Amsouth Bank 2000 Annual Report

2000 Annual Report

AmSouth Bancorporation and Subsidiaries
Notes to Consolidated Financial Statements

NOTE 23–SECURITIZATIONS

During 2000, AmSouth sold commercial, residential mortgage and dealer loans to third-party conduits. AmSouth also sold dealer loans and residential mortgage loans in securitization transactions. AmSouth retained servicing responsibilities in all of these sales and securitization transactions. In addition, AmSouth also retained interest in excess interest spreads and in some cases, subordinated interests. In addition to these transactions, AmSouth also engaged in an ongoing program of selling residential mortgage loans to third parties in which no servicing or other interest was retained.

During 2000, AmSouth recognized $16,881,000 in gains on sales of residential mortgage loans to conduits, $9,323,000 in gains on sales of dealer loans to conduits, a loss of $18,531,000 on the securitization of dealer loans, and a gain of $131,000 on the securitization of mortgage loans to the FHLMC.

For the year 2000, $464,000,000 in residential mortgage loans were sold as part of AmSouth’s ongoing mortgage loan sales program and resulted in a net gain of $3,784,000. No gains or losses were recognized on commercial loans sold to third-party conduits nor was any retained interest recorded due to the relatively short life of the commercial loans sold into the conduits (average life of 30 days). The following table summarizes the key assumptions used in the calculation of retained interests and the gain or loss on the sales and securitization transactions during 2000. It also provides the assumptions used in the subsequent valuation of retained interests at year-end, the cash flows received from and paid to third-party conduits and securitization trusts during the year and the sensitivity of the current fair value of residual cash flows to the immediate 10 and 20 percent change in the current assumptions:


(Dollars in millions)			Residential Mortgage Conduit	Dealer Conduit	Dealer Securitization	Residential Mortgage Securitization

Valuation assumptions at the
	time of the transactions:
	Discount rate		15-20%	15%	15%	10%
	Prepayment rate		9-24% CPR	11⁄2% ABS	11⁄2% ABS	133-300 PSA
	Weighted average life (years)		4.46	1.70	1.55	4.61
	Expected credit losses		.22%	1.33%	1.32%	N/A
cash flow information:
	Proceeds from sales		$ 1,302.0	$ 1,001.1	$ 917.1	$ 131.6
	Servicing fees and retained interests		13.5	11.8	1.6	1.7
valuation assumptions at
	December 31, 2000:
	Discount rate		15-20%	15%	15%	10%
	Prepayment rate		9-24% CPR	11⁄2% ABS	11⁄2% ABS	150-600 PSA
	Weighted average life (years)		4.14	1.41	1.48	4.28
	Expected credit losses		.18%	1.35%	1.33%	N/A
residual cash flow sensitivity:
	Fair value of servicing and retained
		interests at December 31, 2000	$ 27.3	$ 16.0	$ 35.9	$ 1.5
	prepayment speed:
		10% change	(1.1)	(0.9)	(0.3)	(0.07)
		20% change	(3.0)	(1.7)	(0.5)	(0.13)
	credit losses:
		10% change	(0.3)	(0.8)	(0.9)	N/A
		20% change	(0.5)	(1.5)	(1.8)	N/A