Notes to consolidated financial statements The fair value of MSRs is sensitive to changes in interest rates, including their effect on prepayment speeds. MSRs typically decrease in value when interest rates decline because declining interest rates tend to increase prepayments and therefore reduce the expected life of the net servicing cash flows that comprise the MSR asset. Conversely, securities (e.g., mortgage-backed securities), principal- only certificates and certain derivatives (i.e., those for which the Firm receives fixed-rate interest payments) increase in value when interest rates decline. JPMorgan Chase uses combinations of derivatives and securities to manage the risk of changes in the fair value of MSRs. The intent is to offset any interest- rate related changes in the fair value of MSRs with changes in the fair value of the related risk management instruments. The following table summarizes MSR activity for the years ended December 31, 2018, 2017 and 2016. As of or for the year ended December 31, (in millions, except where otherwise noted) 2018 2017 2016 Fair value at beginning of period $ 6,030 $ 6,096 $ 6,608 MSR activity: Originations of MSRs 931 1,103 679 Purchase of MSRs 315 — — Disposition of MSRs (a) (636) (140) (109) Net additions 610 963 570 Changes due to collection/realization of expected cash flows (740) (797) (919) Changes in valuation due to inputs and assumptions: Changes due to market interest rates and other (b) 300 (202) (72) Changes in valuation due to other inputs and assumptions: Projected cash flows (e.g., cost to service) 15 (102) (35) Discount rates 24 (19) 7 Prepayment model changes and other (c) (109) 91 (63) Total changes in valuation due to other inputs and assumptions (70) (30) (91) Total changes in valuation due to inputs and assumptions 230 (232) (163) Fair value at December 31, $ 6,130 $ 6,030 $ 6,096 Change in unrealized gains/(losses) included in income related to MSRs held at December 31, $ 230 $ (232) $ (163) Contractual service fees, late fees and other ancillary fees included in income 1,778 1,886 2,124 Third-party mortgage loans serviced at December 31, (in billions) 521.0 555.0 593.3 Servicer advances, net of an allowance for uncollectible amounts, at December 31, (in billions) (d) 3.0 4.0 4.7 JPMorgan Chase & Co./2018 Form 10-K 254 (a) Includes excess MSRs transferred to agency-sponsored trusts in exchange for stripped mortgage backed securities (“SMBS”). In each transaction, a portion of the SMBS was acquired by third parties at the transaction date; the Firm acquired the remaining balance of those SMBS as trading securities. (b) Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments. (c) Represents changes in prepayments other than those attributable to changes in market interest rates. (d) Represents amounts the Firm pays as the servicer (e.g., scheduled principal and interest, taxes and insurance), which will generally be reimbursed within a short period of time after the advance from future cash flows from the trust or the underlying loans. The Firm’s credit risk associated with these servicer advances is minimal because reimbursement of the advances is typically senior to all cash payments to investors. In addition, the Firm maintains the right to stop payment to investors if the collateral is insufficient to cover the advance. However, certain of these servicer advances may not be recoverable if they were not made in accordance with applicable rules and agreements.