Annual report pursuant to Section 13 and 15(d)

Fair Value (Tables)

v3.3.1.900
Fair Value (Tables)
12 Months Ended
Dec. 31, 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 December 31, 2015
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$

 
$
7,825,320

 
$

 
$
7,825,320

Residential mortgage loans held-for-sale

 
764,319

 
47,112

 
811,431

Residential mortgage loans held-for-investment in securitization trusts

 
3,173,727

 

 
3,173,727

Mortgage servicing rights

 

 
493,688

 
493,688

Derivative assets
1,074

 
270,435

 

 
271,509

Total assets
$
1,074

 
$
12,033,801

 
$
540,800

 
$
12,575,675

Liabilities
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
$

 
$
2,000,110

 
$

 
$
2,000,110

Derivative liabilities
1,324

 
5,961

 

 
7,285

Total liabilities
$
1,324

 
$
2,006,071

 
$

 
$
2,007,395

 
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
 
 
Year Ended
 
 
December 31,
 
 
2015
 
2014
 
(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
$
35,553

 
$
452,006

 
$
424,726

 
$
514,402

 
Gains (losses) included in net income:
 
 
 
 
 
 
 
 
Realized gains (losses)
25,330

 
(47,950
)
 
7,734

 
(54,815
)
 
Unrealized gains (losses)
445

(1) 
(51,634
)
(3) 
(3,213
)
(1) 
(73,573
)
(3) 
Total net gains (losses) included in net income
25,775

 
(99,584
)
 
4,521

 
(128,388
)
 
Other comprehensive income

 

 

 

 
Purchases
231,782

 
126,105

 
66,793

 
67,821

 
Sales
(163,449
)
 

 
(433,603
)
 

 
Settlements
(82,549
)
 
15,161

 
(26,884
)
 
(1,829
)
 
Gross transfers into level 3

 

 

 

 
Gross transfers out of level 3

 

 

 

 
End of period level 3 fair value
$
47,112

 
$
493,688

 
$
35,553

 
$
452,006

 
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period
$
566

(2) 
$
(51,634
)
(4) 
$
(3,028
)
(2) 
$
(73,573
)
(4) 
___________________
(1)
The change in unrealized gains or losses on residential mortgage loans held-for-sale was recorded in gain (loss) on residential mortgage loans held-for-sale on the consolidated statements of comprehensive (loss) income.
(2)
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 (loss) on residential mortgage loans held-for-sale on the consolidated statements of comprehensive (loss) income.
(3)
The change in unrealized gains or losses on MSR was recorded in (loss) gain on servicing asset on the consolidated statements of comprehensive (loss) income.
(4)
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 consolidated statements of comprehensive (loss) income.

The Company did not incur transfers between Level 1, Level 2 or Level 3 for the years ended December 31, 2015 or 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 by the third-party pricing provider in the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at December 31, 2015:
December 31, 2015
Valuation Technique
 
Unobservable Input (1)
 
Range
 
Weighted Average
Discounted cash flow
 
Constant prepayment speed
 
9.6
-
13.5
%
 
11.8
%
 
 
Delinquency
 
3.7
-
4.2
%
 
4.0
%
 
 
Discount rate
 
8.7
-
11.2
%
 
10.1
%
___________________
(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 consolidated statements of comprehensive (loss) income for each fair value option-elected item.
 
Year Ended December 31, 2015
(in thousands)
Interest income (expense)
 
Gain (loss) on investment securities
 
Gain (loss) on residential mortgage loans held-for-sale
 
Other (loss) income
 
Total included in net income
 
Change in fair value due to credit risk
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities
$
124

 
 
$
(68
)
 
$

 
$

 
$
56

 
NA

 
Residential mortgage loans held-for-sale
28,966

(1) 
 

 
15,932

 

 
44,898

 
(6,365
)
(3) 
Residential mortgage loans held-for-investment in securitization trusts
95,740

(1) 
 

 

 
(52,440
)
 
43,300

 

(2) 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
(57,216
)
 
 

 

 
25,914

 
(31,302
)
 

(2) 
Total
$
67,614

 
 
$
(68
)
 
$
15,932

 
$
(26,526
)
 
$
56,952

 
$
(6,365
)
 
 
Year Ended December 31, 2014
(in thousands)
Interest income (expense)
 
Gain (loss) on investment securities
 
Gain (loss) on residential mortgage loans held-for-sale
 
Other (loss) income
 
Total included in net income
 
Change in fair value due to credit risk
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities
$

