Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2016 | Apr. 29, 2016 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q1 | |
Trading Symbol | CIM | |
Entity Registrant Name | CHIMERA INVESTMENT CORP | |
Entity Central Index Key | 1,409,493 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 187,729,765 |
Consolidated Statements of Fina
Consolidated Statements of Financial Condition - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Assets: | |||
Cash and cash equivalents | $ 190,453 | $ 114,062 | |
Non-Agency RMBS, at fair value | 3,580,250 | 3,675,841 | |
Agency MBS, at fair value | 6,661,289 | 6,514,824 | |
Securitized loans held for investment, at fair value | 4,613,492 | 4,768,416 | |
Accrued interest receivable | 65,053 | 66,247 | |
Other assets | 190,855 | 189,796 | |
Derivatives, at fair value, net | 5,565 | 15,460 | |
Total assets | [1] | 15,306,957 | 15,344,646 |
Liabilities: | |||
Repurchase agreements, MBS ($8.9 billion and $8.8 billion pledged as collateral, respectively) | 7,545,631 | 7,439,339 | |
Securitized debt, collateralized by Non-Agency RMBS ($2.0 billion and $2.1 billion pledged as collateral, respectively) | 492,107 | 529,415 | |
Securitized debt at fair value, collateralized by loans held for investment ($4.6 billion and $4.8 billion pledged as collateral, respectively) | 3,617,294 | 3,720,496 | |
Payable for investments purchased | 582,875 | 560,641 | |
Accrued interest payable | 45,873 | 37,432 | |
Dividends payable | 90,367 | 90,097 | |
Accounts payable and other liabilities | 5,594 | 11,404 | |
Derivatives, at fair value | 13,581 | 9,634 | |
Total liabilities | [1] | $ 12,393,322 | $ 12,398,458 |
Commitments and Contingencies (See Note 15) | |||
Stockholders' Equity: | |||
Preferred Stock: par value $0.01 per share; 100,000,000 shares authorized, 0 shares issued and outstanding, respectively | $ 0 | $ 0 | |
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,729,765 and 187,711,868 shares issued and outstanding, respectively | 1,877 | 1,877 | |
Additional paid-in-capital | 3,366,670 | 3,366,568 | |
Accumulated other comprehensive income | 842,265 | 773,791 | |
Accumulated deficit | (1,297,177) | (1,196,048) | |
Total stockholders' equity | 2,913,635 | 2,946,188 | |
Total liabilities and stockholders' equity | $ 15,306,957 | $ 15,344,646 | |
[1] | The Company's consolidated statements of financial condition include assets of consolidated variable interest entities ("VIEs") that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corp.). As of March 31, 2016 and December 31, 2015, total assets of consolidated VIEs were $6,795,923 and $7,031,278, respectively, and total liabilities of consolidated VIEs were $4,121,346 and $4,262,017, respectively. See Note 8 for further discussion. |
Consolidated Statements of Fin3
Consolidated Statements of Financial Condition (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Preferred Stock, par value | $ 0.01 | $ 0.01 |
Preferred Stock, shares authorized | 100,000,000 | 100,000,000 |
Preferred Stock, shares issued | 0 | 0 |
Preferred Stock, shares outstanding | 0 | 0 |
Common stock, par value | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 300,000,000 | 300,000,000 |
Common stock, shares issued | 187,729,765 | 187,711,868 |
Common stock, shares outstanding | 187,729,765 | 187,711,868 |
Repurchase Agreements [Member] | Residential Mortgage-Backed Securities [Member] | ||
Securities pledged as collateral | $ 8,921,425 | $ 8,773,285 |
Repurchase Agreements [Member] | Non-Agency RMBS [Member] | ||
Securities pledged as collateral | 3,111,388 | 3,117,875 |
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | ||
Assets | 6,795,923 | 7,031,278 |
Liabilities | 4,121,346 | 4,262,017 |
Securitized Loans [Member] | Non-Agency RMBS [Member] | ||
Securities pledged as collateral | 2,000,000 | 2,100,000 |
Securitized Loans [Member] | Securitized Loans Held for Investment at Fair Value [Member] | ||
Securities pledged as collateral | $ 4,600,000 | $ 4,800,000 |
Consolidated Statements of Oper
Consolidated Statements of Operations and Comprehensive Income - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Net Interest Income: | |||
Interest income | [1] | $ 201,194 | $ 243,145 |
Interest expense | [2] | 62,981 | 60,456 |
Net interest income | 138,213 | 182,689 | |
Other-than-temporary impairments: | |||
Total other-than-temporary impairment losses | (4,423) | (1,052) | |
Portion of loss recognized in other comprehensive income | (6,255) | (6,763) | |
Net other-than-temporary credit impairment losses | (10,678) | (7,815) | |
Other investment gains (losses): | |||
Net unrealized gains (losses) on derivatives | (101,110) | 4,055 | |
Realized gains (losses) on terminations of interest rate swaps | (458) | (68,579) | |
Net realized gains (losses) on derivatives | (34,969) | (42,086) | |
Net gains (losses) on derivatives | (136,537) | (106,610) | |
Net unrealized gains (losses) on financial instruments at fair value | 16,871 | (10,425) | |
Net realized gains (losses) on sales of investments | (2,674) | 29,565 | |
Gains (losses) on Extinguishment of Debt | (1,766) | ||
Total other gains (losses) | (124,106) | (87,470) | |
Other income: | |||
Other income | 95,000 | ||
Total other income | 95,000 | ||
Other expenses: | |||
Management fees | 10,326 | ||
Expense recoveries from Manager | (1,113) | ||
Net management fees | 9,213 | ||
Compensation and benefits | 5,222 | 471 | |
General and administrative expenses | 4,503 | 4,290 | |
Servicing Fees of consolidated VIEs | 5,577 | 6,388 | |
Total other expenses | 15,302 | 20,362 | |
Income (loss) before income taxes | 83,127 | 67,042 | |
Income taxes | 29 | 1 | |
Net income (loss) | $ 83,098 | $ 67,041 | |
Net income (loss) per share available to common shareholders: | |||
Basic | $ 0.44 | $ 0.33 | |
Diluted | $ 0.44 | $ 0.33 | |
Weighted average number of common shares outstanding: | |||
Basic | 187,723,472 | 205,527,476 | |
Diluted | 187,840,182 | 205,566,956 | |
Comprehensive income (loss): | |||
Net income (loss) | $ 83,098 | $ 67,041 | |
Other comprehensive income: | |||
Unrealized gains (losses) on available-for-sale securities, net | 59,408 | (19,912) | |
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 10,678 | 7,815 | |
Reclassification adjustment for net realized losses (gains) included in net income | (1,612) | (29,076) | |
Other comprehensive income (loss) | 68,474 | (41,173) | |
Comprehensive income (loss) | $ 151,572 | $ 25,868 | |
[1] | Includes interest income of consolidated VIEs of $131,980 and $150,618 for the quarters ended March 31, 2016 and 2015 respectively. See Note 8 for further discussion. | ||
[2] | Includes interest expense of consolidated VIEs of $39,250 and $46,753 for the quarters ended March 31, 2016 and 2015 respectively. See Note 8 for further discussion. |
Consolidated Statements of Ope5
Consolidated Statements of Operations and Comprehensive Income (Parenthetical) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Interest income | $ 131,980 | $ 150,618 |
Interest expense | $ 39,250 | $ 46,753 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Stockholders' Equity - USD ($) $ in Thousands | Total | Common Stock Par Value | Additional Paid-in Capital | Accumulated Other Comprehensive Income | Accumulated Deficit | |
Beginning Balance at Dec. 31, 2014 | $ 3,607,690 | $ 2,054 | $ 3,614,412 | $ 1,046,680 | $ (1,055,456) | |
Net income (loss) | 67,041 | 67,041 | ||||
Cumulative effect of accounting change | [1] | (12,137) | (12,137) | |||
Other comprehensive income (loss) | (41,173) | (41,173) | ||||
Stock based compensation | 453 | 2 | 451 | |||
Common dividends declared | (98,679) | (98,679) | ||||
Ending Balance at Mar. 31, 2015 | 3,523,195 | 2,056 | 3,614,863 | 1,005,507 | (1,099,231) | |
Beginning Balance at Dec. 31, 2015 | 2,946,188 | 1,877 | 3,366,568 | 773,791 | (1,196,048) | |
Net income (loss) | 83,098 | 83,098 | ||||
Other comprehensive income (loss) | 68,474 | 68,474 | ||||
Stock based compensation | 102 | 0 | 102 | |||
Common dividends declared | (184,227) | (184,227) | ||||
Ending Balance at Mar. 31, 2016 | $ 2,913,635 | $ 1,877 | $ 3,366,670 | $ 842,265 | $ (1,297,177) | |
[1] | Adoption of ASU No. 2014-13, Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity. |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Cash Flows From Operating Activities: | ||
Net income | $ 83,098 | $ 67,041 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||
(Accretion) amortization of investment discounts/premiums, net | 6,469 | (12,897) |
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net | 2,581 | 1,384 |
Amortization of swaption premium | 1,656 | |
Net unrealized losses (gains) on derivatives | 101,110 | (4,055) |
Proceeds (payments) for derivative sales and settlements | (7,387) | |
Margin (paid) received on derivatives | (98,958) | 3,635 |
Net unrealized losses (gains) on financial instruments at fair value | (16,871) | 10,425 |
Net realized losses (gains) on sales of investments | 2,674 | (29,565) |
Net other-than-temporary credit impairment losses | 10,678 | 7,815 |
(Gain) loss on extinguishment of debt | 1,766 | |
Equity-based compensation expense | 102 | 453 |
Changes in operating assets: | ||
Decrease (increase) in accrued interest receivable, net | 1,194 | (3,497) |
Decrease (increase) in other assets | 9,440 | (5,082) |
Changes in operating liabilities: | ||
Increase (decrease) in accounts payable and other liabilities | (5,810) | (1,754) |
Increase (decrease) in investment management fees and expenses payable to affiliate | 11 | |
Increase (decrease) in accrued interest payable, net | 8,441 | 7,483 |
Net cash provided by (used in) operating activities | 107,570 | 34,010 |
Cash Flows From Investing Activities: | ||
Net cash provided by (used in) investing activities | 180,698 | 396,378 |
Cash Flows From Financing Activities: | ||
Proceeds from repurchase agreements | 7,897,654 | 12,717,788 |
Payments on repurchase agreements | (7,791,362) | (12,876,945) |
Proceeds from securitized debt borrowings, collateralized by loans held for investment | 98,263 | |
Payments on securitized debt borrowings, collateralized by loans held for investment | (197,595) | (189,727) |
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS | (34,880) | (34,124) |
Common dividends paid | (183,957) | (92,483) |
Net cash provided by (used in) financing activities | (211,877) | (475,491) |
Net increase (decrease) in cash and cash equivalents | 76,391 | (45,103) |
Cash and cash equivalents at beginning of period | 114,062 | 164,620 |
Cash and cash equivalents at end of period | 190,453 | 119,517 |
Supplemental disclosure of cash flow information: | ||
Interest received | 208,857 | 226,749 |
Interest paid | 51,959 | 54,359 |
Management fees and expenses paid | 10,315 | |
Non-cash investing activities: | ||
Receivable for investments sold | 962,121 | |
Payable for investments purchased | 582,875 | 489,784 |
Net change in unrealized gain (loss) on available-for sale securities | 68,474 | (41,173) |
Non-cash financing activities: | ||
Common dividends declared, not yet paid | 90,367 | 98,679 |
Agency MBS - Residential [Member] | ||
Cash Flows From Investing Activities: | ||
Purchases | (441,308) | (2,549,198) |
Sales | 270,196 | 2,734,874 |
Principal payments | 123,590 | 343,066 |
Non-Agency RMBS [Member] | ||
Cash Flows From Investing Activities: | ||
Purchases | (41,947) | (478,933) |
Sales | 283 | 109,020 |
Principal payments | 124,013 | 70,149 |
Securitized Loans [Member] | ||
Cash Flows From Investing Activities: | ||
Purchases | 0 | 0 |
Principal payments | $ 145,871 | $ 167,400 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | 1. Organization Chimera Investment Corporation (the “Company”) was organized in Maryland on June 1, 2007. The Company commenced operations on November 21, 2007 when it completed its initial public offering. The Company elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”). The Company conducts its operations through various subsidiaries including subsidiaries it treats as taxable REIT subsidiaries (“TRS”). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate related business. The Company currently has six wholly owned direct subsidiaries: Chimera RMBS Whole Pool LLC, and Chimera RMBS LLC, both qualified REIT subsidiaries (“QRS”) formed in June 2009; CIM Trading Company LLC (“CIM Trading”), a TRS formed in July 2010; Chimera Funding TRS LLC, a TRS formed in October 2013, Chimera CMBS Whole Pool LLC, a QRS formed in March 2015; and Chimera Insurance Company, LLC, a QRS formed in July 2015. Until August 5, 2015, the Company was externally managed by Fixed Income Discount Advisory Company (“FIDAC” or “Manager”), under the terms of a management agreement (“Management Agreement”). On August 5, 2015, the Company announced it had internalized its management and would continue to be led by its key professionals. In connection with the internalization, the Company and FIDAC terminated the Management Agreement. |
Summary of the Significant Acco
Summary of the Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Summary of the Significant Accounting Policies | 2. Summary of the Significant Accounting Policies (a) Basis of Presentation and Consolidation The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). In the opinion of management, all adjustments considered necessary for a fair presentation of the Company's financial position, results of operations and cash flows have been included. Certain prior period amounts have been reclassified to conform to the current period's presentation. The consolidated financial statements include, on a consolidated basis, the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities (“VIEs”) in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. The Company uses securitization trusts considered to be VIEs in its securitization and re-securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary, and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as pass through entities that receive principal and interest on the underlying collateral and distribute those payments to the certificate holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a certificate holder of the bonds it has retained. There have been no recent changes to the nature of risks associated with the Company’s involvement with VIEs. Determining the primary beneficiary of a VIE requires significant judgment. The Company determined that for the securitizations it consolidates, its ownership of substantially all subordinate interests provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance (“power”) such as rights to direct servicer activity or the Company was determined to have power in connection with its involvement with the purpose and design of the VIE. The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Statements of Financial Condition, is restricted by the structural provisions of these entities, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Statements of Financial Condition, are non-recourse to the Company, and can generally only be satisfied from each securitization vehicle’s respective asset pool. The securitization entities are comprised of senior classes of residential mortgage backed securities (“RMBS”) and residential mortgage loans. See Notes 3, 4 and 8 for further discussion of the characteristics of the securities and loans in the Company’s portfolio. (b) Statements of Financial Condition Presentation The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 8 for additional information related to the Company’s investments in consolidated securitization vehicles. (c) Cash and Cash Equivalents Cash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. There were no restrictions on cash and cash equivalents at March 31, 2016 and December 31, 2015. (d) Agency and Non-Agency Mortgage-Backed Securities The Company invests in mortgage backed securities (“MBS”) representing interests in obligations backed by pools of mortgage loans. The Company delineates between Agency MBS and Non-Agency MBS as follows: Agency MBS are mortgage pass-through certificates, collateralized mortgage obligations (“CMOs”), and other MBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by agencies of the U.S. Government, such as Ginnie Mae, or federally chartered corporations such as . Non-Agency MBS are not issued or guaranteed by a U.S. Government Agency or other institution and are subject to credit risk. Repayment of principal and interest on Non-Agency MBS is subject to the performance of the mortgage loans or MBS collateralizing the obligation. The Company also invests in Interest Only Agency MBS strips and Non-Agency RMBS strips (“IO MBS strips”). the Financial Accounting Standards Board (“ Beneficial Interests in Securitized Financial Assets (“ASC 325-40”) The Company accounts for IO MBS strips at fair value The Company classifies the majority of its MBS as available-for-sale and records investments at estimated fair value as described in Note 5 of these consolidated financial statements. The Company includes unrealized gains and losses considered to be temporary on all MBS in Other comprehensive income (“OCI”) in the Consolidated Statements of Operations and Comprehensive Income. For IO strips and certain other MBS investments, the Company carries these investments at fair value with changes in fair value included in earnings in the Consolidated Statements of Operations and Comprehensive Income. From time to time, as part of the overall management of its portfolio, the Company may sell any of its investments and recognize a realized gain or loss as a component of earnings in the Consolidated Statements of Operations and Comprehensive Income utilizing the average cost method. The Company’s accounting policy for interest income and impairment related to its MBS is as follows: Interest Income Recognition The recognition of interest income on MBS securities varies depending on the characteristics of the security as follows: Agency MBS and Non-Agency RMBS of High Credit Quality FASB ASC 310-20, Nonrefundable Fees and Other Costs ● Agency MBS ● Non-Agency RMBS that meet all of the following conditions at the acquisition date (referred to hereafter as “Non-Agency RMBS of High Credit Quality”): 1. Rated AA or higher by a nationally recognized credit rating agency using the lowest rating available. 2. The Company expects to collect all of the security’s contractual cash flows. 3. The security cannot be contractually prepaid such that the Company would not recover substantially all of its recorded investment. Under ASC 310-20, interest income, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the contractual cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security on a quarterly basis. This recalculation results in the recognition of an adjustment to the carrying amount of the security based on the revised prepayment assumptions and a corresponding increase or decrease in reported interest income. Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS purchased at a discount and not of high credit quality at the time of purchase are accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality Non-Agency RMBS are accounted for under ASC 310-30 if the following conditions are met as of the acquisition date: 1. There is evidence of deterioration in credit quality of the security from its inception. 2. It is probable that the Company will be unable to collect all contractual cash flows of the security. Non-Agency RMBS that are not within the scope of ASC 310-30 are accounted for under ASC 325-40 if at the acquisition date: 1. The security is not of high credit quality (defined as rated below AA or is unrated), or 2. The security can contractually be prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. Interest income on Non-Agency RMBS Not of High Credit Quality is recognized using the interest method based on management’s estimates of cash flows expected to be collected. The effective interest rate on these securities is based on management’s estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either positive changes or adverse changes. For securities accounted for under ASC 325-40, any positive or adverse change in cash flows that does not result in the recognition of an other-than-temporary impairment (“OTTI”) results in a prospective increase or decrease in the effective interest rate used to recognize interest income. For securities accounted for under ASC 310-30, only significant positive changes are reflected prospectively in the effective interest rate used to recognize interest income. Adverse changes in cash flows expected to be collected are generally treated consistently for Non-Agency RMBS accounted for under ASC 325-40 and ASC 310-30, and generally result in recognition of an OTTI with no change in the effective interest rate used to recognize interest income. Impairment Considerations Applicable to all MBS When the fair value of an available-for-sale MBS is less than its amortized cost the security is considered impaired. On a quarterly basis the Company evaluates its securities for OTTI. If the Company intends to sell an impaired security, or it is more-likely-than-not that the Company will be required to sell an impaired security before its anticipated recovery, then the Company must recognize an OTTI through a charge to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the measurement date. If the Company does not intend to sell an impaired security and it is not more-likely-than-not that it would be required to sell an impaired security before recovery, the Company must further evaluate the security for impairment due to credit losses. The credit component of OTTI is recognized in earnings and the remaining component is recorded as a component of OCI. Following the recognition of an OTTI through earnings, a new amortized cost basis is established for the security and subsequent recovery in fair value may not be adjusted through current earnings. Subsequent recoveries are amortized into income over the remaining life of the security as an adjustment to yield. When evaluating whether the Company intends to sell an impaired security or will more-likely-than-not be required to sell an impaired security before recovery, the Company makes judgments that consider among other things, its liquidity, leverage, contractual obligations, and targeted investment strategy to determine its intent and ability to hold the investments that are deemed impaired. The determination as to whether an OTTI exists is subjective as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future conditions. As a result, the determination of OTTI and its timing and amount is based on estimates that may change materially over time. The Company’s estimate of the amount and timing of cash flows for its MBS is based on its review of the underlying securities or mortgage loans securing the MBS. The Company considers historical information available and expected future performance of the underlying securities or mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, extent of credit support available, Fair Isaac Corporation (“FICO”) scores at loan origination, year of origination, loan-to-value ratios, geographic concentrations, as well as reports by credit rating agencies, general market assessments and dialogue with market participants. As a result, substantial judgment is used in the Company’s analysis to determine the expected cash flows for its MBS. Considerations Applicable to Non-Agency RMBS of High Credit Quality The impairment assessment for Non-Agency RMBS of High Credit Quality involves comparing the present value of the remaining cash flows expected to be collected to the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the security’s effective interest rate as calculated under ASC 310-20 (i.e., the discount rate implicit in the security as of the last measurement date). If the present value of the remaining cash flows expected to be collected is less than the amortized cost basis, an OTTI is recognized in earnings for the difference. This amount is considered to be the credit loss component; the remaining difference between amortized cost and the fair value of the security is considered to be the portion of loss recognized in other comprehensive income. Considerations Applicable to Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS within the scope of ASC 325-40 or ASC 310-30 are considered other-than-temporarily impaired when the following two conditions exist: (1) the fair value is less than the amortized cost basis, and (2) there has been an adverse change in cash flows expected to be collected from the last measurement date (i.e. adverse changes in either the amount or timing of cash flows from those previously expected). The OTTI is separated into a credit loss component that is recognized in earnings and the portion of loss recognized in other comprehensive income. The credit component is comprised of the impact of the fair value decline due to changes in assumptions related to default (collection) risk and prepayments. The portion of loss recognized in other comprehensive income comprises the change in fair value of the security due to all other factors, including changes in benchmark interest rates and market liquidity. In determining the OTTI related to credit losses for securities, the Company compares the present value of the remaining cash flows adjusted for prepayments expected to be collected at the current financial reporting date to the present value of the remaining cash flows expected to be collected at the original purchase date (or the last date those estimates were revised for accounting purposes). The discount rate used to calculate the present value of expected future cash flows is the effective interest rate used for income recognition purposes as determined under ASC 325-40 or ASC 310-30. The determination of whether an OTTI exists and, if so, the extent of the credit component is subject to significant judgment and management’s estimates of both historical information available at the time of assessment, the current market environment, as well as the Company’s estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of OTTI constitutes an accounting estimate that may change materially over time. Investments for which the Company has elected the fair value option are not evaluated for OTTI as all changes in fair value are reflected in earnings. (e) Securitized Loans Held for Investment Prime residential mortgage loans: A portion of the securitized loan portfolio is comprised of non-conforming, single family, owner occupied, jumbo, prime loans that are not guaranteed as to repayment of principal or interest. These securitized loans are serviced and may be modified, in the event of a default, by a third-party servicer. The Company generally has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to certain loans in default, including whether or not to proceed with foreclosure. These mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis. The securitized loan portfolio comprised of non-conforming, single family, owner occupied, jumbo, prime loans is carried at fair value with changes in fair value recorded in earnings. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. Seasoned sub-prime residential mortgage loans: A portion of the securitized loan portfolio is comprised of seasoned sub-prime residential mortgage loans that are not guaranteed as to repayment of principal or interest. These securitized loans are serviced and may be modified, in the event of default, by a third-party servicer. The Company generally has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to certain loans in default, including whether or not to proceed with foreclosure. These mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis. The securitized loan portfolio comprised primarily of seasoned sub-prime residential mortgage loans is carried at fair value with changes in fair value recorded in earnings. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. All residential mortgage loans: Interest is accrued on all securitized loans held for investment when due. Interest which is not received at the due date is written off when it becomes delinquent. Nonrefundable fees and costs related to acquiring the Company’s securitized residential mortgage loans are recognized as expenses in the Statement of operations and comprehensive income. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. Real estate owned (“REO”) represents properties which the Company has received the legal title of the property to satisfy the outstanding loan. REO is re-categorized from loan to REO when the Company takes legal title of the property. REO assets are measured and reported at the estimated fair value less the estimated cost to sell at the end of each reporting period. At the time the asset is re-categorized, any difference between the previously recorded loan balance and the carrying value of the REO at the time the Company takes legal title of the property, is recognized as a loss. (f) Repurchase Agreements The Company finances the acquisition of a significant portion of its mortgage-backed securities with repurchase agreements. The Company has evaluated each agreement and has determined that each of the repurchase agreements be accounted for as secured borrowings. (g) Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by loans held for investment Certain re-securitization transactions classified as Securitized Debt, collateralized by Non-Agency RMBS reflect the transfer to a trust of fixed or adjustable rate MBS which are classified as Non-Agency RMBS that pay interest and principal to the debt holders of that re-securitization. Re-securitization transactions completed by the Company that did not qualify as sales are accounted for as secured borrowings. The associated securitized debt is carried at amortized cost, net of any unamortized premiums or discounts. Certain transactions involving residential mortgage loans are accounted for as secured borrowings, and are recorded as Securitized loans held for investment and the corresponding debt as Securitized debt, collateralized by loans held for investment in the Consolidated Statements of Financial Condition. These securitizations are collateralized by residential adjustable or fixed rate mortgage loans that have been placed in a trust and pay interest and principal to the debt holders of that securitization. The Securitized debt, collateralized by loans held for investment, is carried at fair value. The Company recognizes interest expense on securitized debt over the expected life of the debt using the interest method with changes in yield reflected in earnings on a prospective basis. Fees associated with the debt issuance of jumbo prime residential mortgage loans are also amortized using the interest method. The Company estimates the fair value of its securitized debt as described in Note 5 to these consolidated financial statements. (h) Fair Value Interest-Only MBS: The Company accounts for the IO MBS strips at fair value with changes in fair value reported in earnings. The IO MBS strips are included in MBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Included in Non-Agency RMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $251 million and $245 million as of March 31, 2016 and December 31, 2015. Included in Agency MBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $179 million and $273 million as of March 31, 2016 and December 31, 2015. Interest income reported on all IO securities was $12 million and $13 million for the quarters ended March 31, 2016 and 2015, respectively. Non-Agency RMBS: The Company has elected the fair value option for certain interests in MBS which we refer to as the overcollateralization class of the MBS pass through structure. The cash flows for these holdings are generally subordinate to all other interests of the trusts and generally only pay out funds when certain ratios are met and excess cash holdings, as determined by the trustee, are available for distribution to the overcollateralization class. Many of the investments in this group have no current cash flows and may not ever pay cash flows, depending on the loss experience of the collateral group supporting the investment. Estimating future cash flows for this group of MBS investments is highly judgmental and uncertain; therefore, the Company has elected to carry these holdings at fair value with changes in fair value reflected in earnings. Changes in fair value are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statement of Operations and Comprehensive Income. The fair value of the Non-Agency RMBS carried at fair value with changes in fair value reflected in earnings is $16 million and $20 million as of March 31, 2016 and December 31, 2015, respectively. Securitized Loans Held for Investment: The Company’s securitized loans are carried at fair value with changes in fair value reflected in earnings. The Company carries securitized loans held for investment at fair value as it may resecuritize these loans in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. C Securitized Debt, Collateralized by Loans Held for Investment: The Company’s securitized debt, collateralized by loans held for investment is carried at fair value with changes in fair value reflected in earnings. The Company has elected fair value option for these financings as it may call or restructure these debt financings in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. C (i) Derivative Financial Instruments The Company’s investment policies permit it to enter into derivative contracts, including interest rate swaps, swaptions, mortgage options, futures, and interest rate caps to manage its interest rate risk and, from time to time, enhance investment returns. