Mortgage Servicing Rights and Mortgage Servicing Liabilities (Tables)

6 Months Ended

Jun. 30, 2022

Mortgage Servicing Rights and Mortgage Servicing Liabilities

Schedule of activity in MSRs carried at fair value

	Quarter ended June 30,				Six months ended June 30,
	2022		2021		2022		2021
	(in thousands)
Balance at beginning of period	$	4,707,039	$	3,268,910	$	3,878,078	$	2,581,174
MSRs resulting from loan sales		398,253		483,362		1,014,555		953,895
Change in fair value due to:
Changes in valuation inputs used in valuation model (1)		233,697		(239,514)		557,625		73,376
Other changes in fair value (2)		(121,822)		(100,110)		(233,091)		(195,797)
Total change in fair value		111,875		(339,624)		324,534		(122,421)
Balance at end of period	$	5,217,167	$	3,412,648	$	5,217,167	$	3,412,648
UPB of underlying loans at end of period					$	297,269,682	$	252,475,400
					June 30,		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					$	5,163,544	$	3,856,791

(1) Principally reflects changes in annual total prepayment speed, pricing spread, 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 June 30,				Six months ended June 30,
	2022		2021		2022		2021
	(in thousands)
Balance at beginning of period	$	2,564	$	46,026	$	2,816	$	45,324
Mortgage servicing liabilities resulting from loan sales		—		57,421		—		64,383
Changes in fair value due to:
Changes in valuation inputs used in valuation model (1)		(129)		11,083		(267)		17,847
Other changes in fair value (2)		(98)		(14,439)		(212)		(27,463)
Total change in fair value		(227)		(3,356)		(479)		(9,616)
Balance at end of period	$	2,337	$	100,091	$	2,337	$	100,091
UPB of underlying loans at end of period					$	41,481	$	6,135,249

(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 June 30,				Six months ended June 30,
	2022		2021		2022		2021
	(in thousands)
Contractual servicing fees	$	259,338	$	208,275	$	504,147	$	419,028
Other fees:
Late charges		9,527		6,665		19,644		14,596
Other		3,541		7,768		8,535		15,622
	$	272,406	$	222,708	$	532,326	$	449,246