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SERVICING RIGHTS, AT FAIR VALUE | 12 Months Ended
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Dec. 31, 2023
Transfers and Servicing [Abstract] |
SERVICING RIGHTS, AT FAIR VALUE | SERVICING RIGHTS, AT FAIR VALUE Our servicing rights portfolio consists of Agency MSRs associated with mortgage loans that conform to the guidelines set forth by GSEs, Government MSRs associated with mortgage loans that are insured or guaranteed by government agencies, primarily through Ginnie Mae mortgage-backed securities, and Other MSRs consisting primarily of other non-Agency loans. The outstanding principal balance of the servicing portfolio was comprised of the following:
|  | December 31,
|  | 2023 |  | 2022
Agency |  | $ | 94,243,545 |  |  | $ | 93,971,606 |
Government |  | 40,535,399 |  |  | 37,096,679 |
Other |  | 10,311,255 |  |  | 10,102,646 |
Total servicing portfolio |  | $ | 145,090,199 |  |  | $ | 141,170,931 |
A summary of the changes in the balance of servicing rights, net of servicing rights liability is as follows:
|  | Year Ended December 31,
|  | 2023 |  | 2022 |  | 2021
Balance at beginning of period |  | $ | 2,025,136 |  |  | $ | 1,999,402 |  |  | $ | 1,124,302 |
Servicing rights additions |  | 277,387 |  |  | 647,716 |  |  | 1,610,596 |
Sales proceeds, net |  | (180,687) |  |  | (765,151) |  |  | (383,729) |
Changes in fair value: |  |  |  |  |  |
Due to changes in valuation inputs or assumptions |  | 2,227 |  |  | 363,064 |  |  | 68,399 |
Due to collection/realization of cash flows |  | (149,211) |  |  | (230,449) |  |  | (421,624) |
Realized gains on sales of servicing rights |  | 10,866 |  |  | 10,554 |  |  | 1,458 |
Balance at end of period |  | $ | 1,985,718 |  |  | $ | 2,025,136 |  |  | $ | 1,999,402 |
During the year ended December 31, 2023, the Company sold excess servicing cash flows on Agency loans for total proceeds of $132.0 million. There were no excess servicing sales during the year ended December 31, 2022. The following is a summary of the components of loan servicing fee income as reported in the Company’s consolidated statements of operations:
|  | Year Ended December 31,
|  | 2023 |  | 2022 |  | 2021
Contractual servicing fees |  | $ | 395,213 |  |  | $ | 423,528 |  |  | $ | 382,501 |
Late, ancillary and other fees |  | 97,598 |  |  | 25,622 |  |  | 11,179 |
Servicing fee income |  | $ | 492,811 |  |  | $ | 449,150 |  |  | $ | 393,680 |
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:
|  | Year Ended December 31,
|  | 2023 |  | 2022 |  | 2021
Changes in fair value: |  |  |  |  |  |
Due to changes in valuation inputs or assumptions |  | $ | 2,227 |  |  | $ | 363,064 |  |  | $ | 68,399 |
Due to collection/realization of cash flows |  | (149,211) |  |  | (230,449) |  |  | (421,624) |
Realized gains (losses) on sales of servicing rights, net(1) |  | 10,486 |  |  | (3,663) |  |  | (9,759) |
Net loss from derivatives hedging servicing rights |  | (47,919) |  |  | (323,309) |  |  | (82,878) |
Changes in fair value of servicing rights, net |  | $ | (184,417) |  |  | $ | (194,357) |  |  | $ | (445,862) |
(1)Includes the provision for sold MSRs. 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.
|  | December 31,
|  | 2023 |  | 2022
Fair value of servicing rights, net |  | $ | 1,985,718 |  |  | $ | 2,025,136 |
Change in fair value from adverse changes: |  |  |  |
Discount Rate: |  |  |  |
Increase 1% |  | (76,862) |  |  | (81,431) |
Increase 2% |  | (148,438) |  |  | (157,281) |
Cost of Servicing: |  |  |  |
Increase 10% |  | (20,103) |  |  | (19,017) |
Increase 20% |  | (40,319) |  |  | (38,127) |
Prepayment Speed: |  |  |  |
Increase 10% |  | (22,425) |  |  | (18,863) |
Increase 20% |  | (44,128) |  |  | (37,546) |
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 -Topic 860 -SubTopic 30 -Name Accounting Standards Codification -Section 50 -Paragraph 1A -Subparagraph (b)(2) -Publisher FASB -URI 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