MORTGAGE BANKING (Tables)

6 Months Ended

Jun. 30, 2017

Schedule of valuation allowance for impairment of recognized servicing assets

Changes related to MSRs are presented below:



	As of and for the Three Months Ended June 30,						As of and for the Six Months Ended June 30,
(in millions)	2017			2016			2017			2016
MSRs:
Balance as of beginning of period		$170			$169			$168			$173
Amount capitalized	8			5			18			10
Amortization	(8		)	(8		)	(16		)	(17		)
Carrying amount before valuation allowance	170			166			170			166
Valuation allowance for servicing assets:
Balance as of beginning of period	5			14			5			9
Valuation (recoveries) charge-offs	(1		)	(1		)	(1		)	4
Balance at end of period	4			13			4			13
Net carrying value of MSRs		$166			$153			$166			$153

Servicing asset at amortized cost

Changes related to MSRs are presented below:



	As of and for the Three Months Ended June 30,						As of and for the Six Months Ended June 30,
(in millions)	2017			2016			2017			2016
MSRs:
Balance as of beginning of period		$170			$169			$168			$173
Amount capitalized	8			5			18			10
Amortization	(8		)	(8		)	(16		)	(17		)
Carrying amount before valuation allowance	170			166			170			166
Valuation allowance for servicing assets:
Balance as of beginning of period	5			14			5			9
Valuation (recoveries) charge-offs	(1		)	(1		)	(1		)	4
Balance at end of period	4			13			4			13
Net carrying value of MSRs		$166			$153			$166			$153

Schedule of fair value assumptions used to estimate the value of Mortgage Servicing Rights

The key economic assumptions used to estimate the value of MSRs are presented in the following table:



	June 30, 2017			December 31, 2016
	Weighted			Weighted
(dollars in millions)	Average	Range		Average	Range
Fair value	$184	Min	Max	$182	Min	Max
Weighted average life (in years)	5.6	2.4	6.9	5.7	2.6	7.3
Weighted average constant prepayment rate	10.8%	9.4%	19.8%	10.8%	8.8%	22.3%
Weighted average discount rate	9.9%	9.1%	12.1%	9.7%	9.1%	12.1%

Schedule of fair value assumptions used to estimate the value of Mortgage Servicing Rights capitalized in current period

The key economic assumptions used in estimating the fair value of MSRs capitalized during the period are presented below:



	Three Months Ended June 30,		Six Months Ended June 30,
	2017	2016	2017	2016
Weighted average life (in years)	6.2	5.9	6.6	6.0
Weighted average constant prepayment rate	11.1%	11.3%	9.9%	11.1%
Weighted average discount rate	9.9%	9.7%	9.9%	9.7%

Schedule of the impact to fair value of an adverse change in key economic assumptions

The sensitivity analysis below presents the impact to current fair value of an immediate 50 basis point and 100 basis point adverse change in the key economic assumptions and presents the decline in fair value that would occur if the adverse change were realized. These sensitivities are hypothetical, with the effect of a variation in a particular assumption on the fair value of the mortgage servicing rights calculated independently without changing any other assumption. In reality, changes in one factor may result in changes in another (e.g., changes in interest rates, which drive changes in prepayment rates, could result in changes in the discount rates), which may amplify or counteract the sensitivities. The primary risk inherent in the Company’s MSRs is an increase in prepayments of the underlying mortgage loans serviced, which is dependent upon market movements of interest rates.



(in millions)	June 30, 2017		December 31, 2016
Prepayment rate:
Decline in fair value from a 50 basis point decrease in interest rates		$9		$9
Decline in fair value from a 100 basis point decrease in interest rates		$18		$25
Weighted average discount rate:
Decline in fair value from a 50 basis point increase in weighted average discount rate		$3		$3
Decline in fair value from a 100 basis point increase in weighted average discount rate		$6		$6