| MORTGAGE LOAN SALES AND SERVICING RIGHTS Residential Mortgage Portfolio
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, 2023 and 2022:
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Three months ended September 30, |
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Nine months ended September 30, |
| (dollar amounts in millions) |
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2023 |
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2022 |
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2023 |
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2022 |
| Residential mortgage loans sold with servicing retained |
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$ |
1,100 |
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$ |
1,310 |
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$ |
3,079 |
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$ |
4,557 |
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| Pretax gains resulting from above loan sales (1) |
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21 |
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11 |
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43 |
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110 |
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(1)Recorded in mortgage banking income.
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, 2023 and 2022:
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Three months ended September 30, |
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Nine months ended September 30, |
| (dollar amounts in millions) |
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2023 |
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2022 |
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2023 |
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2022 |
| Fair value, beginning of period |
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$ |
505 |
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$ |
463 |
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$ |
494 |
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$ |
351 |
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| New servicing assets created |
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17 |
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20 |
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48 |
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68 |
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| Change in fair value during the period due to: |
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| Time decay (1) |
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(6) |
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(6) |
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(18) |
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(16) |
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| Payoffs (2) |
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(7) |
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(8) |
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(18) |
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(29) |
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| Changes in valuation inputs or assumptions (3) |
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38 |
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17 |
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41 |
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112 |
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| Fair value, end of period |
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$ |
547 |
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$ |
486 |
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$ |
547 |
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$ |
486 |
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(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.
A summary of key assumptions and the sensitivity of the MSR value to changes in these assumptions at September 30, 2023, and December 31, 2022 follows:
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At September 30, 2023 |
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At December 31, 2022 |
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Decline in fair value due to |
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Decline in fair value due to |
| (dollar amounts in millions) |
Actual |
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10%
adverse
change |
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20%
adverse
change |
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Actual |
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10%
adverse
change |
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20%
adverse
change |
Constant prepayment rate (annualized)
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6.86 |
% |
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$ |
(13) |
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$ |
(26) |
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7.05 |
% |
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$ |
(13) |
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$ |
(25) |
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| Spread over forward interest rate swap rates |
557 |
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bps |
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(12) |
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(24) |
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578 |
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bps |
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(12) |
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(22) |
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