Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2018 | Jul. 31, 2018 | |
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 | Jun. 30, 2018 | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q2 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 187,006,450 |
CONSOLIDATED STATEMENTS OF FINA
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 | |
Assets: | |||
Cash and cash equivalents | $ 90,671 | $ 63,569 | |
Non-Agency RMBS, at fair value | 2,593,422 | 2,851,316 | |
Agency MBS, at fair value | 6,989,329 | 4,364,828 | |
Loans held for investment, at fair value | 13,246,521 | 13,678,263 | |
Accrued interest receivable | 106,877 | 100,789 | |
Other assets | 106,594 | 114,391 | |
Derivatives, at fair value, net | 129,341 | 48,914 | |
Total assets | [1] | 23,262,755 | 21,222,070 |
Liabilities: | |||
Repurchase agreements ($10.6 billion and $8.8 billion, pledged as collateral, respectively) | 9,127,048 | 7,250,452 | |
Securitized debt, collateralized by Non-Agency RMBS ($1.3 billion and $1.6 billion pledged as collateral, respectively) | 179,742 | 205,780 | |
Securitized debt at fair value, collateralized by loans held for investment ($13.0 billion and $13.3 billion pledged as collateral, respectively) | 9,340,368 | 9,388,657 | |
Payable for investments purchased | 784,425 | 567,440 | |
Accrued interest payable | 71,405 | 61,888 | |
Dividends payable | 95,807 | 95,365 | |
Accounts payable and other liabilities | 13,818 | 17,191 | |
Derivatives, at fair value, net | 0 | 320 | |
Total liabilities | [1] | 19,612,613 | 17,587,093 |
Commitments and Contingencies (See Note 15) | |||
Stockholders' Equity: | |||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,006,450 and 187,809,288 shares issued and outstanding, respectively | 1,870 | 1,878 | |
Additional paid-in-capital | 3,816,631 | 3,826,691 | |
Accumulated other comprehensive income | 671,651 | 796,902 | |
Cumulative earnings | 3,324,968 | 2,967,852 | |
Cumulative distributions to stockholders | (4,165,166) | (3,958,534) | |
Total stockholders' equity | 3,650,142 | 3,634,977 | |
Total liabilities and stockholders' equity | 23,262,755 | 21,222,070 | |
Preferred Class A | |||
Stockholders' Equity: | |||
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized: | 58 | 58 | |
Preferred Class B | |||
Stockholders' Equity: | |||
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized: | $ 130 | $ 130 | |
[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 June 30, 2018 and December 31, 2017, total assets of consolidated VIEs were $14,455,778 and $14,987,464, respectively, and total liabilities of consolidated VIEs were $9,559,149 and $9,631,820, respectively. See Note 8 for further discussion. |
CONSOLIDATED STATEMENTS OF FIN3
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
Preferred Stock, par value (usd per share) | $ 0.01 | $ 0.01 |
Preferred Stock, shares authorized (shares) | 100,000,000 | 100,000,000 |
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) | 187,006,450 | 187,809,288 |
Common stock, shares outstanding (shares) | 187,006,450 | 187,809,288 |
Repurchase Agreements | Residential Mortgage-Backed Securities | ||
Securities pledged as collateral | $ 10,626,383,000 | $ 8,788,680,000 |
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | ||
Assets | 14,455,778,000 | 14,987,464,000 |
Liabilities | 9,559,149,000 | 9,631,820,000 |
Securitized Loans | Non-agency MBS | ||
Securities pledged as collateral | 1,300,000,000 | 1,600,000,000 |
Securitized Loans | Loans Held for Investment at Fair Value | ||
Securities pledged as collateral | $ 13,000,000,000 | $ 13,300,000,000 |
Preferred Class A | ||
Preferred Stock, dividend rate (percent) | 8.00% | 8.00% |
Preferred Stock, shares issued (shares) | 5,800,000 | 5,800,000 |
Preferred Stock, shares outstanding (shares) | 5,800,000 | 5,800,000 |
Preferred Stock, liquidation preference | $ 145,000 | $ 145,000 |
Preferred Class B | ||
Preferred Stock, dividend rate (percent) | 8.00% | 8.00% |
Preferred Stock, shares issued (shares) | 13,000,000 | 13,000,000 |
Preferred Stock, shares outstanding (shares) | 13,000,000 | 13,000,000 |
Preferred Stock, liquidation preference | $ 325,000 | $ 325,000 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | ||
Net interest income: | |||||
Interest income | [1] | $ 306,436 | $ 288,644 | $ 603,567 | $ 539,988 |
Interest expense | [2] | 161,266 | 137,955 | 310,518 | 248,186 |
Net interest income | 145,170 | 150,689 | 293,049 | 291,802 | |
Other-than-temporary impairments: | |||||
Total other-than-temporary impairment losses | (805) | (749) | (1,099) | (3,462) | |
Portion of loss recognized in other comprehensive income | (8,326) | (12,760) | (9,190) | (28,748) | |
Net other-than-temporary credit impairment losses | (9,131) | (13,509) | (10,289) | (32,210) | |
Other investment gains (losses): | |||||
Net unrealized gains (losses) on derivatives | 25,895 | 5,802 | 107,314 | 10,698 | |
Realized gains (losses) on terminations of interest rate swaps | 0 | (16,143) | 0 | (16,143) | |
Net realized gains (losses) on derivatives | (1,393) | (11,481) | 11,693 | (20,839) | |
Net gains (losses) on derivatives | 24,502 | (21,822) | 119,007 | (26,284) | |
Net unrealized gains (losses) on financial instruments at fair value | (18,364) | 67,762 | (3,898) | 140,005 | |
Net realized gains (losses) on sales of investments | 2,167 | 4,541 | 2,167 | 9,708 | |
Gains (losses) on extinguishment of debt | 387 | (48,014) | 10,057 | (48,014) | |
Total other gains (losses) | 8,692 | 2,467 | 127,333 | 75,415 | |
Other expenses: | |||||
Compensation and benefits | 8,689 | 7,671 | 17,100 | 15,227 | |
General and administrative expenses | 5,860 | 4,585 | 11,349 | 8,625 | |
Servicing fees | 9,943 | 10,890 | 21,277 | 20,478 | |
Deal expenses | 2,095 | 1,345 | 3,183 | 12,698 | |
Total other expenses | 26,587 | 24,491 | 52,909 | 57,028 | |
Income before income taxes | 118,144 | 115,156 | 357,184 | 277,979 | |
Income taxes | 36 | 139 | 68 | 155 | |
Net income (loss) | 118,108 | 115,017 | 357,116 | 277,824 | |
Dividend on preferred stock | 9,400 | 9,400 | 18,800 | 14,683 | |
Net income (loss) available to common shareholders | $ 108,708 | $ 105,617 | $ 338,316 | $ 263,141 | |
Net income (loss) per share available to common shareholders: | |||||
Basic (usd per share) | $ 0.58 | $ 0.56 | $ 1.81 | $ 1.40 | |
Diluted (usd per share) | $ 0.58 | $ 0.56 | $ 1.80 | $ 1.40 | |
Weighted average number of common shares outstanding: | |||||
Basic (shares) | 186,994,743 | 187,779,406 | 187,272,469 | 187,770,626 | |
Diluted (shares) | 187,422,145 | 188,142,551 | 187,738,443 | 188,169,093 | |
Dividends declared per share of common stock (usd per share) | $ 0.50 | $ 0.5 | $ 1 | $ 1 | |
[1] | Includes interest income of consolidated VIEs of $229,746 and $234,437 for the quarters ended June 30, 2018 and 2017, respectively and interest income of consolidated VIEs of $464,772 and $427,426 for the six months ended June 30, 2018 and 2017. See Note 8 to consolidated financial statements for further discussion. | ||||
[2] | Includes interest expense of consolidated VIEs of $99,507 and $105,723 for the quarters ended June 30, 2018 and 2017, respectively and interest expense of consolidated VIEs of $199,121 and $188,407 for the six months ended June 30, 2018 and 2017. See Note 8 to consolidated financial statements for further discussion. |
CONSOLIDATED STATEMENTS OF OPE5
CONSOLIDATED STATEMENTS OF OPERATIONS (Parenthetical) - Non Agency Residential Mortgage Backed Securities And Securitized Loans - Variable Interest Entities, Primary Beneficiary - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Interest income, assets of consolidated VIEs | $ 229,746 | $ 234,437 | $ 464,772 | $ 427,426 |
Interest expense, non-recourse liabilities of VIEs | $ 99,507 | $ 105,723 | $ 199,121 | $ 188,407 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Comprehensive income (loss): | ||||
Net income (loss) | $ 118,108 | $ 115,017 | $ 357,116 | $ 277,824 |
Other comprehensive income: | ||||
Unrealized gains (losses) on available-for-sale securities, net | (42,341) | 41,655 | (131,157) | 37,744 |
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 9,131 | 13,509 | 10,289 | 32,210 |
Reclassification adjustment for net realized losses (gains) included in net income | (4,383) | (2,591) | (4,383) | (7,777) |
Other comprehensive income (loss) | (37,593) | 52,573 | (125,251) | 62,177 |
Comprehensive income (loss) before preferred stock dividends | 80,515 | 167,590 | 231,865 | 340,001 |
Dividends on preferred stock | 9,400 | 9,400 | 18,800 | 14,683 |
Comprehensive income (loss) available to common stock shareholders | $ 71,115 | $ 158,190 | $ 213,065 | $ 325,318 |
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 Value | Series B Preferred Stock Par ValuePreferred Stock |
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) | 277,824 | 277,824 | ||||||||
Other comprehensive income (loss) | 62,177 | 62,177 | ||||||||
Stock based compensation | 1,603 | 1 | 1,602 | |||||||
Common dividends declared | (188,196) | (188,196) | ||||||||
Preferred dividends declared | (14,683) | (14,683) | $ (6,000) | $ (9,000) | ||||||
Issuance of preferred stock | 314,429 | 314,299 | 130 | |||||||
Ending Balance at Jun. 30, 2017 | 3,576,687 | 1,878 | 3,824,680 | 780,283 | 2,721,008 | (3,751,350) | 58 | 130 | ||
Beginning Balance at Dec. 31, 2017 | 3,634,977 | 1,878 | 3,826,691 | 796,902 | 2,967,852 | (3,958,534) | 58 | 130 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | 357,116 | 357,116 | ||||||||
Other comprehensive income (loss) | (125,251) | (125,251) | ||||||||
Repurchase of common stock | (14,834) | (8) | (14,826) | |||||||
Stock based compensation | 4,766 | 4,766 | ||||||||
Common dividends declared | (187,832) | (187,832) | ||||||||
Preferred dividends declared | (18,800) | (18,800) | $ (6,000) | $ (13,000) | ||||||
Ending Balance at Jun. 30, 2018 | $ 3,650,142 | $ 1,870 | $ 3,816,631 | $ 671,651 | $ 3,324,968 | $ (4,165,166) | $ 58 | $ 130 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2018 | Jun. 30, 2017 | |
Cash Flows From Operating Activities: | ||
Net income | $ 357,116 | $ 277,824 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||
(Accretion) amortization of investment discounts/premiums, net | 11,301 | (8,397) |
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net | (5,911) | 8,433 |
Amortization of swaption premium | 1,157 | 4,385 |
Net unrealized losses (gains) on derivatives | (107,314) | (10,698) |
Margin (paid) received on derivatives | 19,171 | 2,161 |
Net unrealized losses (gains) on financial instruments at fair value | 3,898 | (140,005) |
Net realized losses (gains) on sales of investments | (2,167) | (9,708) |
Net other-than-temporary credit impairment losses | 10,289 | 32,210 |
(Gain) loss on extinguishment of debt | (10,057) | 48,014 |
Equity-based compensation expense | 4,766 | 1,603 |
Changes in operating assets: | ||
Decrease (increase) in accrued interest receivable, net | (6,088) | (18,382) |
Decrease (increase) in other assets | 23,711 | (7,121) |
Changes in operating liabilities: | ||
Increase (decrease) in accounts payable and other liabilities | (3,374) | (3,249) |
Increase (decrease) in accrued interest payable, net | 9,518 | 6,186 |
Net cash provided by (used in) operating activities | 306,016 | 183,256 |
Cash Flows From Investing Activities: | ||
Net cash provided by (used in) investing activities | (1,892,368) | (3,342,632) |
Cash Flows From Financing Activities: | ||
Proceeds from repurchase agreements | 31,403,682 | 16,994,467 |
Payments on repurchase agreements | (29,525,962) | (16,341,218) |
Net proceeds from preferred stock offerings | 0 | 314,429 |
Payments on repurchase of common stock | (14,834) | 0 |
Proceeds from securitized debt borrowings, collateralized by loans held for investment | 1,170,009 | 3,532,918 |
Payments on securitized debt borrowings, collateralized by loans held for investment | (1,188,154) | (1,074,027) |
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS | (25,097) | (71,089) |
Common dividends paid | (187,390) | (187,943) |
Preferred dividends paid | (18,800) | (17,132) |
Net cash provided by (used in) financing activities | 1,613,454 | 3,150,405 |
Net increase (decrease) in cash and cash equivalents | 27,102 | (8,971) |
Cash and cash equivalents at beginning of period | 63,569 | 177,714 |
Cash and cash equivalents at end of period | 90,671 | 168,743 |
Supplemental disclosure of cash flow information: | ||
Interest received | 608,779 | 513,210 |
Interest paid | 306,911 | 233,568 |
Non-cash investing activities: | ||
Payable for investments purchased | 784,425 | 1,046,720 |
Net change in unrealized gain (loss) on available-for sale securities | (125,251) | 62,177 |
Non-cash financing activities: | ||
Common dividends declared, not yet paid | 95,807 | 94,809 |
Agency MBS portfolio | ||
Cash Flows From Investing Activities: | ||
Purchases | (2,764,785) | (260,518) |
Sales | 172 | 141,191 |
Principal payments | 205,093 | 220,882 |
Non-agency MBS | ||
Cash Flows From Investing Activities: | ||
Purchases | (70,043) | (5,663) |
Sales | 10,407 | 5,045 |
Principal payments | 327,923 | 263,804 |
Loans held for investment: | ||
Cash Flows From Investing Activities: | ||
Sales | 379,002 | 0 |
Purchases | (924,283) | (4,515,440) |
Principal payments | $ 944,146 | $ 808,067 |
Organization
Organization | 6 Months Ended |
Jun. 30, 2018 | |
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 nine 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; Chimera RR Holdings LLC formed in April 2016, and Anacostia LLC, a TRS formed in June 2018. |
Summary of the Significant Acco
Summary of the Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2018 | |
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 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 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 structure 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 only be satisfied from each securitization vehicle’s respective asset pool. The assets of securitization entities are comprised 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, 2017 , 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 June 30, 2018 or December 31, 2017 . 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 Income Statement - Reporting Comprehensive Income - (Topic 220) In February 2018, the FASB issued ASU No. 2018-02, I ncome Statement - Reporting Comprehensive Income - Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income. The amendments in this update allow a reclassification from accumulated other comprehensive income to retained earnings for stranded tax effects resulting from the Tax Cuts and Jobs Act. Consequently, the amendments eliminate the stranded tax effects resulting from the Tax Cuts and Jobs Act and will improve the usefulness of information reported to financial statement users. However, because the amendments only relate to the reclassification of the income tax effects of the Tax Cuts and Jobs Act, the underlying guidance that requires that the effect of a change in tax laws or rates be included in income from continuing operations is not affected. The amendments in this Update also require certain disclosures about stranded tax effects. The guidance in the ASU is effective for the Company as of January 1, 2019. Early adoption is allowed. The Company is not planning to early adopt and is currently evaluating what impact this update will have on the consolidated financial statements. Derivatives and Hedging - Targeted improvements to Accounting for Hedging Activities (Topic 815) In August 2017, the FASB issued ASU No. 2017-12, Derivatives and Hedging - Targeted improvements to Accounting for Hedging Activities. This update is issued with the objective of improving the financial reporting of hedging relationships to better portray the economic results of an entity’s risk management activities in its financial statements. In addition, the amendments in this update make certain targeted improvements to simplify the application of the hedge accounting guidance in current GAAP. The guidance in the ASU is effective for the Company as of January 1, 2019. Early adoption is allowed. The Company is not planning to early adopt and 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 the Company does 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. |
Mortgage-Backed Securities
Mortgage-Backed Securities | 6 Months Ended |
Jun. 30, 2018 | |
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 June 30, 2018 and December 31, 2017 . June 30, 2018 (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 $ 2,522,667 $ 628 $ (1,180,560 ) $ 1,342,735 $ 2,063,786 $ 721,524 $ (473 ) $ 721,051 Senior, interest-only 5,282,885 302,960 — 302,960 252,324 26,074 (76,710 ) (50,636 ) Subordinated 365,499 9,842 (170,202 ) 205,139 266,830 61,963 (272 ) 61,691 Subordinated, interest-only 206,557 9,279 — 9,279 10,482 1,830 (627 ) 1,203 Agency MBS Residential 4,527,730 167,342 — 4,695,072 4,612,920 9,528 (91,680 ) (82,152 ) Commercial 2,300,891 52,422 (4,509 ) 2,348,804 2,273,508 944 (76,240 ) (75,296 ) Interest-only 3,010,512 109,938 — 109,938 102,901 954 (7,991 ) (7,037 ) Total $ 18,216,741 $ 652,411 $ (1,355,271 ) $ 9,013,927 $ 9,582,751 $ 822,817 $ (253,993 ) $ 568,824 December 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 $ 2,733,926 $ 540 $ (1,257,103 ) $ 1,477,363 $ 2,231,415 $ 754,234 $ (182 ) $ 754,052 Senior, interest-only 4,862,461 262,996 — 262,996 210,850 15,761 (67,907 ) (52,146 ) Subordinated 501,455 10,571 (177,206 ) 334,820 401,225 66,704 (299 ) 66,405 Subordinated, interest-only 201,378 7,369 — 7,369 7,826 902 (445 ) 457 Agency MBS Residential 2,227,128 123,245 — 2,350,373 2,322,180 5,706 (33,899 ) (28,193 ) Commercial 1,894,594 47,430 (4,685 ) 1,937,339 1,938,281 17,041 (16,099 ) 942 Interest-only 3,021,840 111,277 — 111,277 104,367 834 (7,744 ) (6,910 ) Total $ 15,442,782 $ 563,428 $ (1,438,994 ) $ 6,481,537 $ 7,216,144 $ 861,182 $ (126,575 ) $ 734,607 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 For the Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 (dollars in thousands) (dollars in thousands) Balance at beginning of period $ 1,293,996 $ 1,513,416 $ 1,303,590 $ 1,550,110 Purchases 5,734 1,969 5,734 10,185 Yield income earned (57,786 ) (67,750 ) (117,517 ) (136,577 ) Reclassification (to) from non-accretable difference 31,471 (62,059 ) 81,496 (38,107 ) Sales and deconsolidation (6,775 ) (2,388 ) (6,663 ) (2,423 ) Balance at end of period $ 1,266,640 $ 1,383,188 $ 1,266,640 $ 1,383,188 The table below presents the outstanding principal balance and related amortized cost at June 30, 2018 and December 31, 2017 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30. For the Six Months Ended For the Year Ended June 30, 2018 December 31, 2017 (dollars in thousands) Outstanding principal balance: Beginning of period $ 2,673,350 $ 3,138,265 End of period $ 2,476,421 $ 2,673,350 Amortized cost: Beginning of period $ 1,381,839 $ 1,695,079 End of period $ 1,249,140 $ 1,381,839 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 June 30, 2018 and December 31, 2017 . All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d) of 2017, Form 10-K. June 30, 2018 (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 $ 43,709 $ (473 ) 3 $ — $ — — $ 43,709 $ (473 ) 3 Senior, interest-only 25,400 (4,391 ) 31 103,442 (72,319 ) 104 128,842 (76,710 ) 135 Subordinated 1,016 (272 ) 5 — — 6 1,016 (272 ) 11 Subordinated, interest-only 112 (18 ) 1 704 (609 ) 3 816 (627 ) 4 Agency MBS Residential 1,618,829 (23,966 ) 36 1,318,668 (67,714 ) 94 2,937,497 (91,680 ) 130 Commercial 1,713,531 (60,698 ) 506 321,813 (15,542 ) 114 2,035,344 (76,240 ) 620 Interest-only 12,375 (689 ) 7 48,211 (7,302 ) 20 60,586 (7,991 ) 27 Total $ 3,414,972 $ (90,507 ) 589 $ 1,792,838 $ (163,486 ) 341 $ 5,207,810 $ (253,993 ) 930 December 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 $ 35,229 $ (182 ) 1 $ — $ — — $ 35,229 $ (182 ) 1 Senior, interest-only 28,129 (1,724 ) 27 120,120 (66,183 ) 120 148,249 (67,907 ) 147 Subordinated 235 (38 ) 7 6,261 (261 ) 5 6,496 (299 ) 12 Subordinated, interest-only — — — 945 (445 ) 3 945 (445 ) 3 Agency MBS Residential 660,103 (5,197 ) 21 1,471,464 (28,702 ) 93 2,131,567 (33,899 ) 114 Commercial 830,889 (11,695 ) 176 161,980 (4,404 ) 91 992,869 (16,099 ) 267 Interest-only 15,142 (641 ) 7 57,875 (7,103 ) 24 73,017 (7,744 ) 31 Total $ 1,569,727 $ (19,477 ) 239 $ 1,818,645 $ (107,098 ) 336 $ 3,388,372 $ (126,575 ) 575 At June 30, 2018 , the Company did not intend to sell any of its RMBS that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these RMBS before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred as of June 30, 2018 . Gross unrealized losses on the Company’s Agency residential and commercial MBS (excluding Agency MBS which are reported at fair value with changes in fair value recorded in earnings) were $111 million and $41 million as of June 30, 2018 and December 31, 2017 , 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 June 30, 2018 and December 31, 2017 , unrealized losses on its Agency MBS were temporary. Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency MBS which are reported at fair value with changes in fair value recorded in earnings) were $745 thousand and $283 thousand at June 30, 2018 and December 31, 2017 , 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 and six months ended June 30, 2018 and 2017 are presented below. For the Quarter Ended For the Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 (dollars in thousands) (dollars in thousands) Total other-than-temporary impairment losses $ (805 ) $ (749 ) $ (1,099 ) $ (3,462 ) Portion of loss recognized in other comprehensive income (loss) (8,326 ) (12,760 ) (9,190 ) (28,748 ) Net other-than-temporary credit impairment losses $ (9,131 ) $ (13,509 ) $ (10,289 ) $ (32,210 ) 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 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 Quarters Ended For the Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 (dollars in thousands) Cumulative credit loss beginning balance $ 586,056 $ 558,229 $ 591,521 $ 556,485 Additions: Other-than-temporary impairments not previously recognized — 12,399 1,140 12,399 Reductions for securities sold or deconsolidated during the period (4,775 ) — (4,948 ) (7,443 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 9,131 1,109 9,149 17,835 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (7,751 ) (99 ) (14,201 ) (7,638 ) Cumulative credit impairment loss ending balance $ 582,661 $ 571,638 $ 582,661 $ 571,638 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 for the periods reported are summarized as follows: For the Six Months Ended June 30, 2018 June 30, 2017 Loss Severity Weighted Average 66% 62% Range 34% - 132% 28% - 67% 60+ days delinquent Weighted Average 23% 19% Range 16% - 30% 11% - 25% Credit Enhancement (1) Weighted Average 32% 19% Range 0% - 55% 0% - 38% 3 Month CPR Weighted Average 10% 12% Range 0% - 39% 2% - 24% 12 Month CPR Weighted Average 8% 11% Range 1% - 20% 4% - 19% (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 June 30, 2018 and December 31, 2017 . June 30, 2018 (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 $ 721,524 $ — $ 721,524 $ (473 ) $ — $ (473 ) Senior, interest-only — 26,074 26,074 — (76,710 ) (76,710 ) Subordinated 58,887 3,076 61,963 (272 ) — (272 ) Subordinated, interest-only — 1,830 1,830 — (627 ) (627 ) Agency MBS Residential 2,316 7,212 9,528 (70,382 ) (21,298 ) (91,680 ) Commercial 686 258 944 (40,635 ) (35,605 ) (76,240 ) Interest-only — 954 954 — (7,991 ) (7,991 ) Total $ 783,413 $ 39,404 $ 822,817 $ (111,762 ) $ (142,231 ) $ (253,993 ) December 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 $ 754,234 $ — $ 754,234 $ (182 ) $ — $ (182 ) Senior, interest-only — 15,761 15,761 — (67,907 ) (67,907 ) Subordinated 62,989 3,715 66,704 (102 ) (197 ) (299 ) Subordinated, interest-only — 902 902 — (445 ) (445 ) Agency MBS Residential 5,706 — 5,706 (29,083 ) (4,816 ) (33,899 ) Commercial 15,462 1,579 17,041 (12,122 ) (3,977 ) (16,099 ) Interest-only — 834 834 — (7,744 ) (7,744 ) Total $ 838,391 $ 22,791 $ 861,182 $ (41,489 ) $ (85,086 ) $ (126,575 ) 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 June 30, 2018 and December 31, 2017 . June 30, 2018 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 2,522,667 $ 53.23 $ 81.81 4.8 % 17.7 % Senior, interest-only 5,282,885 5.73 4.78 1.4 % 9.1 % Subordinated 365,499 56.13 73.00 4.0 % 10.8 % Subordinated, interest-only 206,557 4.49 5.07 0.9 % 11.8 % Agency MBS Residential pass-through 4,527,730 103.70 101.88 4.0 % 3.4 % Commercial pass-through 2,300,891 102.08 98.81 3.6 % 3.4 % Interest-only 3,010,512 3.65 3.42 0.7 % 3.3 % (1) Bond Equivalent Yield at period end. December 31, 2017 Principal or Notional Value at Period-End Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 2,733,926 $ 54.04 $ 81.62 4.6 % 16.7 % Senior, interest-only 4,862,461 5.41 4.34 1.3 % 8.0 % Subordinated 501,455 66.77 80.01 4.1 % 9.6 % Subordinated, interest-only 201,378 3.66 3.89 0.8 % 11.8 % Agency MBS Residential pass-through 2,227,128 105.53 104.27 3.8 % 2.9 % Commercial pass-through 1,894,594 102.26 102.31 3.6 % 3.2 % Interest-only 3,021,840 3.68 3.45 0.7 % 3.4 % (1) Bond Equivalent Yield at period end. The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at June 30, 2018 and December 31, 2017 . June 30, 2018 December 31, 2017 AAA 0.3 % 0.3 % AA 0.9 % 0.3 % A 0.1 % 0.6 % BBB 1.4 % 1.9 % BB 2.0 % 2.5 % B 2.1 % 2.3 % Below B 57.8 % 59.6 % Not Rated 35.4 % 32.5 % 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 June 30, 2018 and December 31, 2017 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. June 30, 2018 (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 $ 5,461 $ 536,951 $ 816,498 $ 704,876 $ 2,063,786 Senior interest-only 6 47,491 95,502 109,325 252,324 Subordinated 3,891 44,590 126,300 92,049 266,830 Subordinated interest-only — 7,954 333 2,195 10,482 Agency MBS Residential — — 4,600,496 12,424 4,612,920 Commercial — 15,663 19,123 2,238,722 2,273,508 Interest-only 11,313 64,338 22,794 4,456 102,901 Total fair value $ 20,671 $ 716,987 $ 5,681,046 $ 3,164,047 $ 9,582,751 Amortized cost Non-Agency RMBS Senior $ 5,347 $ 387,067 $ 489,371 $ 460,950 $ 1,342,735 Senior interest-only 102 60,821 120,956 121,081 302,960 Subordinated 3,838 34,758 88,839 77,704 205,139 Subordinated interest-only — 6,270 838 2,171 9,279 Agency MBS Residential — — 4,682,192 12,880 4,695,072 Commercial — 15,769 20,374 2,312,661 2,348,804 Interest-only 11,264 69,648 24,895 4,131 109,938 Total amortized cost $ 20,551 $ 574,333 $ 5,427,465 $ 2,991,578 $ 9,013,927 December 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 $ 2,179 $ 681,086 $ 910,234 $ 637,916 $ 2,231,415 Senior interest-only 19 54,107 72,702 84,022 210,850 Subordinated — 75,495 121,555 204,175 401,225 Subordinated interest-only — 7,165 661 — 7,826 Agency MBS Residential — 21,777 2,300,403 — 2,322,180 Commercial — 45,770 16,559 1,875,952 1,938,281 Interest-only — 74,490 25,271 4,606 104,367 Total fair value $ 2,198 $ 959,890 $ 3,447,385 $ 2,806,671 $ 7,216,144 Amortized cost Non-Agency RMBS Senior $ 2,124 $ 493,965 $ 569,458 $ 411,816 $ 1,477,363 Senior interest-only 1,271 73,758 94,145 93,822 262,996 Subordinated — 61,987 91,044 181,789 334,820 Subordinated interest-only — 6,355 1,014 — 7,369 Agency MBS Residential — 22,069 2,328,304 — 2,350,373 Commercial — 47,170 17,176 1,872,993 1,937,339 Interest-only — 79,356 27,582 4,339 111,277 Total amortized cost $ 3,395 $ 784,660 $ 3,128,723 $ 2,564,759 $ 6,481,537 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 June 30, 2018 and December 31, 2017 , 67% and 66% of the Non-Agency RMBS collateral was classified as Alt-A, respectively. At June 30, 2018 and December 31, 2017 , 15% and 13% 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 June 30, 2018 and December 31, 2017 . June 30, 2018 December 31, 2017 Weighted average maturity (years) 20.4 20.7 Weighted average amortized loan to value (1) 63.3 % 64.4 % Weighted average FICO (2) 703 697 Weighted average loan balance (in thousands) $ 324 $ 314 Weighted average percentage owner occupied 84.5 % 84.4 % Weighted average percentage single family residence 65.7 % 66.3 % Weighted average current credit enhancement 1.5 % 2.2 % Weighted average geographic concentration of top four states CA 32.4 % CA 31.7 % NY 8.4 % NY 8.5 % FL 8.1 % FL 8.3 % NJ 2.6 % 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 June 30, 2018 and December 31, 2017 . Origination Year June 30, 2018 December 31, 2017 2003 and prior 4.8 % 3.6 % 2004 6.5 % 4.3 % 2005 20.1 % 20.8 % 2006 39.4 % 38.2 % 2007 23.6 % 30.4 % 2008 0.3 % 1.8 % 2009 and later 5.3 % 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 and six months ended June 30, 2018 and 2017 are as follows: For the Quarter Ended For the Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 (dollars in thousands) Proceeds from sales $ 32,551 $ 153,681 $ 32,551 $ 173,743 Gross realized gains 4,383 5,380 4,383 10,566 Gross realized losses (2,216 ) (839 ) (2,216 ) (858 ) Net realized gain (loss) $ 2,167 $ 4,541 $ 2,167 $ 9,708 Included in the gross realized gains for the quarter and six months ended June 30, 2018 in the table above are exchanges of securities with a fair value of $22 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 $2 million , reflected in earnings for the quarter and six months ended June 30, 2018 . For the quarter and six months ended June 30, 2017 , the fair value of these exchanges of securities was $8 million and $28 million , and resulted in a realized gain of $256 thousand and $5 million , respectively. |
Loans Held for Investment
Loans Held for Investment | 6 Months Ended |
Jun. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Loans Held for Investment | Loans Held for Investment The 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. At June 30, 2018 , all 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 Loans held for investment. As changes in the fair value of these loans are reflected in earnings, the Company does not estimate or record a loan loss provision. The total amortized cost of our Loans held for investment was $12.9 billion and $13.3 billion as of June 30, 2018 and December 31, 2017 , respectively. The following table provides a summary of the changes in the carrying value of Loans held for investment at fair value at June 30, 2018 and December 31, 2017 : For the Six Months Ended For the Year Ended June 30, 2018 December 31, 2017 (dollars in thousands) Balance, beginning of period $ 13,678,263 $ 8,753,653 Purchases 924,283 6,539,765 Principal paydowns (944,146 ) (1,788,409 ) Sales and settlements (389,798 ) 2,876 Net periodic accretion (amortization) (43,594 ) (35,803 ) Change in fair value 21,513 206,181 Balance, end of period $ 13,246,521 $ 13,678,263 The primary cause of the change in fair value is due to market demand and changes in credit risk of mortgage loans. Residential mortgage loans The loan portfolio for all residential mortgages were originated during the following years: Origination Year June 30, 2018 December 31, 2017 2002 and prior 7.5 % 7.5 % 2003 6.7 % 6.7 % 2004 14.4 % 14.6 % 2005 20.1 % 20.4 % 2006 23.3 % 23.1 % 2007 19.1 % 19.0 % 2008 6.0 % 6.0 % 2009 0.8 % 0.7 % 2010 and later 2.1 % 2.0 % Total 100.0 % 100.0 % The following table presents a summary of key characteristics of the residential loan portfolio at June 30, 2018 and December 31, 2017 : June 30, 2018 December 31, 2017 Number of loans 144,451 149,172 Weighted average maturity (years) 18.8 18.8 Weighted average loan to value (1) 87.5 % 88.0 % Weighted average FICO (1) 630 631 Weighted average loan balance (in thousands) $ 91 $ 91 Weighted average percentage owner occupied 92.8 % 95.0 % Weighted average percentage single family residence 86.2 % 86.0 % Weighted average geographic concentration of top five states CA 9.1 % CA 9.0 % FL 7.2 % FL 7.2 % OH 6.0 % OH 6.1 % NY 5.6 % PA 5.6 % PA 5.6 % VA 5.5 % (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 June 30, 2018 and December 31, 2017 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal/Notional (dollars in thousands) June 30, 2018 $797,730 $288,255 $396,269 $244,955 $262,100 $34,519 $2,023,828 $13,083,186 % of Unpaid Principal Balance 6.1% 2.2% 3.0% 1.9% 2.0% 0.3% 15.5% December 31, 2017 $888,535 $353,810 $435,876 $272,778 $200,376 $31,008 $2,182,383 $13,525,820 % of Unpaid Principal Balance 6.6% 2.6% 3.2% 2.0% 1.5% 0.2% 16.1% The fair value of residential mortgage loans 90 days or more past due was $549 million and $577 million as of June 30, 2018 and December 31, 2017 , 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 gain or 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 June 30, 2018 and December 31, 2017 was $16 million and $10 million , respectively, and were recorded in Other Assets on the Company’s consolidated statements of financial condition. |
Fair Value Measurements
Fair Value Measurements | 6 Months Ended |
Jun. 30, 2018 | |
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, 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 June 30, 2018 , seventeen investment holdings with an internally developed fair value of $197 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 $18 million lower than the third party prices provided of $215 million . After review and discussion, the Company affirmed and valued the investments at the lower internally developed prices. No other differences were noted at June 30, 2018 in excess of the derived predetermined threshold for the period. At December 31, 2017 , four investment holdings with an internally developed fair value of $25 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 $3 million lower than the third party prices provided of $28 million . After review and discussion, the Company affirmed and valued the investments at the lower 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. Loans Held for Investment Loans consisting of seasoned subprime residential mortgage loans: The Company estimates the fair value of its 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. 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 the securitization market. 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 June 30, 2018 , the internally developed fair values of loan pools of $1.19 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 $39 million higher than the third party prices provided of $1.15 billion . After review and discussion, the Company affirmed and valued the investments at the lower internally developed prices. At December 31, 2017 , there were no pricing differences in excess of the predetermined thresholds between the model generated prices and third party prices. The Company’s estimates of fair value of 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. Loans collateralized by jumbo, prime residential mortgages : The loans collateralized by jumbo, prime residential mortgages are carried at fair value. The 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 loans collateralized by jumbo, prime residential mortgages is based on the fair value of the financial liabilities. See discussion of the fair value of Securitized Debt, collateralized by Loans Held for Investment at fair value below. As the more observable financial liabilities are considered level 3 in the fair value hierarchy, the 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 process for determining the fair value of securitized debt, collateralized by loans held for investment is 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. Fair value option The table below shows the unpaid principal, fair value and impact of change in fair value on each of the financial instruments carried with fair value option as of June 30, 2018 and December 31, 2017 respectively: June 30, 2018 (dollars in thousands) Unpaid Fair Value Quarter to Date Gain/(Loss) on Change in Fair Value Year to Date Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Subordinated N/A $ 12,918 $ (42 ) $ (440 ) Senior, interest-only 5,282,885 252,324 3,464 1,511 Subordinated, interest-only 206,557 10,482 335 746 Agency MBS Residential Pass-through 3,010,558 3,075,138 3,081 (9,270 ) Commercial Pass-through 1,004,493 984,591 (12,534 ) (32,948 ) Interest-only 3,010,512 102,901 46 (127 ) Loans held for investment, at fair value 13,083,186 13,246,521 (20,082 ) 21,513 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 9,388,837 9,340,368 7,369 15,118 December 31, 2017 (dollars in thousands) Unpaid Fair Value Quarter to Date Gain/(Loss) on Change in Fair Value Year to Date Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Subordinated N/A $ 13,993 $ (545 ) $ 1,246 Senior, interest-only 4,862,461 210,850 3,156 (13,290 ) Subordinated, interest-only 201,378 7,826 1,836 2,311 Agency MBS Residential Pass-through 577,522 602,829 (2,359 ) (4,816 ) Commercial Pass-through 564,379 570,105 (546 ) (2,398 ) Interest-only 3,021,840 104,367 (367 ) 465 Loans held for investment, at fair value 13,525,820 13,678,263 (65,643 ) 206,181 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 9,395,854 9,388,657 16,831 (78,289 ) 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 and swaptions as Level 2 inputs in the fair value hierarchy. Treasury Futures The fair value of Treasury futures is determined by quoted market prices 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, dividends payable, payable for investments 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 June 30, 2018 and December 31, 2017 are presented below. June 30, 2018 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 2,593,422 $ — $ 2,593,422 Agency MBS, at fair value — 6,989,329 — — 6,989,329 Loans held for investment, at fair value — — 13,246,521 — 13,246,521 Derivatives 2,949 168,532 — (42,140 ) 129,341 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 9,340,368 — 9,340,368 Derivatives — 16,730 — (16,730 ) — December 31, 2017 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 2,851,316 $ — $ 2,851,316 Agency MBS, at fair value — 4,364,828 — — 4,364,828 Loans held for investment, at fair value — — 13,678,263 — 13,678,263 Derivatives 3,553 46,978 — (1,617 ) 48,914 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 9,388,657 — 9,388,657 Derivatives — 1,937 — (1,617 ) 320 The table below provides a summary of the changes in the fair value of securities classified as Level 3 at June 30, 2018 and December 31, 2017 . Fair Value Reconciliation, Level 3 For the Six Months Ended, June 30, 2018 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 assets $ 2,851,316 $ 13,678,263 $ 9,388,657 Transfers in to Level 3 assets — — — Transfers out of Level 3 assets — — — Purchases of assets/ issuance of debt 92,017 924,283 1,170,009 Principal payments (327,923 ) (944,146 ) (894,694 ) Sales and Settlements (32,379 ) (389,798 ) (293,460 ) Accretion (amortization) of purchase discounts 53,895 (43,594 ) (4,969 ) Gains (losses) included in net income Other than temporary credit impairment losses (10,289 ) — — Realized gains (losses) on sales and settlements 2,244 — (10,057 ) Net unrealized gains (losses) included in income 1,815 21,513 (15,118 ) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (37,274 ) — — Ending balance Level 3 assets $ 2,593,422 $ 13,246,521 $ 9,340,368 Fair Value Reconciliation, Level 3 For the Year Ended, December 31, 2017 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 assets $ 3,330,063 $ 8,753,653 $ 6,941,097 Transfers in to Level 3 assets 6,112 — — Transfers out of Level 3 assets — — — Purchases of assets/ issuance of debt 78,400 6,539,765 5,173,430 Principal payments (568,339 ) (1,788,409 ) (1,787,368 ) Sales and Settlements (68,162 ) 2,876 (1,056,765 ) Accretion (amortization) of purchase discounts 120,119 (35,803 ) 4,701 Gains (losses) included in net income Other than temporary credit impairment losses (59,881 ) — — Realized gains (losses) on sales and settlements 12,031 — 35,273 Net unrealized gains (losses) included in income (9,733 ) 206,181 78,289 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period 10,706 — — Ending balance Level 3 assets $ 2,851,316 $ 13,678,263 $ 9,388,657 There were no transfers in or out from Level 3, during the quarter ended June 30, 2018 . There were $6 million of IOs transferred to Level 3 and no transfers out from Level 3 for the year ended December 31, 2017 . The primary cause of the changes in fair value of the loans and the securitized debt are due to market demand for these instruments and changes in credit risk of the portfolio. 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. 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 Constant 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. Sensitivity of Significant Inputs – Non-Agency RMBS and securitized debt, collateralized by loans held for investment 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. A summary of the significant inputs used to estimate the fair value of Non-Agency RMBS held for investment at fair value as of June 30, 2018 and December 31, 2017 follows: June 30, 2018 December 31, 2017 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 4.6% 2% -22% 0% -52% 35% -95% 4.4% 1% -45% 0% -55% 35% -89% Senior interest-only 10.0% 4% -31% 0% -59% 35% -95% 11.2% 3% -25% 0% -50% 35% -95% Subordinated 5.4% 1% -23% 0% -45% 10% -71% 5.8% 1% -20% 0% -33% 35% -69% Subordinated interest-only 10.4% 4% -25% 0% -15% 35% -58% 12.0% 6% -22% 0% -9% 35% -63% 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 June 30, 2018 and December 31, 2017 follows: June 30, 2018 December 31, 2017 Significant Inputs Significant Inputs Weighted Average Discount Rate CPR Range CDR Range Loss Severity Range Weighted Average Discount Rate CPR Range CDR Range Loss Severity Range Securitized debt at fair value, collateralized by loans held for investment 4.4% 6% - 15% 0% - 8% 35% - 60% 4.1% 6% - 15% 0% - 6% 35% - 60% 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 – Loans held for investment The 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 Loans held for investment collateralized by seasoned subprime residential mortgage loans, as of June 30, 2018 and December 31, 2017 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 Loans held for investment collateralized by seasoned subprime mortgages at fair value as of June 30, 2018 and December 31, 2017 follows: June 30, 2018 December 31, 2017 Factor: Coupon Base Rate 5.0% 4.8% Actual 6.9% 6.9% FICO Base Rate 636 636 Actual 627 627 Loan-to-value (LTV) Base Rate 88% 89% Actual 88% 88% Loan Characteristics: Occupancy Owner Occupied 93% 95% Investor 1% 1% Secondary 6% 4% Property Type Single family 87% 87% Manufactured housing 4% 4% Multi-family/mixed use/other 9% 9% The loan factors are generally not observable for the individual loans and the base rates developed by the Company’s internal model are subjective and change as market conditions change. The impact of the loan coupon on the value of the loan is dependent on whether the loan is clean or reperforming. A clean loan, with no history of delinquent payments and a relatively high loan interest rate would result in a higher overall value than a reperforming loan which has a history of delinquency. Similarly, a higher FICO score and a lower LTV ratio results in increases in the fair market value of the loan and a lower FICO score and a higher LTV ratio results in a lower value. Property types also affect the overall loan values. Property types include single family, manufactured housing and multi-family/mixed use and other types of properties. Single family homes represent properties which house one to four family units. Manufactured homes include mobile homes and modular homes. Loan value for properties that are investor or secondary homes have a reduced value as compared to the baseline loan value. Additionally, single family homes will result in an increase to the loan value where manufactured and multi-family/mixed use and other properties will result in a decrease to the loan value, as compared to the baseline. Financial instruments not carried at fair value 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 June 30, 2018 and December 31, 2017 . June 30, 2018 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 9,127,048 9,151,213 Securitized debt, collateralized by Non-Agency RMBS 3 179,742 161,707 December 31, 2017 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 7,250,452 7,269,193 Securitized debt, collateralized by Non-Agency RMBS 3 205,780 192,259 |
