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Mortgage servicing rights | 9 Months Ended
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Sep. 30, 2020
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, 2020 and 2019:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
|  | 2020 |  |  | 2019 |  |  | 2020 |  |  | 2019 |  |  |
Carrying value at beginning of period |  | $ | 60,508 |  |  | $ | 66,380 |  |  | $ | 75,521 |  |  | $ | 88,829 |  |  |
Capitalization |  | 18,202 |  |  | 10,387 |  |  | 33,415 |  |  | 30,319 |  |  |
Mortgage servicing rights acquired from Franklin, at fair value |  | 4,850 |  |  | — |  |  | 4,850 |  |  | — |  |  |
Sales |  | — |  |  | — |  |  | — |  |  | (29,160) |  |  |
Change in fair value: |  |  |  |  |  |  |  |  |  |
Due to pay-offs/pay-downs |  | (7,756) |  |  | (5,050) |  |  | (19,676) |  |  | (10,150) |  |  |
Due to change in valuation inputs or assumptions |  | 581 |  |  | (5,561) |  |  | (22,575) |  |  | (13,682) |  |  |
Carrying value at end of period |  | $ | 71,535 |  |  | $ | 66,156 |  |  | $ | 71,535 |  |  | $ | 66,156 |  |  |
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, 2020 and 2019:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
|  | 2020 |  |  | 2019 |  |  | 2020 |  |  | 2019 |  |  |
Servicing income: |  |  |  |  |  |  |  |  |  |
Servicing income |  | $ | 5,536 |  |  | $ | 3,960 |  |  | $ | 15,667 |  |  | $ | 12,763 |  |  |
Change in fair value of mortgage servicing rights |  | (7,175) |  |  | (10,611) |  |  | (42,251) |  |  | (23,832) |  |  |
Change in fair value of derivative hedging instruments |  | (265) |  |  | 5,520 |  |  | 15,705 |  |  | 13,060 |  |  |
Servicing income |  | (1,904) |  |  | (1,131) |  |  | (10,879) |  |  | 1,991 |  |  |
Servicing expenses |  | 1,999 |  |  | 1,732 |  |  | 5,392 |  |  | 4,961 |  |  |
Net servicing (loss) income (1) |  | $ | (3,903) |  |  | $ | (2,863) |  |  | $ | (16,271) |  |  | $ | (2,970) |  |  |
(1) Excludes benefit of custodial service 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, 2020 and December 31, 2019 are as follows:
|  | September 30, |  | December 31,
|  | 2020 |  | 2019
Unpaid principal balance |  | $ | 9,101,007 |  |  | $ | 6,734,496 |
Weighted-average prepayment speed (CPR) |  | 15.28 | % |  | 10.05 | %
Estimated impact on fair value of a 10% increase |  | $ | (4,214) |  |  | $ | (2,839) |
Estimated impact on fair value of a 20% increase |  | $ | (8,053) |  |  | $ | (5,474) |
Discount rate |  | 11.27 | % |  | 9.68 | %
Estimated impact on fair value of a 100 bp increase |  | $ | (2,570) |  |  | $ | (3,086) |
Estimated impact on fair value of a 200 bp increase |  | $ | (4,960) |  |  | $ | (5,932) |
Weighted-average coupon interest rate |  | 3.75 | % |  | 4.20 | %
Weighted-average servicing fee (basis points) |  | 28 |  | 29
Weighted-average remaining maturity (in months) |  | 328 |  | 335
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 13, "Derivatives" for additional information on these hedging instruments. From time to time, the Company enters agreements to sell certain tranches of mortgage servicing rights. Upon consummation of the sale, the Company generally continues to subservice the underlying mortgage loans until they can be transferred to the purchaser. During the nine months ended September 30, 2019, the Company sold $29,160 of mortgage servicing rights on $2,034,374 of serviced mortgage loans. There was not a significant gain or loss recognized in connection with the sale. During the nine months ended September 30, 2020, there were no such transactions. As of September 30, 2020 and 2019, there were no loans being serviced that related to the bulk sale of mortgage servicing rights. As of September 30, 2020 and December 31, 2019, mortgage escrow deposits totaled to $194,276 and $92,610, respectively.

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- Definition The entire disclosure for a transferor's continuing involvement in financial assets that it has transferred in a securitization or asset-backed financing arrangement, the nature of any restrictions on assets reported by an entity in its statement of financial position that relate to a transferred financial asset (including the carrying amounts of such assets), how servicing assets and servicing liabilities are reported, and (for securitization or asset-backed financing arrangements accounted for as sales) when a transferor has continuing involvement with the transferred financial assets and transfers of financial assets accounted for as secured borrowings, how the transfer of financial assets affects an entity's financial position, financial performance, and cash flows. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 50 -Paragraph 1A -Subparagraph (c)(3) -URI 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