Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v3.7.0.1
Fair Value (Tables)
3 Months Ended
Mar. 31, 2017
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 March 31, 2017
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$

 
$
17,318,697

 
$

 
$
17,318,697

Mortgage servicing rights

 

 
747,580

 
747,580

Residential mortgage loans held-for-investment in securitization trusts

 
3,181,811

 

 
3,181,811

Residential mortgage loans held-for-sale

 
487

 
32,199

 
32,686

Derivative assets

 
253,564

 

 
253,564

Total assets
$

 
$
20,754,559

 
$
779,779

 
$
21,534,338

Liabilities
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
$

 
$
2,941,990

 
$

 
$
2,941,990

Derivative liabilities
8,103

 
12,260

 

 
20,363

Total liabilities
$
8,103

 
$
2,954,250

 
$

 
$
2,962,353

 
Recurring Fair Value Measurements
 
At December 31, 2016
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$

 
$
13,128,857

 
$

 
$
13,128,857

Mortgage servicing rights

 

 
693,815

 
693,815

Residential mortgage loans held-for-investment in securitization trusts

 
3,271,317

 

 
3,271,317

Residential mortgage loans held-for-sale

 
925

 
39,221

 
40,146

Derivative assets
4,294

 
319,888

 

 
324,182

Total assets
$
4,294

 
$
16,720,987

 
$
733,036

 
$
17,458,317

Liabilities
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
$

 
$
3,037,196

 
$

 
$
3,037,196

Derivative liabilities
10,344

 
2,157

 

 
12,501

Total liabilities
$
10,344

 
$
3,039,353

 
$

 
$
3,049,697

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
 
 
March 31, 2017
 
(in thousands)
Mortgage Servicing Rights
 
Residential Mortgage Loans Held-For-Sale
 
Beginning of period level 3 fair value
$
693,815

 
$
39,221

 
Gains (losses) included in net income (loss):
 
 
 
 
Realized gains (losses)
(17,747
)
 
1,480

 
Unrealized (losses) gains
3,182

(1) 
27

(3) 
Total gains (losses) included in net income (loss)
(14,565
)
 
1,507

 
Purchases
76,976

 
437

 
Sales
(250
)
 
(3,717
)
 
Settlements
(8,396
)
 
(5,249
)
 
Gross transfers into level 3

 

 
Gross transfers out of level 3

 

 
End of period level 3 fair value
$
747,580

 
$
32,199

 
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period
$
3,182

(2) 
$
277

(4) 
___________________
(1)
The change in unrealized gains or losses on MSR was recorded in loss on servicing asset on the condensed consolidated statements of comprehensive income (loss).
(2)
The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in loss on servicing asset on the condensed consolidated statements of comprehensive income (loss).
(3)
The change in unrealized gains or losses on residential mortgage loans held-for-sale was recorded in gain on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income (loss).
(4)
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 gain on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income (loss).

The Company did not incur transfers between Level 1, Level 2 or Level 3 during the three months ended March 31, 2017 or 2016. 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 providers in the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at March 31, 2017:
As of March 31, 2017
Valuation Technique
 
Unobservable Input (1)
 
Range
 
Weighted Average
Discounted cash flow
 
Constant prepayment speed
 
8.0
-
10.7
%
 
9.3%
 
 
Delinquency
 
1.9
-
2.2
%
 
2.0%
 
 
Discount rate
 
8.3
-
10.8
%
 
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 tables summarize the fair value option elections and information regarding the line items and amounts recognized in the condensed consolidated statements of comprehensive income (loss) for each fair value option-elected item.
 
Three Months Ended March 31, 2017
(in thousands)
Interest income (expense)
 
(Loss) gain on investment securities
 
Gain on residential mortgage loans held-for-sale
 
Other income
 
Total included in net income (loss)
 
Change in fair value due to credit risk
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities
$
(1,704
)
 
 
$
2,002

 
$

 
$

 
$
298

 
N/A

 
Residential mortgage loans held-for-investment in securitization trusts
31,628

(1) 
 

 

 
13,039

 
44,667

 

(2) 
Residential mortgage loans held-for-sale
398

(1) 
 

 
1,461

 

 
1,859

 
$
411

(3) 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
(25,386
)
 
 

 

