Annual report pursuant to Section 13 and 15(d)

Fair Values of Assets and Liabilities (Tables)

v2.4.0.6
Fair Values of Assets and Liabilities (Tables)
 12 Months Ended
Dec. 31, 2012
Fair Values of Assets and Liabilities [Abstract]  
Assets and liabilities measured at fair value on a recurring basis

Assets and liabilities measured at fair value on a recurring basis at December 31, 2012 and 2011 are summarized below

Fair Value Measurements at Reporting Date Using   Netting     Balance at
(dollar amounts in thousands)   Level 1     Level 2     Level 3   Adjustments (1)   December 31, 2012
Assets                            
Mortgage loans held for sale $ ---   $ 452,949   $ ---   $ ---   $ 452,949
                               
Trading account securities:                            
  Federal agencies: Mortgage-backed   ---     ---     ---     ---     ---
  Municipal securities   ---     15,218     ---     ---     15,218
  Other securities   75,729     258     ---     ---     75,987
      75,729     15,476     ---     ---     91,205
                               
Available-for-sale and other securities:                            
  U.S. Treasury securities   52,311     ---     ---     ---     52,311
  Federal agencies: Mortgage-backed (2)   ---     4,264,670     ---     ---     4,264,670
  Federal agencies: Other agencies   ---     359,626     ---     ---     359,626
  Municipal securities   ---     439,772     61,228     ---     501,000
  Private-label CMO   ---     22,793     48,775     ---     71,568
  Asset-backed securities   ---     919,046     110,037     ---     1,029,083
  Covered bonds   ---     290,625     ---     ---     290,625
  Corporate debt   ---     668,142     ---     ---     668,142
  Other securities   17,177     3,898     ---     ---     21,075
      69,488     6,968,572     220,040     ---     7,258,100
                               
Automobile loans   ---     ---     142,762     ---     142,762
                               
MSRs   ---     ---     35,202     ---     35,202
                               
Derivative assets   6,368     465,517     13,180     (99,368)     385,697
                               
Liabilities                            
Securitization trust notes payable   ---     ---     ---     ---     ---
                               
Derivative liabilities   6,813     228,312     478     (83,415)     152,188
                               
Other liabilities   ---     ---     ---     ---     ---
                               
Fair Value Measurements at Reporting Date Using   Netting     Balance at
(dollar amounts in thousands)   Level 1     Level 2     Level 3   Adjustments (1)   December 31, 2011
Assets                            
Mortgage loans held for sale $ ---   $ 343,588   $ ---   $ ---   $ 343,588
                               
Trading account securities:                            
  Federal agencies: Mortgage-backed   ---     5,541     ---     ---     5,541
  Municipal securities   ---     8,147     ---     ---     8,147
  Other securities   32,085     126     ---     ---     32,211
      32,085     13,814     ---     ---     45,899
                               
Available-for-sale and other securities:                            
  U.S. Treasury securities   53,204     ---     ---     ---     53,204
  Federal agencies: Mortgage-backed (2)   ---     4,464,892     ---     ---     4,464,892
  Federal agencies: Other agencies   ---     735,544     ---     ---     735,544
  Municipal securities   ---     312,634     95,092     ---     407,726
  Private-label CMO   ---     ---     72,364     ---     72,364
  Asset-backed securities   ---     845,390     121,698     ---     967,088
  Covered bonds   ---     504,045     ---     ---     504,045
  Corporate debt   ---     528,883     ---     ---     528,883
  Other securities   53,619     4,134     ---     ---     57,753
      106,823     7,395,522     289,154     ---     7,791,499
                               
Automobile loans   ---     ---     296,250     ---     296,250
                               
MSRs   ---     ---     65,001     ---     65,001
                               
Derivative assets   4,886     485,428     6,770     (94,082)     403,002
                               
Liabilities                            
Securitization trust notes payable   ---     123,039     ---     ---     123,039
                               
Derivative liabilities   12,245     246,132     6,939     ---     265,316
                               
Other liabilities   ---     751     ---     ---     751
                               
Rollforward of financial instruments measured on a recurring basis and classified as Level 3

The tables below present a rollforward of the balance sheet amounts for the years ended December 31, 2012, 2011, and 2010 for financial instruments measured on a recurring basis and classified as Level 3. The classification of an item as Level 3 is based on the significance of the unobservable inputs to the overall fair value measurement. However, Level 3 measurements may also include observable components of value that can be validated externally. Accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology

