Document_and_Entity_Informatio
Document and Entity Information | 9 Months Ended | |
Sep. 30, 2013 | Oct. 29, 2013 | |
Document Information [Line Items] | ' | ' |
Document Type | '10-Q | ' |
Amendment Flag | 'false | ' |
Document Period End Date | 30-Sep-13 | ' |
Document Fiscal Year Focus | '2013 | ' |
Document Fiscal Period Focus | 'Q3 | ' |
Trading Symbol | 'IVR | ' |
Entity Registrant Name | 'Invesco Mortgage Capital Inc. | ' |
Entity Central Index Key | '0001437071 | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Entity Filer Category | 'Large Accelerated Filer | ' |
Entity Common Stock, Shares Outstanding | ' | 135,225,647 |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
ASSETS | ' | ' | ||
Mortgage-backed securities, at fair value | $18,811,679 | $18,470,563 | ||
Residential loans, held-for-investment, net of loan loss reserve | 1,532,389 | ' | ||
Commercial loans, held-for-investment, net of loan loss reserve | 17,388 | ' | ||
Cash and cash equivalents | 199,095 | 286,474 | ||
Due from counterparties | 8,119 | 0 | ||
Investment related receivable | 8,912 | 41,429 | ||
Investments in unconsolidated ventures, at fair value | 42,276 | 35,301 | ||
Accrued interest receivable | 71,198 | 62,977 | ||
Derivative assets, at fair value | 188,509 | 6,469 | ||
Deferred securitization and financing costs | 14,033 | ' | ||
Other investments | 10,000 | 10,000 | ||
Other assets | 1,883 | 1,547 | ||
Total assets | 20,905,481 | [1] | 18,914,760 | [1] |
Liabilities: | ' | ' | ||
Repurchase agreements | 15,897,612 | 15,720,460 | ||
Asset-backed securities issued | 1,411,897 | ' | ||
Exchangeable senior notes | 400,000 | ' | ||
Derivative liability, at fair value | 316,670 | 436,440 | ||
Dividends and distributions payable | 71,037 | 79,165 | ||
Investment related payable | 201,203 | 63,715 | ||
Accrued interest payable | 19,554 | 15,275 | ||
Collateral held payable | 21,045 | ' | ||
Accounts payable and accrued expenses | 3,885 | 877 | ||
Due to affiliate | 11,457 | 9,308 | ||
Total liabilities | 18,354,360 | [1] | 16,325,240 | [1] |
Equity: | ' | ' | ||
Preferred Stock: par value $0.01 per share, 50,000,000 shares authorized; 7.75% series A cumulative redeemable, $25 liquidation preference, 5,600,000 shares issued and outstanding at September 30, 2013 and December 31, 2012, respectively | 135,356 | 135,362 | ||
Common Stock: par value $0.01 per share, 450,000,000 shares authorized; 135,224,162 and 116,195,500 shares issued and outstanding at September 30, 2013 and December 31, 2012, respectively | 1,352 | 1,162 | ||
Additional paid in capital | 2,712,790 | 2,316,290 | ||
Accumulated other comprehensive income (loss) | -315,469 | 86,436 | ||
Retained earnings (distributions in excess of earnings) | -9,912 | 18,848 | ||
Total shareholders' equity | 2,524,117 | 2,558,098 | ||
Non-controlling interest | 27,004 | 31,422 | ||
Total equity | 2,551,121 | 2,589,520 | ||
Total liabilities and equity | $20,905,481 | $18,914,760 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations and liabilities of the VIEs for which creditors do not have recourse to the primary beneficiary (IAS Asset I LLC, an indirect subsidiary of Invesco Mortgage Capital Inc.). At September 30, 2013 and December 31, 2012, total assets of the consolidated VIEs were $1,540,150 and $0, respectively, and total liabilities of the consolidated VIEs were $1,415,784 and $0, respectively. See Note 3 for further discussion. |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets (Parenthetical) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
Preferred Stock, par value | $0.01 | $0.01 | ||
Preferred Stock, shares authorized | 50,000,000 | 50,000,000 | ||
Preferred Stock, dividend rate stated Percentage | 7.75% | 7.75% | ||
Preferred Stock, liquidation preference value | $25 | $25 | ||
Preferred stock, shares issued | 5,600,000 | 5,600,000 | ||
Preferred Stock, shares outstanding | 5,600,000 | 5,600,000 | ||
Common stock, par value | $0.01 | $0.01 | ||
Common stock, shares authorized | 450,000,000 | 450,000,000 | ||
Common stock, shares issued | 135,224,162 | 116,195,500 | ||
Common stock, shares outstanding | 135,224,162 | 116,195,500 | ||
Total assets | 20,905,481,000 | [1] | 18,914,760,000 | [1] |
Total liabilities | 18,354,360,000 | [1] | 16,325,240,000 | [1] |
Variable Interest Entity, Primary Beneficiary | ' | ' | ||
Total assets | 1,540,150,000 | 0 | ||
Total liabilities | $1,415,784,000 | $0 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations and liabilities of the VIEs for which creditors do not have recourse to the primary beneficiary (IAS Asset I LLC, an indirect subsidiary of Invesco Mortgage Capital Inc.). At September 30, 2013 and December 31, 2012, total assets of the consolidated VIEs were $1,540,150 and $0, respectively, and total liabilities of the consolidated VIEs were $1,415,784 and $0, respectively. See Note 3 for further discussion. |
Consolidated_Statements_of_Ope
Consolidated Statements of Operations (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, except Per Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Interest Income | ' | ' | ' | ' |
Mortgage-backed securities | $157,539 | $140,477 | $486,619 | $421,442 |
Residential loans | 13,417 | ' | 20,443 | ' |
Commercial loans | 372 | ' | 432 | ' |
Total interest income | 171,328 | 140,477 | 507,494 | 421,442 |
Interest Expense | ' | ' | ' | ' |
Repurchase agreements | 73,695 | 60,327 | 208,487 | 172,312 |
Exchangeable senior note | 5,621 | ' | 12,403 | ' |
Asset-backed securities issued | 10,266 | ' | 15,722 | ' |
Total interest expense | 89,582 | 60,327 | 236,612 | 172,312 |
Net interest income | 81,746 | 80,150 | 270,882 | 249,130 |
Provision for loan losses | 87 | ' | 751 | ' |
Net interest income after provision for loan losses | 81,659 | 80,150 | 270,131 | 249,130 |
Other Income | ' | ' | ' | ' |
Gain (loss) on sale of investments, net | -69,323 | 12,836 | -56,919 | 24,978 |
Equity in earnings and fair value change in unconsolidated ventures | 1,422 | 3,262 | 5,169 | 6,231 |
Realized and unrealized gain (loss) on interest rate derivative instruments | -6,887 | -808 | 44,424 | -2,851 |
Realized and unrealized gain (loss) on interest rate derivative instruments | 297 | 1,348 | 828 | 2,694 |
Total other income | -74,491 | 16,638 | -6,498 | 31,052 |
Expenses | ' | ' | ' | ' |
Management fee - related party | 10,945 | 9,053 | 32,106 | 26,372 |
General and administrative | 2,259 | 959 | 6,845 | 3,132 |
Total expenses | 13,204 | 10,012 | 38,951 | 29,504 |
Net income (loss) | -6,036 | 86,776 | 224,682 | 250,678 |
Net income (loss) attributable to non-controlling interest | -63 | 1,026 | 2,392 | 3,025 |
Net income (loss) attributable to Invesco Mortgage Capital Inc. | -5,973 | 85,750 | 222,290 | 247,653 |
Dividends to preferred shareholders | 2,713 | 2,682 | 8,138 | 2,682 |
Net income (loss) attributable to common shareholders | ($8,686) | $83,068 | $214,152 | $244,971 |
Earnings (loss) per share: | ' | ' | ' | ' |
Net income attributable to common shareholders (basic) | ($0.06) | $0.72 | $1.61 | $2.12 |
Net income attributable to common shareholders (diluted) | ($0.06) | $0.72 | $1.56 | $2.12 |
Dividends declared per common share | $0.50 | $0.65 | $1.80 | $1.95 |
Consolidated_Statements_of_Com
Consolidated Statements of Comprehensive Income (Loss) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Net income | ($6,036) | $86,776 | $224,682 | $250,678 |
Unrealized gain (loss) on mortgage-back securities | ' | ' | ' | ' |
Change in fair value | -10,724 | 322,647 | -846,292 | 603,710 |
Reclassification adjustments for (gain) loss included in gain (loss) on sale of investments | 85,754 | -5,824 | 140,195 | -17,401 |
Unrealized gain (loss) on mortgage-backed securities, net | 75,030 | 316,823 | -706,097 | 586,309 |
Unrealized gain (loss) on derivatives | ' | ' | ' | ' |
Change in fair value | -74,098 | -60,716 | 183,391 | -181,280 |
Reclassification adjustments for loss included in unrealized gain (loss) on interest rate derivative instruments | 43,583 | 35,763 | 116,553 | 107,051 |
Unrealized gain (loss) on derivatives, net | -30,515 | -24,953 | 299,944 | -74,229 |
Total Other comprehensive income (loss) | 44,515 | 291,870 | -406,153 | 512,080 |
Comprehensive income (loss) | 38,479 | 378,646 | -181,471 | 762,758 |
Less: Comprehensive income (loss) attributable to non-controlling interest | -402 | -4,585 | 1,856 | -9,271 |
Less: Dividends to preferred shareholders | -2,713 | -2,682 | -8,138 | -2,682 |
Comprehensive income (loss) attributable to common shareholders | $35,364 | $371,379 | ($187,753) | $750,805 |
Consolidated_Statement_of_Equi
Consolidated Statement of Equity (USD $) | Total | Preferred Stock | Common Stock | Additional Paid in Capital | Accumulated Other Comprehensive Income (loss) | Retained Earnings | Total Shareholders' Equity | Non-Controlling Interest |
In Thousands, except Share data | ||||||||
Beginning Balance at Dec. 31, 2012 | $2,589,520 | $135,362 | $1,162 | $2,316,290 | $86,436 | $18,848 | $2,558,098 | $31,422 |
Beginning Balance (in shares) at Dec. 31, 2012 | ' | 5,600,000 | 116,195,500 | ' | ' | ' | ' | ' |
Net income | 224,682 | ' | ' | ' | ' | 222,290 | 222,290 | 2,392 |
Other comprehensive loss | -406,153 | ' | ' | ' | -401,905 | ' | -401,905 | -4,248 |
Proceeds from issuance of common stock, net of offering costs (in shares) | ' | ' | 19,015,269 | ' | ' | ' | ' | ' |
Proceeds from issuance of common stock, net of offering costs | 396,417 | ' | 190 | 396,227 | ' | ' | 396,417 | ' |
Proceeds from issuance of preferred stock, net of offering costs | -6 | -6 | ' | ' | ' | ' | -6 | ' |
Stock awards | ' | ' | 13,393 | ' | ' | ' | ' | ' |
Common stock dividends | -242,912 | ' | ' | ' | ' | -242,912 | -242,912 | ' |
Common unit dividends | -2,565 | ' | ' | ' | ' | ' | ' | -2,565 |
Preferred stock dividends | -8,138 | ' | ' | ' | ' | -8,138 | -8,138 | ' |
Amortization of equity-based compensation | 276 | ' | ' | 273 | ' | ' | 273 | 3 |
Ending Balance at Sep. 30, 2013 | $2,551,121 | $135,356 | $1,352 | $2,712,790 | ($315,469) | ($9,912) | $2,524,117 | $27,004 |
Ending Balance (in shares) at Sep. 30, 2013 | ' | 5,600,000 | 135,224,162 | ' | ' | ' | ' | ' |
Consolidated_Statements_of_Cas
Consolidated Statements of Cash Flows (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 |
Cash Flows from Operating Activities | ' | ' |
Net income | $224,682 | $250,678 |
Adjustments to reconcile net income to net cash provided by operating activities: | ' | ' |
Amortization of mortgage-backed securities premiums and discounts, net | 145,112 | 94,722 |
Amortization of residential loan and asset-backed-securities premiums | 117 | ' |
Amortization of commercial loan origination fees | -21 | ' |
Origination fee received | 145 | ' |
Provision for loan losses | 751 | ' |
Unrealized loss on interest rate derivative instruments | 21,810 | 2,851 |
Unrealized (gain) loss on credit default swap | 743 | -406 |
(Gain) loss on sale of mortgage-backed securities | 56,919 | -24,978 |
Gain on termination of interest rate swaptions | -66,234 | ' |
Equity in earnings and fair value change in unconsolidated ventures | -5,169 | -6,231 |
Amortization of equity-based compensation | 276 | 257 |
Amortization of deferred securitization and financing costs | 1,647 | ' |
Changes in operating assets and liabilities: | ' | ' |
Increase in accrued interest receivable | -8,538 | -7,592 |
Increase in other assets | -391 | -165 |
Increase (decrease) in accrued interest payable | 4,279 | -568 |
Increase in due to affiliate | 2,149 | 428 |
Increase in accounts payable and accrued expenses | 3,061 | 64 |
Net cash provided by operating activities | 381,338 | 309,060 |
Cash Flows from Investing Activities | ' | ' |
Purchase of mortgage-backed securities | -6,923,130 | -6,354,428 |
(Contributions) distributions from investment in unconsolidated ventures, net | -1,806 | 19,370 |
Principal payments from mortgage-backed securities | 2,309,117 | 1,827,398 |
Proceeds from sale of mortgage-backed securities | 3,507,011 | 1,605,902 |
Payment of premiums for interest rate swaptions | -72,723 | -2,140 |
Proceeds from termination of interest rate swaptions | 114,538 | ' |
Purchase of residential loans | -1,562,818 | ' |
Principal payments from residential loans | 28,464 | ' |
Origination of commercial loans, net of origination fees | -17,195 | ' |
Net cash used in investing activities | -2,618,542 | -2,903,898 |
Cash Flows from Financing Activities | ' | ' |
Proceeds from issuance of common stock | 396,417 | 103 |
(Cost) proceeds (of) from issuance of preferred stock | -6 | 135,535 |
Due from counterparties | -8,182 | 57,172 |
Collateral held payable | 21,045 | ' |
Proceeds from repurchase agreements | 140,364,041 | 111,725,441 |
Principal repayments of repurchase agreements | -140,159,048 | -109,101,978 |
Proceeds from issuance of exchangeable senior notes | 400,000 | ' |
Proceeds from issuance of asset-backed-securities | 1,440,755 | ' |
Principal repayments of asset-backed-securities | -27,778 | ' |
Payments of deferred costs | -15,676 | ' |
Payments of dividends and distributions | -261,743 | -227,811 |
Net cash provided by financing activities | 2,149,825 | 2,588,462 |
Net change in cash | -87,379 | -6,376 |
Cash, beginning of period | 286,474 | 197,224 |
Cash and cash equivalents, end of period | 199,095 | 190,848 |
Supplement Disclosure of Cash Flow Information | ' | ' |
Interest paid | 231,782 | 172,879 |
Non-cash Investing and Financing Activities Information | ' | ' |
Net change in unrealized gain (loss) on mortgage-backed securities and derivatives | -406,153 | 512,080 |
Net change in unconsolidated ventures | 0 | ' |
Net change in due from counterparties | 63 | 3,851 |
Dividends and distributions declared not paid | 71,037 | 78,628 |
(Receivable) / payable for mortgage-backed securities sold / purchased, net | 150,733 | -672,589 |
Repurchase agreements, not settled | ($27,842) | ' |
Organization_and_Business_Oper
Organization and Business Operations | 9 Months Ended |
Sep. 30, 2013 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' |
Organization and Business Operations | ' |
Note 1 – Organization and Business Operations | |
Invesco Mortgage Capital Inc. (the “Company”) is a Maryland corporation focused on investing in, financing and managing residential and commercial mortgage-backed securities and mortgage loans. The Company invests in residential mortgage-backed securities (“RMBS”) for which a U.S. Government Agency such as the Government National Mortgage Association (“Ginnie Mae”), the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) guarantees payments of principal and interest on the securities (collectively “Agency RMBS”). The Company’s Agency RMBS investments include mortgage pass-through securities and collateralized mortgage obligations (“CMOs”). The Company also invests in RMBS that are not issued or guaranteed by a U.S. government Agency (“non-Agency RMBS”), commercial mortgage-backed securities (“CMBS”), and residential and commercial mortgage loans. The Company is externally managed and advised by Invesco Advisers, Inc. (the “Manager”), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. (“Invesco”), a leading independent global investment management firm. | |
The Company conducts its business through IAS Operating Partnership LP (the “Operating Partnership”) as its sole general partner. As of September 30, 2013, the Company owned 99% of the Operating Partnership, and Invesco Investments (Bermuda) Ltd., a direct, wholly-owned subsidiary of Invesco, owned the remaining 1.0%. | |
The Company finances its Agency RMBS, non-Agency RMBS and CMBS investments through short-term borrowings structured as repurchase agreements. The Company has secured commitments with a number of repurchase agreement counterparties. The Company finances its residential loans through the issuance of asset-backed securities. In addition, the Company may use other sources of financing including committed borrowing facilities and other private financing. | |
The Company is taxed as a real estate investment trust (“REIT”) for U.S. federal income tax purposes under the provisions of the Internal Revenue Code of 1986, as amended (“Code”). To maintain the Company’s REIT qualification, the Company is generally required to distribute at least 90% of its taxable income to its shareholders annually. |
Summary_of_Significant_Account
Summary of Significant Accounting Policies | 9 Months Ended | |
Sep. 30, 2013 | ||
Accounting Policies [Abstract] | ' | |
Summary of Significant Accounting Policies | ' | |
Note 2 – Summary of Significant Accounting Policies | ||
Basis of Quarterly Presentation | ||
The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X, promulgated by the Securities and Exchange Commission (the “SEC”). In the opinion of management, all adjustments (consisting of normal recurring adjustments) necessary for a fair presentation of the financial position and the results of operations of the Company for the interim periods presented have been included. Certain disclosures included in the Company’s annual report on Form 10-K are not required to be included on an interim basis in the company’s quarterly reports on Forms 10-Q. The Company has condensed or omitted these disclosures. The interim consolidated financial statements should be read in conjunction with the Company’s consolidated financial statements and related notes thereto included in the Company’s annual report on Form 10-K for the year ended December 31, 2012, which was filed with the SEC on March 1, 2013. The results of operations for the period ended September 30, 2013 are not necessarily indicative of the results to be expected for the full year or any other future period. | ||
Principles of Consolidation | ||
The consolidated financial statements include the accounts of the Company, its subsidiaries and VIEs in which the Company is deemed the primary beneficiary. The underlying loans owned by the VIEs are shown under residential loans on our consolidated balance sheets. The asset-backed securities (“ABS”) issued to third parties by the VIEs are shown under asset-backed securities issued. In our consolidated statements of operations, we record interest income on the residential loans owned by the VIEs and interest expense on the ABS issued by the VIEs. All intercompany balances and transactions have been eliminated. | ||
Variable Interest Entity | ||
A VIE is an entity that lacks one or more of the characteristics of a voting interest entity. A VIE is defined as an entity in which equity investors do not have the characteristics of a controlling financial interest or do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support. The determination of whether an entity is a VIE includes both a qualitative and quantitative analysis. The Company reassesses its initial evaluation of an entity as a VIE upon the occurrence of certain reconsideration events. 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 VIE’s 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 ongoing activities, the power to direct the activities that most significantly impact the VIE’s economic performance may be determined by an entity’s involvement with the design of the VIE. | ||
Use of Estimates | ||
The accounting and reporting policies of the Company conform to U.S. GAAP. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed securities (“MBS”), allowance for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates. | ||
Cash and Cash Equivalents | ||
The Company considers all highly liquid investments that have original or remaining maturity dates of three months or less when purchased to be cash equivalents. At September 30, 2013, the Company had cash and cash equivalents, including amounts restricted, in excess of the FDIC deposit insurance limit of $250,000 per institution. The Company mitigates its risk of loss by actively monitoring its counterparties. | ||
Underwriting Commissions and Offering Costs | ||
Underwriting commissions and direct costs incurred in connection with the Company’s initial public offering (“IPO”) and subsequent stock offerings are reflected as a reduction of additional paid-in-capital. | ||
Deferred Costs | ||
Included in deferred costs are costs associated with the issuance of beneficial interest by consolidated VIEs incurred by the Company and costs incurred in connection with the issuance by the Company of its exchangeable senior notes. These costs may include underwriting, rating agency, legal, accounting and other fees. These deferred costs are amortized as an adjustment to interest expense using the effective interest method, based upon actual repayments of the associated beneficial interest issued to third parties and over the stated legal maturity of the exchangeable senior notes. | ||
Repurchase Agreements | ||
The Company finances its Agency RMBS, non-Agency RMBS and CMBS investment portfolio through the use of repurchase agreements. Repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, including accrued interest, as specified in the respective agreements. | ||
In instances where the Company acquires Agency RMBS, non-Agency RMBS or CMBS through repurchase agreements with the same counterparty from whom such assets were purchased, the Company accounts for the purchase commitment and repurchase agreement on a net basis and records a forward commitment to purchase such assets as a derivative instrument if the transaction does not comply with the criteria for gross presentation. All of the following criteria must be met for gross presentation in the circumstance where the repurchase assets are financed with the same counterparty: | ||
• | the initial transfer of and repurchase financing cannot be contractually contingent; | |
• | the repurchase financing entered into between the parties provides full recourse to the transferee and the repurchase price is fixed; | |
• | the financial asset has an active market and the transfer is executed at market rates; and | |
• | the repurchase agreement and financial asset do not mature simultaneously. | |
If the transaction complies with the criteria for gross presentation, the Company records the assets and the related financing on a gross basis on its consolidated balance sheets, and the corresponding interest income and interest expense in its consolidated statements of operations. Forward commitments are recorded at fair value with subsequent changes in fair value recognized in income. Additionally, the Company records the cash portion of its investment in Agency RMBS and non-Agency RMBS as a mortgage related receivable from the counterparty on its consolidated balance sheets. | ||
Asset-Backed Debt Securities | ||
Asset-backed debt securities are recorded at principal balance net of unamortized premiums or discounts. | ||
Fair Value Measurements | ||
The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels 1, 2, and 3, as defined). In accordance with U.S. GAAP, the Company is required to provide enhanced disclosures regarding instruments in the Level 3 category (which require significant management judgment), including a separate reconciliation of the beginning and ending balances for each major category of assets and liabilities. | ||
To determine fair value of its financial instruments, the Company generally obtains one price per instrument from its primary valuation service. If this service cannot provide a price, the Company will seek a value from other vendors. The valuation services use various observable inputs which may include a combination of benchmark yields, trades, broker/dealer quotes, issuer spreads, bids, offers and benchmark securities to determine prices. Both the Company and the pricing vendor continuously monitor market indicators and economic events to determine if any may have an impact on the valuations. | ||
Overrides of prices from pricing vendors are rare in the current market environment and with the assets the Company holds. Examples of instances that would cause an override would be if the Company recently traded the same security or there is an indication of market activity that would cause the vendor price to be unreliable. In the rare instance where a price is adjusted, the Company has a control process to monitor the reason for such adjustment. | ||
To gain comfort that vendor prices are representative of current market information, the Company compares the transaction prices of security purchases and sales to the valuation levels provided by the vendors. Price differences exceeding pre-defined tolerance levels are identified and investigated and may be challenged. Trends are monitored over time and if there are indications that the valuations are not comparable to market activity, the vendors are asked to provide detailed information regarding their methodology and inputs. Transparency tools are also available from the vendors which help clients observe data points and/or market inputs used for pricing securities. | ||
In addition, the Company performs due diligence procedures on all vendors on at least an annual basis. A questionnaire is sent to vendors which requests information such as changes in methodologies, business recovery preparedness, internal controls and confirmation that evaluations are generated based on market data. Physical visits are also made to each vendor’s office. | ||
As described in Note 11 - “Financial Instruments,” the Company evaluates the source used to provide the market price for each security and makes a determination on its categorization within the fair value hierarchy. If the price of a security is obtained from quoted prices for similar instruments or model-derived valuations whose inputs are observable, the security is classified as a level 2 security. If the inputs appear to be unobservable, the security would be classified as a level 3 security. | ||
Additionally, U.S. GAAP permits entities to choose to measure many financial instruments and certain other items at fair value (the “fair value option”). Unrealized gains and losses on items for which the fair value option has been elected are irrevocably recognized in earnings at each subsequent reporting date. | ||
The Company elected the fair value option for its investments in unconsolidated ventures. The Company has the one-time option to elect fair value for these financial assets on the election date. The changes in the fair value of these instruments are recorded in equity in earnings and fair value change in unconsolidated ventures in the consolidated statements of operations. | ||
For assets representing available-for-sale investment securities, any change in fair value is reported through consolidated other comprehensive income (loss) with the exception of impairment losses, which are recorded in the consolidated statements of operations. | ||
Securities | ||
The Company designates securities as held-to-maturity, available-for-sale, or trading depending on its ability and intent to hold such securities to maturity. Trading and securities available-for-sale are reported at fair value, while securities held-to-maturity are reported at amortized cost. Although the Company generally intends to hold most of its RMBS and CMBS until maturity, the Company may, from time to time, sell any of its RMBS or CMBS as part of its overall management of its investment portfolio and therefore classifies its RMBS and CMBS as available-for-sale securities. | ||
All securities classified as available-for-sale are reported at fair value, based on market prices from third-party sources, with unrealized gains and losses excluded from earnings and reported as a separate component of shareholders’ equity. When applicable, included with available-for-sale securities are forward purchase commitments on to-be-announced securities (“TBA”). The Company records TBA purchases on the trade date and the corresponding payable is recorded as an outstanding liability as a payable for investments purchased until the settlement date of the transaction. This payable is presented in the “Investment related payable” line item on the consolidated balance sheets. | ||
The Company considers its portfolio of Agency RMBS to be of high credit quality under the accounting guidance. For non-Agency RMBS and CMBS, the Company does not rely on ratings from third party agencies to determine the credit quality of the investment. To determine expected future losses, the Company uses internal models that analyze the individual loans underlying each security and evaluates factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration to estimate the expected future cash flows and an expected yield. The Company places reliance on this internal model in determining credit quality and the corresponding accounting treatment. | ||
While non-Agency RMBS and CMBS with expected future losses are generally purchased at a discount to par, the potential for a significant adverse change in expected cash flows remains. The Company therefore considers each security for other-than-temporary impairment at least quarterly and more frequently when economic or market conditions warrant such evaluation. | ||
The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. Consideration is given to (i) the length of time and the extent to which the fair value has been less than cost, (ii) the financial condition and near-term prospects of recovery in fair value of the security, and (iii) the Company’s intent and ability to retain its investment in the security for a period of time sufficient to allow for any anticipated recovery in fair value. | ||
For debt securities, the amount of the other-than-temporary impairment related to a credit loss or impairments on securities that the Company has the intent or for which it is more likely than not that the Company will need to sell before recoveries are recognized in earnings and reflected as a reduction in the cost basis of the security. The amount of the other-than-temporary impairment on debt securities related to other factors is recorded consistent with changes in the fair value of all other available-for-sale securities as a component of consolidated shareholders’ equity in other comprehensive income or loss with no change to the cost basis of the security. | ||
Residential Loans Held-For-Investment | ||
Loans held-for-investment include securitized residential mortgage loans held by VIEs in which the Company has determined it is the primary beneficiary and which are included in the Company's Consolidated Balance Sheets, and are carried at unpaid principal balance net of any allowance for loan losses. The Company expects that it will be required to continue to consolidate the VIEs in which such loans are held and generally does not have the authority to sell the residential loans held in the VIEs. | ||
Commercial Loans Held-For-Investment | ||
Commercial loans held-for-investment include mezzanine loans owned by the Company carried at cost, net of any allowance for loan losses. An allowance for loan losses will be recognized only if past and current events indicate it is probable that all amounts due will not be collected according to the terms of the loan agreement. | ||
Interest Income Recognition | ||
Securities | ||
Interest income on available-for-sale MBS, which includes accretion of discounts and amortization of premiums on such MBS, is recognized over the life of the investment using the effective interest method. Management estimates, at the time of purchase, the future expected cash flows and determines the effective interest rate based on these estimated cash flows and the Company’s purchase price. As needed, these estimated cash flows are updated and a revised yield is computed based on the current amortized cost of the investment. In estimating these cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate and interest rate fluctuations. In addition, management must use its judgment to estimate interest payment shortfalls due to delinquencies on the underlying mortgage loans. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact management’s estimates and its interest income. Security transactions are recorded on the trade date. Realized gains and losses from security transactions are determined based upon the specific identification method and recorded as gain (loss) on sale of available-for-sale securities in the consolidated statements of operations. | ||
Residential Loans | ||
Interest income from the Company’s residential loans is recognized on an accrual basis with the related premiums being amortized into interest income using the effective interest method over the weighted average life of these loans. As needed, these estimated cash flows are updated and a revised yield is computed based on the current amortized cost of the investment. In estimating these cash flows, there are a number of assumptions that are subject to estimation, including the interest rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the timing and amount of expected credit losses, and other factors. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due or has been individually impaired, at which point the loan is placed on nonaccrual status. Interest previously accrued for loans that have been placed on non-accrual status is reversed against interest income in the period it becomes nonaccrual. Residential loans delinquent more than 90 days or in foreclosure are characterized as delinquent. Cash principal and interest that is advanced from servicers subsequent to a loan becoming greater than 90 days past due or individually impaired is recorded as a liability due to the servicer. When a delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternately, nonaccrual loans may be placed back on accrual status if restructured and after the loan is considered re-performing. A restructured loan is considered re-performing when the loan has been current for at least 12 months. | ||
Commercial loans | ||
Interest is recognized as revenue when earned and deemed collectible or until a loan becomes past due based on the terms of the loan agreement with the related originating fees, net of origination cost, being amortized into interest income using the effective interest method over the life of the loan. Interest received subsequent to a loan becoming past due or impaired is used to reduce the outstanding loan principal balance. When a delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternately, loans that have been individually impaired may be placed back on accrual status if restructured and after the loan is considered re-performing. A restructured loan is considered re-performing when the loan has been current for at least 12 months. | ||
Allowance for Loan Losses | ||
Residential Loans — Allowance for Loan Losses | ||
For residential loans classified as held-for-investment, an allowance for loan losses is established based on the Company's estimate of credit losses. In calculating the allowance for loan losses, the Company assesses expected losses by estimating the probability of default and expected loss severities on the loans. Reviews are performed at least quarterly. The following factors are considered in evaluating the allowance for loan losses: | ||
• | Loan-to-value ratios, property values, credit scores, occupancy status, geographic concentration and other observable data available from third party providers; | |
• | Historical prepayments, default rates and loss severities; and | |
• | Trends in delinquencies, loan liquidations, foreclosure timelines, liquidation expenses, servicer advances of delinquent principal and interest, and other observable data related to the servicing of the loans. | |
Commercial Loans — Allowance for Loan Losses | ||
For commercial loans classified as held-for-investment, we establish a specific allowance for loan losses for loans we have determined to be impaired at the reporting date. An individual loan is considered impaired when it is deemed probable that we will not be able to collect all amounts due according to the contractual terms of the loan. | ||
The Company's methodology for assessing the adequacy of the allowance for loan losses begins with a formal review of each commercial loan in the portfolio to determine whether the loan is impaired. Reviews are performed at least quarterly. We consider the following factors in evaluating each loan: | ||
