| Activity for residential first mortgage MSRs |
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Three Months Ended |
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Six Months Ended |
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|
June 30 |
|
June 30 |
| (Dollars in millions) |
|
2011 |
|
2010 |
|
2011 |
|
2010 |
| |
|
Balance, beginning of period
|
|
$ |
15,282 |
|
|
$ |
18,842 |
|
|
$ |
14,900 |
|
|
$ |
19,465 |
|
|
Net additions
|
|
|
176 |
|
|
|
882 |
|
|
|
1,017 |
|
|
|
2,013 |
|
|
Impact of customer payments (1)
|
|
|
(639 |
) |
|
|
(981 |
) |
|
|
(1,345 |
) |
|
|
(2,037 |
) |
|
Impact of changes in interest rates and other market factors (2)
|
|
|
(1,094 |
) |
|
|
(3,817 |
) |
|
|
(385 |
) |
|
|
(4,000 |
) |
|
Model and other cash flow assumption changes: (3)
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Projected cash flows, primarily due to increases in cost to service
loans
|
|
|
(1,501 |
) |
|
|
(524 |
) |
|
|
(2,029 |
) |
|
|
(1,076 |
) |
|
Impact of changes in the Home Price Index
|
|
|
212 |
|
|
|
(34 |
) |
|
|
434 |
|
|
|
(34 |
) |
|
Impact of changes to the prepayment model
|
|
|
303 |
|
|
|
385 |
|
|
|
126 |
|
|
|
427 |
|
|
Other model changes
|
|
|
(367 |
) |
|
|
(8 |
) |
|
|
(346 |
) |
|
|
(13 |
) |
| |
|
Balance, June 30
|
|
$ |
12,372 |
|
|
$ |
14,745 |
|
|
$ |
12,372 |
|
|
$ |
14,745 |
|
| |
|
Mortgage loans serviced for investors (in billions)
|
|
$ |
1,578 |
|
|
$ |
1,706 |
|
|
$ |
1,578 |
|
|
$ |
1,706 |
|
| |
| (1) |
|
Represents the change in the market value of the MSR asset due to the impact of customer payments received during the period.
|
| |
| (2) |
|
These amounts reflect the changes in modeled MSR market value largely due to observed changes in interest rates, volatility,
spreads and the shape of the forward swap curve.
|
| |
| (3) |
|
These amounts reflect periodic adjustments to the valuation model, as well as changes in certain cash flow assumptions, such
as costs to service and ancillary income per loan.
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| Sensitivity of the weighted-average lives and fair value of MSRs |
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June 30, 2011 |
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Change in |
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Weighted-average Lives |
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Change in |
| (Dollars in millions) |
|
Fixed |
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Adjustable |
|
Fair Value |
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|
Prepayment rates
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Impact of 10% decrease
|
|
|
0.30 |
years |
|
|
0.17 |
years |
|
$ |
800 |
|
|
|
Impact of 20% decrease
|
|
|
0.65 |
|
|
|
0.37 |
|
|
|
1,696 |
|
|
|
|
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|
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Impact of 10% increase
|
|
|
(0.27 |
) |
|
|
(0.15 |
) |
|
|
(719 |
) |
|
|
Impact of 20% increase
|
|
|
(0.52 |
) |
|
|
(0.28 |
) |
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|
(1,370 |
) |
|
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|
OAS level
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Impact of 100 bps decrease
|
|
|
n/a |
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|
n/a |
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|
$ |
740 |
|
|
|
Impact of 200 bps decrease
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|
|
n/a |
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|
|
n/a |
|
|
|
1,551 |
|
|
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Impact of 100 bps increase
|
|
|
n/a |
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|
|
n/a |
|
|
|
(677 |
) |
|
|
Impact of 200 bps increase
|
|
|
n/a |
|
|
|
n/a |
|
|
|
(1,298 |
) |
|
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|