Sales of Receivables and Servicing Rights (Tables)

9 Months Ended

Sep. 30, 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 September 30,			For the nine months ended September 30,
($ in millions)	2021		2020	2021	2020
Residential mortgage loan sales(a)	$	4,722	2,822	12,348	8,840
Origination fees and gains on loan sales	78		93	248	269
Gross mortgage servicing fees	63		66	181	197

(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 nine months ended September 30:

($ in millions)	2021		2020
Balance, beginning of period	$	656	993
Servicing rights originated	172		150
Servicing rights purchased	210		36
Changes in fair value:
Due to changes in inputs or assumptions(a)	123		(340)
Other changes in fair value(b)	(218)		(179)
Balance, end of period	$	943	660

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

(b)Primarily reflects changes due to realized 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 September 30,			For the nine months ended September 30,
($ in millions)	2021		2020	2021	2020
Securities (losses) gains, net – non-qualifying hedges on mortgage servicing rights	$	—	(1)	(2)	3
Changes in fair value and settlement of free-standing derivatives purchased to economically hedge the MSR portfolio(a)	(11)		(12)	(99)	348
MSR fair value adjustment due to changes in inputs or assumptions(a)	20		4	123	(340)

(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 servicing rights related to 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 September 30, 2021 and 2020 were as follows:

	September 30, 2021				September 30, 2020
	Weighted- Average Life (in years)	Prepayment Speed (annual)		OAS (bps)	Weighted- Average Life (in years)	Prepayment Speed (annual)		OAS (bps)
Fixed-rate	6.5	10.8	%	777	5.9	12.2	%	780
Adjustable-rate	2.8	28.1		627	3.1	25.7		759

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

At September 30, 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 for servicing rights related to residential mortgage loans are as follows:

				Prepayment Speed Assumption						OAS Assumption
	Fair Value ($ in millions)(a)		Weighted- Average Life (in years)			Impact of Adverse Change on Fair Value				OAS (bps)	Impact of Adverse Change on Fair Value
				Rate		10%		20%	50%		10%		20%
Fixed-rate	$	938	6.1	11.3	%	$	(42)	(80)	(184)	757	$	(27)	(53)
Adjustable-rate	5		3.9	22.5		—		(1)	(2)	990	—		—

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