Repurchase Agreements
Repurchase Agreements | 6 Months Ended |
Jun. 30, 2018 | |
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 June 30, 2018 and December 31, 2017 were: June 30, 2018 December 31, 2017 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 5,569,418 $ 3,202,056 Non-agency MBS and Loans held for investment (in thousands) 3,557,630 4,048,396 Total: $ 9,127,048 $ 7,250,452 Average balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 3,907,750 $ 3,120,474 Non-agency MBS and Loans held for investment (in thousands) 3,893,703 3,203,700 Total: $ 7,801,453 $ 6,324,174 Average borrowing rate of Repurchase agreements secured by: Agency MBS 2.09 % 1.47 % Non-agency MBS and Loans held for investment 4.02 % 3.41 % Average remaining maturity of Repurchase agreements secured by: Agency MBS 24 Days 28 Days Non-agency MBS and Loans held for investment 98 Days 93 Days Average original maturity of Repurchase agreements secured by: Agency MBS 66 Days 87 Days Non-agency MBS and Loans held for investment 124 Days 123 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 5,954,878 $ 3,450,123 Non-agency MBS and Loans held for investment (in thousands) 4,671,505 5,338,557 Total: $ 10,626,383 $ 8,788,680 At June 30, 2018 and December 31, 2017 , the repurchase agreements collateralized by MBS and Loans held for investment had the following remaining maturities. June 30, 2018 December 31, 2017 (dollars in thousands) Overnight $ — $ — 1 to 29 days 4,757,404 4,745,342 30 to 59 days 1,915,294 1,206,769 60 to 89 days 1,460,284 592,865 90 to 119 days 90,183 — Greater than or equal to 120 days 903,883 705,476 Total $ 9,127,048 $ 7,250,452 At June 30, 2018 , the Company had an amount at risk with Credit Suisse of 11% of its equity related to the collateral posted on repurchase agreements. As of June 30, 2018 the weighted average remaining maturity of the repurchase agreements with Credit Suisse was 64 days and the amount at risk was $410 million . At December 31, 2017 , the Company had an amount at risk with Credit Suisse of 12% of its equity related to the collateral posted on repurchase agreements. As of December 31, 2017 , the weighted average maturity of the repurchase agreements with Credit Suisse was 25 days and the amount at risk was $451 million . There were no other amounts at risk with any other counterparties greater than 10% of the Company’s equity as of June 30, 2018 and December 31, 2017 . |
Securitized Debt
Securitized Debt | 6 Months Ended |
Jun. 30, 2018 | |
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 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 June 30, 2018 and December 31, 2017 the Company’s securitized debt collateralized by Non-Agency RMBS is carried at amortized cost and had a principal balance of $194 million and $219 million , respectively. At June 30, 2018 and December 31, 2017 , the debt carried a weighted average coupon equal to 6.3% and 6.2% , respectively. The debt matures between the years 2035 and 2046 . None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable. There were no securitized debt collateralized by Non-Agency RMBS acquisitions during the quarters ended June 30, 2018 and 2017 . The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at June 30, 2018 and December 31, 2017 , 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. June 30, 2018 December 31, 2017 (dollars in thousands) Within One Year $ 30,923 $ 42,217 One to Three Years 37,753 45,916 Three to Five Years 11,461 16,524 Greater Than Five Years 5,600 4,867 Total $ 85,737 $ 109,524 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 Note 3 for a more detailed discussion of the securities collateralizing the securitized debt. Securitized Debt Collateralized by Loans Held for Investment At June 30, 2018 and December 31, 2017 the Company’s securitized debt collateralized by loans held for investment had a principal balance of $9.4 billion . At June 30, 2018 and December 31, 2017 the total securitized debt collateralized by loans held for investment carried a weighted average coupon equal to 4.4% and 4.2% , respectively. The debt matures between the years 2023 and 2067 . During the quarter ended June 30, 2018 , the Company acquired securitized debt collateralized by loans with an amortized cost balance of $155 million for $154 million . This transaction resulted in a net gain on the extinguishment of debt of $387 thousand , which is reflected in earnings for the quarter ended June 30, 2018 . During the six months ended June 30, 2018 , the Company acquired securitized debt collateralized by loans with an amortized cost balance of $304 million for $294 million . This transaction resulted in a net gain on the extinguishment of debt of $10 million , which is reflected in earnings for the quarter ended June 30, 2018 . During the quarter ended June 30, 2017 , the Company acquired securitized debt collateralized by loans with an amortized cost balance of $ 197 million for $ 245 million . This transaction resulted in a net loss on extinguishment of debt of $ 48 million , which is reflected in earnings for the quarter and six months ended June 30, 2017 . As the Company's securitized debt is carried at fair value with changes in fair value reflected in earnings some of this loss was recognized during prior periods. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at June 30, 2018 and December 31, 2017 , 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. June 30, 2018 December 31, 2017 (dollars in thousands) Within One Year $ 1,785,710 $ 1,819,018 One to Three Years 2,818,626 2,872,572 Three to Five Years 2,110,377 2,140,434 Greater Than Five Years 2,493,804 2,439,872 Total $ 9,208,517 $ 9,271,896 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 at the option of the Company. The following table presents the par value of the callable debt by year at June 30, 2018 . June 30, 2018 (dollars in thousands) Year Principal 2018 $ 560,814 2019 360,602 2020 4,621,456 2021 3,197,192 2022 300,973 2023 142,144 Total $ 9,183,181 |
Consolidated Securitization Veh
Consolidated Securitization Vehicles and Other Variable Interest Entities | 6 Months Ended |
Jun. 30, 2018 | |
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 June 30, 2018 , the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $14.5 billion and liabilities with a carrying value of $9.6 billion . As of December 31, 2017 , the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $15.0 billion of and liabilities with a carrying value of $9.6 billion . VIEs for Which the Company is the Primary Beneficiary The retained beneficial interests in VIEs for which the Company is the primary beneficiary are typically the subordinated tranches of these re-securitizations and in some cases the Company may hold interests in additional tranches. The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of June 30, 2018 and December 31, 2017 . June 30, 2018 December 31, 2017 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 1,280,378 $ 1,579,793 Loans held for investment, at fair value 13,045,302 13,263,338 Accrued interest receivable 75,390 75,489 Other assets 54,708 68,844 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 179,742 $ 205,780 Securitized debt at fair value, collateralized by loans held for investment 9,340,368 9,388,657 Accrued interest payable 35,754 33,870 Other liabilities 3,285 3,513 Income, OTTI and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Quarters Ended June 30, 2018 June 30, 2017 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 229,746 $ 234,437 Interest expense, Non-recourse liabilities of VIEs 99,507 105,723 Net interest income $ 130,239 $ 128,714 Total other-than-temporary impairment losses $ (351 ) $ (696 ) Portion of loss recognized in other comprehensive income (loss) (8,561 ) (12,146 ) Net other-than-temporary credit impairment losses $ (8,912 ) $ (12,842 ) Servicing fees $ 9,722 $ 10,890 For the Six Months Ended June 30, 2018 June 30, 2017 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 464,772 $ 427,426 Interest expense, Non-recourse liabilities of VIEs 199,121 188,407 Net interest income $ 265,651 $ 239,019 Total other-than-temporary impairment losses $ (351 ) $ (1,109 ) Portion of loss recognized in other comprehensive income (loss) (8,561 ) (25,613 ) Net other-than-temporary credit impairment losses $ (8,912 ) $ (26,722 ) Servicing fees $ 20,133 $ 20,478 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 June 30, 2018 , ranged from less than $1 million to $49 million , with an aggregate amount of $1.3 billion . The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 2017 , ranged from less than $1 million to $52 million , with an aggregate amount of $1.3 billion . The Company’s maximum exposure to loss from these unconsolidated VIEs was $1.2 billion at June 30, 2018 and December 31, 2017 . 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 | 6 Months Ended |
Jun. 30, 2018 | |
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 June 30, 2018 and December 31, 2017 . June 30, 2018 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 $ 7,692,400 Derivatives, at fair value, net $ 123,975 Derivatives, at fair value, net $ — Swaptions 53,000 Derivatives, at fair value, net 2,417 Derivatives, at fair value, net — Treasury Futures 619,700 Derivatives, at fair value, net 2,949 Derivatives, at fair value, net — Total $ 8,365,100 $ 129,341 $ — December 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 $ 3,816,400 Derivatives, at fair value, net $ 43,257 Derivatives, at fair value, net $ — Swaptions 391,000 Derivatives, at fair value, net 2,105 Derivatives, at fair value, net (320 ) Treasury Futures 619,700 Derivatives, at fair value, net 3,552 Derivatives, at fair value, net — Total $ 4,827,100 $ 48,914 $ (320 ) 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 June 30, 2018 June 30, 2017 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 21,165 $ 4,377 Interest Rate Swaps Net realized gains (losses) on derivatives (1) 1,246 (19,629 ) Treasury Futures Net unrealized gains (losses) on derivatives 5,984 2,179 Treasury Futures Net realized gains (losses) on derivatives (2,210 ) (6,914 ) Swaptions Net unrealized gains (losses) on derivatives (1,254 ) (754 ) Swaptions Net realized gains (losses) on derivatives (429 ) (1,081 ) Total $ 24,502 $ (21,822 ) (1) Includes loss on termination of interest rate swaps of $16 million for the quarter ended June 30, 2017 . There were no swaps terminations during the quarter ended June 30, 2018 . Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of June 30, 2018 June 30, 2017 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 106,129 $ 10,693 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (1,365 ) (23,733 ) Treasury Futures Net unrealized gains (losses) on derivatives (604 ) (388 ) Treasury Futures Net realized gains (losses) on derivatives 14,215 (8,999 ) Swaptions Net unrealized gains (losses) on derivatives 1,789 393 Swaptions Net realized gains (losses) on derivatives (1,157 ) (4,250 ) Total $ 119,007 $ (26,284 ) (1) Includes loss on termination of interest rate swaps of $16 million for the six months ended June 30, 2017 . There were no swaps terminations during the six months ended June 30, 2018 . The weighted average pay rate on the Company’s interest rate swaps at June 30, 2018 was 2.35% and the weighted average receive rate was 2.33% . The weighted average pay rate on the Company’s interest rate swaps at December 31, 2017 was 1.93% and the weighted average receive rate was 1.53% . The weighted average maturity on the Company’s interest rate swaps at June 30, 2018 and December 31, 2017 was 6 years and 5 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 June 30, 2018 is approximately $143 million including accrued interest, which represents the maximum amount the Company would receive upon termination, which is fully collateralized. |
Capital Stock
Capital Stock | 6 Months Ended |
Jun. 30, 2018 | |
Equity [Abstract] | |
Capital Stock | Capital Stock Preferred Stock The Company declared dividends to Series A preferred stockholders of $3 million and $6 million , or $0.50 and $1.00 , respectively, per preferred share during the quarter and six months ended June 30, 2018 and 2017 , respectively. The Company declared dividends to Series B preferred stockholders of $7 million and $13 million , or $0.50 and $1.00 per preferred share, respectively, during the quarter and six months ended June 30, 2018 . The Company declared dividends to Series B preferred stockholders of $7 million and $9 million , or $0.50 and $0.68 , respectively, per preferred share during the quarter and six months ended June 30, 2017 , respectively. Common Stock In February 2018, our Board of Directors reauthorized $100 million under our share repurchase program (the “Repurchase Program”). Such authorization does not have an expiration date and, at present, there is no intention to modify or otherwise rescind such authorization. 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, the Company intends to only consider repurchasing shares of our common stock when the purchase price is less than the last publicly reported book value per common share. In addition, the Company does not intend to repurchase any shares from directors, officers or other affiliates. The program does not obligate the Company to acquire any specific number of shares, and all repurchases will be made in accordance with Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of stock repurchases. Pursuant to our Repurchase Program, the Company repurchased approximately 883 thousand shares of its common stock at an average price of $16.81 per share for a total of $15 million during the first quarter of 2018 . The company did not repurchase any common stock during the quarter ended June 30, 2018 . During the quarter and six months ended June 30, 2018 , and 2017 , the Company declared dividends to common shareholders of $94 million and $188 million , or $0.50 and $1.00 per share, respectively. Earnings per share for the quarters and six months ended June 30, 2018 and 2017 , respectively, are computed as follows: For the Quarter Ended June 30, 2018 June 30, 2017 (dollars in thousands) Numerator: Net income available to common shareholders $ 108,708 $ 105,617 Effect of dilutive securities: — — Dilutive net income available to common shareholders $ 108,708 $ 105,617 Denominator: Weighted average basic shares 186,994,743 187,779,406 Effect of dilutive securities 427,402 363,145 Weighted average dilutive shares 187,422,145 188,142,551 Net income per average share attributable to common stockholders - Basic $ 0.58 $ 0.56 Net income per average share attributable to common stockholders - Diluted $ 0.58 $ 0.56 For the Six Months Ended June 30, 2018 June 30, 2017 (dollars in thousands) Numerator: Net income available to common shareholders $ 338,316 $ 263,141 Effect of dilutive securities: — — Dilutive net income available to common shareholders $ 338,316 $ 263,141 Denominator: Weighted average basic shares 187,272,469 187,770,626 Effect of dilutive securities 465,974 398,467 Weighted average dilutive shares 187,738,443 188,169,093 Net income per average share attributable to common stockholders - Basic $ 1.81 $ 1.40 Net income per average share attributable to common stockholders - Diluted $ 1.80 $ 1.40 |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 6 Months Ended |
Jun. 30, 2018 | |
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 six months ended June 30, 2018 and 2017 : June 30, 2018 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2017 $ 796,902 $ 796,902 OCI before reclassifications (131,157 ) (131,157 ) Amounts reclassified from AOCI 5,906 5,906 Net current period OCI (125,251 ) (125,251 ) Balance as of June 30, 2018 $ 671,651 $ 671,651 June 30, 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 37,744 37,744 Amounts reclassified from AOCI 24,433 24,433 Net current period OCI 62,177 62,177 Balance as of June 30, 2017 $ 780,283 $ 780,283 The following table presents the details of the reclassifications from AOCI for the six months ended June 30, 2018 and 2017 : June 30, 2018 June 30, 2017 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 $ 4,383 $ 7,777 Net realized gains (losses) on sales of investments (10,289 ) (32,210 ) Net other-than-temporary credit impairment losses $ (5,906 ) $ (24,433 ) Income before income taxes — — Income taxes $ (5,906 ) $ (24,433 ) Net of tax |
Equity Compensation, Employment
Equity Compensation, Employment Agreements and other Benefit Plans | 6 Months Ended |
Jun. 30, 2018 | |
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 three years. 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 June 30, 2018 . During the first quarter of 2017 , 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 first quarter of 2018 and 2017 , 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. Generally, the RSU awards vest equally over a three -year period beginning 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 241 thousand and 112 thousand RSU awards during the first quarter of 2018 and 2017 , with a grant date fair value of $4 million and $2 million , respectively, which will be recognized as compensation expense on a straight-line basis over the three year vesting period. During the first quarter of 2018 and 2017 , the Company granted certain employees 133 thousand and 144 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, 2020 and December 31, 2019 , 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 133 thousand PSU awards granted during 2018 had a grant date value of $2 million that will cliff vest on December 31, 2020. The 144 thousand PSU awards granted during 2017 had a grant date value of $3 million which will cliff vest on December 31, 2019. The Company recognized stock based compensation expenses of $2 million and $1 million for the quarters ended June 30, 2018 and 2017 , respectively. For the six months ended June 30, 2018 and 2017 , the stock based compensation expenses were 3 million and $ 2 million , respectively. 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 $18,500 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 June 30, 2018 and 2017 was $137 thousand and $103 thousand , respectively. For the six months ended June 30, 2018 and 2017 , the 401(k) expense related to the Company's qualified plan was $251 thousand and $215 thousand , respectively. |
