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Mortgage Servicing Rights (Tables)

12 Months Ended

Dec. 31, 2022

Transfers and Servicing [Abstract]

Changes in the Fair Value of Residential First Mortgage MSRs

Changes in the fair value of residential first mortgage MSRs were as follows:

	For the Month Ended December 31,
	2022
(in millions)
Balance at beginning of period, December 1, 2022	$		1,012
Additions from loans sold with servicing retained			19
Reductions from sales			-
Decrease in MSR fair value due to pay-offs, pay-downs, run-off, model changes, and other (1)			(8	)
Changes in estimates of fair value due to interest rate risk (1) (2)			10
Fair value of MSRs at end of period	$		1,033

(1)Changes in fair value are included within net return on mortgage servicing rights on the Consolidated Statements of Income and Comprehensive Income.

(2)Represents estimated MSR value change resulting primarily from market-driven changes which we manage through the use of derivatives.

Summary of Adverse Changes to Weighted Average of Certain Significant Assumptions Used in Valuing These Assets

The following table summarizes the hypothetical effect on the fair value of servicing rights using adverse changes of 10 percent and 20 percent to the weighted average of certain significant assumptions used in valuing these assets:

	December 31, 2022
				Fair value
	Actual				10% adverse change				20% adverse change
(dollars in millions)
Option adjusted spread		5.9	%	$		1,012		$		992
Constant prepayment rate		7.9	%			1,000				970
Weighted average cost to service per loan	$	68				1,023				1,013

Summary of Income and Fees Associated With Owned MRSs and Mortgage Loans Subserviced for Others

The following table summarizes income and fees associated with owned MSRs:

	For the Month Ended December 31,
	2022
(in millions)
Net return on mortgage servicing rights
Servicing fees, ancillary income and late fees (1)	$		20
Decrease in MSR fair value due to pay-offs, pay-downs, run-off, model changes and other			(8	)
Changes in fair value due to interest rate risk			10
Loss on MSR derivatives (2)			(16	)
Net transaction costs			-
Total return (loss) included in net return on mortgage servicing rights	$		6

(1)Servicing fees are recorded on an accrual basis. Ancillary income and late fees are recorded on a cash basis.

(2)Changes in the derivatives utilized as economic hedges to offset changes in fair value of the MSRs.

The following table summarizes income and fees associated with our mortgage loans subserviced for others:
 

	For the Month Ended December 31,
	2022
(in millions)
Loan administration income on mortgage loans subserviced
Servicing fees, ancillary income and late fees (1)	$		11
Charges on subserviced custodial balances (2)			(8	)
Other servicing charges			-
Total income on mortgage loans subserviced, included in loan administration	$		3

(1) Servicing fees are recorded on an accrual basis. Ancillary income and late fees are recorded on a cash basis.

(2)Charges on subserviced custodial balances represent interest due to MSR owner.

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- Definition

Schedule of servicing assets at fair value servicing fees.

+ References

No definition available.

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X

- Definition

Tabular disclosure of a sensitivity analysis or stress test showing the hypothetical effect on the fair value of the transferor's interests in transferred financial assets (including any servicing assets or servicing liabilities) 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

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 860
-SubTopic 20
-Section 50
-Paragraph 4
-Subparagraph (c)
-URI https://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719

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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://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 860
-SubTopic 50
-Section 50
-Paragraph 3
-Subparagraph (a)
-URI https://asc.fasb.org/extlink&oid=128311188&loc=d3e122625-111746

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