Document_and_Entity_Informatio
Document and Entity Information | 9 Months Ended | |
Sep. 30, 2014 | Nov. 01, 2014 | |
Document And Entity Information [Abstract] | ' | ' |
Document Type | '10-Q | ' |
Amendment Flag | 'false | ' |
Document Period End Date | 30-Sep-14 | ' |
Document Fiscal Year Focus | '2014 | ' |
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 | ' | 123,102,325 |
Consolidated_Balance_Sheets
Consolidated Balance Sheets (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
ASSETS | ' | ' | ||
Mortgage-backed securities, at fair value | $17,297,034 | [1] | $17,348,657 | [1] |
Residential loans, held-for-investment | 3,103,434 | [2] | 1,810,262 | [2] |
Commercial loans, held-for-investment | 144,707 | 64,599 | ||
Cash and cash equivalents | 128,944 | 210,612 | ||
Due from counterparties | 28,499 | 1,500 | ||
Investment related receivable | 55,942 | 515,404 | ||
Investments in unconsolidated ventures, at fair value | 42,281 | 44,403 | ||
Accrued interest receivable | 66,295 | 68,246 | ||
Derivative assets, at fair value | 74,421 | 262,059 | ||
Deferred securitization and financing costs | 13,485 | 13,894 | ||
Other investments | 62,500 | 10,000 | ||
Other assets | 1,521 | 1,343 | ||
Total assets | 21,019,063 | [2] | 20,350,979 | [2] |
Liabilities: | ' | ' | ||
Repurchase agreements | 13,571,889 | 15,451,675 | ||
Secured loans | 1,250,000 | 0 | ||
Asset-backed securities issued by securitization trusts | 2,745,940 | [2] | 1,643,741 | [2] |
Exchangeable senior notes | 400,000 | 400,000 | ||
Derivative liabilities, at fair value | 222,559 | 263,204 | ||
Dividends and distributions payable | 64,976 | 66,087 | ||
Investment related payable | 12,351 | 28,842 | ||
Accrued interest payable | 23,080 | 26,492 | ||
Collateral held payable | 35,446 | 52,698 | ||
Accounts payable and accrued expenses | 2,567 | 4,304 | ||
Due to affiliate | 9,854 | 10,701 | ||
Total liabilities | 18,338,662 | [2] | 17,947,744 | [2] |
Equity: | ' | ' | ||
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 123,101,132 and 124,510,246 shares issued and outstanding, respectively | 1,231 | 1,245 | ||
Additional paid in capital | 2,531,914 | 2,552,464 | ||
Accumulated other comprehensive income (loss) | 310,837 | -156,993 | ||
Retained earnings (distributions in excess of earnings) | -477,759 | -155,957 | ||
Total shareholders’ equity | 2,651,497 | 2,376,115 | ||
Non-controlling interest | 28,904 | 27,120 | ||
Total equity | 2,680,401 | 2,403,235 | ||
Total liabilities and equity | 21,019,063 | 20,350,979 | ||
Series A Cumulative Redeemable Preferred Stock | ' | ' | ||
Equity: | ' | ' | ||
7.75% Series A Cumulative Redeemable Preferred Stock: 5,600,000 shares issued and outstanding ($140,000 aggregate liquidation preference) | 135,356 | 135,356 | ||
Series B Cumulative Redeemable Preferred Stock | ' | ' | ||
Equity: | ' | ' | ||
7.75% Series A Cumulative Redeemable Preferred Stock: 5,600,000 shares issued and outstanding ($140,000 aggregate liquidation preference) | $149,918 | $0 | ||
[1] | For more detail about the fair value of the Company's MBS, refer to Note 4 - "Mortgage-Backed Securities." | |||
[2] | The 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 Company. As of September 30, 2014 and December 31, 2013, total assets of the consolidated VIEs were $3,118,222 and $1,819,295, respectively, and total liabilities of the consolidated VIEs were $2,754,169 and $1,648,400, respectively. Refer to Note 3 - "Variable Interest Entities" for further discussion. |
Consolidated_Balance_Sheets_Pa
Consolidated Balance Sheets (Parenthetical) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, except Share data, unless otherwise specified | ||||
Preferred Stock, par value (usd per share) | $0.01 | $0.01 | ||
Preferred Stock, shares authorized (in shares) | 50,000,000 | 50,000,000 | ||
Common stock, par value (usd per share) | $0.01 | $0.01 | ||
Common stock, shares authorized (in shares) | 450,000,000 | 450,000,000 | ||
Common stock, shares issued (in shares) | 123,101,132 | 124,510,246 | ||
Common stock, shares outstanding (in shares) | 123,101,132 | 124,510,246 | ||
Total assets | $21,019,063 | [1] | $20,350,979 | [1] |
Total liabilities | 18,338,662 | [1] | 17,947,744 | [1] |
Variable Interest Entity, Primary Beneficiary | ' | ' | ||
Total assets | 3,118,222 | 1,819,295 | ||
Total liabilities | 2,754,169 | 1,648,400 | ||
Series A Cumulative Redeemable Preferred Stock | ' | ' | ||
Preferred Stock, dividend rate stated Percentage | 7.75% | 7.75% | ||
Preferred stock, shares issued (in shares) | 5,600,000 | 5,600,000 | ||
Preferred Stock, shares outstanding (in shares) | 5,600,000 | 5,600,000 | ||
Preferred Stock, liquidation preference value | 140,000 | 140,000 | ||
Series B Cumulative Redeemable Preferred Stock | ' | ' | ||
Preferred Stock, dividend rate stated Percentage | 7.75% | ' | ||
Preferred stock, shares issued (in shares) | 6,200,000 | ' | ||
Preferred Stock, shares outstanding (in shares) | 6,200,000 | ' | ||
Preferred Stock, liquidation preference value | $155,000 | ' | ||
[1] | The 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 Company. As of September 30, 2014 and December 31, 2013, total assets of the consolidated VIEs were $3,118,222 and $1,819,295, respectively, and total liabilities of the consolidated VIEs were $2,754,169 and $1,648,400, respectively. Refer to Note 3 - "Variable Interest Entities" for further discussion. |
Consolidated_Statements_of_Ope
Consolidated Statements of Operations (Unaudited) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, except Per Share data, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Interest Income | ' | ' | ' | ' |
Mortgage-backed securities | $144,043 | $157,539 | $447,702 | $486,619 |
Residential loans | 22,713 | 13,417 | 60,888 | 20,443 |
Commercial loans | 2,649 | 372 | 6,329 | 432 |
Total interest income | 169,405 | 171,328 | 514,919 | 507,494 |
Interest Expense | ' | ' | ' | ' |
Repurchase agreements | 45,756 | 73,695 | 142,649 | 208,487 |
Secured loans | 1,223 | 0 | 1,399 | 0 |
Exchangeable senior notes | 5,620 | 5,621 | 16,840 | 12,403 |
Asset-backed securities | 17,660 | 10,266 | 47,421 | 15,722 |
Total interest expense | 70,259 | 89,582 | 208,309 | 236,612 |
Net interest income | 99,146 | 81,746 | 306,610 | 270,882 |
Provision for loan losses | -209 | 87 | -52 | 751 |
Net interest income after provision for loan losses | 99,355 | 81,659 | 306,662 | 270,131 |
Other Income (loss) | ' | ' | ' | ' |
Gain (loss) on sale of investments, net | -47,952 | -69,323 | -80,436 | -56,919 |
Equity in earnings and fair value change in unconsolidated ventures | 1,145 | 1,422 | 5,480 | 5,169 |
Gain (loss) on derivative instruments, net | -3,704 | -6,887 | -322,832 | 44,424 |
Realized and unrealized credit default swap income | 247 | 297 | 868 | 828 |
Other investment income (loss), net | -1,358 | 0 | -1,358 | 0 |
Total other income (loss) | -51,622 | -74,491 | -398,278 | -6,498 |
Expenses | ' | ' | ' | ' |
Management fee – related party | 9,214 | 10,945 | 27,876 | 32,106 |
General and administrative | 4,079 | 2,259 | 11,014 | 6,845 |
Total expenses | 13,293 | 13,204 | 38,890 | 38,951 |
Net income (loss) | 34,440 | -6,036 | -130,506 | 224,682 |
Net income (loss) attributable to non-controlling interest | 394 | -63 | -1,485 | 2,392 |
Net income (loss) attributable to Invesco Mortgage Capital Inc. | 34,046 | -5,973 | -129,021 | 222,290 |
Dividends to preferred shareholders | 2,713 | 2,713 | 8,138 | 8,138 |
Other Preferred Stock Dividends and Adjustments | 661 | 0 | 661 | 0 |
Net income (loss) attributable to common shareholders | $30,672 | ($8,686) | ($137,820) | $214,152 |
Earnings (loss) per share: | ' | ' | ' | ' |
Net income attributable to common shareholders (basic) (usd per share) | $0.25 | ($0.06) | ($1.12) | $1.61 |
Net income attributable to common shareholders (diluted) (usd per share) | $0.25 | ($0.06) | ($1.12) | $1.56 |
Dividends declared per common share (usd per share) | $0.50 | $0.50 | $1.50 | $1.80 |
Consolidated_Statements_of_Com
Consolidated Statements of Comprehensive Income (Unaudited) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Net income (loss) | $34,440 | ($6,036) | ($130,506) | $224,682 |
Other comprehensive income (loss): | ' | ' | ' | ' |
Unrealized gain (loss) on mortgage-backed securities | -113,946 | 5,707 | 328,743 | -763,016 |
Reclassification of unrealized loss on sale of mortgage-backed securities to gain (loss) on sales of investments, net | 47,952 | 69,323 | 80,436 | 56,919 |
Unrealized gain (loss) on derivative instruments | 0 | -74,098 | 0 | 183,391 |
Total Other comprehensive income (loss) | -44,767 | 44,515 | 473,234 | -406,153 |
Comprehensive income (loss) | -10,327 | 38,479 | 342,728 | -181,471 |
Less: Comprehensive (income) loss attributable to non-controlling interest | 117 | -402 | -3,919 | 1,856 |
Less: Dividends to preferred shareholders | -2,713 | -2,713 | -8,138 | -8,138 |
Less: Undeclared cumulative dividends to preferred shareholders | -661 | 0 | -661 | 0 |
Comprehensive income (loss) attributable to common shareholders | -13,584 | 35,364 | 330,010 | -187,753 |
Gain (loss) on interest rate derivative instruments | ' | ' | ' | ' |
Other comprehensive income (loss): | ' | ' | ' | ' |
Reclassification of unrealized loss on derivative instruments to gain (loss) on derivatives, net | 0 | 43,583 | 0 | 116,553 |
Repurchase agreements interest expense | ' | ' | ' | ' |
Other comprehensive income (loss): | ' | ' | ' | ' |
Reclassification of unrealized loss on derivative instruments to gain (loss) on derivatives, net | $21,227 | $0 | $64,055 | $0 |
Consolidated_Statement_of_Equi
Consolidated Statement of Equity (Unaudited) (USD $) | Total | Common Stock | Preferred Stock | Preferred Stock | Preferred Stock | Common Stock | Additional Paid in Capital | Additional Paid in Capital | Accumulated Other Comprehensive Income (loss) | Retained Earnings (Distributions in excess of earnings) | Total Shareholders’ Equity | Total Shareholders’ Equity | Total Shareholders’ Equity | Non- Controlling Interest |
In Thousands, except Share data, unless otherwise specified | Series A Cumulative Redeemable Preferred Stock | Series B Cumulative Redeemable Preferred Stock | Common Stock | Common Stock | Preferred Stock | |||||||||
Beginning Balance at Dec. 31, 2013 | $2,403,235 | ' | ' | $135,356 | $0 | $1,245 | $2,552,464 | ' | ($156,993) | ($155,957) | $2,376,115 | ' | ' | $27,120 |
Beginning Balance (in shares) at Dec. 31, 2013 | ' | ' | ' | 5,600,000 | 0 | 124,510,246 | ' | ' | ' | ' | ' | ' | ' | ' |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Net loss | -130,506 | ' | ' | ' | ' | ' | ' | ' | ' | -129,021 | -129,021 | ' | ' | -1,485 |
Other comprehensive income | 473,234 | ' | ' | ' | ' | ' | ' | ' | 467,830 | ' | 467,830 | ' | ' | 5,404 |
Proceeds from issuance of stock, net of offering costs (in shares) | ' | ' | ' | 0 | 6,200,000 | 11,459 | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds from issuance of stock, net of offering costs | ' | 191 | 149,918 | 0 | 149,918 | ' | ' | 191 | ' | ' | ' | 191 | 149,918 | ' |
Repurchase of shares of common stock, shares | ' | -1,438,213 | ' | ' | ' | -1,438,213 | ' | ' | ' | ' | ' | ' | ' | ' |
Repurchase of shares of common stock | -21,130 | ' | ' | ' | ' | -14 | -21,116 | ' | ' | ' | -21,130 | ' | ' | ' |
Stock awards | ' | ' | ' | ' | ' | 17,640 | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock dividends | -184,643 | ' | ' | ' | ' | ' | ' | ' | ' | -184,643 | -184,643 | ' | ' | ' |
Common unit dividends | -2,138 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | -2,138 |
Preferred stock dividends | -8,138 | ' | ' | ' | ' | ' | ' | ' | ' | -8,138 | -8,138 | ' | ' | ' |
Amortization of equity-based compensation | 378 | ' | ' | ' | ' | ' | 375 | ' | ' | ' | 375 | ' | ' | 3 |
Ending Balance at Sep. 30, 2014 | 2,680,401 | ' | ' | 135,356 | 149,918 | 1,231 | 2,531,914 | ' | 310,837 | -477,759 | 2,651,497 | ' | ' | 28,904 |
Ending Balance (in shares) at Sep. 30, 2014 | ' | ' | ' | 5,600,000 | 6,200,000 | 123,101,132 | ' | ' | ' | ' | ' | ' | ' | ' |
Beginning Balance at Aug. 31, 2014 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds from issuance of stock, net of offering costs (in shares) | ' | ' | ' | ' | 6,200,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Ending Balance at Sep. 30, 2014 | ' | ' | ' | ' | $149,918 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Ending Balance (in shares) at Sep. 30, 2014 | ' | ' | ' | ' | 6,200,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Consolidated_Statements_of_Cas
Consolidated Statements of Cash Flows (Unaudited) (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 |
Cash Flows from Operating Activities | ' | ' |
Net income (loss) | ($130,506) | $224,682 |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ' | ' |
Amortization of mortgage-backed securities premiums and (discounts), net | 99,770 | 145,112 |
Amortization of residential loans and asset-backed securities premiums (discount), net | 2,195 | 117 |
Amortization of commercial loan origination fees | -1 | -21 |
Provision for loan losses | -52 | 751 |
Unrealized (gain) loss on derivative instruments, net | 133,863 | 21,810 |
Unrealized loss on credit default swap | 185 | 743 |
(Gain) loss on sale of mortgage-backed securities, net | 80,436 | 56,919 |
(Gain) loss on derivative instruments, net | 34,877 | -66,234 |
Equity in earnings and fair value change in unconsolidated ventures | -5,480 | -5,169 |
Amortization of equity-based compensation | 378 | 276 |
Amortization of deferred securitization and financing costs | 2,220 | 1,647 |
Amortization of deferred swap losses from de-designation | 64,055 | 0 |
Non-cash interest income capitalized in commercial loans | -768 | 0 |
Loss on foreign currency transactions | 1,479 | 0 |
Changes in operating assets and liabilities: | ' | ' |
(Increase) decrease in operating assets | 1,790 | -8,929 |
Increase (decrease) in operating liabilities | -6,174 | 9,489 |
Net cash provided by operating activities | 278,267 | 381,193 |
Cash Flows from Investing Activities | ' | ' |
Purchase of mortgage-backed securities | -3,752,261 | -6,923,130 |
(Contributions) Distributions from investment in unconsolidated ventures, net | 7,602 | -1,806 |
Change in other investments | -52,500 | 0 |
Principal payments from mortgage-backed securities | 1,422,082 | 2,309,117 |
Proceeds from sale of mortgage-backed securities | 3,069,978 | 3,507,011 |
Payment of premiums for interest rate swaptions | -10,328 | -72,723 |
Proceeds from termination of interest rate swaptions | 0 | 114,538 |
Payments for termination of futures contracts and TBAs | -11,604 | 0 |
Purchase of residential loans held-for-investment | -1,417,864 | -1,562,818 |
Principal payments from residential loans held-for-investment | 120,930 | 28,464 |
Principal payments from commercial loans held-for-investment | 400 | 0 |
Origination and advances of commercial loans, net of origination fees | -81,201 | -17,050 |
Net cash used in investing activities | -704,766 | -2,618,397 |
Cash Flows from Financing Activities | ' | ' |
Proceeds from issuance of common stock | 191 | 396,417 |
Repurchase of common stock | -21,130 | 0 |
Proceeds (costs) of issuance of preferred stock | 150,096 | -6 |
Due from counterparties | -26,999 | -8,182 |
Collateral held payable | -13,771 | 21,045 |
Proceeds from repurchase agreements | 108,739,181 | 140,364,041 |
Principal repayments of repurchase agreements | -110,638,714 | -140,159,048 |
Proceeds from issuance of exchangeable senior notes | 0 | 400,000 |
Proceeds from asset-backed securities issued by securitization trusts | 1,213,405 | 1,440,755 |
Principal repayments of asset-backed securities issued by securitization trusts | -109,587 | -27,778 |
Proceeds from secured loans | 2,835,247 | 0 |
Principal repayments on secured loans | -1,585,247 | 0 |
Payments of deferred costs | -1,811 | -15,676 |
Payments of dividends and distributions | -196,030 | -261,743 |
Net cash provided by financing activities | 344,831 | 2,149,825 |
Net change in cash and cash equivalents | -81,668 | -87,379 |
Cash and cash equivalents, beginning of period | 210,612 | 286,474 |
Cash and cash equivalents, end of period | 128,944 | 199,095 |
Supplement Disclosure of Cash Flow Information | ' | ' |
Interest paid | 146,209 | 231,782 |
Non-cash Investing and Financing Activities Information | ' | ' |
Net change in unrealized gain (loss) on mortgage-backed securities and hedged derivatives | 409,179 | -406,153 |
Dividends and distributions declared not paid | 64,976 | 71,037 |
Payable for mortgage-backed securities sold / purchased, net | 457,049 | 150,733 |
Repurchase agreements, not settled | 19,747 | -27,842 |
Collateral held payable, not settled | -3,481 | 0 |
Net change in due from counterparties | 0 | 63 |
Offering costs not paid | ($178) | $0 |
Organization_and_Business_Oper
Organization and Business Operations | 9 Months Ended | |
Sep. 30, 2014 | ||
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ' | |
Organization and Business Operations | ' | |
Organization and Business Operations | ||
Invesco Mortgage Capital Inc. (the “Company”) is a Maryland corporation primarily focused on investing in, financing and managing residential and commercial mortgage-backed securities and mortgage loans. The Company is externally managed and advised by Invesco Advisers, Inc. (the "Manger"), 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, 2014, the Company owned 98.9% of the Operating Partnership, and a wholly-owned subsidiary of Invesco owned the remaining 1.1%. The Company has one operating segment. | ||
The Company primarily invests in: | ||
• | Residential mortgage-backed securities ("RMBS") that are guaranteed by a U.S. government agency such as the Government National Mortgage Association, or a federally chartered corporation such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac") (collectively "Agency RMBS"); | |
• | RMBS that are not guaranteed by a U.S. government agency (“non-Agency RMBS”); | |
• | Credit risk transfer securities issued by government-sponsored enterprises ("GSE CRT"); | |
• | Commercial mortgage-backed securities ("CMBS"); | |
• | Residential and commercial mortgage loans; and | |
• | Other real estate-related financing agreements. | |
The Company generally finances its investments through short- and long-term borrowings structured as repurchase agreements and secured loans. The Company finances its residential loans held-for-investment through asset-backed securities ("ABS") issued by consolidated securitization trusts. The Company has also financed investments through the issuances of debt and equity and may utilize other forms of financing in the future. | ||
The Company elected to be 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, commencing with the Company's taxable year ended December 31, 2009. 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. The Company operates its business in a manner that permits exclusion from the "Investment Company" definition under the Investment Company Act of 1940, as amended. |
Summary_of_Significant_Account
Summary of Significant Accounting Policies | 9 Months Ended | |
Sep. 30, 2014 | ||
Accounting Policies [Abstract] | ' | |
Summary of Significant Accounting Policies | ' | |
Summary of Significant Accounting Policies | ||
Basis of Presentation and Consolidation | ||
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. Therefore, this Form 10-Q should be read in conjunction with the Company’s annual report on Form 10-K for the year ended December 31, 2013. | ||
In the opinion of management, the consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair presentation of the financial condition and results of operations for the periods presented. All significant intercompany transactions, balances, revenues and expense are eliminated upon consolidation. | ||
The consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and its controlled subsidiaries. The consolidated financial statements also include the consolidation of certain securitization trusts that meet the definition of a variable interest entity ("VIE") because the Company has been deemed to be the primary beneficiary of the securitization trusts. These securitization trusts hold pools of residential mortgage loans and issue series of asset-backed securities payable from the cash flows generated by the underlying pools of residential mortgage loans. The securitizations are non-recourse financing for the residential mortgage loans held-for-investment. Generally, a portion of the asset-backed securities issued by the securitization trusts is sold to unaffiliated third parties and the balance is purchased by the Company. The Company classifies the underlying residential mortgage loans owned by the securitization trusts as residential loans held-for-investment in its consolidated balance sheet. The asset-backed securities issued to third parties are recorded as liabilities on the Company's consolidated balance sheets. The Company records interest income on the residential loans held-for-investment and interest expense on the asset-backed securities issued to third parties in the Company's consolidated statements of operations. The Company eliminates all intercompany balances and transactions between itself and the consolidated securitization trusts. The Company records the initial underlying assets and liabilities of the consolidated securitization trusts at their fair value upon consolidation into the Company and, as such, no gain or loss is recorded upon consolidation. Refer to Note 3 - "Variable Interest Entities" for additional information regarding the impact of consolidation of securitization trusts. | ||
The consolidated securitization trusts are VIEs because the securitization trusts do not have equity that meets the definition of U.S. GAAP equity at risk. In determining if a securitization trust should be consolidated, the Company evaluates whether it has both (i) the power to direct the activities of the securitization trust that most significantly impact its economic performance and (ii) the right to receive benefits from the securitization trust or the obligation to absorb losses of the securitization trust that could be significant. The Company's determination of whether it is the primary beneficiary of a securitization trust includes both a qualitative and quantitative analysis. The Company determined that it was the primary beneficiary of certain securitization trusts because it was involved in certain aspects of the design of the securitization trusts and has certain default oversight rights on defaulted residential loans. In addition, the Company owns the most subordinated class of asset-backed securities issued by the securitization trusts and has the obligation to absorb losses/right to receive benefits from the securitization trust that could potentially be significant to the securitization trust. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company's initial consolidation assessment. | ||
Use of Estimates | ||
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, allowance for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates. | ||
Translation of Foreign Currencies | ||
The functional currency of the Company and its subsidiaries is U.S. dollars. Transactions in foreign currencies are recorded at the rates of exchange prevailing on the date of the transactions. At each balance sheet date, monetary assets and liabilities that are denominated in foreign currencies are remeasured at the rates prevailing at the balance sheet date. Gains and losses arising on revaluation are included in the consolidated statements of operations. | ||
The Company generally hedges interest rate and foreign currency exposure with derivative financial instruments. Refer to Note 8 - "Derivatives and Hedging Activities" for further information. | ||
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 for the assets the Company holds. Examples of instances that would cause an override include 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 10 - "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 identical instruments in active markets, the security is classified as a level 1 security. 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. | ||
Mortgage-Backed Securities | ||
The Company records its purchases of mortgage-backed securities on the trade date and classifies its mortgage-backed securities as available-for-sale investments. Although the Company generally intends to hold most of its mortgage-backed securities until maturity, the Company may, from time to time, sell any of its mortgage-backed securities as part of its overall management of its investment portfolio. | ||
Available-for-sale mortgage-backed securities are measured at fair value. Unrealized gains or losses arising from changes in fair value, excluding other-than-temporary impairment, are recognized in accumulated other comprehensive income, a separate component of stockholders' equity, until sale or disposition of the investment. Upon sale or disposition, the cumulative gain or loss previously reported in shareholders' equity is recognized in income. Realized gains and losses from sales of mortgage-backed securities are determined based upon the specific identification method. | ||
The Company considers its portfolio of Agency RMBS to be of high credit quality under applicable accounting guidance. For non-Agency RMBS, GSE CRT and CMBS, the Company does not rely on ratings from third party agencies to determine the credit quality of the investment. 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. The Company places reliance on these internal models in determining credit quality. | ||
While non-Agency RMBS, GSE CRT 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 evaluates each security for other-than-temporary impairment at least quarterly. | ||
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 Company recognizes in earnings and reflects as a reduction in the cost basis of the security the amount of any other-than-temporary impairment related to credit losses or impairments on securities that the Company intends to sell or for which it is more likely than not that the Company will need to sell before recoveries. 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 are residential mortgage loans held by consolidated securitization trusts. Residential loans held-for-investment are carried at unpaid principal balance net of any premiums and an allowance for loan losses. The Company expects that it will be required to continue to consolidate the securitization trusts that hold the residential loans. | ||
The Company establishes an allowance for residential loan losses based on the Company's estimate of credit losses. The Company calculates expected losses by estimating the default rate and expected loss severities on the loans. The Company considers the following factors in its evaluation of the allowance for loan losses: | ||
• | Loan-to-value ratios, credit scores, geographic concentration and other observable data; | |
• | Historical default rates of loans with similar characteristics; and | |
• | Expected future macroeconomic trends including changes in home prices and the unemployment rate. | |
Commercial Loans Held-For-Investment | ||
Commercial loans held-for-investment by the Company are carried at cost, net of any allowance for loan losses. The Company establishes an allowance for commercial loan losses based on loans the Company has determined to be impaired at the reporting date. An individual loan is considered impaired when it is deemed probable that the Company will not be able to recover its investment and any other anticipated futures payments. The Company generally considers the following factors in evaluating whether a commercial loan is impaired: | ||
• | Loan-to-value ratios; | |
• | 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 factors the Company considers relevant, including, 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 the loans, and the supply and demand trends in the 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 the Company's consolidated statements of operations. | ||
Interest Income Recognition | ||
Mortgage-Backed Securities | ||
Interest income on mortgage-backed securities is accrued based on the outstanding principal balance of the securities and their contractual terms. Premiums or discounts associated with the purchase of mortgage-backed securities are amortized or accreted into interest income 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. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact management’s estimates and the Company's interest income. | ||
Residential Loans | ||
The Company recognizes interest income from residential loans on an accrual basis and amortizes the related premiums into interest income using the effective interest method over the weighted average life of these loans. In estimating the weighted average life of these loans, there are a number of assumptions that are subject to estimation, including the rate and timing of principal payments, defaults, loss severity given default 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, 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 after a loan becomes greater than 90 days past due 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. Alternatively, 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 after a loan becomes 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. | ||
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, 2014, the Company had cash and cash equivalents in excess of the FDIC deposit insurance limit of $250,000 per institution. The Company mitigates its risk of loss by actively monitoring the counterparties. | ||
Due from Counterparties / Collateral Held Payable | ||
Due from counterparties represents cash posted with the Company's counterparties as collateral for the Company’s derivatives and repurchase agreements. Collateral held payable represents cash posted with the Company by counterparties as collateral under the Company’s derivatives and repurchase agreements. To the extent the Company receives collateral other than cash from its counterparties, such assets are not included in the Company’s consolidated balance sheets. Notwithstanding the foregoing, if the Company either sells such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability is reflected on the consolidated balance sheets. | ||
Investments in Unconsolidated Ventures | ||
The Company’s non-controlling investments in unconsolidated ventures 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. | ||
Deferred Securitization and Financing Costs | ||
Deferred costs consist of costs associated with the issuance of asset-backed securities by consolidated securitization trusts and costs incurred in connection with the issuance of the Company's exchangeable senior notes. These costs include underwriting, rating agency, legal, accounting and other fees. Deferred costs are amortized as an adjustment to interest expense using the effective interest method based upon actual repayments of the asset-backed securities or over the stated legal maturity of the exchangeable senior notes. | ||
Repurchase Agreements | ||
The Company finances its purchases of mortgage-backed securities primarily 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 mortgage-backed securities through repurchase agreements with the same counterparty from whom such assets were purchased, 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 on a gross basis in its consolidated statements of operations if all of the following criteria are met: | ||
• | the initial transfer of and repurchase financing are not 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. | |
The Company currently reflects all proceeds from repurchase agreements borrowings and repayment of repurchase agreement borrowings on a gross basis on the consolidated statements of cash flows. If the transaction does not comply with the criteria for gross presentation, the Company would account for the purchase commitment and repurchase agreement on a net basis and record a forward commitment to purchase such assets as a derivative instrument. 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 mortgage-backed securities as an investment related receivable from the counterparty on its consolidated balance sheets. | ||
Secured Loans | ||
In March 2014, the Company's wholly-owned subsidiary, IAS Services LLC, became a member of the Federal Home Loan Bank of Indianapolis ("FHLBI"). As a member of the FHLBI, IAS Services LLC may borrow funds from the FHLBI in the form of secured advances. FHLBI advances are treated as secured financing transactions and are carried at their contractual amounts. | ||
Asset-Backed Securities Issued by Securitization Trusts | ||
Asset-backed securities issued by securitization trusts are recorded at principal balances net of unamortized premiums or discounts. | ||
Dividends and Distributions Payable | ||
Dividends and distributions payable represent dividends declared at the balance sheet date which are payable to common shareholders, preferred shareholders, and an Invesco wholly-owned subsidiary, the non-controlling interest common unit holder of the Operating Partnership. | ||
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 and uses 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. | ||
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 stock awards. In addition, the Company may compensate the officers and employees of its Manager and its affiliates under this plan pursuant to the management agreement. | ||
Share-based compensation arrangements include share options, restricted and non-restricted share awards, performance-based awards and share appreciation rights. For awards to the Company's independent directors, 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. Compensation related to stock awards to employees of the Company's 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. | ||
Underwriting Commissions and Offering Costs | ||
Underwriting commissions and direct costs incurred in connection with the Company’s common stock offerings are reflected as a reduction of additional paid-in-capital. | ||
Comprehensive Income | ||
The Company's other comprehensive income consists of net income, as presented in the consolidated statements of operations, adjusted for changes in fair value of mortgage-backed securities classified as available for sale securities, changes in the fair value of derivatives accounted for as cash flow hedges, and amortization of repurchase agreement interest expense resulting from the de-designation of derivatives previously accounted for as cash flow hedges. Unrealized gains and losses on the Company's mortgage-backed securities are reclassified into net income upon their sale or termination. | ||
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 risks, even though hedge accounting does not apply or the Company elects not to apply hedge accounting under U.S. GAAP. | ||
Effective December 31, 2013, the Company voluntarily discontinued hedge accounting for its interest rate swap agreements by de-designating the interest rate swaps as cash flow hedges. No interest rate swaps were terminated in conjunction with this action, and the Company’s risk management and hedging practices were not impacted. However, the Company’s accounting for these transactions changed beginning January 1, 2014. All of the Company’s interest rate swaps had previously been accounted for as cash flow hedges under the applicable guidance. As a result of discontinuing hedge accounting, changes in the fair value of the interest rate swap agreements are recorded in gain (loss) on derivative instruments, net in the Company’s consolidated statements of operations, rather than in accumulated other comprehensive income (loss) (“AOCI”). Also, net interest paid or received under the interest rate swaps, which up through December 31, 2013 was recognized in interest expense, is now recognized in gain (loss) on derivative instruments, net on the Company's consolidated statements of operations. The interest rate swaps continue to be reported as derivative assets or derivative liabilities on the Company’s consolidated balance sheets at their fair value. | ||
