Sales of Receivables and Servicing Rights (Tables)

12 Months Ended

Dec. 31, 2013

Sales of Receivables and Servicing Rights

Activity Related to Mortgage Banking Net Revenue

Information related to residential mortgage loan sales and the Bancorp’s mortgage banking activity, which is included in mortgage banking net revenue in the Consolidated Statements of Income, for the years ended December 31 is as follows:
($ in millions)		2013	2012	2011
Residential mortgage loan sales	$	21,529	21,574	14,733
Origination fees and gains on loan sales		453	821	396
Servicing fees		251	250	234

Changes in the Servicing Assets

The following table presents changes in the servicing assets related to residential mortgage and automobile loans for the years ended December 31:
($ in millions)		2013	2012
Carrying amount before valuation allowance as of the beginning of the period	$	1,358	1,239
Servicing obligations that result from the transfer of residential mortgage loans		244	305
Servicing obligations that result from the transfer of automobile loans		6	-
Amortization		(168)	(186)
Carrying amount before valuation allowance		1,440	1,358
Valuation allowance for servicing assets:
Beginning balance		(661)	(558)
Recovery of (provision for) MSR impairment		192	(103)
Ending balance		(469)	(661)
Carrying amount as of the end of the period	$	971	697

Estimated Amortization Expense on Servicing Rights

Estimated amortization expense for the years ending December 31, 2014 through 2018 is as follows:
($ in millions)		Total
2014	$	95
2015		88
2016		81
2017		76
2018		71

Fair Value of the Servicing Assets

The following table displays the beginning and ending fair value of the servicing assets for the years ended December 31:
($ in millions)		2013	2012
Fixed rate residential mortgage loans:
Beginning balance	$	664	649
Ending balance		929	664
Adjustable rate residential mortgage loans:
Beginning balance		33	32
Ending balance		38	33
Fixed rate automobile loans:
Beginning balance		-	-
Ending balance		4	-

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 Consolidated Statements of Income for the years ended December 31:
($ in millions)		2013	2012	2011
Securities gains, net - non-qualifying hedges on MSRs	$	13	3	9
Changes in fair value and settlement of free-standing derivatives purchased
to economically hedge the MSR portfolio (Mortgage banking net revenue)		(30)	63	344
Recovery of (provision for) MSR impairment (Mortgage banking net revenue)		192	(103)	(242)

Servicing Assets and Residual Interests Economic Assumptions

As of December 31, 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 years ended December 31 were as follows:
		2013						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	7.3	9.1	%	10.2	%	N/A	6.9	9.6	%	10.4	%	N/A
Servicing assets	Adjustable	3.6	22.8		11.5		N/A	3.8	22.0		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 December 31, 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	$	929	6.8	10.3	%	$	(36)	(69)	(157)	10.4	%	$	(37)	(72)
Servicing assets	Adjustable		38	3.2	25.6			(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.