• | Loan to value ratios upon origination or acquisition of the loan; | |
• | The most recent financial information available for each loan and associated properties, including net operating income, debt service coverage ratios, occupancy rates, rent rolls, as well as any other loss factors we consider relevant, such as, but not limited to, specific loan trigger events that would indicate an adverse change in expected cash flows or payment delinquency; | |
• | Economic trends, both macroeconomic as well as those directly affecting the properties associated with our loans, and the supply and demand of competing projects in the sub-market in which the subject property is located; and | |
• | The loan sponsor or borrowing entity’s ability to ensure that properties associated with the loan are managed and operated sufficiently. | |
Where an individual commercial loan is deemed to be impaired, the Company records an allowance to reduce the carrying value of the loan to the current present value of expected future cash flows discounted at the loan’s effective rate, with a corresponding charge to provision for loan losses on our consolidated statements of operations. | ||
Investments in Unconsolidated Ventures | ||
The Company has investments in unconsolidated ventures. In circumstances where the Company has a non-controlling interest but is deemed to be able to exert significant influence over the affairs of the enterprise, the Company utilizes the equity method of accounting. Under the equity method of accounting, the initial investment is increased each period for additional capital contributions and a proportionate share of the entity’s earnings and decreased for cash distributions and a proportionate share of the entity’s losses. | ||
The Company elected the fair value option for its investments in unconsolidated ventures. The election was made upon initial recognition in the financial statements. The Company has elected the fair value option for the purpose of enhancing the transparency of its financial condition. The Company measures the fair value on the basis of the net asset value per share of the investments. | ||
Dividends and Distributions Payable | ||
Dividends and distributions payable represent dividends declared at the consolidated balance sheet date which are payable to common shareholders, preferred shareholders and distributions declared at the consolidated balance sheet date which are payable to non-controlling interest common unit holders of the Operating Partnership, respectively. | ||
Earnings (Loss) per Share | ||
The Company calculates basic earnings (loss) per share by dividing net income attributable to common shareholders for the period by weighted-average shares of the Company’s common stock outstanding for that period. Diluted earnings per share takes into account the effect of dilutive instruments, such as units of limited partnership interest in the Operating Partnership (“OP Units”), exchangeable debt, and unvested restricted stock, but use the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. | ||
Comprehensive Income (Loss) | ||
Comprehensive income (loss) is comprised of net income, as presented in the consolidated statements of operations, adjusted for changes in unrealized gains or losses on available for sale securities and changes in the fair value of derivatives accounted for as cash flow hedges. | ||
Accounting for Derivative Financial Instruments | ||
U.S. GAAP provides disclosure requirements for derivatives and hedging activities with the intent to provide users of financial statements with an enhanced understanding of: (i) how and why an entity uses derivative instruments; (ii) how derivative instruments and related hedged items are accounted for; and (iii) how derivative instruments and related hedged items affect an entity’s financial position, financial performance, and cash flows. U.S. GAAP requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about the fair value of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative instruments. | ||
The Company records all derivatives on the consolidated balance sheets at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative, whether the Company has elected to designate a derivative in a hedging relationship and apply hedge accounting and whether the hedging relationship has satisfied the criteria necessary to apply hedge accounting. Derivatives designated and qualifying as a hedge of the exposure to changes in the fair value of an asset, liability, or firm commitment attributable to a particular risk, such as interest rate risk, are considered fair value hedges. Derivatives designated and qualifying as a hedge of the exposure to variability in expected future cash flows, or other types of forecasted transactions, are considered cash flow hedges. Derivatives may also be designated as hedges of the foreign currency exposure of a net investment in a foreign operation. Hedge accounting generally provides for the matching of the timing of gain or loss recognition on the hedging instrument with the recognition of the changes in the fair value of the hedged asset or liability that are attributable to the hedged risk in a fair value hedge or the earnings effect of the hedged forecasted transactions in a cash flow hedge. The Company may enter into derivative contracts, such as credit default swaps, that are intended to economically hedge certain of its risk, even though hedge accounting does not apply or the Company elects not to apply hedge accounting under U.S. GAAP. | ||
Income Taxes | ||
The Company is taxed as a REIT. Accordingly, the Company is generally not subject to U.S. federal and applicable state and local corporate income tax to the extent that the Company makes qualifying distributions to its common shareholders, and provided the Company satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the Company’s failure to qualify as a REIT could have a material adverse impact on its results of operations and amounts available for distribution to its shareholders. | ||
A REIT’s dividend paid deduction for qualifying dividends to the Company’s shareholders is computed using its taxable income as opposed to net income reported on the consolidated financial statements. Taxable income, generally, will differ from net income because the determination of taxable income is based on tax regulations and not financial accounting principles. | ||
The Company may elect to treat certain of its future subsidiaries 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. A TRS is subject to U.S. federal, state and local corporate income taxes. | ||
If a TRS generates net income, the TRS can declare dividends to the Company which will be included in its taxable income and necessitate a distribution to its shareholders. Conversely, if the Company retains earnings at a TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. The Company has no adjustments regarding its tax accounting treatment of any uncertainties. The Company currently has no uncertain tax positions. | ||
Share-Based Compensation | ||
The Company has adopted an equity incentive plan under which its independent directors, as part of their compensation for serving as directors, are eligible to receive quarterly restricted stock awards. In addition, the Company may compensate the officers and employees of the Manager and its affiliates under this plan pursuant to the management agreement. | ||
Share-based compensation arrangements include share options, restricted share awards, performance-based awards, share appreciation rights, and employee share purchase plans. Compensation costs relating to share-based payment transactions are recognized in the consolidated financial statements, based on the fair value of the equity or liability instruments issued on the date of grant, for awards to the Company’s independent directors. Compensation related to stock awards to officers and employees of the Manager and its affiliates is recorded at the estimated fair value of the award during the vesting period. The Company makes an upward or downward adjustment to compensation expense for the difference in the fair value at the date of grant and the date the award is earned. | ||
Dividend Reinvestment and Share Purchase Plan | ||
The Company has implemented a dividend reinvestment and share purchase plan (the “DRSPP”). Under the terms of the DRSPP, shareholders who participate in the DRSPP may purchase shares of common stock directly from the Company. DRSPP participants may also automatically reinvest all or a portion of their dividends for additional shares of common stock. | ||
Reclassifications | ||
The presentation of certain prior period reported amounts has been reclassified to be consistent with the current presentation. Such reclassifications had no impact on net income or equity attributable to common shareholders. | ||
Recent Accounting Pronouncements | ||
In January 2013, the FASB issued Accounting Standards Update 2013-01, “Clarifying the Scope of Disclosure about Offsetting Assets and Liabilities” (“ASU 2013-01”). ASU 2013-01 clarified Accounting Standard Update 2011-11, “Disclosures about Offsetting Assets and Liabilities” which was issued in December 2011. Entities will be required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transaction subject to an agreement similar to a master netting arrangement. This scope would include derivatives, sale and repurchase agreements and reverse sale and repurchase agreements. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on a basis of U.S. GAAP basis and those entities that prepare their financial statements on the basis of International Financial Reporting Standards (IFRS). The guidance was effective for periods beginning on or after January 1, 2013, and interim periods within those annual periods. The additional disclosure requirements were incorporated into Note 10 “Offsetting Assets and Liabilities”. | ||
In February 2013, the FASB issued Accounting Standards Update 2013-02, “Reporting of Amounts Reclassified out of Accumulated Other Comprehensive Income” (“ASU 2013-02”), which adds new disclosure requirements for items reclassified out of accumulated other comprehensive income. ASU 2013-02 does not amend any existing requirements for reporting net income or other comprehensive income in the financial statements and is effective prospectively for reporting periods beginning after December 15, 2012. ASU 2013-02 increased our disclosures related to items reclassified out of accumulated other comprehensive income, but did not have an effect on our consolidated financial statements. | ||
Recent Accounting Pronouncements Not Yet Adopted | ||
None |
Variable_Interest_Entities
Variable Interest Entities | 9 Months Ended | |||||
Sep. 30, 2013 | ||||||
Variable Interest Entity Disclosure [Abstract] | ' | |||||
Variable Interest Entities | ' | |||||
Note 3 – Variable Interest Entities | ||||||
During the nine months ended September 30, 2013, the Company purchased through its indirect subsidiary an interest in four securitization trusts (none during the quarter ended September 30, 2013) which the Company determined it is the primary beneficiary. The trusts initially held pools of 1,926 fixed rate residential mortgage loans having an initial aggregate principal balance of $1.5 billion and issued a series of ABS having an aggregate original principal amount of $1.5 billion payable from the cash flows generated by the pools of residential mortgage loans. $1.4 billion of ABS was sold to unaffiliated third parties and the balance was purchased by the Company. The Company's interests in the trusts consist of classes of such ABS having an aggregate original principal balance of $112.3 million, which are either subordinate in payment priority, pay interest only, or are payable from certain designated cash flows from the loans. The Company subsequently sold $5.8 million of the original principal balance to a third party. | ||||||
In determining if a securitized trust should be consolidated, the Company evaluated whether it was a VIE and, if so, whether the Company’s direct involvement in the VIE reflects a controlling financial interest that would result in the Company being deemed the primary beneficiary. The Company concluded that its interest in the securitized trusts purchased during the nine months ended September 30, 2013 were VIEs because such interests included the power to direct the activities that most significantly impact the economic performance of the VIEs and the obligation to absorb losses or right to receive benefits that are potentially significant to the VIEs. Accordingly, for financial statement reporting purposes, the Company consolidated the underlying assets and liabilities of the securitization trusts at their fair value and, as such, no gain or loss was recorded upon consolidation. The securitizations are non-recourse financing of the residential mortgage loans held-for-investment. The senior securities issued by the securitization trusts and not purchased by the Company, which were sold to unaffiliated third parties, are presented in the consolidated balance sheets as “Asset-backed securities issued.” | ||||||
The Company is not contractually required and has not provided any additional financial support to the VIEs for the period ended September 30, 2013. The following table presents a summary of the assets and liabilities of the VIEs. Intercompany balances have been eliminated for purposes of this presentation. | ||||||
$ in thousand | 30-Sep-13 | 31-Dec-12 | ||||
Residential loans, held-for-investment | 1,532,389 | — | ||||
Accrued interest receivable | 4,696 | — | ||||
Deferred costs | 3,065 | — | ||||
Total assets | 1,540,150 | — | ||||
Accrued interest and accrued expenses payable | 3,887 | — | ||||
Asset-backed securities issued | 1,411,897 | — | ||||
Total liabilities | 1,415,784 | — | ||||
MortgageBacked_Securities
Mortgage-Backed Securities | 9 Months Ended | |||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | |||||||||||||||||||||||
Mortgage-Backed Securities | ' | |||||||||||||||||||||||
Note 4 – Mortgage-Backed Securities | ||||||||||||||||||||||||
All of the Company’s MBS are classified as available-for-sale and, as such, are reported at fair value, which is determined by obtaining valuations from an independent source. If the fair value of a security is not available from a dealer or third-party pricing service, or such data appears unreliable, the Company may estimate the fair value of the security using a variety of methods including other pricing services, repurchase agreement pricing, discounted cash flow analysis, matrix pricing, option adjusted spread models and other fundamental analysis of observable market factors. | ||||||||||||||||||||||||
The following tables present certain information about the Company’s investment portfolio as of September 30, 2013 and December 31, 2012. | ||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||
$ in thousands | Principal | Unamortized | Amortized | Unrealized | Fair | Net | Period- | Quarterly | ||||||||||||||||
Balance | Premium | Cost | Gain/ | Value | Weighted | end | Weighted | |||||||||||||||||
(Discount) | (Loss), net | Average | Weighted | Average | ||||||||||||||||||||
Coupon (1) | Average | Yield (3) | ||||||||||||||||||||||
Yield (2) | ||||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||
15 year fixed-rate | 1,722,520 | 89,091 | 1,811,611 | 28,193 | 1,839,804 | 4.02 | % | 2.24 | % | 2.35 | % | |||||||||||||
30 year fixed-rate | 8,689,193 | 579,210 | 9,268,403 | (246,644 | ) | 9,021,759 | 3.95 | % | 2.64 | % | 2.84 | % | ||||||||||||
ARM | 197,033 | (468 | ) | 196,565 | 1,335 | 197,900 | 2.73 | % | 2.55 | % | 2.41 | % | ||||||||||||
Hybrid ARM | 977,583 | (3,512 | ) | 974,071 | 3,236 | 977,307 | 2.56 | % | 2.39 | % | 2.19 | % | ||||||||||||
Total Agency pass-through | 11,586,329 | 664,321 | 12,250,650 | (213,880 | ) | 12,036,770 | 3.82 | % | 2.56 | % | 2.73 | % | ||||||||||||
Agency-CMO(4) | 1,491,381 | (1,004,321 | ) | 487,060 | (4,416 | ) | 482,644 | 2.8 | % | 3.16 | % | 2.31 | % | |||||||||||
Non-Agency RMBS(5) | 4,344,281 | (646,859 | ) | 3,697,422 | 11,589 | 3,709,011 | 3.67 | % | 3.76 | % | 4.63 | % | ||||||||||||
CMBS(6) | 4,585,928 | (2,027,009 | ) | 2,558,919 | 24,335 | 2,583,254 | 3.5 | % | 4.68 | % | 4.6 | % | ||||||||||||
Total | 22,007,919 | (3,013,868 | ) | 18,994,051 | (182,372 | ) | 18,811,679 | 3.66 | % | 3.1 | % | 3.34 | % | |||||||||||
-1 | Net weighted average coupon (“WAC”) as of September 30, 2013 is presented net of servicing and other fees. | |||||||||||||||||||||||
-2 | Average yield is based on amortized costs as of September 30, 2013 and incorporates future prepayment and loss assumptions. | |||||||||||||||||||||||
-3 | Average yield is based on average amortized costs for the three months ended September 30, 2013 and incorporates future prepayment and loss assumptions. | |||||||||||||||||||||||
-4 | Included in the Agency-CMO are interest-only securities which represent 16.4% of the balance based on fair value. | |||||||||||||||||||||||
-5 | The non-Agency RMBS held by the Company is 61.0% variable rate, 34.3% fixed rate, and 4.7% floating rate based on fair value. | |||||||||||||||||||||||
-6 | Included in the CMBS are interest-only securities and commercial real estate mezzanine loan pass-through certificates which represent 8.0% and 1.8% of the balance based on fair value, respectively. | |||||||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||
$ in thousands | Principal | Unamortized | Amortized | Unrealized | Fair | Net | Period- | Quarterly | ||||||||||||||||
Balance | Premium | Cost | Gain/ | Value | Weighted | end | Weighted | |||||||||||||||||
(Discount) | (Loss), net | Average | Weighted | Average | ||||||||||||||||||||
Coupon (1) | Average | Yield (3) | ||||||||||||||||||||||
Yield (2) | ||||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||
15 year fixed-rate | 1,964,999 | 102,058 | 2,067,057 | 63,839 | 2,130,896 | 4.09 | % | 2.37 | % | 2.37 | % | |||||||||||||
30 year fixed-rate | 9,168,196 | 601,592 | 9,769,788 | 238,949 | 10,008,737 | 4.21 | % | 2.89 | % | 2.88 | % | |||||||||||||
ARM | 109,937 | 3,464 | 113,401 | 2,365 | 115,766 | 3.15 | % | 2.06 | % | 2.02 | % | |||||||||||||
Hybrid ARM | 556,790 | 13,493 | 570,283 | 16,885 | 587,168 | 3.19 | % | 2.18 | % | 2.22 | % | |||||||||||||
Total Agency pass-through | 11,799,922 | 720,607 | 12,520,529 | 322,038 | 12,842,567 | 4.13 | % | 2.77 | % | 2.75 | % | |||||||||||||
Agency-CMO(4) | 1,322,043 | (819,530 | ) | 502,513 | 1,926 | 504,439 | 2.89 | % | 2.35 | % | 1.51 | % | ||||||||||||
Non-Agency RMBS(5) | 3,339,683 | (308,885 | ) | 3,030,798 | 48,238 | 3,079,036 | 4.2 | % | 4.61 | % | 4.8 | % | ||||||||||||
CMBS(6) | 1,868,928 | 24,070 | 1,892,998 | 151,523 | 2,044,521 | 5.27 | % | 4.96 | % | 4.82 | % | |||||||||||||
Total | 18,330,576 | (383,738 | ) | 17,946,838 | 523,725 | 18,470,563 | 4.17 | % | 3.3 | % | 3.27 | % | ||||||||||||
-1 | Net WAC as of December 31, 2012 is presented net of servicing and other fees. | |||||||||||||||||||||||
-2 | Average yield based on amortized cost as of December 31, 2012 incorporates future prepayment and loss assumptions. | |||||||||||||||||||||||
-3 | Average yield based on average amortized cost for the three months ended December 31, 2012 incorporates future prepayment and loss assumptions. | |||||||||||||||||||||||
-4 | Included in Agency-CMO are interest-only securities which represent 14.1% of the balance based on fair value. | |||||||||||||||||||||||
-5 | The non-Agency RMBS held by the Company is 79.2% variable rate, 15.5% fixed rate, and 5.3% floating rate based on fair value. | |||||||||||||||||||||||
-6 | Included in the CMBS are interest-only securities and commercial real estate mezzanine loan pass-through certificates which represent 0% and 1.1% of the balance based on fair value, respectively. | |||||||||||||||||||||||
The following table summarizes our non-Agency RMBS portfolio by asset type as of September 30, 2013 and December 31, 2012, respectively: | ||||||||||||||||||||||||
$ in thousands | 30-Sep-13 | % of Non-Agency | 31-Dec-12 | % of Non-Agency | ||||||||||||||||||||
Re-REMIC Senior | 1,475,475 | 39.8 | % | 1,844,209 | 59.9 | % | ||||||||||||||||||
Prime | 1,383,923 | 37.3 | % | 754,161 | 24.5 | % | ||||||||||||||||||
Alt-A | 822,815 | 22.2 | % | 468,181 | 15.2 | % | ||||||||||||||||||
Subprime | 26,798 | 0.7 | % | 12,485 | 0.4 | % | ||||||||||||||||||
Total Non-Agency | 3,709,011 | 100 | % | 3,079,036 | 100 | % | ||||||||||||||||||
The following table summarizes certain characteristics of our senior Re-REMIC holdings as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||
Percentage of Re-REMIC holdings at Fair Value | ||||||||||||||||||||||||
Re-REMIC Subordination(1) | 30-Sep-13 | 31-Dec-12 | ||||||||||||||||||||||
0-10 | 3.9 | % | 2.1 | % | ||||||||||||||||||||
20-Oct | 3.5 | % | 3.2 | % | ||||||||||||||||||||
20-30 | 14.2 | % | 15 | % | ||||||||||||||||||||
30-40 | 25.5 | % | 27 | % | ||||||||||||||||||||
40-50 | 39.5 | % | 40.4 | % | ||||||||||||||||||||
50-60 | 8.6 | % | 7.6 | % | ||||||||||||||||||||
60-70 | 4.8 | % | 4.7 | % | ||||||||||||||||||||
Total | 100 | % | 100 | % | ||||||||||||||||||||
-1 | Subordination refers to the credit enhancement provided to the senior Re-REMIC tranche by the junior Re-REMIC tranche or tranches in a resecuritization. This figure reflects the percentage of the balance of the underlying security represented by the junior tranche or tranches at the time of resecuritization. Generally, principal losses on the underlying security in excess of the subordination amount would result in principal losses on the senior Re-REMIC tranche. | |||||||||||||||||||||||
The components of the carrying value of the Company’s investment portfolio at September 30, 2013 and December 31, 2012 are presented below: | ||||||||||||||||||||||||
$ in thousands | 30-Sep-13 | 31-Dec-12 | ||||||||||||||||||||||
Principal balance | 22,007,919 | 18,330,576 | ||||||||||||||||||||||
Unamortized premium | 758,256 | 788,716 | ||||||||||||||||||||||
Unamortized discount | (3,772,124 | ) | (1,172,454 | ) | ||||||||||||||||||||
Gross unrealized gains | 284,631 | 563,093 | ||||||||||||||||||||||
Gross unrealized losses | (467,003 | ) | (39,368 | ) | ||||||||||||||||||||
Fair value | 18,811,679 | 18,470,563 | ||||||||||||||||||||||
The following table summarizes certain characteristics of the Company’s investment portfolio, at fair value, according to estimated weighted average life classifications as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||
$ in thousands | 30-Sep-13 | 31-Dec-12 | ||||||||||||||||||||||
Less than one year | 28,125 | 70,044 | ||||||||||||||||||||||
Greater than one year and less than five years | 5,625,403 | 13,146,577 | ||||||||||||||||||||||
Greater than or equal to five years | 13,158,151 | 5,253,942 | ||||||||||||||||||||||
Total | 18,811,679 | 18,470,563 | ||||||||||||||||||||||
The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS by length of time that such securities have been in a continuous unrealized loss position at September 30, 2013 and December 31, 2012, respectively: | ||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||
$ in thousands | Fair Value | Unrealized | Fair Value | Unrealized | Fair Value | Unrealized | ||||||||||||||||||
Losses | Losses | Losses | ||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||
15 year fixed-rate | 155,656 | (3,048 | ) | 11,583 | (319 | ) | 167,239 | (3,367 | ) | |||||||||||||||
30 year fixed-rate | 6,274,314 | (308,170 | ) | 79,392 | (1,300 | ) | 6,353,706 | (309,470 | ) | |||||||||||||||
ARM | 34,431 | (449 | ) | — | — | 34,431 | (449 | ) | ||||||||||||||||
Hybrid ARM | 381,312 | (2,818 | ) | — | — | 381,312 | (2,818 | ) | ||||||||||||||||
Total Agency pass-through | 6,845,713 | (314,485 | ) | 90,975 | (1,619 | ) | 6,936,688 | (316,104 | ) | |||||||||||||||
Agency-CMO | 228,820 | (11,884 | ) | 12,810 | (4,263 | ) | 241,630 | (16,147 | ) | |||||||||||||||
Non-Agency RMBS | 1,434,914 | (58,969 | ) | 379,751 | (9,708 | ) | 1,814,665 | (68,677 | ) | |||||||||||||||
CMBS | 1,127,151 | (66,075 | ) | — | — | 1,127,151 | (66,075 | ) | ||||||||||||||||
Total | 9,636,598 | (451,413 | ) | 483,536 | (15,590 | ) | 10,120,134 | (467,003 | ) | |||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||
$ in thousands | Fair Value | Unrealized | Fair Value | Unrealized | Fair Value | Unrealized | ||||||||||||||||||
Losses | Losses | Losses | ||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||
15 year fixed-rate | 31,269 | (279 | ) | — | — | 31,269 | (279 | ) | ||||||||||||||||
30 year fixed-rate | 1,763,113 | (6,469 | ) | 78,640 | (832 | ) | 1,841,753 | (7,301 | ) | |||||||||||||||
Total Agency pass-through | 1,794,382 | (6,748 | ) | 78,640 | (832 | ) | 1,873,022 | (7,580 | ) | |||||||||||||||
Agency-CMO | 31,719 | (7,796 | ) | 10,770 | (2,812 | ) | 42,489 | (10,608 | ) | |||||||||||||||
Non-Agency RMBS | 516,744 | (6,005 | ) | 490,503 | (12,895 | ) | 1,007,247 | (18,900 | ) | |||||||||||||||
CMBS | 187,349 | (1,267 | ) | 52,813 | (1,013 | ) | 240,162 | (2,280 | ) | |||||||||||||||
Total | 2,530,194 | (21,816 | ) | 632,726 | (17,552 | ) | 3,162,920 | (39,368 | ) | |||||||||||||||
Gross unrealized losses on the Company’s Agency RMBS were $316.1 million at September 30, 2013. Due to the inherent credit quality of Agency RMBS, the Company determined that at September 30, 2013, any unrealized losses on its Agency RMBS portfolio are temporary. | ||||||||||||||||||||||||
Gross unrealized losses on the Company’s MBS-CMO, non-Agency RMBS, and CMBS were $150.9 million at September 30, 2013. The Company does not consider these unrealized losses to be credit related, but rather due to non-credit related factors such as interest rate spreads, prepayment speeds, and market fluctuations. These investment securities are included in the Company’s assessment for other-than-temporary impairment on at least a quarterly basis. | ||||||||||||||||||||||||
The following table presents the impact of the Company’s MBS on its accumulated other comprehensive income for the three and nine months ended September 30, 2013 and 2012. | ||||||||||||||||||||||||
$ in thousands | Three Months | Three Months | Nine Months | Nine Months | ||||||||||||||||||||
ended | ended | ended | ended | |||||||||||||||||||||
September 30, 2013 | September 30, 2012 | September 30, 2013 | September 30, 2012 | |||||||||||||||||||||
Accumulated other comprehensive income from investment securities: | ||||||||||||||||||||||||
Unrealized gain on MBS at beginning of period | (257,402 | ) | 268,269 | 523,725 | (1,217 | ) | ||||||||||||||||||
Unrealized gain (loss) on MBS, net | 75,030 | 316,823 | (706,097 | ) | 586,309 | |||||||||||||||||||
Balance at the end of period | (182,372 | ) | 585,092 | (182,372 | ) | 585,092 | ||||||||||||||||||
During the three months ended September 30, 2013 and 2012, the Company reclassified $85.8 million of net unrealized losses and $5.8 million of net unrealized gains, respectively from other comprehensive income into gain (loss) on sale of investments as a result of the Company selling certain investments. | ||||||||||||||||||||||||
During the nine months ended September 30, 2013 and 2012, the Company reclassified $140.2 million of net unrealized losses and $17.4 million of net unrealized gains, respectively from other comprehensive income into gain on sale of investments as a result of the Company selling certain investments. | ||||||||||||||||||||||||
The Company assesses its investment securities for other-than-temporary impairment on at least a quarterly basis and more frequently when economic or market conditions warrant such evaluation. When the fair value of an investment is less than its amortized cost at the balance sheet date of the reporting period for which impairment is assessed, the impairment is designated as either “temporary” or “other-than-temporary.” The Company evaluates each security that has had a fair value less than amortized cost for three or more consecutive months for other-than-temporary impairment. This analysis includes evaluating the individual loans in each security to determine estimated future cash flows. Individual loan characteristics reviewed include, but are not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. To the extent a security is deemed impaired, the amount by which the amortized cost exceeds the security's market value would be considered other-than-temporary impairment. | ||||||||||||||||||||||||
The Company did not have other-than-temporary impairments for the three and nine months ended September 30, 2013 and 2012. | ||||||||||||||||||||||||
The following table presents components of interest income on the Company’s MBS portfolio for the three and nine months ended September 30, 2013 and 2012. | ||||||||||||||||||||||||
For the three months ended September 30, 2013 | ||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | |||||||||||||||||||||
Interest | Amortization)/Discount | Income | ||||||||||||||||||||||
Accretion | ||||||||||||||||||||||||
Agency | 126,685 | (40,578 | ) | 86,107 | ||||||||||||||||||||
Non-Agency | 39,479 | 2,895 | 42,374 | |||||||||||||||||||||
CMBS | 39,167 | (10,050 | ) | 29,117 | ||||||||||||||||||||
Other | (59 | ) | — | (59 | ) | |||||||||||||||||||
Totals | 205,272 | (47,733 | ) | 157,539 | ||||||||||||||||||||
For the nine months ended September 30, 2013 | ||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | |||||||||||||||||||||
Interest | Amortization)/Discount | Income | ||||||||||||||||||||||
Accretion | ||||||||||||||||||||||||
Agency | 412,945 | (132,648 | ) | 280,297 | ||||||||||||||||||||
Non-Agency | 117,215 | 6,038 | 123,253 | |||||||||||||||||||||
CMBS | 101,487 | (18,502 | ) | 82,985 | ||||||||||||||||||||
Other | 84 | — | 84 | |||||||||||||||||||||
Totals | 631,731 | (145,112 | ) | 486,619 | ||||||||||||||||||||
For the three months ended September 30, 2012 | ||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | |||||||||||||||||||||
Interest | Amortization)/Discount | Income | ||||||||||||||||||||||
Accretion | ||||||||||||||||||||||||
Agency | 132,520 | (42,479 | ) | 90,041 | ||||||||||||||||||||
Non-Agency | 26,477 | 4,149 | 30,626 | |||||||||||||||||||||
CMBS | 20,330 | (477 | ) | 19,853 | ||||||||||||||||||||
Other | (43 | ) | — | (43 | ) | |||||||||||||||||||
Totals | 179,284 | (38,807 | ) | 140,477 | ||||||||||||||||||||
For the nine months ended September 30, 2012 | ||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | |||||||||||||||||||||
Interest | Amortization)/Discount | Income | ||||||||||||||||||||||
Accretion | ||||||||||||||||||||||||
Agency | 382,226 | (109,717 | ) | 272,509 | ||||||||||||||||||||
Non-Agency | 79,903 | 15,204 | 95,107 | |||||||||||||||||||||
CMBS | 54,146 | (209 | ) | 53,937 | ||||||||||||||||||||
Other | (111 | ) | — | (111 | ) | |||||||||||||||||||
Totals | 516,164 | (94,722 | ) | 421,442 | ||||||||||||||||||||
Residential_Loans_HeldforInves
Residential Loans Held-for-Investment | 9 Months Ended | |||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||
Mortgage Loans on Real Estate [Abstract] | ' | |||||||||||||||||
Residential Loans Held-for-Investment | ' | |||||||||||||||||
Note 5 – Residential Loans Held-for-Investment | ||||||||||||||||||
The following table details the carrying value for residential loans held-for-investment at September 30, 2013 and December 31, 2012. These loans are held by the VIEs which the Company consolidates. | ||||||||||||||||||
$ in thousands | 30-Sep-13 | 31-Dec-12 | ||||||||||||||||
Principal balance | 1,498,726 | — | ||||||||||||||||
Unamortized premium, net | 34,414 | — | ||||||||||||||||
Recorded investment | 1,533,140 | — | ||||||||||||||||
Allowance for loan losses | (751 | ) | — | |||||||||||||||
Carrying value | 1,532,389 | — | ||||||||||||||||
We consider a number of factors when evaluating the credit risks associated with our residential loans held-for-investment portfolio, including but not limited to year of origination, delinquency status and geographic concentration. | ||||||||||||||||||
The following table displays certain characteristics of the Company's residential loans held-for-investment at September 30, 2013 by year of origination. | ||||||||||||||||||
$ in thousands | 2013 | 2012 | 2011 | 2010 | 2009 | Total | ||||||||||||
Portfolio Characteristics: | ||||||||||||||||||
Number of Loans | 1,299 | 600 | — | — | 5 | 1,904 | ||||||||||||
Current Principal Balance | 992,778 | 503,747 | — | — | 2,201 | 1,498,726 | ||||||||||||
Net Weighted Average Coupon Rate | 3.48 | % | 3.5 | % | — | — | 3.54 | % | 3.49 | % | ||||||||
Weighted Average Maturity (years) | 29.52 | 29.28 | — | — | 25.81 | 29.43 | ||||||||||||
Current Performance: | ||||||||||||||||||
Current | 991,339 | 502,918 | — | — | 2,201 | 1,496,458 | ||||||||||||
30 Day Delinquent | 1,439 | 829 | — | — | — | 2,268 | ||||||||||||
60 Days Delinquent | — | — | — | — | — | — | ||||||||||||
90+ Days Delinquent | — | — | — | — | — | — | ||||||||||||
Bankruptcy/Foreclosure | — | — | — | — | — | — | ||||||||||||
Total | 992,778 | 503,747 | — | — | 2,201 | 1,498,726 | ||||||||||||
The following table presents the five largest geographic concentrations of the Company’s residential loans at September 30, 2013 based on principal balance outstanding: | ||||||||||||||||||
State | Percent | |||||||||||||||||
California | 49.9 | % | ||||||||||||||||
Illinois | 5.9 | % | ||||||||||||||||
Massachusetts | 5.7 | % | ||||||||||||||||
Virginia | 4.3 | % | ||||||||||||||||
Maryland | 4.2 | % | ||||||||||||||||
Other states (none greater than 4%) | 30 | % | ||||||||||||||||
Total | 100 | % | ||||||||||||||||
The following table presents future minimum annual principal payments under the residential loans held-for-investment at September 30, 2013: | ||||||||||||||||||
$ in thousands | ||||||||||||||||||
Scheduled Principal | 30-Sep-13 | |||||||||||||||||
Within one year | 27,331 | |||||||||||||||||
One to three years | 57,835 | |||||||||||||||||
Three to five years | 62,340 | |||||||||||||||||
Greater than or equal to five years | 1,351,220 | |||||||||||||||||
Total | 1,498,726 | |||||||||||||||||
Allowance for Loan Losses on Residential Loans | ||||||||||||||||||
For residential loans held-for-investment, the Company establishes an allowance for loan losses. The following table summarizes the activity in the allowance for loan losses for the nine months ended September 30, 2013: | ||||||||||||||||||
$ in thousands | 30-Sep-13 | |||||||||||||||||
Balance at beginning of period | — | |||||||||||||||||
Charge-offs, net | — | |||||||||||||||||
Provision for loan losses | 751 | |||||||||||||||||
Balance at end of period | 751 | |||||||||||||||||
During the quarter ended September 30, 2013 there were no charge-offs of residential loans. |
Commercial_Loans_HeldforInvest
Commercial Loans Held-for-Investment | 9 Months Ended |
Sep. 30, 2013 | |
Receivables [Abstract] | ' |
Commercial Loans Held-for-Investment | ' |
Note 6 – Commercial Loans Held-for-Investment | |
Commercial loans held-for-investment includes mezzanine loans originated by the Company. These loans are secured by the borrower’s ownership interest in a single purpose entity that owns commercial property, rather than a lien on the commercial property. As of September 30, 2013, the Company had one outstanding commercial loan which was newly originated and was not delinquent on payment. The loan was not impaired and no allowance for loan loss has been recorded. |
Investments_in_Unconsolidated_
Investments in Unconsolidated Ventures | 9 Months Ended |
Sep. 30, 2013 | |
Equity Method Investments and Joint Ventures [Abstract] | ' |
Investments in Unconsolidated Ventures | ' |
Note 7 – Investments in Unconsolidated Ventures | |
The Company’s non-controlling, unconsolidated ownership interests in the following entities are accounted for under the equity method. Capital contributions, distributions, profits and losses of the entities are allocated in accordance with the terms of the entities’ operating agreements. Such allocations may differ from the stated percentage interests, if any, as a result of preferred returns and allocation formulas as described in such agreements. The Company has made the fair value election for its investments in all unconsolidated ventures. The fair value measurement for the investments in unconsolidated ventures is based on the net asset value per share of the investment, or its equivalent. | |
