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Mortgage Servicing Rights and Related Liabilities (Tables) | 9 Months Ended
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Sep. 30, 2023
Transfers and Servicing [Abstract] |
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 mortgage servicing rights and related liabilities, the impact of the current environment was considered in the determination of key assumptions.
MSRs and Related Liabilities | September 30, 2023 |  | December 31, 2022
MSRs - fair value | $ | 8,504 |  |  | $ | 6,654 |
Excess spread financing at fair value | $ | 446 |  |  | $ | 509 |
Mortgage servicing rights financing at fair value | 21 |  |  | 19 |
MSR related liabilities - nonrecourse at fair value | $ | 467 |  |  | $ | 528 |
The following table sets forth the activities of MSRs:
| Nine Months Ended September 30, |  |  |
MSRs - Fair Value | 2023 |  | 2022 |  |  |
Fair value - beginning of period | $ | 6,654 |  |  | $ | 4,223 |  |  |  |
Additions: |  |  |  |  |  |
Servicing retained from mortgage loans sold | 219 |  |  | 481 |  |  |  |
Purchases and acquisitions of servicing rights | 2,305 |  |  | 1,256 |  |  |  |
Dispositions: |  |  |  |  |  |
Sales of servicing assets and excess yield | (555) |  |  | (293) |  |  |  |
Changes in fair value: |  |  |  |  |  |
Changes in valuation inputs or assumptions used in the valuation model (MSR MTM) | 304 |  |  | 1,363 |  |  |  |
Changes in valuation due to amortization | (444) |  |  | (644) |  |  |  |
Other changes(1) | 21 |  |  | 22 |  |  |  |
Fair value - end of period | $ | 8,504 |  |  | $ | 6,408 |  |  |  |
(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:
| September 30, 2023 |  | December 31, 2022
MSRs - UPB and Fair Value Breakdown by Investor Pools | UPB |  | Fair Value |  | UPB |  | Fair Value
Agency | $ | 501,315 |  |  | $ | 8,193 |  |  | $ | 380,502 |  |  | $ | 6,322 |
Non-agency | 27,009 |  |  | 311 |  |  | 30,880 |  |  | 332 |
Total | $ | 528,324 |  |  | $ | 8,504 |  |  | $ | 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
September 30, 2023 |  |  |  |  |  |  |  |  |  |  |
Mortgage servicing rights | $ | (341) |  |  | $ | (655) |  |  | $ | (179) |  |  | $ | (348) |  |  | $ | (80) |  |  | $ | (159) |
| 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
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:
| 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
September 30, 2023 |  |  |  |  |  |  |
Excess spread financing | $ | 15 |  |  | $ | 32 |  |  | $ | 9 |  |  | $ | 17 |
| Discount Rate |  | Prepayment Speeds
Excess Spread Financing - Hypothetical Sensitivities | 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 | The following table sets forth the items comprising total “revenues - service related, net”:
| Three Months Ended September 30, |  | Nine Months Ended September 30,
Revenues - Service Related, net | 2023 |  | 2022 |  | 2023 |  | 2022
Contractually specified servicing fees(1) | $ | 440 |  |  | $ | 371 |  |  | $ | 1,231 |  |  | $ | 1,076 |
Other service-related income(1) | 25 |  |  | 22 |  |  | 58 |  |  | 94 |
Incentive and modification income(1) | 18 |  |  | 4 |  |  | 32 |  |  | 22 |
Servicing late fees(1) | 24 |  |  | 19 |  |  | 68 |  |  | 57 |
Mark-to-market adjustments - Servicing |  |  |  |  |  |  |
MSR MTM | 270 |  |  | 239 |  |  | 304 |  |  | 1,363 |
Loss on MSR hedging activities | (192) |  |  | (100) |  |  | (244) |  |  | (329) |
(Loss) gain on MSR sales | (3) |  |  | (2) |  |  | 29 |  |  | (1) |
Reclassifications(2) | (8) |  |  | (10) |  |  | (26) |  |  | (22) |
Excess spread / MSR financing MTM | (4) |  |  | (3) |  |  | 2 |  |  | (134) |
Total mark-to-market adjustments - Servicing | 63 |  |  | 124 |  |  | 65 |  |  | 877 |
Amortization, net of accretion |  |  |  |  |  |  |
MSR amortization | (171) |  |  | (183) |  |  | (444) |  |  | (644) |
Excess spread accretion | 11 |  |  | 14 |  |  | 32 |  |  | 74 |
Total amortization, net of accretion | (160) |  |  | (169) |  |  | (412) |  |  | (570) |
Originations service fees(3) | 18 |  |  | 20 |  |  | 45 |  |  | 86 |
Corporate/Xome related service fees | 22 |  |  | 22 |  |  | 62 |  |  | 56 |
Other(4) | (18) |  |  | (18) |  |  | (54) |  |  | (88) |
Total revenues - Service Related, net | $ | 432 |  |  | $ | 395 |  |  | $ | 1,095 |  |  | $ | 1,610 |
(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 $175 and $172 for the three months ended September 30, 2023 and 2022, respectively, and $528 and $488 for the nine months ended September 30, 2023 and 2022, 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 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.

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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 -Topic 860 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 4 -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481326/860-20-50-4 + 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 -Topic 860 -SubTopic 50 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481229/860-50-50-3 + Details
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