Ally Bank 2012 Annual Report Download - page 187

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The following tables summarize the fair value option elections and information regarding the amounts recorded as earnings for each fair
value option-elected item.
Changes included in the
Consolidated Statement of Income
Year ended December 31, ($ in millions)
Interest
and fees
on finance
receivables
and loans (a)
Interest
on loans
held-for-
sale (a)
Interest
on
long-term
debt (b)
Gain on
mortgage
loans, net
Other
income,
net of losses
Total
included
in
earnings
Change in
fair value
due to
credit risk (c)
2012
Assets
Mortgage loans held-for-sale, net $ — $ 82 $ — $ 262 $ — $ 344 $ — (d)
Consumer mortgage finance receivables
and loans, net 59 — — — 62 121 (24) (e)
Liabilities
Long-term debt
On-balance sheet securitization debt — — (34) — (81) (115) (8) (f)
Total $ 350
2011
Assets
Mortgage loans held-for-sale, net $ — $ 176 $ — $ 908 $ — $ 1,084 $ — (d)
Consumer mortgage finance receivables
and loans, net 200 — — — 153 353 (119) (e)
Liabilities
Long-term debt
On-balance sheet securitization debt — — (116) — (256) (372) (20) (f)
Accrued expenses and other liabilities
Loan repurchase liabilities — — — — 2 2 —
Total $ 1,067
(a) Interest income is measured by multiplying the unpaid principal balance on the loans by the coupon rate and the number of days of interest due.
(b) Interest expense is measured by multiplying bond principal by the coupon rate and the number of days of interest due to the investor.
(c) Factors other than credit quality that impact fair value include changes in market interest rates and the illiquidity or marketability in the current
marketplace. Lower levels of observable data points in illiquid markets generally result in wide bid/offer spreads.
(d) The credit impact for loans held-for-sale is assumed to be zero because the loans are either suitable for sale or are covered by a government guarantee.
(e) The credit impact for consumer mortgage finance receivables and loans was quantified by applying internal credit loss assumptions to cash flow models.
(f) The credit impact for on-balance sheet securitization debt is assumed to be zero until our economic interests in a particular securitization is reduced to
zero, at which point the losses on the underlying collateral will be expected to be passed through to third-party bondholders. Losses allocated to third-
party bondholders, including changes in the amount of losses allocated, will result in fair value changes due to credit. We also monitor credit ratings and
will make credit adjustments to the extent any bond classes are downgraded by rating agencies.
Table of Contents
Notes to Consolidated Financial Statements
Ally Financial Inc. • Form 10-K