Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 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 March 31, 2018 and December 31, 2017, and that were included in the Company’s Consolidated Statements of Condition at those dates:


	Fair Value Measurements at March 31, 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 Securities Available for Sale:
GSE certificates	$	—	$	1,971,177	$	—	$	—	$	1,971,177
GSE CMOs		—		541,587		—		—		541,587

Total mortgage-related securities	$	—	$	2,512,764	$	—	$	—	$	2,512,764

Other Securities Available for Sale:
U. S. Treasury Obligations	$	199,430	$	—	$	—	$	—	$	199,430
GSE debentures		—		473,069		—		—		473,069
Corporate bonds		—		89,718		—		—		89,718
Municipal bonds		—		68,607		—		—		68,607
Capital trust notes		—		48,364		—		—		48,364

Total other securities	$	199,430	$	679,758	$	—	$	—	$	879,188

Total securities available for sale	$	199,430	$	3,192,522	$	—	$	—	$	3,391,952

Equity securities:
Preferred stock	$	15,243	$	—	$	—	$	—	$	15,243
Mutual funds and common stock		—		16,826		—		—		16,826

Total equity securities	$	15,243	$	16,826	$	—	$	—	$	32,069

Total securities	$	214,673	$	3,209,348	$	—	$	—	$	3,424,021

Other Assets:
Loans held for sale	$	—	$	31,402	$	—	$	—	$	31,402
Mortgage servicing rights		—		—		2,575		—		2,575


	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
Corporate bonds		—		90,775		—		—		90,775
Municipal bonds		—		70,120		—		—		70,120
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:


	March 31, 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	$	31,402	$	36,498	$	(5,096	)	$	35,258	$	34,563	$	695

Changes in Fair Value of MSRs

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 March 31,
(in thousands)	2018			2017
Mortgage servicing rights	$	(154	)	$	(2,789	)

Rollforward of Financial Instruments Classified in Level Three of Valuation Hierarchy

The following tables present, for the three months ended March 31, 2018 and March 31, 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 Mar. 31, 2018		Change in Unrealized Gains/(Losses) Related to Instruments Held at March 31, 2018
(in thousands)	Fair Value January 1, 2018		Income/ (Loss)			Comprehensive (Loss) Income		Issuances		Settlements			Transfers to/(from) Level 3		Fair Value at Mar. 31, 2018
Mortgage servicing rights	$	2,729	$	(154	)	$	—	$	—	$	—		$	—	$	2,575	$	(154	)

(in thousands)	Fair Value January 1, 2017		Total Realized/Unrealized Gains/(Losses) Recorded in					Issuances		Settlements			Transfers to/(from) Level 3		Fair Value at Mar. 31, 2017		Change in Unrealized Gains/ (Losses) Related to Instruments Held at March 31, 2017
(in thousands)	Fair Value January 1, 2017		Income/ (Loss)			Comprehensive (Loss) Income		Issuances		Settlements			Transfers to/(from) Level 3		Fair Value at Mar. 31, 2017
Mortgage servicing rights	$	228,099	$	(2,726	)	$	—	$	7,574	$	(4,147	)	$	—	$	228,800	$	(2,726	)
Interest rate lock commitments		982		1,467			—		—		—			—		2,449		2,430

Significant Unobservable Inputs used in Fair Value Measurement

For Level 3 assets and liabilities measured at fair value on a recurring basis as of March 31, 2018, the significant unobservable inputs used in the fair value measurements were as follows:


(dollars in thousands)	Fair Value at Mar. 31, 2018	Valuation Technique	Significant Unobservable Inputs	Significant Unobservable Input Value
Mortgage servicing rights	$2,575	Discounted Cash Flow	Weighted Average Constant Prepayment Rate ⁽¹⁾		10.66	%
			Weighted Average Discount Rate		12.00

(1)	Represents annualized loan repayment rate assumptions.

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 March 31, 2018 and December 31, 2017, and that were included in the Company’s Consolidated Statements of Condition at those dates:


	Fair Value Measurements at March 31, 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⁾	$	—	$	—	$	15,558	$	15,558
Other assets ⁽²⁾	$	—	$	—		3,121		3,121

Total	$	—	$	—	$	18,679	$	18,679

(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.


	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 March 31, 2018 and December 31, 2017:


	March 31, 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	$	2,680,772	$	2,680,772	$	2,680,772		$	—		$	—
FHLB stock ⁽¹⁾		622,989		622,989		—			622,989			—
Loans, net		38,759,685		38,462,422		—			—			38,462,422
Financial Liabilities:
Deposits	$	29,235,434	$	29,178,221	$	20,172,114	⁽²⁾	$	9,006,107	⁽³⁾	$	—
Borrowed funds		13,343,759		13,176,141		—			13,176,141			—

(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.

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) the reasons for electing a fair value option for each eligible item or group of similar eligible items and (b) if the fair value option is elected for some but not all eligible items within a group of similar eligible items: (i) a description of those similar items and the reasons for partial election and (ii) information of how the group of similar items relates to individual balance sheet line items; (c) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, information of how each line item in the statement of financial position relates to major categories of assets and liabilities presented in accordance with other fair value disclosures; (2) for items included in the income statement: (a) a description of how interest and dividends are measured and where they are reported in the income statement; (b) how the gains or losses attributable to changes in instrument-specific credit risk were determined; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk: (i) qualitative information about the reasons for the changes and (ii) how the gains and losses attributable to changes in instrument-specific credit risk were determined; and (3) certain other disclosures as required or determined to be provided.

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