Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v2.4.0.6
Fair Value (Tables)
 3 Months Ended
Mar. 31, 2013
Fair Value [Abstract]  
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, 2013 and December 31, 2012.
 
March 31, 2013
 
December 31, 2012
(in thousands)
Carrying Value
 
Fair Value
 
Carrying Value
 
Fair Value
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$
14,963,531

 
$
14,963,531

 
$
13,666,954

 
$
13,666,954

Trading securities
1,002,414

 
1,002,414

 
1,002,062

 
1,002,062

Equity securities
368,970

 
368,970

 
335,638

 
335,638

Mortgage loans held-for-sale
192,417

 
192,417

 
58,607

 
58,607

Mortgage loans held-for-investment in securitization trust
434,068

 
434,068

 
—

 
—

Cash and cash equivalents
1,140,706

 
1,140,706

 
821,108

 
821,108

Restricted cash
277,428

 
277,428

 
302,322

 
302,322

Derivative assets
511,749

 
511,749

 
462,080

 
462,080

Liabilities
 
 
 
 
 
 
 
Repurchase agreements
$
13,444,565

 
$
13,444,565

 
$
12,624,510

 
$
12,624,510

Collateralized borrowings in securitization trust
397,229

 
397,229

 
—

 
—

Derivative liabilities
45,423

 
45,423

 
129,294

 
129,294

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, 2013
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$
—

 
$
14,959,031

 
$
4,500

 
$
14,963,531

Trading securities
1,002,414

 
—

 
—

 
1,002,414

Equity securities
368,970

 
—

 
—

 
368,970

Mortgage loans held-for-sale
—

 
69,182

 
123,235

 
192,417

Mortgage loans held-for-investment in securitization trust
—

 
434,068

 
—

 
434,068

Derivative assets
2,237

 
509,512

 
—

 
511,749

Total assets
$
1,373,621

 
$
15,971,793

 
$
127,735

 
$
17,473,149

Liabilities
 
 
 
 
 
 
 
Collateralized borrowings in securitization trust
$
—

 
$
397,229

 
$
—

 
$
397,229

Derivative liabilities
156

 
45,267

 
—

 
45,423

Total liabilities
$
156

 
$
442,496

 
$
—

 
$
442,652

 
Recurring Fair Value Measurements
 
At December 31, 2012
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$
—

 
$
13,665,083

 
$
1,871

 
$
13,666,954

Trading securities
1,002,062

 
—

 
—

 
1,002,062

Equity securities
335,638

 
—

 
—

 
335,638

Mortgage loans held-for-sale
—

 
58,607

 
—

 
58,607

Derivative assets
1,917

 
460,163

 
—

 
462,080

Total assets
$
1,339,617

 
$
14,183,853

 
$
1,871

 
$
15,525,341

Liabilities
 
 
 
 
 
 
 
Derivative liabilities
$
239

 
$
129,055

 
$
—

 
$
129,294

Total liabilities
$
239

 
$
129,055

 
$
—

 
$
129,294

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]
The table below presents the reconciliation for all of the Company's Level 3 assets and liabilities measured at fair value on a recurring basis. The Level 3 items presented below may be hedged by derivatives and other financial instruments that are classified as Level 1 or Level 2. Thus, the tables below do not fully reflect the impact of the Company's risk management activities.
 
Level 3 Recurring Fair Value Measurements
 
 
Three Months Ended March 31, 2013
 
 
Assets
 
(in thousands)
Available-For-Sale Securities
 
Mortgage Loans Held-For-Sale
 
Beginning of period level 3 fair value
$
1,871

 
$
—

 
Gains/(losses) included in net income:
 
 
 
 
Realized gains (losses)
74

(1) 
—

 
Unrealized gains (losses)
—

 
13,923

(2) 
Total net gains/(losses) included in net income
74

 
13,923

 
Other comprehensive income 
1,426

 
—

 
Purchases
—

 
109,484

 
Sales
—

 
—

 
Settlements
—

 
(172
)
 
Gross transfers into level 3
3,000

 
—

 
Gross transfers out of level 3
(1,871
)
 
—

 
End of period level 3 fair value
$
4,500

 
$
123,235

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

 
$
13,923

(3) 
___________________
(1)
For the three months ended March 31, 2013, the realized losses on available-for-sale securities represent net (premium amortization)/discount accretion recorded in interest income on the condensed consolidated statements of comprehensive income.
(2)
For the three months ended March 31, 2013, the change in unrealized gains or losses on mortgage loans held-for-sale was recorded in gain (loss) on mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income.
(3)
For the three months ended March 31, 2013, the change in unrealized gains or losses on mortgage loans held-for-sale that were held at the end of the reporting period were recorded in gain (loss) on mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income.

