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| <NonNumbericText> <!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" --> <!-- Begin Block Tagged Note 25 - us-gaap:ScheduleOfServicingAssetsAtFairValueTextBlock--> <div style="margin-left: 0%"> <div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 12pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">NOTE 25 <font style="color: #ce1126">Mortgage Servicing Rights</font></font></b> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The Corporation accounts for consumer MSRs at fair value with changes in fair value recorded in the Consolidated Statement of Income in mortgage banking income. The Corporation economically hedges these MSRs with certain derivatives and securities including MBS and U.S. Treasuries. The securities that economically hedge the MSRs are classified in other assets with changes in the fair value of the securities and the related interest income recorded in mortgage banking income. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The table below presents activity for residential first mortgage MSRs for 2010 and 2009. </div> <div style="margin-top: 12pt; font-size: 1pt"> </div> <div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #ce1126"> </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 7pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <!-- Table Width Row BEGIN --> <tr style="font-size: 1pt" valign="bottom"> <td width="75%"> </td><!-- colindex=01 type=maindata --> <td width="1%"> </td><!-- colindex=02 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=02 type=lead --> <td width="7%" align="right"> </td><!-- colindex=02 type=body --> <td width="1%" align="left"> </td><!-- colindex=02 type=hang1 --> <td width="1%"> </td><!-- colindex=03 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=03 type=lead --> <td width="1%" align="right"> </td><!-- colindex=03 type=body --> <td width="1%" align="left"> </td><!-- colindex=03 type=hang1 --> <td width="3%"> </td><!-- colindex=04 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=04 type=lead --> <td width="8%" align="right"> </td><!-- colindex=04 type=body --> <td width="1%" align="left"> </td><!-- colindex=04 type=hang1 --> </tr> <!-- Table Width Row END --> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <font style="font-size: 7pt">(Dollars in millions) </font> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>2010</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> 2009 </td> <td> </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Balance, January 1</font></b> </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>19,465</b> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> $ </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> 12,733 </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Merrill Lynch balance, January 1, 2009 </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>–</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 209 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Net additions </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>3,516</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 5,728 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Impact of customer payments </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(3,760</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (4,491 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Other changes in MSR fair value <sup style="font-size: 85%; vertical-align: top">(1)</sup> </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(4,321</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 5,286 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 30pt"> <b><font style="font-size: 6pt">Balance, December 31</font></b> </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>14,900</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 19,465 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Mortgage loans serviced for investors (in billions)</font></b> </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,628</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,716 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <tr> <td width="1%"></td> <td width="1%"></td> <td width="98%"></td> </tr> <tr> <td valign="top"> <font style="font-size: 6pt"><sup style="font-size: 85%; vertical-align: top">(1)</sup></font></td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">These amounts reflect the change in discount rates and prepayment speed assumptions, mostly due to changes in interest rates, as well as the effect of changes in other assumptions. </font></td> </tr> </table> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The Corporation uses an OAS valuation approach to determine the fair value of MSRs which factors in prepayment risk. This approach consists of projecting servicing cash flows under multiple interest rate scenarios and discounting these cash flows using risk-adjusted discount rates. The key economic assumptions used in determining the fair value of MSRs at December 31, 2010 and 2009 are presented below. </div> <div style="margin-top: 12pt; font-size: 1pt"> </div> <div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #ce1126"> </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 7pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <!-- Table Width Row BEGIN --> <tr style="font-size: 1pt" valign="bottom"> <td width="55%"> </td><!-- colindex=01 type=maindata --> <td width="2%"> </td><!-- colindex=02 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=02 type=lead --> <td width="3%" align="right"> </td><!-- colindex=02 type=body --> <td width="1%" align="left"> </td><!-- colindex=02 type=hang1 --> <td width="4%"> </td><!-- colindex=03 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=03 type=lead --> <td width="9%" align="right"> </td><!-- colindex=03 type=body --> <td width="1%" align="left"> </td><!-- colindex=03 type=hang1 --> <td width="4%"> </td><!-- colindex=04 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=04 type=lead --> <td width="3%" align="right"> </td><!-- colindex=04 type=body --> <td width="1%" align="left"> </td><!-- colindex=04 type=hang1 --> <td width="4%"> </td><!-- colindex=05 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=05 type=lead --> <td width="8%" align="right"> </td><!-- colindex=05 type=body --> <td width="1%" align="left"> </td><!-- colindex=05 type=hang1 --> </tr> <!-- Table Width Row END --> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="14" align="center" valign="bottom"> <b>December 31</b> </td> <td> </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="6" align="center" valign="bottom" style="border-top: 1px solid #ce1126"> <b>2010</b> </td> <td style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td colspan="6" align="center" valign="bottom" style="border-top: 1px solid #ce1126"> 2009 </td> <td style="border-top: 1px solid #ce1126"> </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <font style="font-size: 7pt">(Dollars in millions) </font> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Fixed</b> </td> <td style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Adjustable</b> </td> <td style="border-top: 1px solid #ce1126"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> Fixed </td> <td style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> Adjustable </td> <td style="border-top: 1px solid #ce1126"> </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -7pt; margin-left: 7pt"> Weighted-average option adjusted spread </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>2.21</b> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> <b>%</b> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>3.25</b> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> <b>%</b> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> 1.67 </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> % </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> 4.64 </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> % </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> Weighted-average life, in years </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>4.85</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2.29</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 5.62 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 3.26 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <!