Goodwill and Mortgage Servicing Rights (Tables)

9 Months Ended

Sep. 30, 2021

Goodwill and Intangible Assets Disclosure [Abstract]

Goodwill by Business Segment

Allocations of Goodwill by business segment during 2021 and 2020 follow:

Table 59: Goodwill by Business Segment

In millions	Retail Banking		Corporate & Institutional Banking		Asset Management Group		Total
September 30, 2021 (a)	$	6,459	$	4,239	$	187	$	10,885
December 31, 2020	$	5,795	$	3,374	$	64	$	9,233

(a)Includes $1.6 billion of goodwill from the BBVA acquisition.

Mortgage Servicing Rights

Changes in the commercial and residential MSRs follow:

Table 60: Mortgage Servicing Rights

	Commercial MSRs				Residential MSRs
In millions	2021		2020		2021		2020
January 1	$	569	$	649	$	673	$	995
Additions:
BBVA Acquisition					35
From loans sold with servicing retained	61		65		61		34
Purchases	26		31		400		113
Changes in fair value due to:
Time and payoffs (a)	(87)		(87)		(242)		(136)
Other (b)	134		(143)		203		(408)
September 30	$	703	$	515	$	1,130	$	598
Related unpaid principal balance at September 30	$	263,862	$	234,897	$	139,154	$	119,158
Servicing advances at September 30	$	445	$	363	$	139	$	107

(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 61: Commercial Mortgage Servicing Rights – Key Valuation Assumptions

Dollars in millions	September 30 2021			December 31 2020
Fair value	$	703		$	569
Weighted-average life (years)	4.4			4.4
Weighted-average constant prepayment rate	5.46		%	4.87		%
Decline in fair value from 10% adverse change	$	10		$	9
Decline in fair value from 20% adverse change	$	20		$	18
Effective discount rate	7.55		%	7.33		%
Decline in fair value from 10% adverse change	$	19		$	15
Decline in fair value from 20% adverse change	$	39		$	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 62: Residential Mortgage Servicing Rights – Key Valuation Assumptions

Dollars in millions	September 30 2021				December 31 2020
Fair value	$	1,130			$	673
Weighted-average life (years)	5.9				3.8
Weighted-average constant prepayment rate	11.49		%		21.13		%
Decline in fair value from 10% adverse change	$	47			$	41
Decline in fair value from 20% adverse change	$	94			$	82
Weighted-average option adjusted spread	909			bps	922			bps
Decline in fair value from 10% adverse change	$	37			$	20
Decline in fair value from 20% adverse change	$	72			$	38