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MORTGAGE SERVICING RIGHTS
 9 Months Ended
Sep. 30, 2021
Transfers and Servicing [Abstract]  
MORTGAGE SERVICING RIGHTS
7. MORTGAGE SERVICING RIGHTS
The Company owns variable interests in entities that invest in MSR and Interests in MSR. Refer to the “Variable Interest Entities” Note for a detailed discussion on this topic.
MSR represent the rights and obligations associated with servicing pools of residential mortgage loans. The Company and its subsidiaries do not originate or directly service residential mortgage loans. Rather, these activities are carried out by duly licensed subservicers who perform substantially all servicing functions for the loans underlying the MSR. The Company generally intends to hold the MSR as investments and elected to account for all of its investments in MSR at fair value. As such, they are recognized at fair value on the accompanying Consolidated Statements of Financial Condition with changes in the estimated fair value presented as a component of Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Servicing income, net of servicing expenses, is reported in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss). At September 30, 2021, MSR with a fair value of approximately $86.2 million met the criteria to be classified as held for sale. The fair value of these MSR is the agreed upon sale price and the sale is expected to occur in the fourth quarter of 2021.

Interests in MSR represent agreements to purchase all, or a component of, net servicing cash flows. A third party acts as a master servicer for the loans providing the net servicing cash flows represented by the Interests in MSR. The Company accounts for its Interests in MSR at fair value with change in fair value presented in Net unrealized gains (losses) on instruments measured at fair value through earnings in the Consolidated Statements of Comprehensive Income (Loss). Cash flows received for Interests in MSR are recorded in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).

The following tables presents activity related to MSR and Interests in MSR for the three and nine months ended September 30, 2021 and 2020:  
 Mortgage Servicing RightsThree Months EndedNine Months Ended
September 30, 2021September 30, 2020September 30, 2021September 30, 2020
 (dollars in thousands)
Fair value, beginning of period$202,616 $227,400 $100,895 $378,078 
Purchases (1)
312,327 — 411,309 — 
Sales— — (376)— 
Change in fair value due to:
Changes in valuation inputs or assumptions (2)
76,107 7,633 108,403 (99,220)
Other changes, including realization of expected cash flows(18,791)(27,048)(47,972)(70,873)
Fair value, end of period$572,259 $207,985 $572,259 $207,985 
(1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable.
(2) Principally represents changes in discount rates and prepayment speed inputs used in valuation model, primarily due to changes in interest rates.
Interests in MSRThree Months EndedNine Months Ended
September 30, 2021September 30, 2021
(dollars in thousands)
Beginning balance$49,035 $— 
Purchases (1)
5,936 53,034 
Gain (loss) included in net income2,559 4,496 
Ending balance September 30, 2021
$57,530 $57,530 
(1) Includes adjustments to original purchase price from early payoffs, defaults, or loans that were delivered but were deemed to not be acceptable.
For the three and nine months ended September 30, 2021, the Company recognized $14.9 million and $29.7 million, respectively, and for the three and nine months ended September 30, 2020, the Company recognized $15.1 million and $54.4 million, respectively, of net servicing income from MSR in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).
For the three and nine months ended September 30, 2021, the Company recognized $2.7 million and $4.7 million, respectively, and for the three and nine months ended September 30, 2020, the Company did not recognize net income from Interests in MSR in Other income (loss) in the Consolidated Statements of Comprehensive Income (Loss).