Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2017 | Apr. 30, 2017 | |
Document And Entity Information [Abstract] | ||
Entity Registrant Name | CHIMERA INVESTMENT CORP | |
Trading Symbol | CIM | |
Entity Central Index Key | 1,409,493 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Mar. 31, 2017 | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q1 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 187,779,489 |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 | |
Assets: | |||
Cash and cash equivalents | $ 82,556 | $ 177,714 | |
Non-Agency RMBS, at fair value | 3,228,391 | 3,330,063 | |
Agency MBS, at fair value | 4,101,851 | 4,167,754 | |
Securitized loans held for investment, at fair value | 12,713,273 | 8,753,653 | |
Accrued interest receivable | 99,669 | 79,697 | |
Other assets | 190,021 | 166,350 | |
Derivatives, at fair value, net | 10,889 | 9,677 | |
Total assets | [1] | 20,426,650 | 16,684,908 |
Liabilities: | |||
Repurchase agreements ($7.3 billion and $7.0 billion, MBS pledged as collateral, respectively) | 5,851,204 | 5,600,903 | |
Securitized debt, collateralized by Non-Agency RMBS ($1.8 billion pledged as collateral) | 303,389 | 334,124 | |
Securitized debt at fair value, collateralized by loans held for investment ($12.7 billion and $8.8 billion pledged as collateral, respectively) | 10,111,293 | 6,941,097 | |
Payable for investments purchased | 473,269 | 520,532 | |
Accrued interest payable | 67,596 | 48,670 | |
Dividends payable | 97,008 | 97,005 | |
Accounts payable and other liabilities | 9,176 | 16,694 | |
Derivatives, at fair value | 1,627 | 2,350 | |
Total liabilities | [1] | 16,914,562 | 13,561,375 |
Commitments and Contingencies (See Note 15) | |||
Stockholders' Equity: | |||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,779,489 and 187,739,634 shares issued and outstanding, respectively | 1,878 | 1,877 | |
Additional paid-in-capital | 3,824,197 | 3,508,779 | |
Accumulated other comprehensive income | 727,711 | 718,106 | |
Cumulative earnings | 2,605,991 | 2,443,184 | |
Cumulative distributions to stockholders | (3,647,877) | (3,548,471) | |
Total stockholders' equity | 3,512,088 | 3,123,533 | |
Total liabilities and stockholders' equity | 20,426,650 | 16,684,908 | |
Preferred Class A | |||
Stockholders' Equity: | |||
8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively ($145,000 liquidation preference) | 58 | 58 | |
Preferred Class B | |||
Stockholders' Equity: | |||
8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively ($145,000 liquidation preference) | $ 130 | $ 0 | |
[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 Corporation). As of March 31, 2017 and December 31, 2016, total assets of consolidated VIEs were $14,693,307 and $10,761,954, respectively, and total liabilities of consolidated VIEs were $10,451,235 and $7,300,163, respectively. See Note 8 for further discussion. |
CONSOLIDATED STATEMENTS OF FIN3
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2017 | Dec. 31, 2016 | |
Common stock, par value (usd per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (shares) | 300,000,000 | 300,000,000 |
Common stock, shares issued (shares) | 187,779,489 | 187,739,634 |
Common stock, shares outstanding (shares) | 187,779,489 | 187,739,634 |
Repurchase Agreements | Residential Mortgage-Backed Securities | ||
Securities pledged as collateral | $ 7,270,615,000 | $ 7,033,866,000 |
Repurchase Agreements | Non-agency MBS | ||
Securities pledged as collateral | 3,996,503,000 | 3,699,621,000 |
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | ||
Assets | 14,693,307,000 | 10,761,954,000 |
Liabilities | 10,451,235,000 | 7,300,163,000 |
Securitized Loans | Non-agency MBS | ||
Securities pledged as collateral | 1,800,000,000 | 1,800,000,000 |
Securitized Loans | Securitized Loans Held for Investment at Fair Value | ||
Securities pledged as collateral | $ 12,700,000,000 | $ 8,800,000,000 |
Preferred Class A | ||
Preferred Stock, par value (usd per share) | $ 0.01 | $ 0.01 |
Preferred Stock, shares authorized (shares) | 100,000,000 | 100,000,000 |
Preferred Stock, shares issued (shares) | 5,800,000,000 | 5,800,000,000 |
Preferred Stock, shares outstanding (shares) | 5,800,000,000 | 5,800,000,000 |
Preferred Stock, liquidation preference | $ 145,000 | $ 145,000 |
Preferred Stock, dividend rate (percent) | 8.00% | 8.00% |
Preferred Class B | ||
Preferred Stock, par value (usd per share) | $ 0.01 | |
Preferred Stock, shares authorized (shares) | 100,000,000 | |
Preferred Stock, shares issued (shares) | 130,000,000 | |
Preferred Stock, shares outstanding (shares) | 0 | |
Preferred Stock, liquidation preference | $ 325,000 | |
Preferred Stock, dividend rate (percent) | 8.00% |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | ||
Net Interest Income: | |||
Interest income | [1] | $ 251,344 | $ 201,194 |
Interest expense | [2] | 110,231 | 62,981 |
Net interest income | 141,113 | 138,213 | |
Other-than-temporary impairments: | |||
Total other-than-temporary impairment losses | (2,713) | (4,423) | |
Portion of loss recognized in other comprehensive income | (15,988) | (6,255) | |
Net other-than-temporary credit impairment losses | (18,701) | (10,678) | |
Other investment gains (losses): | |||
Net unrealized gains (losses) on derivatives | 4,896 | (101,110) | |
Realized gains (losses) on terminations of interest rate swaps | 0 | (458) | |
Net realized gains (losses) on derivatives | (9,358) | (34,969) | |
Net gains (losses) on derivatives | (4,462) | (136,537) | |
Net unrealized gains (losses) on financial instruments at fair value | 72,243 | 16,871 | |
Net realized gains (losses) on sales of investments | 5,167 | (2,674) | |
Gains (losses) on Extinguishment of Debt | 0 | (1,766) | |
Total other gains (losses) | 72,948 | (124,106) | |
Other income: | |||
Other income | 0 | 95,000 | |
Total other income | 0 | 95,000 | |
Other expenses: | |||
Compensation and benefits | 7,556 | 5,222 | |
General and administrative expenses | 4,040 | 4,503 | |
Servicing Fees of consolidated VIEs | 9,588 | 5,577 | |
Deal Expenses | 11,353 | 0 | |
Total other expenses | 32,537 | 15,302 | |
Income (loss) before income taxes | 162,823 | 83,127 | |
Income taxes | 16 | 29 | |
Net income (loss) | 162,807 | 83,098 | |
Dividend on preferred stock | 5,283 | 0 | |
Net income (loss) available to common shareholders | $ 157,524 | $ 83,098 | |
Net income (loss) per share available to common shareholders: | |||
Basic (usd per share) | $ 0.84 | $ 0.44 | |
Diluted (usd per share) | $ 0.84 | $ 0.44 | |
Weighted average number of common shares outstanding: | |||
Basic (shares) | 187,761,748 | 187,723,472 | |
Diluted (shares) | 188,195,061 | 187,840,182 | |
Dividends declared per share of common stock (usd per share) | $ 0.5 | $ 0.98 | |
[1] | Includes interest income of consolidated VIEs of $192,989 and $131,980 for the quarters ended March 31, 2017 and 2016 respectively. See Note 8 to consolidated financial statements for further discussion. | ||
[2] | Includes interest expense of consolidated VIEs of $82,684 and $39,250 for the quarters ended March 31, 2017 and 2016 respectively. See Note 8 to consolidated financial statements for further discussion. |
CONSOLIDATED STATEMENTS OF OPE5
CONSOLIDATED STATEMENTS OF OPERATIONS (Parenthetical) - Non Agency Residential Mortgage Backed Securities And Securitized Loans - Variable Interest Entity, Primary Beneficiary - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Interest income, assets of consolidated VIEs | $ 192,989 | $ 131,980 |
Interest expense, non-recourse liabilities of VIEs | $ 82,684 | $ 39,250 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Comprehensive income (loss): | ||
Net income (loss) | $ 162,807 | $ 83,098 |
Other comprehensive income: | ||
Unrealized gains (losses) on available-for-sale securities, net | (3,910) | 59,408 |
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 18,701 | 10,678 |
Reclassification adjustment for net realized losses (gains) included in net income | (5,186) | (1,612) |
Other comprehensive income (loss) | 9,605 | 68,474 |
Comprehensive income (loss) before preferred stock dividends | 172,412 | 151,572 |
Dividends on preferred stock | 5,283 | 0 |
Comprehensive income (loss) available to common stock shareholders | $ 167,129 | $ 151,572 |
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 | Cumulative Earnings | Cumulative Distributions to Stockholders | Series A Preferred Stock Par Value | Series A Preferred Stock Par ValuePreferred Stock | Series B Preferred Stock Par ValuePreferred Stock |
Beginning Balance at Dec. 31, 2015 | $ 2,946,188 | $ 1,877 | $ 3,366,568 | $ 773,791 | $ 1,891,239 | $ (3,087,287) | $ 0 | $ 0 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Net income (loss) | 83,098 | 83,098 | 0 | ||||||
Other comprehensive income (loss) | 68,474 | 68,474 | |||||||
Stock based compensation | 102 | 0 | 102 | ||||||
Repurchase of common stock | 0 | 0 | 0 | ||||||
Common dividends declared | (184,227) | 0 | (184,227) | ||||||
Preferred dividends declared | 0 | ||||||||
Ending Balance at Mar. 31, 2016 | 2,913,635 | 1,877 | 3,366,670 | 842,265 | 1,974,337 | (3,271,514) | 0 | 0 | |
Beginning Balance at Dec. 31, 2016 | 3,123,533 | 1,877 | 3,508,779 | 718,106 | 2,443,184 | (3,548,471) | 58 | 0 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Net income (loss) | 162,807 | 162,807 | |||||||
Other comprehensive income (loss) | 9,605 | 9,605 | |||||||
Stock based compensation | 1,120 | 1 | 1,119 | ||||||
Common dividends declared | (94,123) | (94,123) | |||||||
Preferred dividends declared | (5,283) | (5,283) | $ (3,000) | ||||||
Issuance of preferred stock | $ 314,429 | 0 | 130 | ||||||
Ending Balance at Mar. 31, 2017 | $ 3,512,088 | $ 1,878 | $ 3,824,197 | $ 727,711 | $ 2,605,991 | $ (3,647,877) | $ 58 | $ 130 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Cash Flows From Operating Activities: | ||
Net income | $ 162,807 | $ 83,098 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||
(Accretion) amortization of investment discounts/premiums, net | (13,712) | 6,469 |
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net | 5,109 | 2,581 |
Amortization of swaption premium | 3,303 | 1,656 |
Net unrealized losses (gains) on derivatives | (4,896) | 101,110 |
Margin (paid) received on derivatives | 4,974 | (98,958) |
Net unrealized losses (gains) on financial instruments at fair value | (72,243) | (16,871) |
Net realized losses (gains) on sales of investments | (5,167) | 2,674 |
Net other-than-temporary credit impairment losses | 18,701 | 10,678 |
(Gain) loss on extinguishment of debt | 0 | 1,766 |
Equity-based compensation expense | 1,119 | 102 |
Changes in operating assets: | ||
Decrease (increase) in accrued interest receivable, net | (19,972) | 1,194 |
Decrease (increase) in other assets | (30,275) | 9,440 |
Changes in operating liabilities: | ||
Increase (decrease) in accounts payable and other liabilities | (7,517) | (5,810) |
Increase (decrease) in accrued interest payable, net | 18,929 | 8,441 |
Net cash provided by (used in) operating activities | 61,160 | 107,570 |
Cash Flows From Investing Activities: | ||
Net cash provided by (used in) investing activities | (3,716,567) | 180,698 |
Cash Flows From Financing Activities: | ||
Proceeds from repurchase agreements | 6,551,098 | 7,897,654 |
Payments on repurchase agreements | (6,300,798) | (7,791,362) |
Net proceeds from preferred stock offerings | 314,429 | 0 |
Proceeds from securitized debt borrowings, collateralized by loans held for investment | 3,457,535 | 98,263 |
Payments on securitized debt borrowings, collateralized by loans held for investment | (331,290) | (197,595) |
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS | (31,320) | (34,880) |
Common dividends paid | (94,056) | (183,957) |
Preferred dividends paid | (5,349) | 0 |
Net cash provided by (used in) financing activities | 3,560,249 | (211,877) |
Net increase (decrease) in cash and cash equivalents | (95,158) | 76,391 |
Cash and cash equivalents at beginning of period | 177,714 | 114,062 |
Cash and cash equivalents at end of period | 82,556 | 190,453 |
Supplemental disclosure of cash flow information: | ||
Interest received | 217,660 | 208,857 |
Interest paid | 86,193 | 51,959 |
Non-cash investing activities: | ||
Payable for investments purchased | 473,269 | 582,875 |
Net change in unrealized gain (loss) on available-for sale securities | 9,605 | 68,474 |
Non-cash financing activities: | ||
Common dividends declared, not yet paid | 94,625 | 90,367 |
Agency MBS - Residential | ||
Cash Flows From Investing Activities: | ||
Purchases | (113,599) | (441,308) |
Sales | 0 | 270,196 |
Principal payments | 115,237 | 123,590 |
Non-agency MBS | ||
Cash Flows From Investing Activities: | ||
Purchases | (5,663) | (41,947) |
Sales | 0 | 283 |
Principal payments | 127,929 | 124,013 |
Securitized Loans | ||
Cash Flows From Investing Activities: | ||
Purchases | (4,165,322) | 0 |
Principal payments | $ 324,851 | $ 145,871 |
Organization
Organization | 3 Months Ended |
Mar. 31, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | 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 eight wholly owned direct subsidiaries: Chimera RMBS Whole Pool LLC, and Chimera RMBS LLC formed in June 2009; CIM Trading Company LLC (“CIM Trading”), formed in July 2010; Chimera Funding TRS LLC (“CIM Funding TRS”), a TRS formed in October 2013, Chimera CMBS Whole Pool LLC and Chimera RMBS Securities LLC formed in March 2015; Chimera Insurance Company, LLC formed in July 2015 and Chimera RR Holdings LLC formed in April 2016. |
Summary of the Significant Acco
Summary of the Significant Accounting Policies | 3 Months Ended |
Mar. 31, 2017 | |
Accounting Policies [Abstract] | |
Summary of the Significant Accounting Policies | 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, 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 security 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 holder of the security it has retained. Determining the primary beneficiary of a VIE requires significant judgment. The Company determined that for the securitizations it consolidates, its ownership 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 trusts, 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 assets of securitization entities are comprised of senior classes of residential mortgage backed securities (“RMBS”) or 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) 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 including 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. (d) Significant Accounting Policies There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2016, other than the significant accounting policies disclosed below. Income Taxes 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, 2017 or December 31, 2016. 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. (e) Recent Accounting Pronouncements Business Combinations - (Topic 805) In January 2017, the FASB issued ASU No. 2017-01, Business Combinations - Clarifying the Definition of a Business. This update clarifies the definition of a business with the objective of adding guidance to assist entities with evaluating whether transactions should be accounted for as acquisitions (or disposals) of assets or businesses. Under the current implementation guidance in Topic 805, there are three elements of a business-inputs, processes, and outputs. While an integrated set of assets and activities (collectively referred to as a “set”) that is a business usually has outputs, outputs are not required to be present. The amendments in this Update provide a screen to determine when a set is not a business. The screen requires that when substantially all of the fair value of the gross assets acquired (or disposed of) is concentrated in a single identifiable asset or a group of similar identifiable assets, the set is not a business. This screen reduces the number of transactions that need to be further evaluated. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption is allowed. The amendments in this update should be applied prospectively on or after the effective date. No disclosures are required at transition. The Company is not planning to early adopt and is currently evaluating what impact this update will have on the consolidated financial statements. Statement of Cash Flows - Restricted Cash - (Topic 230) In November 2016, the FASB issued ASU No. 2016-18, Statement of Cash Flows - Restricted Cash. This update requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. The amendments in this Update do not provide a definition of restricted cash or restricted cash equivalents. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption is allowed. The amendments in this update should be applied using a retrospective transition method to each period presented. The Company is not planning to early adopt and is currently evaluating what impact this update will have on the consolidated financial statements. Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments - (Topic 230) In August 2016, the FASB issued ASU No. 2016-15, Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments. This update provides guidance on eight specific cash flow issues. The guidance is intended to reduce diversity in practice on those issues across all industries. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption is allowed. The guidance is to be applied retrospectively, unless it is impracticable to do so for an issue, then the amendments related to that issue would be applied prospectively. The Company did not elect to early adopt the provisions of this update. The Company is currently evaluating what impact this update will have on the consolidated financial statements. Financial Instruments - Credit Losses - (Topic 326) In June 2016, the FASB issued ASU No. 2016-13, Measurement of Credit Losses on Financial Instruments . This update replaces the current model for recognizing credit losses from an incurred credit loss model to a current expected credit loss (CECL) model for instruments measured at amortized cost and requires entities to record allowances for available-for-sale (AFS) debt securities when the fair value of an AFS debt security is below the amortized cost of the asset rather than reduce the carrying amount, as we do under the current OTTI model. This update also simplifies the accounting model for purchased credit-impaired debt securities and loans. The changes in the allowances created in accordance with this update will be recorded in earnings. The update also expands the disclosure requirements regarding the Company's assumptions, models, and methods for estimating the expected credit losses. In addition, the Company will disclose the amortized cost balance for each class of financial asset by credit quality indicator, disaggregated by the year of origination. The guidance in the ASU is effective for the Company as of January 1, 2020. Early adoption is allowed, beginning January 1, 2019. The standard requires entities to record a cumulative-effect adjustment to the statement of financial position as of the beginning of the first reporting period in which the guidance is effective. The Company is currently evaluating what impact this update will have on the consolidated financial statements. Share Based Payments - (Topic 718) In March 2016, the FASB issued ASU No. 2016-09, Improvements to Employee Share-Based Payment Accounting . Under this update companies will no longer record excess tax benefits and certain tax deficiencies associated with an award of equity instruments in additional paid-in capital. Instead, they will record all excess tax benefits and tax deficiencies as income tax expense or benefit in the income statement when the awards vest or are settled, and additional paid-in capital pools will be eliminated. The updated guidance will also allow the Company to repurchase more shares than it can today for tax withholding purposes without triggering liability accounting and to make a policy election to account for forfeitures as they occur. The guidance is to be applied using a modified retrospective transition method with a cumulative-effect adjustment recorded in retained earnings. The Company has adopted this guidance as of January 1, 2017. The adoption of this guidance did not have a significant impact on the Company's financial statements. Contingent Put and Call Options in Debt Instruments - (Topic 815) In March 2016, the FASB issued ASU No. 2016-06, Contingent Put and Call Options in Debt Instruments Accounting . This update clarifies 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 new guidance applies to existing debt instruments (or hybrid financial instruments that are determined to have a debt host) using a modified retrospective method as of the beginning of the period of adoption. The company has adopted this guidance as of January 1, 2017. The adoption of this guidance did not have a significant impact on the Company’s financial statements. Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships - (Topic 815) In March 2016, the FASB issued ASU No. 2016-05, Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships. The amendments in this update clarify that a change in the counterparty to a derivative instrument that has been designated as the hedging instrument under Topic 815 does not, in and of itself, require de-designation of that hedging relationship provided that all other hedge accounting criteria continue to be met. The company has adopted this guidance as of January 1, 2017. The Company currently does not apply hedge accounting for GAAP reporting purposes, therefore this guidance did not have a significant impact on the Company’s consolidated 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 did not elect to early adopt the provisions of this update and is currently evaluating what impact this update will have on the consolidated financial statements. |
Mortgage-Backed Securities
Mortgage-Backed Securities | 3 Months Ended |
