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Goodwill and Mortgage Servicing Rights (Tables)

9 Months Ended

Sep. 30, 2020

Goodwill and Intangible Assets Disclosure [Abstract]

Mortgage Servicing Rights

Table 57: Mortgage Servicing Rights

	Commercial MSRs							Residential MSRs
In millions	2020			2019				2020			2019
January 1	$	649		$	726			$	995		$	1,257
Additions:
From loans sold with servicing retained	65			29				34			23
Purchases	31			76				113			87
Changes in fair value due to:
Time and payoffs (a)	(87		)	(110		)		(136		)	(117		)
Other (b)	(143		)	(126		)		(408		)	(362		)
September 30	$	515		$	595			$	598		$	888
Related unpaid principal balance at September 30	$	234,897		$	203,808			$	119,158		$	122,886
Servicing advances at September 30	$	363		$	159			$	107		$	123

(a) Represents decrease in MSR value due to passage of time, including the impact from both regularly scheduled loan principal payments and loans that were paid down or paid off during the period.

(b)

Represents MSR value changes resulting primarily from market-driven changes in interest rates.

Commercial Mortgage Loan Servicing Assets - Key Valuation Assumptions

Table 58: Commercial Mortgage Servicing Rights – Key Valuation Assumptions

Dollars in millions	September 30 2020				December 31 2019
Fair value	$	515			$	649
Weighted-average life (years)	4.3				4.1
Weighted-average constant prepayment rate	4.70		%		4.56		%
Decline in fair value from 10% adverse change	$	9			$	9
Decline in fair value from 20% adverse change	$	17			$	17
Effective discount rate	7.37		%		7.91		%
Decline in fair value from 10% adverse change	$	14			$	17
Decline in fair value from 20% adverse change	$	27			$	34

Residential Mortgage Loan Servicing Assets - Key Valuation Assumptions

Table 59: Residential Mortgage Servicing Rights – Key Valuation Assumptions

Dollars in millions	September 30 2020				December 31 2019
Fair value	$	598			$	995
Weighted-average life (years)	3.2				5.2
Weighted-average constant prepayment rate	24.82		%		13.51		%
Decline in fair value from 10% adverse change	$	40			$	46
Decline in fair value from 20% adverse change	$	78			$	89
Weighted-average option adjusted spread	927			bps	769			bps
Decline in fair value from 10% adverse change	$	16			$	27
Decline in fair value from 20% adverse change	$	30			$	52

X

- Definition

A sensitivity analysis or stress test showing the hypothetical effect on the fair value of commercial mortgage servicing rights of two or more unfavorable variations from the expected levels for each key assumption that is reported, independently determined from any change in another key assumption, and a description of the objectives, methodology, and limitations of the sensitivity analysis or stress test.

+ References

No definition available.

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X

- Definition

A sensitivity analysis or stress test showing the hypothetical effect on the fair value of residential mortgage servicing rights of two or more unfavorable variations from the expected levels for each key assumption that is reported, independently determined from any change in another key assumption, and a description of the objectives, methodology, and limitations of the sensitivity analysis or stress test.

+ References

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- References

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X

- Definition

Tabular disclosure of the activity in the balance of servicing assets (including a description of where changes in fair value are reported in the statement of income for each period for which results of operations are presented), including but not limited to, the following: beginning and ending balances, additions (for instance, through purchases of servicing assets), disposals, changes in fair value during the period resulting from changes in inputs or assumptions used in the valuation model, other changes in fair value along with a description of those changes, and other changes that affect the balance along with a description of those changes.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 860
-SubTopic 50
-Section 50
-Paragraph 3
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=116651436&loc=d3e122625-111746

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