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. The Company estimates the fair value of its derivative instruments as described in Note 5 of these consolidated financial statements. Net payments on derivative instruments are included in the Consolidated Statements of Cash Flows as a component of net income. Unrealized gains (losses) on derivatives are removed from net income to arrive at cash flows from operating activities. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair value of those derivative contracts are reported net by counterparty. The credit support annex provisions of the Company’s derivative contracts allow the parties to mitigate their credit risk by requiring the party which is in a net payable position to post collateral. As the Company elects to net by counterparty the fair value of derivative contracts, it also nets by counterparty any cash collateral exchanged as part of the derivative. Refer to Note 9 Derivative Instruments for further details. (j) Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements. (k) Sales, Securitizations, and Re-Securitizations The Company periodically enters into transactions in which it sells financial assets, such as MBS, and mortgage loans. Gains and losses on sales of assets are calculated using the average cost method whereby the Company records a gain or loss on the difference between the average amortized cost of the asset and the proceeds from the sale. In addition, the Company from time to time securitizes or re-securitizes assets and sells tranches in the newly securitized assets. These transactions may be recorded as either sales and the assets contributed to the securitization are removed from the Consolidated Statements of Financial Condition and a gain or loss is recognized, or as secured borrowings whereby the assets contributed to the securitization are not derecognized but rather the debt issued by the securitization entity are recorded to reflect the term financing of the assets. In these securitizations and re-securitizations, the Company may retain senior or subordinated interests in the securitized or re-securitized assets. In transfers that are considered secured borrowings, no gain or loss is recognized. Any difference in the proceeds received and the carrying value of the transferred asset is recorded as a premium or discount and amortized into earnings as an adjustment to yield. (l) Income Taxes The Company has elected to be taxed as a REIT and intends to comply with the provision of the Code, with respect thereto. Accordingly, the Company will not be subject to federal, state or local income taxes to the extent that qualifying distributions are made to stockholders and as long as certain asset, income, distribution and stock ownership tests are met. If the Company failed to qualify as a REIT and did not qualify for certain statutory relief provisions, the Company would be subject to federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the REIT qualification was lost. A tax position is recognized only when, based on management’s judgment regarding the application of income tax laws, it is more likely than not that the tax position will be sustained upon examination. The Company does not have any unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of March 31, 2016 or 2015. (m) Net Income per Share The Company calculates basic net income per share by dividing net income for the period by the basic weighted-average shares of its common stock outstanding for that period. Diluted net income per share takes into account the effect of dilutive instruments such as unvested restricted stock. (n) Stock-Based Compensation The Company measures the fair value of the equity instrument granted to non-employees using the stock prices and other measurement assumptions as of the earlier of either the date at which a performance commitment by the recipient is reached or the date at which the recipient’s performance is complete. Stock compensation expense related to the grants of stock is recognized over the vesting period of such grants based on the fair value of the stock on each vesting date at which the recipient’s performance is complete. Compensation expense for equity based awards granted to the Company’s independent directors and stock based compensation awards granted to employees of the Company subject only to service condition is recognized on a straight-line basis over the vesting period of such awards, based upon the fair value of such awards at the grant date adjusted, as applicable, for estimated forfeitures. For awards subject to graded vesting, the total amount of expense is at least equal to the measured expense of each vested tranche. Awards subject to only a service condition are valued according to the market price for the Company’s common stock at the date of grant. For awards based on the performance of the Company’s stock price, the Company generally engages an independent appraisal company to determine the value of the shares at the date of grant, taking into account the underlying contingency risks associated with the performance criteria. The values of these grants are expensed ratably over their respective vesting periods (irrespective of achievement of the performance criteria) adjusted, as applicable, for forfeitures. (o) Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how i |
Mortgage-Backed Securities
Mortgage-Backed Securities | 3 Months Ended |
Mar. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | 3. Mortgage-Backed Securities The Company classifies its Non-Agency RMBS as senior, senior IO, subordinated, or subordinated IO. The Company also invests in residential and commercial Agency MBS. Senior interests in Non-Agency RMBS are considered to be entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date. March 31, 2016 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 3,572,750 $ 313 $ (1,516,274 ) $ 2,056,789 $ 2,746,338 $ 696,460 $ (6,911 ) $ 689,549 Senior, interest-only 5,343,042 269,239 - 269,239 241,102 20,674 (48,811 ) (28,137 ) Subordinated 735,699 22,055 (248,773 ) 508,981 582,975 83,670 (9,676 ) 73,994 Subordinated, interest-only 279,620 14,918 - 14,918 9,835 11 (5,094 ) (5,083 ) Agency MBS Residential 5,063,355 248,624 - 5,311,979 5,356,772 46,678 (1,885 ) 44,793 Commercial 1,072,937 27,991 (3,254 ) 1,097,674 1,125,517 29,868 (2,025 ) 27,843 Interest-only 4,011,154 185,830 - 185,830 179,000 2,391 (9,221 ) (6,830 ) Total $ 20,078,557 $ 768,970 $ (1,768,301 ) $ 9,445,410 $ 10,241,539 $ 879,752 $ (83,623 ) $ 796,129 December 31, 2015 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 3,651,869 $ 309 $ (1,553,317 ) $ 2,098,860 $ 2,826,121 $ 736,040 $ (8,779 ) $ 727,261 Senior, interest-only 5,426,029 268,515 - 268,515 234,171 18,113 (52,457 ) (34,344 ) Subordinated 762,466 23,635 (258,128 ) 527,975 604,295 83,896 (7,577 ) 76,319 Subordinated, interest-only 284,931 15,226 - 15,226 11,254 62 (4,035 ) (3,973 ) Agency MBS Residential 5,045,418 255,837 - 5,301,255 5,267,848 18,593 (52,001 ) (33,408 ) Commercial 952,091 24,815 (3,170 ) 973,736 973,787 8,052 (8,001 ) 51 Interest-only 6,722,472 280,073 - 280,073 273,189 2,756 (9,640 ) (6,884 ) Total $ 22,845,276 $ 868,410 $ (1,814,615 ) $ 9,465,640 $ 10,190,665 $ 867,512 $ (142,490 ) $ 725,022 The table below presents changes in Accretable Yield, or the excess of the security’s cash flows expected to be collected over the Company’s investment, solely as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30. For the Quarter Ended March 31, 2016 March 31, 2015 (dollars in thousands) Balance at beginning of period $ 1,742,744 $ 1,534,497 Purchases 20,183 84,753 Accretion (36,353 ) (69,705 ) Reclassification (to) from non-accretable difference (33 ) 7,182 Sales and deconsolidation - (19,865 ) Balance at end of period $ 1,726,541 $ 1,536,862 The table below presents the outstanding principal balance and related amortized cost at March 31, 2016 and December 31, 2015 For the Quarter Ended For the Year Ended March 31, 2016 December 31, 2015 (dollars in thousands) Outstanding principal balance: Beginning of period $ 3,550,698 $ 3,325,335 End of period $ 3,490,858 $ 3,550,698 Amortized cost: Beginning of period $ 1,958,726 $ 1,741,780 End of period $ 1,937,419 $ 1,958,726 The following tables present the gross unrealized losses and estimated fair value of the Company’s RMBS by length of time that such securities have been in a continuous unrealized loss position at March 31, 2016 and December 31, 2015. All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d). March 31, 2016 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Non-Agency RMBS Senior $ 222,228 $ (6,911 ) 17 $ - $ - - $ 222,228 $ (6,911 ) 17 Senior, interest-only 37,913 (6,974 ) 51 81,263 (41,837 ) 67 119,176 (48,811 ) 118 Subordinated 102,464 (8,616 ) 18 378 (1,060 ) 2 102,842 (9,676 ) 20 Subordinated, interest-only 6,415 (1,337 ) 2 2,835 (3,757 ) 2 9,250 (5,094 ) 4 Agency MBS Residential 426,817 (484 ) 12 369,783 (1,401 ) 3 796,600 (1,885 ) 15 Commercial 151,973 (1,122 ) 114 35,598 (903 ) 9 187,571 (2,025 ) 123 Interest-only 67,394 (3,681 ) 27 37,431 (5,540 ) 8 104,825 (9,221 ) 35 Total $ 1,015,204 $ (29,125 ) 241 $ 527,288 $ (54,498 ) 91 $ 1,542,492 $ (83,623 ) 332 December 31, 2015 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Non-Agency RMBS Senior $ 294,520 $ (8,779 ) 20 $ - $ - - $ 294,520 $ (8,779 ) 20 Senior, interest-only 81,919 (18,715 ) 83 64,058 (33,742 ) 47 145,977 (52,457 ) 130 Subordinated 138,257 (7,577 ) 22 - - - 138,257 (7,577 ) 22 Subordinated, interest-only 6,455 (1,039 ) 1 3,635 (2,996 ) 2 10,090 (4,035 ) 3 Agency MBS Residential 4,468,717 (44,687 ) 116 290,926 (7,314 ) 4 4,759,643 (52,001 ) 120 Commercial 393,058 (7,969 ) 140 4,986 (32 ) 4 398,044 (8,001 ) 144 Interest-only 94,969 (3,457 ) 24 39,707 (6,183 ) 7 134,676 (9,640 ) 31 Total $ 5,477,895 $ (92,223 ) 406 $ 403,312 $ (50,267 ) 64 $ 5,881,207 $ (142,490 ) 470 At March 31, 2016, the Company did not intend to sell any of its RMBS that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these RMBS before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred as of March 31, 2016. Gross unrealized losses on the Company’s Agency pass-through and Commercial Agency MBS were $4 million and $60 million as of March 31, 2016 and December 31, 2015, respectively and December 31, 2015 Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency RMBS IO strips which are reported at fair value with changes in fair value recorded in earnings) were $17 million and $16 million at March 31, 2016 and December 31, 2015, respectively. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of OTTI and does not believe that these unrealized losses are credit related, but rather are due to other factors. The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are other-than-temporary based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the OTTI included in earnings for the quarters ended March 31, 2016 and 2015 is presented below. For the Quarter Ended March 31, 2016 March 31, 2015 (dollars in thousands) Total other-than-temporary impairment losses $ (4,423 ) $ (1,052 ) Portion of loss recognized in other comprehensive income (loss) (6,255 ) (6,763 ) Net other-than-temporary credit impairment losses $ (10,678 ) $ (7,815 ) The following table presents a roll forward of the credit loss component of OTTI on the Company’s Non-Agency RMBS for which a portion of loss was previously recognized in OCI. The table delineates between those securities that are recognizing OTTI for the first time as opposed to those that have previously recognized OTTI. For the Quarter Ended March 31, 2016 March 31, 2015 (dollars in thousands) Cumulative credit loss beginning balance $ 529,112 $ 507,548 Additions: Other-than-temporary impairments not previously recognized 10,326 7,815 Reductions for securities sold or deconsolidated during the period (242 ) (1,319 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 352 - Reductions for increases in cash flows expected to be collected over the remaining life of the securities (172 ) (158 ) Cumulative credit impairment loss ending balance $ 539,376 $ 513,886 Cash flows generated to determine net other-than-temporary credit impairment losses recognized in earnings are estimated using significant unobservable inputs. The significant inputs used to measure the component of OTTI recognized in earnings for the Company’s Non-Agency RMBS are summarized as follows: For the Quarter Ended March 31, 2016 March 31, 2015 Loss Severity Weighted Average 58 % 69 % Range 44% - 79 % 51% - 78 % 60+ days delinquent Weighted Average 20 % 22 % Range 0% - 40 % 15% - 33 % Credit Enhancement (1) Weighted Average 28 % 10 % Range 0% - 100 % 0% - 18 % 3 Month CPR Weighted Average 5 % 8 % Range 0% - 19 % 5% - 15 % 12 Month CPR Weighted Average 4 % 8 % Range 4% - 21 % 3% - 16 % (1) Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures. The following tables present a summary of unrealized gains and losses at March 31, 2016 and December 31, 2015. IO MBS included in the tables below represent the right to receive a specified portion of the contractual interest cash flows of the underlying principal balance of specific securities. At March 31, 2016, IO MBS had a net unrealized loss of $40 million and had an amortized cost of $470 million. At December 31, 2015, IO MBS had a net unrealized loss of $45 million and had an amortized cost of $564 million. The fair value of IOs at March 31, 2016 and December 31, 2015 was $430 million, and $519 million, respectively. All changes in fair value of IOs are reflected in Net Income in the Consolidated Statements of Operations and Comprehensive Income. March 31, 2016 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Accumulated Deficit Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Accumulated Deficit Total Gross Unrealized Loss Non-Agency RMBS Senior $ 696,460 $ - $ 696,460 $ (6,911 ) $ - $ (6,911 ) Senior, interest-only - 20,674 20,674 - (48,811 ) (48,811 ) Subordinated 81,343 2,327 83,670 (1,262 ) (8,414 ) (9,676 ) Subordinated, interest-only - 11 11 - (5,094 ) (5,094 ) Agency MBS Residential 46,678 - 46,678 (1,885 ) - (1,885 ) Commercial 29,868 - 29,868 (2,025 ) - (2,025 ) Interest-only - 2,391 2,391 - (9,221 ) (9,221 ) Total $ 854,349 $ 25,403 $ 879,752 $ (12,083 ) $ (71,540 ) $ (83,623 ) December 31, 2015 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Accumulated Deficit Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Accumulated Deficit Total Gross Unrealized Loss Non-Agency RMBS Senior $ 736,040 $ - $ 736,040 $ (8,779 ) $ - $ (8,779 ) Senior, interest-only - 18,113 18,113 - (52,457 ) (52,457 ) Subordinated 81,588 2,309 83,896 (1,971 ) (5,606 ) (7,577 ) Subordinated, interest-only - 62 62 - (4,035 ) (4,035 ) Agency MBS Residential 18,593 - 18,593 (52,001 ) - (52,001 ) Commercial 8,052 - 8,052 (8,001 ) - (8,001 ) Interest-only - 2,756 2,756 - (9,640 ) (9,640 ) Total $ 844,273 $ 23,240 $ 867,512 $ (70,752 ) $ (71,738 ) $ (142,490 ) Changes in prepayments, actual cash flows, and cash flows expected to be collected, among other items, are affected by the collateral characteristics of each asset class. The Company chooses assets for the portfolio after carefully evaluating each investment’s risk profile. The following tables provide a summary of the Company’s RMBS portfolio at March 31, 2016 and December 31, 2015. March 31, 2016 Principal or Notional Value at Period-End (dollars in thousands) Weighted Average Amortized Cost Basis Weighted Average Fair Value Weighted Average Coupon Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 3,572,750 $ 57.57 $ 76.87 3.9 % 14.3 % Senior, interest-only 5,343,042 5.04 4.51 1.7 % 12.5 % Subordinated 735,699 69.18 79.24 3.2 % 10.1 % Subordinated, interest-only 279,620 5.34 3.52 1.2 % 12.5 % Agency MBS Residential pass-through 5,063,355 104.91 105.79 3.7 % 2.7 % Commercial pass-through 1,072,937 102.31 104.90 3.5 % 2.9 % Interest-only 4,011,154 4.63 4.46 0.9 % 3.7 % (1) Bond Equivalent Yield at period end. December 31, 2015 Principal or Notional Value at Period-End (dollars in thousands) Weighted Average Amortized Cost Basis Weighted Average Fair Value Weighted Average Coupon Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 3,651,869 $ 57.47 $ 77.39 3.8 % 13.7 % Senior, interest-only 5,426,029 4.95 4.32 1.7 % 12.9 % Subordinated 762,466 69.25 79.26 3.2 % 8.8 % Subordinated, interest-only 284,931 5.34 3.95 1.2 % 10.9 % Agency MBS Residential pass-through 5,045,418 105.07 104.41 3.7 % 2.8 % Commercial pass-through 952,091 102.27 102.28 3.4 % 2.9 % Interest-only 6,722,472 4.17 4.06 0.8 % 3.4 % (1) Bond Equivalent Yield at period end. The following table presents the weighted average credit rating, based on the lowest rating available, of the Company’s Non-Agency RMBS portfolio at March 31, 2016 and December 31, 2015. March 31, 2016 December 31, 2015 AAA 0.5 % 0.5 % AA 0.4 % 0.4 % A 0.8 % 0.8 % BBB 0.3 % 0.4 % BB 5.5 % 5.2 % B 3.1 % 3.0 % Below B or not rated 89.4 % 89.7 % Total 100.0 % 100.0 % Actual maturities of MBS are generally shorter than the stated contractual maturities. Actual maturities of the Company’s MBS are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at March 31, 2016 and December 31, 2015 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using an industry prepayment model for the Agency MBS portfolio and the Company’s prepayment assumptions for the Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility. March 31, 2016 dollars in thousands) Weighted Average Life Less than one year Greater than one year and less than five years Greater than five years and less than ten years Greater than ten years Total Fair value Non-Agency RMBS Senior $ 12,108 $ 448,650 $ 1,522,570 $ 763,010 $ 2,746,338 Senior interest-only 960 42,993 125,670 71,479 241,102 Subordinated 2,283 131,400 252,935 196,357 582,975 Subordinated interest-only - - 9,835 - 9,835 Agency MBS Residential - 4,472,082 884,690 - 5,356,772 Commercial - - 30,001 1,095,516 1,125,517 Interest-only - 95,504 77,750 5,746 179,000 Total fair value $ 15,351 $ 5,190,629 $ 2,903,451 $ 2,132,108 $ 10,241,539 Amortized cost Non-Agency RMBS Senior $ 9,885 $ 346,715 $ 1,149,119 $ 551,070 $ 2,056,789 Senior interest-only 1,489 57,358 138,972 71,420 269,239 Subordinated 2,267 103,856 208,015 194,843 508,981 Subordinated interest-only - - 14,918 - 14,918 Agency MBS Residential - 4,449,059 862,920 - 5,311,979 Commercial - - 28,858 1,068,816 1,097,674 Interest-only - 96,642 83,568 5,620 185,830 Total amortized cost $ 13,641 $ 5,053,630 $ 2,486,370 $ 1,891,769 $ 9,445,410 December 31, 2015 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less than five years Greater than five years and less than ten years Greater than ten years Total Fair value Non-Agency RMBS Senior $ - $ 374,462 $ 1,629,564 $ 822,095 $ 2,826,121 Senior interest-only 1,458 41,862 123,538 67,313 234,171 Subordinated 2,229 108,728 212,003 281,335 604,295 Subordinated interest-only - - 11,254 - 11,254 Agency MBS Residential - 150,357 5,117,491 - 5,267,848 Commercial - - 29,176 944,611 973,787 Interest-only - 106,069 161,413 5,707 273,189 Total fair value $ 3,687 $ 781,478 $ 7,284,439 $ 2,121,060 $ 10,190,665 Amortized cost Non-Agency RMBS Senior $ - $ 281,255 $ 1,235,528 $ 582,077 $ 2,098,860 Senior interest-only 2,440 59,823 135,359 70,893 268,515 Subordinated 2,208 86,728 168,403 270,636 527,975 Subordinated interest-only - - 15,226 - 15,226 Agency MBS Residential - 149,111 5,152,144 - 5,301,255 Commercial - - 29,156 944,580 973,736 Interest-only - 106,708 167,646 5,719 280,073 Total amortized cost $ 4,648 $ 683,625 $ 6,903,462 $ 1,873,905 $ 9,465,640 The Non-Agency RMBS portfolio is subject to credit risk. The Company seeks to mitigate credit risk through its asset selection process. The Non-Agency RMBS portfolio is primarily collateralized by what the Company classifies as Alt-A first lien mortgages. An Alt-A mortgage is a type of U.S. mortgage that, for various reasons, is considered riskier than A-paper, or prime, and less risky than subprime, the riskiest category. Alt-A interest rates, which are determined by credit risk, therefore tend to be between those of prime and subprime home loans. Typically, Alt-A mortgages are characterized by borrowers with less than full documentation, lower credit scores and higher loan-to-value ratios. The Company defines Alt-A mortgage securities as Non-Agency RMBS where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) for instances where FICO scores are greater than 720, RMBS have 30% or less of the underlying collateral composed of full documentation loans. At March 31, 2016 and December 31, 2015, 66% and 64% of the Non-Agency RMBS collateral was classified as Alt-A, respectively. At March 31, 2016 and December 31, 2015, 18% and 17% of the Non-Agency RMBS collateral was classified as prime, respectively. The remaining Non-Agency RMBS collateral is classified as sub-prime. The Non-Agency RMBS in the Portfolio have the following collateral characteristics at March 31, 2016 and December 31, 2015. March 31, 2016 December 31, 2015 Weighted average maturity (years) 21.7 22.0 Weighted average amortized loan to value (1) 67.6 % 67.9 % Weighted average FICO (2) 671 671 Weighted average loan balance (in thousands) $ 318 $ 330 Weighted average percentage owner occupied 82.7 % 82.7 % Weighted average percentage single family residence 65.9 % 65.9 % Weighted average current credit enhancement 2.4 % 2.4 % Weighted average geographic concentration of top four states CA 30.6 % CA 30.4 % FL 8.1 % FL 8.0 % NY 8.0 % NY 8.0 % NJ 2.5 % NJ 2.5 % (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at March 31, 2016 and December 31, 2015. Origination Year March 31, 2016 December 31, 2015 1998 0.0 % 0.0 % 1999 0.1 % 0.1 % 2000 0.5 % 0.6 % 2001 1.6 % 1.6 % 2002 0.5 % 0.5 % 2003 2.0 % 2.2 % 2004 4.6 % 3.7 % 2005 21.6 % 21.7 % 2006 32.9 % 32.9 % 2007 33.6 % 34.2 % 2008 2.0 % 1.9 % 2013 0.5 % 0.5 % 2014 0.1 % 0.1 % 2015 0.0 % 0.0 % Total 100.0 % 100.0 % Gross realized gains and losses are recorded in “Net realized gains (losses) on sales of investments” on the Company’s Consolidated Statements of Operations and Comprehensive Income. The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters ended March 31, 2016 and 2015 are as follows: For the Quarter Ended March 31, 2016 March 31, 2015 (dollars in thousands) Proceeds from sales $ 270,479 $ 2,241,617 Gross realized gains 1,695 30,296 Gross realized losses (4,369 ) (731 ) Net realized gain (loss) $ (2,674 ) $ 29,565 Included in the gross realized gains for the quarter ended March 31, 2015 in the table above are exchanges of securities with a fair value of $7 million where the Company exchanged its investment in a re-remic security for the underlying collateral supporting the group related to the exchanged asset. These exchanges were treated as non-cash sales and purchases and resulted in a realized gain of $3 million reflected in earnings for the quarter ended March 31, 2015. There were no such exchanges for the quarter ended March 31, 2016. |
Securitized Loans Held for Inve
Securitized Loans Held for Investment | 3 Months Ended |
Mar. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Securitized Loans Held for Investment | 4. Securitized Loans Held for Investment The Securitized loans held for investment is comprised of two portfolios. The first portfolio is comprised of loans collateralized by non-conforming, single family, owner occupied, jumbo, prime residential mortgages. The second portfolio is comprised primarily of loans collateralized by seasoned sub-prime residential mortgages. At March 31, 2016, all securitized loans held for investment are carried at fair value. See Note 5 to our Consolidated Financial Statements for a discussion on how the Company determines the fair values of the securitized loans held for investment. As changes in the fair value of these securitized loans are reflected in earnings, the Company does not estimate or record a loan loss provision. The following table provides a summary of the changes in the carrying value of securitized loans held for investment at fair value at March 31, 2016 and December 31, 2015: For the Quarter Ended For the Year Ended March 31, 2016 December 31, 2015 (dollars in thousands) Balance, beginning of period (1) $ 4,768,416 $ 5,306,501 Purchases - 577,036 Principal paydowns (145,871 ) (707,996 ) Sales and settlements (892 ) (9,638 ) Net periodic accretion (amortization) (12,456 ) (19,100 ) Change in fair value 4,295 (90,581 ) Transfer due to deconsolidation - (287,806 ) Balance, end of period $ 4,613,492 $ 4,768,416 (1) Includes Securitized loans held for investment of $607 million for which the fair value option election was made beginning January 1, 2015. The primary cause of the change in fair value is due to changes in credit risk of the portfolio. Jumbo prime residential mortgage loans The securitized loan portfolio collateralized by jumbo prime residential mortgages was originated during the following years: Origination Year March 31, 2016 December 31, 2015 2004 0.1 % 0.1 % 2007 7.8 % 8.5 % 2008 7.7 % 7.4 % 2009 0.3 % 0.3 % 2010 5.1 % 5.1 % 2011 32.4 % 33.1 % 2012 46.6 % 45.5 % Total 100.0 % 100.0 % A summary of key characteristics of the loan portfolio collateralized primarily of non-conforming, single family, owner occupied, jumbo, prime mortgages follows: March 31, 2016 December 31, 2015 Number of loans 617 657 Weighted average maturity (years) 25.3 25.5 Weighted average loan to value (1) 70.8 % 70.7 % Weighted average FICO (2) 765 765 Weighted average loan balance (in thousands) $ 678 $ 682 Weighted average percentage owner occupied 95.2 % 94.3 % Weighted average percentage single family residence 70.3 % 70.1 % Weighted average geographic concentration of top five states CA 33.1 % CA 32.4 % VA 6.6 % VA 6.4 % NJ 6.6 % NJ 6.3 % MD 6.2 % MD 6.2 % TX 4.7 % TX 5.1 % (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. The following table summarizes the outstanding principal balance of the jumbo prime loans which are 30 days delinquent and greater as reported by the servicer at March 31, 2016 and December 31, 2015. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) March 31, 2016 $ 791 $ - $ 2,377 $ - $ 2,323 $ 549 $ 6,040 December 31, 2015 $ 3,079 $ - $ 2,915 $ - $ 2,875 $ 2,312 $ 11,181 The fair value of the jumbo prime residential mortgage loans 90 days or more past due is $2 million as of March 31, 2016. Seasoned sub-prime residential mortgage loans The securitized loan portfolio collateralized by seasoned sub-prime residential mortgages originated during the following years: Origination Year March 31, 2016 December 31, 2015 2002 and prior 11.1 % 11.2 % 2003 4.0 % 4.0 % 2004 11.1 % 11.1 % 2005 19.3 % 19.3 % 2006 17.4 % 17.4 % 2007 25.5 % 25.4 % 2008 9.5 % 9.5 % 2009 1.1 % 1.1 % 2010 and later 1.0 % 1.0 % Total 100.0 % 100.0 % A summary of key characteristics of the loan portfolio collateralized by seasoned sub-prime residential mortgages follows: March 31, 2016 December 31, 2015 Number of loans 55,404 56,870 Weighted average maturity (years) 21.3 21.5 Weighted average loan to value (1) 80.7 % 80.7 % Weighted average FICO (1) 624 625 Weighted average loan balance (in thousands) $ 76 $ 76 Weighted average percentage owner occupied 96.0 % 96.0 % Weighted average percentage single family residence 72.6 % 72.5 % Weighted average geographic concentration of top five states CA 8.7 % CA 8.8 % FL 7.2 % FL 7.2 % NC 7.0 % NC 7.1 % VA 6.3 % VA 6.3 % OH 6.1 % OH 6.1 % (1) As provided by the Trustee The following table summarizes the outstanding principal balance of the loan portfolio consisting of seasoned sub-prime residential mortgage loans which are 30 days delinquent and greater as reported by the servicer at March 31, 2016 and December 31, 2015. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) March 31, 2016 $ 167,399 $ 58,276 $ 141,146 $ 108,996 $ 199,712 $ 46,023 $ 721,552 December 31, 2015 $ 189,816 $ 66,429 $ 125,897 $ 117,308 $ 218,493 $ 36,124 $ 754,067 The fair value of seasoned sub-prime residential mortgage loans 90 days or more past due is $332 million as of March 31, 2016. |
Fair Value Measurements
