OAS Spread Assumption, Impact of Adverse Change on Fair Value 10%

[Table of Contents](#iafeb83384c73449bb49e90c3c5b8201e_7)  


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| Fifth Third Bancorp and SubsidiariesNotes to Condensed Consolidated Financial Statements (unaudited) |

The key economic assumptions used in measuring the servicing rights related to residential mortgage loans that continued to be held by the Bancorp at the date of sale, securitization or purchase resulting from transactions completed during the three months ended June 30, 2022 and 2021 were as follows:

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|  | June 30, 2022 |  | June 30, 2021 |
|  | Weighted-Average Life(in years) | PrepaymentSpeed(annual) | OAS(bps) |  | Weighted-Average Life(in years) | PrepaymentSpeed(annual) | OAS(bps) |
| Fixed-rate | 7.6 | 8.4  | % | 795  |  |  | 5.9 | 12.3  |  % | 610  |  |
| Adjustable-rate | 2.9 | 27.3  |  | 789  |  |  | —  |  | —  |  | —  |  |

  
At June 30, 2022 and December 31, 2021, the Bancorp serviced $100.5 billion and $89.2 billion, respectively, of residential mortgage loans for other investors. The value of MSRs that continue to be held by the Bancorp is subject to credit, prepayment and interest rate risks on the sold financial assets.  
At June 30, 2022, the sensitivity of the current fair value of residual cash flows to immediate 10%, 20% and 50% adverse changes in prepayment speed assumptions and immediate 10% and 20% adverse changes in OAS for servicing rights related to residential mortgage loans are as follows:

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| ($ in millions)(a) |  |  | PrepaymentSpeed Assumption |  | OASAssumption |
| Fair Value | Weighted-Average Life(in years) |  | Impact of Adverse Changeon Fair Value |  | OAS(bps) | Impact of Adverse Change on Fair Value |
| Rate | 10% | 20% | 50% |  | 10% | 20% |
| Fixed-rate | $ | 1,576  |  | 9.0 | 5.3  | % | $ | (36) |  | (68) |  | (152) |  |  | 796  |  | $ | (51) |  | (98) |  |
| Adjustable-rate | 6  |  | 4.9 | 20.3  |  | (1) |  | (1) |  | (2) |  |  | 1,204  |  | —  |  | —  |  |

(a)The impact of the weighted-average default rate on the current fair value of residual cash flows for all scenarios is immaterial.  
These sensitivities are hypothetical and should be used with caution. As the figures indicate, changes in fair value based on these variations in the assumptions typically cannot be extrapolated because the relationship of the change in assumption to the change in fair value may not be linear. The Bancorp believes that variations of these levels are reasonably possible; however, there is the potential that adverse changes in key assumptions could be even greater. Also, in the previous table, the effect of a variation in a particular assumption on the fair value of the interests that continue to be held by the Bancorp is calculated without changing any other assumption; in reality, changes in one factor may result in changes in another (for example, increases in market interest rates may result in lower prepayments), which might magnify or counteract these sensitivities.98
