Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2012

Fair Value Measurements

Schedule of difference between the carrying amounts of Mortgage loans held for sale measured at fair value, and the aggregate unpaid principal amount that the Company is contractually entitled to receive at maturity

	March 31, 2012					December 31, 2011
	Total		Loans 90 days or more past due and on non-accrual status			Total		Loans 90 days or more past due and on non-accrual status
	(In millions)
Mortgage loans held for sale:
Carrying amount	$	1,644	$	14		$	2,658	$	23
Aggregate unpaid principal balance	1,624		21			2,592		34
Difference	$	20	$	(7	)	$	66	$	(11	)

Schedule of components of Mortgage loans held for sale

	March 31,		December 31,
	2012		2011
	(In millions)
First mortgages:
Conforming (1)	$	1,518	$	2,483
Non-conforming	63		109
Construction loans	1		4
Total first mortgages	1,582		2,596
Second lien	10		10
Scratch and Dent (2)	51		50
Other	1		2
Total	$	1,644	$	2,658

(1)Represents mortgage loans that conform to the standards of the government-sponsored entities.

(2)Represents mortgage loans with origination flaws or performance issues.

Schedule of significant assumptions used in estimating the fair value of Mortgage servicing rights (MSRs)

	March 31,		December 31,
	2012		2011
Weighted-average prepayment speed (CPR)	14	%	18	%
Option adjusted spread, in basis points	991		857
Weighted-average delinquency rate	6	%	n/a

Schedule of estimated change in the fair value of MSRs from adverse changes in the significant assumptions

	March 31, 2012
	Weighted-						Weighted-
	Average			Option			Average
	Prepayment			Adjusted			Delinquency
	Speed			Spread			Rate
	(In millions)
Impact on fair value of 10% adverse change	$	(70	)	$	(53	)	$	(13	)
Impact on fair value of 20% adverse change	(133		)	(102		)	(26		)

Schedule of assets and liabilities measured at fair value on a recurring basis

	March 31, 2012
							Cash
	Level		Level		Level		Collateral
	One		Two		Three		and Netting (1)			Total
	(In millions)
ASSETS
Restricted investments	$	—	$	205	$	—	$	—		$	205
Mortgage loans held for sale	—		1,631		13		—			1,644
Mortgage servicing rights	—		—		1,296		—			1,296
Other assets:
Derivative assets:
Interest rate lock commitments	—		—		128		—			128
Forward delivery commitments	—		30		—		(20		)	10
Option contracts	—		2		—		—			2
MSR-related agreements	—		2		—		(2		)	—
Interest rate contracts	—		1		—		—			1
Convertible note-related agreements	—		—		10		—			10
LIABILITIES
Other liabilities:
Derivative liabilities:
Forward delivery commitments	—		14		—		(9		)	5
Convertible note-related agreements	—		—		10		—			10

	December 31, 2011
							Cash
	Level		Level		Level		Collateral
	One		Two		Three		and Netting(1)			Total
	(In millions)
ASSETS
Restricted investments	$	—	$	226	$	—	$	—		$	226
Mortgage loans held for sale	—		2,641		17		—			2,658
Mortgage servicing rights	—		—		1,209		—			1,209
Other assets:
Derivative assets:
Interest rate lock commitments	—		—		184		—			184
Forward delivery commitments	—		38		—		(32		)	6
Option contracts	—		2		—		—			2
MSR-related agreements	—		6		—		(6		)	—
Interest rate contracts	—		1		—		—			1
Convertible note-related agreements	—		—		4		—			4
Securitized mortgage loans	—		—		28		—			28
LIABILITIES
Debt:
Mortgage loan securitization debt certificates	$	—	$	—	$	21	$	—		$	21
Other liabilities:
Derivative liabilities:
Forward delivery commitments	—		127		—		(86		)	41
Interest rate contracts	—		1		—		—			1
Convertible note-related agreements	—		—		4		—			4

(1)Represents adjustments to arrive at the carrying amount of assets and liabilities presented in the Condensed Consolidated Balance Sheets for the effect of netting the payable or receivable and cash collateral held or placed with the same counterparties under master netting arrangements.

Schedule of activity in assets and liabilities classified within Level Three of the valuation hierarchy

	Three Months Ended March 31, 2012
							Interest									Mortgage loan
	Mortgage			Mortgage			rate lock						Securitized			securitization
	loans held			servicing			commitments,			Investment			mortgage			debt
	for sale			rights			net			securities			loans			certificates
	(In millions)
Balance, beginning of period	$	17		$	1,209		$	184		$	—		$	28		$	21
Realized and unrealized gains (losses)	—			(21		)	386			(2		)	—			—
Purchases	1			—			—			—			—			—
Issuances	—			108			—			—			—			—
Settlements	(1		)	—			(442		)	(5		)	—			—
Transfers into Level Three	—			—			—			—			—			—
Transfers out of Level Three	(4		)	—			—			—			—			—
Deconsolidation of entity(1)	—			—			—			7			(28		)	(21		)
Balance, end of period	$	13		$	1,296		$	128		$	—		$	—		$	—

	Three Months Ended March 31, 2011
							Interest						Mortgage loan
	Mortgage			Mortgage			rate lock			Securitized			securitization
	loans held			servicing			commitments,			mortgage			debt
	for sale			rights			net			loans			certificates
	(In millions)
Balance, beginning of period	$	172		$	1,442		$	(4	)	$	42		$	30
Realized and unrealized gains (losses) for assets	(12		)	(32		)	184			(1		)	—
Realized and unrealized losses for liabilities	—			—			—			—			1
Purchases	12			—			—			—			—
Issuances	177			180			—			—			—
Settlements	(173		)	—			(131		)	(4		)	(3		)
Transfers into Level Three	48			—			—			—			—
Transfers out of Level Three	(67		)	—			—			—			—
Balance, end of period	$	157		$	1,590		$	49		$	37		$	28

(1)In January 2012, the Company sold its’ investment in the subordinated debt and residual interests of a Mortgage loan securitization trust that had been consolidated as a variable interest entity.

Schedule of realized and unrealized gains and losses related to assets and liabilities classified within Level Three of the valuation hierarchy

	Three Months Ended
	March 31,
	2012			2011
	(In millions)
Gain on mortgage loans, net:
Mortgage loans held for sale	$	—		$	(15	)
Interest rate lock commitments	386			184
Change in fair value of mortgage servicing rights:
Mortgage servicing rights	(21		)	(32		)
Mortgage interest income:
Mortgage loans held for sale	—			3
Securitized mortgage loans	—			1
Mortgage interest expense:
Mortgage securitization debt certificates	—			(1		)
Other income:
Securitized mortgage loans	—			(3		)
Investment securities	(2		)	—

Schedule of unrealized gains and losses related to assets and liabilities classified within Level Three of the valuation hierarchy

	Three Months Ended
	March 31,
	2012		2011
	(In millions)
Gain on mortgage loans, net	$	123	$	33
Change in fair value of mortgage servicing rights	43		28
Other income	—		(3		)