Invesco Mortgage Recovery Feeder Fund, L.P. and Invesco Mortgage Recovery Loans AIV, L.P. | |
The Company invested in certain non-Agency RMBS, CMBS and residential and commercial mortgage loans by contributing equity capital to the Invesco Mortgage Recovery Feeder Fund L.P. managed by the Company’s Manager (“Invesco IMRF Fund”) that received financing under the U.S. government’s Public Private Investment Program (“PPIP”). In March 2012, Invesco IMRF Fund returned substantially all of its proceeds and repaid all financing under the PPIP. The Company is awaiting final distribution from the Invesco IMRF Fund. In addition, the Manager identified a whole loan transaction for the Company, which resulted in the Company’s admission into an alternative investment vehicle, the Invesco Mortgage Recovery Loans AIV, L.P. (“AIV”). The Company has a commitment to invest up to $100.0 million in the Invesco IMRF Fund and AIV. As of September 30, 2013, $87.7 million of the Company's commitment has been called, and the Company is committed to fund $12.3 million in additional capital. The Company realized approximately $378,000 (2012: $1.4 million) and $1.3 million (2012: $2.1 million) of equity in earnings for the three and nine months ended September 30, 2013 related to these investments. The Company also had an unrealized gain of $250,000 (2012: $464,000 loss) and an unrealized gain of $1.7 million (2012: $774,000 gain) from these investments for the three and nine months ended September 30, 2013, respectively. | |
IMRF Loan Portfolio Member LLC | |
On September 30, 2011, the Company invested in a portfolio of commercial mortgage loans by contributing $16.9 million, net of distributions, of equity capital to IMRF Loan Portfolio Member LLC (“IMRF LLC”), a limited liability company managed by AIV. The Company has fully funded its commitment to IMRF LLC. The Company realized approximately $956,000 (2012: $2.5 million) and $1.0 million (2012: $3.2 million) of equity in earnings for the three and nine months ended September 30, 2013, respectively. The Company also had $163,000 (2012: $191,000) of unrealized depreciation and $1.1 million (2012: $116,000) of unrealized appreciation from these investments for the three and nine months ended September 30, 2013, respectively. |
Borrowings
Borrowings | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Debt Disclosure [Abstract] | ' | |||||||||||||||
Borrowings | ' | |||||||||||||||
Note 8 – Borrowings | ||||||||||||||||
The Company has entered into repurchase agreements and issued exchangeable senior notes to finance the majority of its portfolio of investments. The following table summarizes certain characteristics of the Company’s borrowings as of September 30, 2013 and December 31, 2012: | ||||||||||||||||
$ in thousands | 30-Sep-13 | 31-Dec-12 | ||||||||||||||
Weighted | Weighted | |||||||||||||||
Weighted | Average | Weighted | Average | |||||||||||||
Average | Remaining | Average | Remaining | |||||||||||||
Amount | Interest | Maturity | Amount | Interest | Maturity | |||||||||||
Outstanding | Rate | (days) | Outstanding | Rate | (days) | |||||||||||
Agency RMBS | 10,958,730 | 0.37 | % | 18 | 11,713,565 | 0.48 | % | 16 | ||||||||
Non-Agency RMBS | 2,995,413 | 1.55 | % | 33 | 2,450,960 | 1.75 | % | 23 | ||||||||
CMBS | 1,943,469 | 1.42 | % | 21 | 1,555,935 | 1.51 | % | 18 | ||||||||
Exchangeable Senior Notes | 400,000 | 5 | % | 1627 | — | — | % | 0 | ||||||||
Total | 16,297,612 | 0.83 | % | 60 | 15,720,460 | 0.78 | % | 17 | ||||||||
Repurchase Agreements | ||||||||||||||||
The repurchase agreements bear interest at a contractually agreed rate. The repurchase obligations mature and typically reinvest every thirty days to one year. Repurchase agreements are being accounted for as secured borrowings since the Company maintains effective control of the financed assets. Under the repurchase agreements, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral or fund margin calls. In addition, the repurchase agreements are subject to certain financial covenants. The Company was in compliance with these covenants at September 30, 2013. | ||||||||||||||||
The following tables summarize certain characteristics of the Company’s repurchase agreements at September 30, 2013 and December 31, 2012: | ||||||||||||||||
30-Sep-13 | Percent of Total | |||||||||||||||
$ in thousands | Amount | Amount | Company MBS | |||||||||||||
Repurchase Agreement Counterparties | Outstanding | Outstanding | Held as Collateral | |||||||||||||
Credit Suisse Securities (USA) LLC | 1,701,184 | 10.8 | % | 1,999,024 | ||||||||||||
Citigroup Global Markets Inc. | 1,260,176 | 7.9 | % | 1,413,843 | ||||||||||||
Banc of America Securities LLC | 1,195,313 | 7.5 | % | 1,324,343 | ||||||||||||
South Street Securities LLC | 1,167,095 | 7.3 | % | 1,224,850 | ||||||||||||
Wells Fargo Securities, LLC | 1,094,712 | 6.9 | % | 1,263,712 | ||||||||||||
Morgan Stanley & Co. Incorporated | 990,095 | 6.2 | % | 1,080,265 | ||||||||||||
Pierpont Securities LLC | 841,971 | 5.3 | % | 892,038 | ||||||||||||
JP Morgan Securities Inc. | 830,199 | 5.2 | % | 967,291 | ||||||||||||
RBS Securities Inc. | 805,749 | 5.1 | % | 931,688 | ||||||||||||
ING Financial Market LLC | 683,975 | 4.3 | % | 736,322 | ||||||||||||
Nomura Securities International, Inc. | 591,925 | 3.7 | % | 624,060 | ||||||||||||
HSBC Securities (USA) Inc | 519,350 | 3.3 | % | 537,185 | ||||||||||||
Industrial and Commercial Bank of China Financial Services LLC | 511,155 | 3.2 | % | 540,954 | ||||||||||||
Mitsubishi UFJ Securities (USA), Inc. | 489,904 | 3.1 | % | 522,000 | ||||||||||||
Goldman, Sachs & Co. | 482,523 | 3 | % | 516,843 | ||||||||||||
Scotia Capital | 452,067 | 2.8 | % | 476,569 | ||||||||||||
Royal Bank of Canada | 437,539 | 2.8 | % | 489,352 | ||||||||||||
Daiwa Capital Markets America Inc | 411,106 | 2.6 | % | 424,867 | ||||||||||||
Deutsche Bank Securities Inc. | 406,303 | 2.6 | % | 463,227 | ||||||||||||
BNP Paribas Securities Corp. | 368,794 | 2.3 | % | 392,547 | ||||||||||||
KGS-Alpha Capital Markets, L.P. | 168,750 | 1.1 | % | 180,511 | ||||||||||||
Barclays Capital Inc. | 163,548 | 1 | % | 174,961 | ||||||||||||
TD Securities | 151,918 | 1 | % | 165,137 | ||||||||||||
Cantor Fitzgerald & Co. | 70,332 | 0.4 | % | 74,077 | ||||||||||||
Mizuho Securities USA Inc. | 68,179 | 0.4 | % | 80,734 | ||||||||||||
Guggenheim Liquidity Services, LLC | 33,750 | 0.2 | % | 35,599 | ||||||||||||
Total | 15,897,612 | 100 | % | 17,531,999 | ||||||||||||
31-Dec-12 | Percent of Total | |||||||||||||||
$ in thousands | Amount | Amount | Company MBS | |||||||||||||
Repurchase Agreement Counterparties | Outstanding | Outstanding | Held as Collateral | |||||||||||||
Credit Suisse Securities (USA) LLC | 1,600,331 | 10.2 | % | 1,919,676 | ||||||||||||
Morgan Stanley & Co. Incorporated | 1,275,616 | 8.1 | % | 1,397,846 | ||||||||||||
Nomura Securities International, Inc. | 1,240,231 | 7.9 | % | 1,350,901 | ||||||||||||
Mitsubishi UFJ Securities (USA), Inc. | 941,671 | 6 | % | 990,057 | ||||||||||||
Wells Fargo Securities, LLC | 941,556 | 6 | % | 1,079,194 | ||||||||||||
HSBC Securities (USA) Inc | 883,726 | 5.6 | % | 918,551 | ||||||||||||
South Street Securities LLC | 819,524 | 5.2 | % | 871,963 | ||||||||||||
CitiGroup Global Markets Inc. | 780,020 | 5 | % | 882,517 | ||||||||||||
Banc of America Securities LLC | 728,609 | 4.6 | % | 838,216 | ||||||||||||
Scotia Capital | 708,750 | 4.5 | % | 744,692 | ||||||||||||
Industrial and Commercial Bank of China Financial Services LLC | 634,928 | 4 | % | 690,783 | ||||||||||||
Deutsche Bank Securities Inc. | 587,919 | 3.7 | % | 666,472 | ||||||||||||
ING Financial Market LLC | 573,116 | 3.6 | % | 622,944 | ||||||||||||
JP Morgan Securities Inc. | 561,426 | 3.6 | % | 697,602 | ||||||||||||
Royal Bank of Canada | 560,828 | 3.6 | % | 641,079 | ||||||||||||
BNP Paribas Securities Corp. | 488,375 | 3.1 | % | 516,770 | ||||||||||||
Goldman, Sachs & Co. | 468,806 | 3 | % | 509,660 | ||||||||||||
Daiwa Capital Markets America Inc | 456,098 | 2.9 | % | 479,354 | ||||||||||||
Pierpont Securities LLC | 437,095 | 2.8 | % | 463,466 | ||||||||||||
Barclays Capital Inc. | 350,688 | 2.3 | % | 372,708 | ||||||||||||
RBS Securities Inc. | 348,741 | 2.2 | % | 427,183 | ||||||||||||
Mizuho Securities USA Inc. | 101,962 | 0.6 | % | 122,836 | ||||||||||||
Cantor Fitzgerald & Co. | 80,466 | 0.5 | % | 86,961 | ||||||||||||
KGS-Alpha Capital Markets, L.P. | 79,052 | 0.5 | % | 86,241 | ||||||||||||
Guggenheim Liquidity Services, LLC | 43,245 | 0.3 | % | 45,437 | ||||||||||||
TD Securities | 27,681 | 0.2 | % | 33,129 | ||||||||||||
Total | 15,720,460 | 100 | % | 17,456,238 | ||||||||||||
Company MBS held by counterparties as security for repurchase agreements was $17.5 billion and $17.5 billion at September 30, 2013 and December 31, 2012, respectively. This represents a collateral ratio (Company MBS Held as Collateral/Amount Outstanding) of 110% and 111% respectively. | ||||||||||||||||
No cash collateral was held by the counterparties at September 30, 2013 and December 31, 2012. | ||||||||||||||||
Asset-Backed Securities Issued | ||||||||||||||||
During the nine months ended September 30, 2013, the Company purchased controlling interests in four securitization trusts (none during the quarter ended September 30, 2013) which it determined to be VIEs. The securitization trusts securitized residential mortgage loans with an aggregate principal balance of $1.5 billion, and issued $1.5 billion aggregate principal amount of ABS, of which $1.4 billion were sold to unaffiliated third parties and the balance was purchased by the Company. The Company subsequently sold $5.8 million of the original principal balance to a third party. As a result, the ABS issued by the securitization trusts is recorded as a non-recourse liability in the Company’s consolidated balance sheets. During the nine months ended September 30, 2013, ABS held by unaffiliated third parties was paid down by $27.8 million. | ||||||||||||||||
The carrying value of the ABS is based on its amortized cost, which is equal to the remaining principal balance net of unamortized premiums or discounts. The following table provides summary information of the carrying value of the ABS issued, along with other relevant information, at September 30, 2013. | ||||||||||||||||
ABS | Residential loans | |||||||||||||||
$ in thousands | Outstanding | Held as Collateral | ||||||||||||||
Principal balance | 1,392,952 | 1,498,726 | ||||||||||||||
Interest-only securities | 11,412 | — | ||||||||||||||
Unamortized premium | 10,354 | 34,414 | ||||||||||||||
Unamortized discount | (2,821 | ) | — | |||||||||||||
Loan loss reserve | — | (751 | ) | |||||||||||||
Carrying value | 1,411,897 | 1,532,389 | ||||||||||||||
Range of weighted average interest rates | 2.8% - 3.3% | |||||||||||||||
Number of series | 4 | |||||||||||||||
The following table presents the estimated principal repayment schedule of the VIE’s ABS at September 30, 2013, based on estimated cash flows of the residential mortgage loans, as adjusted for projected losses on such loans. | ||||||||||||||||
$ in thousands | ||||||||||||||||
Estimated principal repayment | 30-Sep-13 | |||||||||||||||
Within One Year | 172,695 | |||||||||||||||
One to Three Years | 290,454 | |||||||||||||||
Three to Five Years | 227,926 | |||||||||||||||
Greater Than or Equal to Five Years | 701,877 | |||||||||||||||
Total | 1,392,952 | |||||||||||||||
The maturity of the VIEs' ABS is dependent upon cash flows received from the underlying residential mortgage loans. The estimated principal repayments may differ from actual amounts to the extent prepayments and/or loan losses vary. See Note 5 “Residential Loans Held-for-Investment” for a more detailed discussion of the residential loans collateralizing the VIEs' ABS. | ||||||||||||||||
Exchangeable Senior Notes | ||||||||||||||||
In the first quarter of 2013, a wholly-owned subsidiary of the Company issued $400.0 million in aggregate principal amount of Exchangeable Senior Notes (the “Notes”) due 2018. The total net proceeds to the Company after deducting financing expenses was $387.9 million. | ||||||||||||||||
The terms of the Notes are governed by an indenture (the “Indenture”) by and among the wholly-owned subsidiary, as issuer, the Company, as guarantor, and The Bank of New York Mellon Trust Company, N.A., as trustee (the “Trustee”). The Notes bear interest at 5.00% per annum, payable semi-annually in arrears on March 15 and September 15 of each year, beginning September 15, 2013. The Notes may be exchanged for shares of the Company’s common stock at the applicable exchange rate at any time prior to the close of business on the second scheduled trading day prior to the maturity date. The initial exchange rate for each $1,000 aggregate principal amount of the Notes is 42.0893 shares of the Company’s common stock, equivalent to an exchange price of approximately $23.76 per share, and the maximum exchange rate is 48.4027 shares of the Company's common stock, equivalent to an exchange price of approximately $20.66 per share. The initial and maximum exchange rates of the Notes are subject to adjustment in certain events. The Notes have not been registered under the Securities Act of 1933. Pursuant to the registration rights agreement between the Company and the initial purchasers of the Notes, the Company filed a prospectus supplement in August 2013 registering for resale 605,034 shares of common stock issuable upon exchange of the Notes. The Company may be required to register additional shares of common stock issuable upon exchange of the Notes from time to time at the request of holders as required by the registration rights agreement. Accrued interest payable on the Notes is approximately $889,000 as of September 30, 2013. |
Derivatives_and_Hedging_Activi
Derivatives and Hedging Activities | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||||||
Derivatives and Hedging Activities | ' | ||||||||||||||||||||
Note 9 – Derivatives and Hedging Activities | |||||||||||||||||||||
Risk Management Objective of Using Derivatives | |||||||||||||||||||||
The Company is exposed to certain risks arising from both its business operations and economic conditions. The Company principally manages its exposures to a wide variety of business and operational risks through management of its core business activities. The Company manages economic risks, including interest rate, liquidity, and credit risk primarily by managing the amount, sources, and duration of its investments, debt funding, and the use of derivative financial instruments. Specifically, the Company enters into derivative financial instruments to manage exposures that arise from business activities that result in the receipt or payment of future known and uncertain cash amounts, the value of which are determined by interest rates. The Company’s derivative financial instruments are used to manage differences in the amount, timing, and duration of the Company’s known or expected cash receipts and its known or expected cash payments principally related to the Company’s investments and borrowings. | |||||||||||||||||||||
The Company also utilizes credit derivatives such as credit default swaps (“CDS”) to provide credit event protection based on a financial index or specific security in exchange for receiving a fixed-rate fee or premium over the term of the contract. These instruments enable the Company to synthetically assume the credit risk of a reference security, portfolio of securities or index of securities. The counterparty pays a premium to the Company and the Company agrees to make a payment to compensate the counterparty for losses upon the occurrence of a specified credit event. Although contract specific, credit events generally include bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the CDS’s notional amount is recorded as a realized loss in the statement of operations. | |||||||||||||||||||||
The Company's only CDS contract was entered into in the fourth quarter of 2010. The Company sold protection against losses on a specific pool of non-Agency RMBS in the event they exceed a specified loss limit of 25% of the balance of the non-Agency RMBS on the trade date. The maximum exposure is the remaining unpaid principal balance of the underlying RMBS in excess of the specified loss threshold. In exchange, we are paid a stated fixed rate fee of 3% of the notional amount of the CDS. The remaining notional amount of the CDS at September 30, 2013 was $57.5 million ($79.8 million at December 31, 2012), and we estimated the fair market value of the CDS to be approximately $776,000 at September 30, 2013 ($1.5 million at December 31, 2012). As of September 30, 2013, the Company has not made any payments related to the CDS contract. | |||||||||||||||||||||
At September 30, 2013 and December 31, 2012, the open CDS sold by the Company is summarized as follows: | |||||||||||||||||||||
$ in thousand | 30-Sep-13 | 31-Dec-12 | |||||||||||||||||||
Fair value amount | 776 | 1,519 | |||||||||||||||||||
Notional amount | 57,450 | 79,806 | |||||||||||||||||||
Maximum potential amount of future undiscounted payments | 57,450 | 79,806 | |||||||||||||||||||
Recourse provisions with third parties | — | — | |||||||||||||||||||
Collateral held by counterparty | 8,933 | 12,371 | |||||||||||||||||||
Cash Flow Hedges of Interest Rate Risk | |||||||||||||||||||||
The Company has purchased interest rate swaptions to help mitigate the potential impact of increases or decreases in interest rates on the performance of a portion of the Company’s investment portfolio (referred to as “convexity risk”). The interest rate swaptions provide the Company the option to enter into interest rate swap agreements for a predetermined notional amount, stated term and pay and receive interest rates in the future. The premium paid for interest rate swaptions is reported as an asset in the Company’s consolidated balance sheets. The premium is valued at an amount equal to the fair value of the swaption that would have the effect of closing the position adjusted for nonperformance risk, if any. The difference between the premium and the fair value of the swaption is reported in unrealized gain (loss) on interest rate swaps and swaptions, net in the Company’s Consolidated Statements of Operations. If a swaption expires unexercised, the loss on the swaption would be equal to the premium paid. If we sell or exercise a swaption, the realized gain or loss on the swaption would be equal to the difference between the cash or the fair value of the underlying interest rate swap received and the premium paid. The Company sold swaptions during the three and nine months ended September 30, 2013, realizing a net gain of $39.0 million and $66.2 million, respectively. For the three and nine months ended September 30, 2013, the Company had $42.9 million and $19.0 million of unrealized loss, respectively, which represents the change in fair value of our interest rate swaptions that are recognized directly in earnings. | |||||||||||||||||||||
As of September 30, 2013, the company had the following outstanding interest rate swaptions: | |||||||||||||||||||||
$ in thousands | Option | Underlying Swap | |||||||||||||||||||
Average | Average | Average | Average | ||||||||||||||||||
Fair | Months to | Notional | Fixed Pay | Receive | Term | ||||||||||||||||
Swaptions | Expiration | Cost | Value | Expiration | Amount | Rate | rate | (Years) | |||||||||||||
Payer | < 6 Months | 25,030 | 6,684 | 3.1 | 1,300,000 | 3.32 | % | 3M Libor | 10 | ||||||||||||
Payer | > 6 Months | 8,200 | 3,651 | 7.58 | 400,000 | 3.76 | % | 3M Libor | 10 | ||||||||||||
33,230 | 10,335 | 4.15 | 1,700,000 | 3.42 | % | 10 | |||||||||||||||
The following table presents information with respect to our derivative instruments: | |||||||||||||||||||||
$ in thousands | Notional Amount as | Additions | Settlement, | Notional Amount as | Amount of Realized | ||||||||||||||||
of January 1, 2013 | Termination, | of September 30, 2013 | Gain, net on Interest | ||||||||||||||||||
Expiration | Rate Derivative | ||||||||||||||||||||
or Exercise | Instruments | ||||||||||||||||||||
Swaption Contracts | 850,000 | 4,450,000 | (3,600,000 | ) | 1,700,000 | 66,234 | |||||||||||||||
Interest Rate Swap | 8,000,000 | 5,100,000 | (300,000 | ) | 12,800,000 | — | |||||||||||||||
U.S. Treasury Futures Contracts | — | 100,000 | — | 100,000 | — | ||||||||||||||||
Total | 8,850,000 | 9,650,000 | (3,900,000 | ) | 14,600,000 | 66,234 | |||||||||||||||
The Company finances its activities primarily through repurchase agreements, which are usually settled on a short-term basis, usually from one to twelve months. At each settlement date, the Company refinances each repurchase agreement at the market interest rate at that time. Since the interest rate on its repurchase agreements change on a one to twelve month basis, the Company is exposed to changing interest rates. The Company’s objectives in using interest rate derivatives are to add stability to interest expense and to manage its exposure to interest rate movements. To accomplish this objective, the Company primarily uses interest rate swaps as part of its interest rate risk management strategy. Interest rate swaps, designated as cash flow hedges, involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the agreements without exchange of the underlying notional amount. | |||||||||||||||||||||
During the three months ended September 30, 2013, the Company recorded $298,000 of unrealized swap gains (2012: $319,000 of unrealized swap losses) in earnings as hedge ineffectiveness attributable primarily to differences in the reset dates on the Company’s swaps versus the refinancing dates of certain of its repurchase agreements. | |||||||||||||||||||||
During the nine months ended September 30, 2013, the Company recorded $591,000 of unrealized swap gains (2012: $832,000 of unrealized swap losses) in earnings as hedge ineffectiveness attributable primarily to differences in the reset dates on the Company’s swaps versus the refinancing dates of certain of its repurchase agreements. | |||||||||||||||||||||
Amounts reported in accumulated other comprehensive income related to derivatives will be reclassified to interest expense as interest is accrued and paid on the Company’s repurchase agreements. During the next twelve months, the Company estimates that an additional $197.6 million will be reclassified as an increase to interest expense. | |||||||||||||||||||||
The Company is hedging its exposure to the variability in future cash flows for forecasted transactions over a maximum period of 123 months. | |||||||||||||||||||||
As of September 30, 2013, the Company had the following interest rate derivatives outstanding, which were designated as cash flow hedges of interest rate risk: | |||||||||||||||||||||
$ in thousands | Notional | Maturity Date | Fixed Interest Rate | ||||||||||||||||||
Counterparty | in Contract | ||||||||||||||||||||
SunTrust Bank | 100,000 | 7/15/14 | 2.79 | % | |||||||||||||||||
Deutsche Bank AG | 200,000 | 1/15/15 | 1.08 | % | |||||||||||||||||
Deutsche Bank AG | 250,000 | 2/15/15 | 1.14 | % | |||||||||||||||||
Credit Suisse International | 100,000 | 2/24/15 | 3.26 | % | |||||||||||||||||
Credit Suisse International | 100,000 | 3/24/15 | 2.76 | % | |||||||||||||||||
Wells Fargo Bank, N.A. | 100,000 | 7/15/15 | 2.85 | % | |||||||||||||||||
Wells Fargo Bank, N.A. | 50,000 | 7/15/15 | 2.44 | % | |||||||||||||||||
Morgan Stanley Capital Services, LLC | 300,000 | 1/24/16 | 2.12 | % | |||||||||||||||||
The Bank of New York Mellon | 300,000 | 1/24/16 | 2.13 | % | |||||||||||||||||
Morgan Stanley Capital Services, LLC | 300,000 | 4/5/16 | 2.48 | % | |||||||||||||||||
Citibank, N.A. | 300,000 | 4/15/16 | 1.67 | % | |||||||||||||||||
Credit Suisse International | 500,000 | 4/15/16 | 2.27 | % | |||||||||||||||||
The Bank of New York Mellon | 500,000 | 4/15/16 | 2.24 | % | |||||||||||||||||
JPMorgan Chase Bank, N.A. | 500,000 | 5/16/16 | 2.31 | % | |||||||||||||||||
Goldman Sachs Bank USA | 500,000 | 5/24/16 | 2.34 | % | |||||||||||||||||
Goldman Sachs Bank USA | 250,000 | 6/15/16 | 2.67 | % | |||||||||||||||||
Wells Fargo Bank, N.A. | 250,000 | 6/15/16 | 2.67 | % | |||||||||||||||||
JPMorgan Chase Bank, N.A. | 500,000 | 6/24/16 | 2.51 | % | |||||||||||||||||
Citibank, N.A. | 500,000 | 10/15/16 | 1.93 | % | |||||||||||||||||
Deutsche Bank AG | 150,000 | 2/5/18 | 2.9 | % | |||||||||||||||||
ING Capital Markets LLC | 350,000 | 2/24/18 | 0.95 | % | |||||||||||||||||
Morgan Stanley Capital Services, LLC | 100,000 | 4/5/18 | 3.1 | % | |||||||||||||||||
ING Capital Markets LLC | 300,000 | 5/5/18 | 0.79 | % | |||||||||||||||||
JPMorgan Chase Bank, N.A. | 200,000 | 5/15/18 | 2.93 | % | |||||||||||||||||
UBS AG | 500,000 | 5/24/18 | 1.1 | % | |||||||||||||||||
ING Capital Markets LLC | 400,000 | 6/5/18 | 0.87 | % | |||||||||||||||||
The Royal Bank of Scotland Plc | 500,000 | 9/5/18 | 1.04 | % | |||||||||||||||||
CME Clearing House | (5 | ) | (6) | 300,000 | 2/5/21 | 2.5 | % | ||||||||||||||
CME Clearing House | (5 | ) | (6) | 300,000 | 2/5/21 | 2.69 | % | ||||||||||||||
Wells Fargo Bank, N.A. | 200,000 | 3/15/21 | 3.14 | % | |||||||||||||||||
Citibank, N.A. | 200,000 | 5/25/21 | 2.83 | % | |||||||||||||||||
HSBC Bank USA, National Association | (3 | ) | 550,000 | 2/24/22 | 2.45 | % | |||||||||||||||
The Royal Bank of Scotland Plc | (4 | ) | 400,000 | 3/15/23 | 2.39 | % | |||||||||||||||
UBS AG | (4 | ) | 400,000 | 3/15/23 | 2.51 | % | |||||||||||||||
HSBC Bank USA, National Association | 250,000 | 6/5/23 | 1.91 | % | |||||||||||||||||
HSBC Bank USA, National Association | 250,000 | 7/5/23 | 1.97 | % | |||||||||||||||||
The Royal Bank of Scotland Plc | 500,000 | 8/15/23 | 1.98 | % | |||||||||||||||||
CME Clearing House | (6 | ) | 600,000 | 8/24/23 | 2.88 | % | |||||||||||||||
UBS AG | (1 | ) | 250,000 | 11/15/23 | 2.23 | % | |||||||||||||||
HSBC Bank USA, National Association | (2 | ) | 500,000 | 12/15/23 | 2.2 | % | |||||||||||||||
Total | 12,800,000 | 2.12 | % | ||||||||||||||||||
-1 | Forward start date of November 2013 | ||||||||||||||||||||
-2 | Forward start date of December 2013 | ||||||||||||||||||||
-3 | Forward start date of February 2015 | ||||||||||||||||||||
-4 | Forward start date of March 2015 | ||||||||||||||||||||
-5 | Forward start date of February 2016 | ||||||||||||||||||||
-6 | Beginning June 10, 2013, regulations promulgated under The Dodd-Frank Wall Street Reform and Consumer Protection Act mandate that the Company clear new interest rate swap transactions through a central counterparty. Transactions that are centrally cleared result in the Company facing a clearing house, rather than a swap dealer, as counterparty. Central clearing requires the Company to post collateral in the form of initial and variation margin to the clearing house which reduces default risk. | ||||||||||||||||||||
At September 30, 2013, the Company’s counterparties held $8.1 million of cash margin deposits and approximately $346.0 million in Agency RMBS as collateral against its swap, CDS and futures contracts. In addition, several counterparties posted securities of approximately $171.0 million and $21.0 million of cash as collateral with the Company. Cash margin posted by the Company is classified as due from counterparties, and cash margin posted by counterparties that are restricted in use, if any, is classified as restricted cash. The Agency RMBS collateral posted by the Company is included in the total mortgage-backed securities on the Company’s consolidated balance sheets. Cash collateral that is not restricted for use by the Company is included in Cash and cash equivalents and the liability to return the collateral is included in Collateral held payable on the consolidated balance sheets. Non-cash collateral posted by counterparties to the Company would be recognized if any counterparty defaults or if the Company sold the pledged collateral. As of September 30, 2013, the Company did not recognize any non-cash collateral held as collateral. | |||||||||||||||||||||
U.S. Treasury Futures Contracts | |||||||||||||||||||||
The Company purchases or sells short U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of the Company's portfolio. Unrealized gains and losses associated with the short sales of the U.S. Treasury futures contracts are recognized in Realized and unrealized gain (loss) on interest rate derivative instruments in the Company's Consolidated Statements of Operations. | |||||||||||||||||||||
Tabular Disclosure of the Effect of Derivative Instruments on the Consolidated Balance Sheets | |||||||||||||||||||||
The table below presents the fair value of the Company’s derivative financial instruments, as well as their classification on the consolidated balance sheets as of September 30, 2013 and December 31, 2012. | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Asset Derivatives | Liability Derivatives | ||||||||||||||||||||
As of September 30, 2013 | As of December 31, 2012 | As of September 30, 2013 | As of December 31, 2012 | ||||||||||||||||||
Balance | Fair Value | Balance | Fair Value | Balance | Fair Value | Balance | Fair Value | ||||||||||||||
Sheet | Sheet | Sheet | Sheet | ||||||||||||||||||
Interest rate swap asset | 177,398 | Interest rate | — | Interest rate | 313,303 | Interest rate | 436,440 | ||||||||||||||
swap asset | swap liability | swap liability | |||||||||||||||||||
CDS | 776 | CDS | 1,519 | U.S. Treasury futures | 3,367 | U.S. Treasury futures | — | ||||||||||||||
Swaption | 10,335 | Swaption | 4,950 | ||||||||||||||||||
Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement | |||||||||||||||||||||
The table below presents the effect of the Company’s derivative financial instruments on the statement of operations for the three and nine months ended September 30, 2013 and 2012. | |||||||||||||||||||||
Three months ended September 30, 2013 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of loss | Amount of loss | Location of gain | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | reclassified from | reclassified from | recognized in | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | accumulated | accumulated OCI into | income on | on derivative | ||||||||||||||||
hedge | (effective portion) | OCI into | income (effective | derivative | (ineffective portion) | ||||||||||||||||
income | portion) | (ineffective | |||||||||||||||||||
(effective | portion) | ||||||||||||||||||||
portion) | |||||||||||||||||||||
Interest Rate Swap | (74,098 | ) | Interest Expense | 43,583 | Realized and unrealized gain (loss) on interest rate derivative instruments | 298 | |||||||||||||||
Nine months ended September 30, 2013 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of loss | Amount of loss | Location of gain | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | reclassified from | reclassified from | recognized in | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | accumulated | accumulated OCI into | income on | on derivative | ||||||||||||||||
hedge | (effective portion) | OCI into | income (effective | derivative | (ineffective portion) | ||||||||||||||||
income | portion) | (ineffective | |||||||||||||||||||
(effective | portion) | ||||||||||||||||||||
portion) | |||||||||||||||||||||
Interest Rate Swap | 183,391 | Interest Expense | 116,553 | Realized and unrealized gain (loss) on interest rate derivative instruments | 591 | ||||||||||||||||
Three months ended September 30, 2012 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of loss | Amount of loss | Location of loss | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | reclassified from | reclassified from | recognized in | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | accumulated | accumulated OCI into | income on | on derivative | ||||||||||||||||
hedge | (effective portion) | OCI into | income (effective | derivative | (ineffective portion) | ||||||||||||||||
income (effective | portion) | (ineffective | |||||||||||||||||||
portion) | portion) | ||||||||||||||||||||
Interest | (60,716 | ) | Interest Expense | 35,763 | Realized and unrealized gain (loss) on interest rate derivative instruments | (319 | ) | ||||||||||||||
Rate Swap | |||||||||||||||||||||
Nine months ended September 30, 2012 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of loss | Amount of loss | Location of loss | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | reclassified from | reclassified from | recognized in | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | accumulated | accumulated OCI into | income on | on derivative | ||||||||||||||||
hedge | (effective portion) | OCI into | income (effective | derivative | (ineffective portion) | ||||||||||||||||
income (effective | portion) | (ineffective | |||||||||||||||||||
portion) | portion) | ||||||||||||||||||||
Interest | (181,280 | ) | Interest Expense | 107,051 | Realized and unrealized gain (loss) on interest rate derivative instruments | (832 | ) | ||||||||||||||
Rate Swap | |||||||||||||||||||||
Amount of gain (loss) recognized in income on derivative | |||||||||||||||||||||
Derivative | Location of unrealized gain (loss) | Three months ended September 30, 2013 | Three months ended September 30, 2012 | ||||||||||||||||||
not designated as | recognized in income | ||||||||||||||||||||
hedging instrument | on derivative | ||||||||||||||||||||
CDS Contract | Realized and unrealized credit default swap income | (175 | ) | 643 | |||||||||||||||||
Swaption Contract | Realized and unrealized gain (loss) on interest rate derivative instruments | (42,891 | ) | (489 | ) | ||||||||||||||||
Futures Contract | Realized and unrealized gain (loss) on interest rate derivative instruments | (3,369 | ) | — | |||||||||||||||||
Amount of gain (loss) recognized in income on derivative | |||||||||||||||||||||
Derivative | Location of unrealized gain (loss) | Nine months ended September 30, 2013 | Nine months ended September 30, 2012 | ||||||||||||||||||
not designated as | recognized in income | ||||||||||||||||||||
hedging instrument | on derivative | ||||||||||||||||||||
CDS Contract | Realized and unrealized credit default swap income | (743 | ) | 406 | |||||||||||||||||
Swaption Contract | Realized and unrealized gain (loss) on interest rate derivative instruments | (19,032 | ) | (2,019 | ) | ||||||||||||||||
Futures Contract | Realized and unrealized gain (loss) on interest rate derivative instruments | (3,369 | ) | — | |||||||||||||||||
Credit-risk-related Contingent Features | |||||||||||||||||||||
The Company has agreements with each of its derivative counterparties. Some of those agreements contain a provision whereby if the Company defaults on any of its indebtedness, including default whereby repayment of the indebtedness has not been accelerated by the lender, then the Company could also be declared in default on its derivative obligations. | |||||||||||||||||||||
The Company’s agreements with certain of its derivative counterparties provide that if the Company’s net asset value declines by certain percentages over specified time periods, then the Company could be declared in default on its derivative obligations with that counterparty. The Company’s agreements with certain of its derivative counterparties provide that if the Company’s shareholders’ equity declines by certain percentages over specified time periods, then the Company could be declared in default on its derivative obligations with that counterparty. | |||||||||||||||||||||
The Company’s agreements with certain of its derivative counterparties provide that if the Company fails to maintain a minimum shareholders’ equity or market value of $100 million and $80 million, respectively, then the Company could be declared in default on its derivative obligations with that counterparty. | |||||||||||||||||||||