Mar. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | Mortgage-Backed Securities The Company classifies its Non-Agency RMBS as senior, senior IO, subordinated, or subordinated IO. The Company also invests in residential, commercial and IO 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. The tables below present amortized cost, fair value and unrealized gain/losses of Company's MBS investments as of March 31, 2017 and December 31, 2016 . March 31, 2017 (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 $ 3,060,690 $ 214 $ (1,361,946 ) $ 1,698,958 $ 2,438,623 $ 739,946 $ (281 ) $ 739,665 Senior, interest-only 5,434,402 287,220 — 287,220 239,511 16,095 (63,804 ) $ (47,709 ) Subordinated 662,469 15,360 (212,416 ) 465,413 538,459 74,739 (1,693 ) $ 73,046 Subordinated, interest-only 263,126 13,627 — 13,627 11,798 103 (1,932 ) $ (1,829 ) Agency MBS Residential 2,480,534 144,287 — 2,624,821 2,587,928 10,566 (47,459 ) $ (36,893 ) Commercial 1,393,290 37,763 (2,761 ) 1,428,292 1,382,734 1,334 (46,892 ) $ (45,558 ) Interest-only 3,248,168 139,313 — 139,313 131,189 877 (9,001 ) $ (8,124 ) Total $ 16,542,679 $ 637,784 $ (1,577,123 ) $ 6,657,644 $ 7,330,242 $ 843,660 $ (171,062 ) $ 672,598 December 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 $ 3,190,947 $ 231 $ (1,412,058 ) $ 1,779,120 $ 2,511,003 $ 732,133 $ (250 ) $ 731,883 Senior, interest-only 5,648,339 292,396 — 292,396 253,539 18,674 (57,531 ) (38,857 ) Subordinated 673,259 16,352 (212,734 ) 476,877 553,498 77,857 (1,236 ) 76,621 Subordinated, interest-only 266,927 13,878 — 13,878 12,024 — (1,854 ) (1,854 ) Agency MBS Residential 2,594,570 149,872 — 2,744,442 2,705,978 11,235 (49,699 ) (38,464 ) Commercial 1,331,543 37,782 (2,688 ) 1,366,637 1,316,975 175 (49,837 ) (49,662 ) Interest-only 3,356,491 152,175 — 152,175 144,800 1,893 (9,268 ) (7,375 ) Total $ 17,062,076 $ 662,686 $ (1,627,480 ) $ 6,825,525 $ 7,497,817 $ 841,967 $ (169,675 ) $ 672,292 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 Quarters Ended March 31, 2017 March 31, 2016 (dollars in thousands) Balance at beginning of period $ 1,550,110 $ 1,742,744 Purchases 8,216 20,183 Yield income earned (68,827 ) (72,169 ) Reclassification (to) from non-accretable difference 23,952 35,783 Sales and deconsolidation (35 ) — Balance at end of period $ 1,513,416 $ 1,726,541 The table below presents the outstanding principal balance and related amortized cost at March 31, 2017 and December 31, 2016 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 For the Year Ended March 31, 2017 December 31, 2016 (dollars in thousands) Outstanding principal balance: Beginning of period $ 3,138,265 $ 3,550,698 End of period $ 3,042,276 $ 3,138,265 Amortized cost: Beginning of period $ 1,695,079 $ 1,958,726 End of period $ 1,635,565 $ 1,695,079 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, 2017 and December 31, 2016 . All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d) of 2016, Form 10-K. March 31, 2017 (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 $ 9,776 $ (281 ) 2 $ — $ — — $ 9,776 $ (281 ) 2 Senior, interest-only 82,622 (16,387 ) 59 76,566 (47,417 ) 91 159,188 (63,804 ) 150 Subordinated 27,875 (776 ) 4 3,160 (917 ) 4 31,035 (1,693 ) 8 Subordinated, interest-only 609 (345 ) 2 4,963 (1,587 ) 2 5,572 (1,932 ) 4 Agency MBS Residential 2,243,923 (45,850 ) 109 53,638 (1,609 ) 1 2,297,561 (47,459 ) 110 Commercial 1,164,212 (43,044 ) 580 51,932 (3,848 ) 46 1,216,144 (46,892 ) 626 Interest-only 65,126 (2,600 ) 22 46,816 (6,401 ) 15 111,942 (9,001 ) 37 Total $ 3,594,143 $ (109,283 ) 778 $ 237,075 $ (61,779 ) 159 $ 3,831,218 $ (171,062 ) 937 December 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 $ 12,384 $ (250 ) 3 $ — $ — — $ 12,384 $ (250 ) 3 Senior, interest-only 96,399 (13,600 ) 62 78,516 (43,931 ) 86 174,915 (57,531 ) 148 Subordinated 56,015 (412 ) 7 2,826 (824 ) 4 58,841 (1,236 ) 11 Subordinated, interest-only 748 (230 ) 2 11,276 (1,624 ) 3 12,024 (1,854 ) 5 Agency MBS Residential 2,338,910 (48,084 ) 106 54,943 (1,615 ) 1 2,393,853 (49,699 ) 107 Commercial 1,247,923 (45,802 ) 646 51,733 (4,035 ) 46 1,299,656 (49,837 ) 692 Interest-only 63,506 (2,170 ) 20 52,963 (7,098 ) 16 116,469 (9,268 ) 36 Total $ 3,815,885 $ (110,548 ) 846 $ 252,257 $ (59,127 ) 156 $ 4,068,142 $ (169,675 ) 1002 At March 31, 2017 , the Company had the intent to sell ten Agency MBS positions collateralized by commercial property which were in an unrealized loss position. These Commercial Agency MBS positions had an unrealized loss of $2 million at March 31, 2017. Therefore, the Company recorded an other-than-temporary impairment loss for this amount during the current reporting period. There were no other MBS securities at March 31, 2017 that were in an unrealized loss position, and the Company intended to sell, or it was 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, 2017 . Gross unrealized losses on the Company’s Agency residential and commercial MBS were $94 million and $100 million as of March 31, 2017 and December 31, 2016 , respectively. Given the inherent credit quality of Agency MBS, the Company does not consider any of the current impairments on its Agency MBS to be credit related. In evaluating whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at their maturity, the Company considers the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at March 31, 2017 and December 31, 2016 , unrealized losses on its Agency MBS were temporary. Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency IO MBS strips which are reported at fair value with changes in fair value recorded in earnings) were $2 million and $1 million at March 31, 2017 and December 31, 2016 , 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, 2017 and 2016 is presented below. For the Quarter Ended March 31, 2017 March 31, 2016 (dollars in thousands) Total other-than-temporary impairment losses $ (2,713 ) $ (4,423 ) Portion of loss recognized in other comprehensive income (loss) (15,988 ) (6,255 ) Net other-than-temporary credit impairment losses $ (18,701 ) $ (10,678 ) 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, 2017 March 31, 2016 (dollars in thousands) Cumulative credit loss beginning balance $ 556,485 $ 529,112 Additions: Other-than-temporary impairments not previously recognized — 10,326 Reductions for securities sold or deconsolidated during the period (7,443 ) (242 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 16,726 352 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (7,539 ) (172 ) Cumulative credit impairment loss ending balance $ 558,229 $ 539,376 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, 2017 March 31, 2016 Loss Severity Weighted Average 64% 58% Range 63% - 64% 44% - 79% 60+ days delinquent Weighted Average 19% 20% Range 11% - 25% 0% - 40% Credit Enhancement (1) Weighted Average 22% 28% Range 0% - 37% 0% - 100% 3 Month CPR Weighted Average 12% 5% Range 4% - 24% 0% - 19% 12 Month CPR Weighted Average 10% 4% Range 4% - 19% 4% - 21% (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, 2017 and December 31, 2016 . 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, 2017 , IO MBS had a net unrealized loss of $58 million and had an amortized cost of $440 million . At December 31, 2016 , IO MBS had a net unrealized loss of $48 million and had an amortized cost of $458 million . The fair value of IOs at March 31, 2017 and December 31, 2016 was $382 million and $410 million , respectively. All changes in fair value of IOs are reflected in Net Income in the Consolidated Statements of Operations. March 31, 2017 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 739,946 $ — $ 739,946 $ (281 ) $ — $ (281 ) Senior, interest-only — 16,095 16,095 — (63,804 ) (63,804 ) Subordinated 70,572 4,167 74,739 (75 ) (1,618 ) (1,693 ) Subordinated, interest-only — 103 103 — (1,932 ) (1,932 ) Agency MBS Residential 10,566 — 10,566 (47,459 ) — (47,459 ) Commercial 1,334 — 1,334 (46,892 ) — (46,892 ) Interest-only — 877 877 — (9,001 ) (9,001 ) Total $ 822,418 $ 21,242 $ 843,660 $ (94,707 ) $ (76,355 ) $ (171,062 ) December 31, 2016 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 732,133 $ — $ 732,133 $ (250 ) $ — $ (250 ) Senior, interest-only — 18,674 18,674 — (57,531 ) (57,531 ) Subordinated 74,584 3,273 77,857 (235 ) (1,001 ) (1,236 ) Subordinated, interest-only — — — — (1,854 ) (1,854 ) Agency MBS Residential 11,235 — 11,235 (49,699 ) — (49,699 ) Commercial 175 — 175 (49,837 ) — (49,837 ) Interest-only — 1,893 1,893 — (9,268 ) (9,268 ) Total $ 818,127 $ 23,840 $ 841,967 $ (100,021 ) $ (69,654 ) $ (169,675 ) 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 MBS portfolio at March 31, 2017 and December 31, 2016 . March 31, 2017 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 $ 3,060,690 $ 55.51 $ 79.68 4.4 % 15.8 % Senior, interest-only 5,434,402 5.29 4.41 1.4 % 10.9 % Subordinated 662,469 70.25 81.28 3.8 % 9.1 % Subordinated, interest-only 263,126 5.18 4.48 1.0 % 12.8 % Agency MBS Residential pass-through 2,480,534 105.82 104.33 3.9 % 3.0 % Commercial pass-through 1,393,290 102.51 99.24 3.6 % 2.9 % Interest-only 3,248,168 4.29 4.04 0.8 % 3.6 % (1) Bond Equivalent Yield at period end. December 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 $ 3,190,947 $ 55.76 $ 78.69 4.3 % 15.5 % Senior, interest-only 5,648,339 5.18 4.49 1.5 % 11.7 % Subordinated 673,259 70.83 82.21 3.8 % 9.2 % Subordinated, interest-only 266,927 5.20 4.50 1.1 % 13.5 % Agency MBS Residential pass-through 2,594,570 105.78 104.29 3.9 % 3.0 % Commercial pass-through 1,331,543 102.64 98.91 3.6 % 2.9 % Interest-only 3,356,491 4.53 4.31 0.8 % 3.5 % (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, 2017 and December 31, 2016 . March 31, 2017 December 31, 2016 AAA 0.3 % 0.3 % AA 0.3 % 0.3 % A 0.6 % 0.7 % BBB 0.8 % 0.7 % BB 2.3 % 3.0 % B 3.8 % 3.9 % Below B or not rated 91.9 % 91.1 % 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, 2017 and December 31, 2016 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, 2017 (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 $ 13,049 $ 559,748 $ 1,149,305 $ 716,521 $ 2,438,623 Senior interest-only 254 40,115 107,971 91,171 239,511 Subordinated — 91,937 222,181 224,341 538,459 Subordinated interest-only — — 11,798 — 11,798 Agency MBS Residential — 14,298 2,573,630 — 2,587,928 Commercial — 46,882 16,676 1,319,176 1,382,734 Interest-only — 92,969 33,509 4,711 131,189 Total fair value $ 13,303 $ 845,949 $ 4,115,070 $ 2,355,920 $ 7,330,242 Amortized cost Non-Agency RMBS Senior $ 11,800 $ 420,613 $ 783,176 $ 483,369 $ 1,698,958 Senior interest-only 1,532 49,283 135,893 100,512 287,220 Subordinated — 76,349 183,184 205,880 465,413 Subordinated interest-only — — 13,627 — 13,627 Agency MBS Residential — 14,296 2,610,525 — 2,624,821 Commercial — 48,568 17,239 1,362,485 1,428,292 Interest-only — 95,470 39,191 4,652 139,313 Total amortized cost $ 13,332 $ 704,579 $ 3,782,835 $ 2,156,898 $ 6,657,644 December 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 $ 25,612 $ 508,979 $ 1,267,000 $ 709,412 $ 2,511,003 Senior interest-only 417 37,796 115,780 99,546 253,539 Subordinated — 94,793 238,630 220,075 553,498 Subordinated interest-only — — 12,024 — 12,024 Agency MBS Residential — 429,869 2,276,109 — 2,705,978 Commercial — 47,354 16,833 1,252,788 1,316,975 Interest-only — 75,863 63,715 5,222 144,800 Total fair value $ 26,029 $ 1,194,654 $ 3,990,091 $ 2,287,043 $ 7,497,817 Amortized cost Non-Agency RMBS Senior $ 21,423 $ 403,250 $ 868,624 $ 485,823 $ 1,779,120 Senior interest-only 1,992 50,252 134,642 105,510 292,396 Subordinated — 76,287 195,538 205,052 476,877 Subordinated interest-only — — 13,878 — 13,878 Agency MBS Residential — 438,270 2,306,172 — 2,744,442 Commercial — 49,027 17,247 1,300,363 1,366,637 Interest-only — 77,598 69,333 5,244 152,175 Total amortized cost $ 23,415 $ 1,094,684 $ 3,605,434 $ 2,101,992 $ 6,825,525 The Non-Agency RMBS portfolio is subject to credit risk. The Non-Agency RMBS portfolio is primarily collateralized by 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. At origination of the loan, Alt-A mortgage securities are defined as Non-Agency RMBS where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) the FICO scores are greater than 720 and RMBS have 30% or less of the underlying collateral composed of full documentation loans. At March 31, 2017 and December 31, 2016 , 68% of the Non-Agency RMBS collateral was classified as Alt-A, respectively. At March 31, 2017 and December 31, 2016 , 13% and 14% of the Non-Agency RMBS collateral was classified as prime, respectively. The remaining Non-Agency RMBS collateral is classified as subprime. The Non-Agency RMBS in the Portfolio have the following collateral characteristics at March 31, 2017 and December 31, 2016 . March 31, 2017 December 31, 2016 Weighted average maturity (years) 21.4 21.6 Weighted average amortized loan to value (1) 66.2 % 66.5 % Weighted average FICO (2) 674 675 Weighted average loan balance (in thousands) $ 320 $ 319 Weighted average percentage owner occupied 83.3 % 83.2 % Weighted average percentage single family residence 65.8 % 65.8 % Weighted average current credit enhancement 2.3 % 2.3 % Weighted average geographic concentration of top four states CA 32.1 % CA 32.1 % FL 8.2 % FL 8.1 % NY 8.1 % NY 7.9 % NJ 2.7 % NJ 2.7 % (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, 2017 and December 31, 2016 . Origination Year March 31, 2017 December 31, 2016 2003 and prior 3.6 % 3.6 % 2004 4.2 % 4.2 % 2005 20.4 % 20.2 % 2006 37.7 % 38.0 % 2007 31.5 % 31.3 % 2008 1.8 % 1.8 % 2009 and later 0.8 % 0.9 % 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. The proceeds and gross realized gains and gross realized losses from sales of investments for the quarters ended March 31, 2017 and 2016 are as follows: For the Quarter Ended March 31, 2017 March 31, 2016 (dollars in thousands) Proceeds from sales $ 20,063 $ 270,479 Gross realized gains 5,187 1,695 Gross realized losses (20 ) (4,369 ) Net realized gain (loss) $ 5,167 $ (2,674 ) Included in the gross realized gains for the quarter ended March 31, 2017 in the table above are exchanges of securities with a fair value of $20 million , 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 $5 million reflected in earnings for the quarter ended March 31, 2017 . There were no such exchanges during the quarter ended March 31, 2016. |
Securitized Loans Held for Inve
Securitized Loans Held for Investment | 3 Months Ended |
Mar. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Securitized Loans Held for Investment | Securitized Loans Held for Investment The Securitized loans held for investment is comprised primarily of loans collateralized by seasoned subprime residential mortgages. Additionally, it includes non-conforming, single family, owner occupied, jumbo, prime residential mortgages. At March 31, 2017 , all securitized loans held for investment are carried at fair value. See Note 5 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 total amortized cost of our Securitized loans held for investments was $12.4 billion and $8.6 billion as of March 31, 2017 and December 31, 2016 , respectively. 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, 2017 and December 31, 2016 : For the Quarter Ended For the Year Ended March 31, 2017 December 31, 2016 (dollars in thousands) Balance, beginning of period $ 8,753,653 $ 4,768,416 Purchases 4,165,322 4,897,370 Principal paydowns (324,851 ) (1,022,414 ) Sales and settlements 1,289 5,007 Net periodic accretion (amortization) (3,109 ) (41,363 ) Change in fair value 120,969 146,637 Balance, end of period $ 12,713,273 $ 8,753,653 The primary cause of the change in fair value is due to changes in credit risk of the portfolio. Residential mortgage loans The securitized loan portfolio for all residential mortgages were originated during the following years: Origination Year March 31, 2017 December 31, 2016 2002 and prior 8.2 % 8.9 % 2003 7.0 % 5.2 % 2004 15.4 % 11.9 % 2005 20.7 % 20.5 % 2006 20.8 % 22.0 % 2007 19.1 % 20.9 % 2008 6.0 % 6.5 % 2009 0.5 % 0.6 % 2010 and later 2.3 % 3.5 % Total 100.0 % 100.0 % The following table presents a summary of key characteristics of the securitized residential loan portfolio at March 31, 2017 and December 31, 2016 : March 31, 2017 December 31, 2016 Number of loans 140,899 95,155 Weighted average maturity (years) 19.0 19.8 Weighted average loan to value (1) 87.3 % 86.9 % Weighted average FICO (1) 640 627 Weighted average loan balance (in thousands) $ 90 $ 93 Weighted average percentage owner occupied 97.0 % 96.6 % Weighted average percentage single family residence 86.0 % 85.0 % Weighted average geographic concentration of top five states CA 9.2 % CA 10.0 % FL 6.8 % FL 6.7 % OH 6.4 % OH 6.5 % PA 5.5 % VA 5.9 % VA 5.5 % NC 5.1 % (1) As provided by the Trustee. The following table summarizes the outstanding principal balance of the residential loan portfolio which are 30 days delinquent and greater as reported by the servicer at March 31, 2017 and December 31, 2016 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) March 31, 2017 $ 376,365 $ 127,936 $ 235,111 $ 198,395 $ 187,021 $ 41,158 $ 1,165,986 December 31, 2016 $ 363,899 $ 140,495 $ 190,991 $ 207,364 $ 203,265 $ 40,709 $ 1,146,723 The fair value of residential mortgage loans 90 days or more past due is $499 million and $449 million as of March 31, 2017 and December 31, 2016 , respectively. Real estate owned 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. All REO assets of the Company are held-for-sale and it is the Company’s intention to sell the property in the shortest time possible to maximize their return and recovery on the previously recorded loan. The carrying value of REO assets at March 31, 2017 and December 31, 2016 was $12 million and $13 million , respectively, and were recorded in Other Assets on the Company’s consolidated statements of financial condition. |
Fair Value Measurements
Fair Value Measurements | 3 Months Ended |
Mar. 31, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Fair Value Measurements 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. If third party pricing services are unable to provide a price for an asset, or if the price provided by them is deemed unreliable by the Company, then the asset will be valued at its fair value as determined by the Company without validation to third-party pricing. 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. At March 31, 2017 , ten investment holdings with an internally developed fair value of $103 million had a difference between the model generated prices and third party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $7 million higher than the third party prices provided of $96 million . After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at March 31, 2017 in excess of the derived predetermined threshold for the period. At December 31, 2016, ten investment holdings with an internally developed fair value of $123 million had a difference between the model generated prices and third party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $16 million higher than the third party prices provided of $107 million . After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. 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. 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 $266 million as of March 31, 2017 and December 31, 2016 . 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 $131 million and $145 million as of March 31, 2017 and December 31, 2016 . Interest income on all IO MBS securities was $9 million and $12 million for the quarters ended March 31, 2017 and 2016 , respectively. Non-Agency RMBS: The Company has elected the fair value option for certain interests in Non-Agency RMBS which we refer to as the overcollateralization classes. 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 Non-Agency RMBS investments is highly subjective 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 Statements of Operations. The fair value of the Non-Agency RMBS carried at fair value with changes in fair value reflected in earnings is $18 million and $19 million as of March 31, 2017 and December 31, 2016 , respectively. Securitized Loans Held for Investment Securitized loans consisting of seasoned subprime residential mortgage loans: The Company estimates the fair value of its securitized loans held for investment consisting of seasoned subprime residential mortgage loans on a loan by loan basis using an internally developed model which compares the loan held by the Company with a loan currently offered in the market. The loan price is adjusted in the model by considering the loan factors which would impact the value of a loan. These loan factors include: loan coupon as compared to coupon currently available in the market, FICO, loan-to-value ratios, delinquency history, owner occupancy, and property type, among other factors. A baseline is developed for each significant loan factor and adjusts the price up or down depending on how that factor for each specific loan compares to the baseline rate. Generally, the most significant impact on loan value is the loan interest rate as compared to interest rates currently available in the market and delinquency history. These two factors are based on relevant observable inputs. 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 subprime 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. At March 31, 2017 , the internally developed fair values of loan pools of $700 million had a difference between the model generated prices and third party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $42 million lower than the third party prices provided of $742 million . After review and discussion, the Company affirmed and valued the investments at the lower internally developed prices. At December 31, 2016 , the internally developed fair values of loan pools of $1.60 billion had a difference between the model generated prices and third party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $50 million higher than the third party prices provided of $1.55 billion . After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at March 31, 2017 and December 31, 2016 in excess of the derived predetermined threshold for the period. 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 Collateralized Financing Entity (“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. For further discussion of the valuation process and benchmarking process, see Agency MBS and Non-Agency RMBS discussion herein. 