Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2018

Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present assets and liabilities that were measured at fair value on a recurring basis as of September 30, 2018 and December 31, 2017, and that were included in the Company’s Consolidated Statements of Condition at those dates:

	Fair Value Measurements at September 30, 2018
(in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Netting Adjustments(1)			Total Fair Value
Assets:
Mortgage-Related Debt Securities Available for Sale:
GSE certificates		$	--		$	1,863,856		$	--		$	--		$	1,863,856
GSE CMOs			--			917,040			--			--			917,040
Total mortgage-related debt securities		$	--		$	2,780,896		$	--		$	--		$	2,780,896
Other Debt Securities Available for Sale:
GSE debentures		$	--		$	1,021,691		$	--		$	--		$	1,021,691
Asset-backed securities			--			388,323			--			--			388,323
Municipal bonds			--			67,499			--			--			67,499
Corporate bonds			--			455,631			--			--			455,631
Capital trust notes			--			50,243			--			--			50,243
Total other debt securities		$	--		$	1,983,387		$	--		$	--		$	1,983,387
Total debt securities available for sale		$	--		$	4,764,283		$	--		$	--		$	4,764,283
Equity securities:
Preferred stock		$	15,154		$	--		$	--		$	--		$	15,154
Mutual funds and common stock			--			16,570			--			--			16,570
Total equity securities		$	15,154		$	16,570		$	--		$	--		$	31,724
Total securities		$	15,154		$	4,780,853		$	--		$	--		$	4,796,007
	Fair Value Measurements at December 31, 2017
(in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Netting Adjustments(1)			Total Fair Value
Assets:
Mortgage-Related Securities Available for Sale:
GSE certificates		$	--		$	2,068,842		$	--		$	--		$	2,068,842
GSE CMOs						549,904									549,904
Total mortgage-related securities		$	--		$	2,618,746		$	--		$	--		$	2,618,746
Other Securities Available for Sale:
U. S. Treasury Obligations		$	199,898		$	--		$	--		$	--		$	199,898
GSE debentures			--			473,258			--			--			473,258
Municipal bonds			--			70,120			--			--			70,120
Corporate bonds			--			90,775			--			--			90,775
Capital trust notes			--			46,096			--			--			46,096
Preferred stock			15,434			--			--			--			15,434
Mutual funds and common stock			--			17,100			--			--			17,100
Total other securities		$	215,332		$	697,349		$	--		$	--		$	912,681
Total securities available for sale		$	215,332		$	3,316,095		$	--		$	--		$	3,531,427
Other Assets:
Loans held for sale		$	--		$	35,258		$	--		$	--		$	35,258
Mortgage servicing rights			--			--			2,729			--			2,729

(1) Includes cash collateral received from, and paid to, counterparties.

(2) Includes  $1.9 million to purchase Treasury options

Difference between Fair Value Option and Unpaid Principal Balance

The following table reflects the difference between the fair value carrying amount of loans held for sale, for which the Company has elected the fair value option, and the unpaid principal balance:

	September 30, 2018									December 31, 2017
(in thousands)	Fair Value Carrying Amount			Aggregate Unpaid Principal			Fair Value Carrying Amount Less Aggregate Unpaid Principal			Fair Value Carrying Amount			Aggregate Unpaid Principal			Fair Value Carrying Amount Less Aggregate Unpaid Principal
Loans held for sale		$	--		$	--		$	--		$	35,258		$	34,563		$	695

Changes in Fair Value of MSRs

The assets accounted for under the fair value option are initially measured at fair value. Gains and losses from the initial measurement and subsequent changes in fair value are recognized in earnings. The following table presents the changes in fair value related to initial measurement, and the subsequent changes in fair value included in earnings, for MSRs for the periods indicated:

	(Loss) Gain Included in Income from Changes in Fair Value (1)
	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
(in thousands)	2018		2017		2018		2017
Loans held for sale	$	--	$	464	$	--	$	1,059
Mortgage servicing rights		--		(9,743)		(224)		(20,092)
Total loss	$	--	$	(9,279)	$	(224)	$	(19,033)

(1) Included in “Non-interest income.”

