Goodwill and Mortgage Servicing Rights (Tables)

9 Months Ended

Sep. 30, 2022

Goodwill and Intangible Assets Disclosure [Abstract]

Mortgage Servicing Rights

Changes in the commercial and residential MSRs follow:

Table 51: Mortgage Servicing Rights

	Commercial MSRs				Residential MSRs
In millions	2022		2021		2022		2021
January 1	$	740	$	569	$	1,078	$	673
Additions:
BBVA Acquisition							35
From loans sold with servicing retained	52		61		49		61
Purchases	32		26		620		400
Changes in fair value due to:
Time and payoffs (a)	(130)		(87)		(178)		(242)
Other (b)	438		134		505		203
September 30	$	1,132	$	703	$	2,074	$	1,130
Related unpaid principal balance at September 30	$	281,931	$	263,862	$	169,678	$	139,154
Servicing advances at September 30	$	448	$	445	$	132	$	139

(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 52: Commercial Mortgage Servicing Rights – Key Valuation Assumptions

Dollars in millions	September 30 2022			December 31 2021
Fair value	$	1,132		$	740
Weighted-average life (years)	4.1			4.2
Weighted-average constant prepayment rate	4.25		%	5.49		%
Decline in fair value from 10% adverse change	$	8		$	12
Decline in fair value from 20% adverse change	$	16		$	21
Effective discount rate	9.73		%	7.75		%
Decline in fair value from 10% adverse change	$	35		$	20
Decline in fair value from 20% adverse change	$	69		$	40

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 53: Residential Mortgage Servicing Rights – Key Valuation Assumptions

Dollars in millions	September 30 2022				December 31 2021
Fair value	$	2,074			$	1,078
Weighted-average life (years)	7.9				5.7
Weighted-average constant prepayment rate	6.76		%		12.63		%
Decline in fair value from 10% adverse change	$	49			$	46
Decline in fair value from 20% adverse change	$	95			$	89
Weighted-average option adjusted spread	759			bps	857			bps
Decline in fair value from 10% adverse change	$	60			$	31
Decline in fair value from 20% adverse change	$	117			$	60