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. This process, including the review process, is consistent with the process used for Agency MBS and Non-Agency RMBS using internal models. For further discussion of the valuation process and benchmarking process, see Agency MBS and Non-Agency RMBS discussion herein. 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. 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. 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, 2017 and December 31, 2016 is presented below. March 31, 2017 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 3,228,391 $ — $ 3,228,391 Agency MBS, at fair value — 4,101,851 — — 4,101,851 Securitized loans held for investment, at fair value — — 12,713,273 — 12,713,273 Derivatives 136 23,957 — (13,204 ) 10,889 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — (10,111,293 ) — (10,111,293 ) Derivatives (919 ) (14,695 ) — 13,987 (1,627 ) Total $ (783 ) $ 4,111,113 $ 5,830,371 $ 783 $ 9,941,484 December 31, 2016 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 3,330,063 $ — $ 3,330,063 Agency MBS, at fair value — 4,167,754 — — 4,167,754 Securitized loans held for investment, at fair value — — 8,753,653 — 8,753,653 Derivatives 1,785 22,327 — (14,435 ) 9,677 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — (6,941,097 ) — (6,941,097 ) Derivatives — (17,225 ) — 14,875 (2,350 ) Total $ 1,785 $ 4,172,856 $ 5,142,619 $ 440 $ 9,317,700 The table below provides a summary of the changes in the fair value of securities classified as Level 3 at March 31, 2017 and December 31, 2016 . Fair Value Reconciliation, Level 3 For the Quarter Ended, March 31, 2017 (dollars in thousands) Non-Agency RMBS Securitized Loans Securitized Debt Total Beginning balance Level 3 assets $ 3,330,063 $ 8,753,653 $ (6,941,097 ) $ 5,142,619 Transfers in to Level 3 assets 6,112 — — 6,112 Transfers out of Level 3 assets — — — — Purchases 25,745 4,165,322 (3,457,535 ) 733,532 Principal payments (127,929 ) (324,851 ) 331,290 (121,490 ) Sales and Settlements (20,063 ) 1,289 — (18,774 ) Accretion (amortization) of purchase discounts 30,661 (3,109 ) (4,525 ) 23,027 Gains (losses) included in net income Other than temporary credit impairment losses (16,726 ) — — (16,726 ) Realized gains (losses) on sales and settlements 5,150 — — 5,150 Net unrealized gains (losses) included in income (8,551 ) 120,969 (39,426 ) 72,992 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period 3,929 — — 3,929 Ending balance Level 3 assets $ 3,228,391 $ 12,713,273 $ (10,111,293 ) $ 5,830,371 Fair Value Reconciliation, Level 3 For the Year Ended, December 31, 2016 (dollars in thousands) Non-Agency RMBS 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 — — — — Purchases 257,914 4,897,370 (4,797,255 ) 358,029 Principal payments (532,696 ) (1,022,414 ) 1,059,854 (495,256 ) Sales and Settlements (149,938 ) 5,007 608,816 463,885 Accretion (amortization) of purchase discounts 120,638 (41,363 ) (2,128 ) 77,147 Gains (losses) included in net income Other than temporary credit impairment losses (57,986 ) — — (57,986 ) Realized gains (losses) on sales and settlements 13,761 — (122 ) 13,639 Net unrealized gains (losses) included in income 3,173 146,637 (89,766 ) 60,044 Gains (losses) included in other comprehensive income — Total unrealized gains (losses) for the period (644 ) — — (644 ) Ending balance Level 3 assets $ 3,330,063 $ 8,753,653 $ (6,941,097 ) $ 5,142,619 There were 6 million of Agency IOs transferred to Level 3 and no transfers out from Level 3, during the quarter ended March 31, 2017 . There were no transfers to or from Level 3 for the year ended December 31, 2016 . The primary cause of the changes in fair value of the securitized loans and the securitized debt are due to changes in credit risk of the portfolio. 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. Constant Prepayment Rates 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. Constant Default Rates 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 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. Discount Rate 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, 2017 and December 31, 2016 follows: March 31, 2017 December 31, 2016 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 5.1% 1% -40% 0% -22% 35% -95% 5.4% 1% -35% 0% -22% 35% -95% Senior interest-only 12.7% 3% -25% 0% -23% 35% -95% 12.5% 3% -30% 0% -22% 35% -95% Subordinated 5.9% 1% -25% 0% -18% 10% -74% 6.2% 1% -25% 0% -18% 0% -79% Subordinated interest-only 11.6% 6% -20% 0% -11% 35% -78% 13.2% 6% -15% 0% -11% 35% -76% A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by loans held for investment, as of March 31, 2017 and December 31, 2016 follows: March 31, 2017 December 31, 2016 Significant Inputs Significant Inputs CPR Range CDR Range Loss Severity Range CPR Range CDR Range Loss Severity Range Securitized debt at fair value, collateralized by loans held for investment 1% - 30% 0% - 25% 35% - 70% 1% - 35% 0% - 30% 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. Constant Prepayment Rates 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. Constant Default Rates 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. Loss Severity 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. Discount Rate 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. Sensitivity of Significant Inputs – Securitized loans held for investment The Securitized loans held for investment are comprised primarily of loans collateralized by seasoned subprime residential mortgages. Additionally, it includes non-conforming, single family, owner occupied, jumbo, prime residential mortgages. The significant unobservable inputs used to estimate the fair value of the securitized loans held for investment collateralized by seasoned subprime residential mortgage loans, as of March 31, 2017 and December 31, 2016 include coupon, FICO score at origination, loan-to-value ratios (LTV), owner occupancy status, and property type. A summary of the significant inputs used to estimate the fair value of Securitized loans held for investment collateralized by seasoned subprime mortgages at fair value as of March 31, 2017 and December 31, 2016 follows: March 31, 2017 December 31, 2016 Factor: Coupon Base Rate 5.2% 5.2% Actual 7.1% 7.1% FICO Base Rate 634 632 Actual 637 621 Loan-to-value (LTV) Base Rate 86% 87% Actual 88% 88% Loan Characteristics: Occupancy Owner Occupied 97% 97% Investor 2% 2% Secondary 1% 1% Property Type Single family 86% 86% Manufactured housing 6% 6% Multi-family/mixed use/other 8% 8% 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 |
Repurchase Agreements
Repurchase Agreements | 3 Months Ended |
Mar. 31, 2017 | |
Banking and Thrift [Abstract] | |
Repurchase Agreements | 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, 2017 and December 31, 2016 is: March 31, 2017 December 31, 2016 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 3,059,267 $ 3,087,734 Non-agency MBS (in thousands) 2,791,937 2,513,169 Total: $ 5,851,204 $ 5,600,903 Average balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 3,120,531 $ 4,159,651 Non-agency MBS (in thousands) 2,679,610 2,322,683 Total: $ 5,800,141 $ 6,482,334 Weighted average borrowing rate of Repurchase agreements secured by: Agency MBS 0.95 % 0.90 % Non-agency MBS 3.20 % 3.05 % Weighted average maturity of Repurchase agreements secured by: Agency MBS 23 Days 32 Days Non-agency MBS 97 Days 98 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 3,274,112 $ 3,334,245 Non-agency MBS (in thousands) 3,996,503 3,699,621 Total: $ 7,270,615 $ 7,033,866 At March 31, 2017 and December 31, 2016 , the repurchase agreements collateralized by MBS had the following remaining maturities. March 31, 2017 December 31, 2016 (dollars in thousands) Overnight $ — $ — 1 to 29 days 3,743,094 2,947,604 30 to 59 days 1,107,093 958,956 60 to 89 days 320,551 407,625 90 to 119 days 40,223 559,533 Greater than or equal to 120 days 640,243 727,185 Total $ 5,851,204 $ 5,600,903 At March 31, 2017 , the Company did not have any amount at risk with its counterparties, that was greater than 10% of its equity related to the collateral posted on repurchase agreements. At December 31, 2016 , the Company had an amount at risk with Nomura Securities Company Limited of 10% of its equity related to the collateral posted on repurchase agreements, the weighted average maturity of the repurchase agreements with Nomura Securities Company Limited was 104 days and the amount at risk was $320 million . There were no other amounts at risk with any other counterparties greater than 10% of the Company’s equity as of March 31, 2017 and December 31, 2016 . |
Securitized Debt
Securitized Debt | 3 Months Ended |
Mar. 31, 2017 | |
Debt Disclosure [Abstract] | |
Securitized Debt | 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 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, 2017 and December 31, 2016 the Company’s securitized debt collateralized by Non-Agency RMBS is carried at amortized cost and had a principal balance of $319 million and $350 million , respectively. At March 31, 2017 and December 31, 2016 , the debt carried a weighted average cost of financing equal to 5.39% and 5.21% , respectively. 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 collateralized by Non-Agency RMBS at March 31, 2017 and December 31, 2016 , 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, 2017 December 31, 2016 (dollars in thousands) Within One Year $ 92,500 $ 98,565 One to Three Years 68,666 82,563 Three to Five Years 24,678 23,854 Greater Than Five Years 18,754 31,973 Total $ 204,598 $ 236,955 Maturities of the Company’s securitized debt collateralized by Non-Agency RMBS 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, 2017 and December 31, 2016 the Company’s securitized debt collateralized by loans held for investment had a principal balance of $10.2 billion and $7.1 billion , respectively. During the quarter ended March 31, 2017 and 2016, the company recognized a loss of $39 million and a gain of $10 million , respectively, on the securitized debt carried at fair value in Net unrealized gains (losses) on financial instruments at fair value. At March 31, 2017 and December 31, 2016 the total securitized debt collateralized by loans held for investment carried a weighted average cost of financing equal to 4.10% and 3.99% respectively. The debt matures between the years 2021 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 . These transactions 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 . There were no securitized debt acquisitions during the quarter ended March 31, 2017 . The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at March 31, 2017 and December 31, 2016 , 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, 2017 December 31, 2016 (dollars in thousands) Within One Year $ 1,687,837 $ 1,151,519 One to Three Years 2,729,420 1,841,808 Three to Five Years 2,094,911 1,423,706 Greater Than Five Years 3,461,466 2,477,123 Total $ 9,973,634 $ 6,894,156 Maturities of the Company’s securitized debt collateralized by loans held for investment 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 quarter at March 31, 2017 . March 31, 2017 (dollars in thousands) Year Principal 2017 $ 1,162,931 2018 1,130,809 2019 457,005 2020 3,903,177 2021 3,290,623 Total $ 9,944,545 |
Consolidated Securitization Veh
Consolidated Securitization Vehicles and Other Variable Interest Entities | 3 Months Ended |
Mar. 31, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Consolidated Securitization Vehicles and Other Variable Interest Entities | 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 long-term, non-recourse financing. The Company evaluated its interest in each VIE to determine if it is the primary beneficiary. As of March 31, 2017 , the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $14.7 billion and liabilities with a carrying value of $10.5 billion . As of December 31, 2016 , the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $10.8 billion of and liabilities with a carrying value of $7.3 billion . During the quarter ended March 31, 2017 , the Company acquired approximately $4.1 billion unpaid principal balance of seasoned residential subprime mortgage loans. The Company sold these loans to multiple real estate mortgage investment conduit trusts (the “Trusts”). The Company purchased certain subordinate notes and trust certificates of the Trusts. The Company evaluated the Trusts and determined that the total equity investment at risk is not sufficient to permit these trusts to finance its activities without additional subordinated financial support provided by another party. Therefore, the Company concluded that the Trusts were VIEs. The Company further determined that their interests in the Trusts gave the Company the power to direct the activity of these VIEs that most significantly impacted the Company's economic performance of the VIEs. As the Company concluded that it was the primary beneficiary of the Trusts, the Company consolidated the assets and liabilities of the Trusts. All intercompany balances and transactions are eliminated in consolidation. The consolidation of these Trusts resulted in the addition of the following amounts, net of eliminations, at the time of acquisition. Consolidated Trusts (dollars in thousands) Assets: Securitized loans held for investment, at fair value $ 4,202,446 Other Assets 24,882 Liabilities: Securitized debt at fair value (1) $ 3,468,597 (1) After the elimination of intercompany balances. As sponsor of the Trusts, the Company has retained an eligible horizontal retained interest consisting of the Class B and Class C notes in the Trusts in order to satisfy the U.S. risk retention rules (the “Required Credit Risk”). The U.S. risk retention rules impose limitations on the ability of the Company to dispose of or hedge the Required Credit Risk until the later of (i) the fifth anniversary of the closing date of the securitization transactions (the “Closing Date”) and (ii) the date on which the aggregate unpaid principal balance of the mortgage loans has been reduced to 25% of the aggregate unpaid principal balance of the mortgage loans as of the Closing Date, but in any event no longer than the seventh anniversary of the Closing Date. These investments have been eliminated in consolidation of the Trusts as of March 31, 2017 . 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, 2017 and December 31, 2016 . March 31, 2017 December 31, 2016 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 1,775,986 $ 1,842,080 Securitized loans held for investment, at fair value 12,713,273 8,753,653 Accrued interest receivable 77,940 57,153 Other Assets 126,108 109,068 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 303,389 $ 334,124 Securitized debt at fair value, collateralized by loans held for investment 10,111,293 6,941,097 Accrued interest payable 36,553 24,942 Income and expense and OTTI amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the table below. For the Quarter Ended March 31, 2017 March 31, 2016 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 192,989 $ 131,980 Interest expense, Non-recourse liabilities of VIEs 82,684 39,250 Net interest income $ 110,305 $ 92,730 Total other-than-temporary impairment losses $ (413 ) $ (233 ) Portion of loss recognized in other comprehensive income (loss) (13,467 ) (7,864 ) Net other-than-temporary credit impairment losses $ (13,880 ) $ (8,097 ) 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, 2017 , ranged from less than $1 million to $51 million , with an aggregate amount of $1.5 billion . The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 2016 , ranged from less than $1 million to $51 million , with an aggregate amount of $1.5 billion . The Company’s maximum exposure to loss from these unconsolidated VIEs was $1.4 billion at March 31, 2017 and December 31, 2016 , 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, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | 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 a fixed rate related to a portion of its current and anticipated payments on its repurchase agreements. 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, 2017 and December 31, 2016 . March 31, 2017 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 $ 1,535,900 Derivatives, at fair value, net $ 5,876 Derivatives, at fair value, net $ — Swaptions 482,000 Derivatives, at fair value, net 5,013 Derivatives, at fair value, net (1,627 ) Treasury Futures 619,700 Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ 2,637,600 $ 10,889 $ (1,627 ) December 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 $ 1,396,900 Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Swaptions 624,000 Derivatives, at fair value, net 7,892 Derivatives, at fair value, net (2,350 ) Treasury Futures 619,700 Derivatives, at fair value, net 1,785 Derivatives, at fair value, net — Total $ 2,640,600 $ 9,677 $ (2,350 ) The effect of the Company’s derivatives on the Consolidated Statements of Operations is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of March 31, 2017 March 31, 2016 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 6,316 $ (88,709 ) Interest Rate Swaps Net realized gains (losses) on derivatives (1) (4,106 ) (11,676 ) Treasury Futures Net unrealized gains (losses) on derivatives (2,568 ) (2,985 ) Treasury Futures Net realized gains (losses) on derivatives (2,084 ) (21,610 ) Swaptions Net unrealized gains (losses) on derivatives 1,148 (8,987 ) Swaptions Net realized gains (losses) on derivatives (3,168 ) (2,140 ) Other Derivative Assets Net unrealized gains (losses) on derivatives — (430 ) Other Derivative Assets Net realized gains (losses) on derivatives — — Total $ (4,462 ) $ (136,537 ) (1) Includes loss on termination of interest rate swap of $458 thousand for the quarter ended March 31, 2016 . There were no swaps terminations during the quarter ended March 31, 2017 . 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. 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, 2017 was 2.11% and the weighted average receive rate was 1.04% . The weighted average pay rate on the Company’s interest rate swaps at December 31, 2016 was 2.13% and the weighted average receive rate was 0.90% . The weighted average maturity on the Company’s interest rate swaps at March 31, 2017 and December 31, 2016 was 7 years and 8 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 asset position at March 31, 2017 is approximately $2 million including accrued interest, which represents the maximum amount the Company would receive upon termination, which is fully collateralized. |
Capital Stock
Capital Stock | 3 Months Ended |
Mar. 31, 2017 | |
Equity [Abstract] | |
Capital Stock | Capital Stock Preferred Stock In February 2017, the Company issued 13,000,000 shares of 8.00% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series B Preferred Stock”), at a public offering price of $25.00 per share. The Series B Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not authorized or declared) exclusively at the Company’s option commencing in March 30, 2024, subject to the Company’s right, under limited circumstances, to redeem the Series B Preferred Stock prior to that date. The initial dividend rate for the Series B Preferred Stock, from and including February 27, 2017, to but not including March 30, 2024, will be equal to 8.00% per annum of the $25.00 liquidation preference per share (equivalent to the fixed annual rate of $2.00 per share). On and after March 30, 2024, dividends on the Series B Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the three-month LIBOR plus a spread of 5.791% per annum. The Series B Preferred Stock is entitled to receive, when and as declared, a dividend at a rate of 8.0% per year on the $25.00 liquidation preference before the common stock is paid any dividends and is senior to the common stock with respect to distributions upon liquidation, dissolution or winding up. This transaction was completed in February 2017, pursuant to which the company received proceeds, net of offering costs, of $314 million . The first dividend for the Series B preferred stock will be paid on June 30, 2017. In October 2016, the Company issued 5,800,000 shares of 8.00% Series A Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series A Preferred Stock”), at a public offering price of $25.00 per share. The Series A Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not authorized or declared) exclusively at the Company’s option commencing in October 30, 2021, subject to the Company’s right, under limited circumstances, to redeem the Series A Preferred Stock prior to that date. The Series A Preferred Stock is entitled to receive, when and as declared, a dividend at a rate of 8.0% per year on the $25.00 liquidation preference before the common stock is paid any dividends and is senior to the common stock with respect to distributions upon liquidation, dissolution or winding up. This transaction was completed in October 2016, pursuant to which the company received proceeds, net of offering costs, of $140 million . The Company declared dividends to Series A preferred stockholders of $3 million or $0.50 per preferred share during the quarter ended March 31, 2017 . Common Stock Our Board of Directors adopted a program that authorizes repurchases of our common stock up to $350 million . Shares of our common stock may be purchased in the open market, including through block purchases, 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. The Company did no t repurchase any shares during the quarter ended of March 31, 2017 , and has $100 million in its share repurchase program that may be used to repurchase shares in the future. During the quarter ended March 31, 2017 , the Company declared regular dividends to common shareholders totaling $94 million , or $0.50 per share. 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 . Earnings per share for the quarter ended March 31, 2017 , and 2016 , respectively, are computed as follows: For the Quarter Ended March 31, 2017 March 31, 2016 (dollars in thousands) Numerator: Net income available to common shareholders $ 157,524 $ 83,098 Effect of dilutive securities: — — Dilutive net income available to common shareholders $ 157,524 $ 83,098 Denominator: Weighted average basic shares 187,761,748 187,723,472 Effect of dilutive securities 433,313 116,710 Weighted average dilutive shares 188,195,061 187,840,182 Net income per average share attributable to common stockholders - Basic $ 0.84 $ 0.44 Net income per average share attributable to common stockholders - Diluted $ 0.84 $ 0.44 |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 3 Months Ended |
