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Loans sales and securitizations (Tables)
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6 Months Ended |
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Jun. 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 six-month periods ended June 30, 2011 and 2010:
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Three Months Ended |
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Six Months Ended |
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June 30, |
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June 30, |
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| (dollar amounts in thousands) |
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2011 |
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2010 |
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2011 |
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2010 |
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Residential mortgage loans sold with servicing retained
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$ |
492,015 |
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$ |
803,000 |
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$ |
1,749,518 |
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$ |
1,539,015 |
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Pretax gains resulting from above loan sales (1)
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12,565 |
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18,661 |
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45,244 |
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33,424 |
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| (1) |
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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 six-month periods ended June 30, 2011 and 2010:
Fair Value Method:
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Three Months Ended |
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Six Months Ended |
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June 30, |
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June 30, |
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| (dollar amounts in thousands) |
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2011 |
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2010 |
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2011 |
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2010 |
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Fair value, beginning of period
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$ |
119,207 |
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$ |
162,106 |
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$ |
125,679 |
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$ |
176,427 |
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Change in fair value during the period due to:
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Time decay (1)
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(1,390 |
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(1,536 |
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(2,764 |
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(3,208 |
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Payoffs (2)
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(4,528 |
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(6,800 |
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(10,400 |
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(13,677 |
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Changes in valuation inputs or assumptions (3)
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(8,292 |
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(21,365 |
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(7,518 |
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(27,137 |
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Fair value, end of period:
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$ |
104,997 |
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$ |
132,405 |
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$ |
104,997 |
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$ |
132,405 |
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| (1) |
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Represents decrease in value due to passage of time, including the impact from both
regularly scheduled loan principal payments and partial loan paydowns. |
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| (2) |
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Represents decrease in value associated with loans that paid off during the period. |
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| (3) |
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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 |
Amortization
Method:
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Three Months Ended |
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Six Months Ended |
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June 30, |
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June 30, |
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2011 |
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2010 |
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2011 |
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2010 |
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Carrying value, beginning of year
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$ |
83,352 |
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$ |
45,446 |
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$ |
70,516 |
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$ |
38,165 |
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New servicing assets created
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4,525 |
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7,944 |
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19,978 |
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16,741 |
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Impairment charge
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— |
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(4,856 |
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— |
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(4,856 |
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Amortization and other
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(3,135 |
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(1,801 |
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(5,752 |
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(3,317 |
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Carrying value, end of period
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$ |
84,742 |
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$ |
46,733 |
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$ |
84,742 |
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$ |
46,733 |
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Fair value, end of period
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$ |
95,829 |
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$ |
47,565 |
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$ |
95,829 |
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$ |
47,565 |
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| 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 June 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 |
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Actual |
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change |
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change |
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Constant prepayment rate
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11.93 |
% |
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$ |
(5,954 |
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$ |
(11,214 |
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Spread over forward interest rate swap rates
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494 |
bps |
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(2,279 |
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(4,557 |
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