|
Fair Value (Tables)
|
9 Months Ended |
|
Sep. 30, 2014
|
| Fair Value Disclosures [Abstract] |
|
| 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, 2014 |
(in thousands) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Assets |
|
|
|
|
|
|
|
Available-for-sale securities |
$ |
— |
|
|
$ |
12,697,908 |
|
|
$ |
— |
|
|
$ |
12,697,908 |
|
Trading securities |
1,993,124 |
|
|
— |
|
|
— |
|
|
1,993,124 |
|
Mortgage loans held-for-sale |
— |
|
|
418,719 |
|
|
26,346 |
|
|
445,065 |
|
Mortgage loans held-for-investment in securitization trusts |
— |
|
|
1,428,890 |
|
|
— |
|
|
1,428,890 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
498,466 |
|
|
498,466 |
|
Derivative assets |
4,101 |
|
|
349,792 |
|
|
— |
|
|
353,893 |
|
Total assets |
$ |
1,997,225 |
|
|
$ |
14,895,309 |
|
|
$ |
524,812 |
|
|
$ |
17,417,346 |
|
Liabilities |
|
|
|
|
|
|
|
Collateralized borrowings in securitization trusts |
$ |
— |
|
|
$ |
938,506 |
|
|
$ |
— |
|
|
$ |
938,506 |
|
Derivative liabilities |
2,396 |
|
|
1,825 |
|
|
— |
|
|
4,221 |
|
Total liabilities |
$ |
2,396 |
|
|
$ |
940,331 |
|
|
$ |
— |
|
|
$ |
942,727 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Recurring Fair Value Measurements |
|
At December 31, 2013 |
(in thousands) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Assets |
|
|
|
|
|
|
|
Available-for-sale securities |
$ |
— |
|
|
$ |
12,256,727 |
|
|
$ |
— |
|
|
$ |
12,256,727 |
|
Trading securities |
1,000,180 |
|
|
— |
|
|
— |
|
|
1,000,180 |
|
Mortgage loans held-for-sale |
— |
|
|
119,855 |
|
|
424,726 |
|
|
544,581 |
|
Mortgage loans held-for-investment in securitization trusts |
— |
|
|
792,390 |
|
|
— |
|
|
792,390 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
514,402 |
|
|
514,402 |
|
Derivative assets |
33,425 |
|
|
516,434 |
|
|
— |
|
|
549,859 |
|
Total assets |
$ |
1,033,605 |
|
|
$ |
13,685,406 |
|
|
$ |
939,128 |
|
|
$ |
15,658,139 |
|
Liabilities |
|
|
|
|
|
|
|
Collateralized borrowings in securitization trusts |
$ |
— |
|
|
$ |
639,731 |
|
|
$ |
— |
|
|
$ |
639,731 |
|
Derivative liabilities |
125 |
|
|
21,956 |
|
|
— |
|
|
22,081 |
|
Total liabilities |
$ |
125 |
|
|
$ |
661,687 |
|
|
$ |
— |
|
|
$ |
661,812 |
|
|
| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] |
The following table presents the reconciliation for all of the Company’s Level 3 assets and liabilities measured at fair value on a recurring basis:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 Recurring Fair Value Measurements |
|
|
Three Months Ended |
|
Nine Months Ended |
|
|
September 30, 2014 |
|
September 30, 2014 |
|
(in thousands) |
Mortgage Loans Held-For-Sale |
|
Mortgage Servicing Rights |
|
Mortgage Loans Held-For-Sale |
|
Mortgage Servicing Rights |
|
Beginning of period level 3 fair value |
$ |
22,797 |
|
|
$ |
500,490 |
|
|
$ |
424,726 |
|
|
$ |
514,402 |
|
|
Gains/(losses) included in net income (loss): |
|
|
|
|
|
|
|
|
Realized gains (losses) |
1,324 |
|
|
(14,674 |
) |
|
4,333 |
|
|
(41,101 |
) |
|
Unrealized gains (losses) |
798 |
|
(1) |
3,964 |
|
(3) |
(3,414 |
) |
(1) |
(31,941 |
) |
(3) |
Total net gains/(losses) included in net income (loss) |
2,122 |
|
|
(10,710 |
) |
|
919 |
|
|
(73,042 |
) |
|
Other comprehensive income
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
Purchases |
22,347 |
|
|
7,542 |
|
|
36,905 |
|
|
61,835 |
|
|
Sales |
(14,263 |
) |
|
— |
|
|
(419,847 |
) |
|
— |
|
|
Settlements |
(6,657 |
) |
|
1,144 |
|
|
(16,357 |
) |
|
(4,729 |
) |
|
Gross transfers into level 3 |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
Gross transfers out of level 3 |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
End of period level 3 fair value |
$ |
26,346 |
|
|
$ |
498,466 |
|
|
$ |
26,346 |
|
|
$ |
498,466 |
|
|
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period |
$ |
416 |
|
(2) |
$ |
3,964 |
|
(4) |
$ |
(5,391 |
) |
(2) |
$ |
(31,941 |
) |
(4) |
___________________
|
|
(1) |
For the three and nine months ended September 30, 2014, 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.
