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Board of Governors of the Federal Reserve System
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Report to the Congress on the Effect of Capital Rules on Mortgage
Servicing Assets - Accessible Version

Figure 1. Average percent change in BHC forecasts of their MSA valuations in interest-rate stress scenarios
Sensitivity Shock Percent Average
+100 basis point parallel move in yield curve 18.67313249
+50 basis point parallel move in yield curve 9.916880371
+25 basis point parallel move in yield curve 4.838840401
-25 basis point parallel move in yield curve -6.83079116
-50 basis point parallel move in yield curve -13.2630192
-100 basis point parallel move in yield curve -26.77953708

Sources: FR Y14 data

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Figure 2. Average percent change in BHC forecasts of their MSA valuations in CPR stress scenarios
Sensitivity Shock Percent Average
+100 basis point change in CPR -4.028836928
+500 basis point change in CPR -16.84216605
+1000 basis point change in CPR -28.82348895

Sources: FR Y14 data

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Figure 3. Average percent change in BHC forecasts of their MSA valuations in CDR stress scenarios
Sensitivity Shock Percent Average
+100 basis point change in CDR -6.760310212
+500 basis point change in CDR -30.43096748
+1000 basis point change in CDR -56.38401227

Sources: FR Y14 data

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Figure 4. MSA valuation changes from different shocks
Median First Quartile Third Quartile Interquartile Range
-26.8 -29.0 -23.3 5.7
-27.8 -42.7 -13.8 28.9
-30.0 -31.0 -27.9 3.1
2.0 -3.3 11.0 14.3

Sources: FR Y14 data

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Figure 5. Bank fair value MSA balances, 1998-2015
Time Industry MSA ($bln)
1998:Q2 12.309346
1998:Q3 12.073544
1998:Q4 14.641382
1999:Q1 16.826273
1995:Q2 19.74194
1999:Q3 20.932219
1999:Q4 28.073472
2000:Q1 29.594468
2000:Q2 30.489562
2000:Q3 30.404625
2000:Q4 26.792179
2001:Q1 21.446143
2001:Q2 21.34895
2001:Q3 18.405619
2001:Q4 23.036673
2002:Q1 25.453277
2002:Q2 21.995634
2002:Q3 16.108997
2002:Q4 15.645124
2003:Q1 16.755483
2003:Q2 15.189676
2003:Q3 21.485862
2003:Q4 25.041996
2004:Q1 22.426213
2004:Q2 32.613194
2004:Q3 31.153485
2004:Q4 31.405688
2005:Q1 34.700803
2005:Q2 31.295849
2005:Q3 37.516302
2005:Q4 41.665358
2006:Q1 45.569276
2006:Q2 49.989246
2006:Q3 50.250684
2006:Q4 47.228447
2007:Q1 51.572476
2007:Q2 57.503421
2007:Q3 56.515592
2007:Q4 52.558632
2008:Q1 48.870965
2008:Q2 60.287117
2008:Q3 77.623271
2008:Q4 51.667709
2009:Q1 51.585842
2009:Q2 69.201041
2009:Q3 65.633815
2009:Q4 73.036487
2010:Q1 71.938982
2010:Q2 57.979641
2010:Q3 51.517819
2010:Q4 63.597402
2011:Q1 65.60946
2011:Q2 59.930191
2011:Q3 44.086807
2011:Q4 42.594872
2012:Q1 45.256778
2012:Q2 39.462485
2012:Q3 36.833462
2012:Q4 38.721659
2013:Q1 41.007048
2013:Q2 45.734861
2013:Q3 46.126041
2013:Q4 48.158064
2014:Q1 45.691126
2013:Q2 43.184446
2014:Q3 43.13358
2014:Q4 39.490548
2015:Q1 36.8396
2015:Q2 40.544199
2015:Q3 37.466781
2015:Q4 38.600678

Note: Shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research (NBER): March 2001-November 2001, and December 2007-June 2009.

