Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v2.4.0.8
Fair Value (Tables)
9 Months Ended
Sep. 30, 2013
Fair Value Inputs, Assets, Quantitative Information [Line Items]  
Fair Value Inputs, Assets, Quantitative Information [Table Text Block]
The table below presents information about the significant unobservable inputs used in the fair value measurement of the Company’s MSRs classified as Level 3 fair value assets at September 30, 2013:
 
As of September 30, 2013
(in thousands)
Fair Value
 
Valuation Technique
 
Unobservable Input (1)
 
Range
 
Weighted Average
Mortgage servicing rights
$
15,703

 
Discounted cash flow
 
Constant prepayment speed
 
6

-
11
%
 
8.5
%
 
 
 
 
 
Delinquency
 
3

-
10
%
 
5.0
%
 
 
 
 
 
Discount rate
 
8

-
14
%
 
11.3
%
___________________
(1)
Significant increases/(decreases) in any of the inputs in isolation may result in significantly lower/(higher) fair value measurement. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the the probability of delinquency and a directionally opposite change in the assumption used for prepayment rates.
Fair Value, by Balance Sheet Grouping [Table Text Block]
The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at September 30, 2013 and December 31, 2012.
 
September 30, 2013
 
December 31, 2012
(in thousands)
Carrying Value
 
Fair Value
 
Carrying Value
 
Fair Value
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$
12,672,233

 
$
12,672,233

 
$
13,666,954

 
$
13,666,954

Trading securities
1,000,625

 
1,000,625

 
1,002,062

 
1,002,062

Equity securities

 

 
335,638

 
335,638

Mortgage loans held-for-sale
559,737

 
559,737

 
58,607

 
58,607

Mortgage loans held-for-investment in securitization trusts
804,988

 
804,988

 

 

Cash and cash equivalents
723,160

 
723,160

 
821,108

 
821,108

Restricted cash
678,328

 
678,328

 
302,322

 
302,322

Derivative assets
544,515

 
544,515

 
462,080

 
462,080

Mortgage servicing rights
15,703

 
15,703

 

 

Liabilities
 
 
 
 
 
 
 
Repurchase agreements
$
12,152,065

 
$
12,152,065

 
$
12,624,510

 
$
12,624,510

Collateralized borrowings in securitization trusts
649,082

 
649,082

 

 

Derivative liabilities
73,827

 
73,827

 
129,294

 
129,294

Fair Value, Measurement Inputs, Disclosure [Text Block]
The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities.
 
Recurring Fair Value Measurements
 
At September 30, 2013
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$

 
$
12,672,233

 
$

 
$
12,672,233

Trading securities
1,000,625

 

 

 
1,000,625

Mortgage loans held-for-sale

 
119,607

 
440,130

 
559,737

Mortgage loans held-for-investment in securitization trusts

 
804,988

 

 
804,988

Derivative assets
21,896

 
522,619

 

 
544,515

Mortgage servicing rights

 

 
15,703

 
15,703

Total assets
$
1,022,521

 
$
14,119,447

 
$
455,833

 
$
15,597,801

Liabilities
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
$

 
$
649,082

 
$

 
$
649,082

Derivative liabilities
34,634

 
39,193

 

 
73,827

Total liabilities
$
34,634

 
$
688,275

 
$

 
$
722,909

 
Recurring Fair Value Measurements
 
At December 31, 2012
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$

 
$
13,665,083

 
$
1,871

 
$
13,666,954

Trading securities
1,002,062

 

 

 
1,002,062

Equity securities
335,638

 

 

 
335,638

Mortgage loans held-for-sale

 
58,607

 

 
58,607

Derivative assets
1,917

 
460,163

 

 
462,080

Total assets
$
1,339,617

 
$
14,183,853

 
$
1,871

 
$
15,525,341

Liabilities
 
 
 
 
 
 
 
Derivative liabilities
$
239

 
$
129,055

 
$

 
$
129,294

Total liabilities
$
239

 
$
129,055

 
$

 
$
129,294

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]
The table below presents the reconciliation for all of the Company’s Level 3 assets and liabilities measured at fair value on a recurring basis. The Level 3 items presented below may be hedged by derivatives and other financial instruments that are classified as Level 1 or Level 2. Thus, the tables below do not fully reflect the impact of the Company’s risk management activities.
 
