Mortgage servicing rights (Tables)

6 Months Ended

Jun. 30, 2021

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 six months ended June 30, 2021 and 2020:

	Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
Carrying value at beginning of period	$	104,192	$	62,581	$	79,997	$	75,521
Capitalization	10,573		12,267		22,167		20,063
Change in fair value:
Due to pay-offs/pay-downs	(7,865)		(7,277)		(17,186)		(11,920)
Due to change in valuation inputs or assumptions	(5,285)		(7,063)		16,637		(23,156)
Carrying value at end of period	$	101,615	$	60,508	$	101,615	$	60,508

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 six months ended June 30, 2021 and 2020: 

	Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
Servicing income:
Servicing income	$	6,788	$	5,113	$	13,719	$	10,131
Change in fair value of mortgage servicing rights	(13,150)		(14,340)		(549)		(35,076)
Change in fair value of derivative hedging instruments	10,005		1,102		(7,859)		15,970
Servicing income	3,643		(8,125)		5,311		(8,975)
Servicing expenses	2,693		1,992		5,225		3,393
Net servicing income (loss)(1)	$	950	$	(10,117)	$	86	$	(12,368)

(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 June 30, 2021 and December 31, 2020 are as follows: 

	June 30,			December 31,
	2021			2020
Unpaid principal balance	$	10,527,708		$	9,787,657
Weighted-average prepayment speed (CPR)	11.07		%	14.07		%
Estimated impact on fair value of a 10% increase	$	(4,840)		$	(4,493)
Estimated impact on fair value of a 20% increase	$	(9,311)		$	(8,599)
Discount rate	11.05		%	11.49		%
Estimated impact on fair value of a 100 bp increase	$	(3,981)		$	(2,942)
Estimated impact on fair value of a 200 bp increase	$	(7,700)		$	(5,674)
Weighted-average coupon interest rate	3.35		%	3.58		%
Weighted-average servicing fee (basis points)	28			28
Weighted-average remaining maturity (in months)	329			328