Mortgage Servicing Rights (Tables)

12 Months Ended

Dec. 31, 2013

Text Block [Abstract]

Changes in Fair Value of Capitalized MSRs

Changes in fair value of capitalized MSRs for the years ended December 31, are summarized as follows:

(Dollars in Millions)	2013			2012			2011
Balance at beginning of period	$	1,700		$	1,519		$	1,837
Rights purchased		8			42			35
Rights capitalized		769			957			619
Changes in fair value of MSRs
Due to fluctuations in market interest rates (a)		617			(249	)		(619	)
Due to revised assumptions or models (b)		33			(21	)		33
Other changes in fair value (c)		(447	)		(548	)		(386	)
Balance at end of period	$	2,680		$	1,700		$	1,519

(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 MSR's Portfolio and Related Derivative Instruments

The estimated sensitivity to changes in interest rates of the fair value of the MSRs portfolio and the related derivative instruments as of December 31 follows:

	2013																		2012
(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	$	(435	)	$	(199	)	$	(93	)	$	82		$	154		$	287		$	(370	)	$	(217	)	$	(118	)	$	126		$	249		$	480
Derivative instrument hedges		399			194			91			(82	)		(157	)		(301	)		473			249			124			(121	)		(243	)		(486	)
Net sensitivity	$	(36	)	$	(5	)	$	(2	)	$	–		$	(3	)	$	(14	)	$	103		$	32		$	6		$	5		$	6		$	(6	)

MSRs and Related Characteristics by Portfolio

A summary of the Company’s MSRs and related characteristics by portfolio as of December 31 follows:

	2013												2012
(Dollars in Millions)	MRBP			Government			Conventional (b)			Total			MRBP			Government			Conventional (b)			Total
Servicing portfolio	$	15,896		$	41,659		$	169,287		$	226,842		$	14,143		$	39,048		$	162,446		$	215,637
Fair value	$	180		$	500		$	2,000		$	2,680		$	154		$	314		$	1,232		$	1,700
Value (bps) (a)		113			120			118			118			109			80			76			79
Weighted-average servicing fees (bps)		39			32			29			30			40			33			30			31
Multiple (value/servicing fees)		2.90			3.75			4.07			3.93			2.73			2.42			2.53			2.55
Weighted-average note rate		4.70	%		4.24	%		4.17	%		4.22	%		5.13	%		4.57	%		4.48	%		4.54	%
Weighted-average age (in years)		3.8			2.6			2.5			2.6			4.2			2.4			2.5			2.6
Weighted-average expected prepayment (constant prepayment rate)		13.5	%		11.5	%		10.9	%		11.2	%		13.2	%		21.2	%		20.4	%		20.1	%
Weighted-average expected life (in years)		6.2			6.9			7.2			7.1			6.1			4.2			4.1			4.2
Weighted-average discount rate		11.9	%		11.2	%		9.8	%		10.2	%		12.1	%		11.4	%		10.0	%		10.4	%

(a) Value is calculated as fair value divided by the servicing portfolio.

(b) Represents loans sold primarily to GSEs.