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Mortgage Servicing Rights (Tables)
 6 Months Ended
Jun. 30, 2016
Changes in Residential and Participation Mortgage Servicing Rights

The following tables set forth the changes in the balances of residential MSRs and participation MSRs for the periods indicated:

 

     For the Three Months Ended  
     June 30, 2016      June 30, 2015  
(in thousands)    Residential      Participation      Residential      Participation  

Carrying value, beginning of period

    $ 208,087       $ 5,181       $ 220,371       $ —     

Additions

      11,232         1,018         15,981         2,828   

Increase (decrease) in fair value:

            

Due to changes in interest rates

      (13,521 )       —           25,957         —     

Due to model assumption changes (1)

      (4,250 )       —           —           —     

Due to loan payoffs

      (10,371 )       —           (10,263 )       —     

Due to passage of time and other changes

      (2,846 )       —           (1,083 )       —     

Amortization

      —           (536 )       —           (153 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Carrying value, end of period

    $ 188,331       $ 5,663       $ 250,963       $ 2,675   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(1) Represents changes in fair value driven by changes to the inputs to the valuation model related to assumed prepayment speeds.

 

     For the Six Months Ended  
     June 30, 2016      June 30, 2015  
(in thousands)    Residential      Participation      Residential      Participation  

Carrying value, beginning of period

    $ 243,389       $ 4,345       $ 227,297       $ —     

Additions

      19,180         2,268         30,998         2,828   

Increase (decrease) in fair value:

            

Due to changes in interest rates

      (37,807 )       —           14,859         —     

Due to model assumption changes (1)

      (13,088 )          —           —     

Due to loan payoffs

      (19,121 )          (20,479 )       —     

Due to passage of time and other changes

      (4,222 )       —           (1,712 )       —     

Amortization

      —           (950 )       —           (153 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

Carrying value, end of period

    $ 188,331       $ 5,663       $ 250,963       $ 2,675   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

(1) Represents changes in fair value driven by changes to the inputs to the valuation model related to assumed prepayment speeds.
Key Assumptions Used in Calculation of Fair Value of Residential Mortgage Servicing Rights

The following table presents the key assumptions used in calculating the fair value of the Company’s residential MSRs at the dates indicated:

 

     June 30, 2016     December 31, 2015  

Expected weighted average life

      71 months        92 months   

Constant prepayment speed

      11.54 %      7.35 % 

Discount rate

      10.02        10.01   

Primary mortgage rate to refinance

      3.53        4.03   

Cost to service (per loan per year):

     

Current

    $ 64      $ 63   

30-59 days or less delinquent

      201        213   

60-89 days delinquent

      351        313   

90-119 days delinquent

      451        413   

120 days or more delinquent

      851        563