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Mortgage Banking Activities (Tables)
 9 Months Ended
Sep. 30, 2022
Mortgage Banking Activities [Abstract]  
Analysis of Changes in Fair Value MSRs Table 9.1 presents the changes in MSRs measured using the fair value method.
Table 9.1: Analysis of Changes in Fair Value MSRs
Quarter ended September 30,Nine months ended September 30,
(in millions)2022202120222021
Fair value, beginning of period$9,163 6,717 $6,920 6,125 
Servicing from securitizations or asset transfers (1)204 379 868 1,270 
Sales and other (2)1 (2)(249)(10)
Net additions205 377 619 1,260 
Changes in fair value:
Due to valuation inputs or assumptions:
Mortgage interest rates (3)760 320 3,408 1,421 
Servicing and foreclosure costs (4)(8)2 (20)11 
Discount rates (5)(44)(263)42 (56)
Prepayment estimates and other (6)42 216 (207)(319)
Net changes in valuation inputs or assumptions750 275 3,223 1,057 
 Changes due to collection/realization of expected cash flows (7)(290)(507)(934)(1,580)
Total changes in fair value460 (232)2,289 (523)
Fair value, end of period$9,828 6,862 $9,828 6,862 
(1)Includes impacts associated with exercising cleanup calls on securitizations and our right to repurchase delinquent loans from GNMA loan securitization pools. MSRs may increase upon repurchase due to servicing liabilities associated with these delinquent GNMA loans.
(2)Includes sales and transfers of MSRs, which can result in an increase in MSRs if related to portfolios with servicing liabilities. In the first nine months of 2022, MSRs decreased $244 million due to the sale of interest-only strips in second quarter 2022 related to excess servicing cash flows from agency residential mortgage backed securitizations.
(3)Includes prepayment rate changes as well as other valuation changes due to changes in mortgage interest rates.
(4)Includes costs to service and unreimbursed foreclosure costs.
(5)In third quarter 2022, we enhanced our approach for estimating the discount rates to a more dynamic methodology for market curves and volatility, which had a nominal impact.
(6)Represents other changes in valuation model inputs or assumptions including prepayment rate estimation changes that are independent of mortgage interest rate changes.
(7)Represents the reduction in the MSR fair value for the cash flows expected to be collected during the period, net of income accreted due to the passage of time.
Assumptions and Sensitivity of Residential MSRs
Table 9.2 provides key weighted-average assumptions used in the valuation of residential MSRs and sensitivity of the current fair value of residential MSRs to immediate adverse changes in those assumptions. Amounts for residential MSRs include
purchased servicing rights as well as servicing rights resulting from the transfer of loans. See Note 15 (Fair Values of Assets and Liabilities) for additional information on key assumptions for residential MSRs.

Table 9.2: Assumptions and Sensitivity of Residential MSRs
($ in millions, except cost to service amounts)Sep 30, 2022Dec 31, 2021
Fair value of interests held$9,828 6,920 
Expected weighted-average life (in years)6.34.7
Key assumptions:
Prepayment rate assumption (1)9.3 %14.7 
Impact on fair value from 10% adverse change$302 356 
Impact on fair value from 25% adverse change720 834 
Discount rate assumption9.1 %6.4 
Impact on fair value from 100 basis point increase$387 276 
Impact on fair value from 200 basis point increase742 529 
Cost to service assumption ($ per loan)102 106 
Impact on fair value from 10% adverse change174 165 
Impact on fair value from 25% adverse change434 411 
(1)Includes a blend of prepayment speeds and expected defaults. Prepayment speeds are influenced by mortgage interest rates as well as our estimation of drivers of borrower behavior.
Managed Servicing Portfolio
We present the components of our managed servicing portfolio in Table 9.3 at unpaid principal balance for loans serviced and subserviced for others and at book value for owned loans serviced.
Table 9.3: Managed Servicing Portfolio
(in billions) Sep 30, 2022Dec 31, 2021
Residential mortgage servicing:
Serviced and subserviced for others$688 718 
Owned loans serviced274 276 
Total residential servicing962 994 
Commercial mortgage servicing:
Serviced and subserviced for others586 597 
Owned loans serviced134 130 
Total commercial servicing720 727 
Total managed servicing portfolio$1,682 1,721 
Total serviced for others, excluding subserviced for others$1,264 1,304 
MSRs as a percentage of loans serviced for others0.87 %0.63 
Weighted average note rate (mortgage loans serviced for others)4.10 3.82 
Mortgage Banking Noninterest Income Table 9.4 presents the components of mortgage banking noninterest income.
Table 9.4: Mortgage Banking Noninterest Income
Quarter ended September 30,Nine months ended September 30,
(in millions)2022202120222021
Servicing fees:
Contractually specified servicing fees, late charges and ancillary fees
$629 684 $1,909 2,100 
Unreimbursed direct servicing costs (1)
(35)(70)(116)(284)
Servicing fees594 614 1,793 1,816 
Amortization (2)(62)(61)(185)(159)
Changes due to collection/realization of expected cash flows (3)(A)(290)(507)(934)(1,580)
Net servicing fees
242 46 674 77 
Changes in fair value of MSRs due to valuation inputs or assumptions (4)(B)750 275 3,223 1,057 
Net derivative gains (losses) from economic hedges (5)(863)(176)(3,489)(1,109)
Market-related valuation changes to MSRs, net of hedge results(113)99 (266)(52)
Total net servicing income129 145 408 25 
Net gains on mortgage loan originations/sales (6)195 1,114 896 3,896 
Total mortgage banking noninterest income
$324 1,259 $1,304 3,921 
Total changes in fair value of MSRs carried at fair value(A)+(B)$460 (232)$2,289 (523)
(1)Includes costs associated with foreclosures, unreimbursed interest advances to investors, and other interest costs.
(2)There was no reversal of impairment on the commercial amortized MSRs in third quarter 2022, and $4 million in the first nine months of 2022, compared with a $4 million and $41 million reversal of impairment in the third quarter and first nine months of 2021.
(3)Represents the reduction in the MSR fair value for the cash flows expected to be collected during the period, net of income accreted due to the passage of time.
(4)Refer to the analysis of changes in fair value MSRs presented in Table 9.1 in this Note for more detail.
(5)See Note 14 (Derivatives) for additional discussion and detail on economic hedges.
(6)Includes net gains (losses) of $568 million and $2.6 billion in the third quarter and first nine months of 2022, respectively, and $142 million and $987 million in the third quarter and first nine months of 2021, respectively, related to derivatives used as economic hedges of mortgage loans held for sale and derivative loan commitments.