MORTGAGE LOAN SALES AND SERVICING RIGHTS (Tables)

9 Months Ended

Sep. 30, 2023

Transfers and Servicing [Abstract]

Summarizes activity relating to loans securitized sold with servicing retained

The following table summarizes activity relating to residential mortgage loans sold with servicing retained for the three-month and nine-month periods ended September 30, 2023 and 2022:

	Three months ended September 30,				Nine months ended September 30,
(dollar amounts in millions)	2023		2022		2023		2022
Residential mortgage loans sold with servicing retained	$	1,100	$	1,310	$	3,079	$	4,557
Pretax gains resulting from above loan sales (1)	21		11		43		110

(1)Recorded in mortgage banking income.

Summarizes activity relating to loans sold with servicing retained using the fair value method

The following table summarizes the changes in MSRs recorded using the fair value method for the three-month and nine-month periods ended September 30, 2023 and 2022:

	Three months ended September 30,				Nine months ended September 30,
(dollar amounts in millions)	2023		2022		2023		2022
Fair value, beginning of period	$	505	$	463	$	494	$	351
New servicing assets created	17		20		48		68
Change in fair value during the period due to:
Time decay (1)	(6)		(6)		(18)		(16)
Payoffs (2)	(7)		(8)		(18)		(29)
Changes in valuation inputs or assumptions (3)	38		17		41		112
Fair value, end of period	$	547	$	486	$	547	$	486

(1)Represents decrease in value due to passage of time, including the impact from both regularly scheduled principal payments and partial loan paydowns.

(2)Represents decrease in value associated with loans that paid off during the period.

(3)Represents change in value resulting primarily from market-driven changes in interest rates.

Summary of key assumptions and the sensitivity of the servicing rights value to changes in the assumptions

A summary of key assumptions and the sensitivity of the MSR value to changes in these assumptions at September 30, 2023, and December 31, 2022 follows:

	At September 30, 2023							At December 31, 2022
				Decline in fair value due to							Decline in fair value due to
(dollar amounts in millions)	Actual			10% adverse change		20% adverse change		Actual			10% adverse change		20% adverse change
Constant prepayment rate (annualized)	6.86	%		$	(13)	$	(26)	7.05	%		$	(13)	$	(25)
Spread over forward interest rate swap rates	557		bps	(12)		(24)		578		bps	(12)		(22)