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Mortgage Servicing Rights | 9 Months Ended
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Sep. 30, 2023
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:
| September 30, 2023 |  | December 31, 2022
Federal National Mortgage Association | $ | 2,486,363 |  |  | $ | 2,517,434 |
Federal Home Loan Mortgage Corporation | 1,720,075 |  |  | 1,630,403 |
Government National Mortgage Association | 1,071,769 |  |  | 916,455 |
Federal Home Loan Bank | 106,410 |  |  | 111,699 |
Other | 1,278 |  |  | 1,413 |
Total | $ | 5,385,895 |  |  | $ | 5,177,404 |
The activity of MSRs carried at fair value is as follows:
| For the three months ended September 30, |  | For the nine months ended September 30, |  |  |  |
| 2023 |  | 2022 |  | 2023 |  | 2022 |  |  |  |
Balance, beginning of period | $ | 78,390 |  |  | $ | 66,047 |  |  | $ | 74,097 |  |  | $ | 47,392 |  |  |  |  |
Additions: |  |  |  |  |  |  |  |  |  |  |
Servicing resulting from transfers of financial assets | 2,690 |  |  | 3,489 |  |  | 7,634 |  |  | 11,681 |  |  |  |  |
Changes in fair value: |  |  |  |  |  |  |  |  |  |  |
Due to changes in valuation inputs or assumptions used in the valuation model | 1,762 |  |  | 6,270 |  |  | 4,440 |  |  | 21,142 |  |  |  |  |
Changes in fair value due to pay-offs, pay-downs, and runoff | (1,806) |  |  | (1,956) |  |  | (5,135) |  |  | (6,365) |  |  |  |  |
Balance, end of period | $ | 81,036 |  |  | $ | 73,850 |  |  | $ | 81,036 |  |  | $ | 73,850 |  |  |  |  |
The following represents the weighted-average key assumptions used to estimate the fair value of MSRs as of:
| September 30, 2023 |  | December 31, 2022 |  | September 30, 2022 |  |
Discount rate | 10.27 | % |  | 9.85 | % |  | 9.34 | % |  |
Total prepayment speeds | 7.30 | % |  | 7.40 | % |  | 7.43 | % |  |
Cost of servicing each loan | $90/per loan |  | $88/per loan |  | $87/per loan |  |
Total servicing and ancillary fees earned from the mortgage servicing portfolio is presented in the following table:
| For the three months ended September 30, |  | For the nine months ended September 30, |  |  |  |
| 2023 |  | 2022 |  | 2023 |  | 2022 |  |  |  |
Servicing fees | $ | 3,758 |  |  | $ | 4,111 |  |  | $ | 11,064 |  |  | $ | 10,807 |  |  |  |  |
Late and ancillary fees | 196 |  |  | 123 |  |  | 550 |  |  | 264 |  |  |  |  |
Total | $ | 3,954 |  |  | $ | 4,234 |  |  | $ | 11,614 |  |  | $ | 11,071 |  |  |  |  |

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- Definition The entire disclosure for a transferor's continuing involvement in financial assets that it has transferred in a securitization or asset-backed financing arrangement, the nature of any restrictions on assets reported by an entity in its statement of financial position that relate to a transferred financial asset (including the carrying amounts of such assets), how servicing assets and servicing liabilities are reported, and (for securitization or asset-backed financing arrangements accounted for as sales) when a transferor has continuing involvement with the transferred financial assets and transfers of financial assets accounted for as secured borrowings, how the transfer of financial assets affects an entity's financial position, financial performance, and cash flows. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 860 -SubTopic 30 -Name Accounting Standards Codification -Section 50 -Paragraph 1A -Subparagraph (b)(2) -Publisher FASB -URI 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