Document_and_Entity_Informatio
Document and Entity Information | 3 Months Ended | |
Mar. 31, 2015 | 1-May-15 | |
Document And Entity Information [Abstract] | ||
Entity Registrant Name | Invesco Mortgage Capital Inc. | |
Trading Symbol | IVR | |
Entity Central Index Key | 1437071 | |
Current Fiscal Year End Date | -19 | |
Entity Filer Category | Large Accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | 31-Mar-15 | |
Document Fiscal Year Focus | 2015 | |
Document Fiscal Period Focus (Q1,Q2,Q3,FY) | Q1 | |
Amendment Flag | FALSE | |
Entity Common Stock, Shares Outstanding | 123,133,574 |
Condensed_Consolidated_Balance
Condensed Consolidated Balance Sheets (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
ASSETS | ||||
Mortgage-backed securities, at fair value | $17,340,595,000 | [1] | $17,248,895,000 | [1] |
Residential loans, held-for-investment | 3,597,147,000 | [2] | 3,365,003,000 | [2] |
Commercial loans, held-for-investment | 146,211,000 | 145,756,000 | ||
Cash and cash equivalents | 157,025,000 | 164,144,000 | ||
Due from counterparties | 82,215,000 | 57,604,000 | ||
Investment related receivable | 27,697,000 | 38,717,000 | ||
Accrued interest receivable | 66,144,000 | 66,044,000 | ||
Derivative assets, at fair value | 6,706,000 | 24,178,000 | ||
Deferred securitization and financing costs | 12,286,000 | 13,080,000 | ||
Other investments | 110,993,000 | 106,498,000 | ||
Other assets | 1,055,000 | 1,098,000 | ||
Total assets | 21,548,074,000 | [2] | 21,231,017,000 | [2] |
Liabilities: | ||||
Repurchase agreements | 13,333,081,000 | 13,622,677,000 | ||
Secured loans | 1,550,000,000 | 1,250,000,000 | ||
Asset-backed securities issued by securitization trusts | 3,133,527,000 | [2] | 2,929,820,000 | [2] |
Exchangeable senior notes | 400,000,000 | 400,000,000 | ||
Derivative liabilities, at fair value | 290,852,000 | 254,026,000 | ||
Dividends and distributions payable | 61,766,000 | 61,757,000 | ||
Investment related payable | 30,351,000 | 17,008,000 | ||
Accrued interest payable | 23,800,000 | 29,670,000 | ||
Collateral held payable | 4,300,000 | 14,890,000 | ||
Accounts payable and accrued expenses | 3,248,000 | 2,439,000 | ||
Due to affiliate | 9,535,000 | 9,880,000 | ||
Total liabilities | 18,840,460,000 | [2] | 18,592,167,000 | [2] |
Equity: | ||||
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 123,131,777 and 123,110,454 shares issued and outstanding, respectively | 1,231,000 | 1,231,000 | ||
Additional paid in capital | 2,532,353,000 | 2,532,130,000 | ||
Accumulated other comprehensive income | 560,358,000 | 404,559,000 | ||
Retained earnings (distributions in excess of earnings) | -700,930,000 | -612,821,000 | ||
Total stockholders’ equity | 2,678,228,000 | 2,610,315,000 | ||
Non-controlling interest | 29,386,000 | 28,535,000 | ||
Total equity | 2,707,614,000 | 2,638,850,000 | ||
Total liabilities and equity | 21,548,074,000 | 21,231,017,000 | ||
Series A Cumulative Redeemable Preferred Stock | ||||
Equity: | ||||
Preferred Stock | 135,356,000 | 135,356,000 | ||
Series B Cumulative Redeemable Preferred Stock | ||||
Equity: | ||||
Preferred Stock | 149,860,000 | 149,860,000 | ||
Variable Interest Entity, Primary Beneficiary | ||||
ASSETS | ||||
Residential loans, held-for-investment | 3,597,147,000 | 3,365,003,000 | ||
Accrued interest receivable | 11,050,000 | 10,562,000 | ||
Deferred securitization and financing costs | 4,846,000 | 5,032,000 | ||
Total assets | 3,613,043,000 | 3,380,597,000 | ||
Liabilities: | ||||
Asset-backed securities issued by securitization trusts | 3,133,527,000 | 2,929,820,000 | ||
Total liabilities | $3,142,670,000 | $2,938,512,000 | ||
[1] | For more detail about the fair value of the Company's MBS, refer to Note 4 - "Mortgage-Backed Securities." | |||
[2] | The condensed 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 March 31, 2015 and December 31, 2014, total assets of the consolidated VIEs were $3,613,043 and $3,380,597, respectively, and total liabilities of the consolidated VIEs were $3,142,670 and $2,938,512, respectively. Refer to Note 3 - "Variable Interest Entities" for further discussion. |
Condensed_Consolidated_Balance1
Condensed Consolidated Balance Sheets (Parenthetical) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, except Share data, unless otherwise specified | ||
Preferred Stock - par value | $0.01 | $0.01 |
Preferred Stock - shares authorized | 50,000,000 | 50,000,000 |
Common Stock - par value | $0.01 | $0.01 |
Common Stock - shares authorized | 450,000,000 | 450,000,000 |
Common Stock - shares issued | 123,131,777 | 123,110,454 |
Common Stock - shares outstanding | 123,131,777 | 123,110,454 |
Series A Cumulative Redeemable Preferred Stock | ||
Preferred Stock - dividend rate stated percentage | 7.75% | 7.75% |
Preferred Stock - shares issued | 5,600,000 | 5,600,000 |
Preferred Stock - shares outstanding | 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% | 7.75% |
Preferred Stock - shares issued | 6,200,000 | 6,200,000 |
Preferred Stock - shares outstanding | 6,200,000 | 6,200,000 |
Preferred Stock - liquidation preference value | $155,000 | $155,000 |
Condensed_Consolidated_Stateme
Condensed Consolidated Statements of Operations (Unaudited) (USD $) | 3 Months Ended | |||
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | ||
Interest Income | ||||
Mortgage-backed securities | $141,018 | $151,739 | ||
Residential loans | 29,374 | [1] | 17,704 | [1] |
Commercial loans | 3,115 | 1,619 | ||
Total interest income | 173,507 | 171,062 | ||
Interest Expense | ||||
Repurchase agreements | 43,310 | 49,071 | ||
Secured loans | 1,464 | 0 | ||
Exchangeable senior notes | 5,607 | 5,607 | ||
Asset-backed securities | 21,898 | [1] | 13,935 | [1] |
Total interest expense | 72,279 | 68,613 | ||
Net interest income | 101,228 | 102,449 | ||
(Reduction in) provision for loan losses | -62 | 207 | ||
Net interest income after (reduction in) provision for loan losses | 101,290 | 102,242 | ||
Other Income (loss) | ||||
Gain (loss) on sale of investments, net | 2,142 | -11,718 | ||
Equity in earnings of unconsolidated ventures | 6,006 | 441 | ||
Realized and unrealized credit default swap income | -122,745 | -151,312 | ||
Realized and unrealized credit default swap income | 203 | 329 | ||
Other investment income (loss), net | -894 | 0 | ||
Total other income (loss) | -115,288 | -162,260 | ||
Expenses | ||||
Management fee b related party | 9,415 | 9,335 | ||
General and administrative | 1,727 | 2,012 | ||
Total expenses | 13,298 | 12,531 | ||
Net loss | -27,296 | -72,549 | ||
Net loss attributable to non-controlling interest | -312 | -822 | ||
Net loss attributable to Invesco Mortgage Capital Inc. | -26,984 | -71,727 | ||
Dividends to preferred stockholders | 5,716 | 2,713 | ||
Net loss attributable to common stockholders | -32,700 | -74,440 | ||
Loss per share: | ||||
Net income attributable to common shareholders (basic) (usd per share) | ($0.27) | ($0.60) | ||
Net income attributable to common shareholders (diluted) (usd per share) | ($0.27) | ($0.60) | ||
Dividends declared per common share (usd per share) | $0.45 | $0.50 | ||
Variable Interest Entity, Primary Beneficiary | ||||
Expenses | ||||
Consolidated securitization trusts | $2,156 | [2] | $1,184 | [2] |
[1] | The condensed consolidated statements of operations include income and expenses of consolidated variable interest entities.B Refer to Note 3 - bVariable Interest Entitiesb for further discussion. | |||
[2] | The condensed consolidated balance sheets include assets of consolidated variable interest entities (bVIEsb) 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 MarchB 31, 2015 and DecemberB 31, 2014, total assets of the consolidated VIEs were $3,613,043 and $3,380,597, respectively, and total liabilities of the consolidated VIEs were $3,142,670 and $2,938,512, respectively. Refer to Note 3 - "Variable Interest Entities" for further discussion. |
Condensed_Consolidated_Stateme1
Condensed Consolidated Statements of Comprehensive Income (Unaudited) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Statement of Comprehensive Income [Abstract] | ||
Net loss | ($27,296) | ($72,549) |
Other comprehensive income (loss): | ||
Unrealized gain (loss) on mortgage-backed securities, net | 140,598 | 169,467 |
Reclassification of unrealized (gain) loss on sale of mortgage-backed securities to gain (loss) on sale of investments, net | -2,142 | 11,718 |
Reclassification of amortization of net deferred losses on de-designated interest rate swaps to repurchase agreements interest expense | 19,145 | 21,296 |
Total Other comprehensive income | 157,601 | 202,481 |
Comprehensive income | 130,305 | 129,932 |
Less: Comprehensive income attributable to non-controlling interest | -1,490 | -1,483 |
Less: Dividends to preferred stockholders | -5,716 | -2,713 |
Comprehensive income attributable to common stockholders | $123,099 | $125,736 |
Condensed_Consolidated_Stateme2
Condensed Consolidated Statement of Equity (Unaudited) (USD $) | Total | Preferred Stock | Preferred Stock | Common Stock | Additional Paid in Capital | Accumulated Other Comprehensive Income | Retained Earnings (Distributions in excess of earnings) | Total Stockholdersb Equity | Non- Controlling Interest |
In Thousands, except Share data, unless otherwise specified | Series A Cumulative Redeemable Preferred Stock | Series B Cumulative Redeemable Preferred Stock | |||||||
Beginning Balance at Dec. 31, 2014 | $2,638,850 | $135,356 | $149,860 | $1,231 | $2,532,130 | $404,559 | ($612,821) | $2,610,315 | $28,535 |
Beginning Balance (in shares) at Dec. 31, 2014 | 5,600,000 | 6,200,000 | 123,110,454 | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Net loss | -27,296 | -26,984 | -26,984 | -312 | |||||
Other comprehensive income | 157,601 | 155,799 | 155,799 | 1,802 | |||||
Proceeds from issuance of stock, net of offering costs (in shares) | 4,444 | ||||||||
Proceeds from issuance of stock, net of offering costs | 70 | 70 | 70 | ||||||
Stock awards (in shares) | 16,879 | ||||||||
Common stock dividends | -55,409 | -55,409 | -55,409 | ||||||
Common unit dividends | -641 | -641 | |||||||
Preferred stock dividends | -5,716 | -5,716 | -5,716 | ||||||
Amortization of equity-based compensation | 155 | 153 | 153 | 2 | |||||
Ending Balance at Mar. 31, 2015 | $2,707,614 | $135,356 | $149,860 | $1,231 | $2,532,353 | $560,358 | ($700,930) | $2,678,228 | $29,386 |
Ending Balance (in shares) at Mar. 31, 2015 | 5,600,000 | 6,200,000 | 123,131,777 |
Condensed_Consolidated_Stateme3
Condensed Consolidated Statements of Cash Flows (Unaudited) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Cash Flows from Operating Activities | ||
Net loss | ($27,296) | ($72,549) |
Adjustments to reconcile net loss to net cash provided by operating activities: | ||
Amortization of mortgage-backed securities premiums and (discounts), net | 29,549 | 32,390 |
Amortization of residential loans and asset-backed securities premiums (discount), net | 37 | 824 |
Amortization of commercial loan origination fees | -6 | -1 |
(Reduction in) provision for loan losses | -62 | 207 |
Unrealized (gain) loss on derivative instruments, net | 51,034 | 81,047 |
Unrealized (gain) loss on credit default swap, net | 62 | 47 |
(Gain) loss on sale of mortgage-backed securities, net | -2,142 | 11,718 |
Realized (gain) loss on derivative instruments, net | 26,103 | 18,824 |
Equity in earnings of unconsolidated ventures | -6,006 | -441 |
Amortization of equity-based compensation | 155 | 124 |
Amortization of deferred securitization and financing costs | 794 | 719 |
Reclassification of amortization of net deferred losses on de-designated interest rate swaps to repurchase agreements interest expense | 19,145 | 21,296 |
Non-cash interest income capitalized in commercial loans | 0 | -670 |
(Gain) loss on foreign currency transactions, net | 1,500 | 0 |
Changes in operating assets and liabilities: | ||
(Increase) decrease in operating assets | -53 | 1,389 |
Decrease in operating liabilities | -5,392 | -5,877 |
Net cash provided by operating activities | 87,422 | 89,047 |
Cash Flows from Investing Activities | ||
Purchase of mortgage-backed securities | -726,494 | -681,827 |
(Contributions) distributions (from) to investment in unconsolidated ventures, net | 8,761 | 2,721 |
Change in other investments | -7,250 | 9,891 |
Principal payments from mortgage-backed securities | 570,110 | 397,431 |
Proceeds from sale of mortgage-backed securities | 179,998 | 949,905 |
Payment of premiums for interest rate swaptions | -1,485 | -4,688 |
Payments for termination of futures/currency forward contracts and TBAs | -2,360 | -3,749 |
Purchase of residential loans held-for-investment | -372,305 | -283,421 |
Principal payments from residential loans held-for-investment | 138,210 | 21,951 |
Origination and advances of commercial loans, net of origination fees | -1,944 | -27,478 |
Net cash (used in) provided by investing activities | -214,759 | 380,736 |
Cash Flows from Financing Activities | ||
Proceeds from issuance of common stock | 70 | 73 |
Repurchase of common stock | 0 | -21,129 |
Cost of issuance of preferred stock | -15 | 0 |
Due from counterparties | -23,626 | -3,379 |
Collateral held payable | -10,590 | -28,231 |
Proceeds from repurchase agreements | 35,603,951 | 33,987,939 |
Principal repayments of repurchase agreements | -35,893,498 | -34,587,304 |
