Mortgage servicing rights (Tables)

9 Months Ended

Sep. 30, 2020

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, 2020 and 2019:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Carrying value at beginning of period	$	60,508	$	66,380	$	75,521	$	88,829
Capitalization	18,202		10,387		33,415		30,319
Mortgage servicing rights acquired from Franklin, at fair value	4,850		—		4,850		—
Sales	—		—		—		(29,160)
Change in fair value:
Due to pay-offs/pay-downs	(7,756)		(5,050)		(19,676)		(10,150)
Due to change in valuation inputs or assumptions	581		(5,561)		(22,575)		(13,682)
Carrying value at end of period	$	71,535	$	66,156	$	71,535	$	66,156

Schedule of Servicing Income and Expense Included in Mortgage Banking Income

The following table summarizes servicing income and expense, which are included in 'Mortgage banking income' and 'Other noninterest expense,' respectively, within the Mortgage segment operating results for the three and nine months ended September 30, 2020 and 2019: 

	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Servicing income:
Servicing income	$	5,536	$	3,960	$	15,667	$	12,763
Change in fair value of mortgage servicing rights	(7,175)		(10,611)		(42,251)		(23,832)
Change in fair value of derivative hedging instruments	(265)		5,520		15,705		13,060
Servicing income	(1,904)		(1,131)		(10,879)		1,991
Servicing expenses	1,999		1,732		5,392		4,961
Net servicing (loss) income (1)	$	(3,903)	$	(2,863)	$	(16,271)	$	(2,970)

(1) Excludes benefit of custodial service related noninterest-bearing deposits held by the Bank.

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, 2020 and December 31, 2019 are as follows: 

	September 30,			December 31,
	2020			2019
Unpaid principal balance	$	9,101,007		$	6,734,496
Weighted-average prepayment speed (CPR)	15.28		%	10.05		%
Estimated impact on fair value of a 10% increase	$	(4,214)		$	(2,839)
Estimated impact on fair value of a 20% increase	$	(8,053)		$	(5,474)
Discount rate	11.27		%	9.68		%
Estimated impact on fair value of a 100 bp increase	$	(2,570)		$	(3,086)
Estimated impact on fair value of a 200 bp increase	$	(4,960)		$	(5,932)
Weighted-average coupon interest rate	3.75		%	4.20		%
Weighted-average servicing fee (basis points)	28			29
Weighted-average remaining maturity (in months)	328			335