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Figure 6. Multiples and mortgage interest rates, 2007-15
Date Multiple for Outstanding Mortgages 30 Year Fixed Rate Mortgage Rate (%) Multiple for Newly Originated Mortgages
2007-01-01 4.87 6.21 6.00
2007-04-01 5.38 6.37 5.80
2007-07-01 5.31 6.54 5.68
2007-10-01 4.55 6.21 5.72
2008-01-01 4.35 5.86 5.40
2008-04-01 4.71 6.11 5.36
2008-07-01 5.19 6.31 5.80
2008-10-01 3.48 5.84 4.80
2009-01-01 3.22 5.04 4.32
2009-04-01 3.49 5.04 4.00
2009-07-01 3.77 5.14 3.52
2009-10-01 4.01 4.92 3.52
2010-01-01 4.02 5.00 4.00
2010-04-01 3.18 4.89 4.00
2010-07-01 2.79 4.44 3.60
2010-10-01 3.76 4.44 3.65
2011-01-01 3.94 4.85 3.64
2011-04-01 3.66 4.65 3.92
2011-07-01 2.58 4.29 3.60
2011-10-01 2.54 4.00 3.49
2012-01-01 2.87 3.92 3.42
2012-04-01 2.53 3.79 3.37
2012-07-01 2.54 3.55 3.25
2012-10-01 2.75 3.36 3.00
2013-01-01 3.04 3.51 3.05
2013-04-01 3.76 3.70 3.30
2013-07-01 4.08 4.44 4.05
2013-10-01 4.36 4.31 4.20
2014-01-01 4.22 4.36 4.32
2014-04-01 4.09 4.21 4.44
2014-07-01 4.09 4.14 4.50
2014-10-01 3.74 3.95 4.50
2015-01-01 3.5 3.72 4.40
2015-04-01 4.06 3.84 4.25
2015-07-01 3.79 3.94 4.16
2015-10-01 3.93 3.90 4.16

Note: The shaded bar indicates a period of business recession as defined by the National Bureau of Economic Research (NBER): December 2007-June 2009.

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Figure 7. Share of mortgages originated through lender retail channels, 2003-15
Percent
Year Retail
2003 37.60
2004 33.80
2005 31.20
2006 27.10
2007 33.50
2008 44.10
2009 45.50
2010 53.30
2011 56.50
2012 60.30
2013 60.90
2014 58.40
2015 56.70

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Figure 8. Changes in house prices and mortgage debt, 1998-2015
Date CoreLogic HPI Mortgage debt outstanding
3/31/1998 100 100
6/30/1998 101.7193 102.2644
9/30/1998 103.4062 104.6264
12/31/1998 105.56 107.5852
3/31/1999 107.216 109.9971
6/30/1999 109.0452 112.6636
9/30/1999 111.2553 116.5268
12/31/1999 113.5854 119.2327
3/31/2000 116.4536 121.2359
6/30/2000 119.7184 124.3531
9/30/2000 122.5848 127.2488
12/31/2000 125.5061 129.9474
3/31/2001 128.7428 131.5565
6/30/2001 131.33 135.5218
9/30/2001 133.7355 139.5014
12/31/2001 136.4443 143.0636
3/31/2002 138.9789 146.3305
6/30/2002 142.3244 150.7067
9/30/2002 146.2431 155.4166
12/31/2002 149.4657 160.5193
3/31/2003 152.6499 164.4234
6/30/2003 155.8436 169.9988
9/30/2003 159.9794 175.2737
12/31/2003 165.2571 179.805
3/31/2004 171.4697 184.8767
6/30/2004 178.5069 191.6635
9/30/2004 184.9988 197.9262
12/31/2004 191.3465 204.6299
3/31/2005 199.8099 210.0513
6/30/2005 208.6534 217.4147
9/30/2005 215.7882 224.9649
12/31/2005 221.4242 232.2055
3/31/2006 225.8692 239.9917
6/30/2006 226.4571 247.4756
9/30/2006 224.5172 253.9132
12/31/2006 224.3682 259.2987
3/31/2007 222.624 264.8862
6/30/2007 217.9113 270.7737
9/30/2007 211.9824 276.5336
12/31/2007 205.8119 280.3663
3/31/2008 198.8007 283.1641
6/30/2008 190.4055 284.0785
9/30/2008 182.9567 283.6982
12/31/2008 174.493 282.4437
3/31/2009 166.3148 282.2417
6/30/2009 163.8878 281.0321
9/30/2009 164.9639 279.0471
12/31/2009 165.9993 277.1542
3/31/2010 166.6696 274.0224
6/30/2010 166.1383 271.7785
9/30/2010 163.2985 269.5981
12/31/2010 161.1418 265.5174
3/31/2011 159.4922 263.806
6/30/2011 157.9137 261.967
9/30/2011 157.7393 260.3936
12/31/2011 157.5973 259.1619
3/31/2012 159.0461 257.6606
6/30/2012 162.3701 256.2401
9/30/2012 165.8458 255.2634
12/31/2012 169.6312 254.7556
3/31/2013 174.3567 253.8317
6/30/2013 179.9913 253.7602
9/30/2013 185.0121 254.3795
12/31/2013 189.3202 254.6009
3/31/2014 193.0118 254.5554
6/30/2014 194.8602 255.2757
9/30/2014 196.716 256.4292
12/31/2014 199.4871 258.0736
3/31/2015 202.2389 258.442
6/30/2015 204.7963 260.7048
9/30/2015 206.8452 262.9348
12/31/2015 209.9009 264.8502