Proceeds from asset-backed securities issued by securitization trusts | 336,077 | 245,864 |
Principal repayments of asset-backed securities issued by securitization trusts | -130,394 | -19,258 |
Proceeds from secured loans | 600,000 | 0 |
Principal repayments on secured loans | -300,000 | 0 |
Payments of deferred costs | 0 | -512 |
Payments of dividends and distributions | -61,757 | -66,087 |
Net cash provided by (used in) financing activities | 120,218 | -492,024 |
Net change in cash and cash equivalents | -7,119 | -22,241 |
Cash and cash equivalents, beginning of period | 164,144 | 210,612 |
Cash and cash equivalents, end of period | 157,025 | 188,371 |
Supplement Disclosure of Cash Flow Information | ||
Interest paid | 59,713 | 50,363 |
Non-cash Investing and Financing Activities Information | ||
Net change in unrealized gain on mortgage-backed securities | 138,456 | 181,185 |
Dividends and distributions declared not paid | 61,766 | 64,969 |
(Receivable) / payable for mortgage-backed securities sold / purchased, net | 4,265 | 710,958 |
Repurchase agreements, not settled | -49 | |
Collateral held payable, not settled | 0 | -4,319 |
Interest rate swaps terminated, not settled | 19,055 | 0 |
Net change in due from counterparties | ($985) | $0 |
Organization_and_Business_Oper
Organization and Business Operations | 3 Months Ended | |
Mar. 31, 2015 | ||
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 March 31, 2015, 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 REIT taxable income to its stockholders 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 | 3 Months Ended |
Mar. 31, 2015 | |
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 Form 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, 2014. | |
In the opinion of management, the condensed 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 expenses are eliminated upon consolidation. | |
The condensed 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 condensed 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 condensed consolidated balance sheets. The asset-backed securities issued to third parties are recorded as liabilities on the Company's condensed consolidated balance sheets. The Company records interest income on the residential loans held-for-investment, interest expense on the asset-backed securities issued to third parties and direct operating expenses incurred by the securitization trusts in the Company's condensed 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 and 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 condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed 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. | |
Significant Accounting Policies | |
Included in Note 2 to the consolidated financial statements of the Company’s 2014 Annual Report on Form 10-K is a summary of the Company's significant accounting policies. Provided below is a summary of additional accounting policies that are significant to the Company's consolidated financial condition and results of operations for the three months ended March 31, 2015. | |
Repurchase Agreements | |
Effective January 1, 2015, the Company adopted Accounting Standard Update No. 2014-11, Transfers and Servicing (Topic 860): Repurchase-to Maturity Transactions, Repurchase Financings, and Disclosures ("ASU 2014-11"). Under the new standard, the Company no longer applies the "linked" accounting model to instances where the Company purchases mortgage-backed securities and enters into repurchase agreements to finance the purchase with the same counterparty. Purchases of mortgage-backed securities and repurchase financings are considered separately, and the repurchase agreement component of the transaction is accounted for as a secured borrowing. The Company records the mortgage-backed securities and the related repurchase agreement financing on a gross basis in its condensed consolidated balance sheets, and the corresponding interest income and interest expense on a gross basis in its condensed consolidated statements of operations. | |
None of the Company's repurchase financing transactions prior to January 1, 2015 qualified as linked transactions and were accounted for as derivatives. Accordingly, the Company did not record a cumulative effect adjustment to retained earnings as of January 1, 2015 as a result of adopting ASU 2014-11. | |
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 stockholders. | |
Recent Accounting Pronouncements Not Yet Adopted | |
In February 2015, the FASB issued modifications to existing consolidation guidance for reporting organizations that are required to evaluate whether they should consolidate certain legal entities. The guidance is effective for fiscal years and interim periods within those years beginning after December 15, 2015, and requires either a retrospective or a modified retrospective approach to adoption. Early adoption is permitted. The Company is currently evaluating the potential impact of the new guidance on its condensed consolidated financial statements, as well as the available transition methods. | |
In April 2015, the FASB issued guidance to amend the presentation of debt issuance cost related to a recognized debt liability. Under the new guidance, the debt issuance costs will be presented in the balance sheet as a direct deduction from the carrying amount of the recognized debt liability, consistent with debt discounts. The recognition and measurement guidance for debt issuance costs are not affected under the new guidance. The standard is effective for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. Early adoption is permitted. The guidance should be applied on a retrospective basis. The balance sheet of each individual period presented should be adjusted to reflect the period-specific effects of applying the new guidance. Upon adoption, an entity is required to comply with the applicable disclosures for a change in an accounting principle. These disclosures include the nature of and reason for the change in accounting principle, the transition method, a description of the prior-period information that has been retrospectively adjusted, and the effect of the change on the financial statement line items (i.e., debt issuance cost asset and the debt liability). The Company is currently evaluating the potential impact of the new guidance on its condensed consolidated financial statements. |
Variable_Interest_Entities
Variable Interest Entities | 3 Months Ended | ||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||
Variable Interest Entity Disclosure [Abstract] | |||||||||||||||||||||||||||
Variable Interest Entities | Variable Interest Entities | ||||||||||||||||||||||||||
The Company's maximum risk of loss in VIEs in which the Company is not the primary beneficiary at March 31, 2015 is presented in the table below. | |||||||||||||||||||||||||||
$ in thousands | Carrying Amount | Company's Maximum Risk of Loss | |||||||||||||||||||||||||
Non-Agency RMBS | 2,947,675 | 2,947,675 | |||||||||||||||||||||||||
CMBS | 3,456,892 | 3,456,892 | |||||||||||||||||||||||||
Total | 6,404,567 | 6,404,567 | |||||||||||||||||||||||||
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 March 31, 2015 and December 31, 2014. Intercompany balances have been eliminated for purposes of this presentation. | |||||||||||||||||||||||||||
$ in thousands | 31-Mar-15 | 31-Dec-14 | |||||||||||||||||||||||||
Residential loans, held-for-investment | 3,597,147 | 3,365,003 | |||||||||||||||||||||||||
Accrued interest receivable | 11,050 | 10,562 | |||||||||||||||||||||||||
Deferred costs | 4,846 | 5,032 | |||||||||||||||||||||||||
Total assets | 3,613,043 | 3,380,597 | |||||||||||||||||||||||||
Accrued interest and accrued expenses payable | 9,143 | 8,692 | |||||||||||||||||||||||||
Asset-backed securities issued by securitization trusts | 3,133,527 | 2,929,820 | |||||||||||||||||||||||||
Total liabilities | 3,142,670 | 2,938,512 | |||||||||||||||||||||||||
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 March 31, 2015. | |||||||||||||||||||||||||||
During the three months ended March 31, 2015, the Company invested in and consolidated one new securitization trust. The following table presents the balances of the assets and liabilities of the newly consolidated securitization trust before consolidation into the Company. The current period activity for the securitization trust is reflected in the Company’s condensed consolidated financial statements. | |||||||||||||||||||||||||||
$ in thousands | 2015 | ||||||||||||||||||||||||||
Residential loans, held-for-investment | 372,305 | ||||||||||||||||||||||||||
Accrued interest receivable | 1,236 | ||||||||||||||||||||||||||
Total assets | 373,541 | ||||||||||||||||||||||||||
Accrued interest and accrued expenses payable | 1,236 | ||||||||||||||||||||||||||
Asset-backed securities issued by securitization trusts | 372,305 | ||||||||||||||||||||||||||
Total liabilities | 373,541 | ||||||||||||||||||||||||||
The Company did not deconsolidate any securitization trusts during the three months ended March 31, 2015. | |||||||||||||||||||||||||||
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 discount and 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 March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||||
$ in thousands | 31-Mar-15 | 31-Dec-14 | |||||||||||||||||||||||||
Principal balance | 3,566,418 | 3,332,192 | |||||||||||||||||||||||||
Unamortized premium (discount), net | 31,409 | 33,553 | |||||||||||||||||||||||||
Recorded investment | 3,597,827 | 3,365,745 | |||||||||||||||||||||||||
Allowance for loan losses | (680 | ) | (742 | ) | |||||||||||||||||||||||
Carrying value | 3,597,147 | 3,365,003 | |||||||||||||||||||||||||
The following table summarizes residential loans held-for-investment at March 31, 2015 by year of origination. | |||||||||||||||||||||||||||
$ in thousands | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | Total | ||||||||||||||||||
Portfolio Characteristics: | |||||||||||||||||||||||||||
Number of Loans | 760 | 2,788 | 765 | 99 | 30 | 6 | 17 | 16 | 4,481 | ||||||||||||||||||
Current Principal Balance | 573,464 | 2,160,438 | 665,613 | 103,886 | 30,021 | 2,754 | 16,515 | 13,727 | 3,566,418 | ||||||||||||||||||
Net Weighted Average Coupon Rate | 3.49 | % | 3.47 | % | 3.25 | % | 3.38 | % | 3.7 | % | 3.69 | % | 4.96 | % | 4.73 | % | 3.44 | % | |||||||||
Weighted Average Maturity (years) | 29.13 | 28.23 | 27.7 | 26.18 | 25.63 | 24.18 | 23.34 | 22.26 | 28.15 | ||||||||||||||||||
Current Performance: | |||||||||||||||||||||||||||
Current | 571,545 | 2,158,820 | 665,613 | 103,886 | 30,021 | 2,754 | 16,515 | 13,727 | 3,562,881 | ||||||||||||||||||
30 Days Delinquent | 1,285 | 1,618 | — | — | — | — | — | — | 2,903 | ||||||||||||||||||
60 Days Delinquent | 634 | — | — | — | — | — | — | — | 634 | ||||||||||||||||||
90+ Days Delinquent | — | — | — | — | — | — | — | — | — | ||||||||||||||||||
Bankruptcy/Foreclosure | — | — | — | — | — | — | — | — | — | ||||||||||||||||||
Total | 573,464 | 2,160,438 | 665,613 | 103,886 | 30,021 | 2,754 | 16,515 | 13,727 | 3,566,418 | ||||||||||||||||||
The following table summarizes the geographic concentrations of residential loans held-for-investment at March 31, 2015 based on principal balance outstanding. | |||||||||||||||||||||||||||
State | Percent | ||||||||||||||||||||||||||
California | 53.5 | % | |||||||||||||||||||||||||
New York | 7.6 | % | |||||||||||||||||||||||||
Massachusetts | 5.8 | % | |||||||||||||||||||||||||
Illinois | 3.7 | % | |||||||||||||||||||||||||
Other states (none greater than 3%) | 29.4 | % | |||||||||||||||||||||||||
Total | 100 | % | |||||||||||||||||||||||||
The following table presents future contractual minimum annual principal payments of residential loans held-for-investment at March 31, 2015. | |||||||||||||||||||||||||||
$ in thousands | |||||||||||||||||||||||||||
Scheduled Principal | 31-Mar-15 | ||||||||||||||||||||||||||
Within one year | 62,173 | ||||||||||||||||||||||||||
One to three years | 131,815 | ||||||||||||||||||||||||||
Three to five years | 142,940 | ||||||||||||||||||||||||||
Greater than or equal to five years | 3,229,490 | ||||||||||||||||||||||||||
Total | 3,566,418 | ||||||||||||||||||||||||||
Allowance for Loan Losses on Residential Loans Held by Consolidated Securitization Trusts | |||||||||||||||||||||||||||
The following table summarizes the activity in the allowance for loan losses for the three months ended March 31, 2015 and 2014. | |||||||||||||||||||||||||||
$ in thousands | 31-Mar-15 | 31-Mar-14 | |||||||||||||||||||||||||
Balance at beginning of period | (742 | ) | (884 | ) | |||||||||||||||||||||||
Charge-offs, net | — | — | |||||||||||||||||||||||||
Reduction in (provision for) loan losses | 62 | (207 | ) | ||||||||||||||||||||||||
Balance at end of period | (680 | ) | (1,091 | ) | |||||||||||||||||||||||
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 28.80 years and 28.94 years at March 31, 2015 and December 31, 2014, respectively. 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 March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||||||||||||
ABS | Residential loans | ABS | Residential loans | ||||||||||||||||||||||||
$ in thousands | Outstanding | Held as Collateral | Outstanding | Held as Collateral | |||||||||||||||||||||||
Principal balance | 3,106,212 | 3,566,418 | 2,902,378 | 3,332,192 | |||||||||||||||||||||||