Level 3 Recurring Fair Value Measurements
 
 
Three Months Ended September 30, 2013
 
 
Assets
 
(in thousands)
Available-For-Sale Securities
 
Mortgage Loans Held-For-Sale
 
Mortgage Servicing Rights
 
Beginning of period level 3 fair value
$

 
$
438,193

 
$
1,452

 
Gains/(losses) included in net income:
 
 
 
 
 
 
Realized gains (losses)

(1) 
211

 

 
Unrealized gains (losses)

 
7,588

(2) 
861

 
Total net gains/(losses) included in net income

 
7,799

 
861

 
Other comprehensive income 

 

 

 
Purchases

 
175

 
13,390

 
Sales

 

 

 
Settlements

 
(6,037
)
 

 
Gross transfers into level 3

 

 

 
Gross transfers out of level 3

 

 

 
End of period level 3 fair value
$

 
$
440,130

 
$
15,703

 
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period
$

 
$
7,588

(3) 
$
861

 
 
Level 3 Recurring Fair Value Measurements
 
 
Nine Months Ended September 30, 2013
 
 
Assets
 
(in thousands)
Available-For-Sale Securities
 
Mortgage Loans Held-For-Sale
 
Mortgage Servicing Rights
 
Beginning of period level 3 fair value
$
1,871

 
$

 
$

 
Gains/(losses) included in net income:
 
 
 
 
 
 
Realized gains (losses)
74

(1) 
633

 

 
Unrealized gains (losses)

 
8,762

(2) 
816

 
Total net gains/(losses) included in net income
74

 
9,395

 
816

 
Other comprehensive income 
1,426

 

 

 
Purchases

 
440,243

 
14,887

 
Sales

 

 

 
Settlements

 
(9,508
)
 

 
Gross transfers into level 3
3,000

 

 

 
Gross transfers out of level 3
(6,371
)
 

 

 
End of period level 3 fair value
$

 
$
440,130

 
$
15,703

 
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period
$

 
$
8,762

(3) 
$
816

 
___________________
(1)
For the three and nine months ended September 30, 2013, the realized gains on available-for-sale securities represent net (premium amortization)/discount accretion recorded in interest income on the condensed consolidated statements of comprehensive income.
(2)
For the three and nine months ended September 30, 2013, the change in unrealized gains or losses on mortgage loans held-for-sale was recorded in (loss) gain on mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income.
(3)
For the three and nine months ended September 30, 2013, the change in unrealized gains or losses on mortgage loans held-for-sale that were held at the end of the reporting period were recorded in (loss) gain on mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income.

The Company transferred one Level 2 asset in the amount of $3.0 million into Level 3 during the three months ended March 31, 2013. The asset was deemed to be Level 3 based on the limited availability of third-party pricing. However, during the nine months ended September 30, 2013, the Company transferred this asset along with two other Level 3 assets in the amount of $6.4 million into Level 2. The assets were deemed to be Level 2 based on the availability of third-party pricing and corroborating market data. The Company did not incur transfers between Level 1 and Level 2 for the nine months ended September 30, 2013. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place.
Fair Value, Measurement Inputs, Disclosure [Text Block]
The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities.
 
Recurring Fair Value Measurements
 
At September 30, 2013
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$

 
$
12,672,233

 
$

 
$
12,672,233

Trading securities
1,000,625

 

 

 
1,000,625

Mortgage loans held-for-sale

 
119,607

 
440,130

 
559,737

Mortgage loans held-for-investment in securitization trusts

 
804,988

 

 
804,988

Derivative assets
21,896

 
522,619

 

 
544,515

Mortgage servicing rights

 

 
15,703

 
15,703

Total assets
$
1,022,521

 
$
14,119,447

 
$
455,833

 
$
15,597,801

Liabilities
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
$

 
$
649,082

 
$

 
$
649,082

Derivative liabilities
34,634

 
39,193

 