As of September 30, 2013, the fair value of derivatives in a net liability position, which includes accrued interest but excludes any adjustment for non-performance risk related to these agreements, was $296.7 million. The Company has minimum collateral posting thresholds with certain of its derivative counterparties and has posted collateral of $346.0 million of Agency RMBS and $8.1 million of cash as of September 30, 2013. If the Company had breached any of these provisions at September 30, 2013, it could have been required to settle its obligations under the agreements at their termination value. | |||||||||||||||||||||
The Company was in compliance with all of the financial provisions of these agreements through September 30, 2013. |
Offsetting_Assets_and_Liabilit
Offsetting Assets and Liabilities | 9 Months Ended | |||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||
Offsetting [Abstract] | ' | |||||||||||||||||
Offsetting Assets and Liabilities | ' | |||||||||||||||||
Note 10 – Offsetting Assets and Liabilities | ||||||||||||||||||
The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on the Company’s consolidated balance sheets at September 30, 2013 and December 31, 2012. | ||||||||||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||
As of September 30, 2013 | ||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
Gross | Gross | Net Amounts | Cash | |||||||||||||||
Amounts of | Amounts | of Assets | ||||||||||||||||
Offset in the | presented in | |||||||||||||||||
Consolidated | the | |||||||||||||||||
$ in thousands | Recognized | Balance | Consolidated | Financial | Collateral | |||||||||||||
Description | Assets | Sheets | Balance sheets | Instruments (1) | Received | Net Amount | ||||||||||||
Derivatives | 188,509 | — | 188,509 | (188,509 | ) | — | — | |||||||||||
Total | 188,509 | — | 188,509 | (188,509 | ) | — | — | |||||||||||
Offsetting of Derivative Liabilities and Repurchase agreements | ||||||||||||||||||
As of September 30, 2013 | ||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
Gross | Gross | Net Amounts | Cash | |||||||||||||||
Amounts of | Amounts | of Assets | ||||||||||||||||
Offset in the | presented in | |||||||||||||||||
Consolidated | the | |||||||||||||||||
$ in thousands | Recognized | Balance | Consolidated | Financial | Collateral | |||||||||||||
Description | Liabilities | Sheets | Balance sheets | Instruments (2)(3) | Posted (2)(4) | Net Amount | ||||||||||||
Derivatives | 316,670 | — | 316,670 | (316,670 | ) | — | — | |||||||||||
Repurchase Agreements | 15,897,612 | — | 15,897,612 | (15,897,612 | ) | — | — | |||||||||||
16,214,282 | — | 16,214,282 | (16,214,282 | ) | — | — | ||||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
Gross | Gross | Net Amounts | Cash | |||||||||||||||
Amounts of | Amounts | of Assets | ||||||||||||||||
Offset in the | presented in | |||||||||||||||||
Consolidated | the | |||||||||||||||||
$ in thousands | Recognized | Balance | Consolidated | Financial | Collateral | |||||||||||||
Description | Assets | Sheets | Balance sheets | Instruments (1) | Received | Net Amount | ||||||||||||
Derivatives | 6,469 | — | 6,469 | (6,469 | ) | — | — | |||||||||||
Total | 6,469 | — | 6,469 | (6,469 | ) | — | — | |||||||||||
Offsetting of Derivative Liabilities and Repurchase agreements | ||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||
Gross | Net Amounts | Gross Amounts Not Offset in the | ||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
Gross | Amounts | of Assets | Cash | |||||||||||||||
Amounts of | Offset in the | presented in | ||||||||||||||||
Consolidated | the | |||||||||||||||||
$ in thousands | Recognized | Balance | Consolidated | Financial | Collateral | |||||||||||||
Description | Liabilities | Sheets | Balance sheets | Instruments (2)(3) | Posted (2)(4) | Net Amount | ||||||||||||
Derivatives | 436,440 | — | 436,440 | (436,440 | ) | — | — | |||||||||||
Repurchase Agreements | 15,720,460 | — | 15,720,460 | (15,720,460 | ) | — | — | |||||||||||
16,156,900 | — | 16,156,900 | (16,156,900 | ) | — | — | ||||||||||||
-1 | Amounts represent interest rate derivatives in an asset position which could potentially be offset against interest rate derivatives in a liability position at September 30, 2013 and December 31, 2012, subject to a netting arrangement. | |||||||||||||||||
-2 | Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements and interest rate derivatives. | |||||||||||||||||
-3 | The fair value of securities pledged against our borrowing under repurchase agreements was $17.5 billion and $17.5 billion at September 30, 2013 and December 31, 2012, respectively. | |||||||||||||||||
-4 | Total cash received on our Derivatives was $21.0 million and $0 at September 30, 2013 and December 31, 2012, respectively. Total non-cash collateral received on our Derivatives was $171.0 million and $0 at September 30, 2013 and December 31, 2012, respectively. Total cash posted by the Company on our Derivatives was $8.1 million at September 30, 2013. | |||||||||||||||||
In the Company’s consolidated balance sheets, all balances associated with the repurchase agreement and derivatives transactions are presented on a gross basis. | ||||||||||||||||||
Certain of the Company’s repurchase agreement and derivative transactions are governed by underlying agreements that generally provide for a right of setoff in the event of default or in the event of a bankruptcy of either party to the transaction. For one repurchase agreement counterparty, the underlying agreement provide for an unconditional right of setoff. |
Financial_Instruments
Financial Instruments | 9 Months Ended | |||||||||||
Sep. 30, 2013 | ||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||
Financial Instruments | ' | |||||||||||
Note 11 – Financial Instruments | ||||||||||||
U.S. GAAP defines fair value, provides a consistent framework for measuring fair value under U.S. GAAP, and Accounting Standards Codification (“ASC”) Topic 820 expands fair value financial statement disclosure requirements. ASC Topic 820 does not require any new fair value measurements and only applies to accounting pronouncements that already require or permit fair value measures, except for standards that relate to share-based payments. | ||||||||||||
Valuation techniques are based on observable and unobservable inputs. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect the Company’s market assumptions. The three levels are defined as follows: | ||||||||||||
• | Level 1 Inputs – Quoted prices for identical instruments in active markets. | |||||||||||
• | Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. | |||||||||||
• | Level 3 Inputs – Instruments with primarily unobservable value drivers. | |||||||||||
The fair values on a recurring basis of the Company’s MBS and interest rate hedges based on the level of inputs at September 30, 2013 and December 31, 2012 are summarized below: | ||||||||||||
30-Sep-13 | ||||||||||||
Fair Value Measurements Using: | ||||||||||||
Total at | ||||||||||||
$ in thousands | Level 1 | Level 2 | Level 3 | Fair Value | ||||||||
Assets | ||||||||||||
Mortgage-backed securities(1) | — | 18,811,679 | — | 18,811,679 | ||||||||
Investments in unconsolidated ventures | — | — | 42,276 | 42,276 | ||||||||
Derivatives | — | 187,733 | 776 | 188,509 | ||||||||
Total | — | 18,999,412 | 43,052 | 19,042,464 | ||||||||
Liabilities | ||||||||||||
Derivatives | 3,367 | 313,303 | — | 316,670 | ||||||||
Total | 3,367 | 313,303 | — | 316,670 | ||||||||
31-Dec-12 | ||||||||||||
Fair Value Measurements Using: | ||||||||||||
Total at | ||||||||||||
$ in thousands | Level 1 | Level 2 | Level 3 | Fair Value | ||||||||
Assets | ||||||||||||
Mortgage-backed securities(1) | — | 18,470,563 | — | 18,470,563 | ||||||||
Investments in unconsolidated ventures | — | — | 35,301 | 35,301 | ||||||||
Derivatives | — | 4,950 | 1,519 | 6,469 | ||||||||
Total | — | 18,475,513 | 36,820 | 18,512,333 | ||||||||
Liabilities | ||||||||||||
Derivatives | — | 436,440 | — | 436,440 | ||||||||
Total | — | 436,440 | — | 436,440 | ||||||||
-1 | For more detail about the fair value of our MBS and type of securities, see Note 4 in the consolidated financial statements. | |||||||||||
The following table presents additional information about the Company’s investments in unconsolidated ventures which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: | ||||||||||||
$ in thousands | 30-Sep-13 | 31-Dec-12 | ||||||||||
Beginning balance | 35,301 | 68,793 | ||||||||||
Purchases | 4,843 | 4,218 | ||||||||||
Sales and settlements | (3,037 | ) | (44,879 | ) | ||||||||
Total net gains / (losses) included in net income | ||||||||||||
Realized gains/(losses), net | 2,332 | 6,813 | ||||||||||
Unrealized gains/(losses), net | 2,837 | 356 | ||||||||||
Unrealized gain/(losses), net included in other comprehensive income | — | — | ||||||||||
Ending balance | 42,276 | 35,301 | ||||||||||
The following table presents additional information about the Company’s CDS contract which is measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: | ||||||||||||
$ in thousands | 30-Sep-13 | 31-Dec-12 | ||||||||||
Beginning balance | 1,519 | 1,339 | ||||||||||
Purchases | — | — | ||||||||||
Sales and settlements | — | — | ||||||||||
Total net gains / (losses) included in net income | ||||||||||||
Realized gains/(losses), net | — | — | ||||||||||
Unrealized gains/(losses), net | (743 | ) | 180 | |||||||||
Unrealized gain/(losses), net included in other comprehensive income | — | — | ||||||||||
Ending balance | 776 | 1,519 | ||||||||||
The following table summarizes quantitative information about Level 3 fair value measurements: | ||||||||||||
Fair Value at | Valuation | Unobservable | Weighted | |||||||||
$ in thousands | 30-Sep-13 | Technique | Input | Range | Average | |||||||
CDS Contract | 776 | Discounted cash flow | Swap Rate | 2.39 | % | |||||||
Discount Rate | 0.52 | % | ||||||||||
Credit Spread | 0.48 | % | ||||||||||
Constant Prepayment Rate | 1.0% - 20.0% | 5.78 | % | |||||||||
Constant Default Rate | 1.0% - 100.0% | 4.86 | % | |||||||||
Loss Severity | 7.3% - 63.2% | 42.8 | % | |||||||||
The significant inputs used in the fair value measurement of the CDS contract are the swap rate, discount rate, credit spread, constant prepayment rate, constant default rate, and loss severity in the event of default. These inputs change according to market conditions and security performance expectations. Significant increases (decreases) in swap rate, discount rate, credit spread, constant prepayment rate, constant default rate or loss severity in isolation would result in a lower (higher) fair value measurement. Generally, a change in the assumption used for the constant default rate would likely be accompanied by a directionally similar change in the assumptions used for swap rate, credit spread and loss severity and a directionally opposite change in the assumption used for discount rate and constant prepayment rate. If the inputs had not changed during the quarter, the fair value of the CDS contract would have been $10,000 more than the actual fair value at September 30, 2013. | ||||||||||||
The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the consolidated balance sheets, at September 30, 2013 and December 31, 2012: | ||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||
$ in thousands | Carrying | Estimated | Carrying | Estimated | ||||||||
Value | Fair Value | Value | Fair Value | |||||||||
Financial Assets | ||||||||||||
Residential loans, held-for-investment | 1,532,389 | 1,414,816 | — | — | ||||||||
Commercial loans, held-for-investment | 17,388 | 17,388 | — | — | ||||||||
Other investments | 10,000 | 10,000 | 10,000 | 10,000 | ||||||||
Total | 1,559,777 | 1,442,204 | 10,000 | 10,000 | ||||||||
Financial Liabilities | ||||||||||||
Repurchase agreements | 15,897,612 | 15,876,752 | 15,720,460 | 15,730,387 | ||||||||
Asset-backed securities | 1,411,897 | 1,321,675 | — | — | ||||||||
Exchangeable senior notes | 400,000 | 374,250 | — | — | ||||||||
Total | 17,709,509 | 17,572,677 | 15,720,460 | 15,730,387 | ||||||||
The following describes the Company’s methods for estimating the fair value for financial instruments. | ||||||||||||
• | The fair value of the residential loans, held-for-investment and commercial loans, held-for-investment are a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates the Company determined best reflect current market interest rates that would be offered for loans with similar characteristics and credit quality. | |||||||||||
• | In December 2012, the Company acquired a $10.0 million debt security from a repurchase lending counterparty that matures October 31, 2016. The debt security pays interest quarterly at the rate of 4.0% above the three-month LIBOR rate. The debt security is included in “Other Investments” and its fair value is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates the Company determined best reflect current market interest rates that would be offered for securities with similar characteristics and credit quality. | |||||||||||
• | The fair value of the repurchase agreements is a Level 3 fair value measurement, based on an expected present value technique. This method discounts future estimated cash flows using rates the Company determined best reflect current market interest rates that would be offered for repurchase agreements with similar characteristics and credit quality. | |||||||||||
• | The fair value of the asset-backed securities issued is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates the Company determined best reflect current market interest rates that would be offered for securities with similar characteristics and credit quality. | |||||||||||
• | The fair value of the exchangeable senior notes issued is a Level 2 fair value measurement based on obtaining valuations from an independent source. The value was based on a value obtained from a third-party pricing service. |
Related_Party_Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2013 | |
Related Party Transactions [Abstract] | ' |
Related Party Transactions | ' |
Note 12 – Related Party Transactions | |
The Company is externally managed and advised by the Manager. Pursuant to the terms of the management agreement, the Manager and its affiliates provide the Company with its management team, including its officers, along with appropriate support personnel. Each of the Company’s officers is an employee of the Manager or one of its affiliates. The Company does not have any employees. With the exception of the Company’s Chief Financial Officer, the Manager is not obligated to dedicate any of its employees exclusively to the Company, nor are the Manager or its employees obligated to dedicate any specific portion of its or their time to the Company’s business. The Manager is at all times subject to the supervision and oversight of the Company’s Board of Directors and has only such functions and authority as the Company delegates to it. | |
Management Fee | |
The Company pays the Manager a management fee equal to 1.50% of the Company’s shareholders’ equity per annum, which is calculated and payable quarterly in arrears. For purposes of calculating the management fee, shareholders’ equity is equal to the sum of the net proceeds from all issuances of equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus retained earnings at the end of the most recently completed calendar quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid to repurchase common stock since inception, and excluding any unrealized gains, losses or other items that do not affect realized net income (regardless of whether such items are included in other comprehensive income or loss, or in net income). This amount will be adjusted to exclude one-time events pursuant to changes in U.S. GAAP, and certain non-cash items after discussions between the Manager and the Company’s independent directors and approval by a majority of the Company’s independent directors. | |
The Manager has agreed to reduce (but not below zero) the management fee payable by the Company under the management agreement with respect to any equity investment managed by the Manager. The fee reduction occurs at the equity investment level. | |
For the three months ended September 30, 2013, the Company incurred management fees of $10.9 million (2012: $9.1 million), of which $10.9 million (2012: $9.1 million), was accrued but has not been paid. | |
For the nine months ended September 30, 2013, the Company incurred management fees of $32.1 million (2012: $26.4 million), of which $10.9 million (2012: $9.1 million) was accrued but has not been paid. | |
Expense Reimbursement | |
Pursuant to the management agreement, the Company is required to reimburse the Manager for operating expenses related to the Company incurred by the Manager, including directors and officers insurance, accounting services, auditing and tax services, filing fees, and miscellaneous general and administrative costs. The Company’s reimbursement obligation is not subject to any dollar limitation. | |
The Company incurred costs, originally paid by Invesco, of approximately $1.0 million (2012: $1.7 million) and $3.9 million (2012: $3.1 million) for the three and nine months ended September 30, 2013, respectively. Approximately $1.0 million (2012: $1.5 million) and $3.5 million (2012: $2.9 million) was either prepaid or expensed for the three and nine months ended September 30, 2013, respectively, $0 (2012: $176,000) and $418,000 (2012: $218,000) was charged against equity as a cost of raising capital for the three and nine months ended September 30, 2013, respectively. | |
Termination Fee | |
A termination fee is due to the Manager upon termination of the management agreement by the Company equal to three times the sum of the average annual management fee earned by the Manager during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter. |
Shareholders_Equity
Shareholders' Equity | 9 Months Ended |
Sep. 30, 2013 | |
Equity [Abstract] | ' |
Shareholders' Equity | ' |
Note 13 – Shareholders’ Equity | |
Securities Convertible into Shares of Common Stock | |
The limited partner who holds OP Units has the right to cause the Operating Partnership to redeem their OP Units for cash equal to the market value of an equivalent number of shares of common stock, or at the Company’s option, the Company may purchase their OP Units by issuing one share of common stock for each OP Unit redeemed. The Company has also adopted an equity incentive plan which includes the ability of the Company to grant securities convertible into the Company’s common stock to the independent directors and the executive officers of the Company and the personnel of the Manager and its affiliates. | |
Exchangeable Senior Notes | |
In the first quarter of 2013, a wholly-owned subsidiary of the Company issued $400.0 million in aggregate principal amount of the Notes due 2018. The total net proceeds to the Company after deducting financing expenses was $387.9 million. The Notes may be exchanged for shares of the Company’s common stock at the applicable exchange rate at any time prior to the close of business on the second scheduled trading day prior to the maturity date. The initial exchange rate for each $1,000 aggregate principal amount of the Notes is 42.0893 shares of the Company’s common stock, equivalent to an exchange price of approximately $23.76 per share, and the maximum exchange rate is 48.4027 shares of the Company's common stock, equivalent to an exchange price of approximately $20.66 per share. The initial and maximum exchange rates of the Notes are subject to adjustment in certain events. | |
Registration Rights | |
The Company entered into a registration rights agreement with regard to the common stock and OP Units owned by the Manager and Invesco Investments (Bermuda) Ltd., respectively, upon completion of the Company’s IPO and any shares of common stock that the Manager may elect to receive under the management agreement or otherwise. Pursuant to the registration rights agreement, the Company has granted to the Manager and Invesco Investments (Bermuda) Ltd. (i) unlimited demand registration rights to have the shares purchased by the Manager or granted to it in the future and the shares that the Company may issue upon redemption of the OP Units purchased by Invesco Investments (Bermuda) Ltd. registered for resale and (ii) in certain circumstances, the right to “piggy-back” these shares in registration statements the Company might file in connection with any future public offering so long as the Company retains the Manager under the management agreement. | |
On March 12, 2013, in connection with the issuance and sale of the Notes, the Operating Partnership and the Company also entered into a registration rights agreement with the initial purchasers of the Notes. Pursuant to the registration rights agreement, the Company has designated its automatic shelf registration statement filed on April 2, 2013 to be used for resales of the common stock, if any, issuable upon exchange of the Notes. The Company has filed a supplement to the underlying prospectus in that shelf registration statement to cover resales of the common stock and has agreed to file prospectus supplements if requested by noteholders to add such noteholders as selling securityholders. If the shelf registration statement ceases to be effective, then subject to certain exceptions, additional interest will accrue on the Notes. | |
Common Stock Public Offerings | |
On January 28, 2013, the Company completed a public offering of 15,000,000 shares of its common stock and an issuance of an additional 2,250,000 shares of common stock pursuant to the underwriters’ full exercise of their over-allotment option at $21.00 per share, resulting in net proceeds of approximately $359.0 million, after deducting underwriting discounts and estimated offering costs. | |
During the nine months ended September 30, 2013, the Company issued 1,766,995 shares of common stock at an average price of $21.32 under the DRSPP with total proceeds to the Company of approximately $37.7 million, net of issuance costs of $219,000. | |
Preferred Stock | |
Holders of the Company’s Series A Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25 per share or $1.9375 per share per annum. These dividends are cumulative and payable quarterly in arrears. The shares are not convertible into or exchangeable for any other property or any other securities of the Company at the election of the holders. However, the Company, at its option after July 26, 2017, may redeem the shares at a redemption price of $25.00, plus any accrued unpaid distributions through the date of the redemption. | |
Share-Based Compensation | |
The Company established the 2009 Equity Incentive Plan for grants of restricted common stock and other equity based awards to the independent directors and the executive officers of the Company and personnel of the Manager and its affiliates (the “Incentive Plan”). Under the Incentive Plan, a total of 1,000,000 shares of common stock are currently reserved for issuance. Unless terminated earlier, the Incentive Plan will terminate in 2019, but will continue to govern the unexpired awards. The Company recognized compensation expense of approximately $45,000 (2012: $53,000) for the three months ended September 30, 2013. The Company recognized compensation expense of approximately $120,000 (2012: $128,000) for the nine months ended September 30, 2013. During the three months ended September 30, 2013, the Company issued 2,361 shares (2012: 2,568 shares) of restricted stock pursuant to the Incentive Plan to the Company’s non-executive directors. During the nine months ended September 30, 2013, the Company issued 5,970 shares (2012: 6,831 shares) of restricted stock pursuant to the Incentive Plan to the Company’s non-executive directors. The fair market value of the shares granted was determined by the closing stock market price on the date of the grant. | |
The Company recognized compensation expense of approximately $45,000 (2012: $49,000) for the three months ended September 30, 2013 related to awards to officers and employees of the Manager and its affiliates which is reimbursed by the Manager under the management agreement. | |
The Company recognized compensation expense of approximately $156,000 (2012: $129,000) for the nine months ended September 30, 2013 related to awards to officers and employees of the Manager and its affiliates which is reimbursed by the Manager under the management agreement. | |
During March 2013, the Company issued 5,697 shares of common stock (net of tax withholding) in exchange for 8,783 restricted stock units that vested under the Incentive Plan. In addition, during the nine months ended September 30, 2013, the Company awarded 16,835 restricted stock units to officers and employees of the Manager and its affiliates. | |
Dividends | |
On September 16, 2013, the Company declared a dividend of $0.50 per share of common stock. The dividend was paid on October 28, 2013 to shareholders of record as of the close of business on September 26, 2013. | |
On September 16, 2013, the Company declared a dividend of $0.4844 per share of Series A Preferred Stock. The dividend was paid on October 25, 2013 to shareholders of record as of the close of business on October 1, 2013. |
Earnings_per_Common_Share
Earnings per Common Share | 9 Months Ended | |||||||||||
Sep. 30, 2013 | ||||||||||||
Earnings Per Share [Abstract] | ' | |||||||||||
Earnings per Common Share | ' | |||||||||||
Note 14 – Earnings per Common Share | ||||||||||||
Earnings per share for the three and nine months ended September 30, 2013 and 2012 is computed as follows: | ||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||
September 30, | September 30, | |||||||||||
$ and share amounts in thousands | 2013 | 2012 | 2013 | 2012 | ||||||||
Numerator (Income) | ||||||||||||
Basic Earnings | ||||||||||||
Net income (loss) available to common shareholders | (8,686 | ) | 83,068 | 214,152 | 244,971 | |||||||
Effect of dilutive securities: | ||||||||||||
Income allocated to exchangeable senior debt | — | — | 12,403 | — | ||||||||
Income allocated to non-controlling interest | — | 1,026 | 2,392 | 3,025 | ||||||||
Dilutive net income (loss) available to shareholders | (8,686 | ) | 84,094 | 228,947 | 247,996 | |||||||
Denominator (Weighted Average Shares) | ||||||||||||
Basic Earnings: | ||||||||||||
Shares available to common shareholders | 135,220 | 115,412 | 133,094 | 115,405 | ||||||||
Effect of dilutive securities: | ||||||||||||
Restricted Stock Awards | — | 31 | 12,519 | 28 | ||||||||
OP Units | — | 1,425 | 34 | 1,425 | ||||||||
Exchangeable senior notes | — | — | 1,425 | — | ||||||||
Dilutive Shares | 135,220 | 116,868 | 147,072 | 116,858 | ||||||||
The following potential common shares (in thousands) were excluded from diluted earnings per common share for the three months ended September 30, 2013 as the Company had a net loss for the period: 16,836 for the Notes, 1,425 for OP Units and 38 for Restricted Stock Awards. |
Noncontrolling_InterestOperati
Non-controlling Interest-Operating Partnership | 9 Months Ended |
Sep. 30, 2013 | |
Noncontrolling Interest [Abstract] | ' |
Non-controlling Interest-Operating Partnership | ' |
Note 15 – Non-controlling Interest—Operating Partnership | |
Non-controlling interest represents the aggregate OP Units in the Operating Partnership held by limited partners (the “Unit Holders”). Income allocated to the non-controlling interest is based on the Unit Holders’ ownership percentage of the Operating Partnership. The ownership percentage is determined by dividing the number of OP Units held by the Unit Holders by the total number of dilutive shares of common stock. The issuance of common stock (“Share” or “Shares”) or OP Units changes the percentage ownership of both the Unit Holders and the holders of common stock. Since an OP unit is generally redeemable for cash or Shares at the option of the Company, it is deemed to be equivalent to a Share. Therefore, such transactions are treated as capital transactions and result in an allocation between shareholders’ equity and non-controlling interest in the accompanying consolidated balance sheets to account for the change in the ownership of the underlying equity in the Operating Partnership. As of September 30, 2013, non-controlling interest related to the outstanding 1,425,000 OP Units represented a 1.0% interest (2012: 1.2%) in the Operating Partnership. Loss allocated to the Operating Partnership non-controlling interest for the three months ended September 30, 2013 was approximately $63,000 (2012: $1.0 million income). Income allocated to the Operating Partnership non-controlling interest for the nine months ended September 30, 2013 was $2.4 million (2012: $3.0 million). For the three months ended September 30, 2013, distributions paid to the non-controlling interest were $926,000 (2012: $926,000). For the nine months ended September 30, 2013, distributions paid to the non-controlling interest were $2.8 million (2012: $2.8 million). As of September 30, 2013, distributions payable to the non-controlling interest were approximately $713,000 (2012: $926,000). |
Subsequent_Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2013 | |
Subsequent Events [Abstract] | ' |
Subsequent Events | ' |
Note 16 – Subsequent Events | |
The Company has reviewed subsequent events occurring through the date that these consolidation financial statements were issued, and determined that no subsequent events occurred that would require accrual or additional disclosure. |
Summary_of_Significant_Account1
Summary of Significant Accounting Policies (Policies) | 9 Months Ended | |
Sep. 30, 2013 | ||
Accounting Policies [Abstract] | ' | |
Basis of Quarterly Presentation | ' | |
Basis of Quarterly Presentation | ||
The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”) for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X, promulgated by the Securities and Exchange Commission (the “SEC”). In the opinion of management, all adjustments (consisting of normal recurring adjustments) necessary for a fair presentation of the financial position and the results of operations of the Company for the interim periods presented have been included. Certain disclosures included in the Company’s annual report on Form 10-K are not required to be included on an interim basis in the company’s quarterly reports on Forms 10-Q. The Company has condensed or omitted these disclosures. The interim consolidated financial statements should be read in conjunction with the Company’s consolidated financial statements and related notes thereto included in the Company’s annual report on Form 10-K for the year ended December 31, 2012, which was filed with the SEC on March 1, 2013. The results of operations for the period ended September 30, 2013 are not necessarily indicative of the results to be expected for the full year or any other future period. | ||
Principles of Consolidation | ' | |
Principles of Consolidation | ||
The consolidated financial statements include the accounts of the Company, its subsidiaries and VIEs in which the Company is deemed the primary beneficiary. The underlying loans owned by the VIEs are shown under residential loans on our consolidated balance sheets. The asset-backed securities (“ABS”) issued to third parties by the VIEs are shown under asset-backed securities issued. In our consolidated statements of operations, we record interest income on the residential loans owned by the VIEs and interest expense on the ABS issued by the VIEs. All intercompany balances and transactions have been eliminated. | ||
Variable Interest Entity | ' | |
Variable Interest Entity | ||
A VIE is an entity that lacks one or more of the characteristics of a voting interest entity. A VIE is defined as an entity in which equity investors do not have the characteristics of a controlling financial interest or do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support. The determination of whether an entity is a VIE includes both a qualitative and quantitative analysis. The Company reassesses its initial evaluation of an entity as a VIE upon the occurrence of certain reconsideration events. 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 VIE’s 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 ongoing activities, the power to direct the activities that most significantly impact the VIE’s economic performance may be determined by an entity’s involvement with the design of the VIE. | ||
Use of Estimates | ' | |
Use of Estimates | ||
The accounting and reporting policies of the Company conform to U.S. GAAP. The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed securities (“MBS”), allowance for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates. | ||
Cash and Cash Equivalents | ' | |
Cash and Cash Equivalents | ||
The Company considers all highly liquid investments that have original or remaining maturity dates of three months or less when purchased to be cash equivalents. At September 30, 2013, the Company had cash and cash equivalents, including amounts restricted, in excess of the FDIC deposit insurance limit of $250,000 per institution. The Company mitigates its risk of loss by actively monitoring its counterparties. | ||
Underwriting Commissions and Offering Costs | ' | |
Underwriting Commissions and Offering Costs | ||
Underwriting commissions and direct costs incurred in connection with the Company’s initial public offering (“IPO”) and subsequent stock offerings are reflected as a reduction of additional paid-in-capital. | ||
Deferred Costs | ' | |
Deferred Costs | ||
Included in deferred costs are costs associated with the issuance of beneficial interest by consolidated VIEs incurred by the Company and costs incurred in connection with the issuance by the Company of its exchangeable senior notes. These costs may include underwriting, rating agency, legal, accounting and other fees. These deferred costs are amortized as an adjustment to interest expense using the effective interest method, based upon actual repayments of the associated beneficial interest issued to third parties and over the stated legal maturity of the exchangeable senior notes. | ||
Repurchase Agreements | ' | |
Repurchase Agreements | ||
The Company finances its Agency RMBS, non-Agency RMBS and CMBS investment portfolio through the use of repurchase agreements. Repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, including accrued interest, as specified in the respective agreements. | ||
In instances where the Company acquires Agency RMBS, non-Agency RMBS or CMBS through repurchase agreements with the same counterparty from whom such assets were purchased, the Company accounts for the purchase commitment and repurchase agreement on a net basis and records a forward commitment to purchase such assets as a derivative instrument if the transaction does not comply with the criteria for gross presentation. All of the following criteria must be met for gross presentation in the circumstance where the repurchase assets are financed with the same counterparty: | ||
• | the initial transfer of and repurchase financing cannot be contractually contingent; | |
• | the repurchase financing entered into between the parties provides full recourse to the transferee and the repurchase price is fixed; | |
• | the financial asset has an active market and the transfer is executed at market rates; and | |
• | the repurchase agreement and financial asset do not mature simultaneously. | |
If the transaction complies with the criteria for gross presentation, the Company records the assets and the related financing on a gross basis on its consolidated balance sheets, and the corresponding interest income and interest expense in its consolidated statements of operations. Forward commitments are recorded at fair value with subsequent changes in fair value recognized in income. Additionally, the Company records the cash portion of its investment in Agency RMBS and non-Agency RMBS as a mortgage related receivable from the counterparty on its consolidated balance sheets. | ||
Asset-Backed Debt Securities | ' | |
Asset-Backed Debt Securities | ||
Asset-backed debt securities are recorded at principal balance net of unamortized premiums or discounts. | ||
