|
Loans sales and securitizations (Tables)
|
12 Months Ended |
|
Dec. 31, 2011
|
| Loan Sales and Securitizations [Abstract] |
|
| Summarizes activity relating to residential mortgage loans sold with servicing retained |
Residential Mortgage Loans
The following table summarizes activity relating to residential mortgage loans sold with servicing retained for the years ended December 31, 2011, 2010, and 2009.
| (dollar amounts in thousands) |
|
2011 |
|
|
2010 |
|
|
2009 |
| Residential mortgage loans sold with servicing retained |
$ |
3,078,475 |
|
$ |
3,943,830 |
|
$ |
4,307,526 |
| Pretax gains resulting from above loan sales (1) |
|
77,591 |
|
|
106,495 |
|
|
87,192 |
| |
|
|
|
|
|
|
|
|
|
| (1) |
Recorded in noninterest income. |
|
| 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 years ended December 31, 2011 and 2010:
| Fair Value Method |
|
|
|
|
|
| (dollar amounts in thousands) |
|
2011 |
|
|
2010 |
| Fair value, beginning of year |
$ |
125,679 |
|
$ |
176,427 |
| Change in fair value during the period due to: |
|
|
|
|
|
| |
Time decay (1) |
|
(4,966) |
|
|
(5,359) |
| |
Payoffs (2) |
|
(19,464) |
|
|
(32,668) |
| |
Changes in valuation inputs or assumptions (3) |
|
(36,248) |
|
|
(12,721) |
| Fair value, end of year |
$ |
65,001 |
|
$ |
125,679 |
| |
|
|
|
|
|
|
| (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. |
|
| Summarizes activity relating to residential mortgage loans sold with servicing retained using the amortization method |
The following tables summarize the changes in MSRs recorded using either the fair value method or the amortization method for the years ended December 31, 2011 and 2010:
| |
|
|
|
|
|
|
| Amortization Method |
|
|
|
|
|
| (dollar amounts in thousands) |
|
2011 |
|
|
2010 |
| Carrying value, beginning of year |
$ |
70,516 |
|
$ |
38,165 |
| New servicing assets created |
|
32,505 |
|
|
41,489 |
| Impairment charge |
|
(17,649) |
|
|
--- |
| Amortization and other |
|
(12,938) |
|
|
(9,138) |
| Carrying value, end of year |
$ |
72,434 |
|
$ |
70,516 |
| Fair value, end of year |
$ |
72,586 |
|
$ |
87,461 |
|
| 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 December 31, 2011 to changes in these assumptions follows:
| |
|
|
|
|
|
Decline in fair value due to |
| |
|
|
|
|
|
10% |
|
|
20% |
| |
|
|
|
|
|
adverse |
|
|
adverse |
| (dollar amounts in thousands) |
|
Actual |
|
|
change |
|
|
change |
| Constant prepayment rate |
|
20.11 |
% |
|
$ |
(4,720) |
|
$ |
(9,321) |
| Spread over forward interest rate swap rates |
|
650 |
bps |
|
|
(1,511) |
|
|
(3,023) |
|
| Summarizes changes in carrying value of automobile loan servicing rights |
Changes in the carrying value of automobile loan servicing rights for the years ended December 31, 2011 and 2010, and the fair value at the end of each period were as follows:
| |
|
|
|
|
|
|
| (dollar amounts in thousands) |
|
2011 |
|
|
2010
|
| Carrying value, beginning of year |
$ |
97 |
|
$ |
12,912
|
| New servicing assets created |
|
16,039 |
|
|
---
|
| Amortization and other |
|
(2,759) |
|
|
(12,815)(1)
|
| Carrying value, end of year |
$ |
13,377 |
|
$ |
97
|
| |
|
|
|
|
|
|
| Fair value, end of year |
$ |
13,428 |
|
$ |
278
|
| |
|
|
|
|
|
|
| (1) |
Included a $12.4 million reduction related to the consolidation of an automobile securitization trust upon the adoption of amended accounting guidance on January 1, 2010. See Consolidated VIEs (2009 Automobile Trust) in Note 21.
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