Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v3.19.3
Fair Value (Tables)
9 Months Ended
Sep. 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
 
September 30, 2019
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$

 
$
28,172,321

 
$
146,237

 
$
28,318,558

Mortgage servicing rights

 

 
1,651,556

 
1,651,556

Derivative assets
16,656

 
213,964

 

 
230,620

Total assets
$
16,656

 
$
28,386,285

 
$
1,797,793

 
$
30,200,734

Liabilities
 
 
 
 
 
 
 
Derivative liabilities
$
17,188

 
$
13

 
$

 
$
17,201

Total liabilities
$
17,188

 
$
13

 
$

 
$
17,201

 
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
 
Nine Months Ended
 
 
September 30, 2019
 
September 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
$
217,210

 
$
1,800,826

 
$
105,157

 
$
1,993,440

 
Gains (losses) included in net income:
 
 
 
 
 
 
 
 
Realized (losses) gains, net
(3,448
)
 
(92,699
)
 
(15,490
)
 
(200,466
)
 
Unrealized (losses) gains, net

 
(141,815
)
(1) 

 
(475,454
)
(1) 
Net gains (losses) included in net income
(3,448
)
 
(234,514
)
 
(15,490
)
 
(675,920
)
 
Other comprehensive (loss) income
(617
)
 

 
2,702

 

 
Purchases

 
76,588

 
7,468

 
341,110

 
Sales

 
819

 

 
530

 
Settlements

 
7,837

 

 
(7,604
)
 
Gross transfers into level 3
93,541

 

 
366,466

 

 
Gross transfers out of level 3
(160,449
)
 

 
(320,066
)
 

 
End of period level 3 fair value
$
146,237

 
$
1,651,556

 
$
146,237

 
$
1,651,556

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

 
$
(136,922
)
(2) 
$

 
$
(448,075
)
(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
$
(617
)
 
$

 
$
2,608

 
$

 
____________________
(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 (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) gain on servicing asset on the condensed consolidated statements of comprehensive income (loss).
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 September 30, 2019:
September 30, 2019
Valuation Technique
 
Unobservable Input (1)
 
Range
 
Weighted Average (2)
Discounted cash flow
 
Constant prepayment speed
 
13.0
-
18.3
%
 
16.1%
 
 
Delinquency
 
0.6
-
0.9
%
 
0.8%
 
 
Discount rate
 
6.1
-
8.0
%
 
7.0%
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 September 30, 2019 and December 31, 2018.
 
September 30, 2019
 
December 31, 2018
(in thousands)
Carrying Value
 
Fair Value
 
Carrying Value
 
Fair Value
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$
28,318,558

 
$
28,318,558

 
$
25,552,604

 
$
25,552,604

Mortgage servicing rights
$
1,651,556

 
$
1,651,556

 
$
1,993,440

 
$
1,993,440

Cash and cash equivalents
$
740,698

 
$
740,698

 
$
409,758

 
$
409,758

Restricted cash
$
509,689

 
$
509,689

 
$
688,006

 
$
688,006

Derivative assets
$
230,620

 
$
230,620

 
$
319,981

 
$
319,981

Reverse repurchase agreements
$
180,575

 
$
180,575

 
$
761,815

 
$
761,815

Other assets
$
18,274

 
$
18,274

 
74,412

 
74,412

Liabilities
 
 
 
 
 
 
 
Repurchase agreements
$
25,567,136

 
$
25,567,136

 
$
23,133,476

 
$
23,133,476

Federal Home Loan Bank advances
$
50,000

 
$
50,000

 
$
865,024

 
$
865,024

Revolving credit facilities
$
300,000

 
$
300,000

 
$
310,000

 
$
310,000

Term notes payable
$
394,235

 
$
400,032

 
$

 
$

Convertible senior notes
$
284,635

 
$
294,869

 
$
283,856

 
$
281,951

Derivative liabilities
$
17,201

 
$
17,201

 
$
820,590

 
$
820,590