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SERVICING RIGHTS, AT FAIR VALUE | 9 Months Ended
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Sep. 30, 2021
Transfers and Servicing [Abstract] |
SERVICING RIGHTS, AT FAIR VALUE | SERVICING RIGHTS, AT FAIR VALUE The outstanding principal balance of the servicing portfolio was comprised of the following:
|  | September 30, 2021 |  | December 31, 2020
Conventional |  | $ | 112,166,336 |  |  | $ | 74,459,448 |
Government |  | 33,138,846 |  |  | 28,471,810 |
Total servicing portfolio |  | $ | 145,305,182 |  |  | $ | 102,931,258 |
A summary of the unpaid principal balance underlying servicing rights is as follows:
|  | September 30, 2021 |  | December 31, 2020
Current loans |  | $ | 143,345,702 |  |  | $ | 100,358,713 |
Loans 30 - 89 days delinquent |  | 455,284 |  |  | 709,946 |
Loans 90 or more days delinquent or in foreclosure |  | 1,504,196 |  |  | 1,862,599 |
Total servicing portfolio (1) |  | $ | 145,305,182 |  |  | $ | 102,931,258 |
(1)At September 30, 2021 and December 31, 2020, 1.1% and 2.4%, respectively, of the servicing portfolio was in forbearance as a result of payment relief efforts afforded to borrowers under the Coronavirus Aid, Relief, and Economic Security Act and other regulatory guidance. A summary of the changes in the balance of servicing rights is as follows:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
Balance at beginning of period |  | $ | 1,776,395 |  |  | $ | 569,927 |  |  | $ | 1,124,302 |  |  | $ | 444,443 |
Additions |  | 345,882 |  |  | 262,401 |  |  | 1,302,884 |  |  | 574,768 |
Sales proceeds, net |  | (182,892) |  |  | (2,319) |  |  | (365,680) |  |  | (9,620) |
Changes in fair value: |  |  |  |  |  |  |  |
Due to changes in valuation inputs or assumptions |  | (3,461) |  |  | (3,009) |  |  | 98,295 |  |  | (112,059) |
Other changes in fair value (1) |  | (99,230) |  |  | (50,007) |  |  | (323,107) |  |  | (120,539) |
Balance at end of period (2) |  | $ | 1,836,694 |  |  | $ | 776,993 |  |  | $ | 1,836,694 |  |  | $ | 776,993 |
(1)Other changes in fair value include fall out and decay from loan payoffs and principal amortization. (2)Balance is net of $4.8 million and $3.5 million of servicing rights liability at September 30, 2021 and 2020, respectively. The following is a summary of the components of servicing fee income as reported in the Company’s consolidated statements of operations:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
Contractual servicing fees |  | $ | 99,640 |  |  | $ | 46,234 |  |  | $ | 271,374 |  |  | $ | 112,917 |
Late, ancillary and other fees |  | 2,789 |  |  | 2,172 |  |  | 8,364 |  |  | 8,603 |
Total servicing fee income |  | $ | 102,429 |  |  | $ | 48,406 |  |  | $ | 279,738 |  |  | $ | 121,520 |
The following is a summary of the components of changes in fair value of servicing rights, net as reported in the Company’s consolidated statements of operations:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
Changes in fair value: |  |  |  |  |  |  |  |
Due to changes in valuation inputs or assumptions |  | $ | (3,461) |  |  | $ | (3,009) |  |  | $ | 98,295 |  |  | $ | (112,059) |
Other changes in fair value (1) |  | (99,230) |  |  | (50,007) |  |  | (323,107) |  |  | (120,539) |
Realized losses on sales of servicing rights |  | (14,218) |  |  | (2,606) |  |  | (8,224) |  |  | (2,549) |
Net (loss) gain from derivatives hedging servicing rights |  | (21,553) |  |  | 26,309 |  |  | (94,158) |  |  | 125,330 |
Changes in fair value of servicing rights, net |  | $ | (138,462) |  |  | $ | (29,313) |  |  | $ | (327,194) |  |  | $ | (109,817) |
(1) Other changes in fair value include fall out and decay from loan payoffs and principal amortization. The table below illustrates hypothetical changes in fair values of servicing rights, caused by assumed immediate changes to key assumptions that are used to determine fair value.
Servicing Rights Sensitivity Analysis |  | September 30, 2021 |  | December 31, 2020
Fair Value of Servicing Rights, net |  | $ | 1,836,694 |  |  | $ | 1,124,302 |
Change in Fair Value from adverse changes: |  |  |  |
Discount Rate: |  |  |  |
Increase 100 basis points |  | (80,001) |  |  | (45,745) |
Increase 200 basis points |  | (153,883) |  |  | (87,800) |
Cost of Servicing: |  |  |  |
Increase 10% |  | (18,600) |  |  | (11,556) |
Increase 20% |  | (37,284) |  |  | (23,112) |
Prepayment Speed: |  |  |  |
Increase 10% |  | (66,889) |  |  | (63,351) |
Increase 20% |  | (130,552) |  |  | (122,294) |
Sensitivities are hypothetical changes in fair value and cannot be extrapolated because the relationship of changes in assumptions to changes in fair value may not be linear. Also, the effect of a variation in a particular assumption is calculated without changing any other assumption, whereas a change in one factor may result in changes to another. Accordingly, no assurance can be given that actual results would be consistent with the results of these estimates. As a result, actual future changes in servicing rights values may differ significantly from those displayed above.

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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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