(a)	Represents the unpaid principal balance at the time of the sale.

Servicing Rights

The Bancorp measures all of its servicing rights at fair value with changes in fair value reported in mortgage banking net revenue in the Consolidated Statements of Income.

The following table presents changes in the servicing rights related to residential mortgage loans for the years ended December 31:



($ in millions)		2019		2018


Balance, beginning of period	$	938		858
Servicing rights originated		142		81
Servicing rights purchased		26		82
Servicing rights obtained in acquisition		263		-
Changes in fair value:
Due to changes in inputs or assumptions (a)		(203	)	42
Other changes in fair value (b)		(173	)	(125	)

Balance, end of period	$	993		938

(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.

The Bancorp maintains a

non-qualifying

hedging strategy to manage a portion of the risk associated with changes in the value of the MSR portfolio. This strategy may include the purchase of free-standing derivatives and various

available-for-sale

and trading securities.

The interest income,

mark-to-market

adjustments and gain or loss from sale activities associated with these portfolios are expected to economically hedge a portion of the change in value of the MSR portfolio caused by fluctuating OAS, earnings rates and prepayment speeds. The fair value of the servicing asset is based on the present value of expected future cash flows.

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)	2019			2018		2017


Securities gains (losses), net - non-qualifying hedges on MSRs	$	3			(15)		2
Changes in fair value and settlement of free-standing derivatives purchased to economically hedge the MSR portfolio (a)		221			(21)		2
MSR fair value adjustment due to changes in inputs or assumptions (a)		(203	)		42		(1	)

(a)	Included in mortgage banking net revenue in the Consolidated Statements of Income.

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 years ended December 31 were as follows:



			2019						2018
	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		12.6	%	530	6.6		10.5	%		522
Servicing rights		Adjustable		-		-		-	2.6		30.3			647

Based on historical credit experience, expected credit losses for residential mortgage loan servicing rights have been deemed immaterial, as the Bancorp sold the majority of the underlying loans without recourse.

At December 31, 2019 and 2018, the Bancorp serviced $80.7 billion and $63.2 billion, respectively, of residential mortgage loans for other investors. The value of MSRs that

continue to be held by the Bancorp is subject to credit, prepayment and interest rate risks on the sold financial assets.

At December 31, 2019, 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

($ in millions) (a)	Rate		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%

Residential mortgage loans:
Servicing rights		Fixed	$	983		5.3		13.0	%	$	(36)	(69	)	(158)		602	$	(21	)	(40)
Servicing rights		Adjustable		10		3.6		22.6			(1)	(1	)	(3)		921		-		-

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

These sensitivities are hypothetical and should be used with caution. As the figures indicate, changes in fair value based on these variations in the assumptions typically cannot be extrapolated because the relationship of the change in assumption to the change in fair value may not be linear. The Bancorp believes variations of these levels are reasonably possible; however, there is the potential that adverse changes in key assumptions could be even greater.

Also, in the previous table, the effect of a variation in a particular assumption on the fair value of the interests that continue to be held by the Bancorp is calculated without changing any other assumption; in reality, changes in one factor may result in changes in another (for example, increases in market interest rates may result in lower prepayments), which might magnify or counteract these sensitivities.