Annual report pursuant to Section 13 and 15(d)

Loans sales and securitizations (Tables)

v2.4.0.6
Loans sales and securitizations (Tables)
12 Months Ended
Dec. 31, 2012
Loan Sales and Securitizations [Abstract]  
Summarizes activity relating to residential mortgage loans sold with servicing retained

Residential Mortgage Portfolio

 

The following table summarizes activity relating to residential mortgage loans sold with servicing retained for the years ended December 31, 2012, 2011, and 2010:

 

(dollar amounts in thousands)   2012     2011     2010
Residential mortgage loans sold with servicing retained $ 3,954,762   $ 3,078,475   $ 3,943,830
Pretax gains resulting from above loan sales (1)   128,408     77,591     106,495
                   
(1) Recorded in mortgage banking income.
Summarizes activity relating to 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, 2012 and 2011:

 

Fair Value Method          
(dollar amounts in thousands)   2012     2011
Fair value, beginning of year $ 65,001   $ 125,679
Change in fair value during the period due to:          
  Time decay (1)   (2,881)     (4,966)
  Payoffs (2)   (14,389)     (19,464)
  Changes in valuation inputs or assumptions (3)   (12,529)     (36,248)
Fair value, end of year $ 35,202   $ 65,001
Weighted-average life (years)   3.2     3.2
             
(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 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, 2012 and 2011:

 

             
Amortization Method          
(dollar amounts in thousands)   2012     2011
Carrying value, beginning of year $ 72,434   $ 70,516
New servicing assets created   36,123     32,505
Impairment charge   (4,374)     (17,649)
Amortization and other   (18,638)     (12,938)
Carrying value, end of year $ 85,545   $ 72,434
Fair value, end of year $ 85,612   $ 72,586

Changes in the carrying value of automobile loan servicing rights for the years ended December 31, 2012 and 2011, and the fair value at the end of each period were as follows:

 

             
(dollar amounts in thousands)   2012     2011
Carrying value, beginning of year $ 13,377   $ 97
New servicing assets created   38,043     16,039
Impairment charge   (75)     ---
Amortization and other   (15,739)     (2,759)
Carrying value, end of year $ 35,606   $ 13,377
             
Fair value, end of year $ 36,470   $ 13,428
Weighted-average life (years)   4.3     4.7
Summary of key assumptions and the sensitivity of the servicing rights value to changes in the assumptions

For MSRs under the fair value method, a summary of key assumptions and the sensitivity of the MSR value to changes in these assumptions at December 31, 2012, and 2011 follows:

 

    December 31, 2012   December 31, 2011
            Decline in fair value due to           Decline in fair value due to
            10%     20%           10%     20%
            adverse     adverse           adverse     adverse
(dollar amounts in thousands)   Actual     change     change   Actual     change     change
Constant prepayment rate (annualized)   19.52 %   $ (2,608)   $ (5,051)   20.11 %   $ (4,720)   $ (9,321)
Spread over forward interest rate swap rates   1,288 bps     (1,290)     (2,580)   650 bps     (1,511)     (3,023)

For MSRs under the amortization method, a summary of key assumptions and the sensitivity of the MSR value to changes in these assumptions at December 31, 2012 and 2011 follows:

 

    December 31, 2012   December 31, 2011
            Decline in fair value due to           Decline in fair value due to
            10%     20%           10%     20%
            adverse     adverse           adverse     adverse
(dollar amounts in thousands)   Actual     change     change   Actual     change     change
Constant prepayment rate (annualized)   15.45 %   $ (4,936)   $ (9,451)   15.92 %   $ (3,679)   $ (7,160)
Spread over forward interest rate swap rates   940 bps     (3,060)     (6,119)   953 bps     (2,605)     (5,211)

A summary of key assumptions and the sensitivity of the automobile loan servicing rights value to changes in these assumptions at December 31, 2012 and 2011 follows:

 

    December 31, 2012   December 31, 2011
            Decline in fair value due to           Decline in fair value due to
            10%     20%           10%     20%
            adverse     adverse           adverse     adverse
(dollar amounts in thousands)   Actual     change     change   Actual     change     change
Constant prepayment rate (annualized)   13.80 %   $ (880)   $ (1,771)   15.60 %   $ (362)   $ (708)
Spread over forward interest rate swap rates   500 bps     (18)     (36)   NA       NA     NA