Goodwill and Mortgage Servicing Rights (Tables)

3 Months Ended

Mar. 31, 2021

Goodwill and Intangible Assets Disclosure [Abstract]

Mortgage Servicing Rights

Changes in the commercial and residential MSRs follow:

Table 50: Mortgage Servicing Rights

	Commercial MSRs				Residential MSRs
In millions	2021		2020		2021		2020
January 1	$	569	$	649	$	673	$	995
Additions:
From loans sold with servicing retained	18		11		13		10
Purchases	13		19		71		18
Changes in fair value due to:
Time and payoffs (a)	(28)		(35)		(73)		(39)
Other (b)	129		(167)		295		(379)
March 31	$	701	$	477	$	979	$	605
Related unpaid principal balance at March 31	$	256,198	$	225,769	$	117,287	$	118,104
Servicing advances at March 31	$	447	$	145	$	126	$	99

(a)Represents decrease in MSR value due to passage of time, including the impact from both regularly scheduled loan principal payments and loans that were paid down or 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 51: Commercial Mortgage Servicing Rights – Key Valuation Assumptions

Dollars in millions	March 31 2021			December 31 2020
Fair value	$	701		$	569
Weighted-average life (years)	4.7			4.4
Weighted-average constant prepayment rate	4.87		%	4.87		%
Decline in fair value from 10% adverse change	$	11		$	9
Decline in fair value from 20% adverse change	$	22		$	18
Effective discount rate	7.39		%	7.33		%
Decline in fair value from 10% adverse change	$	20		$	15
Decline in fair value from 20% adverse change	$	40		$	31

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 52: Residential Mortgage Servicing Rights – Key Valuation Assumptions

Dollars in millions	March 31 2021				December 31 2020
Fair value	$	979			$	673
Weighted-average life (years)	6.2				3.8
Weighted-average constant prepayment rate	10.72		%		21.13		%
Decline in fair value from 10% adverse change	$	38			$	41
Decline in fair value from 20% adverse change	$	79			$	82
Weighted-average option adjusted spread	944			bps	922			bps
Decline in fair value from 10% adverse change	$	34			$	20
Decline in fair value from 20% adverse change	$	66			$	38