XML 146 R60.htm IDEA: XBRL DOCUMENT v3.3.0.814
Derivative Financial Instruments and Hedging Activities (Tables)
 9 Months Ended 12 Months Ended
Sep. 30, 2015
Dec. 31, 2014
Derivative Instruments and Hedging Activities Disclosure [Abstract]    
Summary of Changes in Notional Balances of Holdings of Derivatives  
The following table summarizes the changes in the notional balances of our holdings of derivatives during the year ended December 31, 2014: 
 
IRLCs
 
Forward MBS Trades
 
Interest Rate Caps
Beginning balance
$
751,436

 
$
950,648

 
$
1,868,000

Additions
4,710,504

 
8,657,112

 
1,100,000

Amortization
94,571

 
—

 
(1,239,000
)
Maturities
(4,280,676
)
 
(3,366,349
)
 
—

Terminations
(1,036,429
)
 
(5,537,686
)
 
—

Ending balance
$
239,406

 
$
703,725

 
$
1,729,000

 
 
 
 
 
 
Fair value of derivative assets (liabilities) at:
 

 
 

 
 

December 31, 2014
$
6,065

 
$
(2,854
)
 
$
567

December 31, 2013
$
8,433

 
$
6,905

 
$
442

 
 
 
 
 
 
Maturity
Feb. 2015 - Mar. 2015
 
Feb. 2015 - Mar. 2015 (1)
 
Nov. 2016 - Oct. 2017

(1)
As loans are originated and sold or as loan commitments expire, our forward MBS trade positions mature and are replaced by new positions based upon new loan commitments and originations and expected time to sell.
Summary of Open Derivative Positions and the Gains (Losses) on all Derivatives
The following summarizes our open derivative positions at September 30, 2015 and the gains (losses) on all derivatives used in each of the identified hedging programs for the year to date period then ended. None of the derivatives was designated as a hedge for accounting purposes at September 30, 2015:
Purpose
 
Expiration Date
 
Notional Amount
 
Fair Value (1)
 
Gains / (Losses)
 
Consolidated Statements of Operations Caption
Interest rate risk of borrowings













Interest rate caps (2)

Nov. 2016 - Oct. 2017

$
3,469,000

 
$
1,501

 
$
(1,613
)
 
Other, net
Interest rate risk of mortgage loans held for sale and of IRLCs
 
 
 
 
 
 
 
 
 
 
Forward MBS trades
 
Nov. 2015 - Dec 2015
 
672,899

 
(3,438
)
 
(10,878
)
 
Gain on loans held for sale, net
IRLCs
 
Oct. 2015 - Nov. 2015
 
385,073

 
10,010

 
3,944

 
Gain on loans held for sale, net
Total derivatives
 
 
 


 
$
8,073

 
$
(8,547
)
 
 

(1)
Derivatives are reported at fair value in Receivables, Other assets or in Other liabilities on our Unaudited Consolidated Balance Sheets.
(2)
To hedge the effect of changes in 1ML on advance funding facilities.
The following summarizes our open derivative positions at December 31, 2014 and the losses on all derivatives used in each of the identified hedging programs for the year then ended. None of the derivatives was designated as a hedge for accounting purposes at December 31, 2014:
Purpose
 
Expiration Date
 
Notional Amount
 
Asset / (Liability) at Fair Value (1)
 
Losses
 
Consolidated Statement of Operations Caption
Hedge the effect of changes in interest rates on interest expense on borrowings













Interest rate caps













Hedge the effect of changes in 1ML on advance funding facilities

Nov. 2016 - Oct. 2017

$
1,729,000

 
$
567

 
$
661

 
Other, net
 
 
 
 
 
 
 
 
 
 
 
Interest rate risk of mortgage loans held for sale and of IRLCs
 
 
 
 

 
 

 
 

 
 
Forward MBS trades
 
Feb 2015 - Mar 2015
 
703,725

 
(2,854
)
 
17,214

 
Gain on loans held for sale, net
 
 
 
 
 
 
 
 
 
 
 
IRLCs
 
Feb 2015 - Mar 2015
 
239,406

 
6,065

 
25,822

 
Gain on loans held for sale, net
Total derivatives
 
 
 


 
$
3,778

 
$
43,697

 
 

