Sales of Receivables and Servicing Rights (Tables)

12 Months Ended

Dec. 31, 2020

Transfers and Servicing [Abstract]

Activity Related to Mortgage Banking Net Revenue

Information related to residential mortgage loan sales and the Bancorp’s mortgage banking activity, which is included in mortgage banking net revenue in the Consolidated Statements of Income, for the years ended December 31 is as follows:

($ in millions)	2020		2019	2018
Residential mortgage loan sales(a)	$	11,827	7,781	5,078
Origination fees and gains on loan sales	315		175	100
Gross mortgage servicing fees	263		267	216

(a)Represents the unpaid principal balance at the time of the sale.

Changes in Servicing Assets

The following table presents changes in the servicing rights related to residential mortgage loans for the years ended December 31:

($ in millions)	2020		2019
Balance, beginning of period	$	993	938
Servicing rights originated	184		142
Servicing rights purchased	44		26
Servicing rights obtained in acquisition	—		263
Changes in fair value:
Due to changes in inputs or assumptions(a)	(311)		(203)
Other changes in fair value(b)	(254)		(173)
Balance, end of period	$	656	993

(a)Primarily reflects changes in prepayment speed and OAS assumptions which are updated based on market interest rates.

(b)Primarily reflects changes due to collection of contractual cash flows and the passage of time.

Activity Related to the MSR Portfolio

The following table presents activity related to valuations of the MSR portfolio and the impact of the non-qualifying hedging strategy for the years ended December 31:

($ in millions)	2020		2019	2018
Securities gains (losses), net -non-qualifying hedges on MSRs	$	2	3	(15)
Changes in fair value and settlement of free-standing derivatives purchased to economically     hedge the MSR portfolio(a)	307		221	(21)
MSR fair value adjustment due to changes in inputs or assumptions(a)	(311)		(203)	42

(a)Included in mortgage banking net revenue in the Consolidated Statements of Income.

Servicing Assets and Residual Interests Economic Assumptions

The key economic assumptions used in measuring the interests in residential mortgage loans that continued to be held by the Bancorp at the date of sale, securitization, or purchase resulting from transactions completed during the years ended December 31 were as follows:

		2020				2019
	Rate	Weighted- Average Life (in years)	Prepayment Speed (annual)		OAS     (bps)	Weighted-Average Life (in years)	Prepayment Speed (annual)		OAS (bps)
Residential mortgage loans:
Servicing rights	Fixed	5.9	12.1	%	727	5.9	12.6	%	530
Servicing rights	Adjustable	3.8	18.3	%	681	—	—		—

Sensitivity of the Current Fair Value of Residual Cash Flows to Immediate 10%, 20% and 50% Adverse Changes in Assumptions

At December 31, 2020, the sensitivity of the current fair value of residual cash flows to immediate 10%, 20% and 50% adverse changes in prepayment speed assumptions and immediate 10% and 20% adverse changes in OAS are as follows:

	Rate	Fair Value		Weighted- Average Life (in years)	Prepayment Speed Assumption						OAS Assumption
($ in millions)(a)							Impact of Adverse Change on Fair Value				OAS  (bps)	Impact of Adverse Change on Fair Value
					Rate		10%		20%	50%		10%		20%
Residential mortgage loans:
Servicing rights	Fixed	$	649	4.2	17.8	%	$	(21)	(41)	(91)	723	$	(16)	(30)
Servicing rights	Adjustable	7		3.5	22.6		(1)		(1)	(2)	950	—		—

(a)The impact of the weighted-average default rate on the current fair value of residual cash flows for all scenarios is immaterial.