Loans sales and securitizations (Tables)
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9 Months Ended |
Sep. 30, 2011 |
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| Loan Sales and Securitizations [Abstract] |
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| Summarizes activity relating to residential mortgage loans sold with servicing retained |
The following table summarizes activity relating to residential mortgage loans sold with servicing retained for the three-month and nine-month periods ended September 30, 2011 and 2010:
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|
|
Three Months Ended |
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|
Nine Months Ended |
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|
|
September 30, |
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|
September 30, |
| (dollar amounts in thousands) |
|
2011 |
|
|
2010 |
|
|
2011 |
|
|
2010 |
| Residential mortgage loans sold with servicing retained |
$ |
515,179 |
|
$ |
924,494 |
|
$ |
2,264,697 |
|
$ |
2,463,509 |
| Pretax gains resulting from above loan sales (1) |
|
12,737 |
|
|
21,842 |
|
|
57,982 |
|
|
55,266 |
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| (1) |
Recorded in other noninterest income. |
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| Summarizes activity relating to residential mortgage loans sold with servicing retained using the fair value method |
The following tables summarize the changes in MSRs recorded using either the fair value method or the amortization method for the three-month and nine-month periods ended September 30, 2011 and 2010:
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|
Three Months Ended |
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|
Nine Months Ended |
| Fair Value Method: |
|
September 30, |
|
|
September 30, |
| (dollar amounts in thousands) |
|
2011 |
|
|
2010 |
|
|
2011 |
|
|
2010 |
| Fair value, beginning of period |
$ |
104,997 |
|
$ |
132,405 |
|
$ |
125,679 |
|
$ |
176,426 |
| Change in fair value during the period due to: |
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Time decay (1) |
|
(1,222) |
|
|
(1,088) |
|
|
(3,987) |
|
|
(4,295) |
| |
Payoffs (2) |
|
(4,614) |
|
|
(9,158) |
|
|
(15,013) |
|
|
(22,835) |
| |
Changes in valuation inputs or assumptions (3) |
|
(25,337) |
|
|
(10,004) |
|
|
(32,855) |
|
|
(37,141) |
| Fair value, end of period: |
$ |
73,824 |
|
$ |
112,155 |
|
$ |
73,824 |
|
$ |
112,155 |
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| (1) |
Represents decrease in value due to passage of time, including the impact from both regularly scheduled loan principal payments and partial loan paydowns. |
| (2) |
Represents decrease in value associated with loans that paid off during the period. |
| (3) |
Represents change in value resulting primarily from market-driven changes in interest rates and prepayment spreads. |
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| Summarizes activity relating to residential mortgage loans sold with servicing retained using the amortization method |
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Three Months Ended |
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Nine Months Ended |
| Amortization Method: |
|
September 30, |
|
|
September 30, |
| (dollar amounts in thousands) |
|
2011 |
|
|
2010 |
|
|
2011 |
|
|
2010 |
| Carrying value, beginning of period |
$ |
84,742 |
|
$ |
46,733 |
|
$ |
70,516 |
|
$ |
38,165 |
| New servicing assets created |
|
4,572 |
|
|
7,506 |
|
|
24,549 |
|
|
24,247 |
| Impairment charge |
|
(14,057) |
|
|
(2,043) |
|
|
(14,057) |
|
|
(6,899) |
| Amortization and other |
|
(3,804) |
|
|
(2,757) |
|
|
(9,555) |
|
|
(6,074) |
| Carrying value, end of period |
$ |
71,453 |
|
$ |
49,439 |
|
$ |
71,453 |
|
$ |
49,439 |
| Fair value, end of period |
$ |
71,467 |
|
$ |
50,832 |
|
$ |
71,467 |
|
$ |
50,832 |
|
| Summary of key assumptions and the sensitivity of the MSR value to changes in the assumptions |
A summary of key assumptions and the sensitivity of the MSR value at September 30, 2011, to changes in these assumptions follows:
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Decline in fair value due to |
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10% |
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|
20% |
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adverse |
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|
adverse |
| (dollar amounts in thousands) |
|
Actual |
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|
change |
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|
change |
| Constant prepayment rate |
|
18.64 |
% |
|
$ |
(4,729) |
|
$ |
(9,388) |
| Spread over forward interest rate swap rates |
|
658 |
bps |
|
|
(1,741) |
|
|
(3,482) |
|
| Summarizes changes in carrying value of automobile loan servicing rights |
Changes in the carrying value of automobile loan servicing rights for the three-month periods ended September 30, 2011, and 2010, and the fair value at the end of each period were as follows:
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|
|
Three Months Ended |
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|
Nine Months Ended |
| |
|
|
September 30, |
|
|
September 30, |
| (dollar amounts in thousands) |
|
2011 |
|
|
2010 |
|
|
2011 |
|
|
2010 |
| Carrying value, beginning of period |
$ |
49 |
|
$ |
373 |
|
$ |
97 |
|
$ |
12,912 |
| New servicing assets created |
|
16,039 |
|
|
--- |
|
|
16,039 |
|
|
--- |
| Amortization and other (1) |
|
(743) |
|
|
(228) |
|
|
(791) |
|
|
(12,767) |
| Carrying value, end of period |
$ |
15,345 |
|
$ |
145 |
|
$ |
15,345 |
|
$ |
145 |
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| Fair value, end of period |
$ |
16,039 |
|
$ |
387 |
|
$ |
16,039 |
|
$ |
387 |
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| (1) |
The nine months ended September 30, 2010, included a $12.4 million reduction related to the consolidation of a VIE in the 2010 first quarter. |
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