Mortgage Servicing Right Valuations Under Stress

Ronel Elul, Karen Pence, Ben Ranish and Michael Suher
Additional contact information
Ben Ranish: https://www.federalreserve.gov/econres/ben-ranish.htm
Michael Suher: https://www.federalreserve.gov/econres/michael-suher.htm

No 2026-06-04, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Mortgage servicing right (MSR) valuations decrease when mortgage default and prepayment rates increase, as is generally the case when the economy enters into recession. To estimate how large these MSR valuation declines could be for the banking sector in a severe economic downturn, we project the potential increase in default and prepayment rates under the supervisory stress test models and scenarios for mortgages serviced by large banks.

Date: 2026-06-04
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.federalreserve.gov/econres/notes/feds- ... stress-20260604.html Full text (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:103398

DOI: 10.17016/2380-7172.4093

Access Statistics for this paper

More papers in FEDS Notes from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().