Quarterly report pursuant to Section 13 or 15(d)

MORTGAGE LOAN SALES AND SERVICING RIGHTS (Tables)

v3.23.3
MORTGAGE LOAN SALES AND SERVICING RIGHTS (Tables)
9 Months Ended
Sep. 30, 2023
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, 2023 and 2022:
Three months ended September 30, Nine months ended September 30,
(dollar amounts in millions) 2023 2022 2023 2022
Residential mortgage loans sold with servicing retained $ 1,100  $ 1,310  $ 3,079  $ 4,557 
Pretax gains resulting from above loan sales (1) 21  11  43  110 
(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, 2023 and 2022:
Three months ended September 30, Nine months ended September 30,
(dollar amounts in millions) 2023 2022 2023 2022
Fair value, beginning of period $ 505  $ 463  $ 494  $ 351 
New servicing assets created 17  20  48  68 
Change in fair value during the period due to:
Time decay (1) (6) (6) (18) (16)
Payoffs (2) (7) (8) (18) (29)
Changes in valuation inputs or assumptions (3) 38  17  41  112 
Fair value, end of period $ 547  $ 486  $ 547  $ 486 
(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, 2023, and December 31, 2022 follows:
At September 30, 2023 At December 31, 2022
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)
6.86  % $ (13) $ (26) 7.05  % $ (13) $ (25)
Spread over forward interest rate swap rates 557  bps (12) (24) 578  bps (12) (22)