 
73,827

Total liabilities
$
34,634

 
$
688,275

 
$

 
$
722,909

 
Recurring Fair Value Measurements
 
At December 31, 2012
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$

 
$
13,665,083

 
$
1,871

 
$
13,666,954

Trading securities
1,002,062

 

 

 
1,002,062

Equity securities
335,638

 

 

 
335,638

Mortgage loans held-for-sale

 
58,607

 

 
58,607

Derivative assets
1,917

 
460,163

 

 
462,080

Total assets
$
1,339,617

 
$
14,183,853

 
$
1,871

 
$
15,525,341

Liabilities
 
 
 
 
 
 
 
Derivative liabilities
$
239

 
$
129,055

 
$

 
$
129,294

Total liabilities
$
239

 
$
129,055

 
$

 
$
129,294

Fair Value, Option, Quantitative Disclosures [Table Text Block]
The following table summarizes the fair value option elections and information regarding the amounts recognized in earnings for each fair value option-elected item.
 
Changes included in the Condensed Consolidated Statements of Comprehensive Income
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
2013
 
2012
 
2013
 
2012
(in thousands)
 
 
 
 
 
 
 
Interest income:
 
 
 
 
 
 
 
Interest income on mortgage loans held-for-sale (1)
$
9,297

 
$
167

 
$
15,409

 
$
362

Interest income on mortgage loans held-for-investment in securitization trusts (1)
5,649

 

 
11,672

 

Interest expense:
 
 
 
 
 
 
 
Interest expense on collateralized borrowings in securitization trusts
(3,125
)
 

 
(6,112
)
 

Other income:
 
 
 
 
 
 
 
Realized loss on mortgage loans held-for-sale (2)
(10,456
)
 
(23
)
 
(10,221
)
 
(45
)
Unrealized gain on mortgage loans held-for-sale (2)
6,013

 
34

 
4,974

 
59

Unrealized gain (loss) on mortgage loans held-for-investment in securitization trusts (3)
1,698

 

 
(23,059
)
 

Unrealized gain on collateralized borrowings in securitization trusts (3)
7,076

 

 
39,680

 

Realized gain on equity securities (4)

 

 
13,725

 

Unrealized loss on equity securities (4)

 

 
(5,882
)
 

Total included in net income
$
16,152

 
$
178

 
$
40,186

 
$
376

Change in fair value due to credit risk
$

 
$

 
$

 
$

____________________
(1)
Interest income on mortgage loans held-for-sale and mortgage loans held-for-investment in securitization trusts is measured by multiplying the unpaid principal balance on the loans by the coupon rate and the number of days of interest due.
(2)
Realized loss and unrealized gain on mortgage loans held-for-sale are recorded in (loss) gain on mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income.
(3)
Unrealized gain (loss) on mortgage loans held-for-investment in securitization trusts and unrealized gain on collateralized borrowings in securitization trusts are recorded in other income on the condensed consolidated statements of comprehensive income.
(4)
Realized gain and unrealized loss on equity securities are recorded in (loss) gain on investment securities on the condensed consolidated statements of comprehensive income.

The table below provides the fair value and the unpaid principal balance for the Company’s fair value option-elected loans and collateralized borrowings.
 
September 30, 2013
 
December 31, 2012
(in thousands)
Unpaid Principal Balance
 
Fair Value (1)
 
Unpaid Principal Balance
 
Fair Value (1)
Mortgage loans held-for-sale
 
 
 
 
 
 
 
Total loans
$
688,620

 
$
559,737

 
$
56,976

 
$
58,607

Nonaccrual loans
$
70,382

 
$
55,782

 
$

 
$

Loans 90+ days past due
$
47,086

 
$
37,303

 
$

 
$

Mortgage loans held-for-investment in securitization trusts
 
 
 
 
 
 
 
Total loans
$
825,285

 
$
804,988

 
$

 
$

Nonaccrual loans
$

 
$

 
$

 
$

Loans 90+ days past due
$

 
$

 
$

 
$

Collateralized borrowings in securitization trusts
 
 
 
 
 
 
 
Total borrowings
$
698,150

 
$
649,082

 
$

 
$

____________________
(1)
Excludes accrued interest receivable.