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:
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| |
|
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:
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
Other Debt Securities Available for Sale:
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
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Equity securities:
|
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|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
| |
|
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:
|
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|
|
|
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|
|
|
|
|
|
|
|
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|
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|
|
|
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|
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|
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| |
|
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:
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
(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:
|
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|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (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.
|
|