As long as the forecasted transactions that were being hedged (i.e., rollovers of the Company’s repurchase agreement borrowings) are still expected to occur, the balance in AOCI from the interest rate swap activity up through December 31, 2013 will remain in AOCI and be recognized in the Company’s consolidated statements of operations as interest expense over the remaining term of the interest rate swaps. Refer to Note 8 - "Derivatives and Hedging Activities" for further information. | ||
The Company evaluates the terms and conditions of its holdings of swaptions, futures contracts and to-be-announced ("TBA") securities to determine if an instrument has the characteristics of an investment or should be considered a derivative under U.S. GAAP. Accordingly swaptions, futures contracts and TBAs having the characteristics of derivatives are accounted for at fair value with such changes recognized in gain (loss) on derivative instruments, net in the consolidated statements of operations. The fair value of these swaptions, futures contracts and TBAs is included in derivative assets or derivative liabilities on the consolidated balance sheets. | ||
Income Taxes | ||
The Company elected to be taxed as a REIT, commencing with the Company's taxable year ended December 31, 2009. Accordingly, the Company will generally not be 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 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 the Company's results of operations and amounts available for distribution to 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 will generally differ from net income because the determination of taxable income is based on tax regulations and not financial accounting principles. | ||
The Company has elected to treat one of its subsidiaries as a taxable REIT subsidiary (“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 would recognize interest and penalties related to uncertain tax positions, if any, as income tax expense, which would be included in general and administrative expenses. | ||
Reclassifications | ||
Certain prior period reported amounts have 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 | ||
None | ||
Recent Accounting Pronouncements Not Yet Adopted | ||
In April 2014, the Financial Accounting Standards Board issued updated guidance that changes the requirements for reporting discontinued operations. Under the new guidance, a discontinued operation is defined as a component of an entity or group of components of an entity that is disposed of or is classified as held for sale and represents a strategic shift that has (or will have) a major effect on an entity’s operations and financial results. The guidance is effective for annual periods beginning on or after December 15, 2014 and interim periods within annual periods beginning on or after December 15, 2015. Early adoption is permitted but only for disposals (or classifications as held for sale) that have not been reported in financial statements previously issued or available for issue. The new guidance is not expected to have a material impact on the Company’s consolidated financial statements. | ||
In June 2014, the Financial Accounting Standards Board issued guidance that changes the accounting for repurchase-to-maturity transactions and repurchase financing arrangements. The new guidance aligns the accounting for repurchase-to-maturity transactions and repurchase agreements executed as a repurchase financing with the accounting for other typical repurchase agreements. These transactions would all be accounted for as secured borrowings. The guidance eliminates sale accounting for repurchase-to-maturity transactions and supersedes the guidance under which a transfer of a financial asset and a contemporaneous repurchase financing could be accounted for on a combined basis as a forward agreement, which has resulted in outcomes referred to as off-balance-sheet accounting. In addition, the guidance requires additional disclosures. The guidance is effective for the first interim or annual period beginning after December 15, 2014. Earlier application for a public company is prohibited. The new guidance is not expected to have a material impact on the Company’s consolidated financial statements. |
Variable_Interest_Entities
Variable Interest Entities | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||
Variable Interest Entity Disclosure [Abstract] | ' | ||||||||||||||||||||
Variable Interest Entities | ' | ||||||||||||||||||||
Variable Interest Entities | |||||||||||||||||||||
At September 30, 2014, the Company's maximum risk of loss in VIEs in which the Company is not the primary beneficiary is presented in the table below. | |||||||||||||||||||||
$ in thousands | Carrying Amount | Company's Maximum Risk of Loss | |||||||||||||||||||
Non-Agency RMBS | 3,302,080 | 3,302,080 | |||||||||||||||||||
CMBS | 3,456,610 | 3,456,610 | |||||||||||||||||||
Total | 6,758,690 | 6,758,690 | |||||||||||||||||||
Refer to Note 4 - "Mortgage-Backed Securities" for additional details regarding these investments. | |||||||||||||||||||||
As discussed in Note 2 - "Summary of Significant Accounting Policies," the Company has determined that it is the primary beneficiary of certain securitization trusts. The following table presents a summary of the assets and liabilities of the Company's consolidated securitization trusts as of September 30, 2014 and December 31, 2013. Intercompany balances have been eliminated for purposes of this presentation. | |||||||||||||||||||||
$ in thousands | 30-Sep-14 | 31-Dec-13 | |||||||||||||||||||
Residential loans, held-for-investment | 3,103,434 | 1,810,262 | |||||||||||||||||||
Accrued interest receivable | 9,969 | 5,647 | |||||||||||||||||||
Deferred costs | 4,819 | 3,386 | |||||||||||||||||||
Total assets | 3,118,222 | 1,819,295 | |||||||||||||||||||
Accrued interest and accrued expenses payable | 8,229 | 4,659 | |||||||||||||||||||
Asset-backed securities issued by securitization trusts | 2,745,940 | 1,643,741 | |||||||||||||||||||
Total liabilities | 2,754,169 | 1,648,400 | |||||||||||||||||||
The Company’s risk with respect to each investment in a securitization trust is limited to its direct ownership in the securitization trust. The residential loans held by the consolidated securitization trusts are held solely to satisfy the liabilities of the securitization trusts, and the investors in the securitization trusts have no recourse to the general credit of the Company for the asset-backed securities issued by the securitization trusts. The assets of a consolidated securitization trust can only be used to satisfy the obligations of that trust. The Company is not contractually required and has not provided any additional financial support to the securitization trusts for the period ended September 30, 2014. | |||||||||||||||||||||
During the nine months ended September 30, 2014, the Company invested in and consolidated four new securitization trusts. The following table presents the balances of the assets and liabilities of the newly consolidated securitization trusts before consolidation into the Company. The current period activity for the securitization trusts is reflected in the Company’s consolidated financial statements. | |||||||||||||||||||||
$ in thousands | 2014 | ||||||||||||||||||||
Residential loans, held-for-investment | 1,417,863 | ||||||||||||||||||||
Accrued interest receivable | 4,674 | ||||||||||||||||||||
Total assets | 1,422,537 | ||||||||||||||||||||
Accrued interest and accrued expenses payable | 4,674 | ||||||||||||||||||||
Asset-backed securities issued by securitization trusts | 1,417,863 | ||||||||||||||||||||
Total liabilities | 1,422,537 | ||||||||||||||||||||
The Company did not deconsolidate any securitization trusts during the nine months ended September 30, 2014. | |||||||||||||||||||||
Residential Loans Held by Consolidated Securitization Trusts | |||||||||||||||||||||
Residential loans held by consolidated securitization trusts are carried at unpaid principal balance net of any premiums and an allowance for loan losses. The residential loans are secured by a lien on the underlying residential property. | |||||||||||||||||||||
The following table details the carrying value for residential loans held-for-investment at September 30, 2014 and December 31, 2013. | |||||||||||||||||||||
$ in thousands | 30-Sep-14 | 31-Dec-13 | |||||||||||||||||||
Principal balance | 3,069,384 | 1,783,983 | |||||||||||||||||||
Unamortized premium (discount), net | 34,882 | 27,163 | |||||||||||||||||||
Recorded investment | 3,104,266 | 1,811,146 | |||||||||||||||||||
Allowance for loan losses | (832 | ) | (884 | ) | |||||||||||||||||
Carrying value | 3,103,434 | 1,810,262 | |||||||||||||||||||
The following table summarizes residential loans held-for-investment at September 30, 2014 by year of origination. | |||||||||||||||||||||
$ in thousands | 2014 | 2013 | 2012 | 2009 | 2008 | 2007 | Total | ||||||||||||||
Portfolio Characteristics: | |||||||||||||||||||||
Number of Loans(1) | 596 | 2,772 | 599 | 7 | 20 | 19 | 4,013 | ||||||||||||||
Current Principal Balance | 430,494 | 2,107,998 | 493,616 | 3,018 | 19,150 | 15,108 | 3,069,384 | ||||||||||||||
Net Weighted Average Coupon Rate | 3.95 | % | 3.56 | % | 3.5 | % | 3.71 | % | 5.1 | % | 4.66 | % | 3.62 | % | |||||||
Weighted Average Maturity (years) | 29.55 | 28.73 | 28.28 | 24.66 | 23.84 | 22.77 | 28.71 | ||||||||||||||
Current Performance: | |||||||||||||||||||||
Current | 429,941 | 2,107,998 | 492,333 | 3,018 | 19,150 | 15,108 | 3,067,548 | ||||||||||||||
30 Days Delinquent | 553 | — | 1,283 | — | — | — | 1,836 | ||||||||||||||
60 Days Delinquent | — | — | — | — | — | — | — | ||||||||||||||
90+ Days Delinquent | — | — | — | — | — | — | — | ||||||||||||||
Bankruptcy/Foreclosure | — | — | — | — | — | — | — | ||||||||||||||
Total | 430,494 | 2,107,998 | 493,616 | 3,018 | 19,150 | 15,108 | 3,069,384 | ||||||||||||||
(1) None for 2011 and 2010 | |||||||||||||||||||||
The following table summarizes the geographic concentrations of residential loans held-for-investment at September 30, 2014 based on principal balance outstanding. | |||||||||||||||||||||
State | Percent | ||||||||||||||||||||
California | 51.8 | % | |||||||||||||||||||
Illinois | 5 | % | |||||||||||||||||||
New York | 4.4 | % | |||||||||||||||||||
Massachusetts | 3.9 | % | |||||||||||||||||||
Texas | 3.4 | % | |||||||||||||||||||
Other states (none greater than 4%) | 31.5 | % | |||||||||||||||||||
Total | 100 | % | |||||||||||||||||||
The following table presents future contractual minimum annual principal payments of residential loans held-for-investment at September 30, 2014. | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Scheduled Principal | 30-Sep-14 | ||||||||||||||||||||
Within one year | 56,024 | ||||||||||||||||||||
One to three years | 118,854 | ||||||||||||||||||||
Three to five years | 129,552 | ||||||||||||||||||||
Greater than or equal to five years | 2,764,954 | ||||||||||||||||||||
Total | 3,069,384 | ||||||||||||||||||||
Allowance for Loan Losses on Residential Loans Held by Consolidated Securitization Trusts | |||||||||||||||||||||
As discussed in Note 2 - "Summary of Significant Accounting Policies", the Company establishes and maintains an allowance for loan losses on residential loans held by consolidated securitization trusts based on the Company’s estimate of credit losses. | |||||||||||||||||||||
The following table summarizes the activity in the allowance for loan losses for the nine months ended September 30, 2014. | |||||||||||||||||||||
$ in thousands | 30-Sep-14 | ||||||||||||||||||||
Balance at beginning of period | (884 | ) | |||||||||||||||||||
Charge-offs, net | — | ||||||||||||||||||||
Reduction in provision for loan losses | 52 | ||||||||||||||||||||
Balance at end of period | (832 | ) | |||||||||||||||||||
Asset-Backed Securities Issued by Securitization Trusts | |||||||||||||||||||||
Asset-backed securities issued by securitization trusts are recorded at principal balance net of unamortized premiums or discounts. Asset-backed securities issued by securitization trusts are issued in various tranches and have a weighted average contractual maturity of 29.13 years. The investors in the asset-backed securities are not affiliated with the Company and have no recourse to the general credit of the Company. The asset-backed securities are collateralized by residential loans held in the securitization trusts as summarized in the following table at September 30, 2014. | |||||||||||||||||||||
ABS | Residential loans | ||||||||||||||||||||
$ in thousands | Outstanding | Held as Collateral | |||||||||||||||||||
Principal balance | 2,720,182 | 3,069,384 | |||||||||||||||||||
Unamortized premium | 22,075 | 43,730 | |||||||||||||||||||
Unamortized discount | (11,377 | ) | (8,848 | ) | |||||||||||||||||
Interest-only securities (amortized cost) | 15,060 | — | |||||||||||||||||||
Allowance for loan losses | — | (832 | ) | ||||||||||||||||||
Carrying value | 2,745,940 | 3,103,434 | |||||||||||||||||||
Range of weighted average interest rates | 2.8% - 4.0% | ||||||||||||||||||||
Number of securitization trusts consolidated | 9 | ||||||||||||||||||||
The following table presents the estimated principal repayment schedule of asset-backed securities issued by securitization trusts at September 30, 2014 based on estimated cash flows of the underlying residential mortgage loans, as adjusted for projected prepayments and losses on such loans. The estimated principal repayments may differ from actual amounts to the extent prepayments and/or loan losses vary. | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Estimated principal repayment | 30-Sep-14 | ||||||||||||||||||||
Within one year | 325,437 | ||||||||||||||||||||
One to three years | 546,744 | ||||||||||||||||||||
Three to five years | 428,676 | ||||||||||||||||||||
Greater than or equal to five years | 1,419,325 | ||||||||||||||||||||
Total | 2,720,182 | ||||||||||||||||||||
MortgageBacked_Securities
Mortgage-Backed Securities | 9 Months Ended | ||||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | ||||||||||||||||||||||||||
Mortgage-Backed Securities | ' | ||||||||||||||||||||||||||
Mortgage-Backed Securities | |||||||||||||||||||||||||||
All of the Company’s mortgage-backed securities ("MBS") are classified as available-for-sale and 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 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 MBS portfolio as of September 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||||
September 30, 2014 | |||||||||||||||||||||||||||
$ 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 | 1,299,392 | 64,705 | 1,364,097 | 25,856 | 1,389,953 | 4.05 | % | 2.55 | % | 2.59 | % | ||||||||||||||||
30 year fixed-rate | 4,583,250 | 308,930 | 4,892,180 | 8,936 | 4,901,116 | 4.3 | % | 2.9 | % | 2.95 | % | ||||||||||||||||
ARM* | 519,631 | 8,752 | 528,383 | 4,497 | 532,880 | 2.85 | % | 2.31 | % | 2.3 | % | ||||||||||||||||
Hybrid ARM | 2,596,919 | 38,712 | 2,635,631 | 14,690 | 2,650,321 | 2.77 | % | 2.39 | % | 2.35 | % | ||||||||||||||||
Total Agency pass-through | 8,999,192 | 421,099 | 9,420,291 | 53,979 | 9,474,270 | 3.74 | % | 2.67 | % | 2.7 | % | ||||||||||||||||
Agency-CMO(4) | 1,876,484 | (1,413,263 | ) | 463,221 | (9,473 | ) | 453,748 | 2.42 | % | 4.42 | % | 3.03 | % | ||||||||||||||
Non-Agency RMBS(5)(6) | 3,805,256 | (603,732 | ) | 3,201,524 | 100,556 | 3,302,080 | 3.68 | % | 3.92 | % | 4.44 | % | |||||||||||||||
GSE CRT(7) | 570,500 | 26,549 | 597,049 | 13,277 | 610,326 | 4.82 | % | 4.02 | % | 3.91 | % | ||||||||||||||||
CMBS(8) | 3,300,260 | 56,880 | 3,357,140 | 99,470 | 3,456,610 | 4.82 | % | 4.48 | % | 4.5 | % | ||||||||||||||||
Total | 18,551,692 | (1,512,467 | ) | 17,039,225 | 257,809 | 17,297,034 | 3.78 | % | 3.82 | % | 3.4 | % | |||||||||||||||
* Adjustable-rate mortgage ("ARM") | |||||||||||||||||||||||||||
-1 | Net weighted average coupon (“WAC”) as of September 30, 2014 is presented net of servicing and other fees. | ||||||||||||||||||||||||||
-2 | Period-end weighted average yield is based on amortized cost as of September 30, 2014 and incorporates future prepayment and loss assumptions. | ||||||||||||||||||||||||||
-3 | Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. | ||||||||||||||||||||||||||
-4 | Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities which represent 28.7% of the balance based on fair value. | ||||||||||||||||||||||||||
-5 | Non-Agency RMBS held by the Company is 55.9% variable rate, 37.2% fixed rate, and 6.9% floating rate based on fair value. | ||||||||||||||||||||||||||
-6 | Of the total discount in non-Agency RMBS, $387.2 million is non-accretable. | ||||||||||||||||||||||||||
-7 | GSE CRT are general obligations of Fannie Mae or Freddie Mac that are structured to provide credit protection to the GSE issuer with respect to defaults and other credit events within reference pools of residential mortgage loans that collateralize MBS issued and guaranteed by such GSE. | ||||||||||||||||||||||||||
-8 | CMBS includes commercial real estate mezzanine loan pass-through certificates which represent 1.4% of the balance based on fair value. | ||||||||||||||||||||||||||
December 31, 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 | 1,637,988 | 83,799 | 1,721,787 | 22,494 | 1,744,281 | 4.02 | % | 2.54 | % | 2.61 | % | ||||||||||||||||
30 year fixed-rate | 6,494,723 | 435,680 | 6,930,403 | (228,250 | ) | 6,702,153 | 4.11 | % | 2.96 | % | 3.13 | % | |||||||||||||||
ARM | 251,693 | 992 | 252,685 | 597 | 253,282 | 2.8 | % | 2.62 | % | 2.41 | % | ||||||||||||||||
Hybrid ARM | 1,764,472 | 9,470 | 1,773,942 | (3,384 | ) | 1,770,558 | 2.69 | % | 2.46 | % | 2.06 | % | |||||||||||||||
Total Agency pass-through | 10,148,876 | 529,941 | 10,678,817 | (208,543 | ) | 10,470,274 | 3.82 | % | 2.8 | % | 2.9 | % | |||||||||||||||
Agency-CMO(4) | 1,532,474 | (1,051,777 | ) | 480,697 | (6,183 | ) | 474,514 | 2.76 | % | 3.82 | % | 3.47 | % | ||||||||||||||
Non-Agency RMBS(5)(6) | 4,217,230 | (640,797 | ) | 3,576,433 | 30,895 | 3,607,328 | 3.72 | % | 2.8 | % | 4.63 | % | |||||||||||||||
GSE CRT | 144,500 | 22,163 | 166,663 | 1,318 | 167,981 | 7.13 | % | 5.17 | % | 5.85 | % | ||||||||||||||||
CMBS(7) | 4,630,363 | (2,032,945 | ) | 2,597,418 | 31,142 | 2,628,560 | 3.38 | % | 4.62 | % | 4.51 | % | |||||||||||||||
Total | 20,673,443 | (3,173,415 | ) | 17,500,028 | (151,371 | ) | 17,348,657 | 3.63 | % | 3.3 | % | 3.51 | % | ||||||||||||||
-1 | Net WAC as of December 31, 2013 is presented net of servicing and other fees. | ||||||||||||||||||||||||||
-2 | Period-end weighted average yield based on amortized cost as of December 31, 2013 incorporates future prepayment and loss assumptions. | ||||||||||||||||||||||||||
-3 | Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. | ||||||||||||||||||||||||||
-4 | Agency-CMO includes interest-only securities, which represent 25.0% of the balance based on fair value. | ||||||||||||||||||||||||||
-5 | Non-Agency RMBS held by the Company is 61.1% variable rate, 33.9% fixed rate, and 5.0% floating rate based on fair value. | ||||||||||||||||||||||||||
-6 | Of the total discount in non-Agency RMBS, $438.1 million is non-accretable. | ||||||||||||||||||||||||||
-7 | CMBS includes interest-only securities and commercial real estate mezzanine loan pass-through certificates which represent 7.5% and 1.0% of the balance based on fair value, respectively. | ||||||||||||||||||||||||||
The following table summarizes the Company's non-Agency RMBS portfolio by asset type as of September 30, 2014 and December 31, 2013, respectively: | |||||||||||||||||||||||||||
$ in thousands | 30-Sep-14 | % of Non-Agency | 31-Dec-13 | % of Non-Agency | |||||||||||||||||||||||
Re-REMIC | 1,181,510 | 35.8 | % | 1,444,376 | 40 | % | |||||||||||||||||||||
Prime | 1,033,442 | 31.3 | % | 1,336,821 | 37.1 | % | |||||||||||||||||||||
Alt-A | 734,708 | 22.2 | % | 801,919 | 22.2 | % | |||||||||||||||||||||
Subprime/reperforming | 352,420 | 10.7 | % | 24,212 | 0.7 | % | |||||||||||||||||||||
Total Non-Agency | 3,302,080 | 100 | % | 3,607,328 | 100 | % | |||||||||||||||||||||
The following table summarizes the credit enhancement provided to the Company's re-securitization of real estate mortgage investment conduit ("Re-REMIC") holdings as of September 30, 2014 and December 31, 2013: | |||||||||||||||||||||||||||
Percentage of Re-REMIC Holdings at Fair Value | |||||||||||||||||||||||||||
Re-REMIC Subordination(1) | 30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||||
0% - 10% | 5.8 | % | 4.8 | % | |||||||||||||||||||||||
10% - 20% | 3.9 | % | 3.5 | % | |||||||||||||||||||||||
20% - 30% | 13.9 | % | 14.7 | % | |||||||||||||||||||||||
30% - 40% | 26.2 | % | 25.2 | % | |||||||||||||||||||||||
40% - 50% | 32.6 | % | 38.6 | % | |||||||||||||||||||||||
50% - 60% | 13.7 | % | 8.5 | % | |||||||||||||||||||||||
60% - 70% | 3.9 | % | 4.7 | % | |||||||||||||||||||||||
Total | 100 | % | 100 | % | |||||||||||||||||||||||
-1 | Subordination refers to the credit enhancement provided to the Re-REMIC tranche held by the Company by any junior Re-REMIC tranche or tranches in a resecuritization. This figure reflects the percentage of the balance of the underlying securities represented by any junior tranche or tranches at the time of resecuritization. Generally, principal losses on the underlying securities in excess of the subordination amount would result in principal losses on the Re-REMIC tranche held by the Company. | ||||||||||||||||||||||||||
The components of the carrying value of the Company’s MBS portfolio at September 30, 2014 and December 31, 2013 are presented below: | |||||||||||||||||||||||||||
$ in thousands | 30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||||
Principal balance | 18,551,692 | 20,673,443 | |||||||||||||||||||||||||
Unamortized premium | 559,075 | 646,189 | |||||||||||||||||||||||||
Unamortized discount | (2,071,542 | ) | (3,819,604 | ) | |||||||||||||||||||||||
Gross unrealized gains | 413,031 | 291,725 | |||||||||||||||||||||||||
Gross unrealized losses | (155,222 | ) | (443,096 | ) | |||||||||||||||||||||||
Fair value | 17,297,034 | 17,348,657 | |||||||||||||||||||||||||
The following table summarizes the Company’s MBS portfolio according to estimated weighted average life classifications as of September 30, 2014 and December 31, 2013: | |||||||||||||||||||||||||||
$ in thousands | 30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||||
Less than one year | 235,268 | 101,251 | |||||||||||||||||||||||||
Greater than one year and less than five years | 6,821,502 | 5,958,852 | |||||||||||||||||||||||||
Greater than or equal to five years | 10,240,264 | 11,288,554 | |||||||||||||||||||||||||
Total | 17,297,034 | 17,348,657 | |||||||||||||||||||||||||
The following tables present the gross unrealized losses and estimated fair value of the Company's MBS securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2014 and December 31, 2013: | |||||||||||||||||||||||||||
September 30, 2014 | |||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||
$ in thousands | Fair | Unrealized | Number | Fair | Unrealized | Number | Fair | Unrealized | Number | ||||||||||||||||||
Value | Losses | of | Value | Losses | of | Value | Losses | of | |||||||||||||||||||
Securities | Securities | Securities | |||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||
15 year fixed-rate | 12,855 | (45 | ) | 2 | 118,792 | (2,339 | ) | 7 | 131,647 | (2,384 | ) | 9 | |||||||||||||||
30 year fixed-rate | 124,596 | (312 | ) | 9 | 2,012,239 | (83,829 | ) | 74 | 2,136,835 | (84,141 | ) | 83 | |||||||||||||||
ARM | 24,158 | (157 | ) | 1 | 13,011 | (84 | ) | 2 | 37,169 | (241 | ) | 3 | |||||||||||||||
Hybrid ARM | 886,351 | (2,490 | ) | 43 | 27,474 | (330 | ) | 2 | 913,825 | (2,820 | ) | 45 | |||||||||||||||
Total Agency pass-through | 1,047,960 | (3,004 | ) | 55 | 2,171,516 | (86,582 | ) | 85 | 3,219,476 | (89,586 | ) | 140 | |||||||||||||||
Agency-CMO | 164,970 | (7,423 | ) | 20 | 173,999 | (12,446 | ) | 10 | 338,969 | (19,869 | ) | 30 | |||||||||||||||
Non-Agency RMBS | 437,793 | (4,871 | ) | 32 | 344,122 | (13,559 | ) | 20 | 781,915 | (18,430 | ) | 52 | |||||||||||||||
GSE CRT | 224,035 | (10,921 | ) | 8 | — | — | — | 224,035 | (10,921 | ) | 8 | ||||||||||||||||
CMBS | 799,379 | (6,613 | ) | 57 | 371,303 | (9,803 | ) | 35 | 1,170,682 | (16,416 | ) | 92 | |||||||||||||||
Total | 2,674,137 | (32,832 | ) | 172 | 3,060,940 | (122,390 | ) | 150 | 5,735,077 | (155,222 | ) | 322 | |||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||
$ in thousands | Fair | Unrealized | Number | Fair | Unrealized | Number | Fair | Unrealized | Number | ||||||||||||||||||
Value | Losses | of | Value | Losses | of | Value | Losses | of | |||||||||||||||||||
Securities | Securities | Securities | |||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||
15 year fixed-rate | 431,527 | (4,964 | ) | 18 | 11,100 | (259 | ) | 1 | 442,627 | (5,223 | ) | 19 | |||||||||||||||
30 year fixed-rate | 3,710,679 | (228,167 | ) | 126 | 641,259 | (56,754 | ) | 27 | 4,351,938 | (284,921 | ) | 153 | |||||||||||||||
ARM | 94,447 | (968 | ) | 7 | — | — | — | 94,447 | (968 | ) | 7 | ||||||||||||||||
Hybrid ARM | 1,129,488 | (9,715 | ) | 48 | — | — | — | 1,129,488 | (9,715 | ) | 48 | ||||||||||||||||
Total Agency pass-through | 5,366,141 | (243,814 | ) | 199 | 652,359 | (57,013 | ) | 28 | 6,018,500 | (300,827 | ) | 227 | |||||||||||||||
Agency-CMO | 311,935 | (16,599 | ) | 13 | 8,883 | (3,736 | ) | 4 | 320,818 | (20,335 | ) | 17 | |||||||||||||||
Non-Agency RMBS | 1,307,036 | (58,326 | ) | 76 | 91,651 | (1,726 | ) | 8 | 1,398,687 | (60,052 | ) | 84 | |||||||||||||||
GSE CRT | — | — | — | — | — | — | — | — | — | ||||||||||||||||||
CMBS | 1,118,270 | (61,882 | ) | 84 | — | — | — | 1,118,270 | (61,882 | ) | 84 | ||||||||||||||||
Total | 8,103,382 | (380,621 | ) | 372 | 752,893 | (62,475 | ) | 40 | 8,856,275 | (443,096 | ) | 412 | |||||||||||||||
Gross unrealized losses on the Company’s Agency RMBS were $89.6 million at September 30, 2014. Due to the inherent credit quality of Agency RMBS, the Company determined that at September 30, 2014, any unrealized losses on its Agency RMBS portfolio are temporary. | |||||||||||||||||||||||||||
Gross unrealized losses on the Company’s Agency-CMO, non-Agency RMBS, GSE CRT and CMBS were $65.6 million at September 30, 2014. 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, 2014 and 2013. | |||||||||||||||||||||||||||
$ in thousands | Three Months | Three Months | Nine Months | Nine Months | |||||||||||||||||||||||
ended | ended | ended | ended | ||||||||||||||||||||||||
September 30, 2014 | September 30, 2013 | September 30, 2014 | September 30, 2013 | ||||||||||||||||||||||||
Accumulated other comprehensive income from investment securities: | |||||||||||||||||||||||||||
Unrealized gain (loss) on MBS at beginning of period | 323,803 | (257,402 | ) | (151,370 | ) | 523,725 | |||||||||||||||||||||
Unrealized gain (loss) on MBS, net | (65,994 | ) | 75,030 | 409,179 | (706,097 | ) | |||||||||||||||||||||
Balance at the end of period | 257,809 | (182,372 | ) | 257,809 | (182,372 | ) | |||||||||||||||||||||
During the three months ended September 30, 2014 and 2013, the Company reclassified $48.0 million of net unrealized losses and $69.3 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, 2014 and 2013, the Company reclassified $80.4 million of net unrealized losses and $56.9 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. | |||||||||||||||||||||||||||
The Company assesses its investment securities for other-than-temporary impairment on at least a quarterly basis. 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, 2014 and 2013. | |||||||||||||||||||||||||||
The following table presents components of interest income on the Company’s MBS portfolio for the three and nine months ended September 30, 2014 and 2013. | |||||||||||||||||||||||||||
For the three months ended September 30, 2014 | |||||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | ||||||||||||||||||||||||
Interest | Amortization)/Discount | Income | |||||||||||||||||||||||||
Accretion | |||||||||||||||||||||||||||
Agency | 98,106 | (29,371 | ) | 68,735 | |||||||||||||||||||||||
Non-Agency | 32,313 | 2,971 | 35,284 | ||||||||||||||||||||||||
GSE CRT | 6,274 | (953 | ) | 5,321 | |||||||||||||||||||||||
CMBS | 40,164 | (5,434 | ) | 34,730 | |||||||||||||||||||||||
Other | (27 | ) | — | (27 | ) | ||||||||||||||||||||||
Total | 176,830 | (32,787 | ) | 144,043 | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||
GSE CRT | — | — | — | ||||||||||||||||||||||||
CMBS | 39,167 | (10,050 | ) | 29,117 | |||||||||||||||||||||||
Other | (59 | ) | — | (59 | ) | ||||||||||||||||||||||
Total | 205,272 | (47,733 | ) | 157,539 | |||||||||||||||||||||||
For the nine months ended September 30, 2014 | |||||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | ||||||||||||||||||||||||
Interest | Amortization)/Discount | Income | |||||||||||||||||||||||||
Accretion | |||||||||||||||||||||||||||
Agency | 308,683 | (80,099 | ) | 228,584 | |||||||||||||||||||||||
Non-Agency | 102,785 | 7,639 | 110,424 | ||||||||||||||||||||||||
GSE CRT | 15,643 | (2,314 | ) | 13,329 | |||||||||||||||||||||||
CMBS | 120,290 | (24,996 | ) | 95,294 | |||||||||||||||||||||||
Other | 71 | — | 71 | ||||||||||||||||||||||||
Total | 547,472 | (99,770 | ) | 447,702 | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||
GSE CRT | — | — | — | ||||||||||||||||||||||||
CMBS | 101,487 | (18,502 | ) | 82,985 | |||||||||||||||||||||||
Other | 84 | — | 84 | ||||||||||||||||||||||||
Total | 631,731 | (145,112 | ) | 486,619 | |||||||||||||||||||||||
Commercial_Loans_HeldforInvest
Commercial Loans Held-for-Investment | 9 Months Ended | ||||||||||||||
Sep. 30, 2014 | |||||||||||||||
Receivables [Abstract] | ' | ||||||||||||||
Commercial Loans Held-for-Investment | ' | ||||||||||||||
Commercial Loans Held-for-Investment | |||||||||||||||
Commercial loans held-for-investment consist of a first mortgage loan, mezzanine loans and other subordinate interests purchased or originated by the Company as of September 30, 2014 and December 31, 2013. | |||||||||||||||
September 30, 2014 | |||||||||||||||
$ in thousands | Number of | Principal | Unamortized (fees)/ | Carrying | Unfunded | ||||||||||
loans | Balance | costs, net | value | commitment | |||||||||||
First mortgage loan | 1 | 19,813 | 52 | 19,865 | 1,788 | ||||||||||
Subordinate interests: | |||||||||||||||
Mezzanine loans | 4 | 69,525 | (113 | ) | 69,412 | 5,475 | |||||||||
Other (1) | 2 | 55,430 | — | 55,430 | — | ||||||||||
Total | 7 | 144,768 | (61 | ) | 144,707 | 7,263 | |||||||||
(1) Other subordinate interests include a B-note and a preferred equity investment. | |||||||||||||||
December 31, 2013 | |||||||||||||||
$ in thousands | Number of | Principal | Unamortized (fees)/ | Carrying | Unfunded | ||||||||||
loans | Balance | costs, net | value | commitment | |||||||||||
First mortgage loan | 1 | 20,000 | 88 | 20,088 | 2,000 | ||||||||||
Subordinate interests: | |||||||||||||||
Mezzanine loans | 3 | 44,624 | (113 | ) | 44,511 | 15,376 | |||||||||
Total | 4 | 64,624 | (25 | ) | 64,599 | 17,376 | |||||||||
Refer to Note 2 - "Summary of Significant Accounting Policies" for the credit quality factors considered in evaluating commercial loans held-for-investment for impairment. These loans were not impaired, and no allowance for loan loss has been recorded as of September 30, 2014. |
Investments_in_Unconsolidated_
Investments in Unconsolidated Ventures | 9 Months Ended |
Sep. 30, 2014 | |
Equity Method Investments and Joint Ventures [Abstract] | ' |
Investments in Unconsolidated Ventures | ' |
Investments in Unconsolidated Ventures | |
The Company has invested in the following partnerships that are managed by an affiliate of the Company's Manager: | |
Invesco Mortgage Recovery Feeder Fund, L.P. and Invesco Mortgage Recovery Loans AIV, L.P. | |
The Company has a commitment to invest up to $100.0 million in Invesco Mortgage Recovery Feeder Fund L.P. ("IMRF Fund") and Invesco Mortgage Recovery Loans AIV, L.P. ("AIV Fund"). IMRF Fund and AIV Fund invest in the Company's target assets. As of September 30, 2014, $96.2 million of the Company's commitment has been called. On December 31, 2013, the investment period ended. The Company is committed to fund $3.8 million in additional capital to cover future expenses should they occur. The Company realized approximately $1.7 million (2013: $378,000) and $3.8 million (2013: $1.3 million) of equity in earnings for the three and nine months ended September 30, 2014, respectively, related to these investments. The Company also had $389,000 of unrealized loss (2013: $250,000 gain) and $1.0 million of unrealized gain (2013: $1.7 million gain) from these investments for the three and nine months ended September 30, 2014, respectively. | |
IMRF Loan Portfolio Member LLC | |
In September 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”). The Company has fully funded its commitment to IMRF LLC. The Company realized a gain of approximately $881,000 (2013: $956,000 gain) and $2.6 million (2013: $1.0 million gain) of equity in earnings for the three and nine months ended September 30, 2014, respectively. The Company also had $1.0 million of unrealized loss (2013: $163,000 loss) and $2.0 million of unrealized loss (2013: $1.1 million gain) from these investments for the three and nine months ended September 30, 2014, respectively. |
Borrowings
Borrowings | 9 Months Ended | |||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||
Debt Disclosure [Abstract] | ' | |||||||||||||||||
Borrowings | ' | |||||||||||||||||
Borrowings | ||||||||||||||||||
The Company has entered into repurchase agreements, secured loans 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 at September 30, 2014 and December 31, 2013: | ||||||||||||||||||
$ in thousands | 30-Sep-14 | 31-Dec-13 | ||||||||||||||||
Weighted | Weighted | |||||||||||||||||
Weighted | Average | Weighted | Average | |||||||||||||||
Average | Remaining | Average | Remaining | |||||||||||||||
Amount | Interest | Maturity | Amount | Interest | Maturity | |||||||||||||
Outstanding | Rate | (days) | Outstanding | Rate | (days) | |||||||||||||
Repurchase Agreements: | ||||||||||||||||||
Agency RMBS | 8,693,555 | 0.32 | % | 18 | 10,281,154 | 0.38 | % | 19 | ||||||||||
Non-Agency RMBS | 2,830,368 | 1.52 | % | 26 | 3,066,356 | 1.55 | % | 33 | ||||||||||
GSE CRT | 463,828 | 1.53 | % | 39 | 21,708 | 1.5 | % | 42 | ||||||||||
CMBS | 1,584,138 | 1.29 | % | 24 | 2,082,457 | 1.39 | % | 23 | ||||||||||
Secured Loans | 1,250,000 | 0.38 | % | 3,564 | — | — | % | — | ||||||||||
Exchangeable Senior Notes | 400,000 | 5 | % | 1,262 | 400,000 | 5 | % | 1,535 | ||||||||||
Total | 15,221,889 | 0.81 | % | 345 | 15,851,675 | 0.86 | % | 60 | ||||||||||
The Company finances its residential loans held-for-investment through asset-backed securities issued by securitization trusts. Refer to Note 3 - "Variable Interest Entities" for a discussion of asset-backed securities issued by securitization trusts. | ||||||||||||||||||