Mar. 31, 2017 | |
Equity [Abstract] | |
Accumulated Other Comprehensive Income | 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, 2017 and 2016 : March 31, 2017 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2016 $ 718,106 $ 718,106 OCI before reclassifications (3,910 ) (3,910 ) Amounts reclassified from AOCI 13,515 13,515 Net current period OCI 9,605 9,605 Balance as of March 31, 2017 $ 727,711 $ 727,711 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 The following table presents the details of the reclassifications from AOCI for the quarters ended March 31, 2017 and 2016 : March 31, 2017 March 31, 2016 Details about Accumulated OCI Components Amounts Reclassified from Accumulated OCI Amounts Reclassified from Accumulated OCI Affected Line on the Consolidated Statements Of Operations Unrealized gains and losses on available-for-sale securities $ 5,186 $ 1,612 Net realized gains (losses) on sales of investments (18,701 ) (10,678 ) Net other-than-temporary credit impairment losses $ (13,515 ) $ (9,066 ) Income before income taxes — — Income taxes $ (13,515 ) $ (9,066 ) Net of tax |
Equity Compensation, Employment
Equity Compensation, Employment Agreements and other Benefit Plans | 3 Months Ended |
Mar. 31, 2017 | |
Compensation Related Costs [Abstract] | |
Equity Compensation, Employment Agreements and other Benefit Plans | 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 “Incentive 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 approximately 6 million shares available for future grants under the Incentive Plan as of March 31, 2017 . 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 Deferral 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. 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 Incentive 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 quarter ended March 31, 2017 and 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 after three years. 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 112 thousand and 266 thousand RSU awards during the quarter ended March 31, 2017 and 2016 , with a grant date fair value of $2 million and $3 million , respectively, which will be recognized as compensation expense on a straight-line basis over the three year vesting period. During the quarter ended March 31, 2017 and 2016 , the Company granted certain of its employees 144 thousand and 180 thousand Performance Share Units (“PSU”) awards, respectively. 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, 2019 and December 31, 2018 , respectively. The final number of shares that will vest will be between 0% to 150% of the total PSU awards 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 144 thousand PSU awards granted during 2017 had a grant date value of $3 million that will cliff vest on December 31, 2019. The 180 thousand PSU awards granted during 2016 had a grant date value of $3 million which will cliff vest on December 31, 2018. The Company recognized stock based compensation expenses of $1 million , and $102 thousand for the quarters ended March 31, 2017 , and 2016 , respectively. There were no forfeitures during the quarter ended March 31, 2017 and 2016 . The Company also maintains a qualified 401(k) plan. The plan is a retirement savings plan that allows eligible employees to contribute a portion of their wages on a tax-deferred basis under Section 401(k) of the Code. Employees may contribute, through payroll deductions, up to $18,000 if under the age of 50 years and an additional $6,000 “catch-up” contribution for employees 50 years or older. The Company matches 100% of the first 6% of the eligible compensation deferred by employee contributions. The employer funds the 401(k) matching contributions in the form of cash, and participants may direct the Company match to an investment of their choice. The benefit of the Company’s contributions vests immediately. Generally, a participating employee is entitled to distributions from the plans upon termination of employment, retirement, death or disability. The 401(k) expense related to the Company’s qualified plan for the quarters ended March 31, 2017 and 2016 was $112 thousand and $92 thousand , respectively. |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2017 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes For the quarter ended March 31, 2017 and the year ended December 31, 2016 , the Company 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 to 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 quarter ended March 31, 2017 and December 31, 2016 . In general, 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 2015, 2014 and 2013 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, 2017 | |
Offsetting [Abstract] | |
Credit Risk and Interest Rate Risk | 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 subprime 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, 2017 and December 31, 2016 . March 31, 2017 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Instruments Cash Collateral (Received) Pledged (1) Net Amount Repurchase Agreements $ (5,851,204 ) $ — $ (5,851,204 ) $ 7,270,615 $ 4,849 $ 1,424,260 Interest Rate Swaps - Gross Assets 18,944 (13,068 ) 5,876 — 32,375 38,251 Interest Rate Swaps - Gross Liabilities (13,068 ) 13,068 — — — — Treasury Futures - Gross Assets 136 (136 ) — — 5,254 5,254 Treasury Futures - Gross Liabilities (919 ) 919 — — — — Swaptions - Gross Assets 5,013 — 5,013 — — 5,013 Swaptions - Gross Liabilities (1,627 ) — (1,627 ) 341 — (1,286 ) Other Derivative Assets — — — — — — Total Liabilities $ (5,842,725 ) $ 783 $ (5,841,942 ) $ 7,270,956 $ 42,478 $ 1,471,492 (1) Included in other assets December 31, 2016 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Instruments Cash Collateral (Received) Pledged (1) Net Amount Repurchase Agreements $ (5,600,903 ) $ — $ (5,600,903 ) $ 7,033,866 $ 2,545 $ 1,435,508 Interest Rate Swaps - Gross Assets 14,435 (14,435 ) — — — — Interest Rate Swaps - Gross Liabilities (14,875 ) 14,875 — — 39,627 39,627 Treasury Futures - Gross Assets 1,785 — 1,785 — 3,320 5,105 Treasury Futures - Gross Liabilities — — — — — — Swaptions - Gross Assets 7,892 — 7,892 — — 7,892 Swaptions - Gross Liabilities (2,350 ) — (2,350 ) 10,341 — 7,991 Other Derivative Assets — — — — — — Total Liabilities $ (5,594,016 ) $ 440 $ (5,593,576 ) $ 7,044,207 $ 45,492 $ 1,496,123 (1) Included in other assets |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | 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, it 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, 2017 and December 31, 2016 . |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2017 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events None. |
Summary of the Significant Ac25
Summary of the Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2017 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | 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, 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 security 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 holder of the security it has retained. Determining the primary beneficiary of a VIE requires significant judgment. The Company determined that for the securitizations it consolidates, its ownership 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 trusts, 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 assets of securitization entities are comprised of senior classes of residential mortgage backed securities (“RMBS”) or 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 | 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. |
Use of Estimates | 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 including 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. |
Income Taxes | Income Taxes 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, 2017 or December 31, 2016. |
Fair Value | 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. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements Business Combinations - (Topic 805) In January 2017, the FASB issued ASU No. 2017-01, Business Combinations - Clarifying the Definition of a Business. This update clarifies the definition of a business with the objective of adding guidance to assist entities with evaluating whether transactions should be accounted for as acquisitions (or disposals) of assets or businesses. Under the current implementation guidance in Topic 805, there are three elements of a business-inputs, processes, and outputs. While an integrated set of assets and activities (collectively referred to as a “set”) that is a business usually has outputs, outputs are not required to be present. The amendments in this Update provide a screen to determine when a set is not a business. The screen requires that when substantially all of the fair value of the gross assets acquired (or disposed of) is concentrated in a single identifiable asset or a group of similar identifiable assets, the set is not a business. This screen reduces the number of transactions that need to be further evaluated. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption is allowed. The amendments in this update should be applied prospectively on or after the effective date. No disclosures are required at transition. The Company is not planning to early adopt and is currently evaluating what impact this update will have on the consolidated financial statements. Statement of Cash Flows - Restricted Cash - (Topic 230) In November 2016, the FASB issued ASU No. 2016-18, Statement of Cash Flows - Restricted Cash. This update requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. The amendments in this Update do not provide a definition of restricted cash or restricted cash equivalents. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption is allowed. The amendments in this update should be applied using a retrospective transition method to each period presented. The Company is not planning to early adopt and is currently evaluating what impact this update will have on the consolidated financial statements. Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments - (Topic 230) In August 2016, the FASB issued ASU No. 2016-15, Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments. This update provides guidance on eight specific cash flow issues. The guidance is intended to reduce diversity in practice on those issues across all industries. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption is allowed. The guidance is to be applied retrospectively, unless it is impracticable to do so for an issue, then the amendments related to that issue would be applied prospectively. The Company did not elect to early adopt the provisions of this update. The Company is currently evaluating what impact this update will have on the consolidated financial statements. Financial Instruments - Credit Losses - (Topic 326) In June 2016, the FASB issued ASU No. 2016-13, Measurement of Credit Losses on Financial Instruments . This update replaces the current model for recognizing credit losses from an incurred credit loss model to a current expected credit loss (CECL) model for instruments measured at amortized cost and requires entities to record allowances for available-for-sale (AFS) debt securities when the fair value of an AFS debt security is below the amortized cost of the asset rather than reduce the carrying amount, as we do under the current OTTI model. This update also simplifies the accounting model for purchased credit-impaired debt securities and loans. The changes in the allowances created in accordance with this update will be recorded in earnings. The update also expands the disclosure requirements regarding the Company's assumptions, models, and methods for estimating the expected credit losses. In addition, the Company will disclose the amortized cost balance for each class of financial asset by credit quality indicator, disaggregated by the year of origination. The guidance in the ASU is effective for the Company as of January 1, 2020. Early adoption is allowed, beginning January 1, 2019. The standard requires entities to record a cumulative-effect adjustment to the statement of financial position as of the beginning of the first reporting period in which the guidance is effective. The Company is currently evaluating what impact this update will have on the consolidated financial statements. Share Based Payments - (Topic 718) In March 2016, the FASB issued ASU No. 2016-09, Improvements to Employee Share-Based Payment Accounting . Under this update companies will no longer record excess tax benefits and certain tax deficiencies associated with an award of equity instruments in additional paid-in capital. Instead, they will record all excess tax benefits and tax deficiencies as income tax expense or benefit in the income statement when the awards vest or are settled, and additional paid-in capital pools will be eliminated. The updated guidance will also allow the Company to repurchase more shares than it can today for tax withholding purposes without triggering liability accounting and to make a policy election to account for forfeitures as they occur. The guidance is to be applied using a modified retrospective transition method with a cumulative-effect adjustment recorded in retained earnings. The Company has adopted this guidance as of January 1, 2017. The adoption of this guidance did not have a significant impact on the Company's financial statements. Contingent Put and Call Options in Debt Instruments - (Topic 815) In March 2016, the FASB issued ASU No. 2016-06, Contingent Put and Call Options in Debt Instruments Accounting . This update clarifies 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 new guidance applies to existing debt instruments (or hybrid financial instruments that are determined to have a debt host) using a modified retrospective method as of the beginning of the period of adoption. The company has adopted this guidance as of January 1, 2017. The adoption of this guidance did not have a significant impact on the Company’s financial statements. Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships - (Topic 815) In March 2016, the FASB issued ASU No. 2016-05, Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships. The amendments in this update clarify that a change in the counterparty to a derivative instrument that has been designated as the hedging instrument under Topic 815 does not, in and of itself, require de-designation of that hedging relationship provided that all other hedge accounting criteria continue to be met. The company has adopted this guidance as of January 1, 2017. The Company currently does not apply hedge accounting for GAAP reporting purposes, therefore this guidance did not have a significant impact on the Company’s consolidated 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 did not elect to early adopt the provisions of this update and is currently evaluating what impact this update will have on the consolidated financial statements. |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Available-for-sale Securities Reconciliation | The tables below present amortized cost, fair value and unrealized gain/losses of Company's MBS investments as of March 31, 2017 and December 31, 2016 . March 31, 2017 (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 $ 3,060,690 $ 214 $ (1,361,946 ) $ 1,698,958 $ 2,438,623 $ 739,946 $ (281 ) $ 739,665 Senior, interest-only 5,434,402 287,220 — 287,220 239,511 16,095 (63,804 ) $ (47,709 ) Subordinated 662,469 15,360 (212,416 ) 465,413 538,459 74,739 (1,693 ) $ 73,046 Subordinated, interest-only 263,126 13,627 — 13,627 11,798 103 (1,932 ) $ (1,829 ) Agency MBS Residential 2,480,534 144,287 — 2,624,821 2,587,928 10,566 (47,459 ) $ (36,893 ) Commercial 1,393,290 37,763 (2,761 ) 1,428,292 1,382,734 1,334 (46,892 ) $ (45,558 ) Interest-only 3,248,168 139,313 — 139,313 131,189 877 (9,001 ) $ (8,124 ) Total $ 16,542,679 $ 637,784 $ (1,577,123 ) $ 6,657,644 $ 7,330,242 $ 843,660 $ (171,062 ) $ 672,598 December 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 $ 3,190,947 $ 231 $ (1,412,058 ) $ 1,779,120 $ 2,511,003 $ 732,133 $ (250 ) $ 731,883 Senior, interest-only 5,648,339 292,396 — 292,396 253,539 18,674 (57,531 ) (38,857 ) Subordinated 673,259 16,352 (212,734 ) 476,877 553,498 77,857 (1,236 ) 76,621 Subordinated, interest-only 266,927 13,878 — 13,878 12,024 — (1,854 ) (1,854 ) Agency MBS Residential 2,594,570 149,872 — 2,744,442 2,705,978 11,235 (49,699 ) (38,464 ) Commercial 1,331,543 37,782 (2,688 ) 1,366,637 1,316,975 175 (49,837 ) (49,662 ) Interest-only 3,356,491 152,175 — 152,175 144,800 1,893 (9,268 ) (7,375 ) Total $ 17,062,076 $ 662,686 $ (1,627,480 ) $ 6,825,525 $ 7,497,817 $ 841,967 $ (169,675 ) $ 672,292 |
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 Quarters Ended March 31, 2017 March 31, 2016 (dollars in thousands) Balance at beginning of period $ 1,550,110 $ 1,742,744 Purchases 8,216 20,183 Yield income earned (68,827 ) (72,169 ) Reclassification (to) from non-accretable difference 23,952 35,783 Sales and deconsolidation (35 ) — Balance at end of period $ 1,513,416 $ 1,726,541 |
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, 2017 and December 31, 2016 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 For the Year Ended March 31, 2017 December 31, 2016 (dollars in thousands) Outstanding principal balance: Beginning of period $ 3,138,265 $ 3,550,698 End of period $ 3,042,276 $ 3,138,265 Amortized cost: Beginning of period $ 1,695,079 $ 1,958,726 End of period $ 1,635,565 $ 1,695,079 |
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, 2017 and December 31, 2016 . All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d) of 2016, Form 10-K. March 31, 2017 (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 $ 9,776 $ (281 ) 2 $ — $ — — $ 9,776 $ (281 ) 2 Senior, interest-only 82,622 (16,387 ) 59 76,566 (47,417 ) 91 159,188 (63,804 ) 150 Subordinated 27,875 (776 ) 4 3,160 (917 ) 4 31,035 (1,693 ) 8 Subordinated, interest-only 609 (345 ) 2 4,963 (1,587 ) 2 5,572 (1,932 ) 4 Agency MBS Residential 2,243,923 (45,850 ) 109 53,638 (1,609 ) 1 2,297,561 (47,459 ) 110 Commercial 1,164,212 (43,044 ) 580 51,932 (3,848 ) 46 1,216,144 (46,892 ) 626 Interest-only 65,126 (2,600 ) 22 46,816 (6,401 ) 15 111,942 (9,001 ) 37 Total $ 3,594,143 $ (109,283 ) 778 $ 237,075 $ (61,779 ) 159 $ 3,831,218 $ (171,062 ) 937 December 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 $ 12,384 $ (250 ) 3 $ — $ — — $ 12,384 $ (250 ) 3 Senior, interest-only 96,399 (13,600 ) 62 78,516 (43,931 ) 86 174,915 (57,531 ) 148 Subordinated 56,015 (412 ) 7 2,826 (824 ) 4 58,841 (1,236 ) 11 Subordinated, interest-only 748 (230 ) 2 11,276 (1,624 ) 3 12,024 (1,854 ) 5 Agency MBS Residential 2,338,910 (48,084 ) 106 54,943 (1,615 ) 1 2,393,853 (49,699 ) 107 Commercial 1,247,923 (45,802 ) 646 51,733 (4,035 ) 46 1,299,656 (49,837 ) 692 Interest-only 63,506 (2,170 ) 20 52,963 (7,098 ) 16 116,469 (9,268 ) 36 Total $ 3,815,885 $ (110,548 ) 846 $ 252,257 $ (59,127 ) 156 $ 4,068,142 $ (169,675 ) 1002 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings | A summary of the OTTI included in earnings for the quarters ended March 31, 2017 and 2016 is presented below. For the Quarter Ended March 31, 2017 March 31, 2016 (dollars in thousands) Total other-than-temporary impairment losses $ (2,713 ) $ (4,423 ) Portion of loss recognized in other comprehensive income (loss) (15,988 ) (6,255 ) Net other-than-temporary credit impairment losses $ (18,701 ) $ (10,678 ) 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, 2017 March 31, 2016 (dollars in thousands) Cumulative credit loss beginning balance $ 556,485 $ 529,112 Additions: Other-than-temporary impairments not previously recognized — 10,326 Reductions for securities sold or deconsolidated during the period (7,443 ) (242 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 16,726 352 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (7,539 ) (172 ) Cumulative credit impairment loss ending balance $ 558,229 $ 539,376 |
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, 2017 March 31, 2016 Loss Severity Weighted Average 64% 58% Range 63% - 64% 44% - 79% 60+ days delinquent Weighted Average 19% 20% Range 11% - 25% 0% - 40% Credit Enhancement (1) Weighted Average 22% 28% Range 0% - 37% 0% - 100% 3 Month CPR Weighted Average 12% 5% Range 4% - 24% 0% - 19% 12 Month CPR Weighted Average 10% 4% Range 4% - 19% 4% - 21% (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, 2017 and December 31, 2016 . 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, 2017 , IO MBS had a net unrealized loss of $58 million and had an amortized cost of $440 million . At December 31, 2016 , IO MBS had a net unrealized loss of $48 million and had an amortized cost of $458 million . The fair value of IOs at March 31, 2017 and December 31, 2016 was $382 million and $410 million , respectively. All changes in fair value of IOs are reflected in Net Income in the Consolidated Statements of Operations. March 31, 2017 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 739,946 $ — $ 739,946 $ (281 ) $ — $ (281 ) Senior, interest-only — 16,095 16,095 — (63,804 ) (63,804 ) Subordinated 70,572 4,167 74,739 (75 ) (1,618 ) (1,693 ) Subordinated, interest-only — 103 103 — (1,932 ) (1,932 ) Agency MBS Residential 10,566 — 10,566 (47,459 ) — (47,459 ) Commercial 1,334 — 1,334 (46,892 ) — (46,892 ) Interest-only — 877 877 — (9,001 ) (9,001 ) Total $ 822,418 $ 21,242 $ 843,660 $ (94,707 ) $ (76,355 ) $ (171,062 ) December 31, 2016 (dollars in thousands) Gross Unrealized Gain Included in Accumulated Other Comprehensive Income Gross Unrealized Gain Included in Cumulative Earnings Total Gross Unrealized Gain Gross Unrealized Loss Included in Accumulated Other Comprehensive Income Gross Unrealized Loss Included in Cumulative Earnings Total Gross Unrealized Loss Non-Agency RMBS Senior $ 732,133 $ — $ 732,133 $ (250 ) $ — $ (250 ) Senior, interest-only — 18,674 18,674 — (57,531 ) (57,531 ) Subordinated 74,584 3,273 77,857 (235 ) (1,001 ) (1,236 ) Subordinated, interest-only — — — — (1,854 ) (1,854 ) Agency MBS Residential 11,235 — 11,235 (49,699 ) — (49,699 ) Commercial 175 — 175 (49,837 ) — (49,837 ) Interest-only — 1,893 1,893 — (9,268 ) (9,268 ) Total $ 818,127 $ 23,840 $ 841,967 $ (100,021 ) $ (69,654 ) $ (169,675 ) |
