Annual report pursuant to Section 13 and 15(d)

Mortgage Servicing Rights, at Fair Value (Tables)

v3.22.4
Mortgage Servicing Rights, at Fair Value (Tables)
12 Months Ended
Dec. 31, 2022
Transfers and Servicing [Abstract]  
Summary of servicing portfolio and its activities
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 
Summary of estimated change in the fair value of MSRs from adverse changes in the significant assumptions
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)
Summary of Information regarding loan servicing portfolio delinquencies percentages and unpaid balance
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  %