Annual report pursuant to Section 13 and 15(d)

Mortgage Servicing Rights, at Fair Value

v3.22.4
Mortgage Servicing Rights, at Fair Value
 12 Months Ended
Dec. 31, 2022
Transfers and Servicing [Abstract]  
Mortgage Servicing Rights, at Fair Value
11. Mortgage Servicing Rights, at Fair Value
The servicing portfolio associated with capitalized servicing rights consists of the following (in thousands):
December 31, 2022 December 31, 2021
Fannie Mae/Freddie Mac $ 7,051,851  $ 37,079,995 
Ginnie Mae 532,328  1,109,962 
Private investors 1,018,159  1,109,459 
Total UPB $ 8,602,338  $ 39,299,416 
Weighted average interest rate 3.59  % 3.03  %

The activity in the loan servicing portfolio associated with capitalized servicing rights consisted of the following (in thousands):
For the year ended December 31, 2022 For the nine months ended December 31, 2021 For the three months ended March 31, 2021 For the year ended December 31, 2020
Successor Predecessor
Beginning UPB $ 39,299,416  $ 26,675,358  $ 22,269,362  $ 288,057 
Originated MSR 10,098,259  17,491,713  6,312,227  21,241,997 
Purchased MSR —  234,007  866,806  1,966,657 
Sales MSR (38,233,148) (320,027) (1,090,267) (527)
Payoffs MSR (1,671,774) (3,935,261) (1,488,977) (991,716)
Other (890,415) (846,374) (193,793) (235,106)
Ending UPB $ 8,602,338  $ 39,299,416  $ 26,675,358  $ 22,269,362 
The activity in the MSR asset consisted of the following (in thousands):
For the year ended December 31, 2022 For the nine months ended December 31, 2021 For the three months ended March 31, 2021 For the year ended December 31, 2020
Successor Predecessor
Beginning balance $ 427,942  $ 267,364  $ 180,684  $ 2,600 
Originations 122,362  161,364  65,964  159,434 
Purchases —  16,915  9,014  14,088 
Sales (478,197) (2,501) (8,647) — 
Changes in fair value due to:
Changes in market inputs or assumptions used in valuation model 51,309  26,950  35,109  14,817 
Changes in fair value due to portfolio runoff and other (28,320) (42,150) (14,760) (10,255)
Ending balance $ 95,096  $ 427,942  $ 267,364  $ 180,684 

The value of MSR 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 for Successor periods were $35.0 million and $43.4 million for the year ended December 31, 2022 and nine months ended December 31, 2021, respectively. Fees for Predecessor periods were $13.0 million and $18.1 million for January 1, 2021 to March 31, 2021 and the year ended December 31, 2020 respectively. These fees and changes in fair value of the MSR are recorded within fee income in the Consolidated Statements of Operations. As of December 31, 2022 and December 31, 2021, there were $60.6 million and $142.4 million, respectively, in MSR, at fair value, pledged as collateral for nonrecourse debt.
The following table summarizes the estimated change in the fair value of MSR from adverse changes in the significant assumptions (in thousands):
December 31, 2022
Weighted Average Prepayment Speed Discount Rate
Impact on fair value of 10% adverse change $ (2,677) $ (4,258)
Impact on fair value of 20% adverse change $ (5,178) $ (8,155)

These sensitivities are hypothetical and should be evaluated with care. The effect on fair value of a 10% variation in assumptions generally cannot be determined because the relationship of the change in assumptions to the fair value may not be linear. Additionally, the impact of a variation in a particular assumption on the fair value is calculated while holding other assumptions constant. In reality, changes in one factor may lead to changes in other factors, which could impact the above hypothetical effects.
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:
December 31, 2022 December 31, 2021
Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance
Portfolio delinquency
30 days 1.2  % 1.1  % 0.4  % 0.3  %
60 days 0.3  % 0.2  % 0.1  % 0.0  %
90 or more days 0.6  % 0.5  % 0.1  % 0.1  %
Total 2.1  % 1.8  % 0.6  % 0.4  %
Foreclosure/real estate owned 0.1  % 0.1  % 0.0  % 0.0  %