Sales of Receivables and Servicing Rights (Tables)

9 Months Ended

Sep. 30, 2023

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)	2023		2022	2023	2022
Residential mortgage loan sales(a)	$	1,374	3,943	3,882	10,445
Origination fees and gains on loan sales	19		24	59	73
Gross mortgage servicing fees	79		81	241	230

(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)	2023		2022
Balance, beginning of period	$	1,746	1,121
Servicing rights originated	57		186
Servicing rights purchased	25		208
Changes in fair value:
Due to changes in inputs or assumptions(a)	107		358
Other changes in fair value(b)	(113)		(141)
Balance, end of period	$	1,822	1,732

(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)	2023		2022	2023	2022
Securities losses, net – non-qualifying hedges on mortgage servicing rights	$	—	(1)	—	(2)
Changes in fair value and settlement of free-standing derivatives purchased to economically hedge the MSR portfolio(a)	(75)		(84)	(110)	(368)
MSR fair value adjustment due to changes in inputs or assumptions(a)	73		83	107	358

(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, 2023 and 2022 were as follows:

	September 30, 2023				September 30, 2022
	Weighted- Average Life (in years)	Prepayment Speed (annual)		OAS (bps)	Weighted- Average Life (in years)	Prepayment Speed (annual)		OAS (bps)
Fixed-rate	6.6	12.2	%	575	6.9	11.3	%	760
Adjustable-rate	—	—		—	2.2	35.1		803

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

At September 30, 2023, 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	$	1,817	9.1	5.0	%	$	(39)	(74)	(166)	582	$	(45)	(88)
Adjustable-rate	5		5.7	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.