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Mortgage Servicing Rights
 3 Months Ended
Mar. 31, 2021
Transfers and Servicing [Abstract]  
Mortgage Servicing Rights MORTGAGE SERVICING RIGHTS
Mortgage servicing rights are recognized as assets on the condensed consolidated balance sheets when loans are sold and the associated servicing rights are retained. The Company maintains three classes of MSRs and has elected the fair value option as of January 1, 2021 for all classes. The Company determined its classes of MSRs based on how the Company manages risk. As of March 31, 2021, the Company's MSRs are recorded at fair value, which is determined using a valuation model that calculates the present value of estimated future net servicing fee income. The model includes estimates of prepayment speeds, discount rate, cost to service, float earnings, contractual servicing fee income, and ancillary income and late fees, among others. These estimates are supported by market and economic data collected from various outside sources.
Conforming conventional loans serviced by the Company have previously been sold to Fannie Mae and Freddie Mac on a non-recourse basis, whereby credit losses are generally the responsibility of Fannie Mae and Freddie Mac, and not the Company. Loans serviced for Ginnie Mae are insured by the FHA, guaranteed by the VA, or insured by other applicable government programs. While the above guarantees and insurance are the responsibility of those parties, the Company is still subject to potential losses related to its servicing of these loans. Those estimated losses are incorporated into the valuation of MSRs.
The following table summarizes changes in the MSR assets for the three months ended March 31, 2021:

 For the three months ended March 31, 2021
Balance, at December 31, 2020 under amortization method$1,756,864 
Cumulative effect of adopting fair value method3,440 
Fair value, at January 1, 20211,760,304 
Capitalization of mortgage servicing rights599,389 
Changes in fair value:
Due to changes in valuation inputs or assumptions
197,802 
Due to collection/ realization of cash flows/ other(257,061)
Total changes in fair value(59,259)
Fair value, end of period$2,300,434 

Prior to the election of the fair value option on January 1, 2021, the Company accounted for MSRs based on the lower cost or market using the amortization method. The following table summarizes changes to the MSR assets for the three months ended March 31, 2020 under the amortization method:
 For the three months ended March 31, 2020
Balance, beginning of period$731,353 
Capitalization of mortgage servicing rights463,831 
Amortization(39,210)
Loans paid in full(37,166)
Sales(255,229)
Impairment(142,377)
Balance, end of period$721,202 
The following table summarizes the loan servicing income recognized during the three months ended March 31, 2021 and 2020, respectively (in thousands):
Three months ended March 31,
20212020
Contractual servicing fees$122,306 $49,120 
Late, ancillary and other fees1,483 977 
Loan servicing income
$123,789 $50,097 
The key unobservable inputs used in determining the fair value of the Company’s MSRs were as follows at March 31, 2021 and December 31, 2020, respectively:
 March 31,
2021		December 31,
2020
Discount rates9.0 %—14.5 %9.0 %—14.5 %
Annual prepayment speeds8.3 %—40.5 %8.8 %—42.2 %
Cost of servicing$75 —$121 $75 —$126 
The hypothetical effect of an adverse change in these key assumptions would result in a decrease in fair values as follows at March 31, 2021 and December 31, 2020, respectively, (in thousands):
 March 31,
2021		December 31,
2020
Discount rate:
+ 10% adverse change – effect on value$(77,423)$(56,889)
+ 20% adverse change – effect on value(149,634)(110,040)
Prepayment speeds:
+ 10% adverse change – effect on value$(99,119)$(87,752)
+ 20% adverse change – effect on value(191,558)(169,230)
Cost of servicing:
+ 10% adverse change – effect on value$(27,761)$(21,643)
+ 20% adverse change – effect on value(55,522)(43,285)
These sensitivities are hypothetical and should be used with caution. As the table demonstrates, the Company’s methodology for estimating the fair value of MSRs is highly sensitive to changes in assumptions. For example, actual prepayment experience may differ and any difference may have a material effect on MSR fair value. Changes in fair value resulting from changes in assumptions generally cannot be extrapolated because the relationship of the change in assumption to the change in fair value may not be linear. Also, in this table, the effect of a variation in a particular assumption of the fair value of the MSRs is calculated without changing any other assumption; in reality, changes in one factor may be associated with changes in another (for example, decreases in market interest rates may indicate higher prepayments; however, this may be partially offset by lower prepayments due to other factors such as a borrower’s diminished opportunity to refinance), which may magnify or counteract the sensitivities. Thus, any measurement of MSR fair value is limited by the conditions existing and assumptions made as of a particular point in time. Those assumptions may not be appropriate if they are applied to a different point in time.