Interest-only securities | 14,574 | — | 15,040 | — | |||||||||||||||||||||||
Unamortized premium | 23,371 | 39,497 | 23,735 | 41,928 | |||||||||||||||||||||||
Unamortized discount | (10,630 | ) | (8,088 | ) | (11,333 | ) | (8,375 | ) | |||||||||||||||||||
Allowance for loan losses | — | (680 | ) | — | (742 | ) | |||||||||||||||||||||
Carrying value | 3,133,527 | 3,597,147 | 2,929,820 | 3,365,003 | |||||||||||||||||||||||
Range of weighted average interest rates | 2.8% - 4.0% | 2.8% - 4.0% | |||||||||||||||||||||||||
Number of securitization trusts consolidated | 11 | 10 | |||||||||||||||||||||||||
The following table presents the estimated principal repayment schedule of asset-backed securities issued by securitization trusts at March 31, 2015 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 | 31-Mar-15 | ||||||||||||||||||||||||||
Within one year | 411,313 | ||||||||||||||||||||||||||
One to three years | 676,771 | ||||||||||||||||||||||||||
Three to five years | 511,839 | ||||||||||||||||||||||||||
Greater than or equal to five years | 1,506,289 | ||||||||||||||||||||||||||
Total | 3,106,212 | ||||||||||||||||||||||||||
MortgageBacked_Securities
Mortgage-Backed Securities | 3 Months Ended | ||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||
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 March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||||
$ 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 | 1,718,391 | 86,529 | 1,804,920 | 35,330 | 1,840,250 | 3.77 | % | 2.54 | % | 2.21 | % | ||||||||||||||||
30 year fixed-rate | 4,239,350 | 285,902 | 4,525,252 | 98,204 | 4,623,456 | 4.29 | % | 3.02 | % | 2.99 | % | ||||||||||||||||
ARM* | 448,286 | 5,345 | 453,631 | 9,711 | 463,342 | 2.75 | % | 2.41 | % | 2.69 | % | ||||||||||||||||
Hybrid ARM | 2,806,427 | 48,919 | 2,855,346 | 48,618 | 2,903,964 | 2.77 | % | 2.28 | % | 2.28 | % | ||||||||||||||||
Total Agency pass-through | 9,212,454 | 426,695 | 9,639,149 | 191,863 | 9,831,012 | 3.65 | % | 2.68 | % | 2.62 | % | ||||||||||||||||
Agency-CMO(4) | 1,997,925 | (1,554,128 | ) | 443,797 | (548 | ) | 443,249 | 2.29 | % | 4.91 | % | 3.71 | % | ||||||||||||||
Non-Agency RMBS(5)(6) | 3,428,864 | (569,772 | ) | 2,859,092 | 88,583 | 2,947,675 | 3.55 | % | 4.03 | % | 4.35 | % | |||||||||||||||
GSE CRT(7) | 633,000 | 24,653 | 657,653 | 4,114 | 661,767 | 4.84 | % | 4.13 | % | 4.04 | % | ||||||||||||||||
CMBS(8) | 3,218,583 | 52,371 | 3,270,954 | 185,938 | 3,456,892 | 4.71 | % | 4.36 | % | 4.34 | % | ||||||||||||||||
Total | 18,490,826 | (1,620,181 | ) | 16,870,645 | 469,950 | 17,340,595 | 3.71 | % | 3.35 | % | 3.33 | % | |||||||||||||||
* Adjustable-rate mortgage ("ARM") | |||||||||||||||||||||||||||
-1 | Net weighted average coupon (“WAC”) as of March 31, 2015 is presented net of servicing and other fees. | ||||||||||||||||||||||||||
-2 | Period-end weighted average yield is based on amortized cost as of March 31, 2015 and incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates. | ||||||||||||||||||||||||||
-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 29.7% of the balance based on fair value. | ||||||||||||||||||||||||||
-5 | Non-Agency RMBS held by the Company is 52.5% variable rate, 40.3% fixed rate, and 7.2% floating rate based on fair value. | ||||||||||||||||||||||||||
-6 | Of the total discount in non-Agency RMBS, $392.5 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 1.3% of the balance based on fair value. | ||||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||||
$ 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 | 1,236,297 | 60,764 | 1,297,061 | 30,040 | 1,327,101 | 4.05 | % | 2.6 | % | 2.66 | % | ||||||||||||||||
30 year fixed-rate | 4,432,301 | 297,311 | 4,729,612 | 60,681 | 4,790,293 | 4.29 | % | 2.97 | % | 3.05 | % | ||||||||||||||||
ARM | 531,281 | 9,068 | 540,349 | 6,433 | 546,782 | 2.83 | % | 2.27 | % | 2.29 | % | ||||||||||||||||
Hybrid ARM | 2,901,078 | 50,757 | 2,951,835 | 25,083 | 2,976,918 | 2.78 | % | 2.34 | % | 2.24 | % | ||||||||||||||||
Total Agency pass-through | 9,100,957 | 417,900 | 9,518,857 | 122,237 | 9,641,094 | 3.69 | % | 2.68 | % | 2.71 | % | ||||||||||||||||
Agency-CMO(4) | 1,957,296 | (1,502,785 | ) | 454,511 | (3,616 | ) | 450,895 | 2.34 | % | 4.57 | % | 3.62 | % | ||||||||||||||
Non-Agency RMBS(5)(6) | 3,555,249 | (583,890 | ) | 2,971,359 | 90,288 | 3,061,647 | 3.7 | % | 4.12 | % | 4.86 | % | |||||||||||||||
GSE CRT(7) | 615,000 | 25,573 | 640,573 | (15,149 | ) | 625,424 | 4.85 | % | 4.11 | % | 4.02 | % | |||||||||||||||
CMBS(8) | 3,277,208 | 54,893 | 3,332,101 | 137,734 | 3,469,835 | 4.74 | % | 4.39 | % | 4.38 | % | ||||||||||||||||
Total | 18,505,710 | (1,588,309 | ) | 16,917,401 | 331,494 | 17,248,895 | 3.74 | % | 3.38 | % | 3.49 | % | |||||||||||||||
-1 | Net WAC as of December 31, 2014 is presented net of servicing and other fees. | ||||||||||||||||||||||||||
-2 | Period-end weighted average yield based on amortized cost as of December 31, 2014 incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates. | ||||||||||||||||||||||||||
-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 29.1% of the balance based on fair value. | ||||||||||||||||||||||||||
-5 | Non-Agency RMBS held by the Company is 52.8% variable rate, 40.1% fixed rate, and 7.1% floating rate based on fair value. | ||||||||||||||||||||||||||
-6 | Of the total discount in non-Agency RMBS, $405.5 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 1.3% of the balance based on fair value. | ||||||||||||||||||||||||||
The following table summarizes the Company's non-Agency RMBS portfolio by asset type as of March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||||
$ in thousands | 31-Mar-15 | % of Non-Agency | 31-Dec-14 | % of Non-Agency | |||||||||||||||||||||||
Re-REMIC | 954,523 | 32.4 | % | 1,000,635 | 32.7 | % | |||||||||||||||||||||
Prime | 929,961 | 31.5 | % | 969,849 | 31.7 | % | |||||||||||||||||||||
Alt-A | 674,373 | 22.9 | % | 694,467 | 22.7 | % | |||||||||||||||||||||
Subprime/reperforming | 388,818 | 13.2 | % | 396,696 | 12.9 | % | |||||||||||||||||||||
Total Non-Agency | 2,947,675 | 100 | % | 3,061,647 | 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 March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||||
Percentage of Re-REMIC Holdings at Fair Value | |||||||||||||||||||||||||||
Re-REMIC Subordination(1) | 31-Mar-15 | 31-Dec-14 | |||||||||||||||||||||||||
0% - 10% | 7.3 | % | 7 | % | |||||||||||||||||||||||
10% - 20% | 4.5 | % | 4.4 | % | |||||||||||||||||||||||
20% - 30% | 11.9 | % | 11.9 | % | |||||||||||||||||||||||
30% - 40% | 25.7 | % | 26.1 | % | |||||||||||||||||||||||
40% - 50% | 31.5 | % | 31.8 | % | |||||||||||||||||||||||
50% - 60% | 15.5 | % | 15.2 | % | |||||||||||||||||||||||
60% - 70% | 3.6 | % | 3.6 | % | |||||||||||||||||||||||
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 March 31, 2015 and December 31, 2014 are presented below. | |||||||||||||||||||||||||||
$ in thousands | 31-Mar-15 | 31-Dec-14 | |||||||||||||||||||||||||
Principal balance | 18,490,826 | 18,505,710 | |||||||||||||||||||||||||
Unamortized premium | 552,865 | 549,816 | |||||||||||||||||||||||||
Unamortized discount | (2,173,046 | ) | (2,138,125 | ) | |||||||||||||||||||||||
Gross unrealized gains | 533,661 | 439,706 | |||||||||||||||||||||||||
Gross unrealized losses | (63,711 | ) | (108,212 | ) | |||||||||||||||||||||||
Fair value | 17,340,595 | 17,248,895 | |||||||||||||||||||||||||
The following table summarizes the Company’s MBS portfolio according to estimated weighted average life classifications as of March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||||
$ in thousands | 31-Mar-15 | 31-Dec-14 | |||||||||||||||||||||||||
Less than one year | 511,744 | 440,471 | |||||||||||||||||||||||||
Greater than one year and less than five years | 8,899,541 | 7,997,709 | |||||||||||||||||||||||||
Greater than or equal to five years | 7,929,310 | 8,810,715 | |||||||||||||||||||||||||
Total | 17,340,595 | 17,248,895 | |||||||||||||||||||||||||
The following tables present the estimated fair value and gross unrealized losses of the Company's MBS by length of time that such securities have been in a continuous unrealized loss position at March 31, 2015 and December 31, 2014. | |||||||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||||
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 | 362,706 | (320 | ) | 9 | 80,040 | (378 | ) | 5 | 442,746 | (698 | ) | 14 | |||||||||||||||
30 year fixed-rate | 386,616 | (2,830 | ) | 14 | 1,243,419 | (20,710 | ) | 45 | 1,630,035 | (23,540 | ) | 59 | |||||||||||||||
ARM | — | — | — | — | — | — | — | — | — | ||||||||||||||||||
Hybrid ARM | 73,052 | (68 | ) | 4 | 12,670 | (66 | ) | 2 | 85,722 | (134 | ) | 6 | |||||||||||||||
Total Agency pass-through | 822,374 | (3,218 | ) | 27 | 1,336,129 | (21,154 | ) | 52 | 2,158,503 | (24,372 | ) | 79 | |||||||||||||||
Agency-CMO | 31,907 | (4,171 | ) | 16 | 161,321 | (8,231 | ) | 11 | 193,228 | (12,402 | ) | 27 | |||||||||||||||
Non-Agency RMBS | 524,866 | (4,180 | ) | 30 | 363,863 | (10,867 | ) | 25 | 888,729 | (15,047 | ) | 55 | |||||||||||||||
GSE CRT | 204,279 | (11,717 | ) | 9 | — | — | — | 204,279 | (11,717 | ) | 9 | ||||||||||||||||
CMBS | 58,151 | (87 | ) | 7 | 32,662 | (86 | ) | 2 | 90,813 | (173 | ) | 9 | |||||||||||||||
Total | 1,641,577 | (23,373 | ) | 89 | 1,893,975 | (40,338 | ) | 90 | 3,535,552 | (63,711 | ) | 179 | |||||||||||||||
December 31, 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 | 10,897 | (42 | ) | 1 | 105,644 | (1,395 | ) | 6 | 116,541 | (1,437 | ) | 7 | |||||||||||||||
30 year fixed-rate | 137,680 | (2,662 | ) | 5 | 1,756,894 | (40,181 | ) | 62 | 1,894,574 | (42,843 | ) | 67 | |||||||||||||||
ARM | 24,074 | (9 | ) | 1 | 3,719 | (23 | ) | 1 | 27,793 | (32 | ) | 2 | |||||||||||||||
Hybrid ARM | 630,775 | (1,544 | ) | 28 | 20,361 | (197 | ) | 2 | 651,136 | (1,741 | ) | 30 | |||||||||||||||
Total Agency pass-through | 803,426 | (4,257 | ) | 35 | 1,886,618 | (41,796 | ) | 71 | 2,690,044 | (46,053 | ) | 106 | |||||||||||||||
Agency-CMO | 36,723 | (6,192 | ) | 18 | 265,863 | (9,481 | ) | 10 | 302,586 | (15,673 | ) | 28 | |||||||||||||||
Non-Agency RMBS | 573,122 | (5,799 | ) | 34 | 354,532 | (11,990 | ) | 21 | 927,654 | (17,789 | ) | 55 | |||||||||||||||
GSE CRT | 306,603 | (25,346 | ) | 13 | — | — | — | 306,603 | (25,346 | ) | 13 | ||||||||||||||||
CMBS | 134,364 | (277 | ) | 11 | 227,452 | (3,074 | ) | 19 | 361,816 | (3,351 | ) | 30 | |||||||||||||||
Total | 1,854,238 | (41,871 | ) | 111 | 2,734,465 | (66,341 | ) | 121 | 4,588,703 | (108,212 | ) | 232 | |||||||||||||||
Gross unrealized losses on the Company’s Agency RMBS were $24.4 million at March 31, 2015. Due to the inherent credit quality of Agency RMBS, the Company determined that at March 31, 2015, 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 $39.3 million at March 31, 2015. 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 a quarterly basis. | |||||||||||||||||||||||||||
The following table presents the impact of the Company’s MBS on its accumulated other comprehensive income for the three months ended March 31, 2015 and 2014. | |||||||||||||||||||||||||||
$ in thousands | Three Months | Three Months | |||||||||||||||||||||||||
ended | ended | ||||||||||||||||||||||||||
March 31, 2015 | March 31, 2014 | ||||||||||||||||||||||||||
Accumulated other comprehensive income from investment securities: | |||||||||||||||||||||||||||
Unrealized gain (loss) on MBS at beginning of period | 331,494 | (151,371 | ) | ||||||||||||||||||||||||
Unrealized gain (loss) on MBS, net | 138,456 | 181,185 | |||||||||||||||||||||||||
Balance at the end of period | 469,950 | 29,814 | |||||||||||||||||||||||||
During the three months ended March 31, 2015 and 2014, the Company reclassified $2.1 million of net unrealized gains and $11.7 million of net unrealized losses, respectively, from other comprehensive income into gain (loss) on sale of investments as a result of the Company selling certain investments. The following table summarizes the Company's gross realized gains and losses during the three months ended March 31, 2015 and 2014. | |||||||||||||||||||||||||||
$ in thousands | Three Months | Three Months | |||||||||||||||||||||||||
ended | ended | ||||||||||||||||||||||||||
March 31, 2015 | March 31, 2014 | ||||||||||||||||||||||||||
Gross realized gains on sale of investments | 2,964 | 7,729 | |||||||||||||||||||||||||
Gross realized losses on sale of investments | (822 | ) | (19,447 | ) | |||||||||||||||||||||||
Net realized gains (losses) on sale of investments | 2,142 | (11,718 | ) | ||||||||||||||||||||||||
The Company assesses its investment securities for other-than-temporary impairment on 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 months ended March 31, 2015 and 2014. | |||||||||||||||||||||||||||
The following table presents components of interest income on the Company’s MBS portfolio for the three months ended March 31, 2015 and 2014. | |||||||||||||||||||||||||||
For the three months ended March 31, 2015 | |||||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | ||||||||||||||||||||||||
Interest | Amortization)/Discount | Income | |||||||||||||||||||||||||
Accretion | |||||||||||||||||||||||||||
Agency | 94,372 | (26,859 | ) | 67,513 | |||||||||||||||||||||||
Non-Agency | 30,810 | 658 | 31,468 | ||||||||||||||||||||||||
GSE CRT | 7,481 | (920 | ) | 6,561 | |||||||||||||||||||||||