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, 2014. | ||||||||||||||||||
The following tables summarize certain characteristics of the Company’s repurchase agreements at September 30, 2014 and December 31, 2013: | ||||||||||||||||||
30-Sep-14 | ||||||||||||||||||
$ in thousands | Amount Outstanding | Percent of Total Amount Outstanding | Company MBS Held as Collateral | |||||||||||||||
Repurchase Agreement Counterparties | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 1,542,709 | 11.3 | % | 1,951,193 | (1 | ) | ||||||||||||
South Street Securities LLC | 988,387 | 7.3 | % | 1,038,764 | ||||||||||||||
Citigroup Global Markets Inc. | 943,175 | 6.9 | % | 1,099,319 | ||||||||||||||
HSBC Securities (USA) Inc | 780,594 | 5.8 | % | 802,964 | ||||||||||||||
Banc of America Securities LLC | 752,102 | 5.5 | % | 825,777 | ||||||||||||||
Pierpont Securities LLC | 738,376 | 5.4 | % | 767,321 | ||||||||||||||
RBS Securities Inc. | 705,200 | 5.2 | % | 848,680 | ||||||||||||||
Royal Bank of Canada | 676,135 | 5 | % | 797,229 | ||||||||||||||
Wells Fargo Securities, LLC | 651,563 | 4.8 | % | 785,225 | ||||||||||||||
Industrial and Commercial Bank of China Financial Services LLC | 645,590 | 4.8 | % | 677,318 | ||||||||||||||
Mitsubishi UFJ Securities (USA), Inc. | 634,958 | 4.7 | % | 666,246 | ||||||||||||||
Morgan Stanley & Co. Incorporated | 614,221 | 4.5 | % | 658,450 | ||||||||||||||
ING Financial Market LLC | 595,700 | 4.4 | % | 638,423 | ||||||||||||||
J.P. Morgan Securities LLC | 595,497 | 4.4 | % | 694,434 | (2 | ) | ||||||||||||
BNP Paribas Securities Corp. | 572,129 | 4.2 | % | 644,301 | ||||||||||||||
Scotia Capital | 529,024 | 3.9 | % | 550,252 | ||||||||||||||
Deutsche Bank Securities Inc. | 401,722 | 3 | % | 450,232 | ||||||||||||||
KGS-Alpha Capital Markets, L.P. | 389,042 | 2.9 | % | 410,430 | ||||||||||||||
Goldman, Sachs & Co. | 175,191 | 1.3 | % | 184,041 | ||||||||||||||
Barclays Capital Inc. | 138,250 | 1 | % | 183,799 | ||||||||||||||
Guggenheim Liquidity Services, LLC | 123,095 | 0.9 | % | 129,635 | ||||||||||||||
Cantor Fitzgerald & Co. | 105,484 | 0.8 | % | 111,244 | ||||||||||||||
Daiwa Capital Markets America Inc | 81,921 | 0.6 | % | 86,638 | ||||||||||||||
Nomura Securities International, Inc. | 67,429 | 0.5 | % | 72,124 | ||||||||||||||
TD Securities | 67,192 | 0.5 | % | 70,457 | ||||||||||||||
Mizuho Securities USA Inc. | 57,203 | 0.4 | % | 68,863 | ||||||||||||||
Total | 13,571,889 | 100 | % | 15,213,359 | ||||||||||||||
(1) Includes $282.9 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
(2) Includes $41.2 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
31-Dec-13 | ||||||||||||||||||
$ in thousands | Amount Outstanding | Percent of Total Amount Outstanding | Company MBS Held as Collateral | |||||||||||||||
Repurchase Agreement Counterparties | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 1,809,896 | 11.8 | % | 2,203,883 | (1 | ) | ||||||||||||
South Street Securities LLC | 1,236,812 | 8 | % | 1,286,384 | ||||||||||||||
Banc of America Securities LLC | 1,043,689 | 6.8 | % | 1,146,151 | ||||||||||||||
Citigroup Global Markets Inc. | 1,027,210 | 6.6 | % | 1,164,162 | ||||||||||||||
J.P. Morgan Securities LLC | 875,201 | 5.7 | % | 1,001,116 | ||||||||||||||
Wells Fargo Securities, LLC | 857,824 | 5.6 | % | 996,151 | ||||||||||||||
Pierpont Securities LLC | 791,572 | 5.1 | % | 824,184 | ||||||||||||||
HSBC Securities (USA) Inc. | 787,462 | 5.1 | % | 809,230 | ||||||||||||||
RBS Securities Inc. | 720,457 | 4.7 | % | 854,978 | ||||||||||||||
Royal Bank of Canada | 710,705 | 4.6 | % | 850,870 | ||||||||||||||
Morgan Stanley & Co. Incorporated | 691,599 | 4.5 | % | 758,761 | ||||||||||||||
ING Financial Market LLC | 676,644 | 4.4 | % | 718,086 | ||||||||||||||
Mitsubishi UFJ Securities (USA), Inc. | 625,703 | 4 | % | 656,046 | ||||||||||||||
Nomura Securities International, Inc. | 578,265 | 3.7 | % | 608,193 | ||||||||||||||
Industrial and Commercial Bank of China Financial Services LLC | 493,906 | 3.2 | % | 518,775 | ||||||||||||||
BNP Paribas Securities Corp. | 471,372 | 3.1 | % | 499,106 | ||||||||||||||
Scotia Capital | 443,534 | 2.9 | % | 461,066 | ||||||||||||||
Deutsche Bank Securities Inc. | 423,405 | 2.7 | % | 468,939 | ||||||||||||||
Goldman, Sachs & Co. | 404,094 | 2.6 | % | 423,598 | ||||||||||||||
KGS-Alpha Capital Markets, L.P. | 202,677 | 1.3 | % | 214,033 | ||||||||||||||
Barclays Capital Inc. | 156,904 | 1 | % | 165,605 | ||||||||||||||
TD Securities | 155,099 | 1 | % | 163,512 | ||||||||||||||
Daiwa Capital Markets America Inc. | 112,309 | 0.7 | % | 117,551 | ||||||||||||||
Cantor Fitzgerald & Co. | 68,261 | 0.4 | % | 71,910 | ||||||||||||||
Mizuho Securities USA Inc. | 53,962 | 0.3 | % | 62,423 | ||||||||||||||
Guggenheim Liquidity Services, LLC | 33,113 | 0.2 | % | 34,664 | ||||||||||||||
Total | 15,451,675 | 100 | % | 17,079,377 | ||||||||||||||
(1) Includes $133.8 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
Company MBS held by counterparties as security for repurchase agreements was $15.2 billion and $17.1 billion at September 30, 2014 and December 31, 2013, respectively. This represents a collateral ratio (Company MBS Held as Collateral/Amount Outstanding) of 112% and 111% for September 30, 2014 and December 31, 2013, respectively. | ||||||||||||||||||
No cash collateral was held by the counterparties at September 30, 2014 and December 31, 2013. | ||||||||||||||||||
Secured Loans | ||||||||||||||||||
In March 2014, the Company's wholly-owned subsidiary, IAS Services LLC, became a member of the FHLBI. As a member of the FHLBI, IAS Services LLC may borrow funds from the FHLBI in the form of secured advances. | ||||||||||||||||||
As of September 30, 2014, the Company’s wholly-owned subsidiary, IAS Services LLC, had $1.25 billion in outstanding secured advances from the FHLBI and no additional availability to borrow. These secured advances are due in 2024 and have floating rates based on three-month LIBOR or the three-month FHLB swap rate plus a spread. For the three and nine months ended September 30, 2014, IAS Services LLC had average borrowings of $1.2 billion and $525.0 million with a weighted average borrowing rate of 0.39% and 0.35%, respectively. | ||||||||||||||||||
The ability to borrow from the FHLBI is subject to the Company's continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with FHLBI. Each advance requires approval by the FHLBI and is secured by collateral in accordance with FHLBI’s credit and collateral guidelines, as may be revised from time-to-time by the FHLBI. | ||||||||||||||||||
As of September 30, 2014, the FHLBI advances were collateralized by CMBS with a fair value of $1.4 billion and Agency RMBS with a fair value of $184.2 million. | ||||||||||||||||||
The FHLBI retains the right to mark the underlying collateral for FHLBI advances to fair value. A reduction in the value of pledged assets would require IAS Services LLC to provide additional collateral. In addition, as a condition to membership in the FHLBI, IAS Services LLC is required to purchase and hold a certain amount of FHLBI stock, which is based, in part, upon the outstanding principal balance of secured advances from the FHLBI. As of September 30, 2014, the Company held stock in FHLBI totaling $62.5 million. FHLBI stock is recorded at cost and included in other investments on the Company's consolidated balance sheet. | ||||||||||||||||||
Exchangeable Senior Notes | ||||||||||||||||||
In the first quarter of 2013, a wholly-owned subsidiary of the Company issued $400.0 million of Exchangeable Senior Notes (the “Notes”) due in 2018. The total net proceeds to the Company after deducting financing expenses was $387.7 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 any time before the close of business on the second scheduled trading day before 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, as amended. 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 was approximately $889,000 as of September 30, 2014 and $5.9 million as of December 31, 2013. |
Derivatives_and_Hedging_Activi
Derivatives and Hedging Activities | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||||||
Derivatives and Hedging Activities | ' | ||||||||||||||||||||
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, credit and foreign exchange rate 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 securities and the CDS’s notional amount is recorded as a realized loss in the consolidated statements of operations. | |||||||||||||||||||||
Credit Derivatives | |||||||||||||||||||||
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, the Company is paid a stated fixed rate fee of 3% of the notional amount of the CDS. As of September 30, 2014, the Company has not made any payments related to the CDS contract. | |||||||||||||||||||||
At September 30, 2014 and December 31, 2013, the open CDS sold by the Company is summarized as follows: | |||||||||||||||||||||
$ in thousand | 30-Sep-14 | 31-Dec-13 | |||||||||||||||||||
Fair value amount | 469 | 654 | |||||||||||||||||||
Notional amount | 40,274 | 51,823 | |||||||||||||||||||
Maximum potential amount of future undiscounted payments | 40,274 | 51,823 | |||||||||||||||||||
Recourse provisions with third parties | — | — | |||||||||||||||||||
Collateral held by counterparty | 6,219 | 7,979 | |||||||||||||||||||
Interest Rate Swaps | |||||||||||||||||||||
The Company's repurchase agreements 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. In addition, the Company's FHLBI advances have floating rates. As such, 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 exposures 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 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. | |||||||||||||||||||||
Through December 31, 2013, the Company elected cash flow hedge accounting for its interest rate swaps. Under cash flow hedge accounting, effective hedge gains or losses are initially recorded in AOCI and subsequently reclassified into earnings in the period that the hedged forecasted transaction affects earnings while the ineffective portion is recorded on a current basis in earnings. Effective December 31, 2013, the Company voluntarily discontinued cash flow hedge accounting for its interest rate swaps to gain greater flexibility in managing interest rate exposures. Amounts reported in AOCI related to the cash flow hedges through December 31, 2013 will remain in AOCI and will be reclassified to interest expense, repurchase agreements on the consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining life of the interest rate swap agreements. The Company reclassified $21.2 million and $64.1 million as an increase to interest expense for the three and nine months ended September 30, 2014, respectively. During the next 12 months, the Company estimates that $72.3 million will be reclassified as an increase to interest expense, repurchase agreements. | |||||||||||||||||||||
The Company will continue to hedge its exposure to variability in future funding costs via interest rate swaps. As a result of discontinuing hedge accounting, beginning January 1, 2014, changes in the fair value of the Company’s interest rate swaps are recorded in gain (loss) on derivative instruments, net on the consolidated statements of operations, consistent with the Company’s historical accounting for futures contracts, described below. Monthly net cash settlements under swaps are recorded in gain (loss) on derivative instruments, net on the consolidated statements of operations, prospectively. | |||||||||||||||||||||
As of September 30, 2014, the Company had the following interest rate swaps outstanding: | |||||||||||||||||||||
$ in thousands | Notional | Maturity Date | Fixed Interest Rate | ||||||||||||||||||
Counterparty | in Contract | ||||||||||||||||||||
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 | % | |||||||||||||||||
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 | % | |||||||||||||||||
Citibank, N.A. CME Clearing House | (3 | ) | -4 | 300,000 | 2/5/21 | 2.5 | % | ||||||||||||||
The Royal Bank of Scotland Plc CME Clearing House | (3 | ) | -4 | 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 | (1 | ) | 550,000 | 2/24/22 | 2.45 | % | |||||||||||||||
The Royal Bank of Scotland Plc | (2 | ) | 400,000 | 3/15/23 | 2.39 | % | |||||||||||||||
UBS AG | (2 | ) | 400,000 | 3/15/23 | 2.51 | % | |||||||||||||||
HSBC Bank USA, National Association | 250,000 | 6/5/23 | 1.91 | % | |||||||||||||||||
The Royal Bank of Scotland Plc | 500,000 | 8/15/23 | 1.98 | % | |||||||||||||||||
Goldman Sachs Bank USA CME Clearing House | (4 | ) | 600,000 | 8/24/23 | 2.88 | % | |||||||||||||||
UBS AG | 250,000 | 11/15/23 | 2.23 | % | |||||||||||||||||
HSBC Bank USA, National Association | 500,000 | 12/15/23 | 2.2 | % | |||||||||||||||||
Total | 12,150,000 | 2.13 | % | ||||||||||||||||||
-1 | Forward start date of February 2015 | ||||||||||||||||||||
-2 | Forward start date of March 2015 | ||||||||||||||||||||
-3 | Forward start date of February 2016 | ||||||||||||||||||||
-4 | 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, 2014, the Company’s counterparties held $28.5 million net cash margin deposits and approximately $236.1 million in Agency RMBS as collateral against its interest rate swaps, CDS, TBAs and futures contracts. In addition, several counterparties posted securities of approximately $42.2 million and $35.4 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. As of September 30, 2014 and December 31, 2013, the Company did not have any 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, 2014, the Company did not recognize any non-cash collateral held as collateral. | |||||||||||||||||||||
Interest Rate Swaptions | |||||||||||||||||||||
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 gain (loss) on derivative instruments, net in the Company’s consolidated statements of operations. If an interest rate swaption expires unexercised, the loss on the interest rate swaption would be equal to the premium paid. If the Company sells or exercises an interest rate swaption, the realized gain or loss on the interest rate 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 had $23.3 million of realized loss for the interest rate swaptions that expired unexercised during the nine months ended September 30, 2014. No gain or loss was realized during the three months ended September 30, 2014. For the three and nine months ended September 30, 2014, the Company had $2.2 million of unrealized loss and $13.6 million of unrealized gain, respectively, which represents the change in fair value of the Company's interest rate swaptions that are recognized directly in earnings. | |||||||||||||||||||||
As of September 30, 2014, the Company had the following outstanding interest rate swaptions: | |||||||||||||||||||||
$ in thousands | Option | Underlying Swap | |||||||||||||||||||
Average | Average | Average | Average | ||||||||||||||||||
Interest Rate | Fair | Months to | Notional | Fixed Pay | Receive | Term | |||||||||||||||
Swaptions | Expiration | Cost | Value | Expiration | Amount | Rate | rate | (Years) | |||||||||||||
Payer | < 6 Months | 4,688 | 186 | 4 | 500,000 | 2.96 | % | 3M Libor | 5.01 | ||||||||||||
Payer | > 6 Months | 5,640 | 2,828 | 9.1 | 550,000 | 3.29 | % | 3M Libor | 8.2 | ||||||||||||
10,328 | 3,014 | 6.7 | 1,050,000 | 3.13 | % | 6.68 | |||||||||||||||
TBAs, Futures and Currency Forward Contracts | |||||||||||||||||||||
The Company purchases or sells certain TBAs and U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of the Company's portfolio. Realized and unrealized gains and losses associated with the purchase or sales of the TBAs and U.S. Treasury futures contracts are recognized in gain (loss) on derivative instruments, net in the Company's consolidated statements of operations. | |||||||||||||||||||||
The Company uses currency forward contracts to help mitigate the potential impact of changes in foreign currency exchange rates on the Company's investments denominated in foreign currencies. Realized and unrealized gains and losses associated with the purchases or sales of currency forward contracts are recognized in gain (loss) on derivative instruments, net in the Company's consolidated statements of operations. | |||||||||||||||||||||
The following table presents information with respect to the Company's derivative instruments: | |||||||||||||||||||||
$ in thousands | Notional Amount as | Additions | Settlement, | Notional Amount as | Amount of Realized | ||||||||||||||||
of January 1, 2014 | Termination, | of September 30, 2014 | Gain (Loss), net on Derivative | ||||||||||||||||||
Expiration | Instruments (excluding net interest paid or received) for the nine months ended September 30, 2014 | ||||||||||||||||||||
or Exercise | |||||||||||||||||||||
Interest Rate Swaptions | 1,150,000 | 1,050,000 | (1,150,000 | ) | 1,050,000 | (23,275 | ) | ||||||||||||||
Interest Rate Swaps | 12,800,000 | — | (650,000 | ) | 12,150,000 | 1,348 | |||||||||||||||
Purchase of TBAs | — | 591,000 | (250,000 | ) | 341,000 | 63 | |||||||||||||||
Sale of TBAs | — | 1,697,000 | (931,000 | ) | 766,000 | (4,406 | ) | ||||||||||||||
Futures Contracts | 100,000 | 1,139,600 | (989,500 | ) | 250,100 | (8,937 | ) | ||||||||||||||
Currency Forward Contracts | — | 71,864 | (33,756 | ) | 38,108 | 330 | |||||||||||||||
Total | 14,050,000 | 4,549,464 | (4,004,256 | ) | 14,595,208 | (34,877 | ) | ||||||||||||||
Tabular Disclosure of the Effect of Derivative Instruments on the 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, 2014 and December 31, 2013. | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Asset Derivatives | Liability Derivatives | ||||||||||||||||||||
As of September 30, 2014 | As of December 31, 2013 | As of September 30, 2014 | As of December 31, 2013 | ||||||||||||||||||
Balance | Fair Value | Fair Value | Balance | Fair Value | Fair Value | ||||||||||||||||
Sheet | Sheet | ||||||||||||||||||||
Interest Rate Swap Asset | 68,214 | 256,449 | Interest Rate Swap Liability | 221,084 | 263,204 | ||||||||||||||||
CDS Contract | 469 | 654 | TBAs | 1,475 | — | ||||||||||||||||
Interest Rate Swaptions | 3,014 | 2,365 | |||||||||||||||||||
Futures Contracts | 1,036 | 2,591 | |||||||||||||||||||
Currency Forward Contracts | 1,080 | — | |||||||||||||||||||
TBAs | 608 | — | |||||||||||||||||||
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 statements of operations for the three and nine months ended September 30, 2014 and 2013. | |||||||||||||||||||||
Three months ended September 30, 2014 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of gain (loss) reclassified from accumulated | Amount of gain (loss) | Location of gain | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | OCI into income | reclassified from | (loss) recognized | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | (effective portion) | accumulated OCI into | in income on | on derivative | ||||||||||||||||
hedge | (effective portion) | income | derivative | (ineffective portion) | |||||||||||||||||
(effective portion) | (ineffective portion) | ||||||||||||||||||||
Interest Rate Swaps | — | Interest Expense, Repurchase Agreements | (21,227 | ) | Gain (loss) | — | |||||||||||||||
on derivative instruments, net | |||||||||||||||||||||
Nine months ended September 30, 2014 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of gain (loss) reclassified from accumulated | Amount of gain (loss) | Location of gain | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | OCI into income | reclassified from | (loss) recognized | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | (effective portion) | accumulated OCI into | in income on | on derivative | ||||||||||||||||
hedge | (effective portion) | income | derivative | (ineffective portion) | |||||||||||||||||
(effective portion) | (ineffective portion) | ||||||||||||||||||||
Interest Rate Swaps | — | Interest Expense, Repurchase Agreements | (64,055 | ) | Gain (loss) | — | |||||||||||||||
on derivative instruments, net | |||||||||||||||||||||
Three months ended September 30, 2013 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of gain (loss) reclassified from accumulated | Amount of gain (loss) | Location of gain | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | OCI into income | reclassified from | (loss) recognized | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | (effective portion) | accumulated OCI into | in income on | on derivative | ||||||||||||||||
hedge | (effective portion) | income | derivative | (ineffective portion) | |||||||||||||||||
(effective portion) | (ineffective portion) | ||||||||||||||||||||
Interest Rate Swaps | (74,098 | ) | Interest Expense, Repurchase Agreements | (43,583 | ) | Gain (loss) | 298 | ||||||||||||||
on derivative instruments, net | |||||||||||||||||||||
Nine months ended September 30, 2013 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of gain (loss) reclassified from accumulated | Amount of gain (loss) | Location of gain | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | OCI into income | reclassified from | (loss) recognized | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | (effective portion) | accumulated OCI into | in income on | on derivative | ||||||||||||||||
hedge | (effective portion) | income | derivative | (ineffective portion) | |||||||||||||||||
(effective portion) | (ineffective portion) | ||||||||||||||||||||
Interest Rate Swaps | 183,391 | Interest Expense, Repurchase Agreements | (116,553 | ) | Gain (loss) | 591 | |||||||||||||||
on derivative instruments, net | |||||||||||||||||||||
Amount of unrealized gain (loss) recognized in income on derivative | |||||||||||||||||||||
Derivative | Location of unrealized gain (loss) | Three months ended September 30, 2014 | Three months ended September 30, 2013 | ||||||||||||||||||
not designated as | recognized in income | ||||||||||||||||||||
hedging instrument | on derivative | ||||||||||||||||||||
CDS Contract | Realized and unrealized credit default swap income | (78 | ) | (175 | ) | ||||||||||||||||
Amount of unrealized gain (loss) recognized in income on derivative | |||||||||||||||||||||
Derivative | Location of unrealized gain (loss) | Nine months ended September 30, 2014 | Nine months ended September 30, 2013 | ||||||||||||||||||
not designated as | recognized in income | ||||||||||||||||||||
hedging instrument | on derivative | ||||||||||||||||||||
CDS Contract | Realized and unrealized credit default swap income | (185 | ) | (743 | ) | ||||||||||||||||
The following table summarizes the effect of interest rate swaps, swaption contracts, TBAs, futures contracts and currency forwards reported in gain (loss) on derivative instruments, net on the consolidated statements of operations for the three and nine months ended September 30, 2014 and 2013: | |||||||||||||||||||||
$ in thousands | Three months ended September 30, 2014 | ||||||||||||||||||||
Derivative | Realized gain (loss) on settlement, termination, expiration or exercise, net | Contractual interest expense | Unrealized gain (loss), net | Gain (loss) on derivatives, net | |||||||||||||||||
not designated as | |||||||||||||||||||||
hedging instrument | |||||||||||||||||||||
Interest Rate Swaps | 1,348 | (50,446 | ) | 47,709 | (1,389 | ) | |||||||||||||||
Interest Rate Swaptions | — | — | (2,185 | ) | (2,185 | ) | |||||||||||||||
TBAs | (2,943 | ) | — | 368 | (2,575 | ) | |||||||||||||||
Futures Contracts | 249 | — | 786 | 1,035 | |||||||||||||||||
Currency Forward Contracts | 330 | — | 1,080 | 1,410 | |||||||||||||||||
Total | (1,016 | ) | (50,446 | ) | 47,758 | (3,704 | ) | ||||||||||||||
$ in thousands | Nine months ended September 30, 2014 | ||||||||||||||||||||
Derivative | Realized gain (loss) on settlement, termination, expiration or exercise, net | Contractual interest expense | Unrealized gain (loss), net | Gain (loss) on derivatives, net | |||||||||||||||||
not designated as | |||||||||||||||||||||
hedging instrument | |||||||||||||||||||||
Interest Rate Swaps | 1,348 | (154,092 | ) | (146,116 | ) | (298,860 | ) | ||||||||||||||
Interest Rate Swaptions | (23,275 | ) | — | 13,596 | (9,679 | ) | |||||||||||||||
TBAs | (4,343 | ) | — | (867 | ) | (5,210 | ) | ||||||||||||||
Futures Contracts | (8,937 | ) | — | (1,556 | ) | (10,493 | ) | ||||||||||||||
Currency Forward Contracts | 330 | — | 1,080 | 1,410 | |||||||||||||||||
Total | (34,877 | ) | (154,092 | ) | (133,863 | ) | (322,832 | ) | |||||||||||||
$ in thousands | Three months ended September 30, 2013 | ||||||||||||||||||||
Derivative Instrument | Realized gain (loss) on settlement, termination, expiration or exercise, net | Contractual interest expense | Unrealized gain (loss), net | Gain (loss) on derivatives, net | |||||||||||||||||
Interest Rate Swaps ineffectiveness | — | — | 298 | 298 | |||||||||||||||||
Interest Rate Swaptions | 39,075 | — | (42,891 | ) | (3,816 | ) | |||||||||||||||
Futures Contracts | — | — | (3,369 | ) | (3,369 | ) | |||||||||||||||
Total | 39,075 | — | (45,962 | ) | (6,887 | ) | |||||||||||||||
$ in thousands | Nine months ended September 30, 2013 | ||||||||||||||||||||
Derivative Instrument | Realized gain (loss) on settlement, termination, expiration or exercise, net | Contractual interest expense | Unrealized gain (loss), net | Gain (loss) on derivatives, net | |||||||||||||||||
Interest Rate Swaps ineffectiveness | — | — | 591 | 591 | |||||||||||||||||
Interest Rate Swaptions | 66,234 | — | (19,032 | ) | 47,202 | ||||||||||||||||
Futures Contracts | — | — | (3,369 | ) | (3,369 | ) | |||||||||||||||
Total | 66,234 | — | (21,810 | ) | 44,424 | ||||||||||||||||
Credit-risk-related Contingent Features | |||||||||||||||||||||
The Company has agreements with each of its bilateral 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 the Company could be declared in default of its derivative obligations if the following conditions occur: | |||||||||||||||||||||
• | The Company’s net asset value declines by certain percentages over a specified time period; | ||||||||||||||||||||
• | The Company’s shareholders’ equity declines by certain percentages over specified time periods; | ||||||||||||||||||||
• | The Company fails to maintain a minimum shareholders’ equity or market value of $100 million and $80 million, respectively. | ||||||||||||||||||||
At September 30, 2014, 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 $188.9 million. The Company has minimum collateral posting thresholds with certain of its derivative counterparties and has posted collateral of $236.1 million of Agency RMBS and $28.5 million of cash as of September 30, 2014. If the Company had breached any of these provisions at September 30, 2014, it could have been required to settle its obligations under the agreements at their termination value. | |||||||||||||||||||||
In addition, as of September 30, 2014, the Company has an agreement with a central clearing counterparty. The fair value of such derivatives in a net liability position, which includes accrued interest but excludes any adjustment for non-performance risk related to this agreement, was $29.6 million. | |||||||||||||||||||||
The Company was in compliance with all of the financial provisions of these agreements as of September 30, 2014. |
Offsetting_Assets_and_Liabilit
Offsetting Assets and Liabilities | 9 Months Ended | |||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||
Offsetting [Abstract] | ' | |||||||||||||||||
Offsetting Assets and Liabilities | ' | |||||||||||||||||
Offsetting Assets and Liabilities | ||||||||||||||||||
Certain of the Company's repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of setoff under master netting arrangement (or similar agreements), including in the event of default or in the event of bankruptcy of either party to the transactions. Assets and liabilities subject to such arrangements are presented on a gross basis in the consolidated balance sheets. The following tables present information about the 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, 2014 and December 31, 2013. | ||||||||||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Assets | Instruments (1) | Received | |||||||||||||
Recognized | Offset in the | presented in | ||||||||||||||||
Assets | Consolidated | the | ||||||||||||||||
Balance | Consolidated | |||||||||||||||||
Sheets | Balance Sheets | |||||||||||||||||
Derivatives | 74,421 | — | 74,421 | (11,247 | ) | (63,174 | ) | — | ||||||||||
Total | 74,421 | — | 74,421 | (11,247 | ) | (63,174 | ) | — | ||||||||||
Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans | ||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Assets | Instruments (2)(3)(5) | Posted (2)(4)(5) | |||||||||||||
Recognized | Offset in the | presented in | ||||||||||||||||
Liabilities | Consolidated | the | ||||||||||||||||
Balance | Consolidated | |||||||||||||||||
Sheets | Balance Sheets | |||||||||||||||||
Derivatives | 222,559 | — | 222,559 | (222,559 | ) | — | — | |||||||||||
Repurchase Agreements | 13,571,889 | — | 13,571,889 | (13,571,889 | ) | — | — | |||||||||||
Secured Loans | 1,250,000 | — | 1,250,000 | (1,250,000 | ) | — | — | |||||||||||
15,044,448 | — | 15,044,448 | (15,044,448 | ) | — | — | ||||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Cash | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Assets | Instruments (1) | Collateral | |||||||||||||
Recognized | Offset in the | presented in | Received | |||||||||||||||
Assets | Consolidated | the | ||||||||||||||||
Balance | Consolidated | |||||||||||||||||
Sheets | Balance Sheets | |||||||||||||||||
Derivatives | 262,059 | — | 262,059 | (671 | ) | (48,607 | ) | 212,781 | ||||||||||
Total | 262,059 | — | 262,059 | (671 | ) | (48,607 | ) | 212,781 | ||||||||||
Offsetting of Derivative Liabilities and Repurchase Agreements | ||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Cash | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Assets | Instruments (2)(3) | Collateral | |||||||||||||
Recognized | Offset in the | presented in | Posted (2)(4) | |||||||||||||||
Liabilities | Consolidated | the | ||||||||||||||||
Balance | Consolidated | |||||||||||||||||
Sheets | Balance Sheets | |||||||||||||||||
Derivatives | 263,204 | — | 263,204 | (263,204 | ) | — | — | |||||||||||
Repurchase Agreements | 15,451,675 | — | 15,451,675 | (15,451,675 | ) | — | — | |||||||||||
15,714,879 | — | 15,714,879 | (15,714,879 | ) | — | — | ||||||||||||
-1 | Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at September 30, 2014 and December 31, 2013, subject to a netting arrangement. | |||||||||||||||||
-2 | Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. | |||||||||||||||||
-3 | The fair value of securities pledged against the Company's borrowing under repurchase agreements was $15.2 billion and $17.1 billion at September 30, 2014 and December 31, 2013, respectively, including securities held as collateral that are eliminated in consolidation of $324.1 million and $133.8 million, respectively at September 30, 2014 and December 31, 2013. | |||||||||||||||||
-4 | Total cash received on the Company's derivatives was $35.4 million and $52.7 million at September 30, 2014 and December 31, 2013, respectively. Total non-cash collateral received on the Company's derivatives was $42.2 million and $207.0 million at September 30, 2014 and December 31, 2013, respectively. Total cash posted by the Company on its Derivatives was $28.5 million and $1.5 million at September 30, 2014 and December 31, 2013, respectively. | |||||||||||||||||
-5 | The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $1.5 billion and $0 at September 30, 2014 and December 31, 2013, respectively. |
Financial_Instruments
Financial Instruments | 9 Months Ended | |||||||||||
Sep. 30, 2014 | ||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||
Financial Instruments | ' | |||||||||||
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 following tables present the Company's assets and liabilities measured at fair value on a recurring basis. | ||||||||||||
30-Sep-14 | ||||||||||||
Fair Value Measurements Using: | ||||||||||||
Total at | ||||||||||||
Level 1 | Level 2 | Level 3 | Fair Value | |||||||||
Assets: | ||||||||||||
Mortgage-backed securities(1) | — | 17,297,034 | — | 17,297,034 | ||||||||
Investments in unconsolidated ventures | — | — | 42,281 | 42,281 | ||||||||
Derivative assets | 1,036 | 72,916 | 469 | 74,421 | ||||||||
Total assets | 1,036 | 17,369,950 | 42,750 | 17,413,736 | ||||||||
Liabilities: | ||||||||||||
Derivative liabilities | — | 222,559 | — | 222,559 | ||||||||
Total liabilities | — | 222,559 | — | 222,559 | ||||||||
31-Dec-13 | ||||||||||||
Fair Value Measurements Using: | ||||||||||||
Total at | ||||||||||||
$ in thousands | Level 1 | Level 2 | Level 3 | Fair Value | ||||||||
Assets: | ||||||||||||
Mortgage-backed securities(1) | — | 17,348,657 | — | 17,348,657 | ||||||||
Investments in unconsolidated ventures | — | — | 44,403 | 44,403 | ||||||||
Derivative assets | 2,591 | 258,814 | 654 | 262,059 | ||||||||
Total assets | 2,591 | 17,607,471 | 45,057 | 17,655,119 | ||||||||
Liabilities: | ||||||||||||
Derivative liabilities | — | 263,204 | — | 263,204 | ||||||||
Total liabilities | — | 263,204 | — | 263,204 | ||||||||
-1 | For more detail about the fair value of the Company's MBS, refer to Note 4 - "Mortgage-Backed Securities." | |||||||||||
The following table provides a reconciliation of the beginning and ending fair value measurements of the Company’s investments in unconsolidated ventures for which the Company has utilized Level 3 inputs to determine fair value: | ||||||||||||
$ in thousands | 30-Sep-14 | 31-Dec-13 | ||||||||||
Balance at January 1 | 44,403 | 35,301 | ||||||||||
Purchases | 2,212 | 11,717 | ||||||||||
Sales and settlements | (9,814 | ) | (7,960 | ) | ||||||||
Total net gains/(losses) included in net income | ||||||||||||
Realized gains, net | 6,394 | 2,757 | ||||||||||
Unrealized gains/(losses), net | (914 | ) | 2,588 | |||||||||
Unrealized gains/(losses), net included in other comprehensive income | — | — | ||||||||||
Ending balance | 42,281 | 44,403 | ||||||||||
The following table shows a reconciliation of the beginning and ending fair value measurements of the Company's credit default swap ("CDS") contract, which the Company has valued utilizing Level 3 inputs: | ||||||||||||
$ in thousands | 30-Sep-14 | 31-Dec-13 | ||||||||||
Balance at January 1 | 654 | 1,519 | ||||||||||
Purchases | — | — | ||||||||||
Sales and settlements | — | — | ||||||||||
Total net gains/(losses) included in net income | ||||||||||||
Realized gains/(losses), net | — | — | ||||||||||
Unrealized gains/(losses), net | (185 | ) | (865 | ) | ||||||||
Unrealized gains/(losses), net included in other comprehensive income | — | — | ||||||||||
Ending balance | 469 | 654 | ||||||||||
The following table summarizes significant unobservable inputs used in the fair value measurement of the Company's CDS contract: | ||||||||||||
Fair Value at | Valuation | Unobservable | Weighted | |||||||||
$ in thousands | 30-Sep-14 | Technique | Input | Range | Average | |||||||
CDS Contract | 469 | Discounted cash flow | Swap Rate | 2.39 | % | |||||||
Discount Rate | 0.74 | % | ||||||||||
Credit Spread | 0.24 | % | ||||||||||
Constant Prepayment Rate | 1.0% - 20.0% | 5.48 | % | |||||||||
Constant Default Rate | 0.6% - 100.0% | 4.19 | % | |||||||||
Loss Severity | 0.9% - 64.9% | 39.22 | % | |||||||||
Fair Value at | Valuation | Unobservable | Weighted | |||||||||
$ in thousands | 31-Dec-13 | Technique | Input | Range | Average | |||||||
CDS Contract | 654 | Discounted cash flow | Swap Rate | 2.39 | % | |||||||
Discount Rate | 0.5 | % | ||||||||||
Credit Spread | 0.25 | % | ||||||||||
Constant Prepayment Rate | 1.0% - 20.0% | 5.76 | % | |||||||||
