Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v3.2.0.727
Fair Value (Tables)
6 Months Ended
Jun. 30, 2015
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 June 30, 2015
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$

 
$
12,807,658

 
$

 
$
12,807,658

Residential mortgage loans held-for-sale

 
633,578

 
61,500

 
695,078

Residential mortgage loans held-for-investment in securitization trusts

 
2,449,199

 

 
2,449,199

Mortgage servicing rights

 

 
437,576

 
437,576

Derivative assets

 
347,322

 

 
347,322

Total assets
$

 
$
16,237,757

 
$
499,076

 
$
16,736,833

Liabilities
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
$

 
$
1,714,735

 
$

 
$
1,714,735

Derivative liabilities
5,187

 
17,288

 

 
22,475

Total liabilities
$
5,187

 
$
1,732,023

 
$

 
$
1,737,210

 
Recurring Fair Value Measurements
 
At December 31, 2014
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$

 
$
14,341,102

 
$

 
$
14,341,102

Trading securities
1,997,656

 

 

 
1,997,656

Residential mortgage loans held-for-sale

 
500,159

 
35,553

 
535,712

Residential mortgage loans held-for-investment in securitization trusts

 
1,744,746

 

 
1,744,746

Mortgage servicing rights

 

 
452,006

 
452,006

Derivative assets
10,350

 
370,441

 

 
380,791

Total assets
$
2,008,006

 
$
16,956,448

 
$
487,559

 
$
19,452,013

Liabilities
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
$

 
$
1,209,663

 
$

 
$
1,209,663

Derivative liabilities
17,687

 
72,546

 

 
90,233

Total liabilities
$
17,687

 
$
1,282,209

 
$

 
$
1,299,896

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 measured at fair value on a recurring basis:
 
Level 3 Recurring Fair Value Measurements
 
 
Three Months Ended
 
Six Months Ended
 
 
June 30, 2015
 
June 30, 2015
 
(in thousands)
Residential Mortgage Loans Held-For-Sale
 
Mortgage Servicing Rights
 
Residential Mortgage Loans Held-For-Sale
 
Mortgage Servicing Rights
 
Beginning of period level 3 fair value
$
70,149

 
$
410,229

 
$
35,553

 
$
452,006

 
Gains (losses) included in net income (loss):
 
 
 
 
 
 
 
 
Realized gains (losses)
10,491

 
(7,805
)
 
15,612

 
(17,119
)
 
Unrealized gains (losses)
30

(1) 
25,440

(3) 
777

(1) 
(17,649
)
(3) 
Total net gains (losses) included in net income (loss)
10,521

 
17,635

 
16,389

 
(34,768
)
 
Other comprehensive income 

 

 

 

 
Purchases
61,054

 
4,799

 
131,720

 
9,350

 
Sales
(51,981
)
 

 
(75,890
)
 

 
Settlements
(28,243
)
 
4,913

 
(46,272
)
 
10,988

 
Gross transfers into level 3

 

 

 

 
Gross transfers out of level 3

 

 

 

 
End of period level 3 fair value
$
61,500

 
$
437,576

 
$
61,500

 
$
437,576

 
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period
$
370

(2) 
$
25,440

(4) 
$
352

(2) 
$
(17,649
)
(4) 
___________________
(1)
For the three and six months ended June 30, 2015, the change in unrealized gains or losses on residential mortgage loans held-for-sale was recorded in (loss) gain on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income.
(2)
For the three and six months ended June 30, 2015, the change in unrealized gains or losses on residential mortgage loans held-for-sale that were held at the end of the reporting period was recorded in (loss) gain on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income.
(3)
For the three and six months ended June 30, 2015, the change in unrealized gains or losses on MSR was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive income.
(4)
For the three and six months ended June 30, 2015, the change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in gain (loss) 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 during the six months ended June 30, 2015. 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 by the third-party pricing provider in the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at June 30, 2015:
As of June 30, 2015
Valuation Technique
 
Unobservable Input (1)
 
Range
 
Weighted Average
Discounted cash flow
 
Constant prepayment speed
 
9.5
-
12.8
%
 
11.2%
 
 
Delinquency
 
4.3
-
4.9
%
 
4.6%
 
 
Discount rate
 
8.1
-
10.7
%
 
9.4%
___________________
(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 tables summarize the fair value option elections and information regarding the line items and amounts recognized in the condensed consolidated statements of comprehensive income for each fair value option-elected item.
 
Three Months Ended June 30, 2015
(in thousands)
Interest income (expense)
 
(Loss) gain on residential mortgage loans held-for-sale
 
Other (loss) income
 
Total included in net income
 
Change in fair value due to credit risk
Assets
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans held-for-sale
$
7,518

(1) 
 
$
(3,019
)
 
$

 
$
4,499

 
$
272

(2) 
Residential mortgage loans held-for-investment in securitization trusts
21,830

(1) 
 

 
(49,143
)
 
(27,313
)
 

(3) 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
(13,131
)
 
 

 
31,536

 
18,405

 

(3) 
Total
$
16,217

 
 
$
(3,019
)
 
$
(17,607
)
 
$
(4,409
)
 
$
272

 
 
Three Months Ended June 30, 2014
(in thousands)
Interest income (expense)
 