Fair Value Measurements | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | 5 The Company applies fair value guidance in accordance with GAAP to account for its financial instruments. The Company categorizes its financial instruments, based on the priority of the inputs to the valuation technique, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 – inputs to the valuation methodology are unobservable and significant to fair value. Fair value measurements categorized within Level 3 are sensitive to changes in the assumptions or methodology used to determine fair value and such changes could result in a significant increase or decrease in the fair value. Any changes to the valuation methodology are reviewed by management to ensure the changes are appropriate. As markets and products evolve and the pricing for certain products becomes more transparent, the Company will continue to refine its valuation methodologies. The methodology utilized by the Company for the periods presented is unchanged. The methods used to produce a fair value calculation may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company believes its valuation methods are appropriate and consistent with other market participants. Using different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. During times of market dislocation, the observability of prices and inputs can be difficult for certain investments. Illiquid investments typically experience greater price volatility as an active market does not exist. Observability of prices and inputs can vary significantly from period to period and may cause instruments to change classifications within the three level hierarchy. A description of the methodologies utilized by the Company to estimate the fair value of its financial instruments by instrument class follows: Agency MBS and Non-Agency RMBS The Company determines the fair value of all of its investment securities based on discounted cash flows utilizing an internal pricing model that incorporates factors such as coupon, prepayment speeds, loan size, collateral composition, borrower characteristics, expected interest rates, life caps, periodic caps, reset dates, collateral seasoning, delinquency, expected losses, expected default severity, credit enhancement, and other pertinent factors. To corroborate that the estimates of fair values generated by these internal models are reflective of current market prices, the Company compares the fair values generated by the model to non-binding independent prices provided by two independent third party pricing services. For certain highly liquid asset classes, such as Agency fixed-rate pass-through bonds, the Company’s valuations are also compared to quoted prices for To-Be-Announced (“TBA”) securities. Each quarter the Company develops thresholds which are determined utilizing current bid/ask spreads, liquidity, price volatility and other factors as appropriate. If internally developed model prices differ from the independent prices provided by greater than a market derived predetermined threshold for the period, the Company highlights these differences for further review, both internally and with the third party pricing service. The Company obtains the inputs used by the third party pricing services and compares them to the Company’s inputs. The Company updates its own inputs if the Company determines the third party pricing inputs more accurately reflect the current market environment. If the Company believes that its internally developed inputs more accurately reflect the current market environment, it will request that the third party pricing service review market factors that may not have been considered by the third party pricing service and provide updated prices. The Company reconciles and resolves all pricing differences in excess of the predetermined thresholds before a final price is established. The Company’s estimate of prepayment, default and severity curves all involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting Non-Agency RMBS fair value estimates Level 3 inputs in the fair value hierarchy. As the fair values of Agency MBS are more observable, these investments are classified as level 2 in the fair value hierarchy. Securitized Loans Held for Investment Securitized loans consisting of seasoned sub-prime residential mortgage loans The Company estimates the fair value of its securitized loans held for investment consisting of seasoned sub-prime residential mortgage loans The Company also monitors market activity to identify trades which may be used to compare internally developed prices; however, as the portfolio of loans held at fair value is a seasoned sub-prime pool of mortgage loans, comparable loan pools are not common or directly comparable. There are limited transactions in the market place to develop a comprehensive direct range of values. However, if market data becomes available, the Company will compare this data to the internally developed prices to ensure reasonableness of the valuation. The Company reviews the fair values generated by the model to determine whether prices are reflective of the current market by corroborating its estimates of fair value by comparing the results to non-binding independent prices provided by two independent third party pricing services for the loan portfolio. Each quarter the Company develops thresholds which are determined utilizing a senior securitization market for a similar pool of loans. If the internally developed fair values of the loan pools differ from the independent prices provided by greater than a predetermined threshold for the period, the Company highlights these differences for further review, both internally and with the third party pricing service. The Company obtains certain inputs used by the third party pricing services and evaluates them for reasonableness. The Company updates its own model if the Company determines the third party pricing inputs more accurately reflect the current market environment or observed information from the third party vendors. If the Company believes that its internally developed inputs more accurately reflect the current market environment, it will request that the third party pricing service review market factors that may not have been considered by the third party pricing service. The Company reconciles and resolves all pricing differences in excess of the predetermined thresholds before a final price is established. The Company’s estimates of fair value of securitized loans held for investment involve management judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates level 3 inputs in the fair value hierarchy. Securitized loans collateralized by jumbo, prime residential mortgages The securitized loans collateralized by jumbo, prime residential mortgages are carried at fair value. The securitized loans are held as part of a consolidated CFE. A CFE is a variable interest entity that holds financial assets, issues beneficial interests in those assets and has no more than nominal equity and the beneficial interests have contractual recourse only to the related assets of the CFE. Accounting guidance for CFEs allow the Company to elect to measure the CFE’s financial assets using the fair value of the CFE’s financial liabilities as the fair values of the financial liabilities of the CFE are more observable. Therefore, the fair value of the securitized loans collateralized by jumbo, prime residential mortgages is based on the fair value of the securitized debt. See discussion of the fair value of Securitized Debt, collateralized by Loans Held for Investment at fair value below. As the more observable Securitized debt, collateralized by loans held for investment are considered level 3 in the fair value hierarchy, the Securitized loans collateralized by jumbo, prime residential mortgages are also level 3 in the fair value hierarchy. Securitized Debt, collateralized by Non-Agency RMBS The Company carries securitized debt, collateralized by Non-Agency RMBS at the principal balance outstanding plus unamortized premiums, less unaccreted discounts recorded in connection with the financing of the loans or RMBS with third parties. The Company estimates the fair value of securitized debt, collateralized by Non-Agency RMBS by estimating the future cash flows associated with the underlying assets collateralizing the secured debt outstanding. The Company models the fair value of each underlying asset by considering, among other items, the structure of the underlying security, coupon, servicer, delinquency, actual and expected defaults, actual and expected default severities, reset indices, and prepayment speeds in conjunction with market research for similar collateral performance and management’s expectations of general economic conditions in the sector and other economic factors. This process, including the review process, is consistent with the process used for Agency MBS and Non-Agency RMBS using internal models. See the further discussion of the valuation process and benchmarking process in the Agency MBS and Non-Agency RMBS The Company’s estimates of fair value of securitized debt, collateralized by Non-Agency RMBS involve management’s judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates level 3 inputs in the fair value hierarchy. Securitized Debt, collateralized by Loans Held for Investment The Company determines the fair value of securitized debt, collateralized by loans held for investment based on discounted cash flows utilizing an internal pricing model that incorporates factors such as coupon, prepayment speeds, loan size, collateral composition, borrower characteristics, expected interest rates, life caps, periodic caps, reset dates, collateral seasoning, expected losses, expected default severity, credit enhancement, and other pertinent factors. Agency MBS and Non-Agency RMBS The Company’s estimates of fair value of securitized debt, collateralized by loans held for investment involve management’s judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates level 3 inputs in the fair value hierarchy. Derivatives Interest Rate Swaps and Swaptions The Company uses clearing exchange market prices to determine the fair value of its exchange cleared interest rate swaps. For bi-lateral swaps, the Company determines the fair value based on the net present value of expected future cash flows on the swap. The Company uses option pricing model to determine the fair value of its swaptions. For bi-lateral swaps and swaptions, the Company compares its own estimate of fair value with counterparty prices to evaluate for reasonableness. Both the clearing exchange and counter-party pricing quotes, incorporate common market pricing methods, including a spread measurement to the Treasury yield curve or interest rate swap curve as well as underlying characteristics of the particular contract. Interest rate swaps and swaptions are modeled by the Company by incorporating such factors as the term to maturity, swap curve, overnight index swap rates, and the payment rates on the fixed portion of the interest rate swaps. The Company has classified the characteristics used to determine the fair value of interest rate swaps as Level 2 inputs in the fair value hierarchy. Treasury Futures The fair value of Treasury futures is determined by quoted market prices for similar financial instruments in an active market. The Company has classified the characteristics used to determine the fair value of Treasury futures as Level 1 inputs in the fair value hierarchy. Mortgage Options Mortgage options are valued using an option pricing model which considers the strike price of the option, the price of the underlying security, settle date, a discount rate and the implied volatility. The implied volatility is determined from the daily price of the underlying security as well as prices on similar financial instruments. The Company has classified the characteristics used to determine the fair value of mortgage options as Level 3 inputs in the fair value hierarchy. Repurchase Agreements Repurchase agreements are collateralized financing transactions utilized by the Company to acquire investment securities. Due to the short term nature of these financial instruments, the Company estimates the fair value of these repurchase agreements using the contractual obligation plus accrued interest payable at maturity. Short-term Financial Instruments The carrying value of cash and cash equivalents, accrued interest receivable, receivable for securities sold, dividends payable, payable for securities purchased and accrued interest payable are considered to be a reasonable estimate of fair value due to the short term nature and low credit risk of these short-term financial instruments. The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at March 31, 2016 and December 31, 2015 is presented below. March 31, 2016 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ - $ - 3,580,250 $ - $ 3,580,250 Agency RMBS, at fair value - 6,661,289 - - 6,661,289 Securitized loans held for investment, at fair value - - 4,613,492 - 4,613,492 Derivatives 115 5,715 - (265 ) 5,565 Liabilities: Securitized debt at fair value, collateralized by loans held for investment - - (3,617,294 ) - (3,617,294 ) Derivatives (2,122 ) (143,122 ) - 131,663 (13,581 ) Total $ (2,007 ) $ 6,523,882 $ 4,576,448 $ 131,398 $ 11,229,721 December 31, 2015 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ - $ - 3,675,841 $ - $ 3,675,841 Agency RMBS, at fair value - 6,514,824 - - 6,514,824 Securitized loans held for investment, at fair value - - 4,768,416 - 4,768,416 Derivatives 1,599 18,987 - (5,126 ) 15,460 Liabilities: Securitized debt at fair value, collateralized by loans held for investment - - (3,720,496 ) - (3,720,496 ) Derivatives (192 ) (57,042 ) - 47,600 (9,634 ) Total $ 1,407 $ 6,476,769 $ 4,723,761 $ 42,474 $ 11,244,411 The table below provides a summary of the changes in the fair value of securities classified as Level 3 at March 31, 2016 and December 31, 2015. Fair Value Reconciliation, Level 3 For the Quarter Ended March 31, 2016 (dollars in thousands) Non-Agency RMBS Derivatives Securitized Loans Securitized Debt Total Beginning balance Level 3 assets $ 3,675,841 $ - $ 4,768,416 $ (3,720,496 ) $ 4,723,761 Transfers in to Level 3 assets - - - - - Transfers out of Level 3 assets - - - - - Transfer due to consolidation/deconsolidation - - - - - Purchases 41,947 - - (98,263 ) (56,316 ) Principal payments (124,015 ) - (145,871 ) 151,666 (118,220 ) Sales and Settlements (283 ) - (892 ) 45,929 44,754 Accretion (amortization) of purchase discounts 33,125 - (12,456 ) (4,582 ) 16,087 Gains (losses) included in net income Other than temporary credit impairment losses (10,678 ) - - - (10,678 ) Realized gains (losses) on sales and settlements (744 ) - - (1,766 ) (2,510 ) Net unrealized gains (losses) included in income 2,305 - 4,295 10,218 16,818 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (37,248 ) - - - (37,248 ) Ending balance Level 3 assets $ 3,580,250 $ - $ 4,613,492 $ (3,617,294 ) $ 4,576,448 For the Year Ended December 31, 2015 (dollars in thousands) Non-Agency RMBS Derivatives Securitized Loans (1) Securitized Debt Total Beginning balance Level 3 assets $ 3,404,149 $ (71 ) $ 5,306,501 $ (4,383,217 ) $ 4,327,362 Transfers in to Level 3 assets - - - - - Transfers out of Level 3 assets - - - - - Transfer due to consolidation/deconsolidation (59,646 ) - (287,806 ) 243,732 (105,870 ) Purchases 1,045,534 - 577,036 (1,668,654 ) (46,084 ) Principal payments (385,822 ) - (707,996 ) 743,329 (350,489 ) Sales and Settlements (252,532 ) (597 ) (9,638 ) 1,395,292 1,132,526 Accretion (amortization) of purchase discounts 117,836 - (19,100 ) (6,344 ) 94,542 Gains (losses) included in net income Other than temporary credit impairment losses (67,444 ) - - - (67,444 ) Realized gains (losses) on sales and settlements 28,724 443 - (5,930 ) 23,236 Net unrealized gains (losses) included in income (18,874 ) 225 (90,581 ) (38,704 ) (147,934 ) Gains (losses) included in other comprehensive income - - Total unrealized gains (losses) for the period (136,084 ) - - - (136,084 ) Ending balance Level 3 assets $ 3,675,841 $ - $ 4,768,416 $ (3,720,496 ) $ 4,723,761 (1) includes securitized loans held for investment of $607 million for which the fair value option election was made beginning January 1, 2015. 2015 Sensitivity of Significant Inputs – Non-Agency RMBS and securitized debt, collateralized by loans held for investment The significant unobservable inputs used in the fair value measurement of the Company’s Non-Agency RMBS and securitized debt are the weighted average discount rates, constant prepayment speed (“CPR”), cumulative default rate, and the loss severity. Prepayment speeds, as reflected by the CPR, vary according to interest rates, the type of financial instrument, conditions in financial markets, and other factors, none of which can be predicted with any certainty. In general, when interest rates rise, it is relatively less attractive for borrowers to refinance their mortgage loans, and as a result, prepayment speeds tend to decrease. When interest rates fall, prepayment speeds tend to increase. For RMBS investments purchased at a premium, as prepayment speeds increase, the amount of income the Company earns decreases as the purchase premium on the bonds amortizes faster than expected. Conversely, decreases in prepayment speeds result in increased income and can extend the period over which the Company amortizes the purchase premium. For RMBS investments purchased at a discount, as prepayment speeds increase, the amount of income the Company earns increases from the acceleration of the accretion of the discount into interest income. Conversely, decreases in prepayment speeds result in decreased income as the accretion of the purchase discount into interest income occurs over a longer period. For securitized debt carried at fair value issued at a premium, as prepayment speeds increase, the amount of interest expense the Company recognizes decreases as the issued premium on the debt amortizes faster than expected. Conversely, decreases in prepayment speeds result in increased expense and can extend the period over which the Company amortizes the premium. For debt issued at a discount, as prepayment speeds increase, the amount of interest the Company expenses increases from the acceleration of the accretion of the discount into interest expense. Conversely, decreases in prepayment speeds result in decreased expense as the accretion of the discount into interest expense occurs over a longer period. Cumulative default rates represent an annualized rate of default on a group of mortgages. The constant default rate (“CDR”) represents the percentage of outstanding principal balances in the pool that are in default, which typically equates to the home being past 60-day and 90-day notices and in the foreclosure process. When default rates increase, expected cash flows on the underlying collateral decreases. When default rates decrease, expected cash flows on the underlying collateral increases. Loss severity rates reflect the amount of loss expected from a foreclosure and liquidation of the underlying collateral in the mortgage loan pool. When a mortgage loan is foreclosed the collateral is sold and the resulting proceeds are used to settle the outstanding obligation. In many circumstances, the proceeds from the sale do not fully repay the outstanding obligation. In these cases a loss is incurred by the lender. Loss severity is used to predict how costly future losses are likely to be. An increase in loss severity results in a decrease in expected future cash flows. A decrease in loss severity results in an increase in expected future cash flows. The discount rate refers to the interest rate used in the discounted cash flow analysis to determine the present value of future cash flows. The discount rate takes into account not just the time value of money, but also the risk or uncertainty of future cash flows. An increased uncertainty of future cash flows results in a higher discount rate. The discount rate used to calculate the present value of the expected future cash flows is based on the discount rate implicit in the security as of the last measurement date. As discount rates move up, the discounted cash flows are reduced. A summary of the significant inputs used to estimate the fair value of Non-Agency RMBS held for investment at fair value as of March 31, 2016 and December 31, 2015 March 31, 2016 December 31, 2015 Significant Inputs Significant Inputs Weighted Average Discount Rate CPR CDR Loss Severity Weighted Average Discount Rate CPR CDR Loss Severity Range Range Non-Agency RMBS Senior 5.5 % 1% -25 % 0% -22 % 35% -95 % 5.5 % 1% -17 % 0% -22 % 35% -95 % Senior interest-only 14.0 % 2% -26 % 0% -23 % 35% -95 % 13.1 % 3% -25 % 0% -23 % 1% -95 % Subordinated 6.5 % 1% -20 % 0% -20 % 0% -83 % 6.6 % 1% -22 % 0% -20 % 5% -91 % Subordinated interest-only 20.8 % 6% -12 % 0% -11 % 35% -67 % 17.4 % 6% -13 % 0% -10 % 1% -64 % December 31, 2015 March 31, 2016 Significant Inputs CPR CDR Loss Severity Range Range Range Securitized debt at fair value, collateralized by loans held for investment 4% - 28 % 0% - 3 % 35% - 65 % December 31, 2015 Significant Inputs CPR CDR Loss Severity Range Range Range Securitized debt at fair value, collateralized by loans held for investment 4% - 32 % 0% - 6 % 35% - 65 % All of the significant inputs listed have some degree of market observability, based on the Company’s knowledge of the market, information available to market participants, and use of common market data sources. Collateral default and loss severity projections are in the form of “curves” that are updated quarterly to reflect the Company’s collateral cash flow projections. Methods used to develop these projections conform to industry conventions. The Company uses assumptions it considers its best estimate of future cash flows for each security. The discount rates applied to the expected cash flows to determine fair value are derived from a range of observable prices on securities backed by similar collateral. As the market becomes more or less liquid, the availability of these observable inputs will change. The prepayment speed specifies the percentage of the collateral balance that is expected to prepay at each point in the future. The prepayment speed is based on factors such as collateral FICO score, loan-to-value ratio, debt-to-income ratio, and vintage on a loan level basis and is scaled up or down to reflect recent collateral-specific prepayment experience as obtained from remittance reports and market data services. Default vectors are determined from the current “pipeline” of loans that are more than 30 days delinquent, in foreclosure, bankruptcy, or are REO. These delinquent loans determine the first 30 months of the default curve. Beyond month 30, the default curve transitions to a value that is reflective of a portion of the current delinquency pipeline. The curve generated to reflect the Company’s expected loss severity is based on collateral-specific experience with consideration given to other mitigating collateral characteristics. Characteristics such as seasoning are taken into consideration because severities tend to initially increase on newly originated securities, before beginning to decline as the collateral ages and eventually stabilize. Collateral characteristics such as loan size, loan-to-value, and geographic location of collateral also effect loss severity. Sensitivity of Significant Inputs – Securitized loans held for investment The significant unobservable inputs used to estimate the fair value of the securitized loans held for investment collateralized by seasoned sub-prime residential mortgage loans March 31, 2016 December 31, 2015 Significant Inputs Significant Inputs Base Rate Weighted Average/Percent of loan pool Base Rate Weighted Average/Percent of loan pool Factor: Coupon Clean 4.4 % 6.9 % 4.4 % 6.9 % Reperforming 5.3 % 6.6 % 5.3 % 6.7 % FICO 620 624 620 625 Loan-to-value (LTV) 90 % 81 % 90 % 81 % Occupancy Owner Occupied N/ A 96 % N/ A 96 % Investor N/ A 4 % N/ A 4 % Secondary N/ A 0 % N/ A 0 % Property Type Single family N/ A 77 % N/ A 77 % Manufactured housing N/ A 11 % N/ A 11 % Multi-family/mixed use/other N/ A 12 % N/ A 12 % The loan factors are generally not observable for the individual loans and the base rates developed by the Company’s internal model are subjective and change as market conditions change. The impact of the loan coupon on the value of the loan is dependent on whether the loan is clean or reperforming. A clean loan, with no history of delinquent payments and a relatively high loan interest rate would result in a higher overall value than a reperforming loan which has a history of delinquency. Similarly, a higher FICO score and a lower LTV ratio results in increases in the fair market value of the loan and a lower FICO score and a higher LTV ratio results in a lower value. Property types also affect the overall loan values. Property types include single family, manufactured housing and multi-family/mixed use and other types of properties. Single family homes represent properties which house only one family unit. Manufactured homes include mobile homes and modular homes. Loan value for properties that are investor or secondary homes have a reduced value as compared to the baseline loan value. Additionally, single family homes will result in an increase to the loan value where manufactured and multi-family/mixed use and other properties will result in a decrease to the loan value, as compared to the baseline. The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at March 31, 2016 and December 31, 2015. March 31, 2016 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 (7,545,631 ) (7,561,573 ) Securitized debt, collateralized by Non-Agency RMBS 3 (492,107 ) (483,706 ) December 31, 2015 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 (7,439,339 ) (7,466,409 ) Securitized debt, collateralized by Non-Agency RMBS 3 (529,415 ) (518,941 ) |
Repurchase Agreements
Repurchase Agreements | 3 Months Ended |
Mar. 31, 2016 | |
Banking and Thrift [Abstract] | |
Repurchase Agreements | 6. Repurchase Agreements The interest rates of the Company’s repurchase agreements are generally indexed to the one-month, three-month and twelve-month LIBOR rates and re-price accordingly. The repurchase agreements outstanding, weighted average borrowing rates, weighted average remaining maturities, average daily balances and the fair value of collateral pledged as of March 31, 2016 and December 31, 2015 is: March 31, 2016 December 31, 2015 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 5,470,703 $ 5,324,729 Non-agency MBS (in thousands) 2,074,928 2,114,610 Total: $ 7,545,631 $ 7,439,339 Average daily balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 5,419,402 $ 5,776,980 Non-agency MBS (in thousands) 2,077,523 1,627,909 Total: $ 7,496,925 $ 7,404,889 Weighted average borrowing rate of Repurchase agreements secured by: Agency MBS 0.76 % 0.64 % Non-agency MBS 2.69 % 2.44 % Weighted average maturity of Repurchase agreements secured by: Agency MBS 52 Days 53 Days Non-agency MBS 131 Days 137 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 5,810,037 $ 5,655,410 Non-agency MBS (in thousands) 3,111,388 3,117,875 Total: $ 8,921,425 $ 8,773,285 At March 31, 2016 and December 31, 2015, the repurchase agreements collateralized by RMBS had the following remaining maturities. March 31, 2016 December 31, 2015 (dollars in thousands) Overnight $ - $ - 1 to 29 days 2,984,870 3,312,902 30 to 59 days 2,411,954 2,501,513 60 to 89 days 277,324 246,970 90 to 119 days 777,051 430,026 Greater than or equal to 120 days 1,094,432 947,928 Total $ 7,545,631 $ 7,439,339 At March 31, 2016 and December 31, 2015, the Company had an amount at risk with Credit Suisse First Boston of 10% of its equity related to the collateral posted on repurchase agreements. As of March 31, 2016 the weighted average maturity of the repurchase agreements with Credit Suisse First Boston was 35 days and the amount at risk was $314 million. As of December 31, 2015 the weighted average maturity of the repurchase agreements with Credit Suisse First Boston was 25 days and the amount at risk was $303 million. There were no other amounts at risk with any other counterparties greater than 10% of the Company’s equity as of March 31, 2016 and December 31, 2015. |
Securitized Debt
Securitized Debt | 3 Months Ended |
Mar. 31, 2016 | |
Debt Disclosure [Abstract] | |
Securitized Debt | 7. Securitized Debt All of the Company’s securitized debt is collateralized by residential mortgage loans or Non-Agency RMBS. For financial reporting purposes, the Company’s securitized debt is accounted for as secured borrowings. Thus, the residential mortgage loans or RMBS held as collateral are recorded in the assets of the Company as securitized loans held for investment or Non-Agency RMBS transferred to consolidated VIEs and the securitized debt is recorded as a non-recourse liability in the accompanying Consolidated Statements of Financial Condition. Securitized Debt Collateralized by Non-Agency RMBS At March 31, 2016 and December 31, 2015 the Company’s securitized debt collateralized by Non-Agency RMBS is carried at amortized cost and had a principal balance of $510 million and $545 million, respectively. December 31, 2015 The debt matures between the years 2035 and 2047. None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable. The following table presents the estimated principal repayment schedule of the securitized debt at March 31, 2016 and December 31, 2015, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. March 31, 2016 December 31, 2015 (dollars in thousands) Within One Year $ 125,681 $ 137,642 One to Three Years 165,921 178,191 Three to Five Years 53,984 60,872 Greater Than Five Years 46,984 52,280 Total $ 392,570 $ 428,985 Maturities of the Company’s securitized debt are dependent upon cash flows received from the underlying loans. The estimate of their repayment is based on scheduled principal payments on the underlying loans. This estimate will differ from actual amounts to the extent prepayments or loan losses are experienced. See Notes 3 for a more detailed discussion of the securities collateralizing the securitized debt. Securitized Debt Collateralized by Loans Held for Investment At March 31, 2016 and December 31, 2015 the Company’s securitized debt collateralized by loans held for investment had a principal balance of $3.7 billion and $3.8 billion, respectively. During the quarter ended March 31, 2016 and 2015, the company recognized a gain of $10 million and a loss of $6 million, respectively, on the securitized debt carried at fair value in Net unrealized gains (losses) on financial instruments at fair value. At March 31, 2016 and December 31, 2015 the total securitized debt collateralized by loans held for investment carried a weighted average cost of financing equal to 3.21% and 3.24% respectively. The debt matures between the years 2023 and 2065. During the quarter ended March 31, 2016 the Company acquired securitized debt collateralized by loans with an amortized cost balance of $44 million for $46 million. This transaction resulted in a net loss on the extinguishment of debt of $2 million. This loss is reflected in earnings for the quarter ended March 31, 2016 The following table presents the estimated principal repayment schedule of the securitized debt at March 31, 2016 and December 31, 2015, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. March 31, 2016 December 31, 2015 (dollars in thousands) Within One Year $ 576,139 $ 591,171 One to Three Years 930,668 941,704 Three to Five Years 729,319 734,291 Greater Than Five Years 1,436,174 1,502,663 Total $ 3,672,300 $ 3,769,829 Maturities of the Company’s securitized debt are dependent upon cash flows received from the underlying loans. The estimate of their repayment is based on scheduled principal payments on the underlying loans. This estimate will differ from actual amounts to the extent prepayments or loan losses are experienced. See Note 4 for a more detailed discussion of the loans collateralizing the securitized debt. Certain of the securitized debt collateralized by loans held for investment contain call provisions and are callable at par, at the option of the Company. The following table presents the par value of the callable debt by year at March 31, 2016. March 31, 2016 (dollars in thousands) Year Principal 2016 $ 1,758,206 2017 206,155 2018 1,379,176 Total $ 3,343,537 |
Consolidated Securitization Veh
Consolidated Securitization Vehicles and Other Variable Interest Entities | 3 Months Ended |
Mar. 31, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Consolidated Securitization Vehicles and Other Variable Interest Entities | 8. Consolidated Securitization Vehicles and Other Variable Interest Entities Since its inception, the Company has utilized VIEs for the purpose of securitizing whole mortgage loans or re-securitizing RMBS and obtaining permanent, non-recourse term financing. The Company evaluated its interest in each VIE to determine if it is the primary beneficiary. As of March 31, 2016, the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $6.8 billion and liabilities with a carrying value of $4.1 billion. As of December 31, 2015, the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $7.0 billion of and liabilities with a carrying value of $4.3 billion. VIEs for Which the Company is the Primary Beneficiary The retained beneficial interests in VIEs for which the Company is the primary beneficiary are typically the subordinated tranches of these re-securitizations and in some cases the Company may hold interests in additional tranches. The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of March 31, 2016 and December 31, 2015. March 31, 2016 December 31, 2015 (dollars in thousands) Assets Non-Agency RMBS, at fair value $ 2,056,569 $ 2,140,494 Securitized loans held for investment, at fair value 4,613,492 4,768,416 Accrued interest receivable 35,605 35,916 Other Assets 90,257 86,452 Liabilities Securitized debt, collateralized by Non-Agency RMBS $ 492,107 $ 529,415 Securitized debt at fair value, collateralized by loans held for investment 3,617,294 3,720,496 Accrued interest payable 11,945 12,106 Income and expense and OTTI amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations and Comprehensive Income is presented in the table below. For the Quarter Ended March 31, 2016 March 31, 2015 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 131,980 $ 150,618 Interest expense, Non-recourse liabilities of VIEs 39,250 46,753 Net interest income $ 92,730 $ 103,865 Total other-than-temporary impairment losses $ (233 ) $ (397 ) Portion of loss recognized in other comprehensive income (loss) (7,864 ) (6,888 ) Net other-than-temporary credit impairment losses $ (8,097 ) $ (7,285 ) VIEs for Which the Company is Not the Primary Beneficiary The Company is not required to consolidate VIEs in which it has concluded it does not have a controlling financial interest, and thus is not the primary beneficiary. In such cases, the Company does not have both the power to direct the entities’ most significant activities and the obligation to absorb losses or right to receive benefits that could potentially be significant to the VIEs. The Company’s investments in these unconsolidated VIEs are carried in Non-Agency RMBS on the Consolidated Statements of Financial Condition and include senior and subordinated bonds issued by the VIEs. The fair value of the Company’s investments in each unconsolidated VIEs at March 31, 2016, ranged from less than $1 million to $52 million, with an aggregate amount of $1.5 billion. The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 2015, ranged from less than $1 million to $54 million, with an aggregate amount of $1.5 billion. The Company’s maximum exposure to loss from these unconsolidated VIEs was $1.5 billion at March 31, 2016 and December 31, 2015, respectively. The maximum exposure to loss was determined as the amortized cost of the unconsolidated VIE, which represents the purchase price of the investment adjusted by any unamortized premiums or discounts as of the reporting date. |
Derivative Instruments
