v2.4.0.6
Mortgage Banking Activities (Tables)
 12 Months Ended
Dec. 31, 2012
Mortgage Banking Activities (Tables) [Abstract]  
Changes In Mortgage Servicing Rights Carried at Fair Value
         
      Year ended December 31,
(in millions)   2012 2011 2010
Fair value, beginning of year$ 12,603 14,467 16,004
 Adjustments from adoption of consolidation accounting guidance  - - (118)
 Servicing from securitizations or asset transfers (1)  5,182 3,957 4,092
 Sales   (293) - -
  Net additions  4,889 3,957 3,974
 Changes in fair value:    
  Due to changes in valuation model inputs or assumptions:    
   Mortgage interest rates (2)  (2,092) (3,749) (1,944)
   Servicing and foreclosure costs (3)  (677) (694) (1,095)
   Discount rates (4)  (397) (150) (387)
   Prepayment estimates and other (5)  273 913 469
    Net changes in valuation model inputs or assumptions  (2,893) (3,680) (2,957)
  Other changes in fair value (6)  (3,061) (2,141) (2,554)
   Total changes in fair value  (5,954) (5,821) (5,511)
Fair value, end of year$ 11,538 12,603 14,467
         

  • The year ended December 31, 2012, includes $315 million residential MSRs transferred from amortized MSRs that we elected to carry at fair value effective January 1, 2012.
  • Primarily represents prepayment speed changes due to changes in mortgage interest rates, but also includes other valuation changes due to changes in mortgage interest rates (such as changes in estimated interest earned on custodial deposit balances).
  • Includes costs to service and unreimbursed foreclosure costs.
  • Reflects discount rate assumption change, excluding portion attributable to changes in mortgage interest rates; the year ended December 31, 2012, change predominantly reflects increased capital return requirements from market participants.
  • Represents changes driven by other valuation model inputs or assumptions including prepayment speed estimation changes and other assumption updates. Prepayment speed estimation changes are influenced by observed changes in borrower behavior that occur independent of interest rate changes.
  • Represents changes due to collection/realization of expected cash flows over time.
Changes In Amortized Mortgage Servicing Rights
        
     Year ended December 31,
(in millions)  2012 2011 2010
Balance, beginning of year$ 1,445 1,422 1,119
 Adjustments from adoption of consolidation accounting guidance  - - (5)
 Purchases  177 155 58
 Servicing from securitizations or asset transfers (1)  (229) 132 478
 Amortization (2)  (233) (264) (228)
Balance, end of year (2)  1,160 1,445 1,422
Valuation allowance:    
Balance, beginning of year  (37) (3) -
 Reversal of provision (provision) for MSRs in excess of fair value  37 (34) (3)
Balance, end of year (3)  - (37) (3)
Amortized MSRs, net$ 1,160 1,408 1,419
Fair value of amortized MSRs:    
 Beginning of year$ 1,756 1,812 1,261
 End of year (4)  1,400 1,756 1,812
        
        

  • The year ended December 31, 2012, is net of $350 million ($313 million after valuation allowance) of residential MSRs that we elected to carry at fair value effective January 1, 2012. A cumulative adjustment of $2 million to fair value was recorded in retained earnings at January 1, 2012.
  • Includes $350 million and $400 million in residential amortized MSRs at December 31, 2011 and 2010, respectively. For the years ended December 31, 2011 and 2010, the residential MSR amortization was $(50) million and $(5) million, respectively.
  • Commercial amortized MSRs are evaluated for impairment purposes by the following risk strata: agency (GSEs) and non-agency. There was no valuation allowance recorded for the periods presented on the commercial amortized MSRs. Residential amortized MSRs are evaluated for impairment purposes by the following risk strata: mortgages sold to GSEs (FHLMC and FNMA) and mortgages sold to GNMA, each by interest rate stratifications. A valuation allowance of $37 million and $3 million was recorded on the residential amortized MSRs for the years ended December 31, 2011 and 2010, respectively. For the year ended December 31, 2012, valuation allowance of $37 million for residential MSRs was reversed upon election to carry at fair value.
  • Includes fair value of $316 million and $441 million in residential amortized MSRs and $1,440 million and $1,371 million in commercial amortized MSRs at December 31, 2011 and 2010, respectively. The December 31, 2012, balance is all commercial amortized MSRs.
Components of Managed Servicing Portfolio
         
      December 31,
(in billions)   2012  2011
Residential mortgage servicing:    
 Serviced for others$ 1,498  1,456
 Owned loans serviced  368  358
 Subservicing  7  8
  Total residential servicing  1,873  1,822
Commercial mortgage servicing:    
 Serviced for others  408  398
 Owned loans serviced  106  106
 Subservicing  13  14
  Total commercial servicing  527  518
   Total managed servicing portfolio$ 2,400  2,340
Total serviced for others$ 1,906  1,854
Ratio of MSRs to related loans serviced for others  0.67% 0.76
         
Components of Mortgage Banking Noninterest Income
           
        Year ended December 31,
(in millions)  2012 2011 2010
Servicing income, net:    
 Servicing fees     
  Contractually specified servicing fees$ 4,626 4,611 4,566
  Late charges  257 298 360
  Ancillary fees  342 354 434
  Unreimbursed direct servicing costs (1)  (1,234) (1,119) (763)
   Net servicing fees  3,991 4,144 4,597
 Changes in fair value of MSRs carried at fair value:    
  Due to changes in valuation model inputs or assumptions (2)  (2,893) (3,680) (2,957)
  Other changes in fair value (3)  (3,061) (2,141) (2,554)
   Total changes in fair value of MSRs carried at fair value  (5,954) (5,821) (5,511)
 Amortization  (233) (264) (228)
 Provision for MSRs in excess of fair value  - (34) (3)
 Net derivative gains from economic hedges (4)  3,574 5,241 4,485
    Total servicing income, net  1,378 3,266 3,340
Net gains on mortgage loan origination/sales activities  10,260 4,566 6,397
     Total mortgage banking noninterest income$ 11,638 7,832 9,737
Market-related valuation changes to MSRs, net of hedge results (2) + (4)$ 681 1,561 1,528
           
           

  • Primarily associated with foreclosure expenses and certain interest costs.
  • Refer to the changes in fair value of MSRs table in this Note for more detail.
  • Represents changes due to collection/realization of expected cash flows over time.
  • Represents results from free-standing derivatives (economic hedges) used to hedge the risk of changes in fair value of MSRs. See Note 16 – Free-Standing Derivatives for additional discussion and detail.

 
Liability for Mortgage Loan Repurchase Losses
         
       Year ended December 31,
(in millions)  2012 2011 2010
Balance, beginning of year$ 1,326 1,289 1,033
 Provision for repurchase losses:    
  Loan sales  275 101 144
  Change in estimate (1)  1,665 1,184 1,474
   Total additions  1,940 1,285 1,618
 Losses  (1,060) (1,248) (1,362)
Balance, end of year$ 2,206 1,326 1,289
         

  • Results from such factors as changes in investor demand and mortgage insurer practices, credit deterioration and changes in the financial stability of correspondent lenders.