Annual report pursuant to Section 13 and 15(d)

Mortgage Servicing Rights, at Fair Value

v3.24.0.1
Mortgage Servicing Rights, at Fair Value
 12 Months Ended
Dec. 31, 2023
Transfers and Servicing [Abstract]  
Mortgage Servicing Rights, at Fair Value
9. Mortgage Servicing Rights, at Fair Value
The servicing portfolio associated with capitalized servicing rights consists of the following (in thousands):
December 31, 2023 December 31, 2022
Fannie Mae/Freddie Mac $ 124,435  $ 7,051,851 
Ginnie Mae 285  532,328 
Private investors 931,940  1,018,159 
Total UPB $ 1,056,660  $ 8,602,338 
Weighted average interest rate 3.71  % 3.59  %
The activity in the loan servicing portfolio associated with capitalized servicing rights consisted of the following (in thousands):
For the year ended December 31, 2023 For the year ended December 31, 2022
Beginning UPB $ 8,602,338  $ 39,299,416 
Originated MSR 42,011  10,098,259 
Sales MSR (7,416,568) (38,233,148)
Payoffs MSR (75,527) (1,671,774)
Other (95,594) (890,415)
Ending UPB $ 1,056,660  $ 8,602,338 

The activity in the MSR asset consisted of the following (in thousands):
For the year ended December 31, 2023 For the year ended December 31, 2022
Beginning balance $ 95,096  $ 427,942 
Originations 405  122,362 
Sales (86,483) (478,197)
Changes in fair value due to:
Changes in market inputs or assumptions used in valuation model (1,014) 51,309 
Changes in fair value due to portfolio runoff and other (1,568) (28,320)
Ending balance $ 6,436  $ 95,096 

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 were $2.9 million and $35.0 million for the years ended December 31, 2023 and 2022, 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, there was $60.6 million in MSR, at fair value, pledged as collateral for nonrecourse debt (none as of December 31, 2023).
The following table summarizes the estimated change in the fair value of MSR from adverse changes in the significant assumptions (in thousands):
December 31, 2023 December 31, 2022
Weighted Average Prepayment Speed Discount Rate Weighted Average Prepayment Speed Discount Rate
Impact on fair value of 10% adverse change NM NM $ (2,677) $ (4,258)
Impact on fair value of 20% adverse change NM NM $ (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.