Navy Federal Credit Union 2015 Annual Report Download - page 69

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Navy Federal Credit Union50
The tables below present the items recognized at fair value in the Consolidated Statements of
Financial Condition on a recurring basis at December 31:
Fair Value Measurements on Recurring Basis as of December 31, 2015
(dollars in thousands) Level 1 Level 2 Level 3 Total
Available-for-sale securities
U.S. government and federal agency securities $ — $ 4,965,482 $ — $ 4,965,482
Residential mortgage-backed securities
Agency — 5,529,755 — 5,529,755
Non-agency — 761,565 — 761,565
Commercial mortgage-backed securities — 285,320 — 285,320
Bank notes and corporate bonds — 1,958,345 — 1,958,345
Municipal securities — 262,166 — 262,166
Equity securities 97,283 — — 97,283
Total available-for-sale securities 97,283 13,762,633 — 13,859,916
Mortgage loans awaiting sale — 708,015 — 708,015
Mortgage servicing rights — — 270,876 270,876
Derivatives — 1,741 18,570 20,311
Total assets at fair value on a
recurring basis $ 97,283 $ 14,472,389 $ 289,446 $ 14,859,118
Derivatives $ — $ 41,606 $ 19 $ 41,625
Total liabilities at fair value on a
recurring basis $ — $ 41,606 $ 19 $ 41,625
Fair Value Measurements on Recurring Basis as of December 31, 2014
(dollars in thousands) Level 1 Level 2 Level 3 Total
Available-for-sale securities
U.S. government and federal agency securities $ — $ 5,204,237 $ — $ 5,204,237
Residential mortgage-backed securities
Agency — 5,289,946 — 5,289,946
Non-agency — 655,805 — 655,805
Commercial mortgage-backed securities — 14,381 — 14,381
Bank notes — 1,551,156 — 1,551,156
Municipal securities — 259,652 — 259,652
Equity securities 11,015 — — 11,015
Total available-for-sale securities 11,015 12,975,177 — 12,986,192
Mortgage loans awaiting sale — 572,420 — 572,420
Mortgage servicing rights — — 235,801 235,801
Derivatives(1) — 2,047 8,771 10,818
Total assets at fair value on a
recurring basis $ 11,015 $ 13,549,644 $ 244,572 $ 13,805,231
Derivatives $ — $ 37,869 $ 3 $ 37,872
Total liabilities at fair value on a
recurring basis $ — $ 37,869 $ 3 $ 37,872
(1)Includes a reclassification of $8.8 million to the classification of previously disclosed amounts related to interest rate lock commitments
between level 2 and level 3. This misclassification is not material to the consolidated financial statements.