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Figure 9. Total securitization rate for home mortgages, 2001-15
Year Securitization rate
2001 0.607091
2002 0.629936
2003 0.674867
2004 0.6256
2005 0.741472
2006 0.758178
2007 0.85115
2008 0.851662
2009 0.88774
2010 0.840354
2011 0.780995
2012 0.775255
2013 0.831799
2014 0.677976
2015 0.69721

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Figure 10a. Dollar volume serviced by banking institutions in top 30 servicers, 2002-15
Year Bank Volume
2002 3497.246
2003 3948.164
2004 4765.028
2005 5440.458
2006 6295.976
2007 7545.467
2008 8192.065
2009 8008.149
2010 7640.339
2011 7269.921
2012 6428.233
2013 5346.531
2014 4938.708
2015 4518.222

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Figure 10b. Market share of banking institutions and nonbanks in the top 30 servicers, 2002-15
Year Nonbank Flag Market Share
2002 Bank 84.5582113
2002 Nonbank 15.4417887
2003 Bank 84.22191217
2003 Nonbank 15.77808783
2004 Bank 86.67561598
2004 Nonbank 13.32438402
2005 Bank 85.14863603
2005 Nonbank 14.85136397
2006 Bank 84.36527086
2006 Nonbank 15.63472914
2007 Bank 91.66197351
2007 Nonbank 8.338026492
2008 Bank 95.64276625
2008 Nonbank 4.35723375
2009 Bank 94.87962828
2009 Nonbank 5.120371716
2010 Bank 94.33570737
2010 Nonbank 5.664292626
2011 Bank 93.42690629
2011 Nonbank 6.573093705
2012 Bank 88.79279297
2012 Nonbank 11.20720703
2013 Bank 76.1984627
2013 Nonbank 23.8015373
2014 Bank 72.19777025
2014 Nonbank 27.80222975
2015 Bank 67.53239761
2015 Nonbank 32.46760239

