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Section 1: 10-Q (10-Q)

nsm-20200930
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
________________________________________________________________________________________________________
 FORM 10-Q
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2020
or
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from _______ to _______                    
Commission file number: 001-14667
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________________________________________________________________________________________________________
Mr. Cooper Group Inc.
(Exact name of registrant as specified in its charter)
Delaware 91-1653725
(State or other jurisdiction of incorporation or organization) (I.R.S. Employer Identification No.)
8950 Cypress Waters Blvd, Coppell, TX
 75019
(Address of principal executive offices) (Zip Code)
(469) 549-2000
Registrant’s telephone number, including area code
Securities registered pursuant to Section 12(b) of the Act:
Title of each classTrading Symbol(s)Name of each exchange on which registered
Common stock, $0.01 par value per shareCOOPThe Nasdaq Stock Market
____________________________________________________________________________________________________
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  x    No  ¨
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).    Yes  x    No  ¨
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12(b)-2 of the Exchange Act.
Large Accelerated Filer¨Accelerated Filerx
Non-Accelerated Filer¨Smaller reporting company
Emerging growth company
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    Yes      No  x
Number of shares of common stock, $0.01 par value, outstanding as of October 23, 2020 was 90,853,569.



MR. COOPER GROUP INC.
QUARTERLY REPORT ON FORM 10-Q
TABLE OF CONTENTS
 
  Page
PART I
Item 1.
Consolidated Balance Sheets as of September 30, 2020 (unaudited) and December 31, 2019
Consolidated Statements of Operations (unaudited) for the Three and Nine Months Ended September 30, 2020 and 2019
Consolidated Statements of Stockholders’ Equity (unaudited) for the Three and Nine Months Ended September 30, 2020 and 2019
Consolidated Statements of Cash Flows (unaudited) for the Nine Months Ended September 30, 2020 and 2019
Item 2.
Item 3.
Item 4.
PART II
Item 1.
Item 1A.
Item 2.
Item 3.
Item 4.
Item 5.
Item 6.

2


PART I. Financial Information

Item 1. Financial Statements
MR. COOPER GROUP INC.
CONSOLIDATED BALANCE SHEETS
(millions of dollars, except share data)
September 30, 2020December 31, 2019
 (unaudited) 
Assets
Cash and cash equivalents$946 $329 
Restricted cash229 283 
Mortgage servicing rights, $2,663 and $3,496 at fair value, respectively
2,669 3,502 
Advances and other receivables, net of reserves of $191 and $175, respectively
745 988 
Reverse mortgage interests, net of purchase discount of $125 and $114, respectively
5,460 6,279 
Mortgage loans held for sale at fair value3,817 4,077 
Property and equipment, net of accumulated depreciation of $84 and $55, respectively
114 112 
Deferred tax assets, net1,344 1,345 
Other assets6,431 1,390 
Total assets$21,755 $18,305 
Liabilities and Stockholders’ Equity
Unsecured senior notes, net $2,167 $2,366 
Advance and warehouse facilities, net 4,851 4,997 
Payables and other liabilities6,590 2,016 
MSR related liabilities - nonrecourse at fair value1,091 1,348 
Mortgage servicing liabilities44 61 
Other nonrecourse debt, net4,671 5,286 
Total liabilities19,414 16,074 
Commitments and contingencies (Note 15)
Preferred stock at $0.00001 - 10 million shares authorized, 1.0 million shares issued and outstanding, respectively; aggregate liquidation preference of ten dollars, respectively
  
Common stock at $0.01 par value - 300 million shares authorized, 92.0 million and 91.1 million shares issued, respectively
1 1 
Additional paid-in-capital1,120 1,109 
Retained earnings1,243 1,122 
Treasury shares at cost - 1.2 million and zero shares, respectively
(24) 
Total Mr. Cooper stockholders’ equity2,340 2,232 
Non-controlling interests1 (1)
Total stockholders’ equity2,341 2,231 
Total liabilities and stockholders’ equity$21,755 $18,305 

