BB&T 2012 Annual Report Download - page 131
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109
December 31,
2012 2011
(Dollars in millions)
Fair value of residential MSRs $ 627 $ 563
Composition of residential loans serviced for others:
Fixed-rate mortgage loans 99 % 99 %
Adjustable-rate mortgage loans 1 1
Total 100 % 100 %
Weighted average life 4.4 yrs 3.7 yrs
Prepayment speed 17.3 % 20.8 %
Effect on fair value of a 10% increase $ (35) $ (35)
Effect on fair value of a 20% increase (67) (66)
Weighted average OAS 8.3 % 6.9 %
Effect on fair value of a 10% increase $ (17) $ (12)
Effect on fair value of a 20% increase (33) (23)
The sensitivity calculations above are hypothetical and should not be considered to be predictive of future performance. As
indicated, changes in fair value based on adverse changes in assumptions generally cannot be extrapolated because the
relationship of the change in assumption to the change in fair value may not be linear. Also, in the above table, the effect of
an adverse variation in a particular assumption on the fair value of the MSRs is calculated without changing any other
assumption; while in reality, changes in one factor may result in changes in another, which may magnify or counteract the
effect of the change.
Commercial Mortgage Banking Activities
CRE mortgage loans serviced for others are not included in loans and leases on the accompanying Consolidated Balance
Sheets. The following table summarizes commercial mortgage banking activities for the periods presented:
December 31,
2012 2011
(Dollars in millions)
Unpaid principal balance of CRE mortgages serviced for others $ 29,520 $ 25,367
CRE mortgages serviced for others covered by recourse provisions 4,970 4,520
Maximum recourse exposure from CRE mortgages
sold with recourse liability 1,368 1,226
Recorded reserves related to recourse exposure 13 15
Originated CRE mortgages during the period - year to date 4,934 4,803
NOTE 8. Federal Funds Purchased, Securities Sold Under Agreements to Repurchase and Short-Term Borrowed
Funds
Federal funds purchased, securities sold under agreements to repurchase and short-term borrowed funds are summarized as
follows:
December 31,
2012 2011
(Dollars in millions)
Federal funds purchased $ 4 $ 12
Securities sold under agreements to repurchase 514 619
Master notes 37 296
Other short-term borrowed funds 2,309 2,639
Total $ 2,864 $ 3,566
Federal funds purchased represent unsecured borrowings from other banks and generally mature daily. Securities sold under
agreements to repurchase are borrowings collateralized primarily by securities of the U.S. government or its agencies.
Master notes are unsecured, non-negotiable obligations of BB&T (variable rate commercial paper) that mature in 270 days or
less. Other short-term borrowed funds include unsecured bank notes that mature in less than one year, bank obligations with