Fair Value Measurements | ' | |
Fair Value Measurements | ||
The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels 1, 2, and 3, as defined). In accordance with U.S. GAAP, the Company is required to provide enhanced disclosures regarding instruments in the Level 3 category (which require significant management judgment), including a separate reconciliation of the beginning and ending balances for each major category of assets and liabilities. | ||
To determine fair value of its financial instruments, the Company generally obtains one price per instrument from its primary valuation service. If this service cannot provide a price, the Company will seek a value from other vendors. The valuation services use various observable inputs which may include a combination of benchmark yields, trades, broker/dealer quotes, issuer spreads, bids, offers and benchmark securities to determine prices. Both the Company and the pricing vendor continuously monitor market indicators and economic events to determine if any may have an impact on the valuations. | ||
Overrides of prices from pricing vendors are rare in the current market environment and with the assets the Company holds. Examples of instances that would cause an override would be if the Company recently traded the same security or there is an indication of market activity that would cause the vendor price to be unreliable. In the rare instance where a price is adjusted, the Company has a control process to monitor the reason for such adjustment. | ||
To gain comfort that vendor prices are representative of current market information, the Company compares the transaction prices of security purchases and sales to the valuation levels provided by the vendors. Price differences exceeding pre-defined tolerance levels are identified and investigated and may be challenged. Trends are monitored over time and if there are indications that the valuations are not comparable to market activity, the vendors are asked to provide detailed information regarding their methodology and inputs. Transparency tools are also available from the vendors which help clients observe data points and/or market inputs used for pricing securities. | ||
In addition, the Company performs due diligence procedures on all vendors on at least an annual basis. A questionnaire is sent to vendors which requests information such as changes in methodologies, business recovery preparedness, internal controls and confirmation that evaluations are generated based on market data. Physical visits are also made to each vendor’s office. | ||
As described in Note 11 - “Financial Instruments,” the Company evaluates the source used to provide the market price for each security and makes a determination on its categorization within the fair value hierarchy. If the price of a security is obtained from quoted prices for similar instruments or model-derived valuations whose inputs are observable, the security is classified as a level 2 security. If the inputs appear to be unobservable, the security would be classified as a level 3 security. | ||
Additionally, U.S. GAAP permits entities to choose to measure many financial instruments and certain other items at fair value (the “fair value option”). Unrealized gains and losses on items for which the fair value option has been elected are irrevocably recognized in earnings at each subsequent reporting date. | ||
The Company elected the fair value option for its investments in unconsolidated ventures. The Company has the one-time option to elect fair value for these financial assets on the election date. The changes in the fair value of these instruments are recorded in equity in earnings and fair value change in unconsolidated ventures in the consolidated statements of operations. | ||
For assets representing available-for-sale investment securities, any change in fair value is reported through consolidated other comprehensive income (loss) with the exception of impairment losses, which are recorded in the consolidated statements of operations. | ||
Securities | ' | |
Securities | ||
The Company designates securities as held-to-maturity, available-for-sale, or trading depending on its ability and intent to hold such securities to maturity. Trading and securities available-for-sale are reported at fair value, while securities held-to-maturity are reported at amortized cost. Although the Company generally intends to hold most of its RMBS and CMBS until maturity, the Company may, from time to time, sell any of its RMBS or CMBS as part of its overall management of its investment portfolio and therefore classifies its RMBS and CMBS as available-for-sale securities. | ||
All securities classified as available-for-sale are reported at fair value, based on market prices from third-party sources, with unrealized gains and losses excluded from earnings and reported as a separate component of shareholders’ equity. When applicable, included with available-for-sale securities are forward purchase commitments on to-be-announced securities (“TBA”). The Company records TBA purchases on the trade date and the corresponding payable is recorded as an outstanding liability as a payable for investments purchased until the settlement date of the transaction. This payable is presented in the “Investment related payable” line item on the consolidated balance sheets. | ||
The Company considers its portfolio of Agency RMBS to be of high credit quality under the accounting guidance. For non-Agency RMBS and CMBS, the Company does not rely on ratings from third party agencies to determine the credit quality of the investment. To determine expected future losses, the Company uses internal models that analyze the individual loans underlying each security and evaluates factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration to estimate the expected future cash flows and an expected yield. The Company places reliance on this internal model in determining credit quality and the corresponding accounting treatment. | ||
While non-Agency RMBS and CMBS with expected future losses are generally purchased at a discount to par, the potential for a significant adverse change in expected cash flows remains. The Company therefore considers each security for other-than-temporary impairment at least quarterly and more frequently when economic or market conditions warrant such evaluation. | ||
The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. Consideration is given to (i) the length of time and the extent to which the fair value has been less than cost, (ii) the financial condition and near-term prospects of recovery in fair value of the security, and (iii) the Company’s intent and ability to retain its investment in the security for a period of time sufficient to allow for any anticipated recovery in fair value. | ||
For debt securities, the amount of the other-than-temporary impairment related to a credit loss or impairments on securities that the Company has the intent or for which it is more likely than not that the Company will need to sell before recoveries are recognized in earnings and reflected as a reduction in the cost basis of the security. The amount of the other-than-temporary impairment on debt securities related to other factors is recorded consistent with changes in the fair value of all other available-for-sale securities as a component of consolidated shareholders’ equity in other comprehensive income or loss with no change to the cost basis of the security. | ||
Residential Loans Held-For-Investment | ' | |
Residential Loans Held-For-Investment | ||
Loans held-for-investment include securitized residential mortgage loans held by VIEs in which the Company has determined it is the primary beneficiary and which are included in the Company's Consolidated Balance Sheets, and are carried at unpaid principal balance net of any allowance for loan losses. The Company expects that it will be required to continue to consolidate the VIEs in which such loans are held and generally does not have the authority to sell the residential loans held in the VIEs. | ||
Commercial Loans Held-For-Investment | ' | |
Commercial Loans Held-For-Investment | ||
Commercial loans held-for-investment include mezzanine loans owned by the Company carried at cost, net of any allowance for loan losses. An allowance for loan losses will be recognized only if past and current events indicate it is probable that all amounts due will not be collected according to the terms of the loan agreement. | ||
Interest Income Recognition | ' | |
Interest Income Recognition | ||
Securities | ||
Interest income on available-for-sale MBS, which includes accretion of discounts and amortization of premiums on such MBS, is recognized over the life of the investment using the effective interest method. Management estimates, at the time of purchase, the future expected cash flows and determines the effective interest rate based on these estimated cash flows and the Company’s purchase price. As needed, these estimated cash flows are updated and a revised yield is computed based on the current amortized cost of the investment. In estimating these cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate and interest rate fluctuations. In addition, management must use its judgment to estimate interest payment shortfalls due to delinquencies on the underlying mortgage loans. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact management’s estimates and its interest income. Security transactions are recorded on the trade date. Realized gains and losses from security transactions are determined based upon the specific identification method and recorded as gain (loss) on sale of available-for-sale securities in the consolidated statements of operations. | ||
Residential Loans | ||
Interest income from the Company’s residential loans is recognized on an accrual basis with the related premiums being amortized into interest income using the effective interest method over the weighted average life of these loans. As needed, these estimated cash flows are updated and a revised yield is computed based on the current amortized cost of the investment. In estimating these cash flows, there are a number of assumptions that are subject to estimation, including the interest rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the timing and amount of expected credit losses, and other factors. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due or has been individually impaired, at which point the loan is placed on nonaccrual status. Interest previously accrued for loans that have been placed on non-accrual status is reversed against interest income in the period it becomes nonaccrual. Residential loans delinquent more than 90 days or in foreclosure are characterized as delinquent. Cash principal and interest that is advanced from servicers subsequent to a loan becoming greater than 90 days past due or individually impaired is recorded as a liability due to the servicer. When a delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternately, nonaccrual loans may be placed back on accrual status if restructured and after the loan is considered re-performing. A restructured loan is considered re-performing when the loan has been current for at least 12 months. | ||
Commercial loans | ||
Interest is recognized as revenue when earned and deemed collectible or until a loan becomes past due based on the terms of the loan agreement with the related originating fees, net of origination cost, being amortized into interest income using the effective interest method over the life of the loan. Interest received subsequent to a loan becoming past due or impaired is used to reduce the outstanding loan principal balance. When a delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternately, loans that have been individually impaired may be placed back on accrual status if restructured and after the loan is considered re-performing. A restructured loan is considered re-performing when the loan has been current for at least | ||
Allowance for Loan Losses | ' | |
Allowance for Loan Losses | ||
Residential Loans — Allowance for Loan Losses | ||
For residential loans classified as held-for-investment, an allowance for loan losses is established based on the Company's estimate of credit losses. In calculating the allowance for loan losses, the Company assesses expected losses by estimating the probability of default and expected loss severities on the loans. Reviews are performed at least quarterly. The following factors are considered in evaluating the allowance for loan losses: | ||
• | Loan-to-value ratios, property values, credit scores, occupancy status, geographic concentration and other observable data available from third party providers; | |
• | Historical prepayments, default rates and loss severities; and | |
• | Trends in delinquencies, loan liquidations, foreclosure timelines, liquidation expenses, servicer advances of delinquent principal and interest, and other observable data related to the servicing of the loans. | |
Commercial Loans — Allowance for Loan Losses | ||
For commercial loans classified as held-for-investment, we establish a specific allowance for loan losses for loans we have determined to be impaired at the reporting date. An individual loan is considered impaired when it is deemed probable that we will not be able to collect all amounts due according to the contractual terms of the loan. | ||
The Company's methodology for assessing the adequacy of the allowance for loan losses begins with a formal review of each commercial loan in the portfolio to determine whether the loan is impaired. Reviews are performed at least quarterly. We consider the following factors in evaluating each loan: | ||
• | Loan to value ratios upon origination or acquisition of the loan; | |
• | The most recent financial information available for each loan and associated properties, including net operating income, debt service coverage ratios, occupancy rates, rent rolls, as well as any other loss factors we consider relevant, such as, but not limited to, specific loan trigger events that would indicate an adverse change in expected cash flows or payment delinquency; | |
• | Economic trends, both macroeconomic as well as those directly affecting the properties associated with our loans, and the supply and demand of competing projects in the sub-market in which the subject property is located; and | |
• | The loan sponsor or borrowing entity’s ability to ensure that properties associated with the loan are managed and operated sufficiently. | |
Where an individual commercial loan is deemed to be impaired, the Company records an allowance to reduce the carrying value of the loan to the current present value of expected future cash flows discounted at the loan’s effective rate, with a corresponding charge to provision for loan losses on our consolidated statements of operations. | ||
Investments in Unconsolidated Ventures | ' | |
Investments in Unconsolidated Ventures | ||
The Company has investments in unconsolidated ventures. In circumstances where the Company has a non-controlling interest but is deemed to be able to exert significant influence over the affairs of the enterprise, the Company utilizes the equity method of accounting. Under the equity method of accounting, the initial investment is increased each period for additional capital contributions and a proportionate share of the entity’s earnings and decreased for cash distributions and a proportionate share of the entity’s losses. | ||
The Company elected the fair value option for its investments in unconsolidated ventures. The election was made upon initial recognition in the financial statements. The Company has elected the fair value option for the purpose of enhancing the transparency of its financial condition. The Company measures the fair value on the basis of the net asset value per share of the investments. | ||
Dividends and Distributions Payable | ' | |
Dividends and Distributions Payable | ||
Dividends and distributions payable represent dividends declared at the consolidated balance sheet date which are payable to common shareholders, preferred shareholders and distributions declared at the consolidated balance sheet date which are payable to non-controlling interest common unit holders of the Operating Partnership, respectively. | ||
Earnings per Share | ' | |
Earnings (Loss) per Share | ||
The Company calculates basic earnings (loss) per share by dividing net income attributable to common shareholders for the period by weighted-average shares of the Company’s common stock outstanding for that period. Diluted earnings per share takes into account the effect of dilutive instruments, such as units of limited partnership interest in the Operating Partnership (“OP Units”), exchangeable debt, and unvested restricted stock, but use the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. | ||
Comprehensive Income (Loss) | ' | |
Comprehensive Income (Loss) | ||
Comprehensive income (loss) is comprised of net income, as presented in the consolidated statements of operations, adjusted for changes in unrealized gains or losses on available for sale securities and changes in the fair value of derivatives accounted for as cash flow hedges. | ||
Accounting for Derivative Financial Instruments | ' | |
Accounting for Derivative Financial Instruments | ||
U.S. GAAP provides disclosure requirements for derivatives and hedging activities with the intent to provide users of financial statements with an enhanced understanding of: (i) how and why an entity uses derivative instruments; (ii) how derivative instruments and related hedged items are accounted for; and (iii) how derivative instruments and related hedged items affect an entity’s financial position, financial performance, and cash flows. U.S. GAAP requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about the fair value of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative instruments. | ||
The Company records all derivatives on the consolidated balance sheets at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative, whether the Company has elected to designate a derivative in a hedging relationship and apply hedge accounting and whether the hedging relationship has satisfied the criteria necessary to apply hedge accounting. Derivatives designated and qualifying as a hedge of the exposure to changes in the fair value of an asset, liability, or firm commitment attributable to a particular risk, such as interest rate risk, are considered fair value hedges. Derivatives designated and qualifying as a hedge of the exposure to variability in expected future cash flows, or other types of forecasted transactions, are considered cash flow hedges. Derivatives may also be designated as hedges of the foreign currency exposure of a net investment in a foreign operation. Hedge accounting generally provides for the matching of the timing of gain or loss recognition on the hedging instrument with the recognition of the changes in the fair value of the hedged asset or liability that are attributable to the hedged risk in a fair value hedge or the earnings effect of the hedged forecasted transactions in a cash flow hedge. The Company may enter into derivative contracts, such as credit default swaps, that are intended to economically hedge certain of its risk, even though hedge accounting does not apply or the Company elects not to apply hedge accounting under U.S. GAAP. | ||
Income Taxes | ' | |
Income Taxes | ||
The Company is taxed as a REIT. Accordingly, the Company is generally not subject to U.S. federal and applicable state and local corporate income tax to the extent that the Company makes qualifying distributions to its common shareholders, and provided the Company satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the Company’s failure to qualify as a REIT could have a material adverse impact on its results of operations and amounts available for distribution to its shareholders. | ||
A REIT’s dividend paid deduction for qualifying dividends to the Company’s shareholders is computed using its taxable income as opposed to net income reported on the consolidated financial statements. Taxable income, generally, will differ from net income because the determination of taxable income is based on tax regulations and not financial accounting principles. | ||
The Company may elect to treat certain of its future subsidiaries 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. A TRS is subject to U.S. federal, state and local corporate income taxes. | ||
If a TRS generates net income, the TRS can declare dividends to the Company which will be included in its taxable income and necessitate a distribution to its shareholders. Conversely, if the Company retains earnings at a TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. The Company has no adjustments regarding its tax accounting treatment of any uncertainties. The Company currently has no uncertain tax positions. | ||
Share-Based Compensation | ' | |
Share-Based Compensation | ||
The Company has adopted an equity incentive plan under which its independent directors, as part of their compensation for serving as directors, are eligible to receive quarterly restricted stock awards. In addition, the Company may compensate the officers and employees of the Manager and its affiliates under this plan pursuant to the management agreement. | ||
Share-based compensation arrangements include share options, restricted share awards, performance-based awards, share appreciation rights, and employee share purchase plans. Compensation costs relating to share-based payment transactions are recognized in the consolidated financial statements, based on the fair value of the equity or liability instruments issued on the date of grant, for awards to the Company’s independent directors. Compensation related to stock awards to officers and employees of the Manager and its affiliates is recorded at the estimated fair value of the award during the vesting period. The Company makes an upward or downward adjustment to compensation expense for the difference in the fair value at the date of grant and the date the award is earned. | ||
Dividend Reinvestment and Share Purchase Plan | ' | |
Dividend Reinvestment and Share Purchase Plan | ||
The Company has implemented a dividend reinvestment and share purchase plan (the “DRSPP”). Under the terms of the DRSPP, shareholders who participate in the DRSPP may purchase shares of common stock directly from the Company. DRSPP participants may also automatically reinvest all or a portion of their dividends for additional shares of common stock. | ||
Reclassifications | ' | |
Reclassifications | ||
The presentation of certain prior period reported amounts has been reclassified to be consistent with the current presentation. Such reclassifications had no impact on net income or equity attributable to common shareholders. | ||
Recent Accounting Pronouncements | ' | |
Recent Accounting Pronouncements | ||
In January 2013, the FASB issued Accounting Standards Update 2013-01, “Clarifying the Scope of Disclosure about Offsetting Assets and Liabilities” (“ASU 2013-01”). ASU 2013-01 clarified Accounting Standard Update 2011-11, “Disclosures about Offsetting Assets and Liabilities” which was issued in December 2011. Entities will be required to disclose both gross information and net information about both instruments and transactions eligible for offset in the statement of financial position and instruments and transaction subject to an agreement similar to a master netting arrangement. This scope would include derivatives, sale and repurchase agreements and reverse sale and repurchase agreements. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on a basis of U.S. GAAP basis and those entities that prepare their financial statements on the basis of International Financial Reporting Standards (IFRS). The guidance was effective for periods beginning on or after January 1, 2013, and interim periods within those annual periods. The additional disclosure requirements were incorporated into Note 10 “Offsetting Assets and Liabilities”. | ||
In February 2013, the FASB issued Accounting Standards Update 2013-02, “Reporting of Amounts Reclassified out of Accumulated Other Comprehensive Income” (“ASU 2013-02”), which adds new disclosure requirements for items reclassified out of accumulated other comprehensive income. ASU 2013-02 does not amend any existing requirements for reporting net income or other comprehensive income in the financial statements and is effective prospectively for reporting periods beginning after December 15, 2012. ASU 2013-02 increased our disclosures related to items reclassified out of accumulated other comprehensive income, but did not have an effect on our consolidated financial statements. | ||
Recent Accounting Pronouncements Not Yet Adopted | ' | |
Recent Accounting Pronouncements Not Yet Adopted | ||
None |
Variable_Interest_Entities_Tab
Variable Interest Entities (Tables) | 9 Months Ended | |||||
Sep. 30, 2013 | ||||||
Variable Interest Entity Disclosure [Abstract] | ' | |||||
Summary of Assets and Liabilities of Variable Interest Entities | ' | |||||
The following table presents a summary of the assets and liabilities of the VIEs. Intercompany balances have been eliminated for purposes of this presentation. | ||||||
$ in thousand | 30-Sep-13 | 31-Dec-12 | ||||
Residential loans, held-for-investment | 1,532,389 | — | ||||
Accrued interest receivable | 4,696 | — | ||||
Deferred costs | 3,065 | — | ||||
Total assets | 1,540,150 | — | ||||
Accrued interest and accrued expenses payable | 3,887 | — | ||||
Asset-backed securities issued | 1,411,897 | — | ||||
Total liabilities | 1,415,784 | — | ||||
MortgageBacked_Securities_Tabl
Mortgage-Backed Securities (Tables) | 9 Months Ended | |||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | |||||||||||||||||||||||
Summary of Investment Portfolio | ' | |||||||||||||||||||||||
The following tables present certain information about the Company’s investment portfolio as of September 30, 2013 and December 31, 2012. | ||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||
$ in thousands | Principal | Unamortized | Amortized | Unrealized | Fair | Net | Period- | Quarterly | ||||||||||||||||
Balance | Premium | Cost | Gain/ | Value | Weighted | end | Weighted | |||||||||||||||||
(Discount) | (Loss), net | Average | Weighted | Average | ||||||||||||||||||||
Coupon (1) | Average | Yield (3) | ||||||||||||||||||||||
Yield (2) | ||||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||
15 year fixed-rate | 1,722,520 | 89,091 | 1,811,611 | 28,193 | 1,839,804 | 4.02 | % | 2.24 | % | 2.35 | % | |||||||||||||
30 year fixed-rate | 8,689,193 | 579,210 | 9,268,403 | (246,644 | ) | 9,021,759 | 3.95 | % | 2.64 | % | 2.84 | % | ||||||||||||
ARM | 197,033 | (468 | ) | 196,565 | 1,335 | 197,900 | 2.73 | % | 2.55 | % | 2.41 | % | ||||||||||||
Hybrid ARM | 977,583 | (3,512 | ) | 974,071 | 3,236 | 977,307 | 2.56 | % | 2.39 | % | 2.19 | % | ||||||||||||
Total Agency pass-through | 11,586,329 | 664,321 | 12,250,650 | (213,880 | ) | 12,036,770 | 3.82 | % | 2.56 | % | 2.73 | % | ||||||||||||
Agency-CMO(4) | 1,491,381 | (1,004,321 | ) | 487,060 | (4,416 | ) | 482,644 | 2.8 | % | 3.16 | % | 2.31 | % | |||||||||||
Non-Agency RMBS(5) | 4,344,281 | (646,859 | ) | 3,697,422 | 11,589 | 3,709,011 | 3.67 | % | 3.76 | % | 4.63 | % | ||||||||||||
CMBS(6) | 4,585,928 | (2,027,009 | ) | 2,558,919 | 24,335 | 2,583,254 | 3.5 | % | 4.68 | % | 4.6 | % | ||||||||||||
Total | 22,007,919 | (3,013,868 | ) | 18,994,051 | (182,372 | ) | 18,811,679 | 3.66 | % | 3.1 | % | 3.34 | % | |||||||||||
-1 | Net weighted average coupon (“WAC”) as of September 30, 2013 is presented net of servicing and other fees. | |||||||||||||||||||||||
-2 | Average yield is based on amortized costs as of September 30, 2013 and incorporates future prepayment and loss assumptions. | |||||||||||||||||||||||
-3 | Average yield is based on average amortized costs for the three months ended September 30, 2013 and incorporates future prepayment and loss assumptions. | |||||||||||||||||||||||
-4 | Included in the Agency-CMO are interest-only securities which represent 16.4% of the balance based on fair value. | |||||||||||||||||||||||
-5 | The non-Agency RMBS held by the Company is 61.0% variable rate, 34.3% fixed rate, and 4.7% floating rate based on fair value. | |||||||||||||||||||||||
-6 | Included in the CMBS are interest-only securities and commercial real estate mezzanine loan pass-through certificates which represent 8.0% and 1.8% of the balance based on fair value, respectively. | |||||||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||
$ in thousands | Principal | Unamortized | Amortized | Unrealized | Fair | Net | Period- | Quarterly | ||||||||||||||||
Balance | Premium | Cost | Gain/ | Value | Weighted | end | Weighted | |||||||||||||||||
(Discount) | (Loss), net | Average | Weighted | Average | ||||||||||||||||||||
Coupon (1) | Average | Yield (3) | ||||||||||||||||||||||
Yield (2) | ||||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||
15 year fixed-rate | 1,964,999 | 102,058 | 2,067,057 | 63,839 | 2,130,896 | 4.09 | % | 2.37 | % | 2.37 | % | |||||||||||||
30 year fixed-rate | 9,168,196 | 601,592 | 9,769,788 | 238,949 | 10,008,737 | 4.21 | % | 2.89 | % | 2.88 | % | |||||||||||||
ARM | 109,937 | 3,464 | 113,401 | 2,365 | 115,766 | 3.15 | % | 2.06 | % | 2.02 | % | |||||||||||||
Hybrid ARM | 556,790 | 13,493 | 570,283 | 16,885 | 587,168 | 3.19 | % | 2.18 | % | 2.22 | % | |||||||||||||
Total Agency pass-through | 11,799,922 | 720,607 | 12,520,529 | 322,038 | 12,842,567 | 4.13 | % | 2.77 | % | 2.75 | % | |||||||||||||
Agency-CMO(4) | 1,322,043 | (819,530 | ) | 502,513 | 1,926 | 504,439 | 2.89 | % | 2.35 | % | 1.51 | % | ||||||||||||
Non-Agency RMBS(5) | 3,339,683 | (308,885 | ) | 3,030,798 | 48,238 | 3,079,036 | 4.2 | % | 4.61 | % | 4.8 | % | ||||||||||||
CMBS(6) | 1,868,928 | 24,070 | 1,892,998 | 151,523 | 2,044,521 | 5.27 | % | 4.96 | % | 4.82 | % | |||||||||||||
Total | 18,330,576 | (383,738 | ) | 17,946,838 | 523,725 | 18,470,563 | 4.17 | % | 3.3 | % | 3.27 | % | ||||||||||||
-1 | Net WAC as of December 31, 2012 is presented net of servicing and other fees. | |||||||||||||||||||||||
-2 | Average yield based on amortized cost as of December 31, 2012 incorporates future prepayment and loss assumptions. | |||||||||||||||||||||||
-3 | Average yield based on average amortized cost for the three months ended December 31, 2012 incorporates future prepayment and loss assumptions. | |||||||||||||||||||||||
-4 | Included in Agency-CMO are interest-only securities which represent 14.1% of the balance based on fair value. | |||||||||||||||||||||||
-5 | The non-Agency RMBS held by the Company is 79.2% variable rate, 15.5% fixed rate, and 5.3% floating rate based on fair value. | |||||||||||||||||||||||
-6 | Included in the CMBS are interest-only securities and commercial real estate mezzanine loan pass-through certificates which represent 0% and 1.1% of the balance based on fair value, respectively. | |||||||||||||||||||||||
Components of Non-Agency RMBS Portfolio by Asset Type | ' | |||||||||||||||||||||||
The following table summarizes our non-Agency RMBS portfolio by asset type as of September 30, 2013 and December 31, 2012, respectively: | ||||||||||||||||||||||||
$ in thousands | 30-Sep-13 | % of Non-Agency | 31-Dec-12 | % of Non-Agency | ||||||||||||||||||||
Re-REMIC Senior | 1,475,475 | 39.8 | % | 1,844,209 | 59.9 | % | ||||||||||||||||||
Prime | 1,383,923 | 37.3 | % | 754,161 | 24.5 | % | ||||||||||||||||||
Alt-A | 822,815 | 22.2 | % | 468,181 | 15.2 | % | ||||||||||||||||||
Subprime | 26,798 | 0.7 | % | 12,485 | 0.4 | % | ||||||||||||||||||
Total Non-Agency | 3,709,011 | 100 | % | 3,079,036 | 100 | % | ||||||||||||||||||
Components of Senior Re-REMIC at Fair Value | ' | |||||||||||||||||||||||
The following table summarizes certain characteristics of our senior Re-REMIC holdings as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||
Percentage of Re-REMIC holdings at Fair Value | ||||||||||||||||||||||||
Re-REMIC Subordination(1) | 30-Sep-13 | 31-Dec-12 | ||||||||||||||||||||||
0-10 | 3.9 | % | 2.1 | % | ||||||||||||||||||||
20-Oct | 3.5 | % | 3.2 | % | ||||||||||||||||||||
20-30 | 14.2 | % | 15 | % | ||||||||||||||||||||
30-40 | 25.5 | % | 27 | % | ||||||||||||||||||||
40-50 | 39.5 | % | 40.4 | % | ||||||||||||||||||||
50-60 | 8.6 | % | 7.6 | % | ||||||||||||||||||||
60-70 | 4.8 | % | 4.7 | % | ||||||||||||||||||||
Total | 100 | % | 100 | % | ||||||||||||||||||||
-1 | Subordination refers to the credit enhancement provided to the senior Re-REMIC tranche by the junior Re-REMIC tranche or tranches in a resecuritization. This figure reflects the percentage of the balance of the underlying security represented by the junior tranche or tranches at the time of resecuritization. Generally, principal losses on the underlying security in excess of the subordination amount would result in principal losses on the senior Re-REMIC tranche. | |||||||||||||||||||||||
Components of Carrying Value of Investment Portfolio | ' | |||||||||||||||||||||||
The components of the carrying value of the Company’s investment portfolio at September 30, 2013 and December 31, 2012 are presented below: | ||||||||||||||||||||||||
$ in thousands | 30-Sep-13 | 31-Dec-12 | ||||||||||||||||||||||
Principal balance | 22,007,919 | 18,330,576 | ||||||||||||||||||||||
Unamortized premium | 758,256 | 788,716 | ||||||||||||||||||||||
Unamortized discount | (3,772,124 | ) | (1,172,454 | ) | ||||||||||||||||||||
Gross unrealized gains | 284,631 | 563,093 | ||||||||||||||||||||||
Gross unrealized losses | (467,003 | ) | (39,368 | ) | ||||||||||||||||||||
Fair value | 18,811,679 | 18,470,563 | ||||||||||||||||||||||
Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification | ' | |||||||||||||||||||||||
The following table summarizes certain characteristics of the Company’s investment portfolio, at fair value, according to estimated weighted average life classifications as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||
$ in thousands | 30-Sep-13 | 31-Dec-12 | ||||||||||||||||||||||
Less than one year | 28,125 | 70,044 | ||||||||||||||||||||||
Greater than one year and less than five years | 5,625,403 | 13,146,577 | ||||||||||||||||||||||
Greater than or equal to five years | 13,158,151 | 5,253,942 | ||||||||||||||||||||||
Total | 18,811,679 | 18,470,563 | ||||||||||||||||||||||
Unrealized Losses and Estimated Fair Value of MBS by Length of Time | ' | |||||||||||||||||||||||
The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS by length of time that such securities have been in a continuous unrealized loss position at September 30, 2013 and December 31, 2012, respectively: | ||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||
$ in thousands | Fair Value | Unrealized | Fair Value | Unrealized | Fair Value | Unrealized | ||||||||||||||||||
Losses | Losses | Losses | ||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||
15 year fixed-rate | 155,656 | (3,048 | ) | 11,583 | (319 | ) | 167,239 | (3,367 | ) | |||||||||||||||
30 year fixed-rate | 6,274,314 | (308,170 | ) | 79,392 | (1,300 | ) | 6,353,706 | (309,470 | ) | |||||||||||||||
ARM | 34,431 | (449 | ) | — | — | 34,431 | (449 | ) | ||||||||||||||||
Hybrid ARM | 381,312 | (2,818 | ) | — | — | 381,312 | (2,818 | ) | ||||||||||||||||
Total Agency pass-through | 6,845,713 | (314,485 | ) | 90,975 | (1,619 | ) | 6,936,688 | (316,104 | ) | |||||||||||||||
Agency-CMO | 228,820 | (11,884 | ) | 12,810 | (4,263 | ) | 241,630 | (16,147 | ) | |||||||||||||||
Non-Agency RMBS | 1,434,914 | (58,969 | ) | 379,751 | (9,708 | ) | 1,814,665 | (68,677 | ) | |||||||||||||||
CMBS | 1,127,151 | (66,075 | ) | — | — | 1,127,151 | (66,075 | ) | ||||||||||||||||
Total | 9,636,598 | (451,413 | ) | 483,536 | (15,590 | ) | 10,120,134 | (467,003 | ) | |||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||
$ in thousands | Fair Value | Unrealized | Fair Value | Unrealized | Fair Value | Unrealized | ||||||||||||||||||
Losses | Losses | Losses | ||||||||||||||||||||||
