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Goodwill and other intangible assets (Tables)
 9 Months Ended
Sep. 30, 2015
Goodwill and Intangible Assets Disclosure [Abstract]  
Tables of goodwill
The following table presents goodwill attributed to the business segments.
(in millions)
September 30,
2015
December 31,
2014
Consumer & Community Banking
$
30,851

$
30,941

Corporate & Investment Bank
6,771

6,780

Commercial Banking
2,861

2,861

Asset Management
6,922

6,964

Corporate
—

101

Total goodwill
$
47,405

$
47,647


The following table presents changes in the carrying amount of goodwill.
 
Three months ended
September 30,
 
Nine months ended
September 30,
(in millions)
2015
2014
 
 
2015
 
2014
 
Balance at beginning of period
$
47,476

$
48,110

 
 
$
47,647

 
$
48,081

 
Changes during the period from:
 
 
 
 
 
 
 
 
Business combinations
8

6

 
 
25

 
24

 
Dispositions
—

(1
)
 
 
(101
)
(b) 
(1
)
 
Other(a)
(79
)
(145
)
 
 
(166
)
 
(134
)
 
Balance at September 30,
$
47,405

$
47,970

 
 
$
47,405

 
$
47,970

 
(a)
Includes foreign currency translation adjustments and other tax-related adjustments, and, during the three and nine months ended September 30, 2014, goodwill impairment associated with the Firm’s Private Equity business of $68 million.
(b)
Represents Private Equity goodwill which was disposed of as part of the Private Equity sale completed in January 2015.
Mortgage servicing rights activity
The following table summarizes MSR activity for the three and nine months ended September 30, 2015 and 2014.
 
As of or for the three months
ended September 30,
 
As of or for the nine months
ended September 30,
 
(in millions, except where otherwise noted)
2015
 
2014
 
2015
 
2014
 
Fair value at beginning of period
$
7,571

 
$
8,347

 
$
7,436

 
$
9,614

 
MSR activity:
 
 
 
 
 
 
 
 
Originations of MSRs
147

 
148

 
447

 
518

 
Purchase of MSRs
(4
)
 
3

 
435

 
9

 
Disposition of MSRs(a)
—

 
11

 
(375
)
 
(175
)
 
Net additions
143

 
162

 
507

 
352

 
 
 
 
 
 
 
 
 
 
Changes due to collection/realization of expected cash flows(b)
(233
)
 
(216
)
 
(677
)
 
(702
)
 
 
 
 
 
 
 
 
 
 
Changes in valuation due to inputs and assumptions:
 
 
 
 
 
 
 
 
Changes due to market interest rates and other(c)
(677
)
 
(101
)
 
(338
)
 
(832
)
 
Changes in valuation due to other inputs and assumptions:
 
 
 
 
 
 
 
 
Projected cash flows (e.g., cost to service)
(76
)
 
44

 
(103
)
 
33

 
Discount rates
—

 
—

 
(10
)
 
(459
)
(g) 
Prepayment model changes and other(d)
(12
)
 
—

 
(99
)
 
230

 
Total changes in valuation due to other inputs and assumptions
(88
)
 
44

 
(212
)
 
(196
)
 
Total changes in valuation due to inputs and assumptions(b)
(765
)
 
(57
)
 
(550
)
 
(1,028
)
 
Fair value at September 30,(e)
$
6,716

 
$
8,236

 
$
6,716

 
$
8,236

 
 
 
 
 
 
 
 
 
 
Change in unrealized gains/(losses) included in income related to MSRs held at
September 30,
$
(765
)
 
$
(57
)
 
$
(550
)
 
$
(1,028
)
 
Contractual service fees, late fees and other ancillary fees included in income
$
634

