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Goodwill and Mortgage Servicing Rights (Tables)

6 Months Ended

Jun. 30, 2022

Goodwill and Intangible Assets Disclosure [Abstract]

Mortgage Servicing Rights

Changes in the commercial and residential MSRs follow:

Table 53: Mortgage Servicing Rights

			Commercial MSRs									Residential MSRs
In millions			2022			2021						2022			2021
January 1			$	740		$	569					$	1,078		$	673
Additions:
BBVA Acquisition															35
From loans sold with servicing retained			35			39						38			37
Purchases			25			21						257			372
Changes in fair value due to:
Time and payoffs (a)			(74)			(57)						(123)			(160)
Other (b)			262			110						370			154
June 30			$	988		$	682					$	1,620		$	1,111
Related unpaid principal balance at June 30			$	281,671		$	262,856					$	144,533		$	145,312
Servicing advances at June 30			$	459		$	473					$	143		$	134

(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

The following tables set forth the fair value of commercial and residential MSRs and the sensitivity analysis of the hypothetical effect on the fair value of MSRs to immediate adverse changes of 10% and 20% in those assumptions.

Table 54: Commercial Mortgage Servicing Rights – Key Valuation Assumptions

Dollars in millions			June 30 2022						December 31 2021
Fair value			$	988					$	740
Weighted-average life (years)			4.1						4.2
Weighted-average constant prepayment rate			4.85		%				5.49		%
Decline in fair value from 10% adverse change			$	11					$	12
Decline in fair value from 20% adverse change			$	20					$	21
Effective discount rate			8.94		%				7.75		%
Decline in fair value from 10% adverse change			$	29					$	20
Decline in fair value from 20% adverse change			$	58					$	40

Residential Mortgage Loan Servicing Assets - Key Valuation Assumptions

The following tables set forth the fair value of commercial and residential MSRs and the sensitivity analysis of the hypothetical effect on the fair value of MSRs to immediate adverse changes of 10% and 20% in those assumptions.

Table 55: Residential Mortgage Servicing Rights – Key Valuation Assumptions

Dollars in millions			June 30 2022						December 31 2021
Fair value			$	1,620					$	1,078
Weighted-average life (years)			7.4						5.7
Weighted-average constant prepayment rate			8.08		%				12.63		%
Decline in fair value from 10% adverse change			$	42					$	46
Decline in fair value from 20% adverse change			$	82					$	89
Weighted-average option adjusted spread			818			bps			857			bps
Decline in fair value from 10% adverse change			$	50					$	31
Decline in fair value from 20% adverse change			$	97					$	60

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

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- 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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- 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://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 860
-SubTopic 50
-Section 50
-Paragraph 3
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=125521744&loc=d3e122625-111746

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