Quarterly report pursuant to Section 13 or 15(d)

Mortgage Servicing Rights, at Fair Value

v3.22.1
Mortgage Servicing Rights, at Fair Value
 3 Months Ended
Mar. 31, 2022
Transfers and Servicing [Abstract]  
Mortgage Servicing Rights, at Fair Value
10. Mortgage Servicing Rights, at Fair Value
The servicing portfolio associated with capitalized servicing rights consists of the following (in thousands):
 
    
March 31,
2022
    
December 31,
2021
  
Fannie Mae/Freddie Mac
   
$
31,324,584
 
   $ 37,079,995  
Ginnie Mae
   
 
1,656,411
 
     1,109,962  
Private investors
   
 
1,077,563
 
     1,109,459  
    
 
 
    
 
 
  
Total UPB
   
$
34,058,558
 
   $ 39,299,416  
    
 
 
    
 
 
  
Weighted average interest rate
   
 
3.12
% 
     3.03 % 
The activity in the loan servicing portfolio associated with capitalized servicing rights consisted of the following (in thousands):
 
    
For the three
months ended
March 31,
2022
     
January 1, 2021

to

March 31, 2021
  
    
Successor
     
Predecessor
  
Beginning UPB
   
$
39,299,416
 
    $ 22,269,362  
Originated MSRs
   
 
4,257,281
 
      6,312,227  
Purchased MSRs
   
 
—  
 
      866,806  
Sold MSRs
   
 
(8,368,734
) 
      (1,090,267 ) 
Portfolio runoff
   
 
(805,668
) 
      (1,488,977 ) 
Other
   
 
(323,737
) 
      (193,793 ) 
    
 
 
     
 
 
  
Ending UPB
   
$
34,058,558
 
    $ 26,675,358  
    
 
 
     
 
 
  
 
The activity in the MSRs asset consisted of the following (in thousands):
 
   
For the three
months ended
March 31, 2022
            
January 1, 2021

to

March 31, 2021
  
   
Successor
            
Predecessor
  
Beginning balance
  
$
427,942
 
       
 
    $ 180,684  
Originations
  
 
53,444
 
       
 
      65,964  
Purchases
  
 
—  
 
       
 
      9,014  
Sales
  
 
(107,652
) 
       
 
      (8,647 ) 
Changes in fair value due to:
               
 
         
Changes in market inputs or assumptions used in valuation model
  
 
63,890
 
       
 
      35,109  
Changes in fair value due to portfolio runoff and other
  
 
(11,522
) 
       
 
      (14,760 ) 
   
 
 
              
 
 
  
Ending balance
  
$
426,102
 
             $ 267,364  
   
 
 
              
 
 
  
The value of MSRs is driven by the net cash flows associated with servicing activities. The cash flows include contractually specified servicing fees, late fees, and other ancillary servicing revenue. The fees were $14.3 million for the Successor three months ended March 31, 2022, and $13.0 million for the Predecessor period from January 1, 2021 to March 31, 2021. These fees and changes in fair value of the MSRs are recorded within fee income on the Condensed Consolidated Statements of Operations (Unaudited). As of March 31, 2022 and December 31, 2021, there were $164.0 million and $142.4 million, respectively, in MSRs, at fair value pledged as collateral for nonrecourse debt.
The following table provides a summary of the loan servicing portfolio delinquencies as a percentage of the total number of loans and the total UPB of the portfolio:
 
    
March 31, 2022
    
December 31, 2021
  
    
Number of
Loans
    
Unpaid
Balance
    
Number of
Loans
    
Unpaid
Balance
  
Portfolio delinquency 30 days
   
 
0.4
% 
  
 
0.4
% 
     0.4 %      0.3 % 
60 days
   
 
0.1
% 
  
 
0.1
% 
     0.1 %      0.0 % 
90 or more days
   
 
0.1
% 
  
 
0.1
% 
     0.1 %      0.1 % 
    
 
 
    
 
 
    
 
 
    
 
 
  
Total
   
 
0.6
% 
  
 
0.6
% 
     0.6 %      0.4 % 
    
 
 
    
 
 
    
 
 
    
 
 
  
Foreclosure/real estate owned
   
 
0.0
% 
  
 
0.0
% 
     0.0 %      0.0 %