-- XBRL Pagebreak Begin --> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-size: 8pt"> </font> </b> <font style="font-size: 7pt"> </font> </div> </div> <!-- END PAGE WIDTH --> <!-- PAGEBREAK --> <div style="margin-left: 0%"> <!-- BEGIN PAGE WIDTH --> <!-- XBRL Pagebreak End --> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="margin-top: 6pt; text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The table below presents the sensitivity of the weighted-average lives and fair value of MSRs to changes in modeled assumptions. These sensitivities are hypothetical and should be used with caution. As the amounts indicate, changes in fair value based on variations in assumptions generally cannot be extrapolated because the relationship of the change in assumption to the change in fair value may not be linear. Also, the effect of a variation in a particular assumption on the fair value of MSRs that continue to be held by the Corporation is calculated without changing any other assumption. In reality, changes in one factor may result in changes in another, which might magnify or counteract the sensitivities. The below sensitivities do not reflect any hedge strategies that may be undertaken to mitigate such risk. </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 2%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> Commercial and residential reverse mortgage MSRs, which are carried at the lower of cost or market value and accounted for using the amortization method, totaled $278 million and $309 million at December 31, 2010 and 2009, and are not included in the table below. </div> <div style="margin-top: 12pt; font-size: 1pt"> </div> <div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #ce1126"> </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 7pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <!-- Table Width Row BEGIN --> <tr style="font-size: 1pt" valign="bottom"> <td width="58%"> </td><!-- colindex=01 type=maindata --> <td width="2%"> </td><!-- colindex=02 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=02 type=lead --> <td width="10%" align="right"> </td><!-- colindex=02 type=body --> <td width="1%" align="left"> </td><!-- colindex=02 type=hang1 --> <td width="3%"> </td><!-- colindex=03 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=03 type=lead --> <td width="10%" align="right"> </td><!-- colindex=03 type=body --> <td width="1%" align="left"> </td><!-- colindex=03 type=hang1 --> <td width="3%"> </td><!-- colindex=04 type=gutter --> <td width="1%" align="right"> </td><!-- colindex=04 type=lead --> <td width="8%" align="right"> </td><!-- colindex=04 type=body --> <td width="1%" align="left"> </td><!-- colindex=04 type=hang1 --> </tr> <!-- Table Width Row END --> <!-- TableOutputHead --> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="10" nowrap="nowrap" align="center" valign="bottom"> <b>December 31, 2010</b> </td> <td> </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="6" nowrap="nowrap" align="center" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Change in<br /> </b> </td> <td style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="6" nowrap="nowrap" align="center" valign="bottom"> <b>Weighted-average Lives</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="6" nowrap="nowrap" align="right" valign="bottom"> <b><font style="color: #ce1126"></font></b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Change in<br /> </b> </td> <td> </td> </tr> <tr style="font-size: 6pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <font style="font-size: 7pt">(Dollars in millions) </font> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Fixed</b> </td> <td style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> <b>Adjustable</b> </td> <td style="border-top: 1px solid #ce1126"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Fair Value</b> </td> <td> </td> </tr> <!-- TableOutputBody --> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">Prepayment rates</font></b> </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Impact of 10% decrease </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 0.33 years </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 0.16 years </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 907 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Impact of 20% decrease </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 0.70 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 0.34 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,925 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Impact of 10% increase </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (0.29 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (0.14 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (814 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Impact of 20% increase </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (0.55 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (0.26 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (1,551 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 6pt"> <b><font style="font-size: 6pt">OAS level</font></b> </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Impact of 100 bps decrease </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> n/a </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> n/a </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 796 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Impact of 200 bps decrease </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> n/a </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> n/a </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,668 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Impact of 100 bps increase </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> n/a </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> n/a </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (729 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -6pt; margin-left: 18pt"> Impact of 200 bps increase </div> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> n/a </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> n/a </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (1,398 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> </tr> <tr style="font-size: 1pt"> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="right" valign="bottom" style="border-top: 1px solid #ce1126"> </td> <td nowrap="nowrap" align="left" valign="bottom" style="border-top: 1px solid #ce1126"> </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left"> <tr> <td width="1%"></td> <td width="1%"></td> <td width="98%"></td> </tr> <tr> <td valign="top"> </td> <td></td> <td valign="bottom" style="text-align:justify"> <font style="font-size: 6pt">n/a = not applicable </font></td> </tr> </table> <div style="margin-top: 12pt; font-size: 1pt"> </div> </div> </NonNumbericText> |
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| | | <ElementDefenition> This schedule lists 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 (through purchases of servicing assets, assumptions of servicing obligations, and servicing obligations that result from transfers of financial 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. </ElementDefenition> |
| | | <ElementReferences> Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name FASB Staff Position (FSP) -Number FAS140-4 and FIN46(R)-8 -Paragraph B9 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 140 -Paragraph 17 -Subparagraph f </ElementReferences> |
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