MORTGAGE BANKING AND OTHER SERVICED LOANS (Tables)

9 Months Ended

Sep. 30, 2023

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


	Three Months Ended September 30,		Nine Months Ended September 30,
(dollars in millions)	2023	2022	2023	2022
Cash proceeds from residential mortgage loans sold with servicing retained	$3,270	$3,518	$7,358	$14,676
Repurchased residential mortgages(1)	—	—	—	87
Gain on sales(2)	19	21	60	74
Contractually specified servicing, late and other ancillary fees(2)	76	75	230	213

(1) Includes government insured or guaranteed loans repurchased through the exercise of the Company’s removal of account provision option.

(2) Reported in mortgage banking fees in 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 September 30,		As of and for the Nine Months Ended September 30,
(dollars in millions)	2023	2022	2023	2022
Fair value as of beginning of the period	$1,524	$1,411	$1,530	$1,029


Amounts capitalized	47	70	104	244
Servicing rights acquired	—	—	—	16
Changes in unpaid principal balance during the period(1)	(42)	(31)	(124)	(102)
Changes in fair value during the period(2)	91	74	110	337
Fair value at end of the period	$1,620	$1,524	$1,620	$1,524

(1) Represents changes in value of the MSRs 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 driven by market conditions. These changes are recorded in mortgage banking fees in the Consolidated Statements of Operations.

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

The sensitivity analysis below presents the impact of an immediate 10% and 20% adverse change in key economic assumptions to the current fair value of MSRs. These sensitivities are hypothetical, with the effect of a variation in a particular assumption on the fair value of the MSRs calculated independently without changing any other assumption. 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 largely dependent upon movements in market interest rates.


(dollars in millions)	September 30, 2023	December 31, 2022
Fair value	$1,620	$1,530
Weighted average life (years)	9.1	9.1
Weighted average constant prepayment rate	6.4%	6.8%
Decline in fair value from 10% adverse change	$35	$34
Decline in fair value from 20% adverse change	$67	$66
Weighted average option adjusted spread	630 bps	629 bps
Decline in fair value from 10% adverse change	$44	$43
Decline in fair value from 20% adverse change	$89	$86

Schedule of other serviced loans

The following table presents the unpaid principal balance of other serviced loans:


(dollars in millions)	September 30, 2023	December 31, 2022
Education	$517	$602
Commercial and industrial(1)	94	91

(1) Represents the government guaranteed portion of SBA loans sold to outside investors