Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v3.19.2
Fair Value (Tables)
6 Months Ended
Jun. 30, 2019
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
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
 
June 30, 2019
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$

 
$
29,968,869

 
$
217,210

 
$
30,186,079

Mortgage servicing rights

 

 
1,800,826

 
1,800,826

Derivative assets
38,492

 
208,503

 

 
246,995

Total assets
$
38,492

 
$
30,177,372

 
$
2,018,036

 
$
32,233,900

Liabilities
 
 
 
 
 
 
 
Derivative liabilities
$
170

 
$
85

 
$

 
$
255

Total liabilities
$
170

 
$
85

 
$

 
$
255

 
Recurring Fair Value Measurements
 
December 31, 2018
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$

 
$
25,447,447

 
$
105,157

 
$
25,552,604

Mortgage servicing rights

 

 
1,993,440

 
1,993,440

Derivative assets
21,602

 
298,379

 

 
319,981

Total assets
$
21,602

 
$
25,745,826

 
$
2,098,597

 
$
27,866,025

Liabilities
 
 
 
 
 
 
 
Derivative liabilities
$

 
$
820,590

 
$

 
$
820,590

Total liabilities
$

 
$
820,590

 
$

 
$
820,590


Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following table presents the reconciliation for the Company’s Level 3 assets measured at fair value on a recurring basis:
 
Three Months Ended
 
Six Months Ended
 
 
June 30, 2019
 
June 30, 2019
 
(in thousands)
Available-For-Sale Securities
 
Mortgage Servicing Rights
 
Available-For-Sale Securities
 
Mortgage Servicing Rights
 
Beginning of period level 3 fair value
$
154,054

 
$
2,014,370

 
$
105,157

 
$
1,993,440

 
Gains (losses) included in net (loss) income:
 
 
 
 
 
 
 
 
Realized (losses) gains, net
(9,419
)
 
(70,407
)
 
(12,042
)
 
(107,767
)
 
Unrealized (losses) gains, net

 
(182,025
)
(1) 

 
(333,639
)
(1) 
Net gains (losses) included in net (loss) income
(9,419
)
 
(252,432
)
 
(12,042
)
 
(441,406
)
 
Other comprehensive income (loss)
1,351

 

 
3,319

 

 
Purchases
7,468

 
43,710

 
7,468

 
264,522

 
Sales

 

 

 
(289
)
 
Settlements

 
(4,822
)
 

 
(15,441
)
 
Gross transfers into level 3
159,211

 

 
272,925

 

 
Gross transfers out of level 3
(95,455
)
 

 
(159,617
)
 

 
End of period level 3 fair value
$
217,210

 
$
1,800,826

 
$
217,210

 
$
1,800,826

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

 
$
(181,020
)
(2) 
$

 
$
(327,632
)
(2) 
Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period
$
1,351

 
$

 
$
(166
)
 
$

 
____________________
(1)
The change in unrealized gains or losses on MSR was recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive income.
(2)
The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive income.
Fair Value Inputs, Assets, Quantitative Information  The tables below present 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 June 30, 2019:
June 30, 2019
Valuation Technique
 
Unobservable Input (1)
 
Range
 
Weighted Average (2)
Discounted cash flow
 
Constant prepayment speed
 
11.5
-
16.5
%
 
14.7%
 
 
Delinquency
 
0.7
-
1.0
%
 
0.9%
 
 
Discount rate
 
6.4
-
8.2
%
 
7.4%
December 31, 2018
Valuation Technique
 
Unobservable Input (1)
 
Range
 
Weighted Average (2)
Discounted cash flow
 
Constant prepayment speed
 
7.6

-
9.6

%
 
8.6%
 
 
Delinquency
 
1.0

-
1.5

%
 
1.3%
 
 
Discount rate
 
8.2

-
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.
(2)
Calculated by averaging the weighted average significant unobservable inputs used by the multiple third-party pricing providers in the fair value measurement of MSR
Fair Value, by Balance Sheet Grouping
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, 2019 and December 31, 2018.
 
June 30, 2019
 
December 31, 2018
(in thousands)
Carrying Value
 
Fair Value
 
Carrying Value
 
Fair Value
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$
30,186,079

 
$
30,186,079

 
$
25,552,604

 
$
25,552,604

Mortgage servicing rights
$
1,800,826

 
$
1,800,826

 
$
1,993,440

 
$
1,993,440

Cash and cash equivalents
$
433,579

 
$
433,579

 
$
409,758

 
$
409,758

Restricted cash
$
358,109

 
$
358,109

 
$
688,006

 
$
688,006

Derivative assets
$
246,995

 
$
246,995

 
$
319,981

 
$
319,981

Reverse repurchase agreements
$
109,500

 
$
109,500

 
$
761,815

 
$
761,815

Other assets
$
18,344

 
$
18,344

 
74,412

 
74,412

Liabilities
 
 
 
 
 
 
 
Repurchase agreements
$
28,168,044

 
$
28,168,044

 
$
23,133,476

 
$
23,133,476

Federal Home Loan Bank advances
$
50,000

 
$
50,000

 
$
865,024

 
$
865,024

Revolving credit facilities
$

 
$

 
$
310,000

 
$
310,000

Term notes payable
$
394,061

 
$
400,000

 
$

 
$

Convertible senior notes
$
284,331

 
$
290,979

 
$
283,856

 
$
281,951

Derivative liabilities
$
255

 
$
255

 
$
820,590

 
$
820,590