Residential Mortgage Backed Securities Collateral Characteristics | The following tables provide a summary of the Company’s MBS portfolio at March 31, 2017 and December 31, 2016 . March 31, 2017 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 $ 3,060,690 $ 55.51 $ 79.68 4.4 % 15.8 % Senior, interest-only 5,434,402 5.29 4.41 1.4 % 10.9 % Subordinated 662,469 70.25 81.28 3.8 % 9.1 % Subordinated, interest-only 263,126 5.18 4.48 1.0 % 12.8 % Agency MBS Residential pass-through 2,480,534 105.82 104.33 3.9 % 3.0 % Commercial pass-through 1,393,290 102.51 99.24 3.6 % 2.9 % Interest-only 3,248,168 4.29 4.04 0.8 % 3.6 % (1) Bond Equivalent Yield at period end. December 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 $ 3,190,947 $ 55.76 $ 78.69 4.3 % 15.5 % Senior, interest-only 5,648,339 5.18 4.49 1.5 % 11.7 % Subordinated 673,259 70.83 82.21 3.8 % 9.2 % Subordinated, interest-only 266,927 5.20 4.50 1.1 % 13.5 % Agency MBS Residential pass-through 2,594,570 105.78 104.29 3.9 % 3.0 % Commercial pass-through 1,331,543 102.64 98.91 3.6 % 2.9 % Interest-only 3,356,491 4.53 4.31 0.8 % 3.5 % (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, 2017 and December 31, 2016 . March 31, 2017 December 31, 2016 AAA 0.3 % 0.3 % AA 0.3 % 0.3 % A 0.6 % 0.7 % BBB 0.8 % 0.7 % BB 2.3 % 3.0 % B 3.8 % 3.9 % Below B or not rated 91.9 % 91.1 % 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, 2017 and December 31, 2016 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, 2017 (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 $ 13,049 $ 559,748 $ 1,149,305 $ 716,521 $ 2,438,623 Senior interest-only 254 40,115 107,971 91,171 239,511 Subordinated — 91,937 222,181 224,341 538,459 Subordinated interest-only — — 11,798 — 11,798 Agency MBS Residential — 14,298 2,573,630 — 2,587,928 Commercial — 46,882 16,676 1,319,176 1,382,734 Interest-only — 92,969 33,509 4,711 131,189 Total fair value $ 13,303 $ 845,949 $ 4,115,070 $ 2,355,920 $ 7,330,242 Amortized cost Non-Agency RMBS Senior $ 11,800 $ 420,613 $ 783,176 $ 483,369 $ 1,698,958 Senior interest-only 1,532 49,283 135,893 100,512 287,220 Subordinated — 76,349 183,184 205,880 465,413 Subordinated interest-only — — 13,627 — 13,627 Agency MBS Residential — 14,296 2,610,525 — 2,624,821 Commercial — 48,568 17,239 1,362,485 1,428,292 Interest-only — 95,470 39,191 4,652 139,313 Total amortized cost $ 13,332 $ 704,579 $ 3,782,835 $ 2,156,898 $ 6,657,644 December 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 $ 25,612 $ 508,979 $ 1,267,000 $ 709,412 $ 2,511,003 Senior interest-only 417 37,796 115,780 99,546 253,539 Subordinated — 94,793 238,630 220,075 553,498 Subordinated interest-only — — 12,024 — 12,024 Agency MBS Residential — 429,869 2,276,109 — 2,705,978 Commercial — 47,354 16,833 1,252,788 1,316,975 Interest-only — 75,863 63,715 5,222 144,800 Total fair value $ 26,029 $ 1,194,654 $ 3,990,091 $ 2,287,043 $ 7,497,817 Amortized cost Non-Agency RMBS Senior $ 21,423 $ 403,250 $ 868,624 $ 485,823 $ 1,779,120 Senior interest-only 1,992 50,252 134,642 105,510 292,396 Subordinated — 76,287 195,538 205,052 476,877 Subordinated interest-only — — 13,878 — 13,878 Agency MBS Residential — 438,270 2,306,172 — 2,744,442 Commercial — 49,027 17,247 1,300,363 1,366,637 Interest-only — 77,598 69,333 5,244 152,175 Total amortized cost $ 23,415 $ 1,094,684 $ 3,605,434 $ 2,101,992 $ 6,825,525 |
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, 2017 and December 31, 2016 . March 31, 2017 December 31, 2016 Weighted average maturity (years) 21.4 21.6 Weighted average amortized loan to value (1) 66.2 % 66.5 % Weighted average FICO (2) 674 675 Weighted average loan balance (in thousands) $ 320 $ 319 Weighted average percentage owner occupied 83.3 % 83.2 % Weighted average percentage single family residence 65.8 % 65.8 % Weighted average current credit enhancement 2.3 % 2.3 % Weighted average geographic concentration of top four states CA 32.1 % CA 32.1 % FL 8.2 % FL 8.1 % NY 8.1 % NY 7.9 % NJ 2.7 % NJ 2.7 % (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, 2017 and December 31, 2016 . Origination Year March 31, 2017 December 31, 2016 2003 and prior 3.6 % 3.6 % 2004 4.2 % 4.2 % 2005 20.4 % 20.2 % 2006 37.7 % 38.0 % 2007 31.5 % 31.3 % 2008 1.8 % 1.8 % 2009 and later 0.8 % 0.9 % 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, 2017 and 2016 are as follows: For the Quarter Ended March 31, 2017 March 31, 2016 (dollars in thousands) Proceeds from sales $ 20,063 $ 270,479 Gross realized gains 5,187 1,695 Gross realized losses (20 ) (4,369 ) Net realized gain (loss) $ 5,167 $ (2,674 ) |
Securitized Loans Held for In27
Securitized Loans Held for Investment (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |
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, 2017 and December 31, 2016 : For the Quarter Ended For the Year Ended March 31, 2017 December 31, 2016 (dollars in thousands) Balance, beginning of period $ 8,753,653 $ 4,768,416 Purchases 4,165,322 4,897,370 Principal paydowns (324,851 ) (1,022,414 ) Sales and settlements 1,289 5,007 Net periodic accretion (amortization) (3,109 ) (41,363 ) Change in fair value 120,969 146,637 Balance, end of period $ 12,713,273 $ 8,753,653 |
Schedule of Percentage of Securitized Loans Held for Investment Carried at Fair Value by Year Originated | The securitized loan portfolio for all residential mortgages were originated during the following years: Origination Year March 31, 2017 December 31, 2016 2002 and prior 8.2 % 8.9 % 2003 7.0 % 5.2 % 2004 15.4 % 11.9 % 2005 20.7 % 20.5 % 2006 20.8 % 22.0 % 2007 19.1 % 20.9 % 2008 6.0 % 6.5 % 2009 0.5 % 0.6 % 2010 and later 2.3 % 3.5 % Total 100.0 % 100.0 % |
Seasoned Subprime Residential Mortgage Loans | |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |
Schedule of Securitized Loans Held for Investment Carried at Fair Value Key Characteristics of Underlying Collateral | The following table presents a summary of key characteristics of the securitized residential loan portfolio at March 31, 2017 and December 31, 2016 : March 31, 2017 December 31, 2016 Number of loans 140,899 95,155 Weighted average maturity (years) 19.0 19.8 Weighted average loan to value (1) 87.3 % 86.9 % Weighted average FICO (1) 640 627 Weighted average loan balance (in thousands) $ 90 $ 93 Weighted average percentage owner occupied 97.0 % 96.6 % Weighted average percentage single family residence 86.0 % 85.0 % Weighted average geographic concentration of top five states CA 9.2 % CA 10.0 % FL 6.8 % FL 6.7 % OH 6.4 % OH 6.5 % PA 5.5 % VA 5.9 % VA 5.5 % NC 5.1 % (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 residential loan portfolio which are 30 days delinquent and greater as reported by the servicer at March 31, 2017 and December 31, 2016 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total (dollars in thousands) March 31, 2017 $ 376,365 $ 127,936 $ 235,111 $ 198,395 $ 187,021 $ 41,158 $ 1,165,986 December 31, 2016 $ 363,899 $ 140,495 $ 190,991 $ 207,364 $ 203,265 $ 40,709 $ 1,146,723 |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
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, 2017 and December 31, 2016 is presented below. March 31, 2017 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 3,228,391 $ — $ 3,228,391 Agency MBS, at fair value — 4,101,851 — — 4,101,851 Securitized loans held for investment, at fair value — — 12,713,273 — 12,713,273 Derivatives 136 23,957 — (13,204 ) 10,889 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — (10,111,293 ) — (10,111,293 ) Derivatives (919 ) (14,695 ) — 13,987 (1,627 ) Total $ (783 ) $ 4,111,113 $ 5,830,371 $ 783 $ 9,941,484 December 31, 2016 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 3,330,063 $ — $ 3,330,063 Agency MBS, at fair value — 4,167,754 — — 4,167,754 Securitized loans held for investment, at fair value — — 8,753,653 — 8,753,653 Derivatives 1,785 22,327 — (14,435 ) 9,677 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — (6,941,097 ) — (6,941,097 ) Derivatives — (17,225 ) — 14,875 (2,350 ) Total $ 1,785 $ 4,172,856 $ 5,142,619 $ 440 $ 9,317,700 |
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, 2017 and December 31, 2016 . Fair Value Reconciliation, Level 3 For the Quarter Ended, March 31, 2017 (dollars in thousands) Non-Agency RMBS Securitized Loans Securitized Debt Total Beginning balance Level 3 assets $ 3,330,063 $ 8,753,653 $ (6,941,097 ) $ 5,142,619 Transfers in to Level 3 assets 6,112 — — 6,112 Transfers out of Level 3 assets — — — — Purchases 25,745 4,165,322 (3,457,535 ) 733,532 Principal payments (127,929 ) (324,851 ) 331,290 (121,490 ) Sales and Settlements (20,063 ) 1,289 — (18,774 ) Accretion (amortization) of purchase discounts 30,661 (3,109 ) (4,525 ) 23,027 Gains (losses) included in net income Other than temporary credit impairment losses (16,726 ) — — (16,726 ) Realized gains (losses) on sales and settlements 5,150 — — 5,150 Net unrealized gains (losses) included in income (8,551 ) 120,969 (39,426 ) 72,992 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period 3,929 — — 3,929 Ending balance Level 3 assets $ 3,228,391 $ 12,713,273 $ (10,111,293 ) $ 5,830,371 Fair Value Reconciliation, Level 3 For the Year Ended, December 31, 2016 (dollars in thousands) Non-Agency RMBS 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 — — — — Purchases 257,914 4,897,370 (4,797,255 ) 358,029 Principal payments (532,696 ) (1,022,414 ) 1,059,854 (495,256 ) Sales and Settlements (149,938 ) 5,007 608,816 463,885 Accretion (amortization) of purchase discounts 120,638 (41,363 ) (2,128 ) 77,147 Gains (losses) included in net income Other than temporary credit impairment losses (57,986 ) — — (57,986 ) Realized gains (losses) on sales and settlements 13,761 — (122 ) 13,639 Net unrealized gains (losses) included in income 3,173 146,637 (89,766 ) 60,044 Gains (losses) included in other comprehensive income — Total unrealized gains (losses) for the period (644 ) — — (644 ) Ending balance Level 3 assets $ 3,330,063 $ 8,753,653 $ (6,941,097 ) $ 5,142,619 |
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, collateralized by loans held for investment, as of March 31, 2017 and December 31, 2016 follows: March 31, 2017 December 31, 2016 Significant Inputs Significant Inputs CPR Range CDR Range Loss Severity Range CPR Range CDR Range Loss Severity Range Securitized debt at fair value, collateralized by loans held for investment 1% - 30% 0% - 25% 35% - 70% 1% - 35% 0% - 30% 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, 2017 and December 31, 2016 . March 31, 2017 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 5,851,204 5,873,452 Securitized debt, collateralized by Non-Agency RMBS 3 303,389 292,285 December 31, 2016 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 5,600,903 5,619,385 Securitized debt, collateralized by Non-Agency RMBS 3 334,124 324,261 |
Securitized Loans Held for Investment at Fair Value | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
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 collateralized by seasoned subprime mortgages at fair value as of March 31, 2017 and December 31, 2016 follows: March 31, 2017 December 31, 2016 Factor: Coupon Base Rate 5.2% 5.2% Actual 7.1% 7.1% FICO Base Rate 634 632 Actual 637 621 Loan-to-value (LTV) Base Rate 86% 87% Actual 88% 88% Loan Characteristics: Occupancy Owner Occupied 97% 97% Investor 2% 2% Secondary 1% 1% Property Type Single family 86% 86% Manufactured housing 6% 6% Multi-family/mixed use/other 8% 8% |
Non-agency MBS | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
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, 2017 and December 31, 2016 follows: March 31, 2017 December 31, 2016 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 5.1% 1% -40% 0% -22% 35% -95% 5.4% 1% -35% 0% -22% 35% -95% Senior interest-only 12.7% 3% -25% 0% -23% 35% -95% 12.5% 3% -30% 0% -22% 35% -95% Subordinated 5.9% 1% -25% 0% -18% 10% -74% 6.2% 1% -25% 0% -18% 0% -79% Subordinated interest-only 11.6% 6% -20% 0% -11% 35% -78% 13.2% 6% -15% 0% -11% 35% -76% |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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, 2017 and December 31, 2016 is: March 31, 2017 December 31, 2016 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 3,059,267 $ 3,087,734 Non-agency MBS (in thousands) 2,791,937 2,513,169 Total: $ 5,851,204 $ 5,600,903 Average balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 3,120,531 $ 4,159,651 Non-agency MBS (in thousands) 2,679,610 2,322,683 Total: $ 5,800,141 $ 6,482,334 Weighted average borrowing rate of Repurchase agreements secured by: Agency MBS 0.95 % 0.90 % Non-agency MBS 3.20 % 3.05 % Weighted average maturity of Repurchase agreements secured by: Agency MBS 23 Days 32 Days Non-agency MBS 97 Days 98 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 3,274,112 $ 3,334,245 Non-agency MBS (in thousands) 3,996,503 3,699,621 Total: $ 7,270,615 $ 7,033,866 At March 31, 2017 and December 31, 2016 , the repurchase agreements collateralized by MBS had the following remaining maturities. March 31, 2017 December 31, 2016 (dollars in thousands) Overnight $ — $ — 1 to 29 days 3,743,094 2,947,604 30 to 59 days 1,107,093 958,956 60 to 89 days 320,551 407,625 90 to 119 days 40,223 559,533 Greater than or equal to 120 days 640,243 727,185 Total $ 5,851,204 $ 5,600,903 |
Securitized Debt (Tables)
Securitized Debt (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Debt Instrument [Line Items] | |
Schedule of Callable Debt | The following table presents the par value of the callable debt by quarter at March 31, 2017 . March 31, 2017 (dollars in thousands) Year Principal 2017 $ 1,162,931 2018 1,130,809 2019 457,005 2020 3,903,177 2021 3,290,623 Total $ 9,944,545 |
Non-agency MBS | |
Debt Instrument [Line Items] | |
Schedule of Maturities of Long-term Debt | The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at March 31, 2017 and December 31, 2016 , 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, 2017 December 31, 2016 (dollars in thousands) Within One Year $ 92,500 $ 98,565 One to Three Years 68,666 82,563 Three to Five Years 24,678 23,854 Greater Than Five Years 18,754 31,973 Total $ 204,598 $ 236,955 |
Loans Held for Investment | |
Debt Instrument [Line Items] | |
Schedule of Maturities of Long-term Debt | The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at March 31, 2017 and December 31, 2016 , 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, 2017 December 31, 2016 (dollars in thousands) Within One Year $ 1,687,837 $ 1,151,519 One to Three Years 2,729,420 1,841,808 Three to Five Years 2,094,911 1,423,706 Greater Than Five Years 3,461,466 2,477,123 Total $ 9,973,634 $ 6,894,156 |
Consolidated Securitization V31
Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Consolidated Securitization Entities on Financial Condition | The consolidation of these Trusts resulted in the addition of the following amounts, net of eliminations, at the time of acquisition. Consolidated Trusts (dollars in thousands) Assets: Securitized loans held for investment, at fair value $ 4,202,446 Other Assets 24,882 Liabilities: Securitized debt at fair value (1) $ 3,468,597 (1) After the elimination of intercompany balances. 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, 2017 and December 31, 2016 . March 31, 2017 December 31, 2016 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 1,775,986 $ 1,842,080 Securitized loans held for investment, at fair value 12,713,273 8,753,653 Accrued interest receivable 77,940 57,153 Other Assets 126,108 109,068 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 303,389 $ 334,124 Securitized debt at fair value, collateralized by loans held for investment 10,111,293 6,941,097 Accrued interest payable 36,553 24,942 |
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 is presented in the table below. For the Quarter Ended March 31, 2017 March 31, 2016 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 192,989 $ 131,980 Interest expense, Non-recourse liabilities of VIEs 82,684 39,250 Net interest income $ 110,305 $ 92,730 Total other-than-temporary impairment losses $ (413 ) $ (233 ) Portion of loss recognized in other comprehensive income (loss) (13,467 ) (7,864 ) Net other-than-temporary credit impairment losses $ (13,880 ) $ (8,097 ) |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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, 2017 and December 31, 2016 . March 31, 2017 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 $ 1,535,900 Derivatives, at fair value, net $ 5,876 Derivatives, at fair value, net $ — Swaptions 482,000 Derivatives, at fair value, net 5,013 Derivatives, at fair value, net (1,627 ) Treasury Futures 619,700 Derivatives, at fair value, net — Derivatives, at fair value, net — Total $ 2,637,600 $ 10,889 $ (1,627 ) December 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 $ 1,396,900 Derivatives, at fair value, net $ — Derivatives, at fair value, net $ — Swaptions 624,000 Derivatives, at fair value, net 7,892 Derivatives, at fair value, net (2,350 ) Treasury Futures 619,700 Derivatives, at fair value, net 1,785 Derivatives, at fair value, net — Total $ 2,640,600 $ 9,677 $ (2,350 ) |
Schedule of Derivative Instruments Effects on Operating Results | The effect of the Company’s derivatives on the Consolidated Statements of Operations is presented below. Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of March 31, 2017 March 31, 2016 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 6,316 $ (88,709 ) Interest Rate Swaps Net realized gains (losses) on derivatives (1) (4,106 ) (11,676 ) Treasury Futures Net unrealized gains (losses) on derivatives (2,568 ) (2,985 ) Treasury Futures Net realized gains (losses) on derivatives (2,084 ) (21,610 ) Swaptions Net unrealized gains (losses) on derivatives 1,148 (8,987 ) Swaptions Net realized gains (losses) on derivatives (3,168 ) (2,140 ) Other Derivative Assets Net unrealized gains (losses) on derivatives — (430 ) Other Derivative Assets Net realized gains (losses) on derivatives — — Total $ (4,462 ) $ (136,537 ) (1) Includes loss on termination of interest rate swap of $458 thousand for the quarter ended March 31, 2016 . |
Capital Stock (Tables)
Capital Stock (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
Equity [Abstract] | |
Schedule of Earnings Per Share | Earnings per share for the quarter ended March 31, 2017 , and 2016 , respectively, are computed as follows: For the Quarter Ended March 31, 2017 March 31, 2016 (dollars in thousands) Numerator: Net income available to common shareholders $ 157,524 $ 83,098 Effect of dilutive securities: — — Dilutive net income available to common shareholders $ 157,524 $ 83,098 Denominator: Weighted average basic shares 187,761,748 187,723,472 Effect of dilutive securities 433,313 116,710 Weighted average dilutive shares 188,195,061 187,840,182 Net income per average share attributable to common stockholders - Basic $ 0.84 $ 0.44 Net income per average share attributable to common stockholders - Diluted $ 0.84 $ 0.44 |
Accumulated Other Comprehensi34
Accumulated Other Comprehensive Income (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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, 2017 and 2016 : March 31, 2017 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2016 $ 718,106 $ 718,106 OCI before reclassifications (3,910 ) (3,910 ) Amounts reclassified from AOCI 13,515 13,515 Net current period OCI 9,605 9,605 Balance as of March 31, 2017 $ 727,711 $ 727,711 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 |
Schedule of Reclassifications from AOCI | The following table presents the details of the reclassifications from AOCI for the quarters ended March 31, 2017 and 2016 : March 31, 2017 March 31, 2016 Details about Accumulated OCI Components Amounts Reclassified from Accumulated OCI Amounts Reclassified from Accumulated OCI Affected Line on the Consolidated Statements Of Operations Unrealized gains and losses on available-for-sale securities $ 5,186 $ 1,612 Net realized gains (losses) on sales of investments (18,701 ) (10,678 ) Net other-than-temporary credit impairment losses $ (13,515 ) $ (9,066 ) Income before income taxes — — Income taxes $ (13,515 ) $ (9,066 ) Net of tax |
Credit Risk and Interest Rate35
Credit Risk and Interest Rate Risk (Tables) | 3 Months Ended |
Mar. 31, 2017 | |
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, 2017 and December 31, 2016 . March 31, 2017 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Instruments Cash Collateral (Received) Pledged (1) Net Amount Repurchase Agreements $ (5,851,204 ) $ — $ (5,851,204 ) $ 7,270,615 $ 4,849 $ 1,424,260 Interest Rate Swaps - Gross Assets 18,944 (13,068 ) 5,876 — 32,375 38,251 Interest Rate Swaps - Gross Liabilities (13,068 ) 13,068 — — — — Treasury Futures - Gross Assets 136 (136 ) — — 5,254 5,254 Treasury Futures - Gross Liabilities (919 ) 919 — — — — Swaptions - Gross Assets 5,013 — 5,013 — — 5,013 Swaptions - Gross Liabilities (1,627 ) — (1,627 ) 341 — (1,286 ) Other Derivative Assets — — — — — — Total Liabilities $ (5,842,725 ) $ 783 $ (5,841,942 ) $ 7,270,956 $ 42,478 $ 1,471,492 (1) Included in other assets December 31, 2016 (dollars in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Statements of Financial Position Net Amounts Offset in the Consolidated Statements of Financial Position Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position Financial Instruments Cash Collateral (Received) Pledged (1) Net Amount Repurchase Agreements $ (5,600,903 ) $ — $ (5,600,903 ) $ 7,033,866 $ 2,545 $ 1,435,508 Interest Rate Swaps - Gross Assets 14,435 (14,435 ) — — — — Interest Rate Swaps - Gross Liabilities (14,875 ) 14,875 — — 39,627 39,627 Treasury Futures - Gross Assets 1,785 — 1,785 — 3,320 5,105 Treasury Futures - Gross Liabilities — — — — — — Swaptions - Gross Assets 7,892 — 7,892 — — 7,892 Swaptions - Gross Liabilities (2,350 ) — (2,350 ) 10,341 — 7,991 Other Derivative Assets — — — — — — Total Liabilities $ (5,594,016 ) $ 440 $ (5,593,576 ) $ 7,044,207 $ 45,492 $ 1,496,123 (1) Included in other assets |