|
|
|
(2) |
For the three and nine months ended September 30, 2014, 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.
|
|
|
(3) |
For the three and nine months ended September 30, 2014, the change in unrealized gains or losses on MSR were recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive income.
|
|
|
(4) |
For the three and nine months ended September 30, 2014, the change in unrealized gains or losses on MSR that were held at the end of the reporting period were recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive income.
|
The Company did not incur transfers between Level 1, Level 2 or Level 3 for the nine months ended September 30, 2014. 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 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 MSR classified as Level 3 fair value assets at September 30, 2014:
|
|
|
|
|
|
|
|
|
|
|
As of September 30, 2014 |
Valuation Technique |
|
Unobservable Input (1)
|
|
Range |
|
Weighted Average |
Discounted cash flow |
|
Constant prepayment speed |
|
8.8 |
- |
12.5 |
% |
|
10.7% |
|
|
Delinquency |
|
1.9 |
- |
8.0 |
% |
|
4.5% |
|
|
Discount rate |
|
7.6 |
- |
11.1 |
% |
|
9.5% |
___________________
|
|
(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 probability of delinquency and a directionally opposite change in the assumption used for prepayment rates. |
|
| 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(in thousands) |
Changes included in the Condensed Consolidated Statements of Comprehensive Income |
Three Months Ended September 30, |
Interest income (expense) |
|
Gain (loss) on investment securities |
|
(Loss) gain on mortgage loans held-for-sale |
|
Other (loss) income |
|
Total included in net income (loss) |
|
Change in fair value due to credit risk |
2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage loans held-for-sale |
$ |
5,268 |
|
(1) |
|
$ |
— |
|
|
$ |
(941 |
) |
|
$ |
— |
|
|
$ |
4,327 |
|
|
$ |
(299 |
) |
(3) |
Mortgage loans held-for-investment in securitization trusts |
9,526 |
|
(1) |
|
— |
|
|
— |
|
|
(6,924 |
) |
|
2,602 |
|
|
— |
|
(2) |
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized borrowings in securitization trusts |
(5,678 |
) |
|
|
— |
|
|
— |
|
|
4,722 |
|
|
(956 |
) |
|
— |
|
(2) |
Total |
$ |
9,116 |
|
|
|
$ |
— |
|
|
$ |
(941 |
) |
|
$ |
(2,202 |
) |
|
$ |
5,973 |
|
|
$ |
(299 |
) |
|
2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage loans held-for-sale |
$ |
9,297 |
|
(1) |
|
$ |
— |
|
|
$ |
(4,443 |
) |
|
$ |
— |
|
|
$ |
4,854 |
|
|
$ |
— |
|
(3) |
Mortgage loans held-for-investment in securitization trusts |
5,649 |
|
(1) |
|
— |
|
|
— |
|
|
1,698 |
|
|
7,347 |
|
|
— |
|
(2) |
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized borrowings in securitization trusts |
(3,125 |
) |
|
|
— |
|
|
— |
|
|
7,076 |
|
|
3,951 |
|
|
— |
|
(2) |
Total |
$ |
11,821 |
|
|
|
$ |
— |
|
|
$ |
(4,443 |
) |
|
$ |
8,774 |
|
|
$ |
16,152 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(in thousands) |
Changes included in the Condensed Consolidated Statements of Comprehensive Income |
Nine Months Ended
September 30, |
Interest income (expense) |
|
Gain (loss) on investment securities |
|
(Loss) gain on mortgage loans held-for-sale |
|
Other (loss) income |
|
Total included in net income (loss) |
|
Change in fair value due to credit risk |
2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage loans held-for-sale |
$ |
12,553 |
|
(1) |
|
$ |
— |
|
|
$ |
3,933 |
|
|
$ |
— |
|
|
$ |
16,486 |
|
|
$ |
770 |
|
(3) |
Mortgage loans held-for-investment in securitization trusts |
25,180 |
|
(1) |
|
— |
|
|
— |
|
|
31,681 |
|
|
56,861 |
|
|
— |
|
(2) |
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized borrowings in securitization trusts |
(16,623 |
) |
|
|
— |
|
|
— |
|
|
(12,741 |
) |
|
(29,364 |
) |
|
— |
|
(2) |
Total |
$ |
21,110 |
|
|
|
$ |
— |
|
|
$ |
3,933 |
|
|
$ |
18,940 |
|
|
$ |
43,983 |
|
|
$ |
770 |
|
|
