Mortgage Servicing Rights and Mortgage Servicing Liabilities

9 Months Ended

Sep. 30, 2023

Mortgage Servicing Rights and Mortgage Servicing Liabilities

Mortgage Servicing Rights and Mortgage Servicing Liabilities

Note 9—Mortgage Servicing Rights and Mortgage Servicing Liabilities

Mortgage Servicing Rights at Fair Value

The activity in MSRs is as follows:

	Quarter ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
	(in thousands)
Balance at beginning of period	$	6,510,585	$	5,217,167	$	5,953,621	$	3,878,078
Additions (deductions):
MSRs resulting from loan sales		450,936		345,077		1,299,992		1,359,632
Purchases		—		4,140		—		4,140
Sales		(73)		—		(305)		—
Exchange of mortgage servicing spread for interest-only stripped securities		(98,066)		—		(98,066)		—
		352,797		349,217		1,201,621		1,363,772
Change in fair value due to:
Changes in inputs used in valuation model (1)		398,807		237,154		427,426		794,779
Other changes in fair value (2)		(177,833)		(141,866)		(498,312)		(374,957)
Total change in fair value		220,974		95,288		(70,886)		419,822
Balance at end of period	$	7,084,356	$	5,661,672	$	7,084,356	$	5,661,672
Unpaid principal balance of underlying loans at end of period					$	351,269,905	$	303,800,226
					September 30,		December 31,
					2023		2022
					(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					$	7,018,069	$	5,897,613

(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.

Mortgage Servicing Liabilities at Fair Value

The activity in MSLs is summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
	(in thousands)
Balance at beginning of period	$	1,940	$	2,337	$	2,096	$	2,816
Changes in fair value due to:
Changes in inputs used in valuation model		(64)		(38)		(86)		(305)
Other changes in fair value (1)		(58)		(85)		(192)		(297)
Total change in fair value		(122)		(123)		(278)		(602)
Balance at end of period	$	1,818	$	2,214	$	1,818	$	2,214
Unpaid principal balance of underlying loans at end of period					$	27,010	$	35,143

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

Contractual servicing fees relating to MSRs and MSLs are recorded in Net loan servicing fees—Loan servicing fees—From non-affiliates on the Company’s consolidated statements of income; other fees relating to MSRs and MSLs are recorded in Net loan servicing fees—Loan servicing fees—Other on the Company’s consolidated statements of income. Such amounts are summarized below:

	Quarter ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
	(in thousands)
Contractual servicing fees	$	328,049	$	270,336	$	925,865	$	774,483
Other fees:
Late charges		14,486		10,533		39,984		30,177
Other		2,708		2,952		7,664		11,487
	$	345,243	$	283,821	$	973,513	$	816,147