Constant Default Rate | 0.8% - 100.0% | 4.89 | % | |||||||||
Loss Severity | 3.0% - 63.7% | 43.31 | % | |||||||||
These significant unobservable 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 $8,000 more than the actual fair value at September 30, 2014. | ||||||||||||
The following table presents the carrying value and estimated fair value of the Company's financial instruments that are not carried at fair value on the consolidated balance sheets, at September 30, 2014 and December 31, 2013: | ||||||||||||
30-Sep-14 | 31-Dec-13 | |||||||||||
$ in thousands | Carrying | Estimated | Carrying | Estimated | ||||||||
Value | Fair Value | Value | Fair Value | |||||||||
Financial Assets | ||||||||||||
Residential loans, held-for-investment | 3,103,434 | 3,051,565 | 1,810,262 | 1,709,385 | ||||||||
Commercial loans, held-for-investment | 144,707 | 144,707 | 64,599 | 64,599 | ||||||||
Other investments | 62,500 | 62,500 | 10,000 | 10,000 | ||||||||
Total | 3,310,641 | 3,258,772 | 1,884,861 | 1,783,984 | ||||||||
Financial Liabilities | ||||||||||||
Repurchase agreements | 13,571,889 | 13,578,855 | 15,451,675 | 15,459,452 | ||||||||
Secured loans | 1,250,000 | 1,250,000 | — | — | ||||||||
Asset-backed securities issued by securitization trusts | 2,745,940 | 2,683,009 | 1,643,741 | 1,543,217 | ||||||||
Exchangeable senior notes | 400,000 | 390,750 | 400,000 | 368,250 | ||||||||
Total | 17,967,829 | 17,902,614 | 17,495,416 | 17,370,919 | ||||||||
The following describes the Company’s methods for estimating the fair value for financial instruments. | ||||||||||||
• | The fair value of residential loans held-for-investment and commercial loans held-for-investment is a Level 3 fair value measurement which is 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 is included in “Other Investments” and its fair value is a Level 3 fair value measurement based on an expected present value technique. The debt security was repaid in March 2014 at carrying value. | |||||||||||
• | The fair value of other investments, FHLBI stock, is a Level 3 fair value measurement. FHLBI stock may only be sold back to the FHLBI at its discretion at cost. As a result, the cost of the FHLBI stock approximates its fair value. | |||||||||||
• | The fair value of 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 asset-backed securities issued by securitization trusts is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates that best reflect current market interest rates that would be offered for securities with similar characteristics and credit quality. | |||||||||||
• | The fair value of secured loans is a Level 3 fair value measurement. The secured loans have floating rates based on an index plus a spread. Accordingly, the interest rates on these secured loans are at market, and thus the carrying amount approximates fair value. | |||||||||||
• | 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, 2014 | ||||||||||||
Related Party Transactions [Abstract] | ' | |||||||||||
Related Party Transactions | ' | |||||||||||
Related Party Transactions | ||||||||||||
The Company is externally managed and advised by Invesco Advisers, Inc. (the "Manager"), a wholly-owned subsidiary of Invesco Ltd. Under 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. 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 its Manager a management fee equal to 1.50% of the Company’s shareholders’ equity per annum. The fee 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). Shareholders' equity may 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, 2014, the Company incurred management fees of $9.2 million (2013: $10.9 million), of which $9.2 million (2013: $10.9 million) was accrued but has not been paid. | ||||||||||||
For the nine months ended September 30, 2014, the Company incurred management fees of $27.9 million (2013: $32.1 million), of which $9.2 million (2013: $10.9 million) was accrued but has not been paid. | ||||||||||||
Expense Reimbursement | ||||||||||||
The Company is required to reimburse its Manager for Company operating expenses 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 following table summarizes the costs originally paid by the Manager, incurred on behalf of the Company for the three and nine months ended September 30, 2014 and 2013. | ||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||
September 30, | September 30, 2014 | |||||||||||
$ in thousands | 2014 | 2013 | 2014 | 2013 | ||||||||
Incurred costs, prepaid or expensed | 1,274 | 966 | 4,373 | 3,472 | ||||||||
Incurred costs, charged against equity as a cost of raising capital | — | — | — | 418 | ||||||||
Incurred costs, capitalized to other assets | — | 7 | — | 7 | ||||||||
Total incurred costs, originally paid by the Manager | 1,274 | 973 | 4,373 | 3,897 | ||||||||
Termination Fee | ||||||||||||
A termination fee is due to the Manager upon termination of the management agreement by the Company. The termination fee is equal to three times the sum of the average annual management fee earned by the Manager during the 24-month period before termination, calculated as of the end of the most recently completed fiscal quarter. |
Shareholders_Equity
Shareholders' Equity | 9 Months Ended |
Sep. 30, 2014 | |
Equity [Abstract] | ' |
Shareholders' Equity | ' |
Shareholders’ Equity | |
Securities Convertible into Shares of Common Stock | |
The non-controlling interest holder of the Operating Partnership units, a wholly-owned Invesco subsidiary, has the right to cause the Operating Partnership to redeem their operating partnership ("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 allows 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 Company's 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 Exchangeable Senior Notes due in 2018. Refer to Note 7 - "Borrowings" for further discussion of the Exchangeable Senior Notes. | |
Common Stock | |
The Company has a dividend reinvestment and stock purchase plan (the “DRSPP”) that allows participating shareholders to purchase shares of common stock directly from the Company. DRSPP participants may also automatically reinvest all or a portion of their dividends in exchange for additional shares of common stock. | |
During the nine months ended September 30, 2014, the Company issued 11,459 shares of common stock at an average price of $16.71 under the DRSPP. The Company received total proceeds of approximately $191,000, net of issuance costs of $0. | |
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 $25.00 per share or $1.9375 per share per annum. The dividends are cumulative and payable quarterly in arrears. | |
In September 2014, the Company completed a public offering of 6,200,000 shares of 7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock (the "Series B Preferred Stock") at the price of $25.00 per share. Total proceeds were $149.9 million, net of issuance costs of $5.1 million. Holders of the Company’s Series B Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum until December 27, 2024. After December 27, 2024, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.18% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears, with the first dividend payment date on December 29, 2014. | |
The Company may elect to redeem shares of preferred stock at its option after July 26, 2017 (with respect to the Series A Preferred Stock) and after December 27, 2024 (with respect to the Series B Preferred Stock) for $25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption. These shares are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company prior to those times, except under circumstances intended to preserve the Company's qualification as a REIT or upon the occurrence of a change in control. | |
Share Repurchase Program | |
On December 12, 2011, the Company's board of directors approved a share repurchase program to purchase up to 7,000,000 shares of its common shares with no stated expiration date. On December 2, 2013, the Company's board of directors approved an additional share repurchase of up to 20,000,000 of its common shares with no stated expiration date. The Company may purchase common shares in the open market, including through block purchases, or through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rules 10b5-1 and 10b-18 of the Securities Exchange Act of 1934, as amended. The Company determines the timing, manner, price and amount of any repurchases and may suspend, terminate or modify the program at any time. The Company is not obligated to acquire any specific number of shares. All repurchases will be made in accordance with Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of stock repurchases. | |
During the three months ended September 30, 2014, the Company did not repurchase any shares of its common stock. During the nine months ended September 30, 2014, the Company repurchased 1,438,213 shares of its common stock at an average repurchase price of $14.69 per share for a net cost of $21.1 million, including acquisition expenses. During the nine months ended September 30, 2013, the Company did not repurchase any shares of its common stock. As of September 30, 2014, the Company had authority to purchase 14,841,784 additional shares of its common stock under its share repurchase program. | |
Share-Based Compensation | |
The Company established the 2009 Equity Incentive Plan for grants of restricted common stock and other equity based awards to 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 $60,000 (2013: $45,000) and approximately $172,000 (2013: $120,000) related to the Company's non-executive directors for the three and nine months ended September 30, 2014, respectively. During the three months ended September 30, 2014, the Company issued 3,532 shares (2013: 2,361 shares) of stock pursuant to the Incentive Plan to the Company’s non-executive directors. During the nine months ended September 30, 2014, the Company issued 9,356 shares (2013: 5,970 shares) of 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 $62,000 (2013: $45,000) and $223,000 (2013: $156,000) for the three and nine months ended September 30, 2014, respectively, 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 2014, the Company issued 8,284 shares of common stock (net of tax withholding) in exchange for 12,599 restricted stock units that vested under the Incentive Plan. In addition, during the nine months ended September 30, 2014, the Company awarded 20,732 restricted stock units to officers and employees of the Manager and its affiliates. | |
Dividends | |
On September 15, 2014, the Company declared a dividend of $0.50 per share of common stock. The dividend was paid on October 28, 2014 to shareholders of record as of the close of business on September 26, 2014. | |
On September 15, 2014, the Company declared a dividend of $0.4844 per share of Series A Preferred Stock. The dividend was paid on October 27, 2014 to shareholders of record as of the close of business on October 1, 2014. |
Earnings_per_Common_Share
Earnings per Common Share | 9 Months Ended | |||||||||||
Sep. 30, 2014 | ||||||||||||
Earnings Per Share [Abstract] | ' | |||||||||||
Earnings per Common Share | ' | |||||||||||
Earnings per Common Share | ||||||||||||
Earnings per share for the three and nine months ended September 30, 2014 and 2013 is computed as follows: | ||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||
September 30, | September 30, | |||||||||||
$ and share amounts in thousands | 2014 | 2013 | 2014 | 2013 | ||||||||
Numerator (Income) | ||||||||||||
Basic Earnings | ||||||||||||
Net income (loss) available to common shareholders | 30,672 | (8,686 | ) | (137,820 | ) | 214,152 | ||||||
Effect of dilutive securities: | ||||||||||||
Income allocated to exchangeable senior debt | — | — | — | 12,403 | ||||||||
Income (loss) allocated to non-controlling interest | 394 | (63 | ) | (1,485 | ) | 2,392 | ||||||
Dilutive net income (loss) available to shareholders | 31,066 | (8,749 | ) | (139,305 | ) | 228,947 | ||||||
Denominator (Weighted Average Shares) | ||||||||||||
Basic Earnings: | ||||||||||||
Shares available to common shareholders | 123,098 | 135,220 | 123,105 | 133,094 | ||||||||
Effect of dilutive securities: | ||||||||||||
Restricted stock awards | 46 | — | — | 34 | ||||||||
OP units | 1,425 | 1,425 | 1,425 | 1,425 | ||||||||
Exchangeable senior notes | — | — | — | 12,519 | ||||||||
Dilutive Shares | 124,569 | 136,645 | 124,530 | 147,072 | ||||||||
The following potential common shares (in thousands) were excluded from diluted earnings per common share for the three and nine months ended September 30, 2014 as the effect would be anti-dilutive: 16,836 (in thousands) for the Exchangeable Senior Notes, respectively, and 0 and 44 (in thousands) for Restricted Stock Awards. The following potential common shares (in thousands) were excluded from diluted earnings per common share for the three and nine months ended September 30, 2013 as the effect would be anti-dilutive: 16,836 (in thousands) for the Exchangeable Senior Notes, respectively, and 38 (in thousands) for Restricted Stock Awards. |
Noncontrolling_InterestOperati
Non-controlling Interest-Operating Partnership | 9 Months Ended | |||||||||||
Sep. 30, 2014 | ||||||||||||
Noncontrolling Interest [Abstract] | ' | |||||||||||
Non-controlling Interest-Operating Partnership | ' | |||||||||||
Non-controlling Interest—Operating Partnership | ||||||||||||
Non-controlling interest represents the aggregate Operating Partnership Units in the Company's Operating Partnership held by a wholly-owned Invesco subsidiary. 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 a Share equivalent. 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. As of September 30, 2014, non-controlling interest related to the outstanding 1,425,000 OP Units represented a 1.1% interest (2013: 1.0%) in the Operating Partnership. | ||||||||||||
The following table presents the income (expense) allocated and distributions paid to the Operating Partnership non-controlling interest for the three and nine months ended September 30, 2014 and 2013. | ||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||
September 30, | September 30, 2014 | |||||||||||
$ in thousands | 2014 | 2013 | 2014 | 2013 | ||||||||
Income (expense) allocated | 394 | (63 | ) | (1,485 | ) | 2,392 | ||||||
Distributions paid | 713 | 926 | 2,138 | 2,778 | ||||||||
As of September 30, 2014, distributions payable to the non-controlling interest were approximately $713,000 (2013: $713,000). |
Subsequent_Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2014 | |
Subsequent Events [Abstract] | ' |
Subsequent Events | ' |
Subsequent Events | |
On November 4, 2014, the Company's Board of Directors declared a cash dividend on its 7.75% Fixed-to-Floating Series B Preferred Stock of $0.57049 per share. The dividend will be paid on December 29, 2014 to shareholders of record on December 5, 2014. The dividend has been considered in the Company's calculation of earnings per share for the three and nine months ended September 30, 2014. |
Summary_of_Significant_Account1
Summary of Significant Accounting Policies (Policies) | 9 Months Ended | |
Sep. 30, 2014 | ||
Accounting Policies [Abstract] | ' | |
Basis of Quarterly Presentation | ' | |
Basis of Presentation and Consolidation | ||
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. Therefore, this Form 10-Q should be read in conjunction with the Company’s annual report on Form 10-K for the year ended December 31, 2013. | ||
Principles of Consolidation | ' | |
In the opinion of management, the consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair presentation of the financial condition and results of operations for the periods presented. All significant intercompany transactions, balances, revenues and expense are eliminated upon consolidation. | ||
The consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and its controlled subsidiaries. The consolidated financial statements also include the consolidation of certain securitization trusts that meet the definition of a variable interest entity ("VIE") because the Company has been deemed to be the primary beneficiary of the securitization trusts. These securitization trusts hold pools of residential mortgage loans and issue series of asset-backed securities payable from the cash flows generated by the underlying pools of residential mortgage loans. The securitizations are non-recourse financing for the residential mortgage loans held-for-investment. Generally, a portion of the asset-backed securities issued by the securitization trusts is sold to unaffiliated third parties and the balance is purchased by the Company. The Company classifies the underlying residential mortgage loans owned by the securitization trusts as residential loans held-for-investment in its consolidated balance sheet. The asset-backed securities issued to third parties are recorded as liabilities on the Company's consolidated balance sheets. The Company records interest income on the residential loans held-for-investment and interest expense on the asset-backed securities issued to third parties in the Company's consolidated statements of operations. The Company eliminates all intercompany balances and transactions between itself and the consolidated securitization trusts. The Company records the initial underlying assets and liabilities of the consolidated securitization trusts at their fair value upon consolidation into the Company and, as such, no gain or loss is recorded upon consolidation. | ||
Variable Interest Entity | ' | |
The consolidated securitization trusts are VIEs because the securitization trusts do not have equity that meets the definition of U.S. GAAP equity at risk. In determining if a securitization trust should be consolidated, the Company evaluates whether it has both (i) the power to direct the activities of the securitization trust that most significantly impact its economic performance and (ii) the right to receive benefits from the securitization trust or the obligation to absorb losses of the securitization trust that could be significant. The Company's determination of whether it is the primary beneficiary of a securitization trust includes both a qualitative and quantitative analysis. The Company determined that it was the primary beneficiary of certain securitization trusts because it was involved in certain aspects of the design of the securitization trusts and has certain default oversight rights on defaulted residential loans. In addition, the Company owns the most subordinated class of asset-backed securities issued by the securitization trusts and has the obligation to absorb losses/right to receive benefits from the securitization trust that could potentially be significant to the securitization trust. The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company's initial consolidation assessment. | ||
Use of Estimates | ' | |
Use of Estimates | ||
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, allowance for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates. | ||
Translations of Foreign Currencies | ' | |
Translation of Foreign Currencies | ||
The functional currency of the Company and its subsidiaries is U.S. dollars. Transactions in foreign currencies are recorded at the rates of exchange prevailing on the date of the transactions. At each balance sheet date, monetary assets and liabilities that are denominated in foreign currencies are remeasured at the rates prevailing at the balance sheet date. Gains and losses arising on revaluation are included in the consolidated statements of operations. | ||
The Company generally hedges interest rate and foreign currency exposure with derivative financial instruments. Refer to Note 8 - "Derivatives and Hedging Activities" for further information. | ||
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 for the assets the Company holds. Examples of instances that would cause an override include 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 10 - "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 identical instruments in active markets, the security is classified as a level 1 security. 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. | ||
Mortgage-Backed Securities | ' | |
Mortgage-Backed Securities | ||
The Company records its purchases of mortgage-backed securities on the trade date and classifies its mortgage-backed securities as available-for-sale investments. Although the Company generally intends to hold most of its mortgage-backed securities until maturity, the Company may, from time to time, sell any of its mortgage-backed securities as part of its overall management of its investment portfolio. | ||
Available-for-sale mortgage-backed securities are measured at fair value. Unrealized gains or losses arising from changes in fair value, excluding other-than-temporary impairment, are recognized in accumulated other comprehensive income, a separate component of stockholders' equity, until sale or disposition of the investment. Upon sale or disposition, the cumulative gain or loss previously reported in shareholders' equity is recognized in income. Realized gains and losses from sales of mortgage-backed securities are determined based upon the specific identification method. | ||
The Company considers its portfolio of Agency RMBS to be of high credit quality under applicable accounting guidance. For non-Agency RMBS, GSE CRT and CMBS, the Company does not rely on ratings from third party agencies to determine the credit quality of the investment. 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. The Company places reliance on these internal models in determining credit quality. | ||
While non-Agency RMBS, GSE CRT 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 evaluates each security for other-than-temporary impairment at least quarterly. | ||
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 Company recognizes in earnings and reflects as a reduction in the cost basis of the security the amount of any other-than-temporary impairment related to credit losses or impairments on securities that the Company intends to sell or for which it is more likely than not that the Company will need to sell before recoveries. 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. | ||
Loans Held-For-Investment | ' | |
Residential Loans Held-For-Investment | ||
Residential loans held-for-investment are residential mortgage loans held by consolidated securitization trusts. Residential loans held-for-investment are carried at unpaid principal balance net of any premiums and an allowance for loan losses. The Company expects that it will be required to continue to consolidate the securitization trusts that hold the residential loans. | ||
The Company establishes an allowance for residential loan losses based on the Company's estimate of credit losses. The Company calculates expected losses by estimating the default rate and expected loss severities on the loans. The Company considers the following factors in its evaluation of the allowance for loan losses: | ||
• | Loan-to-value ratios, credit scores, geographic concentration and other observable data; | |
• | Historical default rates of loans with similar characteristics; and | |
• | Expected future macroeconomic trends including changes in home prices and the unemployment rate. | |
Commercial Loans Held-For-Investment | ||
Commercial loans held-for-investment by the Company are carried at cost, net of any allowance for loan losses. The Company establishes an allowance for commercial loan losses based on loans the Company has determined to be impaired at the reporting date. An individual loan is considered impaired when it is deemed probable that the Company will not be able to recover its investment and any other anticipated futures payments. The Company generally considers the following factors in evaluating whether a commercial loan is impaired: | ||
• | Loan-to-value ratios; | |
• | 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 factors the Company considers relevant, including, 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 the loans, and the supply and demand trends in the 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 the Company's consolidated statements of operations. | ||
Interest Income Recognition | ' | |
Interest Income Recognition | ||
Mortgage-Backed Securities | ||
Interest income on mortgage-backed securities is accrued based on the outstanding principal balance of the securities and their contractual terms. Premiums or discounts associated with the purchase of mortgage-backed securities are amortized or accreted into interest income 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. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact management’s estimates and the Company's interest income. | ||
Residential Loans | ||
The Company recognizes interest income from residential loans on an accrual basis and amortizes the related premiums into interest income using the effective interest method over the weighted average life of these loans. In estimating the weighted average life of these loans, there are a number of assumptions that are subject to estimation, including the rate and timing of principal payments, defaults, loss severity given default 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, 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 after a loan becomes greater than 90 days past due 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. Alternatively, 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 after a loan becomes 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 | ||
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, 2014, the Company had cash and cash equivalents in excess of the FDIC deposit insurance limit of $250,000 per institution. The Company mitigates its risk of loss by actively monitoring the counterparties. | ||
Due From Counterparties/ Collateral Held Payable | ' | |
Due from Counterparties / Collateral Held Payable | ||
Due from counterparties represents cash posted with the Company's counterparties as collateral for the Company’s derivatives and repurchase agreements. Collateral held payable represents cash posted with the Company by counterparties as collateral under the Company’s derivatives and repurchase agreements. To the extent the Company receives collateral other than cash from its counterparties, such assets are not included in the Company’s consolidated balance sheets. Notwithstanding the foregoing, if the Company either sells such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability is reflected on the consolidated balance sheets. | ||
Investments in Unconsolidated Ventures | ' | |
Investments in Unconsolidated Ventures | ||
The Company’s non-controlling investments in unconsolidated ventures 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. | ||
Deferred Securitization and Financing Costs | ' | |
Deferred Securitization and Financing Costs | ||
Deferred costs consist of costs associated with the issuance of asset-backed securities by consolidated securitization trusts and costs incurred in connection with the issuance of the Company's exchangeable senior notes. These costs include underwriting, rating agency, legal, accounting and other fees. Deferred costs are amortized as an adjustment to interest expense using the effective interest method based upon actual repayments of the asset-backed securities or over the stated legal maturity of the exchangeable senior notes. | ||
Repurchase Agreements | ' | |
Repurchase Agreements | ||
The Company finances its purchases of mortgage-backed securities primarily 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 mortgage-backed securities through repurchase agreements with the same counterparty from whom such assets were purchased, 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 on a gross basis in its consolidated statements of operations if all of the following criteria are met: | ||
• | the initial transfer of and repurchase financing are not 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. | |
The Company currently reflects all proceeds from repurchase agreements borrowings and repayment of repurchase agreement borrowings on a gross basis on the consolidated statements of cash flows. If the transaction does not comply with the criteria for gross presentation, the Company would account for the purchase commitment and repurchase agreement on a net basis and record a forward commitment to purchase such assets as a derivative instrument. 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 mortgage-backed securities as an investment related receivable from the counterparty on its consolidated balance sheets. | ||
Secured Loans | ' | |
Secured Loans | ||
In March 2014, the Company's wholly-owned subsidiary, IAS Services LLC, became a member of the Federal Home Loan Bank of Indianapolis ("FHLBI"). As a member of the FHLBI, IAS Services LLC may borrow funds from the FHLBI in the form of secured advances. FHLBI advances are treated as secured financing transactions and are carried at their contractual amounts. | ||
Asset-Backed Debt Securities | ' | |
Asset-Backed Securities Issued by Securitization Trusts | ||
Asset-backed securities issued by securitization trusts are recorded at principal balances net of unamortized premiums or discounts. | ||
Dividends and Distributions Payable | ' | |
Dividends and Distributions Payable | ||
Dividends and distributions payable represent dividends declared at the balance sheet date which are payable to common shareholders, preferred shareholders, and an Invesco wholly-owned subsidiary, the non-controlling interest common unit holder of the Operating Partnership. | ||
Earnings (Loss) 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 and uses 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. | ||
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 stock awards. In addition, the Company may compensate the officers and employees of its Manager and its affiliates under this plan pursuant to the management agreement. | ||
Share-based compensation arrangements include share options, restricted and non-restricted share awards, performance-based awards and share appreciation rights. For awards to the Company's independent directors, 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. Compensation related to stock awards to employees of the Company's 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. | ||
Underwriting Commissions and Offering Costs | ' | |
Underwriting Commissions and Offering Costs | ||
Underwriting commissions and direct costs incurred in connection with the Company’s common stock offerings are reflected as a reduction of additional paid-in-capital. | ||
Comprehensive Income | ' | |
Comprehensive Income | ||
The Company's other comprehensive income consists of net income, as presented in the consolidated statements of operations, adjusted for changes in fair value of mortgage-backed securities classified as available for sale securities, changes in the fair value of derivatives accounted for as cash flow hedges, and amortization of repurchase agreement interest expense resulting from the de-designation of derivatives previously accounted for as cash flow hedges. Unrealized gains and losses on the Company's mortgage-backed securities are reclassified into net income upon their sale or termination. | ||
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 risks, even though hedge accounting does not apply or the Company elects not to apply hedge accounting under U.S. GAAP. | ||
Effective December 31, 2013, the Company voluntarily discontinued hedge accounting for its interest rate swap agreements by de-designating the interest rate swaps as cash flow hedges. No interest rate swaps were terminated in conjunction with this action, and the Company’s risk management and hedging practices were not impacted. However, the Company’s accounting for these transactions changed beginning January 1, 2014. All of the Company’s interest rate swaps had previously been accounted for as cash flow hedges under the applicable guidance. As a result of discontinuing hedge accounting, changes in the fair value of the interest rate swap agreements are recorded in gain (loss) on derivative instruments, net in the Company’s consolidated statements of operations, rather than in accumulated other comprehensive income (loss) (“AOCI”). Also, net interest paid or received under the interest rate swaps, which up through December 31, 2013 was recognized in interest expense, is now recognized in gain (loss) on derivative instruments, net on the Company's consolidated statements of operations. The interest rate swaps continue to be reported as derivative assets or derivative liabilities on the Company’s consolidated balance sheets at their fair value. | ||
As long as the forecasted transactions that were being hedged (i.e., rollovers of the Company’s repurchase agreement borrowings) are still expected to occur, the balance in AOCI from the interest rate swap activity up through December 31, 2013 will remain in AOCI and be recognized in the Company’s consolidated statements of operations as interest expense over the remaining term of the interest rate swaps. Refer to Note 8 - "Derivatives and Hedging Activities" for further information. | ||
The Company evaluates the terms and conditions of its holdings of swaptions, futures contracts and to-be-announced ("TBA") securities to determine if an instrument has the characteristics of an investment or should be considered a derivative under U.S. GAAP. Accordingly swaptions, futures contracts and TBAs having the characteristics of derivatives are accounted for at fair value with such changes recognized in gain (loss) on derivative instruments, net in the consolidated statements of operations. The fair value of these swaptions, futures contracts and TBAs is included in derivative assets or derivative liabilities on the consolidated balance sheets. | ||
Income Taxes | ' | |
Income Taxes | ||
The Company elected to be taxed as a REIT, commencing with the Company's taxable year ended December 31, 2009. Accordingly, the Company will generally not be 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 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 the Company's results of operations and amounts available for distribution to 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 will generally differ from net income because the determination of taxable income is based on tax regulations and not financial accounting principles. | ||
The Company has elected to treat one of its subsidiaries as a taxable REIT subsidiary (“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 would recognize interest and penalties related to uncertain tax positions, if any, as income tax expense, which would be included in general and administrative expenses. | ||
Reclassifications | ' | |
Reclassifications | ||
Certain prior period reported amounts have 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 | ||
None | ||
Recent Accounting Pronouncements Not Yet Adopted | ||
In April 2014, the Financial Accounting Standards Board issued updated guidance that changes the requirements for reporting discontinued operations. Under the new guidance, a discontinued operation is defined as a component of an entity or group of components of an entity that is disposed of or is classified as held for sale and represents a strategic shift that has (or will have) a major effect on an entity’s operations and financial results. The guidance is effective for annual periods beginning on or after December 15, 2014 and interim periods within annual periods beginning on or after December 15, 2015. Early adoption is permitted but only for disposals (or classifications as held for sale) that have not been reported in financial statements previously issued or available for issue. The new guidance is not expected to have a material impact on the Company’s consolidated financial statements. | ||