Organization - Narrative (Detai
Organization - Narrative (Detail) | 3 Months Ended |
Mar. 31, 2017subsidiary | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of wholly owned direct subsidiaries | 8 |
Summary of the Significant Ac37
Summary of the Significant Accounting Policies (Details) - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 |
Accounting Policies [Abstract] | ||
Penalties and interest accrued | $ 0 | $ 0 |
Mortgage-Backed Securities - Su
Mortgage-Backed Securities - Summary (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Investment Holdings [Line Items] | ||
Principal or Notional Value | $ 16,542,679 | $ 17,062,076 |
Total Premium | 637,784 | 662,686 |
Total Discount | (1,577,123) | (1,627,480) |
Amortized Cost | 6,657,644 | 6,825,525 |
Fair Value | 7,330,242 | 7,497,817 |
Gross Unrealized Gains | 843,660 | 841,967 |
Gross Unrealized Losses | (171,062) | (169,675) |
Net Unrealized Gain/(Loss) | 672,598 | 672,292 |
Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 3,060,690 | 3,190,947 |
Total Premium | 214 | 231 |
Total Discount | (1,361,946) | (1,412,058) |
Amortized Cost | 1,698,958 | 1,779,120 |
Fair Value | 2,438,623 | 2,511,003 |
Gross Unrealized Gains | 739,946 | 732,133 |
Gross Unrealized Losses | (281) | (250) |
Net Unrealized Gain/(Loss) | 739,665 | 731,883 |
Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 5,434,402 | 5,648,339 |
Total Premium | 287,220 | 292,396 |
Amortized Cost | 287,220 | 292,396 |
Fair Value | 239,511 | 253,539 |
Gross Unrealized Gains | 16,095 | 18,674 |
Gross Unrealized Losses | (63,804) | (57,531) |
Net Unrealized Gain/(Loss) | (47,709) | (38,857) |
Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 662,469 | 673,259 |
Total Premium | 15,360 | 16,352 |
Total Discount | (212,416) | (212,734) |
Amortized Cost | 465,413 | 476,877 |
Fair Value | 538,459 | 553,498 |
Gross Unrealized Gains | 74,739 | 77,857 |
Gross Unrealized Losses | (1,693) | (1,236) |
Net Unrealized Gain/(Loss) | 73,046 | 76,621 |
Non-Agency RMBS - Subordinated interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 263,126 | 266,927 |
Total Premium | 13,627 | 13,878 |
Amortized Cost | 13,627 | 13,878 |
Fair Value | 11,798 | 12,024 |
Gross Unrealized Gains | 103 | 0 |
Gross Unrealized Losses | (1,932) | (1,854) |
Net Unrealized Gain/(Loss) | (1,829) | (1,854) |
Agency MBS - Residential | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 2,480,534 | 2,594,570 |
Total Premium | 144,287 | 149,872 |
Amortized Cost | 2,624,821 | 2,744,442 |
Fair Value | 2,587,928 | 2,705,978 |
Gross Unrealized Gains | 10,566 | 11,235 |
Gross Unrealized Losses | (47,459) | (49,699) |
Net Unrealized Gain/(Loss) | (36,893) | (38,464) |
Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 1,393,290 | 1,331,543 |
Total Premium | 37,763 | 37,782 |
Total Discount | (2,761) | (2,688) |
Amortized Cost | 1,428,292 | 1,366,637 |
Fair Value | 1,382,734 | 1,316,975 |
Gross Unrealized Gains | 1,334 | 175 |
Gross Unrealized Losses | (46,892) | (49,837) |
Net Unrealized Gain/(Loss) | (45,558) | (49,662) |
Agency MBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 3,248,168 | 3,356,491 |
Total Premium | 139,313 | 152,175 |
Amortized Cost | 139,313 | 152,175 |
Fair Value | 131,189 | 144,800 |
Gross Unrealized Gains | 877 | 1,893 |
Gross Unrealized Losses | (9,001) | (9,268) |
Net Unrealized Gain/(Loss) | $ (8,124) | $ (7,375) |
Mortgage-Backed Securities - Ac
Mortgage-Backed Securities - Accretable Yield (Detail) - Available-for-sale Securities - Non-Agency RMBS Having Deteriorated Credit When Acquired - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Accretable Yield Movement Schedule [Roll Forward] | ||
Balance at beginning of period | $ 1,550,110 | $ 1,742,744 |
Purchases | 8,216 | 20,183 |
Yield income earned | (68,827) | (72,169) |
Reclassification (to) from non-accretable difference | 23,952 | 35,783 |
Sales and deconsolidation | (35) | 0 |
Balance at end of period | $ 1,513,416 | $ 1,726,541 |
Mortgage-Backed Securities - No
Mortgage-Backed Securities - Non-Agency Securities Having Deteriorated Credit When Acquired (Detail) - Non-Agency RMBS Having Deteriorated Credit When Acquired - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Outstanding principal balance: | ||
Beginning of period | $ 3,138,265 | $ 3,550,698 |
End of period | 3,042,276 | 3,138,265 |
Amortized cost: | ||
Beginning of period | 1,695,079 | 1,958,726 |
End of period | $ 1,635,565 | $ 1,695,079 |
Mortgage-Backed Securities - Un
Mortgage-Backed Securities - Unrealized Loss Positions (Detail) - Residential Mortgage-Backed Securities $ in Thousands | Mar. 31, 2017USD ($)security | Dec. 31, 2016USD ($)security |
Investment Holdings [Line Items] | ||
Estimated Fair Value of RMBS in continuous loss position for less than 12 consecutive months | $ 3,594,143 | $ 3,815,885 |
Unrealized Losses on RMBS in continuous loss position for less than 12 consecutive months | $ (109,283) | $ (110,548) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 778 | 846 |
Estimated Fair Value of RMBS in continuous loss position for 12 or more consecutive months | $ 237,075 | $ 252,257 |
Unrealized Losses on RMBS in continuous loss position for 12 or more consecutive months | $ (61,779) | $ (59,127) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 159 | 156 |
Estimated Fair Value of RMBS in continuous loss position | $ 3,831,218 | $ 4,068,142 |
Unrealized Losses on RMBS in continuous loss position | $ (171,062) | $ (169,675) |
Number of Securities in continuous loss position | security | 937 | 1,002 |
Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Estimated Fair Value of RMBS in continuous loss position for less than 12 consecutive months | $ 9,776 | $ 12,384 |
Unrealized Losses on RMBS in continuous loss position for less than 12 consecutive months | $ (281) | $ (250) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 2 | 3 |
Estimated Fair Value of RMBS in continuous loss position for 12 or more consecutive months | $ 0 | $ 0 |
Unrealized Losses on RMBS in continuous loss position for 12 or more consecutive months | $ 0 | $ 0 |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 0 | 0 |
Estimated Fair Value of RMBS in continuous loss position | $ 9,776 | $ 12,384 |
Unrealized Losses on RMBS in continuous loss position | $ (281) | $ (250) |
Number of Securities in continuous loss position | security | 2 | 3 |
Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Estimated Fair Value of RMBS in continuous loss position for less than 12 consecutive months | $ 82,622 | $ 96,399 |
Unrealized Losses on RMBS in continuous loss position for less than 12 consecutive months | $ (16,387) | $ (13,600) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 59 | 62 |
Estimated Fair Value of RMBS in continuous loss position for 12 or more consecutive months | $ 76,566 | $ 78,516 |
Unrealized Losses on RMBS in continuous loss position for 12 or more consecutive months | $ (47,417) | $ (43,931) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 91 | 86 |
Estimated Fair Value of RMBS in continuous loss position | $ 159,188 | $ 174,915 |
Unrealized Losses on RMBS in continuous loss position | $ (63,804) | $ (57,531) |
Number of Securities in continuous loss position | security | 150 | 148 |
Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Estimated Fair Value of RMBS in continuous loss position for less than 12 consecutive months | $ 27,875 | $ 56,015 |
Unrealized Losses on RMBS in continuous loss position for less than 12 consecutive months | $ (776) | $ (412) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 4 | 7 |
Estimated Fair Value of RMBS in continuous loss position for 12 or more consecutive months | $ 3,160 | $ 2,826 |
Unrealized Losses on RMBS in continuous loss position for 12 or more consecutive months | $ (917) | $ (824) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 4 | 4 |
Estimated Fair Value of RMBS in continuous loss position | $ 31,035 | $ 58,841 |
Unrealized Losses on RMBS in continuous loss position | $ (1,693) | $ (1,236) |
Number of Securities in continuous loss position | security | 8 | 11 |
Non-Agency RMBS - Subordinated interest-only | ||
Investment Holdings [Line Items] | ||
Estimated Fair Value of RMBS in continuous loss position for less than 12 consecutive months | $ 609 | $ 748 |
Unrealized Losses on RMBS in continuous loss position for less than 12 consecutive months | $ (345) | $ (230) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 2 | 2 |
Estimated Fair Value of RMBS in continuous loss position for 12 or more consecutive months | $ 4,963 | $ 11,276 |
Unrealized Losses on RMBS in continuous loss position for 12 or more consecutive months | $ (1,587) | $ (1,624) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 2 | 3 |
Estimated Fair Value of RMBS in continuous loss position | $ 5,572 | $ 12,024 |
Unrealized Losses on RMBS in continuous loss position | $ (1,932) | $ (1,854) |
Number of Securities in continuous loss position | security | 4 | 5 |
Agency MBS - Residential | ||
Investment Holdings [Line Items] | ||
Estimated Fair Value of RMBS in continuous loss position for less than 12 consecutive months | $ 2,243,923 | $ 2,338,910 |
Unrealized Losses on RMBS in continuous loss position for less than 12 consecutive months | $ (45,850) | $ (48,084) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 109 | 106 |
Estimated Fair Value of RMBS in continuous loss position for 12 or more consecutive months | $ 53,638 | $ 54,943 |
Unrealized Losses on RMBS in continuous loss position for 12 or more consecutive months | $ (1,609) | $ (1,615) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 1 | 1 |
Estimated Fair Value of RMBS in continuous loss position | $ 2,297,561 | $ 2,393,853 |
Unrealized Losses on RMBS in continuous loss position | $ (47,459) | $ (49,699) |
Number of Securities in continuous loss position | security | 110 | 107 |
Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Estimated Fair Value of RMBS in continuous loss position for less than 12 consecutive months | $ 1,164,212 | $ 1,247,923 |
Unrealized Losses on RMBS in continuous loss position for less than 12 consecutive months | $ (43,044) | $ (45,802) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 580 | 646 |
Estimated Fair Value of RMBS in continuous loss position for 12 or more consecutive months | $ 51,932 | $ 51,733 |
Unrealized Losses on RMBS in continuous loss position for 12 or more consecutive months | $ (3,848) | $ (4,035) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 46 | 46 |
Estimated Fair Value of RMBS in continuous loss position | $ 1,216,144 | $ 1,299,656 |
Unrealized Losses on RMBS in continuous loss position | $ (46,892) | $ (49,837) |
Number of Securities in continuous loss position | security | 626 | 692 |
Agency MBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Estimated Fair Value of RMBS in continuous loss position for less than 12 consecutive months | $ 65,126 | $ 63,506 |
Unrealized Losses on RMBS in continuous loss position for less than 12 consecutive months | $ (2,600) | $ (2,170) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 22 | 20 |
Estimated Fair Value of RMBS in continuous loss position for 12 or more consecutive months | $ 46,816 | $ 52,963 |
Unrealized Losses on RMBS in continuous loss position for 12 or more consecutive months | $ (6,401) | $ (7,098) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 15 | 16 |
Estimated Fair Value of RMBS in continuous loss position | $ 111,942 | $ 116,469 |
Unrealized Losses on RMBS in continuous loss position | $ (9,001) | $ (9,268) |
Number of Securities in continuous loss position | security | 37 | 36 |
Mortgage-Backed Securities - In
Mortgage-Backed Securities - Investment Holdings - Narrative (Detail) | 3 Months Ended | ||
Mar. 31, 2017USD ($)pointsecurityposition | Mar. 31, 2016USD ($) | Dec. 31, 2016USD ($)security | |
Interest-Only RMBS | |||
Investment Holdings [Line Items] | |||
Interest-only RMBS, net unrealized gain (loss) | $ (58,000,000) | $ (48,000,000) | |
Interest-only RMBS, amortized cost | 440,000,000 | 458,000,000 | |
Interest-only RMBS, fair value | $ 382,000,000 | $ 410,000,000 | |
Residential Mortgage-Backed Securities | |||
Investment Holdings [Line Items] | |||
Number of Securities in continuous loss position | security | 937 | 1,002 | |
Gross unrealized loss | $ 171,062,000 | $ 169,675,000 | |
Interest-only RMBS, net unrealized gain (loss) | 672,598,000 | 672,292,000 | |
Interest-only RMBS, amortized cost | 6,657,644,000 | 6,825,525,000 | |
Agency RMBS - Pass-through | |||
Investment Holdings [Line Items] | |||
Gross unrealized loss | 94,000,000 | 100,000,000 | |
Non-agency MBS | |||
Investment Holdings [Line Items] | |||
Gross unrealized loss | $ 2,000,000 | $ 1,000,000 | |
Non-Agency RMBS Deemed To Be Equivalent To Alt-A Quality | |||
Investment Holdings [Line Items] | |||
Percentage in Alt-A collateral | 68.00% | 68.00% | |
Non Agency Residential MBS Deemed To Be Equivalent To Prime Quality | |||
Investment Holdings [Line Items] | |||
Percentage in prime collateral | 13.00% | 14.00% | |
Re-REMIC Security | |||
Investment Holdings [Line Items] | |||
Fair value of securities exchanged | $ 20,000,000 | $ 0 | |
Gain (loss) on sale of investments | $ 5,000,000 | ||
Minimum | Alt-A | |||
Investment Holdings [Line Items] | |||
FICO Score | point | 680 | ||
Maximum | Alt-A | |||
Investment Holdings [Line Items] | |||
FICO Score | point | 720 | ||
Alt-A securities underlying collateral of full documented loans | 30.00% | ||
Agency Commercial Mortgage Backed Securities | Residential Mortgage-Backed Securities | |||
Investment Holdings [Line Items] | |||
Number of Securities in continuous loss position | position | 10 | ||
Gross unrealized loss | $ 2,000,000 |
Mortgage-Backed Securities - Ag
Mortgage-Backed Securities - Aggregate Other Than Temporary Impairments (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||
Total other-than-temporary impairment losses | $ (2,713) | $ (4,423) |
Portion of loss recognized in other comprehensive income (loss) | (15,988) | (6,255) |
Net other-than-temporary credit impairment losses | $ (18,701) | $ (10,678) |
Mortgage-Backed Securities - 44
Mortgage-Backed Securities - Non-Agency Securities Credit Losses (Detail) - Non-agency MBS - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||
Cumulative credit loss beginning balance | $ 556,485 | $ 529,112 |
Additions: | ||
Other-than-temporary impairments not previously recognized | 0 | 10,326 |
Reductions for securities sold or deconsolidated during the period | (7,443) | (242) |
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | 16,726 | 352 |
Reductions for increases in cash flows expected to be collected over the remaining life of the securities | (7,539) | (172) |
Cumulative credit impairment loss ending balance | $ 558,229 | $ 539,376 |
Mortgage-Backed Securities - OT
Mortgage-Backed Securities - OTTI - Significant Inputs and Assumptions (Detail) - Non-agency MBS | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Weighted Average | ||
Investment Holdings [Line Items] | ||
Loss Severity | 64.00% | 58.00% |
60 days delinquent | 19.00% | 20.00% |
Credit Enhancement | 22.00% | 28.00% |
3 Month CPR | 12.00% | 5.00% |
12 Month CPR | 10.00% | 4.00% |
Minimum | ||
Investment Holdings [Line Items] | ||
Loss Severity | 63.00% | 44.00% |
60 days delinquent | 11.00% | 0.00% |
Credit Enhancement | 0.00% | 0.00% |
3 Month CPR | 4.00% | 0.00% |
12 Month CPR | 4.00% | 4.00% |
Maximum | ||
Investment Holdings [Line Items] | ||
Loss Severity | 64.00% | 79.00% |
60 days delinquent | 25.00% | 40.00% |
Credit Enhancement | 37.00% | 100.00% |
3 Month CPR | 24.00% | 19.00% |
12 Month CPR | 19.00% | 21.00% |
Mortgage-Backed Securities - Gr
Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | $ 822,418 | $ 818,127 |
Gross Unrealized Gain Included in Cumulative Earnings | 21,242 | 23,840 |
Total Gross Unrealized Gain | 843,660 | 841,967 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (94,707) | (100,021) |
Gross Unrealized Loss Included in Cumulative Earnings | (76,355) | (69,654) |
Total Gross Unrealized Loss | (171,062) | (169,675) |
Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 739,946 | 732,133 |
Total Gross Unrealized Gain | 739,946 | 732,133 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (281) | (250) |
Total Gross Unrealized Loss | (281) | (250) |
Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Cumulative Earnings | 16,095 | 18,674 |
Total Gross Unrealized Gain | 16,095 | 18,674 |
Gross Unrealized Loss Included in Cumulative Earnings | (63,804) | (57,531) |
Total Gross Unrealized Loss | (63,804) | (57,531) |
Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 70,572 | 74,584 |
Gross Unrealized Gain Included in Cumulative Earnings | 4,167 | 3,273 |
Total Gross Unrealized Gain | 74,739 | 77,857 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (75) | (235) |
Gross Unrealized Loss Included in Cumulative Earnings | (1,618) | (1,001) |
Total Gross Unrealized Loss | (1,693) | (1,236) |
Non-Agency RMBS - Subordinated interest-only | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Cumulative Earnings | 103 | 0 |
Total Gross Unrealized Gain | 103 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (1,932) | (1,854) |
Total Gross Unrealized Loss | (1,932) | (1,854) |
Agency MBS - Residential | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 10,566 | 11,235 |
Total Gross Unrealized Gain | 10,566 | 11,235 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (47,459) | (49,699) |
Total Gross Unrealized Loss | (47,459) | (49,699) |
Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 1,334 | 175 |
Total Gross Unrealized Gain | 1,334 | 175 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (46,892) | (49,837) |
Total Gross Unrealized Loss | (46,892) | (49,837) |
Agency MBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Cumulative Earnings | 877 | 1,893 |
Total Gross Unrealized Gain | 877 | 1,893 |
Gross Unrealized Loss Included in Cumulative Earnings | (9,001) | (9,268) |
Total Gross Unrealized Loss | $ (9,001) | $ (9,268) |
Mortgage-Backed Securities - Co
Mortgage-Backed Securities - Collateral Characteristics (Detail) - Residential Mortgage-Backed Securities $ in Thousands | Mar. 31, 2017USD ($)$ / security | Dec. 31, 2016USD ($)$ / security |
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 16,542,679 | $ 17,062,076 |
Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 3,060,690 | $ 3,190,947 |
Weighted Average Amortized Cost Basis | 55.51 | 55.76 |
Weighted Average Fair Value | 79.68 | 78.69 |
Weighted Average Coupon | 4.40% | 4.30% |
Weighted Average Yield at Period-End | 15.80% | 15.50% |
Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 5,434,402 | $ 5,648,339 |
Weighted Average Amortized Cost Basis | 5.29 | 5.18 |
Weighted Average Fair Value | 4.41 | 4.49 |
Weighted Average Coupon | 1.40% | 1.50% |
Weighted Average Yield at Period-End | 10.90% | 11.70% |
Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 662,469 | $ 673,259 |
Weighted Average Amortized Cost Basis | 70.25 | 70.83 |
Weighted Average Fair Value | 81.28 | 82.21 |
Weighted Average Coupon | 3.80% | 3.80% |
Weighted Average Yield at Period-End | 9.10% | 9.20% |
Non-Agency RMBS - Subordinated interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 263,126 | $ 266,927 |
Weighted Average Amortized Cost Basis | 5.18 | 5.20 |
Weighted Average Fair Value | 4.48 | 4.50 |
Weighted Average Coupon | 1.00% | 1.10% |
Weighted Average Yield at Period-End | 12.80% | 13.50% |
Agency MBS - Residential | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 2,480,534 | $ 2,594,570 |
Weighted Average Amortized Cost Basis | 105.82 | 105.78 |
Weighted Average Fair Value | 104.33 | 104.29 |
Weighted Average Coupon | 3.90% | 3.90% |
Weighted Average Yield at Period-End | 3.00% | 3.00% |
Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 1,393,290 | $ 1,331,543 |
Weighted Average Amortized Cost Basis | 102.51 | 102.64 |
Weighted Average Fair Value | 99.24 | 98.91 |
Weighted Average Coupon | 3.60% | 3.60% |
Weighted Average Yield at Period-End | 2.90% | 2.90% |
Agency MBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 3,248,168 | $ 3,356,491 |
Weighted Average Amortized Cost Basis | 4.29 | 4.53 |
Weighted Average Fair Value | 4.04 | 4.31 |
Weighted Average Coupon | 0.80% | 0.80% |
Weighted Average Yield at Period-End | 3.60% | 3.50% |
Mortgage-Backed Securities - Cr
Mortgage-Backed Securities - Credit Ratings (Detail) - Non-agency MBS | Mar. 31, 2017 | Dec. 31, 2016 |
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 100.00% | 100.00% |
AAA | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.30% | 0.30% |
AA | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.30% | 0.30% |
A | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.60% | 0.70% |
BBB | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.80% | 0.70% |
BB | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 2.30% | 3.00% |
B | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 3.80% | 3.90% |
Below B or not rated | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 91.90% | 91.10% |
Mortgage-Backed Securities - Ma
Mortgage-Backed Securities - Maturities (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Fair value | ||
Less than one year, at fair value | $ 13,303 | $ 26,029 |
Greater than one year and less than five years, at fair value | 845,949 | 1,194,654 |
Greater than five years and less than ten years, at fair value | 4,115,070 | 3,990,091 |
Greater than ten years, at fair value | 2,355,920 | 2,287,043 |
Total maturities, at fair value | 7,330,242 | 7,497,817 |
Amortized cost | ||
Less than one year, at amortized cost | 13,332 | 23,415 |
Greater than one year and less than five years, at amortized cost | 704,579 | 1,094,684 |
Greater than five years and less than ten years, at amortized cost | 3,782,835 | 3,605,434 |
Greater than ten years, at amortized cost | 2,156,898 | 2,101,992 |
Amortized Cost | 6,657,644 | 6,825,525 |
Non-Agency RMBS - Senior | ||
Fair value | ||