Income Taxes
Income Taxes | 6 Months Ended |
Jun. 30, 2018 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes For the quarter ended June 30, 2018 and year ended December 31, 2017 , 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 June 30, 2018 and the year ended December 31, 2017 . On December 22, 2017, H.R. 1, informally known as the Tax Cuts and Jobs Act (the "TCJA") was enacted. We continue to analyze and monitor the application of the TCJA to our business. 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 2016, 2015 and 2014 federal, state and local tax returns remain open for examination. |
Credit Risk and Interest Rate R
Credit Risk and Interest Rate Risk | 6 Months Ended |
Jun. 30, 2018 | |
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, borrowings under repurchase agreements and securitized debt. 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 financing. The Company attempts to minimize credit risk through due diligence, asset selection and 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. 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. The Company presents its 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 June 30, 2018 and December 31, 2017 . June 30, 2018 (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 $ (9,127,048 ) $ — $ (9,127,048 ) $ 10,626,383 $ — $ 1,499,335 Interest Rate Swaps - Gross Assets 166,115 (42,140 ) 123,975 — 16,079 140,054 Interest Rate Swaps - Gross Liabilities (16,730 ) 16,730 — — — — Treasury Futures - Gross Assets 2,949 — 2,949 — 2,105 5,054 Treasury Futures - Gross Liabilities — — — — — — Swaptions - Gross Assets 2,417 — 2,417 — — 2,417 Swaptions - Gross Liabilities — — — — — — Total Liabilities $ (8,972,297 ) $ (25,410 ) $ (8,997,707 ) $ 10,626,383 $ 18,184 $ 1,646,860 (1) Included in other assets December 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 $ (7,250,452 ) $ — $ (7,250,452 ) $ 8,788,680 $ 1,156 $ 1,539,384 Interest Rate Swaps - Gross Assets 44,874 (1,617 ) 43,257 — 11,570 54,827 Interest Rate Swaps - Gross Liabilities (1,617 ) 1,617 — — — — Treasury Futures - Gross Assets 3,552 — 3,552 — 376 3,928 Treasury Futures - Gross Liabilities — — — — — — Swaptions - Gross Assets 2,105 — 2,105 — — 2,105 Swaptions - Gross Liabilities (320 ) — (320 ) — — (320 ) Total Liabilities $ (7,201,858 ) $ — $ (7,201,858 ) $ 8,788,680 $ 13,102 $ 1,599,924 (1) Included in other assets |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2018 | |
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. |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2018 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events None. |
Summary of the Significant Ac25
Summary of the Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2018 | |
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 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 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 structure 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 only be satisfied from each securitization vehicle’s respective asset pool. The assets of securitization entities are comprised of residential mortgage backed securities (“RMBS”) or residential mortgage loans. |
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. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements Income Statement - Reporting Comprehensive Income - (Topic 220) In February 2018, the FASB issued ASU No. 2018-02, I ncome Statement - Reporting Comprehensive Income - Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income. The amendments in this update allow a reclassification from accumulated other comprehensive income to retained earnings for stranded tax effects resulting from the Tax Cuts and Jobs Act. Consequently, the amendments eliminate the stranded tax effects resulting from the Tax Cuts and Jobs Act and will improve the usefulness of information reported to financial statement users. However, because the amendments only relate to the reclassification of the income tax effects of the Tax Cuts and Jobs Act, the underlying guidance that requires that the effect of a change in tax laws or rates be included in income from continuing operations is not affected. The amendments in this Update also require certain disclosures about stranded tax effects. The guidance in the ASU is effective for the Company as of January 1, 2019. Early adoption is allowed. The Company is not planning to early adopt and is currently evaluating what impact this update will have on the consolidated financial statements. Derivatives and Hedging - Targeted improvements to Accounting for Hedging Activities (Topic 815) In August 2017, the FASB issued ASU No. 2017-12, Derivatives and Hedging - Targeted improvements to Accounting for Hedging Activities. This update is issued with the objective of improving the financial reporting of hedging relationships to better portray the economic results of an entity’s risk management activities in its financial statements. In addition, the amendments in this update make certain targeted improvements to simplify the application of the hedge accounting guidance in current GAAP. The guidance in the ASU is effective for the Company as of January 1, 2019. Early adoption is allowed. The Company is not planning to early adopt and 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 the Company does 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. |
Mortgage-Backed Securities (Tab
Mortgage-Backed Securities (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of present amortized cost, fair value and unrealized gain/losses of Company's MBS investments | The tables below present amortized cost, fair value and unrealized gain/losses of Company's MBS investments as of June 30, 2018 and December 31, 2017 . June 30, 2018 (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 $ 2,522,667 $ 628 $ (1,180,560 ) $ 1,342,735 $ 2,063,786 $ 721,524 $ (473 ) $ 721,051 Senior, interest-only 5,282,885 302,960 — 302,960 252,324 26,074 (76,710 ) (50,636 ) Subordinated 365,499 9,842 (170,202 ) 205,139 266,830 61,963 (272 ) 61,691 Subordinated, interest-only 206,557 9,279 — 9,279 10,482 1,830 (627 ) 1,203 Agency MBS Residential 4,527,730 167,342 — 4,695,072 4,612,920 9,528 (91,680 ) (82,152 ) Commercial 2,300,891 52,422 (4,509 ) 2,348,804 2,273,508 944 (76,240 ) (75,296 ) Interest-only 3,010,512 109,938 — 109,938 102,901 954 (7,991 ) (7,037 ) Total $ 18,216,741 $ 652,411 $ (1,355,271 ) $ 9,013,927 $ 9,582,751 $ 822,817 $ (253,993 ) $ 568,824 December 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 $ 2,733,926 $ 540 $ (1,257,103 ) $ 1,477,363 $ 2,231,415 $ 754,234 $ (182 ) $ 754,052 Senior, interest-only 4,862,461 262,996 — 262,996 210,850 15,761 (67,907 ) (52,146 ) Subordinated 501,455 10,571 (177,206 ) 334,820 401,225 66,704 (299 ) 66,405 Subordinated, interest-only 201,378 7,369 — 7,369 7,826 902 (445 ) 457 Agency MBS Residential 2,227,128 123,245 — 2,350,373 2,322,180 5,706 (33,899 ) (28,193 ) Commercial 1,894,594 47,430 (4,685 ) 1,937,339 1,938,281 17,041 (16,099 ) 942 Interest-only 3,021,840 111,277 — 111,277 104,367 834 (7,744 ) (6,910 ) Total $ 15,442,782 $ 563,428 $ (1,438,994 ) $ 6,481,537 $ 7,216,144 $ 861,182 $ (126,575 ) $ 734,607 |
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 For the Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 (dollars in thousands) (dollars in thousands) Balance at beginning of period $ 1,293,996 $ 1,513,416 $ 1,303,590 $ 1,550,110 Purchases 5,734 1,969 5,734 10,185 Yield income earned (57,786 ) (67,750 ) (117,517 ) (136,577 ) Reclassification (to) from non-accretable difference 31,471 (62,059 ) 81,496 (38,107 ) Sales and deconsolidation (6,775 ) (2,388 ) (6,663 ) (2,423 ) Balance at end of period $ 1,266,640 $ 1,383,188 $ 1,266,640 $ 1,383,188 |
Schedule of non-agency RMBS having deteriorated credit when acquired | The table below presents the outstanding principal balance and related amortized cost at June 30, 2018 and December 31, 2017 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30. For the Six Months Ended For the Year Ended June 30, 2018 December 31, 2017 (dollars in thousands) Outstanding principal balance: Beginning of period $ 2,673,350 $ 3,138,265 End of period $ 2,476,421 $ 2,673,350 Amortized cost: Beginning of period $ 1,381,839 $ 1,695,079 End of period $ 1,249,140 $ 1,381,839 |
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 June 30, 2018 and December 31, 2017 . All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d) of 2017, Form 10-K. June 30, 2018 (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 $ 43,709 $ (473 ) 3 $ — $ — — $ 43,709 $ (473 ) 3 Senior, interest-only 25,400 (4,391 ) 31 103,442 (72,319 ) 104 128,842 (76,710 ) 135 Subordinated 1,016 (272 ) 5 — — 6 1,016 (272 ) 11 Subordinated, interest-only 112 (18 ) 1 704 (609 ) 3 816 (627 ) 4 Agency MBS Residential 1,618,829 (23,966 ) 36 1,318,668 (67,714 ) 94 2,937,497 (91,680 ) 130 Commercial 1,713,531 (60,698 ) 506 321,813 (15,542 ) 114 2,035,344 (76,240 ) 620 Interest-only 12,375 (689 ) 7 48,211 (7,302 ) 20 60,586 (7,991 ) 27 Total $ 3,414,972 $ (90,507 ) 589 $ 1,792,838 $ (163,486 ) 341 $ 5,207,810 $ (253,993 ) 930 December 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 $ 35,229 $ (182 ) 1 $ — $ — — $ 35,229 $ (182 ) 1 Senior, interest-only 28,129 (1,724 ) 27 120,120 (66,183 ) 120 148,249 (67,907 ) 147 Subordinated 235 (38 ) 7 6,261 (261 ) 5 6,496 (299 ) 12 Subordinated, interest-only — — — 945 (445 ) 3 945 (445 ) 3 Agency MBS Residential 660,103 (5,197 ) 21 1,471,464 (28,702 ) 93 2,131,567 (33,899 ) 114 Commercial 830,889 (11,695 ) 176 161,980 (4,404 ) 91 992,869 (16,099 ) 267 Interest-only 15,142 (641 ) 7 57,875 (7,103 ) 24 73,017 (7,744 ) 31 Total $ 1,569,727 $ (19,477 ) 239 $ 1,818,645 $ (107,098 ) 336 $ 3,388,372 $ (126,575 ) 575 |
Other than temporary impairment, credit losses recognized in earnings | A summary of the OTTI included in earnings for the quarters and six months ended June 30, 2018 and 2017 are presented below. For the Quarter Ended For the Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 (dollars in thousands) (dollars in thousands) Total other-than-temporary impairment losses $ (805 ) $ (749 ) $ (1,099 ) $ (3,462 ) Portion of loss recognized in other comprehensive income (loss) (8,326 ) (12,760 ) (9,190 ) (28,748 ) Net other-than-temporary credit impairment losses $ (9,131 ) $ (13,509 ) $ (10,289 ) $ (32,210 ) 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 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 Quarters Ended For the Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 (dollars in thousands) Cumulative credit loss beginning balance $ 586,056 $ 558,229 $ 591,521 $ 556,485 Additions: Other-than-temporary impairments not previously recognized — 12,399 1,140 12,399 Reductions for securities sold or deconsolidated during the period (4,775 ) — (4,948 ) (7,443 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 9,131 1,109 9,149 17,835 Reductions for increases in cash flows expected to be collected over the remaining life of the securities (7,751 ) (99 ) (14,201 ) (7,638 ) Cumulative credit impairment loss ending balance $ 582,661 $ 571,638 $ 582,661 $ 571,638 |
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 for the periods reported are summarized as follows: For the Six Months Ended June 30, 2018 June 30, 2017 Loss Severity Weighted Average 66% 62% Range 34% - 132% 28% - 67% 60+ days delinquent Weighted Average 23% 19% Range 16% - 30% 11% - 25% Credit Enhancement (1) Weighted Average 32% 19% Range 0% - 55% 0% - 38% 3 Month CPR Weighted Average 10% 12% Range 0% - 39% 2% - 24% 12 Month CPR Weighted Average 8% 11% Range 1% - 20% 4% - 19% (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 June 30, 2018 and December 31, 2017 . June 30, 2018 (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 $ 721,524 $ — $ 721,524 $ (473 ) $ — $ (473 ) Senior, interest-only — 26,074 26,074 — (76,710 ) (76,710 ) Subordinated 58,887 3,076 61,963 (272 ) — (272 ) Subordinated, interest-only — 1,830 1,830 — (627 ) (627 ) Agency MBS Residential 2,316 7,212 9,528 (70,382 ) (21,298 ) (91,680 ) Commercial 686 258 944 (40,635 ) (35,605 ) (76,240 ) Interest-only — 954 954 — (7,991 ) (7,991 ) Total $ 783,413 $ 39,404 $ 822,817 $ (111,762 ) $ (142,231 ) $ (253,993 ) December 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 $ 754,234 $ — $ 754,234 $ (182 ) $ — $ (182 ) Senior, interest-only — 15,761 15,761 — (67,907 ) (67,907 ) Subordinated 62,989 3,715 66,704 (102 ) (197 ) (299 ) Subordinated, interest-only — 902 902 — (445 ) (445 ) Agency MBS Residential 5,706 — 5,706 (29,083 ) (4,816 ) (33,899 ) Commercial 15,462 1,579 17,041 (12,122 ) (3,977 ) (16,099 ) Interest-only — 834 834 — (7,744 ) (7,744 ) Total $ 838,391 $ 22,791 $ 861,182 $ (41,489 ) $ (85,086 ) $ (126,575 ) |
Residential mortgage backed securities collateral characteristics | The following tables provide a summary of the Company’s MBS portfolio at June 30, 2018 and December 31, 2017 . June 30, 2018 Principal or Notional Value Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 2,522,667 $ 53.23 $ 81.81 4.8 % 17.7 % Senior, interest-only 5,282,885 5.73 4.78 1.4 % 9.1 % Subordinated 365,499 56.13 73.00 4.0 % 10.8 % Subordinated, interest-only 206,557 4.49 5.07 0.9 % 11.8 % Agency MBS Residential pass-through 4,527,730 103.70 101.88 4.0 % 3.4 % Commercial pass-through 2,300,891 102.08 98.81 3.6 % 3.4 % Interest-only 3,010,512 3.65 3.42 0.7 % 3.3 % (1) Bond Equivalent Yield at period end. December 31, 2017 Principal or Notional Value at Period-End Weighted Average Amortized Weighted Average Fair Value Weighted Average Weighted Average Yield at Period-End (1) Non-Agency RMBS Senior $ 2,733,926 $ 54.04 $ 81.62 4.6 % 16.7 % Senior, interest-only 4,862,461 5.41 4.34 1.3 % 8.0 % Subordinated 501,455 66.77 80.01 4.1 % 9.6 % Subordinated, interest-only 201,378 3.66 3.89 0.8 % 11.8 % Agency MBS Residential pass-through 2,227,128 105.53 104.27 3.8 % 2.9 % Commercial pass-through 1,894,594 102.26 102.31 3.6 % 3.2 % Interest-only 3,021,840 3.68 3.45 0.7 % 3.4 % (1) Bond Equivalent Yield at period end. |
Credit ratings of residential MBS | The following table presents the weighted average credit rating of the Company’s Non-Agency RMBS portfolio at June 30, 2018 and December 31, 2017 . June 30, 2018 December 31, 2017 AAA 0.3 % 0.3 % AA 0.9 % 0.3 % A 0.1 % 0.6 % BBB 1.4 % 1.9 % BB 2.0 % 2.5 % B 2.1 % 2.3 % Below B 57.8 % 59.6 % Not Rated 35.4 % 32.5 % Total 100.0 % 100.0 % |
Schedule of MBS 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 June 30, 2018 and December 31, 2017 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. June 30, 2018 (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 $ 5,461 $ 536,951 $ 816,498 $ 704,876 $ 2,063,786 Senior interest-only 6 47,491 95,502 109,325 252,324 Subordinated 3,891 44,590 126,300 92,049 266,830 Subordinated interest-only — 7,954 333 2,195 10,482 Agency MBS Residential — — 4,600,496 12,424 4,612,920 Commercial — 15,663 19,123 2,238,722 2,273,508 Interest-only 11,313 64,338 22,794 4,456 102,901 Total fair value $ 20,671 $ 716,987 $ 5,681,046 $ 3,164,047 $ 9,582,751 Amortized cost Non-Agency RMBS Senior $ 5,347 $ 387,067 $ 489,371 $ 460,950 $ 1,342,735 Senior interest-only 102 60,821 120,956 121,081 302,960 Subordinated 3,838 34,758 88,839 77,704 205,139 Subordinated interest-only — 6,270 838 2,171 9,279 Agency MBS Residential — — 4,682,192 12,880 4,695,072 Commercial — 15,769 20,374 2,312,661 2,348,804 Interest-only 11,264 69,648 24,895 4,131 109,938 Total amortized cost $ 20,551 $ 574,333 $ 5,427,465 $ 2,991,578 $ 9,013,927 December 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 $ 2,179 $ 681,086 $ 910,234 $ 637,916 $ 2,231,415 Senior interest-only 19 54,107 72,702 84,022 210,850 Subordinated — 75,495 121,555 204,175 401,225 Subordinated interest-only — 7,165 661 — 7,826 Agency MBS Residential — 21,777 2,300,403 — 2,322,180 Commercial — 45,770 16,559 1,875,952 1,938,281 Interest-only — 74,490 25,271 4,606 104,367 Total fair value $ 2,198 $ 959,890 $ 3,447,385 $ 2,806,671 $ 7,216,144 Amortized cost Non-Agency RMBS Senior $ 2,124 $ 493,965 $ 569,458 $ 411,816 $ 1,477,363 Senior interest-only 1,271 73,758 94,145 93,822 262,996 Subordinated — 61,987 91,044 181,789 334,820 Subordinated interest-only — 6,355 1,014 — 7,369 Agency MBS Residential — 22,069 2,328,304 — 2,350,373 Commercial — 47,170 17,176 1,872,993 1,937,339 Interest-only — 79,356 27,582 4,339 111,277 Total amortized cost $ 3,395 $ 784,660 $ 3,128,723 $ 2,564,759 $ 6,481,537 |
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 June 30, 2018 and December 31, 2017 . June 30, 2018 December 31, 2017 Weighted average maturity (years) 20.4 20.7 Weighted average amortized loan to value (1) 63.3 % 64.4 % Weighted average FICO (2) 703 697 Weighted average loan balance (in thousands) $ 324 $ 314 Weighted average percentage owner occupied 84.5 % 84.4 % Weighted average percentage single family residence 65.7 % 66.3 % Weighted average current credit enhancement 1.5 % 2.2 % Weighted average geographic concentration of top four states CA 32.4 % CA 31.7 % NY 8.4 % NY 8.5 % FL 8.1 % FL 8.3 % NJ 2.6 % 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 June 30, 2018 and December 31, 2017 . Origination Year June 30, 2018 December 31, 2017 2003 and prior 4.8 % 3.6 % 2004 6.5 % 4.3 % 2005 20.1 % 20.8 % 2006 39.4 % 38.2 % 2007 23.6 % 30.4 % 2008 0.3 % 1.8 % 2009 and later 5.3 % 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 and six months ended June 30, 2018 and 2017 are as follows: For the Quarter Ended For the Six Months Ended June 30, 2018 June 30, 2017 June 30, 2018 June 30, 2017 (dollars in thousands) Proceeds from sales $ 32,551 $ 153,681 $ 32,551 $ 173,743 Gross realized gains 4,383 5,380 4,383 10,566 Gross realized losses (2,216 ) (839 ) (2,216 ) (858 ) Net realized gain (loss) $ 2,167 $ 4,541 $ 2,167 $ 9,708 |
Loans Held for Investment (Tabl
Loans Held for Investment (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
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 Loans held for investment at fair value at June 30, 2018 and December 31, 2017 : For the Six Months Ended For the Year Ended June 30, 2018 December 31, 2017 (dollars in thousands) Balance, beginning of period $ 13,678,263 $ 8,753,653 Purchases 924,283 6,539,765 Principal paydowns (944,146 ) (1,788,409 ) Sales and settlements (389,798 ) 2,876 Net periodic accretion (amortization) (43,594 ) (35,803 ) Change in fair value 21,513 206,181 Balance, end of period $ 13,246,521 $ 13,678,263 |
Schedule of percentage of securitized loans held for investment carried at fair value by year originated | The loan portfolio for all residential mortgages were originated during the following years: Origination Year June 30, 2018 December 31, 2017 2002 and prior 7.5 % 7.5 % 2003 6.7 % 6.7 % 2004 14.4 % 14.6 % 2005 20.1 % 20.4 % 2006 23.3 % 23.1 % 2007 19.1 % 19.0 % 2008 6.0 % 6.0 % 2009 0.8 % 0.7 % 2010 and later 2.1 % 2.0 % Total 100.0 % 100.0 % |
Schedule of securitized loans held for investment types and characteristics of underlying collateral | 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 June 30, 2018 and December 31, 2017 . 30 Days Delinquent 60 Days Delinquent 90+ Days Delinquent Bankruptcy Foreclosure REO Total Unpaid Principal/Notional (dollars in thousands) June 30, 2018 $797,730 $288,255 $396,269 $244,955 $262,100 $34,519 $2,023,828 $13,083,186 % of Unpaid Principal Balance 6.1% 2.2% 3.0% 1.9% 2.0% 0.3% 15.5% December 31, 2017 $888,535 $353,810 $435,876 $272,778 $200,376 $31,008 $2,182,383 $13,525,820 % of Unpaid Principal Balance 6.6% 2.6% 3.2% 2.0% 1.5% 0.2% 16.1% |