See accompanying notes to the consolidated financial statements (unaudited).
3


MR. COOPER GROUP INC.
UNAUDITED CONSOLIDATED STATEMENTS OF OPERATIONS
(millions of dollars, except for earnings per share data)
 Three Months Ended September 30,Nine Months Ended September 30,
2020201920202019
Revenues:
Service related, net$227 $258 $186 $479 
Net gain on mortgage loans held for sale645 360 1,594 788 
Total revenues872 618 1,780 1,267 
Expenses:
Salaries, wages and benefits275 250 769 703 
General and administrative156 228 525 710 
Total expenses431 478 1,294 1,413 
Interest income56 163 250 459 
Interest expense(165)(196)(534)(572)
Other income (expense), net(51) (50)16 
Total other expenses, net(160)(33)(334)(97)
Income (loss) before income tax expense (benefit)281 107 152 (243)
Less: Income tax expense (benefit)67 24 36 (52)
Net income (loss)214 83 116 (191)
Less: Net income (loss) attributable to non-controlling interests5 (1)2 (2)
Net income (loss) attributable to Mr. Cooper209 84 114 (189)
Less: Undistributed earnings attributable to participating stockholders2 1 1  
Net income (loss) attributable to common stockholders$207 $83 $113 $(189)
Net income (loss) per common share attributable to Mr. Cooper:
Basic$2.26 $0.91 $1.23 $(2.08)
Diluted$2.18 $0.90 $1.20 $(2.08)

See accompanying notes to the consolidated financial statements (unaudited).
4


MR. COOPER GROUP INC.
UNAUDITED CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY
(millions of dollars, except share data)
Preferred StockCommon Stock
Shares
(in thousands)
AmountShares
(in thousands)
AmountAdditional Paid-in CapitalRetained EarningsTreasury Share AmountTotal Mr. Cooper Stockholders’ EquityNon-controlling InterestsTotal Stockholders’
Equity
Balance at June 30, 20191,000 $ 91,061 $1 $1,100 $575 $ $1,676 $2 $1,678 
Shares issued under incentive compensation plan— — 26 — 1 — — 1 — 1 
Share-based compensation— — — — 5 — — 5 — 5 
Net income (loss)— — — — — 84 — 84 (1)83 
Balance at September 30, 20191,000 $ 91,087 $1 $1,106 $659 $ $1,766 $1 $1,767 
Balance at June 30, 20201,000 $ 92,022 $1 $1,114 $1,034 $ $2,149 $(4)$2,145 
Shares issued under incentive compensation plan  19        
Share-based compensation    6   6  6 
Repurchase of common stock  (1,187)   (24)(24) (24)
Net income     209  209 5 214 
Balance at September 30, 20201,000 $ 90,854 $1 $1,120 $1,243 $(24)$2,340 $1 $2,341 

See accompanying notes to the consolidated financial statements (unaudited).

5


MR. COOPER GROUP INC.
UNAUDITED CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY
(millions of dollars, except share data)
Preferred StockCommon Stock
Shares
(in thousands)
AmountShares
(in thousands)
AmountAdditional Paid-in CapitalRetained EarningsTreasury Share AmountTotal Mr. Cooper Stockholders’ EquityNon-controlling InterestsTotal Stockholders’
Equity
Balance at January 1, 20191,000 $ 90,821 $1 $1,093 $848 $ $1,942 $3 $1,945 
Shares issued / (surrendered) under incentive compensation plan— — 266 — (1)— — (1)— (1)
Share-based compensation— — — — 14 — — 14 — 14 
Net loss— — — — — (189)— (189)(2)(191)
Balance at September 30, 20191,000 $ 91,087 $1 $1,106 $659 $ $1,766 $1 $1,767 
Balance at January 1, 20201,000 $ 91,118 $1 $1,109 $1,122 $ $2,232 $(1)$2,231 
Shares issued / (surrendered) under incentive compensation plan  923  (5)  (5) (5)
Share-based compensation    16   16  16 
Cumulative effect adjustments pursuant to the adoption of ASU 2016-13     7  7  7 
Repurchase of common stock  (1,187)   (24)(24) (24)
Net income     114  114 2 116 
Balance at September 30, 20201,000 $ 90,854 $1 $1,120 $1,243 $(24)$2,340 $1 $2,341 