Less than one year, at fair value | 13,049 | 25,612 |
Greater than one year and less than five years, at fair value | 559,748 | 508,979 |
Greater than five years and less than ten years, at fair value | 1,149,305 | 1,267,000 |
Greater than ten years, at fair value | 716,521 | 709,412 |
Total maturities, at fair value | 2,438,623 | 2,511,003 |
Amortized cost | ||
Less than one year, at amortized cost | 11,800 | 21,423 |
Greater than one year and less than five years, at amortized cost | 420,613 | 403,250 |
Greater than five years and less than ten years, at amortized cost | 783,176 | 868,624 |
Greater than ten years, at amortized cost | 483,369 | 485,823 |
Amortized Cost | 1,698,958 | 1,779,120 |
Non-Agency RMBS - Senior interest-only | ||
Fair value | ||
Less than one year, at fair value | 254 | 417 |
Greater than one year and less than five years, at fair value | 40,115 | 37,796 |
Greater than five years and less than ten years, at fair value | 107,971 | 115,780 |
Greater than ten years, at fair value | 91,171 | 99,546 |
Total maturities, at fair value | 239,511 | 253,539 |
Amortized cost | ||
Less than one year, at amortized cost | 1,532 | 1,992 |
Greater than one year and less than five years, at amortized cost | 49,283 | 50,252 |
Greater than five years and less than ten years, at amortized cost | 135,893 | 134,642 |
Greater than ten years, at amortized cost | 100,512 | 105,510 |
Amortized Cost | 287,220 | 292,396 |
Non-Agency RMBS - Subordinated | ||
Fair value | ||
Less than one year, at fair value | 0 | 0 |
Greater than one year and less than five years, at fair value | 91,937 | 94,793 |
Greater than five years and less than ten years, at fair value | 222,181 | 238,630 |
Greater than ten years, at fair value | 224,341 | 220,075 |
Total maturities, at fair value | 538,459 | 553,498 |
Amortized cost | ||
Less than one year, at amortized cost | 0 | 0 |
Greater than one year and less than five years, at amortized cost | 76,349 | 76,287 |
Greater than five years and less than ten years, at amortized cost | 183,184 | 195,538 |
Greater than ten years, at amortized cost | 205,880 | 205,052 |
Amortized Cost | 465,413 | 476,877 |
Non-Agency RMBS - Subordinated interest-only | ||
Fair value | ||
Greater than five years and less than ten years, at fair value | 11,798 | 12,024 |
Total maturities, at fair value | 11,798 | 12,024 |
Amortized cost | ||
Greater than five years and less than ten years, at amortized cost | 13,627 | 13,878 |
Amortized Cost | 13,627 | 13,878 |
Agency MBS - Residential | ||
Fair value | ||
Greater than one year and less than five years, at fair value | 14,298 | 429,869 |
Greater than five years and less than ten years, at fair value | 2,573,630 | 2,276,109 |
Total maturities, at fair value | 2,587,928 | 2,705,978 |
Amortized cost | ||
Greater than one year and less than five years, at amortized cost | 14,296 | 438,270 |
Greater than five years and less than ten years, at amortized cost | 2,610,525 | 2,306,172 |
Amortized Cost | 2,624,821 | 2,744,442 |
Agency MBS - Commercial | ||
Fair value | ||
Less than one year, at fair value | 0 | |
Greater than one year and less than five years, at fair value | 46,882 | 47,354 |
Greater than five years and less than ten years, at fair value | 16,676 | 16,833 |
Greater than ten years, at fair value | 1,319,176 | 1,252,788 |
Total maturities, at fair value | 1,382,734 | 1,316,975 |
Amortized cost | ||
Less than one year, at amortized cost | 0 | |
Greater than one year and less than five years, at amortized cost | 48,568 | 49,027 |
Greater than five years and less than ten years, at amortized cost | 17,239 | 17,247 |
Greater than ten years, at amortized cost | 1,362,485 | 1,300,363 |
Amortized Cost | 1,428,292 | 1,366,637 |
Agency MBS - Interest-only | ||
Fair value | ||
Greater than one year and less than five years, at fair value | 92,969 | 75,863 |
Greater than five years and less than ten years, at fair value | 33,509 | 63,715 |
Greater than ten years, at fair value | 4,711 | 5,222 |
Total maturities, at fair value | 131,189 | 144,800 |
Amortized cost | ||
Greater than one year and less than five years, at amortized cost | 95,470 | 77,598 |
Greater than five years and less than ten years, at amortized cost | 39,191 | 69,333 |
Greater than ten years, at amortized cost | 4,652 | 5,244 |
Amortized Cost | $ 139,313 | $ 152,175 |
Mortgage-Backed Securities - Ge
Mortgage-Backed Securities - Geographical and Other Statistics (Detail) - Non-agency MBS $ in Thousands | Mar. 31, 2017USD ($)point | Dec. 31, 2016USD ($)point |
Investment Holdings [Line Items] | ||
Weighted average maturity (years) | 21 years 4 months 24 days | 21 years 7 months 6 days |
Weighted average amortized loan to value | 66.20% | 66.50% |
Weighted average FICO | point | 674 | 675 |
Weighted average loan balance (in thousands) | $ | $ 320 | $ 319 |
Weighted average percentage owner occupied | 83.30% | 83.20% |
Weighted average percentage single family residence | 65.80% | 65.80% |
Weighted average current credit enhancement | 2.30% | 2.30% |
California | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 32.10% | 32.10% |
Florida | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 8.20% | 8.10% |
New York | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 8.10% | 7.90% |
New Jersey | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 2.70% | 2.70% |
Mortgage-Backed Securities - Ye
Mortgage-Backed Securities - Year Originated (Detail) - Non-agency MBS | Mar. 31, 2017 | Dec. 31, 2016 |
Origination Year as a Percentage of Outstanding Principal Balance: | ||
2003 (and prior) | 3.60% | 3.60% |
2,004 | 4.20% | 4.20% |
2,005 | 20.40% | 20.20% |
2,006 | 37.70% | 38.00% |
2,007 | 31.50% | 31.30% |
2,008 | 1.80% | 1.80% |
2009 and later | 0.80% | 0.90% |
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, 2017 | Mar. 31, 2016 | |
Investment Holdings [Line Items] | ||
Net realized gain (loss) | $ 5,167 | $ (2,674) |
Residential Mortgage-Backed Securities | ||
Investment Holdings [Line Items] | ||
Proceeds from sales | 20,063 | 270,479 |
Gross realized gains | 5,187 | 1,695 |
Gross realized losses | (20) | (4,369) |
Net realized gain (loss) | $ 5,167 | $ (2,674) |
Securitized Loans Held for In53
Securitized Loans Held for Investment - Roll-Forward (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - Securitized Loans Held for Investment at Fair Value - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2017 | Dec. 31, 2016 | |
Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Balance, beginning of period | $ 8,753,653 | $ 4,768,416 |
Purchases | 4,165,322 | 4,897,370 |
Principal paydowns | (324,851) | (1,022,414) |
Sales and settlements | (1,289) | (5,007) |
Net periodic accretion (amortization) | (3,109) | (41,363) |
Change in fair value | 120,969 | 146,637 |
Balance, end of period | $ 12,713,273 | $ 8,753,653 |
Securitized Loans Held for In54
Securitized Loans Held for Investment - Year Originated (Detail) - Securitized Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans | Mar. 31, 2017 | Dec. 31, 2016 |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
2002 and prior | 8.20% | 8.90% |
2,003 | 7.00% | 5.20% |
2,004 | 15.40% | 11.90% |
2,005 | 20.70% | 20.50% |
2,006 | 20.80% | 22.00% |
2,007 | 19.10% | 20.90% |
2,008 | 6.00% | 6.50% |
2,009 | 0.50% | 0.60% |
2010 and later | 2.30% | 3.50% |
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 - Seasoned Subprime Residential Mortgage Loans $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2017USD ($)pointloan | Dec. 31, 2016USD ($)pointloan | |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of loans | loan | 140,899 | 95,155 |
Weighted average maturity (years) | 19 years | 19 years 9 months 18 days |
Weighted average loan to value | 87.30% | 86.90% |
Weighted average FICO | point | 640 | 627 |
Weighted average loan balance (in thousands) | $ | $ 90 | $ 93 |
Weighted average percentage owner occupied | 97.00% | 96.60% |
Weighted average percentage single family residence | 86.00% | 85.00% |
California | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 9.20% | 10.00% |
Florida | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 6.80% | 6.70% |
Ohio | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 6.40% | 6.50% |
Pennsylvania | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 5.50% | |
Virginia | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 5.50% | 5.90% |
North Carolina | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 5.10% |
Securitized Loans Held for In56
Securitized Loans Held for Investment - Aging (Detail) - Securitized Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
30 Days Delinquent | $ 376,365 | $ 363,899 |
60 Days Delinquent | 127,936 | 140,495 |
90 and Over Days Delinquent | 235,111 | 190,991 |
Bankruptcy | 198,395 | 207,364 |
Foreclosure | 187,021 | 203,265 |
REO | 41,158 | 40,709 |
Total | $ 1,165,986 | $ 1,146,723 |
Securitized Loans Held for In57
Securitized Loans Held for Investment - Narrative (Detail) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Securitized debt loans held for investment at cost | $ 12,400,000 | $ 8,600,000 |
Fair Value | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
90 and over days delinquent | 499,000 | 449,000 |
Securitized Loans Held for Investment at Fair Value | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
90 and over days delinquent | 235,111 | 190,991 |
Real estate held-for-sale | $ 12,000 | $ 13,000 |
Fair Value Measurements - Level
Fair Value Measurements - Level of Fair Value (Detail) $ in Thousands | Mar. 31, 2017USD ($)loan | Dec. 31, 2016USD ($)loan |
Assets: | ||
Non-Agency RMBS, at fair value | $ 3,228,391 | $ 3,330,063 |
Agency MBS, at fair value | 4,101,851 | 4,167,754 |
Securitized loans held for investment, at fair value | 12,713,273 | 8,753,653 |
Derivatives, at fair value, net | 10,889 | 9,677 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | (10,111,293) | (6,941,097) |
Derivative, Total | (1,627) | (2,350) |
Fair Value, Measurements, Recurring | ||
Assets: | ||
Non-Agency RMBS, at fair value | 3,228,391 | 3,330,063 |
Agency MBS, at fair value | 4,101,851 | 4,167,754 |
Securitized loans held for investment, at fair value | 12,713,273 | 8,753,653 |
Derivative, Counterparty and Cash Collateral, netting | (13,204) | (14,435) |
Derivatives, at fair value, net | 10,889 | 9,677 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | (10,111,293) | (6,941,097) |
Derivative, Counterparty and Cash Collateral, netting | 13,987 | 14,875 |
Derivative, Total | (1,627) | (2,350) |
Total | 9,941,484 | 9,317,700 |
Derivatives, Counterparty and Cash Collateral, netting | 783 | 440 |
Fair Value, Measurements, Recurring | Level 1 | ||
Assets: | ||
Derivatives | 136 | 1,785 |
Liabilities: | ||
Derivatives | (919) | 0 |
Total | (783) | 1,785 |
Fair Value, Measurements, Recurring | Level 2 | ||
Assets: | ||
Agency MBS, at fair value | 4,101,851 | 4,167,754 |
Derivatives | 23,957 | 22,327 |
Liabilities: | ||
Derivatives | (14,695) | (17,225) |
Total | 4,111,113 | 4,172,856 |
Fair Value, Measurements, Recurring | Level 3 | ||
Assets: | ||
Non-Agency RMBS, at fair value | 3,228,391 | 3,330,063 |
Securitized loans held for investment, at fair value | 12,713,273 | 8,753,653 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | (10,111,293) | (6,941,097) |
Total | $ 5,830,371 | $ 5,142,619 |
Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans internally valued lower than third party prices | loan | 10 | 10 |
Excess (deficit) of third party prices over internally developed price | $ 7,000 | $ (16,000) |
Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Excess (deficit) of third party prices over internally developed price | 42,000 | 50,000 |
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | 103,000 | 123,000 |
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | 700,000 | 1,600,000 |
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | 96,000 | 107,000 |
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | $ 742,000 | $ 1,550,000 |
Fair Value Measurements - Inter
Fair Value Measurements - Interest Only MBS (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Interest income | [1] | $ 251,344 | $ 201,194 | |
Non-Agency RMBS, at fair value | 3,228,391 | $ 3,330,063 | ||
Agency MBS, at fair value | 4,101,851 | 4,167,754 | ||
Residential Mortgage-Backed Securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value | 7,330,242 | 7,497,817 | ||
Residential Mortgage-Backed Securities | Agency MBS - Interest-only | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair value | 131,189 | 144,800 | ||
Interest-Only RMBS | Residential Mortgage-Backed Securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Interest income | 9,000 | $ 12,000 | ||
Interest-Only RMBS | Residential Mortgage-Backed Securities | Non-Agency RMBS - Interest-only | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Non-Agency RMBS, at fair value | 251,000 | 266,000 | ||
Interest-Only RMBS | Residential Mortgage-Backed Securities | Agency MBS - Interest-only | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Agency MBS, at fair value | $ 131,000 | $ 145,000 | ||
[1] | Includes interest income of consolidated VIEs of $192,989 and $131,980 for the quarters ended March 31, 2017 and 2016 respectively. See Note 8 to consolidated financial statements for further discussion. |
Fair Value Measurements - Unobs
Fair Value Measurements - Unobservable Input Reconciliation (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2017 | Dec. 31, 2016 | |
Fair Value Assets (Liabilities) Measured On Recurring Basis, Unobservable Input Reconciliation Calculation [Roll Forward] | ||
Total, Beginning balance, Level 3 | $ 5,142,619 | $ 4,723,761 |
Total, Purchases | 733,532 | 358,029 |
Total, Principal payments | (121,490) | (495,256) |
Total, Sales and Settlements | (18,774) | 463,885 |
Total, Accretion (amortization) of purchase discounts | 23,027 | 77,147 |
Total, Other than temporary credit impairment losses | (16,726) | (57,986) |
Total, Realized gains (losses) on sales and settlements | 5,150 | 13,639 |
Total, Net unrealized gains (losses) included in income | 72,992 | 60,044 |
Total, Total unrealized gains (losses) for the period | 3,929 | (644) |
Total, Ending balance, Level 3 | 5,830,371 | 5,142,619 |
Securitized Debt | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | ||
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward] | ||
Securitized Debt, Beginning balance, Level 3 | (6,941,097) | (3,720,496) |
Securitized Debt, Transfers in to Level 3 assets | 0 | 0 |
Securitized Debt, Transfers out of Level 3 assets | 0 | 0 |
Securitized Debt, Purchases | (3,457,535) | (4,797,255) |
Securitized Debt, Principal payments | 331,290 | 1,059,854 |
Securitized Debt, Sales and Settlements | 0 | 608,816 |
Securitized Debt, Accretion (amortization) of purchase discounts | (4,525) | (2,128) |
Securitized Debt, Realized gains (losses) on sales and settlements | 0 | (122) |
Securitized Debt, Net unrealized gains (losses) included in income | (39,426) | (89,766) |
Securitized Debt, Gains (losses) included in other comprehensive income | 0 | 0 |
Securitized Debt, Ending balance, Level 3 | (10,111,293) | (6,941,097) |
Non-agency MBS | ||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | ||
Beginning balance Level 3 assets | 3,330,063 | 3,675,841 |
Transfers in to Level 3 assets | 6,112 | 0 |
Transfers out of Level 3 assets | 0 | 0 |
Purchases | 25,745 | 257,914 |
Principal payments | (127,929) | (532,696) |
Sales and Settlements | (20,063) | (149,938) |
Accretion (amortization) of purchase discounts | 30,661 | 120,638 |
Other than temporary credit impairment losses | (16,726) | (57,986) |
Realized gains (losses) on sales and settlements | 5,150 | 13,761 |
Net unrealized gains (losses) included in income | (8,551) | 3,173 |
Total unrealized gains (losses) for the period | 3,929 | (644) |
Ending balance Level 3 assets | 3,228,391 | 3,330,063 |
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | ||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | ||
Beginning balance Level 3 assets | 8,753,653 | 4,768,416 |
Transfers in to Level 3 assets | 0 | 0 |
Transfers out of Level 3 assets | 0 | 0 |
Purchases | 4,165,322 | 4,897,370 |
Principal payments | (324,851) | (1,022,414) |
Sales and Settlements | 1,289 | 5,007 |
Accretion (amortization) of purchase discounts | (3,109) | (41,363) |
Net unrealized gains (losses) included in income | 146,637 | |
Change in fair value | 120,969 | 146,637 |
Total unrealized gains (losses) for the period | 0 | 0 |
Ending balance Level 3 assets | $ 12,713,273 | $ 8,753,653 |
Fair Value Measurements - Uno61
Fair Value Measurements - Unobservable Input Reconciliation - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Dec. 31, 2016 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Non-Agency RMBS, at fair value | $ 3,228,391 | $ 3,330,063 |
Agency MBS - Interest-only | Residential Mortgage-Backed Securities | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Transfers in to Level 3 assets | 6,000 | |
Non Agency Residential Mortgage Backed Securities Fair Value Option | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Non-Agency RMBS, at fair value | $ 18,000 | $ 19,000 |
Fair Value Measurements - Uno62
Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Detail) - Level 3 | Mar. 31, 2017 | Dec. 31, 2016 |
Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted Average Discount Rate | 5.10% | 5.40% |
Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted Average Discount Rate | 12.70% | 12.50% |
Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted Average Discount Rate | 5.90% | 6.20% |
Non-Agency RMBS - Subordinated interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted Average Discount Rate | 11.60% | 13.20% |
Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
CPR | 1.00% | 1.00% |
CDR | 0.00% | 0.00% |
Loss Severity | 35.00% | 35.00% |
Minimum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
CPR | 3.00% | 3.00% |
CDR | 0.00% | 0.00% |
Loss Severity | 35.00% | 35.00% |
Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
CPR | 1.00% | 1.00% |
CDR | 0.00% | 0.00% |
Loss Severity | 10.00% | 0.00% |
Minimum | Non-Agency RMBS - Subordinated interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
CPR | 6.00% | 6.00% |
CDR | 0.00% | 0.00% |
Loss Severity | 35.00% | 35.00% |
Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
CPR | 40.00% | 35.00% |
CDR | 22.00% | 22.00% |
Loss Severity | 95.00% | 95.00% |
Maximum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
CPR | 25.00% | 30.00% |
CDR | 23.00% | 22.00% |
Loss Severity | 95.00% | 95.00% |
Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
CPR | 25.00% | 25.00% |
CDR | 18.00% | 18.00% |
Loss Severity | 74.00% | 79.00% |
Maximum | Non-Agency RMBS - Subordinated interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
CPR | 20.00% | 15.00% |
CDR | 11.00% | 11.00% |
Loss Severity | 78.00% | 76.00% |
Fair Value Measurements - Uno63
Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Debt (Detail) - Level 3 - Securitized Debt at Fair Value, Collateralized by Loans Held for Investment | Mar. 31, 2017 | Dec. 31, 2016 |
Minimum | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Securitized debt at fair value, collateralized by loans held for investment, CPR Range | 1.00% | 1.00% |
Securitized debt at fair value, collateralized by loans held for investment, CDR Range | 0.00% | 0.00% |
Securitized debt at fair value, collateralized by loans held for investment, Loss Severity Range | 35.00% | 35.00% |
Maximum | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Securitized debt at fair value, collateralized by loans held for investment, CPR Range | 30.00% | 35.00% |
Securitized debt at fair value, collateralized by loans held for investment, CDR Range | 25.00% | 30.00% |
Securitized debt at fair value, collateralized by loans held for investment, Loss Severity Range | 70.00% | 65.00% |
Fair Value Measurements - Uno64
Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Loans Held for Investment (Detail) - Securitized Loans Held for Investment at Fair Value - Level 3 - point | Mar. 31, 2017 | Dec. 31, 2016 |
Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 7.10% | 7.10% |
FICO | 637 | 621 |
Loan-to-value (LTV) | 88.00% | 88.00% |
Weighted Average | Single family | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 86.00% | 86.00% |
Weighted Average | Manufactured housing | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 6.00% | 6.00% |
Weighted Average | Multi-family/mixed use/other | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 8.00% | 8.00% |
Weighted Average | Owner Occupied | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 97.00% | 97.00% |
Weighted Average | Investor | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 2.00% | 2.00% |
Weighted Average | Secondary | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 1.00% | 1.00% |
Base Rate | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 5.20% | 5.20% |
FICO | 634 | 632 |
Loan-to-value (LTV) | 86.00% | 87.00% |
Fair Value Measurements - Carry
Fair Value Measurements - Carrying and Fair Values (Detail) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | $ 303,389 | $ 334,124 |
Carrying Amount | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | 5,851,204 | 5,600,903 |
Carrying Amount | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | 303,389 | 334,124 |
Fair Value | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | 5,873,452 | 5,619,385 |
Fair Value | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | $ 292,285 | $ 324,261 |
Repurchase Agreements - Outstan
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, 2017 | Dec. 31, 2016 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding secured by: | $ 5,851,204 | $ 5,600,903 |
Repurchase Agreements | Agency MBS - Residential | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding secured by: | 3,059,267 | 3,087,734 |
Average balance of Repurchase agreements secured by: | $ 3,120,531 | $ 4,159,651 |
Weighted average borrowing rate of Repurchase agreements secured by: | 0.95% | 0.90% |
Weighted average maturity of Repurchase agreements secured by: | 23 days | 32 days |
MBS pledged as collateral at fair value on Repurchase agreements: | $ 3,274,112 | $ 3,334,245 |
