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Mortgage Servicing Rights
 3 Months Ended
Mar. 31, 2022
Transfers and Servicing [Abstract]  
Mortgage Servicing Rights Mortgage Servicing Rights
Mortgage servicing rights are recognized as assets on the Condensed Consolidated Balance Sheets when loans are sold, and the associated servicing rights are retained. The Company maintains one class of MSRs asset and has elected the fair value option. These MSRs are recorded at fair value, which is determined using an internal valuation model that calculates the present value of estimated future net servicing fee income. The model includes estimates of prepayment speeds, discount rate, cost to service, float earnings, contractual servicing fee income, and ancillary income and late fees, among others.

The following table summarizes changes to the MSR assets for the three months ended:

Three Months Ended March 31,
20222021
Fair value, beginning of period$5,385,613 $2,862,685 
MSRs originated796,616 1,173,164 
MSRs sales(253,997)(15,865)
Changes in fair value:
Due to changes in valuation model inputs or assumptions (1)767,271 583,307 
Due to collection/realization of cash flows(285,215)(298,529)
Total changes in fair value482,056 284,778 
Fair value, end of period$6,410,288 $4,304,762 

(1)    Reflects changes in assumptions including discount rates and prepayment speed assumptions, mostly due to changes in market interest rates. Does not include the change in fair value of derivatives that economically hedge MSRs identified for sale or the effects of contractual prepayment protection resulting from sales of MSRs.

The total UPB of mortgage loans serviced, excluding subserviced loans, at March 31, 2022 and December 31, 2021 was $492,368,318 and $485,087,214, respectively. The portfolio primarily consists of high-quality performing agency and government (FHA and VA) loans. As of March 31, 2022, delinquent loans (defined as 60-plus days past-due) were 1.31% of our total portfolio. Excluding clients in COVID-19 related forbearance plans, our delinquent loans (defined as 60-plus days past-due) were 0.84% as of March 31, 2022.
The following is a summary of the weighted average discount rate and prepayment speed assumptions used to determine the fair value of MSRs as well as the expected life of the loans in the servicing portfolio:
March 31, 2022December 31, 2021
Discount rate9.5 %9.5 %
Prepayment speeds7.1 %8.7 %
Life (in years)7.977.25

The key assumptions used to estimate the fair value of MSRs are prepayment speeds and the discount rate. Increases in prepayment speeds generally have an adverse effect on the value of MSRs as the underlying loans prepay faster. In a declining interest rate environment, the fair value of MSRs generally decreases as prepayments increase and therefore, the estimated life of the MSRs and related cash flows decrease. Decreases in prepayment speeds generally have a positive effect on the value of MSRs as the underlying loans prepay less frequently. In a rising interest rate environment, the fair value of MSRs generally increases as prepayments decrease and therefore, the estimated life of the MSRs and related cash flows increase. Increases in the discount rate result in a lower MSRs value and decreases in the discount rate result in a higher MSRs value. MSRs uncertainties are hypothetical and do not always have a direct correlation with each assumption. Changes in one assumption may result in changes to another assumption, which might magnify or counteract the uncertainties.

The following table stresses the discount rate and prepayment speeds at two different data points:
Discount RatePrepayment Speeds
100 BPS Adverse Change200 BPS Adverse Change10% Adverse Change20% Adverse Change
March 31, 2022
Mortgage servicing rights
$(281,487)$(529,914)$(218,374)$(416,199)
December 31, 2021
Mortgage servicing rights$(232,658)$(435,181)$(198,153)$(372,018)