      Level 3 Fair Value Measurements
      Year ended December 31, 2012
              Available-for-sale securities        
                      Asset-        
          Derivative   Municipal   Private-   backed   Automobile   Equity
(dollar amounts in thousands)   MSRs   instruments   securities   label CMO   securities   loans   investments
Balance, beginning of year $ 65,001 $ (169) $ 95,092 $ 72,364 $ 121,698 $ 296,250 $ ---
Total gains / losses:                            
  Included in earnings   (29,799)   10,617   ---   (796)   (59)   (1,230)   ---
  Included in OCI   ---   ---   (1,637)   8,245   23,138   ---   ---
Purchases   ---   ---   ---   ---   ---   ---   ---
Sales   ---   ---   (3,040)   (15,183)   (20,852)   ---   ---
Repayments   ---   ---   ---   ---   ---   (152,258)   ---
Issuances   ---   ---   ---   ---   ---   ---   ---
Settlements   ---   2,254   (29,187)   (15,855)   (13,888)   ---   ---
Transfers in / out of Level 3   ---   ---   ---   ---   ---   ---   ---
Balance, end of year $ 35,202 $ 12,702 $ 61,228 $ 48,775 $ 110,037 $ 142,762 $ ---
                               
The amount of total gains                            
  or losses for the period                            
  included in earnings                            
  (or OCI) attributable to the                            
  change in unrealized gains or                            
  losses relating to assets still                            
  held at reporting date $ (29,799) $ 5,818 $ (1,637) $ 8,245 $ 23,138 $ (1,230) $ ---
                               
      Level 3 Fair Value Measurements
      Year ended December 31, 2011
              Available-for-sale securities        
                      Asset-        
          Derivative   Municipal   Private   backed   Automobile   Equity
(dollar amounts in thousands)   MSRs   instruments   securities   label CMO   securities   loans   investments
Balance, beginning of year $ 125,679 $ 966 $ 149,806 $ 121,925 $ 162,684 $ 522,717 $ ---
Total gains / losses:                            
  Included in earnings   (60,678)   211   ---   (1,673)   (3,065)   (6,577)   ---
  Included in OCI   ---   ---   ---   349   2,070   ---   ---
Purchases   ---   ---   1,760   ---   ---   ---   ---
Sales   ---   ---   ---   (20,958)   ---   ---   ---
Repayments   ---   ---   ---   ---   ---   (219,890)   ---
Issuances   ---   ---   ---   ---   ---   ---   ---
Settlements   ---   (1,346)   (56,474)   (27,279)   (39,991)   ---   ---
Transfers in / out of Level 3   ---   ---   ---   ---   ---   ---   ---
Balance, end of year $ 65,001 $ (169) $ 95,092 $ 72,364 $ 121,698 $ 296,250 $ ---
                               
The amount of total gains                            
  or losses for the period                            
  included in earnings                            
  (or OCI) attributable to the                            
  change in unrealized gains or                            
  losses relating to assets still                            
  held at reporting date $ (60,678) $ (1,135) $ --- $ (1,494) $ 595 $ (6,577) $ ---
                               
   
                               
      Level 3 Fair Value Measurements
      Year ended December 31, 2010
              Available-for-sale securities        
                      Asset-        
          Derivative   Municipal   Private   backed   Automobile   Equity
(dollar amounts in thousands)   MSRs   instruments   securities   label CMO   securities   loans   investments
Balance, beginning of year $ 176,427 $ (4,236) $ 11,515 $ 477,319 $ 407,098 $ --- $ 25,872
Total gains / losses:                            
  Included in earnings   (50,748)   4,413   ---   (5,117)   (6,160)   (2,267)   ---
  Included in OCI   ---   ---   ---   44,475   16,191   ---   ---
Purchases   ---   ---   ---   ---   ---   ---   ---
Sales   ---   ---   (112,322)   (312,460)   (53,806)   ---   ---
Repayments   ---   ---   ---   ---   ---   (266,381)   ---
Issuances   ---   (1,741)   ---   ---   ---   ---   ---
Settlements   ---   2,530   (73,024)   (82,292)   (16,566)   ---   ---
Transfers in / out of Level 3 (1)   ---   ---   323,637   ---   (184,073)   791,365   (25,872)
Balance, end of year $ 125,679 $ 966 $ 149,806 $ 121,925 $ 162,684 $ 522,717 $ ---
                               