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Figure 11. Total bank MSAs/total bank capital*100%, 1998-2015
Time MSA Share in Total Assets: Industry Totals (%) MSA Share in Capital: Industry Totals (%)
1998:Q2 0.237427594 3.223901696
1998:Q3 0.229059722 3.097366317
1998:Q4 0.269014282 3.699907613
1999:Q1 0.310899905 4.150712537
1995:Q2 0.360992837 4.81568951
1999:Q3 0.379677572 5.04545277
1999:Q4 0.489499793 6.606487915
2000:Q1 0.506161711 6.773774769
2000:Q2 0.509461808 6.836710714
2000:Q3 0.501026877 6.658635953
2000:Q4 0.42897963 5.859575631
2001:Q1 0.339481905 4.594251181
2001:Q2 0.335614742 4.479793857
2001:Q3 0.280723651 3.794833496
2001:Q4 0.351581805 4.633338145
2002:Q1 0.39233327 5.045387787
2002:Q2 0.326694186 4.296301769
2002:Q3 0.232334814 3.077728045
2002:Q4 0.221074869 2.95453545
2003:Q1 0.232838773 3.099267801
2003:Q2 0.202950152 2.743854405
2003:Q3 0.287573181 3.799030511
2003:Q4 0.32945658 4.414305555
2004:Q1 0.286868135 3.842167519
2004:Q2 0.405150073 5.487959072
2004:Q3 0.377646709 5.0945942
2004:Q4 0.37298478 5.021327568
2005:Q1 0.4035798 5.402862946
2005:Q2 0.35847675 4.751236557
2005:Q3 0.421084641 5.569178849
2005:Q4 0.460546116 6.075737508
2006:Q1 0.487969718 6.473272497
2006:Q2 0.52013802 6.880892579
2006:Q3 0.514464027 6.727941235
2006:Q4 0.467712954 6.253879514
2007:Q1 0.508568188 6.800391279
2007:Q2 0.552000866 7.436023157
2007:Q3 0.523398495 7.110580777
2007:Q4 0.470033074 6.502541296
2008:Q1 0.424970901 5.965636265
2008:Q2 0.527409149 7.262269785
2008:Q3 0.643958694 9.12380242
2008:Q4 0.419614363 5.924524157
2009:Q1 0.43001122 5.565987153
2009:Q2 0.582619142 7.284949648
2009:Q3 0.553910793 6.805929649
2009:Q4 0.617551654 7.426014644
2010:Q1 0.596040103 7.266874993
2010:Q2 0.485092804 5.778162079
2010:Q3 0.424923624 5.036754732
2010:Q4 0.526929073 6.193230009
2011:Q1 0.539471614 6.224691177
2011:Q2 0.484429569 5.608000303
2011:Q3 0.350831428 4.079718034
2011:Q4 0.336706028 3.930022275
2012:Q1 0.354064228 4.077271643
2012:Q2 0.306189547 3.517199284
2012:Q3 0.281850732 3.233839039
2012:Q4 0.289237369 3.379723763
2013:Q1 0.306997354 3.520906443
2013:Q2 0.342672512 3.874196742
2013:Q3 0.340659715 3.85326713
2013:Q4 0.352211097 3.947050005
2014:Q1 0.329739711 3.645406616
2013:Q2 0.306137771 3.398477469
2014:Q3 0.302060858 3.354401676
2014:Q4 0.272824938 3.03880586
2015:Q1 0.250314748 2.785625716
2015:Q2 0.276186916 3.036908199
2015:Q3 0.254417351 2.770994428
2015:Q4 0.259179031 2.824222674

Note: Shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research (NBER): March 2001-November 2001, and December 2007-June 2009.