Agency RMBS: | ||||||||||||||||||||||||
15 year fixed-rate | 31,269 | (279 | ) | — | — | 31,269 | (279 | ) | ||||||||||||||||
30 year fixed-rate | 1,763,113 | (6,469 | ) | 78,640 | (832 | ) | 1,841,753 | (7,301 | ) | |||||||||||||||
Total Agency pass-through | 1,794,382 | (6,748 | ) | 78,640 | (832 | ) | 1,873,022 | (7,580 | ) | |||||||||||||||
Agency-CMO | 31,719 | (7,796 | ) | 10,770 | (2,812 | ) | 42,489 | (10,608 | ) | |||||||||||||||
Non-Agency RMBS | 516,744 | (6,005 | ) | 490,503 | (12,895 | ) | 1,007,247 | (18,900 | ) | |||||||||||||||
CMBS | 187,349 | (1,267 | ) | 52,813 | (1,013 | ) | 240,162 | (2,280 | ) | |||||||||||||||
Total | 2,530,194 | (21,816 | ) | 632,726 | (17,552 | ) | 3,162,920 | (39,368 | ) | |||||||||||||||
Impact of MBS on Accumulated other Comprehensive Income | ' | |||||||||||||||||||||||
The following table presents the impact of the Company’s MBS on its accumulated other comprehensive income for the three and nine months ended September 30, 2013 and 2012. | ||||||||||||||||||||||||
$ in thousands | Three Months | Three Months | Nine Months | Nine Months | ||||||||||||||||||||
ended | ended | ended | ended | |||||||||||||||||||||
September 30, 2013 | September 30, 2012 | September 30, 2013 | September 30, 2012 | |||||||||||||||||||||
Accumulated other comprehensive income from investment securities: | ||||||||||||||||||||||||
Unrealized gain on MBS at beginning of period | (257,402 | ) | 268,269 | 523,725 | (1,217 | ) | ||||||||||||||||||
Unrealized gain (loss) on MBS, net | 75,030 | 316,823 | (706,097 | ) | 586,309 | |||||||||||||||||||
Balance at the end of period | (182,372 | ) | 585,092 | (182,372 | ) | 585,092 | ||||||||||||||||||
Components of MBS Interest Income | ' | |||||||||||||||||||||||
The following table presents components of interest income on the Company’s MBS portfolio for the three and nine months ended September 30, 2013 and 2012. | ||||||||||||||||||||||||
For the three months ended September 30, 2013 | ||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | |||||||||||||||||||||
Interest | Amortization)/Discount | Income | ||||||||||||||||||||||
Accretion | ||||||||||||||||||||||||
Agency | 126,685 | (40,578 | ) | 86,107 | ||||||||||||||||||||
Non-Agency | 39,479 | 2,895 | 42,374 | |||||||||||||||||||||
CMBS | 39,167 | (10,050 | ) | 29,117 | ||||||||||||||||||||
Other | (59 | ) | — | (59 | ) | |||||||||||||||||||
Totals | 205,272 | (47,733 | ) | 157,539 | ||||||||||||||||||||
For the nine months ended September 30, 2013 | ||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | |||||||||||||||||||||
Interest | Amortization)/Discount | Income | ||||||||||||||||||||||
Accretion | ||||||||||||||||||||||||
Agency | 412,945 | (132,648 | ) | 280,297 | ||||||||||||||||||||
Non-Agency | 117,215 | 6,038 | 123,253 | |||||||||||||||||||||
CMBS | 101,487 | (18,502 | ) | 82,985 | ||||||||||||||||||||
Other | 84 | — | 84 | |||||||||||||||||||||
Totals | 631,731 | (145,112 | ) | 486,619 | ||||||||||||||||||||
For the three months ended September 30, 2012 | ||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | |||||||||||||||||||||
Interest | Amortization)/Discount | Income | ||||||||||||||||||||||
Accretion | ||||||||||||||||||||||||
Agency | 132,520 | (42,479 | ) | 90,041 | ||||||||||||||||||||
Non-Agency | 26,477 | 4,149 | 30,626 | |||||||||||||||||||||
CMBS | 20,330 | (477 | ) | 19,853 | ||||||||||||||||||||
Other | (43 | ) | — | (43 | ) | |||||||||||||||||||
Totals | 179,284 | (38,807 | ) | 140,477 | ||||||||||||||||||||
For the nine months ended September 30, 2012 | ||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | |||||||||||||||||||||
Interest | Amortization)/Discount | Income | ||||||||||||||||||||||
Accretion | ||||||||||||||||||||||||
Agency | 382,226 | (109,717 | ) | 272,509 | ||||||||||||||||||||
Non-Agency | 79,903 | 15,204 | 95,107 | |||||||||||||||||||||
CMBS | 54,146 | (209 | ) | 53,937 | ||||||||||||||||||||
Other | (111 | ) | — | (111 | ) | |||||||||||||||||||
Totals | 516,164 | (94,722 | ) | 421,442 | ||||||||||||||||||||
Residential_Loans_HeldforInves1
Residential Loans Held-for-Investment (Tables) | 9 Months Ended | |||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||
Residential Loans Held-for-Investment | ' | |||||||||||||||||
The following table displays certain characteristics of the Company's residential loans held-for-investment at September 30, 2013 by year of origination. | ||||||||||||||||||
$ in thousands | 2013 | 2012 | 2011 | 2010 | 2009 | Total | ||||||||||||
Portfolio Characteristics: | ||||||||||||||||||
Number of Loans | 1,299 | 600 | — | — | 5 | 1,904 | ||||||||||||
Current Principal Balance | 992,778 | 503,747 | — | — | 2,201 | 1,498,726 | ||||||||||||
Net Weighted Average Coupon Rate | 3.48 | % | 3.5 | % | — | — | 3.54 | % | 3.49 | % | ||||||||
Weighted Average Maturity (years) | 29.52 | 29.28 | — | — | 25.81 | 29.43 | ||||||||||||
Current Performance: | ||||||||||||||||||
Current | 991,339 | 502,918 | — | — | 2,201 | 1,496,458 | ||||||||||||
30 Day Delinquent | 1,439 | 829 | — | — | — | 2,268 | ||||||||||||
60 Days Delinquent | — | — | — | — | — | — | ||||||||||||
90+ Days Delinquent | — | — | — | — | — | — | ||||||||||||
Bankruptcy/Foreclosure | — | — | — | — | — | — | ||||||||||||
Total | 992,778 | 503,747 | — | — | 2,201 | 1,498,726 | ||||||||||||
Five Largest Geographic Concentrations of Residential Loans | ' | |||||||||||||||||
The following table presents the five largest geographic concentrations of the Company’s residential loans at September 30, 2013 based on principal balance outstanding: | ||||||||||||||||||
State | Percent | |||||||||||||||||
California | 49.9 | % | ||||||||||||||||
Illinois | 5.9 | % | ||||||||||||||||
Massachusetts | 5.7 | % | ||||||||||||||||
Virginia | 4.3 | % | ||||||||||||||||
Maryland | 4.2 | % | ||||||||||||||||
Other states (none greater than 4%) | 30 | % | ||||||||||||||||
Total | 100 | % | ||||||||||||||||
Future Minimum Annual Principal Payments Under Residential Loans, Held for Investments | ' | |||||||||||||||||
The following table presents future minimum annual principal payments under the residential loans held-for-investment at September 30, 2013: | ||||||||||||||||||
$ in thousands | ||||||||||||||||||
Scheduled Principal | 30-Sep-13 | |||||||||||||||||
Within one year | 27,331 | |||||||||||||||||
One to three years | 57,835 | |||||||||||||||||
Three to five years | 62,340 | |||||||||||||||||
Greater than or equal to five years | 1,351,220 | |||||||||||||||||
Total | 1,498,726 | |||||||||||||||||
Activity in Allowance for Loan Losses | ' | |||||||||||||||||
The following table summarizes the activity in the allowance for loan losses for the nine months ended September 30, 2013: | ||||||||||||||||||
$ in thousands | 30-Sep-13 | |||||||||||||||||
Balance at beginning of period | — | |||||||||||||||||
Charge-offs, net | — | |||||||||||||||||
Provision for loan losses | 751 | |||||||||||||||||
Balance at end of period | 751 | |||||||||||||||||
Variable Interest Entity, Primary Beneficiary | ' | |||||||||||||||||
Residential Loans Held-for-Investment | ' | |||||||||||||||||
The following table details the carrying value for residential loans held-for-investment at September 30, 2013 and December 31, 2012. These loans are held by the VIEs which the Company consolidates. | ||||||||||||||||||
$ in thousands | 30-Sep-13 | 31-Dec-12 | ||||||||||||||||
Principal balance | 1,498,726 | — | ||||||||||||||||
Unamortized premium, net | 34,414 | — | ||||||||||||||||
Recorded investment | 1,533,140 | — | ||||||||||||||||
Allowance for loan losses | (751 | ) | — | |||||||||||||||
Carrying value | 1,532,389 | — | ||||||||||||||||
Borrowings_Tables
Borrowings (Tables) | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Debt Disclosure [Abstract] | ' | |||||||||||||||
Schedule of Borrowings | ' | |||||||||||||||
The following table summarizes certain characteristics of the Company’s borrowings as of September 30, 2013 and December 31, 2012: | ||||||||||||||||
$ in thousands | 30-Sep-13 | 31-Dec-12 | ||||||||||||||
Weighted | Weighted | |||||||||||||||
Weighted | Average | Weighted | Average | |||||||||||||
Average | Remaining | Average | Remaining | |||||||||||||
Amount | Interest | Maturity | Amount | Interest | Maturity | |||||||||||
Outstanding | Rate | (days) | Outstanding | Rate | (days) | |||||||||||
Agency RMBS | 10,958,730 | 0.37 | % | 18 | 11,713,565 | 0.48 | % | 16 | ||||||||
Non-Agency RMBS | 2,995,413 | 1.55 | % | 33 | 2,450,960 | 1.75 | % | 23 | ||||||||
CMBS | 1,943,469 | 1.42 | % | 21 | 1,555,935 | 1.51 | % | 18 | ||||||||
Exchangeable Senior Notes | 400,000 | 5 | % | 1627 | — | — | % | 0 | ||||||||
Total | 16,297,612 | 0.83 | % | 60 | 15,720,460 | 0.78 | % | 17 | ||||||||
Schedule of Repurchase Agreements by Counterparties | ' | |||||||||||||||
The following tables summarize certain characteristics of the Company’s repurchase agreements at September 30, 2013 and December 31, 2012: | ||||||||||||||||
30-Sep-13 | Percent of Total | |||||||||||||||
$ in thousands | Amount | Amount | Company MBS | |||||||||||||
Repurchase Agreement Counterparties | Outstanding | Outstanding | Held as Collateral | |||||||||||||
Credit Suisse Securities (USA) LLC | 1,701,184 | 10.8 | % | 1,999,024 | ||||||||||||
Citigroup Global Markets Inc. | 1,260,176 | 7.9 | % | 1,413,843 | ||||||||||||
Banc of America Securities LLC | 1,195,313 | 7.5 | % | 1,324,343 | ||||||||||||
South Street Securities LLC | 1,167,095 | 7.3 | % | 1,224,850 | ||||||||||||
Wells Fargo Securities, LLC | 1,094,712 | 6.9 | % | 1,263,712 | ||||||||||||
Morgan Stanley & Co. Incorporated | 990,095 | 6.2 | % | 1,080,265 | ||||||||||||
Pierpont Securities LLC | 841,971 | 5.3 | % | 892,038 | ||||||||||||
JP Morgan Securities Inc. | 830,199 | 5.2 | % | 967,291 | ||||||||||||
RBS Securities Inc. | 805,749 | 5.1 | % | 931,688 | ||||||||||||
ING Financial Market LLC | 683,975 | 4.3 | % | 736,322 | ||||||||||||
Nomura Securities International, Inc. | 591,925 | 3.7 | % | 624,060 | ||||||||||||
HSBC Securities (USA) Inc | 519,350 | 3.3 | % | 537,185 | ||||||||||||
Industrial and Commercial Bank of China Financial Services LLC | 511,155 | 3.2 | % | 540,954 | ||||||||||||
Mitsubishi UFJ Securities (USA), Inc. | 489,904 | 3.1 | % | 522,000 | ||||||||||||
Goldman, Sachs & Co. | 482,523 | 3 | % | 516,843 | ||||||||||||
Scotia Capital | 452,067 | 2.8 | % | 476,569 | ||||||||||||
Royal Bank of Canada | 437,539 | 2.8 | % | 489,352 | ||||||||||||
Daiwa Capital Markets America Inc | 411,106 | 2.6 | % | 424,867 | ||||||||||||
Deutsche Bank Securities Inc. | 406,303 | 2.6 | % | 463,227 | ||||||||||||
BNP Paribas Securities Corp. | 368,794 | 2.3 | % | 392,547 | ||||||||||||
KGS-Alpha Capital Markets, L.P. | 168,750 | 1.1 | % | 180,511 | ||||||||||||
Barclays Capital Inc. | 163,548 | 1 | % | 174,961 | ||||||||||||
TD Securities | 151,918 | 1 | % | 165,137 | ||||||||||||
Cantor Fitzgerald & Co. | 70,332 | 0.4 | % | 74,077 | ||||||||||||
Mizuho Securities USA Inc. | 68,179 | 0.4 | % | 80,734 | ||||||||||||
Guggenheim Liquidity Services, LLC | 33,750 | 0.2 | % | 35,599 | ||||||||||||
Total | 15,897,612 | 100 | % | 17,531,999 | ||||||||||||
31-Dec-12 | Percent of Total | |||||||||||||||
$ in thousands | Amount | Amount | Company MBS | |||||||||||||
Repurchase Agreement Counterparties | Outstanding | Outstanding | Held as Collateral | |||||||||||||
Credit Suisse Securities (USA) LLC | 1,600,331 | 10.2 | % | 1,919,676 | ||||||||||||
Morgan Stanley & Co. Incorporated | 1,275,616 | 8.1 | % | 1,397,846 | ||||||||||||
Nomura Securities International, Inc. | 1,240,231 | 7.9 | % | 1,350,901 | ||||||||||||
Mitsubishi UFJ Securities (USA), Inc. | 941,671 | 6 | % | 990,057 | ||||||||||||
Wells Fargo Securities, LLC | 941,556 | 6 | % | 1,079,194 | ||||||||||||
HSBC Securities (USA) Inc | 883,726 | 5.6 | % | 918,551 | ||||||||||||
South Street Securities LLC | 819,524 | 5.2 | % | 871,963 | ||||||||||||
CitiGroup Global Markets Inc. | 780,020 | 5 | % | 882,517 | ||||||||||||
Banc of America Securities LLC | 728,609 | 4.6 | % | 838,216 | ||||||||||||
Scotia Capital | 708,750 | 4.5 | % | 744,692 | ||||||||||||
Industrial and Commercial Bank of China Financial Services LLC | 634,928 | 4 | % | 690,783 | ||||||||||||
Deutsche Bank Securities Inc. | 587,919 | 3.7 | % | 666,472 | ||||||||||||
ING Financial Market LLC | 573,116 | 3.6 | % | 622,944 | ||||||||||||
JP Morgan Securities Inc. | 561,426 | 3.6 | % | 697,602 | ||||||||||||
Royal Bank of Canada | 560,828 | 3.6 | % | 641,079 | ||||||||||||
BNP Paribas Securities Corp. | 488,375 | 3.1 | % | 516,770 | ||||||||||||
Goldman, Sachs & Co. | 468,806 | 3 | % | 509,660 | ||||||||||||
Daiwa Capital Markets America Inc | 456,098 | 2.9 | % | 479,354 | ||||||||||||
Pierpont Securities LLC | 437,095 | 2.8 | % | 463,466 | ||||||||||||
Barclays Capital Inc. | 350,688 | 2.3 | % | 372,708 | ||||||||||||
RBS Securities Inc. | 348,741 | 2.2 | % | 427,183 | ||||||||||||
Mizuho Securities USA Inc. | 101,962 | 0.6 | % | 122,836 | ||||||||||||
Cantor Fitzgerald & Co. | 80,466 | 0.5 | % | 86,961 | ||||||||||||
KGS-Alpha Capital Markets, L.P. | 79,052 | 0.5 | % | 86,241 | ||||||||||||
Guggenheim Liquidity Services, LLC | 43,245 | 0.3 | % | 45,437 | ||||||||||||
TD Securities | 27,681 | 0.2 | % | 33,129 | ||||||||||||
Total | 15,720,460 | 100 | % | 17,456,238 | ||||||||||||
Carrying Value of Assets Backed Securities Issued | ' | |||||||||||||||
The following table provides summary information of the carrying value of the ABS issued, along with other relevant information, at September 30, 2013. | ||||||||||||||||
ABS | Residential loans | |||||||||||||||
$ in thousands | Outstanding | Held as Collateral | ||||||||||||||
Principal balance | 1,392,952 | 1,498,726 | ||||||||||||||
Interest-only securities | 11,412 | — | ||||||||||||||
Unamortized premium | 10,354 | 34,414 | ||||||||||||||
Unamortized discount | (2,821 | ) | — | |||||||||||||
Loan loss reserve | — | (751 | ) | |||||||||||||
Carrying value | 1,411,897 | 1,532,389 | ||||||||||||||
Range of weighted average interest rates | 2.8% - 3.3% | |||||||||||||||
Number of series | 4 | |||||||||||||||
Principal Repayment of Mortgage Loans | ' | |||||||||||||||
The following table presents the estimated principal repayment schedule of the VIE’s ABS at September 30, 2013, based on estimated cash flows of the residential mortgage loans, as adjusted for projected losses on such loans. | ||||||||||||||||
$ in thousands | ||||||||||||||||
Estimated principal repayment | 30-Sep-13 | |||||||||||||||
Within One Year | 172,695 | |||||||||||||||
One to Three Years | 290,454 | |||||||||||||||
Three to Five Years | 227,926 | |||||||||||||||
Greater Than or Equal to Five Years | 701,877 | |||||||||||||||
Total | 1,392,952 | |||||||||||||||
Derivatives_and_Hedging_Activi1
Derivatives and Hedging Activities (Tables) | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||||||
Open CDS Sold by Company | ' | ||||||||||||||||||||
At September 30, 2013 and December 31, 2012, the open CDS sold by the Company is summarized as follows: | |||||||||||||||||||||
$ in thousand | 30-Sep-13 | 31-Dec-12 | |||||||||||||||||||
Fair value amount | 776 | 1,519 | |||||||||||||||||||
Notional amount | 57,450 | 79,806 | |||||||||||||||||||
Maximum potential amount of future undiscounted payments | 57,450 | 79,806 | |||||||||||||||||||
Recourse provisions with third parties | — | — | |||||||||||||||||||
Collateral held by counterparty | 8,933 | 12,371 | |||||||||||||||||||
Outstanding Interest Rate Swaptions | ' | ||||||||||||||||||||
As of September 30, 2013, the company had the following outstanding interest rate swaptions: | |||||||||||||||||||||
$ in thousands | Option | Underlying Swap | |||||||||||||||||||
Average | Average | Average | Average | ||||||||||||||||||
Fair | Months to | Notional | Fixed Pay | Receive | Term | ||||||||||||||||
Swaptions | Expiration | Cost | Value | Expiration | Amount | Rate | rate | (Years) | |||||||||||||
Payer | < 6 Months | 25,030 | 6,684 | 3.1 | 1,300,000 | 3.32 | % | 3M Libor | 10 | ||||||||||||
Payer | > 6 Months | 8,200 | 3,651 | 7.58 | 400,000 | 3.76 | % | 3M Libor | 10 | ||||||||||||
33,230 | 10,335 | 4.15 | 1,700,000 | 3.42 | % | 10 | |||||||||||||||
The following table presents information with respect to our derivative instruments: | |||||||||||||||||||||
$ in thousands | Notional Amount as | Additions | Settlement, | Notional Amount as | Amount of Realized | ||||||||||||||||
of January 1, 2013 | Termination, | of September 30, 2013 | Gain, net on Interest | ||||||||||||||||||
Expiration | Rate Derivative | ||||||||||||||||||||
or Exercise | Instruments | ||||||||||||||||||||
Swaption Contracts | 850,000 | 4,450,000 | (3,600,000 | ) | 1,700,000 | 66,234 | |||||||||||||||
Interest Rate Swap | 8,000,000 | 5,100,000 | (300,000 | ) | 12,800,000 | — | |||||||||||||||
U.S. Treasury Futures Contracts | — | 100,000 | — | 100,000 | — | ||||||||||||||||
Total | 8,850,000 | 9,650,000 | (3,900,000 | ) | 14,600,000 | 66,234 | |||||||||||||||
Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges | ' | ||||||||||||||||||||
As of September 30, 2013, the Company had the following interest rate derivatives outstanding, which were designated as cash flow hedges of interest rate risk: | |||||||||||||||||||||
$ in thousands | Notional | Maturity Date | Fixed Interest Rate | ||||||||||||||||||
Counterparty | in Contract | ||||||||||||||||||||
SunTrust Bank | 100,000 | 7/15/14 | 2.79 | % | |||||||||||||||||
Deutsche Bank AG | 200,000 | 1/15/15 | 1.08 | % | |||||||||||||||||
Deutsche Bank AG | 250,000 | 2/15/15 | 1.14 | % | |||||||||||||||||
Credit Suisse International | 100,000 | 2/24/15 | 3.26 | % | |||||||||||||||||
Credit Suisse International | 100,000 | 3/24/15 | 2.76 | % | |||||||||||||||||
Wells Fargo Bank, N.A. | 100,000 | 7/15/15 | 2.85 | % | |||||||||||||||||
Wells Fargo Bank, N.A. | 50,000 | 7/15/15 | 2.44 | % | |||||||||||||||||
Morgan Stanley Capital Services, LLC | 300,000 | 1/24/16 | 2.12 | % | |||||||||||||||||
The Bank of New York Mellon | 300,000 | 1/24/16 | 2.13 | % | |||||||||||||||||
Morgan Stanley Capital Services, LLC | 300,000 | 4/5/16 | 2.48 | % | |||||||||||||||||
Citibank, N.A. | 300,000 | 4/15/16 | 1.67 | % | |||||||||||||||||
Credit Suisse International | 500,000 | 4/15/16 | 2.27 | % | |||||||||||||||||
The Bank of New York Mellon | 500,000 | 4/15/16 | 2.24 | % | |||||||||||||||||
JPMorgan Chase Bank, N.A. | 500,000 | 5/16/16 | 2.31 | % | |||||||||||||||||
Goldman Sachs Bank USA | 500,000 | 5/24/16 | 2.34 | % | |||||||||||||||||
Goldman Sachs Bank USA | 250,000 | 6/15/16 | 2.67 | % | |||||||||||||||||
Wells Fargo Bank, N.A. | 250,000 | 6/15/16 | 2.67 | % | |||||||||||||||||
JPMorgan Chase Bank, N.A. | 500,000 | 6/24/16 | 2.51 | % | |||||||||||||||||
Citibank, N.A. | 500,000 | 10/15/16 | 1.93 | % | |||||||||||||||||
Deutsche Bank AG | 150,000 | 2/5/18 | 2.9 | % | |||||||||||||||||
ING Capital Markets LLC | 350,000 | 2/24/18 | 0.95 | % | |||||||||||||||||
Morgan Stanley Capital Services, LLC | 100,000 | 4/5/18 | 3.1 | % | |||||||||||||||||
ING Capital Markets LLC | 300,000 | 5/5/18 | 0.79 | % | |||||||||||||||||
JPMorgan Chase Bank, N.A. | 200,000 | 5/15/18 | 2.93 | % | |||||||||||||||||
UBS AG | 500,000 | 5/24/18 | 1.1 | % | |||||||||||||||||
ING Capital Markets LLC | 400,000 | 6/5/18 | 0.87 | % | |||||||||||||||||
The Royal Bank of Scotland Plc | 500,000 | 9/5/18 | 1.04 | % | |||||||||||||||||
CME Clearing House | (5 | ) | (6) | 300,000 | 2/5/21 | 2.5 | % | ||||||||||||||
CME Clearing House | (5 | ) | (6) | 300,000 | 2/5/21 | 2.69 | % | ||||||||||||||
Wells Fargo Bank, N.A. | 200,000 | 3/15/21 | 3.14 | % | |||||||||||||||||
Citibank, N.A. | 200,000 | 5/25/21 | 2.83 | % | |||||||||||||||||
HSBC Bank USA, National Association | (3 | ) | 550,000 | 2/24/22 | 2.45 | % | |||||||||||||||
The Royal Bank of Scotland Plc | (4 | ) | 400,000 | 3/15/23 | 2.39 | % | |||||||||||||||
UBS AG | (4 | ) | 400,000 | 3/15/23 | 2.51 | % | |||||||||||||||
HSBC Bank USA, National Association | 250,000 | 6/5/23 | 1.91 | % | |||||||||||||||||
HSBC Bank USA, National Association | 250,000 | 7/5/23 | 1.97 | % | |||||||||||||||||
The Royal Bank of Scotland Plc | 500,000 | 8/15/23 | 1.98 | % | |||||||||||||||||
CME Clearing House | (6 | ) | 600,000 | 8/24/23 | 2.88 | % | |||||||||||||||
UBS AG | (1 | ) | 250,000 | 11/15/23 | 2.23 | % | |||||||||||||||
HSBC Bank USA, National Association | (2 | ) | 500,000 | 12/15/23 | 2.2 | % | |||||||||||||||
Total | 12,800,000 | 2.12 | % | ||||||||||||||||||
-1 | Forward start date of November 2013 | ||||||||||||||||||||
-2 | Forward start date of December 2013 | ||||||||||||||||||||
-3 | Forward start date of February 2015 | ||||||||||||||||||||
-4 | Forward start date of March 2015 | ||||||||||||||||||||
-5 | Forward start date of February 2016 | ||||||||||||||||||||
-6 | Beginning June 10, 2013, regulations promulgated under The Dodd-Frank Wall Street Reform and Consumer Protection Act mandate that the Company clear new interest rate swap transactions through a central counterparty. Transactions that are centrally cleared result in the Company facing a clearing house, rather than a swap dealer, as counterparty. Central clearing requires the Company to post collateral in the form of initial and variation margin to the clearing house which reduces default risk. | ||||||||||||||||||||
Fair Value of Derivative Financial Instruments and Classification on Balance Sheet | ' | ||||||||||||||||||||
The table below presents the fair value of the Company’s derivative financial instruments, as well as their classification on the consolidated balance sheets as of September 30, 2013 and December 31, 2012. | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Asset Derivatives | Liability Derivatives | ||||||||||||||||||||
As of September 30, 2013 | As of December 31, 2012 | As of September 30, 2013 | As of December 31, 2012 | ||||||||||||||||||
Balance | Fair Value | Balance | Fair Value | Balance | Fair Value | Balance | Fair Value | ||||||||||||||
Sheet | Sheet | Sheet | Sheet | ||||||||||||||||||
Interest rate swap asset | 177,398 | Interest rate | — | Interest rate | 313,303 | Interest rate | 436,440 | ||||||||||||||
swap asset | swap liability | swap liability | |||||||||||||||||||
CDS | 776 | CDS | 1,519 | U.S. Treasury futures | 3,367 | U.S. Treasury futures | — | ||||||||||||||
Swaption | 10,335 | Swaption | 4,950 | ||||||||||||||||||
Effect of Derivative Financial Instruments on Statement of Operations | ' | ||||||||||||||||||||
Balance Sheets | |||||||||||||||||||||
The table below presents the fair value of the Company’s derivative financial instruments, as well as their classification on the consolidated balance sheets as of September 30, 2013 and December 31, 2012. | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Asset Derivatives | Liability Derivatives | ||||||||||||||||||||
As of September 30, 2013 | As of December 31, 2012 | As of September 30, 2013 | As of December 31, 2012 | ||||||||||||||||||
Balance | Fair Value | Balance | Fair Value | Balance | Fair Value | Balance | Fair Value | ||||||||||||||
Sheet | Sheet | Sheet | Sheet | ||||||||||||||||||
Interest rate swap asset | 177,398 | Interest rate | — | Interest rate | 313,303 | Interest rate | 436,440 | ||||||||||||||
swap asset | swap liability | swap liability | |||||||||||||||||||
CDS | 776 | CDS | 1,519 | U.S. Treasury futures | 3,367 | U.S. Treasury futures | — | ||||||||||||||
Swaption | 10,335 | Swaption | 4,950 | ||||||||||||||||||
Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement | |||||||||||||||||||||
The table below presents the effect of the Company’s derivative financial instruments on the statement of operations for the three and nine months ended September 30, 2013 and 2012. | |||||||||||||||||||||
Three months ended September 30, 2013 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of loss | Amount of loss | Location of gain | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | reclassified from | reclassified from | recognized in | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | accumulated | accumulated OCI into | income on | on derivative | ||||||||||||||||
hedge | (effective portion) | OCI into | income (effective | derivative | (ineffective portion) | ||||||||||||||||
income | portion) | (ineffective | |||||||||||||||||||
(effective | portion) | ||||||||||||||||||||
portion) | |||||||||||||||||||||
Interest Rate Swap | (74,098 | ) | Interest Expense | 43,583 | Realized and unrealized gain (loss) on interest rate derivative instruments | 298 | |||||||||||||||
Nine months ended September 30, 2013 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of loss | Amount of loss | Location of gain | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | reclassified from | reclassified from | recognized in | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | accumulated | accumulated OCI into | income on | on derivative | ||||||||||||||||
hedge | (effective portion) | OCI into | income (effective | derivative | (ineffective portion) | ||||||||||||||||
income | portion) | (ineffective | |||||||||||||||||||
(effective | portion) | ||||||||||||||||||||
portion) | |||||||||||||||||||||
Interest Rate Swap | 183,391 | Interest Expense | 116,553 | Realized and unrealized gain (loss) on interest rate derivative instruments | 591 | ||||||||||||||||
Three months ended September 30, 2012 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of loss | Amount of loss | Location of loss | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | reclassified from | reclassified from | recognized in | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | accumulated | accumulated OCI into | income on | on derivative | ||||||||||||||||
hedge | (effective portion) | OCI into | income (effective | derivative | (ineffective portion) | ||||||||||||||||
income (effective | portion) | (ineffective | |||||||||||||||||||
portion) | portion) | ||||||||||||||||||||
Interest | (60,716 | ) | Interest Expense | 35,763 | Realized and unrealized gain (loss) on interest rate derivative instruments | (319 | ) | ||||||||||||||
Rate Swap | |||||||||||||||||||||
Nine months ended September 30, 2012 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of loss | Amount of loss | Location of loss | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | reclassified from | reclassified from | recognized in | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | accumulated | accumulated OCI into | income on | on derivative | ||||||||||||||||
hedge | (effective portion) | OCI into | income (effective | derivative | (ineffective portion) | ||||||||||||||||
income (effective | portion) | (ineffective | |||||||||||||||||||
portion) | portion) | ||||||||||||||||||||
Interest | (181,280 | ) | Interest Expense | 107,051 | Realized and unrealized gain (loss) on interest rate derivative instruments | (832 | ) | ||||||||||||||
Rate Swap | |||||||||||||||||||||
Amount of gain (loss) recognized in income on derivative | |||||||||||||||||||||
Derivative | Location of unrealized gain (loss) | Three months ended September 30, 2013 | Three months ended September 30, 2012 | ||||||||||||||||||
not designated as | recognized in income | ||||||||||||||||||||
hedging instrument | on derivative | ||||||||||||||||||||
CDS Contract | Realized and unrealized credit default swap income | (175 | ) | 643 | |||||||||||||||||
Swaption Contract | Realized and unrealized gain (loss) on interest rate derivative instruments | (42,891 | ) | (489 | ) | ||||||||||||||||
Futures Contract | Realized and unrealized gain (loss) on interest rate derivative instruments | (3,369 | ) | — | |||||||||||||||||
Amount of gain (loss) recognized in income on derivative | |||||||||||||||||||||
Derivative | Location of unrealized gain (loss) | Nine months ended September 30, 2013 | Nine months ended September 30, 2012 | ||||||||||||||||||
not designated as | recognized in income | ||||||||||||||||||||
hedging instrument | on derivative | ||||||||||||||||||||
CDS Contract | Realized and unrealized credit default swap income | (743 | ) | 406 | |||||||||||||||||
Swaption Contract | Realized and unrealized gain (loss) on interest rate derivative instruments | (19,032 | ) | (2,019 | ) | ||||||||||||||||
Futures Contract | Realized and unrealized gain (loss) on interest rate derivative instruments | (3,369 | ) | — | |||||||||||||||||
Credit-risk-related Contingent F |
Offsetting_Assets_and_Liabilit1
Offsetting Assets and Liabilities (Tables) | 9 Months Ended | |||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||
Offsetting [Abstract] | ' | |||||||||||||||||
Offsetting of Derivative Assets | ' | |||||||||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
Gross | Gross | Net Amounts | Cash | |||||||||||||||
Amounts of | Amounts | of Assets | ||||||||||||||||
Offset in the | presented in | |||||||||||||||||
Consolidated | the | |||||||||||||||||
$ in thousands | Recognized | Balance | Consolidated | Financial | Collateral | |||||||||||||
Description | Assets | Sheets | Balance sheets | Instruments (1) | Received | Net Amount | ||||||||||||
Derivatives | 6,469 | — | 6,469 | (6,469 | ) | — | — | |||||||||||
Total | 6,469 | — | 6,469 | (6,469 | ) | — | — | |||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||
As of September 30, 2013 | ||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
Gross | Gross | Net Amounts | Cash | |||||||||||||||
Amounts of | Amounts | of Assets | ||||||||||||||||
Offset in the | presented in | |||||||||||||||||
Consolidated | the | |||||||||||||||||
$ in thousands | Recognized | Balance | Consolidated | Financial | Collateral | |||||||||||||
Description | Assets | Sheets | Balance sheets | Instruments (1) | Received | Net Amount | ||||||||||||
Derivatives | 188,509 | — | 188,509 | (188,509 | ) | — | — | |||||||||||
Total | 188,509 | — | 188,509 | (188,509 | ) | — | — | |||||||||||
Offsetting of Derivative Liabilities and Repurchase Agreements | ' | |||||||||||||||||
Offsetting of Derivative Liabilities and Repurchase agreements | ||||||||||||||||||
As of September 30, 2013 | ||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
Gross | Gross | Net Amounts | Cash | |||||||||||||||
Amounts of | Amounts | of Assets | ||||||||||||||||
Offset in the | presented in | |||||||||||||||||
Consolidated | the | |||||||||||||||||
$ in thousands | Recognized | Balance | Consolidated | Financial | Collateral | |||||||||||||
Description | Liabilities | Sheets | Balance sheets | Instruments (2)(3) | Posted (2)(4) | Net Amount | ||||||||||||
Derivatives | 316,670 | — | 316,670 | (316,670 | ) | — | — | |||||||||||
Repurchase Agreements | 15,897,612 | — | 15,897,612 | (15,897,612 | ) | — | — | |||||||||||
16,214,282 | — | 16,214,282 | (16,214,282 | ) | — | — | ||||||||||||
Offsetting of Derivative Liabilities and Repurchase agreements | ||||||||||||||||||
As of December 31, 2012 | ||||||||||||||||||
Gross | Net Amounts | Gross Amounts Not Offset in the | ||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
Gross | Amounts | of Assets | Cash | |||||||||||||||
Amounts of | Offset in the | presented in | ||||||||||||||||
Consolidated | the | |||||||||||||||||
$ in thousands | Recognized | Balance | Consolidated | Financial | Collateral | |||||||||||||
Description | Liabilities | Sheets | Balance sheets | Instruments (2)(3) | Posted (2)(4) | Net Amount | ||||||||||||
Derivatives | 436,440 | — | 436,440 | (436,440 | ) | — | — | |||||||||||
Repurchase Agreements | 15,720,460 | — | 15,720,460 | (15,720,460 | ) | — | — | |||||||||||
16,156,900 | — | 16,156,900 | (16,156,900 | ) | — | — | ||||||||||||
-1 | Amounts represent interest rate derivatives in an asset position which could potentially be offset against interest rate derivatives in a liability position at September 30, 2013 and December 31, 2012, subject to a netting arrangement. | |||||||||||||||||
-2 | Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements and interest rate derivatives. | |||||||||||||||||
-3 | The fair value of securities pledged against our borrowing under repurchase agreements was $17.5 billion and $17.5 billion at September 30, 2013 and December 31, 2012, respectively. | |||||||||||||||||
-4 | Total cash received on our Derivatives was $21.0 million and $0 at September 30, 2013 and December 31, 2012, respectively. Total non-cash collateral received on our Derivatives was $171.0 million and $0 at September 30, 2013 and December 31, 2012, respectively. |
Financial_Instruments_Tables
Financial Instruments (Tables) | 9 Months Ended | |||||||||||
Sep. 30, 2013 | ||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||
Fair Values Measured on Recurring Basis | ' | |||||||||||
The fair values on a recurring basis of the Company’s MBS and interest rate hedges based on the level of inputs at September 30, 2013 and December 31, 2012 are summarized below: | ||||||||||||
30-Sep-13 | ||||||||||||
Fair Value Measurements Using: | ||||||||||||
Total at | ||||||||||||
$ in thousands | Level 1 | Level 2 | Level 3 | Fair Value | ||||||||
Assets | ||||||||||||
Mortgage-backed securities(1) | — | 18,811,679 | — | 18,811,679 | ||||||||
Investments in unconsolidated ventures | — | — | 42,276 | 42,276 | ||||||||
Derivatives | — | 187,733 | 776 | 188,509 | ||||||||
Total | — | 18,999,412 | 43,052 | 19,042,464 | ||||||||
Liabilities | ||||||||||||
Derivatives | 3,367 | 313,303 | — | 316,670 | ||||||||
Total | 3,367 | 313,303 | — | 316,670 | ||||||||
31-Dec-12 | ||||||||||||
Fair Value Measurements Using: | ||||||||||||
Total at | ||||||||||||
$ in thousands | Level 1 | Level 2 | Level 3 | Fair Value | ||||||||
Assets | ||||||||||||
Mortgage-backed securities(1) | — | 18,470,563 | — | 18,470,563 | ||||||||
Investments in unconsolidated ventures | — | — | 35,301 | 35,301 | ||||||||
Derivatives | — | 4,950 | 1,519 | 6,469 | ||||||||
Total | — | 18,475,513 | 36,820 | 18,512,333 | ||||||||
Liabilities | ||||||||||||
Derivatives | — | 436,440 | — | 436,440 | ||||||||
Total | — | 436,440 | — | 436,440 | ||||||||
-1 | For more detail about the fair value of our MBS and type of securities, see Note 4 in the consolidated financial statements. | |||||||||||
Fair Value on Recurring Basis Utilizing Level 3 Inputs | ' | |||||||||||
The following table presents additional information about the Company’s investments in unconsolidated ventures which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: | ||||||||||||
$ in thousands | 30-Sep-13 | 31-Dec-12 | ||||||||||
Beginning balance | 35,301 | 68,793 | ||||||||||
Purchases | 4,843 | 4,218 | ||||||||||
Sales and settlements | (3,037 | ) | (44,879 | ) | ||||||||
Total net gains / (losses) included in net income | ||||||||||||
Realized gains/(losses), net | 2,332 | 6,813 | ||||||||||
Unrealized gains/(losses), net | 2,837 | 356 | ||||||||||
Unrealized gain/(losses), net included in other comprehensive income | — | — | ||||||||||
Ending balance | 42,276 | 35,301 | ||||||||||
The following table presents additional information about the Company’s CDS contract which is measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: | ||||||||||||
$ in thousands | 30-Sep-13 | 31-Dec-12 | ||||||||||
Beginning balance | 1,519 | 1,339 | ||||||||||
Purchases | — | — | ||||||||||
Sales and settlements | — | — | ||||||||||
Total net gains / (losses) included in net income | ||||||||||||
Realized gains/(losses), net | — | — | ||||||||||
Unrealized gains/(losses), net | (743 | ) | 180 | |||||||||
Unrealized gain/(losses), net included in other comprehensive income | — | — | ||||||||||
Ending balance | 776 | 1,519 | ||||||||||
Quantitative Information About Level 3 Fair Value Measurements | ' | |||||||||||
The following table summarizes quantitative information about Level 3 fair value measurements: | ||||||||||||
Fair Value at | Valuation | Unobservable | Weighted | |||||||||
$ in thousands | 30-Sep-13 | Technique | Input | Range | Average | |||||||
CDS Contract | 776 | Discounted cash flow | Swap Rate | 2.39 | % | |||||||
Discount Rate | 0.52 | % | ||||||||||
Credit Spread | 0.48 | % | ||||||||||
Constant Prepayment Rate | 1.0% - 20.0% | 5.78 | % | |||||||||
Constant Default Rate | 1.0% - 100.0% | 4.86 | % | |||||||||
Loss Severity | 7.3% - 63.2% | 42.8 | % | |||||||||
Carrying Value and Estimated Fair Value of Financial Instruments | ' | |||||||||||