CMBS | 37,905 | (2,428 | ) | 35,477 | |||||||||||||||||||||||
Other | (1 | ) | — | (1 | ) | ||||||||||||||||||||||
Total | 170,567 | (29,549 | ) | 141,018 | |||||||||||||||||||||||
For the three months ended March 31, 2014 | |||||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | ||||||||||||||||||||||||
Interest | Amortization)/Discount | Income | |||||||||||||||||||||||||
Accretion | |||||||||||||||||||||||||||
Agency | 105,483 | (23,664 | ) | 81,819 | |||||||||||||||||||||||
Non-Agency | 35,555 | 1,531 | 37,086 | ||||||||||||||||||||||||
GSE CRT | 4,376 | (596 | ) | 3,780 | |||||||||||||||||||||||
CMBS | 38,612 | (9,661 | ) | 28,951 | |||||||||||||||||||||||
Other | 103 | — | 103 | ||||||||||||||||||||||||
Total | 184,129 | (32,390 | ) | 151,739 | |||||||||||||||||||||||
Commercial_Loans_HeldforInvest
Commercial Loans Held-for-Investment | 3 Months Ended | ||||||||||||||
Mar. 31, 2015 | |||||||||||||||
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 March 31, 2015 and December 31, 2014. | |||||||||||||||
March 31, 2015 | |||||||||||||||
$ in thousands | Number of | Principal | Unamortized (fees)/ | Carrying | Unfunded | ||||||||||
loans | Balance | costs, net | value | commitment | |||||||||||
First mortgage loan | 1 | 19,978 | 28 | 20,006 | 1,623 | ||||||||||
Subordinate interests: | |||||||||||||||
Mezzanine loans | 4 | 73,587 | (75 | ) | 73,512 | — | |||||||||
Other (1) | 2 | 52,693 | — | 52,693 | — | ||||||||||
Total | 7 | 146,258 | (47 | ) | 146,211 | 1,623 | |||||||||
(1) Other subordinate interests include a B-note and a preferred equity investment. | |||||||||||||||
December 31, 2014 | |||||||||||||||
$ in thousands | Number of | Principal | Unamortized (fees)/ | Carrying | Unfunded | ||||||||||
loans | Balance | costs, net | value | commitment | |||||||||||
First mortgage loan | 1 | 19,978 | 41 | 20,019 | 1,623 | ||||||||||
Subordinate interests: | |||||||||||||||
Mezzanine loans | 4 | 71,643 | (94 | ) | 71,549 | 3,357 | |||||||||
Other(1) | 2 | 54,188 | — | 54,188 | — | ||||||||||
Total | 7 | 145,809 | (53 | ) | 145,756 | 4,980 | |||||||||
(1) Other subordinate interests include a B-note and a preferred equity investment. | |||||||||||||||
These loans were not impaired, and no allowance for loan loss has been recorded as of March 31, 2015 and December 31, 2014. |
Other_Investments
Other Investments | 3 Months Ended | |||||
Mar. 31, 2015 | ||||||
Schedule of Investments [Abstract] | ||||||
Other Investments | Other Investments | |||||
The following table summarizes the Company's other investments as of March 31, 2015 and December 31, 2014. | ||||||
$ in thousands | 31-Mar-15 | 31-Dec-14 | ||||
FHLBI stock | 69,750 | 62,500 | ||||
Investments in unconsolidated ventures | 41,243 | 43,998 | ||||
Total | 110,993 | 106,498 | ||||
IAS Services LLC, the Company's wholly-owned subsidiary, is required to purchase and hold FHLBI stock as a condition of membership in the Federal Home Loan Bank of Indianapolis ("FHLBI"). The stock is recorded at cost. | ||||||
The Company has invested in unconsolidated ventures that are managed by an affiliate of the Company's Manager. The unconsolidated ventures invest in the Company's target assets. Refer to Note 15 - "Commitments and Contingencies" for additional details regarding the Company's commitments to these unconsolidated ventures. |
Borrowings
Borrowings | 3 Months Ended | |||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||
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 March 31, 2015 and December 31, 2014. | ||||||||||||||||||
$ in thousands | 31-Mar-15 | 31-Dec-14 | ||||||||||||||||
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 | 8,778,225 | 0.35 | % | 17 | 9,018,818 | 0.35 | % | 18 | ||||||||||
Non-Agency RMBS | 2,613,114 | 1.52 | % | 34 | 2,676,626 | 1.51 | % | 36 | ||||||||||
GSE CRT | 486,990 | 1.67 | % | 26 | 468,782 | 1.55 | % | 27 | ||||||||||
CMBS | 1,454,752 | 1.33 | % | 38 | 1,458,451 | 1.32 | % | 26 | ||||||||||
Secured Loans | 1,550,000 | 0.4 | % | 3,071 | 1,250,000 | 0.37 | % | 3,472 | ||||||||||
Exchangeable Senior Notes | 400,000 | 5 | % | 1,081 | 400,000 | 5 | % | 1,170 | ||||||||||
Total | 15,283,081 | 0.81 | % | 359 | 15,272,677 | 0.81 | % | 335 | ||||||||||
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 | ||||||||||||||||||
Repurchase agreements bear interest at a contractually agreed upon rate and have maturities ranging from one month to twelve months. Repurchase agreements are 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 March 31, 2015. | ||||||||||||||||||
The following tables summarize certain characteristics of the Company’s repurchase agreements at March 31, 2015 and December 31, 2014. | ||||||||||||||||||
31-Mar-15 | ||||||||||||||||||
$ in thousands | Amount Outstanding | Percent of Total Amount Outstanding | Company MBS Held as Collateral | |||||||||||||||
Repurchase Agreement Counterparties | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 1,382,129 | 10.4 | % | 1,741,155 | (1 | ) | ||||||||||||
HSBC Securities (USA) Inc | 1,231,915 | 9.2 | % | 1,271,803 | ||||||||||||||
Royal Bank of Canada | 1,040,865 | 7.8 | % | 1,203,610 | ||||||||||||||
Citigroup Global Markets Inc. | 968,334 | 7.3 | % | 1,144,895 | (2 | ) | ||||||||||||
South Street Securities LLC | 931,104 | 7 | % | 976,970 | ||||||||||||||
Industrial and Commercial Bank of China Financial Services LLC | 717,869 | 5.4 | % | 757,589 | ||||||||||||||
Banc of America Securities LLC | 662,641 | 5 | % | 748,193 | (3 | ) | ||||||||||||
Mitsubishi UFJ Securities (USA), Inc. | 653,861 | 4.9 | % | 689,968 | ||||||||||||||
Pierpont Securities LLC | 630,346 | 4.7 | % | 662,713 | ||||||||||||||
J.P. Morgan Securities LLC | 624,508 | 4.7 | % | 719,790 | ||||||||||||||
Wells Fargo Securities, LLC | 613,333 | 4.6 | % | 745,065 | ||||||||||||||
ING Financial Market LLC | 576,864 | 4.3 | % | 611,710 | ||||||||||||||
BNP Paribas Securities Corp. | 526,920 | 4 | % | 581,521 | ||||||||||||||
Scotia Capital | 505,637 | 3.8 | % | 526,845 | ||||||||||||||
Morgan Stanley & Co. Incorporated | 467,799 | 3.5 | % | 506,123 | ||||||||||||||
KGS-Alpha Capital Markets, L.P. | 421,208 | 3.2 | % | 445,536 | ||||||||||||||
Goldman, Sachs & Co. | 327,794 | 2.5 | % | 351,736 | ||||||||||||||
Barclays Capital Inc. | 202,225 | 1.5 | % | 254,145 | ||||||||||||||
All other counterparties (4) | 847,729 | 6.2 | % | 907,882 | ||||||||||||||
Total | 13,333,081 | 100 | % | 14,847,249 | ||||||||||||||
(1) Includes $270.8 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
(2) Includes $34.4 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
(3) Includes $126.7 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
(4) Represents amounts outstanding with nine counterparties. | ||||||||||||||||||
31-Dec-14 | ||||||||||||||||||
$ in thousands | Amount Outstanding | Percent of Total Amount Outstanding | Company MBS Held as Collateral | |||||||||||||||
Repurchase Agreement Counterparties | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 1,517,530 | 11.1 | % | 1,925,973 | (1 | ) | ||||||||||||
HSBC Securities (USA) Inc | 1,190,769 | 8.7 | % | 1,225,194 | ||||||||||||||
Royal Bank of Canada | 1,057,798 | 7.8 | % | 1,278,612 | ||||||||||||||
Citigroup Global Markets Inc. | 979,247 | 7.2 | % | 1,157,265 | (2 | ) | ||||||||||||
South Street Securities LLC | 961,938 | 7.1 | % | 1,020,054 | ||||||||||||||
Banc of America Securities LLC | 791,196 | 5.9 | % | 875,984 | (3 | ) | ||||||||||||
ING Financial Market LLC | 767,733 | 5.6 | % | 820,166 | ||||||||||||||
Mitsubishi UFJ Securities (USA), Inc. | 710,058 | 5.2 | % | 744,836 | ||||||||||||||
J.P. Morgan Securities LLC | 698,856 | 5.1 | % | 814,896 | ||||||||||||||
Industrial and Commercial Bank of China Financial Services LLC | 682,193 | 5 | % | 716,989 | ||||||||||||||
Wells Fargo Securities, LLC | 627,071 | 4.6 | % | 754,706 | ||||||||||||||
Pierpont Securities LLC | 601,222 | 4.4 | % | 627,534 | ||||||||||||||
Morgan Stanley & Co. Incorporated | 589,950 | 4.3 | % | 632,002 | ||||||||||||||
BNP Paribas Securities Corp. | 559,658 | 4.1 | % | 622,749 | ||||||||||||||
Scotia Capital | 521,778 | 3.8 | % | 542,044 | ||||||||||||||
KGS-Alpha Capital Markets, L.P. | 407,920 | 3 | % | 430,241 | ||||||||||||||
All other counterparties (4) | 957,760 | 7.1 | % | 1,071,019 | ||||||||||||||
Total | 13,622,677 | 100 | % | 15,260,264 | ||||||||||||||
(1) Includes $276.1 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
(2) Includes $20.3 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
(3) Includes $106.8 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
(4) Represents amounts outstanding with ten counterparties. | ||||||||||||||||||
Company MBS held by counterparties as security for repurchase agreements was $14.8 billion and $15.3 billion at March 31, 2015 and December 31, 2014, respectively. This represents a collateral ratio (Company MBS Held as Collateral/Amount Outstanding) of 111% and 112% for March 31, 2015 and December 31, 2014, respectively. | ||||||||||||||||||
No cash collateral was held by the counterparties at March 31, 2015 and December 31, 2014. | ||||||||||||||||||
Secured Loans | ||||||||||||||||||
The Company's wholly-owned subsidiary, IAS Services LLC is 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 March 31, 2015, IAS Services LLC, had $1.55 billion in outstanding secured advances from the FHLBI and is approved for additional available uncommitted credit for borrowing of an amount up to $2.5 billion. These secured advances have maturity dates ranging from 2020 to 2024 and have floating rates based on three-month LIBOR or the three-month FHLBI swap rate plus a spread. For the three months ended March 31, 2015, IAS Services LLC had average borrowings of $1.5 billion with a weighted average borrowing rate of 0.39%. | ||||||||||||||||||
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. 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. | ||||||||||||||||||
As of March 31, 2015, the FHLBI advances were collateralized by CMBS and Agency RMBS with a fair value of $1.5 billion and $392.1 million, respectively. | ||||||||||||||||||
As discussed in Note 6 - "Other Investments," 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. |
Derivatives_and_Hedging_Activi
Derivatives and Hedging Activities | 3 Months Ended | |||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||||
Derivatives and Hedging Activities | Derivatives and Hedging Activities | |||||||||||||||||||||
Credit Derivatives | ||||||||||||||||||||||
In 2010, the Company entered into a credit default swap contract ("CDS"). The Company sold protection against losses on a specific pool of non-Agency RMBS in excess of a specified threshold. In exchange, the Company is paid a stated fixed rate fee of 3% of the notional amount of the CDS. As of March 31, 2015, the Company has not made any payments related to the CDS contract. | ||||||||||||||||||||||
At March 31, 2015 and December 31, 2014, terms of the CDS are: | ||||||||||||||||||||||
$ in thousand | 31-Mar-15 | 31-Dec-14 | ||||||||||||||||||||
Fair value amount | 334 | 396 | ||||||||||||||||||||
Notional amount | 33,371 | 36,684 | ||||||||||||||||||||
Maximum potential amount of future undiscounted payments | 33,371 | 36,684 | ||||||||||||||||||||
Recourse provisions with third parties | — | — | ||||||||||||||||||||
Collateral held by counterparty | 5,139 | 5,642 | ||||||||||||||||||||
Interest Rate Swaps | ||||||||||||||||||||||
The Company's repurchase agreements are usually settled on a short-term basis ranging 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 secured loans have floating interest 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. | ||||||||||||||||||||||
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 recorded in AOCI through December 31, 2013 related to cash flow hedges are reclassified to interest expense, repurchase agreements on the condensed 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 $19.1 million and $21.3 million as an increase to interest expense for the three months ended March 31, 2015 and 2014, respectively. During the next 12 months, the Company estimates that $60.5 million will be reclassified as an increase to interest expense, repurchase agreements. | ||||||||||||||||||||||
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 condensed consolidated statements of operations. Monthly net cash settlements under swaps are recorded in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations. | ||||||||||||||||||||||
As of March 31, 2015, the Company had the following interest rate swaps outstanding: | ||||||||||||||||||||||
$ in thousands | Notional | Maturity Date | Fixed Interest Rate | |||||||||||||||||||
Counterparty | in Contract | |||||||||||||||||||||
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 | % | ||||||||||||||||||
ING Capital Markets LLC | 300,000 | 5/5/18 | 0.79 | % | ||||||||||||||||||
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 | (1 | ) | 300,000 | 2/5/21 | 2.5 | % | ||||||||||||||||
The Royal Bank of Scotland Plc CME Clearing House | (1 | ) | 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 | 550,000 | 2/24/22 | 2.45 | % | ||||||||||||||||||
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 | 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 | % | ||||||||||||||||||
Morgan Stanley Capital Services, LLC | 100,000 | 4/2/25 | 2.04 | % | ||||||||||||||||||