(1)
Derivatives are reported at fair value in Receivables, Other assets or in Other liabilities on our Consolidated Balance Sheets.
Schedule of Changes in the Losses on Cash Flow Hedges Included in AOCL
Changes in AOCL during the nine months ended September 30 were as follows:
 
2015
 
2014
Beginning balance
$
8,413


$
10,151

 
 
 
 
Losses on terminated hedging relationships amortized to earnings
(6,916
)

(1,579
)
Decrease in deferred taxes on accumulated losses on cash flow hedges
389

 
217

Decrease in accumulated losses on cash flow hedges, net of taxes
(6,527
)
 
(1,362
)
 
 
 
 
Other, net of taxes
—

 
(5
)
Ending balance
$
1,886

 
$
8,784
hanges in AOCL during the years ended December 31 were as follows:
 
2014
 
2013
 
2012
Beginning balance
$
10,151


$
6,441


$
7,896

 
 
 
 
 
 
Additional net losses on cash flow hedges
—


12,363


8,315

Ineffectiveness of cash flow hedges reclassified to earnings
—


(657
)

41

Losses on terminated hedging relationships amortized to
earnings
(1,982
)

(10,816
)

(10,592
)
Net increase (decrease) in accumulated losses on cash flow hedges
(1,982
)
 
890

 
(2,236
)
Decrease in deferred taxes on accumulated losses on cash flow hedges
248

 
2,825

 
786

Increase (decrease) in accumulated losses on cash flow hedges, net of taxes
(1,734
)
 
3,715

 
(1,450
)
 
 
 
 
 
 
Other
(4
)
 
(5
)
 
(5
)
 
 
 
 
 
 
Ending balance
$
8,413

 
$
10,151

 
$
6,441
Schedule of Other Income (Expense), Net Related to Derivative Financial Instruments
Other income (expense), net, includes the following related to derivative financial instruments for the three and nine months ended September 30:
 
Three Months
 
Nine Months
 
2015

2014

2015
 
2014
Losses on economic hedges
$
(738
)

$
(6
)

$
(1,613
)
 
$
(374
)
Write-off of losses in AOCL for a discontinued hedge relationship
(523
)

(408
)

(6,916
)
 
(1,580
)
 
$
(1,261
)

$
(414
)

$
(8,529
)
 
$
(1,954
)
Other income (expense), net, includes the following related to derivative financial instruments for the years ended December 31:
 
2014

2013

2012
Gains (losses) on economic hedges
(661
)

(2,861
)

7,331

Ineffectiveness of cash flow hedges
—


(657
)

41

Write-off of losses in AOCL for a discontinued hedge relationship (1)
(1,982
)

(10,816
)

(4,633
)
Write-off of losses in AOCL for hedge of a financing facility assumed by HLSS (2)
—


—


(5,958
)
 
$
(2,643
)

$
(14,334
)

$
(3,219
)

(1)
Includes the write off in 2012 and 2013 of the remaining unamortized losses when a borrowing under the related advance financing facility was repaid in full, and the facility was terminated.
Schedule of Changes in Notional Balance of Holdings of Derivatives
The following table summarizes the changes in the notional balances of our holdings of derivatives during the nine months ended September 30, 2015: 
 
IRLCs
 
Forward MBS Trades (1)
 
Interest Rate Caps
Interest Rate Swaps
Beginning notional balance
$
239,406

 
$
703,725

 
$
1,729,000

$
—

Additions
4,210,647

 
6,248,108

 
2,179,333

450,000

Amortization
—

 
—

 
(439,333
)
—

Maturities
(3,727,042
)
 
(3,414,877
)
 
—

—

Terminations
(337,938
)
 
(2,864,057
)
 
—

(450,000
)
Ending notional balance
$
385,073

 
$
672,899

 
$
3,469,000

$
—

 
 
 
 
 
 
 
Fair value of derivative assets (liabilities) at:
 

 
 

 
 

 

September 30, 2015
$
10,010

 
$
(3,438
)
 
$
1,501

$
—

December 31, 2014
$
6,065

 
$
(2,854
)
 
$
567

$
—

 
 
 
 
 
 
 
Maturity
Oct. 2015 - Dec. 2015
 
Nov. 2015 - Dec. 2015
 
Nov. 2016 - Oct. 2017
N/A

(1)
As loans are originated and sold or as loan commitments expire, our forward MBS trade positions mature and are replaced by new positions based upon new loan commitments and originations and expected time to sell.