Quarterly report pursuant to Section 13 or 15(d)

MORTGAGE LOAN SALES AND SERVICING RIGHTS (Tables)

v3.22.1
MORTGAGE LOAN SALES AND SERVICING RIGHTS (Tables)
3 Months Ended
Mar. 31, 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 periods ended March 31, 2022 and 2021:
Three Months Ended
March 31,
(dollar amounts in millions) 2022 2021
Residential mortgage loans sold with servicing retained $ 1,934  $ 2,256 
Pretax gains resulting from above loan sales (1) 59  93 
(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 periods ended March 31, 2022 and 2021:
Three Months Ended
March 31,
(dollar amounts in millions) 2022 2021
Fair value, beginning of period $ 351  $ 210 
New servicing assets created 29  33 
Change in fair value during the period due to:
Time decay (1) (5) (3)
Payoffs (2) (10) (17)
Changes in valuation inputs or assumptions (3) 51  51 
Fair value, end of period $ 416  $ 274 
Weighted-average life (years) 7.5 7.0
(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 March 31, 2022, and December 31, 2021 follows:
March 31, 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)
9.30  % $ (14) $ (28) 12.28  % $ (17) $ (32)
Spread over forward interest rate swap rates 504  bps (8) (17) 466  bps (7) (13)