Mortgage Servicing Rights and Mortgage Servicing Liabilities

6 Months Ended

Jun. 30, 2024

Mortgage Servicing Rights and Mortgage Servicing Liabilities

Mortgage Servicing Rights and Mortgage Servicing Liabilities

Note 11—Mortgage Servicing Rights and Mortgage Servicing Liabilities

Mortgage Servicing Rights at Fair Value

The activity in MSRs is as follows:

	Quarter ended June 30,				Six months ended June 30,
	2024		2023		2024		2023
	(in thousands)
Balance at beginning of period	$	7,483,210	$	6,003,390	$	7,099,348	$	5,953,621
Additions (deductions):
MSRs resulting from loan sales		541,207		562,523		953,727		849,056
Transfer of mortgage servicing rights relating to delinquent loans to Agency		—		—		—		(232)
		541,207		562,523		953,727		848,824
Change in fair value due to:
Changes in inputs used in valuation model (1)		99,440		118,898		269,392		28,619
Other changes in fair value (2)		(200,779)		(174,226)		(399,389)		(320,479)
Total change in fair value		(101,339)		(55,328)		(129,997)		(291,860)
Balance at end of period	$	7,923,078	$	6,510,585	$	7,923,078	$	6,510,585
Unpaid principal balance of underlying loans at end of period					$	396,429,820	$	337,695,442
					June 30,		December 31,
					2024		2023
					(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					$	7,831,978	$	7,033,892

(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 June 30,				Six months ended June 30,
	2024		2023		2024		2023
	(in thousands)
Balance at beginning of period	$	1,732	$	2,011	$	1,805	$	2,096
Changes in fair value due to:
Changes in inputs used in valuation model (1)		15		(7)		(12)		(22)
Other changes in fair value (2)		(39)		(64)		(85)		(134)
Total change in fair value		(24)		(71)		(97)		(156)
Balance at end of period	$	1,708	$	1,940	$	1,708	$	1,940
Unpaid principal balance of underlying loans at end of period					$	21,197	$	36,628

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

(2) 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 June 30,				Six months ended June 30,
	2024		2023		2024		2023
	(in thousands)
Contractual servicing fees	$	375,040	$	307,119	$	733,066	$	597,816
Other fees:
Late charges		17,248		12,897		34,857		25,498
Other		3,149		2,775		5,789		4,956
	$	395,437	$	322,791	$	773,712	$	628,270