Goodwill and Mortgage Servicing Rights (Tables)

3 Months Ended

Mar. 31, 2023

Goodwill and Intangible Assets Disclosure [Abstract]

Mortgage Servicing Rights

Changes in the commercial and residential MSRs follow:

Table 53: Mortgage Servicing Rights

	Commercial MSRs				Residential MSRs
In millions	2023		2022		2023		2022
January 1	$	1,113	$	740	$	2,310	$	1,078
Additions:
From loans sold with servicing retained	13		21		5		21
Purchases	8		8		18		76
Changes in fair value due to:
Time and payoffs (a)	(82)		(34)		(53)		(60)
Other (b)	9		151		(48)		207
March 31	$	1,061	$	886	$	2,232	$	1,322
Related unpaid principal balance of loans serviced at March 31	$	281,179	$	278,040	$	187,748	$	134,515
Servicing advances at March 31	$	470	$	442	$	137	$	144

(a)Represents decrease in MSR value due to passage of time, including the impact from regularly scheduled loan principal payments, prepayments and loans that were paid off during the period.

(b)Represents MSR value changes resulting primarily from market-driven changes in interest rates.

Commercial Mortgage Loan Servicing Assets - Key Valuation Assumptions

The following tables set forth the fair value of commercial and residential MSRs and the sensitivity analysis of the hypothetical effect on the fair value of MSRs to immediate adverse changes of 10% and 20% in those assumptions:

Table 54: Commercial Mortgage Servicing Rights – Key Valuation Assumptions

Dollars in millions	March 31, 2023			December 31, 2022
Fair value	$	1,061		$	1,113
Weighted-average life (years)	3.9			4.0
Weighted-average constant prepayment rate	4.39		%	4.28		%
Decline in fair value from 10% adverse change	$	8		$	8
Decline in fair value from 20% adverse change	$	14		$	15
Effective discount rate	9.54		%	9.77		%
Decline in fair value from 10% adverse change	$	31		$	34
Decline in fair value from 20% adverse change	$	63		$	68

Residential Mortgage Loan Servicing Assets - Key Valuation Assumptions

The following tables set forth the fair value of commercial and residential MSRs and the sensitivity analysis of the hypothetical effect on the fair value of MSRs to immediate adverse changes of 10% and 20% in those assumptions:

Table 55: Residential Mortgage Servicing Rights – Key Valuation Assumptions

Dollars in millions	March 31, 2023				December 31, 2022
Fair value	$	2,232			$	2,310
Weighted-average life (years)	7.7				8.0
Weighted-average constant prepayment rate	7.22		%		6.72		%
Decline in fair value from 10% adverse change	$	57			$	55
Decline in fair value from 20% adverse change	$	111			$	107
Weighted-average option adjusted spread	768			bps	766			bps
Decline in fair value from 10% adverse change	$	66			$	69
Decline in fair value from 20% adverse change	$	129			$	134