Quarterly report pursuant to Section 13 or 15(d)

Mortgage Servicing Rights, at Fair Value

v3.22.2.2
Mortgage Servicing Rights, at Fair Value
 9 Months Ended
Sep. 30, 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):
September 30, 2022 December 31, 2021
Fannie Mae/Freddie Mac $ 7,207,398  $ 37,079,995 
Ginnie Mae 535,952  1,109,962 
Private investors 1,030,666  1,109,459 
Total UPB $ 8,774,016  $ 39,299,416 
Weighted average interest rate 3.55  % 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 September 30, 2022 For the nine months ended September 30, 2022 For the three months ended September 30, 2021 For the six months ended September 30, 2021 For the three months ended March 31, 2021
Successor Predecessor
Beginning UPB $ 29,494,649  $ 39,299,416  $ 30,592,187  $ 26,675,358  $ 22,269,362 
Originated MSRs 1,788,998  9,421,902  5,380,307  10,520,166  6,312,227 
Purchased MSRs —  —  228,470  234,007  866,806 
Sold MSRs (22,037,083) (37,529,103) (320,028) (320,028) (1,090,267)
Portfolio runoff (281,332) (1,611,107) (1,506,451) (2,493,506) (1,488,977)
Other (191,216) (807,092) (283,370) (524,882) (193,793)
Ending UPB $ 8,774,016  $ 8,774,016  $ 34,091,115  $ 34,091,115  $ 26,675,358 
The activity in the MSRs asset consisted of the following (in thousands):
For the three months ended September 30, 2022 For the nine months ended September 30, 2022 For the three months ended September 30, 2021 For the six months ended September 30, 2021 For the three months ended March 31, 2021
Successor Predecessor
Beginning balance $ 359,006  $ 427,942  $ 290,938  $ 267,364  $ 180,684 
Originations 20,241  114,903  52,252  102,301  65,964 
Purchases —  —  2,291  2,352  9,014 
Sales (266,723) (470,018) (2,501) (2,501) (8,647)
Changes in fair value due to:
Changes in market inputs or assumptions used in valuation model (4,382) 56,938  13,165  (2,886) 35,109 
Changes in fair value due to portfolio runoff and other (5,073) (26,696) (15,196) (25,681) (14,760)
Ending balance $ 103,069  $ 103,069  $ 340,949  $ 340,949  $ 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 $4.6 million and $32.0 million, for the Successor three and nine months ended September 30, 2022, and were $14.4 million and $28.1 million, for the Successor three and six months ended September 30, 2021, respectively; and $13.0 million for the Predecessor three months ended 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. As of September 30, 2022 and December 31, 2021, there were $59.8 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:
September 30, 2022 December 31, 2021
Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance
Portfolio delinquency
30 days 1.1  % 0.9  % 0.4  % 0.3  %
60 days 0.2  % 0.2  % 0.1  % 0.0  %
90 or more days 0.6  % 0.5  % 0.1  % 0.1  %
Total 1.9  % 1.6  % 0.6  % 0.4  %
Foreclosure/real estate owned 0.1  % 0.1  % 0.0  % 0.0  %