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 residential loan portfolio at June 30, 2018 and December 31, 2017 : June 30, 2018 December 31, 2017 Number of loans 144,451 149,172 Weighted average maturity (years) 18.8 18.8 Weighted average loan to value (1) 87.5 % 88.0 % Weighted average FICO (1) 630 631 Weighted average loan balance (in thousands) $ 91 $ 91 Weighted average percentage owner occupied 92.8 % 95.0 % Weighted average percentage single family residence 86.2 % 86.0 % Weighted average geographic concentration of top five states CA 9.1 % CA 9.0 % FL 7.2 % FL 7.2 % OH 6.0 % OH 6.1 % NY 5.6 % PA 5.6 % PA 5.6 % VA 5.5 % (1) As provided by the Trustee. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Schedule of unpaid principal, fair value and impact of change in fair value | The table below shows the unpaid principal, fair value and impact of change in fair value on each of the financial instruments carried with fair value option as of June 30, 2018 and December 31, 2017 respectively: June 30, 2018 (dollars in thousands) Unpaid Fair Value Quarter to Date Gain/(Loss) on Change in Fair Value Year to Date Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Subordinated N/A $ 12,918 $ (42 ) $ (440 ) Senior, interest-only 5,282,885 252,324 3,464 1,511 Subordinated, interest-only 206,557 10,482 335 746 Agency MBS Residential Pass-through 3,010,558 3,075,138 3,081 (9,270 ) Commercial Pass-through 1,004,493 984,591 (12,534 ) (32,948 ) Interest-only 3,010,512 102,901 46 (127 ) Loans held for investment, at fair value 13,083,186 13,246,521 (20,082 ) 21,513 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 9,388,837 9,340,368 7,369 15,118 December 31, 2017 (dollars in thousands) Unpaid Fair Value Quarter to Date Gain/(Loss) on Change in Fair Value Year to Date Gain/(Loss) on Change in Fair Value Assets: Non-agency RMBS Subordinated N/A $ 13,993 $ (545 ) $ 1,246 Senior, interest-only 4,862,461 210,850 3,156 (13,290 ) Subordinated, interest-only 201,378 7,826 1,836 2,311 Agency MBS Residential Pass-through 577,522 602,829 (2,359 ) (4,816 ) Commercial Pass-through 564,379 570,105 (546 ) (2,398 ) Interest-only 3,021,840 104,367 (367 ) 465 Loans held for investment, at fair value 13,525,820 13,678,263 (65,643 ) 206,181 Liabilities: Securitized debt at fair value, collateralized by loans held for investment 9,395,854 9,388,657 16,831 (78,289 ) |
Schedule of 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 June 30, 2018 and December 31, 2017 are presented below. June 30, 2018 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — $ 2,593,422 $ — $ 2,593,422 Agency MBS, at fair value — 6,989,329 — — 6,989,329 Loans held for investment, at fair value — — 13,246,521 — 13,246,521 Derivatives 2,949 168,532 — (42,140 ) 129,341 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 9,340,368 — 9,340,368 Derivatives — 16,730 — (16,730 ) — December 31, 2017 (dollars in thousands) Level 1 Level 2 Level 3 Counterparty and Cash Collateral, netting Total Assets: Non-Agency RMBS, at fair value $ — $ — 2,851,316 $ — $ 2,851,316 Agency MBS, at fair value — 4,364,828 — — 4,364,828 Loans held for investment, at fair value — — 13,678,263 — 13,678,263 Derivatives 3,553 46,978 — (1,617 ) 48,914 Liabilities: Securitized debt at fair value, collateralized by loans held for investment — — 9,388,657 — 9,388,657 Derivatives — 1,937 — (1,617 ) 320 |
Summary of the changes in the fair value of securities classified as Level 3 | The table below provides a summary of the changes in the fair value of securities classified as Level 3 at June 30, 2018 and December 31, 2017 . Fair Value Reconciliation, Level 3 For the Six Months Ended, June 30, 2018 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 assets $ 2,851,316 $ 13,678,263 $ 9,388,657 Transfers in to Level 3 assets — — — Transfers out of Level 3 assets — — — Purchases of assets/ issuance of debt 92,017 924,283 1,170,009 Principal payments (327,923 ) (944,146 ) (894,694 ) Sales and Settlements (32,379 ) (389,798 ) (293,460 ) Accretion (amortization) of purchase discounts 53,895 (43,594 ) (4,969 ) Gains (losses) included in net income Other than temporary credit impairment losses (10,289 ) — — Realized gains (losses) on sales and settlements 2,244 — (10,057 ) Net unrealized gains (losses) included in income 1,815 21,513 (15,118 ) Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period (37,274 ) — — Ending balance Level 3 assets $ 2,593,422 $ 13,246,521 $ 9,340,368 Fair Value Reconciliation, Level 3 For the Year Ended, December 31, 2017 (dollars in thousands) Non-Agency RMBS Loans held for investment Securitized Debt Beginning balance Level 3 assets $ 3,330,063 $ 8,753,653 $ 6,941,097 Transfers in to Level 3 assets 6,112 — — Transfers out of Level 3 assets — — — Purchases of assets/ issuance of debt 78,400 6,539,765 5,173,430 Principal payments (568,339 ) (1,788,409 ) (1,787,368 ) Sales and Settlements (68,162 ) 2,876 (1,056,765 ) Accretion (amortization) of purchase discounts 120,119 (35,803 ) 4,701 Gains (losses) included in net income Other than temporary credit impairment losses (59,881 ) — — Realized gains (losses) on sales and settlements 12,031 — 35,273 Net unrealized gains (losses) included in income (9,733 ) 206,181 78,289 Gains (losses) included in other comprehensive income Total unrealized gains (losses) for the period 10,706 — — Ending balance Level 3 assets $ 2,851,316 $ 13,678,263 $ 9,388,657 |
A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by loans held for investment | 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 June 30, 2018 and December 31, 2017 follows: June 30, 2018 December 31, 2017 Significant Inputs Significant Inputs Weighted Average Discount Rate CPR Range CDR Range Loss Severity Range Weighted Average Discount Rate CPR Range CDR Range Loss Severity Range Securitized debt at fair value, collateralized by loans held for investment 4.4% 6% - 15% 0% - 8% 35% - 60% 4.1% 6% - 15% 0% - 6% 35% - 60% |
Schedule of carrying value and fair value of financial instruments not carried at fair value on a recurring basis | 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 June 30, 2018 and December 31, 2017 . June 30, 2018 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 9,127,048 9,151,213 Securitized debt, collateralized by Non-Agency RMBS 3 179,742 161,707 December 31, 2017 (dollars in thousands) Level in Fair Value Hierarchy Carrying Amount Fair Value Repurchase agreements 2 7,250,452 7,269,193 Securitized debt, collateralized by Non-Agency RMBS 3 205,780 192,259 |
Non-agency MBS | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by loans held for investment | A summary of the significant inputs used to estimate the fair value of Non-Agency RMBS held for investment at fair value as of June 30, 2018 and December 31, 2017 follows: June 30, 2018 December 31, 2017 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 4.6% 2% -22% 0% -52% 35% -95% 4.4% 1% -45% 0% -55% 35% -89% Senior interest-only 10.0% 4% -31% 0% -59% 35% -95% 11.2% 3% -25% 0% -50% 35% -95% Subordinated 5.4% 1% -23% 0% -45% 10% -71% 5.8% 1% -20% 0% -33% 35% -69% Subordinated interest-only 10.4% 4% -25% 0% -15% 35% -58% 12.0% 6% -22% 0% -9% 35% -63% |
Loans Held for Investment at Fair Value | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
A summary of the significant inputs used to estimate the fair value of securitized debt at fair value, collateralized by loans held for investment | A summary of the significant inputs used to estimate the fair value of Loans held for investment collateralized by seasoned subprime mortgages at fair value as of June 30, 2018 and December 31, 2017 follows: June 30, 2018 December 31, 2017 Factor: Coupon Base Rate 5.0% 4.8% Actual 6.9% 6.9% FICO Base Rate 636 636 Actual 627 627 Loan-to-value (LTV) Base Rate 88% 89% Actual 88% 88% Loan Characteristics: Occupancy Owner Occupied 93% 95% Investor 1% 1% Secondary 6% 4% Property Type Single family 87% 87% Manufactured housing 4% 4% Multi-family/mixed use/other 9% 9% |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
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 June 30, 2018 and December 31, 2017 were: June 30, 2018 December 31, 2017 Repurchase agreements outstanding secured by: Agency MBS (in thousands) $ 5,569,418 $ 3,202,056 Non-agency MBS and Loans held for investment (in thousands) 3,557,630 4,048,396 Total: $ 9,127,048 $ 7,250,452 Average balance of Repurchase agreements secured by: Agency MBS (in thousands) $ 3,907,750 $ 3,120,474 Non-agency MBS and Loans held for investment (in thousands) 3,893,703 3,203,700 Total: $ 7,801,453 $ 6,324,174 Average borrowing rate of Repurchase agreements secured by: Agency MBS 2.09 % 1.47 % Non-agency MBS and Loans held for investment 4.02 % 3.41 % Average remaining maturity of Repurchase agreements secured by: Agency MBS 24 Days 28 Days Non-agency MBS and Loans held for investment 98 Days 93 Days Average original maturity of Repurchase agreements secured by: Agency MBS 66 Days 87 Days Non-agency MBS and Loans held for investment 124 Days 123 Days MBS pledged as collateral at fair value on Repurchase agreements: Agency MBS (in thousands) $ 5,954,878 $ 3,450,123 Non-agency MBS and Loans held for investment (in thousands) 4,671,505 5,338,557 Total: $ 10,626,383 $ 8,788,680 At June 30, 2018 and December 31, 2017 , the repurchase agreements collateralized by MBS and Loans held for investment had the following remaining maturities. June 30, 2018 December 31, 2017 (dollars in thousands) Overnight $ — $ — 1 to 29 days 4,757,404 4,745,342 30 to 59 days 1,915,294 1,206,769 60 to 89 days 1,460,284 592,865 90 to 119 days 90,183 — Greater than or equal to 120 days 903,883 705,476 Total $ 9,127,048 $ 7,250,452 |
Securitized Debt (Tables)
Securitized Debt (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Debt Instrument [Line Items] | |
Schedule of callable debt | The following table presents the par value of the callable debt by year at June 30, 2018 . June 30, 2018 (dollars in thousands) Year Principal 2018 $ 560,814 2019 360,602 2020 4,621,456 2021 3,197,192 2022 300,973 2023 142,144 Total $ 9,183,181 |
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 June 30, 2018 and December 31, 2017 , 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. June 30, 2018 December 31, 2017 (dollars in thousands) Within One Year $ 30,923 $ 42,217 One to Three Years 37,753 45,916 Three to Five Years 11,461 16,524 Greater Than Five Years 5,600 4,867 Total $ 85,737 $ 109,524 |
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 June 30, 2018 and December 31, 2017 , 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. June 30, 2018 December 31, 2017 (dollars in thousands) Within One Year $ 1,785,710 $ 1,819,018 One to Three Years 2,818,626 2,872,572 Three to Five Years 2,110,377 2,140,434 Greater Than Five Years 2,493,804 2,439,872 Total $ 9,208,517 $ 9,271,896 |
Consolidated Securitization V31
Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of assets and liabilities related to the consolidated VIEs | The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of June 30, 2018 and December 31, 2017 . June 30, 2018 December 31, 2017 (dollars in thousands) Assets: Non-Agency RMBS, at fair value $ 1,280,378 $ 1,579,793 Loans held for investment, at fair value 13,045,302 13,263,338 Accrued interest receivable 75,390 75,489 Other assets 54,708 68,844 Liabilities: Securitized debt, collateralized by Non-Agency RMBS $ 179,742 $ 205,780 Securitized debt at fair value, collateralized by loans held for investment 9,340,368 9,388,657 Accrued interest payable 35,754 33,870 Other liabilities 3,285 3,513 |
Schedule of Income, OTTI and expense amounts related to consolidated VIEs | Income, OTTI and expense amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the tables below. For the Quarters Ended June 30, 2018 June 30, 2017 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 229,746 $ 234,437 Interest expense, Non-recourse liabilities of VIEs 99,507 105,723 Net interest income $ 130,239 $ 128,714 Total other-than-temporary impairment losses $ (351 ) $ (696 ) Portion of loss recognized in other comprehensive income (loss) (8,561 ) (12,146 ) Net other-than-temporary credit impairment losses $ (8,912 ) $ (12,842 ) Servicing fees $ 9,722 $ 10,890 For the Six Months Ended June 30, 2018 June 30, 2017 (dollars in thousands) Interest income, Assets of consolidated VIEs $ 464,772 $ 427,426 Interest expense, Non-recourse liabilities of VIEs 199,121 188,407 Net interest income $ 265,651 $ 239,019 Total other-than-temporary impairment losses $ (351 ) $ (1,109 ) Portion of loss recognized in other comprehensive income (loss) (8,561 ) (25,613 ) Net other-than-temporary credit impairment losses $ (8,912 ) $ (26,722 ) Servicing fees $ 20,133 $ 20,478 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of location and fair value of the derivatives | 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 June 30, 2018 and December 31, 2017 . June 30, 2018 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 $ 7,692,400 Derivatives, at fair value, net $ 123,975 Derivatives, at fair value, net $ — Swaptions 53,000 Derivatives, at fair value, net 2,417 Derivatives, at fair value, net — Treasury Futures 619,700 Derivatives, at fair value, net 2,949 Derivatives, at fair value, net — Total $ 8,365,100 $ 129,341 $ — December 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 $ 3,816,400 Derivatives, at fair value, net $ 43,257 Derivatives, at fair value, net $ — Swaptions 391,000 Derivatives, at fair value, net 2,105 Derivatives, at fair value, net (320 ) Treasury Futures 619,700 Derivatives, at fair value, net 3,552 Derivatives, at fair value, net — Total $ 4,827,100 $ 48,914 $ (320 ) |
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 June 30, 2018 June 30, 2017 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 21,165 $ 4,377 Interest Rate Swaps Net realized gains (losses) on derivatives (1) 1,246 (19,629 ) Treasury Futures Net unrealized gains (losses) on derivatives 5,984 2,179 Treasury Futures Net realized gains (losses) on derivatives (2,210 ) (6,914 ) Swaptions Net unrealized gains (losses) on derivatives (1,254 ) (754 ) Swaptions Net realized gains (losses) on derivatives (429 ) (1,081 ) Total $ 24,502 $ (21,822 ) (1) Includes loss on termination of interest rate swaps of $16 million for the quarter ended June 30, 2017 . There were no swaps terminations during the quarter ended June 30, 2018 . Net gains (losses) on derivatives Derivative Instruments Location on Consolidated Statements of June 30, 2018 June 30, 2017 (dollars in thousands) Interest Rate Swaps Net unrealized gains (losses) on derivatives $ 106,129 $ 10,693 Interest Rate Swaps Net realized gains (losses) on derivatives (1) (1,365 ) (23,733 ) Treasury Futures Net unrealized gains (losses) on derivatives (604 ) (388 ) Treasury Futures Net realized gains (losses) on derivatives 14,215 (8,999 ) Swaptions Net unrealized gains (losses) on derivatives 1,789 393 Swaptions Net realized gains (losses) on derivatives (1,157 ) (4,250 ) Total $ 119,007 $ (26,284 ) (1) Includes loss on termination of interest rate swaps of $16 million for the six months ended June 30, 2017 . There were no swaps terminations during the six months ended June 30, 2018 . |
Capital Stock (Tables)
Capital Stock (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Equity [Abstract] | |
Schedule of earnings per share | Earnings per share for the quarters and six months ended June 30, 2018 and 2017 , respectively, are computed as follows: For the Quarter Ended June 30, 2018 June 30, 2017 (dollars in thousands) Numerator: Net income available to common shareholders $ 108,708 $ 105,617 Effect of dilutive securities: — — Dilutive net income available to common shareholders $ 108,708 $ 105,617 Denominator: Weighted average basic shares 186,994,743 187,779,406 Effect of dilutive securities 427,402 363,145 Weighted average dilutive shares 187,422,145 188,142,551 Net income per average share attributable to common stockholders - Basic $ 0.58 $ 0.56 Net income per average share attributable to common stockholders - Diluted $ 0.58 $ 0.56 For the Six Months Ended June 30, 2018 June 30, 2017 (dollars in thousands) Numerator: Net income available to common shareholders $ 338,316 $ 263,141 Effect of dilutive securities: — — Dilutive net income available to common shareholders $ 338,316 $ 263,141 Denominator: Weighted average basic shares 187,272,469 187,770,626 Effect of dilutive securities 465,974 398,467 Weighted average dilutive shares 187,738,443 188,169,093 Net income per average share attributable to common stockholders - Basic $ 1.81 $ 1.40 Net income per average share attributable to common stockholders - Diluted $ 1.80 $ 1.40 |
Accumulated Other Comprehensi34
Accumulated Other Comprehensive Income (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Equity [Abstract] | |
Schedule of components of AOCI | The following table presents the changes in the components of Accumulated Other Comprehensive Income (“AOCI”) for the six months ended June 30, 2018 and 2017 : June 30, 2018 (dollars in thousands) Unrealized gains (losses) on available-for-sale securities, net Total Accumulated OCI Balance Balance as of December 31, 2017 $ 796,902 $ 796,902 OCI before reclassifications (131,157 ) (131,157 ) Amounts reclassified from AOCI 5,906 5,906 Net current period OCI (125,251 ) (125,251 ) Balance as of June 30, 2018 $ 671,651 $ 671,651 June 30, 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 37,744 37,744 Amounts reclassified from AOCI 24,433 24,433 Net current period OCI 62,177 62,177 Balance as of June 30, 2017 $ 780,283 $ 780,283 |
Schedule of reclassifications from AOCI | The following table presents the details of the reclassifications from AOCI for the six months ended June 30, 2018 and 2017 : June 30, 2018 June 30, 2017 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 $ 4,383 $ 7,777 Net realized gains (losses) on sales of investments (10,289 ) (32,210 ) Net other-than-temporary credit impairment losses $ (5,906 ) $ (24,433 ) Income before income taxes — — Income taxes $ (5,906 ) $ (24,433 ) Net of tax |
Credit Risk and Interest Rate35
Credit Risk and Interest Rate Risk (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
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 June 30, 2018 and December 31, 2017 . June 30, 2018 (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 $ (9,127,048 ) $ — $ (9,127,048 ) $ 10,626,383 $ — $ 1,499,335 Interest Rate Swaps - Gross Assets 166,115 (42,140 ) 123,975 — 16,079 140,054 Interest Rate Swaps - Gross Liabilities (16,730 ) 16,730 — — — — Treasury Futures - Gross Assets 2,949 — 2,949 — 2,105 5,054 Treasury Futures - Gross Liabilities — — — — — — Swaptions - Gross Assets 2,417 — 2,417 — — 2,417 Swaptions - Gross Liabilities — — — — — — Total Liabilities $ (8,972,297 ) $ (25,410 ) $ (8,997,707 ) $ 10,626,383 $ 18,184 $ 1,646,860 (1) Included in other assets December 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 $ (7,250,452 ) $ — $ (7,250,452 ) $ 8,788,680 $ 1,156 $ 1,539,384 Interest Rate Swaps - Gross Assets 44,874 (1,617 ) 43,257 — 11,570 54,827 Interest Rate Swaps - Gross Liabilities (1,617 ) 1,617 — — — — Treasury Futures - Gross Assets 3,552 — 3,552 — 376 3,928 Treasury Futures - Gross Liabilities — — — — — — Swaptions - Gross Assets 2,105 — 2,105 — — 2,105 Swaptions - Gross Liabilities (320 ) — (320 ) — — (320 ) Total Liabilities $ (7,201,858 ) $ — $ (7,201,858 ) $ 8,788,680 $ 13,102 $ 1,599,924 (1) Included in other assets |
Organization - Narrative (Detai
Organization - Narrative (Detail) | 6 Months Ended |
Jun. 30, 2018subsidiary | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of wholly owned direct subsidiaries | 9 |
Summary of the Significant Ac37
Summary of the Significant Accounting Policies (Details) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
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 | Jun. 30, 2018 | Dec. 31, 2017 |
Investment Holdings [Line Items] | ||
Principal or Notional Value | $ 18,216,741 | $ 15,442,782 |
Total Premium | 652,411 | 563,428 |
Total Discount | (1,355,271) | (1,438,994) |
Amortized Cost | 9,013,927 | 6,481,537 |
Fair Value | 9,582,751 | 7,216,144 |
Gross Unrealized Gains | 822,817 | 861,182 |
Gross Unrealized Losses | (253,993) | (126,575) |
Net Unrealized Gain/(Loss) | 568,824 | 734,607 |
Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 2,522,667 | 2,733,926 |
Total Premium | 628 | 540 |
Total Discount | (1,180,560) | (1,257,103) |
Amortized Cost | 1,342,735 | 1,477,363 |
Fair Value | 2,063,786 | 2,231,415 |
Gross Unrealized Gains | 721,524 | 754,234 |
Gross Unrealized Losses | (473) | (182) |
Net Unrealized Gain/(Loss) | 721,051 | 754,052 |
Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 5,282,885 | 4,862,461 |
Total Premium | 302,960 | 262,996 |
Total Discount | 0 | 0 |
Amortized Cost | 302,960 | 262,996 |
Fair Value | 252,324 | 210,850 |
Gross Unrealized Gains | 26,074 | 15,761 |
Gross Unrealized Losses | (76,710) | (67,907) |
Net Unrealized Gain/(Loss) | (50,636) | (52,146) |
Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 365,499 | 501,455 |
Total Premium | 9,842 | 10,571 |
Total Discount | (170,202) | (177,206) |
Amortized Cost | 205,139 | 334,820 |
Fair Value | 266,830 | 401,225 |