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Figure 12. Evolution of the total number of banks and banks with MSAs, 1998-2015
Time Total Number of Banks Number of Banks with MSAs Share of Banks with MSAs (%, FV)
1998:Q2 8983 513 5.710787042
1998:Q3 8910 524 5.881032548
1998:Q4 8774 506 5.767038979
1999:Q1 8722 524 6.007796377
1995:Q2 8674 540 6.225501499
1999:Q3 8622 535 6.205056831
1999:Q4 8580 549 6.398601399
2000:Q1 8517 556 6.52812023
2000:Q2 8476 556 6.559697971
2000:Q3 8376 559 6.67382999
2000:Q4 8315 561 6.746843055
2001:Q1 8238 584 7.089099296
2001:Q2 8177 587 7.178671885
2001:Q3 8148 585 7.179675994
2001:Q4 8080 587 7.264851485
2002:Q1 8005 606 7.570268582
2002:Q2 7967 605 7.593824526
2002:Q3 7932 607 7.652546646
2002:Q4 7887 624 7.911753518
2003:Q1 7862 638 8.114983465
2003:Q2 7831 650 8.300344784
2003:Q3 7810 666 8.527528809
2003:Q4 7767 673 8.664864169
2004:Q1 7711 677 8.779665413
2004:Q2 7691 680 8.841503056
2004:Q3 7657 683 8.919942536
2004:Q4 7628 693 9.084950184
2005:Q1 7596 692 9.110057925
2005:Q2 7546 702 9.302941956
2005:Q3 7538 702 9.31281507
2005:Q4 7523 710 9.437724312
2006:Q1 7487 707 9.443034593
2006:Q2 7474 704 9.41932031
2006:Q3 7445 706 9.482874412
2006:Q4 7397 710 9.598485873
2007:Q1 7375 708 9.6
2007:Q2 7346 701 9.542608222
2007:Q3 7299 697 9.549253322
2007:Q4 7279 712 9.781563402
2008:Q1 7235 704 9.730476849
2008:Q2 7196 704 9.783212896
2008:Q3 7138 687 9.62454469
2008:Q4 7076 687 9.708875071
2009:Q1 7028 698 9.931701764
2009:Q2 6985 702 10.05010737
2009:Q3 6901 702 10.17243878
2009:Q4 6829 707 10.35290672
2010:Q1 6762 709 10.48506359
2010:Q2 6666 711 10.66606661
2010:Q3 6612 712 10.76830006
2010:Q4 6519 718 11.0139592
2011:Q1 6442 731 11.34740764
2011:Q2 6399 739 11.54867948
2011:Q3 6336 752 11.86868687
2011:Q4 6275 764 12.1752988
2012:Q1 6245 781 12.5060048
2012:Q2 6201 789 12.72375423
2012:Q3 6147 808 13.14462339
2012:Q4 6072 819 13.48814229
2013:Q1 6020 833 13.8372093
2013:Q2 5952 836 14.04569892
2013:Q3 5909 847 14.33406668
2013:Q4 5847 853 14.58867795
2014:Q1 5776 855 14.80263158
2013:Q2 5724 859 15.00698812
2014:Q3 5670 866 15.27336861
2014:Q4 5607 883 15.74817193
2015:Q1 5535 902 16.2962963
2015:Q2 5474 910 16.62404092
2015:Q3 5410 914 16.89463956
2015:Q4 5338 913 17.10378419

Note: Shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research (NBER): March 2001-November 2001, and December 2007-June 2009.

