Mortgage Servicing Rights

9 Months Ended

Sep. 30, 2016

Transfers And Servicing Of Financial Assets [Abstract]

Note (6)—Mortgage servicing rights:

Changes in the Company’s mortgage servicing rights were as follows for the three and nine months ended September 30, 2016 and 2015 (in thousands):

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
		2016			2015			2016			2015
Carrying value at beginning of period	$	40,382		$	16,361		$	29,711		$	6,032
Capitalization		11,107			7,284			30,890			18,392
Amortization		(2,796	)		(764	)		(6,221	)		(1,543	)
Impairment		(2,402	)		—			(8,089	)		—
Carrying value at September 30	$	46,291		$	22,881		$	46,291		$	22,881

Income and expense associated with mortgage servicing rights, which include servicing fees, late charges, guarantee fees and loan payoff interest, is recorded on a cash basis which approximates income as would be recorded on a U.S. GAAP basis. The following table summarizes servicing income and expense included in mortgage banking income and other noninterest expense within the Mortgage Segment operating results, respectively, for the three months and nine months ended September 30, 2016 and 2015 (in thousands), respectively:

	Three Months Ended					Nine Months Ended
	September 30,					September 30,
		2016			2015		2016			2015
Gross servicing income	$	3,660		$	1,050	$	8,311		$	2,102
Servicing expenses:
Servicing asset amortization		2,796			764		6,221			1,543
Servicing asset impairment		2,402			—		8,089			—
Other servicing expenses		625			174		1,571			374
Gross servicing expenses		5,823			938		15,881			1,917
Net servicing (loss) income	$	(2,163	)	$	112	$	(7,570	)	$	185

Data and key economic assumptions related to the Company’s mortgage servicing rights as of September 30, 2016 and December 31, 2015 are as follows ($ amounts in thousands):

	September 30, 2016			December 31, 2015
Unpaid principal balance	$	4,975,893		$	2,545,449
Weighted-average prepayment speed (CPR)		11.55	%		7.30	%
Estimated impact on fair value of a 10% increase		(2,144	)		(371	)
Estimated impact on fair value of a 20% increase		(4,127	)		(726	)
Discount rate		9.20	%		10.14	%
Estimated impact on fair value of a 100 bp increase		(1,752	)		(1,201	)
Estimated impact on fair value of a 200 bp increase		(3,381	)		(2,317	)
Weighted-average coupon interest rate		3.65	%		3.79	%
Weighted-average servicing fee (basis points)		26			25
Weighted-average remaining maturity (in months)		310			311

On September 29, 2016, the Company signed a letter of intent to sell approximately $2.4 billion in serviced mortgage loan balances. The transaction terms dictate an adjustable daily pricing mechanism based on changes in the referenced mortgage interest rate. In order to hedge the movement of the referenced mortgage interest rate, the Company entered into a series of interest rate futures and related derivatives to approximately offset the changes to the sales price with an aggregate notional value of $130,000 subsequent to September 30, 2016. The changes in the fair value of the derivatives will be included in the change in the fair value of the MSRs and the resulting gain or loss on the sale of the underlying MSRs.

Additionally, subsequent to September 30, 2016, the Company signed a letter of intent to sell an additional approximate $1.3 billion in serviced mortgage loan balances.

At September 30, 2016, the fair value carrying amount of the related mortgage servicing rights totaled approximately $32,600 million for the two transactions.

Both transactions are expected to close prior to the end of the fourth quarter of 2016. In connection with the above sales, the Company does not expect any further material gain or loss on the sale; however, the Company does expect to incur transaction-related expenses in the aggregate amount of approximately $2,600 million which will be recorded when incurred.

Based on current management plans, the Company plans to retain the remaining MSRs related primarily to the retail mortgage originations within its existing footprint for marketing purposes while selling originated MSRs through various transactions in future periods.

- 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.

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