See accompanying notes to the consolidated financial statements (unaudited).
6


MR. COOPER GROUP INC.
UNAUDITED CONSOLIDATED STATEMENTS OF CASH FLOWS
(millions of dollars)
Nine Months Ended September 30,
 20202019
Operating Activities
Net income (loss)$116 $(191)
Adjustments to reconcile net income (loss) to net cash attributable to operating activities:
Deferred tax benefit(1)(53)
Net gain on mortgage loans held for sale(1,594)(788)
Interest income on reverse mortgage loans(158)(241)
Provision for servicing and non-servicing reserves18 53 
Fair value changes and amortization/accretion of mortgage servicing rights/liabilities1,258 998 
Fair value changes in excess spread financing(132)(190)
Fair value changes in mortgage servicing rights financing liability10 15 
Fair value changes in mortgage loans held for investment (3)
Amortization of premiums, net of discount accretion45 (38)
Depreciation and amortization for property and equipment and intangible assets56 67 
Share-based compensation16 14 
Loss on redemption of unsecured senior notes52  
Other loss17 5 
Repurchases of forward loan assets out of Ginnie Mae securitizations(3,173)(1,823)
Mortgage loans originated and purchased for sale, net of fees(38,709)(27,673)
Sales proceeds and loan payment proceeds for mortgage loans held for sale and held for investment43,040 27,916 
Changes in assets and liabilities:
Advances and other receivables228 264 
Reverse mortgage interests1,031 1,700 
Other assets(4,797)9 
Payables and other liabilities4,555 (69)
Net cash attributable to operating activities1,878 (28)
Investing Activities
Acquisitions, net of cash acquired (85)
Property and equipment additions, net of disposals(43)(38)
Purchase of forward mortgage servicing rights, net of liabilities incurred(39)(454)
Proceeds on sale of forward and reverse mortgage servicing rights44 298 
Net cash attributable to investing activities(38)(279)
Continued on following page. See accompanying notes to the consolidated financial statements (unaudited). 
7


MR. COOPER GROUP INC.
UNAUDITED CONSOLIDATED STATEMENTS OF CASH FLOWS
(Continued)
(millions of dollars)
Nine Months Ended September 30,
 20202019
Financing Activities
(Decrease) increase in advance and warehouse facilities(135)1,835 
Repayment of notes payable (294)
Proceeds from HECM securitizations516 398 
Proceeds from sale of HECM securitizations 20 
Repayment of HECM securitizations(508)(568)
Proceeds from issuance of participating interest financing in reverse mortgage interests139 220 
Repayment of participating interest financing in reverse mortgage interests(845)(1,472)
Proceeds from the issuance of excess spread financing24 469 
Settlements and repayments of excess spread financing(159)(182)
Issuance of unsecured senior debt1,450  
Repayment of nonrecourse debt – legacy assets (29)
Redemption and repayment of unsecured senior notes(1,686) 
Repayment of finance lease liability(1)(3)
Surrender of shares relating to stock vesting(5)(1)
Repurchase of common stock(24) 
Debt financing costs(43)(5)
Net cash attributable to financing activities(1,277)388 
Net increase in cash, cash equivalents, and restricted cash563 81 
Cash, cash equivalents, and restricted cash - beginning of period612 561 
Cash, cash equivalents, and restricted cash - end of period(1)
$1,175 $642 
Supplemental Disclosures of Cash Activities
Cash paid for interest expense$180 $166 
Net cash paid (refunded) for income taxes$40 $(4)