 
$
701

 
$
1,945

 
$
2,189

 
Third-party mortgage loans serviced at September 30, (in billions)
$
706

 
$
771

 
$
706

 
$
771

 
Net servicer advances at September 30, (in billions)(f)
$
6.6

 
$
8.6

 
$
6.6

 
$
8.6

 
(a)
For the nine months ended September 30, 2014, predominantly represents excess MSRs transferred to agency-sponsored trusts in exchange for stripped mortgage-backed securities (“SMBS”). In each transaction, a portion of the SMBS was acquired by third parties at the transaction date; the Firm acquired and has retained the remaining balance of those SMBS as trading securities. Also includes sales of MSRs for the three months ended September 30, 2014 and nine months ended September 30, 2015 and 2014.
(b)
Included changes related to commercial real estate of $(1) million and $(1) million for the three months ended September 30, 2015 and 2014, respectively, and $(3) million and $(5) million for the nine months ended September 30, 2015 and 2014, respectively.
(c)
Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments.
(d)
Represents changes in prepayments other than those attributable to changes in market interest rates.
(e)
Included $7 million and $13 million related to commercial real estate at September 30, 2015 and 2014, respectively.
(f)
Represents amounts the Firm pays as the servicer (e.g., scheduled principal and interest, taxes and insurance), which will generally be reimbursed within a short period of time after the advance from future cash flows from the trust or the underlying loans. The Firm’s credit risk associated with these servicer advances is minimal because reimbursement of the advances is typically senior to all cash payments to investors. In addition, the Firm maintains the right to stop payment to investors if the collateral is insufficient to cover the advance. However, certain of these servicer advances may not be recoverable if they were not made in accordance with applicable rules and agreements.
(g)
For the nine months ended September 30, 2014, the decrease was primarily related to higher capital allocated to the Mortgage Servicing business, which, in turn, resulted in an increase in the option adjusted spread (“OAS”). The resulting OAS assumption continues to be consistent with capital and return requirements that the Firm believes a market participant would consider, taking into account factors such as the current operating risk environment and regulatory and economic capital requirements.
CCB mortgage fees and related income
The following table presents the components of mortgage fees and related income (including the impact of MSR risk management activities) for the three and nine months ended September 30, 2015 and 2014.
 
 
Three months ended
September 30,
 
Nine months ended
September 30,
(in millions)
 
2015
 
2014
 
2015
 
2014
CCB mortgage fees and related income
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net production revenue
 
$
176

 
$
253

 
$
646

 
$
865

 
 
 
 
 
 
 
 
 
Net mortgage servicing revenue:
 
 
 
 
 
 
 
 
Operating revenue:
 
 
 
 
 
 
 
 
Loan servicing revenue
 
648

 
787

 
2,104

 
2,524

Changes in MSR asset fair value due to collection/realization of expected cash flows
 
(232
)
 
(214
)
 
(674
)
 
(696
)
Total operating revenue
 
416

 
573

 
1,430

 
1,828

Risk management:
 
 
 
 
 
 
 
 
Changes in MSR asset fair value due to market interest rates and other(a)
 
(677
)
 
(101
)
 
(338
)
 
(831
)
Other changes in MSR asset fair value due to other inputs and assumptions in model(b)
 
(88
)
 
44

 
(212
)
 
(196
)
Change in derivative fair value and other
 
642

 
133

 
429

 
1,040

Total risk management
 
(123
)
 
76

 
(121
)
 
13

Total net mortgage servicing revenue
 
293

 
649

 
1,309

 
1,841

 
 
 
 
 
 
 
 
 
Total CCB mortgage fees and related income
 
469

 
902

 
1,955

 
2,706

 
 
 
 
 
 
 
 
 
All other
 
—

 
1

 
2

 
2

Mortgage fees and related income
 
$
469

 
$
903

 
$
1,957

 
$
2,708

(a)
Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments.
(b)
Represents the aggregate impact of changes in model inputs and assumptions such as projected cash flows (e.g., cost to service), discount rates and changes in prepayments other than those attributable to changes in market interest rates (e.g., changes in prepayments due to changes in home prices).
Key economic assumptions used to determine FV of MSRs
The table below outlines the key economic assumptions used to determine the fair value of the Firm’s MSRs at September 30, 2015, and December 31, 2014, and outlines the sensitivities of those fair values to immediate adverse changes in those assumptions, as defined below.
(in millions, except rates)
Sep 30,
2015
 
Dec 31,
2014
Weighted-average prepayment speed assumption (“CPR”)
10.19
%
 
9.80
%
Impact on fair value of 10% adverse change
$
(297
)
 
$
(337
)
Impact on fair value of 20% adverse change
(571
)
 
(652
)
Weighted-average option adjusted spread
9.09
%
 
9.43
%
Impact on fair value of 100 basis points adverse change
$
(265
)
 
$
(300
)
Impact on fair value of 200 basis points adverse change
(510
)
 
(578
)
CPR: Constant prepayment rate.