Gross Unrealized Gains | 61,963 | 66,704 |
Gross Unrealized Losses | (272) | (299) |
Net Unrealized Gain/(Loss) | 61,691 | 66,405 |
Non-Agency RMBS - Subordinated interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 206,557 | 201,378 |
Total Premium | 9,279 | 7,369 |
Total Discount | 0 | 0 |
Amortized Cost | 9,279 | 7,369 |
Fair Value | 10,482 | 7,826 |
Gross Unrealized Gains | 1,830 | 902 |
Gross Unrealized Losses | (627) | (445) |
Net Unrealized Gain/(Loss) | 1,203 | 457 |
Agency MBS - Residential | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 4,527,730 | 2,227,128 |
Total Premium | 167,342 | 123,245 |
Total Discount | 0 | 0 |
Amortized Cost | 4,695,072 | 2,350,373 |
Fair Value | 4,612,920 | 2,322,180 |
Gross Unrealized Gains | 9,528 | 5,706 |
Gross Unrealized Losses | (91,680) | (33,899) |
Net Unrealized Gain/(Loss) | (82,152) | (28,193) |
Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 2,300,891 | 1,894,594 |
Total Premium | 52,422 | 47,430 |
Total Discount | (4,509) | (4,685) |
Amortized Cost | 2,348,804 | 1,937,339 |
Fair Value | 2,273,508 | 1,938,281 |
Gross Unrealized Gains | 944 | 17,041 |
Gross Unrealized Losses | (76,240) | (16,099) |
Net Unrealized Gain/(Loss) | (75,296) | 942 |
Agency MBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 3,010,512 | 3,021,840 |
Total Premium | 109,938 | 111,277 |
Total Discount | 0 | 0 |
Amortized Cost | 109,938 | 111,277 |
Fair Value | 102,901 | 104,367 |
Gross Unrealized Gains | 954 | 834 |
Gross Unrealized Losses | (7,991) | (7,744) |
Net Unrealized Gain/(Loss) | $ (7,037) | $ (6,910) |
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 | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Accretable Yield Movement Schedule [Roll Forward] | ||||
Balance at beginning of period | $ 1,293,996 | $ 1,513,416 | $ 1,303,590 | $ 1,550,110 |
Purchases | 5,734 | 1,969 | 5,734 | 10,185 |
Yield income earned | (57,786) | (67,750) | (117,517) | (136,577) |
Reclassification (to) from non-accretable difference | 31,471 | (62,059) | 81,496 | (38,107) |
Sales and deconsolidation | (6,775) | (2,388) | (6,663) | (2,423) |
Balance at end of period | $ 1,266,640 | $ 1,383,188 | $ 1,266,640 | $ 1,383,188 |
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 | Jun. 30, 2018 | Dec. 31, 2017 |
Outstanding principal balance: | ||
Beginning of period | $ 2,673,350 | $ 3,138,265 |
End of period | 2,476,421 | 2,673,350 |
Amortized cost: | ||
Beginning of period | 1,381,839 | 1,695,079 |
End of period | $ 1,249,140 | $ 1,381,839 |
Mortgage-Backed Securities - Un
Mortgage-Backed Securities - Unrealized Loss Positions (Detail) - Residential Mortgage-Backed Securities $ in Thousands | Jun. 30, 2018USD ($)security | Dec. 31, 2017USD ($)security |
Estimated Fair Value | ||
Unrealized Loss Position for Less than 12 Months | $ 3,414,972 | $ 1,569,727 |
Unrealized Loss Position for 12 Months or More | 1,792,838 | 1,818,645 |
Total | 5,207,810 | 3,388,372 |
Unrealized Losses | ||
Unrealized Loss Position for Less than 12 Months | (90,507) | (19,477) |
Unrealized Loss Position for 12 Months or More | (163,486) | (107,098) |
Total | $ (253,993) | $ (126,575) |
Number of Securities | ||
Unrealized Loss Position for Less than 12 Months | security | 589 | 239 |
Unrealized Loss Position for 12 Months or More | security | 341 | 336 |
Total | security | 930 | 575 |
Non-Agency RMBS - Senior | ||
Estimated Fair Value | ||
Unrealized Loss Position for Less than 12 Months | $ 43,709 | $ 35,229 |
Unrealized Loss Position for 12 Months or More | 0 | 0 |
Total | 43,709 | 35,229 |
Unrealized Losses | ||
Unrealized Loss Position for Less than 12 Months | (473) | (182) |
Unrealized Loss Position for 12 Months or More | 0 | 0 |
Total | $ (473) | $ (182) |
Number of Securities | ||
Unrealized Loss Position for Less than 12 Months | security | 3 | 1 |
Unrealized Loss Position for 12 Months or More | security | 0 | 0 |
Total | security | 3 | 1 |
Non-Agency RMBS - Senior interest-only | ||
Estimated Fair Value | ||
Unrealized Loss Position for Less than 12 Months | $ 25,400 | $ 28,129 |
Unrealized Loss Position for 12 Months or More | 103,442 | 120,120 |
Total | 128,842 | 148,249 |
Unrealized Losses | ||
Unrealized Loss Position for Less than 12 Months | (4,391) | (1,724) |
Unrealized Loss Position for 12 Months or More | (72,319) | (66,183) |
Total | $ (76,710) | $ (67,907) |
Number of Securities | ||
Unrealized Loss Position for Less than 12 Months | security | 31 | 27 |
Unrealized Loss Position for 12 Months or More | security | 104 | 120 |
Total | security | 135 | 147 |
Non-Agency RMBS - Subordinated | ||
Estimated Fair Value | ||
Unrealized Loss Position for Less than 12 Months | $ 1,016 | $ 235 |
Unrealized Loss Position for 12 Months or More | 0 | 6,261 |
Total | 1,016 | 6,496 |
Unrealized Losses | ||
Unrealized Loss Position for Less than 12 Months | (272) | (38) |
Unrealized Loss Position for 12 Months or More | 0 | (261) |
Total | $ (272) | $ (299) |
Number of Securities | ||
Unrealized Loss Position for Less than 12 Months | security | 5 | 7 |
Unrealized Loss Position for 12 Months or More | security | 6 | 5 |
Total | security | 11 | 12 |
Non-Agency RMBS - Subordinated interest-only | ||
Estimated Fair Value | ||
Unrealized Loss Position for Less than 12 Months | $ 112 | $ 0 |
Unrealized Loss Position for 12 Months or More | 704 | 945 |
Total | 816 | 945 |
Unrealized Losses | ||
Unrealized Loss Position for Less than 12 Months | (18) | 0 |
Unrealized Loss Position for 12 Months or More | (609) | (445) |
Total | $ (627) | $ (445) |
Number of Securities | ||
Unrealized Loss Position for Less than 12 Months | security | 1 | 0 |
Unrealized Loss Position for 12 Months or More | security | 3 | 3 |
Total | security | 4 | 3 |
Agency MBS - Residential | ||
Estimated Fair Value | ||
Unrealized Loss Position for Less than 12 Months | $ 1,618,829 | $ 660,103 |
Unrealized Loss Position for 12 Months or More | 1,318,668 | 1,471,464 |
Total | 2,937,497 | 2,131,567 |
Unrealized Losses | ||
Unrealized Loss Position for Less than 12 Months | (23,966) | (5,197) |
Unrealized Loss Position for 12 Months or More | (67,714) | (28,702) |
Total | $ (91,680) | $ (33,899) |
Number of Securities | ||
Unrealized Loss Position for Less than 12 Months | security | 36 | 21 |
Unrealized Loss Position for 12 Months or More | security | 94 | 93 |
Total | security | 130 | 114 |
Agency MBS - Commercial | ||
Estimated Fair Value | ||
Unrealized Loss Position for Less than 12 Months | $ 1,713,531 | $ 830,889 |
Unrealized Loss Position for 12 Months or More | 321,813 | 161,980 |
Total | 2,035,344 | 992,869 |
Unrealized Losses | ||
Unrealized Loss Position for Less than 12 Months | (60,698) | (11,695) |
Unrealized Loss Position for 12 Months or More | (15,542) | (4,404) |
Total | $ (76,240) | $ (16,099) |
Number of Securities | ||
Unrealized Loss Position for Less than 12 Months | security | 506 | 176 |
Unrealized Loss Position for 12 Months or More | security | 114 | 91 |
Total | security | 620 | 267 |
Agency MBS - Interest-only | ||
Estimated Fair Value | ||
Unrealized Loss Position for Less than 12 Months | $ 12,375 | $ 15,142 |
Unrealized Loss Position for 12 Months or More | 48,211 | 57,875 |
Total | 60,586 | 73,017 |
Unrealized Losses | ||
Unrealized Loss Position for Less than 12 Months | (689) | (641) |
Unrealized Loss Position for 12 Months or More | (7,302) | (7,103) |
Total | $ (7,991) | $ (7,744) |
Number of Securities | ||
Unrealized Loss Position for Less than 12 Months | security | 7 | 7 |
Unrealized Loss Position for 12 Months or More | security | 20 | 24 |
Total | security | 27 | 31 |
Mortgage-Backed Securities - In
Mortgage-Backed Securities - Investment Holdings - Narrative (Detail) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018USD ($) | Jun. 30, 2017USD ($) | Jun. 30, 2018USD ($) | Jun. 30, 2017USD ($) | Dec. 31, 2017USD ($) | |
Agency RMBS - Pass-through | |||||
Investment Holdings [Line Items] | |||||
Gross unrealized loss | $ 111,000 | $ 111,000 | $ 41,000 | ||
Non-agency MBS | |||||
Investment Holdings [Line Items] | |||||
Gross unrealized loss | $ 745 | $ 745 | $ 283 | ||
Non-Agency RMBS Deemed To Be Equivalent To Alt-A Quality | |||||
Investment Holdings [Line Items] | |||||
Percentage in Alt-A collateral | 67.00% | 67.00% | 66.00% | ||
Non Agency Residential MBS Deemed To Be Equivalent To Prime Quality | |||||
Investment Holdings [Line Items] | |||||
Percentage in prime collateral | 15.00% | 15.00% | 13.00% | ||
Re-REMIC Security | |||||
Investment Holdings [Line Items] | |||||
Fair value of securities exchanged | $ 22,000 | $ 8,000 | $ 22,000 | $ 28,000 | |
Gain (loss) on sale of investments | $ 1,685 | $ 256 | $ 2,000 | $ 5,000 | |
Minimum | Alt-A | |||||
Investment Holdings [Line Items] | |||||
FICO Score | 680 | ||||
Maximum | Alt-A | |||||
Investment Holdings [Line Items] | |||||
FICO Score | 720 | ||||
Alt-A securities underlying collateral of full documented loans | 30.00% |
Mortgage-Backed Securities - Ag
Mortgage-Backed Securities - Aggregate Other Than Temporary Impairments (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||||
Total other-than-temporary impairment losses | $ (805) | $ (749) | $ (1,099) | $ (3,462) |
Portion of loss recognized in other comprehensive income | (8,326) | (12,760) | (9,190) | (28,748) |
Net other-than-temporary credit impairment losses | (9,131) | (13,509) | (10,289) | (32,210) |
Residential Mortgage-Backed Securities | ||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ||||
Total other-than-temporary impairment losses | (805) | (749) | (1,099) | (3,462) |
Portion of loss recognized in other comprehensive income | (8,326) | (12,760) | (9,190) | (28,748) |
Net other-than-temporary credit impairment losses | $ (9,131) | $ (13,509) | $ (10,289) | $ (32,210) |
Mortgage-Backed Securities - 44
Mortgage-Backed Securities - Non-Agency Securities Credit Losses (Detail) - Non-agency MBS - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||||
Cumulative credit loss beginning balance | $ 586,056 | $ 558,229 | $ 591,521 | $ 556,485 |
Additions: | ||||
Other-than-temporary impairments not previously recognized | 0 | 12,399 | 1,140 | 12,399 |
Reductions for securities sold or deconsolidated during the period | (4,775) | 0 | (4,948) | (7,443) |
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | 9,131 | 1,109 | 9,149 | 17,835 |
Reductions for increases in cash flows expected to be collected over the remaining life of the securities | (7,751) | (99) | (14,201) | (7,638) |
Cumulative credit impairment loss ending balance | $ 582,661 | $ 571,638 | $ 582,661 | $ 571,638 |
Mortgage-Backed Securities - OT
Mortgage-Backed Securities - OTTI - Significant Inputs and Assumptions (Detail) - Non-agency MBS | 6 Months Ended | |
Jun. 30, 2018 | Jun. 30, 2017 | |
Weighted Average | ||
Investment Holdings [Line Items] | ||
Loss Severity | 66.00% | 62.00% |
60 days delinquent | 23.00% | 19.00% |
Credit Enhancement | 32.00% | 19.00% |
3 Month CPR | 10.00% | 12.00% |
12 Month CPR | 8.00% | 11.00% |
Minimum | ||
Investment Holdings [Line Items] | ||
Loss Severity | 34.00% | 28.00% |
60 days delinquent | 16.00% | 11.00% |
Credit Enhancement | 0.00% | 0.00% |
3 Month CPR | 0.00% | 2.00% |
12 Month CPR | 1.00% | 4.00% |
Maximum | ||
Investment Holdings [Line Items] | ||
Loss Severity | 132.00% | 67.00% |
60 days delinquent | 30.00% | 25.00% |
Credit Enhancement | 55.00% | 38.00% |
3 Month CPR | 39.00% | 24.00% |
12 Month CPR | 20.00% | 19.00% |
Mortgage-Backed Securities - Gr
Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | $ 783,413 | $ 838,391 |
Gross Unrealized Gain Included in Cumulative Earnings | 39,404 | 22,791 |
Total Gross Unrealized Gain | 822,817 | 861,182 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (111,762) | (41,489) |
Gross Unrealized Loss Included in Cumulative Earnings | (142,231) | (85,086) |
Total Gross Unrealized Loss | (253,993) | (126,575) |
Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 721,524 | 754,234 |
Gross Unrealized Gain Included in Cumulative Earnings | 0 | 0 |
Total Gross Unrealized Gain | 721,524 | 754,234 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (473) | (182) |
Gross Unrealized Loss Included in Cumulative Earnings | 0 | 0 |
Total Gross Unrealized Loss | (473) | (182) |
Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Gain Included in Cumulative Earnings | 26,074 | 15,761 |
Total Gross Unrealized Gain | 26,074 | 15,761 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (76,710) | (67,907) |
Total Gross Unrealized Loss | (76,710) | (67,907) |
Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 58,887 | 62,989 |
Gross Unrealized Gain Included in Cumulative Earnings | 3,076 | 3,715 |
Total Gross Unrealized Gain | 61,963 | 66,704 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (272) | (102) |
Gross Unrealized Loss Included in Cumulative Earnings | 0 | (197) |
Total Gross Unrealized Loss | (272) | (299) |
Non-Agency RMBS - Subordinated interest-only | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Gain Included in Cumulative Earnings | 1,830 | 902 |
Total Gross Unrealized Gain | 1,830 | 902 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (627) | (445) |
Total Gross Unrealized Loss | (627) | (445) |
Agency MBS - Residential | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 2,316 | 5,706 |
Gross Unrealized Gain Included in Cumulative Earnings | 7,212 | 0 |
Total Gross Unrealized Gain | 9,528 | 5,706 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (70,382) | (29,083) |
Gross Unrealized Loss Included in Cumulative Earnings | (21,298) | (4,816) |
Total Gross Unrealized Loss | (91,680) | (33,899) |
Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 686 | 15,462 |
Gross Unrealized Gain Included in Cumulative Earnings | 258 | 1,579 |
Total Gross Unrealized Gain | 944 | 17,041 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (40,635) | (12,122) |
Gross Unrealized Loss Included in Cumulative Earnings | (35,605) | (3,977) |
Total Gross Unrealized Loss | (76,240) | (16,099) |
Agency MBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Gain Included in Cumulative Earnings | 954 | 834 |
Total Gross Unrealized Gain | 954 | 834 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | 0 | 0 |
Gross Unrealized Loss Included in Cumulative Earnings | (7,991) | (7,744) |
Total Gross Unrealized Loss | $ (7,991) | $ (7,744) |
Mortgage-Backed Securities - Co
Mortgage-Backed Securities - Collateral Characteristics (Detail) - Residential Mortgage-Backed Securities $ in Thousands | Jun. 30, 2018USD ($)$ / security | Dec. 31, 2017USD ($)$ / security |
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 18,216,741 | $ 15,442,782 |
Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 2,522,667 | $ 2,733,926 |
Weighted Average Amortized Cost Basis | 53.23 | 54.04 |
Weighted Average Fair Value | 81.81 | 81.62 |
Weighted Average Coupon | 4.80% | 4.60% |
Weighted Average Yield at Period-End | 17.70% | 16.70% |
Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 5,282,885 | $ 4,862,461 |
Weighted Average Amortized Cost Basis | 5.73 | 5.41 |
Weighted Average Fair Value | 4.78 | 4.34 |
Weighted Average Coupon | 1.40% | 1.30% |
Weighted Average Yield at Period-End | 9.10% | 8.00% |
Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 365,499 | $ 501,455 |
Weighted Average Amortized Cost Basis | 56.13 | 66.77 |
Weighted Average Fair Value | 73 | 80.01 |
Weighted Average Coupon | 4.00% | 4.10% |
Weighted Average Yield at Period-End | 10.80% | 9.60% |
Non-Agency RMBS - Subordinated interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 206,557 | $ 201,378 |
Weighted Average Amortized Cost Basis | 4.49 | 3.66 |
Weighted Average Fair Value | 5.07 | 3.89 |
Weighted Average Coupon | 0.90% | 0.80% |
Weighted Average Yield at Period-End | 11.80% | 11.80% |
Agency MBS - Residential | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 4,527,730 | $ 2,227,128 |
Weighted Average Amortized Cost Basis | 103.70 | 105.53 |
Weighted Average Fair Value | 101.88 | 104.27 |
Weighted Average Coupon | 4.00% | 3.80% |
Weighted Average Yield at Period-End | 3.40% | 2.90% |
Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 2,300,891 | $ 1,894,594 |
Weighted Average Amortized Cost Basis | 102.08 | 102.26 |
Weighted Average Fair Value | 98.81 | 102.31 |
Weighted Average Coupon | 3.60% | 3.60% |
Weighted Average Yield at Period-End | 3.40% | 3.20% |
Agency MBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 3,010,512 | $ 3,021,840 |
Weighted Average Amortized Cost Basis | 3.65 | 3.68 |
Weighted Average Fair Value | 3.42 | 3.45 |
Weighted Average Coupon | 0.70% | 0.70% |
Weighted Average Yield at Period-End | 3.30% | 3.40% |
Mortgage-Backed Securities - Cr
Mortgage-Backed Securities - Credit Ratings (Detail) - Non-agency MBS | Jun. 30, 2018 | Dec. 31, 2017 |
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 | 0.90% | 0.30% |
A | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.10% | 0.60% |
BBB | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 1.40% | 1.90% |
BB | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 2.00% | 2.50% |
B | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 2.10% | 2.30% |
Below B | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 57.80% | 59.60% |
Not Rated | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 35.40% | 32.50% |
Mortgage-Backed Securities - Ma
Mortgage-Backed Securities - Maturities (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Fair value | ||
Less than one year, at fair value | $ 20,671 | $ 2,198 |
Greater than one year and less than five years, at fair value | 716,987 | 959,890 |
Greater than five years and less than ten years, at fair value | 5,681,046 | 3,447,385 |
Greater than ten years, at fair value | 3,164,047 | 2,806,671 |
Total maturities, at fair value | 9,582,751 | 7,216,144 |
Amortized cost | ||
Less than one year, at amortized cost | 20,551 | 3,395 |
Greater than one year and less than five years, at amortized cost | 574,333 | 784,660 |
Greater than five years and less than ten years, at amortized cost | 5,427,465 | 3,128,723 |
Greater than ten years, at amortized cost | 2,991,578 | 2,564,759 |
Amortized Cost | 9,013,927 | 6,481,537 |
Non-Agency RMBS - Senior | ||
Fair value | ||
Less than one year, at fair value | 5,461 | 2,179 |
Greater than one year and less than five years, at fair value | 536,951 | 681,086 |
Greater than five years and less than ten years, at fair value | 816,498 | 910,234 |
Greater than ten years, at fair value | 704,876 | 637,916 |
Total maturities, at fair value | 2,063,786 | 2,231,415 |
Amortized cost | ||
Less than one year, at amortized cost | 5,347 | 2,124 |
Greater than one year and less than five years, at amortized cost | 387,067 | 493,965 |
Greater than five years and less than ten years, at amortized cost | 489,371 | 569,458 |
Greater than ten years, at amortized cost | 460,950 | 411,816 |
Amortized Cost | 1,342,735 | 1,477,363 |
Non-Agency RMBS - Senior interest-only | ||
Fair value | ||
Less than one year, at fair value | 6 | 19 |
Greater than one year and less than five years, at fair value | 47,491 | 54,107 |
Greater than five years and less than ten years, at fair value | 95,502 | 72,702 |
Greater than ten years, at fair value | 109,325 | 84,022 |
Total maturities, at fair value | 252,324 | 210,850 |
Amortized cost | ||
Less than one year, at amortized cost | 102 | 1,271 |
Greater than one year and less than five years, at amortized cost | 60,821 | 73,758 |
Greater than five years and less than ten years, at amortized cost | 120,956 | 94,145 |
Greater than ten years, at amortized cost | 121,081 | 93,822 |
Amortized Cost | 302,960 | 262,996 |
Non-Agency RMBS - Subordinated | ||
Fair value | ||
Less than one year, at fair value | 3,891 | 0 |
Greater than one year and less than five years, at fair value | 44,590 | 75,495 |
Greater than five years and less than ten years, at fair value | 126,300 | 121,555 |
Greater than ten years, at fair value | 92,049 | 204,175 |
Total maturities, at fair value | 266,830 | 401,225 |
Amortized cost | ||
Less than one year, at amortized cost | 3,838 | 0 |
Greater than one year and less than five years, at amortized cost | 34,758 | 61,987 |
Greater than five years and less than ten years, at amortized cost | 88,839 | 91,044 |
Greater than ten years, at amortized cost | 77,704 | 181,789 |
Amortized Cost | 205,139 | 334,820 |
Non-Agency RMBS - Subordinated interest-only | ||
Fair value | ||
Less than one year, at fair value | 0 | 0 |
Greater than one year and less than five years, at fair value | 7,954 | 7,165 |
Greater than five years and less than ten years, at fair value | 333 | 661 |
Greater than ten years, at fair value | 2,195 | 0 |
Total maturities, at fair value | 10,482 | 7,826 |
Amortized cost | ||
