Mortgage Servicing Rights (Tables)

6 Months Ended

Jun. 30, 2025

Changes in Fair Value of Capitalized MSRs

Changes in fair value of capitalized MSRs are summarized as follows:


	Three Months Ended June 30				Six Months Ended June 30
(Dollars in Millions)	2025		2024		2025		2024
Balance at beginning of period	$	3,312	$	3,462	$	3,369	$	3,377
Rights purchased	—		1		—		1
Rights capitalized	64		64		123		119
Rights sold	—		(189)		1		(189)
Changes in fair value of MSRs
Due to fluctuations in market interest rates(a)	9		45		(40)		148
Due to revised assumptions or models(b)	6		33		10		41
Other changes in fair value(c)	(86)		(90)		(158)		(171)
Balance at end of period	$	3,305	$	3,326	$	3,305	$	3,326

(a)Includes changes in MSR value associated with changes in market interest rates, including estimated prepayment rates and anticipated earnings on escrow deposits.

(b)Includes changes in MSR value not caused by changes in market interest rates, such as changes in assumed cost to service, ancillary income and option adjusted spread, as well as the impact of any model changes.

(c)Primarily the change in MSR value from passage of time and cash flows realized (decay), but also includes the impact of changes to expected cash flows not associated with changes in market interest rates, such as the impact of delinquencies.

Sensitivity to Changes in Interest Rates of the Fair Value of MSR Portfolio and Related Derivative Instruments

The estimated sensitivity to changes in interest rates of the fair value of the MSR portfolio and the related derivative instruments was as follows:


	June 30, 2025												December 31, 2024
(Dollars in Millions)	Down 100 bps		Down 50 bps		Down 25 bps		Up 25 bps		Up 50 bps		Up 100 bps		Down 100 bps		Down 50 bps		Down 25 bps		Up 25 bps		Up 50 bps		Up 100 bps
MSR portfolio	$	(357)	$	(168)	$	(82)	$	76	$	146	$	267	$	(310)	$	(144)	$	(69)	$	63	$	120	$	217
Derivative instrument hedges	350		168		82		(74)		(140)		(262)		325		147		69		(61)		(118)		(220)
Net sensitivity	$	(7)	$	—	$	—	$	2	$	6	$	5	$	15	$	3	$	—	$	2	$	2	$	(3)

The following table provides a summary of the Company’s MSRs and related characteristics by portfolio:


	June 30, 2025												December 31, 2024
(Dollars in Millions)	HFA			Government			Conventional(d)			Total			HFA			Government			Conventional(d)			Total
Servicing portfolio(a)	$	54,999		$	24,371		$	136,490		$	215,860		$	52,807		$	25,139		$	138,428		$	216,374
Fair value	$	834		$	481		$	1,990		$	3,305		$	856		$	512		$	2,001		$	3,369
Value (bps)(b)	152			197			146			153			162			204			145			156
Weighted-average servicing fees (bps)	35			45			25			30			35			45			25			30
Multiple (value/servicing fees)	4.29			4.42			5.75			5.09			4.57			4.56			5.69			5.17
Weighted-average note rate	5.05		%	4.38		%	3.96		%	4.29		%	4.92		%	4.35		%	3.87		%	4.18		%
Weighted-average age (in years)	4.6			6.5			5.3			5.3			4.5			6.1			5.0			5.0
Weighted-average expected prepayment (constant prepayment rate)	10.0		%	10.4		%	8.2		%	8.9		%	9.9		%	10.2		%	7.8		%	8.6		%
Weighted-average expected life (in years)	7.5			6.7			7.3			7.3			7.5			6.8			7.4			7.4
Weighted-average option adjusted spread(c)	7.4		%	6.6		%	5.1		%	5.9		%	5.8		%	6.2		%	5.6		%	5.7		%

(a)Represents principal balance of mortgages having corresponding MSR asset.

(b)Calculated as fair value divided by the servicing portfolio.

(c)Option adjusted spread is the incremental spread added to the risk-free rate to reflect optionality and other risk inherent in the MSRs.

(d)Represents loans sold primarily to GSEs.