In June 2014, the Financial Accounting Standards Board issued guidance that changes the accounting for repurchase-to-maturity transactions and repurchase financing arrangements. The new guidance aligns the accounting for repurchase-to-maturity transactions and repurchase agreements executed as a repurchase financing with the accounting for other typical repurchase agreements. These transactions would all be accounted for as secured borrowings. The guidance eliminates sale accounting for repurchase-to-maturity transactions and supersedes the guidance under which a transfer of a financial asset and a contemporaneous repurchase financing could be accounted for on a combined basis as a forward agreement, which has resulted in outcomes referred to as off-balance-sheet accounting. In addition, the guidance requires additional disclosures. The guidance is effective for the first interim or annual period beginning after December 15, 2014. Earlier application for a public company is prohibited. The new guidance is not expected to have a material impact on the Company’s consolidated financial statements. |
Variable_Interest_Entities_Tab
Variable Interest Entities (Tables) | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||
Variable Interest Entity, Not Primary Beneficiary | ' | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ' | ||||||||||||||||||||
Summary of Assets and Liabilities of Variable Interest Entities | ' | ||||||||||||||||||||
At September 30, 2014, the Company's maximum risk of loss in VIEs in which the Company is not the primary beneficiary is presented in the table below. | |||||||||||||||||||||
$ in thousands | Carrying Amount | Company's Maximum Risk of Loss | |||||||||||||||||||
Non-Agency RMBS | 3,302,080 | 3,302,080 | |||||||||||||||||||
CMBS | 3,456,610 | 3,456,610 | |||||||||||||||||||
Total | 6,758,690 | 6,758,690 | |||||||||||||||||||
Variable Interest Entity, Primary Beneficiary | ' | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ' | ||||||||||||||||||||
Summary of Assets and Liabilities of Variable Interest Entities | ' | ||||||||||||||||||||
The following table presents a summary of the assets and liabilities of the Company's consolidated securitization trusts as of September 30, 2014 and December 31, 2013. Intercompany balances have been eliminated for purposes of this presentation. | |||||||||||||||||||||
$ in thousands | 30-Sep-14 | 31-Dec-13 | |||||||||||||||||||
Residential loans, held-for-investment | 3,103,434 | 1,810,262 | |||||||||||||||||||
Accrued interest receivable | 9,969 | 5,647 | |||||||||||||||||||
Deferred costs | 4,819 | 3,386 | |||||||||||||||||||
Total assets | 3,118,222 | 1,819,295 | |||||||||||||||||||
Accrued interest and accrued expenses payable | 8,229 | 4,659 | |||||||||||||||||||
Asset-backed securities issued by securitization trusts | 2,745,940 | 1,643,741 | |||||||||||||||||||
Total liabilities | 2,754,169 | 1,648,400 | |||||||||||||||||||
Residential Loans Held-for-Investment | ' | ||||||||||||||||||||
The following table details the carrying value for residential loans held-for-investment at September 30, 2014 and December 31, 2013. | |||||||||||||||||||||
$ in thousands | 30-Sep-14 | 31-Dec-13 | |||||||||||||||||||
Principal balance | 3,069,384 | 1,783,983 | |||||||||||||||||||
Unamortized premium (discount), net | 34,882 | 27,163 | |||||||||||||||||||
Recorded investment | 3,104,266 | 1,811,146 | |||||||||||||||||||
Allowance for loan losses | (832 | ) | (884 | ) | |||||||||||||||||
Carrying value | 3,103,434 | 1,810,262 | |||||||||||||||||||
The following table summarizes residential loans held-for-investment at September 30, 2014 by year of origination. | |||||||||||||||||||||
$ in thousands | 2014 | 2013 | 2012 | 2009 | 2008 | 2007 | Total | ||||||||||||||
Portfolio Characteristics: | |||||||||||||||||||||
Number of Loans(1) | 596 | 2,772 | 599 | 7 | 20 | 19 | 4,013 | ||||||||||||||
Current Principal Balance | 430,494 | 2,107,998 | 493,616 | 3,018 | 19,150 | 15,108 | 3,069,384 | ||||||||||||||
Net Weighted Average Coupon Rate | 3.95 | % | 3.56 | % | 3.5 | % | 3.71 | % | 5.1 | % | 4.66 | % | 3.62 | % | |||||||
Weighted Average Maturity (years) | 29.55 | 28.73 | 28.28 | 24.66 | 23.84 | 22.77 | 28.71 | ||||||||||||||
Current Performance: | |||||||||||||||||||||
Current | 429,941 | 2,107,998 | 492,333 | 3,018 | 19,150 | 15,108 | 3,067,548 | ||||||||||||||
30 Days Delinquent | 553 | — | 1,283 | — | — | — | 1,836 | ||||||||||||||
60 Days Delinquent | — | — | — | — | — | — | — | ||||||||||||||
90+ Days Delinquent | — | — | — | — | — | — | — | ||||||||||||||
Bankruptcy/Foreclosure | — | — | — | — | — | — | — | ||||||||||||||
Total | 430,494 | 2,107,998 | 493,616 | 3,018 | 19,150 | 15,108 | 3,069,384 | ||||||||||||||
(1) None for 2011 and 2010 | |||||||||||||||||||||
Five Largest Geographic Concentrations of Residential Loans | ' | ||||||||||||||||||||
The following table summarizes the geographic concentrations of residential loans held-for-investment at September 30, 2014 based on principal balance outstanding. | |||||||||||||||||||||
State | Percent | ||||||||||||||||||||
California | 51.8 | % | |||||||||||||||||||
Illinois | 5 | % | |||||||||||||||||||
New York | 4.4 | % | |||||||||||||||||||
Massachusetts | 3.9 | % | |||||||||||||||||||
Texas | 3.4 | % | |||||||||||||||||||
Other states (none greater than 4%) | 31.5 | % | |||||||||||||||||||
Total | 100 | % | |||||||||||||||||||
Future Minimum Annual Principal Payments Under Residential Loans, Held for Investments | ' | ||||||||||||||||||||
The following table presents future contractual minimum annual principal payments of residential loans held-for-investment at September 30, 2014. | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Scheduled Principal | 30-Sep-14 | ||||||||||||||||||||
Within one year | 56,024 | ||||||||||||||||||||
One to three years | 118,854 | ||||||||||||||||||||
Three to five years | 129,552 | ||||||||||||||||||||
Greater than or equal to five years | 2,764,954 | ||||||||||||||||||||
Total | 3,069,384 | ||||||||||||||||||||
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, 2014. | |||||||||||||||||||||
$ in thousands | 30-Sep-14 | ||||||||||||||||||||
Balance at beginning of period | (884 | ) | |||||||||||||||||||
Charge-offs, net | — | ||||||||||||||||||||
Reduction in provision for loan losses | 52 | ||||||||||||||||||||
Balance at end of period | (832 | ) | |||||||||||||||||||
Carrying Value of Assets Backed Securities Issued | ' | ||||||||||||||||||||
The asset-backed securities are collateralized by residential loans held in the securitization trusts as summarized in the following table at September 30, 2014. | |||||||||||||||||||||
ABS | Residential loans | ||||||||||||||||||||
$ in thousands | Outstanding | Held as Collateral | |||||||||||||||||||
Principal balance | 2,720,182 | 3,069,384 | |||||||||||||||||||
Unamortized premium | 22,075 | 43,730 | |||||||||||||||||||
Unamortized discount | (11,377 | ) | (8,848 | ) | |||||||||||||||||
Interest-only securities (amortized cost) | 15,060 | — | |||||||||||||||||||
Allowance for loan losses | — | (832 | ) | ||||||||||||||||||
Carrying value | 2,745,940 | 3,103,434 | |||||||||||||||||||
Range of weighted average interest rates | 2.8% - 4.0% | ||||||||||||||||||||
Number of securitization trusts consolidated | 9 | ||||||||||||||||||||
Principal Repayment of Mortgage Loans | ' | ||||||||||||||||||||
The following table presents the estimated principal repayment schedule of asset-backed securities issued by securitization trusts at September 30, 2014 based on estimated cash flows of the underlying residential mortgage loans, as adjusted for projected prepayments and losses on such loans. The estimated principal repayments may differ from actual amounts to the extent prepayments and/or loan losses vary. | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Estimated principal repayment | 30-Sep-14 | ||||||||||||||||||||
Within one year | 325,437 | ||||||||||||||||||||
One to three years | 546,744 | ||||||||||||||||||||
Three to five years | 428,676 | ||||||||||||||||||||
Greater than or equal to five years | 1,419,325 | ||||||||||||||||||||
Total | 2,720,182 | ||||||||||||||||||||
Variable Interest Entity, New Primary Beneficiary | ' | ||||||||||||||||||||
Variable Interest Entity [Line Items] | ' | ||||||||||||||||||||
Summary of Assets and Liabilities of Variable Interest Entities | ' | ||||||||||||||||||||
During the nine months ended September 30, 2014, the Company invested in and consolidated four new securitization trusts. The following table presents the balances of the assets and liabilities of the newly consolidated securitization trusts before consolidation into the Company. The current period activity for the securitization trusts is reflected in the Company’s consolidated financial statements. | |||||||||||||||||||||
$ in thousands | 2014 | ||||||||||||||||||||
Residential loans, held-for-investment | 1,417,863 | ||||||||||||||||||||
Accrued interest receivable | 4,674 | ||||||||||||||||||||
Total assets | 1,422,537 | ||||||||||||||||||||
Accrued interest and accrued expenses payable | 4,674 | ||||||||||||||||||||
Asset-backed securities issued by securitization trusts | 1,417,863 | ||||||||||||||||||||
Total liabilities | 1,422,537 | ||||||||||||||||||||
MortgageBacked_Securities_Tabl
Mortgage-Backed Securities (Tables) | 9 Months Ended | ||||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | ' | ||||||||||||||||||||||||||
Summary of Investment Portfolio | ' | ||||||||||||||||||||||||||
The following tables present certain information about the Company’s MBS portfolio as of September 30, 2014 and December 31, 2013. | |||||||||||||||||||||||||||
September 30, 2014 | |||||||||||||||||||||||||||
$ 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 | 1,299,392 | 64,705 | 1,364,097 | 25,856 | 1,389,953 | 4.05 | % | 2.55 | % | 2.59 | % | ||||||||||||||||
30 year fixed-rate | 4,583,250 | 308,930 | 4,892,180 | 8,936 | 4,901,116 | 4.3 | % | 2.9 | % | 2.95 | % | ||||||||||||||||
ARM* | 519,631 | 8,752 | 528,383 | 4,497 | 532,880 | 2.85 | % | 2.31 | % | 2.3 | % | ||||||||||||||||
Hybrid ARM | 2,596,919 | 38,712 | 2,635,631 | 14,690 | 2,650,321 | 2.77 | % | 2.39 | % | 2.35 | % | ||||||||||||||||
Total Agency pass-through | 8,999,192 | 421,099 | 9,420,291 | 53,979 | 9,474,270 | 3.74 | % | 2.67 | % | 2.7 | % | ||||||||||||||||
Agency-CMO(4) | 1,876,484 | (1,413,263 | ) | 463,221 | (9,473 | ) | 453,748 | 2.42 | % | 4.42 | % | 3.03 | % | ||||||||||||||
Non-Agency RMBS(5)(6) | 3,805,256 | (603,732 | ) | 3,201,524 | 100,556 | 3,302,080 | 3.68 | % | 3.92 | % | 4.44 | % | |||||||||||||||
GSE CRT(7) | 570,500 | 26,549 | 597,049 | 13,277 | 610,326 | 4.82 | % | 4.02 | % | 3.91 | % | ||||||||||||||||
CMBS(8) | 3,300,260 | 56,880 | 3,357,140 | 99,470 | 3,456,610 | 4.82 | % | 4.48 | % | 4.5 | % | ||||||||||||||||
Total | 18,551,692 | (1,512,467 | ) | 17,039,225 | 257,809 | 17,297,034 | 3.78 | % | 3.82 | % | 3.4 | % | |||||||||||||||
* Adjustable-rate mortgage ("ARM") | |||||||||||||||||||||||||||
-1 | Net weighted average coupon (“WAC”) as of September 30, 2014 is presented net of servicing and other fees. | ||||||||||||||||||||||||||
-2 | Period-end weighted average yield is based on amortized cost as of September 30, 2014 and incorporates future prepayment and loss assumptions. | ||||||||||||||||||||||||||
-3 | Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. | ||||||||||||||||||||||||||
-4 | Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities which represent 28.7% of the balance based on fair value. | ||||||||||||||||||||||||||
-5 | Non-Agency RMBS held by the Company is 55.9% variable rate, 37.2% fixed rate, and 6.9% floating rate based on fair value. | ||||||||||||||||||||||||||
-6 | Of the total discount in non-Agency RMBS, $387.2 million is non-accretable. | ||||||||||||||||||||||||||
-7 | GSE CRT are general obligations of Fannie Mae or Freddie Mac that are structured to provide credit protection to the GSE issuer with respect to defaults and other credit events within reference pools of residential mortgage loans that collateralize MBS issued and guaranteed by such GSE. | ||||||||||||||||||||||||||
-8 | CMBS includes commercial real estate mezzanine loan pass-through certificates which represent 1.4% of the balance based on fair value. | ||||||||||||||||||||||||||
December 31, 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 | 1,637,988 | 83,799 | 1,721,787 | 22,494 | 1,744,281 | 4.02 | % | 2.54 | % | 2.61 | % | ||||||||||||||||
30 year fixed-rate | 6,494,723 | 435,680 | 6,930,403 | (228,250 | ) | 6,702,153 | 4.11 | % | 2.96 | % | 3.13 | % | |||||||||||||||
ARM | 251,693 | 992 | 252,685 | 597 | 253,282 | 2.8 | % | 2.62 | % | 2.41 | % | ||||||||||||||||
Hybrid ARM | 1,764,472 | 9,470 | 1,773,942 | (3,384 | ) | 1,770,558 | 2.69 | % | 2.46 | % | 2.06 | % | |||||||||||||||
Total Agency pass-through | 10,148,876 | 529,941 | 10,678,817 | (208,543 | ) | 10,470,274 | 3.82 | % | 2.8 | % | 2.9 | % | |||||||||||||||
Agency-CMO(4) | 1,532,474 | (1,051,777 | ) | 480,697 | (6,183 | ) | 474,514 | 2.76 | % | 3.82 | % | 3.47 | % | ||||||||||||||
Non-Agency RMBS(5)(6) | 4,217,230 | (640,797 | ) | 3,576,433 | 30,895 | 3,607,328 | 3.72 | % | 2.8 | % | 4.63 | % | |||||||||||||||
GSE CRT | 144,500 | 22,163 | 166,663 | 1,318 | 167,981 | 7.13 | % | 5.17 | % | 5.85 | % | ||||||||||||||||
CMBS(7) | 4,630,363 | (2,032,945 | ) | 2,597,418 | 31,142 | 2,628,560 | 3.38 | % | 4.62 | % | 4.51 | % | |||||||||||||||
Total | 20,673,443 | (3,173,415 | ) | 17,500,028 | (151,371 | ) | 17,348,657 | 3.63 | % | 3.3 | % | 3.51 | % | ||||||||||||||
-1 | Net WAC as of December 31, 2013 is presented net of servicing and other fees. | ||||||||||||||||||||||||||
-2 | Period-end weighted average yield based on amortized cost as of December 31, 2013 incorporates future prepayment and loss assumptions. | ||||||||||||||||||||||||||
-3 | Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. | ||||||||||||||||||||||||||
-4 | Agency-CMO includes interest-only securities, which represent 25.0% of the balance based on fair value. | ||||||||||||||||||||||||||
-5 | Non-Agency RMBS held by the Company is 61.1% variable rate, 33.9% fixed rate, and 5.0% floating rate based on fair value. | ||||||||||||||||||||||||||
-6 | Of the total discount in non-Agency RMBS, $438.1 million is non-accretable. | ||||||||||||||||||||||||||
-7 | CMBS includes interest-only securities and commercial real estate mezzanine loan pass-through certificates which represent 7.5% and 1.0% of the balance based on fair value, respectively. | ||||||||||||||||||||||||||
Components of Non-Agency RMBS Portfolio by Asset Type | ' | ||||||||||||||||||||||||||
The following table summarizes the Company's non-Agency RMBS portfolio by asset type as of September 30, 2014 and December 31, 2013, respectively: | |||||||||||||||||||||||||||
$ in thousands | 30-Sep-14 | % of Non-Agency | 31-Dec-13 | % of Non-Agency | |||||||||||||||||||||||
Re-REMIC | 1,181,510 | 35.8 | % | 1,444,376 | 40 | % | |||||||||||||||||||||
Prime | 1,033,442 | 31.3 | % | 1,336,821 | 37.1 | % | |||||||||||||||||||||
Alt-A | 734,708 | 22.2 | % | 801,919 | 22.2 | % | |||||||||||||||||||||
Subprime/reperforming | 352,420 | 10.7 | % | 24,212 | 0.7 | % | |||||||||||||||||||||
Total Non-Agency | 3,302,080 | 100 | % | 3,607,328 | 100 | % | |||||||||||||||||||||
Components of Senior Re-REMIC at Fair Value | ' | ||||||||||||||||||||||||||
The following table summarizes the credit enhancement provided to the Company's re-securitization of real estate mortgage investment conduit ("Re-REMIC") holdings as of September 30, 2014 and December 31, 2013: | |||||||||||||||||||||||||||
Percentage of Re-REMIC Holdings at Fair Value | |||||||||||||||||||||||||||
Re-REMIC Subordination(1) | 30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||||
0% - 10% | 5.8 | % | 4.8 | % | |||||||||||||||||||||||
10% - 20% | 3.9 | % | 3.5 | % | |||||||||||||||||||||||
20% - 30% | 13.9 | % | 14.7 | % | |||||||||||||||||||||||
30% - 40% | 26.2 | % | 25.2 | % | |||||||||||||||||||||||
40% - 50% | 32.6 | % | 38.6 | % | |||||||||||||||||||||||
50% - 60% | 13.7 | % | 8.5 | % | |||||||||||||||||||||||
60% - 70% | 3.9 | % | 4.7 | % | |||||||||||||||||||||||
Total | 100 | % | 100 | % | |||||||||||||||||||||||
-1 | Subordination refers to the credit enhancement provided to the Re-REMIC tranche held by the Company by any junior Re-REMIC tranche or tranches in a resecuritization. This figure reflects the percentage of the balance of the underlying securities represented by any junior tranche or tranches at the time of resecuritization. Generally, principal losses on the underlying securities in excess of the subordination amount would result in principal losses on the Re-REMIC tranche held by the Company. | ||||||||||||||||||||||||||
Components of Carrying Value of Investment Portfolio | ' | ||||||||||||||||||||||||||
The components of the carrying value of the Company’s MBS portfolio at September 30, 2014 and December 31, 2013 are presented below: | |||||||||||||||||||||||||||
$ in thousands | 30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||||
Principal balance | 18,551,692 | 20,673,443 | |||||||||||||||||||||||||
Unamortized premium | 559,075 | 646,189 | |||||||||||||||||||||||||
Unamortized discount | (2,071,542 | ) | (3,819,604 | ) | |||||||||||||||||||||||
Gross unrealized gains | 413,031 | 291,725 | |||||||||||||||||||||||||
Gross unrealized losses | (155,222 | ) | (443,096 | ) | |||||||||||||||||||||||
Fair value | 17,297,034 | 17,348,657 | |||||||||||||||||||||||||
Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification | ' | ||||||||||||||||||||||||||
The following table summarizes the Company’s MBS portfolio according to estimated weighted average life classifications as of September 30, 2014 and December 31, 2013: | |||||||||||||||||||||||||||
$ in thousands | 30-Sep-14 | 31-Dec-13 | |||||||||||||||||||||||||
Less than one year | 235,268 | 101,251 | |||||||||||||||||||||||||
Greater than one year and less than five years | 6,821,502 | 5,958,852 | |||||||||||||||||||||||||
Greater than or equal to five years | 10,240,264 | 11,288,554 | |||||||||||||||||||||||||
Total | 17,297,034 | 17,348,657 | |||||||||||||||||||||||||
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 securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2014 and December 31, 2013: | |||||||||||||||||||||||||||
September 30, 2014 | |||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||
$ in thousands | Fair | Unrealized | Number | Fair | Unrealized | Number | Fair | Unrealized | Number | ||||||||||||||||||
Value | Losses | of | Value | Losses | of | Value | Losses | of | |||||||||||||||||||
Securities | Securities | Securities | |||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||
15 year fixed-rate | 12,855 | (45 | ) | 2 | 118,792 | (2,339 | ) | 7 | 131,647 | (2,384 | ) | 9 | |||||||||||||||
30 year fixed-rate | 124,596 | (312 | ) | 9 | 2,012,239 | (83,829 | ) | 74 | 2,136,835 | (84,141 | ) | 83 | |||||||||||||||
ARM | 24,158 | (157 | ) | 1 | 13,011 | (84 | ) | 2 | 37,169 | (241 | ) | 3 | |||||||||||||||
Hybrid ARM | 886,351 | (2,490 | ) | 43 | 27,474 | (330 | ) | 2 | 913,825 | (2,820 | ) | 45 | |||||||||||||||
Total Agency pass-through | 1,047,960 | (3,004 | ) | 55 | 2,171,516 | (86,582 | ) | 85 | 3,219,476 | (89,586 | ) | 140 | |||||||||||||||
Agency-CMO | 164,970 | (7,423 | ) | 20 | 173,999 | (12,446 | ) | 10 | 338,969 | (19,869 | ) | 30 | |||||||||||||||
Non-Agency RMBS | 437,793 | (4,871 | ) | 32 | 344,122 | (13,559 | ) | 20 | 781,915 | (18,430 | ) | 52 | |||||||||||||||
GSE CRT | 224,035 | (10,921 | ) | 8 | — | — | — | 224,035 | (10,921 | ) | 8 | ||||||||||||||||
CMBS | 799,379 | (6,613 | ) | 57 | 371,303 | (9,803 | ) | 35 | 1,170,682 | (16,416 | ) | 92 | |||||||||||||||
Total | 2,674,137 | (32,832 | ) | 172 | 3,060,940 | (122,390 | ) | 150 | 5,735,077 | (155,222 | ) | 322 | |||||||||||||||
December 31, 2013 | |||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||
$ in thousands | Fair | Unrealized | Number | Fair | Unrealized | Number | Fair | Unrealized | Number | ||||||||||||||||||
Value | Losses | of | Value | Losses | of | Value | Losses | of | |||||||||||||||||||
Securities | Securities | Securities | |||||||||||||||||||||||||
Agency RMBS: | |||||||||||||||||||||||||||
15 year fixed-rate | 431,527 | (4,964 | ) | 18 | 11,100 | (259 | ) | 1 | 442,627 | (5,223 | ) | 19 | |||||||||||||||
30 year fixed-rate | 3,710,679 | (228,167 | ) | 126 | 641,259 | (56,754 | ) | 27 | 4,351,938 | (284,921 | ) | 153 | |||||||||||||||
ARM | 94,447 | (968 | ) | 7 | — | — | — | 94,447 | (968 | ) | 7 | ||||||||||||||||
Hybrid ARM | 1,129,488 | (9,715 | ) | 48 | — | — | — | 1,129,488 | (9,715 | ) | 48 | ||||||||||||||||
Total Agency pass-through | 5,366,141 | (243,814 | ) | 199 | 652,359 | (57,013 | ) | 28 | 6,018,500 | (300,827 | ) | 227 | |||||||||||||||
Agency-CMO | 311,935 | (16,599 | ) | 13 | 8,883 | (3,736 | ) | 4 | 320,818 | (20,335 | ) | 17 | |||||||||||||||
Non-Agency RMBS | 1,307,036 | (58,326 | ) | 76 | 91,651 | (1,726 | ) | 8 | 1,398,687 | (60,052 | ) | 84 | |||||||||||||||
GSE CRT | — | — | — | — | — | — | — | — | — | ||||||||||||||||||
CMBS | 1,118,270 | (61,882 | ) | 84 | — | — | — | 1,118,270 | (61,882 | ) | 84 | ||||||||||||||||
Total | 8,103,382 | (380,621 | ) | 372 | 752,893 | (62,475 | ) | 40 | 8,856,275 | (443,096 | ) | 412 | |||||||||||||||
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, 2014 and 2013. | |||||||||||||||||||||||||||
$ in thousands | Three Months | Three Months | Nine Months | Nine Months | |||||||||||||||||||||||
ended | ended | ended | ended | ||||||||||||||||||||||||
September 30, 2014 | September 30, 2013 | September 30, 2014 | September 30, 2013 | ||||||||||||||||||||||||
Accumulated other comprehensive income from investment securities: | |||||||||||||||||||||||||||
Unrealized gain (loss) on MBS at beginning of period | 323,803 | (257,402 | ) | (151,370 | ) | 523,725 | |||||||||||||||||||||
Unrealized gain (loss) on MBS, net | (65,994 | ) | 75,030 | 409,179 | (706,097 | ) | |||||||||||||||||||||
Balance at the end of period | 257,809 | (182,372 | ) | 257,809 | (182,372 | ) | |||||||||||||||||||||
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, 2014 and 2013. | |||||||||||||||||||||||||||
For the three months ended September 30, 2014 | |||||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | ||||||||||||||||||||||||
Interest | Amortization)/Discount | Income | |||||||||||||||||||||||||
Accretion | |||||||||||||||||||||||||||
Agency | 98,106 | (29,371 | ) | 68,735 | |||||||||||||||||||||||
Non-Agency | 32,313 | 2,971 | 35,284 | ||||||||||||||||||||||||
GSE CRT | 6,274 | (953 | ) | 5,321 | |||||||||||||||||||||||
CMBS | 40,164 | (5,434 | ) | 34,730 | |||||||||||||||||||||||
Other | (27 | ) | — | (27 | ) | ||||||||||||||||||||||
Total | 176,830 | (32,787 | ) | 144,043 | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||
GSE CRT | — | — | — | ||||||||||||||||||||||||
CMBS | 39,167 | (10,050 | ) | 29,117 | |||||||||||||||||||||||
Other | (59 | ) | — | (59 | ) | ||||||||||||||||||||||
Total | 205,272 | (47,733 | ) | 157,539 | |||||||||||||||||||||||
For the nine months ended September 30, 2014 | |||||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | ||||||||||||||||||||||||
Interest | Amortization)/Discount | Income | |||||||||||||||||||||||||
Accretion | |||||||||||||||||||||||||||
Agency | 308,683 | (80,099 | ) | 228,584 | |||||||||||||||||||||||
Non-Agency | 102,785 | 7,639 | 110,424 | ||||||||||||||||||||||||
GSE CRT | 15,643 | (2,314 | ) | 13,329 | |||||||||||||||||||||||
CMBS | 120,290 | (24,996 | ) | 95,294 | |||||||||||||||||||||||
Other | 71 | — | 71 | ||||||||||||||||||||||||
Total | 547,472 | (99,770 | ) | 447,702 | |||||||||||||||||||||||
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 | ||||||||||||||||||||||||
GSE CRT | — | — | — | ||||||||||||||||||||||||
CMBS | 101,487 | (18,502 | ) | 82,985 | |||||||||||||||||||||||
Other | 84 | — | 84 | ||||||||||||||||||||||||
Total | 631,731 | (145,112 | ) | 486,619 | |||||||||||||||||||||||
Commercial_Loans_HeldforInvest1
Commercial Loans Held-for-Investment (Tables) | 9 Months Ended | ||||||||||||||
Sep. 30, 2014 | |||||||||||||||
Receivables [Abstract] | ' | ||||||||||||||
Schedule of Commercial Loans Held-for-Investment | ' | ||||||||||||||
September 30, 2014 | |||||||||||||||
$ in thousands | Number of | Principal | Unamortized (fees)/ | Carrying | Unfunded | ||||||||||
loans | Balance | costs, net | value | commitment | |||||||||||
First mortgage loan | 1 | 19,813 | 52 | 19,865 | 1,788 | ||||||||||
Subordinate interests: | |||||||||||||||
Mezzanine loans | 4 | 69,525 | (113 | ) | 69,412 | 5,475 | |||||||||
Other (1) | 2 | 55,430 | — | 55,430 | — | ||||||||||
Total | 7 | 144,768 | (61 | ) | 144,707 | 7,263 | |||||||||
(1) Other subordinate interests include a B-note and a preferred equity investment. | |||||||||||||||
December 31, 2013 | |||||||||||||||
$ in thousands | Number of | Principal | Unamortized (fees)/ | Carrying | Unfunded | ||||||||||
loans | Balance | costs, net | value | commitment | |||||||||||
First mortgage loan | 1 | 20,000 | 88 | 20,088 | 2,000 | ||||||||||
Subordinate interests: | |||||||||||||||
Mezzanine loans | 3 | 44,624 | (113 | ) | 44,511 | 15,376 | |||||||||
Total | 4 | 64,624 | (25 | ) | 64,599 | 17,376 | |||||||||
Borrowings_Tables
Borrowings (Tables) | 9 Months Ended | |||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||
Debt Disclosure [Abstract] | ' | |||||||||||||||||
Schedule of Borrowings | ' | |||||||||||||||||
The following table summarizes certain characteristics of the Company’s borrowings at September 30, 2014 and December 31, 2013: | ||||||||||||||||||
$ in thousands | 30-Sep-14 | 31-Dec-13 | ||||||||||||||||
Weighted | Weighted | |||||||||||||||||
Weighted | Average | Weighted | Average | |||||||||||||||
Average | Remaining | Average | Remaining | |||||||||||||||
Amount | Interest | Maturity | Amount | Interest | Maturity | |||||||||||||
Outstanding | Rate | (days) | Outstanding | Rate | (days) | |||||||||||||
Repurchase Agreements: | ||||||||||||||||||
Agency RMBS | 8,693,555 | 0.32 | % | 18 | 10,281,154 | 0.38 | % | 19 | ||||||||||
Non-Agency RMBS | 2,830,368 | 1.52 | % | 26 | 3,066,356 | 1.55 | % | 33 | ||||||||||
GSE CRT | 463,828 | 1.53 | % | 39 | 21,708 | 1.5 | % | 42 | ||||||||||
CMBS | 1,584,138 | 1.29 | % | 24 | 2,082,457 | 1.39 | % | 23 | ||||||||||
Secured Loans | 1,250,000 | 0.38 | % | 3,564 | — | — | % | — | ||||||||||
Exchangeable Senior Notes | 400,000 | 5 | % | 1,262 | 400,000 | 5 | % | 1,535 | ||||||||||
Total | 15,221,889 | 0.81 | % | 345 | 15,851,675 | 0.86 | % | 60 | ||||||||||
Schedule of Repurchase Agreements by Counterparties | ' | |||||||||||||||||
The following tables summarize certain characteristics of the Company’s repurchase agreements at September 30, 2014 and December 31, 2013: | ||||||||||||||||||
30-Sep-14 | ||||||||||||||||||
$ in thousands | Amount Outstanding | Percent of Total Amount Outstanding | Company MBS Held as Collateral | |||||||||||||||
Repurchase Agreement Counterparties | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 1,542,709 | 11.3 | % | 1,951,193 | (1 | ) | ||||||||||||
South Street Securities LLC | 988,387 | 7.3 | % | 1,038,764 | ||||||||||||||
Citigroup Global Markets Inc. | 943,175 | 6.9 | % | 1,099,319 | ||||||||||||||
HSBC Securities (USA) Inc | 780,594 | 5.8 | % | 802,964 | ||||||||||||||
Banc of America Securities LLC | 752,102 | 5.5 | % | 825,777 | ||||||||||||||
Pierpont Securities LLC | 738,376 | 5.4 | % | 767,321 | ||||||||||||||
RBS Securities Inc. | 705,200 | 5.2 | % | 848,680 | ||||||||||||||
Royal Bank of Canada | 676,135 | 5 | % | 797,229 | ||||||||||||||
Wells Fargo Securities, LLC | 651,563 | 4.8 | % | 785,225 | ||||||||||||||
Industrial and Commercial Bank of China Financial Services LLC | 645,590 | 4.8 | % | 677,318 | ||||||||||||||
Mitsubishi UFJ Securities (USA), Inc. | 634,958 | 4.7 | % | 666,246 | ||||||||||||||
Morgan Stanley & Co. Incorporated | 614,221 | 4.5 | % | 658,450 | ||||||||||||||
ING Financial Market LLC | 595,700 | 4.4 | % | 638,423 | ||||||||||||||
J.P. Morgan Securities LLC | 595,497 | 4.4 | % | 694,434 | (2 | ) | ||||||||||||
BNP Paribas Securities Corp. | 572,129 | 4.2 | % | 644,301 | ||||||||||||||
Scotia Capital | 529,024 | 3.9 | % | 550,252 | ||||||||||||||
Deutsche Bank Securities Inc. | 401,722 | 3 | % | 450,232 | ||||||||||||||
KGS-Alpha Capital Markets, L.P. | 389,042 | 2.9 | % | 410,430 | ||||||||||||||
Goldman, Sachs & Co. | 175,191 | 1.3 | % | 184,041 | ||||||||||||||
Barclays Capital Inc. | 138,250 | 1 | % | 183,799 | ||||||||||||||
Guggenheim Liquidity Services, LLC | 123,095 | 0.9 | % | 129,635 | ||||||||||||||
Cantor Fitzgerald & Co. | 105,484 | 0.8 | % | 111,244 | ||||||||||||||
Daiwa Capital Markets America Inc | 81,921 | 0.6 | % | 86,638 | ||||||||||||||
Nomura Securities International, Inc. | 67,429 | 0.5 | % | 72,124 | ||||||||||||||
TD Securities | 67,192 | 0.5 | % | 70,457 | ||||||||||||||
Mizuho Securities USA Inc. | 57,203 | 0.4 | % | 68,863 | ||||||||||||||
Total | 13,571,889 | 100 | % | 15,213,359 | ||||||||||||||
(1) Includes $282.9 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
(2) Includes $41.2 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
31-Dec-13 | ||||||||||||||||||
$ in thousands | Amount Outstanding | Percent of Total Amount Outstanding | Company MBS Held as Collateral | |||||||||||||||
Repurchase Agreement Counterparties | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 1,809,896 | 11.8 | % | 2,203,883 | (1 | ) | ||||||||||||
South Street Securities LLC | 1,236,812 | 8 | % | 1,286,384 | ||||||||||||||
Banc of America Securities LLC | 1,043,689 | 6.8 | % | 1,146,151 | ||||||||||||||
Citigroup Global Markets Inc. | 1,027,210 | 6.6 | % | 1,164,162 | ||||||||||||||
J.P. Morgan Securities LLC | 875,201 | 5.7 | % | 1,001,116 | ||||||||||||||
Wells Fargo Securities, LLC | 857,824 | 5.6 | % | 996,151 | ||||||||||||||
Pierpont Securities LLC | 791,572 | 5.1 | % | 824,184 | ||||||||||||||
HSBC Securities (USA) Inc. | 787,462 | 5.1 | % | 809,230 | ||||||||||||||
RBS Securities Inc. | 720,457 | 4.7 | % | 854,978 | ||||||||||||||
Royal Bank of Canada | 710,705 | 4.6 | % | 850,870 | ||||||||||||||
Morgan Stanley & Co. Incorporated | 691,599 | 4.5 | % | 758,761 | ||||||||||||||
ING Financial Market LLC | 676,644 | 4.4 | % | 718,086 | ||||||||||||||
Mitsubishi UFJ Securities (USA), Inc. | 625,703 | 4 | % | 656,046 | ||||||||||||||
Nomura Securities International, Inc. | 578,265 | 3.7 | % | 608,193 | ||||||||||||||
Industrial and Commercial Bank of China Financial Services LLC | 493,906 | 3.2 | % | 518,775 | ||||||||||||||
BNP Paribas Securities Corp. | 471,372 | 3.1 | % | 499,106 | ||||||||||||||
Scotia Capital | 443,534 | 2.9 | % | 461,066 | ||||||||||||||
Deutsche Bank Securities Inc. | 423,405 | 2.7 | % | 468,939 | ||||||||||||||
Goldman, Sachs & Co. | 404,094 | 2.6 | % | 423,598 | ||||||||||||||
KGS-Alpha Capital Markets, L.P. | 202,677 | 1.3 | % | 214,033 | ||||||||||||||
Barclays Capital Inc. | 156,904 | 1 | % | 165,605 | ||||||||||||||
TD Securities | 155,099 | 1 | % | 163,512 | ||||||||||||||
Daiwa Capital Markets America Inc. | 112,309 | 0.7 | % | 117,551 | ||||||||||||||
Cantor Fitzgerald & Co. | 68,261 | 0.4 | % | 71,910 | ||||||||||||||
Mizuho Securities USA Inc. | 53,962 | 0.3 | % | 62,423 | ||||||||||||||
Guggenheim Liquidity Services, LLC | 33,113 | 0.2 | % | 34,664 | ||||||||||||||
Total | 15,451,675 | 100 | % | 17,079,377 | ||||||||||||||
(1) Includes $133.8 million of MBS held as collateral which are eliminated in consolidation. |
Derivatives_and_Hedging_Activi1
Derivatives and Hedging Activities (Tables) | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | ||||||||||||||||||||
Open CDS Sold by Company | ' | ||||||||||||||||||||
At September 30, 2014 and December 31, 2013, the open CDS sold by the Company is summarized as follows: | |||||||||||||||||||||
$ in thousand | 30-Sep-14 | 31-Dec-13 | |||||||||||||||||||
Fair value amount | 469 | 654 | |||||||||||||||||||
Notional amount | 40,274 | 51,823 | |||||||||||||||||||
Maximum potential amount of future undiscounted payments | 40,274 | 51,823 | |||||||||||||||||||
Recourse provisions with third parties | — | — | |||||||||||||||||||
Collateral held by counterparty | 6,219 | 7,979 | |||||||||||||||||||
Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges | ' | ||||||||||||||||||||
As of September 30, 2014, the Company had the following interest rate swaps outstanding: | |||||||||||||||||||||
$ in thousands | Notional | Maturity Date | Fixed Interest Rate | ||||||||||||||||||
Counterparty | in Contract | ||||||||||||||||||||
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 | % | |||||||||||||||||
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 | % | |||||||||||||||||
Citibank, N.A. CME Clearing House | (3 | ) | -4 | 300,000 | 2/5/21 | 2.5 | % | ||||||||||||||
The Royal Bank of Scotland Plc CME Clearing House | (3 | ) | -4 | 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 | (1 | ) | 550,000 | 2/24/22 | 2.45 | % | |||||||||||||||
The Royal Bank of Scotland Plc | (2 | ) | 400,000 | 3/15/23 | 2.39 | % | |||||||||||||||
UBS AG | (2 | ) | 400,000 | 3/15/23 | 2.51 | % | |||||||||||||||
HSBC Bank USA, National Association | 250,000 | 6/5/23 | 1.91 | % | |||||||||||||||||
The Royal Bank of Scotland Plc | 500,000 | 8/15/23 | 1.98 | % | |||||||||||||||||
Goldman Sachs Bank USA CME Clearing House | (4 | ) | 600,000 | 8/24/23 | 2.88 | % | |||||||||||||||
UBS AG | 250,000 | 11/15/23 | 2.23 | % | |||||||||||||||||
HSBC Bank USA, National Association | 500,000 | 12/15/23 | 2.2 | % | |||||||||||||||||
Total | 12,150,000 | 2.13 | % | ||||||||||||||||||
-1 | Forward start date of February 2015 | ||||||||||||||||||||
-2 | Forward start date of March 2015 | ||||||||||||||||||||
-3 | Forward start date of February 2016 | ||||||||||||||||||||
-4 | 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. | ||||||||||||||||||||
Outstanding Interest Rate Swaptions and Derivative Instrument Information | ' | ||||||||||||||||||||
As of September 30, 2014, the Company had the following outstanding interest rate swaptions: | |||||||||||||||||||||
$ in thousands | Option | Underlying Swap | |||||||||||||||||||
Average | Average | Average | Average | ||||||||||||||||||
Interest Rate | Fair | Months to | Notional | Fixed Pay | Receive | Term | |||||||||||||||
Swaptions | Expiration | Cost | Value | Expiration | Amount | Rate | rate | (Years) | |||||||||||||
Payer | < 6 Months | 4,688 | 186 | 4 | 500,000 | 2.96 | % | 3M Libor | 5.01 | ||||||||||||
Payer | > 6 Months | 5,640 | 2,828 | 9.1 | 550,000 | 3.29 | % | 3M Libor | 8.2 | ||||||||||||
10,328 | 3,014 | 6.7 | 1,050,000 | 3.13 | % | 6.68 | |||||||||||||||
The following table presents information with respect to the Company's derivative instruments: | |||||||||||||||||||||
$ in thousands | Notional Amount as | Additions | Settlement, | Notional Amount as | Amount of Realized | ||||||||||||||||
of January 1, 2014 | Termination, | of September 30, 2014 | Gain (Loss), net on Derivative | ||||||||||||||||||
Expiration | Instruments (excluding net interest paid or received) for the nine months ended September 30, 2014 | ||||||||||||||||||||
or Exercise | |||||||||||||||||||||
Interest Rate Swaptions | 1,150,000 | 1,050,000 | (1,150,000 | ) | 1,050,000 | (23,275 | ) | ||||||||||||||
