XML 142 R37.htm IDEA: XBRL DOCUMENT

Sales of Receivables and Servicing Rights (Tables)

6 Months Ended

Jun. 30, 2013

Sales of Receivables and Servicing Rights

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 Statements of Income, is as follows:

		For the three months			For the six months
		ended June 30,			ended June 30,
($ in millions)		2013	2012		2013	2012
Residential mortgage loan sales	$	7,122	4,709	$	14,010	11,648

Origination fees and gains on loan sales		150	183		319	357
Servicing fees		62	63		124	124

Changes in the Servicing Assets

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

($ in millions)		2013	2012
Carrying amount before valuation allowance as of the beginning of the period	$	1,358	1,239
Servicing rights that result from the transfer of residential mortgage loans		150	190
Servicing rights that result from the transfer of automobile loans		6	-
Amortization		(105)	(86)
Carrying amount before valuation allowance		1,409	1,343
Valuation allowance for servicing assets:
Beginning balance		(661)	(558)
Recovery of (provision for) MSR impairment		151	(49)
Ending balance		(510)	(607)
Carrying amount as of the end of the period	$	899	736

Fair Value of the Servicing Assets

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

($ in millions)		2013	2012
Fixed rate residential mortgage loans:
Beginning balance	$	664	649
Ending balance		855	702
Adjustable rate residential mortgage loans:
Beginning balance		33	32
Ending balance		39	34
Fixed rate automobile loans:
Beginning balance		-	-
Ending balance		5	-

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)		2013	2012	2013	2012
Securities gains, net - non-qualifying hedges on MSRs	$	6	-	8	-
Changes in fair value and settlement of free-standing derivatives purchased
to economically hedge the MSR portfolio (Mortgage banking net revenue)		(30)	38	(37)	42
Recovery of (provision for) MSR impairment (Mortgage banking net revenue)		102	(60)	151	(49)

Servicing Assets and Residual Interests Economic Assumptions

As of June 30, 2013 and 2012, the key economic assumptions used in measuring the interests in residential mortgage loans 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, 2013						June 30, 2012
	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	7.4	8.9	%	10.3	%	N/A	6.9	9.1	%	10.4	%	N/A
Servicing assets	Adjustable	3.7	22.5		11.5		N/A	3.7	22.2		11.4		N/A

Sensitivity of the Current Fair Value of Residual Cash Flows to Immediate 10%, 20% and 50% Adverse Changes in Assumptions

At June 30, 2013, 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 other assumptions are as follows:

					Prepayment						Residual Servicing
					Speed Assumption						Cash Flows
			Fair	Weighted-Average Life (in				Impact of Adverse Change on Fair Value			Discount			Impact of Adverse Change on Fair Value
($ in millions)^(a)	Rate		Value	years)	Rate			10%	20%	50%	Rate			10%	20%
Residential mortgage loans:
Servicing assets	Fixed	$	855	6.3	11.8	%	$	(36)	(70)	(159)	10.4	%	$	(33)	(64)
Servicing assets	Adjustable		39	3.2	25.9			(2)	(3)	(7)	11.6			(1)	(2)

The impact of the weighted-average default rate on the current fair value of residual cash flows for all scenarios is immaterial.

- 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