Mortgage Servicing Rights

3 Months Ended

Mar. 31, 2022

Transfers and Servicing [Abstract]

Mortgage Servicing Rights

Mortgage Servicing Rights

We have investments in mortgage servicing rights (“MSRs”) that result from the sale of loans to the secondary market for which we retain the servicing. We account for these MSRs at their fair value. A primary risk associated with MSRs is the potential reduction in fair value as a result of higher than anticipated prepayments due to loan refinancing prompted, in part, by declining interest rates or government intervention. Conversely, these assets generally increase in value in a rising interest rate environment to the extent that prepayments are slower than anticipated. We utilize derivatives as economic hedges to offset changes in the fair value of the MSRs resulting from the actual or anticipated changes in prepayments stemming from changing interest rate environments.

The unpaid principal loan balance of our servicing portfolio is presented in the following table as of:

	March 31, 2022		December 31, 2021
Federal National Mortgage Association	$	2,431,525	$	2,352,981
Federal Home Loan Mortgage Corporation	1,560,064		1,512,858
Government National Mortgage Association	768,808		759,524
Federal Home Loan Bank	124,671		134,616
Other	1,808		1,853
Total	$	4,886,876	$	4,761,832

The activity of MSRs carried at fair value is as follows:

	For the three months ended March 31,
	2022		2021
Balance, beginning of period	$	47,392	$	29,144
Additions:
Servicing resulting from transfers of financial assets	4,524		7,105
Changes in fair value:
Due to changes in valuation inputs or assumptions used in the valuation model	10,823		5,921
Changes in fair value due to pay-offs, pay-downs, and runoff	(2,258)		(2,828)
Balance, end of period	$	60,481	$	39,342

The following represents the weighted-average key assumptions used to estimate the fair value of MSRs as of:

	March 31, 2022		December 31, 2021		March 31, 2021
Discount rate	9.24	%	9.22	%	9.19	%
Total prepayment speeds	8.51	%	11.52	%	12.56	%
Cost of servicing each loan	$86/per loan		$85/per loan		$86/per loan

Total servicing and ancillary fees earned from the mortgage servicing portfolio is presented in the following table:

	For the three months ended March 31,
	2022		2021
Servicing fees	$	3,219	$	2,806
Late and ancillary fees	89		100
Total	$	3,308	$	2,906