The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the consolidated balance sheets, at September 30, 2013 and December 31, 2012: | ||||||||||||
30-Sep-13 | 31-Dec-12 | |||||||||||
$ in thousands | Carrying | Estimated | Carrying | Estimated | ||||||||
Value | Fair Value | Value | Fair Value | |||||||||
Financial Assets | ||||||||||||
Residential loans, held-for-investment | 1,532,389 | 1,414,816 | — | — | ||||||||
Commercial loans, held-for-investment | 17,388 | 17,388 | — | — | ||||||||
Other investments | 10,000 | 10,000 | 10,000 | 10,000 | ||||||||
Total | 1,559,777 | 1,442,204 | 10,000 | 10,000 | ||||||||
Financial Liabilities | ||||||||||||
Repurchase agreements | 15,897,612 | 15,876,752 | 15,720,460 | 15,730,387 | ||||||||
Asset-backed securities | 1,411,897 | 1,321,675 | — | — | ||||||||
Exchangeable senior notes | 400,000 | 374,250 | — | — | ||||||||
Total | 17,709,509 | 17,572,677 | 15,720,460 | 15,730,387 | ||||||||
Earnings_per_Common_Share_Tabl
Earnings per Common Share (Tables) | 9 Months Ended | |||||||||||
Sep. 30, 2013 | ||||||||||||
Earnings Per Share [Abstract] | ' | |||||||||||
Earnings Per Share | ' | |||||||||||
Earnings per share for the three and nine months ended September 30, 2013 and 2012 is computed as follows: | ||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||
September 30, | September 30, | |||||||||||
$ and share amounts in thousands | 2013 | 2012 | 2013 | 2012 | ||||||||
Numerator (Income) | ||||||||||||
Basic Earnings | ||||||||||||
Net income (loss) available to common shareholders | (8,686 | ) | 83,068 | 214,152 | 244,971 | |||||||
Effect of dilutive securities: | ||||||||||||
Income allocated to exchangeable senior debt | — | — | 12,403 | — | ||||||||
Income allocated to non-controlling interest | — | 1,026 | 2,392 | 3,025 | ||||||||
Dilutive net income (loss) available to shareholders | (8,686 | ) | 84,094 | 228,947 | 247,996 | |||||||
Denominator (Weighted Average Shares) | ||||||||||||
Basic Earnings: | ||||||||||||
Shares available to common shareholders | 135,220 | 115,412 | 133,094 | 115,405 | ||||||||
Effect of dilutive securities: | ||||||||||||
Restricted Stock Awards | — | 31 | 12,519 | 28 | ||||||||
OP Units | — | 1,425 | 34 | 1,425 | ||||||||
Exchangeable senior notes | — | — | 1,425 | — | ||||||||
Dilutive Shares | 135,220 | 116,868 | 147,072 | 116,858 | ||||||||
Organization_and_Business_Oper1
Organization and Business Operations - Additional Information (Detail) | 9 Months Ended | |
Sep. 30, 2013 | Sep. 30, 2012 | |
Organization And Business Operations [Line Items] | ' | ' |
Ownership interest in Operating Partnership | 99.00% | ' |
Ownership percentage in Operating Partnership | 1.00% | 1.20% |
Minimum distribution percentage of taxable income to qualify for REIT | 90.00% | ' |
Invesco Investments (Bermuda) Ltd | ' | ' |
Organization And Business Operations [Line Items] | ' | ' |
Ownership percentage in Operating Partnership | 1.00% | ' |
Summary_of_Significant_Account2
Summary of Significant Accounting Policies - Additional Information (Detail) (USD $) | 9 Months Ended |
Sep. 30, 2013 | |
FDIC, deposit insurance limit per institution | 250,000 |
Residential Loans | ' |
Past due period for suspension of income recognition for residential loans | '90 days |
Residential Loans | Minimum | ' |
Period considered for a restructured loan to be re-performing | '12 months |
Variable_Interest_Entities_Add
Variable Interest Entities - Additional Information (Detail) (USD $) | 9 Months Ended |
Sep. 30, 2013 | |
MortgageLoan | |
Asset backed securities | ' |
Variable Interest Entity [Line Items] | ' |
Aggregate principal balance | $1,500,000,000 |
Asset backed securities | Third Parties | ' |
Variable Interest Entity [Line Items] | ' |
Aggregate principal balance | 1,400,000,000 |
Variable Interest Entity, Primary Beneficiary | ' |
Variable Interest Entity [Line Items] | ' |
Number of residential mortgage loans | 1,926 |
Securitized loans, aggregate principal amount | 1,500,000,000 |
Aggregate principal balance | 1,500,000,000 |
Variable Interest Entity, Primary Beneficiary | Third Parties | ' |
Variable Interest Entity [Line Items] | ' |
Aggregate principal balance | 1,400,000,000 |
Variable Interest Entity, Primary Beneficiary | Asset backed securities | Subordinated, Interest Only, or Payable From Certain Designated Cash Flows | ' |
Variable Interest Entity [Line Items] | ' |
Aggregate principal balance | 112,300,000 |
Variable Interest Entity, Primary Beneficiary | Asset backed securities | Third Parties | ' |
Variable Interest Entity [Line Items] | ' |
Aggregate principal balance | $5,800,000 |
Variable_Interest_Entities_Sum
Variable Interest Entities Summary of Assets and Liabilities of Variable Interest Entities (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
Variable Interest Entity [Line Items] | ' | ' | ||
Residential loans, held-for-investment | $1,532,389 | ' | ||
Accrued interest receivable | 71,198 | 62,977 | ||
Deferred costs | 14,033 | ' | ||
Total assets | 20,905,481 | [1] | 18,914,760 | [1] |
Asset-backed securities issued | 1,411,897 | ' | ||
Total liabilities | 18,354,360 | [1] | 16,325,240 | [1] |
Variable Interest Entity, Primary Beneficiary | ' | ' | ||
Variable Interest Entity [Line Items] | ' | ' | ||
Residential loans, held-for-investment | 1,532,389 | 0 | ||
Accrued interest receivable | 4,696 | 0 | ||
Deferred costs | 3,065 | 0 | ||
Total assets | 1,540,150 | 0 | ||
Accrued interest and accrued expenses payable | 3,887 | 0 | ||
Asset-backed securities issued | 1,411,897 | 0 | ||
Total liabilities | $1,415,784 | $0 | ||
[1] | Our consolidated balance sheets include assets of consolidated variable interest entities (“VIEsâ€) that can only be used to settle obligations and liabilities of the VIEs for which creditors do not have recourse to the primary beneficiary (IAS Asset I LLC, an indirect subsidiary of Invesco Mortgage Capital Inc.). At September 30, 2013 and December 31, 2012, total assets of the consolidated VIEs were $1,540,150 and $0, respectively, and total liabilities of the consolidated VIEs were $1,415,784 and $0, respectively. See Note 3 for further discussion. |
MortgageBacked_Securities_Summ
Mortgage-Backed Securities - Summary of Investment Portfolio (Detail) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | $22,007,919 | $18,330,576 | ||
Unamortized Premium (Discount) | -3,013,868 | -383,738 | ||
Amortized Cost | 18,994,051 | 17,946,838 | ||
Unrealized Gain/ (Loss), net | -182,372 | 523,725 | ||
Fair Value | 18,811,679 | 18,470,563 | ||
Net Weighted Average Coupon | 3.66% | [1] | 4.17% | [2] |
Period- end Weighted Average Yield | 3.10% | [3] | 3.30% | [4] |
Quarterly Weighted Average Yield | 3.34% | [5] | 3.27% | [6] |
Agency RMBS | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 11,586,329 | 11,799,922 | ||
Unamortized Premium (Discount) | 664,321 | 720,607 | ||
Amortized Cost | 12,250,650 | 12,520,529 | ||
Unrealized Gain/ (Loss), net | -213,880 | 322,038 | ||
Fair Value | 12,036,770 | 12,842,567 | ||
Net Weighted Average Coupon | 3.82% | [1] | 4.13% | [2] |
Period- end Weighted Average Yield | 2.56% | [3] | 2.77% | [4] |
Quarterly Weighted Average Yield | 2.73% | [5] | 2.75% | [6] |
Agency RMBS | 15 Year Fixed-Rate | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 1,722,520 | 1,964,999 | ||
Unamortized Premium (Discount) | 89,091 | 102,058 | ||
Amortized Cost | 1,811,611 | 2,067,057 | ||
Unrealized Gain/ (Loss), net | 28,193 | 63,839 | ||
Fair Value | 1,839,804 | 2,130,896 | ||
Net Weighted Average Coupon | 4.02% | [1] | 4.09% | [2] |
Period- end Weighted Average Yield | 2.24% | [3] | 2.37% | [4] |
Quarterly Weighted Average Yield | 2.35% | [5] | 2.37% | [6] |
Agency RMBS | 30 Year Fixed-Rate | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 8,689,193 | 9,168,196 | ||
Unamortized Premium (Discount) | 579,210 | 601,592 | ||
Amortized Cost | 9,268,403 | 9,769,788 | ||
Unrealized Gain/ (Loss), net | -246,644 | 238,949 | ||
Fair Value | 9,021,759 | 10,008,737 | ||
Net Weighted Average Coupon | 3.95% | [1] | 4.21% | [2] |
Period- end Weighted Average Yield | 2.64% | [3] | 2.89% | [4] |
Quarterly Weighted Average Yield | 2.84% | [5] | 2.88% | [6] |
Agency RMBS | ARM | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 197,033 | 109,937 | ||
Unamortized Premium (Discount) | -468 | 3,464 | ||
Amortized Cost | 196,565 | 113,401 | ||
Unrealized Gain/ (Loss), net | 1,335 | 2,365 | ||
Fair Value | 197,900 | 115,766 | ||
Net Weighted Average Coupon | 2.73% | [1] | 3.15% | [2] |
Period- end Weighted Average Yield | 2.55% | [3] | 2.06% | [4] |
Quarterly Weighted Average Yield | 2.41% | [5] | 2.02% | [6] |
Agency RMBS | Hybrid ARM | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 977,583 | 556,790 | ||
Unamortized Premium (Discount) | -3,512 | 13,493 | ||
Amortized Cost | 974,071 | 570,283 | ||
Unrealized Gain/ (Loss), net | 3,236 | 16,885 | ||
Fair Value | 977,307 | 587,168 | ||
Net Weighted Average Coupon | 2.56% | [1] | 3.19% | [2] |
Period- end Weighted Average Yield | 2.39% | [3] | 2.18% | [4] |
Quarterly Weighted Average Yield | 2.19% | [5] | 2.22% | [6] |
Agency-CMO | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 1,491,381 | [7] | 1,322,043 | [8] |
Unamortized Premium (Discount) | -1,004,321 | [7] | -819,530 | [8] |
Amortized Cost | 487,060 | [7] | 502,513 | [8] |
Unrealized Gain/ (Loss), net | -4,416 | [7] | 1,926 | [8] |
Fair Value | 482,644 | [7] | 504,439 | [8] |
Net Weighted Average Coupon | 2.80% | [1],[7] | 2.89% | [2],[8] |
Period- end Weighted Average Yield | 3.16% | [3],[7] | 2.35% | [4],[8] |
Quarterly Weighted Average Yield | 2.31% | [5],[7] | 1.51% | [6],[8] |
Non-Agency RMBS | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 4,344,281 | [9] | 3,339,683 | [10] |
Unamortized Premium (Discount) | -646,859 | [9] | -308,885 | [10] |
Amortized Cost | 3,697,422 | [9] | 3,030,798 | [10] |
Unrealized Gain/ (Loss), net | 11,589 | [9] | 48,238 | [10] |
Fair Value | 3,709,011 | [9] | 3,079,036 | [10] |
Net Weighted Average Coupon | 3.67% | [1],[9] | 4.20% | [10],[2] |
Period- end Weighted Average Yield | 3.76% | [3],[9] | 4.61% | [10],[4] |
Quarterly Weighted Average Yield | 4.63% | [5],[9] | 4.80% | [10],[6] |
CMBS | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 4,585,928 | [11] | 1,868,928 | |
Unamortized Premium (Discount) | -2,027,009 | [11] | 24,070 | |
Amortized Cost | 2,558,919 | [11] | 1,892,998 | |
Unrealized Gain/ (Loss), net | 24,335 | [11] | 151,523 | |
Fair Value | $2,583,254 | [11] | $2,044,521 | |
Net Weighted Average Coupon | 3.50% | [1],[11] | 5.27% | [2] |
Period- end Weighted Average Yield | 4.68% | [11],[3] | 4.96% | [4] |
Quarterly Weighted Average Yield | 4.60% | [11],[5] | 4.82% | [6] |
[1] | Net weighted average coupon (“WACâ€) as of September 30, 2013 is presented net of servicing and other fees. | |||
[2] | Net WAC as of December 31, 2012 is presented net of servicing and other fees. | |||
[3] | Average yield is based on amortized costs as of September 30, 2013 and incorporates future prepayment and loss assumptions. | |||
[4] | Average yield based on amortized cost as of December 31, 2012 incorporates future prepayment and loss assumptions. | |||
[5] | Average yield is based on average amortized costs for the three months ended September 30, 2013 and incorporates future prepayment and loss assumptions. | |||
[6] | Average yield based on average amortized cost for the three months ended December 31, 2012 incorporates future prepayment and loss assumptions. | |||
[7] | Included in the Agency-CMO are interest-only securities which represent 16.4% of the balance based on fair value. | |||
[8] | Included in Agency-CMO are interest-only securities which represent 14.1% of the balance based on fair value. | |||
[9] | The non-Agency RMBS held by the Company is 61.0% variable rate, 34.3% fixed rate, and 4.7% floating rate based on fair value. | |||
[10] | The non-Agency RMBS held by the Company is 79.2% variable rate, 15.5% fixed rate, and 5.3% floating rate based on fair value. | |||
[11] | Included in the CMBS are interest-only securities and commercial real estate mezzanine loan pass-through certificates which represent 8.0% and 1.8% of the balance based on fair value, respectively. |
MortgageBacked_Securities_Summ1
Mortgage-Backed Securities - Summary of Investment Portfolio (Parenthetical) (Detail) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2013 | Dec. 31, 2012 | |
Agency-CMO | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of Agency | 16.40% | 14.10% |
Non-Agency RMBS | Variable Rate | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of non-Agency securities classified as variable rate | 61.00% | 79.20% |
Non-Agency RMBS | Fixed rate residential mortgage | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of non-Agency securities classified as fixed rate | 34.30% | 15.50% |
Non-Agency RMBS | Floating Rate | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of non-Agency securities classified as floating rate | 4.70% | 5.30% |
CMBS | Interest-Only Securities | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of Agency | 8.00% | 0.00% |
CMBS | Commercial Real Estate Mezzanine Loan Pass-through Certificates | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Percentage of Agency | 1.80% | 1.10% |
MortgageBacked_Securities_Comp
Mortgage-Backed Securities - Components of Non-Agency RMBS Portfolio By Asset Type (Detail) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | $18,811,679 | $18,470,563 | ||
Non-Agency RMBS | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 3,709,011 | [1] | 3,079,036 | [2] |
% of Non-Agency | 100.00% | 100.00% | ||
Non-Agency RMBS | Re-REMIC Senior | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 1,475,475 | 1,844,209 | ||
% of Non-Agency | 39.80% | 59.90% | ||
Non-Agency RMBS | Prime | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 1,383,923 | 754,161 | ||
% of Non-Agency | 37.30% | 24.50% | ||
Non-Agency RMBS | Alt-A | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 822,815 | 468,181 | ||
% of Non-Agency | 22.20% | 15.20% | ||
Non-Agency RMBS | Subprime | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | $26,798 | $12,485 | ||
% of Non-Agency | 0.70% | 0.40% | ||
[1] | The non-Agency RMBS held by the Company is 61.0% variable rate, 34.3% fixed rate, and 4.7% floating rate based on fair value. | |||
[2] | The non-Agency RMBS held by the Company is 79.2% variable rate, 15.5% fixed rate, and 5.3% floating rate based on fair value. |
MortgageBacked_Securities_Comp1
Mortgage-Backed Securities - Components of Senior Re-REMIC at Fair Value (Detail) | Sep. 30, 2013 | Dec. 31, 2012 | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Re-REMIC at fair value | 100.00% | [1] | 100.00% | [1] |
Re-REMIC 0-10 | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Re-REMIC at fair value | 3.90% | [1] | 2.10% | [1] |
Re-REMIC 10-20 | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Re-REMIC at fair value | 3.50% | [1] | 3.20% | [1] |
Re-REMIC 20-30 | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Re-REMIC at fair value | 14.20% | [1] | 15.00% | [1] |
Re-REMIC 30-40 | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Re-REMIC at fair value | 25.50% | [1] | 27.00% | [1] |
Re-REMIC 40-50 | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Re-REMIC at fair value | 39.50% | [1] | 40.40% | [1] |
Re-REMIC 50-60 | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Re-REMIC at fair value | 8.60% | [1] | 7.60% | [1] |
Re-REMIC 60-70 | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Re-REMIC at fair value | 4.80% | [1] | 4.70% | [1] |
[1] | Subordination refers to the credit enhancement provided to the senior Re-REMIC tranche by the junior Re-REMIC tranche or tranches in a resecuritization. This figure reflects the percentage of the balance of the underlying security represented by the junior tranche or tranches at the time of resecuritization. Generally, principal losses on the underlying security in excess of the subordination amount would result in principal losses on the senior Re-REMIC tranche. |
MortgageBacked_Securities_Comp2
Mortgage-Backed Securities - Components of Carrying Value Of Investment Portfolio (Detail) (USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Investments, Debt and Equity Securities [Abstract] | ' | ' |
Principal balance | $22,007,919 | $18,330,576 |
Unamortized premium | 758,256 | 788,716 |
Unamortized discount | -3,772,124 | -1,172,454 |
Gross unrealized gains | 284,631 | 563,093 |
Gross unrealized losses | -467,003 | -39,368 |
Fair value | $18,811,679 | $18,470,563 |
MortgageBacked_Securities_Mort
Mortgage-Backed Securities - Mortgage-Backed Securities According to Weighted Average Life Classification (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Investments, Debt and Equity Securities [Abstract] | ' | ' |
Less than one year | $28,125 | $70,044 |
Greater than one year and less than five years | 5,625,403 | 13,146,577 |
Greater than or equal to five years | 13,158,151 | 5,253,942 |
Fair Value | $18,811,679 | $18,470,563 |
MortgageBacked_Securities_Unre
Mortgage-Backed Securities - Unrealized Losses and Estimated Fair Value of MBS by Length of Time (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | $9,636,598 | $2,530,194 |
Unrealized Losses, Less than 12 Months | -451,413 | -21,816 |
Fair Value, 12 Months or More | 483,536 | 632,726 |
Unrealized Losses, 12 Months or More | -15,590 | -17,552 |
Fair Value, Total | 10,120,134 | 3,162,920 |
Unrealized Losses, Total | -467,003 | -39,368 |
Agency RMBS | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 6,845,713 | 1,794,382 |
Unrealized Losses, Less than 12 Months | -314,485 | -6,748 |
Fair Value, 12 Months or More | 90,975 | 78,640 |
Unrealized Losses, 12 Months or More | -1,619 | -832 |
Fair Value, Total | 6,936,688 | 1,873,022 |
Unrealized Losses, Total | -316,104 | -7,580 |
Agency RMBS | 15 Year Fixed-Rate | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 155,656 | 31,269 |
Unrealized Losses, Less than 12 Months | -3,048 | -279 |
Fair Value, 12 Months or More | 11,583 | ' |
Unrealized Losses, 12 Months or More | -319 | ' |
Fair Value, Total | 167,239 | 31,269 |
Unrealized Losses, Total | -3,367 | -279 |
Agency RMBS | 30 Year Fixed-Rate | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 6,274,314 | 1,763,113 |
Unrealized Losses, Less than 12 Months | -308,170 | -6,469 |
Fair Value, 12 Months or More | 79,392 | 78,640 |
Unrealized Losses, 12 Months or More | -1,300 | -832 |
Fair Value, Total | 6,353,706 | 1,841,753 |
Unrealized Losses, Total | -309,470 | -7,301 |
Agency RMBS | ARM | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 34,431 | ' |
Unrealized Losses, Less than 12 Months | -449 | ' |
Fair Value, Total | 34,431 | ' |
Unrealized Losses, Total | -449 | ' |
Agency RMBS | Hybrid ARM | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 381,312 | ' |
Unrealized Losses, Less than 12 Months | -2,818 | ' |
Fair Value, Total | 381,312 | ' |
Unrealized Losses, Total | -2,818 | ' |
Agency-CMO | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 228,820 | 31,719 |
Unrealized Losses, Less than 12 Months | -11,884 | -7,796 |
Fair Value, 12 Months or More | 12,810 | 10,770 |
Unrealized Losses, 12 Months or More | -4,263 | -2,812 |
Fair Value, Total | 241,630 | 42,489 |
Unrealized Losses, Total | -16,147 | -10,608 |
Non-Agency RMBS | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 1,434,914 | 516,744 |
Unrealized Losses, Less than 12 Months | -58,969 | -6,005 |
Fair Value, 12 Months or More | 379,751 | 490,503 |
Unrealized Losses, 12 Months or More | -9,708 | -12,895 |
Fair Value, Total | 1,814,665 | 1,007,247 |
Unrealized Losses, Total | -68,677 | -18,900 |
CMBS | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 1,127,151 | 187,349 |
Unrealized Losses, Less than 12 Months | -66,075 | -1,267 |
Fair Value, 12 Months or More | ' | 52,813 |
Unrealized Losses, 12 Months or More | ' | -1,013 |
Fair Value, Total | 1,127,151 | 240,162 |
Unrealized Losses, Total | ($66,075) | ($2,280) |
MortgageBacked_Securities_Impa
Mortgage-Backed Securities - Impact of MBS on Accumulated other Comprehensive Income (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Investments, Debt and Equity Securities [Abstract] | ' | ' | ' | ' |
Unrealized gain on MBS at beginning of period | ($257,402) | $268,269 | $523,725 | ($1,217) |
Unrealized gain (loss) on MBS, net | 75,030 | 316,823 | -706,097 | 586,309 |
Balance at the end of period | ($182,372) | $585,092 | ($182,372) | $585,092 |
MortgageBacked_Securities_Comp3
Mortgage-Backed Securities - Components of MBS Interest Income (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Coupon Interest | $205,272 | $179,284 | $631,731 | $516,164 |
Net (Premium Amortization)/ Discount Accretion | -47,733 | -38,807 | -145,112 | -94,722 |
Interest income | 157,539 | 140,477 | 486,619 | 421,442 |
Agency RMBS | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Coupon Interest | 126,685 | 132,520 | 412,945 | 382,226 |
Net (Premium Amortization)/ Discount Accretion | -40,578 | -42,479 | -132,648 | -109,717 |
Interest income | 86,107 | 90,041 | 280,297 | 272,509 |
Non-Agency RMBS | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Coupon Interest | 39,479 | 26,477 | 117,215 | 79,903 |
Net (Premium Amortization)/ Discount Accretion | 2,895 | 4,149 | 6,038 | 15,204 |
Interest income | 42,374 | 30,626 | 123,253 | 95,107 |
CMBS | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Coupon Interest | 39,167 | 20,330 | 101,487 | 54,146 |
Net (Premium Amortization)/ Discount Accretion | -10,050 | -477 | -18,502 | -209 |
Interest income | 29,117 | 19,853 | 82,985 | 53,937 |
Other | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Coupon Interest | -59 | -43 | 84 | -111 |
Interest income | ($59) | ($43) | $84 | ($111) |
MortgageBacked_Securities_Addi
Mortgage-Backed Securities - Additional Information (Detail) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' | ' |
Gross unrealized losses | ' | ' | $467,003,000 | ' | $39,368,000 |
Net unrealized gains (losses) from other comprehensive income into gain (loss) on sale of investments | -85,800,000 | 5,800,000 | -140,200,000 | 17,400,000 | ' |
Agency RMBS | ' | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' | ' |
Gross unrealized losses | ' | ' | 316,100,000 | ' | ' |
Agency-CMO, Non-Agency RMBS And CMBS | ' | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' | ' |
Gross unrealized losses | ' | ' | $150,900,000 | ' | ' |
Residential_Loans_HeldforInves2
Residential Loans Held-for-Investment Carrying Value for Residential Loans Held-For-Investment (Detail) (Variable Interest Entity, Primary Beneficiary, USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Principal balance | $1,500,000 | ' |
Residential Mortgage | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Principal balance | 1,498,726 | 0 |
Unamortized premium, net | 34,414 | 0 |
Recorded investment | 1,533,140 | 0 |
Allowance for loan losses | -751 | 0 |
Carrying value | $1,532,389 | $0 |
Residential_Loans_HeldforInves3
Residential Loans Held-for-Investment Residential Loans Held-for-Investment Organized by Year of Origination (Detail) (Residential Mortgage, USD $) | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 |
Loan | |
Portfolio Characteristics: | ' |
Number of Loans | 1,904 |
Current Principal Balance | $1,498,726 |
Net Weighted Average Coupon Rate | 3.49% |
Weighted Average Maturity (years) | '29 years 5 months 4 days |
Current Performance: | ' |
Current | 1,496,458 |
30 Day Delinquent | 2,268 |
60 Days Delinquent | 0 |
90+ Days Delinquent | 0 |
Bankruptcy/Foreclosure | 0 |
Total | 1,498,726 |
Origination in 2013 | ' |
Portfolio Characteristics: | ' |
Number of Loans | 1,299 |
Current Principal Balance | 992,778 |
Net Weighted Average Coupon Rate | 3.48% |
Weighted Average Maturity (years) | '29 years 6 months 7 days |
Current Performance: | ' |
Current | 991,339 |
30 Day Delinquent | 1,439 |
60 Days Delinquent | 0 |
90+ Days Delinquent | 0 |
Bankruptcy/Foreclosure | 0 |
Total | 992,778 |
Origination in 2012 | ' |
Portfolio Characteristics: | ' |
Number of Loans | 600 |
Current Principal Balance | 503,747 |
Net Weighted Average Coupon Rate | 3.50% |
Weighted Average Maturity (years) | '29 years 3 months 10 days |
Current Performance: | ' |
Current | 502,918 |
30 Day Delinquent | 829 |
60 Days Delinquent | 0 |
90+ Days Delinquent | 0 |
Bankruptcy/Foreclosure | 0 |
Total | 503,747 |
Origination in 2011 | ' |
Portfolio Characteristics: | ' |
Weighted Average Maturity (years) | '0 years |
Current Performance: | ' |
60 Days Delinquent | 0 |
90+ Days Delinquent | 0 |
Bankruptcy/Foreclosure | 0 |
Origination in 2010 | ' |
Portfolio Characteristics: | ' |
Weighted Average Maturity (years) | '0 years |
Current Performance: | ' |
60 Days Delinquent | 0 |
90+ Days Delinquent | 0 |
Bankruptcy/Foreclosure | 0 |
Origination in 2009 | ' |
Portfolio Characteristics: | ' |
Number of Loans | 5 |
Current Principal Balance | 2,201 |
Net Weighted Average Coupon Rate | 3.54% |
Weighted Average Maturity (years) | '25 years 9 months 21 days |
Current Performance: | ' |
Current | 2,201 |
60 Days Delinquent | 0 |
90+ Days Delinquent | 0 |
Bankruptcy/Foreclosure | 0 |
Total | $2,201 |
Residential_Loans_HeldforInves4
Residential Loans Held-for-Investment Five Largest Geographic Concentrations of Residential Loans (Detail) (Geographic Concentration Risk, Residential Mortgage) | 9 Months Ended |
Sep. 30, 2013 | |
Concentration Risk [Line Items] | ' |
Concentration risk percentage | 100.00% |
California | ' |
Concentration Risk [Line Items] | ' |
Concentration risk percentage | 49.90% |
Illinois | ' |
Concentration Risk [Line Items] | ' |
Concentration risk percentage | 5.90% |
Massachusetts | ' |
Concentration Risk [Line Items] | ' |
Concentration risk percentage | 5.70% |
Virginia | ' |
Concentration Risk [Line Items] | ' |
Concentration risk percentage | 4.30% |
Maryland | ' |
Concentration Risk [Line Items] | ' |
Concentration risk percentage | 4.20% |
Other states (none greater than 4%) | ' |
Concentration Risk [Line Items] | ' |
Concentration risk percentage | 30.00% |
Residential_Loans_HeldforInves5
Residential Loans Held-for-Investment Five Largest Geographic Concentrations of Residential Loans (Parenthetical) (Detail) (Other states (none greater than 4%), Geographic Concentration Risk, Maximum, Residential Mortgage) | Sep. 30, 2013 |
Other states (none greater than 4%) | Geographic Concentration Risk | Maximum | Residential Mortgage | ' |
Concentration Risk [Line Items] | ' |
Concentration risk percentage per other state | 0.00% |
Residential_Loans_HeldforInves6
Residential Loans Held-for-Investment Future Minimum Annual Principal Payments Under Residential Loans, Held for Investments (Detail) (Residential Mortgage, USD $) | Sep. 30, 2013 |
In Thousands, unless otherwise specified | |
Residential Mortgage | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' |
Within one year | $27,331 |
One to three years | 57,835 |
Three to five years | 62,340 |
Greater than or equal to five years | 1,351,220 |
Total | $1,498,726 |
Residential_Loans_HeldforInves7
Residential Loans Held-for-Investment Activity in Allowance for Loan Losses (Detail) (USD $) | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 |
Mortgage Loans on Real Estate [Abstract] | ' |
Balance at beginning of period | $0 |
Charge-offs, net | 0 |
Provision for loan losses | 751 |
Balance at end of period | $751 |
Commercial_Loans_HeldforInvest1
Commercial Loans Held-for-Investment - Additional Information (Details) | Sep. 30, 2013 |
Loan | |
Receivables [Abstract] | ' |
Commercial Loans Held for Investment, Number of Loans | 1 |
Investments_in_Unconsolidated_1
Investments in Unconsolidated Ventures - Additional Information (Detail) (USD $) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | |
Schedule of Equity Method Investments [Line Items] | ' | ' | ' | ' | ' |
Total investments in unconsolidated ventures, at fair value | $42,276,000 | ' | $42,276,000 | ' | $35,301,000 |
Equity in earnings | 1,422,000 | 3,262,000 | 5,169,000 | 6,231,000 | ' |
Invesco Mortgage Recovery Feeder Fund, L.P. And Invesco Mortgage Recovery Loans AIV, L.P. | ' | ' | ' | ' | ' |
Schedule of Equity Method Investments [Line Items] | ' | ' | ' | ' | ' |
Initial investment in unconsolidated ventures | 100,000,000 | ' | 100,000,000 | ' | ' |
Total investments in unconsolidated ventures, at fair value | 87,700,000 | ' | 87,700,000 | ' | ' |
Committed to fund | 12,300,000 | ' | 12,300,000 | ' | ' |
Equity in earnings | 378,000 | 1,400,000 | 1,300,000 | 2,100,000 | ' |
Unrealized gain (loss) from investments in unconsolidated ventures | 250,000 | -464,000 | 1,700,000 | 774,000 | ' |
IMRF Loan Portfolio Member LLC | ' | ' | ' | ' | ' |
Schedule of Equity Method Investments [Line Items] | ' | ' | ' | ' | ' |
Total investments in unconsolidated ventures, at fair value | 16,900,000 | ' | 16,900,000 | ' | ' |
Equity in earnings | 956,000 | 2,500,000 | 1,000,000 | 3,200,000 | ' |
Unrealized gain (loss) from investments in unconsolidated ventures | ($163,000) | ($191,000) | $1,100,000 | $116,000 | ' |
Borrowings_Schedule_of_Borrowi
Borrowings - Schedule of Borrowings (Detail) (USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Borrowings [Line Items] | ' | ' |
Amount Outstanding | $16,297,612 | $15,720,460 |
Weighted Average Interest Rate | 0.83% | 0.78% |
Weighted Average Remaining Maturity | '60 days | '17 days |
Agency RMBS | ' | ' |
Borrowings [Line Items] | ' | ' |
Amount Outstanding | 10,958,730 | 11,713,565 |
Weighted Average Interest Rate | 0.37% | 0.48% |
Weighted Average Remaining Maturity | '18 days | '16 days |
Non-Agency RMBS | ' | ' |
Borrowings [Line Items] | ' | ' |
Amount Outstanding | 2,995,413 | 2,450,960 |
Weighted Average Interest Rate | 1.55% | 1.75% |
Weighted Average Remaining Maturity | '33 days | '23 days |
CMBS | ' | ' |
Borrowings [Line Items] | ' | ' |
Amount Outstanding | 1,943,469 | 1,555,935 |
Weighted Average Interest Rate | 1.42% | 1.51% |
Weighted Average Remaining Maturity | '21 days | '18 days |
Exchangeable Senior Notes | ' | ' |
Borrowings [Line Items] | ' | ' |
Amount Outstanding | $400,000 | $0 |
Weighted Average Interest Rate | 5.00% | 0.00% |
Weighted Average Remaining Maturity | '1627 days | '0 days |
Borrowings_Repurchase_Agreemen
Borrowings - Repurchase Agreements (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | $15,897,612 | $15,720,460 |
Percent of Total Amount Outstanding | 100.00% | 100.00% |
Company MBS Held as Collateral | 17,531,999 | 17,456,238 |
Credit Suisse Securities (USA) LLC | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 1,701,184 | 1,600,331 |
Percent of Total Amount Outstanding | 10.80% | 10.20% |
Company MBS Held as Collateral | 1,999,024 | 1,919,676 |
Citigroup Global Markets Inc | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 1,260,176 | 780,020 |
Percent of Total Amount Outstanding | 7.90% | 5.00% |
Company MBS Held as Collateral | 1,413,843 | 882,517 |
Banc Of America Securities Llc | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 1,195,313 | 728,609 |
Percent of Total Amount Outstanding | 7.50% | 4.60% |
Company MBS Held as Collateral | 1,324,343 | 838,216 |
South Street Securities Llc | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 1,167,095 | 819,524 |
Percent of Total Amount Outstanding | 7.30% | 5.20% |
Company MBS Held as Collateral | 1,224,850 | 871,963 |
Wells Fargo Securities, LLC | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 1,094,712 | 941,556 |
Percent of Total Amount Outstanding | 6.90% | 6.00% |
Company MBS Held as Collateral | 1,263,712 | 1,079,194 |
Morgan Stanley & Co. Incorporated | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 990,095 | 1,275,616 |
Percent of Total Amount Outstanding | 6.20% | 8.10% |
Company MBS Held as Collateral | 1,080,265 | 1,397,846 |
Pierpont Securities L L C | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 841,971 | 437,095 |
Percent of Total Amount Outstanding | 5.30% | 2.80% |
Company MBS Held as Collateral | 892,038 | 463,466 |
J.P. Morgan Securities Inc. | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 830,199 | 561,426 |
Percent of Total Amount Outstanding | 5.20% | 3.60% |
Company MBS Held as Collateral | 967,291 | 697,602 |
Rbs Securities Inc | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 805,749 | 348,741 |
Percent of Total Amount Outstanding | 5.10% | 2.20% |
Company MBS Held as Collateral | 931,688 | 427,183 |
Ing Financial Market Llc | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 683,975 | 573,116 |
Percent of Total Amount Outstanding | 4.30% | 3.60% |
Company MBS Held as Collateral | 736,322 | 622,944 |
Nomura Securities International, Inc | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 591,925 | 1,240,231 |
Percent of Total Amount Outstanding | 3.70% | 7.90% |
Company MBS Held as Collateral | 624,060 | 1,350,901 |
HSBC Securities (USA) Inc | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 519,350 | 883,726 |
Percent of Total Amount Outstanding | 3.30% | 5.60% |
Company MBS Held as Collateral | 537,185 | 918,551 |
Industrial And Commercial Bank Of China Financial Services Llc | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 511,155 | 634,928 |
Percent of Total Amount Outstanding | 3.20% | 4.00% |
Company MBS Held as Collateral | 540,954 | 690,783 |
Mitsubishi UFJ Securities (USA), Inc | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 489,904 | 941,671 |
Percent of Total Amount Outstanding | 3.10% | 6.00% |
Company MBS Held as Collateral | 522,000 | 990,057 |
Goldman, Sachs & Co | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 482,523 | 468,806 |
Percent of Total Amount Outstanding | 3.00% | 3.00% |
Company MBS Held as Collateral | 516,843 | 509,660 |
Scotia Capital | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 452,067 | 708,750 |
Percent of Total Amount Outstanding | 2.80% | 4.50% |
Company MBS Held as Collateral | 476,569 | 744,692 |
Royal Bank of Canada | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 437,539 | 560,828 |
Percent of Total Amount Outstanding | 2.80% | 3.60% |
Company MBS Held as Collateral | 489,352 | 641,079 |
Daiwa Capital Markets America Inc | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 411,106 | 456,098 |
Percent of Total Amount Outstanding | 2.60% | 2.90% |
Company MBS Held as Collateral | 424,867 | 479,354 |
Deutsche Bank Securities Inc | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 406,303 | 587,919 |
Percent of Total Amount Outstanding | 2.60% | 3.70% |
Company MBS Held as Collateral | 463,227 | 666,472 |
BNP Paribas Securities Corp. | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 368,794 | 488,375 |
Percent of Total Amount Outstanding | 2.30% | 3.10% |
Company MBS Held as Collateral | 392,547 | 516,770 |
KGS Alpha Capital Markets L P | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 168,750 | 79,052 |
Percent of Total Amount Outstanding | 1.10% | 0.50% |
Company MBS Held as Collateral | 180,511 | 86,241 |
Barclays Capital Inc. | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 163,548 | 350,688 |
Percent of Total Amount Outstanding | 1.00% | 2.30% |
Company MBS Held as Collateral | 174,961 | 372,708 |
Td Securities | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 151,918 | 27,681 |
Percent of Total Amount Outstanding | 1.00% | 0.20% |
Company MBS Held as Collateral | 165,137 | 33,129 |
Cantor Fitzgerald & Co | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 70,332 | 80,466 |
Percent of Total Amount Outstanding | 0.40% | 0.50% |
Company MBS Held as Collateral | 74,077 | 86,961 |
Mizuho Securities Usa Inc | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 68,179 | 101,962 |
Percent of Total Amount Outstanding | 0.40% | 0.60% |
Company MBS Held as Collateral | 80,734 | 122,836 |
Guggenheim Liquidity Services, LLC | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Amount Outstanding | 33,750 | 43,245 |
Percent of Total Amount Outstanding | 0.20% | 0.30% |
Company MBS Held as Collateral | $35,599 | $45,437 |
Borrowings_Carrying_Value_of_A
Borrowings - Carrying Value of Assets Backed Securities Issued (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Debt Instrument [Line Items] | ' | ' |
