Mortgage Servicing Rights and Mortgage Servicing Liabilities (Tables)

3 Months Ended

Mar. 31, 2022

Mortgage Servicing Rights and Mortgage Servicing Liabilities

Schedule of activity in MSRs carried at fair value

	Quarter ended March 31,
	2022		2021
	(in thousands)
Balance at beginning of quarter	$	3,878,078	$	2,581,174
MSRs resulting from loan sales		616,302		470,533
Change in fair value due to:
Changes in valuation inputs used in valuation model (1)		323,928		312,890
Other changes in fair value (2)		(111,269)		(95,687)
Total change in fair value		212,659		217,203
Balance at end of quarter	$	4,707,039	$	3,268,910
UPB of underlying loans at end of quarter	$	290,760,440	$	244,367,930
	March 31,		December 31,
	2022		2021
	(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	$	4,662,515	$	3,856,791

(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

	Quarter ended March 31,
	2022		2021
	(in thousands)
Balance at beginning of quarter	$	2,816	$	45,324
Mortgage servicing liabilities resulting from loan sales		—		6,962
Changes in fair value due to:
Changes in valuation inputs used in valuation model (1)		(138)		6,764
Other changes in fair value (2)		(114)		(13,024)
Total change in fair value		(252)		(6,260)
Balance at end of quarter	$	2,564	$	46,026
UPB of underlying loans at end of quarter	$	37,450	$	3,173,793

(1) Principally reflects changes in expected borrower performance and servicer losses given default. During the quarter ended September 30, 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 loans and reduced expected costs and losses from defaulted government insured or guaranteed loans underlying the Company’s MSLs.

(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

	Quarter ended March 31,
	2022		2021
	(in thousands)
Contractual servicing fees	$	244,809	$	210,753
Other fees:
Late charges		10,117		7,931
Other		4,994		7,854
	$	259,920	$	226,538