US Bank 2014 Annual Report Download - page 140
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The following table shows the significant valuation assumption ranges for the Company’s derivative commitments to purchase
and originate mortgage loans at December 31, 2014:
Minimum Maximum Average
Expected loan close rate ............................................................................... 38% 100% 76%
Inherent MSR value (basis points per loan) ............................................................. 45 203 129
The significant unobservable input used in the fair value
measurement of certain of the Company’s asset/liability and
customer-related derivatives is the credit valuation
adjustment related to the risk of counterparty
nonperformance. A significant increase in the credit
valuation adjustment would result in a lower fair value
measurement. A significant decrease in the credit valuation
adjustment would result in a higher fair value measurement.
The credit valuation adjustment is impacted by changes in
the Company’s assessment of the counterparty’s credit
position. At December 31, 2014, the minimum, maximum and
average credit valuation adjustment as a percentage of the
derivative contract fair value prior to adjustment was 0
percent, 97 percent and 6 percent, respectively.
The significant unobservable inputs used in the fair
valuemeasurementoftheVisaswapsaremanagement’s
estimate of the probability of certain litigation scenarios, and
the timing of the resolution of the related litigation loss
estimates in excess, or shortfall, of the Company’s
proportional share of escrow funds. An increase in the loss
estimate or a delay in the resolution of the related litigation
would result in an increase in the derivative liability. A
decrease in the loss estimate or an acceleration of the
resolution of the related litigation would result in a decrease
in the derivative liability.
138