Derivative Instruments | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | 9. Derivative Instruments In connection with the Company’s interest rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts in the form of interest rate swaps, swaptions, and Treasury futures. The Company’s swaps are used to lock in a fixed rate related to a portion of its current and anticipated payments on its repurchase agreements. The Company typically agrees to pay a fixed rate of interest (“pay rate”) in exchange for the right to receive a floating rate of interest (“receive rate”) over a specified period of time. Treasury futures are derivatives which track the prices of specific Treasury securities and are traded on an active exchange. It is generally the Company’s policy to close out any Treasury futures positions prior to taking delivery of the underlying security. The Company uses Treasury futures to lock in prices on the purchase or sale of Agency MBS and to hedge changes in interest rates on its existing portfolio. In addition to interest rate swaps, from time to time the Company purchases and sells mortgage options. Mortgage options give the Company the right, but not the obligation, to buy or sell mortgage backed securities at a future date for a fixed price. The Company uses mortgage options to lock in prices on the purchase or sale of Agency MBS and to enhance investment returns. The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. In the event of a default by the counterparty, the Company could have difficulty obtaining its RMBS or cash pledged as collateral for these derivative instruments. The Company periodically monitors the credit profiles of its counterparties to determine if it is exposed to counterparty credit risk. See Note 14 for further discussion of counterparty credit risk. The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of March 31, 2016 and December 31, 2015. March 31, 2016 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 3,583,900 Derivatives, at fair value, net $ - Derivatives, at fair value, net $ (6,499 ) Swaptions 749,000 Derivatives, at fair value, net 5,565 Derivatives, at fair value, net (6,652 ) Treasury Futures 814,700 Derivatives, at fair value, net - Derivatives, at fair value, net - Other Derivatives 125,000 Derivatives, at fair value, net - Derivatives, at fair value, net (430 ) Total $ 5,272,600 $ 5,565 $ (13,581 ) December 31, 2015 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 4,555,400 Derivatives, at fair value, net $ 1,232 Derivatives, at fair value, net $ (6,369 ) Swaptions 779,000 Derivatives, at fair value, net 12,821 Derivatives, at fair value, net (3,265 ) Treasury Futures 752,200 Derivatives, at fair value, net 1,407 Derivatives, at fair value, net - Total $ 6,086,600 $ 15,460 $ (9,634 ) As of March 31, 2016, the Company had a net short TBA position of $430 thousand which settled in April of 2016. This amount is included in Derivative assets on the Consolidated Statements of Financial Condition as of March 31, 2016. The effect of the Company’s derivatives on the Consolidated Statements of Operations and Comprehensive Income is presented below. Net gains (losses) on derivatives For the Quarter Ended Derivative Instruments Location on Consolidated Statements of Operations and Comprehensive Income March 31, 2016 March 31, 2015 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ (88,709 ) $ 9,960 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (11,676 ) (83,746 ) Mortgage Options Net unrealized gains (losses) on derivatives - 224 Mortgage Options Net realized gains (losses) on derivatives - 412 Treasury Futures Net unrealized gains (losses) on derivatives (2,985 ) (4,908 ) Treasury Futures Net realized gains (losses) on derivatives (21,610 ) (27,454 ) Swaptions Net unrealized gains (losses) on derivatives (8,987 ) (1,221 ) Swaptions Net realized gains (losses) on derivatives (2,140 ) 144 Other Derivative Assets Net unrealized gains (losses) on derivatives (430 ) - Other Derivative Assets Net realized gains (losses) on derivatives - (21 ) Total $ (136,537 ) $ (106,610 ) (1) Includes loss on termination of interest rate swap of $458 thousand and $69 million for the quarter ended March 31, 2016 and 2015, respectively. The Company paid $458 thousand to terminate interest rate swaps with a notional value of $1 billion during the quarter ended March 31, 2016. The terminated swaps were scheduled to mature in 2017. The Company paid $69 million to terminate interest rate swaps with a notional value of $575 million during the quarter ended March 31, 2015. The swaps terminated in the quarter ended March 31, 2015 had original maturities ranging from 2024 to 2044. These amounts represented the fair value of the terminated interest rate swaps, not counting any accrued interest at the time of settlement. The weighted average pay rate on the Company’s interest rate swaps at March 31, 2016 was 1.69% and the weighted average receive rate was 0.47%. The weighted average pay rate on the Company’s interest rate swaps at December 31, 2015 was 1.51% and the weighted average receive rate was 0.36%. The weighted average maturity on the Company’s interest rate swaps at March 31, 2016 and December 31, 2015 is 5 years and 4 years, respectively. Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange (NYSE). Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. Certain of the Company’s interest rate swaps are cleared through a registered commodities exchange. Each of the Company’s ISDAs and clearing exchange agreements contains provisions under which the Company is required to fully collateralize its obligations under the interest rate swap agreements if at any point the fair value of the swap represents a liability greater than the minimum transfer amount contained within the agreements. The Company is also required to post initial collateral upon execution of certain of its swap transactions. If the Company breaches any of these provisions, it will be required to settle its obligations under the agreements at their termination values, which approximates fair value. The Company uses clearing exchange market prices to determine the fair value of its interest rate swaps. The aggregate fair value of all derivative instruments with credit-risk-related contingent features that are in a net liability position at March 31, 2016 is approximately $154 million including accrued interest, which represents the maximum amount the Company would be required to pay upon termination, which is fully collateralized. |
Common Stock
Common Stock | 3 Months Ended |
Mar. 31, 2016 | |
Equity [Abstract] | |
Common Stock | 10. Common Stock On August 5, 2015, our Board of Directors adopted a program that authorizes repurchases of our common stock up to $250 million. During the first quarter of 2016, our Board of Directors authorized and increased the share repurchase program by $100 million from $250 million to $350 million. Shares of our common stock may be purchased in the open market, including through block purchases, or through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended. The timing, manner, price and amount of any repurchases will be determined at our discretion and the program may be suspended, terminated or modified at any time for any reason. Among other factors, we intend to only consider repurchasing shares of our common stock when the purchase price is less than our estimate of our current net asset value per common share. Generally, when we repurchase our common stock at a discount to our net asset value, the net asset value of our remaining shares of common stock outstanding increases. In addition, we do not intend to repurchase any shares from directors, officers or other affiliates. The program does not obligate us to acquire any specific number of shares, and all repurchases will be made in accordance with Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of stock repurchases. Pursuant to our share repurchase program, during the third and fourth quarter of 2015, we repurchased approximately 18 million shares of our common stock at an average repurchase price of $13.94 per share for a total of approximately $250 million. The Company did not repurchase any shares during the first quarter of 2016 and has $100 million in its share repurchase program that may yet be used to repurchase shares. During the quarter ended March 31, 2016, the Company declared and paid a special dividend of $0.50 per share to common shareholders totaling $94 million, in addition to a regular dividend declared of $0.48 per share totaling $90 million. During the quarter ended , the Company declared dividends to common shareholders totaling $99 million, or $0.48 per share. Earnings per share for the quarter ended March 31, 2016, and 2015, respectively, are computed as follows: For the Quarter Ended March 31, 2016 March 31, 2015 (dollars in thousands) Numerator: Net income $ 83,098 $ 67,041 Effect of dilutive securities: - - Dilutive net income available to stockholders $ 83,098 $ 67,041 Denominator: Weighted average basic shares 187,723,472 205,527,476 Effect of dilutive securities 116,710 39,480 Weighted average dilutive shares 187,840,182 205,566,956 Net income per average share attributable to common stockholders - Basic $ 0.44 $ 0.33 Net income per average share attributable to common stockholders - Diluted $ 0.44 $ 0.33 |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 3 Months Ended |
Mar. 31, 2016 | |
Equity [Abstract] | |
Accumulated Other Comprehensive Income | 11. Accumulated Other Comprehensive Income The following table presents the changes in the components of Accumulated Other Comprehensive Income (“AOCI”) for the quarters ended March 31, 2016 and 2015: March 31, 2016 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2015 $ 773,791 $ 773,791 OCI before reclassifications 59,408 59,408 Amounts reclassified from AOCI 9,066 9,066 Net current period OCI 68,474 68,474 Balance as of March 31, 2016 $ 842,265 $ 842,265 March 31, 2015 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2014 $ 1,046,680 $ 1,046,680 OCI before reclassifications (19,912 ) (19,912 ) Amounts reclassified from AOCI (21,261 ) (21,261 ) Net current period OCI (41,173 ) (41,173 ) Balance as of March 31, 2015 $ 1,005,507 $ 1,005,507 The following table presents the details of the reclassifications from AOCI for the quarters ended March 31, 2016 and 2015: March 31, 2016 March 31, 2015 Details about Accumulated OCI Components Amounts Reclassified from Accumulated OCI Amounts Reclassified from Accumulated OCI Affected Line on the Consolidated Statements Of Operations And Comprehensive Income Unrealized gains and losses on available-for-sale securities $ 1,612 $ 29,076 Net realized gains (losses) on sales of investments (10,678 ) (7,815 ) Net other-than-temporary credit impairment losses $ (9,066 ) $ 21,261 Income before income taxes - - Income taxes $ (9,066 ) $ 21,261 Net of tax |
Equity Compensation, Employment
Equity Compensation, Employment Agreements and other Benefit Plans | 3 Months Ended |
Mar. 31, 2016 | |
Postemployment Benefits [Abstract] | |
Equity Compensation, Employment Agreements and other Benefit Plans | 12. Equity Compensation, Employment Agreements and other Benefit Plans In accordance with the terms of the Company’s 2007 Equity Incentive Plan (as amended and restated on December 10, 2015) (the “Equity Plan”), directors, officers and employees of the Company are eligible to receive restricted stock grants. These awards generally have a restriction period lasting between two and ten years depending on the award, after which time the awards fully vest. During the vesting period, these shares may not be sold. There were 7.2 million shares available for future grants under the 2007 Equity Incentive Plan as of March 31, 2016. During the first quarter of 2016, the Compensation Committee of the Board of Directors of the Company approved a Stock Award Deferral Program (the “Deferral Program”). Under the Program, non-employee directors and certain executive officers can elect to defer payment of certain stock awards made pursuant to the Equity Plan. Deferred awards are treated as deferred stock units and paid at the earlier of separation from service or a date elected by the participant. Payments are generally made in a lump sum or, if elected by the participant, in five annual installments if paid upon separation from service. Deferred awards receive dividend equivalents during the deferral period in the form of additional deferred stock units. Amounts are paid at the end of the deferral period by delivery of shares from the Equity Plan (plus cash for any fractional deferred stock units), less any applicable tax withholdings. Deferral elections do not alter any vesting requirements applicable to the underlying stock award. During the first quarter of 2016, the Company granted certain of its employees Restricted Stock Units (“RSU”) awards. RSU awards are designed to reward certain employees of the Company for services provided over the previous year. The RSU awards vest equally over a three year period beginning one year from the grant date and will fully vest in 2019. The RSU awards are valued at the market price of the Company’s common stock on the grant date and the employees must be employed by the Company on the vesting dates to receive the RSU awards. The Company granted 266,200 RSU awards during the first quarter of 2016 with a grant date fair value of $3 million, which will be recognized as compensation expense on a straight-line basis over the three year vesting period. During the first quarter of 2016, the Company granted certain of its employees 179,600 Performance Share Units (“PSU”) awards. PSU awards are designed to align compensation with the Company’s future performance. The PSU awards include a three year performance period ending on December 31, 2018. The final number of shares that will vest will be between 0% to 150% of the 179,600 granted based on the stock performance of the Company as compared to an index of comparable financial institutions and will cliff vest at the end of the performance period. The PSU awards are measured at fair value on the grant date which will be recognized as compensation expense ratably over the three year vesting period. Fair value is determined using a Monte Carlo valuation model developed to value the specific features of the PSU awards, including market based conditions. Inputs into the model include the Company’s historical volatility, the peer average historical volatility, and the correlation coefficient of the volatility. In addition, inputs also included the share price at the beginning of the measurement period and an estimated total shareholder return for both the Company and the peer group of comparable financial institutions. Based on the model results, the 179,600 PSU awards granted during the first quarter of 2016 had a grant date value of $3 million that will cliff vest on December 31, 2018. The Company recognized stock based compensation expenses of $102 thousand and $436 thousand for the quarters ended March 31, 2016 and 2015, respectively. There were no forfeitures during the quarter ended March 31, 2016. As of March 31, 2016, there was approximately $7 million of total unrecognized compensation costs related to non-vested share-based compensation arrangements granted under the long term incentive plan. This cost is expected to be recognized over a weighted average period of approximately 3 years. The Company also maintains a qualified 401(k) plan. The plan is a voluntary contributory plan that allows eligible employees to defer compensation for federal income tax purposes under Section 401(k) of the Internal Revenue Code of 1986, as amended. Employees may contribute, through payroll deductions, up to 25% of eligible compensation. The Company matches 100% of the first 6% of the eligible compensation deferred by employee contributions and 50% of the next 2% of such compensation. The 401(k) matching contributions are made in the form of cash, whereby participants may direct the Company match to an investment of their choice. The benefit of the Company’s contributions vest immediately. Generally, a participating employee is entitled to distributions from the plans upon termination of employment, retirement, death or disability. Participants who qualify for distribution may receive a series of specified installment payments. The 401(k) expense related to the Company’s qualified plan for the quarter ended March 31, 2016 was $92 thousand. As we were externally managed prior to third quarter of 2015, there was no 401(k) expense for the quarter ended March 31, 2015. |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | 13. Income Taxes For the quarter ended March 31, 2016 and the year ended December 31, 2015, the Company was qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions of taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its shareholders and meet certain other requirements such as assets it may hold, income it may generate and its shareholder composition. It is generally the Company’s policy to distribute to its shareholders all of the Company’s taxable income. The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees and its TRSs are subject to federal, state and local taxes. There were no significant income tax expenses for the quarters ended March 31, 2016 and December 31, 2015. In general, common stock cash dividends declared by the Company will be considered ordinary income to stockholders for income tax purposes. From time to time, a portion of the Company’s dividends may be characterized as capital gains or return of capital distributions. The Company’s effective tax rate differs from its combined federal, state and city corporate statutory tax rate primarily due to the deduction of dividend distributions required to be paid under Code Section 857(a). The Company’s 2014, 2013 and 2012 federal, state and local tax returns remain open for examination. |
Credit Risk and Interest Rate R
Credit Risk and Interest Rate Risk | 3 Months Ended |
Mar. 31, 2016 | |
Offsetting [Abstract] | |
Credit Risk and Interest Rate Risk | 14. Credit Risk and Interest Rate Risk The Company’s primary components of market risk are credit risk and interest rate risk. The Company is subject to interest rate risk in connection with its investments in Agency MBS and Non-Agency RMBS, residential mortgage loans, and borrowings under repurchase agreements. When the Company assumes interest rate risk, it attempts to minimize interest rate risk through asset selection, hedging and matching the income earned on mortgage assets with the cost of related liabilities. The Company attempts to minimize credit risk through due diligence and asset selection by purchasing loans underwritten to agreed-upon specifications of selected originators as well as on-going portfolio monitoring. The Company has established a whole loan target market including prime and sub-prime borrowers, Alt-A documentation, geographic diversification, owner-occupied property, and moderate loan-to-value ratios. These factors are considered to be important indicators of credit risk. By using derivative instruments and repurchase agreements, the Company is exposed to counterparty credit risk if counterparties to the contracts do not perform as expected. If a counterparty fails to perform on a derivative hedging instrument, the Company’s counterparty credit risk is equal to the amount reported as a derivative asset on its balance sheet to the extent that amount exceeds collateral obtained from the counterparty or, if in a net liability position, the extent to which collateral posted exceeds the liability to the counterparty. The amounts reported as a derivative asset/(liability) are derivative contracts in a gain/(loss) position, and to the extent subject to master netting arrangements, net of derivatives in a loss/(gain) position with the same counterparty and collateral received/(pledged). If the counterparty fails to perform on a repurchase agreement, the Company is exposed to a loss to the extent that the fair value of collateral pledged exceeds the liability to the counterparty. The Company attempts to minimize counterparty credit risk by evaluating and monitoring the counterparty’s credit, executing master netting arrangements and obtaining collateral, and executing contracts and agreements with multiple counterparties to reduce exposure to a single counterparty, where appropriate. Our repurchase agreements and derivative transactions are governed by underlying agreements that provide for a right of setoff under master netting arrangements, including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a net basis in our consolidated statements of financial condition. The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of March 31, 2016 and December 31, 2015. March 31, 2016 (dollars in thousands) Gross Amounts Not Offset with Financial Gross Amounts of Recognized Gross Amounts Offset in the Consolidated Net Amounts Offset in the Consolidated Assets (Liabilities) in the Consolidated Statements of Financial Position Assets (Liabilities) Statements of Financial Position Statements of Financial Position Financial Instruments Cash Collateral (Received) Pledged (1) Net Amount Repurchase Agreements $ (7,545,631 ) $ - $ (7,545,631 ) $ 8,921,425 $ 18,781 $ 1,394,575 Interest Rate Swaps - Gross Assets 150 (150 ) - - - - Interest Rate Swaps - Gross Liabilities (136,470 ) 129,971 (6,499 ) 8,483 61,501 63,485 Treasury Futures - Gross Assets 115 (115 ) - - 6,377 6,377 Treasury Futures - Gross Liabilities (1,692 ) 1,692 - - - - Swaptions - Gross Assets 5,565 - 5,565 - - 5,565 Swaptions - Gross Liabilities (6,652 ) - (6,652 ) 10,249 - 3,597 Other Derivative Assets (430 ) - (430 ) - - (430 ) Total Liabilities $ (7,685,045 ) $ 131,398 $ (7,553,647 ) $ 8,940,157 $ 86,659 $ 1,473,169 (1) Included in other assets December 31, 2015 (dollars in thousands) Gross Amounts Not Offset with Financial Gross Amounts of Recognized Gross Amounts Offset in the Consolidated Net Amounts Offset in the Consolidated Assets (Liabilities) in the Consolidated Statements of Financial Position Assets (Liabilities) Statements of Financial Position Statements of Financial Position Financial Instruments Cash Collateral (Received) Pledged (1) Net Amount Repurchase Agreements $ (7,439,339 ) $ - $ (7,439,339 ) $ 8,773,285 $ 37,296 $ 1,371,242 Interest Rate Swaps - Gross Assets 6,166 (4,934 ) 1,232 - - 1,232 Interest Rate Swaps - Gross Liabilities (53,777 ) 47,408 (6,369 ) 8,589 51,424 53,644 Treasury Futures 1,599 (192 ) 1,407 - 6,420 7,827 Swaptions - Gross Assets 12,821 - 12,821 - - 12,821 Swaptions - Gross Liabilities (3,265 ) - (3,265 ) - - (3,265 ) Total Liabilities $ (7,475,795 ) $ 42,282 $ (7,433,513 ) $ 8,781,874 $ 95,140 $ 1,443,501 (1) Included in other assets |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | 15. Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. In connection with certain re-securitization transactions engaged in by the Company, the Company has the obligation under certain circumstances to repurchase assets from the VIE upon breach of certain representations and warranties. Management is not aware of any contingencies that require accrual or disclosure as of March 31, 2016 and December 31, 2015. The Audit Committee also pursued additional remedies against other parties regarding the facts and circumstances relating to our accounting for Non-Agency RMBS and the restatement of our financial statements, which were resolved in the first quarter of 2016 and we recovered $95 million which was characterized as taxable income in 2016. |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events | 16. Subsequent Events Subsequent to March 31, 2016, the Company agreed to acquire securities with an aggregate balance of approximately $225 million related to a Company sponsored securitization of seasoned residential mortgage loans. Subsequent to March 31, 2016, the Company contributed $1 million to Chimera Funding TRS LLC. |
Summary of the Significant Ac24
Summary of the Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | (a) Basis of Presentation and Consolidation The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States ("GAAP"). In the opinion of management, all adjustments considered necessary for a fair presentation of the Company's financial position, results of operations and cash flows have been included. Certain prior period amounts have been reclassified to conform to the current period's presentation. The consolidated financial statements include, on a consolidated basis, the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities (“VIEs”) in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. The Company uses securitization trusts considered to be VIEs in its securitization and re-securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary, and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as pass through entities that receive principal and interest on the underlying collateral and distribute those payments to the certificate holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a certificate holder of the bonds it has retained. There have been no recent changes to the nature of risks associated with the Company’s involvement with VIEs. Determining the primary beneficiary of a VIE requires significant judgment. The Company determined that for the securitizations it consolidates, its ownership of substantially all subordinate interests provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance (“power”) such as rights to direct servicer activity or the Company was determined to have power in connection with its involvement with the purpose and design of the VIE. The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Statements of Financial Condition, is restricted by the structural provisions of these entities, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Statements of Financial Condition, are non-recourse to the Company, and can generally only be satisfied from each securitization vehicle’s respective asset pool. The securitization entities are comprised of senior classes of residential mortgage backed securities (“RMBS”) and residential mortgage loans. See Notes 3, 4 and 8 for further discussion of the characteristics of the securities and loans in the Company’s portfolio. |
Statements of Financial Condition Presentation | (b) Statements of Financial Condition Presentation The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 8 for additional information related to the Company’s investments in consolidated securitization vehicles. |
Cash and Cash Equivalents | (c) Cash and Cash Equivalents Cash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. There were no restrictions on cash and cash equivalents at March 31, 2016 and December 31, 2015. |
Agency and Non-Agency Mortgage-Backed Securities | (d) Agency and Non-Agency Mortgage-Backed Securities The Company invests in mortgage backed securities (“MBS”) representing interests in obligations backed by pools of mortgage loans. The Company delineates between Agency MBS and Non-Agency MBS as follows: Agency MBS are mortgage pass-through certificates, collateralized mortgage obligations (“CMOs”), and other MBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by agencies of the U.S. Government, such as Ginnie Mae, or federally chartered corporations such as . Non-Agency MBS are not issued or guaranteed by a U.S. Government Agency or other institution and are subject to credit risk. Repayment of principal and interest on Non-Agency MBS is subject to the performance of the mortgage loans or MBS collateralizing the obligation. The Company also invests in Interest Only Agency MBS strips and Non-Agency RMBS strips (“IO MBS strips”). the Financial Accounting Standards Board (“ Beneficial Interests in Securitized Financial Assets (“ASC 325-40”) The Company accounts for IO MBS strips at fair value The Company classifies the majority of its MBS as available-for-sale and records investments at estimated fair value as described in Note 5 of these consolidated financial statements. The Company includes unrealized gains and losses considered to be temporary on all MBS in Other comprehensive income (“OCI”) in the Consolidated Statements of Operations and Comprehensive Income. For IO strips and certain other MBS investments, the Company carries these investments at fair value with changes in fair value included in earnings in the Consolidated Statements of Operations and Comprehensive Income. From time to time, as part of the overall management of its portfolio, the Company may sell any of its investments and recognize a realized gain or loss as a component of earnings in the Consolidated Statements of Operations and Comprehensive Income utilizing the average cost method. The Company’s accounting policy for interest income and impairment related to its MBS is as follows: Interest Income Recognition The recognition of interest income on MBS securities varies depending on the characteristics of the security as follows: Agency MBS and Non-Agency RMBS of High Credit Quality FASB ASC 310-20, Nonrefundable Fees and Other Costs ● Agency MBS ● Non-Agency RMBS that meet all of the following conditions at the acquisition date (referred to hereafter as “Non-Agency RMBS of High Credit Quality”): 1. Rated AA or higher by a nationally recognized credit rating agency using the lowest rating available. 2. The Company expects to collect all of the security’s contractual cash flows. 3. The security cannot be contractually prepaid such that the Company would not recover substantially all of its recorded investment. Under ASC 310-20, interest income, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the contractual cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security on a quarterly basis. This recalculation results in the recognition of an adjustment to the carrying amount of the security based on the revised prepayment assumptions and a corresponding increase or decrease in reported interest income. Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS purchased at a discount and not of high credit quality at the time of purchase are accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality Non-Agency RMBS are accounted for under ASC 310-30 if the following conditions are met as of the acquisition date: 1. There is evidence of deterioration in credit quality of the security from its inception. 2. It is probable that the Company will be unable to collect all contractual cash flows of the security. Non-Agency RMBS that are not within the scope of ASC 310-30 are accounted for under ASC 325-40 if at the acquisition date: 1. The security is not of high credit quality (defined as rated below AA or is unrated), or 2. The security can contractually be prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. Interest income on Non-Agency RMBS Not of High Credit Quality is recognized using the interest method based on management’s estimates of cash flows expected to be collected. The effective interest rate on these securities is based on management’s estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either positive changes or adverse changes. For securities accounted for under ASC 325-40, any positive or adverse change in cash flows that does not result in the recognition of an other-than-temporary impairment (“OTTI”) results in a prospective increase or decrease in the effective interest rate used to recognize interest income. For securities accounted for under ASC 310-30, only significant positive changes are reflected prospectively in the effective interest rate used to recognize interest income. Adverse changes in cash flows expected to be collected are generally treated consistently for Non-Agency RMBS accounted for under ASC 325-40 and ASC 310-30, and generally result in recognition of an OTTI with no change in the effective interest rate used to recognize interest income. Impairment Considerations Applicable to all MBS When the fair value of an available-for-sale MBS is less than its amortized cost the security is considered impaired. On a quarterly basis the Company evaluates its securities for OTTI. If the Company intends to sell an impaired security, or it is more-likely-than-not that the Company will be required to sell an impaired security before its anticipated recovery, then the Company must recognize an OTTI through a charge to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the measurement date. If the Company does not intend to sell an impaired security and it is not more-likely-than-not that it would be required to sell an impaired security before recovery, the Company must further evaluate the security for impairment due to credit losses. The credit component of OTTI is recognized in earnings and the remaining component is recorded as a component of OCI. Following the recognition of an OTTI through earnings, a new amortized cost basis is established for the security and subsequent recovery in fair value may not be adjusted through current earnings. Subsequent recoveries are amortized into income over the remaining life of the security as an adjustment to yield. When evaluating whether the Company intends to sell an impaired security or will more-likely-than-not be required to sell an impaired security before recovery, the Company makes judgments that consider among other things, its liquidity, leverage, contractual obligations, and targeted investment strategy to determine its intent and ability to hold the investments that are deemed impaired. The determination as to whether an OTTI exists is subjective as such determinations are based on factual information available at the time of assessment as well as the Company’s estimates of future conditions. As a result, the determination of OTTI and its timing and amount is based on estimates that may change materially over time. The Company’s estimate of the amount and timing of cash flows for its MBS is based on its review of the underlying securities or mortgage loans securing the MBS. The Company considers historical information available and expected future performance of the underlying securities or mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, extent of credit support available, Fair Isaac Corporation (“FICO”) scores at loan origination, year of origination, loan-to-value ratios, geographic concentrations, as well as reports by credit rating agencies, general market assessments and dialogue with market participants. As a result, substantial judgment is used in the Company’s analysis to determine the expected cash flows for its MBS. Considerations Applicable to Non-Agency RMBS of High Credit Quality The impairment assessment for Non-Agency RMBS of High Credit Quality involves comparing the present value of the remaining cash flows expected to be collected to the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the security’s effective interest rate as calculated under ASC 310-20 (i.e., the discount rate implicit in the security as of the last measurement date). If the present value of the remaining cash flows expected to be collected is less than the amortized cost basis, an OTTI is recognized in earnings for the difference. This amount is considered to be the credit loss component; the remaining difference between amortized cost and the fair value of the security is considered to be the portion of loss recognized in other comprehensive income. Considerations Applicable to Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS within the scope of ASC 325-40 or ASC 310-30 are considered other-than-temporarily impaired when the following two conditions exist: (1) the fair value is less than the amortized cost basis, and (2) there has been an adverse change in cash flows expected to be collected from the last measurement date (i.e. adverse changes in either the amount or timing of cash flows from those previously expected). The OTTI is separated into a credit loss component that is recognized in earnings and the portion of loss recognized in other comprehensive income. The credit component is comprised of the impact of the fair value decline due to changes in assumptions related to default (collection) risk and prepayments. The portion of loss recognized in other comprehensive income comprises the change in fair value of the security due to all other factors, including changes in benchmark interest rates and market liquidity. In determining the OTTI related to credit losses for securities, the Company compares the present value of the remaining cash flows adjusted for prepayments expected to be collected at the current financial reporting date to the present value of the remaining cash flows expected to be collected at the original purchase date (or the last date those estimates were revised for accounting purposes). The discount rate used to calculate the present value of expected future cash flows is the effective interest rate used for income recognition purposes as determined under ASC 325-40 or ASC 310-30. The determination of whether an OTTI exists and, if so, the extent of the credit component is subject to significant judgment and management’s estimates of both historical information available at the time of assessment, the current market environment, as well as the Company’s estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of OTTI constitutes an accounting estimate that may change materially over time. Investments for which the Company has elected the fair value option are not evaluated for OTTI as all changes in fair value are reflected in earnings. |