(Loss) gain on residential mortgage loans held-for-sale
 
Other (loss) income
 
Total included in net income
 
Change in fair value due to credit risk
Assets
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans held-for-sale
$
2,699

(1) 
 
$
7,638

 
$

 
$
10,337

 
$
1,036

(2) 
Residential mortgage loans held-for-investment in securitization trusts
7,761

(1) 
 

 
36,631

 
44,392

 

(3) 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
(5,592
)
 
 

 
(15,802
)
 
(21,394
)
 

(3) 
Total
$
4,868

 
 
$
7,638

 
$
20,829

 
$
33,335

 
$
1,036

 
 
Six Months Ended June 30, 2015
(in thousands)
Interest income (expense)
 
(Loss) gain on residential mortgage loans held-for-sale
 
Other (loss) income
 
Total included in net income
 
Change in fair value due to credit risk
Assets
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans held-for-sale
$
11,789

(1) 
 
$
6,047

 
$

 
$
17,836

 
$
30

(2) 
Residential mortgage loans held-for-investment in securitization trusts
40,067

(1) 
 

 
(49,094
)
 
(9,027
)
 

(3) 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
(23,839
)
 
 

 
28,569

 
4,730

 

(3) 
Total
$
28,017

 
 
$
6,047

 
$
(20,525
)
 
$
13,539

 
$
30

 
 
Six Months Ended June 30, 2014
(in thousands)
Interest income (expense)
 
(Loss) gain on residential mortgage loans held-for-sale
 
Other (loss) income
 
Total included in net income
 
Change in fair value due to credit risk
Assets
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans held-for-sale
$
7,285

(1) 
 
$
4,874

 
$

 
$
12,159

 
$
1,069

(2) 
Residential mortgage loans held-for-investment in securitization trusts
15,654

(1) 
 

 
38,606

 
54,260

 

(3) 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
(10,945
)
 
 

 
(17,463
)
 
(28,408
)
 

(3) 
Total
$
11,994

 
 
$
4,874

 
$
21,143

 
$
38,011

 
$
1,069

 
____________________
(1)
Interest income on residential mortgage loans held-for-sale and residential 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 due to credit risk on residential mortgage loans held-for-sale was quantified by holding yield constant in the cash flow model in order to isolate credit risk component.
(3)
The change in fair value on residential mortgage loans held-for-investment in securitization trusts and collateralized borrowings in securitization trusts was due entirely to changes in market interest rates.

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.
 
June 30, 2015
 
December 31, 2014
(in thousands)
Unpaid Principal Balance
 
Fair
Value (1)
 
Unpaid Principal Balance
 
Fair
Value (1)
Residential mortgage loans held-for-sale
 
 
 
 
 
 
 
Total loans
$
703,966

 
$
695,078

 
$
534,101

 
$
535,712

Nonaccrual loans
$
48,379

 
$
42,212

 
$
26,405

 
$
20,574

Loans 90+ days past due
$
45,547

 
$
39,525

 
$
25,263

 
$
19,675

Residential mortgage loans held-for-investment in securitization trusts
 
 
 
 
 
 
 
Total loans
$
2,431,573

 
$
2,449,199

 
$
1,699,748

 
$
1,744,746

Nonaccrual loans
$
862

 
$
865

 
$

 
$

Loans 90+ days past due
$

 
$

 
$

 
$

Collateralized borrowings in securitization trusts
 
 
 
 
 
 
 
Total borrowings
$
1,743,289

 
$
1,714,735

 
$
1,218,589

 
$
1,209,663

____________________
(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 June 30, 2015 and December 31, 2014.
 
June 30, 2015
 
December 31, 2014
(in thousands)
Carrying Value
 
Fair Value
 
Carrying Value
 
Fair Value
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$
12,807,658

 
$
12,807,658

 
$
14,341,102

 
$
14,341,102

Trading securities
$

 
$

 
$
1,997,656

 
$
1,997,656

Residential mortgage loans held-for-sale
$
695,078

 
$
695,078

 
$
535,712

 
$
535,712

Residential mortgage loans held-for-investment in securitization trusts
$
2,449,199

 
$
2,449,199

 
$
1,744,746

 
$
1,744,746

Commercial real estate loans held-for-investment
$
45,605

 
$
45,605

 
$

 
$

Mortgage servicing rights
$
437,576

 
$
437,576

 
$
452,006

 
$
452,006

Cash and cash equivalents
$
933,579

 
$
933,579

 
$
1,005,792

 
$
1,005,792

Restricted cash
$
410,903

 
$
410,903

 
$
336,771

 
$
336,771

Derivative assets
$
347,322

 
$
347,322

 
$
380,791

 
$
380,791

Federal Home Loan Bank stock
$
125,250

 
$
125,250

 
$
100,010

 
$
100,010

Equity investments
$
3,000

 
$
3,000

 
$
3,000

 
$
3,000

Liabilities
 
 
 
 
 
 
 
Repurchase agreements
$
9,422,803

 
$
9,422,803

 
$
12,932,463

 
$
12,932,463

Collateralized borrowings in securitization trusts
$
1,714,735

 
$
1,714,735

 
$
1,209,663

 
$
1,209,663

Federal Home Loan Bank advances
$
3,000,000

 
$
3,000,000

 
$
2,500,000

 
$
2,500,000

Derivative liabilities
$
22,475

 
$
22,475

 
$
90,233

 
$
90,233