Interest Rate Swaps | 12,800,000 | — | (650,000 | ) | 12,150,000 | 1,348 | |||||||||||||||
Purchase of TBAs | — | 591,000 | (250,000 | ) | 341,000 | 63 | |||||||||||||||
Sale of TBAs | — | 1,697,000 | (931,000 | ) | 766,000 | (4,406 | ) | ||||||||||||||
Futures Contracts | 100,000 | 1,139,600 | (989,500 | ) | 250,100 | (8,937 | ) | ||||||||||||||
Currency Forward Contracts | — | 71,864 | (33,756 | ) | 38,108 | 330 | |||||||||||||||
Total | 14,050,000 | 4,549,464 | (4,004,256 | ) | 14,595,208 | (34,877 | ) | ||||||||||||||
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, 2014 and December 31, 2013. | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Asset Derivatives | Liability Derivatives | ||||||||||||||||||||
As of September 30, 2014 | As of December 31, 2013 | As of September 30, 2014 | As of December 31, 2013 | ||||||||||||||||||
Balance | Fair Value | Fair Value | Balance | Fair Value | Fair Value | ||||||||||||||||
Sheet | Sheet | ||||||||||||||||||||
Interest Rate Swap Asset | 68,214 | 256,449 | Interest Rate Swap Liability | 221,084 | 263,204 | ||||||||||||||||
CDS Contract | 469 | 654 | TBAs | 1,475 | — | ||||||||||||||||
Interest Rate Swaptions | 3,014 | 2,365 | |||||||||||||||||||
Futures Contracts | 1,036 | 2,591 | |||||||||||||||||||
Currency Forward Contracts | 1,080 | — | |||||||||||||||||||
TBAs | 608 | — | |||||||||||||||||||
Effect of Derivative Financial Instruments on Statement of Operations | ' | ||||||||||||||||||||
The table below presents the effect of the Company’s derivative financial instruments on the statements of operations for the three and nine months ended September 30, 2014 and 2013. | |||||||||||||||||||||
Three months ended September 30, 2014 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of gain (loss) reclassified from accumulated | Amount of gain (loss) | Location of gain | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | OCI into income | reclassified from | (loss) recognized | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | (effective portion) | accumulated OCI into | in income on | on derivative | ||||||||||||||||
hedge | (effective portion) | income | derivative | (ineffective portion) | |||||||||||||||||
(effective portion) | (ineffective portion) | ||||||||||||||||||||
Interest Rate Swaps | — | Interest Expense, Repurchase Agreements | (21,227 | ) | Gain (loss) | — | |||||||||||||||
on derivative instruments, net | |||||||||||||||||||||
Nine months ended September 30, 2014 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of gain (loss) reclassified from accumulated | Amount of gain (loss) | Location of gain | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | OCI into income | reclassified from | (loss) recognized | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | (effective portion) | accumulated OCI into | in income on | on derivative | ||||||||||||||||
hedge | (effective portion) | income | derivative | (ineffective portion) | |||||||||||||||||
(effective portion) | (ineffective portion) | ||||||||||||||||||||
Interest Rate Swaps | — | Interest Expense, Repurchase Agreements | (64,055 | ) | Gain (loss) | — | |||||||||||||||
on derivative instruments, net | |||||||||||||||||||||
Three months ended September 30, 2013 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of gain (loss) reclassified from accumulated | Amount of gain (loss) | Location of gain | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | OCI into income | reclassified from | (loss) recognized | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | (effective portion) | accumulated OCI into | in income on | on derivative | ||||||||||||||||
hedge | (effective portion) | income | derivative | (ineffective portion) | |||||||||||||||||
(effective portion) | (ineffective portion) | ||||||||||||||||||||
Interest Rate Swaps | (74,098 | ) | Interest Expense, Repurchase Agreements | (43,583 | ) | Gain (loss) | 298 | ||||||||||||||
on derivative instruments, net | |||||||||||||||||||||
Nine months ended September 30, 2013 | |||||||||||||||||||||
$ in thousands | |||||||||||||||||||||
Derivative | Amount of gain | Location of gain (loss) reclassified from accumulated | Amount of gain (loss) | Location of gain | Amount of gain (loss) | ||||||||||||||||
type for | (loss) recognized | OCI into income | reclassified from | (loss) recognized | recognized in income | ||||||||||||||||
cash flow | in OCI on derivative | (effective portion) | accumulated OCI into | in income on | on derivative | ||||||||||||||||
hedge | (effective portion) | income | derivative | (ineffective portion) | |||||||||||||||||
(effective portion) | (ineffective portion) | ||||||||||||||||||||
Interest Rate Swaps | 183,391 | Interest Expense, Repurchase Agreements | (116,553 | ) | Gain (loss) | 591 | |||||||||||||||
on derivative instruments, net | |||||||||||||||||||||
Amount of unrealized gain (loss) recognized in income on derivative | |||||||||||||||||||||
Derivative | Location of unrealized gain (loss) | Three months ended September 30, 2014 | Three months ended September 30, 2013 | ||||||||||||||||||
not designated as | recognized in income | ||||||||||||||||||||
hedging instrument | on derivative | ||||||||||||||||||||
CDS Contract | Realized and unrealized credit default swap income | (78 | ) | (175 | ) | ||||||||||||||||
Amount of unrealized gain (loss) recognized in income on derivative | |||||||||||||||||||||
Derivative | Location of unrealized gain (loss) | Nine months ended September 30, 2014 | Nine months ended September 30, 2013 | ||||||||||||||||||
not designated as | recognized in income | ||||||||||||||||||||
hedging instrument | on derivative | ||||||||||||||||||||
CDS Contract | Realized and unrealized credit default swap income | (185 | ) | (743 | ) | ||||||||||||||||
$ in thousands | Three months ended September 30, 2014 | ||||||||||||||||||||
Derivative | Realized gain (loss) on settlement, termination, expiration or exercise, net | Contractual interest expense | Unrealized gain (loss), net | Gain (loss) on derivatives, net | |||||||||||||||||
not designated as | |||||||||||||||||||||
hedging instrument | |||||||||||||||||||||
Interest Rate Swaps | 1,348 | (50,446 | ) | 47,709 | (1,389 | ) | |||||||||||||||
Interest Rate Swaptions | — | — | (2,185 | ) | (2,185 | ) | |||||||||||||||
TBAs | (2,943 | ) | — | 368 | (2,575 | ) | |||||||||||||||
Futures Contracts | 249 | — | 786 | 1,035 | |||||||||||||||||
Currency Forward Contracts | 330 | — | 1,080 | 1,410 | |||||||||||||||||
Total | (1,016 | ) | (50,446 | ) | 47,758 | (3,704 | ) | ||||||||||||||
$ in thousands | Nine months ended September 30, 2014 | ||||||||||||||||||||
Derivative | Realized gain (loss) on settlement, termination, expiration or exercise, net | Contractual interest expense | Unrealized gain (loss), net | Gain (loss) on derivatives, net | |||||||||||||||||
not designated as | |||||||||||||||||||||
hedging instrument | |||||||||||||||||||||
Interest Rate Swaps | 1,348 | (154,092 | ) | (146,116 | ) | (298,860 | ) | ||||||||||||||
Interest Rate Swaptions | (23,275 | ) | — | 13,596 | (9,679 | ) | |||||||||||||||
TBAs | (4,343 | ) | — | (867 | ) | (5,210 | ) | ||||||||||||||
Futures Contracts | (8,937 | ) | — | (1,556 | ) | (10,493 | ) | ||||||||||||||
Currency Forward Contracts | 330 | — | 1,080 | 1,410 | |||||||||||||||||
Total | (34,877 | ) | (154,092 | ) | (133,863 | ) | (322,832 | ) | |||||||||||||
$ in thousands | Three months ended September 30, 2013 | ||||||||||||||||||||
Derivative Instrument | Realized gain (loss) on settlement, termination, expiration or exercise, net | Contractual interest expense | Unrealized gain (loss), net | Gain (loss) on derivatives, net | |||||||||||||||||
Interest Rate Swaps ineffectiveness | — | — | 298 | 298 | |||||||||||||||||
Interest Rate Swaptions | 39,075 | — | (42,891 | ) | (3,816 | ) | |||||||||||||||
Futures Contracts | — | — | (3,369 | ) | (3,369 | ) | |||||||||||||||
Total | 39,075 | — | (45,962 | ) | (6,887 | ) | |||||||||||||||
$ in thousands | Nine months ended September 30, 2013 | ||||||||||||||||||||
Derivative Instrument | Realized gain (loss) on settlement, termination, expiration or exercise, net | Contractual interest expense | Unrealized gain (loss), net | Gain (loss) on derivatives, net | |||||||||||||||||
Interest Rate Swaps ineffectiveness | — | — | 591 | 591 | |||||||||||||||||
Interest Rate Swaptions | 66,234 | — | (19,032 | ) | 47,202 | ||||||||||||||||
Futures Contracts | — | — | (3,369 | ) | (3,369 | ) | |||||||||||||||
Total | 66,234 | — | (21,810 | ) | 44,424 | ||||||||||||||||
Offsetting_Assets_and_Liabilit1
Offsetting Assets and Liabilities (Tables) | 9 Months Ended | |||||||||||||||||
Sep. 30, 2014 | ||||||||||||||||||
Offsetting [Abstract] | ' | |||||||||||||||||
Offsetting of Derivative Assets | ' | |||||||||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Cash | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Assets | Instruments (1) | Collateral | |||||||||||||
Recognized | Offset in the | presented in | Received | |||||||||||||||
Assets | Consolidated | the | ||||||||||||||||
Balance | Consolidated | |||||||||||||||||
Sheets | Balance Sheets | |||||||||||||||||
Derivatives | 262,059 | — | 262,059 | (671 | ) | (48,607 | ) | 212,781 | ||||||||||
Total | 262,059 | — | 262,059 | (671 | ) | (48,607 | ) | 212,781 | ||||||||||
The following tables present information about the 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, 2014 and December 31, 2013. | ||||||||||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Assets | Instruments (1) | Received | |||||||||||||
Recognized | Offset in the | presented in | ||||||||||||||||
Assets | Consolidated | the | ||||||||||||||||
Balance | Consolidated | |||||||||||||||||
Sheets | Balance Sheets | |||||||||||||||||
Derivatives | 74,421 | — | 74,421 | (11,247 | ) | (63,174 | ) | — | ||||||||||
Total | 74,421 | — | 74,421 | (11,247 | ) | (63,174 | ) | — | ||||||||||
Offsetting of Derivative Liabilities and Repurchase Agreements | ' | |||||||||||||||||
Offsetting of Derivative Liabilities and Repurchase Agreements | ||||||||||||||||||
As of December 31, 2013 | ||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Cash | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Assets | Instruments (2)(3) | Collateral | |||||||||||||
Recognized | Offset in the | presented in | Posted (2)(4) | |||||||||||||||
Liabilities | Consolidated | the | ||||||||||||||||
Balance | Consolidated | |||||||||||||||||
Sheets | Balance Sheets | |||||||||||||||||
Derivatives | 263,204 | — | 263,204 | (263,204 | ) | — | — | |||||||||||
Repurchase Agreements | 15,451,675 | — | 15,451,675 | (15,451,675 | ) | — | — | |||||||||||
15,714,879 | — | 15,714,879 | (15,714,879 | ) | — | — | ||||||||||||
-1 | Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at September 30, 2014 and December 31, 2013, subject to a netting arrangement. | |||||||||||||||||
-2 | Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. | |||||||||||||||||
-3 | The fair value of securities pledged against the Company's borrowing under repurchase agreements was $15.2 billion and $17.1 billion at September 30, 2014 and December 31, 2013, respectively, including securities held as collateral that are eliminated in consolidation of $324.1 million and $133.8 million, respectively at September 30, 2014 and December 31, 2013. | |||||||||||||||||
-4 | Total cash received on the Company's derivatives was $35.4 million and $52.7 million at September 30, 2014 and December 31, 2013, respectively. Total non-cash collateral received on the Company's derivatives was $42.2 million and $207.0 million at September 30, 2014 and December 31, 2013, respectively. Total cash posted by the Company on its Derivatives was $28.5 million and $1.5 million at September 30, 2014 and December 31, 2013, respectively. | |||||||||||||||||
-5 | The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $1.5 billion and $0 at September 30, 2014 and December 31, 2013, respectively. | |||||||||||||||||
Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans | ||||||||||||||||||
As of September 30, 2014 | ||||||||||||||||||
Gross Amounts Not Offset in the | ||||||||||||||||||
Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Assets | Instruments (2)(3)(5) | Posted (2)(4)(5) | |||||||||||||
Recognized | Offset in the | presented in | ||||||||||||||||
Liabilities | Consolidated | the | ||||||||||||||||
Balance | Consolidated | |||||||||||||||||
Sheets | Balance Sheets | |||||||||||||||||
Derivatives | 222,559 | — | 222,559 | (222,559 | ) | — | — | |||||||||||
Repurchase Agreements | 13,571,889 | — | 13,571,889 | (13,571,889 | ) | — | — | |||||||||||
Secured Loans | 1,250,000 | — | 1,250,000 | (1,250,000 | ) | — | — | |||||||||||
15,044,448 | — | 15,044,448 | (15,044,448 | ) | — | — | ||||||||||||
Financial_Instruments_Tables
Financial Instruments (Tables) | 9 Months Ended | |||||||||||
Sep. 30, 2014 | ||||||||||||
Fair Value Disclosures [Abstract] | ' | |||||||||||
Fair Value Measured on Recurring Basis | ' | |||||||||||
The following tables present the Company's assets and liabilities measured at fair value on a recurring basis. | ||||||||||||
30-Sep-14 | ||||||||||||
Fair Value Measurements Using: | ||||||||||||
Total at | ||||||||||||
Level 1 | Level 2 | Level 3 | Fair Value | |||||||||
Assets: | ||||||||||||
Mortgage-backed securities(1) | — | 17,297,034 | — | 17,297,034 | ||||||||
Investments in unconsolidated ventures | — | — | 42,281 | 42,281 | ||||||||
Derivative assets | 1,036 | 72,916 | 469 | 74,421 | ||||||||
Total assets | 1,036 | 17,369,950 | 42,750 | 17,413,736 | ||||||||
Liabilities: | ||||||||||||
Derivative liabilities | — | 222,559 | — | 222,559 | ||||||||
Total liabilities | — | 222,559 | — | 222,559 | ||||||||
31-Dec-13 | ||||||||||||
Fair Value Measurements Using: | ||||||||||||
Total at | ||||||||||||
$ in thousands | Level 1 | Level 2 | Level 3 | Fair Value | ||||||||
Assets: | ||||||||||||
Mortgage-backed securities(1) | — | 17,348,657 | — | 17,348,657 | ||||||||
Investments in unconsolidated ventures | — | — | 44,403 | 44,403 | ||||||||
Derivative assets | 2,591 | 258,814 | 654 | 262,059 | ||||||||
Total assets | 2,591 | 17,607,471 | 45,057 | 17,655,119 | ||||||||
Liabilities: | ||||||||||||
Derivative liabilities | — | 263,204 | — | 263,204 | ||||||||
Total liabilities | — | 263,204 | — | 263,204 | ||||||||
-1 | For more detail about the fair value of the Company's MBS, refer to Note 4 - "Mortgage-Backed Securities." | |||||||||||
Fair Value on Recurring Basis Utilizing Level 3 Inputs | ' | |||||||||||
The following table provides a reconciliation of the beginning and ending fair value measurements of the Company’s investments in unconsolidated ventures for which the Company has utilized Level 3 inputs to determine fair value: | ||||||||||||
$ in thousands | 30-Sep-14 | 31-Dec-13 | ||||||||||
Balance at January 1 | 44,403 | 35,301 | ||||||||||
Purchases | 2,212 | 11,717 | ||||||||||
Sales and settlements | (9,814 | ) | (7,960 | ) | ||||||||
Total net gains/(losses) included in net income | ||||||||||||
Realized gains, net | 6,394 | 2,757 | ||||||||||
Unrealized gains/(losses), net | (914 | ) | 2,588 | |||||||||
Unrealized gains/(losses), net included in other comprehensive income | — | — | ||||||||||
Ending balance | 42,281 | 44,403 | ||||||||||
The following table shows a reconciliation of the beginning and ending fair value measurements of the Company's credit default swap ("CDS") contract, which the Company has valued utilizing Level 3 inputs: | ||||||||||||
$ in thousands | 30-Sep-14 | 31-Dec-13 | ||||||||||
Balance at January 1 | 654 | 1,519 | ||||||||||
Purchases | — | — | ||||||||||
Sales and settlements | — | — | ||||||||||
Total net gains/(losses) included in net income | ||||||||||||
Realized gains/(losses), net | — | — | ||||||||||
Unrealized gains/(losses), net | (185 | ) | (865 | ) | ||||||||
Unrealized gains/(losses), net included in other comprehensive income | — | — | ||||||||||
Ending balance | 469 | 654 | ||||||||||
Quantitative Information About Level 3 Fair Value Measurements | ' | |||||||||||
The following table summarizes significant unobservable inputs used in the fair value measurement of the Company's CDS contract: | ||||||||||||
Fair Value at | Valuation | Unobservable | Weighted | |||||||||
$ in thousands | 30-Sep-14 | Technique | Input | Range | Average | |||||||
CDS Contract | 469 | Discounted cash flow | Swap Rate | 2.39 | % | |||||||
Discount Rate | 0.74 | % | ||||||||||
Credit Spread | 0.24 | % | ||||||||||
Constant Prepayment Rate | 1.0% - 20.0% | 5.48 | % | |||||||||
Constant Default Rate | 0.6% - 100.0% | 4.19 | % | |||||||||
Loss Severity | 0.9% - 64.9% | 39.22 | % | |||||||||
Fair Value at | Valuation | Unobservable | Weighted | |||||||||
$ in thousands | 31-Dec-13 | Technique | Input | Range | Average | |||||||
CDS Contract | 654 | Discounted cash flow | Swap Rate | 2.39 | % | |||||||
Discount Rate | 0.5 | % | ||||||||||
Credit Spread | 0.25 | % | ||||||||||
Constant Prepayment Rate | 1.0% - 20.0% | 5.76 | % | |||||||||
Constant Default Rate | 0.8% - 100.0% | 4.89 | % | |||||||||
Loss Severity | 3.0% - 63.7% | 43.31 | % | |||||||||
Carrying Value and Estimated Fair Value of Financial Instruments | ' | |||||||||||
The following table presents the carrying value and estimated fair value of the Company's financial instruments that are not carried at fair value on the consolidated balance sheets, at September 30, 2014 and December 31, 2013: | ||||||||||||
30-Sep-14 | 31-Dec-13 | |||||||||||
$ in thousands | Carrying | Estimated | Carrying | Estimated | ||||||||
Value | Fair Value | Value | Fair Value | |||||||||
Financial Assets | ||||||||||||
Residential loans, held-for-investment | 3,103,434 | 3,051,565 | 1,810,262 | 1,709,385 | ||||||||
Commercial loans, held-for-investment | 144,707 | 144,707 | 64,599 | 64,599 | ||||||||
Other investments | 62,500 | 62,500 | 10,000 | 10,000 | ||||||||
Total | 3,310,641 | 3,258,772 | 1,884,861 | 1,783,984 | ||||||||
Financial Liabilities | ||||||||||||
Repurchase agreements | 13,571,889 | 13,578,855 | 15,451,675 | 15,459,452 | ||||||||
Secured loans | 1,250,000 | 1,250,000 | — | — | ||||||||
Asset-backed securities issued by securitization trusts | 2,745,940 | 2,683,009 | 1,643,741 | 1,543,217 | ||||||||
Exchangeable senior notes | 400,000 | 390,750 | 400,000 | 368,250 | ||||||||
Total | 17,967,829 | 17,902,614 | 17,495,416 | 17,370,919 | ||||||||
Related_Party_Transactions_Tab
Related Party Transactions (Tables) | 9 Months Ended | |||||||||||
Sep. 30, 2014 | ||||||||||||
Related Party Transactions [Abstract] | ' | |||||||||||
Schedule of Related Party Transactions | ' | |||||||||||
The following table summarizes the costs originally paid by the Manager, incurred on behalf of the Company for the three and nine months ended September 30, 2014 and 2013. | ||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||
September 30, | September 30, 2014 | |||||||||||
$ in thousands | 2014 | 2013 | 2014 | 2013 | ||||||||
Incurred costs, prepaid or expensed | 1,274 | 966 | 4,373 | 3,472 | ||||||||
Incurred costs, charged against equity as a cost of raising capital | — | — | — | 418 | ||||||||
Incurred costs, capitalized to other assets | — | 7 | — | 7 | ||||||||
Total incurred costs, originally paid by the Manager | 1,274 | 973 | 4,373 | 3,897 | ||||||||
Earnings_per_Common_Share_Tabl
Earnings per Common Share (Tables) | 9 Months Ended | |||||||||||
Sep. 30, 2014 | ||||||||||||
Earnings Per Share [Abstract] | ' | |||||||||||
Earnings Per Share | ' | |||||||||||
Earnings per share for the three and nine months ended September 30, 2014 and 2013 is computed as follows: | ||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||
September 30, | September 30, | |||||||||||
$ and share amounts in thousands | 2014 | 2013 | 2014 | 2013 | ||||||||
Numerator (Income) | ||||||||||||
Basic Earnings | ||||||||||||
Net income (loss) available to common shareholders | 30,672 | (8,686 | ) | (137,820 | ) | 214,152 | ||||||
Effect of dilutive securities: | ||||||||||||
Income allocated to exchangeable senior debt | — | — | — | 12,403 | ||||||||
Income (loss) allocated to non-controlling interest | 394 | (63 | ) | (1,485 | ) | 2,392 | ||||||
Dilutive net income (loss) available to shareholders | 31,066 | (8,749 | ) | (139,305 | ) | 228,947 | ||||||
Denominator (Weighted Average Shares) | ||||||||||||
Basic Earnings: | ||||||||||||
Shares available to common shareholders | 123,098 | 135,220 | 123,105 | 133,094 | ||||||||
Effect of dilutive securities: | ||||||||||||
Restricted stock awards | 46 | — | — | 34 | ||||||||
OP units | 1,425 | 1,425 | 1,425 | 1,425 | ||||||||
Exchangeable senior notes | — | — | — | 12,519 | ||||||||
Dilutive Shares | 124,569 | 136,645 | 124,530 | 147,072 | ||||||||
Noncontrolling_InterestOperati1
Non-controlling Interest-Operating Partnership (Tables) | 9 Months Ended | |||||||||||
Sep. 30, 2014 | ||||||||||||
Noncontrolling Interest [Abstract] | ' | |||||||||||
Schedule of Income (Expense) Allocated and Distributions Paid to Noncontrolling Interests | ' | |||||||||||
The following table presents the income (expense) allocated and distributions paid to the Operating Partnership non-controlling interest for the three and nine months ended September 30, 2014 and 2013. | ||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||
September 30, | September 30, 2014 | |||||||||||
$ in thousands | 2014 | 2013 | 2014 | 2013 | ||||||||
Income (expense) allocated | 394 | (63 | ) | (1,485 | ) | 2,392 | ||||||
Distributions paid | 713 | 926 | 2,138 | 2,778 | ||||||||
Organization_and_Business_Oper1
Organization and Business Operations - Additional Information (Detail) | 9 Months Ended | |
Sep. 30, 2014 | Sep. 30, 2013 | |
segment | ||
Organization And Business Operations [Line Items] | ' | ' |
Minimum distribution percentage of taxable income to qualify for REIT | 90.00% | ' |
Ownership interest in Operating Partnership | 98.90% | ' |
Ownership percentage in Operating Partnership | 1.10% | 1.00% |
Number of operating segments | 1 | ' |
Invesco Investments (Bermuda) Ltd | ' | ' |
Organization And Business Operations [Line Items] | ' | ' |
Ownership percentage in Operating Partnership | 1.10% | ' |
Summary_of_Significant_Account2
Summary of Significant Accounting Policies - Additional Information (Detail) (USD $) | 9 Months Ended |
Sep. 30, 2014 | |
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) | 9 Months Ended |
Sep. 30, 2014 | |
trust | |
Variable Interest Entity [Line Items] | ' |
Number of securitization trusts | 4 |
Variable Interest Entity, Primary Beneficiary | Asset backed securities | ' |
Variable Interest Entity [Line Items] | ' |
Weighted average maturity | '29 years 1 month 16 days |
Variable_Interest_Entities_Max
Variable Interest Entities - Maximum Risk of Loss (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Variable Interest Entity [Line Items] | ' | ' | ||
Fair value | $17,297,034 | [1] | $17,348,657 | [1] |
Non-Agency RMBS | ' | ' | ||
Variable Interest Entity [Line Items] | ' | ' | ||
Fair value | 3,302,080 | [2],[3] | 3,607,328 | [4],[5] |
Non-Agency RMBS | Variable Interest Entity, Not Primary Beneficiary | ' | ' | ||
Variable Interest Entity [Line Items] | ' | ' | ||
Fair value | 3,302,080 | ' | ||
Company's Maximum Risk of Loss | 3,302,080 | ' | ||
CMBS | ' | ' | ||
Variable Interest Entity [Line Items] | ' | ' | ||
Fair value | 3,456,610 | [6] | 2,628,560 | [7] |
CMBS | Variable Interest Entity, Not Primary Beneficiary | ' | ' | ||
Variable Interest Entity [Line Items] | ' | ' | ||
Fair value | 3,456,610 | ' | ||
Company's Maximum Risk of Loss | 3,456,610 | ' | ||
Non-Agency RMBS and CMBS | Variable Interest Entity, Not Primary Beneficiary | ' | ' | ||
Variable Interest Entity [Line Items] | ' | ' | ||
Fair value | 6,758,690 | ' | ||
Company's Maximum Risk of Loss | $6,758,690 | ' | ||
[1] | For more detail about the fair value of the Company's MBS, refer to Note 4 - "Mortgage-Backed Securities." | |||
[2] | Of the total discount in non-Agency RMBS, $387.2 million is non-accretable. | |||
[3] | Non-Agency RMBS held by the Company is 55.9% variable rate, 37.2% fixed rate, and 6.9% floating rate based on fair value. | |||
[4] | Non-Agency RMBS held by the Company is 61.1% variable rate, 33.9% fixed rate, and 5.0% floating rate based on fair value. | |||
[5] | Of the total discount in non-Agency RMBS, $438.1 million is non-accretable. | |||
[6] | CMBS includes commercial real estate mezzanine loan pass-through certificates which represent 1.4% of the balance based on fair value. | |||
[7] | CMBS includes interest-only securities and commercial real estate mezzanine loan pass-through certificates which represent 7.5% and 1.0% of the balance based on fair value, respectively. |
Variable_Interest_Entities_Sum
Variable Interest Entities Summary of Assets and Liabilities of Variable Interest Entities (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Variable Interest Entity [Line Items] | ' | ' | ||
Residential loans, held-for-investment | $3,103,434 | [1] | $1,810,262 | [1] |
Accrued interest receivable | 66,295 | 68,246 | ||
Deferred costs | 13,485 | 13,894 | ||
Total assets | 21,019,063 | [1] | 20,350,979 | [1] |
Asset-backed securities issued by securitization trusts | 2,745,940 | [1] | 1,643,741 | [1] |
Total liabilities | 18,338,662 | [1] | 17,947,744 | [1] |
Variable Interest Entity, Primary Beneficiary | ' | ' | ||
Variable Interest Entity [Line Items] | ' | ' | ||
Residential loans, held-for-investment | 3,103,434 | 1,810,262 | ||
Accrued interest receivable | 9,969 | 5,647 | ||
Deferred costs | 4,819 | 3,386 | ||
Total assets | 3,118,222 | 1,819,295 | ||
Accrued interest and accrued expenses payable | 8,229 | 4,659 | ||
Asset-backed securities issued by securitization trusts | 2,745,940 | 1,643,741 | ||
Total liabilities | 2,754,169 | 1,648,400 | ||
Variable Interest Entity, New Primary Beneficiary | ' | ' | ||
Variable Interest Entity [Line Items] | ' | ' | ||
Residential loans, held-for-investment | 1,417,863 | ' | ||
Accrued interest receivable | 4,674 | ' | ||
Total assets | 1,422,537 | ' | ||
Accrued interest and accrued expenses payable | 4,674 | ' | ||
Asset-backed securities issued by securitization trusts | 1,417,863 | ' | ||
Total liabilities | $1,422,537 | ' | ||
[1] | The 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 Company. As of September 30, 2014 and December 31, 2013, total assets of the consolidated VIEs were $3,118,222 and $1,819,295, respectively, and total liabilities of the consolidated VIEs were $2,754,169 and $1,648,400, respectively. Refer to Note 3 - "Variable Interest Entities" for further discussion. |
Variable_Interest_Entities_Car
Variable Interest Entities Carrying Value for Residential Loans Held-For-Investment (Details) (Variable Interest Entity, Primary Beneficiary, Residential Mortgage, USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Principal balance | $3,069,384 | $1,783,983 |
Unamortized premium, net | 34,882 | 27,163 |
Recorded investment | 3,104,266 | 1,811,146 |
Allowance for loan losses | -832 | -884 |
Carrying value | $3,103,434 | $1,810,262 |
Variable_Interest_Entities_Res
Variable Interest Entities Residential Loans Held-for-Investment Organized by Year of Origination (Details) (Variable Interest Entity, Primary Beneficiary, Residential Mortgage, USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2014 | |
Loan | ||
Portfolio Characteristics: | ' | |
Number of loans | 4,013 | |
Current Principal Balance | $3,069,384 | |
Net Weighted Average Coupon Rate | 3.62% | |
Weighted Average Maturity (years) | '28 years 8 months 16 days | |
Current Performance: | ' | |
Current | 3,067,548 | |
30 Day Delinquent | 1,836 | |
60 Days Delinquent | 0 | |
90 plus Days Delinquent | 0 | |
Bankruptcy/Foreclosure | 0 | |
Total | 3,069,384 | |
Origination in 2014 | ' | |
Portfolio Characteristics: | ' | |
Number of loans | 596 | |
Current Principal Balance | 430,494 | |
Net Weighted Average Coupon Rate | 3.95% | |
Weighted Average Maturity (years) | '29 years 6 months 18 days | |
Current Performance: | ' | |
Current | 429,941 | |
30 Day Delinquent | 553 | |
60 Days Delinquent | 0 | |
90 plus Days Delinquent | 0 | |
Bankruptcy/Foreclosure | 0 | |
Total | 430,494 | |
Origination in 2013 | ' | |
Portfolio Characteristics: | ' | |
Number of loans | 2,772 | |
Current Principal Balance | 2,107,998 | |
Net Weighted Average Coupon Rate | 3.56% | |
Weighted Average Maturity (years) | '28 years 8 months 23 days | |
Current Performance: | ' | |
Current | 2,107,998 | |
30 Day Delinquent | 0 | |
60 Days Delinquent | 0 | |
90 plus Days Delinquent | 0 | |
Bankruptcy/Foreclosure | 0 | |
Total | 2,107,998 | |
Origination in 2012 | ' | |
Portfolio Characteristics: | ' | |
Number of loans | 599 | |
Current Principal Balance | 493,616 | |
Net Weighted Average Coupon Rate | 3.50% | |
Weighted Average Maturity (years) | '28 years 3 months 11 days | |
Current Performance: | ' | |
Current | 492,333 | |
30 Day Delinquent | 1,283 | |
60 Days Delinquent | 0 | |
90 plus Days Delinquent | 0 | |
Bankruptcy/Foreclosure | 0 | |
Total | 493,616 | |
Origination in 2009 | ' | |
Portfolio Characteristics: | ' | |
Number of loans | 7 | [1] |
Current Principal Balance | 3,018 | |
Net Weighted Average Coupon Rate | 3.71% | |
Weighted Average Maturity (years) | '24 years 7 months 28 days | |
Current Performance: | ' | |
Current | 3,018 | |
30 Day Delinquent | 0 | |
60 Days Delinquent | 0 | |
90 plus Days Delinquent | 0 | |
Bankruptcy/Foreclosure | 0 | |
Total | 3,018 | |
Origination In 2008 | ' | |
Portfolio Characteristics: | ' | |
Number of loans | 20 | |
Current Principal Balance | 19,150 | |
Net Weighted Average Coupon Rate | 5.10% | |
Weighted Average Maturity (years) | '23 years 10 months 2 days | |
Current Performance: | ' | |
Current | 19,150 | |
30 Day Delinquent | 0 | |
60 Days Delinquent | 0 | |
90 plus Days Delinquent | 0 | |
Bankruptcy/Foreclosure | 0 | |
Total | 19,150 | |
Origination in 2007 | ' | |
Portfolio Characteristics: | ' | |
Number of loans | 19 | [1] |
Current Principal Balance | 15,108 | |
Net Weighted Average Coupon Rate | 4.66% | |
Weighted Average Maturity (years) | '22 years 9 months 7 days | |
Current Performance: | ' | |
Current | 15,108 | |
30 Day Delinquent | 0 | |
60 Days Delinquent | 0 | |
90 plus Days Delinquent | 0 | |
Bankruptcy/Foreclosure | 0 | |
Total | $15,108 | |
[1] | None for 2011 and 2010 |
Variable_Interest_Entities_Res1
Variable Interest Entities Residential Loans Held-for-Investment Five Largest Geographic Concentrations of Residential Loans (Details) (Variable Interest Entity, Primary Beneficiary, Geographic Concentration Risk, Residential Mortgage) | 9 Months Ended |
Sep. 30, 2014 | |
Concentration Risk [Line Items] | ' |
Concentration risk percentage | 100.00% |
Other states (none greater than 4%) | Maximum | ' |
Concentration Risk [Line Items] | ' |
Concentration risk percentage per other state | 4.00% |
Residential Loans Held For Investment | California | ' |
Concentration Risk [Line Items] | ' |
Concentration risk percentage | 51.80% |
Residential Loans Held For Investment | Illinois | ' |
Concentration Risk [Line Items] | ' |
Concentration risk percentage | 5.00% |
Residential Loans Held For Investment | New York | ' |
Concentration Risk [Line Items] | ' |
Concentration risk percentage | 4.40% |
Residential Loans Held For Investment | Massachusetts | ' |
Concentration Risk [Line Items] | ' |
Concentration risk percentage | 3.90% |
Residential Loans Held For Investment | Texas | ' |
Concentration Risk [Line Items] | ' |
Concentration risk percentage | 3.40% |
Residential Loans Held For Investment | Other states (none greater than 4%) | ' |
Concentration Risk [Line Items] | ' |
Concentration risk percentage | 31.50% |
Variable_Interest_Entities_Res2
Variable Interest Entities Residential Loans Held-for-Investment Future Minimum Annual Principal Payments Under Residential Loans, Held for Investments (Details) (Variable Interest Entity, Primary Beneficiary, Residential Mortgage, USD $) | Sep. 30, 2014 |
In Thousands, unless otherwise specified | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' |
Within one year | $56,024 |
One to three years | 118,854 |
Three to five years | 129,552 |
Greater than or equal to five years | 2,764,954 |
Total | $3,069,384 |
Variable_Interest_Entities_Res3
Variable Interest Entities Residential Loans Held-for-Investment Activity in Allowance for Loan Losses (Details) (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 |
Allowance for Loan Losses [Roll Forward] | ' | ' |
Provision for loan losses | $52 | ($751) |
Variable Interest Entity, Primary Beneficiary | ' | ' |
Allowance for Loan Losses [Roll Forward] | ' | ' |
Balance at beginning of period | -884 | ' |
Charge-offs, net | 0 | ' |
Provision for loan losses | 52 | ' |
Balance at end of period | ($832) | ' |
Variable_Interest_Entities_Car1
Variable Interest Entities Carrying Value of Asset Backed Securities Issued (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Debt Instrument [Line Items] | ' | ' | ||
Carrying value | $2,745,940 | [1] | $1,643,741 | [1] |
Variable Interest Entity, Primary Beneficiary | ' | ' | ||
Debt Instrument [Line Items] | ' | ' | ||
Carrying value | 2,745,940 | 1,643,741 | ||
Variable Interest Entity, Primary Beneficiary | Asset backed securities | ' | ' | ||
Debt Instrument [Line Items] | ' | ' | ||
Principal balance | 2,720,182 | ' | ||
Unamortized premium | 22,075 | ' | ||
Unamortized discount | -11,377 | ' | ||
Allowance for loan losses | 0 | ' | ||
Carrying value | 2,745,940 | ' | ||
Number of series | 9 | ' | ||
Variable Interest Entity, Primary Beneficiary | Asset backed securities | Interest-only securities | ' | ' | ||
Debt Instrument [Line Items] | ' | ' | ||
Principal balance | 15,060 | ' | ||
Variable Interest Entity, Primary Beneficiary | Asset backed securities | Minimum | ' | ' | ||
Debt Instrument [Line Items] | ' | ' | ||
Weighted average interest rates | 2.80% | ' | ||
Variable Interest Entity, Primary Beneficiary | Asset backed securities | Maximum | ' | ' | ||
Debt Instrument [Line Items] | ' | ' | ||
Weighted average interest rates | 4.00% | ' | ||
Variable Interest Entity, Primary Beneficiary | Residential loans Held as Collateral | ' | ' | ||
Debt Instrument [Line Items] | ' | ' | ||
Principal balance | 3,069,384 | ' | ||
Unamortized premium | 43,730 | ' | ||
Unamortized discount | -8,848 | ' | ||
Allowance for loan losses | -832 | ' | ||
Carrying value | 3,103,434 | ' | ||
Variable Interest Entity, Primary Beneficiary | Residential loans Held as Collateral | Interest-only securities | ' | ' | ||
Debt Instrument [Line Items] | ' | ' | ||
Principal balance | $0 | ' | ||
[1] | The 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 Company. As of September 30, 2014 and December 31, 2013, total assets of the consolidated VIEs were $3,118,222 and $1,819,295, respectively, and total liabilities of the consolidated VIEs were $2,754,169 and $1,648,400, respectively. Refer to Note 3 - "Variable Interest Entities" for further discussion. |
Variable_Interest_Entities_Pri
Variable Interest Entities Principal Repayment Schedule of ABS (Details) (Variable Interest Entity, Primary Beneficiary, Asset backed securities, USD $) | Sep. 30, 2014 |
In Thousands, unless otherwise specified | |
Variable Interest Entity, Primary Beneficiary | Asset backed securities | ' |
Debt Instrument [Line Items] | ' |
Within One Year | $325,437 |
One to Three Years | 546,744 |
Three to Five Years | 428,676 |
Greater Than or Equal to Five Years | 1,419,325 |
Total | $2,720,182 |
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, 2014 | Dec. 31, 2013 | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | $18,551,692 | $20,673,443 | ||