Securitized Loans Held for Investment | (e) Securitized Loans Held for Investment Prime residential mortgage loans: A portion of the securitized loan portfolio is comprised of non-conforming, single family, owner occupied, jumbo, prime loans that are not guaranteed as to repayment of principal or interest. These securitized loans are serviced and may be modified, in the event of a default, by a third-party servicer. The Company generally has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to certain loans in default, including whether or not to proceed with foreclosure. These mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis. The securitized loan portfolio comprised of non-conforming, single family, owner occupied, jumbo, prime loans is carried at fair value with changes in fair value recorded in earnings. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. Seasoned sub-prime residential mortgage loans: A portion of the securitized loan portfolio is comprised of seasoned sub-prime residential mortgage loans that are not guaranteed as to repayment of principal or interest. These securitized loans are serviced and may be modified, in the event of default, by a third-party servicer. The Company generally has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to certain loans in default, including whether or not to proceed with foreclosure. These mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis. The securitized loan portfolio comprised primarily of seasoned sub-prime residential mortgage loans is carried at fair value with changes in fair value recorded in earnings. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. All residential mortgage loans: Interest is accrued on all securitized loans held for investment when due. Interest which is not received at the due date is written off when it becomes delinquent. Nonrefundable fees and costs related to acquiring the Company’s securitized residential mortgage loans are recognized as expenses in the Statement of operations and comprehensive income. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. Real estate owned (“REO”) represents properties which the Company has received the legal title of the property to satisfy the outstanding loan. REO is re-categorized from loan to REO when the Company takes legal title of the property. REO assets are measured and reported at the estimated fair value less the estimated cost to sell at the end of each reporting period. At the time the asset is re-categorized, any difference between the previously recorded loan balance and the carrying value of the REO at the time the Company takes legal title of the property, is recognized as a loss. |
Repurchase Agreements | (f) Repurchase Agreements The Company finances the acquisition of a significant portion of its mortgage-backed securities with repurchase agreements. The Company has evaluated each agreement and has determined that each of the repurchase agreements be accounted for as secured borrowings. |
Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by loans held for investment | (g) Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by loans held for investment Certain re-securitization transactions classified as Securitized Debt, collateralized by Non-Agency RMBS reflect the transfer to a trust of fixed or adjustable rate MBS which are classified as Non-Agency RMBS that pay interest and principal to the debt holders of that re-securitization. Re-securitization transactions completed by the Company that did not qualify as sales are accounted for as secured borrowings. The associated securitized debt is carried at amortized cost, net of any unamortized premiums or discounts. Certain transactions involving residential mortgage loans are accounted for as secured borrowings, and are recorded as Securitized loans held for investment and the corresponding debt as Securitized debt, collateralized by loans held for investment in the Consolidated Statements of Financial Condition. These securitizations are collateralized by residential adjustable or fixed rate mortgage loans that have been placed in a trust and pay interest and principal to the debt holders of that securitization. The Securitized debt, collateralized by loans held for investment, is carried at fair value. The Company recognizes interest expense on securitized debt over the expected life of the debt using the interest method with changes in yield reflected in earnings on a prospective basis. Fees associated with the debt issuance of jumbo prime residential mortgage loans are also amortized using the interest method. The Company estimates the fair value of its securitized debt as described in Note 5 to these consolidated financial statements. |
Fair Value | (h) Fair Value Interest-Only MBS: The Company accounts for the IO MBS strips at fair value with changes in fair value reported in earnings. The IO MBS strips are included in MBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Included in Non-Agency RMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $251 million and $245 million as of March 31, 2016 and December 31, 2015. Included in Agency MBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $179 million and $273 million as of March 31, 2016 and December 31, 2015. Interest income reported on all IO securities was $12 million and $13 million for the quarters ended March 31, 2016 and 2015, respectively. Non-Agency RMBS: The Company has elected the fair value option for certain interests in MBS which we refer to as the overcollateralization class of the MBS pass through structure. The cash flows for these holdings are generally subordinate to all other interests of the trusts and generally only pay out funds when certain ratios are met and excess cash holdings, as determined by the trustee, are available for distribution to the overcollateralization class. Many of the investments in this group have no current cash flows and may not ever pay cash flows, depending on the loss experience of the collateral group supporting the investment. Estimating future cash flows for this group of MBS investments is highly judgmental and uncertain; therefore, the Company has elected to carry these holdings at fair value with changes in fair value reflected in earnings. Changes in fair value are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statement of Operations and Comprehensive Income. The fair value of the Non-Agency RMBS carried at fair value with changes in fair value reflected in earnings is $16 million and $20 million as of March 31, 2016 and December 31, 2015, respectively. Securitized Loans Held for Investment: The Company’s securitized loans are carried at fair value with changes in fair value reflected in earnings. The Company carries securitized loans held for investment at fair value as it may resecuritize these loans in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. C Securitized Debt, Collateralized by Loans Held for Investment: The Company’s securitized debt, collateralized by loans held for investment is carried at fair value with changes in fair value reflected in earnings. The Company has elected fair value option for these financings as it may call or restructure these debt financings in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. C |
Derivative Financial Instruments | (i) Derivative Financial Instruments The Company’s investment policies permit it to enter into derivative contracts, including interest rate swaps, swaptions, mortgage options, futures, and interest rate caps to manage its interest rate risk and, from time to time, enhance investment returns. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. The Company estimates the fair value of its derivative instruments as described in Note 5 of these consolidated financial statements. Net payments on derivative instruments are included in the Consolidated Statements of Cash Flows as a component of net income. Unrealized gains (losses) on derivatives are removed from net income to arrive at cash flows from operating activities. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair value of those derivative contracts are reported net by counterparty. The credit support annex provisions of the Company’s derivative contracts allow the parties to mitigate their credit risk by requiring the party which is in a net payable position to post collateral. As the Company elects to net by counterparty the fair value of derivative contracts, it also nets by counterparty any cash collateral exchanged as part of the derivative. Refer to Note 9 Derivative Instruments for further details. |
Fair Value Disclosure | (j) Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements. |
Sales, Securitizations, and Re-Securitizations | (k) Sales, Securitizations, and Re-Securitizations The Company periodically enters into transactions in which it sells financial assets, such as MBS, and mortgage loans. Gains and losses on sales of assets are calculated using the average cost method whereby the Company records a gain or loss on the difference between the average amortized cost of the asset and the proceeds from the sale. In addition, the Company from time to time securitizes or re-securitizes assets and sells tranches in the newly securitized assets. These transactions may be recorded as either sales and the assets contributed to the securitization are removed from the Consolidated Statements of Financial Condition and a gain or loss is recognized, or as secured borrowings whereby the assets contributed to the securitization are not derecognized but rather the debt issued by the securitization entity are recorded to reflect the term financing of the assets. In these securitizations and re-securitizations, the Company may retain senior or subordinated interests in the securitized or re-securitized assets. In transfers that are considered secured borrowings, no gain or loss is recognized. Any difference in the proceeds received and the carrying value of the transferred asset is recorded as a premium or discount and amortized into earnings as an adjustment to yield. |
Income Taxes | (l) Income Taxes The Company has elected to be taxed as a REIT and intends to comply with the provision of the Code, with respect thereto. Accordingly, the Company will not be subject to federal, state or local income taxes to the extent that qualifying distributions are made to stockholders and as long as certain asset, income, distribution and stock ownership tests are met. If the Company failed to qualify as a REIT and did not qualify for certain statutory relief provisions, the Company would be subject to federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the REIT qualification was lost. A tax position is recognized only when, based on management’s judgment regarding the application of income tax laws, it is more likely than not that the tax position will be sustained upon examination. The Company does not have any unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of March 31, 2016 or 2015. |
Net Income per Share | (m) Net Income per Share The Company calculates basic net income per share by dividing net income for the period by the basic weighted-average shares of its common stock outstanding for that period. Diluted net income per share takes into account the effect of dilutive instruments such as unvested restricted stock. |
Stock-Based Compensation | (n) Stock-Based Compensation The Company measures the fair value of the equity instrument granted to non-employees using the stock prices and other measurement assumptions as of the earlier of either the date at which a performance commitment by the recipient is reached or the date at which the recipient’s performance is complete. Stock compensation expense related to the grants of stock is recognized over the vesting period of such grants based on the fair value of the stock on each vesting date at which the recipient’s performance is complete. Compensation expense for equity based awards granted to the Company’s independent directors and stock based compensation awards granted to employees of the Company subject only to service condition is recognized on a straight-line basis over the vesting period of such awards, based upon the fair value of such awards at the grant date adjusted, as applicable, for estimated forfeitures. For awards subject to graded vesting, the total amount of expense is at least equal to the measured expense of each vested tranche. Awards subject to only a service condition are valued according to the market price for the Company’s common stock at the date of grant. For awards based on the performance of the Company’s stock price, the Company generally engages an independent appraisal company to determine the value of the shares at the date of grant, taking into account the underlying contingency risks associated with the performance criteria. The values of these grants are expensed ratably over their respective vesting periods (irrespective of achievement of the performance criteria) adjusted, as applicable, for forfeitures. |
Use of Estimates | (o) Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. Management has made significant estimates in accounting for income recognition and OTTI on Agency and Non-Agency RMBS and IO MBS (Note 3), valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Note 4), securitized debt (Note 7) and derivative instruments (Notes 5 and 9). Actual results could differ materially from those estimates. |
Recent Accounting Pronouncements | (p) Recent Accounting Pronouncements Share Based Payments – (ASU 2016-09) In March 2016, the FASB issued ASU No. 2016-09, Improvements to Employee Share-Based Payment Accounting The guidance in the ASU is effective for the Company as of January 1, 2017. Early adoption is allowed. The guidance is to be applied The Company is currently evaluating what impact this update will have on the consolidated financial statements. Contingent Put and Call Options in Debt Instruments – (ASU 2016-06) In March 2016, the FASB issued ASU No. 2016-06, Contingent Put and Call Options in Debt Instruments Accounting This updated guidance clarified that when a call or put option in a debt instrument can accelerate the repayment of principal on the debt instrument, a reporting entity does not need to assess whether the contingent event that triggers the ability to exercise the call or put option is related to interest rates or credit risk in determining whether the option should be accounted for separately as a derivative. The guidance in the ASU is effective for the Company as of January 1, 2017. Early adoption is permitted. The adoption of this guidance is not expected to have a material effect on the Company’s financial statements as all of its debt instruments with contingent Put and Call options are eliminated on consolidation. Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships – (ASU 2016-05) In March 2016, the FASB issued ASU No. 2016-05, Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships. The guidance in the ASU is effective for the Company as of January 1, 2017. Early adoption is allowed. The new guidance The Company currently does not use hedge accounting for GAAP reporting purposes, therefore this guidance is not expected to have a material effect on the Company’s financial statements. Financial Instruments—Overall (Subtopic 825-10) In January 2016, the FASB issued ASU No. 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities . This update changes how the Company will present changes in the fair value of financial liabilities measured under the fair value option that are attributable to our own credit. Under the updated guidance, the Company will record changes in instrument-specific credit risk for financial liabilities measured under the fair value option in other comprehensive income. The update also requires fair value measurement for equity investments that do not result in consolidation and are not accounted for under the equity method to be measured at fair value with any changes in fair value recognized in net income. The update also eliminates the requirement to disclose the methods and significant assumptions used to estimate the fair value of financial instruments measured at amortized cost. In addition, the Company will have to use the exit price notion when measuring the fair value of financial instruments measured at amortized cost for disclosure purposes. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption for certain provisions of the update is allowed. Any adjustment as a result of the adoption of this standard will be recorded as a cumulative-effect adjustment to beginning retained earnings as of the first period in which the guidance is adopted. The Company is currently evaluating what impact this update will have on the consolidated financial statements. Interest—Imputation of Interest (Subtopic 835-30) In April 2015, the FASB issued ASU No. 2015-03, Simplifying the Presentation of Debt Issue Costs . This update changes the presentation of debt issuance costs in financial statements. Under the ASU, an entity presents such costs in the balance sheet as a direct deduction from the related debt liability rather than as an asset. Amortization of the costs is reported as interest expense. The Company adopted this guidance as of 1 January, 2016. As the unamortized debt issuance costs are not significant, the guidance in this ASU did not have a significant impact on the consolidated financial statements. Consolidations (Subtopic 810) In February 2015, the FASB issued ASU No. 2015-02, Amendments to the Consolidation Analysis . This update affects the following areas of the consolidation analysis: limited partnerships and similar entities, evaluation of fees paid to a decision maker or service provider as a variable interest and in determination of the primary beneficiary, effect of related parties on the primary beneficiary determination and for certain investment funds. The guidance in the ASU is effective for the Company as of January 1, 2016. The Company has adopted this guidance as of 1 January, 2016. The guidance in this ASU did not change the consolidation conclusion for any of our interests in VIEs and, therefore, did not impact the consolidated financial statements. Presentation of Financial Statements—Going Concern (Subtopic 205-40) In August 2014, the FASB issued ASU No. 2014-15, Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern . This update provides guidance on determining when and how to disclose going-concern uncertainties in the financial statements. The new standard requires the Company to perform interim and annual assessments of its ability to continue as a going concern within one year of the date the financial statements are issued. The Company must provide certain disclosures if conditions or events raise substantial doubt about its ability to continue as a going concern. The ASU applies to all entities and is effective for the Company beginning January 1, 2017. Early adoption is permitted. The Company does not expect this update to have any impact as we do not expect to have the conditions or events which would raise substantial doubt about the Company’s ability to continue as a going concern. |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Available-for-sale Securities Reconciliation | March 31, 2016 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 3,572,750 $ 313 $ (1,516,274 ) $ 2,056,789 $ 2,746,338 $ 696,460 $ (6,911 ) $ 689,549 Senior, interest-only 5,343,042 269,239 - 269,239 241,102 20,674 (48,811 ) (28,137 ) Subordinated 735,699 22,055 (248,773 ) 508,981 582,975 83,670 (9,676 ) 73,994 Subordinated, interest-only 279,620 14,918 - 14,918 9,835 11 (5,094 ) (5,083 ) Agency MBS Residential 5,063,355 248,624 - 5,311,979 5,356,772 46,678 (1,885 ) 44,793 Commercial 1,072,937 27,991 (3,254 ) 1,097,674 1,125,517 29,868 (2,025 ) 27,843 Interest-only 4,011,154 185,830 - 185,830 179,000 2,391 (9,221 ) (6,830 ) Total $ 20,078,557 $ 768,970 $ (1,768,301 ) $ 9,445,410 $ 10,241,539 $ 879,752 $ (83,623 ) $ 796,129 December 31, 2015 (dollars in thousands) Principal or Notional Value Total Premium Total Discount Amortized Cost Fair Value Gross Unrealized Gains Gross Unrealized Losses Net Unrealized Gain/(Loss) Non-Agency RMBS Senior $ 3,651,869 $ 309 $ (1,553,317 ) $ 2,098,860 $ 2,826,121 $ 736,040 $ (8,779 ) $ 727,261 Senior, interest-only 5,426,029 268,515 - 268,515 234,171 18,113 (52,457 ) (34,344 ) Subordinated 762,466 23,635 (258,128 ) 527,975 604,295 83,896 (7,577 ) 76,319 Subordinated, interest-only 284,931 15,226 - 15,226 11,254 62 (4,035 ) (3,973 ) Agency MBS Residential 5,045,418 255,837 - 5,301,255 5,267,848 18,593 (52,001 ) (33,408 ) Commercial 952,091 24,815 (3,170 ) 973,736 973,787 8,052 (8,001 ) 51 Interest-only 6,722,472 280,073 - 280,073 273,189 2,756 (9,640 ) (6,884 ) Total $ 22,845,276 $ 868,410 $ (1,814,615 ) $ 9,465,640 $ 10,190,665 $ 867,512 $ (142,490 ) $ 725,022 |
Schedule of Changes in Accretable Yield | The table below presents changes in Accretable Yield, or the excess of the security’s cash flows expected to be collected over the Company’s investment, solely as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30. For the Quarter Ended March 31, 2016 March 31, 2015 (dollars in thousands) Balance at beginning of period $ 1,742,744 $ 1,534,497 Purchases 20,183 84,753 Accretion (36,353 ) (69,705 ) Reclassification (to) from non-accretable difference (33 ) 7,182 Sales and deconsolidation - (19,865 ) Balance at end of period $ 1,726,541 $ 1,536,862 |
Schedule of Non-Agency RMBS Having Deteriorated Credit When Acquired | The table below presents the outstanding principal balance and related amortized cost at March 31, 2016 and December 31, 2015 For the Quarter Ended For the Year Ended March 31, 2016 December 31, 2015 (dollars in thousands) Outstanding principal balance: Beginning of period $ 3,550,698 $ 3,325,335 End of period $ 3,490,858 $ 3,550,698 Amortized cost: Beginning of period $ 1,958,726 $ 1,741,780 End of period $ 1,937,419 $ 1,958,726 |
Schedule of Temporary Impairment Losses, Investments | The following tables present the gross unrealized losses and estimated fair value of the Company’s RMBS by length of time that such securities have been in a continuous unrealized loss position at March 31, 2016 and December 31, 2015. All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d). March 31, 2016 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Non-Agency RMBS Senior $ 222,228 $ (6,911 ) 17 $ - $ - - $ 222,228 $ (6,911 ) 17 Senior, interest-only 37,913 (6,974 ) 51 81,263 (41,837 ) 67 119,176 (48,811 ) 118 Subordinated 102,464 (8,616 ) 18 378 (1,060 ) 2 102,842 (9,676 ) 20 Subordinated, interest-only 6,415 (1,337 ) 2 2,835 (3,757 ) 2 9,250 (5,094 ) 4 Agency MBS Residential 426,817 (484 ) 12 369,783 (1,401 ) 3 796,600 (1,885 ) 15 Commercial 151,973 (1,122 ) 114 35,598 (903 ) 9 187,571 (2,025 ) 123 Interest-only 67,394 (3,681 ) 27 37,431 (5,540 ) 8 104,825 (9,221 ) 35 Total $ 1,015,204 $ (29,125 ) 241 $ 527,288 $ (54,498 ) 91 $ 1,542,492 $ (83,623 ) 332 December 31, 2015 (dollars in thousands) Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Total Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Estimated Fair Value Unrealized Losses Number of Securities Non-Agency RMBS Senior $ 294,520 $ (8,779 ) 20 $ - $ - - $ 294,520 $ (8,779 ) 20 Senior, interest-only 81,919 (18,715 ) 83 64,058 (33,742 ) 47 145,977 (52,457 ) 130 Subordinated 138,257 (7,577 ) 22 - - - 138,257 (7,577 ) 22 Subordinated, interest-only 6,455 (1,039 ) 1 3,635 (2,996 ) 2 10,090 (4,035 ) 3 Agency MBS Residential 4,468,717 (44,687 ) 116 290,926 (7,314 ) 4 4,759,643 (52,001 ) 120 Commercial 393,058 (7,969 ) 140 4,986 (32 ) 4 398,044 (8,001 ) 144 Interest-only 94,969 (3,457 ) 24 39,707 (6,183 ) 7 134,676 (9,640 ) 31 Total $ 5,477,895 $ (92,223 ) 406 $ 403,312 $ (50,267 ) 64 $ 5,881,207 $ (142,490 ) 470 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings | A summary of the OTTI included in earnings for the quarters ended March 31, 2016 and 2015 is presented below. For the Quarter Ended March 31, 2016 March 31, 2015 (dollars in thousands) Total other-than-temporary impairment losses $ (4,423 ) $ (1,052 ) Portion of loss recognized in other comprehensive income (loss) (6,255 ) (6,763 ) Net other-than-temporary credit impairment losses $ (10,678 ) $ (7,815 ) The following table presents a roll forward of the credit loss component of OTTI on the Company’s Non-Agency RMBS for which a portion of loss was previously recognized in OCI. The table delineates between those securities that are recognizing OTTI for the first time as opposed to those that have previously recognized OTTI. For the Quarter Ended March 31, 2016 March 31, 2015 (dollars in thousands) Cumulative credit loss beginning balance $ 529,112 $ 507,548 Additions: Other-than-temporary impairments not previously recognized 10,326 7,815 Reductions for securities sold or deconsolidated during the period (242 ) (1,319 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 352 - Reductions for increases in cash flows expected to be collected over the remaining life of the securities (172 ) (158 ) Cumulative credit impairment loss ending balance $ 539,376 $ 513,886 |
Other than Temporary Impairment of Investments Recorded in Earnings, Significant Inputs and Assumptions | The significant inputs used to measure the component of OTTI recognized in earnings for the Company’s Non-Agency RMBS are summarized as follows: For the Quarter Ended March 31, 2016 March 31, 2015 Loss Severity Weighted Average 58 % 69 % Range 44% - 79 % 51% - 78 % 60+ days delinquent Weighted Average 20 % 22 % Range 0% - 40 % 15% - 33 % Credit Enhancement (1) Weighted Average 28 % 10 % Range 0% - 100 % 0% - 18 % 3 Month CPR Weighted Average 5 % 8 % Range 0% - 19 % 5% - 15 % 12 Month CPR Weighted Average 4 % 8 % Range 4% - 21 % 3% - 16 % (1) Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures. |
Summary of Unrealized Gains and Losses on MBS | The following tables present a summary of unrealized gains and losses at March 31, 2016 and December 31, 2015. IO MBS included in the tables below represent the right to receive a specified portion of the contractual interest cash flows of the underlying principal balance of specific securities. At March 31, 2016, IO MBS had a net unrealized loss of $40 million and had an amortized cost of $470 million. At December 31, 2015, IO MBS had a net unrealized loss of $45 million and had an amortized cost of $564 million. The fair value of IOs at March 31, 2016 and December 31, 2015 was $430 million, and $519 million, respectively. All changes in fair value of IOs are reflected in Net Income in the Consolidated Statements of Operations and Comprehensive Income. March 31, 2016 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Accumulated Deficit Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Accumulated Deficit Total Gross Unrealized Loss Non-Agency RMBS Senior $ 696,460 $ - $ 696,460 $ (6,911 ) $ - $ (6,911 ) Senior, interest-only - 20,674 20,674 - (48,811 ) (48,811 ) Subordinated 81,343 2,327 83,670 (1,262 ) (8,414 ) (9,676 ) Subordinated, interest-only - 11 11 - (5,094 ) (5,094 ) Agency MBS Residential 46,678 - 46,678 (1,885 ) - (1,885 ) Commercial 29,868 - 29,868 (2,025 ) - (2,025 ) Interest-only - 2,391 2,391 - (9,221 ) (9,221 ) Total $ 854,349 $ 25,403 $ 879,752 $ (12,083 ) $ (71,540 ) $ (83,623 ) December 31, 2015 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Accumulated Deficit Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Accumulated Deficit Total Gross Unrealized Loss Non-Agency RMBS Senior $ 736,040 $ - $ 736,040 $ (8,779 ) $ - $ (8,779 ) Senior, interest-only - 18,113 18,113 - (52,457 ) (52,457 ) Subordinated 81,588 2,309 83,896 (1,971 ) (5,606 ) (7,577 ) Subordinated, interest-only - 62 62 - (4,035 ) (4,035 ) Agency MBS Residential 18,593 - 18,593 (52,001 ) - (52,001 ) Commercial 8,052 - 8,052 (8,001 ) - (8,001 ) Interest-only - 2,756 2,756 - (9,640 ) (9,640 ) Total $ 844,273 $ 23,240 $ 867,512 $ (70,752 ) $ (71,738 ) $ (142,490 ) |
Residential Mortgage Backed Securities Collateral Characteristics | The following tables provide a summary of the Company’s RMBS portfolio at March 31, 2016 and December 31, 2015. March 31, 2016 Principal or Notional Value at Period-End (dollars in thousands) Weighted Average Amortized Cost Basis Weighted Average Fair Value Weighted Average Coupon Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 3,572,750 $ 57.57 $ 76.87 3.9 % 14.3 % Senior, interest-only 5,343,042 5.04 4.51 1.7 % 12.5 % Subordinated 735,699 69.18 79.24 3.2 % 10.1 % Subordinated, interest-only 279,620 5.34 3.52 1.2 % 12.5 % Agency MBS Residential pass-through 5,063,355 104.91 105.79 3.7 % 2.7 % Commercial pass-through 1,072,937 102.31 104.90 3.5 % 2.9 % Interest-only 4,011,154 4.63 4.46 0.9 % 3.7 % (1) Bond Equivalent Yield at period end. December 31, 2015 Principal or Notional Value at Period-End (dollars in thousands) Weighted Average Amortized Cost Basis Weighted Average Fair Value Weighted Average Coupon Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 3,651,869 $ 57.47 $ 77.39 3.8 % 13.7 % Senior, interest-only 5,426,029 4.95 4.32 1.7 % 12.9 % Subordinated 762,466 69.25 79.26 3.2 % 8.8 % Subordinated, interest-only 284,931 5.34 3.95 1.2 % 10.9 % Agency MBS Residential pass-through 5,045,418 105.07 104.41 3.7 % 2.8 % Commercial pass-through 952,091 102.27 102.28 3.4 % 2.9 % Interest-only 6,722,472 4.17 4.06 0.8 % 3.4 % (1) Bond Equivalent Yield at period end. |
Credit Ratings of Residential Mortgage-Backed Securities | The following table presents the weighted average credit rating, based on the lowest rating available, of the Company’s Non-Agency RMBS portfolio at March 31, 2016 and December 31, 2015. March 31, 2016 December 31, 2015 AAA 0.5 % 0.5 % AA 0.4 % 0.4 % A 0.8 % 0.8 % BBB 0.3 % 0.4 % BB 5.5 % 5.2 % B 3.1 % 3.0 % Below B or not rated 89.4 % 89.7 % Total 100.0 % 100.0 % |
