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v3.22.2.2

Servicing Rights | 9 Months Ended
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Sep. 30, 2022
Servicing Rights |
Servicing Rights | Note 9. Servicing rights ​ The Company performs servicing activities for third parties, which primarily include collecting principal, interest and other payments from borrowers, remitting the corresponding payments to investors and monitoring delinquencies. The Company’s servicing fees are specified by pooling and servicing agreements. The table below presents information about servicing rights. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Three Months Ended September 30, | ​ | Nine Months Ended September 30,
(in thousands) |  | 2022 |  | 2021 |  | 2022 |  | 2021
SBA servicing rights, at amortized cost
Beginning net carrying amount | ​ | $ | 21,670 | ​ | $ | 19,721 | ​ | $ | 22,157 | ​ | $ | 18,764
Additions due to loans sold, servicing retained | ​ |  | 1,921 | ​ |  | 2,778 | ​ |  | 5,700 | ​ |  | 6,478
Amortization | ​ |  | (929) | ​ |  | (986) | ​ |  | (2,878) | ​ |  | (3,075)
Impairment | ​ |  | (765) | ​ |  | (308) | ​ |  | (3,082) | ​ |  | (962)
Ending net carrying amount | ​ | $ | 21,897 | ​ | $ | 21,205 | ​ | $ | 21,897 | ​ | $ | 21,205
Multi-family servicing rights, at amortized cost
Beginning net carrying amount | ​ | $ | 63,188 | ​ | $ | 24,724 | ​ | $ | 62,300 | ​ | $ | 19,059
Additions due to loans sold, servicing retained | ​ |  | 2,883 | ​ |  | 3,292 | ​ |  | 8,510 | ​ |  | 10,760
Acquisitions | ​ |  | — | ​ |  | 15,800 | ​ |  | — | ​ |  | 15,800
Amortization | ​ |  | (2,429) | ​ |  | (1,504) | ​ |  | (7,168) | ​ |  | (3,307)
Ending net carrying amount | ​ | $ | 63,642 | ​ | $ | 42,312 | ​ | $ | 63,642 | ​ | $ | 42,312
Total servicing rights, at amortized cost | ​ | $ | 85,539 | ​ | $ | 63,517 | ​ | $ | 85,539 | ​ | $ | 63,517
Residential MSRs, at fair value
Beginning net carrying amount | ​ | $ | 168,653 | ​ | $ | 100,820 | ​ | $ | 120,142 | ​ | $ | 76,840
Additions due to loans sold, servicing retained | ​ |  | 9,463 | ​ |  | 11,622 | ​ |  | 32,417 | ​ |  | 35,595
Loan pay-offs | ​ | ​ | (2,610) | ​ | ​ | (5,000) | ​ | ​ | (9,636) | ​ | ​ | (15,650)
Unrealized gains | ​ |  | 16,647 | ​ |  | 147 | ​ |  | 49,230 | ​ |  | 10,804
Ending fair value amount | ​ | $ | 192,153 | ​ | $ | 107,589 | ​ | $ | 192,153 | ​ | $ | 107,589
Total servicing rights | ​ | $ | 277,692 | ​ | $ | 171,106 | ​ | $ | 277,692 | ​ | $ | 171,106
​ Servicing rights – SBA and multi-family portfolio. The Company’s SBA and multi-family servicing rights are carried at amortized cost and evaluated quarterly for impairment. The Company estimates the fair value of these servicing rights by using a combination of internal models and data provided by third-party valuation experts. The assumptions used in our internal models include forward prepayment rates, forward default rates, discount rates, and servicing expenses. ​ The Company’s models calculate the present value of expected future cash flows utilizing assumptions that we believe are used by market participants. We derive forward prepayment rates, forward default rates and discount rates from historical experience adjusted for prevailing market conditions. Components of the estimated future cash flows include servicing fees, late fees, other ancillary fees and cost of servicing. ​ The table below presents additional information about SBA and multi-family servicing rights. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | As of September 30, 2022 | ​ | As of December 31, 2021
