 5 |  |  | $ | 41 |  |  | $ | 6 |  |  | $ | 61 |
Amortization/accretion | — |  |  | (3) |  |  | — |  |  | (8) |
Balance - end of the period | $ | 5 |  |  | $ | 38 |  |  | $ | 6 |  |  | $ | 53 |
Fair value - end of period | $ | 5 |  |  | $ | 38 |  |  | $ | 6 |  |  | $ | 27 |
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 - Servicing | 2021 |  | 2020 |  |  |  |
Contractually specified servicing fees(1) | $ | 276 |  |  | $ | 297 |  |  |  |  |
Other service-related income(1) | 145 |  |  | 49 |  |  |  |  |
Incentive and modification income(1) | 14 |  |  | 10 |  |  |  |  |
Late fees(1) | 18 |  |  | 27 |  |  |  |  |
Reverse servicing fees | 5 |  |  | 6 |  |  |  |  |
Mark-to-market adjustments(2) | 354 |  |  | (383) |  |  |  |  |
Counterparty revenue share(3) | (83) |  |  | (76) |  |  |  |  |
Amortization, net of accretion(4) | (153) |  |  | (76) |  |  |  |  |
Total revenues - Servicing | $ | 576 |  |  | $ | (146) |  |  |  |  |
(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 $12 and $10 during the three months ended March 31, 2021 and 2020, respectively. (3)Counterparty revenue share represents the excess servicing fee that the Company pays to the counterparties under the excess spread financing arrangements and the payments made associated with MSR financing arrangements. (4)Amortization is net of excess spread accretion of $76 and $68 and MSL accretion of $3 and $8 during the three months ended March 31, 2021 and 2020, respectively.

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- 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 + Details
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- 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=116651436&loc=d3e122625-111746 + Details
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