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Sales of Receivables and Servicing Rights (Tables)
 3 Months Ended
Mar. 31, 2020
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 Condensed Consolidated Statements of Income, is as follows:
                 
 
    For the three months ended    
March 31,
 
($ in millions)
 
2020
 
  
2019    
  
Residential mortgage loan sales
(a)
  
$
2,955    
 
    
1,162    
  
                 
Origination fees and gains on loan sales
 
 
81    
 
    
25    
  
Gross mortgage servicing fees
 
 
67    
 
    
55    
  
 
 
 
 
(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 three months ended March 31:
                 
($ in millions)
 
    2020    
 
  
2019    
  
Balance, beginning of period
 
$
993
 
    
938
 
Servicing rights originated
 
 
44
 
    
24
 
Servicing rights purchased
 
 
26
 
    
-
 
Servicing rights obtained in acquisition
 
 
-
 
    
263
 
Changes in fair value:
 
 
 
    
 
Due to changes in inputs or assumptions
(a)
  
 
(331
)
   
(57
 )
Other changes in fair value
(b)
  
 
(47
)
   
(27
 )
Balance, end of period
 
$
685
 
    
1,141
 
 
 
 
 
(a)
Primarily reflects changes in prepayment speed and OAS assumptions which are updated based on market interest rates.
 
 
 
 
(b)
Primarily reflects changes due to c
ollection 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 three months ended    
March 31,
 
($ in millions)
 
2020
 
  
2019     
  
Securities gains, net -
non-qualifying
hedges on MSRs
  
$
3     
 
    
3     
  
Changes in fair value and settlement of free-standing derivatives purchased to economically hedge the MSR portfolio
(a)
  
 
350     
 
    
60     
  
MSR fair value adjustment due to changes in inputs or assumptions
(a)
  
 
(331)    
 
    
(57)    
  
 
 
 
 
(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 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 three months ended March 31, 2020 and 2019 were as follows:
                                                                         
   
   
March 31, 2020
     
   
March 31, 2019
 
                                                       
 
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
   
 
5.7
 
  
 
12.8 
%
 
 
672
 
    
     
5.5
     
13.5 
 %    
490
     
 
Servicing rights
   
Adjustable
   
 
2.9
 
  
 
27.1 
 
  
 
708
 
    
     
-
     
- 
      
-
     
 
 
 
 
Sensitivity of the Current Fair Value of Residual Cash Flows to Immediate 10%, 20% and 50% Adverse Changes in Assumptions
At March 31, 2020, 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
Spread Assumption
 
 
   
Fair
   
Weighted-
Average Life
(in years)
   
   
Impact of Adverse Change
on Fair Value
   
        OAS    
    
Impact of
Adverse Change
on Fair Value
 
($ in millions)
(a)
  
Rate
   
Value
 
Rate            
    
10%
   
20%
   
50%
   
        (bps)    
    
    10%
   
    20%
 
Residential mortgage loans:
   
     
     
     
     
     
     
     
     
 
Servicing rights
   
Fixed
    $
677
     
3.9
     
19.5 %        
     $
(24
 )    
(46
 )    
(105
 )    
926    
     $
     (18)
     
    (34)
 
Servicing rights
   
Adjustable
     
8
     
3.3
     
23.8            
      
(1
 )    
(1
 )    
(2
 )    
932    
      
-
     
-
 
 
 
 
 
(a)
The impact of the weighted-average default rate on the current fair value of residual cash flows for all scenarios is immaterial.