The Company transferred two Level 3 assets in the amount of $1.9 million into Level 2 during the three months ended March 31, 2013. The assets were deemed to be Level 2 based on the availability of third-party pricing and corroborating market data. The Company did not incur transfers between Level 1 and Level 2 for the three months ended March 31, 2013. The Company transferred one Level 2 asset in the amount of $3.0 million into Level 3 during the three months ended March 31, 2013. The asset was deemed to be Level 3 based on the limited availability of third-party pricing. 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, 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, 2013
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$
—

 
$
14,959,031

 
$
4,500

 
$
14,963,531

Trading securities
1,002,414

 
—

 
—

 
1,002,414

Equity securities
368,970

 
—

 
—

 
368,970

Mortgage loans held-for-sale
—

 
69,182

 
123,235

 
192,417

Mortgage loans held-for-investment in securitization trust
—

 
434,068

 
—

 
434,068

Derivative assets
2,237

 
509,512

 
—

 
511,749

Total assets
$
1,373,621

 
$
15,971,793

 
$
127,735

 
$
17,473,149

Liabilities
 
 
 
 
 
 
 
Collateralized borrowings in securitization trust
$
—

 
$
397,229

 
$
—

 
$
397,229

Derivative liabilities
156

 
45,267

 
—

 
45,423

Total liabilities
$
156

 
$
442,496

 
$
—

 
$
442,652

 
Recurring Fair Value Measurements
 
At December 31, 2012
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$
—

 
$
13,665,083

 
$
1,871

 
$
13,666,954

Trading securities
1,002,062

 
—

 
—

 
1,002,062

Equity securities
335,638

 
—

 
—

 
335,638

Mortgage loans held-for-sale
—

 
58,607

 
—

 
58,607

Derivative assets
1,917

 
460,163

 
—

 
462,080

Total assets
$
1,339,617

 
$
14,183,853

 
$
1,871

 
$
15,525,341

Liabilities
 
 
 
 
 
 
 
Derivative liabilities
$
239

 
$
129,055

 
$
—

 
$
129,294

Total liabilities
$
239

 
$
129,055

 
$
—

 
$
129,294

Fair Value, Option, Quantitative Disclosures [Table Text Block]
The following table summarizes the fair value option elections and information regarding the amounts recognized in earnings for each fair value option-elected item.
 
Changes included in the Condensed Consolidated Statements of Comprehensive Income
 
Three Months Ended March 31,
 
2013
 
2012
(in thousands)
 
 
 
Interest income:
 
 
 
Interest income on mortgage loans held-for-sale (1)
$
1,318

 
$
69

Interest income on mortgage loans held-for-investment in securitization trust (1)
1,654

 
—

Interest expense:
 
 
 
Interest expense on collateralized borrowings in securitization trust
(818
)
 
—

Other income:
 
 
 
Realized loss on mortgage loans held-for-sale (2)
(62
)
 
—

Unrealized gain (loss) on mortgage loans held-for-sale (2)
14,098

 
(45
)
Unrealized loss on mortgage loans held-for-investment in securitization trust (3)
(8,002
)
 
—

Unrealized gain on collateralized borrowings in securitization trust (3)
14,291

 
—

Unrealized gain on equity securities (4)
7,843

 
—

Total included in net income
$
30,322

 
$
24

Change in fair value due to credit risk
$
—

 
$
—

____________________
(1)
Interest income on mortgage loans held-for-sale and mortgage loans held-for-investment in securitization trust is measured by multiplying the unpaid principal balance on the loans by the coupon rate and the number of days of interest due.
(2)
Realized loss and unrealized gain (loss) on mortgage loans held-for-sale is recorded in gain (loss) on mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income.
(3)
Unrealized losses on mortgage loans held-for-investment in securitization trust and unrealized gains on collateralized borrowings in securitization trust are recorded in gain on mortgage loans held-for-investment and collateralized borrowings in securitization trust on the condensed consolidated statements of comprehensive income.
(4)
Unrealized gain on equity securities is recorded in gain on investment securities on the condensed consolidated statements of comprehensive income.

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, 2013
 
December 31, 2012
(in thousands)
Unpaid Principal Balance
 
Fair Value (1)
 
Unpaid Principal Balance
 
Fair Value (1)
Mortgage loans held-for-sale
 
 
 
 
 
 
 
Total loans
$
228,840

 
$
192,417

 
$
56,976

 
$
58,607

Nonaccrual loans
$
18,607

 
$
12,590

 
$
—

 
$
—

Loans 90+ days past due
$
18,607

 
$
12,590

 
$
—

 
$
—

Mortgage loans held-for-investment in securitization trust
 
 
 
 
 
 
 
Total loans
$
421,485

 
$
434,068

 
$
—

 
$
—

Nonaccrual loans
$
—

 
$
—

 
$
—

 
$
—

Loans 90+ days past due
$
—

 
$
—

 
$
—

 
$
—

Collateralized borrowings in securitization trust
 
 
 
 
 
 
 
Total borrowings
$
407,361

 
$
397,229

 
$
—

 
$
—

____________________
(1)
Excludes accrued interest receivable.