Mortgage Servicing Rights

9 Months Ended

Sep. 30, 2023

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 three and nine months ended September 30, 2023 and 2022:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
Carrying value at beginning of period	$	166,433	$	158,678	$	168,365	$	115,512
Capitalization	2,073		4,453		6,134		19,523
Change in fair value:
Due to pay-offs/pay-downs	(3,306)		(3,670)		(9,095)		(13,165)
Due to change in valuation inputs or assumptions	7,510		11,966		7,306		49,557
Carrying value at end of period	$	172,710	$	171,427	$	172,710	$	171,427

The following table summarizes servicing income and expense, which are included in 'Mortgage banking income' and 'Other noninterest expense', respectively, for the three and nine months ended September 30, 2023 and 2022: 

	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
Servicing income:
Servicing income	$	7,363	$	8,104	$	22,717	$	23,499
Change in fair value of mortgage servicing rights	4,204		8,296		(1,789)		36,392
Change in fair value of derivative hedging instruments	(7,928)		(12,641)		(9,564)		(41,636)
Servicing income	3,639		3,759		11,364		18,255
Servicing expenses	1,953		1,923		6,167		7,848
Net servicing income	$	1,686	$	1,836	$	5,197	$	10,407

Data and key economic assumptions related to the Company’s mortgage servicing rights as of September 30, 2023 and December 31, 2022 are as follows: 

	September 30,			December 31,
	2023			2022
Unpaid principal balance of mortgage loans sold and serviced for others	$	10,875,274		$	11,086,582
Weighted-average prepayment speed (CPR)	5.47		%	5.55		%
Estimated impact on fair value of a 10% increase	$	(4,332)		$	(4,886)
Estimated impact on fair value of a 20% increase	$	(8,414)		$	(9,447)
Discount rate	9.56		%	9.10		%
Estimated impact on fair value of a 100 bp increase	$	(8,267)		$	(8,087)
Estimated impact on fair value of a 200 bp increase	$	(15,820)		$	(15,475)
Weighted-average coupon interest rate	3.44		%	3.31		%
Weighted-average servicing fee (basis points)	27			27
Weighted-average remaining maturity (in months)	334			332

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 9, "Derivatives" for additional information on these hedging instruments.

As of September 30, 2023 and December 31, 2022, mortgage escrow deposits totaled to $122,644 and $75,612, respectively.