 
(6,355
)
 
(31,741
)
 

(2) 
Total
$
4,936

 
 
$
2,002

 
$
1,461

 
$
6,684

 
$
15,083

 
$
411

 
 
Three Months Ended March 31, 2016
(in thousands)
Interest income (expense)
 
(Loss) gain on investment securities
 
Gain on residential mortgage loans held-for-sale
 
Other income
 
Total included in net income (loss)
 
Change in fair value due to credit risk
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities
$
1

 
 
$
16

 
$

 
$

 
$
17

 
N/A

 
Residential mortgage loans held-for-investment in securitization trusts
32,771

(1) 
 

 

 
23,555

 
56,326

 

(2) 
Residential mortgage loans held-for-sale
7,202

(1) 
 

 
9,971

 

 
17,173

 
$
110

(3) 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
(19,359
)
 
 

 

 
(22,072
)
 
(41,431
)
 

(2) 
Total
$
20,615

 
 
$
16

 
$
9,971

 
$
1,483

 
$
32,085

 
$
110

 
____________________
(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 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.
(3)
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.

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.
 
March 31, 2017
 
December 31, 2016
(in thousands)
Unpaid Principal Balance
 
Fair
Value (1)
 
Unpaid Principal Balance
 
Fair
Value (1)
Residential mortgage loans held-for-investment in securitization trusts
 
 
 
 
 
 
 
Total loans
$
3,131,499

 
$
3,181,811

 
$
3,234,044

 
$
3,271,317

Nonaccrual loans
$
2,589

 
$
2,638

 
$
2,373

 
$
2,408

Loans 90+ days past due
$
1,829

 
$
1,862

 
$
1,401

 
$
1,419

Residential mortgage loans held-for-sale
 
 
 
 
 
 
 
Total loans
$
40,912

 
$
32,686

 
$
49,986

 
$
40,146

Nonaccrual loans
$
21,016

 
$
17,565

 
$
25,445

 
$
21,162

Loans 90+ days past due
$
18,507

 
$
15,346

 
$
21,759

 
$
18,203

Collateralized borrowings in securitization trusts
 
 
 
 
 
 
 
Total borrowings
$
2,913,600

 
$
2,941,990

 
$
3,015,162

 
$
3,037,196

____________________
(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 March 31, 2017 and December 31, 2016.
 
March 31, 2017
 
December 31, 2016
(in thousands)
Carrying Value
 
Fair Value
 
Carrying Value
 
Fair Value
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$
17,318,697

 
$
17,318,697

 
$
13,128,857

 
$
13,128,857

Commercial real estate assets
$
1,548,603

 
$
1,559,072

 
$
1,412,543

 
$
1,411,733

Mortgage servicing rights
$
747,580

 
$
747,580

 
$
693,815

 
$
693,815

Residential mortgage loans held-for-investment in securitization trusts
$
3,181,811

 
$
3,181,811

 
$
3,271,317

 
$
3,271,317

Residential mortgage loans held-for-sale
$
32,686

 
$
32,686

 
$
40,146

 
$
40,146

Cash and cash equivalents
$
405,110

 
$
405,110

 
$
406,883

 
$
406,883

Restricted cash
$
381,664

 
$
381,664

 
$
408,312

 
$
408,312

Derivative assets
$
253,564

 
$
253,564

 
$
324,182

 
$
324,182

Federal Home Loan Bank stock
$
148,096

 
$
148,096

 
$
167,856

 
$
167,856

Equity investments
$
3,000

 
$
3,000

 
$
3,000

 
$
3,000

Liabilities
 
 
 
 
 
 
 
Repurchase agreements
$
13,640,720

 
$
13,640,720

 
$
9,316,351

 
$
9,316,351

Collateralized borrowings in securitization trusts
$
2,941,990

 
$
2,941,990

 
$
3,037,196

 
$
3,037,196

Federal Home Loan Bank advances
$
3,571,762

 
$
3,571,762

 
$
4,000,000

 
$
4,000,000

Revolving credit facilities
$
15,000

 
$
15,000

 
$
70,000

 
$
70,000

Convertible senior notes
$
282,263

 
$
295,981

 
$

 
$

Derivative liabilities
$
20,363

 
$
20,363

 
$
12,501

 
$
12,501