Mortgage Servicing Rights

12 Months Ended

Dec. 31, 2022

Transfers and Servicing of Financial Assets [Abstract]

Mortgage Servicing Rights

Mortgage servicing rights:

Changes in the Company’s mortgage servicing rights were as follows for the years ended December 31, 2022, 2021, and 2020:

	Years Ended December 31,
	2022		2021		2020
Carrying value at beginning of period	$	115,512	$	79,997	$	75,521
Capitalization	20,809		39,018		47,025
Mortgage servicing rights acquired from Franklin, at fair     value	—		—		5,111
Change in fair value:
Due to pay-offs/pay-downs	(16,012)		(30,583)		(27,834)
Due to change in valuation inputs or assumptions	48,056		27,080		(19,826)
Carrying value at end of period	$	168,365	$	115,512	$	79,997

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 years ended December 31, 2022, 2021, and 2020: 

	Years Ended December 31,
	2022		2021		2020
Servicing income:
Servicing income	$	30,763	$	28,890	$	22,128
Change in fair value of mortgage servicing rights	32,044		(3,503)		(47,660)
Change in fair value of derivative hedging instruments	(42,143)		(8,614)		13,286
Servicing income	20,664		16,773		(12,246)
Servicing expenses	10,259		9,862		7,890
Net servicing income (loss)(1)	$	10,405	$	6,911	$	(20,136)

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

Data and key economic assumptions related to the Company’s mortgage servicing rights as of December 31, 2022 and 2021 are as follows: 

	December 31,
	2022			2021
Unpaid principal balance	$	11,086,582		$	10,759,286
Weighted-average prepayment speed (CPR)	5.55		%	9.31		%
Estimated impact on fair value of a 10% increase	$	(4,886)		$	(4,905)
Estimated impact on fair value of a 20% increase	$	(9,447)		$	(9,429)
Discount rate	9.10		%	9.81		%
Estimated impact on fair value of a 100 bp increase	$	(8,087)		$	(4,785)
Estimated impact on fair value of a 200 bp increase	$	(15,475)		$	(9,198)
Weighted-average coupon interest rate	3.31		%	3.23		%
Weighted-average servicing fee (basis points)	27			27
Weighted-average remaining maturity (in months)	332			330

The Company economically hedges the mortgage servicing rights portfolio with various derivative instruments to offset changes in the fair value of the related mortgage servicing rights. See Note 17, "Derivatives" for additional information on these hedging instruments.

As of December 31, 2022 and 2021, mortgage escrow deposits totaled to $75,612 and $127,617, respectively.