Fair Value (Tables)
|
9 Months Ended |
Sep. 30, 2018 |
|---|
| 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.
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Recurring Fair Value Measurements |
|
September 30, 2018 |
(in thousands) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Assets |
|
|
|
|
|
|
|
Available-for-sale securities |
$ |
— |
|
|
$ |
25,898,916 |
|
|
$ |
40,000 |
|
|
$ |
25,938,916 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
1,664,024 |
|
|
1,664,024 |
|
Residential mortgage loans held-for-sale |
— |
|
|
456 |
|
|
27,081 |
|
|
27,537 |
|
Derivative assets |
15,212 |
|
|
388,019 |
|
|
— |
|
|
403,231 |
|
Total assets |
$ |
15,212 |
|
|
$ |
26,287,391 |
|
|
$ |
1,731,105 |
|
|
$ |
28,033,708 |
|
Liabilities |
|
|
|
|
|
|
|
Derivative liabilities |
$ |
43,314 |
|
|
$ |
754,190 |
|
|
$ |
— |
|
|
$ |
797,504 |
|
Total liabilities |
$ |
43,314 |
|
|
$ |
754,190 |
|
|
$ |
— |
|
|
$ |
797,504 |
|
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|
Recurring Fair Value Measurements |
|
December 31, 2017 |
(in thousands) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Assets |
|
|
|
|
|
|
|
Available-for-sale securities |
$ |
— |
|
|
$ |
21,067,678 |
|
|
$ |
153,141 |
|
|
$ |
21,220,819 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
1,086,717 |
|
|
1,086,717 |
|
Residential mortgage loans held-for-sale |
— |
|
|
474 |
|
|
29,940 |
|
|
30,414 |
|
Derivative assets |
913 |
|
|
309,005 |
|
|
— |
|
|
309,918 |
|
Equity securities |
29,413 |
|
|
— |
|
|
— |
|
|
29,413 |
|
Total assets |
$ |
30,326 |
|
|
$ |
21,377,157 |
|
|
$ |
1,269,798 |
|
|
$ |
22,677,281 |
|
Liabilities |
|
|
|
|
|
|
|
Derivative liabilities |
1,930 |
|
|
29,973 |
|
|
— |
|
|
31,903 |
|
Total liabilities |
$ |
1,930 |
|
|
$ |
29,973 |
|
|
$ |
— |
|
|
$ |
31,903 |
|
|
| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
The following tables present the reconciliation for all of the Company’s Level 3 assets measured at fair value on a recurring basis:
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Three Months Ended |
|
|
September 30, 2018 |
|
(in thousands) |
Available-For-Sale Securities |
|
Mortgage Servicing Rights |
|
Residential Mortgage Loans Held-For-Sale |
|
Beginning of period level 3 fair value |
$ |
153,424 |
|
|
$ |
1,450,261 |
|
|
$ |
28,351 |
|
|
Gains (losses) included in net income: |
|
|
|
|
|
|
Realized (losses) gains |
— |
|
|
(42,089 |
) |
|
167 |
|
|
Unrealized gains |
— |
|
|
62,680 |
|
(1) |
129 |
|
(3) |
Net gains (losses) included in net income |
— |
|
|
20,591 |
|
|
296 |
|
|
Other comprehensive (loss) income |
(424 |
) |
|
— |
|
|
— |
|
|
Purchases |
— |
|
|
201,197 |
|
|
— |
|
|
Sales |
— |
|
|
4 |
|
|
— |
|
|
Settlements |
(113,000 |
) |
|
(8,029 |
) |
|
(1,566 |
) |
|
Gross transfers into level 3 |
— |
|
|
— |
|
|
— |
|
|
Gross transfers out of level 3 |
— |
|
|
— |
|
|
— |
|
|
End of period level 3 fair value |
$ |
40,000 |
|
|
$ |
1,664,024 |
|
|
$ |
27,081 |
|
|
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period |
$ |
— |
|
|
$ |
62,275 |
|
(2) |
$ |
127 |
|
(4) |
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 |
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
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|
|
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|
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|
Nine Months Ended |
|
|
September 30, 2018 |
|
(in thousands) |
Available-For-Sale Securities |
|
Mortgage Servicing Rights |
|
Residential Mortgage Loans Held-For-Sale |
|
Beginning of period level 3 fair value |
$ |
153,141 |
|
|
$ |
1,086,717 |
|
|
$ |
29,940 |
|
|
Gains (losses) included in net income: |
|
|
|
|
|
|
Realized losses |
— |
|
|
(107,359 |
) |
|
(41 |
) |
|
Unrealized gains |
— |
|
|
209,610 |
|
(1) |
901 |
|
(3) |
Net gains (losses) included in net income |
— |
|
|
102,251 |
|
|
860 |
|
|
Other comprehensive (loss) income |
(141 |
) |
|
— |
|
|
— |
|
|
Purchases |
— |
|
|
480,462 |
|
|
— |
|
|
Sales |
— |
|
|
(395 |
) |
|
— |
|
|
Settlements |
(113,000 |
) |
|
(5,011 |
) |
|
(3,719 |
) |
|
Gross transfers into level 3 |
— |
|
|
— |
|
|
— |
|
|
Gross transfers out of level 3 |
— |
|
|
— |
|
|
— |
|
|
End of period level 3 fair value |
$ |
40,000 |
|
|
$ |
1,664,024 |
|
|
$ |
27,081 |
|
|
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period |
$ |
— |
|
|
$ |
201,666 |
|
(2) |
$ |
806 |
|
(4) |
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) |
The change in unrealized gains or losses on MSR was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive (loss) income.
