Quarterly report pursuant to Section 13 or 15(d)

LOAN SALES AND SECURITIZATIONS (Tables)

v3.10.0.1
LOAN SALES AND SECURITIZATIONS (Tables)
 9 Months Ended
Sep. 30, 2018
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, 2018 and 2017:
 
Three Months Ended
September 30,
 
Nine Months Ended
September 30,
(dollar amounts in millions)
2018
 
2017
 
2018
 
2017
Residential mortgage loans sold with servicing retained
$
1,047

 
$
1,179

 
$
2,787

 
$
2,824

Pretax gains resulting from above loan sales (1)
24

 
27

 
64

 
66

(1)
Recorded in mortgage banking income.
Summarizes activity relating to loans sold with servicing retained using the amortization method
The following table summarizes the changes in MSRs recorded using the amortization method for the three-month and nine-month periods ended September 30, 2018 and 2017:
 
Three Months Ended
September 30,
 
Nine Months Ended
September 30,
(dollar amounts in millions)
2018
 
2017
 
2018
 
2017
Carrying value, beginning of period
$
204

 
$
176

 
$
191

 
$
172

New servicing assets created
12

 
13

 
32

 
31

Impairment recovery (charge)
—

 
1

 
7

 
—

Amortization
(8
)
 
(7
)
 
(22
)
 
(20
)
Carrying value, end of period
$
208

 
$
183

 
$
208

 
$
183

Fair value, end of period
$
222

 
$
184

 
$
222

 
$
184

Weighted-average life (years)
7.1

 
7.0

 
7.1

 
7.0

Summary of key assumptions and the sensitivity of the servicing rights value to changes in the assumptions
For MSRs under the amortization method, a summary of key assumptions and the sensitivity of the MSR value to changes in these assumptions at September 30, 2018, and December 31, 2017 follows:
 
September 30, 2018
 
December 31, 2017
 
 
 
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)
8.10
%
 
$
(5
)
 
$
(10
)
 
8.30
%
 
$
(5
)
 
$
(10
)
Spread over forward interest rate swap rates
941
 bps
 
(7
)
 
(14
)
 
1,049
 bps
 
(7
)
 
(13
)