Report to the Congress on the Effect of Capital Rules on Mortgage Servicing Assets
Print- Preface
- Executive Summary
- Background
- Risks to Firms Holding Mortgage Servicing Assets
- Role of Mortgage Servicing Assets in Bank Failures
Appendix
This table displays selected summary statistics from BHCs' forecasts of the changes in their MSA valuations in a variety of stress scenarios. The forecasts are based on the characteristics of the BHCs' servicing portfolios as of the end of 2015. In this calculation, the first step is to calculate the percent change in each BHC's MSA valuation in each of the stress scenarios. The second step is to calculate the average, median, standard deviation, and interquartile range of these percent changes across BHCs.
| Stress scenario | Percent change (simple average) | Percent change (weighted by UPB of loans serviced) | Median | Standard deviation of percent change |
Interquartile range |
|---|---|---|---|---|---|
| +100 basis point parallel move in yield curve | 18.7 | 21.4 | 19.0 | 5.0 | 5.1 |
| +50 basis point parallel move in yield curve | 9.9 | 11.4 | 10.7 | 3.3 | 2.7 |
| +25 basis point parallel move in yield curve | 4.8 | 5.8 | 5.5 | 2.5 | 1.5 |
| -25 basis point parallel move in yield curve | -6.8 | -6.4 | -6.5 | 1.9 | 2.2 |
| -50 basis point parallel move in yield curve | -13.3 | -12.8 | -13.1 | 2.5 | 4.3 |
| -100 basis point parallel move in yield curve | -26.8 | -25.6 | -26.8 | 4.2 | 5.7 |
| +10% change in 3X10 Implied Swaption Volatility | -1.0 | -0.1 | -0.4 | 2.2 | 1.0 |
| -10% charge in 3X10 Implied Swaption Volatility | -0.2 | -0.1 | 0.2 | 2.0 | 0.9 |
| +100 basis point move in OAS/discount rate | -4.3 | -4.2 | -3.8 | 1.6 | 0.6 |
| -100 basis point move in OAS/discount rate | 1.8 | 4.1 | 3.9 | 7.2 | 0.7 |
| +100 basis point change in CDR | -6.8 | -12.5 | -5.5 | 6.3 | 5.3 |
| +500 basis point change in CDR | -30.4 | -48.7 | -27.8 | 23.7 | 28.9 |
| +1000 basis point change in CDR | -56.4 | -80.7 | -54.9 | 37.7 | 54.4 |
| +100 basis point change in CPR | -4.0 | -4.3 | -4.0 | 1.4 | 0.5 |
| +500 basis point change in CPR | -16.8 | -18.9 | -17.6 | 4.6 | 1.7 |
| +1000 basis point change in CPR | -28.8 | -32.1 | -30.0 | 7.6 | 3.1 |
| 3-month increase in foreclosure time frame | -1.0 | -1.5 | -0.9 | 1.1 | 1.7 |
| $1 per loan increase in normal servicing cost | -0.6 | -0.3 | -0.3 | 1.2 | 0.1 |
| $1 per loan increase in delinquency servicing cost | -0.4 | -0.1 | 0.0 | 1.3 | 0.1 |
| $1 per loan increase in default/foreclosure servicing cost | -0.4 | -0.1 | 0.0 | 1.3 | 0.0 |
| $1 per loan decline in ancillary income | -0.6 | -0.3 | -0.3 | 1.2 | 0.1 |
| +100 basis point change in national unemployment rate | -0.6 | -0.3 | -0.5 | 0.8 | 1.4 |
| +500 basis point change in national unemployment rate | -3.1 | -2.2 | -3.1 | 3.6 | 5.3 |
| -500 basis point change in HPI (National Core Logic Index) | 1.4 | 0.6 | 0.6 | 2.4 | 2.7 |
| -1000 basis point change in HPI (National Core Logic Index) | 2.9 | 0.9 | 1.0 | 5.2 | 7.1 |
| -2000 basis point change in HPI (National Core Logic Index) | 3.3 | -0.2 | 2.0 | 8.3 | 14.3 |
Note: OAS = option-adjusted spread.
Source: Staff calculations from FR Y-14 data.
Last update: August 12, 2016
