Mortgage Servicing Rights (Tables)

6 Months Ended

Jun. 30, 2012

Mortgage Servicing Rights [Abstract]

Changes in fair value of capitalized MSRs

	Three Months Ended June 30,						Six Months Ended June 30,
(Dollars in Millions)	2012			2011			2012			2011
Balance at beginning of period	$	1,737		$	2,073		$	1,519		$	1,837
Rights purchased		16			4			29			11
Rights capitalized		215			102			476			315
Changes in fair value of MSRs
Due to fluctuations in market interest rates (a)		(239	)		(137	)		(175	)		(35	)
Due to revised assumptions or models (b)		(18	)		25			(17	)		25
Other changes in fair value (c)		(117	)		(78	)		(238	)		(164	)
Balance at end of period	$	1,594		$	1,989		$	1,594		$	1,989

(a) Includes changes in MSR value associated with changes in market interest rates, including estimated prepayment rates and anticipated earnings on escrow deposits.

(b) Includes changes in MSR value not caused by changes in market interest rates, such as changes in cost to service, ancillary income, and discount rate, as well as the impact of any model changes.

(c) Primarily represents changes due to 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

	June 30, 2012																		December 31, 2011
(Dollars in Millions)	Down 100 bps			Down 50 bps			Down 25 bps			Up 25 bps			Up 50 bps			Up 100 bps			Down 100 bps			Down 50 bps			Down 25 bps			Up 25 bps			Up 50 bps			Up 100 bps
MSR portfolio	$	(304	)	$	(189	)	$	(103	)	$	116		$	240		$	484		$	(305	)	$	(183	)	$	(98	)	$	107		$	223		$	460
Derivative instrument hedges		430			222			111			(110	)		(220	)		(440	)		378			204			104			(107	)		(217	)		(445	)
Net sensitivity	$	126		$	33		$	8		$	6		$	20		$	44		$	73		$	21		$	6		$	—		$	6		$	15

MSRs and related characteristics by portfolio

	June 30, 2012												December 31, 2011
(Dollars in Millions)	MRBP			Government			Conventional (b)			Total			MRBP			Government			Conventional (b)			Total
Servicing portfolio	$	13,697		$	36,455		$	157,275		$	207,427		$	13,357		$	32,567		$	145,158		$	191,082
Fair market value	$	155		$	304		$	1,135		$	1,594		$	155		$	290		$	1,074		$	1,519
Value (bps) (a)		113			83			72			77			116			89			74			79
Weighted-average servicing fees (bps)		40			34			30			31			40			36			29			31
Multiple (value/servicing fees)		2.83			2.44			2.40			2.48			2.90			2.47			2.55			2.55
Weighted-average note rate		5.34	%		4.81	%		4.74	%		4.79	%		5.50	%		5.08	%		4.97	%		5.03	%
Weighted-average age (in years)		4.3			2.4			2.6			2.7			4.2			2.5			2.8			2.8
Weighted-average expected prepayment (constant prepayment rate)		13.2	%		21.2	%		22.6	%		21.7	%		12.9	%		21.1	%		22.1	%		21.3	%
Weighted-average expected life (in years)		6.1			4.1			3.7			3.9			6.4			4.0			3.8			4.0
Weighted-average discount rate		12.1	%		11.3	%		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.