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Mortgage Servicing Rights (Tables)

3 Months Ended

Mar. 31, 2012

Mortgage Servicing Rights [Abstract]

Changes in fair value of capitalized MSRs


Three Months Ended March 31 (Dollars in Millions)
Three Months Ended March 31 (Dollars in Millions)		2012				2011
Balance at beginning of period		$	1,519			$	1,837
Rights purchased			13				7
Rights capitalized			261				213
Changes in fair value of MSRs
Due to change in valuation assumptions (a)			65				102
Other changes in fair value (b)			(121	)			(86	)

Balance at end of period		$	1,737			$	2,073

(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


		March 31, 2012																December 31, 2011
(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		$	23			$	4			$	6			$	23			$	21			$	6			$	—			$	6

MSRs and related characteristics by portfolio


		March 31, 2012																December 31, 2011
(Dollars in Millions)		MRBP				Government				Conventional (b)				Total				MRBP				Government				Conventional (b)				Total
Servicing portfolio		$	13,532			$	34,253			$	152,386			$	200,171			$	13,357			$	32,567			$	145,158			$	191,082
Fair market value		$	156			$	316			$	1,265			$	1,737			$	155			$	290			$	1,074			$	1,519
Value (bps) (a)			115				92				83				87				116				89				74				79
Weighted-average servicing fees (bps)			40				35				29				31				40				36				29				31
Multiple (value/servicing fees)			2.88				2.63				2.86				2.81				2.90				2.47				2.55				2.55
Weighted-average note rate			5.42	%			4.95	%			4.87	%			4.92	%			5.50	%			5.08	%			4.97	%			5.03	%
Age (in years)			4.3				2.5				2.7				2.8				4.2				2.5				2.8				2.8
Expected prepayment (constant prepayment rate)			13.0	%			19.1	%			19.8	%			19.2	%			12.9	%			21.1	%			22.1	%			21.3	%
Expected life (in years)			6.3				4.5				4.2				4.4				6.4				4.0				3.8				4.0
Discount rate			12.1	%			11.4	%			10.0	%			10.4	%			12.1	%			11.3	%			10.0	%			10.4	%

(a)

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

(b)

Represents loans sold primarily to GSEs.

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