Less than one year, at amortized cost | 0 | 0 |
Greater than one year and less than five years, at amortized cost | 6,270 | 6,355 |
Greater than five years and less than ten years, at amortized cost | 838 | 1,014 |
Greater than ten years, at amortized cost | 2,171 | 0 |
Amortized Cost | 9,279 | 7,369 |
Agency MBS - Residential | ||
Fair value | ||
Less than one year, at fair value | 0 | 0 |
Greater than one year and less than five years, at fair value | 0 | 21,777 |
Greater than five years and less than ten years, at fair value | 4,600,496 | 2,300,403 |
Greater than ten years, at fair value | 12,424 | 0 |
Total maturities, at fair value | 4,612,920 | 2,322,180 |
Amortized cost | ||
Less than one year, at amortized cost | 0 | 0 |
Greater than one year and less than five years, at amortized cost | 0 | 22,069 |
Greater than five years and less than ten years, at amortized cost | 4,682,192 | 2,328,304 |
Greater than ten years, at amortized cost | 12,880 | 0 |
Amortized Cost | 4,695,072 | 2,350,373 |
Agency MBS - Commercial | ||
Fair value | ||
Less than one year, at fair value | 0 | 0 |
Greater than one year and less than five years, at fair value | 15,663 | 45,770 |
Greater than five years and less than ten years, at fair value | 19,123 | 16,559 |
Greater than ten years, at fair value | 2,238,722 | 1,875,952 |
Total maturities, at fair value | 2,273,508 | 1,938,281 |
Amortized cost | ||
Less than one year, at amortized cost | 0 | 0 |
Greater than one year and less than five years, at amortized cost | 15,769 | 47,170 |
Greater than five years and less than ten years, at amortized cost | 20,374 | 17,176 |
Greater than ten years, at amortized cost | 2,312,661 | 1,872,993 |
Amortized Cost | 2,348,804 | 1,937,339 |
Agency MBS - Interest-only | ||
Fair value | ||
Less than one year, at fair value | 11,313 | 0 |
Greater than one year and less than five years, at fair value | 64,338 | 74,490 |
Greater than five years and less than ten years, at fair value | 22,794 | 25,271 |
Greater than ten years, at fair value | 4,456 | 4,606 |
Total maturities, at fair value | 102,901 | 104,367 |
Amortized cost | ||
Less than one year, at amortized cost | 11,264 | 0 |
Greater than one year and less than five years, at amortized cost | 69,648 | 79,356 |
Greater than five years and less than ten years, at amortized cost | 24,895 | 27,582 |
Greater than ten years, at amortized cost | 4,131 | 4,339 |
Amortized Cost | $ 109,938 | $ 111,277 |
Mortgage-Backed Securities - Ge
Mortgage-Backed Securities - Geographical and Other Statistics (Detail) - Non-agency MBS - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Investment Holdings [Line Items] | ||
Weighted average maturity (years) | 20 years 4 months 24 days | 20 years 8 months 12 days |
Weighted average amortized loan to value | 63.30% | 64.40% |
Weighted average FICO | 703 | 697 |
Weighted average loan balance (in thousands) | $ 324 | $ 314 |
Weighted average percentage owner occupied | 84.50% | 84.40% |
Weighted average percentage single family residence | 65.70% | 66.30% |
Weighted average current credit enhancement | 1.50% | 2.20% |
CA | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 32.40% | 31.70% |
NY | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 8.40% | 8.50% |
FL | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 8.10% | 8.30% |
New Jersey | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 2.60% | 2.70% |
Mortgage-Backed Securities - Ye
Mortgage-Backed Securities - Year Originated (Detail) - Non-agency MBS | Jun. 30, 2018 | Dec. 31, 2017 |
Origination Year as a Percentage of Outstanding Principal Balance: | ||
2003 (and prior) | 4.80% | 3.60% |
2,004 | 6.50% | 4.30% |
2,005 | 20.10% | 20.80% |
2,006 | 39.40% | 38.20% |
2,007 | 23.60% | 30.40% |
2,008 | 0.30% | 1.80% |
2009 and later | 5.30% | 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 | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Proceeds from sales | $ 32,551 | $ 153,681 | $ 32,551 | $ 173,743 |
Gross realized gains | 4,383 | 5,380 | 4,383 | 10,566 |
Gross realized losses | (2,216) | (839) | (2,216) | (858) |
Net realized gain (loss) | $ 2,167 | $ 4,541 | $ 2,167 | $ 9,708 |
Loans Held for Investment - Nar
Loans Held for Investment - Narrative (Detail) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Securitized debt loans held for investment at cost | $ 12,900 | $ 13,300 |
Fair Value | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
90 and over days delinquent | 549 | 577 |
Loans Held for Investment at Fair Value | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
REO | $ 16 | $ 10 |
Loans Held for Investment - Rol
Loans Held for Investment - Roll-Forward (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - Loans Held for Investment at Fair Value - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Balance, beginning of period | $ 13,678,263 | $ 8,753,653 |
Purchases | 924,283 | 6,539,765 |
Principal paydowns | (944,146) | (1,788,409) |
Sales and settlements | (389,798) | 2,876 |
Net periodic accretion (amortization) | (43,594) | (35,803) |
Change in fair value | 21,513 | 206,181 |
Balance, end of period | $ 13,246,521 | $ 13,678,263 |
Loans Held for Investment - Yea
Loans Held for Investment - Year Originated (Detail) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans | Jun. 30, 2018 | Dec. 31, 2017 |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
2002 and prior | 7.50% | 7.50% |
2,003 | 6.70% | 6.70% |
2,004 | 14.40% | 14.60% |
2,005 | 20.10% | 20.40% |
2,006 | 23.30% | 23.10% |
2,007 | 19.10% | 19.00% |
2,008 | 6.00% | 6.00% |
2,009 | 0.80% | 0.70% |
2010 and later | 2.10% | 2.00% |
Total | 100.00% | 100.00% |
Loans Held for Investment - Col
Loans Held for Investment - Collateral Characteristics (Detail) - Loans Held for Investment at Fair Value - Seasoned Subprime Residential Mortgage Loans $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018USD ($)loan | Dec. 31, 2017USD ($)loan | |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of loans | loan | 144,451 | 149,172 |
Weighted average maturity (years) | 18 years 9 months 24 days | 18 years 9 months 18 days |
Weighted average loan to value | 87.50% | 88.00% |
Weighted average FICO | 630 | 631 |
Weighted average loan balance (in thousands) | $ | $ 91 | $ 91 |
Weighted average percentage owner occupied | 92.80% | 95.00% |
Weighted average percentage single family residence | 86.20% | 86.00% |
CA | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 9.10% | 9.00% |
FL | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 7.20% | 7.20% |
OH | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 6.00% | 6.10% |
NY | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 5.60% | |
PA | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 5.60% | 5.60% |
VA | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 5.50% |
Loans Held for Investment - Loa
Loans Held for Investment - Loan Products Type and Characteristics (Details) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Total Principal | $ 13,083,186 | $ 13,525,820 |
Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 2,023,828 | $ 2,182,383 |
Outstanding balance past due, percent of total balance (percent) | 15.50% | 16.10% |
Bankruptcy | Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 244,955 | $ 272,778 |
Outstanding balance past due, percent of total balance (percent) | 1.90% | 2.00% |
Foreclosure | Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 262,100 | $ 200,376 |
Outstanding balance past due, percent of total balance (percent) | 2.00% | 1.50% |
REO | Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 34,519 | $ 31,008 |
Outstanding balance past due, percent of total balance (percent) | 0.30% | 0.20% |
30 Days Delinquent | Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 797,730 | $ 888,535 |
Outstanding balance past due, percent of total balance (percent) | 6.10% | 6.60% |
60 Days Delinquent | Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 288,255 | $ 353,810 |
Outstanding balance past due, percent of total balance (percent) | 2.20% | 2.60% |
90 Days Delinquent | Residential Portfolio Segment | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Outstanding balance past due | $ 396,269 | $ 435,876 |
Outstanding balance past due, percent of total balance (percent) | 3.00% | 3.20% |
Fair Value Measurements - Narra
Fair Value Measurements - Narrative (Details) - Investments with Difference Between Model Price and Third-Party Price | Jun. 30, 2018USD ($)loan | Dec. 31, 2017USD ($)loan |
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 | 17 | 4 |
Excess (deficit) of third party prices over internally developed price | $ (18,000,000) | $ (3,000,000) |
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 | 39,000,000 | |
Internal Assessment | Mortgage Backed Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | 197,000,000 | 25,000,000 |
Internal Assessment | Securitized Loans Held For Investment | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | 1,190,000,000 | 0 |
Third Party Assessment | Mortgage Backed Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | 215,000,000 | $ 28,000,000 |
Third Party Assessment | Securitized Loans Held For Investment | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | $ 1,150,000,000 |
Fair Value Measurements - Sched
Fair Value Measurements - Schedule of Unpaid Principal, Fair Value and Impact of Changes in Fair Value on Financial Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2018 | Dec. 31, 2017 | Jun. 30, 2018 | Dec. 31, 2017 | |
Assets: | ||||
Loans held for investment, at fair value | $ 13,246,521 | $ 13,678,263 | $ 13,246,521 | $ 13,678,263 |
Liabilities: | ||||
Securitized debt at fair value, collateralized by loans held for investment, fair value | 9,340,368 | 9,388,657 | 9,340,368 | 9,388,657 |
Non-agency RMBS | Subordinated | ||||
Assets: | ||||
Fair Value | 12,918 | 13,993 | 12,918 | 13,993 |
Gain (Loss) on Change in Fair Value | (42) | (545) | (440) | 1,246 |
Non-agency RMBS | Senior, interest-only | ||||
Assets: | ||||
Unpaid Principal/ Notional | 5,282,885 | 4,862,461 | 5,282,885 | 4,862,461 |
Fair Value | 252,324 | 210,850 | 252,324 | 210,850 |
Gain (Loss) on Change in Fair Value | 3,464 | 3,156 | 1,511 | (13,290) |
Non-agency RMBS | Subordinated, interest-only | ||||
Assets: | ||||
Unpaid Principal/ Notional | 206,557 | 201,378 | 206,557 | 201,378 |
Fair Value | 10,482 | 7,826 | 10,482 | 7,826 |
Gain (Loss) on Change in Fair Value | 335 | 1,836 | 746 | 2,311 |
Agency MBS | Residential Pass-through | ||||
Assets: | ||||
Unpaid Principal/ Notional | 3,010,558 | 577,522 | 3,010,558 | 577,522 |
Fair Value | 3,075,138 | 602,829 | 3,075,138 | 602,829 |
Gain (Loss) on Change in Fair Value | 3,081 | (2,359) | (9,270) | (4,816) |
Agency MBS | Commercial Pass-through | ||||
Assets: | ||||
Unpaid Principal/ Notional | 1,004,493 | 564,379 | 1,004,493 | 564,379 |
Fair Value | 984,591 | 570,105 | 984,591 | 570,105 |
Gain (Loss) on Change in Fair Value | (12,534) | (546) | (32,948) | (2,398) |
Agency MBS | Interest-only | ||||
Assets: | ||||
Unpaid Principal/ Notional | 3,010,512 | 3,021,840 | 3,010,512 | 3,021,840 |
Fair Value | 102,901 | 104,367 | 102,901 | 104,367 |
Gain (Loss) on Change in Fair Value | 46 | (367) | (127) | 465 |
Loans held for investment | ||||
Assets: | ||||
Gain (Loss) on Change in Fair Value | (20,082) | (65,643) | 21,513 | 206,181 |
Loans held for investment, Unpaid Principal/Notional | 13,083,186 | 13,525,820 | 13,083,186 | 13,525,820 |
Loans held for investment, at fair value | 13,246,521 | 13,678,263 | 13,246,521 | 13,678,263 |
Securitized debt | ||||
Assets: | ||||
Gain (Loss) on Change in Fair Value | 7,369 | 16,831 | 15,118 | (78,289) |
Liabilities: | ||||
Securitized debt at fair value, collateralized by loans held for investment, Unpaid Principal/Notional | 9,388,837 | 9,395,854 | 9,388,837 | 9,395,854 |
Securitized debt at fair value, collateralized by loans held for investment, fair value | $ 9,340,368 | $ 9,388,657 | $ 9,340,368 | $ 9,388,657 |
Fair Value Measurements - Level
Fair Value Measurements - Level of Fair Value (Detail) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Assets: | ||
Non-Agency RMBS, at fair value | $ 2,593,422 | $ 2,851,316 |
Agency MBS, at fair value | 6,989,329 | 4,364,828 |
Loans held for investment, at fair value | 13,246,521 | 13,678,263 |
Net Amounts Offset in the Consolidated Statements of Financial Position | 129,341 | 48,914 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | 9,340,368 | 9,388,657 |
Derivatives, at fair value | 0 | 320 |
Fair Value, Measurements, Recurring | ||
Assets: | ||
Non-Agency RMBS, at fair value | 2,593,422 | 2,851,316 |
Agency MBS, at fair value | 6,989,329 | 4,364,828 |
Loans held for investment, at fair value | 13,246,521 | 13,678,263 |
Counterparty and Cash Collateral, netting | (42,140) | (1,617) |
Net Amounts Offset in the Consolidated Statements of Financial Position | 129,341 | 48,914 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | 9,340,368 | 9,388,657 |
Counterparty and Cash Collateral, netting | (16,730) | (1,617) |
Derivatives, at fair value | 0 | 320 |
Fair Value, Measurements, Recurring | Level 1 | ||
Assets: | ||
Non-Agency RMBS, at fair value | 0 | 0 |
Agency MBS, at fair value | 0 | 0 |
Loans held for investment, at fair value | 0 | 0 |
Derivatives | 2,949 | 3,553 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | 0 | 0 |
Derivatives | 0 | 0 |
Fair Value, Measurements, Recurring | Level 2 | ||
Assets: | ||
Non-Agency RMBS, at fair value | 0 | 0 |
Agency MBS, at fair value | 6,989,329 | 4,364,828 |
Loans held for investment, at fair value | 0 | 0 |
Derivatives | 168,532 | 46,978 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | 0 | 0 |
Derivatives | 16,730 | 1,937 |
Fair Value, Measurements, Recurring | Level 3 | ||
Assets: | ||
Non-Agency RMBS, at fair value | 2,593,422 | 2,851,316 |
Agency MBS, at fair value | 0 | 0 |
Loans held for investment, at fair value | 13,246,521 | 13,678,263 |
Derivatives | 0 | 0 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | 9,340,368 | 9,388,657 |
Derivatives | $ 0 | $ 0 |
Fair Value Measurements - Unobs
Fair Value Measurements - Unobservable Input Reconciliation (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
Securitized Debt | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | ||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | ||
Other than temporary credit impairment losses | $ 0 | $ 0 |
Realized gains (losses) on sales and settlements | (10,057) | 35,273 |
Net unrealized gains (losses) included in income | (15,118) | 78,289 |
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward] | ||
Securitized Debt, Beginning balance, Level 3 | 9,388,657 | 6,941,097 |
Securitized Debt, Transfers in to Level 3 assets | 0 | 0 |
Securitized Debt, Transfers out of Level 3 assets | 0 | 0 |
Securitized Debt, Purchases | 1,170,009 | 5,173,430 |
Securitized Debt, Principal payments | (894,694) | (1,787,368) |
Securitized Debt, Sales and Settlements | (293,460) | (1,056,765) |
Securitized Debt, Accretion (amortization) of purchase discounts | (4,969) | 4,701 |
Securitized Debt, Gains (losses) included in other comprehensive income | 0 | 0 |
Securitized Debt, Ending balance, Level 3 | 9,340,368 | 9,388,657 |
Non-agency MBS | ||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | ||
Beginning balance Level 3 assets | 2,851,316 | 3,330,063 |
Transfers in to Level 3 assets | 0 | 6,112 |
Transfers out of Level 3 assets | 0 | 0 |
Purchases of assets/ issuance of debt | 92,017 | 78,400 |
Principal payments | (327,923) | (568,339) |
Sales and settlements | (32,379) | (68,162) |
Accretion (amortization) of purchase discounts | 53,895 | 120,119 |
Other than temporary credit impairment losses | (10,289) | (59,881) |
Realized gains (losses) on sales and settlements | 2,244 | 12,031 |
Net unrealized gains (losses) included in income | 1,815 | (9,733) |
Total unrealized gains (losses) for the period | (37,274) | 10,706 |
Ending balance Level 3 assets | 2,593,422 | 2,851,316 |
Loans held for investment | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | ||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | ||
Beginning balance Level 3 assets | 13,678,263 | 8,753,653 |
Transfers in to Level 3 assets | 0 | 0 |
Transfers out of Level 3 assets | 0 | 0 |
Purchases of assets/ issuance of debt | 924,283 | 6,539,765 |
Principal payments | (944,146) | (1,788,409) |
Sales and settlements | (389,798) | 2,876 |
Accretion (amortization) of purchase discounts | (43,594) | (35,803) |
Other than temporary credit impairment losses | 0 | 0 |
Realized gains (losses) on sales and settlements | 0 | 0 |
Net unrealized gains (losses) included in income | 21,513 | 206,181 |
Total unrealized gains (losses) for the period | 0 | 0 |
Ending balance Level 3 assets | $ 13,246,521 | $ 13,678,263 |
Fair Value Measurements - Uno62
Fair Value Measurements - Unobservable Input Reconciliation - Additional Information (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
Non-agency MBS | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Transfers in to Level 3 assets | $ 0 | $ 6,112 |
Fair Value Measurements - Uno63
Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Detail) - Level 3 | Jun. 30, 2018 | Dec. 31, 2017 |
Weighted Average Discount Rate | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.046 | 0.044 |
Weighted Average Discount Rate | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.100 | 0.112 |
Weighted Average Discount Rate | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.054 | 0.058 |
Weighted Average Discount Rate | Non-Agency RMBS - Subordinated interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.104 | 0.120 |
CPR | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.02 | 0.01 |
CPR | Minimum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.04 | 0.03 |
CPR | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.01 | 0.01 |
CPR | Minimum | Non-Agency RMBS - Subordinated interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.04 | 0.06 |
CPR | Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.22 | 0.45 |
CPR | Maximum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.31 | 0.25 |
CPR | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.23 | 0.20 |
CPR | Maximum | Non-Agency RMBS - Subordinated interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.25 | 0.22 |
CDR | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Minimum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Minimum | Non-Agency RMBS - Subordinated interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.52 | 0.55 |
CDR | Maximum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.59 | 0.50 |
CDR | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.45 | 0.33 |
CDR | Maximum | Non-Agency RMBS - Subordinated interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.15 | 0.09 |
Loss Severity | Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.35 | 0.35 |
Loss Severity | Minimum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.35 | 0.35 |
Loss Severity | Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.10 | 0.35 |
Loss Severity | Minimum | Non-Agency RMBS - Subordinated interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.35 | 0.35 |
Loss Severity | Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.95 | 0.89 |
Loss Severity | Maximum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.95 | 0.95 |
Loss Severity | Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.71 | 0.69 |
Loss Severity | Maximum | Non-Agency RMBS - Subordinated interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.58 | 0.63 |
Fair Value Measurements - Uno64
Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Debt (Detail) - Loans held for investment - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Jun. 30, 2018 | Dec. 31, 2017 |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.044 | 0.041 |
CPR | Minimum | Level 3 | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.06 | 0.06 |
CPR | Maximum | Level 3 | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.15 | 0.15 |
CDR | Minimum | Level 3 | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0 | 0 |
CDR | Maximum | Level 3 | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.08 | 0.06 |
Loss Severity | Minimum | Level 3 | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.35 | 0.35 |
Loss Severity | Maximum | Level 3 | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant Inputs | 0.60 | 0.60 |
Fair Value Measurements - Uno65
Fair Value Measurements - Unobservable Inputs Assumptions - Loans Held for Investment (Detail) - Loans Held for Investment at Fair Value - Level 3 | Jun. 30, 2018 | Dec. 31, 2017 |
Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 6.90% | 6.90% |
FICO | 627 | 627 |
Loan-to-value (LTV) | 88.00% | 88.00% |