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Figure 13. Total MSAs/total capital*100, by asset size, 1998-20155
Time MSA/Capital (%): Less than 10b in Assets MSA/Capital (%): 10 to 50b in Assets MSA/Capital (%): 50b to 250b in Assets MSA/Capital (%): Greater than 250b in Assets
1998:Q2 0.997570843 6.935377677 4.373214832 3.154820427
1998:Q3 0.897865807 6.773739489 3.233452811 4.696460352
1998:Q4 0.625943249 8.057170006 4.326370358 4.942844459
1999:Q1 0.744346717 8.43771169 5.3691911 5.540705718
1995:Q2 0.856613139 8.907991533 5.780666485 7.971719863
1999:Q3 0.862248726 7.892738886 7.493750204 8.174471472
1999:Q4 0.928434069 7.952695696 12.81116429 10.3885233
2000:Q1 0.996912725 7.326563251 13.0154687 10.80556937
2000:Q2 1.004735882 7.162598674 12.87459603 11.05735667
2000:Q3 0.853998048 7.364443783 12.14639125 10.5940175
2000:Q4 0.769361637 6.322300054 9.772983987 10.5269982
2001:Q1 0.665519987 5.439751721 9.201906824 5.320863108
2001:Q2 0.701978178 6.007995773 7.281683521 6.339051717
2001:Q3 0.678935898 4.64575383 6.588877563 5.152537056
2001:Q4 0.76878295 4.854914562 9.38502037 5.631168791
2002:Q1 0.823968267 5.180958565 8.725766272 8.05673869
2002:Q2 0.766353332 4.376989402 8.500153915 6.1239211
2002:Q3 0.617704954 3.063361982 6.340977263 4.009921796
2002:Q4 0.626578945 3.249416797 5.776449654 3.507968193
2003:Q1 0.62140066 3.404939425 5.454893511 4.184110662
2003:Q2 0.602822799 2.441778657 5.037225343 3.809180774
2003:Q3 0.761864628 2.932414282 7.698364653 4.950696047
2003:Q4 0.796544785 5.417368546 2.756856514 8.966425494
2004:Q1 0.745753079 4.739750631 2.455867201 7.46998025
2004:Q2 0.864539584 6.245168253 2.652008725 12.68932464
2004:Q3 0.803182448 5.287901493 2.632448579 11.43313113
2004:Q4 0.808094986 5.587917948 2.531747335 10.83198495
2005:Q1 0.847886196 6.332675315 2.865128691 11.27137625
2005:Q2 0.717061792 5.17354595 3.018810124 9.424514577
2005:Q3 0.791858652 5.951176789 3.266529099 11.30554572
2005:Q4 0.763321253 6.718572064 3.678808508 12.1402825
2006:Q1 0.640002668 6.915164455 3.884432803 13.07370295
2006:Q2 0.607652013 7.293529015 3.90967561 14.07230948
2006:Q3 0.58488017 4.71684473 4.963145791 14.0466058
2006:Q4 0.563686944 2.492632656 4.733746097 13.26166104
2007:Q1 0.534169749 2.444908809 5.084680471 14.65932351
2007:Q2 0.556332572 2.4859969 5.602134738 15.92619545
2007:Q3 0.65767746 2.21497307 5.229441897 14.89277532
2007:Q4 0.629577332 2.311228226 4.990580524 12.93058226
2008:Q1 0.58591276 2.280034752 4.427901668 11.89360735
2008:Q2 0.619341834 2.926690167 4.875937309 14.91703819
2008:Q3 0.789553582 2.502288551 4.759500696 19.048424
2008:Q4 0.388202645 2.454293691 2.266528705 12.79055703
2009:Q1 0.395305641 2.420406271 2.207937047 11.60616797
2009:Q2 0.469195892 2.996993 2.842238533 15.07405574
2009:Q3 0.48958306 2.394090772 2.985866649 13.89664646
2009:Q4 0.529793843 2.598860303 2.471841574 14.85432933
2010:Q1 0.518727809 2.808484254 2.58370965 14.12204037
2010:Q2 0.512965891 2.12392624 2.127669175 11.19694307
2010:Q3 0.500216609 2.117069278 1.884653373 9.684828516
2010:Q4 0.572105186 2.536986882 2.503703346 11.91989007
2011:Q1 0.59526628 2.478616158 2.520905785 12.00508855
2011:Q2 0.57391417 2.334162532 2.325655671 10.91001386
2011:Q3 0.534566891 1.929051581 1.939713078 7.282760216
2011:Q4 0.543059392 1.986931738 1.79673835 6.995062649
2012:Q1 0.568850055 1.871210849 1.905010164 7.416353139
2012:Q2 0.818562103 1.122796027 1.723301838 6.187131282
2012:Q3 0.805510143 1.137940587 1.514889907 5.657437717
2012:Q4 0.650479387 1.218143754 1.653655716 5.812473563
2013:Q1 0.749648915 1.214886019 1.690475142 6.179834321
2013:Q2 0.772158033 1.391208067 1.65463275 6.874469609
2013:Q3 0.825999458 1.431493566 1.711274875 6.764970523
2013:Q4 0.864948364 1.489178986 1.795735956 6.835634336
2014:Q1 0.898928006 1.402667351 1.782333871 6.075529426
2013:Q2 0.900095833 1.331732041 1.719179034 5.589993
2014:Q3 0.804529968 1.650299273 1.697275985 5.50327654
2014:Q4 0.813520487 1.513973778 1.746718172 4.667854661
2015:Q1 0.792530845 1.369402122 1.614852472 4.289012193
2015:Q2 0.841872003 1.443315535 1.7934649 4.693810071
2015:Q3 0.833578818 1.391883105 1.561264139 4.335667517
2015:Q4 0.878799047 1.469585217 1.539541664 4.434308618

Note: Shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research (NBER): March 2001-November 2001, and December 2007-June 2009.

