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Mortgage Servicing Rights and Related Liabilities (Tables) | 12 Months Ended
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Dec. 31, 2023
Transfers and Servicing [Abstract] |
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.

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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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