| Summary of Mortgage Servicing Rights |
The following table summarizes changes in the MSR assets for the years ended December 31, 2022 and 2021 (in thousands): | | | | | | | | | | | | | | | | | | | For the year ended December 31, | | | | | | 2022 | | 2021 | | | | | | | | | | | | | | | | | | Fair value, beginning of period | | | | | $ | 3,314,952 | | | 1,760,304 | | | Capitalization of MSRs | | | | | 2,213,572 | | | 2,397,483 | | | MSR sales | | | | | (1,387,180) | | | (269,925) | | | Changes in fair value: | | | | | | | | Due to changes in valuation inputs or assumptions | | | | | 868,803 | | | 286,348 | | | Due to collection/realization of cash flows/other | | | | | (556,886) | | | (859,258) | | | | | | | | | | | Fair value, end of period | | | | | $ | 4,453,261 | | | $ | 3,314,952 | |
The following is a summary of the components of change in fair value of servicing rights as reported in the consolidated statements of operations (in thousands): | | | | | | | | | | | | | | | | | | | | | For the year ended December 31, | | | | | | 2022 | | 2021 | | Changes in fair value: | | | | | | | | | Due to changes in valuation inputs and assumptions | | | | | $ | 868,803 | | | $ | 286,348 | | | Due to collection/realization of cash flows and other | | | | | (556,886) | | | (859,258) | | | Net reserves and transaction costs on sales of servicing rights | | | | | (27,813) | | | (14,903) | | | | | | | | | | | Changes in fair value of mortgage servicing rights | | | | | $ | 284,104 | | | $ | (587,813) | |
| | | | | | | For the year ended December 31, | | 2020 | | Balance, beginning of period | $ | 731,353 | | | Additions | 1,896,638 | | | Amortization | (252,421) | | | Loans paid in full | (301,113) | | | Sales | (298,009) | | | Recovery/(Impairment) | (19,584) | | | Balance, end of period | $ | 1,756,864 | |
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| Summary of Loan Servicing Income |
The following table summarizes the loan servicing income recognized during the years ended December 31, 2022, 2021 and 2020, respectively (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | For the year ended December 31, | | | | | | 2022 | | 2021 | | 2020 | | Contractual servicing fees | | | | | $ | 781,109 | | | $ | 632,276 | | | $ | 284,257 | | | Late, ancillary and other fees | | | | | 10,963 | | | 6,462 | | | 4,047 | | | Loan servicing income | | | | | $ | 792,072 | | | $ | 638,738 | | | $ | 288,304 | |
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| 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 December 31, 2022 and December 31, 2021, respectively: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31,
2022 | | December 31,
2021 | | Range | | Weighted Average | | Range | | Weighted Average | | Discount rates | 9.5 | % | — | 15.0 | % | | 10.1 | % | | 9.0 | % | — | 14.5 | % | | 9.6 | % | | Annual prepayment speeds | 6.7 | % | — | 14.0 | % | | 7.9 | % | | 8.3 | % | — | 45.4 | % | | 10.5 | % | | Cost of servicing | $75 | | — | $108 | | | $80 | | | $74 | | — | $162 | | | $81 | |
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| Schedule of Analysis of Change in Fair Value |
The hypothetical effect of adverse changes in these key assumptions would result in a decrease in fair values as follows at December 31, 2022 and December 31, 2021, respectively, (in thousands): | | | | | | | | | | | | | | December 31,
2022 | | December 31,
2021 | | Discount rate: | | | | | + 10% adverse change – effect on value | $ | (183,972) | | | $ | (107,992) | | | + 20% adverse change – effect on value | (353,120) | | | (208,567) | | | Prepayment speeds: | | | | | + 10% adverse change – effect on value | $ | (143,483) | | | $ | (138,807) | | | + 20% adverse change – effect on value | (277,992) | | | (267,964) | | | Cost of servicing: | | | | | + 10% adverse change – effect on value | $ | (39,362) | | | $ | (37,370) | | | + 20% adverse change – effect on value | (78,724) | | | (74,741) | |
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