Mortgage Servicing Rights and Mortgage Servicing Liabilities

9 Months Ended

Sep. 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 September 30,				Nine months ended September 30,
	2024		2023		2024		2023
	(in thousands)
Balance at beginning of period	$	7,923,078	$	6,510,585	$	7,099,348	$	5,953,621
Additions (deductions):
MSRs resulting from loan sales		578,982		450,936		1,532,709		1,299,992
Transfer of mortgage servicing rights relating to delinquent loans to Agency		—		(73)		—		(305)
Exchange of mortgage servicing spread for interest-only stripped mortgage-backed securities		(121,520)		(98,066)		(121,520)		(98,066)
		457,462		352,797		1,411,189		1,201,621
Change in fair value due to:
Changes in inputs used in valuation model (1)		(402,376)		398,807		(132,984)		427,426
Other changes in fair value (2)		(225,872)		(177,833)		(625,261)		(498,312)
Total change in fair value		(628,248)		220,974		(758,245)		(70,886)
Balance at end of period	$	7,752,292	$	7,084,356	$	7,752,292	$	7,084,356
Unpaid principal balance of underlying loans at end of period					$	410,031,301	$	351,269,905
					September 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					$	7,656,519	$	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 September 30,				Nine months ended September 30,
	2024		2023		2024		2023
	(in thousands)
Balance at beginning of period	$	1,708	$	1,940	$	1,805	$	2,096
Changes in fair value due to:
Changes in inputs used in valuation model (1)		46		(64)		34		(86)
Other changes in fair value (2)		(36)		(58)		(121)		(192)
Total change in fair value		10		(122)		(87)		(278)
Balance at end of period	$	1,718	$	1,818	$	1,718	$	1,818
Unpaid principal balance of underlying loans at end of period					$	20,179	$	27,010

(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 September 30,				Nine months ended September 30,
	2024		2023		2024		2023
	(in thousands)
Contractual servicing fees	$	393,457	$	328,049	$	1,126,523	$	925,865
Other fees:
Late charges		19,122		14,486		53,979		39,984
Other		3,804		2,708		9,593		7,664
	$	416,383	$	345,243	$	1,190,095	$	973,513