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Figure 14. Number of banks with different MSAs to capital ratios, 1998-2015
Time MSA/capital equal to 0 MSA/capital in the range 0 to 3% MSA/capital in the range 3 to 5% MSA/capital in the range 5 to 8% MSA/capital in the range 8 to 10% MSA/capital greater than 10%
1998:Q2 8470 362 58 33 13 47
1998:Q3 8386 373 54 39 10 48
1998:Q4 8268 337 64 42 11 52
1999:Q1 8198 345 70 40 11 58
1995:Q2 8134 349 78 35 14 64
1999:Q3 8087 343 75 40 16 61
1999:Q4 8031 351 76 40 13 69
2000:Q1 7961 368 71 39 14 64
2000:Q2 7920 382 65 35 18 56
2000:Q3 7817 395 63 32 16 53
2000:Q4 7754 406 61 34 18 42
2001:Q1 7654 431 63 35 11 44
2001:Q2 7590 428 62 34 17 46
2001:Q3 7563 419 71 37 9 49
2001:Q4 7493 407 70 43 19 48
2002:Q1 7399 416 72 48 23 47
2002:Q2 7362 423 65 47 25 45
2002:Q3 7325 431 62 60 11 42
2002:Q4 7263 436 67 64 13 43
2003:Q1 7224 441 80 60 14 43
2003:Q2 7181 450 81 63 14 42
2003:Q3 7144 448 85 66 12 55
2003:Q4 7094 444 87 75 17 50
2004:Q1 7034 450 100 63 15 49
2004:Q2 7011 451 94 66 19 50
2004:Q3 6974 462 96 59 16 50
2004:Q4 6935 474 95 63 11 50
2005:Q1 6904 468 96 65 12 51
2005:Q2 6844 484 98 65 14 41
2005:Q3 6836 494 89 61 18 40
2005:Q4 6813 493 92 60 23 42
2006:Q1 6780 492 90 62 23 40
2006:Q2 6770 491 86 67 19 41
2006:Q3 6739 503 82 63 20 38
2006:Q4 6687 511 88 56 22 33
2007:Q1 6667 516 87 54 15 36
2007:Q2 6645 513 77 54 18 39
2007:Q3 6602 515 82 47 15 38
2007:Q4 6567 532 80 49 15 36
2008:Q1 6531 532 76 52 13 31
2008:Q2 6492 534 67 55 14 34
2008:Q3 6451 518 66 49 17 36
2008:Q4 6388 536 65 43 15 28
2009:Q1 6330 539 69 49 12 29
2009:Q2 6281 525 74 46 19 37
2009:Q3 6199 510 89 47 16 39
2009:Q4 6121 503 84 60 16 43
2010:Q1 6053 503 95 47 21 41
2010:Q2 5955 515 85 58 18 33
2010:Q3 5900 523 87 51 17 33
2010:Q4 5801 505 93 56 16 47
2011:Q1 5711 509 103 60 15 43
2011:Q2 5660 524 94 65 15 40
2011:Q3 5584 548 95 61 11 36
2011:Q4 5511 558 99 56 15 35
2012:Q1 5464 572 95 60 15 38
2012:Q2 5412 577 103 55 18 35
2012:Q3 5339 594 102 54 17 40
2012:Q4 5253 592 109 59 16 42
2013:Q1 5187 599 113 56 17 47
2013:Q2 5116 584 121 65 16 49
2013:Q3 5062 579 135 65 16 51
2013:Q4 4994 575 121 81 18 57
2014:Q1 4921 581 119 81 16 58
2013:Q2 4865 588 124 76 15 56
2014:Q3 4804 598 117 80 15 56
2014:Q4 4724 614 122 75 12 60
2015:Q1 4633 638 119 70 15 60
2015:Q2 4564 641 121 72 18 58
2015:Q3 4496 653 113 67 23 58
2015:Q4 4425 646 120 67 19 61

Note: Shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research (NBER): March 2001-November 2001, and December 2007-June 2009.

