Mortgage Servicing Rights

6 Months Ended

Jun. 30, 2017

Transfers And Servicing Of Financial Assets [Abstract]

Mortgage servicing rights

Note (6)—Mortgage servicing rights:

Changes in the Company’s mortgage servicing rights were as follows for the three and six months ended June 30, 2017 and 2016:

	Three Months Ended June 30,						Six Months Ended June 30,
		2017			2016			2017			2016
Carrying value prior to policy change	$	47,593		$	36,611		$	32,070		$	29,711
Fair value impact of change in accounting policy (See    Note 1)		—			—			1,011			—
Carrying value at beginning of period		47,593			36,611			33,081			29,711
Capitalization		14,646			10,653			29,659			19,783
Amortization		—			(1,968	)		—			(3,425	)
Sales		(11,935	)		—			(11,935	)		—
Impairment		—			(4,914	)		—			(5,687	)
Change in fair value:
Due to pay-offs/pay-downs		(532	)		—			(797	)		—
Due to change in valuation inputs or assumptions		(1,308	)		—			(1,544	)		—
Carrying value at June 30	$	48,464		$	40,382		$	48,464		$	40,382

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 and six months ended June 30, 2017 and 2016, respectively:

	Three Months Ended June 30,						Six Months Ended June 30,
		2017			2016			2017			2016
Servicing income:
Servicing income	$	2,747		$	2,655		$	5,495		$	4,651
Change in fair value of mortgage servicing rights		(1,840	)		—			(2,341	)		—
Gross servicing income		907			2,655			3,154			4,651
Servicing expenses:
Servicing asset amortization		—			1,968			—			3,425
Servicing asset impairment		—			4,914			—			5,687
Loss on sale of mortgage servicing rights		249			—			249			—
Other servicing expenses		1,204			538			2,138			946
Gross servicing expenses		1,453			7,420			2,387			10,058
Net servicing (loss) income	$	(546	)	$	(4,765	)	$	767		$	(5,407	)

Data and key economic assumptions related to the Company’s mortgage servicing rights as of June 30, 2017 and December 31, 2016 are as follows:

	June 30,			December 31,
		2017			2016
Unpaid principal balance	$	4,245,457		$	2,833,958
Weighted-average prepayment speed (CPR)		9.10	%		8.40	%
Estimated impact on fair value of a 10% increase		(1,942	)		(1,256	)
Estimated impact on fair value of a 20% increase		(3,756	)		(2,434	)
Discount rate		9.87	%		9.54	%
Estimated impact on fair value of a 100 bp increase		(1,907	)		(1,394	)
Estimated impact on fair value of a 200 bp increase		(3,669	)		(2,679	)
Weighted-average coupon interest rate		3.88	%		3.59	%
Weighted-average servicing fee (basis points)		28			27
Weighted-average remaining maturity (in months)		337			328

From time to time, the Company enters agreements to sell certain tranches of mortgage servicing rights. Upon consummation of the sale, the Company continues to subservice the underlying mortgage loans until they can be transferred to the purchaser. During the three and six months ended June 30, 2017, the Company sold $11,935 of mortgage servicing rights on $1,086,465 of serviced mortgage loans. As of June 30, 2017, the Company subserviced $1,065,761 related to this transaction. At December 31, 2016, the Company subserviced $3,332,903 relating to mortgage servicing rights sold during the last half of 2016.

Subsequent to June 30, 2017, the Company began hedging approximately 50% of the mortgage servicing rights portfolio with various derivative instruments to offset changes in the fair value of the related mortgage servicing rights.