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Sales of Receivables and Servicing Rights (Tables)
 12 Months Ended
Dec. 31, 2019
Transfers and Servicing of Financial Assets [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)
 
2019  
 
  
2018  
    
2017      
  
   
Residential mortgage loan sales
(a)
  
 
$            7,781
 
               
5,078
                 
6,369
  
                         
Origination fees and gains on loan sales
 
 
175
 
    
100
      
138
  
Gross mortgage servicing fees
 
 
267
 
    
216
      
206
  
   
(a)
Represents the unpaid principal balance at the time of the sale.
Changes in the servicing assets
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.
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)
 
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.
Servicing Assets and Residual Interests Economic Assumptions
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
      
 
   
Sensitivity of the Current Fair Value of Residual Cash Flows to Immediate 10%, 20% and 50% Adverse Changes in Assumptions
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.