XML 25 R10.htm IDEA: XBRL DOCUMENT
v3.24.3

Mortgage Servicing Rights and Related Liabilities | 9 Months Ended
--- | ---
Sep. 30, 2024
Transfers and Servicing [Abstract] |
Mortgage Servicing Rights and Related Liabilities | 3. Mortgage Servicing Rights and Related Liabilities 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 | September 30, 2024 |  | December 31, 2023
MSRs - fair value | $ | 10,035 |  |  | $ | 9,090 |
Excess spread financing at fair value | $ | 403 |  |  | $ | 437 |
Mortgage servicing rights financing at fair value | 40 |  |  | 29 |
MSR related liabilities - nonrecourse at fair value | $ | 443 |  |  | $ | 466 |
Mortgage Servicing Rights The following table sets forth the activities of MSRs:
| Nine Months Ended September 30,
MSRs - Fair Value | 2024 |  | 2023
Fair value - beginning of period | $ | 9,090 |  |  | $ | 6,654 |
Additions: |  |  |
Servicing retained from mortgage loans sold | 267 |  |  | 219 |
Purchases and acquisitions of servicing rights | 1,640 |  |  | 2,305 |
Dispositions: |  |  |
Sales of servicing assets and excess yield | (297) |  |  | (555) |
Changes in fair value: |  |  |
Changes in valuation inputs or assumptions used in the valuation model (MSR MTM) | (44) |  |  | 304 |
Changes in valuation due to amortization | (650) |  |  | (444) |
Other changes(1) | 29 |  |  | 21 |
Fair value - end of period | $ | 10,035 |  |  | $ | 8,504 |
(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. During the nine months ended September 30, 2024 and 2023, the Company sold $7,716 and $23,789 in unpaid principal balance (“UPB”) of MSRs, of which $7,319 and $22,640 were retained by the Company as subservicer, respectively. During the nine months ended September 30, 2024 and 2023, certain agencies entered into agreements with the Company to purchase excess servicing cash flows (“excess yield”) on certain agency loans with a total UPB of approximately $27,841 and $41,958 for proceeds of $226 and $294, respectively. During the nine months ended September 30, 2024 and 2023, the Company recorded a gain of $27 and $33, respectively, through the mark-to-market adjustments within “revenues - service related, net” in the condensed consolidated statements of operations. MSRs are segregated between investor type into agency and non-agency pools (referred to herein as “investor pools”) based upon contractual servicing agreements with investors at the respective balance sheet date to evaluate the MSR portfolio and fair value of the portfolio. Agency investors consist of Government National Mortgage Association (“Ginnie Mae” or “GNMA”) and the GSEs, Federal National Mortgage Association (“Fannie Mae” or “FNMA”) and Federal Home Loan Mortgage Corp (“Freddie Mac” or “FHLMC”). Non-agency investors consist of investors in private-label securitizations. The following table provides a breakdown of UPB and fair value for the Company’s MSRs:
| September 30, 2024 |  | December 31, 2023
MSRs - UPB and Fair Value Breakdown by Investor Pools | UPB |  | Fair Value |  | UPB |  | Fair Value
Agency | $ | 652,901 |  |  | $ | 9,686 |  |  | $ | 561,656 |  |  | $ | 8,774 |
Non-agency | 25,211 |  |  | 349 |  |  | 26,286 |  |  | 316 |
Total | $ | 678,112 |  |  | $ | 10,035 |  |  | $ | 587,942 |  |  | $ | 9,090 |
Refer to Note 13, Fair Value Measurements, for further discussion on key weighted-average inputs and assumptions used in estimating the fair value of MSRs. 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
September 30, 2024 |  |  |  |  |  |  |  |  |  |  |
Mortgage servicing rights | $ | (392) |  |  | $ | (754) |  |  | $ | (293) |  |  | $ | (567) |  |  | $ | (81) |  |  | $ | (162) |
December 31, 2023 |  |  |  |  |  |  |  |  |  |  |
Mortgage servicing rights | $ | (368) |  |  | $ | (706) |  |  | $ | (219) |  |  | $ | (425) |  |  | $ | (89) |  |  | $ | (178) |
These hypothetical sensitivities should be evaluated with care. The effect on fair value of an adverse change in assumptions generally cannot be determined because the relationship of the change in assumptions to the fair value may not be linear. Additionally, the impact of a variation in a particular assumption on the fair value is calculated while holding other assumptions constant. In reality, changes in one factor may lead to changes in other factors, which could impact the above hypothetical effects. Excess Spread Financing - Fair Value The Company had excess spread financing liability of $403 and $437, related to the UPB of $68,594 and $74,219 as of September 30, 2024 and December 31, 2023, respectively. Refer to Note 13, Fair Value Measurements, for key weighted-average inputs and assumptions used in the valuation of excess spread financing liability. 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
September 30, 2024 |  |  |  |  |  |  |
Excess spread financing | $ | 14 |  |  | $ | 29 |  |  | $ | 9 |  |  | $ | 19 |
December 31, 2023 |  |  |  |  |  |  |
Excess spread financing | $ | 16 |  |  | $ | 32 |  |  | $ | 10 |  |  | $ | 20 |
These hypothetical sensitivities should be evaluated with care. The effect on fair value of an adverse change in assumptions generally cannot be determined because the relationship of the change in assumptions to the fair value may not be linear. Additionally, the impact of a variation in a particular assumption on the fair value is calculated while holding other assumptions constant. In reality, changes in one factor may lead to changes in other factors, which could impact the above hypothetical effects. Also, a positive change in the above assumptions would not necessarily correlate with the corresponding decrease in the net carrying amount of the excess spread financing. Excess spread financing’s cash flow assumptions that are utilized in determining fair value are based on the related cash flow assumptions used in the financed MSRs. Any fair value change recognized in the financed MSRs attributable to related cash flows assumptions would inherently have an inverse impact on the carrying amount of the related excess spread financing. Mortgage Servicing Rights Financing - Fair Value The Company had MSR financing liability of $40 and $29 as of September 30, 2024 and December 31, 2023, respectively. Refer to Note 13, Fair Value Measurements, for key weighted-average inputs and assumptions used in the valuation of the MSR financing liability. Revenues - Service related, net 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 | 2024 |  | 2023 |  | 2024 |  | 2023