Repurchase Agreements | Non-agency MBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding secured by: | 2,791,937 | 2,513,169 |
Average balance of Repurchase agreements secured by: | $ 2,679,610 | $ 2,322,683 |
Weighted average borrowing rate of Repurchase agreements secured by: | 3.20% | 3.05% |
Weighted average maturity of Repurchase agreements secured by: | 97 days | 98 days |
MBS pledged as collateral at fair value on Repurchase agreements: | $ 3,996,503 | $ 3,699,621 |
Repurchase Agreements | Residential Mortgage-Backed Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding secured by: | 5,851,204 | 5,600,903 |
Average balance of Repurchase agreements secured by: | 5,800,141 | 6,482,334 |
MBS pledged as collateral at fair value on Repurchase agreements: | $ 7,270,615 | $ 7,033,866 |
Repurchase Agreements - Maturit
Repurchase Agreements - Maturities (Detail) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 5,851,204 | $ 5,600,903 |
Overnight | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 0 | 0 |
1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 3,743,094 | 2,947,604 |
30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 1,107,093 | 958,956 |
60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 320,551 | 407,625 |
90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 40,223 | 559,533 |
Greater than or equal to 120 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 640,243 | $ 727,185 |
Repurchase Agreements - Narrati
Repurchase Agreements - Narrative (Detail) - Repurchase Agreements - USD ($) $ in Millions | 3 Months Ended | 12 Months Ended |
Mar. 31, 2017 | Dec. 31, 2016 | |
Credit Suisse First Boston | ||
Short-term Debt [Line Items] | ||
Amount at risk | $ 320 | |
Securities Pledged as Collateral | Nomura Securities Company Limited | Credit Concentration Risk | Stockholders' Equity, Total | ||
Short-term Debt [Line Items] | ||
Collateral posted on repurchase agreements, percentage of equity | 10.00% | |
Securities Pledged as Collateral | Credit Suisse First Boston | Credit Concentration Risk | Stockholders' Equity, Total | ||
Short-term Debt [Line Items] | ||
Collateral posted on repurchase agreements, percentage of equity | 10.00% | |
Weighted average maturity | 104 days |
Securitized Debt - Narrative (D
Securitized Debt - Narrative (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | |
Debt Instrument [Line Items] | |||
Loss on extinguishment of debt | $ 0 | $ 1,766 | |
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Non-agency MBS | |||
Debt Instrument [Line Items] | |||
Principal balance of debt | $ 319,000 | $ 350,000 | |
Weighted average cost of financing | 5.39% | 5.21% | |
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Loans Held for Investment | |||
Debt Instrument [Line Items] | |||
Principal balance of debt | $ 10,200,000 | $ 7,100,000 | |
Weighted average cost of financing | 4.10% | 3.99% | |
Net unrealized loss on financial instruments at fair value | $ 39,000 | ||
Net unrealized gains on financial instruments at fair value | 10,000 | ||
Securitized Loans | Variable Interest Entity, Primary Beneficiary | Loans Held for Investment | |||
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 - Securitized Loans - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Non-agency MBS | ||
Debt Instrument [Line Items] | ||
Within One Year | $ 92,500 | $ 98,565 |
One to Three Years | 68,666 | 82,563 |
Three to Five Years | 24,678 | 23,854 |
Greater Than Five Years | 18,754 | 31,973 |
Total | 204,598 | 236,955 |
Loans Held for Investment | ||
Debt Instrument [Line Items] | ||
Within One Year | 1,687,837 | 1,151,519 |
One to Three Years | 2,729,420 | 1,841,808 |
Three to Five Years | 2,094,911 | 1,423,706 |
Greater Than Five Years | 3,461,466 | 2,477,123 |
Total | $ 9,973,634 | $ 6,894,156 |
Securitized Debt - Callable Deb
Securitized Debt - Callable Debt (Detail) - Securitized Loans $ in Thousands | Mar. 31, 2017USD ($) |
Debt Instrument, Redemption [Line Items] | |
2,017 | $ 1,162,931 |
2,018 | 1,130,809 |
2,019 | 457,005 |
2,020 | 3,903,177 |
2,021 | 3,290,623 |
Total | $ 9,944,545 |
Consolidated Securitization V72
Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Dec. 31, 2016 | |
Non-agency MBS | ||
Variable Interest Entity [Line Items] | ||
Unconsolidated VIEs, aggregate investment | $ 1,500,000 | $ 1,500,000 |
Non-agency MBS | Minimum | ||
Variable Interest Entity [Line Items] | ||
Unconsolidated VIEs, individual investments (Less than $1 million minimum) | 1,000 | 1,000 |
Non-agency MBS | Maximum | ||
Variable Interest Entity [Line Items] | ||
Unconsolidated VIEs, individual investments (Less than $1 million minimum) | 51,000 | 51,000 |
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | ||
Variable Interest Entity [Line Items] | ||
Assets | 14,693,307 | 10,761,954 |
Liabilities | 10,451,235 | 7,300,163 |
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure | ||
Variable Interest Entity [Line Items] | ||
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | 1,400,000 | $ 1,400,000 |
Subprime | Residential Mortgage | ||
Variable Interest Entity [Line Items] | ||
Mortgage loans | $ 4,100,000 |
Consolidated Securitization V73
Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Assets: | ||
Non-Agency RMBS, at fair value | $ 3,228,391 | $ 3,330,063 |
Securitized loans held for investment, at fair value | 12,713,273 | 8,753,653 |
Accrued interest receivable | 99,669 | 79,697 |
Other assets | 190,021 | 166,350 |
Liabilities: | ||
Securitized debt, collateralized by Non-Agency RMBS | 303,389 | 334,124 |
Securitized debt at fair value, collateralized by loans held for investment | 10,111,293 | 6,941,097 |
Accrued interest payable | 67,596 | 48,670 |
Variable Interest Entity, Primary Beneficiary | ||
Assets: | ||
Non-Agency RMBS, at fair value | 1,775,986 | 1,842,080 |
Securitized loans held for investment, at fair value | 12,713,273 | 8,753,653 |
Accrued interest receivable | 77,940 | 57,153 |
Other assets | 126,108 | 109,068 |
Liabilities: | ||
Securitized debt, collateralized by Non-Agency RMBS | 303,389 | 334,124 |
Securitized debt at fair value, collateralized by loans held for investment | 10,111,293 | 6,941,097 |
Accrued interest payable | 36,553 | $ 24,942 |
Consolidated Trusts | Variable Interest Entity, Primary Beneficiary | ||
Assets: | ||
Securitized loans held for investment, at fair value | 4,202,446 | |
Other assets | 24,882 | |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | $ 3,468,597 |
Consolidated Securitization V74
Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Variable Interest Entity [Line Items] | ||
Net interest income | $ 141,113 | $ 138,213 |
Total other-than-temporary impairment losses | (2,713) | (4,423) |
Portion of loss recognized in other comprehensive income | (15,988) | (6,255) |
Net other-than-temporary credit impairment losses | (18,701) | (10,678) |
Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Total other-than-temporary impairment losses | (413) | (233) |
Portion of loss recognized in other comprehensive income | (13,467) | (7,864) |
Net other-than-temporary credit impairment losses | (13,880) | (8,097) |
Non Agency Residential Mortgage Backed Securities And Securitized Loans | Variable Interest Entity, Primary Beneficiary | ||
Variable Interest Entity [Line Items] | ||
Interest income, Assets of consolidated VIEs | 192,989 | 131,980 |
Interest expense, Non-recourse liabilities of VIEs | 82,684 | 39,250 |
Net interest income | $ 110,305 | $ 92,730 |
Derivative Instruments - Effect
Derivative Instruments - Effect on Consolidated Financial Condition (Detail) - USD ($) | Mar. 31, 2017 | Dec. 31, 2016 |
Derivatives, Fair Value [Line Items] | ||
Notional Amount Outstanding | $ 2,637,600,000 | $ 2,640,600,000 |
Net Estimated Fair Value/Carrying Value | 10,889,000 | 9,677,000 |
Net Estimated Fair Value/Carrying Value | (1,627,000) | (2,350,000) |
Interest Rate Swaps | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount Outstanding | 1,535,900,000 | 1,396,900,000 |
Net Estimated Fair Value/Carrying Value | 5,876,000 | 0 |
Net Estimated Fair Value/Carrying Value | 0 | 0 |
Swaptions | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount Outstanding | 482,000,000 | 624,000,000 |
Net Estimated Fair Value/Carrying Value | 5,013,000 | 7,892,000 |
Net Estimated Fair Value/Carrying Value | (1,627,000) | (2,350,000) |
Treasury Futures | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount Outstanding | 619,700,000 | 619,700,000 |
Net Estimated Fair Value/Carrying Value | 0 | 1,785,000 |
Net Estimated Fair Value/Carrying Value | $ 0 | $ 0 |
Derivative Instruments - Effe76
Derivative Instruments - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net unrealized gains (losses) on derivatives | $ 4,896 | $ (101,110) |
Net gains (losses) on derivatives | (4,462) | (136,537) |
Interest Rate Swaps | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net unrealized gains (losses) on derivatives | 6,316 | (88,709) |
Net realized gains (losses) on derivatives | (4,106) | (11,676) |
Treasury Futures | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net unrealized gains (losses) on derivatives | (2,568) | (2,985) |
Net realized gains (losses) on derivatives | (2,084) | (21,610) |
Swaptions | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net unrealized gains (losses) on derivatives | 1,148 | (8,987) |
Net realized gains (losses) on derivatives | (3,168) | (2,140) |
Other Derivative Assets | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||
Net unrealized gains (losses) on derivatives | 0 | (430) |
Net realized gains (losses) on derivatives | $ 0 | $ 0 |
Derivative Instruments - Effe77
Derivative Instruments - Effect on Consolidated Results - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Realized gains (losses) on terminations of interest rate swaps | $ 0 | $ (458) |
Derivative Instruments - Narrat
Derivative Instruments - Narrative (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | |
Derivatives, Fair Value [Line Items] | |||
Realized losses on terminations of interest rate swaps | $ 0 | $ 458 | |
The weighted average pay rate on the Company's interest rate swaps | 2.11% | 2.13% | |
The weighted average receive rate on the Company's interest rate swaps | 1.04% | 0.90% | |
The weighted average maturity on the Company's interest rate swaps | 7 years | 8 years | |
Fair value of credit risk derivative instruments in a net liability position | $ 2,000 | ||
Early Terminated Interest Rate Swaps | |||
Derivatives, Fair Value [Line Items] | |||
Derivative instruments terminated | $ 1,000,000 |
Capital Stock - Preferred Stock
Capital Stock - Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands | 1 Months Ended | 3 Months Ended | 12 Months Ended | ||
Feb. 28, 2017 | Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016 | Oct. 31, 2016 | |
Class of Stock [Line Items] | |||||
Dividends on preferred stock | $ 5,283 | $ 0 | |||
Preferred Class B | |||||
Class of Stock [Line Items] | |||||
Preferred Stock, shares authorized (shares) | 13,000,000 | 100,000,000 | |||
Preferred Stock, dividend rate (percent) | 8.00% | ||||
Preferred Stock, par value (usd per share) | $ 0.01 | ||||
Sale of stock price (in USD per share) | $ 25 | ||||
Preferred stock, redemption price per share (in USD per share) | $ 25 | ||||
Preferred Class A | |||||
Class of Stock [Line Items] | |||||
Preferred Stock, shares authorized (shares) | 100,000,000 | 100,000,000 | 5,800,000 | ||
Preferred Stock, dividend rate (percent) | 8.00% | 8.00% | 8.00% | ||
Preferred Stock, par value (usd per share) | $ 0.01 | $ 0.01 | $ 0.01 | ||
Sale of stock price (in USD per share) | 25 | ||||
Issuance of preferred stock (in shares) | $ 314,429 | ||||
Preferred stock, redemption price per share (in USD per share) | 25 | ||||
Fixed dividend amount (in dollars per share) | $ 2 | ||||
Preferred stock, issuance cost and discount on shares | $ 140,000 | ||||
Dividends on preferred stock | $ 3,000 | ||||
Preferred stock dividends declared (in USD per share) | $ 0.50 | ||||
Additional Paid-in Capital | Preferred Class B | |||||
Class of Stock [Line Items] | |||||
Issuance of preferred stock (in shares) | $ 314,299 | ||||
London Interbank Offered Rate (LIBOR) | Preferred Class A | |||||
Class of Stock [Line Items] | |||||
Preferred stock, basis spread on variable rate | 5.791% |
Capital Stock - Common Stock (D
Capital Stock - Common Stock (Detail) - USD ($) | 3 Months Ended | ||
Mar. 31, 2017 | Mar. 31, 2016 | Aug. 05, 2015 | |
Class of Stock [Line Items] | |||
Stock repurchase program, authorized amount | $ 350,000,000 | ||
Number of shares repurchased (shares) | 0 | ||
Stock repurchase program, remaining authorized repurchase amount | $ 100,000,000 | ||
Common dividends declared | $ 94,123,000 | $ 184,227,000 | |
Common dividends declared, per share (usd per share) | $ 0.5 | $ 0.98 | |
Regular Dividend | |||
Class of Stock [Line Items] | |||
Common dividends declared | $ 94,000,000 | $ 90,000,000 | |
Common dividends declared, per share (usd per share) | $ 0.5 | $ 0.48 | |
Special Dividend | |||
Class of Stock [Line Items] | |||
Common dividends declared | $ 94,000,000 | ||
Common dividends declared, per share (usd per share) | $ 0.50 |
Capital Stock - Earnings Per Sh
Capital Stock - Earnings Per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
Numerator: | ||
Net income available to common shareholders | $ 157,524 | $ 83,098 |
Effect of dilutive securities: | 0 | 0 |
Dilutive net income available to common shareholders | $ 157,524 | $ 83,098 |
Denominator: | ||
Weighted average basic shares (shares) | 187,761,748 | 187,723,472 |
Effect of dilutive securities (shares) | 433,313 | 116,710 |
Weighted average dilutive shares (shares) | 188,195,061 | 187,840,182 |
Net income per average share attributable to common stockholders - Basic (usd per share) | $ 0.84 | $ 0.44 |
Net income per average share attributable to common stockholders - Diluted (usd per share) | $ 0.84 | $ 0.44 |
Accumulated Other Comprehensi82
Accumulated Other Comprehensive Income - Components of AOCI (Detail) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2017 | Mar. 31, 2016 | |
AOCI [Roll Forward] | ||
Beginning Balance | $ 3,123,533 | $ 2,946,188 |
Ending Balance | 3,512,088 | 2,913,635 |
Unrealized gains (losses) on available-for-sale securities, net | ||
AOCI [Roll Forward] | ||
Beginning Balance | 718,106 | 773,791 |
OCI before reclassifications | (3,910) | 59,408 |
Amounts reclassified from AOCI | 13,515 | 9,066 |
Net current period OCI | 9,605 | 68,474 |
Ending Balance | 727,711 | 842,265 |
Total Accumulated OCI Balance | ||
AOCI [Roll Forward] | ||
Beginning Balance | 718,106 | 773,791 |
OCI before reclassifications | (3,910) | 59,408 |
Amounts reclassified from AOCI | 13,515 | 9,066 |
Net current period OCI | 9,605 | 68,474 |
Ending Balance | $ 727,711 | $ 842,265 |
Accumulated Other Comprehensi83
Accumulated Other Comprehensive Income - Reclassifications from AOCI (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Dec. 31, 2016 | Mar. 31, 2016 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||
Net realized gains (losses) on sales of investments | $ 5,167 | $ (2,674) | |
Net other-than-temporary credit impairment losses | (18,701) | (10,678) | |
Income (loss) before income taxes | 162,823 | 83,127 | |
Income taxes | (16) | $ 0 | (29) |
Net income (loss) | 162,807 | 83,098 | |
Amounts Reclassified from Accumulated OCI | Unrealized gains (losses) on available-for-sale securities, net | |||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||
Net realized gains (losses) on sales of investments | 5,186 | 1,612 | |
Net other-than-temporary credit impairment losses | (18,701) | (10,678) | |
Income (loss) before income taxes | (13,515) | (9,066) | |
Income taxes | 0 | 0 | |
Net income (loss) | $ (13,515) | $ (9,066) |
Equity Compensation, Employme84
Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Detail) | 3 Months Ended | |
Mar. 31, 2017USD ($)installmentshares | Mar. 31, 2016USD ($)shares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Forfeitures (shares) | shares | 0 | 0 |
Common dividends declared | $ 1,120,000 | $ 102,000 |
Share-based compensation expense | $ 102,000 | |
Stock Award Deferral Program | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of installments | installment | 5 | |
Restricted Stock | 2007 Equity Incentive Plan | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Shares available for future grants (shares) | shares | 6,000,000 | |
Restricted Stock | Minimum | 2007 Equity Incentive Plan | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Vesting period | 2 years | |
Restricted Stock | Maximum | 2007 Equity Incentive Plan | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Vesting period | 10 years | |
Restricted Stock Units (RSUs) | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Vesting period | 3 years | |
Forfeitures (shares) | shares | 112,000 | 266,000 |
Grant date fair value | $ 2,000,000 | $ 3,000,000 |
Restricted Stock Units (RSUs) | One year from grant date | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Vesting percentage | 33.33% | |
Restricted Stock Units (RSUs) | Two years from grant date | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Vesting percentage | 33.33% | |
Restricted Stock Units (RSUs) | Three years from grant date | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Vesting percentage | 33.33% | |
Performance Share Units | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Vesting period | 3 years | |
Grant date fair value | $ 3,000,000 | $ 3,000,000 |
Granted shares (shares) | shares | 144,000 | 180,000 |
Performance period | 3 years | |
Performance Share Units | One year from grant date | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Vesting percentage | 33.33% | |
Performance Share Units | Two years from grant date | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Vesting percentage | 33.33% | |
Performance Share Units | Three years from grant date | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Vesting percentage | 33.33% | |
Performance Share Units | Minimum | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Vesting percentage | 0.00% | |
Performance Share Units | Maximum | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Vesting percentage | 150.00% | |
401(k) Plan | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Maximum annual contributions per employee, amount | $ 18,000 | |
Maximum annual contribution per employee, additional contribution per employee over certain age | 6,000 | |
Expense related to qualified plan | $ 112,000 | $ 92,000 |
401(k) Plan | Maximum | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Employer matching contribution, percent of match | 100.00% | |
Employer matching contribution, percent of employees' gross pay | 6.00% |
Income Taxes Income Taxes (Deta
Income Taxes Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2017 | Dec. 31, 2016 | Mar. 31, 2016 | |
Income Tax Disclosure [Abstract] | |||
Income tax expense | $ 16 | $ 0 | $ 29 |
Credit Risk and Interest Rate86
Credit Risk and Interest Rate Risk - Offsetting Assets and Liabilities (Detail) - USD ($) $ in Thousands | Mar. 31, 2017 | Dec. 31, 2016 |
Repurchase Agreements | ||
Gross Amounts of Recognized Assets (Liabilities) | $ (5,851,204) | $ (5,600,903) |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | (5,851,204) | (5,600,903) |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 7,270,615 | 7,033,866 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 4,849 | 2,545 |
Net Amount | 1,424,260 | 1,435,508 |
Derivative Asset [Abstract] | ||
Net Amounts Offset in the Consolidated Statements of Financial Position | 10,889 | 9,677 |
Derivative Liability [Abstract] | ||
Net Amounts Offset in the Consolidated Statements of Financial Position | (1,627) | (2,350) |
Total [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | (5,842,725) | (5,594,016) |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 783 | 440 |
Net Amounts Offset in the Consolidated Statements of Financial Position | (5,841,942) | (5,593,576) |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 7,270,956 | 7,044,207 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 42,478 | 45,492 |
Net Amount | 1,471,492 | 1,496,123 |
Interest Rate Swaps | ||
Derivative Asset [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | 18,944 | 14,435 |
Gross Amounts Offset in the Consolidated Statements of Financial Position | (13,068) | (14,435) |
Net Amounts Offset in the Consolidated Statements of Financial Position | 5,876 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 32,375 | 0 |
Net Amount | 38,251 | 0 |
Derivative Liability [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | (13,068) | (14,875) |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 13,068 | 14,875 |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | 39,627 |
Net Amount | 0 | 39,627 |
Treasury Futures | ||
Derivative Asset [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | 136 | 1,785 |
Gross Amounts Offset in the Consolidated Statements of Financial Position | (136) | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 1,785 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 5,254 | 3,320 |
Net Amount | 5,254 | 5,105 |
Derivative Liability [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | (919) | 0 |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 919 | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | 0 |
Net Amount | 0 | 0 |
Swaptions | ||
Derivative Asset [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | 5,013 | 7,892 |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | 5,013 | 7,892 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | 0 |
Net Amount | 5,013 | 7,892 |
Derivative Liability [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | (1,627) | (2,350) |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | (1,627) | (2,350) |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 341 | 10,341 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | 0 |
Net Amount | (1,286) | 7,991 |
Other Derivatives | ||
Derivative Asset [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | 0 | 0 |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | 0 |
Net Amount | $ 0 | $ 0 |