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|
(2) |
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 (loss) income.
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|
(3) |
The change in unrealized gains or losses on residential mortgage loans held-for-sale was recorded in other income on the condensed consolidated statements of comprehensive (loss) income.
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|
(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 other income on the condensed consolidated statements of comprehensive (loss) income.
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|
| Fair Value Inputs, Assets, Quantitative Information |
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 September 30, 2018:
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September 30, 2018 |
Valuation Technique |
|
Unobservable Input (1)
|
|
Range |
|
Weighted Average (2)
|
Discounted cash flow |
|
Constant prepayment speed |
|
6.4 |
- |
8.1 |
% |
|
7.3% |
|
|
Delinquency |
|
0.9 |
- |
1.4 |
% |
|
1.2% |
|
|
Discount rate |
|
8.6 |
- |
10.8 |
% |
|
9.7% |
|
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|
|
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|
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|
December 31, 2017 |
Valuation Technique |
|
Unobservable Input (1)
|
|
Range |
|
Weighted Average (2)
|
Discounted cash flow |
|
Constant prepayment speed |
|
8.2 |
- |
11.2 |
% |
|
9.8% |
|
|
Delinquency |
|
1.3 |
- |
2.0 |
% |
|
1.7% |
|
|
Discount rate |
|
8.3 |
- |
11.2 |
% |
|
9.9% |
___________________
|
|
(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, Option, Quantitative Disclosures |
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 (loss) income for each fair value option-elected item.
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|
Three Months Ended September 30, 2018 |
(in thousands) |
Interest income (expense) |
|
(Loss) gain on investment securities |
|
Other income |
|
Total included in net income |
|
Change in fair value due to credit risk |
Assets |
|
|
|
|
|
|
|
|
|
|
|
Available-for-sale securities |
$ |
(121 |
) |
|
|
$ |
(469 |
) |
|
$ |
— |
|
|
$ |
(590 |
) |
|
N/A |
|
|
Residential mortgage loans held-for-investment in securitization trusts |
— |
|
(1) |
|
— |
|
|
— |
|
|
— |
|
|
$ |
— |
|
(2) |
Residential mortgage loans held-for-sale |
332 |
|
(1) |
|
— |
|
|
295 |
|
|
627 |
|
|
(251 |
) |
(3) |
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
Collateralized borrowings in securitization trusts |
— |
|
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
(2) |
Total |
$ |
211 |
|
|
|
$ |
(469 |
) |
|
$ |
295 |
|
|
$ |
37 |
|
|
$ |
(251 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, 2017 |
(in thousands) |
Interest income (expense) |
|
(Loss) gain on investment securities |
|
Other income |
|
Total included in net income |
|
Change in fair value due to credit risk |
Assets |
|
|
|
|
|
|
|
|
|
|
|
Available-for-sale securities |
$ |
(2,283 |
) |
|
|
$ |
4,757 |
|
|
$ |
— |
|
|
$ |
2,474 |
|
|
N/A |
|
|
Residential mortgage loans held-for-investment in securitization trusts |
29,865 |
|
(1) |
|
— |
|
|
14,670 |
|
|
44,535 |
|
|
$ |
— |
|
(2) |
Residential mortgage loans held-for-sale |
479 |
|
(1) |
|
— |
|
|
355 |
|
|
834 |
|
|
(400 |
) |
(3) |
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
Collateralized borrowings in securitization trusts |
(23,970 |
) |
|
|
— |
|
|
(7,863 |
) |
|
(31,833 |
) |
|
— |
|
(2) |
Total |
$ |
4,091 |
|
|
|
$ |
4,757 |
|
|
$ |
7,162 |
|
|
$ |
16,010 |
|
|
$ |
(400 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30, 2018 |
(in thousands) |
Interest income (expense) |
|
(Loss) gain on investment securities |
|
Other income |
|
Total included in net income |
|
Change in fair value due to credit risk |
Assets |
|
|
|
|
|
|
|
|
|
|
|
Available-for-sale securities |
$ |
(3,438 |
) |
|
|
$ |
8,848 |
|
|
$ |
— |
|
|
$ |
5,410 |
|
|
N/A |
|
|
Residential mortgage loans held-for-investment in securitization trusts |
— |
|
(1) |
|
— |
|
|
— |
|
|
— |
|
|
$ |
— |
|
(2) |
Residential mortgage loans held-for-sale |
988 |
|
(1) |
|
— |
|
|
851 |
|
|
1,839 |
|
|
$ |
(220 |
) |
(3) |
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
Collateralized borrowings in securitization trusts |
— |
|
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
(2) |
Total |
$ |
(2,450 |
) |
|
|
$ |
8,848 |
|
|
$ |
851 |
|
|
$ |
7,249 |
|
|
$ |
(220 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30, 2017 |
(in thousands) |
Interest income (expense) |
|
(Loss) gain on investment securities |
|
Other income |
|
Total included in net income |
|
Change in fair value due to credit risk |
Assets |
|
|
|
|
|
|
|
|
|
|
|
Available-for-sale securities |
$ |
(5,565 |
) |
|
|
$ |
9,124 |
|
|
$ |
— |
|
|
$ |
3,559 |
|
|
N/A |
|
|
Residential mortgage loans held-for-investment in securitization trusts |
92,319 |
|
(1) |
|
— |
|
|
45,569 |
|
|
137,888 |
|
|
$ |
— |
|
(2) |
Residential mortgage loans held-for-sale |
1,380 |
|
(1) |
|
— |
|
|
2,149 |
|
|
3,529 |
|
|
(1,281 |
) |
(3) |
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
Collateralized borrowings in securitization trusts |
(74,199 |
) |
|
|
— |
|
|
(30,685 |
) |
|
(104,884 |
) |
|
— |
|
(2) |
Total |
$ |
13,935 |
|
|
|
$ |
9,124 |
|
|
$ |
17,033 |
|
|
$ |
40,092 |
|
|
$ |
(1,281 |
) |
|
____________________
|
|
(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 |
The table below provides the fair value and the unpaid principal balance for the Company’s fair value option-elected loans.
