Quarterly report pursuant to Section 13 or 15(d)

Mortgage Servicing Rights, at Fair Value

v3.21.2
Mortgage Servicing Rights, at Fair Value
 9 Months Ended
Sep. 30, 2021
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):
 
    
September 30, 2021
    
December 31, 2020
  
    
Successor
    
Predecessor
  
Fannie Mae/Freddie Mac
   
$
33,034,877
    
$
 20,501,504  
Ginnie Mae   
 
235,279
       1,727,831  
Private investors   
 
820,959
       40,027  
    
 
 
    
 
 
  
Total UPB
   
$
34,091,115
    
$
 22,269,362  
    
 
 
    
 
 
  
Weighted average interest rate
   
 
3.0
% 
     3.1 % 
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,
2021
 
 
April 1, 2021
to
September 30,
2021
 
 
January 1, 2021

to

March 31, 2021
 
 
For the three
months ended
September 30,
2020
 
 
For the nine
months ended
September 30,
2020
 
 
  
Successor
 
 
Predecessor
 
Beginning UPB
   
$
30,592,187
    
$
26,675,358
    
$
 22,269,362    
$
 7,211,843    
$
 288,057  
Originated MSR   
 
5,380,307
    
 
10,520,166
       6,312,227       7,308,891       14,295,128  
Purchased MSR   
 
228,470
    
 
234,007
       866,806       —         —    
Payoffs, sales and curtailments
   
 
(2,109,849
) 
  
 
(3,338,416
) 
     (2,773,037 )      (243,225 )      (305,676 ) 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Ending UPB
   
$
34,091,115
    
$
34,091,115
     $ 26,675,358     $ 14,277,509     $ 14,277,509  
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
The activity in the mortgage servicing rights asset consisted of the following (in thousands):
 
    
For the three
months ended
September 30,
2021
    
April 1, 2021 to
September 30,
2021
    
January 1, 2021

to

March 31, 2021
    
For the three
months ended
September 30,
2020
    
For the nine
months ended
September 30,
2020
  
    
Successor
    
Predecessor
  
Beginning balance
   
$
290,938
    
$
267,364
     $ 180,684     $ 42,684     $ 2,600  
Originations
   
 
52,252
    
 
102,301
       65,964       53,401       98,256  
Purchases
   
 
2,291
    
 
2,352
       9,014       —
 
 
       —
 
 
  
Sales
   
 
(2,501
) 
  
 
(2,501
) 
     (8,647 )      —
 
 
       —
 
 
  
Changes in fair value due to:
               
 
                        
Changes in market inputs or assumptions used in valuation model
   
 
13,165
    
 
(2,886
) 
     35,109       8,170       4,746  
Changes in fair value due to portfolio runoff and other
   
 
(15,196
) 
  
 
(25,681
) 
     (14,760 )      (3,716 )      (5,063 ) 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Ending balance
   
$
340,949
    
$
340,949
     $ 267,364     $ 100,539     $ 100,539  
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
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 $14.4 million for the Successor three months ended September 30, 2021, $28.1 million for the Successor period from April 1, 2021 to September 30, 2021, and $13.0 million for the Predecessor period from January 1, 2021 to March 31, 2021. Fees for the Predecessor were $5.8 million and $7.6 million for the three months ended and nine months ended September 30, 2020, respectively. These fees and changes in fair value of the MSRs are recorded within fee income on the Consolidated Statements of Operations.
The following table provides a summary of the loan servicing portfolio delinquencies as a percentage of the total number of loans and the total unpaid balance of the portfolio:
 
    
September 30, 2021
    
December 31, 2020
  
    
Successor
    
Predecessor
  
    
Number of
Loans
    
Unpaid
Balance
    
Number of
Loans
    
Unpaid
Balance
  
Portfolio delinquency
               
 
                
30 days
   
 
0.4
% 
  
 
0.4
% 
     0.5 %      0.5 % 
60 days
   
 
0.0
% 
  
 
0.0
% 
     0.1 %      0.1 % 
90 or more days
   
 
0.1
% 
  
 
0.1
% 
     0.2 %      0.1 % 
    
 
 
    
 
 
    
 
 
    
 
 
  
Total
   
 
0.5
% 
  
 
0.5
% 
     0.8 %      0.7 % 
    
 
 
    
 
 
    
 
 
    
 
 
  
Foreclosure/real estate owned
   
 
0.0
% 
  
 
0.0
% 
     0.0 %      0.0 %