Sales of Receivables and Servicing Rights (Tables)

3 Months Ended

Mar. 31, 2021

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 Condensed Consolidated Statements of Income, is as follows:

	For the three months ended March 31,
($ in millions)	2021		2020
Residential mortgage loan sales(a)	$	3,207	2,955
Origination fees and gains on loan sales	89		81
Gross mortgage servicing fees	59		67

(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 three months ended March 31:

($ in millions)	2021		2020
Balance, beginning of period	$	656	993
Servicing rights originated	39		44
Servicing rights purchased	18		26
Changes in fair value:
Due to changes in inputs or assumptions(a)	152		(331)
Other changes in fair value(b)	(81)		(47)
Balance, end of period	$	784	685

(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 three months ended March 31,
($ in millions)	2021		2020
Securities (losses) gains, net – non-qualifying hedges on MSRs	$	(2)	3
Changes in fair value and settlement of free-standing derivatives purchased to economically hedge the MSR portfolio(a)	(134)		350
MSR fair value adjustment due to changes in inputs or assumptions(a)	152		(331)

(a)Included in mortgage banking net revenue in the Condensed 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 three months ended March 31, 2021 and 2020 were as follows:

		March 31, 2021				March 31, 2020
	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	11.6	%	612	5.7	12.8	%	672
Servicing rights	Adjustable	—	—		—	2.9	27.1		708

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

At March 31, 2021, 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:

					Prepayment Speed Assumption						OAS Assumption
		Fair Value		Weighted- Average Life (in years)			Impact of Adverse Change on Fair Value				OAS (bps)	Impact of Adverse Change on Fair Value
($ in millions)(a)	Rate				Rate		10%		20%	50%		10%		20%
Residential mortgage loans:
Servicing rights	Fixed	$	778	5.2	13.0	%	$	(28)	(53)	(120)	645	$	(18)	(35)
Servicing rights	Adjustable	6		3.8	21.4		—		(1)	(2)	968	—		—

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