Unamortized Premium (Discount) | -1,512,467 | -3,173,415 | ||
Amortized Cost | 17,039,225 | 17,500,028 | ||
Unrealized Gain/ (Loss), net | 257,809 | -151,371 | ||
Mortgage-backed securities, at fair value | 17,297,034 | [1] | 17,348,657 | [1] |
Net Weighted Average Coupon | 3.78% | [2] | 3.63% | [3] |
Period- end Weighted Average Yield | 3.82% | [4] | 3.30% | [5] |
Quarterly Weighted Average Yield | 3.40% | [6] | 3.51% | [6] |
Agency RMBS | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 8,999,192 | 10,148,876 | ||
Unamortized Premium (Discount) | 421,099 | 529,941 | ||
Amortized Cost | 9,420,291 | 10,678,817 | ||
Unrealized Gain/ (Loss), net | 53,979 | -208,543 | ||
Mortgage-backed securities, at fair value | 9,474,270 | 10,470,274 | ||
Net Weighted Average Coupon | 3.74% | [2] | 3.82% | [3] |
Period- end Weighted Average Yield | 2.67% | [4] | 2.80% | [5] |
Quarterly Weighted Average Yield | 2.70% | [6] | 2.90% | [6] |
Agency RMBS | 15 Year Fixed-Rate | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 1,299,392 | 1,637,988 | ||
Unamortized Premium (Discount) | 64,705 | 83,799 | ||
Amortized Cost | 1,364,097 | 1,721,787 | ||
Unrealized Gain/ (Loss), net | 25,856 | 22,494 | ||
Mortgage-backed securities, at fair value | 1,389,953 | 1,744,281 | ||
Net Weighted Average Coupon | 4.05% | [2] | 4.02% | [3] |
Period- end Weighted Average Yield | 2.55% | [4] | 2.54% | [5] |
Quarterly Weighted Average Yield | 2.59% | [6] | 2.61% | [6] |
Agency RMBS | 30 Year Fixed-Rate | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 4,583,250 | 6,494,723 | ||
Unamortized Premium (Discount) | 308,930 | 435,680 | ||
Amortized Cost | 4,892,180 | 6,930,403 | ||
Unrealized Gain/ (Loss), net | 8,936 | -228,250 | ||
Mortgage-backed securities, at fair value | 4,901,116 | 6,702,153 | ||
Net Weighted Average Coupon | 4.30% | [2] | 4.11% | [3] |
Period- end Weighted Average Yield | 2.90% | [4] | 2.96% | [5] |
Quarterly Weighted Average Yield | 2.95% | [6] | 3.13% | [6] |
Agency RMBS | ARM | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 519,631 | 251,693 | ||
Unamortized Premium (Discount) | 8,752 | 992 | ||
Amortized Cost | 528,383 | 252,685 | ||
Unrealized Gain/ (Loss), net | 4,497 | 597 | ||
Mortgage-backed securities, at fair value | 532,880 | 253,282 | ||
Net Weighted Average Coupon | 2.85% | [2] | 2.80% | [3] |
Period- end Weighted Average Yield | 2.31% | [4] | 2.62% | [5] |
Quarterly Weighted Average Yield | 2.30% | [6] | 2.41% | [6] |
Agency RMBS | Hybrid ARM | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 2,596,919 | 1,764,472 | ||
Unamortized Premium (Discount) | 38,712 | 9,470 | ||
Amortized Cost | 2,635,631 | 1,773,942 | ||
Unrealized Gain/ (Loss), net | 14,690 | -3,384 | ||
Mortgage-backed securities, at fair value | 2,650,321 | 1,770,558 | ||
Net Weighted Average Coupon | 2.77% | [2] | 2.69% | [3] |
Period- end Weighted Average Yield | 2.39% | [4] | 2.46% | [5] |
Quarterly Weighted Average Yield | 2.35% | [6] | 2.06% | [6] |
Agency-CMO | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 1,876,484 | [7] | 1,532,474 | [8] |
Unamortized Premium (Discount) | -1,413,263 | [7] | -1,051,777 | [8] |
Amortized Cost | 463,221 | [7] | 480,697 | [8] |
Unrealized Gain/ (Loss), net | -9,473 | [7] | -6,183 | [8] |
Mortgage-backed securities, at fair value | 453,748 | [7] | 474,514 | [8] |
Net Weighted Average Coupon | 2.42% | [2],[7] | 2.76% | [3],[8] |
Period- end Weighted Average Yield | 4.42% | [4],[7] | 3.82% | [5],[8] |
Quarterly Weighted Average Yield | 3.03% | [6],[7] | 3.47% | [6],[8] |
Non-Agency RMBS | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 3,805,256 | [10],[9] | 4,217,230 | [11],[12] |
Unamortized Premium (Discount) | -603,732 | [10],[9] | -640,797 | [11],[12] |
Amortized Cost | 3,201,524 | [10],[9] | 3,576,433 | [11],[12] |
Unrealized Gain/ (Loss), net | 100,556 | [10],[9] | 30,895 | [11],[12] |
Mortgage-backed securities, at fair value | 3,302,080 | [10],[9] | 3,607,328 | [11],[12] |
Net Weighted Average Coupon | 3.68% | [10],[2],[9] | 3.72% | [11],[12],[3] |
Period- end Weighted Average Yield | 3.92% | [10],[4],[9] | 2.80% | [11],[12],[5] |
Quarterly Weighted Average Yield | 4.44% | [10],[6],[9] | 4.63% | [11],[12],[6] |
GSE CRT | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 570,500 | [13],[14] | 144,500 | |
Unamortized Premium (Discount) | 26,549 | [13],[14] | 22,163 | |
Amortized Cost | 597,049 | [13],[14] | 166,663 | |
Unrealized Gain/ (Loss), net | 13,277 | [13],[14] | 1,318 | |
Mortgage-backed securities, at fair value | 610,326 | [13],[14] | 167,981 | |
Net Weighted Average Coupon | 4.82% | [14],[2] | 7.13% | [3] |
Period- end Weighted Average Yield | 4.02% | [14],[4] | 5.17% | [5] |
Quarterly Weighted Average Yield | 3.91% | [14],[6] | 5.85% | [6] |
CMBS | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Principal balance | 3,300,260 | [13] | 4,630,363 | [15] |
Unamortized Premium (Discount) | 56,880 | [13] | -2,032,945 | [15] |
Amortized Cost | 3,357,140 | [13] | 2,597,418 | [15] |
Unrealized Gain/ (Loss), net | 99,470 | [13] | 31,142 | [15] |
Mortgage-backed securities, at fair value | $3,456,610 | [13] | $2,628,560 | [15] |
Net Weighted Average Coupon | 4.82% | [13],[2] | 3.38% | [15],[3] |
Period- end Weighted Average Yield | 4.48% | [13],[4] | 4.62% | [15],[5] |
Quarterly Weighted Average Yield | 4.50% | [13],[6] | 4.51% | [15],[6] |
[1] | For more detail about the fair value of the Company's MBS, refer to Note 4 - "Mortgage-Backed Securities." | |||
[2] | Net weighted average coupon (“WACâ€) as of September 30, 2014 is presented net of servicing and other fees. | |||
[3] | Net WAC as of December 31, 2013 is presented net of servicing and other fees. | |||
[4] | Period-end weighted average yield is based on amortized cost as of September 30, 2014 and incorporates future prepayment and loss assumptions. | |||
[5] | Period-end weighted average yield based on amortized cost as of December 31, 2013 incorporates future prepayment and loss assumptions. | |||
[6] | Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. | |||
[7] | Agency-CMO") includes interest-only securities which represent 28.7% of the balance based on fair value. | |||
[8] | Agency-CMO includes interest-only securities, which represent 25.0% of the balance based on fair value. | |||
[9] | Of the total discount in non-Agency RMBS, $387.2 million is non-accretable. | |||
[10] | Non-Agency RMBS held by the Company is 55.9% variable rate, 37.2% fixed rate, and 6.9% floating rate based on fair value. | |||
[11] | Non-Agency RMBS held by the Company is 61.1% variable rate, 33.9% fixed rate, and 5.0% floating rate based on fair value. | |||
[12] | Of the total discount in non-Agency RMBS, $438.1 million is non-accretable. | |||
[13] | CMBS includes commercial real estate mezzanine loan pass-through certificates which represent 1.4% of the balance based on fair value. | |||
[14] | GSE CRT are general obligations of Fannie Mae or Freddie Mac that are structured to provide credit protection to the GSE issuer with respect to defaults and other credit events within reference pools of residential mortgage loans that collateralize MBS issued and guaranteed by such GSE. | |||
[15] | CMBS includes interest-only securities and commercial real estate mezzanine loan pass-through certificates which represent 7.5% and 1.0% of the balance based on fair value, respectively. |
MortgageBacked_Securities_Summ1
Mortgage-Backed Securities - Summary of Investment Portfolio (Parenthetical) (Detail) (USD $) | 9 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Unamortized Premium (Discount) | ($1,512,467) | ($3,173,415) | ||
Agency-CMO | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Agency | 28.70% | 25.00% | ||
Non-Agency RMBS | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Unamortized Premium (Discount) | -603,732 | [1],[2] | -640,797 | [3],[4] |
Non-Agency RMBS | Variable Rate | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of non-Agency securities classified as variable rate | 55.90% | 61.10% | ||
Non-Agency RMBS | Fixed rate residential mortgage | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of non-Agency securities classified as fixed rate | 37.20% | 33.90% | ||
Non-Agency RMBS | Floating Rate | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of non-Agency securities classified as floating rate | 6.90% | 5.00% | ||
Non Agency RMBS, Non-accretable | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Unamortized Premium (Discount) | 387,200 | 438,100 | ||
CMBS | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Unamortized Premium (Discount) | $56,880 | [5] | ($2,032,945) | [6] |
CMBS | Interest-Only Securities | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Agency | ' | 7.50% | ||
CMBS | Commercial Real Estate Mezzanine Loan Pass-through Certificates | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Agency | 1.40% | 1.00% | ||
[1] | Of the total discount in non-Agency RMBS, $387.2 million is non-accretable. | |||
[2] | Non-Agency RMBS held by the Company is 55.9% variable rate, 37.2% fixed rate, and 6.9% floating rate based on fair value. | |||
[3] | Non-Agency RMBS held by the Company is 61.1% variable rate, 33.9% fixed rate, and 5.0% floating rate based on fair value. | |||
[4] | Of the total discount in non-Agency RMBS, $438.1 million is non-accretable. | |||
[5] | CMBS includes commercial real estate mezzanine loan pass-through certificates which represent 1.4% of the balance based on fair value. | |||
[6] | CMBS includes interest-only securities and commercial real estate mezzanine loan pass-through certificates which represent 7.5% and 1.0% of the balance based on fair value, respectively. |
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, 2014 | Dec. 31, 2013 | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | $17,297,034 | [1] | $17,348,657 | [1] |
Non-Agency RMBS | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 3,302,080 | [2],[3] | 3,607,328 | [4],[5] |
Non-Agency RMBS | Re-REMIC | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 1,181,510 | 1,444,376 | ||
% of Non-Agency | 35.80% | 40.00% | ||
Non-Agency RMBS | Prime | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 1,033,442 | 1,336,821 | ||
% of Non-Agency | 31.30% | 37.10% | ||
Non-Agency RMBS | Alt-A | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 734,708 | 801,919 | ||
% of Non-Agency | 22.20% | 22.20% | ||
Non-Agency RMBS | Subprime | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 352,420 | 24,212 | ||
% of Non-Agency | 10.70% | 0.70% | ||
Non Agency RMBS, excluding securities for a future securitization not yet settled | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | $3,302,080 | $3,607,328 | ||
% of Non-Agency | 100.00% | 100.00% | ||
[1] | For more detail about the fair value of the Company's MBS, refer to Note 4 - "Mortgage-Backed Securities." | |||
[2] | Of the total discount in non-Agency RMBS, $387.2 million is non-accretable. | |||
[3] | Non-Agency RMBS held by the Company is 55.9% variable rate, 37.2% fixed rate, and 6.9% floating rate based on fair value. | |||
[4] | Non-Agency RMBS held by the Company is 61.1% variable rate, 33.9% fixed rate, and 5.0% floating rate based on fair value. | |||
[5] | Of the total discount in non-Agency RMBS, $438.1 million is non-accretable. |
MortgageBacked_Securities_Comp1
Mortgage-Backed Securities - Components of Senior Re-REMIC at Fair Value (Detail) | Sep. 30, 2014 | Dec. 31, 2013 | ||
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 | 5.80% | [1] | 4.80% | [1] |
Re-REMIC 10-20 | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Re-REMIC at fair value | 3.90% | [1] | 3.50% | [1] |
Re-REMIC 20-30 | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Re-REMIC at fair value | 13.90% | [1] | 14.70% | [1] |
Re-REMIC 30-40 | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Re-REMIC at fair value | 26.20% | [1] | 25.20% | [1] |
Re-REMIC 40-50 | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Re-REMIC at fair value | 32.60% | [1] | 38.60% | [1] |
Re-REMIC 50-60 | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Re-REMIC at fair value | 13.70% | [1] | 8.50% | [1] |
Re-REMIC 60-70 | ' | ' | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ||
Percentage of Re-REMIC at fair value | 3.90% | [1] | 4.70% | [1] |
[1] | Subordination refers to the credit enhancement provided to the Re-REMIC tranche held by the Company by any junior Re-REMIC tranche or tranches in a resecuritization. This figure reflects the percentage of the balance of the underlying securities represented by any junior tranche or tranches at the time of resecuritization. Generally, principal losses on the underlying securities in excess of the subordination amount would result in principal losses on the Re-REMIC tranche held by the Company. |
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, 2014 | Dec. 31, 2013 | ||
Investments, Debt and Equity Securities [Abstract] | ' | ' | ||
Principal balance | $18,551,692 | $20,673,443 | ||
Unamortized premium | 559,075 | 646,189 | ||
Unamortized discount | -2,071,542 | -3,819,604 | ||
Gross unrealized gains | 413,031 | 291,725 | ||
Gross unrealized losses | -155,222 | -443,096 | ||
Fair value | $17,297,034 | [1] | $17,348,657 | [1] |
[1] | For more detail about the fair value of the Company's MBS, refer to Note 4 - "Mortgage-Backed Securities." |
MortgageBacked_Securities_Mort
Mortgage-Backed Securities - Mortgage-Backed Securities According to Weighted Average Life Classification (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Investments, Debt and Equity Securities [Abstract] | ' | ' | ||
Less than one year | $235,268 | $101,251 | ||
Greater than one year and less than five years | 6,821,502 | 5,958,852 | ||
Greater than or equal to five years | 10,240,264 | 11,288,554 | ||
Fair Value | $17,297,034 | [1] | $17,348,657 | [1] |
[1] | For more detail about the fair value of the Company's MBS, refer to Note 4 - "Mortgage-Backed Securities." |
MortgageBacked_Securities_Unre
Mortgage-Backed Securities - Unrealized Losses and Estimated Fair Value of MBS by Length of Time (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | security | security |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | $2,674,137 | $8,103,382 |
Unrealized Losses, Less than 12 Months | -32,832 | -380,621 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | 172 | 372 |
Fair Value, 12 Months or More | 3,060,940 | 752,893 |
Unrealized Losses, 12 Months or More | -122,390 | -62,475 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | 150 | 40 |
Fair Value, Total | 5,735,077 | 8,856,275 |
Unrealized Losses, Total | -155,222 | -443,096 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | 322 | 412 |
Agency RMBS | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 1,047,960 | 5,366,141 |
Unrealized Losses, Less than 12 Months | -3,004 | -243,814 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | 55 | 199 |
Fair Value, 12 Months or More | 2,171,516 | 652,359 |
Unrealized Losses, 12 Months or More | -86,582 | -57,013 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | 85 | 28 |
Fair Value, Total | 3,219,476 | 6,018,500 |
Unrealized Losses, Total | -89,586 | -300,827 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | 140 | 227 |
Agency RMBS | 15 Year Fixed-Rate | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 12,855 | 431,527 |
Unrealized Losses, Less than 12 Months | -45 | -4,964 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | 2 | 18 |
Fair Value, 12 Months or More | 118,792 | 11,100 |
Unrealized Losses, 12 Months or More | -2,339 | -259 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | 7 | 1 |
Fair Value, Total | 131,647 | 442,627 |
Unrealized Losses, Total | -2,384 | -5,223 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | 9 | 19 |
Agency RMBS | 30 Year Fixed-Rate | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 124,596 | 3,710,679 |
Unrealized Losses, Less than 12 Months | -312 | -228,167 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | 9 | 126 |
Fair Value, 12 Months or More | 2,012,239 | 641,259 |
Unrealized Losses, 12 Months or More | -83,829 | -56,754 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | 74 | 27 |
Fair Value, Total | 2,136,835 | 4,351,938 |
Unrealized Losses, Total | -84,141 | -284,921 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | 83 | 153 |
Agency RMBS | ARM | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 24,158 | 94,447 |
Unrealized Losses, Less than 12 Months | -157 | -968 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | 1 | 7 |
Fair Value, 12 Months or More | 13,011 | ' |
Unrealized Losses, 12 Months or More | -84 | ' |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | 2 | ' |
Fair Value, Total | 37,169 | 94,447 |
Unrealized Losses, Total | -241 | -968 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | 3 | 7 |
Agency RMBS | Hybrid ARM | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 886,351 | 1,129,488 |
Unrealized Losses, Less than 12 Months | -2,490 | -9,715 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | 43 | 48 |
Fair Value, 12 Months or More | 27,474 | ' |
Unrealized Losses, 12 Months or More | -330 | ' |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | 2 | ' |
Fair Value, Total | 913,825 | 1,129,488 |
Unrealized Losses, Total | -2,820 | -9,715 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | 45 | 48 |
Agency-CMO | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 164,970 | 311,935 |
Unrealized Losses, Less than 12 Months | -7,423 | -16,599 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | 20 | 13 |
Fair Value, 12 Months or More | 173,999 | 8,883 |
Unrealized Losses, 12 Months or More | -12,446 | -3,736 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | 10 | 4 |
Fair Value, Total | 338,969 | 320,818 |
Unrealized Losses, Total | -19,869 | -20,335 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | 30 | 17 |
Non-Agency RMBS | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 437,793 | 1,307,036 |
Unrealized Losses, Less than 12 Months | -4,871 | -58,326 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | 32 | 76 |
Fair Value, 12 Months or More | 344,122 | 91,651 |
Unrealized Losses, 12 Months or More | -13,559 | -1,726 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | 20 | 8 |
Fair Value, Total | 781,915 | 1,398,687 |
Unrealized Losses, Total | -18,430 | -60,052 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | 52 | 84 |
GSE CRT | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 224,035 | 0 |
Unrealized Losses, Less than 12 Months | -10,921 | 0 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | 8 | 0 |
Fair Value, 12 Months or More | 0 | 0 |
Unrealized Losses, 12 Months or More | 0 | 0 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | 0 | 0 |
Fair Value, Total | 224,035 | 0 |
Unrealized Losses, Total | -10,921 | 0 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | 8 | 0 |
CMBS | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Fair Value, Less than 12 Months | 799,379 | 1,118,270 |
Unrealized Losses, Less than 12 Months | -6,613 | -61,882 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | 57 | 84 |
Fair Value, 12 Months or More | 371,303 | 0 |
Unrealized Losses, 12 Months or More | -9,803 | 0 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | 35 | 0 |
Fair Value, Total | 1,170,682 | 1,118,270 |
Unrealized Losses, Total | ($16,416) | ($61,882) |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions | 92 | 84 |
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, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Accumulated Other Comprehensive Income Loss, Available-for-sale Securities [Roll Forward] | ' | ' | ' | ' |
Unrealized gain on MBS at beginning of period | $323,803 | ($257,402) | ($151,370) | $523,725 |
Unrealized gain (loss) on MBS, net | -65,994 | 75,030 | 409,179 | -706,097 |
Balance at the end of period | $257,809 | ($182,372) | $257,809 | ($182,372) |
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, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Coupon Interest | $176,830 | $205,272 | $547,472 | $631,731 |
Net (Premium Amortization)/ Discount Accretion | -32,787 | -47,733 | -99,770 | -145,112 |
Interest income | 144,043 | 157,539 | 447,702 | 486,619 |
Agency RMBS | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Coupon Interest | 98,106 | 126,685 | 308,683 | 412,945 |
Net (Premium Amortization)/ Discount Accretion | -29,371 | -40,578 | -80,099 | -132,648 |
Interest income | 68,735 | 86,107 | 228,584 | 280,297 |
Non-Agency RMBS | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Coupon Interest | 32,313 | 39,479 | 102,785 | 117,215 |
Net (Premium Amortization)/ Discount Accretion | 2,971 | 2,895 | 7,639 | 6,038 |
Interest income | 35,284 | 42,374 | 110,424 | 123,253 |
GSE CRT | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Coupon Interest | 6,274 | 0 | 15,643 | 0 |
Net (Premium Amortization)/ Discount Accretion | -953 | 0 | -2,314 | 0 |
Interest income | 5,321 | 0 | 13,329 | 0 |
CMBS | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Coupon Interest | 40,164 | 39,167 | 120,290 | 101,487 |
Net (Premium Amortization)/ Discount Accretion | -5,434 | -10,050 | -24,996 | -18,502 |
Interest income | 34,730 | 29,117 | 95,294 | 82,985 |
Other | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Coupon Interest | -27 | -59 | 71 | 84 |
Interest income | ($27) | ($59) | $71 | $84 |
MortgageBacked_Securities_Addi
Mortgage-Backed Securities - Additional Information (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Net unrealized gains (losses) from other comprehensive income into gain (loss) on sale of investments | ($47,952,000) | ($69,323,000) | ($80,436,000) | ($56,919,000) |
Agency RMBS | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Gross unrealized losses | ' | ' | 89,600,000 | ' |
Agency-CMO, Non-Agency RMBS And CMBS | ' | ' | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Gross unrealized losses | ' | ' | $65,600,000 | ' |
Commercial_Loans_HeldforInvest2
Commercial Loans Held-for-Investment (Details) (USD $) | 9 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | |
Loan | Loan | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' | |
Carrying value | $144,707 | $64,599 | |
First mortgage | ' | ' | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' | |
Number of loans | 1 | 1 | |
Principal Balance | 19,813 | 20,000 | |
Unamortized (fees)/ costs, net | 52 | 88 | |
Carrying value | 19,865 | 20,088 | |
Unfunded commitment | 1,788 | 2,000 | |
Mezzanine | ' | ' | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' | |
Number of loans | 4 | 3 | |
Principal Balance | 69,525 | 44,624 | |
Unamortized (fees)/ costs, net | -113 | -113 | |
Carrying value | 69,412 | 44,511 | |
Unfunded commitment | 5,475 | 15,376 | |
Other | ' | ' | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' | |
Number of loans | 2 | [1] | ' |
Principal Balance | 55,430 | [1] | ' |
Unamortized (fees)/ costs, net | 0 | [1] | ' |
Carrying value | 55,430 | [1] | ' |
Unfunded commitment | 0 | [1] | ' |
Commercial | ' | ' | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' | |
Number of loans | 7 | 4 | |
Principal Balance | 144,768 | 64,624 | |
Unamortized (fees)/ costs, net | -61 | -25 | |
Carrying value | 144,707 | 64,599 | |
Unfunded commitment | $7,263 | $17,376 | |
[1] | Other subordinate interests include a B-note and a preferred equity investment. |
Investments_in_Unconsolidated_1
Investments in Unconsolidated Ventures - Additional Information (Detail) (USD $) | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | ||||||||
Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2011 | |
Invesco Mortgage Recovery Feeder Fund, L.P. And Invesco Mortgage Recovery Loans AIV, L.P. | Invesco Mortgage Recovery Feeder Fund, L.P. And Invesco Mortgage Recovery Loans AIV, L.P. | Invesco Mortgage Recovery Feeder Fund, L.P. And Invesco Mortgage Recovery Loans AIV, L.P. | Invesco Mortgage Recovery Feeder Fund, L.P. And Invesco Mortgage Recovery Loans AIV, L.P. | IMRF Loan Portfolio Member LLC | IMRF Loan Portfolio Member LLC | IMRF Loan Portfolio Member LLC | IMRF Loan Portfolio Member LLC | IMRF Loan Portfolio Member LLC | ||||||
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 | 42,281,000 | ' | 42,281,000 | ' | 44,403,000 | 96,200,000 | ' | 96,200,000 | ' | ' | ' | ' | ' | 16,900,000 |
Committed to fund | ' | ' | ' | ' | ' | 3,800,000 | ' | 3,800,000 | ' | ' | ' | ' | ' | ' |
Equity in earnings | 1,145,000 | 1,422,000 | 5,480,000 | 5,169,000 | ' | -1,700,000 | 378,000 | 3,800,000 | 1,284,000 | 881,000 | 956,000 | 2,600,000 | 1,048,000 | ' |
Unrealized gain (loss) on investments | ' | ' | ' | ' | ' | ($389,000) | $250,000 | $1,000,000 | $1,700,000 | ($1,039,000) | ($163,000) | ($1,958,000) | $1,100,000 | ' |
Borrowings_Schedule_of_Borrowi
Borrowings - Schedule of Borrowings (Detail) (USD $) | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended | 3 Months Ended | 12 Months Ended | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 |
Agency RMBS | Agency RMBS | Non-Agency RMBS | Non-Agency RMBS | GSE CRT | GSE CRT | CMBS | CMBS | Exchangeable Senior Notes | Exchangeable Senior Notes | Secured debt, excluding asset-backed securities | Secured debt, excluding asset-backed securities | |||
Repurchase Agreements: | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Amount Outstanding | ' | ' | $8,693,555 | $10,281,154 | $2,830,368 | $3,066,356 | $463,828 | $21,708 | $1,584,138 | $2,082,457 | ' | ' | ' | ' |
Weighted Average Interest Rate | ' | ' | 0.32% | 0.38% | 1.52% | 1.55% | 1.53% | 1.50% | 1.29% | 1.39% | ' | ' | ' | ' |
Weighted Average Remaining Maturity (days) | ' | ' | '18 days | '19 days | '26 days | '33 days | '39 days | '42 days | '24 days | '23 days | ' | ' | ' | ' |
Secured loans | 1,250,000 | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Secured loans, weighted average interest rate | 0.38% | 0.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Secured loans, weighted average remaining maturity (days) | '3564 days | '0 days | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Exchangeable senior notes, amounts outstanding | 400,000 | 400,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | 400,000 | ' | ' |
Exchangeable senior notes, weighted average interest rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5.00% | 5.00% | ' | ' |
Asset-backed securities | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $15,221,889 | $15,851,675 |
Secured debt, weighted average interest rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0.81% | 0.86% |
Secured debt, weighted average remaining maturity | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '1262 days | '1535 days | '345 days | '60 days |
Borrowings_Repurchase_Agreemen
Borrowings - Repurchase Agreements (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | $13,571,889 | $15,451,675 | ||
Percent of Total Amount Outstanding | 100.00% | 100.00% | ||
Company MBS Held as Collateral | 15,213,359 | 17,079,377 | ||
Credit Suisse Securities (USA) LLC | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 1,542,709 | 1,809,896 | ||
Percent of Total Amount Outstanding | 11.30% | 11.80% | ||
Company MBS Held as Collateral | 1,951,193 | [1] | 2,203,883 | [2] |
South Street Securities Llc | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 988,387 | 1,236,812 | ||
Percent of Total Amount Outstanding | 7.30% | 8.00% | ||
Company MBS Held as Collateral | 1,038,764 | 1,286,384 | ||
Citigroup Global Markets Inc | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 943,175 | 1,027,210 | ||
Percent of Total Amount Outstanding | 6.90% | 6.60% | ||
Company MBS Held as Collateral | 1,099,319 | 1,164,162 | ||
HSBC Securities (USA) Inc | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 780,594 | 787,462 | ||
Percent of Total Amount Outstanding | 5.80% | 5.10% | ||
Company MBS Held as Collateral | 802,964 | 809,230 | ||
Banc Of America Securities Llc | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 752,102 | 1,043,689 | ||
Percent of Total Amount Outstanding | 5.50% | 6.80% | ||
Company MBS Held as Collateral | 825,777 | 1,146,151 | ||
Pierpont Securities L L C | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 738,376 | 791,572 | ||
Percent of Total Amount Outstanding | 5.40% | 5.10% | ||
Company MBS Held as Collateral | 767,321 | 824,184 | ||
Rbs Securities Inc | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 705,200 | 720,457 | ||
Percent of Total Amount Outstanding | 5.20% | 4.70% | ||
Company MBS Held as Collateral | 848,680 | 854,978 | ||
Royal Bank of Canada | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 676,135 | 710,705 | ||
Percent of Total Amount Outstanding | 5.00% | 4.60% | ||
Company MBS Held as Collateral | 797,229 | 850,870 | ||
Wells Fargo Securities, LLC | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 651,563 | 857,824 | ||
Percent of Total Amount Outstanding | 4.80% | 5.60% | ||
Company MBS Held as Collateral | 785,225 | 996,151 | ||
Industrial And Commercial Bank Of China Financial Services Llc | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 645,590 | 493,906 | ||
Percent of Total Amount Outstanding | 4.80% | 3.20% | ||
Company MBS Held as Collateral | 677,318 | 518,775 | ||
Mitsubishi UFJ Securities (USA), Inc | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 634,958 | 625,703 | ||
Percent of Total Amount Outstanding | 4.70% | 4.00% | ||
Company MBS Held as Collateral | 666,246 | 656,046 | ||
Morgan Stanley & Co. Incorporated | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 614,221 | 691,599 | ||
Percent of Total Amount Outstanding | 4.50% | 4.50% | ||
Company MBS Held as Collateral | 658,450 | 758,761 | ||
Ing Financial Market Llc | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 595,700 | 676,644 | ||
Percent of Total Amount Outstanding | 4.40% | 4.40% | ||
Company MBS Held as Collateral | 638,423 | 718,086 | ||
J.P. Morgan Securities Inc. | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 595,497 | 875,201 | ||
Percent of Total Amount Outstanding | 4.40% | 5.70% | ||
Company MBS Held as Collateral | 694,434 | [3] | 1,001,116 | |
BNP Paribas Securities Corp. | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 572,129 | 471,372 | ||
Percent of Total Amount Outstanding | 4.20% | 3.10% | ||
Company MBS Held as Collateral | 644,301 | 499,106 | ||
Scotia Capital | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 529,024 | 443,534 | ||
Percent of Total Amount Outstanding | 3.90% | 2.90% | ||
Company MBS Held as Collateral | 550,252 | 461,066 | ||
Deutsche Bank Securities Inc | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 401,722 | 423,405 | ||
Percent of Total Amount Outstanding | 3.00% | 2.70% | ||
Company MBS Held as Collateral | 450,232 | 468,939 | ||
KGS Alpha Capital Markets L P | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 389,042 | 202,677 | ||
Percent of Total Amount Outstanding | 2.90% | 1.30% | ||
Company MBS Held as Collateral | 410,430 | 214,033 | ||
Goldman, Sachs & Co | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 175,191 | 404,094 | ||
Percent of Total Amount Outstanding | 1.30% | 2.60% | ||
Company MBS Held as Collateral | 184,041 | 423,598 | ||
Barclays Capital Inc. | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 138,250 | 156,904 | ||
Percent of Total Amount Outstanding | 1.00% | 1.00% | ||
Company MBS Held as Collateral | 183,799 | 165,605 | ||
Guggenheim Liquidity Services, LLC | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 123,095 | 33,113 | ||
Percent of Total Amount Outstanding | 0.90% | 0.20% | ||
Company MBS Held as Collateral | 129,635 | 34,664 | ||
Cantor Fitzgerald & Co | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 105,484 | 68,261 | ||
Percent of Total Amount Outstanding | 0.80% | 0.40% | ||
Company MBS Held as Collateral | 111,244 | 71,910 | ||
Daiwa Capital Markets America Inc | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 81,921 | 112,309 | ||
Percent of Total Amount Outstanding | 0.60% | 0.70% | ||
Company MBS Held as Collateral | 86,638 | 117,551 | ||
Nomura Securities International, Inc | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 67,429 | 578,265 | ||
Percent of Total Amount Outstanding | 0.50% | 3.70% | ||
Company MBS Held as Collateral | 72,124 | 608,193 | ||
Td Securities | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 67,192 | 155,099 | ||
Percent of Total Amount Outstanding | 0.50% | 1.00% | ||
Company MBS Held as Collateral | 70,457 | 163,512 | ||
Mizuho Securities Usa Inc | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Amount Outstanding | 57,203 | 53,962 | ||
Percent of Total Amount Outstanding | 0.40% | 0.30% | ||
Company MBS Held as Collateral | 68,863 | 62,423 | ||
Consolidation, Eliminations | Credit Suisse Securities (USA) LLC | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Company MBS Held as Collateral | 282,949 | 133,837 | ||
Consolidation, Eliminations | J.P. Morgan Securities Inc. | ' | ' | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' | ||
Company MBS Held as Collateral | $41,178 | ' | ||
[1] | Includes $282.9 million of MBS held as collateral which are eliminated in consolidation. | |||
[2] | Includes $133.8 million of MBS held as collateral which are eliminated in consolidation. | |||
[3] | Includes $41.2 million of MBS held as collateral which are eliminated in consolidation. |
Borrowings_Additional_Informat
Borrowings - Additional Information (Detail) (USD $) | 1 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | 3 Months Ended | 9 Months Ended | 9 Months Ended | |||||||
Aug. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | Mar. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | |
trust | Exchangeable Senior Notes | Exchangeable Senior Notes | Exchangeable Senior Notes | FHLBI | Collateralized Mortgage Backed Securities | Agency RMBS | Minimum | Maximum | Maximum | |||||
Other Investments | Exchangeable Senior Notes | |||||||||||||
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 | ' | $15,213,359,000 | $15,213,359,000 | ' | $17,079,377,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Collateral Ratio | ' | ' | 112.00% | ' | 111.00% | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Outstanding secured loans from the FHLB | ' | 1,250,000,000 | 1,250,000,000 | ' | 0 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Average borrowing of FHLB advances | ' | 1,243,000,000 | 525,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
FHLB, weighted average borrowing rate | ' | 0.39% | 0.35% | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
FHLB advances collateralized by CMBS | ' | 1,540,000,000 | 1,540,000,000 | ' | 0 | ' | ' | ' | ' | 1,356,000,000 | 184,200,000 | ' | ' | ' |
FHLB stock | ' | ' | ' | ' | ' | ' | ' | ' | 62,500,000 | ' | ' | ' | ' | ' |
Number of securitization trusts | ' | ' | 4 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Aggregate principal balance of loans sold | ' | ' | ' | ' | ' | 400,000,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Payments to Acquire Loans Held-for-investment | ' | ' | 1,417,864,000 | 1,562,818,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Debt instrument, maturity year | ' | ' | ' | ' | ' | '2018 | ' | ' | ' | ' | ' | ' | ' | ' |
Proceed from issuance of debt | ' | ' | 0 | 400,000,000 | ' | 387,700,000 | ' | ' | ' | ' | ' | ' | ' | ' |
Debt instrument, percentage | ' | ' | ' | ' | ' | ' | 5.00% | ' | ' | ' | ' | ' | ' | ' |
First interest payment date | ' | ' | ' | ' | ' | ' | 15-Sep-13 | ' | ' | ' | ' | ' | ' | ' |
Conversion ratio, Shares of Common Stock at an initial exchange rate per $1,000 principal | ' | ' | ' | ' | ' | ' | 0.0420893 | ' | ' | ' | ' | ' | ' | 0.0484027 |