Rollforward of Financial Instruments Classified in Level Three of Valuation Hierarchy

The following tables present, for the nine months ended September 30, 2018 and 2017, a roll-forward of the balance sheet amounts (including changes in fair value) for financial instruments classified in Level 3 of the valuation hierarchy:

(in thousands)	Fair Value January 1, 2018			Total Realized/Unrealized Gains/(Losses) Recorded in							Issuances			Settlements				Transfers to/(from) Level 3			Fair Value at September 30, 2018			Change in Unrealized Gains/(Losses) Related to Instruments Held at September 30, 2018
				Income/ (Loss)				Comprehensive (Loss) Income
Mortgage servicing rights			$2,729			$(224)				$--			$--			$(2,505)				$--			$--			$--
(in thousands)	Fair Value January 1, 2017			Total Realized/Unrealized Gains/(Losses) Recorded in							Issuances			Settlements				Transfers to/(from) Level 3			Fair Value at September 30, 2017			Change in Unrealized Gains/(Losses) Related to Instruments Held at September 30, 2017
				Income/ (Loss)				Comprehensive (Loss) Income
Mortgage servicing rights		$	228,099		$	(34,544	)		$	--		$	18,054		$	(208,827	)		$	--		$	2,782		$	(182	)
Interest rate lock commitments			982			(713	)			--			--			--				--			269			269

Summary of Carrying Values, Estimated Fair Values and Fair Value Measurement Levels of Financial Instruments

The following tables present assets and liabilities that were measured at fair value on a non-recurring basis as of September 30, 2018 and December 31, 2017, and that were included in the Company’s Consolidated Statements of Condition at those dates:

	Fair Value Measurements at September 30, 2018 Using
(in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total Fair Value
Certain impaired loans (1)		$	--		$	--		$	41,636		$	41,636
Other assets			--			--			667			667
Total		$	--		$	--		$	42,303		$	42,303

(1) Represents the fair value of impaired loans based on the value of the collateral and repossessed assets, based on the appraised value of the collateral subsequent to its initial classification as repossessed assets.

	Fair Value Measurements at December 31, 2017 Using
(in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)			Total Fair Value
Certain impaired loans (1)		$	--		$	--		$	45,837		$	45,837
Other assets (2)			--			--			4,357			4,357
Total		$	--		$	--		$	50,194		$	50,194

(1) Represents the fair value of impaired loans, based on the value of the collateral.

(2) Represents the fair value of repossessed assets, based on the appraised value of the collateral subsequent to its initial classification as repossessed assets.

Assets and Liabilities Measured at Fair Value on Non-Recurring Basis

The following tables summarize the carrying values, estimated fair values, and fair value measurement levels of financial instruments that were not carried at fair value on the Company’s Consolidated Statements of Condition at September 30, 2018 and December 31, 2017:

	September 30, 2018
							Fair Value Measurement Using
(in thousands)	Carrying Value			Estimated Fair Value			Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Financial Assets:
Cash and cash equivalents		$	1,731,754		$	1,731,754		$	1,731,754			$	--			$	--
FHLB stock (1)			654,939			654,939			--				654,939				--
Loans, net			39,678,616			38,940,057			--				--				38,940,057
Financial Liabilities:
Deposits		$	30,319,284			30,279,953		$	18,909,310	(2)		$	11,370,643	(3)		$	--
Borrowed funds			13,840,422			13,693,629			--				13,693,629				--

(1) Carrying value and estimated fair value are at cost.

(2) Interest-bearing checking and money market accounts, savings accounts, and non-interest-bearing accounts.

(3) Certificates of deposit.

	December 31, 2017
							Fair Value Measurement Using
(in thousands)	Carrying Value			Estimated Fair Value			Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Financial Assets:
Cash and cash equivalents		$	2,528,169		$	2,528,169		$	2,528,169			$	--			$	--
FHLB stock (1)			603,819			603,819			--				603,819				--
Loans, net			38,265,183			38,254,538			--				--				38,254,538
Financial Liabilities:
Deposits		$	29,102,163		$	29,044,852		$	20,458,517	(2)		$	8,586,335	(3)		$	--
Borrowed funds			12,913,679			12,780,653			--				12,780,653				--

(1) Carrying value and estimated fair value are at cost.

(2) Interest-bearing checking and money market accounts, savings accounts, and non-interest-bearing accounts.

(3) Certificates of deposit.