Sales of Receivables and Servicing Rights (Tables)

12 Months Ended

Dec. 31, 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 Consolidated Statements of Income, for the years ended December 31 is as follows:

($ in millions)	2022		2021	2020
Residential mortgage loan sales(a)	$	13,307	16,900	11,827
Origination fees and gains on loan sales	91		285	315
Gross mortgage servicing fees	310		247	263

(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)	2022		2021
Balance, beginning of period	$	1,121	656
Servicing rights originated	235		223
Servicing rights purchased	213		381
Changes in fair value:
Due to changes in inputs or assumptions(a)	355		142
Other changes in fair value(b)	(178)		(281)
Balance, end of period	$	1,746	1,121

(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 years ended December 31:

($ in millions)	2022		2021	2020
Securities (losses) gains, net - non-qualifying hedges on mortgage servicing rights	$	(2)	(2)	2
Changes in fair value and settlement of free-standing derivatives purchased to economically     hedge the MSR portfolio(a)	(363)		(123)	307
MSR fair value adjustment due to changes in inputs or assumptions(a)	355		142	(311)

(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 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 years ended December 31 were as follows:

	2022				2021
	Weighted- Average Life (in years)	Prepayment Speed (annual)		OAS     (bps)	Weighted-Average Life (in years)	Prepayment Speed (annual)		OAS (bps)
Fixed-rate	7.6	9.2	%	753	6.5	10.7	%	693
Adjustable-rate	2.8	29.0		803	2.7	28.8		626

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

At December 31, 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)	Fair Value		Weighted- Average Life (in years)	Prepayment Speed Assumption						OAS Assumption
						Impact of Adverse Change on Fair Value				OAS  (bps)	Impact of Adverse  Change on Fair Value
				Rate		10%		20%	50%		10%		20%
Fixed-rate	$	1,741	9.1	5.1	%	$	(37)	(71)	(159)	734	$	(51)	(100)
Adjustable-rate	5		5.2	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.