Annual report pursuant to Section 13 and 15(d)

Mortgage Servicing Rights, at Fair Value

v3.22.0.1
Mortgage Servicing Rights, at Fair Value
 12 Months Ended
Dec. 31, 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):
                 
    
December 31, 2021
     
December 31, 2020
  
    
Successor
     
Predecessor
  
Fannie Mae/Freddie Mac   
$
37,079,995
 
    $ 20,501,504  
Ginnie Mae   
 
1,109,962
 
      1,727,831  
Private investors   
 
1,109,459
 
      40,027  
    
 
 
     
 
 
  
Total UPB
   
$
39,299,416
 
    $ 22,269,362  
    
 
 
     
 
 
  
Weighted average interest rate
   
 
3.03
% 
      3.10 % 
The activity in the loan servicing portfolio associated with capitalized servicing rights consisted of the following (in thousands):
                         
    
April 1, 2021

to

December 31, 2021
     
January 1, 2021

to

March 31, 2021
    
For the year
ended
December 31, 2020
  
    
Successor
     
Predecessor
  
Beginning UPB   
$
26,675,358
 
   
$
 22,269,362
 
   $ 288,057  
Originated MSR   
 
17,491,713
 
   
 
 6,312,227
 
     21,241,997  
Purchased MSR   
 
234,007
 
   
 
 866,806
 
     1,966,657  
Sales MSR
   
 
(320,027
) 
   
 
 (1,090,267
) 
     (527 ) 
Payoffs MSR
   
 
(3,935,261
) 
   
 
 (1,488,977
) 
     (991,716 ) 
Other
   
 
(846,374
) 
   
 
 (193,793
) 
     (235,106 ) 
    
 
 
     
 
 
 
  
 
 
  
Ending UPB
   
$
39,299,416
 
   
$
 26,675,358
 
   $ 22,269,362  
    
 
 
     
 
 
    
 
 
  
 
The activity in the mortgage servicing rights asset consisted of the following (in thousands):
                         
    
April 1, 2021

to

December 31, 2021
     
January 1, 2021

to

March 31, 2021
    
For the year
ended
December 31, 2020
  
    
Successor
     
Predecessor
  
Beginning balance   
$
267,364
 
   
$
 180,684
 
   $ 2,600  
Originations   
 
161,364
 
   
 
 65,964
 
     159,434  
Purchases   
 
16,915
 
   
 
 9,014
 
     14,088  
Sales   
 
(2,501
) 
   
 
 (8,647
) 
     —    
Changes in fair value due to:
       
 
   
 
 
 
        
Changes in market inputs or assumptions used in valuation model
   
 
26,950
 
   
 
 35,109
 
     14,817  
Changes in fair value due to portfolio runoff and other
   
 
(42,150
) 
   
 
 (14,760
) 
     (10,255 ) 
    
 
 
     
 
 
 
  
 
 
  
Ending balance   
$
427,942
 
   
$
 267,364
 
   $ 180,684  
    
 
 
     
 
 
    
 
 
  
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 $43.4 million for the Successor period from April 1, 2021 to December 31, 2021, and $13.0 million for the Predecessor period from January 1, 2021 to March 31, 2021. Fees for the Predecessor were $18.1 million and $0.8 million for the years ended December 31, 2020 and 2019, respectively. These fees and changes in fair value of the MSRs are recorded within fee income on the Consolidated Statements of Operations.
 
As of December 31, 2021 (Successor), there were $142.4 million in mortgage servicing rights, at 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:
                                 
    
December 31, 2021
     
December 31, 2020
  
    
Successor
     
Predecessor
  
    
Number of
Loans
    
Unpaid
Balance
     
Number of
Loans
    
Unpaid
Balance
  
Portfolio delinquency
               
 
                 
30 days
   
 
0.4
% 
    
0.3
%
 		      0.5 %      0.5 % 
60 days
   
 
0.1
% 
  
 
0.0
% 
      0.1 %      0.1 % 
90 or more days
   
 
0.1
% 
  
 
0.1
% 
      0.2 %      0.1 % 
    
 
 
    
 
 
     
 
 
    
 
 
  
Total
      0.6 %      0.4 %       0.8 %      0.7 % 
    
 
 
    
 
 
     
 
 
    
 
 
  
Foreclosure/real estate owned
   
 
0.0
% 
  
 
0.0
% 
      0.0 %      0.0 %