 
 
$

 
$

 
$

 
$

 
NA

 
Residential mortgage loans held-for-sale
16,089

(1) 
 

 
12,568

 

 
28,657

 
1,295

(3) 
Residential mortgage loans held-for-investment in securitization trusts
41,220

(1) 
 

 

 
41,125

 
82,345

 

(2) 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
(26,760
)
 
 

 

 
(24,285
)
 
(51,045
)
 

(2) 
Total
$
30,549

 
 
$

 
$
12,568

 
$
16,840

 
$
59,957

 
$
1,295

 
 
Year Ended December 31, 2013
(in thousands)
Interest income (expense)
 
Gain (loss) on investment securities
 
Gain (loss) on residential mortgage loans held-for-sale
 
Other (loss) income
 
Total included in net income
 
Change in fair value due to credit risk
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities
$

 
 
$

 
$

 
$

 
$

 
NA

 
Equity securities

 
 
7,843

 

 

 
7,843

 
$

(2) 
Residential mortgage loans held-for-sale
22,185

(1) 
 

 
(13,831
)
 

 
8,354

 
6,677

(3) 
Residential mortgage loans held-for-investment in securitization trusts
19,220

(1) 
 

 

 
(22,910
)
 
(3,690
)
 

(2) 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
Collateralized borrowings in securitization trusts
(10,937
)
 
 

 

 
37,114

 
26,177

 

(2) 
Total
$
30,468

 
 
$
7,843

 
$
(13,831
)
 
$
14,204

 
$
38,684

 
$
6,677

 
____________________
(1)
Interest income on residential mortgage loans held-for-sale and 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, 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 the 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.
 
December 31, 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
$
812,661

 
$
811,431

 
$
534,101

 
$
535,712

Nonaccrual loans
$
30,438

 
$
25,771

 
$
26,405

 
$
20,574

Loans 90+ days past due
$
26,702

 
$
22,470

 
$
25,263

 
$
19,675

Residential mortgage loans held-for-investment in securitization trusts
 
 
 
 
 
 
 
Total loans
$
3,143,515

 
$
3,173,727

 
$
1,699,748

 
$
1,744,746

Nonaccrual loans
$
860

 
$
868

 
$

 
$

Loans 90+ days past due
$
860

 
$
868

 
$

 
$

Collateralized borrowings in securitization trusts
 
 
 
 
 
 
 
Total borrowings
$
2,023,239

 
$
2,000,110

 
$
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 December 31, 2015 and December 31, 2014.
 
December 31, 2015
 
December 31, 2014
(in thousands)
Carrying Value
 
Fair Value
 
Carrying Value
 
Fair Value
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$
7,825,320

 
$
7,825,320

 
$
14,341,102

 
$
14,341,102

Trading securities
$

 
$

 
$
1,997,656

 
$
1,997,656

Residential mortgage loans held-for-sale
$
811,431

 
$
811,431

 
$
535,712

 
$
535,712

Residential mortgage loans held-for-investment in securitization trusts
$
3,173,727

 
$
3,173,727

 
$
1,744,746

 
$
1,744,746

Commercial real estate assets
$
660,953

 
$
660,953

 
$

 
$

Mortgage servicing rights
$
493,688

 
$
493,688

 
$
452,006

 
$
452,006

Cash and cash equivalents
$
737,831

 
$
737,831

 
$
1,005,792

 
$
1,005,792

Restricted cash
$
262,562

 
$
262,562

 
$
336,771

 
$
336,771

Derivative assets
$
271,509

 
$
271,509

 
$
380,791

 
$
380,791

Federal Home Loan Bank stock
$
156,650

 
$
156,650

 
$
100,010

 
$
100,010

Equity investments
$
3,000

 
$
3,000

 
$
3,000

 
$
3,000

Liabilities
 
 
 
 
 
 
 
Repurchase agreements
$
5,008,274

 
$
5,008,274

 
$
12,932,463

 
$
12,932,463

Collateralized borrowings in securitization trusts
$
2,000,110

 
$
2,000,110

 
$
1,209,663

 
$
1,209,663

Federal Home Loan Bank advances
$
3,785,000

 
$
3,785,000

 
$
2,500,000

 
$
2,500,000

Derivative liabilities
$
7,285

 
$
7,285

 
$
90,233

 
$
90,233