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, 2021 and 2020: | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | Nine Months Ended September 30, | | | 2021 | | 2020 | | | 2021 | | 2020 | | | | | | | | | | | | | | | | Carrying value at beginning of period | | $ | 101,615 | | $ | 60,508 | | | $ | 79,997 | | $ | 75,521 | | Capitalization | | 9,215 | | 18,202 | | | 31,382 | | 33,415 | | | | | | | | | Mortgage servicing rights acquired from Franklin, at fair value | | — | | 4,850 | | | — | | 4,850 | | | | | | | | | | | | | | | | | | | | | | | Change in fair value: | | | | | | | Due to pay-offs/pay-downs | | (7,302) | | (7,756) | | | (24,488) | | (19,676) | | Due to change in valuation inputs or assumptions | | 7,063 | | 581 | | | 23,700 | | (22,575) | | Carrying value at end of period | | $ | 110,591 | | $ | 71,535 | | | $ | 110,591 | | $ | 71,535 | |
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, 2021 and 2020: | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | Nine Months Ended September 30, | | | 2021 | | 2020 | | | 2021 | | 2020 | | Servicing income: | | | | | | | Servicing income | | $ | 7,539 | | $ | 5,536 | | | $ | 21,258 | | $ | 15,667 | | Change in fair value of mortgage servicing rights | | (239) | | (7,175) | | | (788) | | (42,251) | | Change in fair value of derivative hedging instruments | | (2,128) | | (265) | | | (9,987) | | 15,705 | | Servicing income (loss) | | 5,172 | | (1,904) | | | 10,483 | | (10,879) | | Servicing expenses | | 2,156 | | 1,999 | | | 7,381 | | 5,392 | | Net servicing income (loss)(1) | | $ | 3,016 | | $ | (3,903) | | | $ | 3,102 | | $ | (16,271) | |
(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 September 30, 2021 and December 31, 2020 are as follows: | | | | | | | | | | | | | | | | | September 30, | | December 31, | | | 2021 | | 2020 | Unpaid principal balance | | $ | 10,633,805 | | | $ | 9,787,657 | | Weighted-average prepayment speed (CPR) | | 9.46 | % | | 14.07 | % | Estimated impact on fair value of a 10% increase | | $ | (4,737) | | | $ | (4,493) | | Estimated impact on fair value of a 20% increase | | $ | (9,107) | | | $ | (8,599) | | Discount rate | | 11.56 | % | | 11.49 | % | Estimated impact on fair value of a 100 bp increase | | $ | (4,454) | | | $ | (2,942) | | Estimated impact on fair value of a 200 bp increase | | $ | (8,571) | | | $ | (5,674) | | Weighted-average coupon interest rate | | 3.29 | % | | 3.58 | % | Weighted-average servicing fee (basis points) | | 27 | | 28 | Weighted-average remaining maturity (in months) | | 330 | | 328 |
The Company 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 10, "Derivatives" for additional information on these hedging instruments. As of September 30, 2021 and December 31, 2020, mortgage escrow deposits totaled to $190,631 and $147,957, respectively.
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