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MORTGAGE SERVICING RIGHTS | 9 Months Ended
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Sep. 30, 2022
Transfers and Servicing [Abstract] |
MORTGAGE SERVICING RIGHTS |
7. MORTGAGE SERVICING RIGHTS
The Company owns variable interests in entities that invest in MSR and Interests in MSR. Refer to the “Variable Interest Entities” Note for a detailed discussion on this topic. MSR represent the rights and obligations associated with servicing pools of residential mortgage loans. The Company and its subsidiaries do not originate or directly service residential mortgage loans. Rather, these activities are carried out by duly licensed subservicers who perform substantially all servicing functions for the loans underlying the MSR. The Company generally intends to hold the MSR as investments and elected to account for all of its investments in MSR at fair value. As such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Interests in MSR represent agreements to purchase all, or a component of, net servicing cash flows. A third party acts as a master servicer for the loans providing the net servicing cash flows represented by the Interests in MSR. The Company accounts for its Interests in MSR at fair value with change in fair value presented in Net gains (losses) on investments and other in the Consolidated Statements of Comprehensive Income (Loss). Cash flows received for Interests in MSR are recorded in Other, net in the Consolidated Statements of Comprehensive Income (Loss). The following tables present activity related to MSR and Interests in MSR for the three and nine months ended September 30, 2022 and 2021:
Mortgage Servicing Rights | Three Months Ended |  | Nine Months Ended
September 30, 2022 |  | September 30, 2021 |  | September 30, 2022 |  | September 30, 2021
| (dollars in thousands)
Fair value, beginning of period | $ | 1,421,420 |  |  | $ | 202,616 |  |  | $ | 544,562 |  |  | $ | 100,895 |
Purchases (1) | 182,784 |  |  | 312,327 |  |  | 866,767 |  |  | 411,309 |
Transfers (2) | 82,650 |  |  | — |  |  | 82,650 |  |  | — |
Sales | — |  |  | — |  |  | (9,076) |  |  | (376) |
Change in fair value due to: |  |  |  |  |  |  |
Changes in valuation inputs or assumptions (3) | 43,274 |  |  | 76,107 |  |  | 281,843 |  |  | 108,403 |
Other changes, including realization of expected cash flows | (24,874) |  |  | (18,791) |  |  | (61,492) |  |  | (47,972) |
Fair value, end of period | $ | 1,705,254 |  |  | $ | 572,259 |  |  | $ | 1,705,254 |  |  | $ | 572,259 |
(1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. (2) Transfers from Interests in MSR - Refer to the “Variable Interest Entities” Note for additional information. (3) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.
Interests in MSR | Three Months Ended |  | Nine Months Ended |
September 30, 2022 |  | September 30, 2021 |  | September 30, 2022 |  | September 30, 2021 |
| (dollars in thousands) |
Beginning balance | $ | 83,622 |  |  | $ | 49,035 |  |  | $ | 69,316 |  |  | $ | — |  |
Purchases (1) | — |  |  | 5,936 |  |  | 4,860 |  |  | 53,034 |  |
Transfers (2) | (82,650) |  |  | — |  |  | (82,650) |  |  | — |  |
Gain (loss) included in net income | (972) |  |  | 2,559 |  |  | 8,474 |  |  | 4,496 |  |
Ending balance September 30, 2022 | $ | — |  |  | $ | 57,530 |  |  | $ | — |  |  | $ | 57,530 |  |
(1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable. (2) Transfers to MSR - Refer to the “Variable Interest Entities” Note for additional information |

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- 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 -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 50 -Paragraph 1A -Subparagraph (c)(3) -URI 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