MORTGAGE BANKING (Tables)

6 Months Ended

Jun. 30, 2020

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



	Three Months Ended June 30,				Six Months Ended June 30,
(in millions)	2020		2019		2020		2019
Cash proceeds from residential mortgage loans sold with servicing retained		$8,797		$4,229		$14,164		$7,148
Gain on sales ⁽¹⁾	283		55		426		92
Contractually specified servicing, late and other ancillary fees⁽¹⁾	55		51		113		99

⁽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 June 30,						As of and for the Six Months Ended June 30,
(in millions)	2020			2019			2020			2019
Fair value as of beginning of the period		$577			$563			$642			$600
Transfers upon election of fair value method	—			—			190			—
Fair value as of beginning of the period, adjusted	577			563			832			600
Amounts capitalized	86			57			153			92
Changes in unpaid principal balance during the period ⁽¹⁾	(46		)	(31		)	(86		)	(57		)
Changes in fair value during the period ⁽²⁾	(49		)	(58		)	(331		)	(104		)
Fair value at end of the period		$568			$531			$568			$531

⁽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



	June 30, 2020			December 31, 2019
	Actual	Decline in fair value due to		Actual	Decline in fair value due to
(dollars in millions)	Actual	Decline in fair value due to		Actual	Decline in fair value due to
Fair value	$568	50 bps adverse change	100 bps adverse change	$642	50 bps adverse change	100 bps adverse change
Weighted average life (in years)	3.7	50 bps adverse change	100 bps adverse change	5.5	50 bps adverse change	100 bps adverse change
Weighted average constant prepayment rate	21.0%	$109	$145	13.9%	$116	$222
Weighted average option adjusted spread	621 bps	9	19	440 bps	12	25