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|
|
|
|
|
|
September 30, 2018 |
|
December 31, 2017 |
(in thousands) |
Unpaid Principal Balance |
|
Fair
Value (1)
|
|
Unpaid Principal Balance |
|
Fair
Value (1)
|
Residential mortgage loans held-for-sale |
|
|
|
|
|
|
|
Total loans |
$ |
33,448 |
|
|
$ |
27,537 |
|
|
$ |
37,632 |
|
|
$ |
30,414 |
|
Nonaccrual loans |
$ |
10,129 |
|
|
$ |
8,357 |
|
|
$ |
13,511 |
|
|
$ |
10,963 |
|
Loans 90+ days past due |
$ |
8,932 |
|
|
$ |
7,270 |
|
|
$ |
12,136 |
|
|
$ |
9,857 |
|
____________________
(1) Excludes accrued interest receivable.
|
| 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, 2018 and December 31, 2017.
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2018 |
|
December 31, 2017 |
(in thousands) |
Carrying Value |
|
Fair Value |
|
Carrying Value |
|
Fair Value |
Assets |
|
|
|
|
|
|
|
Available-for-sale securities |
$ |
25,938,916 |
|
|
$ |
25,938,916 |
|
|
$ |
21,220,819 |
|
|
$ |
21,220,819 |
|
Mortgage servicing rights |
$ |
1,664,024 |
|
|
$ |
1,664,024 |
|
|
$ |
1,086,717 |
|
|
$ |
1,086,717 |
|
Residential mortgage loans held-for-sale |
$ |
27,537 |
|
|
$ |
27,537 |
|
|
$ |
30,414 |
|
|
$ |
30,414 |
|
Cash and cash equivalents |
$ |
422,851 |
|
|
$ |
422,851 |
|
|
$ |
419,159 |
|
|
$ |
419,159 |
|
Restricted cash |
$ |
888,632 |
|
|
$ |
888,632 |
|
|
$ |
635,836 |
|
|
$ |
635,836 |
|
Derivative assets |
$ |
403,231 |
|
|
$ |
403,231 |
|
|
$ |
309,918 |
|
|
$ |
309,918 |
|
Reverse repurchase agreements |
$ |
759,375 |
|
|
$ |
759,375 |
|
|
$ |
— |
|
|
$ |
— |
|
Equity securities |
$ |
— |
|
|
$ |
— |
|
|
$ |
29,413 |
|
|
$ |
29,413 |
|
Federal Home Loan Bank stock |
$ |
40,848 |
|
|
$ |
40,848 |
|
|
$ |
53,826 |
|
|
$ |
53,826 |
|
Equity investments |
$ |
6,529 |
|
|
$ |
6,529 |
|
|
$ |
3,000 |
|
|
$ |
3,000 |
|
Liabilities |
|
|
|
|
|
|
|
Repurchase agreements |
$ |
23,806,631 |
|
|
$ |
23,806,631 |
|
|
$ |
19,451,207 |
|
|
$ |
19,451,207 |
|
Federal Home Loan Bank advances |
$ |
865,024 |
|
|
$ |
865,024 |
|
|
$ |
1,215,024 |
|
|
$ |
1,215,024 |
|
Revolving credit facilities |
$ |
310,000 |
|
|
$ |
310,000 |
|
|
$ |
20,000 |
|
|
$ |
20,000 |
|
Convertible senior notes |
$ |
283,555 |
|
|
$ |
296,312 |
|
|
$ |
282,827 |
|
|
$ |
306,351 |
|
Derivative liabilities |
$ |
797,504 |
|
|
$ |
797,504 |
|
|
$ |
31,903 |
|
|
$ |
31,903 |
|
|