(in thousands) | ​ | UPB | ​ | Carrying Value | ​ | UPB | ​ | Carrying Value
SBA | ​ | $ | 976,135 | ​ | $ | 21,897 | ​ | $ | 856,188 | ​ | $ | 22,157
Multi-family | ​ | ​ | 4,659,868 | ​ | ​ | 63,642 | ​ | ​ | 4,232,969 | ​ | ​ | 62,300
Total | ​ | $ | 5,636,003 | ​ | $ | 85,539 | ​ | $ | 5,089,157 | ​ | $ | 84,457
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ The table below presents significant assumptions used in the estimated valuation of SBA and multi-family servicing rights carried at amortized cost. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | September 30, 2022 | ​ | December 31, 2021
​ | ​ |  | Range of input values | ​ | Weighted Average |  | Range of input values | ​ | Weighted Average
SBA servicing rights
​ | Forward prepayment rate | ​ | 9.6 | - | 21.7 | % | ​ | 10.1 | % | ​ | 7.9 | - | 21.0 | % | ​ | 8.9 | %
​ | Forward default rate | ​ | 0.0 | - | 10.0 | % | ​ | 9.2 | % | ​ | 0.0 | - | 10.4 | % | ​ | 9.1 | %
​ | Discount rate | ​ | 13.4 | - | 21.4 | % | ​ | 13.9 | % | ​ | 10.0 | - | 21.3 | % | ​ | 10.7 | %
​ | Servicing expense | ​ | 0.4 | - | 0.4 | % | ​ | 0.4 | % | ​ | 0.4 | - | 0.4 | % | ​ | 0.4 | %
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Multi-family servicing rights
​ | Forward prepayment rate | ​ | 0.0 | - | 7.3 | % | ​ | 3.5 | % | ​ | 0.0 | - | 7.3 | % | ​ | 3.5 | %
​ | Forward default rate | ​ | 0.0 | - | 1.3 | % | ​ | 0.9 | % | ​ | 0.0 | - | 1.3 | % | ​ | 1.0 | %
​ | Discount rate | ​ | 6.0 | - | 6.0 | % | ​ | 6.0 | % | ​ | 6.0 | - | 6.0 | % | ​ | 6.0 | %
​ | Servicing expense | ​ | 0.0 | - | 0.8 | % | ​ | 0.1 | % | ​ | 0.0 | - | 0.8 | % | ​ | 0.1 | %
​ Assumptions can change between and at each reporting period as market conditions and projected interest rates change. ​ The table below presents the possible impact of 10% and 20% adverse changes to key assumptions on SBA and multi-family servicing rights. ​
​ | ​ | ​ | ​ | ​ | ​ | ​
(in thousands) |  | September 30, 2022 |  | December 31, 2021
SBA servicing rights | ​ | ​ | ​ | ​ | ​ | ​
Forward prepayment rate | ​ | ​ | ​ | ​ | ​ | ​
Impact of 10% adverse change | ​ | $ | (679) | ​ | $ | (670)
Impact of 20% adverse change | ​ | $ | (1,320) | ​ | $ | (1,305)
Default rate | ​ |  | ​ | ​ |  | ​
Impact of 10% adverse change | ​ | $ | (146) | ​ | $ | (155)
Impact of 20% adverse change | ​ | $ | (290) | ​ | $ | (309)
Discount rate | ​ | ​ | ​ | ​ | ​ | ​
Impact of 10% adverse change | ​ | $ | (828) | ​ | $ | (746)
Impact of 20% adverse change | ​ | $ | (1,591) | ​ | $ | (1,443)
Servicing expense | ​ | ​ | ​ | ​ | ​ | ​
Impact of 10% adverse change | ​ | $ | (1,339) | ​ | $ | (1,344)
Impact of 20% adverse change | ​ | $ | (2,679) | ​ | $ | (2,687)
Multi-family servicing rights | ​ | ​ | ​
Forward prepayment rate | ​ | ​ | ​ | ​ | ​ | ​
Impact of 10% adverse change | ​ | $ | (280) | ​ | $ | (291)
Impact of 20% adverse change | ​ | $ | (553) | ​ | $ | (575)
Default rate | ​ |  | ​ | ​ |  | ​
Impact of 10% adverse change | ​ | $ | (25) | ​ | $ | (25)
Impact of 20% adverse change | ​ | $ | (49) | ​ | $ | (50)
Discount rate | ​ | ​ | ​ | ​ | ​ | ​
