Mortgage Servicing Rights

6 Months Ended

Jun. 30, 2023

Transfers and Servicing [Abstract]

Mortgage Servicing Rights

Mortgage Servicing Rights

We have investments in mortgage servicing rights (“MSRs”) that result from the sale of loans to the secondary market for which we retain the servicing. We account for these MSRs at their fair value. A primary risk associated with MSRs is the potential reduction in fair value as a result of higher than anticipated prepayments due to loan refinancing prompted, in part, by declining interest rates or government intervention. Conversely, these assets generally increase in value in a rising interest rate environment to the extent that prepayments are slower than anticipated. We utilize derivatives as economic hedges to offset changes in the fair value of the MSRs resulting from the actual or anticipated changes in prepayments stemming from changing interest rate environments.

The unpaid principal loan balance of our servicing portfolio is presented in the following table as of:

	June 30, 2023		December 31, 2022
Federal National Mortgage Association	$	2,484,667	$	2,517,434
Federal Home Loan Mortgage Corporation	1,697,816		1,630,403
Government National Mortgage Association	1,027,438		916,455
Federal Home Loan Bank	106,752		111,699
Other	1,299		1,413
Total	$	5,317,972	$	5,177,404

The activity of MSRs carried at fair value is as follows:

	For the three months ended June 30,				For the six months ended  June 30,
	2023		2022		2023		2022
Balance, beginning of period	$	73,424	$	60,481	$	74,097	$	47,392
Additions:
Servicing resulting from transfers of financial assets	2,897		3,668		4,944		8,192
Changes in fair value:
Due to changes in valuation inputs or assumptions used in the valuation model	3,846		4,049		2,678		14,872
Changes in fair value due to pay-offs, pay-downs, and runoff	(1,777)		(2,151)		(3,329)		(4,409)
Balance, end of period	$	78,390	$	66,047	$	78,390	$	66,047

The following represents the weighted-average key assumptions used to estimate the fair value of MSRs as of:

	June 30, 2023		December 31, 2022		June 30, 2022
Discount rate	11.19	%	9.85	%	9.42	%
Total prepayment speeds	7.56	%	7.40	%	7.97	%
Cost of servicing each loan	$89/per loan		$88/per loan		$87/per loan

Total servicing and ancillary fees earned from the mortgage servicing portfolio is presented in the following table:

	For the three months ended June 30,				For the six months ended  June 30,
	2023		2022		2023		2022
Servicing fees	$	3,684	$	3,477	$	7,306	$	6,696
Late and ancillary fees	169		52		354		141
Total	$	3,853	$	3,529	$	7,660	$	6,837