Quarterly report pursuant to Section 13 or 15(d)

MORTGAGE LOAN SALES AND SERVICING RIGHTS (Tables)

v3.22.2.2
MORTGAGE LOAN SALES AND SERVICING RIGHTS (Tables)
9 Months Ended
Sep. 30, 2022
Transfers and Servicing [Abstract]  
Summarizes activity relating to loans securitized sold with servicing retained
The following table summarizes activity relating to residential mortgage loans sold with servicing retained for the three-month and nine-month periods ended September 30, 2022 and 2021:
Three Months Ended
September 30,
Nine Months Ended
September 30,
(dollar amounts in millions) 2022 2021 2022 2021
Residential mortgage loans sold with servicing retained $ 1,310  $ 2,298  $ 4,557  $ 7,302 
Pretax gains resulting from above loan sales (1) 11  80  110  274 
(1)Recorded in mortgage banking income.
Summarizes activity relating to loans sold with servicing retained using the fair value method
The following table summarizes the changes in MSRs recorded using the fair value method for the three-month and nine-month periods ended September 30, 2022 and 2021:
Three Months Ended
September 30,
Nine Months Ended
September 30,
(dollar amounts in millions) 2022 2021 2022 2021
Fair value, beginning of period $ 463  $ 327  $ 351  $ 210 
Servicing assets obtained in acquisition —  `` —  —  59 
New servicing assets created 20  31  68  103 
Change in fair value during the period due to:
Time decay (1) (6) (4) (16) (11)
Payoffs (2) (8) (17) (29) (50)
Changes in valuation inputs or assumptions (3) 17  112  27 
Fair value, end of period $ 486  $ 338  $ 486  $ 338 
(1)Represents decrease in value due to passage of time, including the impact from both regularly scheduled principal payments and partial loan paydowns.
(2)Represents decrease in value associated with loans that paid off during the period.
(3)Represents change in value resulting primarily from market-driven changes in interest rates.
Summary of key assumptions and the sensitivity of the servicing rights value to changes in the assumptions
A summary of key assumptions and the sensitivity of the MSR value to changes in these assumptions at September 30, 2022, and December 31, 2021 follows:
September 30, 2022 December 31, 2021
Decline in fair value due to Decline in fair value due to
(dollar amounts in millions) Actual 10%
adverse
change
20%
adverse
change
Actual 10%
adverse
change
20%
adverse
change
Constant prepayment rate (annualized)
7.04  % $ (12) $ (24) 12.28  % $ (17) $ (32)
Spread over forward interest rate swap rates 579  bps (11) (22) 466  bps (7) (13)