Total | 10,350,000 | 2.1 | % | |||||||||||||||||||
-1 | Forward start date of February 2016 | |||||||||||||||||||||
At March 31, 2015, the Company’s counterparties held $82.2 million in cash margin deposits and approximately $273.9 million in Agency RMBS as collateral against its interest rate swaps, CDS and currency forward contracts. In addition, several counterparties posted $4.3 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 March 31, 2015 and December 31, 2014, 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 condensed 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 condensed 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 March 31, 2015 and December 31, 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 condensed 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 condensed 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 $4.7 million and $15.1 million of realized loss for the interest rate swaptions that expired unexercised during the three months ended March 31, 2015 and 2014, respectively. For the three months ended March 31, 2015 and 2014, the Company had $3.7 million and $11.1 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 March 31, 2015, 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 | 5,640 | 3 | 3.1 | 550,000 | 3.29 | % | 3M Libor | 8.2 | |||||||||||||
Total Payer | 5,640 | 3 | 3.1 | 550,000 | 3.29 | % | 3M Libor | 8.2 | ||||||||||||||
Receiver | > 6 Months | 1,485 | 795 | 10 | 300,000 | 3M Libor | 1.11 | % | 10 | |||||||||||||
Total Receiver | 1,485 | 795 | 10 | 300,000 | 3M Libor | 1.11 | % | 10 | ||||||||||||||
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 condensed 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 condensed 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, 2015 | Termination, | of March 31, 2015 | Gain (Loss), net on Derivative | |||||||||||||||||||
Expiration | Instruments (excluding net interest paid or received) for the three months ended March 31, 2015 | |||||||||||||||||||||
or Exercise | ||||||||||||||||||||||
Interest Rate Swaptions | 1,050,000 | 300,000 | (500,000 | ) | 850,000 | (4,688 | ) | |||||||||||||||
Interest Rate Swaps | 10,550,000 | 100,000 | (300,000 | ) | 10,350,000 | (19,055 | ) | |||||||||||||||
Sale of TBAs | 198,000 | 248,000 | (446,000 | ) | — | (2,292 | ) | |||||||||||||||
Futures Contracts | 127,400 | 120,900 | (248,300 | ) | — | (943 | ) | |||||||||||||||
Currency Forward Contracts | 35,688 | 30,708 | (32,127 | ) | 34,269 | 875 | ||||||||||||||||
Total | 11,961,088 | 799,608 | (1,526,427 | ) | 11,234,269 | (26,103 | ) | |||||||||||||||
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 condensed consolidated balance sheets as of March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||
$ in thousands | ||||||||||||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||||||||||||
As of March 31, 2015 | As of December 31, 2014 | As of March 31, 2015 | As of December 31, 2014 | |||||||||||||||||||
Balance | Fair Value | Fair Value | Balance | Fair Value | Fair Value | |||||||||||||||||
Sheet | Sheet | |||||||||||||||||||||
Interest Rate Swap Asset | 4,198 | 22,772 | Interest Rate Swap Liability | 290,852 | 253,468 | |||||||||||||||||
CDS Contract | 334 | 396 | TBAs | — | 558 | |||||||||||||||||
Interest Rate Swaptions | 798 | 322 | ||||||||||||||||||||
Futures Contracts | — | 89 | ||||||||||||||||||||
Currency Forward Contracts | 1,376 | 599 | ||||||||||||||||||||
Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement | ||||||||||||||||||||||
The tables below present the effect of the Company’s derivative financial instruments on the condensed consolidated statements of operations for the three months ended March 31, 2015 and 2014. | ||||||||||||||||||||||
Three months ended March 31, 2015 | ||||||||||||||||||||||
$ 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 | (19,145 | ) | Gain (loss) | — | ||||||||||||||||
on derivative instruments, net | ||||||||||||||||||||||
Three months ended March 31, 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 | (21,296 | ) | Gain (loss) | — | ||||||||||||||||
on derivative instruments, net | ||||||||||||||||||||||
$ in thousands | Amount of unrealized gain (loss) recognized in income on derivative | |||||||||||||||||||||
Derivative | Location of unrealized gain (loss) | Three months ended March 31, 2015 | Three months ended March 31, 2014 | |||||||||||||||||||
not designated as | recognized in income | |||||||||||||||||||||
hedging instrument | on derivative | |||||||||||||||||||||
CDS Contract | Realized and unrealized credit default swap income | (62 | ) | (47 | ) | |||||||||||||||||
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 condensed consolidated statements of operations for the three months ended March 31, 2015 and 2014: | ||||||||||||||||||||||
$ in thousands | Three months ended March 31, 2015 | |||||||||||||||||||||
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 | (19,055 | ) | (45,608 | ) | (55,957 | ) | (120,620 | ) | ||||||||||||||
Interest Rate Swaptions | (4,688 | ) | — | 3,679 | (1,009 | ) | ||||||||||||||||
TBAs | (2,292 | ) | — | 558 | (1,734 | ) | ||||||||||||||||
Futures Contracts | (943 | ) | — | (90 | ) | (1,033 | ) | |||||||||||||||
Currency Forward Contracts | 875 | — | 776 | 1,651 | ||||||||||||||||||
Total | (26,103 | ) | (45,608 | ) | (51,034 | ) | (122,745 | ) | ||||||||||||||
$ in thousands | Three months ended March 31, 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 | — | (51,441 | ) | (90,192 | ) | (141,633 | ) | |||||||||||||||
Interest Rate Swaptions | (15,075 | ) | — | 11,127 | (3,948 | ) | ||||||||||||||||
TBAs | — | — | 703 | 703 | ||||||||||||||||||
Futures Contracts | (3,749 | ) | — | (2,685 | ) | (6,434 | ) | |||||||||||||||
Total | (18,824 | ) | (51,441 | ) | (81,047 | ) | (151,312 | ) | ||||||||||||||
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, the Company could be declared in default on its derivative obligations. | ||||||||||||||||||||||
At March 31, 2015, 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 $215.4 million. The Company has minimum collateral posting thresholds with certain of its derivative counterparties and has posted collateral of $273.9 million of Agency RMBS and $82.2 million of cash as of March 31, 2015. If the Company had breached any of these provisions at March 31, 2015, it could have been required to settle its obligations under the agreements at their termination value. | ||||||||||||||||||||||
In addition, as of March 31, 2015, 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 $80.8 million. | ||||||||||||||||||||||
The Company was in compliance with all of the financial provisions of these counterparty agreements as of March 31, 2015. |
Offsetting_Assets_and_Liabilit
Offsetting Assets and Liabilities | 3 Months Ended | |||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||
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) 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 condensed 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 condensed consolidated balance sheets at March 31, 2015 and December 31, 2014. | ||||||||||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||
As of March 31, 2015 | ||||||||||||||||||
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Assets | Instruments (1) | Received (4) | |||||||||||||
Recognized | Offset in the Condensed Consolidated | presented in | ||||||||||||||||
Assets | Balance | the Condensed | ||||||||||||||||
Sheets | Consolidated | |||||||||||||||||
Balance Sheets | ||||||||||||||||||
Derivatives | 6,706 | — | 6,706 | (3,171 | ) | (3,535 | ) | — | ||||||||||
Total | 6,706 | — | 6,706 | (3,171 | ) | (3,535 | ) | — | ||||||||||
Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans | ||||||||||||||||||
As of March 31, 2015 | ||||||||||||||||||
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Liabilities | Instruments (2)(3)(5) | Posted (2)(4)(5) | |||||||||||||
Recognized | Offset in the Condensed Consolidated | presented in | ||||||||||||||||
Liabilities | Balance | the Condensed | ||||||||||||||||
Sheets | Consolidated | |||||||||||||||||
Balance Sheets | ||||||||||||||||||
Derivatives | 290,852 | — | 290,852 | (208,855 | ) | (80,414 | ) | 1,583 | ||||||||||
Repurchase Agreements | 13,333,081 | — | 13,333,081 | (13,333,081 | ) | — | — | |||||||||||
Secured Loans | 1,550,000 | — | 1,550,000 | (1,550,000 | ) | — | — | |||||||||||
Total | 15,173,933 | — | 15,173,933 | (15,091,936 | ) | (80,414 | ) | 1,583 | ||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||
As of December 31, 2014 | ||||||||||||||||||
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Assets | Instruments (1) | Received (4) | |||||||||||||
Recognized | Offset in the Condensed Consolidated | presented in | ||||||||||||||||
Assets | Balance | the Condensed | ||||||||||||||||
Sheets | Consolidated | |||||||||||||||||
Balance Sheets | ||||||||||||||||||
Derivatives | 24,178 | — | 24,178 | (5,277 | ) | (18,901 | ) | — | ||||||||||
Total | 24,178 | — | 24,178 | (5,277 | ) | (18,901 | ) | — | ||||||||||
Offsetting of Derivative Liabilities and Repurchase Agreements | ||||||||||||||||||
As of December 31, 2014 | ||||||||||||||||||
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Liabilities | Instruments (2)(3) | Posted (2)(4) | |||||||||||||
Recognized | Offset in the Condensed Consolidated | presented in | ||||||||||||||||
Liabilities | Balance | the Condensed | ||||||||||||||||
Sheets | Consolidated | |||||||||||||||||
Balance Sheets | ||||||||||||||||||
Derivatives | 254,026 | — | 254,026 | (235,908 | ) | (18,118 | ) | — | ||||||||||
Repurchase Agreements | 13,622,677 | — | 13,622,677 | (13,622,677 | ) | — | — | |||||||||||
Secured Loans | 1,250,000 | — | 1,250,000 | (1,250,000 | ) | — | ||||||||||||
Total | 15,126,703 | — | 15,126,703 | (15,108,585 | ) | (18,118 | ) | — | ||||||||||
-1 | Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at March 31, 2015 and December 31, 2014, 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 $14.8 billion and $15.3 billion at March 31, 2015 and December 31, 2014, respectively, including securities held as collateral that are eliminated in consolidation of $431.9 million and $403.2 million, respectively at March 31, 2015 and December 31, 2014. | |||||||||||||||||
-4 | Cash collateral received on the Company's derivatives was $4.3 million and $14.9 million at March 31, 2015 and December 31, 2014, respectively. The Company did not receive non-cash collateral at March 31, 2015. Non-cash collateral received on the Company's derivatives was $10.8 million at December 31, 2014. Cash collateral posted by the Company on its derivatives was $82.2 million and $57.6 million at March 31, 2015 and December 31, 2014, respectively. | |||||||||||||||||
-5 | The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $1.9 billion and $1.5 billion at March 31, 2015 and December 31, 2014, respectively. |
Fair_Value_of_Financial_Instru
Fair Value of Financial Instruments | 3 Months Ended | |||||||||||
Mar. 31, 2015 | ||||||||||||
Fair Value Disclosures [Abstract] | ||||||||||||
Fair Value of Financial Instruments | Fair Value of Financial Instruments | |||||||||||
A three-level valuation hierarchy exists for disclosure of fair value measurements based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. 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. | ||||||||||||
31-Mar-15 | ||||||||||||
Fair Value Measurements Using: | ||||||||||||
Total at | ||||||||||||
Level 1 | Level 2 | Level 3 | Fair Value | |||||||||
Assets: | ||||||||||||
Mortgage-backed securities(1) | — | 17,340,595 | — | 17,340,595 | ||||||||
Derivative assets | — | 6,372 | 334 | 6,706 | ||||||||
Total assets | — | 17,346,967 | 334 | 17,347,301 | ||||||||
Liabilities: | ||||||||||||
Derivative liabilities | — | 290,852 | — | 290,852 | ||||||||
Total liabilities | — | 290,852 | — | 290,852 | ||||||||
December 31, 2014 | ||||||||||||
Fair Value Measurements Using: | ||||||||||||
$ in thousands | Level 1 | Level 2 | Level 3 | Total at | ||||||||
Fair Value | ||||||||||||
Assets: | ||||||||||||
Mortgage-backed securities(1) | — | 17,248,895 | — | 17,248,895 | ||||||||
Derivative assets | 89 | 23,693 | 396 | 24,178 | ||||||||
Total assets | 89 | 17,272,588 | 396 | 17,273,073 | ||||||||
Liabilities: | ||||||||||||
Derivative liabilities | — | 254,026 | — | 254,026 | ||||||||
Total liabilities | — | 254,026 | — | 254,026 | ||||||||
-1 | For more detail about the fair value of the Company's MBS, refer to Note 4 - "Mortgage-Backed Securities." | |||||||||||
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 | 31-Mar-15 | 31-Dec-14 | ||||||||||
Balance at January 1 | 396 | 654 | ||||||||||
Unrealized gains/(losses), net | (62 | ) | (258 | ) | ||||||||
Ending balance | 334 | 396 | ||||||||||
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 | 31-Mar-15 | Technique | Input | Range | Average | |||||||
CDS Contract | 334 | Discounted cash flow | Swap Rate | 2.39 | % | |||||||
Discount Rate | 0.66 | % | ||||||||||
Credit Spread | 0.32 | % | ||||||||||
Constant Prepayment Rate | 1.0% - 20.0% | 5.47 | % | |||||||||
Constant Default Rate | 0.5% - 100.0% | 4.14 | % | |||||||||
Loss Severity | 2.02% - 66.0% | 40.14 | % | |||||||||
Fair Value at | Valuation | Unobservable | Weighted | |||||||||
$ in thousands | 31-Dec-14 | Technique | Input | Range | Average | |||||||