(1)The following table provides a reconciliation of cash, cash equivalents and restricted cash to amount reported within the consolidated balance sheets.
September 30, 2020September 30, 2019
Cash and cash equivalents$946 $371 
Restricted cash229 271 
Total cash, cash equivalents, and restricted cash$1,175 $642 

See accompanying notes to the consolidated financial statements (unaudited). 
8


MR COOPER GROUP INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
(millions of dollars, unless otherwise stated)

1. Nature of Business and Basis of Presentation

Nature of Business
Mr. Cooper Group Inc., collectively with its consolidated subsidiaries, (“Mr. Cooper,” the “Company,” “we,” “us” or “our”) provides servicing, origination and transaction-based services related to single family residences throughout the United States with operations under its primary brands: Mr. Cooper® and Xome®. Mr. Cooper is one of the largest home loan originators and servicers in the country focused on delivering a variety of servicing and lending products, services and technologies. Xome provides real estate services including real estate brokerage, title, closing, valuation and field services to lenders, investors and consumers. The Company’s corporate website is located at www.mrcoopergroup.com. The Company has provided a glossary of terms, which defines certain industry-specific and other terms that are used herein, in the MD&A section of this Form 10-Q.

On February 1, 2019, the Company completed the acquisition of all the limited liability units of Pacific Union Financial, LLC (“Pacific Union”), a California limited liability company. The final purchase price was $116, paid in cash, and the purchase price allocation was finalized as of December 31, 2019. Pacific Union was a privately held company that was engaged in the origination, as well as servicing of residential mortgage loans, and operated throughout the United States. The acquisition allows the Company to expand its servicing portfolio and increase its mortgage lending volume and capabilities.

Basis of Presentation
The consolidated interim financial statements of the Company have been prepared in accordance with U.S. generally accepted accounting principles (“GAAP”) for interim financial information and in accordance with the instructions to Form 10-Q and Article 10 of Regulation S-X as promulgated by the SEC. Accordingly, the financial statements do not include all of the information and footnotes required by GAAP for complete financial statements and should be read in conjunction with the audited consolidated financial statements and notes thereto included in the Company’s Annual Reports on Form 10-K for the year ended December 31, 2019.

The interim consolidated financial statements are unaudited; however, in the opinion of management, all adjustments, consisting of normal recurring items, considered necessary for a fair presentation of the results of the interim periods have been included. Dollar amounts are reported in millions, except per share data and other key metrics, unless otherwise noted.

The Company evaluated subsequent events through the date these interim consolidated financial statements were issued.

Basis of Consolidation
The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiaries, other entities in which the Company has a controlling financial interest and those variable interest entities (“VIE”) where the Company’s wholly-owned subsidiaries are the primary beneficiaries. Assets and liabilities of VIEs and their respective results of operations are consolidated from the date that the Company became the primary beneficiary through the date the Company ceases to be the primary beneficiary. The Company applies the equity method of accounting to investments where it is able to exercise significant influence, but not control, over the policies and procedures of the entity and owns less than 50% of the voting interests. Investments in certain companies over which the Company does not exert significant influence are accounted for as cost method investments. Intercompany balances and transactions on consolidated entities have been eliminated. Business combinations are included in the consolidated financial statements from their respective dates of acquisition.

Use of Estimates
The preparation of the consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results could differ from these estimates due to factors such as adverse changes in the economy, changes in interest rates, secondary market pricing for loans held for sale and derivatives, strength of underwriting and servicing practices, changes in prepayment assumptions, declines in home prices or discrete events adversely affecting specific borrowers, uncertainties in the economy from the COVID-19 pandemic, and such differences could be material.

9


Recent Accounting Guidance Adopted
Accounting Standards Update No. 2016-13, Financial Instruments - Credit Losses (Topic 326), (“ASU 2016-13”) requires expected credit losses for financial instruments held at the reporting date to be measured based on historical experience, current conditions and reasonable and supportable forecasts, which is referred to as the current expected credit loss (“CECL”) methodology. The update eliminates the initial recognition of credit losses on an incurred basis in current GAAP and instead reflects an entity’s current estimate of all expected credit losses over the life of the asset. Previously, when credit losses were measured under GAAP, an entity generally only considered past events and current conditions in measuring the incurred loss. The new standard will reflect management’s best estimate of all expected credit losses for the Company’s financial assets that are recognized at amortized cost. The guidance was effective for the Company as of January 1, 2020, with a cumulative-effect adjustment to retained earnings as of that date.

