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MORTGAGE BANKING (Tables) | 6 Months Ended
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Jun. 30, 2018
Mortgage Banking [Abstract] |
Schedule of mortgage banking activities | Information related to residential mortgage loan sales and the Company's mortgage banking activity is presented below:
| Three Months Ended June 30, | Six Months Ended June 30,
(in millions) | 2018 |  |  | 2017 |  | 2018 |  |  | 2017 |
Residential mortgage loan sale proceeds |  | $670 |  |  |  | $729 |  |  | $1,325 |  |  |  | $1,544 |
Gain on sales | 17 |  |  | 19 |  | 30 |  |  | 29 |
Mortgage servicing fees | 16 |  |  | 14 |  | 31 |  |  | 27 |
Repurchased residential mortgages | — |  |  | — |  | 2 |  |  | 1 |
Valuation recoveries | — |  |  | 1 |  | 3 |  |  | 1 |
Schedule of valuation allowance for impairment of recognized servicing assets | Changes related to MSRs are presented below:
| As of and for the Three Months Ended June 30, |  | As of and for the Six Months Ended June 30,
(in millions) | 2018 |  |  | 2017 |  |  | 2018 |  |  | 2017 |
MSRs: |  |  |  |  |  |  |
Balance as of beginning of period |  | $201 |  |  |  | $170 |  |  |  | $201 |  |  |  | $168 |
Amount capitalized | 8 |  |  | 8 |  |  | 15 |  |  | 18 |
Purchases | 16 |  |  | — |  |  | 16 |  |  | — |
Amortization | (8 | ) |  | (8 | ) |  | (15 | ) |  | (16 | )
Carrying amount before valuation allowance | 217 |  |  | 170 |  |  | 217 |  |  | 170 |
Valuation allowance for servicing assets: |  |  |  |  |  |  |
Balance as of beginning of period | — |  |  | 5 |  |  | 3 |  |  | 5 |
Valuation recoveries | — |  |  | (1 | ) |  | (3 | ) |  | (1 | )
Balance at end of period | — |  |  | 4 |  |  | — |  |  | 4 |
Net carrying value of MSRs |  | $217 |  |  |  | $166 |  |  |  | $217 |  |  |  | $166 |
Servicing asset at amortized cost | Changes related to MSRs are presented below:
| As of and for the Three Months Ended June 30, |  | As of and for the Six Months Ended June 30,
(in millions) | 2018 |  |  | 2017 |  |  | 2018 |  |  | 2017 |
MSRs: |  |  |  |  |  |  |
Balance as of beginning of period |  | $201 |  |  |  | $170 |  |  |  | $201 |  |  |  | $168 |
Amount capitalized | 8 |  |  | 8 |  |  | 15 |  |  | 18 |
Purchases | 16 |  |  | — |  |  | 16 |  |  | — |
Amortization | (8 | ) |  | (8 | ) |  | (15 | ) |  | (16 | )
Carrying amount before valuation allowance | 217 |  |  | 170 |  |  | 217 |  |  | 170 |
Valuation allowance for servicing assets: |  |  |  |  |  |  |
Balance as of beginning of period | — |  |  | 5 |  |  | 3 |  |  | 5 |
Valuation recoveries | — |  |  | (1 | ) |  | (3 | ) |  | (1 | )
Balance at end of period | — |  |  | 4 |  |  | — |  |  | 4 |
Net carrying value of MSRs |  | $217 |  |  |  | $166 |  |  |  | $217 |  |  |  | $166 |
Schedule of fair value assumptions used to estimate the value of Mortgage Servicing Rights | The key economic assumptions used to estimate the value of MSRs are presented in the following table:
| June 30, 2018 |  | December 31, 2017
| Weighted Average |  |  | Weighted Average |
(dollars in millions) | Range |  | Range
Fair value | $254 | Min | Max |  | $218 | Min | Max
Weighted average life (in years) | 6.4 | 2.4 | 8.7 |  | 5.9 | 2.3 | 8.4
Weighted average constant prepayment rate | 9.4% | 6.0% | 20.8% |  | 10.0% | 6.6% | 20.1%
Weighted average discount rate | 9.8% | 9.1% | 12.1% |  | 9.9% | 9.1% | 12.1%
Schedule of fair value assumptions used to estimate the value of Mortgage Servicing Rights capitalized in current period | The key economic assumptions used in estimating the fair value of MSRs capitalized during the period are presented below:
| Three Months Ended June 30, |  | Six Months Ended June 30,
| 2018 |  | 2017 |  | 2018 |  | 2017
Weighted average life (in years) | 7.3 |  | 6.2 |  | 7.4 |  | 6.6
Weighted average constant prepayment rate | 7.6% |  | 11.1% |  | 7.5% |  | 9.9%
Weighted average discount rate | 9.8% |  | 9.9% |  | 9.8% |  | 9.9%
Schedule of the impact to fair value of an adverse change in key economic assumptions | The sensitivity analysis below presents the impact to current fair value of an immediate 50 basis point and 100 basis point adverse change in the key economic assumptions and presents the decline in fair value that would occur if the adverse change were realized. These sensitivities are hypothetical, with the effect of a variation in a particular assumption on the fair value of the mortgage servicing rights calculated independently without changing any other assumption. In reality, changes in one factor may result in changes in another (e.g., changes in interest rates, which drive changes in prepayment rates, could result in changes in the discount rates), which may amplify or counteract the sensitivities. The primary risk inherent in the Company’s MSRs is an increase in prepayments of the underlying mortgage loans serviced, which is dependent upon market movements of interest rates.
(in millions) | June 30, 2018 |  | December 31, 2017
Prepayment rate: |  |  |
Decline in fair value from a 50 basis point decrease in interest rates |  | $16 |  |  |  | $22 |
Decline in fair value from a 100 basis point decrease in interest rates | 47 |  |  | 46 |
Weighted average discount rate: |  |  |
Decline in fair value from a 50 basis point increase in weighted average discount rate |  | $5 |  |  |  | $4 |
Decline in fair value from a 100 basis point increase in weighted average discount rate | 9 |  |  | 8 |

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- Definition Tabular disclosure of all information related to the key inputs and assumptions used in measuring the fair value of assets obtained or liabilities incurred, as the result of a sale of financial assets, relating to the transferor's continuing involvement, if any, at the time of securitization, asset-backed financing arrangement, or similar transfer (including at a minimum, but not limited to, and if applicable, quantitative information about discount rates, expected prepayments including the expected weighted-average life of prepayable financial assets, and anticipated credit losses, including expected static pool losses). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 3 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=82924980&loc=d3e107207-111719 + Details
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- Definition Tabular disclosure of activity in the balance of servicing assets subsequently measured at amortized cost. Includes, but is not limited to, beginning and ending balances, additions, disposals, and amortization. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 50 -Section 50 -Paragraph 4 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=68078379&loc=d3e122739-111746 + Details
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