Carrying value | $1,411,897 | ' |
Asset backed securities | ' | ' |
Debt Instrument [Line Items] | ' | ' |
Principal balance | 1,392,952 | ' |
Unamortized premium | 10,354 | ' |
Unamortized discount | -2,821 | ' |
Loan loss reserve | 0 | ' |
Carrying value | 1,411,897 | ' |
Number of series | 4 | ' |
Asset backed securities | Interest-only securities | ' | ' |
Debt Instrument [Line Items] | ' | ' |
Principal balance | 11,412 | ' |
Asset backed securities | Minimum | ' | ' |
Debt Instrument [Line Items] | ' | ' |
Weighted average interest rates | 2.80% | ' |
Asset backed securities | Maximum | ' | ' |
Debt Instrument [Line Items] | ' | ' |
Weighted average interest rates | 3.30% | ' |
Collateralized Mortgage Backed Securities | ' | ' |
Debt Instrument [Line Items] | ' | ' |
Principal balance | 1,498,726 | ' |
Unamortized premium | 34,414 | ' |
Unamortized discount | 0 | ' |
Loan loss reserve | -751 | ' |
Carrying value | 1,532,389 | ' |
Collateralized Mortgage Backed Securities | Interest-only securities | ' | ' |
Debt Instrument [Line Items] | ' | ' |
Principal balance | $0 | ' |
Borrowings_Principal_Repayment
Borrowings - Principal Repayment Schedule of ABS (Detail) (Asset backed securities, USD $) | Sep. 30, 2013 |
In Thousands, unless otherwise specified | |
Asset backed securities | ' |
Debt Instrument [Line Items] | ' |
Within One Year | $172,695 |
One to Three Years | 290,454 |
Three to Five Years | 227,926 |
Greater Than or Equal to Five Years | 701,877 |
Total | $1,392,952 |
Borrowings_Additional_Informat
Borrowings - Additional Information (Detail) (USD $) | 1 Months Ended | 9 Months Ended | 12 Months Ended | 1 Months Ended | 3 Months Ended | 9 Months Ended | 9 Months Ended | 9 Months Ended | ||||||||||
Aug. 31, 2013 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | Mar. 15, 2013 | Mar. 31, 2013 | Sep. 30, 2013 | Mar. 12, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | |
Exchangeable Senior Notes | Exchangeable Senior Notes | Exchangeable Senior Notes | Exchangeable Senior Notes | Asset backed securities | Variable Interest Entity, Primary Beneficiary | Third Parties | Third Parties | Third Parties | First payment | Second payment | Minimum | Maximum | Maximum | |||||
Asset backed securities | Variable Interest Entity, Primary Beneficiary | Variable Interest Entity, Primary Beneficiary | Exchangeable Senior Notes | Exchangeable Senior Notes | Exchangeable Senior Notes | |||||||||||||
Asset backed securities | ||||||||||||||||||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Repurchase obligation, maturity | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '30 days | '1 year | ' |
Pledged Financial Instruments, Not Separately Reported, Mortgage-Related Securities Available-for-sale or Held-for-investment | ' | $17,531,999,000 | ' | $17,456,238,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Collateral Ratio | ' | 110.00% | ' | 111.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Securitized loans, aggregate principal amount | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,500,000,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Aggregate principal balance of Loans sold | ' | ' | ' | ' | ' | 400,000,000 | ' | ' | 1,500,000,000 | 1,500,000,000 | 1,400,000,000 | 1,400,000,000 | 5,800,000 | ' | ' | ' | ' | ' |
Aggregate principal balance paid | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 27,800,000 | ' | ' | ' | ' | ' |
Debt instrument, maturity year | ' | ' | ' | ' | ' | '2018 | ' | '2018 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceed from issuance of debt | ' | 400,000,000 | ' | ' | 400,000,000 | 387,900,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt instrument, percentage | ' | ' | ' | ' | ' | ' | 5.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Interest payable date | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '--03-15 | '--09-15 | ' | ' | ' |
First interest payment date | ' | ' | ' | ' | ' | ' | 15-Sep-13 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Conversion ratio, Shares of Common Stock at an initial exchange rate per $1,000 principal | ' | ' | ' | ' | ' | ' | 42.0893 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 48.4027 |
Common Stock, exchange price | ' | ' | ' | ' | ' | ' | $23.76 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $20.66 |
Number of Shares Registered for Resale Prospectus | 605,034 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Accrued interest payable on notes | ' | ' | ' | ' | ' | ' | $889,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Derivatives_and_Hedging_Activi2
Derivatives and Hedging Activities - Open CDS Sold (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Derivative [Line Items] | ' | ' |
Notional amount | $14,600,000 | $8,850,000 |
CDS Contract | ' | ' |
Derivative [Line Items] | ' | ' |
Fair value amount | 776 | 1,519 |
Notional amount | 57,450 | 79,806 |
Maximum potential amount of future undiscounted payments | 57,450 | 79,806 |
Recourse provisions with third parties | 0 | 0 |
Collateral held by counterparty | $8,933 | $12,371 |
Derivatives_and_Hedging_Activi3
Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions (Detail) (USD $) | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 |
Interest Rate Swaps [Line Items] | ' |
Notional Amount, Beginning Balance | $8,850,000 |
Additions | 9,650,000 |
Settlement, Termination, Expiration or Exercise | -3,900,000 |
Notional Amount, Ending Balance | 14,600,000 |
Amount of Realized Gain, net on Interest Rate Swaps and Swaptions | 66,234 |
Swaptions | ' |
Interest Rate Swaps [Line Items] | ' |
Notional Amount, Beginning Balance | 850,000 |
Additions | 4,450,000 |
Settlement, Termination, Expiration or Exercise | -3,600,000 |
Notional Amount, Ending Balance | 1,700,000 |
Amount of Realized Gain, net on Interest Rate Swaps and Swaptions | 66,234 |
Interest Rate Swap | ' |
Interest Rate Swaps [Line Items] | ' |
Notional Amount, Beginning Balance | 8,000,000 |
Additions | 5,100,000 |
Settlement, Termination, Expiration or Exercise | -300,000 |
Notional Amount, Ending Balance | 12,800,000 |
US Treasury Futures Contracts | ' |
Interest Rate Swaps [Line Items] | ' |
Notional Amount, Beginning Balance | 0 |
Additions | 100,000 |
Settlement, Termination, Expiration or Exercise | 0 |
Notional Amount, Ending Balance | 100,000 |
Options Held | ' |
Interest Rate Swaps [Line Items] | ' |
Option Cost | 33,230 |
Option Fair Value | 10,335 |
Average Term | '4 months 5 days |
Options Held | Payer Swaption | Maximum | ' |
Interest Rate Swaps [Line Items] | ' |
Option Cost | 25,030 |
Option Fair Value | 6,684 |
Average Months to Expiration | '6 months |
Average Term | '3 months 3 days |
Options Held | Payer Swaption | Minimum | ' |
Interest Rate Swaps [Line Items] | ' |
Option Cost | 8,200 |
Option Fair Value | 3,651 |
Average Months to Expiration | '6 months |
Average Term | '7 months 18 days |
Underlying Swap | ' |
Interest Rate Swaps [Line Items] | ' |
Underlying Swap Notional Amount | 1,700,000 |
Underlying Swap Average Fixed Pay Rate | 3.42% |
Average Term | '10 years 0 months 0 days |
Underlying Swap | Payer Swaption | Maximum | ' |
Interest Rate Swaps [Line Items] | ' |
Underlying Swap Notional Amount | 1,300,000 |
Underlying Swap Average Fixed Pay Rate | 3.32% |
Underlying Swap Average Receive Rate | '3M Libor |
Average Term | '10 years 0 months 0 days |
Underlying Swap | Payer Swaption | Minimum | ' |
Interest Rate Swaps [Line Items] | ' |
Underlying Swap Notional Amount | $400,000 |
Underlying Swap Average Fixed Pay Rate | 3.76% |
Underlying Swap Average Receive Rate | '3M Libor |
Average Term | '10 years 0 months 0 days |
Derivatives_and_Hedging_Activi4
Derivatives and Hedging Activities - Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges (Detail) (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | $12,800,000 | |
Fixed Interest Rate in Contract | 2.12% | |
SunTrust Bank | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 100,000 | |
Maturity Date | 15-Jul-14 | |
Fixed Interest Rate in Contract | 2.79% | |
Deutsche Bank AG | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 200,000 | |
Maturity Date | 15-Jan-15 | |
Fixed Interest Rate in Contract | 1.08% | |
Deutsche Bank AG | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 250,000 | |
Maturity Date | 15-Feb-15 | |
Fixed Interest Rate in Contract | 1.14% | |
Credit Suisse International | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 100,000 | |
Maturity Date | 24-Feb-15 | |
Fixed Interest Rate in Contract | 3.26% | |
Credit Suisse International | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 100,000 | |
Maturity Date | 24-Mar-15 | |
Fixed Interest Rate in Contract | 2.76% | |
Wells Fargo Bank, N.A. | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 100,000 | |
Maturity Date | 15-Jul-15 | |
Fixed Interest Rate in Contract | 2.85% | |
Wells Fargo Bank, N.A. | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 50,000 | |
Maturity Date | 15-Jul-15 | |
Fixed Interest Rate in Contract | 2.44% | |
Morgan Stanley Capital Services, LLC | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 300,000 | |
Maturity Date | 24-Jan-16 | |
Fixed Interest Rate in Contract | 2.12% | |
Bank of New York Mellon | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 300,000 | |
Maturity Date | 24-Jan-16 | |
Fixed Interest Rate in Contract | 2.13% | |
Morgan Stanley Capital Services, LLC | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 300,000 | |
Maturity Date | 5-Apr-16 | |
Fixed Interest Rate in Contract | 2.48% | |
Citibank, N.A. | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 300,000 | |
Maturity Date | 15-Apr-16 | |
Fixed Interest Rate in Contract | 1.67% | |
Credit Suisse International | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 500,000 | |
Maturity Date | 15-Apr-16 | |
Fixed Interest Rate in Contract | 2.27% | |
Bank of New York Mellon | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 500,000 | |
Maturity Date | 15-Apr-16 | |
Fixed Interest Rate in Contract | 2.24% | |
JPMorgan Chase Bank, N.A. | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 500,000 | |
Maturity Date | 16-May-16 | |
Fixed Interest Rate in Contract | 2.31% | |
Goldman Sachs Bank USA | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 500,000 | |
Maturity Date | 24-May-16 | |
Fixed Interest Rate in Contract | 2.34% | |
Goldman Sachs Bank USA | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 250,000 | |
Maturity Date | 15-Jun-16 | |
Fixed Interest Rate in Contract | 2.67% | |
Wells Fargo Bank, N.A. | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 250,000 | |
Maturity Date | 15-Jun-16 | |
Fixed Interest Rate in Contract | 2.67% | |
JPMorgan Chase Bank, N.A. | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 500,000 | |
Maturity Date | 24-Jun-16 | |
Fixed Interest Rate in Contract | 2.51% | |
Citibank, N.A | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 500,000 | |
Maturity Date | 15-Oct-16 | |
Fixed Interest Rate in Contract | 1.93% | |
Deutsche Bank AG | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 150,000 | |
Maturity Date | 5-Feb-18 | |
Fixed Interest Rate in Contract | 2.90% | |
ING Capital Markets LLC | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 350,000 | |
Maturity Date | 24-Feb-18 | |
Fixed Interest Rate in Contract | 0.95% | |
Morgan Stanley Capital Services, LLC | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 100,000 | |
Maturity Date | 5-Apr-18 | |
Fixed Interest Rate in Contract | 3.10% | |
ING Capital Markets LLC | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 300,000 | |
Maturity Date | 5-May-18 | |
Fixed Interest Rate in Contract | 0.79% | |
JPMorgan Chase Bank, N.A. | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 200,000 | |
Maturity Date | 15-May-18 | |
Fixed Interest Rate in Contract | 2.93% | |
UBS AG | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 500,000 | |
Maturity Date | 24-May-18 | |
Fixed Interest Rate in Contract | 1.10% | |
ING Capital Markets LLC | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 400,000 | |
Maturity Date | 5-Jun-18 | |
Fixed Interest Rate in Contract | 0.87% | |
The Royal Bank of Scotland Plc | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 500,000 | |
Maturity Date | 5-Sep-18 | |
Fixed Interest Rate in Contract | 1.04% | |
Cme Clearing House February Fifth Twenty Twenty One | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 300,000 | [1],[2] |
Maturity Date | 5-Feb-21 | [1],[2] |
Fixed Interest Rate in Contract | 2.50% | [1],[2] |
Cme Clearing House February Fifth Twenty Twenty One | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 300,000 | [1],[2] |
Maturity Date | 5-Feb-21 | [1],[2] |
Fixed Interest Rate in Contract | 2.69% | [1],[2] |
Wells Fargo Bank, N.A. | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 200,000 | |
Maturity Date | 15-Mar-21 | |
Fixed Interest Rate in Contract | 3.14% | |
Citibank, N.A. | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 200,000 | |
Maturity Date | 25-May-21 | |
Fixed Interest Rate in Contract | 2.83% | |
HSBC Bank USA, National Association | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 550,000 | [3] |
Maturity Date | 24-Feb-22 | [3] |
Fixed Interest Rate in Contract | 2.45% | [3] |
The Royal Bank of Scotland Plc | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 400,000 | [4] |
Maturity Date | 15-Mar-23 | [4] |
Fixed Interest Rate in Contract | 2.39% | [4] |
UBS AG | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 400,000 | [4] |
Maturity Date | 15-Mar-23 | [4] |
Fixed Interest Rate in Contract | 2.51% | [4] |
HSBC Bank USA, National Association | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 250,000 | |
Maturity Date | 5-Jun-23 | |
Fixed Interest Rate in Contract | 1.91% | |
HSBC Bank USA, National Association | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 250,000 | |
Maturity Date | 5-Jul-23 | |
Fixed Interest Rate in Contract | 1.97% | |
The Royal Bank of Scotland Plc | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 500,000 | |
Maturity Date | 15-Aug-23 | |
Fixed Interest Rate in Contract | 1.98% | |
Cme Clearing House October Twenty Four Twenty Twenty Three [Member] | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 600,000 | [2] |
Maturity Date | 24-Aug-23 | [2] |
Fixed Interest Rate in Contract | 2.88% | [2] |
UBS AG | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | 250,000 | [5] |
Maturity Date | 15-Nov-23 | [5] |
Fixed Interest Rate in Contract | 2.23% | [5] |
HSBC Bank USA, National Association | ' | |
Interest Rate Derivatives Outstanding [Line Items] | ' | |
Notional | $500,000 | [6] |
Maturity Date | 15-Dec-23 | [6] |
Fixed Interest Rate in Contract | 2.20% | [6] |
[1] | Forward start date of February 2016 | |
[2] | Beginning June 10, 2013, regulations promulgated under The Dodd-Frank Wall Street Reform and Consumer Protection Act mandate that the Company clear new interest rate swap transactions through a central counterparty. Transactions that are centrally cleared result in the Company facing a clearing house, rather than a swap dealer, as counterparty. Central clearing requires the Company to post collateral in the form of initial and variation margin to the clearing house which reduces default risk. | |
[3] | Forward start date of February 2015 | |
[4] | Forward start date of March 2015 | |
[5] | Forward start date of November 2013 | |
[6] | Forward start date of December 2013 |
Derivatives_and_Hedging_Activi5
Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments Classification on Balance Sheet (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets, at fair value | $188,509 | $6,469 |
Derivative liability, at fair value | 316,670 | 436,440 |
Asset Derivatives [Member] | Interest Rate Swap Asset | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets, at fair value | 177,398 | ' |
Asset Derivatives [Member] | CDS Contract | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets, at fair value | 776 | 1,519 |
Asset Derivatives [Member] | Swaption | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets, at fair value | 10,335 | 4,950 |
Liability Derivatives [Member] | Interest Rate Swap Liability [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative liability, at fair value | 313,303 | 436,440 |
Liability Derivatives [Member] | US Treasury Futures Contracts | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative liability, at fair value | $3,367 | ' |
Derivatives_and_Hedging_Activi6
Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Amount of gain (loss) recognized in income on derivative | ($6,887) | ($808) | $44,424 | ($2,851) |
CDS Contract | Realized and unrealized credit default swap income | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Amount of gain (loss) recognized in income on derivative | -175 | 643 | -743 | 406 |
Swaption Contract | Realized and unrealized gain (loss) on interest rate derivative instruments | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Amount of gain (loss) recognized in income on derivative | -42,891 | -489 | -19,032 | -2,019 |
Futures Contract | Realized and unrealized gain (loss) on interest rate derivative instruments | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Amount of gain (loss) recognized in income on derivative | -3,369 | 0 | -3,369 | 0 |
Cash Flow Hedging | Interest Rate Swap | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Amount of gain (loss) recognized in OCI on derivative (effective portion) | -74,098 | -60,716 | 183,391 | -181,280 |
Cash Flow Hedging | Interest Rate Swap | Interest expense | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Amount of loss reclassified from accumulated OCI into income (effective portion) | 43,583 | 35,763 | 116,553 | 107,051 |
Cash Flow Hedging | Interest Rate Swap | Realized and unrealized gain (loss) on interest rate derivative instruments | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Amount of gain (loss) recognized in income on derivative (ineffective portion) | $298 | ($319) | $591 | ($832) |
Derivatives_and_Hedging_Activi7
Derivatives and Hedging Activities - Additional Information (Detail) (USD $) | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | ||||||||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Dec. 31, 2010 | Sep. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2013 | |
Agents | Accrued Interest | Agency RMBS | Interest Rate Swaption | Interest Rate Swaption | Credit Default Swap (CDS) | Credit Default Swap (CDS) | Credit Default Swap (CDS) | Minimum | ||||||
Derivatives And Hedging Activities [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Specified loss limit on sale of pool of non-agency RMBS (percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 25.00% | ' | ' | ' |
Stated fixed rate fee (percent) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 3.00% | ' | ' | ' |
Notional amount of credit default swaps | $14,600,000,000 | ' | $14,600,000,000 | ' | $8,850,000,000 | ' | ' | ' | ' | ' | ' | $57,450,000 | $79,806,000 | ' |
Fair market value of credit default swaps | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 776,000 | 1,519,000 | ' |
Sold of swaptions | 39,000,000 | ' | 66,200,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Unrealized loss on interest swap and swaptions | ' | ' | -21,810,000 | -2,851,000 | ' | ' | ' | ' | -42,900,000 | -19,000,000 | ' | ' | ' | ' |
Unrealized swap losses recognized in earnings as hedge ineffectiveness | 298,000 | -319,000 | 591,000 | -832,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
AOCI related to derivatives to be reclassified to interest expenses within Next 12 months | 197,600,000 | ' | 197,600,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Variability in future cash flows for forecasted transactions over a maximum period, months | ' | ' | '123 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Cash margin deposits | 8,119,000 | ' | 8,119,000 | ' | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Agency RMBS pledged as collateral against swap contracts | 346,000,000 | ' | 346,000,000 | ' | ' | 171,000,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Derivative posted cash collateral | ' | ' | ' | ' | ' | 21,000,000 | ' | 346,000,000 | ' | ' | ' | ' | ' | ' |
Minimum amount of shareholders' equity needed to be maintained | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 100,000,000 |
Minimum market value needed to be maintained | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 80,000,000 |
Derivatives, Liabilities | $316,670,000 | ' | $316,670,000 | ' | $436,440,000 | ' | $296,700,000 | ' | ' | ' | ' | ' | ' | ' |
Offsetting_Assets_and_Liabilit2
Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
Offsetting Assets [Line Items] | ' | ' | ||
Derivatives, Gross Amounts of Recognized Assets | $188,509 | $6,469 | ||
Derivatives, Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 | ||
Derivatives, Net Amounts of Assets presented in the Consolidated Balance Sheet | 188,509 | 6,469 | ||
Derivatives, Financial Instruments | -188,509 | [1] | -6,469 | [1] |
Derivatives, Cash Collateral Received | 0 | 0 | ||
Derivatives, Net Amount | $0 | $0 | ||
[1] | Amounts represent interest rate derivatives in an asset position which could potentially be offset against interest rate derivatives in a liability position at September 30, 2013 and December 31, 2012, subject to a netting arrangement. |
Offsetting_Assets_and_Liabilit3
Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities and Repurchase Agreements (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
Offsetting Liabilities [Line Items] | ' | ' | ||
Derivative liability, at fair value | $316,670 | $436,440 | ||
Derivatives, Gross Amounts Offset in the Consolidated Balance Sheet, Derivatives | 0 | 0 | ||
Derivatives, Net Amounts of Liabilities presented in the Consolidated Balance Sheet | 316,670 | 436,440 | ||
Derivatives, Financial Instruments | -316,670 | [1],[2] | -436,440 | [1],[2] |
Derivatives, Cash Collateral Posted | 0 | [2],[3] | 0 | [2],[3] |
Derivatives, Net Amount | 0 | 0 | ||
Repurchase agreements | 15,897,612 | 15,720,460 | ||
Repurchase Agreements, Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 | ||
Repurchase Agreements, Net Amounts of Liabilities presented in the Consolidated Balance Sheet | 15,897,612 | 15,720,460 | ||
Repurchase Agreements, Financial Instruments | -15,897,612 | [1],[2] | -15,720,460 | [1],[2] |
Repurchase Agreements, Cash Collateral Posted | 0 | [2],[3] | 0 | [2],[3] |
Repurchase Agreements, Net Amount | 0 | 0 | ||
Gross Amounts of Recognized Liabilities | 16,214,282 | 16,156,900 | ||
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 | ||
Net Amounts of Liabilities presented in the Consolidated Balance Sheet | 16,214,282 | 16,156,900 | ||
Financial Instruments | -16,214,282 | [1],[2] | -16,156,900 | [1],[2] |
Cash Collateral Posted | 0 | [2],[3] | 0 | [2],[3] |
Net Amount | $0 | $0 | ||
[1] | The fair value of securities pledged against our borrowing under repurchase agreements was $17.5 billion and $17.5 billion at September 30, 2013 and December 31, 2012, respectively. | |||
[2] | Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements and interest rate derivatives. | |||
[3] | Total cash received on our Derivatives was $21.0 million and $0 at September 30, 2013 and December 31, 2012, respectively. Total non-cash collateral received on our Derivatives was $171.0 million and $0 at September 30, 2013 and December 31, 2012, respectively. |
Offsetting_Assets_and_Liabilit4
Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities and Repurchase Agreements (Parenthetical) (Detail) (USD $) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2013 | Dec. 31, 2012 | |
Offsetting Liabilities [Line Items] | ' | ' |
Fair value of securities pledged under repurchase agreement | $17,500,000,000 | $17,500,000,000 |
Due from counterparties | 8,119,000 | 0 |
Derivative | ' | ' |
Offsetting Liabilities [Line Items] | ' | ' |
Collateral cash received on dervatives | 21,000,000 | 0 |
Non Cash collateral received on derivatives | $171,000,000 | $0 |
Financial_Instruments_Fair_Val
Financial Instruments - Fair Values Measured on Recurring Basis (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | $18,811,679 | $18,470,563 |
Investments in unconsolidated ventures, at fair value | 42,276 | 35,301 |
Derivative assets, at fair value | 188,509 | 6,469 |
Total, Assets | 19,042,464 | 18,512,333 |
Derivatives, Liabilities | 316,670 | 436,440 |
Total | 316,670 | 436,440 |
Level 1 | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' |
Derivatives, Liabilities | 3,367 | ' |
Total | 3,367 | ' |
Level 2 | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' |
Mortgage-backed securities, at fair value | 18,811,679 | 18,470,563 |
Derivative assets, at fair value | 187,733 | 4,950 |
Total, Assets | 18,999,412 | 18,475,513 |
Derivatives, Liabilities | 313,303 | 436,440 |
Total | 313,303 | 436,440 |
Level 3 | ' | ' |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' |
Investments in unconsolidated ventures, at fair value | 42,276 | 35,301 |
Derivative assets, at fair value | 776 | 1,519 |
Total, Assets | $43,052 | $36,820 |
Financial_Instruments_Fair_Val1
Financial Instruments - Fair Value on Recurring Basis Utilizing Level 3 Inputs (Detail) (USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Investments In Unconsolidated Ventures | ' | ' |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' |
Beginning balance | $35,301 | $68,793 |
Purchases | 4,843 | 4,218 |
Sales and settlements | -3,037 | -44,879 |
Realized gains/(losses), net | 2,332 | 6,813 |
Unrealized gains/(losses), net | 2,837 | 356 |
Unrealized gain/(losses), net included in other comprehensive income | 0 | 0 |
Ending balance | 42,276 | 35,301 |
CDS Contract | ' | ' |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' |
Beginning balance | 1,519 | 1,339 |
Unrealized gains/(losses), net | -743 | 180 |
Unrealized gain/(losses), net included in other comprehensive income | 0 | 0 |
Ending balance | $776 | $1,519 |
Financial_Instruments_Quantita
Financial Instruments - Quantitative Information About Level 3 Fair Value Measurements (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2011 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2013 |
In Thousands, unless otherwise specified | CDS Contract | CDS Contract | CDS Contract | Swap Rate | Discount Rate | Credit Spread | Constant Prepayment Rate | Constant Prepayment Rate | Constant Prepayment Rate | Constant Default Rate | Constant Default Rate | Constant Default Rate | Loss Severity | Loss Severity | Loss Severity |
Minimum | Maximum | Minimum | Maximum | Minimum | Maximum | ||||||||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value | $776 | $1,519 | $1,339 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Range | ' | ' | ' | ' | ' | ' | ' | 1.00% | 20.00% | ' | 1.00% | 100.00% | ' | 7.30% | 63.20% |
Weighted Average | ' | ' | ' | 2.39% | 0.52% | 0.48% | 5.78% | ' | ' | 4.86% | ' | ' | 42.80% | ' | ' |
Financial_Instruments_Addition
Financial Instruments - Additional Information (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2012 | Dec. 31, 2012 |
Debt Securities | Debt Securities | |||
Three-month LIBOR rate | ||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ' | ' |
Fair value of CDS contract | $10,000 | ' | ' | ' |
Debt security | $10,000,000 | $10,000,000 | $10,000,000 | ' |
Debt maturity date | ' | ' | 31-Oct-16 | ' |
Debt interest rate above the three-month LIBOR rate | ' | ' | ' | 4.00% |
Interest payment period | ' | ' | 'Quarterly | ' |
Financial_Instruments_Carrying
Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Carrying value | ' | ' |
Financial Instruments [Line Items] | ' | ' |
Other investments | $10,000 | $10,000 |
Total | 1,559,777 | 10,000 |
Repurchase agreements | 15,897,612 | 15,720,460 |
Asset-backed-securities | 1,411,897 | ' |
Exchangeable senior notes | 400,000 | ' |
Total | 17,709,509 | 15,720,460 |
Carrying value | Residential Loans Held For Investment | ' | ' |
Financial Instruments [Line Items] | ' | ' |
Mortgage loans, held-for-investment | 1,532,389 | ' |
Carrying value | Commercial Loans Held For Investment | ' | ' |
Financial Instruments [Line Items] | ' | ' |
Mortgage loans, held-for-investment | 17,388 | ' |
Estimated fair value | ' | ' |
Financial Instruments [Line Items] | ' | ' |
Other investments | 10,000 | 10,000 |
Total | 1,442,204 | 10,000 |
Repurchase agreements | 15,876,752 | 15,730,387 |
Asset-backed-securities | 1,321,675 | ' |
Exchangeable senior notes | 374,250 | ' |
Total | 17,572,677 | 15,730,387 |
Estimated fair value | Residential Loans Held For Investment | ' | ' |
Financial Instruments [Line Items] | ' | ' |
Mortgage loans, held-for-investment | 1,414,816 | ' |
Estimated fair value | Commercial Loans Held For Investment | ' | ' |
Financial Instruments [Line Items] | ' | ' |
Mortgage loans, held-for-investment | $17,388 | ' |
Related_Party_Transactions_Add
Related Party Transactions - Additional Information (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Related Party Transactions [Abstract] | ' | ' | ' | ' |
Fee paid by Company to Manager as percentage of Company's shareholders' equity | ' | ' | 1.50% | ' |
Management fee - related party | $10,945,000 | $9,053,000 | $32,106,000 | $26,372,000 |
Management fees accrued but not paid | 10,900,000 | 9,100,000 | 10,900,000 | 9,100,000 |
Related party transaction amount | 1,000,000 | 1,700,000 | 3,900,000 | 3,100,000 |
Related party cost prepaid or expensed | 1,000,000 | 1,500,000 | 3,500,000 | 2,900,000 |
Related party cost charged against equity as a cost of raising capital | $0 | $176,000 | $418,000 | $218,000 |
Shareholders_Equity_Additional
Shareholders' Equity - Additional Information (Detail) (USD $) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 1 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 9 Months Ended | 1 Months Ended | 1 Months Ended | 9 Months Ended | |||||||||||||
In Thousands, except Share data, unless otherwise specified | Jan. 28, 2013 | Sep. 30, 2013 | Mar. 31, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | Mar. 15, 2013 | Mar. 31, 2013 | Sep. 30, 2013 | Mar. 12, 2013 | Mar. 31, 2013 | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Jan. 28, 2013 | Jan. 28, 2013 | Sep. 30, 2013 | Sep. 30, 2013 | Jun. 17, 2013 | Aug. 02, 2012 | Jul. 26, 2012 | Jun. 17, 2013 | Sep. 30, 2013 |
Exchangeable Senior Notes | Exchangeable Senior Notes | Exchangeable Senior Notes | Exchangeable Senior Notes | Restricted Stock Units (RSUs) | Employee And Officer | Employee And Officer | Employee And Officer | Employee And Officer | Public Offering | Underwriters Exercise Of Overallotment Option | DRSPP | Incentive Plan | Series A Cumulative Redeemable Preferred Stock | Series A Cumulative Redeemable Preferred Stock | Series A Cumulative Redeemable Preferred Stock | Common Stock | Maximum | ||||||||
Exchangeable Senior Notes | |||||||||||||||||||||||||
Class of Stock [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceed from issuance of debt | ' | ' | ' | ' | $400,000 | ' | ' | $400,000 | $387,900 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt instrument, maturity year | ' | ' | ' | ' | ' | ' | ' | ' | '2018 | ' | '2018 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Conversion ratio, Shares of Common Stock at an initial exchange rate per $1,000 principal | ' | ' | ' | ' | ' | ' | ' | ' | ' | 42.0893 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 48.4027 |
Common Stock, exchange price | ' | ' | ' | ' | ' | ' | ' | ' | ' | $23.76 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $20.66 |
Common stock shares issued | ' | 135,224,162 | ' | ' | 135,224,162 | ' | 116,195,500 | ' | ' | ' | ' | ' | ' | ' | ' | ' | 15,000,000 | 2,250,000 | 1,766,995 | ' | ' | ' | ' | ' | ' |
Price of per share of stock issued | $21 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $21.32 | ' | ' | ' | $25 | ' | ' |
Proceeds from issuance of common stock | 359,000 | ' | ' | ' | 396,417 | 103 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 37,700 | ' | ' | ' | ' | ' | ' |
Stock Issuance costs | ' | ' | ' | ' | 6 | -135,535 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 219 | ' | ' | ' | ' | ' | ' |
Preferred Stock, dividend percentage rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 7.75% | ' | ' |
Preferred Stock, dividends per annum (dollars per share) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $1.94 | ' | ' | ' |
Preferred Stock, liquidation preference (dollars per share) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $25 | ' | ' | ' |
Common stock options reserved for issuance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,000,000 | ' | ' | ' | ' | ' |
Incentive Plan termination year | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '2019 | ' | ' | ' | ' | ' |
Compensation expense recognized | ' | $45 | ' | $53 | $120 | $128 | ' | ' | ' | ' | ' | ' | $45 | $49 | $156 | $129 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Restricted stock issued | ' | 2,361 | ' | 2,568 | 5,970 | 6,831 | ' | ' | ' | ' | ' | ' | ' | ' | 16,835 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock shares issued in exchange for restricted stock | ' | ' | 5,697 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of restricted stock units vested | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 8,783 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock dividend declared, per share | ' | $0.50 | ' | $0.65 | $1.80 | $1.95 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0.50 | ' |
Dividend payable date | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 25-Oct-13 | ' | ' | 28-Oct-13 | ' |
Dividend payable, date of record | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1-Oct-13 | ' | ' | 26-Sep-13 | ' |
Series A preferred stock dividend, per share | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0.48 | ' | ' | ' | ' |
Earnings_per_Common_Share_Deta
Earnings per Common Share (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Numerator (Income) | ' | ' | ' | ' |
Net income available to common shareholders | ($8,686) | $83,068 | $214,152 | $244,971 |
Income allocated to exchangeable senior debt | 0 | ' | 12,403 | ' |
Income allocated to non-controlling interest | 0 | 1,026 | 2,392 | 3,025 |
Dilutive net income available to shareholders | ($8,686) | $84,094 | $228,947 | $247,996 |
Denominator (Weighted Average Shares) | ' | ' | ' | ' |
Shares available to common shareholders | 135,220 | 115,412 | 133,094 | 115,405 |
Restricted Stock Awards | 0 | 31 | 12,519 | 28 |
OP Units | 0 | 1,425 | 34 | 1,425 |
Exchangeable senior notes | 0 | ' | 1,425 | ' |
Dilutive Shares | 135,220 | 116,868 | 147,072 | 116,858 |
Exchangeable Senior Notes | ' | ' | ' | ' |
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ' | ' | ' | ' |
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 16,836 | ' | ' | ' |
Partnership Interest [Member] | ' | ' | ' | ' |
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ' | ' | ' | ' |
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 1,425 | ' | ' | ' |
Restricted Stock Units (RSUs) | ' | ' | ' | ' |
Earnings Per Share, Basic, by Common Class, Including Two Class Method [Line Items] | ' | ' | ' | ' |
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 38 | ' | ' | ' |
Noncontrolling_InterestOperati1
Non-controlling Interest-Operating Partnership - Additional Information (Detail) (USD $) | 3 Months Ended | 9 Months Ended | |||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 |
Noncontrolling Interest [Line Items] | ' | ' | ' | ' | ' |
Non-controlling interest related to the outstanding of OP Units | 1,425,000 | ' | 1,425,000 | ' | ' |
Non-controlling interest in Operating Partnership | 1.00% | 1.20% | 1.00% | 1.20% | ' |
Income allocated to operating partnership non-controlling interest | ($63) | $1,000 | $2,400 | $3,000 | ' |
Distributions paid to non-controlling interest | ' | ' | 2,800 | 2,800 | ' |
Distributions payable to non-controlling interest | 71,037 | 78,628 | 71,037 | 78,628 | 79,165 |
Non-Controlling Interest | ' | ' | ' | ' | ' |
Noncontrolling Interest [Line Items] | ' | ' | ' | ' | ' |
Distributions paid to non-controlling interest | 926 | 926 | ' | ' | ' |
Distributions payable to non-controlling interest | $713 | $926 | $713 | $926 | ' |