Based upon management’s scoping analysis, the Company determined that reverse mortgage interests, net of reserves, advances and other receivables, net of reserves, and certain financial instruments included in other assets are within the scope of ASU 2016-13. Certain financial instruments within these respective line items have been determined to have limited expected credit-related losses due to the contractual servicing agreements with agencies and loan product guarantees. For advances and other receivables, net, the Company determined that the majority of estimated losses are due to servicing operational errors and credit-related losses are not significant because of the contractual relationships with the agencies. For reverse mortgage interests the Company determined that the guarantee from Federal Housing Administration (“FHA”) on Home Equity Conversion Mortgage (“HECM”) loan products limits credit-related losses to an immaterial amount with substantially all losses related to servicing operational errors. For other assets, primarily trade receivables, the Company determined that these are short-term in nature (less than one year), and the estimated credit-related losses over the life of these receivables are similar to those resulting from the Company’s existing loss reserve process. For each of the aforementioned financial instruments carried at amortized cost, the Company enhanced its processes to consider and include the requirements of ASU 2016-13, as applicable, into the determination of credit-related losses.

On January 1, 2020, the Company adopted ASU 2016-13 using the modified retrospective method for the above-mentioned financial assets. Results for reporting periods after January 1, 2020 are presented under ASU 2016-13 while prior period amounts continue to be reported in accordance with previously applicable GAAP. The Company recorded transition adjustments aggregating to a net increase of $9, or $7 after tax, to retained earnings and a reduction of $7 to the advances and other receivables reserve and a $2 reduction in the other assets reserves, as of January 1, 2020 for the cumulative effect of adopting ASU 2016-13.

In connection with adoption of ASU 2016-13, the Company updated its accounting policies as follows:

For certain financial instruments included in advances and other receivables, net, and certain trade receivables and accrued revenues included in other assets that are within the scope of ASU 2016-13, the reserve methodology was revised to consider CECL losses. The revised CECL methodology considers expected lifetime loss rates calculated from historical data using a weighted average life to determine the current expected credit loss required. Due to the nature of the financial instrument, reverse mortgage interests, net of reserves, and advances and other receivables had limited impact from the adoption of CECL to the reserve methodology. See Note 3, Advances and Other Receivables, Net, and Note 4, Reverse Mortgage Interests, Net, for additional information.

Factors that influenced management’s current estimate of expected credit losses for certain advances and other receivables and certain trade receivables and accrued revenues included the following: historical collection and loss rates, passage of time, weighted average life of receivables, and various qualitative factors including current economic conditions.

Factors that influenced management’s current estimate of expected credit related losses for certain reverse mortgage interests included the following: historical collection and loss rates, foreclosure timelines, and values of underlying collateral.

Accounting Standards Update No. 2018-13, Fair Value Measurement (Topic 820) - Changes to the Disclosure Requirements for Fair Value Measurement, (“ASU 2018-13”) removes the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 fair value measurement methodologies, the policy for timing of transfers between levels and the valuation processes for Level 3 fair value measurements. It also adds a requirement to disclose changes in unrealized gains and losses for the period included in other comprehensive income for recurring Level 3 fair value measurements held at the end of the reporting period and the range and weighted average of significant unobservable inputs used to develop Level 3 measurements. For certain unobservable inputs, entities may disclose other quantitative information in lieu of the weighted average if the other quantitative information would be a more reasonable and rational method to reflect the distribution of unobservable inputs used to develop Level 3 fair value measurements. The Company adopted ASU 2018-13 on January 1, 2020. The guidance does not have a material impact to the disclosures currently provided by the Company.
10