Schedule of Mortgage-Backed Securities by Estimated Weighted Average Life Classification | The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at March 31, 2016 and December 31, 2015 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using an industry prepayment model for the Agency MBS portfolio and the Company’s prepayment assumptions for the Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility. March 31, 2016 dollars in thousands) Weighted Average Life Less than one year Greater than one year and less than five years Greater than five years and less than ten years Greater than ten years Total Fair value Non-Agency RMBS Senior $ 12,108 $ 448,650 $ 1,522,570 $ 763,010 $ 2,746,338 Senior interest-only 960 42,993 125,670 71,479 241,102 Subordinated 2,283 131,400 252,935 196,357 582,975 Subordinated interest-only - - 9,835 - 9,835 Agency MBS Residential - 4,472,082 884,690 - 5,356,772 Commercial - - 30,001 1,095,516 1,125,517 Interest-only - 95,504 77,750 5,746 179,000 Total fair value $ 15,351 $ 5,190,629 $ 2,903,451 $ 2,132,108 $ 10,241,539 Amortized cost Non-Agency RMBS Senior $ 9,885 $ 346,715 $ 1,149,119 $ 551,070 $ 2,056,789 Senior interest-only 1,489 57,358 138,972 71,420 269,239 Subordinated 2,267 103,856 208,015 194,843 508,981 Subordinated interest-only - - 14,918 - 14,918 Agency MBS Residential - 4,449,059 862,920 - 5,311,979 Commercial - - 28,858 1,068,816 1,097,674 Interest-only - 96,642 83,568 5,620 185,830 Total amortized cost $ 13,641 $ 5,053,630 $ 2,486,370 $ 1,891,769 $ 9,445,410 December 31, 2015 (dollars in thousands) Weighted Average Life Less than one year Greater than one year and less than five years Greater than five years and less than ten years Greater than ten years Total Fair value Non-Agency RMBS Senior $ - $ 374,462 $ 1,629,564 $ 822,095 $ 2,826,121 Senior interest-only 1,458 41,862 123,538 67,313 234,171 Subordinated 2,229 108,728 212,003 281,335 604,295 Subordinated interest-only - - 11,254 - 11,254 Agency MBS Residential - 150,357 5,117,491 - 5,267,848 Commercial - - 29,176 944,611 973,787 Interest-only - 106,069 161,413 5,707 273,189 Total fair value $ 3,687 $ 781,478 $ 7,284,439 $ 2,121,060 $ 10,190,665 Amortized cost Non-Agency RMBS Senior $ - $ 281,255 $ 1,235,528 $ 582,077 $ 2,098,860 Senior interest-only 2,440 59,823 135,359 70,893 268,515 Subordinated 2,208 86,728 168,403 270,636 527,975 Subordinated interest-only - - 15,226 - 15,226 Agency MBS Residential - 149,111 5,152,144 - 5,301,255 Commercial - - 29,156 944,580 973,736 Interest-only - 106,708 167,646 5,719 280,073 Total amortized cost $ 4,648 $ 683,625 $ 6,903,462 $ 1,873,905 $ 9,465,640 |
Schedule of Collateral Characteristics of Underlying Mortgages of Non-Agency RMBS Portfolio | The Non-Agency RMBS in the Portfolio have the following collateral characteristics at March 31, 2016 and December 31, 2015. March 31, 2016 December 31, 2015 Weighted average maturity (years) 21.7 22.0 Weighted average amortized loan to value (1) 67.6 % 67.9 % Weighted average FICO (2) 671 671 Weighted average loan balance (in thousands) $ 318 $ 330 Weighted average percentage owner occupied 82.7 % 82.7 % Weighted average percentage single family residence 65.9 % 65.9 % Weighted average current credit enhancement 2.4 % 2.4 % Weighted average geographic concentration of top four states CA 30.6 % CA 30.4 % FL 8.1 % FL 8.0 % NY 8.0 % NY 8.0 % NJ 2.5 % NJ 2.5 % (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. |
Schedule of Percentage of Non-Agency RMBS by Year Originated | The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at March 31, 2016 and December 31, 2015. Origination Year March 31, 2016 December 31, 2015 1998 0.0 % 0.0 % 1999 0.1 % 0.1 % 2000 0.5 % 0.6 % 2001 1.6 % 1.6 % 2002 0.5 % 0.5 % 2003 2.0 % 2.2 % 2004 4.6 % 3.7 % 2005 21.6 % 21.7 % 2006 32.9 % 32.9 % 2007 33.6 % 34.2 % 2008 2.0 % 1.9 % 2013 0.5 % 0.5 % 2014 0.1 % 0.1 % 2015 0.0 % 0.0 % Total 100.0 % 100.0 % |
Schedule of Gains and Losses from Sales of Investments | The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters ended March 31, 2016 and 2015 are as follows: For the Quarter Ended March 31, 2016 March 31, 2015 (dollars in thousands) Proceeds from sales $ 270,479 $ 2,241,617 Gross realized gains 1,695 30,296 Gross realized losses (4,369 ) (731 ) Net realized gain (loss) $ (2,674 ) $ 29,565 |
Securitized Loans Held for In26
Securitized Loans Held for Investment (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Summary of Changes in Carrying Value of Securitized Loans Held for Investment Carried at Fair Value | The following table provides a summary of the changes in the carrying value of securitized loans held for investment at fair value at March 31, 2016 and December 31, 2015: For the Quarter Ended For the Year Ended March 31, 2016 December 31, 2015 (dollars in thousands) Balance, beginning of period (1) $ 4,768,416 $ 5,306,501 Purchases - 577,036 Principal paydowns (145,871 ) (707,996 ) Sales and settlements (892 ) (9,638 ) Net periodic accretion (amortization) (12,456 ) (19,100 ) Change in fair value 4,295 (90,581 ) Transfer due to deconsolidation - (287,806 ) Balance, end of period $ 4,613,492 $ 4,768,416 (1) Includes Securitized loans held for investment of $607 million for which the fair value option election was made beginning January 1, 2015. |
Jumbo Prime Residential Mortgage Loans [Member] | |
Schedule of Percentage of Securitized Loans Held for Investment Carried at Fair Value by Year Originated | The securitized loan portfolio collateralized by jumbo prime residential mortgages was originated during the following years: Origination Year March 31, 2016 December 31, 2015 2004 0.1 % 0.1 % 2007 7.8 % 8.5 % 2008 7.7 % 7.4 % 2009 0.3 % 0.3 % 2010 5.1 % 5.1 % 2011 32.4 % 33.1 % 2012 46.6 % 45.5 % Total 100.0 % 100.0 % |
Schedule of Securitized Loans Held for Investment Carried at Fair Value Key Characteristics of Underlying Collateral | A summary of key characteristics of the loan portfolio collateralized primarily of non-conforming, single family, owner occupied, jumbo, prime mortgages follows: March 31, 2016 December 31, 2015 Number of loans 617 657 Weighted average maturity (years) 25.3 25.5 Weighted average loan to value (1) 70.8 % 70.7 % Weighted average FICO (2) 765 765 Weighted average loan balance (in thousands) $ 678 $ 682 Weighted average percentage owner occupied 95.2 % 94.3 % Weighted average percentage single family residence 70.3 % 70.1 % Weighted average geographic concentration of top five states CA 33.1 % CA 32.4 % VA 6.6 % VA 6.4 % NJ 6.6 % NJ 6.3 % MD 6.2 % MD 6.2 % TX 4.7 % TX 5.1 % (1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. |
Schedule of Securitized Loans Held for Investment Carried at Fair Value Greater Than 30 Days Delinquent | The following table summarizes the outstanding principal balance of the jumbo prime loans which are 30 days delinquent and greater as reported by the servicer at March 31, 2016 and December 31, 2015. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) March 31, 2016 $ 791 $ - $ 2,377 $ - $ 2,323 $ 549 $ 6,040 December 31, 2015 $ 3,079 $ - $ 2,915 $ - $ 2,875 $ 2,312 $ 11,181 |
Seasoned Subprime Residential Mortgage Loans [Member] | |
Schedule of Percentage of Securitized Loans Held for Investment Carried at Fair Value by Year Originated | The securitized loan portfolio collateralized by seasoned sub-prime residential mortgages originated during the following years: Origination Year March 31, 2016 December 31, 2015 2002 and prior 11.1 % 11.2 % 2003 4.0 % 4.0 % 2004 11.1 % 11.1 % 2005 19.3 % 19.3 % 2006 17.4 % 17.4 % 2007 25.5 % 25.4 % 2008 9.5 % 9.5 % 2009 1.1 % 1.1 % 2010 and later 1.0 % 1.0 % Total 100.0 % 100.0 % |
Schedule of Securitized Loans Held for Investment Carried at Fair Value Key Characteristics of Underlying Collateral | A summary of key characteristics of the loan portfolio collateralized by seasoned sub-prime residential mortgages follows: March 31, 2016 December 31, 2015 Number of loans 55,404 56,870 Weighted average maturity (years) 21.3 21.5 Weighted average loan to value (1) 80.7 % 80.7 % Weighted average FICO (1) 624 625 Weighted average loan balance (in thousands) $ 76 $ 76 Weighted average percentage owner occupied 96.0 % 96.0 % Weighted average percentage single family residence 72.6 % 72.5 % Weighted average geographic concentration of top five states CA 8.7 % CA 8.8 % FL 7.2 % FL 7.2 % NC 7.0 % NC 7.1 % VA 6.3 % VA 6.3 % OH 6.1 % OH 6.1 % (1) As provided by the Trustee |
Schedule of Securitized Loans Held for Investment Carried at Fair Value Greater Than 30 Days Delinquent | The following table summarizes the outstanding principal balance of the loan portfolio consisting of seasoned sub-prime residential mortgage loans which are 30 days delinquent and greater as reported by the servicer at March 31, 2016 and December 31, 2015. 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) March 31, 2016 $ 167,399 $ 58,276 $ 141,146 $ 108,996 $ 199,712 $ 46,023 $ 721,552 December 31, 2015 $ 189,816 $ 66,429 $ 125,897 $ 117,308 $ 218,493 $ 36,124 $ 754,067 |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value, Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis | The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at March 31, 2016 and December 31, 2015 is presented below. March 31, 2016 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ - $ - 3,580,250 $ - $ 3,580,250 Agency RMBS, at fair value - 6,661,289 - - 6,661,289 Securitized loans held for investment, at fair value - - 4,613,492 - 4,613,492 Derivatives 115 5,715 - (265 ) 5,565 Liabilities: Securitized debt at fair value, collateralized by loans held for investment - - (3,617,294 ) - (3,617,294 ) Derivatives (2,122 ) (143,122 ) - 131,663 (13,581 ) Total $ (2,007 ) $ 6,523,882 $ 4,576,448 $ 131,398 $ 11,229,721 December 31, 2015 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ - $ - 3,675,841 $ - $ 3,675,841 Agency RMBS, at fair value - 6,514,824 - - 6,514,824 Securitized loans held for investment, at fair value - - 4,768,416 - 4,768,416 Derivatives 1,599 18,987 - (5,126 ) 15,460 Liabilities: Securitized debt at fair value, collateralized by loans held for investment - - (3,720,496 ) - (3,720,496 ) Derivatives (192 ) (57,042 ) - 47,600 (9,634 ) Total $ 1,407 $ 6,476,769 $ 4,723,761 $ 42,474 $ 11,244,411 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The table below provides a summary of the changes in the fair value of securities classified as Level 3 at March 31, 2016 and December 31, 2015. Fair Value Reconciliation, Level 3 For the Quarter Ended March 31, 2016 (dollars in thousands) Non-Agency RMBS Derivatives Securitized Loans Securitized Debt Total Beginning balance Level 3 assets $ 3,675,841 $ - $ 4,768,416 $ (3,720,496 ) $ 4,723,761 Transfers in to Level 3 assets - - - - - Transfers out of Level 3 assets - - - - - Transfer due to consolidation/deconsolidation - - - - - Purchases 41,947 - - (98,263 ) (56,316 ) Principal payments (124,015 ) - (145,871 ) 151,666 (118,220 ) Sales and Settlements (283 ) - (892 ) 45,929 44,754 Accretion (amortization) of purchase discounts 33,125 - (12,456 ) (4,582 ) 16,087 Gains (losses) included in net income Other than temporary credit impairment losses (10,678 ) - - - (10,678 ) Realized gains (losses) on sales and settlements (744 ) - - (1,766 ) (2,510 ) Net unrealized gains (losses) included in income 2,305 - 4,295 10,218 16,818 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (37,248 ) - - - (37,248 ) Ending balance Level 3 assets $ 3,580,250 $ - $ 4,613,492 $ (3,617,294 ) $ 4,576,448 For the Year Ended December 31, 2015 (dollars in thousands) Non-Agency RMBS Derivatives Securitized Loans (1) Securitized Debt Total Beginning balance Level 3 assets $ 3,404,149 $ (71 ) $ 5,306,501 $ (4,383,217 ) $ 4,327,362 Transfers in to Level 3 assets - - - - - Transfers out of Level 3 assets - - - - - Transfer due to consolidation/deconsolidation (59,646 ) - (287,806 ) 243,732 (105,870 ) Purchases 1,045,534 - 577,036 (1,668,654 ) (46,084 ) Principal payments (385,822 ) - (707,996 ) 743,329 (350,489 ) Sales and Settlements (252,532 ) (597 ) (9,638 ) 1,395,292 1,132,526 Accretion (amortization) of purchase discounts 117,836 - (19,100 ) (6,344 ) 94,542 Gains (losses) included in net income Other than temporary credit impairment losses (67,444 ) - - - (67,444 ) Realized gains (losses) on sales and settlements 28,724 443 - (5,930 ) 23,236 Net unrealized gains (losses) included in income (18,874 ) 225 (90,581 ) (38,704 ) (147,934 ) Gains (losses) included in other comprehensive income - - Total unrealized gains (losses) for the period (136,084 ) - - - (136,084 ) Ending balance Level 3 assets $ 3,675,841 $ - $ 4,768,416 $ (3,720,496 ) $ 4,723,761 (1) includes securitized loans held for investment of $607 million for which the fair value option election was made beginning January 1, 2015. |
Fair Value Measurements, Significant Unobservable Inputs, Liabilities | A summary of the significant inputs used to estimate the fair value of securitized debt at fair value as of March 31, 2016 and December 31, 2015 March 31, 2016 Significant Inputs CPR CDR Loss Severity Range Range Range Securitized debt at fair value, collateralized by loans held for investment 4% - 28 % 0% - 3 % 35% - 65 % December 31, 2015 Significant Inputs CPR CDR Loss Severity Range Range Range Securitized debt at fair value, collateralized by loans held for investment 4% - 32 % 0% - 6 % 35% - 65 % |
Fair Value, by Balance Sheet Grouping | The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at March 31, 2016 and December 31, 2015. March 31, 2016 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 (7,545,631 ) (7,561,573 ) Securitized debt, collateralized by Non-Agency RMBS 3 (492,107 ) (483,706 ) December 31, 2015 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 (7,439,339 ) (7,466,409 ) Securitized debt, collateralized by Non-Agency RMBS 3 (529,415 ) (518,941 ) |
Securitized Loans Held for Investment at Fair Value [Member] | |
Fair Value Measurements, Significant Unobservable Inputs, Assets | A summary of the significant inputs used to estimate the fair value of Securitized loans held for investment at fair value as of March 31, 2016 and December 31, 2015 follows: March 31, 2016 December 31, 2015 Significant Inputs Significant Inputs Base Rate Weighted Average/Percent of loan pool Base Rate Weighted Average/Percent of loan pool Factor: Coupon Clean 4.4 % 6.9 % 4.4 % 6.9 % Reperforming 5.3 % 6.6 % 5.3 % 6.7 % FICO 620 624 620 625 Loan-to-value (LTV) 90 % 81 % 90 % 81 % Occupancy Owner Occupied N/ A 96 % N/ A 96 % Investor N/ A 4 % N/ A 4 % Secondary N/ A 0 % N/ A 0 % Property Type Single family N/ A 77 % N/ A 77 % Manufactured housing N/ A 11 % N/ A 11 % Multi-family/mixed use/other N/ A 12 % N/ A 12 % |
Non-Agency RMBS [Member] | |
Fair Value Measurements, Significant Unobservable Inputs, Assets | A summary of the significant inputs used to estimate the fair value of Non-Agency RMBS held for investment at fair value as of March 31, 2016 and December 31, 2015 March 31, 2016 December 31, 2015 Significant Inputs Significant Inputs Weighted Average Discount Rate CPR CDR Loss Severity Weighted Average Discount Rate CPR CDR Loss Severity Range Range Non-Agency RMBS Senior 5.5 % 1% -25 % 0% -22 % 35% -95 % 5.5 % 1% -17 % 0% -22 % 35% -95 % Senior interest-only 14.0 % 2% -26 % 0% -23 % 35% -95 % 13.1 % 3% -25 % 0% -23 % 1% -95 % Subordinated 6.5 % 1% -20 % 0% -20 % 0% -83 % 6.6 % 1% -22 % 0% -20 % 5% -91 % Subordinated interest-only 20.8 % 6% -12 % 0% -11 % 35% -67 % 17.4 % 6% -13 % 0% -10 % 1% -64 % |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Banking and Thrift [Abstract] | |
Schedule of Repurchase Agreements | The repurchase agreements outstanding, weighted average borrowing rates, weighted average remaining maturities, average daily balances and the fair value of collateral pledged as of March 31, 2016 and December 31, 2015 is: March 31, 2016 December 31, 2015 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 5,470,703 $ 5,324,729 Non-agency MBS (in thousands) 2,074,928 2,114,610 Total: $ 7,545,631 $ 7,439,339 Average daily balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 5,419,402 $ 5,776,980 Non-agency MBS (in thousands) 2,077,523 1,627,909 Total: $ 7,496,925 $ 7,404,889 Weighted average borrowing rate of Repurchase agreements secured by: Agency MBS 0.76 % 0.64 % Non-agency MBS 2.69 % 2.44 % Weighted average maturity of Repurchase agreements secured by: Agency MBS 52 Days 53 Days Non-agency MBS 131 Days 137 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 5,810,037 $ 5,655,410 Non-agency MBS (in thousands) 3,111,388 3,117,875 Total: $ 8,921,425 $ 8,773,285 At March 31, 2016 and December 31, 2015, the repurchase agreements collateralized by RMBS had the following remaining maturities. March 31, 2016 December 31, 2015 (dollars in thousands) Overnight $ - $ - 1 to 29 days 2,984,870 3,312,902 30 to 59 days 2,411,954 2,501,513 60 to 89 days 277,324 246,970 90 to 119 days 777,051 430,026 Greater than or equal to 120 days 1,094,432 947,928 Total $ 7,545,631 $ 7,439,339 |
Securitized Debt (Tables)
Securitized Debt (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Schedule of Callable Debt | The following table presents the par value of the callable debt by year at March 31, 2016. March 31, 2016 (dollars in thousands) Year Principal 2016 $ 1,758,206 2017 206,155 2018 1,379,176 Total $ 3,343,537 |
Non-Agency RMBS [Member] | |
Schedule of Maturities of Long-term Debt | The following table presents the estimated principal repayment schedule of the securitized debt at March 31, 2016 and December 31, 2015, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. March 31, 2016 December 31, 2015 (dollars in thousands) Within One Year $ 125,681 $ 137,642 One to Three Years 165,921 178,191 Three to Five Years 53,984 60,872 Greater Than Five Years 46,984 52,280 Total $ 392,570 $ 428,985 |
Loans Held for Investment [Member] | |
Schedule of Maturities of Long-term Debt | The following table presents the estimated principal repayment schedule of the securitized debt at March 31, 2016 and December 31, 2015, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company. March 31, 2016 December 31, 2015 (dollars in thousands) Within One Year $ 125,681 $ 137,642 One to Three Years 165,921 178,191 Three to Five Years 53,984 60,872 Greater Than Five Years 46,984 52,280 Total $ 392,570 $ 428,985 |
Consolidated Securitization V30
Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated Securitization Entities on Financial Condition | The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of March 31, 2016 and December 31, 2015. March 31, 2016 December 31, 2015 (dollars in thousands) Assets Non-Agency RMBS, at fair value $ 2,056,569 $ 2,140,494 Securitized loans held for investment, at fair value 4,613,492 4,768,416 Accrued interest receivable 35,605 35,916 Other Assets 90,257 86,452 Liabilities Securitized debt, collateralized by Non-Agency RMBS $ 492,107 $ 529,415 Securitized debt at fair value, collateralized by loans held for investment 3,617,294 3,720,496 Accrued interest payable 11,945 12,106 |
Schedule of Consolidated Variable Interest Entities Effects on Operating Results | Income and expense and OTTI amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations and Comprehensive Income is presented in the table below. For the Quarter Ended March 31, 2016 March 31, 2015 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 131,980 $ 150,618 Interest expense, Non-recourse liabilities of VIEs 39,250 46,753 Net interest income $ 92,730 $ 103,865 Total other-than-temporary impairment losses $ (233 ) $ (397 ) Portion of loss recognized in other comprehensive income (loss) (7,864 ) (6,888 ) Net other-than-temporary credit impairment losses $ (8,097 ) $ (7,285 ) |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position | The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of March 31, 2016 and December 31, 2015. March 31, 2016 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 3,583,900 Derivatives, at fair value, net $ - Derivatives, at fair value, net $ (6,499 ) Swaptions 749,000 Derivatives, at fair value, net 5,565 Derivatives, at fair value, net (6,652 ) Treasury Futures 814,700 Derivatives, at fair value, net - Derivatives, at fair value, net - Other Derivatives 125,000 Derivatives, at fair value, net - Derivatives, at fair value, net (430 ) Total $ 5,272,600 $ 5,565 $ (13,581 ) December 31, 2015 Derivative Assets Derivative Liabilities Derivative Instruments Notional Amount Outstanding Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value Location on Consolidated Statements of Financial Condition Net Estimated Fair Value/Carrying Value (dollars in thousands) Interest Rate Swaps $ 4,555,400 Derivatives, at fair value, net $ 1,232 Derivatives, at fair value, net $ (6,369 ) Swaptions 779,000 Derivatives, at fair value, net 12,821 Derivatives, at fair value, net (3,265 ) Treasury Futures 752,200 Derivatives, at fair value, net 1,407 Derivatives, at fair value, net - Total $ 6,086,600 $ 15,460 $ (9,634 ) |
Schedule of Derivative Instruments Effects on Operating Results | The effect of the Company’s derivatives on the Consolidated Statements of Operations and Comprehensive Income is presented below. Net gains (losses) on derivatives For the Quarter Ended Derivative Instruments Location on Consolidated Statements of Operations and Comprehensive Income March 31, 2016 March 31, 2015 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ (88,709 ) $ 9,960 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (11,676 ) (83,746 ) Mortgage Options Net unrealized gains (losses) on derivatives - 224 Mortgage Options Net realized gains (losses) on derivatives - 412 Treasury Futures Net unrealized gains (losses) on derivatives (2,985 ) (4,908 ) Treasury Futures Net realized gains (losses) on derivatives (21,610 ) (27,454 ) Swaptions Net unrealized gains (losses) on derivatives (8,987 ) (1,221 ) Swaptions Net realized gains (losses) on derivatives (2,140 ) 144 Other Derivative Assets Net unrealized gains (losses) on derivatives (430 ) - Other Derivative Assets Net realized gains (losses) on derivatives - (21 ) Total $ (136,537 ) $ (106,610 ) (1) Includes loss on termination of interest rate swap of $458 thousand and $69 million for the quarter ended March 31, 2016 and 2015, respectively. |
Common Stock (Tables)
Common Stock (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Equity [Abstract] | |
Schedule of Earnings Per Share | Earnings per share for the quarter ended March 31, 2016, and 2015, respectively, are computed as follows: For the Quarter Ended March 31, 2016 March 31, 2015 (dollars in thousands) Numerator: Net income $ 83,098 $ 67,041 Effect of dilutive securities: - - Dilutive net income available to stockholders $ 83,098 $ 67,041 Denominator: Weighted average basic shares 187,723,472 205,527,476 Effect of dilutive securities 116,710 39,480 Weighted average dilutive shares 187,840,182 205,566,956 Net income per average share attributable to common stockholders - Basic $ 0.44 $ 0.33 Net income per average share attributable to common stockholders - Diluted $ 0.44 $ 0.33 |
Accumulated Other Comprehensi33
Accumulated Other Comprehensive Income (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Equity [Abstract] | |
Schedule of Components of AOCI | The following table presents the changes in the components of Accumulated Other Comprehensive Income (“AOCI”) for the quarters ended March 31, 2016 and 2015: March 31, 2016 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2015 $ 773,791 $ 773,791 OCI before reclassifications 59,408 59,408 Amounts reclassified from AOCI 9,066 9,066 Net current period OCI 68,474 68,474 Balance as of March 31, 2016 $ 842,265 $ 842,265 March 31, 2015 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2014 $ 1,046,680 $ 1,046,680 OCI before reclassifications (19,912 ) (19,912 ) Amounts reclassified from AOCI (21,261 ) (21,261 ) Net current period OCI (41,173 ) (41,173 ) Balance as of March 31, 2015 $ 1,005,507 $ 1,005,507 |
Schedule of Reclassifications from AOCI | The following table presents the details of the reclassifications from AOCI for the quarters ended March 31, 2016 and 2015: March 31, 2016 March 31, 2015 Details about Accumulated OCI Components Amounts Reclassified from Accumulated OCI Amounts Reclassified from Accumulated OCI Affected Line on the Consolidated Statements Of Operations And Comprehensive Income Unrealized gains and losses on available-for-sale securities $ 1,612 $ 29,076 Net realized gains (losses) on sales of investments (10,678 ) (7,815 ) Net other-than-temporary credit impairment losses $ (9,066 ) $ 21,261 Income before income taxes - - Income taxes $ (9,066 ) $ 21,261 Net of tax |
Credit Risk and Interest Rate34
Credit Risk and Interest Rate Risk (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Offsetting [Abstract] | |
Schedule of Assets and Liabilities Subject to Netting Arrangements | The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of March 31, 2016 and December 31, 2015. March 31, 2016 (dollars in thousands) Gross Amounts Not Offset with Financial Gross Amounts of Recognized Gross Amounts Offset in the Consolidated Net Amounts Offset in the Consolidated Assets (Liabilities) in the Consolidated Statements of Financial Position Assets (Liabilities) Statements of Financial Position Statements of Financial Position Financial Instruments Cash Collateral (Received) Pledged (1) Net Amount Repurchase Agreements $ (7,545,631 ) $ - $ (7,545,631 ) $ 8,921,425 $ 18,781 $ 1,394,575 Interest Rate Swaps - Gross Assets 150 (150 ) - - - - Interest Rate Swaps - Gross Liabilities (136,470 ) 129,971 (6,499 ) 8,483 61,501 63,485 Treasury Futures - Gross Assets 115 (115 ) - - 6,377 6,377 Treasury Futures - Gross Liabilities (1,692 ) 1,692 - - - - Swaptions - Gross Assets 5,565 - 5,565 - - 5,565 Swaptions - Gross Liabilities (6,652 ) - (6,652 ) 10,249 - 3,597 Other Derivative Assets (430 ) - (430 ) - - (430 ) Total Liabilities $ (7,685,045 ) $ 131,398 $ (7,553,647 ) $ 8,940,157 $ 86,659 $ 1,473,169 (1) Included in other assets December 31, 2015 (dollars in thousands) Gross Amounts Not Offset with Financial Gross Amounts of Recognized Gross Amounts Offset in the Consolidated Net Amounts Offset in the Consolidated Assets (Liabilities) in the Consolidated Statements of Financial Position Assets (Liabilities) Statements of Financial Position Statements of Financial Position Financial Instruments Cash Collateral (Received) Pledged (1) Net Amount Repurchase Agreements $ (7,439,339 ) $ - $ (7,439,339 ) $ 8,773,285 $ 37,296 $ 1,371,242 Interest Rate Swaps - Gross Assets 6,166 (4,934 ) 1,232 - - 1,232 Interest Rate Swaps - Gross Liabilities (53,777 ) 47,408 (6,369 ) 8,589 51,424 53,644 Treasury Futures 1,599 (192 ) 1,407 - 6,420 7,827 Swaptions - Gross Assets 12,821 - 12,821 - - 12,821 Swaptions - Gross Liabilities (3,265 ) - (3,265 ) - - (3,265 ) Total Liabilities $ (7,475,795 ) $ 42,282 $ (7,433,513 ) $ 8,781,874 $ 95,140 $ 1,443,501 (1) Included in other assets |
Organization - Narrative (Detai
Organization - Narrative (Detail) | 3 Months Ended |
Mar. 31, 2016Subsidiary | |
Related Party Transaction [Line Items] | |
Number of wholly owned direct subsidiaries | 6 |
Contract Termination [Member] | FIDAC [Member] | |
Related Party Transaction [Line Items] | |
Management Agreement termination date | Aug. 5, 2015 |
Significant Accounting Policies
Significant Accounting Policies - Narrative (Detail) - USD ($) | 3 Months Ended | |||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | ||
Summary Of Significant Accounting Policies [Line Items] | ||||
Net unrealized gains (losses) on financial instruments at fair value | $ 16,871,000 | $ (10,425,000) | ||
Non-Agency RMBS, at fair value | 3,580,250,000 | $ 3,675,841,000 | ||
Agency RMBS, at fair value | 6,661,289,000 | 6,514,824,000 | ||
Interest income | [1] | 201,194,000 | 243,145,000 | |
Accrual for income tax penalties and interest | 0 | 0 | ||
Interest-Only RMBS [Member] | ||||
Summary Of Significant Accounting Policies [Line Items] | ||||
Non-Agency RMBS, at fair value | 251,000,000 | 245,000,000 | ||
Agency RMBS, at fair value | 179,000,000 | 273,000,000 | ||
Interest-Only RMBS [Member] | Residential Mortgage-Backed Securities [Member] | ||||
Summary Of Significant Accounting Policies [Line Items] | ||||
Interest income | 12,000,000 | $ 13,000,000 | ||
Non-Agency RMBS, Fair Value Option [Member] | ||||
Summary Of Significant Accounting Policies [Line Items] | ||||
Non-Agency RMBS, at fair value | 16,000,000 | 20,000,000 | ||
Other Assets [Member] | ||||
Summary Of Significant Accounting Policies [Line Items] | ||||
Total REO assets | 19,000,000 | $ 18,000,000 | ||
Real Estate Owned ("REO") [Member] | ||||
Summary Of Significant Accounting Policies [Line Items] | ||||
Net unrealized gains (losses) on financial instruments at fair value | $ 8,000,000 | |||
[1] | Includes interest income of consolidated VIEs of $131,980 and $150,618 for the quarters ended March 31, 2016 and 2015 respectively. See Note 8 for further discussion. |
Mortgage-Backed Securities - Su
Mortgage-Backed Securities - Summary (Detail) - Residential Mortgage-Backed Securities [Member] - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Investment Holdings [Line Items] | ||
Principal or Notional Value | $ 20,078,557 | $ 22,845,276 |
Total Premium | 768,970 | 868,410 |
Total Discount | (1,768,301) | (1,814,615) |
Amortized Cost | 9,445,410 | 9,465,640 |
Fair Value | 10,241,539 | 10,190,665 |
Gross Unrealized Gains | 879,752 | 867,512 |
Gross Unrealized Losses | (83,623) | (142,490) |
Net Unrealized Gain/(Loss) | 796,129 | 725,022 |
Non-Agency RMBS - Senior interest-only [Member] | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 5,343,042 | 5,426,029 |
Total Premium | 269,239 | 268,515 |
Amortized Cost | 269,239 | 268,515 |
Fair Value | 241,102 | 234,171 |
Gross Unrealized Gains | 20,674 | 18,113 |
Gross Unrealized Losses | (48,811) | (52,457) |
Net Unrealized Gain/(Loss) | (28,137) | (34,344) |
Non-Agency RMBS - Subordinated [Member] | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 735,699 | 762,466 |
Total Premium | 22,055 | 23,635 |
Total Discount | (248,773) | (258,128) |
Amortized Cost | 508,981 | 527,975 |
Fair Value | 582,975 | 604,295 |
Gross Unrealized Gains | 83,670 | 83,896 |
Gross Unrealized Losses | (9,676) | (7,577) |
Net Unrealized Gain/(Loss) | 73,994 | 76,319 |
Non-Agency RMBS - Subordinated interest-only [Member] | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 279,620 | 284,931 |
Total Premium | 14,918 | 15,226 |
Amortized Cost | 14,918 | 15,226 |
Fair Value | 9,835 | 11,254 |
Gross Unrealized Gains | 11 | 62 |
Gross Unrealized Losses | (5,094) | (4,035) |
Net Unrealized Gain/(Loss) | (5,083) | (3,973) |
Agency MBS - Residential [Member] | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 5,063,355 | 5,045,418 |
Total Premium | 248,624 | 255,837 |
Amortized Cost | 5,311,979 | 5,301,255 |
Fair Value | 5,356,772 | 5,267,848 |
Gross Unrealized Gains | 46,678 | 18,593 |
Gross Unrealized Losses | (1,885) | (52,001) |
Net Unrealized Gain/(Loss) | 44,793 | (33,408) |
Agency MBS - Commercial [Member] | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 1,072,937 | 952,091 |
Total Premium | 27,991 | 24,815 |
Total Discount | (3,254) | (3,170) |
Amortized Cost | 1,097,674 | 973,736 |
Fair Value | 1,125,517 | 973,787 |
Gross Unrealized Gains | 29,868 | 8,052 |
Gross Unrealized Losses | (2,025) | (8,001) |
Net Unrealized Gain/(Loss) | 27,843 | 51 |
Agency MBS - Interest-only [Member] | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 4,011,154 | 6,722,472 |
Total Premium | 185,830 | 280,073 |
Amortized Cost | 185,830 | 280,073 |
Fair Value | 179,000 | 273,189 |
Gross Unrealized Gains | 2,391 | 2,756 |
Gross Unrealized Losses | (9,221) | (9,640) |
Net Unrealized Gain/(Loss) | (6,830) | (6,884) |
Non-Agency RMBS - Senior [Member] | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 3,572,750 | 3,651,869 |
Total Premium | 309 | |
Total Discount | (1,553,317) | |
Amortized Cost | 2,056,789 | 2,098,860 |
Fair Value | 2,746,338 | 2,826,121 |
Gross Unrealized Gains | 696,460 | 736,040 |
Gross Unrealized Losses | $ (6,911) | (8,779) |
Net Unrealized Gain/(Loss) | $ 727,261 |
Mortgage-Backed Securities - Ac
Mortgage-Backed Securities - Accretable Yield (Detail) - Available-for-sale Securities [Member] - Non-Agency RMBS Having Deteriorated Credit When Acquired [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Investment Holdings [Line Items] | ||
Balance at beginning of period | $ 1,742,744 | $ 1,534,497 |
Purchases | 20,183 | 84,753 |
Accretion | (36,353) | (69,705) |
Reclassification (to) from non-accretable difference | (33) | 7,182 |
Sales and deconsolidation | (19,865) | |
Balance at end of period | $ 1,726,541 | $ 1,536,862 |
Mortgage-Backed Securities - No
Mortgage-Backed Securities - Non-Agency Securities Having Deteriorated Credit When Acquired (Detail) - Non-Agency RMBS Having Deteriorated Credit When Acquired [Member] - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 |
Investment Holdings [Line Items] | |||
Loans acquired having deteriorated credit, carrying value | $ 1,937,419 | $ 1,958,726 | $ 1,741,780 |
Loans acquired having deteriorated credit, outstanding principal | $ 3,490,858 | $ 3,550,698 | $ 3,325,335 |
Mortgage-Backed Securities - Un
Mortgage-Backed Securities - Unrealized Loss Positions (Detail) - Residential Mortgage-Backed Securities [Member] $ in Thousands | Mar. 31, 2016USD ($)Security | Dec. 31, 2015USD ($)Security |
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 1,015,204 | $ 5,477,895 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (29,125) | $ (92,223) |
Number of Securities of RMBS in continuous loss position for less than 12 months | Security | 241 | 406 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | $ 527,288 | $ 403,312 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | $ (54,498) | $ (50,267) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | Security | 91 | 64 |
Estimated fair value of RMBS in continuous loss position | $ 1,542,492 | $ 5,881,207 |