The amount of total gains                            
  or losses for the period                            
  included in earnings                            
  (or OCI) attributable to the                            
  change in unrealized gains or                            
  losses relating to assets still                            
  held at reporting date $ (50,748) $ 1,715 $ --- $ 5,565 $ 15,113 $ (2,267) $ ---
                               
  (1) Transfers in / out of Level 3 include a transfer in of $323.6 million relating to municipal securities, due to lack of observable market data, a transfer out of $184.1 million of securities related to the consolidation of the 2009 Trust and a transfer in of $791.4 million of loans related to the 2009 Trust.
Classification of gains and losses due to changes in fair value, recorded in earnings for Level 3 assets and liabilities

The tables below summarize the classification of gains and losses due to changes in fair value, recorded in earnings for Level 3 assets and liabilities for the years ended December 31, 2012, 2011, and 2010:

      Level 3 Fair Value Measurements
      Year ended December 31, 2012
              Available-for-sale securities        
                      Asset-        
          Derivative   Municipal   Private   backed   Automobile   Equity
(dollar amounts in thousands)   MSRs   instruments   securities   label CMO   securities   loans   investments
Classification of gains and losses in earnings:                        
                               
Mortgage banking income (loss) $ (29,799) $ 10,617 $ --- $ --- $ --- $ --- $ ---
Securities gains (losses)   ---   ---   ---   (1,614)   ---   ---   ---
Interest and fee income   ---   ---   ---   818   (59)   (6,950)   ---
Noninterest income   ---   ---   ---   ---   ---   5,720   ---
Total $ (29,799) $ 10,617 $ --- $ (796) $ (59) $ (1,230) $ ---
                               
      Level 3 Fair Value Measurements
      Year ended December 31, 2011
              Available-for-sale securities        
                      Asset-        
          Derivative   Municipal   Private   backed   Automobile   Equity
(dollar amounts in thousands)   MSRs   instruments   securities   label CMO   securities   loans   investments
Classification of gains and losses in earnings:                        
                               
Mortgage banking income (loss) $ (60,678) $ 6,635 $ --- $ --- $ --- $ --- $ ---
Securities gains (losses)   ---   ---   ---   (2,551)   (4,159)   ---   ---
Interest and fee income   ---   ---   ---   878   1,094   (11,645)   ---
Noninterest income   ---   (6,424)   ---   ---   ---   5,068   ---
Total $ (60,678) $ 211 $ --- $ (1,673) $ (3,065) $ (6,577) $ ---
                               
      Level 3 Fair Value Measurements
      Year ended December 31, 2010
              Available-for-sale securities        
                      Asset-        
          Derivative   Municipal   Private   backed   Automobile   Equity
(dollar amounts in thousands)   MSRs   instruments   securities   label CMO   securities   loans   investments
Classification of gains and losses in earnings:                        
                               
Mortgage banking income (loss) $ (50,748) $ 4,413 $ --- $ --- $ --- $ --- $ ---
Securities gains (losses)   ---   ---   ---   (7,149)   (6,554)   ---   ---
Interest and fee income   ---   ---   ---   2,032   394   (11,202)   ---
Noninterest income   ---   ---   ---   ---   ---   8,935   ---
Total $ (50,748) $ 4,413 $ --- $ (5,117) $ (6,160) $ (2,267) $ ---
Assets and liabilities under the fair value option

The following table presents the fair value and aggregate principal balance of certain assets and liabilities under the fair value option:

      December 31, 2012     December 31, 2011
      Fair value     Aggregate           Fair value     Aggregate      
      carrying     unpaid           carrying     unpaid      
(dollar amounts in thousands)   amount     principal     Difference     amount     principal     Difference
Assets                                  
  Mortgage loans held for sale $ 452,949   $ 438,254   $ 14,695   $ 343,588   $ 328,641   $ 14,947
  Automobile loans   142,762     140,916     1,846     296,250     293,174     3,076
Liabilities                                  
  Securitization trust notes payable   ---     ---     ---     123,039     121,016     2,023

    Net gains (losses) from fair value changes
    Year ended December 31,
(dollar amounts in thousands)   2012       2011       2010  
                         
Assets                      
  Mortgage loans held for sale $ 4,284     $ 13,842     $ (5,633)  
  Automobile loans   (1,231)       (6,577)       (2,267)  
Liabilities                      
  Securitization trust notes payable   (2,023)       (7,731)       (9,565)  

