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Mortgage Servicing Assets (Tables)
 9 Months Ended
Sep. 30, 2016
Commercial Mortgage Backed Securities [Member]  
Servicing Assets at Fair Value [Line Items]  
Changes in Carrying Amount of Mortgage Servicing Assets
Changes in the carrying amount of commercial mortgage servicing assets are summarized as follows:
 
Three months ended September 30,
 
 
Nine months ended September 30,
 
in millions
2016

2015

 
2016

2015

Balance at beginning of period
$
323

$
329

 
$
321

$
323

Servicing retained from loan sales
31

11

 
53

39

Purchases
3

4

 
15

29

Amortization
(21
)
(24
)
 
(53
)
(71
)
Balance at end of period
$
336

$
320

 
$
336

$
320

Fair value at end of period
$
416

$
427

 
$
416

$
427

 
 
 
 
 
 
Schedule of Range and Weighted-Average of Significant Unobservable Inputs
The range and weighted-average of the significant unobservable inputs used to fair value our commercial mortgage servicing assets at September 30, 2016, December 31, 2015, and September 30, 2015, along with the valuation techniques, are shown in the following table:
 
September 30, 2016
Valuation Technique
Significant
Unobservable Input
Range
(Weighted-Average)
dollars in millions
Commercial mortgage servicing assets
Discounted cash flow
Prepayment speed
1.60 - 20.40% (3.70%)
 
 
Expected defaults
1.00 - 3.00% (1.50%)
 
 
Residual cash flows discount rate
7.00 - 12.10% (7.90%)
 
 
Escrow earn rate
0.80 - 2.60% (2.00%)
 
 
Servicing cost
$150 - $2,700 ($1,163)
 
 
Loan assumption rate
0.00 - 3.00% (1.18%)
 
 
Percentage late
0.00 - 2.00% (0.35%)
 
 
 
 
December 31, 2015
Valuation Technique
Significant
Unobservable Input
Range
(Weighted-Average)
dollars in millions
Commercial mortgage servicing assets
Discounted cash flow
Prepayment speed
1.90 - 17.20% (4.60%)
 
 
Expected defaults
1.00 - 3.00% (1.70%)
 
 
Residual cash flows discount rate
7.00 - 15.00% (7.80%)
 
 
Escrow earn rate
1.00 - 3.50% (2.30%)
 
 
Servicing cost
$150 - $2,700 ($1,215)
 
 
Loan assumption rate
0.00 - 3.00% (1.34%)
 
 
Percentage late
0.00 - 2.00% (0.33%)
 
 
 
 
September 30, 2015
Valuation Technique
Significant
Unobservable Input
Range
(Weighted-Average)
dollars in millions
Commercial mortgage servicing assets
Discounted cash flow
Prepayment speed
1.70 - 16.30% (4.90%)
 
 
Expected defaults
1.00 - 3.00% (1.70%)
 
 
Residual cash flows discount rate
7.00 - 15.00% (7.80%)
 
 
Escrow earn rate
0.90 - 3.50% (2.30%)
 
 
Servicing cost
$150 - $2,719 ($1,151)
 
 
Loan assumption rate
0.00 - 3.00% (1.37%)
 
 
Percentage late
0.00 - 2.00% (0.33%)
 
 
 
 
Residential Mortgage Backed Securities [Member]  
Servicing Assets at Fair Value [Line Items]  
Changes in Carrying Amount of Mortgage Servicing Assets
Changes in the carrying amount of residential mortgage servicing assets are summarized as follows:
 
Three months ended
 
Nine months ended
in millions
September 30, 2016
 
September 30, 2016
Balance at beginning of period
—

 
—

Servicing retained from loan sales
$
1

 
$
1

Purchases
28

 
28

Amortization
(1
)
 
(1
)
Balance at end of period
$
28

 
$
28

Fair value at end of period
$
29

 
$
29

 
 
 
 
Schedule of Range and Weighted-Average of Significant Unobservable Inputs
The range and weighted-average of the significant unobservable inputs used to fair value our mortgage servicing assets at September 30, 2016, along with the valuation techniques, are shown in the following table:
September 30, 2016
Valuation Technique
Significant
Unobservable Input
Range
(Weighted-Average)
dollars in millions
Residential mortgage servicing assets
Discounted cash flow
Prepayment speed
9.36 - 18.39% (11.81%)
 
 
Discount rate
8.50 - 11.00% (8.55%)
 
 
Servicing cost
$76 - $3,335 ($82.17)