Weighted Average | Single family | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 87.00% | 87.00% |
Weighted Average | Manufactured housing | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 4.00% | 4.00% |
Weighted Average | Multi-family/mixed use/other | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 9.00% | 9.00% |
Weighted Average | Owner Occupied | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 93.00% | 95.00% |
Weighted Average | Investor | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 1.00% | 1.00% |
Weighted Average | Secondary | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 6.00% | 4.00% |
Base Rate | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 5.00% | 4.80% |
FICO | 636 | 636 |
Loan-to-value (LTV) | 88.00% | 89.00% |
Fair Value Measurements - Carry
Fair Value Measurements - Carrying and Fair Values (Detail) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | $ 179,742 | $ 205,780 |
Carrying Amount | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | 9,127,048 | 7,250,452 |
Carrying Amount | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | 179,742 | 205,780 |
Fair Value | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | 9,151,213 | 7,269,193 |
Fair Value | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | $ 161,707 | $ 192,259 |
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 | Jun. 30, 2018 | Dec. 31, 2017 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding secured by: | $ 9,127,048 | $ 7,250,452 |
Repurchase Agreements | Agency MBS - Residential | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding secured by: | 5,569,418 | 3,202,056 |
Average balance of Repurchase agreements secured by: | $ 3,907,750 | $ 3,120,474 |
Average borrowing rate of Repurchase agreements secured by: | 2.09% | 1.47% |
Average remaining maturity of Repurchase agreements secured by: | 24 days | 28 days |
Average original maturity of Repurchase agreements secured by: | 66 days | 87 days |
MBS pledged as collateral at fair value on Repurchase agreements: | $ 5,954,878 | $ 3,450,123 |
Repurchase Agreements | Non-agency MBS and Loans held for investment (in thousands) | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding secured by: | 3,557,630 | 4,048,396 |
Average balance of Repurchase agreements secured by: | $ 3,893,703 | $ 3,203,700 |
Average borrowing rate of Repurchase agreements secured by: | 4.02% | 3.41% |
Average remaining maturity of Repurchase agreements secured by: | 98 days | 93 days |
Average original maturity of Repurchase agreements secured by: | 124 days | 123 days |
MBS pledged as collateral at fair value on Repurchase agreements: | $ 4,671,505 | $ 5,338,557 |
Repurchase Agreements | Residential Mortgage-Backed Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding secured by: | 9,127,048 | 7,250,452 |
Average balance of Repurchase agreements secured by: | 7,801,453 | 6,324,174 |
MBS pledged as collateral at fair value on Repurchase agreements: | $ 10,626,383 | $ 8,788,680 |
Repurchase Agreements - Maturit
Repurchase Agreements - Maturities (Detail) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 9,127,048 | $ 7,250,452 |
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 | 4,757,404 | 4,745,342 |
30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 1,915,294 | 1,206,769 |
60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 1,460,284 | 592,865 |
90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 90,183 | 0 |
Greater than or equal to 120 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 903,883 | $ 705,476 |
Repurchase Agreements - Narrati
Repurchase Agreements - Narrative (Detail) - Repurchase Agreements - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
Credit Suisse First Boston | ||
Short-term Debt [Line Items] | ||
Amount at risk | $ 410 | $ 451 |
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 | 11.00% | |
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 | 12.00% | |
Weighted average maturity | 25 days |
Securitized Debt - Narrative (D
Securitized Debt - Narrative (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | |
Debt Instrument [Line Items] | |||||
Gains (losses) on extinguishment of debt | $ 387,000 | $ (48,014,000) | $ 10,057,000 | $ (48,014,000) | |
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Securitized debt | |||||
Debt Instrument [Line Items] | |||||
Principal balance of debt | $ 9,400,000,000 | $ 9,400,000,000 | $ 9,400,000,000 | ||
Weighted average cost of financing | 4.40% | 4.40% | 4.20% | ||
Variable Interest Entities, Primary Beneficiary | Securitized debt | |||||
Debt Instrument [Line Items] | |||||
Acquired securitized debt collateral outstanding principal balance | $ 155,000,000 | 197,000,000 | $ 304,000,000 | ||
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS | 154,000,000 | 245,000,000 | 294,000,000 | ||
Gains (losses) on extinguishment of debt | 387,000 | 48,000,000 | 10,000,000 | ||
Securitized Loans | Non-agency MBS | |||||
Debt Instrument [Line Items] | |||||
Acquired securitized debt collateral outstanding principal balance | 0 | $ 0 | |||
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Non-agency MBS | |||||
Debt Instrument [Line Items] | |||||
Principal balance of debt | $ 194,000,000 | $ 194,000,000 | $ 219,000,000 | ||
Weighted average cost of financing | 6.30% | 6.30% | 6.20% |
Securitized Debt - Maturities (
Securitized Debt - Maturities (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Loans held for investment | ||
Debt Instrument [Line Items] | ||
Within One Year | $ 1,785,710 | $ 1,819,018 |
One to Three Years | 2,818,626 | 2,872,572 |
Three to Five Years | 2,110,377 | 2,140,434 |
Greater Than Five Years | 2,493,804 | 2,439,872 |
Total | 9,208,517 | 9,271,896 |
Securitized Loans | Non-agency MBS | ||
Debt Instrument [Line Items] | ||
Within One Year | 30,923 | 42,217 |
One to Three Years | 37,753 | 45,916 |
Three to Five Years | 11,461 | 16,524 |
Greater Than Five Years | 5,600 | 4,867 |
Total | $ 85,737 | $ 109,524 |
Securitized Debt - Callable Deb
Securitized Debt - Callable Debt (Detail) - Securitized Loans $ in Thousands | Jun. 30, 2018USD ($) |
Debt Instrument, Redemption [Line Items] | |
2,018 | $ 560,814 |
2,019 | 360,602 |
2,020 | 4,621,456 |
2,021 | 3,197,192 |
2,022 | 300,973 |
2,023 | 142,144 |
Total | $ 9,183,181 |
Consolidated Securitization V73
Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Detail) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Non-agency MBS | ||
Variable Interest Entity [Line Items] | ||
Unconsolidated VIEs, aggregate investment | $ 1,300,000 | $ 1,300,000 |
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) | 49,000 | 52,000 |
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | ||
Variable Interest Entity [Line Items] | ||
Assets | 14,455,778 | 14,987,464 |
Liabilities | 9,559,149 | 9,631,820 |
Variable Interest Entities, Not Primary Beneficiary, Aggregated Disclosure | ||
Variable Interest Entity [Line Items] | ||
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $ 1,200,000 | $ 1,200,000 |
Consolidated Securitization V74
Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Assets: | ||
Non-Agency RMBS, at fair value | $ 2,593,422 | $ 2,851,316 |
Loans held for investment, at fair value | 13,246,521 | 13,678,263 |
Accrued interest receivable | 106,877 | 100,789 |
Other Assets | 106,594 | 114,391 |
Liabilities: | ||
Securitized debt, collateralized by Non-Agency RMBS | 179,742 | 205,780 |
Securitized debt at fair value, collateralized by loans held for investment | 9,340,368 | 9,388,657 |
Accrued interest payable | 71,405 | 61,888 |
Other liabilities | 13,818 | 17,191 |
Variable Interest Entities, Primary Beneficiary | ||
Assets: | ||
Non-Agency RMBS, at fair value | 1,280,378 | 1,579,793 |
Loans held for investment, at fair value | 13,045,302 | 13,263,338 |
Accrued interest receivable | 75,390 | 75,489 |
Other Assets | 54,708 | 68,844 |
Liabilities: | ||
Securitized debt, collateralized by Non-Agency RMBS | 179,742 | 205,780 |
Securitized debt at fair value, collateralized by loans held for investment | 9,340,368 | 9,388,657 |
Accrued interest payable | 35,754 | 33,870 |
Other liabilities | $ 3,285 | $ 3,513 |
Consolidated Securitization V75
Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Variable Interest Entity [Line Items] | ||||
Net interest income | $ 145,170 | $ 150,689 | $ 293,049 | $ 291,802 |
Total other-than-temporary impairment losses | (805) | (749) | (1,099) | (3,462) |
Portion of loss recognized in other comprehensive income (loss) | (8,326) | (12,760) | (9,190) | (28,748) |
Net other-than-temporary credit impairment losses | (9,131) | (13,509) | (10,289) | (32,210) |
Servicing fees | 9,943 | 10,890 | 21,277 | 20,478 |
Variable Interest Entities, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Total other-than-temporary impairment losses | (351) | (696) | (351) | (1,109) |
Portion of loss recognized in other comprehensive income (loss) | (8,561) | (12,146) | (8,561) | (25,613) |
Net other-than-temporary credit impairment losses | (8,912) | (12,842) | (8,912) | (26,722) |
Servicing fees | 9,722 | 10,890 | 20,133 | 20,478 |
Non Agency Residential Mortgage Backed Securities And Securitized Loans | Variable Interest Entities, Primary Beneficiary | ||||
Variable Interest Entity [Line Items] | ||||
Interest income, Assets of consolidated VIEs | 229,746 | 234,437 | 464,772 | 427,426 |
Interest expense, Non-recourse liabilities of VIEs | 99,507 | 105,723 | 199,121 | 188,407 |
Net interest income | $ 130,239 | $ 128,714 | $ 265,651 | $ 239,019 |
Derivative Instruments - Effect
Derivative Instruments - Effect on Consolidated Financial Condition (Detail) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Derivatives, Fair Value [Line Items] | ||
Notional Amount Outstanding | $ 8,365,100,000 | $ 4,827,100,000 |
Derivatives, at fair value, net | 129,341,000 | 48,914,000 |
Derivative Liabilities, Net Estimated Fair Value/Carrying Value | 0 | (320,000) |
Interest Rate Swaps | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount Outstanding | 7,692,400,000 | 3,816,400,000 |
Derivatives, at fair value, net | 123,975,000 | 43,257,000 |
Derivative Liabilities, Net Estimated Fair Value/Carrying Value | 0 | 0 |
Swaptions | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount Outstanding | 53,000,000 | 391,000,000 |
Derivatives, at fair value, net | 2,417,000 | 2,105,000 |
Derivative Liabilities, Net Estimated Fair Value/Carrying Value | 0 | (320,000) |
Treasury Futures | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount Outstanding | 619,700,000 | 619,700,000 |
Derivatives, at fair value, net | 2,949,000 | 3,552,000 |
Derivative Liabilities, Net Estimated Fair Value/Carrying Value | $ 0 | $ 0 |
Derivative Instruments - Effe77
Derivative Instruments - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net unrealized gains (losses) on derivatives | $ 25,895 | $ 5,802 | $ 107,314 | $ 10,698 |
Net gains (losses) on derivatives | 24,502 | (21,822) | 119,007 | (26,284) |
Realized gains (losses) on terminations of interest rate swaps | 0 | 16,143 | 0 | 16,143 |
Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net unrealized gains (losses) on derivatives | 21,165 | 4,377 | 106,129 | 10,693 |
Net realized gains (losses) on derivatives | 1,246 | (19,629) | (1,365) | (23,733) |
Treasury Futures | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net unrealized gains (losses) on derivatives | 5,984 | 2,179 | (604) | (388) |
Net realized gains (losses) on derivatives | (2,210) | (6,914) | 14,215 | (8,999) |
Swaptions | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net unrealized gains (losses) on derivatives | (1,254) | (754) | 1,789 | 393 |
Net realized gains (losses) on derivatives | $ (429) | $ (1,081) | $ (1,157) | $ (4,250) |
Derivative Instruments - Narrat
Derivative Instruments - Narrative (Detail) - USD ($) $ in Millions | Jun. 30, 2018 | Dec. 31, 2017 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
The weighted average pay rate on the Company's interest rate swaps | 2.35% | 1.93% |
The weighted average receive rate on the Company's interest rate swaps | 2.33% | 1.53% |
The weighted average maturity on the Company's interest rate swaps | 6 years | 5 years |
Fair value of credit risk derivative instruments in a net liability position | $ 143 |
Capital Stock - Preferred Stock
Capital Stock - Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Class of Stock [Line Items] | ||||
Dividends on preferred stock | $ 9,400 | $ 9,400 | $ 18,800 | $ 14,683 |
Preferred Class A | ||||
Class of Stock [Line Items] | ||||
Dividends on preferred stock | $ 3,000 | $ 3,000 | $ 6,000 | $ 6,000 |
Preferred stock dividends declared (in USD per share) | $ 0.5 | $ 0.50 | $ 1 | $ 1 |
Preferred Class B | ||||
Class of Stock [Line Items] | ||||
Dividends on preferred stock | $ 7,000 | $ 7,000 | $ 13,000 | $ 9,000 |
Preferred stock dividends declared (in USD per share) | $ 0.5 | $ 0.5 | $ 0.9999910769 | $ 0.68333 |
Capital Stock - Common Stock (D
Capital Stock - Common Stock (Detail) - USD ($) $ / shares in Units, shares in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Feb. 28, 2018 | |
Class of Stock [Line Items] | |||||
Stock repurchase program, authorized amount | $ 100,000,000 | ||||
Stock repurchased during period (in shares) | 883 | ||||
Stock repurchased during period, average price (in dollars per share) | $ 16.81 | ||||
Stock repurchased during period | $ 15,000,000 | $ 14,834,000 | $ 0 | ||
Common dividends declared | $ 187,832,000 | $ 188,196,000 | |||
Dividends declared per share of common stock (usd per share) | $ 0.50 | $ 0.5 | $ 1 | $ 1 | |
Regular Dividend | |||||
Class of Stock [Line Items] | |||||
Common dividends declared | $ 94,000,000 | $ 94,000,000 | $ 188,000,000 | $ 188,000,000 |
Capital Stock - Earnings Per Sh
Capital Stock - Earnings Per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Numerator: | ||||
Net income available to common shareholders | $ 108,708 | $ 105,617 | $ 338,316 | $ 263,141 |
Effect of dilutive securities: | 0 | 0 | 0 | 0 |
Dilutive net income available to common shareholders | $ 108,708 | $ 105,617 | $ 338,316 | $ 263,141 |
Denominator: | ||||
Weighted average basic shares (shares) | 186,994,743 | 187,779,406 | 187,272,469 | 187,770,626 |
Effect of dilutive securities (shares) | 427,402 | 363,145 | 465,974 | 398,467 |
Weighted average dilutive shares (shares) | 187,422,145 | 188,142,551 | 187,738,443 | 188,169,093 |
Net income per average share attributable to common stockholders - Basic (usd per share) | $ 0.58 | $ 0.56 | $ 1.81 | $ 1.40 |
Net income per average share attributable to common stockholders - Diluted (usd per share) | $ 0.58 | $ 0.56 | $ 1.80 | $ 1.40 |
Accumulated Other Comprehensi82
Accumulated Other Comprehensive Income - Components of AOCI (Detail) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2018 | Jun. 30, 2017 | |
AOCI [Roll Forward] | ||
Beginning Balance | $ 3,634,977 | $ 3,123,533 |
OCI before reclassifications | (131,157) | 37,744 |
Amounts reclassified from AOCI | 5,906 | 24,433 |
Net current period OCI | (125,251) | 62,177 |
Ending Balance | 3,650,142 | 3,576,687 |
Unrealized gains (losses) on available-for-sale securities, net | ||
AOCI [Roll Forward] | ||
Beginning Balance | 796,902 | 718,106 |
OCI before reclassifications | (131,157) | 37,744 |
Amounts reclassified from AOCI | 5,906 | 24,433 |
Net current period OCI | (125,251) | 62,177 |
Ending Balance | 671,651 | 780,283 |
Total Accumulated OCI Balance | ||
AOCI [Roll Forward] | ||
Beginning Balance | 796,902 | 718,106 |
Ending Balance | $ 671,651 | $ 780,283 |
Accumulated Other Comprehensi83
Accumulated Other Comprehensive Income - Reclassifications from AOCI (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||||
Net realized gains (losses) on sales of investments | $ 2,167 | $ 4,541 | $ 2,167 | $ 9,708 | |
Net other-than-temporary credit impairment losses | (9,131) | (13,509) | (10,289) | (32,210) | |
Income before income taxes | 118,144 | 115,156 | 357,184 | 277,979 | |
Income taxes | (36) | (139) | (68) | (155) | $ 0 |
Net income (loss) | $ 118,108 | $ 115,017 | 357,116 | 277,824 | |
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 | 4,383 | 7,777 | |||
Net other-than-temporary credit impairment losses | (10,289) | (32,210) | |||
Income before income taxes | (5,906) | (24,433) | |||
Income taxes | 0 | 0 | |||
Net income (loss) | $ (5,906) | $ (24,433) |
Equity Compensation, Employme84
Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Detail) shares in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2018USD ($)shares | Mar. 31, 2018USD ($)shares | Jun. 30, 2017USD ($) | Mar. 31, 2017USD ($)installmentshares | Jun. 30, 2018USD ($)shares | Jun. 30, 2017USD ($) | Dec. 31, 2017USD ($) | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Common dividends declared | $ 2,000,000 | $ 1,000,000 | $ 3,000,000 | $ 2,000,000 | |||
401(k) Plan | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Maximum annual contributions per employee, amount | 18,500 | ||||||
Maximum annual contribution per employee, additional contribution per employee over certain age | 6,000 | ||||||
Expense related to qualified plan | $ 137,000 | $ 103,000 | $ 251,000 | $ 215,000 | |||
Maximum | 401(k) Plan | |||||||
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% | ||||||
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] | |||||||
Vesting period | 3 years | ||||||
Shares available for future grants (shares) | shares | 6,000 | 6,000 | |||||
Restricted Stock Units (RSUs) | |||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||||
Vesting period | 3 years | ||||||
Forfeitures (shares) | shares | 241 | 112 | |||||
Grant date fair value | $ 4,000,000 | $ 2,000,000 | |||||
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 | $ 2,000,000 | $ 3,000,000 | |||||
Granted shares (shares) | shares | 133 | 144 | 133 | ||||
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% |
Income Taxes Income Taxes (Deta
Income Taxes Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | |
Income Tax Disclosure [Abstract] | |||||
Income tax expense | $ 36 | $ 139 | $ 68 | $ 155 | $ 0 |
Credit Risk and Interest Rate86
Credit Risk and Interest Rate Risk - Offsetting Assets and Liabilities (Detail) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Repurchase Agreements | ||
Gross Amounts of Recognized Assets (Liabilities) | $ (9,127,048) | $ (7,250,452) |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | (9,127,048) | (7,250,452) |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 10,626,383 | 8,788,680 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | 1,156 |
Net Amount | 1,499,335 | 1,539,384 |
Derivative Asset | ||
Net Amounts Offset in the Consolidated Statements of Financial Position | 129,341 | 48,914 |
Derivative Liability | ||
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | (320) |
Total Liabilities | ||
Gross Amounts of Recognized Assets (Liabilities) | (8,972,297) | (7,201,858) |
Gross Amounts Offset in the Consolidated Statements of Financial Position | (25,410) | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | (8,997,707) | (7,201,858) |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 10,626,383 | 8,788,680 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 18,184 | 13,102 |
Net Amount | 1,646,860 | 1,599,924 |
Interest Rate Swaps | ||
Derivative Asset | ||
Gross Amounts of Recognized Assets (Liabilities) | 166,115 | 44,874 |
Gross Amounts Offset in the Consolidated Statements of Financial Position | (42,140) | (1,617) |
Net Amounts Offset in the Consolidated Statements of Financial Position | 123,975 | 43,257 |
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 | 16,079 | 11,570 |
Net Amount | 140,054 | 54,827 |
Derivative Liability | ||
Gross Amounts of Recognized Assets (Liabilities) | (16,730) | (1,617) |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 16,730 | 1,617 |
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 |
Treasury Futures | ||
Derivative Asset | ||
Gross Amounts of Recognized Assets (Liabilities) | 2,949 | 3,552 |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | 2,949 | 3,552 |
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 | 2,105 | 376 |
Net Amount | 5,054 | 3,928 |
Derivative Liability | ||
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 |
Swaptions | ||
Derivative Asset | ||
Gross Amounts of Recognized Assets (Liabilities) | 2,417 | 2,105 |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | 2,417 | 2,105 |
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 | 2,417 | 2,105 |
Derivative Liability | ||
Gross Amounts of Recognized Assets (Liabilities) | 0 | (320) |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | (320) |
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 | $ (320) |