Mortgage Servicing Rights (Tables)

3 Months Ended

Mar. 31, 2021

Transfers and Servicing [Abstract]

Summary of Mortgage Servicing Rights

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 method	3,440
Fair value, at January 1, 2021	1,760,304
Capitalization of mortgage servicing rights	599,389
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 rights	463,831
Amortization	(39,210)
Loans paid in full	(37,166)
Sales	(255,229)
Impairment	(142,377)
Balance, end of period	$	721,202

Summary of Loan Servicing Income

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,
	2021		2020
Contractual servicing fees	$	122,306	$	49,120
Late, ancillary and other fees	1,483		977
Loan servicing income	$	123,789	$	50,097

Summary of Key Assumptions Used in Determining the Fair Value

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 rates	9.0	%	—	14.5	%	9.0	%	—	14.5	%
Annual prepayment speeds	8.3	%	—	40.5	%	8.8	%	—	42.2	%
Cost of servicing	$75		—	$121		$75		—	$126

Schedule of Analysis of Change in Fair Value

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)