Discussion Paper
Mortgage Servicing Right Valuations Under Stress
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.
https://doi.org/10.17016/2380-7172.4093
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https://www.federalreserve.gov/econres/notes/feds-notes/mortgage-servicing-right-valuations-under-stress-20260604.html
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Bibliographic Information
Provider: Board of Governors of the Federal Reserve System (U.S.)
Part of Series: FEDS Notes
Publication Date: 2026-06-04
Number: 2026-06-04