    Gains (losses) included in fair value changes
    associated with instrument specific credit risk
    Year ended December 31,
(dollar amounts in thousands)   2012       2011       2010  
                         
Assets                      
  Automobile loans $ 2,749     $ 6,610     $ 3,370  
Assets measured at fair value on a nonrecurring basis

For the year ended December 31, 2012, assets measured at fair value on a nonrecurring basis were as follows:

          Fair Value Measurements Using        
          Quoted Prices     Significant     Significant     Total  
          In Active     Other     Other     Gains/(Losses)  
          Markets for     Observable     Unobservable     For the  
    Fair Value at     Identical Assets     Inputs     Inputs     Year Ended  
(dollar amounts in thousands) December 31,   (Level 1)     (Level 2)   (Level 3) December 31,  
2012                              
Impaired loans $ 150,873   $ ---   $ ---   $ 150,873   $ (43,386)  
Other real estate owned 28,097     ---     ---     28,097   $ (8,284)  
Quantitative information about significant unobservable level 3 fair value measurement inputs
Quantitative Information about Level 3 Fair Value Measurements
(dollar amounts in thousands, Fair Value at   Valuation   Significant   Range
except net costs to service) December 31, 2012   Technique   Unobservable Input   (Weighted Average)
MSRs $ 35,202   Discounted cash flow   Constant prepayment rate (CPR)   10.0% - 31.0% (20.0%)
            Spread over forward interest rate swap rates   -568 - 4,552 (1,288)
                 
Derivative assets   13,180   Consensus Pricing   Net market price   -2.3% - 10.8% (3.0%)
Derivative liabilities   478       Estimated Pull thru %   38.0% - 89.0% (75.0%)
                 
Municipal securities   61,228   Discounted cash flow   Discount rate   1.7% - 12.0% (3.1%)
                 
Private-label CMO   48,775   Discounted cash flow   Discount rate   3.0% - 8.5% (6.2%)
            Constant prepayment rate (CPR)   5.1% - 26.7% (14.8%)
            Probability of default   0.1% - 4.0% (1.0%)
            Loss Severity   0.0% - 64.0% (27.8%)
                 
Asset-backed securities   110,037   Discounted cash flow   Discount rate   4.5% - 16.6% (9.0%)
            Constant prepayment rate (CPR)   5.1% - 9.8% (5.3%)
            Cumulative prepayment rate   0.0% - 100.0% (6.9%)
            Constant default   0.3% - 4.0% (2.8%)
            Cumulative default   1.1% - 100.0% (20.1%)
            Loss given default   85.0% - 100.0% (92.4%)
            Cure given deferral   0.0% - 90.0% (34.7%)
            Loss severity   20.0% - 72.0% (64.9%)
                 
Automobile loans   142,762   Discounted cash flow   Constant prepayment rate (CPR)   15.6%
            Discount rate   0.8% - 5.0% (4.0%)
                 
Impaired loans   150,873   Appraisal value   ---   ---
                 
Other real estate owned   28,097   Appraisal value   ---   ---
                 
Carrying amounts and estimated fair values of financial instruments
Estimated Fair Value Measurements at Reporting Date Using   Balance at
(dollar amounts in thousands)   Level 1     Level 2     Level 3     December 31, 2012
                         
Financial Assets                      
  Loans held for sale $ ---   $ ---   $ 316,007   $ 316,007
  Held-to-maturity securities   ---     1,794,105     ---     1,794,105
  Net loans and direct financing leases   ---     ---     38,259,203     38,259,203
Financial liabilities                      
  Deposits   ---     39,136,127     7,194,588     46,330,715
  Short-term borrowings   ---     ---     584,671     584,671
  Other long-term debt   ---     2,124     154,595     156,719
  Subordinated notes   ---     ---     1,183,827     1,183,827
                         
Estimated Fair Value Measurements at Reporting Date Using   Balance at
(dollar amounts in thousands)   Level 1     Level 2     Level 3     December 31, 2011
                         
Financial Assets                      
  Loans held for sale $ ---   $ ---   $ 1,291,755   $ 1,291,755
  Held-to-maturity securities   ---     660,186     ---     660,186
  Net loans and direct financing leases   ---     ---     36,373,579     36,373,579
Financial liabilities                      
  Deposits   ---     35,049,194     8,356,931     43,406,125
  Short-term borrowings   ---     ---     1,429,717     1,429,717
  Other long-term debt   ---     937,959     171,977     1,109,936
  Subordinated notes   ---     ---     1,410,392     1,410,392