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Mortgage Servicing Rights (Tables)

3 Months Ended

Mar. 31, 2024

The following table summarizes changes in the MSR assets for the three months ended March 31, 2024 and 2023 (in thousands):


	For the three months ended March 31,
		2024		2023


Fair value, beginning of period		$	4,026,136	$	4,453,261
Capitalization of MSRs		535,951		525,396
MSR and excess servicing sales		(1,383,098)		(684,621)
Changes in fair value:
Due to changes in valuation inputs or assumptions		141,059		(222,915)
Due to collection/realization of cash flows/other		(128,245)		(96,251)

Fair value, end of period		$	3,191,803	$	3,974,870

The following is a summary of the components of the total change in fair value of MSRs as reported in the condensed consolidated statements of operations (in thousands):


	For the three months ended March 31,
		2024		2023
Changes in fair value:
Due to changes in valuation inputs and assumptions		$	141,059	$	(222,915)
Due to collection/realization of cash flows and other		(128,245)		(96,251)
Net reserves and transaction costs on sales of servicing rights		(28,377)		(18,121)

Changes in fair value of mortgage servicing rights		$	(15,563)	$	(337,287)

Summary of Loan Servicing Income

The following table summarizes the loan servicing income recognized during the three months ended March 31, 2024 and 2023, respectively (in thousands):


	For the three months ended March 31,
		2024		2023
Contractual servicing fees		$	179,592	$	214,756
Late, ancillary and other fees		5,110		3,801
Loan servicing income		$	184,702	$	218,557

Summary of Key Assumptions Used in Determining the Fair Value

The key unobservable inputs used in determining the fair value of the Company’s MSRs were as follows at March 31, 2024 and December 31, 2023, respectively:


	March 31, 2024							December 31, 2023
	Range					Weighted Average		Range					Weighted Average
Discount rates	10.0	%	—	16.0	%	11.1	%	10.0	%	—	16.0	%	11.1	%
Annual prepayment speeds	5.4	%	—	21.5	%	8.2	%	5.3	%	—	21.9	%	9.6	%
Cost of servicing	$74		—	$111		$85		$74		—	$111		$84

Schedule of Analysis of Change in Fair Value

The hypothetical effect of adverse changes in these key assumptions would result in a decrease in fair values as follows at March 31, 2024 and December 31, 2023, respectively, (in thousands):


	March 31, 2024		December 31, 2023
Discount rate:
+ 10% adverse change – effect on value	$	(116,251)	$	(140,727)
+ 20% adverse change – effect on value	(222,615)		(269,702)
Prepayment speeds:
+ 10% adverse change – effect on value	$	(86,217)	$	(124,651)
+ 20% adverse change – effect on value	(166,763)		(240,082)
Cost of servicing:
+ 10% adverse change – effect on value	$	(25,030)	$	(31,869)
+ 20% adverse change – effect on value	(50,060)		(63,738)