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Mortgage Servicing Assets (Tables)
 9 Months Ended
Sep. 30, 2017
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
2017

2016

 
2017

2016

Balance at beginning of period
$
373

$
323

 
$
356

$
321

Servicing retained from loan sales
24

31

 
71

53

Purchases
10

3

 
24

15

Amortization
(22
)
(21
)
 
(66
)
(53
)
Balance at end of period
$
385

$
336

 
$
385

$
336

Fair value at end of period
$
508

$
416

 
$
508

$
416

 
 
 
 
 
 
Schedule of Range and Weighted-Average of Significant Unobservable Inputs
The range and weighted average of the significant unobservable inputs used to determine the fair value of our commercial mortgage servicing assets at September 30, 2017, and December 31, 2016, along with the valuation techniques, are shown in the following table: 
September 30, 2017
Valuation Technique
Significant
Unobservable Input
Range
(Weighted Average)
dollars in millions
Commercial mortgage servicing assets
Discounted cash flow
Expected defaults
1.00 - 3.00% (1.20%)
 
 
Residual cash flows discount rate
7.00 - 15.00% (8.90%)
 
 
Escrow earn rate
0.80 - 3.00% (2.40%)
 
 
Servicing cost
$150 - $38,500 ($1,468)
 
 
Loan assumption rate
0.00 - 3.00% (1.24%)
 
 
Percentage late
0.00 - 2.00% (.27%)
December 31, 2016
Valuation Technique
Significant
Unobservable Input
Range
(Weighted Average)
dollars in millions
Commercial mortgage servicing assets
Discounted cash flow
Expected defaults
1.00 - 3.00% (1.40%)
 
 
Residual cash flows discount rate
7.00 - 12.00% (8.00%)
 
 
Escrow earn rate
1.10 - 3.00% (2.40%)
 
 
Servicing cost
$150 - $2,700 ($1,124)
 
 
Loan assumption rate
0.00 - 3.00% (1.13%)
 
 
Percentage late
0.00 - 2.00% (.34%)
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 September 30,
 
Nine months ended September 30,
in millions
2017

2016

 
2017

2016

Balance at beginning of period
$
29

—

 
$
28

—

Servicing retained from loan sales
2

$
1

 
5

$
1

Purchases
—

28

 
—

28

Amortization
(1
)
(1
)
 
(3
)
(1
)
Balance at end of period
$
30

$
28

 
$
30

$
28

Fair value at end of period
$
34

$
29

 
$
34

$
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, 2017, along with the valuation techniques, are shown in the following table:
September 30, 2017
Valuation Technique
Significant
Unobservable Input
Range
(Weighted Average)
dollars in millions
Residential mortgage servicing assets
Discounted cash flow
Prepayment speed
7.95 - 32.49% (10.15%)
 
 
Discount rate
8.50 - 11.00% (8.55%)
 
 
Servicing cost
$76 - $3,335 ($82.19)