2. Mortgage Servicing Rights and Related Liabilities

The following table sets forth the carrying value of the Company’s mortgage servicing rights (“MSRs”) and the related liabilities. In estimating the fair value of all servicing rights and related liabilities, the impact of the COVID-19 pandemic was considered in the determination of key assumptions.
MSRs and Related LiabilitiesSeptember 30, 2020December 31, 2019
Forward MSRs - fair value$2,663 $3,496 
Reverse MSRs - amortized cost6 6 
Mortgage servicing rights$2,669 $3,502 
Mortgage servicing liabilities - amortized cost$44 $61 
Excess spread financing - fair value$1,044 $1,311 
Mortgage servicing rights financing - fair value47 37 
MSR related liabilities - nonrecourse at fair value$1,091 $1,348 

Mortgage Servicing Rights
The following table sets forth the activities of forward MSRs:
Nine Months Ended September 30,
Forward MSRs - Fair Value20202019
Fair value - beginning of period$3,496 $3,665 
Additions:
Servicing retained from mortgage loans sold412 298 
Purchases of servicing rights(1)
30 732 
Dispositions:
Sales of servicing assets (317)
Changes in fair value:
Changes in valuation inputs or assumptions used in the valuation model(782)(716)
Other changes in fair value(493)(323)
Fair value - end of period$2,663 $3,339 

(1)Purchases of servicing rights during the nine months ended September 30, 2019 includes $271 of mortgage servicing rights that were acquired from Pacific Union. See Note 1, Nature of Business and Basis of Presentation, for further discussion. In addition, in 2019, the Company entered into a subservicing contract, resulting in additional $253 servicing rights in the second quarter of 2019.

During the nine months ended September 30, 2020 and 2019, the Company sold $94 and $25,639 in unpaid principal balance (“UPB”) of forward MSRs, of which none and $20,560 were retained by the Company as subservicer, respectively.

MSRs measured at fair value are primarily segregated between credit sensitive and interest sensitive pools (referred to herein as “acquisition pools”). Credit sensitive pools are primarily impacted by borrower performance under specified repayment terms, which most directly impacts involuntary prepayments and delinquency rates. Interest sensitive pools are primarily impacted by changes in forecasted interest rates, which in turn impact voluntary prepayment speeds.

MSRs measured at fair value are also segregated between investor type into agency and non-agency pools (referred to herein as “investor pools”) based upon contractual servicing agreements with investors at the respective balance sheet date to evaluate the MSR portfolio and fair value of the portfolio.

11


The following table provides a breakdown of UPB and fair value for the Company’s forward MSRs:
September 30, 2020December 31, 2019
Forward MSRs - UPB and fair value breakdownUPBFair ValueUPBFair Value
Acquisition Pools
Credit sensitive$122,422 $1,206 $147,895 $1,613 
Interest sensitive144,245 1,457 148,887 1,883 
Total$266,667 $2,663 $296,782 $3,496 
Investor Pools
Agency(1)
$220,139 $2,234 $240,688 $2,944 
Non-agency(2)
46,528 429 56,094 552 
Total$266,667 $2,663 $296,782 $3,496 

(1)Agency investors primarily consist of government sponsored enterprises (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae” or “FNMA”) and the Federal Home Loan Mortgage Corp (“Freddie Mac” or “FHLMC”), and the Government National Mortgage Association (“Ginnie Mae” or “GNMA”).
(2)Non-agency investors consist of investors in private-label securitizations.

The Company used the following key weighted-average inputs and assumptions in estimating the fair value of forward MSRs:
Forward MSRs - Key inputs and assumptionsSeptember 30, 2020December 31, 2019
Total MSR Portfolio
Discount rate9.5 %9.7 %
Prepayment speeds14.4 %13.1 %
Average life5.2 years5.8 years
Acquisition Pools
Credit Sensitive
Discount rate10.0 %10.4 %
Prepayment speeds12.6 %