CDS Contract | 396 | Discounted cash flow | Swap Rate | 2.39 | % | |||||||
Discount Rate | 0.76 | % | ||||||||||
Credit Spread | 0.24 | % | ||||||||||
Constant Prepayment Rate | 1.0% - 20.0% | 5.46 | % | |||||||||
Constant Default Rate | 0.6% - 100.0% | 4.15 | % | |||||||||
Loss Severity | 1.1% - 62.3% | 39.35 | % | |||||||||
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 $6,200 more than the actual fair value at March 31, 2015. | ||||||||||||
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 condensed consolidated balance sheets, at March 31, 2015 and December 31, 2014: | ||||||||||||
31-Mar-15 | 31-Dec-14 | |||||||||||
$ in thousands | Carrying | Estimated | Carrying | Estimated | ||||||||
Value | Fair Value | Value | Fair Value | |||||||||
Financial Assets | ||||||||||||
Residential loans, held-for-investment | 3,597,147 | 3,622,776 | 3,365,003 | 3,399,964 | ||||||||
Commercial loans, held-for-investment | 146,211 | 148,026 | 145,756 | 147,497 | ||||||||
Other investments | 110,993 | 110,993 | 106,498 | 106,498 | ||||||||
Total | 3,854,351 | 3,881,795 | 3,617,257 | 3,653,959 | ||||||||
Financial Liabilities | ||||||||||||
Repurchase agreements | 13,333,081 | 13,340,003 | 13,622,677 | 13,630,571 | ||||||||
Secured loans | 1,550,000 | 1,550,000 | 1,250,000 | 1,250,000 | ||||||||
Asset-backed securities issued by securitization trusts | 3,133,527 | 3,150,057 | 2,929,820 | 2,930,422 | ||||||||
Exchangeable senior notes | 400,000 | 385,000 | 400,000 | 379,500 | ||||||||
Total | 18,416,608 | 18,425,060 | 18,202,497 | 18,190,493 | ||||||||
The following describes the Company’s methods for estimating the fair value for financial instruments. | ||||||||||||
• | The fair value of residential 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. | |||||||||||
• | The fair value of commercial loans held-for-investment is a Level 3 fair value measurement. New commercial loans are carried at their unpaid principal balance until the end of the calendar year in which they were originated unless market factors indicate cost may not be a reliable indicator of fair value. Subsequent to the year of origination, commercial loan investments are valued on at least an annual basis by an independent third party valuation agent using a discounted cash flow technique. | |||||||||||
• | The fair value of FHLBI stock, included in "Other investments," 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 investments in unconsolidated ventures, included in "Other investments," is a Level 3 fair value measurement. The fair value measurement is based on the net asset value per share of the Company's investments. | |||||||||||
• | 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 valuations obtained from a third party pricing service. There is not an active trading market for many of the underlying asset-backed securities. Accordingly, these securities are valued by the third party pricing service by discounting 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 valuation obtained from a third-party pricing service. |
Related_Party_Transactions
Related Party Transactions | 3 Months Ended | |||||
Mar. 31, 2015 | ||||||
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. | ||||||
The Company has invested $152.7 million and $149.3 million as of March 31, 2015 and December 31, 2014, respectively, in money market or mutual funds managed by affiliates of the Company’s Manager. The investments are reported as cash and cash equivalents on the Company’s condensed consolidated balance sheets. | ||||||
Management Fee | ||||||
For the three months ended March 31, 2015, the Company incurred management fees of $9.4 million (March 31, 2014: $9.3 million), of which $9.3 million (March 31, 2014: $9.3 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 months ended March 31, 2015 and 2014. | ||||||
Three Months Ended | ||||||
March 31, 2015 | ||||||
$ in thousands | 2015 | 2014 | ||||
Incurred costs, prepaid or expensed | 642 | 1,765 | ||||
Total incurred costs, originally paid by the Manager | 642 | 1,765 | ||||
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. |
Stockholders_Equity
Stockholders' Equity | 3 Months Ended | |
Mar. 31, 2015 | ||
Equity [Abstract] | ||
Stockholders' Equity | Stockholders’ 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 employees of the Company's Manager and its affiliates. | ||
Common Stock | ||
The Company has a dividend reinvestment and stock purchase plan (the “DRSPP”) that allows participating stockholders 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 three months ended March 31, 2015, the Company issued 4,444 shares of common stock at an average price of $15.83 under the DRSPP. The Company received total proceeds of approximately $70,000. | ||
Preferred Stock | ||
Holders of the Company’s Series A Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum. The dividends are cumulative and payable quarterly in arrears. | ||
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 | ||
During the three months ended March 31, 2015, the Company did not repurchase any shares of its common stock. As of March 31, 2015, the Company had authority to purchase 14,841,784 additional shares of its common stock under its share repurchase program. The share repurchase program has no stated expiration date. | ||
Share-Based Compensation | ||
The Company has currently reserved 1,000,000 shares of common stock for issuance to its independent directors and officers and employees of the Manger and its affiliates under the terms of its 2009 Equity Incentive Plan (the "Incentive Plan"). 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 $85,000 and $52,000 related to the Company's non-executive directors for three months ended March 31, 2015 and 2014, respectively. During the three months ended March 31, 2015 and 2014, the Company issued 5,332 shares and 2,745 shares of stock, respectively, 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 $70,000 and $81,000 for the three months ended March 31, 2015 and 2014, respectively, related to awards to employees of the Manager and its affiliates which is reimbursed by the Manager under the management agreement. During March 2015, the Company issued 11,547 shares of common stock (net of tax withholding) to employees of the Manager and its affiliates in exchange for 17,783 restricted stock units that vested under the Incentive Plan. In addition, during the three months ended March 31, 2015, the Company awarded 17,652 restricted stock units to employees of the Manager and its affiliates. | ||
Dividends | ||
On March 17, 2015, we declared the following dividends: | ||
• | a dividend of $0.45 per share of common stock to be paid on April 28, 2015 to stockholders of record as of the close of business on March 30, 2015; | |
• | a dividend of $0.4844 per share of Series A Preferred Stock to be paid on April 27, 2015 to stockholders of record as of the close of business on April 1, 2015; and | |
• | a dividend of $0.4844 per share of Series B Preferred Stock to be paid on June 29, 2015 to stockholders of record as of the close of business on June 5, 2015. |
Earnings_per_Common_Share
Earnings per Common Share | 3 Months Ended | |||||
Mar. 31, 2015 | ||||||
Earnings Per Share [Abstract] | ||||||
Earnings per Common Share | Earnings per Common Share | |||||
Earnings per share for the three months ended March 31, 2015 and 2014 is computed as follows: | ||||||
Three Months Ended | ||||||
March 31, | ||||||
$ and share amounts in thousands | 2015 | 2014 | ||||
Numerator (Income) | ||||||
Basic Earnings | ||||||
Net loss available to common stockholders | (32,700 | ) | (74,440 | ) | ||
Effect of dilutive securities: | ||||||
Income allocated to exchangeable senior debt | — | — | ||||
Loss allocated to non-controlling interest | (312 | ) | (822 | ) | ||
Dilutive net loss available to stockholders | (33,012 | ) | (75,262 | ) | ||
Denominator (Weighted Average Shares) | ||||||
Basic Earnings: | ||||||
Shares available to common stockholders | 123,118 | 123,125 | ||||
Effect of dilutive securities: | ||||||
Restricted stock awards | — | — | ||||
OP units | 1,425 | 1,425 | ||||
Exchangeable senior notes | — | — | ||||
Dilutive Shares | 124,543 | 124,550 | ||||
The following potential common shares were excluded from diluted earnings per common share for the three months ended March 31, 2015 as the effect would be anti-dilutive: 16,835,720 for the exchangeable senior notes and 46,003 for restricted stock awards. The following potential common shares were excluded from diluted earnings per common share for the three months ended March 31, 2014 as the effect would be anti-dilutive: 16,835,720 for the exchangeable senior notes and 41,007 for restricted stock awards. |
Noncontrolling_InterestOperati
Non-controlling Interest-Operating Partnership | 3 Months Ended | |||||
Mar. 31, 2015 | ||||||
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 stockholders’ equity and non-controlling interest in the accompanying condensed consolidated balance sheets. As of March 31, 2015 and December 31, 2014, non-controlling interest related to the outstanding 1,425,000 OP Units represented a 1.1% interest and 1.1% interest in the Operating Partnership, respectively. | ||||||
The following table presents the income (expense) allocated and distributions paid to the Operating Partnership non-controlling interest for the three months ended March 31, 2015 and 2014. | ||||||
Three Months Ended | ||||||
March 31, 2015 | ||||||
$ in thousands | 2015 | 2014 | ||||
Expense allocated | (312 | ) | (822 | ) | ||
Distributions paid | 641 | 713 | ||||
As of March 31, 2015 and December 31, 2014, distributions payable to the non-controlling interest were approximately $641,000 and $713,000, respectively. |
Commitments_and_Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies |
Commitments and Contingencies | |
Commitments and contingencies may arise in the ordinary course of business. | |
Off Balance Sheet Commitments | |
As discussed in Note 6 - "Other Investments", the Company has invested in unconsolidated ventures that are sponsored by an affiliate of the Company’s Manager. The unconsolidated ventures are structured as partnerships, and the Company invests in the partnerships as a limited partner. The entities are structured such that capital commitments are to be drawn down over the life of the partnership as investment opportunities are identified. As of March 31, 2015 and December 31, 2014, the Company’s undrawn capital and purchase commitments were $27.8 million and $31.0 million, respectively. | |
As discussed in Note 5 - “Commercial Loans Held-for-Investment”, the Company purchases and originates commercial loans. As of March 31, 2015 and December 31, 2014, the Company has unfunded commitments on commercial loans held-for-investment of $1.6 million and $5.0 million, respectively. | |
The Company has entered into agreements with financial institutions to guarantee certain obligations of its subsidiaries. The Company would be required to perform under these guarantees in the event of certain defaults. The Company has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote. |
Subsequent_Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events |
The Company has reviewed subsequent events occurring through the date that these condensed consolidated financial statements were issued, and determined that no subsequent events occurred that would require accrual or additional disclosure. |
Summary_of_Significant_Account1
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation | 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 Form 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, 2014. |
Principles of Consolidation | In the opinion of management, the condensed 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 expenses are eliminated upon consolidation. |
The condensed 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 condensed 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 condensed consolidated balance sheets. The asset-backed securities issued to third parties are recorded as liabilities on the Company's condensed consolidated balance sheets. The Company records interest income on the residential loans held-for-investment, interest expense on the asset-backed securities issued to third parties and direct operating expenses incurred by the securitization trusts in the Company's condensed 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 and 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 condensed consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in the condensed 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. | |
Repurchase Agreements | Repurchase Agreements |
Effective January 1, 2015, the Company adopted Accounting Standard Update No. 2014-11, Transfers and Servicing (Topic 860): Repurchase-to Maturity Transactions, Repurchase Financings, and Disclosures ("ASU 2014-11"). Under the new standard, the Company no longer applies the "linked" accounting model to instances where the Company purchases mortgage-backed securities and enters into repurchase agreements to finance the purchase with the same counterparty. Purchases of mortgage-backed securities and repurchase financings are considered separately, and the repurchase agreement component of the transaction is accounted for as a secured borrowing. The Company records the mortgage-backed securities and the related repurchase agreement financing on a gross basis in its condensed consolidated balance sheets, and the corresponding interest income and interest expense on a gross basis in its condensed consolidated statements of operations. | |
