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Mortgage Servicing Rights (Tables)
 9 Months Ended
Sep. 30, 2018
Transfers And Servicing Of Financial Assets [Abstract]  
Schedule of Changes in Mortgage Servicing Rights

Changes in the Company’s mortgage servicing rights were as follows for the three and nine months ended September 30, 2018 and 2017:

 

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

 

 

 

2018

 

 

 

2017

 

 

 

2018

 

 

 

2017

 

Carrying value prior to policy change

 

$

109,449

 

 

$

48,464

 

 

$

76,107

 

 

$

32,070

 

Fair value impact of change in accounting policy

 

 

—

 

 

 

—

 

 

 

—

 

 

 

1,011

 

Carrying value at beginning of period

 

 

109,449

 

 

 

48,464

 

 

 

76,107

 

 

 

33,081

 

Capitalization

 

 

11,741

 

 

 

15,965

 

 

 

41,555

 

 

 

45,624

 

Sales

 

 

(39,428

)

 

 

—

 

 

 

(39,428

)

 

 

(11,935

)

Change in fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Due to pay-offs/pay-downs

 

 

(3,339

)

 

 

(975

)

 

 

(8,606

)

 

 

(1,772

)

Due to change in valuation inputs or assumptions

 

 

1,467

 

 

 

(408

)

 

 

10,262

 

 

 

(1,952

)

Carrying value at end of period

 

$

79,890

 

 

$

63,046

 

 

$

79,890

 

 

$

63,046

 

 
Schedule of Servicing Income and Expense Included in Mortgage Banking Income

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 nine months ended September 30, 2018 and 2017, respectively:

 

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

 

 

 

2018

 

 

 

2017

 

 

 

2018

 

 

 

2017

 

Servicing income:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Servicing income

 

$

5,576

 

 

$

3,463

 

 

$

15,973

 

 

$

8,958

 

Change in fair value of mortgage servicing rights

 

 

(1,872

)

 

 

(1,383

)

 

 

1,656

 

 

 

(3,724

)

Change in fair value of mortgage servicing rights hedging

    instruments

 

 

(829

)

 

 

490

 

 

 

(7,848

)

 

 

490

 

Gross servicing income

 

 

2,875

 

 

 

2,570

 

 

 

9,781

 

 

 

5,724

 

Servicing expense:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

     Loss on sale of mortgage servicing rights

 

 

—

 

 

 

—

 

 

 

—

 

 

 

249

 

     Direct servicing expenses

 

 

2,114

 

 

 

1,043

 

 

 

5,987

 

 

 

3,181

 

Gross servicing expense

 

 

2,114

 

 

 

1,043

 

 

 

5,987

 

 

 

3,430

 

Net servicing income

 

$

761

 

 

$

1,527

 

 

$

3,794

 

 

$

2,294

 

 
Schedule of Data and Key Economic Assumptions Related to Mortgage Servicing Rights

Data and key economic assumptions related to the Company’s mortgage servicing rights as of September 30, 2018 and December 31, 2017 are as follows:

 

 

 

September 30,

 

 

December 31,

 

 

 

 

2018

 

 

 

2017

 

Unpaid principal balance

 

$

5,964,642

 

 

$

6,529,431

 

Weighted-average prepayment speed (CPR)

 

 

7.67

%

 

 

8.90

%

Estimated impact on fair value of a 10% increase

 

 

(2,401

)

 

 

(3,026

)

Estimated impact on fair value of a 20% increase

 

 

(4,640

)

 

 

(5,855

)

Discount rate

 

 

11.46

%

 

 

9.75

%

Estimated impact on fair value of a 100 bp increase

 

 

(3,231

)

 

 

(3,052

)

Estimated impact on fair value of a 200 bp increase

 

 

(6,227

)

 

 

(5,867

)

Weighted-average coupon interest rate

 

 

4.13

%

 

 

3.94

%

Weighted-average servicing fee (basis points)

 

 

30

 

 

 

28

 

Weighted-average remaining maturity (in months)

 

 

329

 

 

 

335