Mortgage Servicing Assets (Tables)

9 Months Ended

Sep. 30, 2020

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	2020		2019		2020		2019
Balance at beginning of period	$	565	$	509	$	539	$	502
Servicing retained from loan sales	30		30		107		71
Purchases	6		10		24		33
Amortization	(29)		(29)		(88)		(86)
Temporary impairments	(6)		(2)		(16)		(2)
Balance at end of period	$	566	$	518	$	566	$	518
Fair value at end of period	$	685	$	681	$	685	$	681

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	2020		2019		2020		2019
Balance at beginning of period	$	46	$	39	$	46	$	37
Servicing retained from loan sales	12		5		25		9
Purchases	—		—		—		—
Amortization	(4)		(3)		(9)		(5)
Temporary (impairments) recoveries	(1)		—		(9)		—
Balance at end of period	$	53	$	41	$	53	$	41
Fair value at end of period	$	54	$	43	$	54	$	43

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, 2020, and September 30, 2019, along with the valuation techniques, are shown in the following table:


dollars in millions		September 30, 2020	September 30, 2019
Valuation Technique	Significant Unobservable Input	Range (Weighted Average)

Discounted cash flow	Expected defaults	1.00 - 2.00% (1.17%)	1.00 - 2.00% (1.13%)
	Residual cash flows discount rate	7.72 - 10.66% (9.30%)	7.00 - 11.50% (9.30%)
	Escrow earn rate	0.92 - 1.16% (1.05%)	1.46 - 2.36% (2.02%)

	Loan assumption rate	0.00 - 1.78% (1.39%)	0.01 - 3.37% (1.38%)

The range and weighted-average of the significant unobservable inputs used to fair value our mortgage servicing assets at September 30, 2020, and September 30, 2019, along with the valuation techniques, are shown in the following table:


		September 30, 2020	September 30, 2019
Valuation Technique	Significant Unobservable Input	Range (Weighted Average)

Discounted cash flow	Prepayment speed	12.35% - 53.36% (16.89%)	12.06 - 62.96% (14.53%)
	Discount rate	7.51-8.80% (7.57%)	7.50 - 10.00% (7.53%)
	Servicing cost	$62.00 - $5,125 ($81.67)	$62 - $4,375 ($67.67)