MORTGAGE BANKING (Tables)

3 Months Ended

Mar. 31, 2020

Mortgage Banking [Abstract]

Schedule of mortgage banking activities

The following table summarizes activity related to residential mortgage loans sold with servicing rights retained:

	Three Months Ended March 31,
(in millions)	2020		2019
Residential mortgage loans sold with servicing retained		$5,272		$2,919
Gain on sales (1)	143		37
Contractually specified servicing, late and other ancillary fees (1)	58		48

⁽¹⁾ Reported in mortgage banking fees on the Consolidated Statements of Operations.

Servicing asset at fair value

The following table summarizes changes in MSRs recorded using the fair value method:

	As of and for the Three Months Ended March 31,
(in millions)	2020			2019
Fair value as of beginning of the period		$642			$600
Transfers upon election of fair value method	190			—
Fair value as of beginning of the period, adjusted	832			600
Amounts capitalized	67			35
Changes in unpaid principal balance during the period (1)	(40		)	(26		)
Changes in fair value during the period (2)	(282		)	(46		)
Fair value at end of the period		$577			$563

⁽¹⁾ Represents changes in value due to i) passage of time including the impact from both regularly scheduled loan principal payments and partial paydowns, and ii)

loans that paid off during the period.

⁽²⁾ Represents changes in value primarily due to market driven changes in interest rates and prepayment speeds.

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

	March 31, 2020			December 31, 2019
	Actual	Decline in fair value due to		Actual	Decline in fair value due to
(dollars in millions)
Fair value	$577	50 bps adverse change	100 bps adverse change	$642	50 bps adverse change	100 bps adverse change
Weighted average life (in years)	3.7			5.5
Weighted average constant prepayment rate	21.0%	$116	$161	13.9%	$116	$222
Weighted average option adjusted spread	585 bps	9	18	440 bps	12	25