Unrealized losses on RMBS in continuous loss position | $ (83,623) | $ (142,490) |
Number of Securities in continuous loss position | Security | 332 | 470 |
Non-Agency RMBS - Senior [Member] | ||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 222,228 | $ 294,520 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (6,911) | $ (8,779) |
Number of Securities of RMBS in continuous loss position for less than 12 months | Security | 17 | 20 |
Estimated fair value of RMBS in continuous loss position | $ 222,228 | $ 294,520 |
Unrealized losses on RMBS in continuous loss position | $ (6,911) | $ (8,779) |
Number of Securities in continuous loss position | Security | 17 | 20 |
Non-Agency RMBS - Senior interest-only [Member] | ||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 37,913 | $ 81,919 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (6,974) | $ (18,715) |
Number of Securities of RMBS in continuous loss position for less than 12 months | Security | 51 | 83 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | $ 81,263 | $ 64,058 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | $ (41,837) | $ (33,742) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | Security | 67 | 47 |
Estimated fair value of RMBS in continuous loss position | $ 119,176 | $ 145,977 |
Unrealized losses on RMBS in continuous loss position | $ (48,811) | $ (52,457) |
Number of Securities in continuous loss position | Security | 118 | 130 |
Non-Agency RMBS - Subordinated [Member] | ||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 102,464 | $ 138,257 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (8,616) | $ (7,577) |
Number of Securities of RMBS in continuous loss position for less than 12 months | Security | 18 | 22 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | $ 378 | |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | $ (1,060) | |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | Security | 2 | |
Estimated fair value of RMBS in continuous loss position | $ 102,842 | $ 138,257 |
Unrealized losses on RMBS in continuous loss position | $ (9,676) | $ (7,577) |
Number of Securities in continuous loss position | Security | 20 | 22 |
Non-Agency RMBS - Subordinated interest-only [Member] | ||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 6,415 | $ 6,455 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (1,337) | $ (1,039) |
Number of Securities of RMBS in continuous loss position for less than 12 months | Security | 2 | 1 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | $ 2,835 | $ 3,635 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | $ (3,757) | $ (2,996) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | Security | 2 | 2 |
Estimated fair value of RMBS in continuous loss position | $ 9,250 | $ 10,090 |
Unrealized losses on RMBS in continuous loss position | $ (5,094) | $ (4,035) |
Number of Securities in continuous loss position | Security | 4 | 3 |
Agency MBS - Residential [Member] | ||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 426,817 | $ 4,468,717 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (484) | $ (44,687) |
Number of Securities of RMBS in continuous loss position for less than 12 months | Security | 12 | 116 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | $ 369,783 | $ 290,926 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | $ (1,401) | $ (7,314) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | Security | 3 | 4 |
Estimated fair value of RMBS in continuous loss position | $ 796,600 | $ 4,759,643 |
Unrealized losses on RMBS in continuous loss position | $ (1,885) | $ (52,001) |
Number of Securities in continuous loss position | Security | 15 | 120 |
Agency MBS - Commercial [Member] | ||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 151,973 | $ 393,058 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (1,122) | $ (7,969) |
Number of Securities of RMBS in continuous loss position for less than 12 months | Security | 114 | 140 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | $ 35,598 | $ 4,986 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | $ (903) | $ (32) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | Security | 9 | 4 |
Estimated fair value of RMBS in continuous loss position | $ 187,571 | $ 398,044 |
Unrealized losses on RMBS in continuous loss position | $ (2,025) | $ (8,001) |
Number of Securities in continuous loss position | Security | 123 | 144 |
Agency MBS - Interest-only [Member] | ||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 67,394 | $ 94,969 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (3,681) | $ (3,457) |
Number of Securities of RMBS in continuous loss position for less than 12 months | Security | 27 | 24 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | $ 37,431 | $ 39,707 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | $ (5,540) | $ (6,183) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | Security | 8 | 7 |
Estimated fair value of RMBS in continuous loss position | $ 104,825 | $ 134,676 |
Unrealized losses on RMBS in continuous loss position | $ (9,221) | $ (9,640) |
Number of Securities in continuous loss position | Security | 35 | 31 |
Mortgage-Backed Securities - In
Mortgage-Backed Securities - Investment Holdings - Narrative (Detail) - USD ($) | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Alt-A [Member] | |||
Investment Holdings [Line Items] | |||
Alt-A collateral characteristics | The Company defines Alt-A mortgage securities as Non-Agency RMBS where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) for instances where FICO scores are greater than 720, RMBS have 30% or less of the underlying collateral composed of full documentation loans. | ||
Interest-Only RMBS [Member] | |||
Investment Holdings [Line Items] | |||
Interest-only RMBS, net unrealized gain (loss) | $ (40,000,000) | $ (45,000,000) | |
Interest-only RMBS, amortized cost | 470,000,000 | 564,000,000 | |
Interest-only RMBS, fair value | 430,000,000 | 519,000,000 | |
Agency RMBS - Pass-through [Member] | |||
Investment Holdings [Line Items] | |||
Gross unrealized loss | 4,000,000 | 60,000,000 | |
Non-Agency RMBS [Member] | |||
Investment Holdings [Line Items] | |||
Gross unrealized loss | $ 17,000,000 | $ 16,000,000 | |
Non-Agency RMBS Deemed To Be Equivalent To Alt-A Quality [Member] | |||
Investment Holdings [Line Items] | |||
Percentage in Alt-A collateral | 66.00% | 64.00% | |
Non Agency Residential MBS Deemed To Be Equivalent To Prime Quality [Member] | |||
Investment Holdings [Line Items] | |||
Percentage in prime collateral | 18.00% | 17.00% | |
Re-REMIC Security [Member] | |||
Investment Holdings [Line Items] | |||
Fair value of securities exchanged | $ 0 | $ 7,000,000 | |
Gain on exchange of securities | $ 3,000,000 |
Mortgage-Backed Securities - Ag
Mortgage-Backed Securities - Aggregate Other Than Temporary Impairments (Detail) - Residential Mortgage-Backed Securities [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Total other-than-temporary impairment losses | $ (4,423) | $ (1,052) |
Portion of loss recognized in other comprehensive income | (6,255) | (6,763) |
Net other-than-temporary credit impairment losses | $ (10,678) | $ (7,815) |
Mortgage-Backed Securities - 43
Mortgage-Backed Securities - Non-Agency Securities Credit Losses (Detail) - Non-Agency RMBS [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Investment Holdings [Line Items] | ||
Cumulative credit loss beginning balance | $ 529,112 | $ 507,548 |
Other-than-temporary impairments not previously recognized | 10,326 | 7,815 |
Reductions for securities sold or deconsolidated during the period | (242) | (1,319) |
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | 352 | |
Reductions for increases in cash flows expected to be collected over the remaining life of the securities | (172) | (158) |
Cumulative credit impairment loss ending balance | $ 539,376 | $ 513,886 |
Mortgage-Backed Securities - OT
Mortgage-Backed Securities - OTTI - Significant Inputs and Assumptions (Detail) - Non-Agency RMBS [Member] | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Weighted Average [Member] | |||
Investment Holdings [Line Items] | |||
Loss Severity | 58.00% | 69.00% | |
60+ days delinquent | 20.00% | 22.00% | |
Credit Enhancement | [1] | 28.00% | 10.00% |
3 Month CPR | 5.00% | 8.00% | |
12 Month CPR | 4.00% | 8.00% | |
Minimum [Member] | |||
Investment Holdings [Line Items] | |||
Loss Severity | 44.00% | 51.00% | |
60+ days delinquent | 0.00% | 15.00% | |
Credit Enhancement | [1] | 0.00% | 0.00% |
3 Month CPR | 0.00% | 5.00% | |
12 Month CPR | 4.00% | 3.00% | |
Maximum [Member] | |||
Investment Holdings [Line Items] | |||
Loss Severity | 79.00% | 78.00% | |
60+ days delinquent | 40.00% | 33.00% | |
Credit Enhancement | [1] | 100.00% | 18.00% |
3 Month CPR | 19.00% | 15.00% | |
12 Month CPR | 21.00% | 16.00% | |
[1] | Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures. |
Mortgage-Backed Securities - Gr
Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Detail) - Residential Mortgage-Backed Securities [Member] - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | $ 854,349 | $ 844,273 |
Gross Unrealized Gain Included in Accumulated Deficit | 25,403 | 23,240 |
Total Gross Unrealized Gain | 879,752 | 867,512 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (12,083) | (70,752) |
Gross Unrealized Loss Included in Accumulated Deficit | (71,540) | (71,738) |
Total Gross Unrealized Loss | (83,623) | (142,490) |
Non-Agency RMBS - Senior [Member] | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 696,460 | 736,040 |
Total Gross Unrealized Gain | 696,460 | 736,040 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (6,911) | (8,779) |
Total Gross Unrealized Loss | (6,911) | (8,779) |
Non-Agency RMBS - Senior interest-only [Member] | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Deficit | 20,674 | 18,113 |
Total Gross Unrealized Gain | 20,674 | 18,113 |
Gross Unrealized Loss Included in Accumulated Deficit | (48,811) | (52,457) |
Total Gross Unrealized Loss | (48,811) | (52,457) |
Non-Agency RMBS - Subordinated [Member] | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 81,343 | 81,588 |
Gross Unrealized Gain Included in Accumulated Deficit | 2,327 | 2,309 |
Total Gross Unrealized Gain | 83,670 | 83,896 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (1,262) | (1,971) |
Gross Unrealized Loss Included in Accumulated Deficit | (8,414) | (5,606) |
Total Gross Unrealized Loss | (9,676) | (7,577) |
Non-Agency RMBS - Subordinated interest-only [Member] | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Deficit | 11 | 62 |
Total Gross Unrealized Gain | 11 | 62 |
Gross Unrealized Loss Included in Accumulated Deficit | (5,094) | (4,035) |
Total Gross Unrealized Loss | (5,094) | (4,035) |
Agency MBS - Residential [Member] | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 46,678 | 18,593 |
Total Gross Unrealized Gain | 46,678 | 18,593 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (1,885) | (52,001) |
Total Gross Unrealized Loss | (1,885) | (52,001) |
Agency MBS - Commercial [Member] | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 29,868 | 8,052 |
Total Gross Unrealized Gain | 29,868 | 8,052 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (2,025) | (8,001) |
Total Gross Unrealized Loss | (2,025) | (8,001) |
Agency MBS - Interest-only [Member] | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Deficit | 2,391 | 2,756 |
Total Gross Unrealized Gain | 2,391 | 2,756 |
Gross Unrealized Loss Included in Accumulated Deficit | (9,221) | (9,640) |
Total Gross Unrealized Loss | $ (9,221) | $ (9,640) |
Mortgage-Backed Securities - Co
Mortgage-Backed Securities - Collateral Characteristics (Detail) - Residential Mortgage-Backed Securities [Member] $ in Thousands | Mar. 31, 2016USD ($)$ / Security | Dec. 31, 2015USD ($)$ / Security | |
Investment Holdings [Line Items] | |||
Principal or Notional Value at Period-End | $ | $ 20,078,557 | $ 22,845,276 | |
Non-Agency RMBS - Senior [Member] | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value at Period-End | $ | $ 3,572,750 | $ 3,651,869 | |
Weighted Average Amortized Cost Basis | 57.57 | 57.47 | |
Weighted Average Fair Value | 76.87 | 77.39 | |
Weighted Average Coupon | 3.90% | 3.80% | |
Weighted Average Yield at Period-End | [1] | 14.30% | 13.70% |
Non-Agency RMBS - Senior interest-only [Member] | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value at Period-End | $ | $ 5,343,042 | $ 5,426,029 | |
Weighted Average Amortized Cost Basis | 5.04 | 4.95 | |
Weighted Average Fair Value | 4.51 | 4.32 | |
Weighted Average Coupon | 1.70% | 1.70% | |
Weighted Average Yield at Period-End | [1] | 12.50% | 12.90% |
Non-Agency RMBS - Subordinated [Member] | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value at Period-End | $ | $ 735,699 | $ 762,466 | |
Weighted Average Amortized Cost Basis | 69.18 | 69.25 | |
Weighted Average Fair Value | 79.24 | 79.26 | |
Weighted Average Coupon | 3.20% | 3.20% | |
Weighted Average Yield at Period-End | [1] | 10.10% | 8.80% |
Non-Agency RMBS - Subordinated interest-only [Member] | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value at Period-End | $ | $ 279,620 | $ 284,931 | |
Weighted Average Amortized Cost Basis | 5.34 | 5.34 | |
Weighted Average Fair Value | 3.52 | 3.95 | |
Weighted Average Coupon | 1.20% | 1.20% | |
Weighted Average Yield at Period-End | [1] | 12.50% | 10.90% |
Agency MBS - Residential [Member] | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value at Period-End | $ | $ 5,063,355 | $ 5,045,418 | |
Weighted Average Amortized Cost Basis | 104.91 | 105.07 | |
Weighted Average Fair Value | 105.79 | 104.41 | |
Weighted Average Coupon | 3.70% | 3.70% | |
Weighted Average Yield at Period-End | [1] | 2.70% | 2.80% |
Agency MBS - Commercial [Member] | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value at Period-End | $ | $ 1,072,937 | $ 952,091 | |
Weighted Average Amortized Cost Basis | 102.31 | 102.27 | |
Weighted Average Fair Value | 104.90 | 102.28 | |
Weighted Average Coupon | 3.50% | 3.40% | |
Weighted Average Yield at Period-End | [1] | 2.90% | 2.90% |
Agency MBS - Interest-only [Member] | |||
Investment Holdings [Line Items] | |||
Principal or Notional Value at Period-End | $ | $ 4,011,154 | $ 6,722,472 | |
Weighted Average Amortized Cost Basis | 4.63 | 4.17 | |
Weighted Average Fair Value | 4.46 | 4.06 | |
Weighted Average Coupon | 0.90% | 0.80% | |
Weighted Average Yield at Period-End | [1] | 3.70% | 3.40% |
[1] | Bond Equivalent Yield at period end. |
Mortgage-Backed Securities - Cr
Mortgage-Backed Securities - Credit Ratings (Detail) - Non-Agency RMBS [Member] | Mar. 31, 2016 | Dec. 31, 2015 |
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 100.00% | 100.00% |
AAA Credit Rating [Member] | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.50% | 0.50% |
AA Credit Rating [Member] | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.40% | 0.40% |
A Credit Rating [Member] | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.80% | 0.80% |
BBB Credit Rating [Member] | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.30% | 0.40% |
BB Credit Rating [Member] | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 5.50% | 5.20% |
B Credit Rating [Member] | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 3.10% | 3.00% |
Below B or Not Rated Credit Rating [Member] | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 89.40% | 89.70% |
Mortgage-Backed Securities - Ma
Mortgage-Backed Securities - Maturities (Detail) - Residential Mortgage-Backed Securities [Member] - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less than one year, at amortized cost | $ 13,641 | $ 4,648 |
Greater than one year and less than five years, at amortized cost | 5,053,630 | 683,625 |
Greater than five years and less than ten years, at amortized cost | 2,486,370 | 6,903,462 |
Greater than ten years, at amortized cost | 1,891,769 | 1,873,905 |
Amortized Cost | 9,445,410 | 9,465,640 |
Less than one year, at fair value | 15,351 | 3,687 |
Greater than one year and less than five years, at fair value | 5,190,629 | 781,478 |
Greater than five years and less than ten years, at fair value | 2,903,451 | 7,284,439 |
Greater than ten years, at fair value | 2,132,108 | 2,121,060 |
Total maturities, at fair value | 10,241,539 | 10,190,665 |
Non-Agency RMBS - Senior [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than one year, at amortized cost | 9,885 | |
Greater than one year and less than five years, at amortized cost | 346,715 | 281,255 |
Greater than five years and less than ten years, at amortized cost | 1,149,119 | 1,235,528 |
Greater than ten years, at amortized cost | 551,070 | 582,077 |
Amortized Cost | 2,056,789 | 2,098,860 |
Less than one year, at fair value | 12,108 | |
Greater than one year and less than five years, at fair value | 448,650 | 374,462 |
Greater than five years and less than ten years, at fair value | 1,522,570 | 1,629,564 |
Greater than ten years, at fair value | 763,010 | 822,095 |
Total maturities, at fair value | 2,746,338 | 2,826,121 |
Non-Agency RMBS - Senior interest-only [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than one year, at amortized cost | 1,489 | 2,440 |
Greater than one year and less than five years, at amortized cost | 57,358 | 59,823 |
Greater than five years and less than ten years, at amortized cost | 138,972 | 135,359 |
Greater than ten years, at amortized cost | 71,420 | 70,893 |
Amortized Cost | 269,239 | 268,515 |
Less than one year, at fair value | 960 | 1,458 |
Greater than one year and less than five years, at fair value | 42,993 | 41,862 |
Greater than five years and less than ten years, at fair value | 125,670 | 123,538 |
Greater than ten years, at fair value | 71,479 | 67,313 |
Total maturities, at fair value | 241,102 | 234,171 |
Non-Agency RMBS - Subordinated [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than one year, at amortized cost | 2,267 | 2,208 |
Greater than one year and less than five years, at amortized cost | 103,856 | 86,728 |
Greater than five years and less than ten years, at amortized cost | 208,015 | 168,403 |
Greater than ten years, at amortized cost | 194,843 | 270,636 |
Amortized Cost | 508,981 | 527,975 |
Less than one year, at fair value | 2,283 | 2,229 |
Greater than one year and less than five years, at fair value | 131,400 | 108,728 |
Greater than five years and less than ten years, at fair value | 252,935 | 212,003 |
Greater than ten years, at fair value | 196,357 | 281,335 |
Total maturities, at fair value | 582,975 | 604,295 |
Non-Agency RMBS - Subordinated interest-only [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Greater than five years and less than ten years, at amortized cost | 14,918 | 15,226 |
Amortized Cost | 14,918 | 15,226 |
Greater than five years and less than ten years, at fair value | 9,835 | 11,254 |
Total maturities, at fair value | 9,835 | 11,254 |
Agency MBS - Residential [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Greater than one year and less than five years, at amortized cost | 4,449,059 | 149,111 |
Greater than five years and less than ten years, at amortized cost | 862,920 | 5,152,144 |
Amortized Cost | 5,311,979 | 5,301,255 |
Greater than one year and less than five years, at fair value | 4,472,082 | 150,357 |
Greater than five years and less than ten years, at fair value | 884,690 | 5,117,491 |
Total maturities, at fair value | 5,356,772 | 5,267,848 |
Agency MBS - Commercial [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Greater than five years and less than ten years, at amortized cost | 28,858 | 29,156 |
Greater than ten years, at amortized cost | 1,068,816 | 944,580 |
Amortized Cost | 1,097,674 | 973,736 |
Greater than five years and less than ten years, at fair value | 30,001 | 29,176 |
Greater than ten years, at fair value | 1,095,516 | 944,611 |
Total maturities, at fair value | 1,125,517 | 973,787 |
Agency MBS - Interest-only [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Greater than one year and less than five years, at amortized cost | 96,642 | 106,708 |
Greater than five years and less than ten years, at amortized cost | 83,568 | 167,646 |
Greater than ten years, at amortized cost | 5,620 | 5,719 |
Amortized Cost | 185,830 | 280,073 |
Greater than one year and less than five years, at fair value | 95,504 | 106,069 |
Greater than five years and less than ten years, at fair value | 77,750 | 161,413 |
Greater than ten years, at fair value | 5,746 | 5,707 |
Total maturities, at fair value | $ 179,000 | $ 273,189 |
Mortgage-Backed Securities - Ge
Mortgage-Backed Securities - Geographical and Other Statistics (Detail) - Non-Agency RMBS [Member] $ in Thousands | Mar. 31, 2016USD ($)Point | Dec. 31, 2015USD ($)Point | |
Investment Holdings [Line Items] | |||
Weighted average maturity | 21 years 8 months 12 days | 22 years | |
Weighted average amortized loan to value | [1] | 67.60% | 67.90% |
Weighted average FICO | Point | [2] | 671 | 671 |
Weighted average loan balance | $ | $ 318 | $ 330 | |
Weighted average percentage owner occupied | 82.70% | 82.70% | |
Weighted average percentage single family residence | 65.90% | 65.90% | |
Weighted average current credit enhancement | 2.40% | 2.40% | |
California [Member] | |||
Investment Holdings [Line Items] | |||
Weighted average geographic concentration | 30.60% | 30.40% | |
Florida [Member] | |||
Investment Holdings [Line Items] | |||
Weighted average geographic concentration | 8.10% | 8.00% | |
New York [Member] | |||
Investment Holdings [Line Items] | |||
Weighted average geographic concentration | 8.00% | 8.00% | |
New Jersey [Member] | |||
Investment Holdings [Line Items] | |||
Weighted average geographic concentration | 2.50% | 2.50% | |
[1] | Value represents appraised value of the collateral at the time of loan origination. | ||
[2] | FICO as determined at the time of loan origination. |
Mortgage-Backed Securities - Ye
Mortgage-Backed Securities - Year Originated (Detail) - Non-Agency RMBS [Member] | Mar. 31, 2016 | Dec. 31, 2015 |
Origination Year as a Percentage of Outstanding Principal Balance: | ||
1,998 | 0.00% | 0.00% |
1,999 | 0.10% | 0.10% |
2,000 | 0.50% | 0.60% |
2,001 | 1.60% | 1.60% |
2,002 | 0.50% | 0.50% |
2,003 | 2.00% | 2.20% |
2,004 | 4.60% | 3.70% |
2,005 | 21.60% | 21.70% |
2,006 | 32.90% | 32.90% |
2,007 | 33.60% | 34.20% |
2,008 | 2.00% | 1.90% |
2,013 | 0.50% | 0.50% |
2,014 | 0.10% | 0.10% |
2,015 | 0.00% | 0.00% |
Total | 100.00% | 100.00% |
Mortgage-Backed Securities - Ga
Mortgage-Backed Securities - Gains and Losses from Sales of Investments (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Investment Holdings [Line Items] | ||
Net realized gain (loss) | $ (2,674) | $ 29,565 |
Residential Mortgage-Backed Securities [Member] | ||
Investment Holdings [Line Items] | ||
Proceeds from sales | 270,479 | 2,241,617 |
Gross realized gains | 1,695 | 30,296 |
Gross realized losses | $ (4,369) | $ (731) |
Securitized Loans Held for In52
Securitized Loans Held for Investment - Roll-Forward (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] - Securitized Loans Held for Investment at Fair Value [Member] - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Balance, beginning of period | $ 4,768,416 | $ 5,306,501 | [1] |
Purchases | 577,036 | ||
Principal paydowns | (145,871) | (707,996) | |
Sales and Settlements | (892) | (9,638) | |
Net periodic accretion (amortization) | (12,456) | (19,100) | |
Change in fair value | 4,295 | (90,581) | |
Transfer due to deconsolidation | (287,806) | ||
Balance, end of period | $ 4,613,492 | $ 4,768,416 | |
[1] | Includes Securitized loans held for investment of $607 million for which the fair value option election was made beginning January 1, 2015. |
Securitized Loans Held for In53
Securitized Loans Held for Investment - Roll-Forward (Parenthetical) (Detail) $ in Millions | Dec. 31, 2014USD ($) |
Securitized Loans Held for Investment, Fair Value Option [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |
Securitized loans held for investment, at fair value | $ 607 |
Securitized Loans Held for In54
Securitized Loans Held for Investment - Year Originated (Detail) - Securitized Loans Held for Investment at Fair Value [Member] | Mar. 31, 2016 | Dec. 31, 2015 |
Jumbo Prime Residential Mortgage Loans [Member] | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
2,004 | 0.10% | 0.10% |
2,007 | 7.80% | 8.50% |
2,008 | 7.70% | 7.40% |
2,009 | 0.30% | 0.30% |
2,010 | 5.10% | 5.10% |
2,011 | 32.40% | 33.10% |
2,012 | 46.60% | 45.50% |
Total | 100.00% | 100.00% |
Seasoned Subprime Residential Mortgage Loans [Member] | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
2002 and prior | 11.10% | 11.20% |
2,003 | 4.00% | 4.00% |
2,004 | 11.10% | 11.10% |
2,005 | 19.30% | 19.30% |
2,006 | 17.40% | 17.40% |
2,007 | 25.50% | 25.40% |
2,008 | 9.50% | 9.50% |
2,009 | 1.10% | 1.10% |
2010 and later | 1.00% | 1.00% |
Total | 100.00% | 100.00% |
Securitized Loans Held for In55
Securitized Loans Held for Investment - Collateral Characteristics (Detail) - Securitized Loans Held for Investment at Fair Value [Member] $ in Thousands | Mar. 31, 2016USD ($)PointLoan | Dec. 31, 2015USD ($)PointLoan | |
Jumbo Prime Residential Mortgage Loans [Member] | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | Loan | 617 | 657 | |
Weighted average maturity | 25 years 3 months 18 days | 25 years 6 months | |
Weighted average loan to value | [1] | 70.80% | 70.70% |
Weighted average FICO | Point | [2] | 765 | 765 |
Weighted average loan balance | $ | $ 678 | $ 682 | |
Weighted average percentage owner occupied | 95.20% | 94.30% | |
Weighted average percentage single family residence | 70.30% | 70.10% | |
Seasoned Subprime Residential Mortgage Loans [Member] | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | Loan | 55,404 | 56,870 | |
Weighted average maturity | 21 years 3 months 18 days | 21 years 6 months | |
Weighted average loan to value | [3] | 8070.00% | 8070.00% |
Weighted average FICO | Point | [3] | 624 | 625 |
Weighted average loan balance | $ | $ 76 | $ 76 | |
Weighted average percentage owner occupied | 96.00% | 96.00% | |
Weighted average percentage single family residence | 72.60% | 72.50% | |
California [Member] | Jumbo Prime Residential Mortgage Loans [Member] | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Weighted average geographic concentration | 33.10% | 32.40% | |
California [Member] | Seasoned Subprime Residential Mortgage Loans [Member] | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Weighted average geographic concentration | 8.70% | 8.80% | |
Virginia [Member] | Jumbo Prime Residential Mortgage Loans [Member] | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Weighted average geographic concentration | 6.60% | 6.40% | |
Virginia [Member] | Seasoned Subprime Residential Mortgage Loans [Member] | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Weighted average geographic concentration | 6.30% | 6.30% | |
New Jersey [Member] | Jumbo Prime Residential Mortgage Loans [Member] | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Weighted average geographic concentration | 6.60% | 6.30% | |
Maryland [Member] | Jumbo Prime Residential Mortgage Loans [Member] | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Weighted average geographic concentration | 6.20% | 6.20% | |
Texas [Member] | Jumbo Prime Residential Mortgage Loans [Member] | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Weighted average geographic concentration | 4.70% | 5.10% | |
Florida [Member] | Seasoned Subprime Residential Mortgage Loans [Member] | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Weighted average geographic concentration | 7.20% | 7.20% | |
North Carolina [Member] | Seasoned Subprime Residential Mortgage Loans [Member] | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Weighted average geographic concentration | 7.00% | 7.10% | |
Ohio [Member] | Seasoned Subprime Residential Mortgage Loans [Member] | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Weighted average geographic concentration | 6.10% | 6.10% | |
[1] | Value represents appraised value of the collateral at the time of loan origination. | ||
[2] | FICO as determined at the time of loan origination. | ||
[3] | As provided by the Trustee |
Securitized Loans Held for In56
Securitized Loans Held for Investment - Aging (Detail) - Securitized Loans Held for Investment at Fair Value [Member] - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Jumbo Prime Residential Mortgage Loans [Member] | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
30 Days Delinquent | $ 791 | $ 3,079 |
90+ Days Delinquent | 2,377 | 2,915 |
Foreclosure | 2,323 | 2,875 |
REO | 549 | 2,312 |
Total | 6,040 | 11,181 |
Seasoned Subprime Residential Mortgage Loans [Member] | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
30 Days Delinquent | 167,399 | 189,816 |
60 Days Delinquent | 58,276 | 66,429 |
90+ Days Delinquent | 141,146 | 125,897 |
Bankruptcy | 108,996 | 117,308 |
Foreclosure | 199,712 | 218,493 |
REO | 46,023 | 36,124 |
Total | $ 721,552 | $ 754,067 |
Securitized Loans Held for In57
Securitized Loans Held for Investment - Narrative (Detail) - Fair Value [Member] $ in Millions | Mar. 31, 2016USD ($) |
Jumbo Prime Residential Mortgage Loans [Member] | |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |
90+ Days Delinquent | $ 2 |
Seasoned Subprime Residential Mortgage Loans [Member] | |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |
90+ Days Delinquent | $ 332 |
Fair Value Measurements - Fair
Fair Value Measurements - Fair Value Measurement Levels (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Assets: | ||
Non-Agency RMBS, at fair value | $ 3,580,250 | $ 3,675,841 |
Agency RMBS, at fair value | 6,661,289 | 6,514,824 |
Securitized loans held for investment, at fair value | 4,613,492 | 4,768,416 |
Derivative assets, at fair value, net | 5,565 | 15,460 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | (3,617,294) | (3,720,496) |
Derivative liabilities, at fair value, net | (13,581) | (9,634) |
Fair Value, Measurements, Recurring [Member] | ||
Assets: | ||
Non-Agency RMBS, at fair value | 3,580,250 | 3,675,841 |
Agency RMBS, at fair value | 6,661,289 | 6,514,824 |
Securitized loans held for investment, at fair value | 4,613,492 | 4,768,416 |
Derivative assets, counterparty and cash collateral, netting | (265) | (5,126) |
Derivative assets, at fair value, net | 5,565 | 15,460 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | (3,617,294) | (3,720,496) |
Derivative liabilities, counterparty and cash collateral, netting | 131,663 | 47,600 |
Derivative liabilities, at fair value, net | (13,581) | (9,634) |
Total | 11,229,721 | 11,244,411 |
Derivatives, counterparty and cash collateral, netting | 131,398 | 42,474 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||
Assets: | ||
Derivative assets | 115 | 1,599 |
Liabilities: | ||
Derivative liabilities | (2,122) | (192) |
Total | (2,007) | 1,407 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Assets: | ||
Agency RMBS, at fair value | 6,661,289 | 6,514,824 |
Derivative assets | 5,715 | 18,987 |
Liabilities: | ||
Derivative liabilities | (143,122) | (57,042) |
Total | 6,523,882 | 6,476,769 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Assets: | ||
Non-Agency RMBS, at fair value | 3,580,250 | 3,675,841 |
Securitized loans held for investment, at fair value | 4,613,492 | 4,768,416 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | (3,617,294) | (3,720,496) |
Total | $ 4,576,448 | $ 4,723,761 |
Fair Value Measurements - Unobs
Fair Value Measurements - Unobservable Input Reconciliation (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Total, Beginning balance, Level 3 | $ 4,723,761 | $ 4,327,362 | |
Total, Transfer due to consolidation/deconsolidation | (105,870) | ||
Total, Purchases | (56,316) | (46,084) | |
Total, Principal payments | (118,220) | (350,489) | |
Total, Sales and Settlements | 44,754 | 1,132,526 | |
Total, Accretion (amortization) of purchase discounts | 16,087 | 94,542 | |
Other than temporary credit impairment losses | (10,678) | (67,444) | |
Total, Realized gains (losses) on sales and settlements | (2,510) | 23,236 | |
Total, Net unrealized gains (losses) included in income | 16,818 | (147,934) | |
Total unrealized gains (losses) for the period | 37,248 | 136,084 | |
Total, Ending balance, Level 3 | 4,576,448 | 4,723,761 | |
Derivatives, Beginning balance, Level 3 | 0 | (71) | |
Derivatives, Sales and Settlements | (597) | ||
Derivatives, Realized gains (losses) on sales and settlements included in net income | 443 | ||
Derivatives, Net unrealized gains (losses) included in income | 225 | ||
Derivatives, Ending balance, Level 3 | 0 | ||
Securitized Debt at Fair Value, Collateralized by Loans Held for Investment [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Securitized Debt, Beginning balance, Level 3 | (3,720,496) | (4,383,217) | |
Securitized Debt, Transfer due to consolidation/deconsolidation | 243,732 | ||
Securitized Debt, Purchases | (98,263) | (1,668,654) | |
Securitized Debt, Principal payments | 151,666 | 743,329 | |
Securitized Debt, Sales and Settlements | 45,929 | 1,395,292 | |
Securitized Debt, Accretion (amortization) of purchase discounts | (4,582) | (6,344) | |
Securitized Debt, Realized gains (losses) on sales and settlements | (1,766) | (5,930) | |