Contractually specified servicing fees(1) | $ | 556 |  |  | $ | 440 |  |  | $ | 1,617 |  |  | $ | 1,231 |
Other service-related income(1) | 18 |  |  | 25 |  |  | 56 |  |  | 58 |
Incentive and modification income(1) | 16 |  |  | 18 |  |  | 50 |  |  | 32 |
Servicing late fees(1) | 33 |  |  | 24 |  |  | 94 |  |  | 68 |
Mark-to-market adjustments - Servicing |  |  |  |  |  |  |
MSR MTM | (388) |  |  | 270 |  |  | (44) |  |  | 304 |
Gain (loss) on MSR hedging activities | 289 |  |  | (192) |  |  | 64 |  |  | (244) |
(Loss) gain on MSR sales | (1) |  |  | (3) |  |  | 10 |  |  | 29 |
Reclassifications to reserve provision(2) | (5) |  |  | (8) |  |  | (17) |  |  | (26) |
Excess spread / MSR financing MTM | (20) |  |  | (4) |  |  | (26) |  |  | 2 |
Total mark-to-market adjustments - Servicing | (125) |  |  | 63 |  |  | (13) |  |  | 65 |
Amortization, net of accretion |  |  |  |  |  |  |
MSR amortization | (245) |  |  | (171) |  |  | (650) |  |  | (444) |
Excess spread accretion | 10 |  |  | 11 |  |  | 28 |  |  | 32 |
Total amortization, net of accretion | (235) |  |  | (160) |  |  | (622) |  |  | (412) |
Originations service related fees(3) | 24 |  |  | 18 |  |  | 59 |  |  | 45 |
Corporate/Xome service related fees | 18 |  |  | 22 |  |  | 60 |  |  | 62 |
Other(4) | (17) |  |  | (18) |  |  | (50) |  |  | (54) |
Total revenues - Service related, net | $ | 288 |  |  | $ | 432 |  |  | $ | 1,251 |  |  | $ | 1,095 |
(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 $189 and $175 for the three months ended September 30, 2024 and 2023, respectively, and $563 and $528 for the nine months ended September 30, 2024 and 2023, 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.

X
- References No definition available. + Details
Name: | us-gaap_TransfersAndServicingAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for a transferor's continuing involvement in financial assets that it has transferred in a securitization or asset-backed financing arrangement, the nature of any restrictions on assets reported by an entity in its statement of financial position that relate to a transferred financial asset (including the carrying amounts of such assets), how servicing assets and servicing liabilities are reported, and (for securitization or asset-backed financing arrangements accounted for as sales) when a transferor has continuing involvement with the transferred financial assets and transfers of financial assets accounted for as secured borrowings, how the transfer of financial assets affects an entity's financial position, financial performance, and cash flows. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 946 -SubTopic 210 -Name Accounting Standards Codification -Section S99 -Paragraph 1 -Subparagraph (SX 210.6-04(11)) -Publisher FASB -URI https://asc.fasb.org/1943274/2147479170/946-210-S99-1 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 30 -Name Accounting Standards Codification -Section 50 -Paragraph 1A -Subparagraph (b)(2) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481420/860-30-50-1A Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 50 -Name Accounting Standards Codification -Section 50 -Paragraph 4 -Subparagraph (a)(7) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481229/860-50-50-4 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (b)(2)(i) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481326/860-20-50-3 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (b)(2)(ii) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481326/860-20-50-3 Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 4 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481326/860-20-50-4 Reference 7: http://www.xbrl.org/2003/role/disclosureRef -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 Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 50 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (a)(4)(ii) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481229/860-50-50-3 Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 50 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (a)(5) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481229/860-50-50-3 Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 50 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481229/860-50-50-2 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/860/tableOfContent Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481326/860-20-50-3 Reference 13: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (cc) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481326/860-20-50-3 Reference 14: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 4 -Subparagraph (a)(5)(ii) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481326/860-20-50-4 Reference 15: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 4 -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481326/860-20-50-4 Reference 16: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 4D -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481326/860-20-50-4D Reference 17: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 30 -Name Accounting Standards Codification -Section 50 -Paragraph 1A -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481420/860-30-50-1A Reference 18: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 30 -Name Accounting Standards Codification -Section 50 -Paragraph 7 -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481420/860-30-50-7 Reference 19: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 860 -SubTopic 50 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481229/860-50-50-2 Reference 20: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 50 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481229/860-50-50-2 Reference 21: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 50 -Name Accounting Standards Codification -Section 50 -Paragraph 4 -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147481229/860-50-50-4 + Details
Name: | us-gaap_TransfersAndServicingOfFinancialAssetsTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration