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Mortgage Servicing Rights (Tables)

12 Months Ended

Dec. 31, 2011

Mortgage Servicing Rights [Abstract]

Changes in fair value of capitalized MSRs


(Dollars in Millions)		2011				2010				2009
Balance at beginning of period		$	1,837			$	1,749			$	1,194
Rights purchased			35				65				101
Rights capitalized			619				639				848
Changes in fair value of MSRs
Due to change in valuation assumptions (a)			(586	)			(249	)			(15	)
Other changes in fair value (b)			(386	)			(367	)			(379	)
Balance at end of period		$	1,519			$	1,837			$	1,749

(a)

Principally reflects changes in prepayment speeds, and to a lessor extent, changes in discount rates and escrow earnings assumptions, primarily arising from interest rate changes.

(b)

Primarily represents changes due to collection/realization of expected cash flows over time (decay).

Sensitivity to changes in interest rates to fair value of the MSR's portfolio and the related derivative instruments


		2011																		2010
(Dollars in Millions)		Down 50 bps				Down 25 bps				Up 25 bps				Up 50 bps						Down 50 bps				Down 25 bps				Up 25 bps				Up 50 bps
Net fair value		$	21			$	6			$	–			$	6					$	6			$	(5	)		$	5			$	1

MSRs and related characteristics by portfolio


		2011																		2010
(Dollars in Millions)		MRBP				Government				Conventional (b)				Total						MRBP				Government				Conventional (b)				Total
Servicing portfolio		$	13,357			$	32,567			$	145,158			$	191,082					$	12,646			$	28,880			$	132,393			$	173,919
Fair market value		$	155			$	290			$	1,074			$	1,519					$	166			$	342			$	1,329			$	1,837
Value (bps) (a)			116				89				74				79						131				118				100				106
Weighted-average servicing fees (bps)			40				36				29				31						40				38				30				32
Multiple (value/servicing fees)			2.90				2.47				2.55				2.55						3.28				3.11				3.33				3.31
Weighted-average note rate			5.50	%			5.08	%			4.97	%			5.03	%					5.75	%			5.35	%			5.27	%			5.32	%
Age (in years)			4.2				2.5				2.8				2.8						4.1				2.2				2.7				2.7
Expected prepayment (constant prepayment rate)			12.9	%			21.1	%			22.1	%			21.3	%					12.3	%			17.2	%			16.2	%			16.1	%
Expected life (in years)			6.4				4.0				3.8				4.0						6.7				5.1				5.3				5.4
Discount rate			12.1	%			11.3	%			10.0	%			10.4	%					11.9	%			11.4	%			10.3	%			10.6	%

(a)

Value is calculated as fair market value divided by the servicing portfolio

(b)

Represents loans sold to government sponsored enterprises.

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

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