Mortgage Servicing Rights and Mortgage Servicing Liabilities (Tables)

12 Months Ended

Dec. 31, 2021

Mortgage Servicing Rights and Mortgage Servicing Liabilities

Schedule of activity in MSRs carried at fair value

	Year ended December 31,
	2021		2020		2019
	(in thousands)
Balance at beginning of year	$	2,581,174	$	2,926,790	$	2,820,612
Additions:
Resulting from loan sales		1,861,949		1,138,045		884,876
Purchases		—		25,473		227,445
		1,861,949		1,163,518		1,112,321
Change in fair value due to:
Changes in valuation inputs used in valuation model (1)		(136,350)		(1,078,084)		(550,666)
Other changes in fair value (2)		(428,695)		(431,050)		(455,477)
Total change in fair value		(565,045)		(1,509,134)		(1,006,143)
Balance at end of year	$	3,878,078	$	2,581,174	$	2,926,790
UPB of underlying loans at end of year	$	278,324,780	$	238,410,809	$	225,787,104
			December 31,
			2021		2020
				(in thousands)
Fair value of mortgage servicing rights pledged to secure Assets sold under agreements to repurchase and Notes payable secured by mortgage servicing assets			$	3,856,791	$	2,577,964

(1) Principally reflects changes in pricing spread, annual total prepayment speed, per loan annual cost of servicing and UPB of underlying loan inputs.

(2) Represents changes due to realization of cash flows.

Schedule of activity in mortgage servicing liability carried at fair value

	Year ended December 31,
	2021		2020		2019
	(in thousands)
Balance at beginning of year	$	45,324	$	29,140	$	8,681
Mortgage servicing liabilities resulting from loan sales		106,631		23,325		37,988
Changes in fair value due to (1):
Changes in valuation inputs used in valuation model		(68,020)		31,757		8,377
Other changes in fair value (2)		(81,119)		(38,898)		(25,906)
Total change in fair value		(149,139)		(7,141)		(17,529)
Balance at end of year	$	2,816	$	45,324	$	29,140
UPB of underlying loans at end of year	$	60,593	$	2,857,492	$	2,758,454

(1) During the year ended December 31, 2021, significant changes were made to valuation inputs used to estimate the fair value of MSLs in recognition of the observed increase in the proportion of performing government-insured or guaranteed mortgage loans and reduced expected costs and losses from defaulted government-insured or guaranteed mortgage loans underlying the Company’s MSLs. As a result of this improved performance, a significant portion of the servicing relating to these loans became servicing assets and are classified as MSRs at December 31, 2021.

(2) Represents changes due to realization of cash flows.

Summary of servicing fees, late fees and ancillary and other fees relating to MSRs recorded on the consolidated statements of income

	Year ended December 31,
	2021		2020		2019
	(in thousands)
Contractual servicing fees	$	875,570	$	814,646	$	730,165
Other fees:
Late charges		29,848		36,339		43,350
Other		29,505		25,543		14,258
	$	934,923	$	876,528	$	787,773