Mortgage Servicing Assets (Tables)

9 Months Ended

Sep. 30, 2021

Changes in Carrying Amount of Mortgage Servicing Assets

Changes in the carrying amount of commercial mortgage servicing assets are summarized as follows:


	Three months ended September 30,				Nine months ended September 30,
Dollars in millions	2021		2020		2021		2020
Balance at beginning of period	$	600	$	565	$	578	$	539
Servicing retained from loan sales	31		30		88		107
Purchases	8		6		22		24
Amortization	(30)		(29)		(89)		(88)
Temporary (impairments) recoveries	—		(6)		10		(16)
Balance at end of period	$	609	$	566	$	609	$	566
Fair value at end of period	$	735	$	685	$	735	$	685

Changes in the carrying amount of residential mortgage servicing assets are summarized as follows:


	Three months ended September 30,				Nine months ended September 30,
Dollars in millions	2021		2020		2021		2020
Balance at beginning of period	$	77	$	46	$	58	$	46
Servicing retained from loan sales	9		12		32		25
Purchases	—		—		—		—
Amortization	(4)		(4)		(14)		(9)
Temporary (impairments) recoveries	3		(1)		9		(9)
Balance at end of period	$	85	$	53	$	85	$	53
Fair value at end of period	$	89	$	54	$	89	$	54

Schedule of Range and Weighted-Average of Significant Unobservable Inputs

The range and weighted average of the significant unobservable inputs used to determine the fair value of our commercial mortgage servicing assets at September 30, 2021, and September 30, 2020, along with the valuation techniques, are shown in the following table:


dollars in millions		September 30, 2021						September 30, 2020
Valuation Technique	Significant Unobservable Input	Range				Weighted Average		Range				Weighted Average

Discounted cash flow	Expected defaults	1.00	%	2.00	%	1.15	%	1.00	%	2.00	%	1.17	%
	Residual cash flows discount rate	7.64	%	10.49	%	9.31	%	7.72	%	10.66	%	9.30	%
	Escrow earn rate	1.04	%	1.37	%	1.04	%	0.92	%	1.16	%	1.05	%

	Loan assumption rate	—	%	1.71	%	1.40	%	—	%	1.78	%	1.39	%

The range and weighted-average of the significant unobservable inputs used to fair value our mortgage servicing assets at September 30, 2021, and September 30, 2020, along with the valuation techniques, are shown in the following table:


		September 30, 2021									September 30, 2020
Valuation Technique	Significant Unobservable Input	Range						Weighted Average			Range						Weighted Average

Discounted cash flow	Prepayment speed	8.03		%	48.88		%	11.67		%	12.35		%	53.36		%	16.89		%
	Discount rate	7.50		%	8.57		%	7.54		%	7.51		%	8.80		%	7.57		%
	Servicing cost	$	62.00		$	4,375		$	68.15		$	62.00		$	5,125		$	81.67