Sales of Receivables and Servicing Rights (Tables)

9 Months Ended

Sep. 30, 2022

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)	2022		2021	2022	2021
Residential mortgage loan sales(a)	$	3,943	4,722	10,445	12,348
Origination fees and gains on loan sales	24		78	73	248
Gross mortgage servicing fees	81		63	230	181

(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)	2022		2021
Balance, beginning of period	$	1,121	656
Servicing rights originated	186		172
Servicing rights purchased	208		210
Changes in fair value:
Due to changes in inputs or assumptions(a)	358		123
Other changes in fair value(b)	(141)		(218)
Balance, end of period	$	1,732	943

(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)	2022		2021	2022	2021
Securities losses, net – non-qualifying hedges on mortgage servicing rights	$	(1)	—	(2)	(2)
Changes in fair value and settlement of free-standing derivatives purchased to economically hedge the MSR portfolio(a)	(84)		(11)	(368)	(99)
MSR fair value adjustment due to changes in inputs or assumptions(a)	83		20	358	123

(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, 2022 and 2021 were as follows:

	September 30, 2022				September 30, 2021
	Weighted- Average Life (in years)	Prepayment Speed (annual)		OAS (bps)	Weighted- Average Life (in years)	Prepayment Speed (annual)		OAS (bps)
Fixed-rate	6.9	11.3	%	760	6.5	10.8	%	777
Adjustable-rate	2.2	35.1		803	2.8	28.1		627

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

At September 30, 2022, 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:

($ in millions)(a)				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
				Rate		10%		20%	50%		10%		20%
Fixed-rate	$	1,726	9.1	5.2	%	$	(37)	(71)	(160)	723	$	(50)	(98)
Adjustable-rate	6		5.1	20.3		(1)		(1)	(2)	1,204	—		—

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