Securitized Debt, Net unrealized gains (losses) included in income | 10,218 | (38,704) | |
Securitized Debt, Ending balance, Level 3 | (3,617,294) | (3,720,496) | |
Non-Agency RMBS [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Beginning balance Level 3 assets | 3,675,841 | 3,404,149 | |
Transfer due to consolidation/deconsolidation | (59,646) | ||
Purchases | 41,947 | 1,045,534 | |
Principal payments | (124,015) | (385,822) | |
Sales and Settlements | (283) | (252,532) | |
Accretion (amortization) of purchase discounts | 33,125 | 117,836 | |
Other than temporary credit impairment losses | (10,678) | (67,444) | |
Realized gains (losses) on sales and settlements included in net income | (744) | 28,724 | |
Net unrealized gains (losses) included in income | 2,305 | (18,874) | |
Total unrealized gains (losses) for the period | (37,248) | (136,084) | |
Ending balance Level 3 assets | 3,580,250 | 3,675,841 | |
Securitized Loans Held for Investment at Fair Value [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |||
Beginning balance Level 3 assets | 4,768,416 | 5,306,501 | [1] |
Transfer due to consolidation/deconsolidation | (287,806) | ||
Purchases | 577,036 | ||
Principal payments | (145,871) | (707,996) | |
Sales and Settlements | (892) | (9,638) | |
Accretion (amortization) of purchase discounts | (12,456) | (19,100) | |
Net unrealized gains (losses) included in income | 4,295 | (90,581) | |
Ending balance Level 3 assets | $ 4,613,492 | $ 4,768,416 | |
[1] | Includes Securitized loans held for investment of $607 million for which the fair value option election was made beginning January 1, 2015. |
Fair Value Measurements - Uno60
Fair Value Measurements - Unobservable Input Reconciliation (Parenthetical) (Detail) $ in Millions | Dec. 31, 2014USD ($) |
Securitized Loans Held for Investment, Fair Value Option [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |
Securitized loans held for investment, at fair value | $ 607 |
Fair Value Measurements - Uno61
Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Detail) - Fair Value, Inputs, Level 3 [Member] | Mar. 31, 2016 | Dec. 31, 2015 |
Non-Agency RMBS - Senior [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, discount rate | 5.50% | 5.50% |
Non-Agency RMBS - Senior interest-only [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, discount rate | 14.00% | 13.10% |
Non-Agency RMBS - Subordinated [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, discount rate | 6.50% | 6.60% |
Non-Agency RMBS - Subordinated interest-only [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, discount rate | 20.80% | 17.40% |
Minimum [Member] | Non-Agency RMBS - Senior [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 1.00% | 1.00% |
Significant unobservable input, default rate | 0.00% | 0.00% |
Significant unobservable input, loss severity rate | 35.00% | 35.00% |
Minimum [Member] | Non-Agency RMBS - Senior interest-only [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 2.00% | 3.00% |
Significant unobservable input, default rate | 0.00% | 0.00% |
Significant unobservable input, loss severity rate | 35.00% | 1.00% |
Minimum [Member] | Non-Agency RMBS - Subordinated [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 1.00% | 1.00% |
Significant unobservable input, default rate | 0.00% | 0.00% |
Significant unobservable input, loss severity rate | 0.00% | 5.00% |
Minimum [Member] | Non-Agency RMBS - Subordinated interest-only [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 6.00% | 6.00% |
Significant unobservable input, default rate | 0.00% | 0.00% |
Significant unobservable input, loss severity rate | 35.00% | 1.00% |
Maximum [Member] | Non-Agency RMBS - Senior [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 25.00% | 17.00% |
Significant unobservable input, default rate | 22.00% | 22.00% |
Significant unobservable input, loss severity rate | 95.00% | 95.00% |
Maximum [Member] | Non-Agency RMBS - Senior interest-only [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 26.00% | 25.00% |
Significant unobservable input, default rate | 23.00% | 23.00% |
Significant unobservable input, loss severity rate | 95.00% | 95.00% |
Maximum [Member] | Non-Agency RMBS - Subordinated [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 20.00% | 22.00% |
Significant unobservable input, default rate | 20.00% | 20.00% |
Significant unobservable input, loss severity rate | 83.00% | 91.00% |
Maximum [Member] | Non-Agency RMBS - Subordinated interest-only [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 12.00% | 13.00% |
Significant unobservable input, default rate | 11.00% | 10.00% |
Significant unobservable input, loss severity rate | 67.00% | 64.00% |
Fair Value Measurements - Uno62
Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Debt (Detail) - Fair Value, Inputs, Level 3 [Member] - Securitized Debt at Fair Value, Collateralized by Loans Held for Investment [Member] | Mar. 31, 2016 | Dec. 31, 2015 |
Minimum [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 4.00% | 4.00% |
Significant unobservable input, default rate | 0.00% | 0.00% |
Significant unobservable input, loss severity rate | 35.00% | 35.00% |
Maximum [Member] | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 28.00% | 32.00% |
Significant unobservable input, default rate | 3.00% | 6.00% |
Significant unobservable input, loss severity rate | 65.00% | 65.00% |
Fair Value Measurements - Uno63
Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Loans Held for Investment (Detail) - Fair Value, Inputs, Level 3 [Member] - Securitized Loans Held for Investment at Fair Value [Member] - Point | Mar. 31, 2016 | Dec. 31, 2015 |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Owner Occupied | 96.00% | 96.00% |
Investor | 4.00% | 4.00% |
Secondary | 0.00% | 0.00% |
Single family | 77.00% | 77.00% |
Manufactured housing | 11.00% | 11.00% |
Multi-family/mixed use/other | 12.00% | 12.00% |
Weighted Average [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
FICO | 624 | 625 |
Loan-to-value (LTV) | 81.00% | 81.00% |
Weighted Average [Member] | Clean [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 6.90% | 6.90% |
Weighted Average [Member] | Reperforming [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 6.60% | 6.70% |
Base Rate [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
FICO | 620 | 620 |
Loan-to-value (LTV) | 90.00% | 90.00% |
Base Rate [Member] | Clean [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 4.40% | 4.40% |
Base Rate [Member] | Reperforming [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 5.30% | 5.30% |
Fair Value Measurements - Carry
Fair Value Measurements - Carrying And Fair Values (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | $ (492,107) | $ (529,415) |
Fair Value [Member] | Fair Value, Inputs, Level 2 [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | (7,561,573) | (7,466,409) |
Fair Value [Member] | Fair Value, Inputs, Level 3 [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | (483,706) | (518,941) |
Carrying Amount [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | (7,545,631) | (7,439,339) |
Securitized debt, collateralized by Non-Agency RMBS | $ (492,107) | $ (529,415) |
Repurchase Agreements - Narrati
Repurchase Agreements - Narrative (Detail) - Repurchase Agreements [Member] - USD ($) $ in Millions | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2016 |
Short-term Debt [Line Items] | |||
Description of variable interest rate | The interest rates of the Company's repurchase agreements are generally indexed to the one-month, three-month and twelve-month LIBOR rates and re-price accordingly. | ||
Securities Pledged as Collateral [Member] | Credit Suisse First Boston [Member] | |||
Short-term Debt [Line Items] | |||
Weighted average maturity | 35 days | 25 days | |
Amount at risk | $ 314 | $ 303 | $ 314 |
Securities Pledged as Collateral [Member] | Credit Suisse First Boston [Member] | Credit Concentration Risk [Member] | Stockholders' Equity, Total [Member] | |||
Short-term Debt [Line Items] | |||
Collateral posted on repurchase agreements, percentage of equity | 10.00% | 10.00% |
Repurchase Agreements Outstandi
Repurchase Agreements Outstanding, Weighted Average Borrowing Rates, Weighted Average Remaining Maturities, Average Daily Balances and the Fair Value of Collateral Pledged (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 7,545,631 | $ 7,439,339 |
Repurchase Agreements [Member] | Agency MBS - Residential [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 5,470,703 | 5,324,729 |
Average daily balance | $ 5,419,402 | $ 5,776,980 |
Weighted average borrowing rate | 0.76% | 0.64% |
Weighted average maturity | 52 days | 53 days |
Securities pledged as collateral | $ 5,810,037 | $ 5,655,410 |
Repurchase Agreements [Member] | Non-Agency RMBS [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 2,074,928 | 2,114,610 |
Average daily balance | $ 2,077,523 | $ 1,627,909 |
Weighted average borrowing rate | 2.69% | 2.44% |
Weighted average maturity | 131 days | 137 days |
Securities pledged as collateral | $ 3,111,388 | $ 3,117,875 |
Repurchase Agreements [Member] | Residential Mortgage-Backed Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 7,545,631 | 7,439,339 |
Average daily balance | 7,496,925 | 7,404,889 |
Securities pledged as collateral | $ 8,921,425 | $ 8,773,285 |
Repurchase Agreements - Maturit
Repurchase Agreements - Maturities (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 7,545,631 | $ 7,439,339 |
1 to 29 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 2,984,870 | 3,312,902 |
30 to 59 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 2,411,954 | 2,501,513 |
60 to 89 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 277,324 | 246,970 |
90 to 119 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 777,051 | 430,026 |
Greater than or equal to 120 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 1,094,432 | $ 947,928 |
Securitized Debt - Narrative (D
Securitized Debt - Narrative (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Debt Instrument [Line Items] | |||
Net unrealized gains (losses) on financial instruments at fair value | $ 16,871 | $ (10,425) | |
Loss on extinguishment of debt | (1,766) | ||
Securitized Loans [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Non-Agency RMBS [Member] | |||
Debt Instrument [Line Items] | |||
Principal balance of debt | $ 510,000 | $ 545,000 | |
Weighted average cost of financing | 4.54% | 4.49% | |
Securitized Loans [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Non-Agency RMBS [Member] | Minimum [Member] | |||
Debt Instrument [Line Items] | |||
Year the debt matures | 2,035 | ||
Securitized Loans [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Non-Agency RMBS [Member] | Maximum [Member] | |||
Debt Instrument [Line Items] | |||
Year the debt matures | 2,047 | ||
Securitized Loans [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Loans Held for Investment [Member] | |||
Debt Instrument [Line Items] | |||
Principal balance of debt | $ 3,700,000 | $ 3,800,000 | |
Weighted average cost of financing | 3.21% | 3.24% | |
Net unrealized gains (losses) on financial instruments at fair value | $ 10,000 | $ (6,000) | |
Securitized Loans [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Loans Held for Investment [Member] | Minimum [Member] | |||
Debt Instrument [Line Items] | |||
Year the debt matures | 2,023 | ||
Securitized Loans [Member] | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | Loans Held for Investment [Member] | Maximum [Member] | |||
Debt Instrument [Line Items] | |||
Year the debt matures | 2,065 | ||
Securitized Loans [Member] | Variable Interest Entity, Primary Beneficiary [Member] | Loans Held for Investment [Member] | |||
Debt Instrument [Line Items] | |||
Acquired securitized debt collateral outstanding principal balance | $ 44,000 | ||
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS | 46,000 | ||
Loss on extinguishment of debt | $ 2,000 |
Securitized Debt - Maturities (
Securitized Debt - Maturities (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] - Securitized Loans [Member] - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Non-Agency RMBS [Member] | ||
Debt Instrument [Line Items] | ||
Within One Year | $ 125,681 | $ 137,642 |
One to Three Years | 165,921 | 178,191 |
Three to Five Years | 53,984 | 60,872 |
Greater Than Five Years | 46,984 | 52,280 |
Total | 392,570 | 428,985 |
Loans Held for Investment [Member] | ||
Debt Instrument [Line Items] | ||
Within One Year | 576,139 | 591,171 |
One to Three Years | 930,668 | 941,704 |
Three to Five Years | 729,319 | 734,291 |
Greater Than Five Years | 1,436,174 | 1,502,663 |
Total | $ 3,672,300 | $ 3,769,829 |
Securitized Debt - Callable Deb
Securitized Debt - Callable Debt (Detail) - Securitized Loans [Member] $ in Thousands | Mar. 31, 2016USD ($) |
Debt Instrument, Redemption [Line Items] | |
2,016 | $ 1,758,206 |
2,017 | 206,155 |
2,018 | 1,379,176 |
Total | $ 3,343,537 |
Variable Interest Entities - Na
Variable Interest Entities - Narrative (Detail) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
Non-Agency RMBS [Member] | ||
Variable Interest Entity [Line Items] | ||
Unconsolidated VIEs, aggregate investment | $ 1,500,000,000 | $ 1,500,000,000 |
Non-Agency RMBS [Member] | Minimum [Member] | ||
Variable Interest Entity [Line Items] | ||
Unconsolidated VIEs, individual investments | 1,000,000 | 1,000,000 |
Non-Agency RMBS [Member] | Maximum [Member] | ||
Variable Interest Entity [Line Items] | ||
Unconsolidated VIEs, individual investments | 52,000,000 | 54,000,000 |
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure [Member] | ||
Variable Interest Entity [Line Items] | ||
Assets | 6,795,923,000 | 7,031,278,000 |
Liabilities | 4,121,346,000 | 4,262,017,000 |
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $ 1,500,000,000 | $ 1,500,000,000 |
Variable interest entity, reporting entity involvement, maximum loss exposure determination methodology | The maximum exposure to loss was determined as the amortized cost of the unconsolidated VIE, which represents the purchase price of the investment adjusted by any unamortized premiums or discounts as of the reporting date. |
Variable Interest Entities - Ef
Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Assets | ||
Non-Agency RMBS, at fair value | $ 3,580,250 | $ 3,675,841 |
Securitized loans held for investment, at fair value | 4,613,492 | 4,768,416 |
Accrued interest receivable | 65,053 | 66,247 |
Other assets | 190,855 | 189,796 |
Liabilities | ||
Securitized debt, collateralized by Non-Agency RMBS | 492,107 | 529,415 |
Securitized debt at fair value, collateralized by loans held for investment | 3,617,294 | 3,720,496 |
Accrued interest payable | 45,873 | 37,432 |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Assets | ||
Non-Agency RMBS, at fair value | 2,056,569 | 2,140,494 |
Securitized loans held for investment, at fair value | 4,613,492 | 4,768,416 |
Accrued interest receivable | 35,605 | 35,916 |
Other assets | 90,257 | 86,452 |
Liabilities | ||
Securitized debt, collateralized by Non-Agency RMBS | 492,107 | 529,415 |
Securitized debt at fair value, collateralized by loans held for investment | 3,617,294 | 3,720,496 |
Accrued interest payable | $ 11,945 | $ 12,106 |
Variable Interest Entities - 73
Variable Interest Entities - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Variable Interest Entity [Line Items] | ||
Net interest income | $ 138,213 | $ 182,689 |
Total other-than-temporary impairment losses | (4,423) | (1,052) |
Portion of loss recognized in other comprehensive income | (6,255) | (6,763) |
Net other-than-temporary credit impairment losses | (10,678) | (7,815) |
Variable Interest Entity, Primary Beneficiary [Member] | ||
Variable Interest Entity [Line Items] | ||
Total other-than-temporary impairment losses | (233) | (397) |
Portion of loss recognized in other comprehensive income | (7,864) | (6,888) |
Net other-than-temporary credit impairment losses | (8,097) | (7,285) |
Variable Interest Entity, Primary Beneficiary [Member] | Non-Agency Residential Mortgage-Backed Securities and Securitized Loans [Member] | ||
Variable Interest Entity [Line Items] | ||
Interest income | 131,980 | 150,618 |
Interest expense | 39,250 | 46,753 |
Net interest income | $ 92,730 | $ 103,865 |
Derivative Instruments - Effect
Derivative Instruments - Effect on Consolidated Financial Condition (Detail) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Derivatives, Fair Value [Line Items] | ||
Derivative instruments - Notional amount outstanding | $ 5,272,600,000 | $ 6,086,600,000 |
Derivative assets - Net estimated fair value/carrying value | 5,565,000 | 15,460,000 |
Derivative liabilities - Net estimated fair value/carrying value | (13,581,000) | (9,634,000) |
Interest Rate Swaps [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative instruments - Notional amount outstanding | 3,583,900,000 | 4,555,400,000 |
Derivative assets - Net estimated fair value/carrying value | 1,232,000 | |
Derivative liabilities - Net estimated fair value/carrying value | (6,499,000) | (6,369,000) |
Swaptions [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative instruments - Notional amount outstanding | 749,000,000 | 779,000,000 |
Derivative assets - Net estimated fair value/carrying value | 5,565,000 | 12,821,000 |
Derivative liabilities - Net estimated fair value/carrying value | (6,652,000) | (3,265,000) |
Treasury Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative instruments - Notional amount outstanding | 814,700,000 | 752,200,000 |
Derivative assets - Net estimated fair value/carrying value | $ 1,407,000 | |
Other Derivative Assets [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative instruments - Notional amount outstanding | 125,000,000 | |
Derivative liabilities - Net estimated fair value/carrying value | $ (430,000) |
Derivative Instruments - Narrat
Derivative Instruments - Narrative (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2016 | Mar. 31, 2015 |
Derivatives, Fair Value [Line Items] | ||||
Derivative assets | $ 5,565 | $ 15,460 | $ 5,565 | |
Realized gains (losses) on terminations of interest rate swaps | $ (458) | $ (68,579) | ||
The weighted average pay rate on the Company's interest rate swaps | 1.69% | 1.51% | 1.69% | |
The weighted average receive rate on the Company's interest rate swaps | 0.47% | 0.36% | 0.47% | |
The weighted average maturity on the Company's interest rate swaps | 5 years | 4 years | ||
Fair value of credit risk derivative instruments in a net liability position | $ 154,000 | $ 154,000 | ||
Early Terminated Interest Rate Swaps [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivative instruments terminated | $ 1,000,000 | $ 575,000 | ||
Derivative instruments, maturity year | 2,017 | |||
Early Terminated Interest Rate Swaps [Member] | Minimum [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivative instruments, maturity year | 2,024 | |||
Early Terminated Interest Rate Swaps [Member] | Maximum [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivative instruments, maturity year | 2,044 | |||
TBA Positions [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivative assets | $ 430 | $ 430 |
Derivative Instruments - Effe76
Derivative Instruments - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net unrealized gains (losses) on derivatives | $ (101,110) | $ 4,055 | |
Net realized gains (losses) on derivatives | (34,969) | (42,086) | |
Net gains (losses) on derivatives | (136,537) | (106,610) | |
Other Derivative Assets [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net unrealized gains (losses) on derivatives | (430) | ||
Net realized gains (losses) on derivatives | (21) | ||
Interest Rate Swaps [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net unrealized gains (losses) on derivatives | (88,709) | 9,960 | |
Net realized gains (losses) on derivatives | [1] | (11,676) | (83,746) |
Mortgage Options [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net unrealized gains (losses) on derivatives | 224 | ||
Net realized gains (losses) on derivatives | 412 | ||
Treasury Futures [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net unrealized gains (losses) on derivatives | (2,985) | (4,908) | |
Net realized gains (losses) on derivatives | (21,610) | (27,454) | |
Swaptions [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net unrealized gains (losses) on derivatives | (8,987) | (1,221) | |
Net realized gains (losses) on derivatives | $ (2,140) | $ 144 | |
[1] | Includes loss on termination of interest rate swap of $458 thousand and $69 million for the quarter ended March 31, 2016 and 2015, respectively. |
Derivative Instruments - Effe77
Derivative Instruments - Effect on Consolidated Results (Parenthetical) (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Realized gains (losses) on terminations of interest rate swaps | $ (458) | $ (68,579) |
Common Stock - Narrative (Detai
Common Stock - Narrative (Detail) - USD ($) $ / shares in Units, shares in Millions | 3 Months Ended | 6 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | Aug. 05, 2015 | |
Class of Stock [Line Items] | ||||
Stock repurchase program, authorized amount | $ 350,000,000 | $ 250,000,000 | ||
Stock repurchase program, additional authorized amount | $ 100,000,000 | |||
Number of shares repurchased | 0 | 18 | ||
Repurchase price per share | $ 13.94 | |||
Value of shares repurchased | $ 250,000,000 | |||
Stock repurchase program, remaining authorized repurchase amount | $ 100,000,000 | |||
Common dividends declared | 184,227,000 | $ 98,679,000 | ||
Common dividends declared, per share | $ 0.48 | |||
Special Dividend [Member] | ||||
Class of Stock [Line Items] | ||||
Common dividends declared | $ 94,000,000 | |||
Common dividends declared, per share | $ 0.50 | |||
Regular Dividend [Member] | ||||
Class of Stock [Line Items] | ||||
Common dividends declared | $ 90,000,000 | |||
Common dividends declared, per share | $ 0.48 |
Common Stock - Earnings Per Sha
Common Stock - Earnings Per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Earnings Per Share [Abstract] | ||
Net income | $ 83,098 | $ 67,041 |
Effect of dilutive securities: | 0 | 0 |
Dilutive net income available to stockholders | $ 83,098 | $ 67,041 |
Weighted average basic shares | 187,723,472 | 205,527,476 |
Effect of dilutive securities | 116,710 | 39,480 |
Weighted average dilutive shares | 187,840,182 | 205,566,956 |
Net income per average share attributable to common stockholders - Basic | $ 0.44 | $ 0.33 |
Net income per average share attributable to common stockholders - Diluted | $ 0.44 | $ 0.33 |
Accumulated Other Comprehensi80
Accumulated Other Comprehensive Income - Components of AOCI (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Accumulated other comprehensive income, beginning balance | $ 773,791 | $ 1,046,680 |
OCI before reclassifications | 59,408 | (19,912) |
Amounts reclassified from AOCI | 9,066 | (21,261) |
Other comprehensive income (loss) | 68,474 | (41,173) |
Accumulated other comprehensive income, ending balance | 842,265 | 1,005,507 |
Unrealized gains (losses) on available-for-sale securities, net [Member] | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Accumulated other comprehensive income, beginning balance | 773,791 | 1,046,680 |
OCI before reclassifications | 59,408 | (19,912) |
Amounts reclassified from AOCI | 9,066 | (21,261) |
Other comprehensive income (loss) | 68,474 | (41,173) |
Accumulated other comprehensive income, ending balance | $ 842,265 | $ 1,005,507 |
Accumulated Other Comprehensi81
Accumulated Other Comprehensive Income - Reclassifications from AOCI (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Net realized gains (losses) on sales of investments | $ (2,674) | $ 29,565 |
Net other-than-temporary credit impairment losses | (10,678) | (7,815) |
Income (loss) before income taxes | 83,127 | 67,042 |
Net of tax | 83,098 | 67,041 |
Amounts Reclassified from Accumulated OCI [Member] | Unrealized gains (losses) on available-for-sale securities, net [Member] | ||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||
Net realized gains (losses) on sales of investments | 1,612 | 29,076 |
Net other-than-temporary credit impairment losses | (10,678) | (7,815) |
Income (loss) before income taxes | (9,066) | 21,261 |
Net of tax | $ (9,066) | $ 21,261 |
Equity Compensation, Employme82
Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Detail) | 3 Months Ended | |
Mar. 31, 2016USD ($)Installmentshares | Mar. 31, 2015USD ($) | |
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items] | ||
Share-based compensation expense | $ 102,000 | $ 436,000 |
Forfeitures | shares | 0 | |
Total unrecognized compensation costs related to non-vested share-based compensation arrangements granted under the long term incentive plan | $ 7,000,000 | |
Period over which unrecognized compensation costs related to non-vested share-based compensation is expected to be recognized | 3 years | |
Restricted Stock [Member] | 2007 Equity Incentive Plan [Member] | ||
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items] | ||
Shares available for future grants | shares | 7,200,000 | |
Restricted Stock [Member] | Minimum [Member] | 2007 Equity Incentive Plan [Member] | ||
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items] | ||
Vesting period | 2 years | |
Restricted Stock [Member] | Maximum [Member] | 2007 Equity Incentive Plan [Member] | ||
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items] | ||
Vesting period | 10 years | |
Restricted Stock Units (RSUs) [Member] | ||
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items] | ||
Granted shares | shares | 266,200 | |
Grant date fair value | $ 3,000,000 | |
Restricted Stock Units (RSUs) [Member] | Vesting Beginning One Year from Grant Date [Member] | ||
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items] | ||
Vesting period | 3 years | |
Performance Share Units [Member] | ||
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items] | ||
Granted shares | shares | 179,600 | |
Grant date fair value | $ 3,000,000 | |
Performance period | 3 years | |
Fair value assumptions, method used | Monte Carlo valuation model | |
Cliff vesting date | Dec. 31, 2018 | |
Performance Share Units [Member] | Cliff Vesting [Member] | ||
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items] | ||
Vesting period | 3 years | |
Performance Share Units [Member] | Minimum [Member] | Cliff Vesting [Member] | ||
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items] | ||
Vesting percentage | 0.00% | |
Performance Share Units [Member] | Maximum [Member] | Cliff Vesting [Member] | ||
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items] | ||
Vesting percentage | 150.00% | |
Non-Employee Directors and Executive Officers [Member] | Deferred Stock Units [Member] | Stock Award Deferral Program [Member] | ||
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items] | ||
Annual installments | Installment | 5 | |
401(k) Plan [Member] | ||
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items] | ||
Maximum annual contributions per employee, percent | 25.00% | |
Expense related to qualified plan | $ 92,000 | $ 0 |
401(k) Plan [Member] | Minimum [Member] | ||
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items] | ||
Employer matching contribution, percent of match | 50.00% | |
Employer matching contribution, percent of employees' gross pay | 2.00% | |
401(k) Plan [Member] | Maximum [Member] | ||
Equity Compensation, Employment Agreements and other Benefit Plans [Line Items] | ||
Employer matching contribution, percent of match | 100.00% | |
Employer matching contribution, percent of employees' gross pay | 6.00% |
Income Taxes - Narrative (Detai
Income Taxes - Narrative (Detail) | 3 Months Ended |
Mar. 31, 2016 | |
Income Taxes [Line Items] | |
Minimum percentage of taxable income that must be distributed to maintain REIT status | 90.00% |
U.S. federal, state and local tax authorities [Member] | Earliest Tax Year [Member] | |
Income Taxes [Line Items] | |
Years open to tax examination | 2,012 |
U.S. federal, state and local tax authorities [Member] | Latest Tax Year [Member] | |
Income Taxes [Line Items] | |
Years open to tax examination | 2,014 |
Credit Risk and Interest Rate84
Credit Risk and Interest Rate Risk - Offsetting Assets and Liabilities (Detail) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Offsetting Assets and Liabilities [Line Items] | |||
Derivative Liabilities, Net Amounts Offset in the Consolidated Statements of Financial Position | $ (13,581) | $ (9,634) | |
Derivative Assets, Net Amounts Offset in the Consolidated Statements of Financial Position | 5,565 | 15,460 | |
Total, Gross Amounts of Recognized Assets (Liabilities) | (7,685,045) | (7,475,795) | |
Total, Gross Amounts Offset in the Consolidated Statements of Financial Position | 131,398 | 42,282 | |
Total, Net Amounts Offset in the Consolidated Statements of Financial Position | (7,553,647) | (7,433,513) | |
Total, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 8,940,157 | 8,781,874 | |
Total, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | [1] | 86,659 | 95,140 |
Total, Net Amount | 1,473,169 | 1,443,501 | |
Repurchase Agreements, Gross Amounts of Recognized Assets (Liabilities) | (7,545,631) | (7,439,339) | |
Repurchase Agreements, Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 | |
Repurchase Agreements, Net Amounts Offset in the Consolidated Statements of Financial Position | (7,545,631) | (7,439,339) | |
Repurchase Agreements, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 8,921,425 | 8,773,285 | |
Repurchase Agreements, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | [1] | 18,781 | 37,296 |
Repurchase Agreements, Net Amount | 1,394,575 | 1,371,242 | |
Interest Rate Swaps [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Derivative Liabilities, Gross Amounts of Recognized Liabilities | (136,470) | (53,777) | |
Derivative Liabilities, Gross Amounts Offset in the Consolidated Statements of Financial Position | 129,971 | 47,408 | |
Derivative Liabilities, Net Amounts Offset in the Consolidated Statements of Financial Position | (6,499) | (6,369) | |
Derivative Liabilities, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 8,483 | 8,589 | |
Derivative Liabilities, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | [1] | 61,501 | 51,424 |
Derivative Liabilities, Net Amount | 63,485 | 53,644 | |
Derivative Assets, Gross Amounts of Recognized Assets | 150 | 6,166 | |
Derivative Assets, Gross Amounts Offset in the Consolidated Statements of Financial Position | (150) | (4,934) | |
Derivative Assets, Net Amounts Offset in the Consolidated Statements of Financial Position | 1,232 | ||
Derivative Assets, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | 0 | |
Derivative Assets, Net Amount | 1,232 | ||
Treasury Futures [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Derivative Liabilities, Gross Amounts of Recognized Liabilities | (1,692) | ||
Derivative Liabilities, Gross Amounts Offset in the Consolidated Statements of Financial Position | 1,692 | ||
Derivative Assets, Gross Amounts of Recognized Assets | 115 | 1,599 | |
Derivative Assets, Gross Amounts Offset in the Consolidated Statements of Financial Position | (115) | (192) | |
Derivative Assets, Net Amounts Offset in the Consolidated Statements of Financial Position | 1,407 | ||
Derivative Assets, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | 0 | |
Derivative Assets, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | [1] | 6,377 | 6,420 |
Derivative Assets, Net Amount | 6,377 | 7,827 | |
Swaptions [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Derivative Liabilities, Gross Amounts of Recognized Liabilities | (6,652) | (3,265) | |
Derivative Liabilities, Net Amounts Offset in the Consolidated Statements of Financial Position | (6,652) | (3,265) | |
Derivative Liabilities, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 10,249 | ||
Derivative Liabilities, Net Amount | 3,597 | (3,265) | |
Derivative Assets, Gross Amounts of Recognized Assets | 5,565 | 12,821 | |
Derivative Assets, Net Amounts Offset in the Consolidated Statements of Financial Position | 5,565 | 12,821 | |
Derivative Assets, Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | 0 | |
Derivative Assets, Net Amount | 5,565 | $ 12,821 | |
Other Derivative Assets [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Derivative Liabilities, Gross Amounts of Recognized Liabilities | (430) | ||
Derivative Liabilities, Net Amounts Offset in the Consolidated Statements of Financial Position | (430) | ||
Derivative Liabilities, Net Amount | $ (430) | ||
[1] | Included in other assets |
Commitments and Contingencies -
Commitments and Contingencies - Narrative (Detail) $ in Millions | 3 Months Ended |
Mar. 31, 2016USD ($) | |
Other Income [Member] | |
Other Commitments [Line Items] | |
Recovery related to accounting for Non-Agency RMBS and restatements | $ 95 |
Subsequent Events - Additional
Subsequent Events - Additional Information (Detail) - Subsequent Event [Member] $ in Millions | 1 Months Ended |
May. 04, 2016USD ($) | |
Subsequent Event [Line Items] | |
Commitment to acquire securities related to securitization | $ 225 |
Chimera Funding TRS LLC [Member] | |
Subsequent Event [Line Items] | |
Contribution to subsidiary | $ 1 |