None of the Company's repurchase financing transactions prior to January 1, 2015 qualified as linked transactions and were accounted for as derivatives. Accordingly, the Company did not record a cumulative effect adjustment to retained earnings as of January 1, 2015 as a result of adopting ASU 2014-11. | |
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 stockholders. | |
Recent Accounting Pronouncements | Recent Accounting Pronouncements Not Yet Adopted |
In February 2015, the FASB issued modifications to existing consolidation guidance for reporting organizations that are required to evaluate whether they should consolidate certain legal entities. The guidance is effective for fiscal years and interim periods within those years beginning after December 15, 2015, and requires either a retrospective or a modified retrospective approach to adoption. Early adoption is permitted. The Company is currently evaluating the potential impact of the new guidance on its condensed consolidated financial statements, as well as the available transition methods. | |
In April 2015, the FASB issued guidance to amend the presentation of debt issuance cost related to a recognized debt liability. Under the new guidance, the debt issuance costs will be presented in the balance sheet as a direct deduction from the carrying amount of the recognized debt liability, consistent with debt discounts. The recognition and measurement guidance for debt issuance costs are not affected under the new guidance. The standard is effective for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. Early adoption is permitted. The guidance should be applied on a retrospective basis. The balance sheet of each individual period presented should be adjusted to reflect the period-specific effects of applying the new guidance. Upon adoption, an entity is required to comply with the applicable disclosures for a change in an accounting principle. These disclosures include the nature of and reason for the change in accounting principle, the transition method, a description of the prior-period information that has been retrospectively adjusted, and the effect of the change on the financial statement line items (i.e., debt issuance cost asset and the debt liability). The Company is currently evaluating the potential impact of the new guidance on its condensed consolidated financial statements. |
Variable_Interest_Entities_Tab
Variable Interest Entities (Tables) | 3 Months Ended | ||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||
Variable Interest Entity, Not Primary Beneficiary | |||||||||||||||||||||||||||
Variable Interest Entity | |||||||||||||||||||||||||||
Summary of Assets and Liabilities of Variable Interest Entities | The Company's maximum risk of loss in VIEs in which the Company is not the primary beneficiary at March 31, 2015 is presented in the table below. | ||||||||||||||||||||||||||
$ in thousands | Carrying Amount | Company's Maximum Risk of Loss | |||||||||||||||||||||||||
Non-Agency RMBS | 2,947,675 | 2,947,675 | |||||||||||||||||||||||||
CMBS | 3,456,892 | 3,456,892 | |||||||||||||||||||||||||
Total | 6,404,567 | 6,404,567 | |||||||||||||||||||||||||
Variable Interest Entity, Primary Beneficiary | |||||||||||||||||||||||||||
Variable Interest Entity | |||||||||||||||||||||||||||
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 March 31, 2015 and December 31, 2014. Intercompany balances have been eliminated for purposes of this presentation. | ||||||||||||||||||||||||||
$ in thousands | 31-Mar-15 | 31-Dec-14 | |||||||||||||||||||||||||
Residential loans, held-for-investment | 3,597,147 | 3,365,003 | |||||||||||||||||||||||||
Accrued interest receivable | 11,050 | 10,562 | |||||||||||||||||||||||||
Deferred costs | 4,846 | 5,032 | |||||||||||||||||||||||||
Total assets | 3,613,043 | 3,380,597 | |||||||||||||||||||||||||
Accrued interest and accrued expenses payable | 9,143 | 8,692 | |||||||||||||||||||||||||
Asset-backed securities issued by securitization trusts | 3,133,527 | 2,929,820 | |||||||||||||||||||||||||
Total liabilities | 3,142,670 | 2,938,512 | |||||||||||||||||||||||||
Residential Loans Held-for-Investment | The following table details the carrying value for residential loans held-for-investment at March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||||
$ in thousands | 31-Mar-15 | 31-Dec-14 | |||||||||||||||||||||||||
Principal balance | 3,566,418 | 3,332,192 | |||||||||||||||||||||||||
Unamortized premium (discount), net | 31,409 | 33,553 | |||||||||||||||||||||||||
Recorded investment | 3,597,827 | 3,365,745 | |||||||||||||||||||||||||
Allowance for loan losses | (680 | ) | (742 | ) | |||||||||||||||||||||||
Carrying value | 3,597,147 | 3,365,003 | |||||||||||||||||||||||||
The following table summarizes residential loans held-for-investment at March 31, 2015 by year of origination. | |||||||||||||||||||||||||||
$ in thousands | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | Total | ||||||||||||||||||
Portfolio Characteristics: | |||||||||||||||||||||||||||
Number of Loans | 760 | 2,788 | 765 | 99 | 30 | 6 | 17 | 16 | 4,481 | ||||||||||||||||||
Current Principal Balance | 573,464 | 2,160,438 | 665,613 | 103,886 | 30,021 | 2,754 | 16,515 | 13,727 | 3,566,418 | ||||||||||||||||||
Net Weighted Average Coupon Rate | 3.49 | % | 3.47 | % | 3.25 | % | 3.38 | % | 3.7 | % | 3.69 | % | 4.96 | % | 4.73 | % | 3.44 | % | |||||||||
Weighted Average Maturity (years) | 29.13 | 28.23 | 27.7 | 26.18 | 25.63 | 24.18 | 23.34 | 22.26 | 28.15 | ||||||||||||||||||
Current Performance: | |||||||||||||||||||||||||||
Current | 571,545 | 2,158,820 | 665,613 | 103,886 | 30,021 | 2,754 | 16,515 | 13,727 | 3,562,881 | ||||||||||||||||||
30 Days Delinquent | 1,285 | 1,618 | — | — | — | — | — | — | 2,903 | ||||||||||||||||||
60 Days Delinquent | 634 | — | — | — | — | — | — | — | 634 | ||||||||||||||||||
90+ Days Delinquent | — | — | — | — | — | — | — | — | — | ||||||||||||||||||
Bankruptcy/Foreclosure | — | — | — | — | — | — | — | — | — | ||||||||||||||||||
Total | 573,464 | 2,160,438 | 665,613 | 103,886 | 30,021 | 2,754 | 16,515 | 13,727 | 3,566,418 | ||||||||||||||||||
Five Largest Geographic Concentrations of Residential Loans | The following table summarizes the geographic concentrations of residential loans held-for-investment at March 31, 2015 based on principal balance outstanding. | ||||||||||||||||||||||||||
State | Percent | ||||||||||||||||||||||||||
California | 53.5 | % | |||||||||||||||||||||||||
New York | 7.6 | % | |||||||||||||||||||||||||
Massachusetts | 5.8 | % | |||||||||||||||||||||||||
Illinois | 3.7 | % | |||||||||||||||||||||||||
Other states (none greater than 3%) | 29.4 | % | |||||||||||||||||||||||||
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 March 31, 2015. | ||||||||||||||||||||||||||
$ in thousands | |||||||||||||||||||||||||||
Scheduled Principal | 31-Mar-15 | ||||||||||||||||||||||||||
Within one year | 62,173 | ||||||||||||||||||||||||||
One to three years | 131,815 | ||||||||||||||||||||||||||
Three to five years | 142,940 | ||||||||||||||||||||||||||
Greater than or equal to five years | 3,229,490 | ||||||||||||||||||||||||||
Total | 3,566,418 | ||||||||||||||||||||||||||
Activity in Allowance for Loan Losses | The following table summarizes the activity in the allowance for loan losses for the three months ended March 31, 2015 and 2014. | ||||||||||||||||||||||||||
$ in thousands | 31-Mar-15 | 31-Mar-14 | |||||||||||||||||||||||||
Balance at beginning of period | (742 | ) | (884 | ) | |||||||||||||||||||||||
Charge-offs, net | — | — | |||||||||||||||||||||||||
Reduction in (provision for) loan losses | 62 | (207 | ) | ||||||||||||||||||||||||
Balance at end of period | (680 | ) | (1,091 | ) | |||||||||||||||||||||||
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 March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||||||||||||
ABS | Residential loans | ABS | Residential loans | ||||||||||||||||||||||||
$ in thousands | Outstanding | Held as Collateral | Outstanding | Held as Collateral | |||||||||||||||||||||||
Principal balance | 3,106,212 | 3,566,418 | 2,902,378 | 3,332,192 | |||||||||||||||||||||||
Interest-only securities | 14,574 | — | 15,040 | — | |||||||||||||||||||||||
Unamortized premium | 23,371 | 39,497 | 23,735 | 41,928 | |||||||||||||||||||||||
Unamortized discount | (10,630 | ) | (8,088 | ) | (11,333 | ) | (8,375 | ) | |||||||||||||||||||
Allowance for loan losses | — | (680 | ) | — | (742 | ) | |||||||||||||||||||||
Carrying value | 3,133,527 | 3,597,147 | 2,929,820 | 3,365,003 | |||||||||||||||||||||||
Range of weighted average interest rates | 2.8% - 4.0% | 2.8% - 4.0% | |||||||||||||||||||||||||
Number of securitization trusts consolidated | 11 | 10 | |||||||||||||||||||||||||
Principal Repayment of Mortgage Loans | The following table presents the estimated principal repayment schedule of asset-backed securities issued by securitization trusts at March 31, 2015 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 | 31-Mar-15 | ||||||||||||||||||||||||||
Within one year | 411,313 | ||||||||||||||||||||||||||
One to three years | 676,771 | ||||||||||||||||||||||||||
Three to five years | 511,839 | ||||||||||||||||||||||||||
Greater than or equal to five years | 1,506,289 | ||||||||||||||||||||||||||
Total | 3,106,212 | ||||||||||||||||||||||||||
Variable Interest Entity, New Primary Beneficiary | |||||||||||||||||||||||||||
Variable Interest Entity | |||||||||||||||||||||||||||
Summary of Assets and Liabilities of Variable Interest Entities | During the three months ended March 31, 2015, the Company invested in and consolidated one new securitization trust. The following table presents the balances of the assets and liabilities of the newly consolidated securitization trust before consolidation into the Company. The current period activity for the securitization trust is reflected in the Company’s condensed consolidated financial statements. | ||||||||||||||||||||||||||
$ in thousands | 2015 | ||||||||||||||||||||||||||
Residential loans, held-for-investment | 372,305 | ||||||||||||||||||||||||||
Accrued interest receivable | 1,236 | ||||||||||||||||||||||||||
Total assets | 373,541 | ||||||||||||||||||||||||||
Accrued interest and accrued expenses payable | 1,236 | ||||||||||||||||||||||||||
Asset-backed securities issued by securitization trusts | 372,305 | ||||||||||||||||||||||||||
Total liabilities | 373,541 | ||||||||||||||||||||||||||
MortgageBacked_Securities_Tabl
Mortgage-Backed Securities (Tables) | 3 Months Ended | ||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||
Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||
Summary of Investment Portfolio | The following tables present certain information about the Company’s MBS portfolio as of March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||||
$ 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 | 1,718,391 | 86,529 | 1,804,920 | 35,330 | 1,840,250 | 3.77 | % | 2.54 | % | 2.21 | % | ||||||||||||||||
30 year fixed-rate | 4,239,350 | 285,902 | 4,525,252 | 98,204 | 4,623,456 | 4.29 | % | 3.02 | % | 2.99 | % | ||||||||||||||||
ARM* | 448,286 | 5,345 | 453,631 | 9,711 | 463,342 | 2.75 | % | 2.41 | % | 2.69 | % | ||||||||||||||||
Hybrid ARM | 2,806,427 | 48,919 | 2,855,346 | 48,618 | 2,903,964 | 2.77 | % | 2.28 | % | 2.28 | % | ||||||||||||||||
Total Agency pass-through | 9,212,454 | 426,695 | 9,639,149 | 191,863 | 9,831,012 | 3.65 | % | 2.68 | % | 2.62 | % | ||||||||||||||||
Agency-CMO(4) | 1,997,925 | (1,554,128 | ) | 443,797 | (548 | ) | 443,249 | 2.29 | % | 4.91 | % | 3.71 | % | ||||||||||||||
Non-Agency RMBS(5)(6) | 3,428,864 | (569,772 | ) | 2,859,092 | 88,583 | 2,947,675 | 3.55 | % | 4.03 | % | 4.35 | % | |||||||||||||||
GSE CRT(7) | 633,000 | 24,653 | 657,653 | 4,114 | 661,767 | 4.84 | % | 4.13 | % | 4.04 | % | ||||||||||||||||
CMBS(8) | 3,218,583 | 52,371 | 3,270,954 | 185,938 | 3,456,892 | 4.71 | % | 4.36 | % | 4.34 | % | ||||||||||||||||
Total | 18,490,826 | (1,620,181 | ) | 16,870,645 | 469,950 | 17,340,595 | 3.71 | % | 3.35 | % | 3.33 | % | |||||||||||||||
* Adjustable-rate mortgage ("ARM") | |||||||||||||||||||||||||||
-1 | Net weighted average coupon (“WAC”) as of March 31, 2015 is presented net of servicing and other fees. | ||||||||||||||||||||||||||
-2 | Period-end weighted average yield is based on amortized cost as of March 31, 2015 and incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates. | ||||||||||||||||||||||||||
-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 29.7% of the balance based on fair value. | ||||||||||||||||||||||||||
-5 | Non-Agency RMBS held by the Company is 52.5% variable rate, 40.3% fixed rate, and 7.2% floating rate based on fair value. | ||||||||||||||||||||||||||
-6 | Of the total discount in non-Agency RMBS, $392.5 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 1.3% of the balance based on fair value. | ||||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||||
$ 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 | 1,236,297 | 60,764 | 1,297,061 | 30,040 | 1,327,101 | 4.05 | % | 2.6 | % | 2.66 | % | ||||||||||||||||