2013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity securities |
$ |
— |
|
|
|
$ |
7,843 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
7,843 |
|
|
$ |
— |
|
(2) |
Mortgage loans held-for-sale |
15,409 |
|
(1) |
|
— |
|
|
(5,247 |
) |
|
— |
|
|
10,162 |
|
|
— |
|
(3) |
Mortgage loans held-for-investment in securitization trusts |
11,672 |
|
(1) |
|
— |
|
|
— |
|
|
(23,059 |
) |
|
(11,387 |
) |
|
— |
|
(2) |
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
Collateralized borrowings in securitization trusts |
(6,112 |
) |
|
|
— |
|
|
— |
|
|
39,680 |
|
|
33,568 |
|
|
— |
|
(2) |
Total |
$ |
20,969 |
|
|
|
$ |
7,843 |
|
|
$ |
(5,247 |
) |
|
$ |
16,621 |
|
|
$ |
40,186 |
|
|
$ |
— |
|
|
____________________
|
|
(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) |
The change in fair value on equity securities, mortgage loans held-for-investment in securitization trusts and collateralized borrowings in securitization trusts was due entirely to changes in market interest rates. |
|
|
(3) |
The change in fair value due to credit risk on mortgage loans held-for-sale was quantified by holding yield constant in the cash flow model in order to isolate credit risk component. |
|
| Schedule of Financing Receivables, Non Accrual Status [Table Text Block] |
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, 2014 |
|
December 31, 2013 |
(in thousands) |
Unpaid Principal Balance |
|
Fair Value (1)
|
|
Unpaid Principal Balance |
|
Fair Value (1)
|
Mortgage loans held-for-sale |
|
|
|
|
|
|
|
Total loans |
$ |
445,692 |
|
|
$ |
445,065 |
|
|
$ |
680,840 |
|
|
$ |
544,581 |
|
Nonaccrual loans |
$ |
19,913 |
|
|
$ |
14,729 |
|
|
$ |
80,486 |
|
|
$ |
62,185 |
|
Loans 90+ days past due |
$ |
18,944 |
|
|
$ |
14,041 |
|
|
$ |
63,152 |
|
|
$ |
48,786 |
|
Mortgage loans held-for-investment in securitization trusts |
|
|
|
|
|
|
|
Total loans |
$ |
1,402,782 |
|
|
$ |
1,428,890 |
|
|
$ |
812,538 |
|
|
$ |
792,390 |
|
Nonaccrual loans |
$ |
717 |
|
|
$ |
706 |
|
|
$ |
— |
|
|
$ |
— |
|
Loans 90+ days past due |
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Collateralized borrowings in securitization trusts |
|
|
|
|
|
|
|
Total borrowings |
$ |
959,670 |
|
|
$ |
938,506 |
|
|
$ |
686,233 |
|
|
$ |
639,731 |
|
____________________
|
|
(1) |
Excludes accrued interest receivable. |
|
| 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, 2014 and December 31, 2013.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2014 |
|
December 31, 2013 |
(in thousands) |
Carrying Value |
|
Fair Value |
|
Carrying Value |
|
Fair Value |
Assets |
|
|
|
|
|
|
|
Available-for-sale securities |
$ |
12,697,908 |
|
|
$ |
12,697,908 |
|
|
$ |
12,256,727 |
|
|
$ |
12,256,727 |
|
Trading securities |
$ |
1,993,124 |
|
|
$ |
1,993,124 |
|
|
$ |
1,000,180 |
|
|
$ |
1,000,180 |
|
Mortgage loans held-for-sale |
$ |
445,065 |
|
|
$ |
445,065 |
|
|
$ |
544,581 |
|
|
$ |
544,581 |
|
Mortgage loans held-for-investment in securitization trusts |
$ |
1,428,890 |
|
|
$ |
1,428,890 |
|
|
$ |
792,390 |
|
|
$ |
792,390 |
|
Mortgage servicing rights |
$ |
498,466 |
|
|
$ |
498,466 |
|
|
$ |
514,402 |
|
|
$ |
514,402 |
|
Cash and cash equivalents |
$ |
1,225,281 |
|
|
$ |
1,225,281 |
|
|
$ |
1,025,487 |
|
|
$ |
1,025,487 |
|
Restricted cash |
$ |
310,421 |
|
|
$ |
310,421 |
|
|
$ |
401,647 |
|
|
$ |
401,647 |
|
Derivative assets |
$ |
353,893 |
|
|
$ |
353,893 |
|
|
$ |
549,859 |
|
|
$ |
549,859 |
|
Equity investments |
$ |
3,000 |
|
|
$ |
3,000 |
|
|
$ |
— |
|
|
$ |
— |
|
Liabilities |
|
|
|
|
|
|
|
Repurchase agreements |
$ |
12,274,878 |
|
|
$ |
12,274,878 |
|
|
$ |
12,250,450 |
|
|
$ |
12,250,450 |
|
Collateralized borrowings in securitization trusts |
$ |
938,506 |
|
|
$ |
938,506 |
|
|
$ |
639,731 |
|
|
$ |
639,731 |
|
Federal Home Loan Bank advances |
$ |
1,500,000 |
|
|
$ |
1,500,000 |
|
|
$ |
— |
|
|
$ |
— |
|
Derivative liabilities |
$ |
4,221 |
|
|
$ |
4,221 |
|
|
$ |
22,081 |
|
|
$ |
22,081 |
|
|