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SERVICING RIGHTS, AT FAIR VALUE (Tables)

12 Months Ended

Dec. 31, 2023

Transfers and Servicing [Abstract]

Summary of Outstanding Principal Balance of Servicing Rights

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

Summary of Changes in Servicing Rights

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

Summary of Components of Loan Servicing Fee Income

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

Summary of Components of Changes in Fair Value of Servicing Rights

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.

Servicing Rights Sensitivity Analysis

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)

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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

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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

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