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Sales of Receivables and Servicing Rights (Tables)

6 Months Ended

Jun. 30, 2011

Information related to residential mortgage loan sales and the Bancorp’s mortgage banking activity, which is included in mortgage banking net revenue in the Condensed Consolidated Statement of Income, is as follows:


	For the three months				For the six months
	ended June 30,				ended June 30,
($ in millions)	2011		2010		2011		2010
Residential mortgage loan sales	$	2,727		3,128		6,703		6,827

Origination fees and gains on loan sales		64		89		126		160
Servicing fees		58		54		116		107

Changes in the Servicing Asset Related to Residential Mortgage Loans

The following table presents changes in the servicing assets related to residential mortgage loans for the six months ended June 30:


($ in millions)	2011			2010
Carrying amount as of the beginning of the period	$	1,138			979
Servicing obligations that result from the transfer of residential mortgage loans		105			101
Amortization		(53	)		(48	)

Carrying amount before valuation allowance		1,190			1,032

Valuation allowance for servicing assets:
Beginning balance		(316	)		(280	)
Servicing impairment		(27	)		(106	)

Ending balance		(343	)		(386	)

Carrying amount as of the end of the period	$	847			646

Fair Value of the Servicing Asset Related to Residential Mortgage Loans

The following table displays the beginning and ending fair value for the six months ended June 30:


($ in millions)	2011		2010
Fixed rate residential mortgage loans:
Beginning balance	$	791		667
Ending balance		813		618
Adjustable rate residential mortgage loans:
Beginning balance		31		32
Ending balance		34		28

Activity Related to the MSR Portfolio

The following table presents activity related to valuations of the MSR portfolio and the impact of the non-qualifying hedging strategy, which is included in the Condensed Consolidated Statements of Income:


	For the three months						For the six months
	ended June 30,						ended June 30,
($ in millions)	2011			2010			2011			2010
Securities gains, net - non-qualifying hedges on MSRs	$	—			—			5			—
Changes in fair value and settlement of free-standing derivatives purchased to economically hedge the MSR portfolio (Mortgage banking net revenue)		129			96			102			154
Provision for MSR impairment (Mortgage banking net revenue)		(64	)		(100	)		(27	)		(106	)

Servicing Assets and Residual Interests Economic Assumptions

As of June 30, 2011 and 2010, the key economic assumptions used in measuring the interests that continued to be held by the Bancorp at the date of sale or securitization resulting from transactions completed during the three months ended:

June 30, 2011

June 30, 2010

Rate

Weighted-
Average
Life (in
years)

Prepayment
Speed (annual)

Discount Rate
(annual)

Weighted-
Average
Default rate

Weighted-
Average
Life (in
years)

Prepayment
Speed (annual)

Discount Rate
(annual)

Weighted-
Average
Default rate

Residential mortgage loans:

Servicing assets

Fixed

6.6

11.0

10.5

N/A

6.1

12.4

10.0

N/A

Servicing assets

Adjustable

3.7

22.4

11.5

N/A

4.0

20.7

11.2

N/A

Sensitivity of the Current Fair Value of Residual Cash Flows to Immediate 10% and 20% Adverse Changes in Assumptions

At June 30, 2011, the sensitivity of the current fair value of residual cash flows to immediate 10% and 20% adverse changes in those assumptions are as follows:


						Prepayment									Residual Servicing									Weighted-Average
						Speed Assumption									Cash Flows									Default
		Fair		Weighted- Average Life (in					Impact of Adverse Change on Fair Value						Discount			Impact of Adverse Change on Fair Value									Impact of Adverse Change on Fair Value
($ in millions)	Rate	Value		years)		Rate			10%			20%			Rate			10%			20%			Rate			10%		20%
Residential mortgage loans:
Servicing assets	Fixed	$	813		6.3		11.5	%		(36	)		(69	)		10.6	%		(32	)		(62	)		—	%		—		—
Servicing assets	Adjustable		34		3.4		24.2			(2	)		(3	)		11.9			(1	)		(2	)		—			—

- Definition

Tabular disclosure of all information related to the key inputs and assumptions used in measuring the fair value of assets obtained or liabilities incurred, as the result of a sale of financial assets, relating to the transferor's continuing involvement, if any, at the time of securitization, asset-backed financing arrangement, or similar transfer (including at a minimum, but not limited to, and if applicable, quantitative information about discount rates, expected prepayments including the expected weighted-average life of prepayable financial assets, and anticipated credit losses, including expected static pool losses).

+ References+ Details

- Definition

Tabular disclosure of a sensitivity analysis or stress test showing the hypothetical effect on the fair value of the transferor's interests in transferred financial assets (including any servicing assets or servicing liabilities) of two or more unfavorable variations from the expected levels for each key assumption that is reported, independently determined from any change in another key assumption, and a description of the objectives, methodology, and limitations of the sensitivity analysis or stress test.

+ References+ Details

- Definition

Tabular disclosure of the activity in the balance of servicing assets subsequently measured at amortized value (including a description of where changes in carrying value are reported in the statement of income for each period for which results of operations are presented), including but not limited to, the following: beginning and ending balances, additions (through purchases of servicing assets and servicing assets that result from transfers of financial assets), disposals, amortization, application of valuation allowances, other-than-temporary impairments, and other changes that affect the balance along with a description of those changes.

+ References+ Details

- Definition

Tabular disclosure of the activity in the balance of servicing assets (including a description of where changes in fair value are reported in the statement of income for each period for which results of operations are presented), including but not limited to, the following: beginning and ending balances, additions (for instance, through purchases of servicing assets), disposals, changes in fair value during the period resulting from changes in inputs or assumptions used in the valuation model, other changes in fair value along with a description of those changes, and other changes that affect the balance along with a description of those changes.

+ References+ Details