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Figure 15. Number of banks with MSAs to CET1 capital ratios higher than 10% by asset size, 1998-2015
Time Less than 10b in assets 10b to 50b in assets 50b to 250b in assets Greater than 250b in assets
1998:Q2 39 6 2 0
1998:Q3 40 6 2 0
1998:Q4 41 9 2 0
1999:Q1 46 10 2 0
1995:Q2 51 10 2 1
1999:Q3 50 8 2 1
1999:Q4 56 8 3 2
2000:Q1 51 8 3 2
2000:Q2 43 8 3 2
2000:Q3 41 7 3 2
2000:Q4 33 5 2 2
2001:Q1 36 4 3 1
2001:Q2 38 5 2 1
2001:Q3 42 5 1 1
2001:Q4 40 4 3 1
2002:Q1 41 4 1 1
2002:Q2 39 4 1 1
2002:Q3 36 4 1 1
2002:Q4 37 4 1 1
2003:Q1 37 5 1 0
2003:Q2 37 3 2 0
2003:Q3 48 4 2 1
2003:Q4 43 5 0 2
2004:Q1 42 5 0 2
2004:Q2 43 5 0 2
2004:Q3 42 5 0 3
2004:Q4 43 5 0 2
2005:Q1 44 4 0 3
2005:Q2 37 3 0 1
2005:Q3 34 3 0 3
2005:Q4 37 3 0 2
2006:Q1 33 3 1 3
2006:Q2 33 3 2 3
2006:Q3 31 2 2 3
2006:Q4 28 1 2 2
2007:Q1 27 2 4 3
2007:Q2 29 2 5 3
2007:Q3 29 1 5 3
2007:Q4 26 2 5 3
2008:Q1 23 1 5 2
2008:Q2 24 2 5 3
2008:Q3 26 2 4 4
2008:Q4 20 5 1 2
2009:Q1 21 5 0 3
2009:Q2 27 5 2 3
2009:Q3 30 3 3 3
2009:Q4 32 4 2 5
2010:Q1 31 4 2 4
2010:Q2 26 2 2 3
2010:Q3 27 2 1 3
2010:Q4 39 3 2 3
2011:Q1 36 2 2 3
2011:Q2 33 2 2 3
2011:Q3 32 2 1 1
2011:Q4 32 2 0 1
2012:Q1 34 2 1 1
2012:Q2 33 1 0 1
2012:Q3 38 1 0 1
2012:Q4 40 1 0 1
2013:Q1 45 1 0 1
2013:Q2 47 1 0 1
2013:Q3 49 1 0 1
2013:Q4 55 1 0 1
2014:Q1 56 1 0 1
2013:Q2 54 1 0 1
2014:Q3 53 2 0 1
2014:Q4 57 2 0 1
2015:Q1 57 2 0 1
2015:Q2 55 2 0 1
2015:Q3 55 2 0 1
2015:Q4 58 2 0 1

Note: Shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research (NBER): March 2001-November 2001, and December 2007-June 2009.

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Figure 16. Number and percent of banks with less than $10 billion in assets with any loans sold to Fannie Mae or Freddie Mac, 2004-14
Year Number of Banks
2004 915
2005 854
2006 810
2007 790
2008 753
2009 827
2010 767
2011 765
2012 927
2013 907
2014 901

Sources: HMDA, Call Report

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Figure 16. Number and percent of banks with less than $10 billion in assets with any loans sold to Fannie Mae or Freddie Mac, 2004-14
Year Percent of Banks
2004 0.216619
2005 0.205535
2006 0.195605
2007 0.189858
2008 0.179714
2009 0.198512
2010 0.189476
2011 0.196507
2012 0.218684
2013 0.221058
2014 0.225815

Sources: HMDA, Call Report

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Figure 17. Percentage of loans sold to Freddie Mac in which the selling bank retained the servicing, 2006-15
Year Percent Self Serviced
2006 67.40920228
2007 63.92903499
2008 85.35665143
2009 94.83806204
2010 96.58541694
2011 97.64574753
2012 96.84386892
2013 96.47423353
2014 96.22245822
2015 98.79052359

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Figure 18. Annual average servicing cost for performing and nonperforming loans, 2008-15
2008 2009 2010 2011 2012 2013 2014 2015:H1
Performing Loans 59 77 90 96 114 156 156 175
Non-Perfoming Loans 482 704 911 1246 2009 2358 1965 2375

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Figure 19. Total UPB of mortgages serviced by subservicers, 2014-15
Billions of dollars
Date Market Data
2015:Q3 1500
2015:Q2 1410
2015:Q1 1360
2014:Q4 1270
2014:Q3 1170

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Figure 20. HHI of mortgage servicing market, 2002-15
Year HHI
2002 903.2887
2003 875.1215
2004 883.9775
2005 931.234
2006 951.7089
2007 1006.671
2008 1455.289
2009 1502.237
2010 1499.413
2011 1397.339
2012 1349.991
2013 1186.749
2014 1109.733
2015 1026.942

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Last update: August 12, 2016