Impact of 10% adverse change | ​ | $ | (1,894) | ​ | $ | (1,910)
Impact of 20% adverse change | ​ | $ | (3,698) | ​ | $ | (3,726)
Servicing expense | ​ | ​ | ​ | ​ | ​ | ​
Impact of 10% adverse change | ​ | $ | (2,658) | ​ | $ | (2,659)
Impact of 20% adverse change | ​ | $ | (5,316) | ​ | $ | (5,318)
​ The table below presents estimated future amortization expense for SBA and multi-family servicing rights. ​
​ | ​ | ​ | ​
(in thousands) |  | September 30, 2022
2022 | ​ | $ | 5,480
2023 | ​ |  | 12,266
2024 | ​ |  | 10,840
2025 | ​ |  | 9,583
2026 | ​ |  | 8,589
Thereafter | ​ |  | 38,781
Total | ​ | $ | 85,539
​ Residential MSRs. The Company's residential MSRs consist of conforming conventional loans sold to Fannie Mae and Freddie Mac or loans securitized in Ginnie Mae securities. Similarly, the government loans serviced by the Company are securitized through Ginnie Mae, whereby the Company is insured against loss by the Federal Housing Administration or partially guaranteed against loss by the Department of Veteran Affairs. ​ The table below presents additional information about residential MSRs carried at fair value. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | September 30, 2022 | ​ | December 31, 2021
(in thousands) | ​ | UPB | ​ | Fair Value | ​ | UPB | ​ | Fair Value
Fannie Mae | ​ | $ | 4,435,689 | ​ | $ | 64,610 | ​ | $ | 4,056,595 | ​ | $ | 41,698
Freddie Mac | ​ | ​ | 4,502,736 | ​ | ​ | 68,710 | ​ | ​ | 4,131,904 | ​ | ​ | 45,017
Ginnie Mae | ​ | ​ | 3,033,547 | ​ | ​ | 58,833 | ​ | ​ | 2,807,186 | ​ | ​ | 33,427
Total | ​ | $ | 11,971,972 | ​ | $ | 192,153 | ​ | $ | 10,995,685 | ​ | $ | 120,142
​ The table below presents significant assumptions used in the valuation of residential MSRs carried at fair value. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | September 30, 2022 | ​ | December 31, 2021
​ | ​ |  | Range of input values | ​ | Weighted Average |  | Range of input values | ​ | Weighted Average
Residential MSRs
​ | Forward prepayment rate | ​ | 6.0 | - | 8.6 | % | ​ | 6.2 | % | ​ | 8.4 | - | 20.9 | % | ​ | 9.5 | %
​ | Discount rate | ​ | 9.5 | - | 12.0 | % | ​ | 10.1 | % | ​ | 9.0 | - | 11.0 | % | ​ | 9.4 | %
​ | Servicing expense | ​ | $70 | - | $85 | ​ | ​ | $74 | ​ | ​ | $70 | - | $85 | ​ | ​ | $74 | ​
​ Assumptions can change between and at each reporting period as market conditions and projected interest rates change. ​ The table below presents the possible impact of 10% and 20% adverse changes to key assumptions on the fair value of residential MSRs. ​
​ | ​ | ​ | ​ | ​ | ​ | ​
(in thousands) |  | September 30, 2022 | ​ | December 31, 2021
Residential MSRs | ​ | ​ | ​ | ​ | ​ | ​
Prepayment rate | ​ | ​ | ​ | ​ | ​ | ​
Impact of 10% adverse change | ​ | $ | (5,564) | ​ | $ | (5,262)
Impact of 20% adverse change | ​ | $ | (10,845) | ​ | $ | (9,262)
Discount rate | ​ | ​ | ​ | ​ | ​ | ​
Impact of 10% adverse change | ​ | $ | (8,957) | ​ | $ | (4,533)
Impact of 20% adverse change | ​ | $ | (17,158) | ​ | $ | (8,745)
Servicing expense | ​ | ​ | ​ | ​ | ​ | ​
Impact of 10% adverse change | ​ | $ | (2,682) | ​ | $ | (2,125)
Impact of 20% adverse change | ​ | $ | (5,365) | ​ | $ | (4,251)
​

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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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