Fed note shows mortgage servicing rights can drop about 4% for each 1 percentage-point jump in refinancing speed

Four Federal Reserve economists said in a June 4 technical note that mortgage servicing rights (MSRs) are highly sensitive to changes in forecasts for how quickly borrowers refinance. They estimated MSR values fall about 4% for every 1 percentage-point rise in the expected refinancing rate, and could decline by as much as 13% in a severe recession scenario. Because MSRs do not have real-time market quotes, their book values rely on models of borrower behavior, which can directly affect quarterly earnings and dividend durability for mortgage REITs that hold large MSR portfolios, such as Rithm Capital.