Common Stock, exchange price | ' | ' | ' | ' | ' | ' | $23.76 | ' | ' | ' | ' | ' | ' | $20.66 |
Number of Shares Registered for Resale Prospectus | 605,034 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Accrued interest payable on notes | ' | ' | ' | ' | ' | ' | $889,000 | $5,889,000 | ' | ' | ' | ' | ' | ' |
Derivatives_and_Hedging_Activi2
Derivatives and Hedging Activities - Open CDS Sold (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
Derivative [Line Items] | ' | ' |
Notional amount | $14,595,208,000 | $14,050,000,000 |
CDS Contract | ' | ' |
Derivative [Line Items] | ' | ' |
Fair value amount | 469,000 | 654,000 |
Notional amount | 40,274,000 | 51,823,000 |
Maximum potential amount of future undiscounted payments | 40,274,000 | 51,823,000 |
Recourse provisions with third parties | 0 | 0 |
Collateral held by counterparty | $6,219,000 | $7,979,000 |
Derivatives_and_Hedging_Activi3
Derivatives and Hedging Activities - Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | ||||||
Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | Interest Rate Swap | |||||||||
Deutsche Bank AG | Deutsche Bank AG | Credit Suisse International | Credit Suisse International | Wells Fargo Bank, N.A. | Wells Fargo Bank, N.A. | Morgan Stanley Capital Services, LLC | Bank of New York Mellon | Morgan Stanley Capital Services, LLC | Credit Suisse International | Bank of New York Mellon | JPMorgan Chase Bank, N.A. | Goldman Sachs Bank USA | Goldman Sachs Bank USA | Wells Fargo Bank, N.A. | JPMorgan Chase Bank, N.A. | Citibank, N.A | Deutsche Bank AG | ING Capital Markets LLC | Morgan Stanley Capital Services, LLC | ING Capital Markets LLC | JPMorgan Chase Bank, N.A. | UBS AG | ING Capital Markets LLC | The Royal Bank of Scotland Plc | Citibank, N.A. Cme Clearing House | The Royal Bank of Scotland Plc Cme Clearing House | Wells Fargo Bank, N.A. | Citibank, N.A. | HSBC Bank USA, National Association | The Royal Bank of Scotland Plc | UBS AG | HSBC Bank USA, National Association | The Royal Bank of Scotland Plc | Goldman Sachs Bank USA CME Clearing House | UBS AG | HSBC Bank USA, National Association | ||||||||||
Interest Rate Derivatives Outstanding [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ||||||
Notional amount | $14,595,208,000 | $14,050,000,000 | $12,150,000,000 | $200,000,000 | $250,000,000 | $100,000,000 | $100,000,000 | $100,000,000 | $50,000,000 | $300,000,000 | $300,000,000 | $300,000,000 | $500,000,000 | $500,000,000 | $500,000,000 | $500,000,000 | $250,000,000 | $250,000,000 | $500,000,000 | $500,000,000 | $150,000,000 | $350,000,000 | $100,000,000 | $300,000,000 | $200,000,000 | $500,000,000 | $400,000,000 | $500,000,000 | $300,000,000 | [1],[2] | $300,000,000 | [1],[2] | $200,000,000 | $200,000,000 | $550,000,000 | [3] | $400,000,000 | [4] | $400,000,000 | [4] | $250,000,000 | $500,000,000 | $600,000,000 | [2] | $250,000,000 | $500,000,000 |
Maturity Date | ' | ' | ' | 15-Jan-15 | 15-Feb-15 | 24-Feb-15 | 24-Mar-15 | 15-Jul-15 | 15-Jul-15 | 24-Jan-16 | 24-Jan-16 | 5-Apr-16 | 15-Apr-16 | 15-Apr-16 | 16-May-16 | 24-May-16 | 15-Jun-16 | 15-Jun-16 | 24-Jun-16 | 15-Oct-16 | 5-Feb-18 | 24-Feb-18 | 5-Apr-18 | 5-May-18 | 15-May-18 | 24-May-18 | 5-Jun-18 | 5-Sep-18 | 5-Feb-21 | [1],[2] | 5-Feb-21 | [1],[2] | 15-Mar-21 | 25-May-21 | 24-Feb-22 | [3] | 15-Mar-23 | [4] | 15-Mar-23 | [4] | 5-Jun-23 | 15-Aug-23 | 24-Aug-23 | [2] | 15-Nov-23 | 15-Dec-23 |
Fixed Interest Rate in Contract | ' | ' | 2.13% | 1.08% | 1.14% | 3.26% | 2.76% | 2.85% | 2.44% | 2.12% | 2.13% | 2.48% | 2.27% | 2.24% | 2.31% | 2.34% | 2.67% | 2.67% | 2.51% | 1.93% | 2.90% | 0.95% | 3.10% | 0.79% | 2.93% | 1.10% | 0.87% | 1.04% | 2.50% | [1],[2] | 2.69% | [1],[2] | 3.14% | 2.83% | 2.45% | [3] | 2.39% | [4] | 2.51% | [4] | 1.91% | 1.98% | 2.88% | [2] | 2.23% | 2.20% |
[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 |
Derivatives_and_Hedging_Activi4
Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions (Detail) (USD $) | 9 Months Ended | |
Sep. 30, 2014 | Sep. 30, 2013 | |
Derivative Interest Rate Swaptions [Roll Forward] | ' | ' |
Notional Amount, Beginning Balance | $14,050,000,000 | ' |
Additions | 4,549,464,000 | ' |
Settlement, Termination, Expiration or Exercise | -4,004,256,000 | ' |
Notional Amount, Ending Balance | 14,595,208,000 | ' |
Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) | -34,877,000 | 66,234,000 |
Swaptions | ' | ' |
Derivative Interest Rate Swaptions [Roll Forward] | ' | ' |
Notional Amount, Beginning Balance | 1,150,000,000 | ' |
Additions | 1,050,000,000 | ' |
Settlement, Termination, Expiration or Exercise | -1,150,000,000 | ' |
Notional Amount, Ending Balance | 1,050,000,000 | ' |
Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) | -23,275,000 | ' |
Interest Rate Swap | ' | ' |
Derivative Interest Rate Swaptions [Roll Forward] | ' | ' |
Notional Amount, Beginning Balance | 12,800,000,000 | ' |
Additions | 0 | ' |
Settlement, Termination, Expiration or Exercise | -650,000,000 | ' |
Notional Amount, Ending Balance | 12,150,000,000 | ' |
Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) | 1,348,000 | ' |
Purchase of TBAs | ' | ' |
Derivative Interest Rate Swaptions [Roll Forward] | ' | ' |
Notional Amount, Beginning Balance | 0 | ' |
Additions | 591,000,000 | ' |
Settlement, Termination, Expiration or Exercise | -250,000,000 | ' |
Notional Amount, Ending Balance | 341,000,000 | ' |
Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) | 63,000 | ' |
Sale of TBAs | ' | ' |
Derivative Interest Rate Swaptions [Roll Forward] | ' | ' |
Notional Amount, Beginning Balance | 0 | ' |
Additions | 1,697,000,000 | ' |
Settlement, Termination, Expiration or Exercise | -931,000,000 | ' |
Notional Amount, Ending Balance | 766,000,000 | ' |
Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) | -4,406,000 | ' |
Options Held | ' | ' |
Interest Rate Swaps [Line Items] | ' | ' |
Option Cost | 10,328,000 | ' |
Option Fair Value | 3,014,000 | ' |
Average Term | '6 months 21 days | ' |
Options Held | Payer Swaption | Maximum | ' | ' |
Interest Rate Swaps [Line Items] | ' | ' |
Option Cost | 4,688,000 | ' |
Option Fair Value | 186,000 | ' |
Average Months to Expiration | '6 months | ' |
Average Term | '3 months 30 days | ' |
Options Held | Payer Swaption | Minimum | ' | ' |
Interest Rate Swaps [Line Items] | ' | ' |
Option Cost | 5,640,000 | ' |
Option Fair Value | 2,828,000 | ' |
Average Months to Expiration | '6 months | ' |
Average Term | '9 months 3 days | ' |
Underlying Swap | ' | ' |
Interest Rate Swaps [Line Items] | ' | ' |
Underlying Swap Average Fixed Pay Rate | 3.13% | ' |
Average Term | '6 years 8 months 5 days | ' |
Underlying Swap | Payer Swaption | Maximum | ' | ' |
Interest Rate Swaps [Line Items] | ' | ' |
Underlying Swap Average Fixed Pay Rate | 2.96% | ' |
Underlying Swap Average Receive Rate | '3M Libor | ' |
Average Term | '5 years 4 days | ' |
Underlying Swap | Payer Swaption | Minimum | ' | ' |
Interest Rate Swaps [Line Items] | ' | ' |
Underlying Swap Average Fixed Pay Rate | 3.29% | ' |
Underlying Swap Average Receive Rate | '3M Libor | ' |
Average Term | '8 years 2 months 12 days | ' |
US Treasury Futures Contracts | ' | ' |
Derivative Interest Rate Swaptions [Roll Forward] | ' | ' |
Notional Amount, Beginning Balance | 100,000,000 | ' |
Additions | 1,139,600,000 | ' |
Settlement, Termination, Expiration or Exercise | -989,500,000 | ' |
Notional Amount, Ending Balance | 250,100,000 | ' |
Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) | -8,937,000 | ' |
Currency Forward | ' | ' |
Derivative Interest Rate Swaptions [Roll Forward] | ' | ' |
Notional Amount, Beginning Balance | 0 | ' |
Additions | 71,864,000 | ' |
Settlement, Termination, Expiration or Exercise | -33,756,000 | ' |
Notional Amount, Ending Balance | 38,108,000 | ' |
Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) | 330,000 | ' |
Interest Rate Swaption | ' | ' |
Derivative Interest Rate Swaptions [Roll Forward] | ' | ' |
Notional Amount, Ending Balance | 1,050,000,000 | ' |
Interest Rate Swaption | Payer Swaption | Maximum | ' | ' |
Derivative Interest Rate Swaptions [Roll Forward] | ' | ' |
Notional Amount, Ending Balance | 500,000,000 | ' |
Interest Rate Swaption | Payer Swaption | Minimum | ' | ' |
Derivative Interest Rate Swaptions [Roll Forward] | ' | ' |
Notional Amount, Ending Balance | $550,000,000 | ' |
Derivatives_and_Hedging_Activi5
Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments Classification on Balance Sheet (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets, at fair value | $74,421 | $262,059 |
Derivative liabilities, at fair value | 222,559 | 263,204 |
Asset Derivatives | Interest Rate Swap Asset | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets, at fair value | 68,214 | 256,449 |
Asset Derivatives | CDS Contract | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets, at fair value | 469 | 654 |
Asset Derivatives | Swaptions | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets, at fair value | 3,014 | 2,365 |
Asset Derivatives | TBAs | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets, at fair value | 608 | 0 |
Asset Derivatives | US Treasury Futures Contracts | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets, at fair value | 1,036 | 2,591 |
Asset Derivatives | Currency Forward | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative assets, at fair value | 1,080 | 0 |
Liability Derivatives | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative liabilities, at fair value | 188,900 | ' |
Liability Derivatives | Interest Rate Swap Liability | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative liabilities, at fair value | 221,084 | 263,204 |
Liability Derivatives | TBAs | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative liabilities, at fair value | 1,475 | ' |
Liability Derivatives | US Treasury Futures Contracts | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative liabilities, at fair value | ' | $0 |
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, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Gain (loss) on derivative instruments, net | ($3,704) | ($6,887) | ($322,832) | $44,424 |
Designated as Hedging Instrument | Cash Flow Hedging | Interest Rate Swap | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Amount of gain (loss) recognized in OCI on derivative (effective portion) | 0 | -74,098 | 0 | 183,391 |
Designated as Hedging Instrument | Cash Flow Hedging | Interest Rate Swap | Interest expense | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Amount of gain (loss) reclassified from accumulated OCI into income (effective portion) | -21,227 | -43,583 | -64,055 | -116,553 |
Designated as Hedging Instrument | 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) | 0 | 298 | 0 | 591 |
Not Designated as Hedging Instrument | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Gain (loss) on derivative instruments, net | -3,704 | -6,887 | -322,832 | 44,424 |
Not Designated as Hedging Instrument | Interest Rate Swap | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Gain (loss) on derivative instruments, net | -1,389 | 298 | -298,860 | 591 |
Not Designated as Hedging Instrument | CDS Contract | Realized and unrealized credit default swap income | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Gain (loss) on derivative instruments, net | -78 | -175 | -185 | -743 |
Not Designated as Hedging Instrument | Futures Contract | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Gain (loss) on derivative instruments, net | $1,035 | ($3,369) | ($10,493) | ($3,369) |
Derivatives_and_Hedging_Activi7
Derivatives and Hedging Activities - Additional Information (Detail) (USD $) | 9 Months Ended | 3 Months Ended | 9 Months Ended | 12 Months Ended | 9 Months Ended | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Dec. 31, 2011 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | |
Agents | Liability Derivatives | Agency RMBS | Interest Rate Swaption | Interest Rate Swaption | Credit Default Swap (CDS) | Minimum | Interest expense | Interest expense | Central Clearing Counterparty | ||||
Liability Derivatives | |||||||||||||
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 | $14,595,208,000 | ' | $14,050,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
AOCI related to derivatives reclassed as an increase to interest expense | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 21,200,000 | 64,100,000 | ' |
AOCI related to derivatives to be reclassified to interest expenses within Next 12 months | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 72,300,000 | 72,300,000 | ' |
Cash margin deposits | 28,499,000 | ' | 1,500,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Agency RMBS pledged as collateral against swap contracts | 236,100,000 | ' | ' | 42,200,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Derivative posted cash collateral | ' | ' | ' | 35,400,000 | ' | 236,100,000 | ' | ' | ' | ' | ' | ' | ' |
Realized loss on interest rate swaption | ' | ' | ' | ' | ' | ' | ' | 23,300,000 | ' | ' | ' | ' | ' |
Unrealized gain (loss), net | -133,863,000 | -21,810,000 | ' | ' | ' | ' | -2,200,000 | 13,600,000 | ' | ' | ' | ' | ' |
Minimum amount of shareholders' equity needed to be maintained | ' | ' | ' | ' | ' | ' | ' | ' | ' | 100,000,000 | ' | ' | ' |
Minimum market value needed to be maintained | ' | ' | ' | ' | ' | ' | ' | ' | ' | 80,000,000 | ' | ' | ' |
Derivatives, Liabilities | $222,559,000 | ' | $263,204,000 | ' | $188,900,000 | ' | ' | ' | ' | ' | ' | ' | $29,600,000 |
Derivatives_and_Hedging_Activi8
Derivatives and Hedging Activities - Derivatives not Designated as Hedging Instrument (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Unrealized gain (loss), net | ' | ' | ($133,863) | ($21,810) |
Gain (loss) on derivatives, net | -3,704 | -6,887 | -322,832 | 44,424 |
Not Designated as Hedging Instrument | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Realized gain (loss) on settlement, termination, expiration or exercise, net | -1,016 | 39,075 | -34,877 | 66,234 |
Contractual interest expense | -50,446 | ' | -154,092 | ' |
Unrealized gain (loss), net | 47,758 | -45,962 | -133,863 | -21,810 |
Gain (loss) on derivatives, net | -3,704 | -6,887 | -322,832 | 44,424 |
Interest Rate Swap | Not Designated as Hedging Instrument | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Realized gain (loss) on settlement, termination, expiration or exercise, net | 1,348 | 0 | 1,348 | 0 |
Contractual interest expense | -50,446 | ' | -154,092 | ' |
Unrealized gain (loss), net | 47,709 | 298 | -146,116 | 591 |
Gain (loss) on derivatives, net | -1,389 | 298 | -298,860 | 591 |
Interest Rate Swaption | Not Designated as Hedging Instrument | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Realized gain (loss) on settlement, termination, expiration or exercise, net | 0 | 39,075 | -23,275 | 66,234 |
Unrealized gain (loss), net | -2,185 | -42,891 | 13,596 | -19,032 |
Gain (loss) on derivatives, net | -2,185 | -3,816 | -9,679 | 47,202 |
TBAs | Not Designated as Hedging Instrument | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Realized gain (loss) on settlement, termination, expiration or exercise, net | -2,943 | ' | -4,343 | ' |
Unrealized gain (loss), net | 368 | ' | -867 | ' |
Gain (loss) on derivatives, net | -2,575 | ' | -5,210 | ' |
Futures Contract | Not Designated as Hedging Instrument | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Realized gain (loss) on settlement, termination, expiration or exercise, net | 249 | 0 | -8,937 | 0 |
Unrealized gain (loss), net | 786 | -3,369 | -1,556 | -3,369 |
Gain (loss) on derivatives, net | 1,035 | -3,369 | -10,493 | -3,369 |
Currency Forward | Not Designated as Hedging Instrument | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Realized gain (loss) on settlement, termination, expiration or exercise, net | 330 | ' | 330 | ' |
Unrealized gain (loss), net | 1,080 | ' | 1,080 | ' |
Gain (loss) on derivatives, net | $1,410 | ' | $1,410 | ' |
Offsetting_Assets_and_Liabilit2
Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Offsetting [Abstract] | ' | ' | ||
Derivatives, Gross Amounts of Recognized Assets | $74,421 | $262,059 | ||
Derivatives, Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 | ||
Derivatives, Net Amounts of Assets presented in the Consolidated Balance Sheet | 74,421 | 262,059 | ||
Derivatives, Financial Instruments | -11,247 | [1] | -671 | [1] |
Derivatives, Cash Collateral Received | -63,174 | -48,607 | ||
Derivatives, Net Amount | $0 | $212,781 | ||
[1] | Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at September 30, 2014 and December 31, 2013, subject to a netting arrangement. |
Offsetting_Assets_and_Liabilit3
Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities and Repurchase Agreements (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Offsetting [Abstract] | ' | ' | ||
Derivative liabilities, at fair value | $222,559 | $263,204 | ||
Derivatives, Gross Amounts Offset in the Consolidated Balance Sheet, Derivatives | 0 | 0 | ||
Derivatives, Net Amounts of Liabilities presented in the Consolidated Balance Sheet | 222,559 | 263,204 | ||
Derivatives, Financial Instruments | -222,559 | [1],[2],[3] | -263,204 | [1],[2] |
Derivatives, Cash Collateral Posted | 0 | [1],[3],[4] | 0 | [1],[4] |
Derivatives, Net Amount | 0 | 0 | ||
Repurchase agreements | 13,571,889 | 15,451,675 | ||
Repurchase Agreements, Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 | ||
Repurchase Agreements, Net Amounts of Liabilities presented in the Consolidated Balance Sheet | 13,571,889 | 15,451,675 | ||
Repurchase Agreements, Financial Instruments | -13,571,889 | [1],[2],[3] | -15,451,675 | [1],[2] |
Repurchase Agreements, Cash Collateral Posted | 0 | [1],[3],[4] | 0 | [1],[4] |
Repurchase Agreements, Net Amount | 0 | 0 | ||
Secured Loans, Gross Amounts of Recognized Liabilities | 1,250,000 | ' | ||
Secured Loans, Net Amounts of Assets Presented in the Consolidated Balance Sheets | 1,250,000 | ' | ||
Secured Loans, Collateral, Financial Instruments | -1,250,000 | [1],[2],[3] | ' | |
Secured Loans, Collateral, Cash | 0 | [1],[3],[4] | ' | |
Secured Loans, Net Amount | 0 | ' | ||
Gross Amounts of Recognized Liabilities | 15,044,448 | 15,714,879 | ||
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 | ||
Net Amounts of Liabilities presented in the Consolidated Balance Sheet | 15,044,448 | 15,714,879 | ||
Financial Instruments | -15,044,448 | [1],[2],[3] | -15,714,879 | [1],[2] |
Cash Collateral Posted | 0 | [1],[3],[4] | 0 | [1],[4] |
Net Amount | $0 | $0 | ||
[1] | Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. | |||
[2] | The fair value of securities pledged against the Company's borrowing under repurchase agreements was $15.2 billion and $17.1 billion at September 30, 2014 and December 31, 2013, respectively, including securities held as collateral that are eliminated in consolidation of $324.1 million and $133.8 million, respectively at September 30, 2014 and December 31, 2013. | |||
[3] | The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $1.5 billion and $0 at September 30, 2014 and December 31, 2013, respectively. | |||
[4] | Total cash received on the Company's derivatives was $35.4 million and $52.7 million at September 30, 2014 and December 31, 2013, respectively. Total non-cash collateral received on the Company's derivatives was $42.2 million and $207.0 million at September 30, 2014 and December 31, 2013, respectively. Total cash posted by the Company on its Derivatives was $28.5 million and $1.5 million at September 30, 2014 and December 31, 2013, 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, 2014 | Dec. 31, 2013 | |
Offsetting Liabilities [Line Items] | ' | ' |
Fair value of securities pledged under repurchase agreement | $15,200,000,000 | $17,100,000,000 |
Due from counterparties | 28,499,000 | 1,500,000 |
Collateral pledged against secured loans | 1,540,000,000 | 0 |
Derivative | ' | ' |
Offsetting Liabilities [Line Items] | ' | ' |
Collateral cash received on derivatives | 35,400,000 | 52,700,000 |
Non Cash collateral received on derivatives | 42,200,000 | 207,000,000 |
Consolidation, Eliminations | ' | ' |
Offsetting Liabilities [Line Items] | ' | ' |
Fair value of securities pledged under repurchase agreement | $324,100,000 | $133,800,000 |
Financial_Instruments_Fair_Val
Financial Instruments - Fair Values Measured on Recurring Basis (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
In Thousands, unless otherwise specified | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | $17,297,034 | [1] | $17,348,657 | [1] |
Investments in unconsolidated ventures, at fair value | 42,281 | 44,403 | ||
Derivative assets, at fair value | 74,421 | 262,059 | ||
Total, Assets | 17,413,736 | 17,655,119 | ||
Derivatives, Liabilities | 222,559 | 263,204 | ||
Total | 222,559 | 263,204 | ||
Level 1 | ' | ' | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ||
Derivative assets, at fair value | 1,036 | 2,591 | ||
Total, Assets | 1,036 | 2,591 | ||
Derivatives, Liabilities | 0 | ' | ||
Total | 0 | ' | ||
Level 2 | ' | ' | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ||
Mortgage-backed securities, at fair value | 17,297,034 | [1] | 17,348,657 | [1] |
Derivative assets, at fair value | 72,916 | 258,814 | ||
Total, Assets | 17,369,950 | 17,607,471 | ||
Derivatives, Liabilities | 222,559 | 263,204 | ||
Total | 222,559 | 263,204 | ||
Level 3 | ' | ' | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ||
Investments in unconsolidated ventures, at fair value | 42,281 | 44,403 | ||
Derivative assets, at fair value | 469 | 654 | ||
Total, Assets | $42,750 | $45,057 | ||
[1] | For more detail about the fair value of the Company's MBS, refer to Note 4 - "Mortgage-Backed Securities." |
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, 2014 | Dec. 31, 2013 |
Investments In Unconsolidated Ventures | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' |
Beginning balance | $44,403 | $35,301 |
Purchases | 2,212 | 11,717 |
Sales and settlements | -9,814 | -7,960 |
Realized gains/(losses), net | 6,394 | 2,757 |
Unrealized gains/(losses), net | -914 | 2,588 |
Unrealized gains/(losses), net included in other comprehensive income | 0 | 0 |
Ending balance | 42,281 | 44,403 |
CDS Contract | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ' | ' |
Beginning balance | 654 | 1,519 |
Unrealized gains/(losses), net | -185 | -865 |
Unrealized gains/(losses), net included in other comprehensive income | 0 | 0 |
Ending balance | $469 | $654 |
Financial_Instruments_Quantita
Financial Instruments - Quantitative Information About Level 3 Fair Value Measurements (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | CDS Contract | CDS Contract | CDS Contract | Swap Rate | Swap Rate | Discount Rate | Discount Rate | Credit Spread | Credit Spread | Constant Prepayment Rate | Constant Prepayment Rate | Constant Prepayment Rate | Constant Prepayment Rate | Constant Prepayment Rate | Constant Prepayment Rate | Constant Default Rate | Constant Default Rate | Constant Default Rate | Constant Default Rate | Constant Default Rate | Constant Default Rate | Loss Severity | Loss Severity | Loss Severity | Loss Severity | Loss Severity | Loss Severity |
Minimum | Minimum | Maximum | Maximum | Minimum | Minimum | Maximum | Maximum | Minimum | Minimum | Maximum | Maximum | ||||||||||||||||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Fair Value | $469 | $654 | $1,519 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Range | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1.00% | 1.00% | 20.00% | 20.00% | ' | ' | 0.60% | 0.80% | 100.00% | 100.00% | ' | ' | 0.90% | 3.00% | 64.90% | 63.70% |
Weighted Average | ' | ' | ' | 2.39% | 2.39% | 0.74% | 0.50% | 0.24% | 0.25% | 5.48% | 5.76% | ' | ' | ' | ' | 4.19% | 4.89% | ' | ' | ' | ' | 39.22% | 43.31% | ' | ' | ' | ' |
Financial_Instruments_Carrying
Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Carrying value | ' | ' |
Financial Instruments [Line Items] | ' | ' |
Other investments | $62,500 | $10,000 |
Total | 3,310,641 | 1,884,861 |
Repurchase agreements | 13,571,889 | 15,451,675 |
Federal Home Loan Bank Borrowings, Fair Value Disclosure | 1,250,000 | 0 |
Asset-backed securities | 2,745,940 | 1,643,741 |
Exchangeable senior notes | 400,000 | 400,000 |
Total | 17,967,829 | 17,495,416 |
Carrying value | Residential Loans Held For Investment | ' | ' |
Financial Instruments [Line Items] | ' | ' |
Mortgage loans, held-for-investment | 3,103,434 | 1,810,262 |
Carrying value | Commercial Loans Held For Investment | ' | ' |
Financial Instruments [Line Items] | ' | ' |
Mortgage loans, held-for-investment | 144,707 | 64,599 |
Estimated fair value | ' | ' |
Financial Instruments [Line Items] | ' | ' |
Other investments | 62,500 | 10,000 |
Total | 3,258,772 | 1,783,984 |
Repurchase agreements | 13,578,855 | 15,459,452 |
Federal Home Loan Bank Borrowings, Fair Value Disclosure | 1,250,000 | 0 |
Asset-backed securities | 2,683,009 | 1,543,217 |
Exchangeable senior notes | 390,750 | 368,250 |
Total | 17,902,614 | 17,370,919 |
Estimated fair value | Residential Loans Held For Investment | ' | ' |
Financial Instruments [Line Items] | ' | ' |
Mortgage loans, held-for-investment | 3,051,565 | 1,709,385 |
Estimated fair value | Commercial Loans Held For Investment | ' | ' |
Financial Instruments [Line Items] | ' | ' |
Mortgage loans, held-for-investment | $144,707 | $64,599 |
Financial_Instruments_Addition
Financial Instruments - Additional Information (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Debt Securities | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' | ' |
Fair value of CDS contract | $8,000 | ' | ' |
Debt security | $62,500,000 | $10,000,000 | $10,000,000 |
Debt maturity date | ' | ' | 31-Oct-16 |
Related_Party_Transactions_Add
Related Party Transactions - Additional Information (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | |
Related Party Transaction [Line Items] | ' | ' | ' | ' |
Management fee – related party | $9,214,000 | $10,945,000 | $27,876,000 | $32,106,000 |
Management fees accrued but not paid | 9,200,000 | 10,900,000 | 9,200,000 | 10,900,000 |
Manager | ' | ' | ' | ' |
Related Party Transaction [Line Items] | ' | ' | ' | ' |
Fee paid by Company to Manager as percentage of Company's shareholders' equity | ' | ' | 1.50% | ' |
Management fee – related party | 9,214,000 | 10,945,000 | 27,876,000 | 32,106,000 |
Management fees accrued but not paid | $9,200,000 | $10,900,000 | $9,200,000 | $10,900,000 |
Related_Party_Transactions_Sch
Related Party Transactions Schedule of Related Party Transactions (Details) (Manager, USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | ' | ' | ' | ' |
Total incurred costs, originally paid by the Manager | $1,274 | $973 | $4,373 | $3,897 |
Incurred costs, prepaid or expensed | ' | ' | ' | ' |
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | ' | ' | ' | ' |
Total incurred costs, originally paid by the Manager | 1,274 | 966 | 4,373 | 3,472 |
Incurred costs, charged against equity as a cost of raising capital | ' | ' | ' | ' |
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | ' | ' | ' | ' |
Total incurred costs, originally paid by the Manager | 0 | 0 | 0 | 418 |
Incurred costs, capitalized to other assets | ' | ' | ' | ' |
Summary of Investments, Other than Investments in Related Parties, Reportable Data [Line Items] | ' | ' | ' | ' |
Total incurred costs, originally paid by the Manager | $0 | $7 | $0 | $7 |
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 | 0 Months Ended | 9 Months Ended | 1 Months Ended | 0 Months Ended | 9 Months Ended | 9 Months Ended | 1 Months Ended | 9 Months Ended | 3 Months Ended | ||||||||||
Mar. 31, 2014 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | Mar. 31, 2014 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 15, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 15, 2014 | Sep. 30, 2014 | Dec. 02, 2013 | Dec. 12, 2011 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Sep. 30, 2014 | Mar. 31, 2013 | |
Restricted Stock Units (RSUs) | Employee And Officer | Employee And Officer | Employee And Officer | Employee And Officer | DRSPP | Incentive Plan | Series A Cumulative Redeemable Preferred Stock | Series A Cumulative Redeemable Preferred Stock | Series B Cumulative Redeemable Preferred Stock | Common Stock | Common Stock | Common Stock | Common Stock | Preferred Stock | Preferred Stock | Preferred Stock | Three-month LIBOR rate | Exchangeable Senior Notes | |||||||
Series A Cumulative Redeemable Preferred Stock | Series B Cumulative Redeemable Preferred Stock | Series B Cumulative Redeemable Preferred Stock | Series B Cumulative Redeemable Preferred Stock | ||||||||||||||||||||||
Class of Stock [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Aggregate principal balance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $400,000,000 |
Debt instrument, maturity year | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '2018 |
Common stock shares issued | ' | 123,101,132 | ' | 123,101,132 | ' | 124,510,246 | ' | ' | ' | ' | ' | 11,459 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Price of per share of stock issued | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $16.71 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds from issuance of common stock | ' | ' | ' | 191,000 | 396,417,000 | ' | ' | ' | ' | ' | ' | 191,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Cost of issuance of preferred stock | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | ' | ' | ' | 5,100,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Preferred Stock, liquidation preference (dollars per share) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $25 | $25 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Preferred Stock, redemption price per share | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $25 | $25 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Preferred Stock, dividends per annum (dollars per share) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $1.94 | $1.94 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds from issuance of stock, net of offering costs (in shares) | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 0 | 6,200,000 | 6,200,000 | ' | ' |
Preferred stock dividend rate | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 7.75% | 7.75% | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Proceeds from issuance of preferred stock | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 149,900,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Preferred stock dividend variable rate spread | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 5.18% | ' |
Share repurchase program, number of shares authorized | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 20,000,000 | 7,000,000 | ' | ' | ' | ' | ' |
Repurchase of shares of common stock, shares | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,438,213 | ' | ' | ' | ' | ' | ' | ' |
Average price per repurchased common share | ' | ' | ' | $14.69 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Repurchase of shares of common stock | ' | ' | ' | 21,130,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Stock repurchase program, remaining number of shares authorized to be repurchased | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 14,841,784 | ' | ' | ' | ' | ' | ' | ' |
Common stock options reserved for issuance | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1,000,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Incentive plan termination year | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | '2019 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Compensation expense recognized | ' | $60,000 | $45,000 | $172,000 | $120,000 | ' | ' | $62,000 | $45,000 | $223,000 | $156,000 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Restricted stock issued | ' | 3,532 | 2,361 | 9,356 | 5,970 | ' | ' | ' | ' | 20,732 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock shares issued in exchange for restricted stock | 8,284 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Number of restricted stock units vested | ' | ' | ' | ' | ' | ' | 12,599 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Common stock dividend declared, per share | ' | $0.50 | $0.50 | $1.50 | $1.80 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0.50 | ' | ' | ' | ' | ' | ' | ' | ' |
Dividend payable date | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 27-Oct-14 | ' | ' | 28-Oct-14 | ' | ' | ' | ' | ' | ' | ' | ' |
Dividend payable, date of record | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | 1-Oct-14 | ' | ' | 26-Sep-14 | ' | ' | ' | ' | ' | ' | ' | ' |
Series A preferred stock dividend, per share | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | $0.48 | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Earnings_per_Common_Share_Sche
Earnings per Common Share Schedule of Earnings per Common Share (Detail) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Numerator (Income) | ' | ' | ' | ' |
Net income available to common shareholders | $30,672 | ($8,686) | ($137,820) | $214,152 |
Income allocated to exchangeable senior debt | 0 | 0 | 0 | 12,403 |
Income allocated to non-controlling interest | 394 | -63 | -1,485 | 2,392 |
Dilutive net income available to shareholders | $31,066 | ($8,749) | ($139,305) | $228,947 |
Denominator (Weighted Average Shares) | ' | ' | ' | ' |
Shares available to common shareholders | 123,098 | 135,220 | 123,105 | 133,094 |
Restricted Stock Awards | 46 | 0 | 0 | 34 |
OP Units | 1,425 | 1,425 | 1,425 | 1,425 |
Exchangeable senior notes | 0 | 0 | 0 | 12,519 |
Dilutive Shares | 124,569 | 136,645 | 124,530 | 147,072 |
Earnings_per_Common_Share_Addi
Earnings per Common Share Additional Information (Details) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | |
Exchangeable Senior Notes | ' | ' | ' | ' |
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ' | ' | ' | ' |
Antidilutive securities excluded from computation of earnings per share | 16,836,000 | 16,836,000 | 16,836,000 | 16,836,000 |
Restricted Stock Units (RSUs) | ' | ' | ' | ' |
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ' | ' | ' | ' |
Antidilutive securities excluded from computation of earnings per share | 0 | 38,000 | 44,000 | 38,000 |
Noncontrolling_InterestOperati2
Non-controlling Interest-Operating Partnership - Additional Information (Detail) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2013 |
In Thousands, except Share data, unless otherwise specified | |||
Noncontrolling Interest [Line Items] | ' | ' | ' |
Non-controlling interest related to the outstanding of OP Units | 1,425,000 | ' | ' |
Non-controlling interest in Operating Partnership | 1.10% | ' | 1.00% |
Distributions payable to non-controlling interest | $64,976 | $66,087 | $71,037 |
Non- Controlling Interest | ' | ' | ' |
Noncontrolling Interest [Line Items] | ' | ' | ' |
Distributions payable to non-controlling interest | $713 | ' | $713 |
Noncontrolling_InterestOperati3
Non-controlling Interest-Operating Partnership (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 |
Noncontrolling Interest [Line Items] | ' | ' | ' | ' |
Income (expense) allocated | $394 | ($63) | ($1,485) | $2,392 |
Non- Controlling Interest | ' | ' | ' | ' |
Noncontrolling Interest [Line Items] | ' | ' | ' | ' |
Distribution paid to the non-controlling interest | $713 | $926 | $2,138 | $2,778 |
Subsequent_Events_Details
Subsequent Events (Details) (Series B Cumulative Redeemable Preferred Stock, USD $) | 1 Months Ended | 0 Months Ended |
Sep. 30, 2014 | Nov. 04, 2014 | |
Subsequent Event | ||
Subsequent Event [Line Items] | ' | ' |
Preferred stock dividend rate | 7.75% | 7.75% |
Series A preferred stock dividend, per share | ' | $0.57 |