30 year fixed-rate | 4,432,301 | 297,311 | 4,729,612 | 60,681 | 4,790,293 | 4.29 | % | 2.97 | % | 3.05 | % | ||||||||||||||||
ARM | 531,281 | 9,068 | 540,349 | 6,433 | 546,782 | 2.83 | % | 2.27 | % | 2.29 | % | ||||||||||||||||
Hybrid ARM | 2,901,078 | 50,757 | 2,951,835 | 25,083 | 2,976,918 | 2.78 | % | 2.34 | % | 2.24 | % | ||||||||||||||||
Total Agency pass-through | 9,100,957 | 417,900 | 9,518,857 | 122,237 | 9,641,094 | 3.69 | % | 2.68 | % | 2.71 | % | ||||||||||||||||
Agency-CMO(4) | 1,957,296 | (1,502,785 | ) | 454,511 | (3,616 | ) | 450,895 | 2.34 | % | 4.57 | % | 3.62 | % | ||||||||||||||
Non-Agency RMBS(5)(6) | 3,555,249 | (583,890 | ) | 2,971,359 | 90,288 | 3,061,647 | 3.7 | % | 4.12 | % | 4.86 | % | |||||||||||||||
GSE CRT(7) | 615,000 | 25,573 | 640,573 | (15,149 | ) | 625,424 | 4.85 | % | 4.11 | % | 4.02 | % | |||||||||||||||
CMBS(8) | 3,277,208 | 54,893 | 3,332,101 | 137,734 | 3,469,835 | 4.74 | % | 4.39 | % | 4.38 | % | ||||||||||||||||
Total | 18,505,710 | (1,588,309 | ) | 16,917,401 | 331,494 | 17,248,895 | 3.74 | % | 3.38 | % | 3.49 | % | |||||||||||||||
-1 | Net WAC as of December 31, 2014 is presented net of servicing and other fees. | ||||||||||||||||||||||||||
-2 | Period-end weighted average yield based on amortized cost as of December 31, 2014 incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates. | ||||||||||||||||||||||||||
-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 29.1% of the balance based on fair value. | ||||||||||||||||||||||||||
-5 | Non-Agency RMBS held by the Company is 52.8% variable rate, 40.1% fixed rate, and 7.1% floating rate based on fair value. | ||||||||||||||||||||||||||
-6 | Of the total discount in non-Agency RMBS, $405.5 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 1.3% of the balance based on fair value. | ||||||||||||||||||||||||||
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 March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||||
$ in thousands | 31-Mar-15 | % of Non-Agency | 31-Dec-14 | % of Non-Agency | |||||||||||||||||||||||
Re-REMIC | 954,523 | 32.4 | % | 1,000,635 | 32.7 | % | |||||||||||||||||||||
Prime | 929,961 | 31.5 | % | 969,849 | 31.7 | % | |||||||||||||||||||||
Alt-A | 674,373 | 22.9 | % | 694,467 | 22.7 | % | |||||||||||||||||||||
Subprime/reperforming | 388,818 | 13.2 | % | 396,696 | 12.9 | % | |||||||||||||||||||||
Total Non-Agency | 2,947,675 | 100 | % | 3,061,647 | 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 March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||||
Percentage of Re-REMIC Holdings at Fair Value | |||||||||||||||||||||||||||
Re-REMIC Subordination(1) | 31-Mar-15 | 31-Dec-14 | |||||||||||||||||||||||||
0% - 10% | 7.3 | % | 7 | % | |||||||||||||||||||||||
10% - 20% | 4.5 | % | 4.4 | % | |||||||||||||||||||||||
20% - 30% | 11.9 | % | 11.9 | % | |||||||||||||||||||||||
30% - 40% | 25.7 | % | 26.1 | % | |||||||||||||||||||||||
40% - 50% | 31.5 | % | 31.8 | % | |||||||||||||||||||||||
50% - 60% | 15.5 | % | 15.2 | % | |||||||||||||||||||||||
60% - 70% | 3.6 | % | 3.6 | % | |||||||||||||||||||||||
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 March 31, 2015 and December 31, 2014 are presented below. | ||||||||||||||||||||||||||
$ in thousands | 31-Mar-15 | 31-Dec-14 | |||||||||||||||||||||||||
Principal balance | 18,490,826 | 18,505,710 | |||||||||||||||||||||||||
Unamortized premium | 552,865 | 549,816 | |||||||||||||||||||||||||
Unamortized discount | (2,173,046 | ) | (2,138,125 | ) | |||||||||||||||||||||||
Gross unrealized gains | 533,661 | 439,706 | |||||||||||||||||||||||||
Gross unrealized losses | (63,711 | ) | (108,212 | ) | |||||||||||||||||||||||
Fair value | 17,340,595 | 17,248,895 | |||||||||||||||||||||||||
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 March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||||
$ in thousands | 31-Mar-15 | 31-Dec-14 | |||||||||||||||||||||||||
Less than one year | 511,744 | 440,471 | |||||||||||||||||||||||||
Greater than one year and less than five years | 8,899,541 | 7,997,709 | |||||||||||||||||||||||||
Greater than or equal to five years | 7,929,310 | 8,810,715 | |||||||||||||||||||||||||
Total | 17,340,595 | 17,248,895 | |||||||||||||||||||||||||
Unrealized Losses and Estimated Fair Value of MBS by Length of Time | The following tables present the estimated fair value and gross unrealized losses of the Company's MBS by length of time that such securities have been in a continuous unrealized loss position at March 31, 2015 and December 31, 2014. | ||||||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||||
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 | 362,706 | (320 | ) | 9 | 80,040 | (378 | ) | 5 | 442,746 | (698 | ) | 14 | |||||||||||||||
30 year fixed-rate | 386,616 | (2,830 | ) | 14 | 1,243,419 | (20,710 | ) | 45 | 1,630,035 | (23,540 | ) | 59 | |||||||||||||||
ARM | — | — | — | — | — | — | — | — | — | ||||||||||||||||||
Hybrid ARM | 73,052 | (68 | ) | 4 | 12,670 | (66 | ) | 2 | 85,722 | (134 | ) | 6 | |||||||||||||||
Total Agency pass-through | 822,374 | (3,218 | ) | 27 | 1,336,129 | (21,154 | ) | 52 | 2,158,503 | (24,372 | ) | 79 | |||||||||||||||
Agency-CMO | 31,907 | (4,171 | ) | 16 | 161,321 | (8,231 | ) | 11 | 193,228 | (12,402 | ) | 27 | |||||||||||||||
Non-Agency RMBS | 524,866 | (4,180 | ) | 30 | 363,863 | (10,867 | ) | 25 | 888,729 | (15,047 | ) | 55 | |||||||||||||||
GSE CRT | 204,279 | (11,717 | ) | 9 | — | — | — | 204,279 | (11,717 | ) | 9 | ||||||||||||||||
CMBS | 58,151 | (87 | ) | 7 | 32,662 | (86 | ) | 2 | 90,813 | (173 | ) | 9 | |||||||||||||||
Total | 1,641,577 | (23,373 | ) | 89 | 1,893,975 | (40,338 | ) | 90 | 3,535,552 | (63,711 | ) | 179 | |||||||||||||||
December 31, 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 | 10,897 | (42 | ) | 1 | 105,644 | (1,395 | ) | 6 | 116,541 | (1,437 | ) | 7 | |||||||||||||||
30 year fixed-rate | 137,680 | (2,662 | ) | 5 | 1,756,894 | (40,181 | ) | 62 | 1,894,574 | (42,843 | ) | 67 | |||||||||||||||
ARM | 24,074 | (9 | ) | 1 | 3,719 | (23 | ) | 1 | 27,793 | (32 | ) | 2 | |||||||||||||||
Hybrid ARM | 630,775 | (1,544 | ) | 28 | 20,361 | (197 | ) | 2 | 651,136 | (1,741 | ) | 30 | |||||||||||||||
Total Agency pass-through | 803,426 | (4,257 | ) | 35 | 1,886,618 | (41,796 | ) | 71 | 2,690,044 | (46,053 | ) | 106 | |||||||||||||||
Agency-CMO | 36,723 | (6,192 | ) | 18 | 265,863 | (9,481 | ) | 10 | 302,586 | (15,673 | ) | 28 | |||||||||||||||
Non-Agency RMBS | 573,122 | (5,799 | ) | 34 | 354,532 | (11,990 | ) | 21 | 927,654 | (17,789 | ) | 55 | |||||||||||||||
GSE CRT | 306,603 | (25,346 | ) | 13 | — | — | — | 306,603 | (25,346 | ) | 13 | ||||||||||||||||
CMBS | 134,364 | (277 | ) | 11 | 227,452 | (3,074 | ) | 19 | 361,816 | (3,351 | ) | 30 | |||||||||||||||
Total | 1,854,238 | (41,871 | ) | 111 | 2,734,465 | (66,341 | ) | 121 | 4,588,703 | (108,212 | ) | 232 | |||||||||||||||
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 months ended March 31, 2015 and 2014. | ||||||||||||||||||||||||||
$ in thousands | Three Months | Three Months | |||||||||||||||||||||||||
ended | ended | ||||||||||||||||||||||||||
March 31, 2015 | March 31, 2014 | ||||||||||||||||||||||||||
Accumulated other comprehensive income from investment securities: | |||||||||||||||||||||||||||
Unrealized gain (loss) on MBS at beginning of period | 331,494 | (151,371 | ) | ||||||||||||||||||||||||
Unrealized gain (loss) on MBS, net | 138,456 | 181,185 | |||||||||||||||||||||||||
Balance at the end of period | 469,950 | 29,814 | |||||||||||||||||||||||||
Realized Gain (Loss) on Investments | The following table summarizes the Company's gross realized gains and losses during the three months ended March 31, 2015 and 2014. | ||||||||||||||||||||||||||
$ in thousands | Three Months | Three Months | |||||||||||||||||||||||||
ended | ended | ||||||||||||||||||||||||||
March 31, 2015 | March 31, 2014 | ||||||||||||||||||||||||||
Gross realized gains on sale of investments | 2,964 | 7,729 | |||||||||||||||||||||||||
Gross realized losses on sale of investments | (822 | ) | (19,447 | ) | |||||||||||||||||||||||
Net realized gains (losses) on sale of investments | 2,142 | (11,718 | ) | ||||||||||||||||||||||||
Components of MBS Interest Income | The following table presents components of interest income on the Company’s MBS portfolio for the three months ended March 31, 2015 and 2014. | ||||||||||||||||||||||||||
For the three months ended March 31, 2015 | |||||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | ||||||||||||||||||||||||
Interest | Amortization)/Discount | Income | |||||||||||||||||||||||||
Accretion | |||||||||||||||||||||||||||
Agency | 94,372 | (26,859 | ) | 67,513 | |||||||||||||||||||||||
Non-Agency | 30,810 | 658 | 31,468 | ||||||||||||||||||||||||
GSE CRT | 7,481 | (920 | ) | 6,561 | |||||||||||||||||||||||
CMBS | 37,905 | (2,428 | ) | 35,477 | |||||||||||||||||||||||
Other | (1 | ) | — | (1 | ) | ||||||||||||||||||||||
Total | 170,567 | (29,549 | ) | 141,018 | |||||||||||||||||||||||
For the three months ended March 31, 2014 | |||||||||||||||||||||||||||
$ in thousands | Coupon | Net (Premium | Interest | ||||||||||||||||||||||||
Interest | Amortization)/Discount | Income | |||||||||||||||||||||||||
Accretion | |||||||||||||||||||||||||||
Agency | 105,483 | (23,664 | ) | 81,819 | |||||||||||||||||||||||
Non-Agency | 35,555 | 1,531 | 37,086 | ||||||||||||||||||||||||
GSE CRT | 4,376 | (596 | ) | 3,780 | |||||||||||||||||||||||
CMBS | 38,612 | (9,661 | ) | 28,951 | |||||||||||||||||||||||
Other | 103 | — | 103 | ||||||||||||||||||||||||
Total | 184,129 | (32,390 | ) | 151,739 | |||||||||||||||||||||||
Commercial_Loans_HeldforInvest1
Commercial Loans Held-for-Investment (Tables) | 3 Months Ended | ||||||||||||||
Mar. 31, 2015 | |||||||||||||||
Receivables [Abstract] | |||||||||||||||
Schedule of 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 March 31, 2015 and December 31, 2014. | ||||||||||||||
March 31, 2015 | |||||||||||||||
$ in thousands | Number of | Principal | Unamortized (fees)/ | Carrying | Unfunded | ||||||||||
loans | Balance | costs, net | value | commitment | |||||||||||
First mortgage loan | 1 | 19,978 | 28 | 20,006 | 1,623 | ||||||||||
Subordinate interests: | |||||||||||||||
Mezzanine loans | 4 | 73,587 | (75 | ) | 73,512 | — | |||||||||
Other (1) | 2 | 52,693 | — | 52,693 | — | ||||||||||
Total | 7 | 146,258 | (47 | ) | 146,211 | 1,623 | |||||||||
(1) Other subordinate interests include a B-note and a preferred equity investment. | |||||||||||||||
December 31, 2014 | |||||||||||||||
$ in thousands | Number of | Principal | Unamortized (fees)/ | Carrying | Unfunded | ||||||||||
loans | Balance | costs, net | value | commitment | |||||||||||
First mortgage loan | 1 | 19,978 | 41 | 20,019 | 1,623 | ||||||||||
Subordinate interests: | |||||||||||||||
Mezzanine loans | 4 | 71,643 | (94 | ) | 71,549 | 3,357 | |||||||||
Other(1) | 2 | 54,188 | — | 54,188 | — | ||||||||||
Total | 7 | 145,809 | (53 | ) | 145,756 | 4,980 | |||||||||
Other_Investments_Tables
Other Investments (Tables) | 3 Months Ended | |||||
Mar. 31, 2015 | ||||||
Schedule of Investments [Abstract] | ||||||
Summary of Company's Other Investments | The following table summarizes the Company's other investments as of March 31, 2015 and December 31, 2014. | |||||
$ in thousands | 31-Mar-15 | 31-Dec-14 | ||||
FHLBI stock | 69,750 | 62,500 | ||||
Investments in unconsolidated ventures | 41,243 | 43,998 | ||||
Total | 110,993 | 106,498 | ||||
Borrowings_Tables
Borrowings (Tables) | 3 Months Ended | |||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||
Debt Disclosure [Abstract] | ||||||||||||||||||
Schedule of 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 March 31, 2015 and December 31, 2014. | |||||||||||||||||
$ in thousands | 31-Mar-15 | 31-Dec-14 | ||||||||||||||||
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 | 8,778,225 | 0.35 | % | 17 | 9,018,818 | 0.35 | % | 18 | ||||||||||
Non-Agency RMBS | 2,613,114 | 1.52 | % | 34 | 2,676,626 | 1.51 | % | 36 | ||||||||||
GSE CRT | 486,990 | 1.67 | % | 26 | 468,782 | 1.55 | % | 27 | ||||||||||
CMBS | 1,454,752 | 1.33 | % | 38 | 1,458,451 | 1.32 | % | 26 | ||||||||||
Secured Loans | 1,550,000 | 0.4 | % | 3,071 | 1,250,000 | 0.37 | % | 3,472 | ||||||||||
Exchangeable Senior Notes | 400,000 | 5 | % | 1,081 | 400,000 | 5 | % | 1,170 | ||||||||||
Total | 15,283,081 | 0.81 | % | 359 | 15,272,677 | 0.81 | % | 335 | ||||||||||
Schedule of Repurchase Agreements by Counterparties | The following tables summarize certain characteristics of the Company’s repurchase agreements at March 31, 2015 and December 31, 2014. | |||||||||||||||||
31-Mar-15 | ||||||||||||||||||
$ in thousands | Amount Outstanding | Percent of Total Amount Outstanding | Company MBS Held as Collateral | |||||||||||||||
Repurchase Agreement Counterparties | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 1,382,129 | 10.4 | % | 1,741,155 | (1 | ) | ||||||||||||
HSBC Securities (USA) Inc | 1,231,915 | 9.2 | % | 1,271,803 | ||||||||||||||
Royal Bank of Canada | 1,040,865 | 7.8 | % | 1,203,610 | ||||||||||||||
Citigroup Global Markets Inc. | 968,334 | 7.3 | % | 1,144,895 | (2 | ) | ||||||||||||
South Street Securities LLC | 931,104 | 7 | % | 976,970 | ||||||||||||||
Industrial and Commercial Bank of China Financial Services LLC | 717,869 | 5.4 | % | 757,589 | ||||||||||||||
Banc of America Securities LLC | 662,641 | 5 | % | 748,193 | (3 | ) | ||||||||||||
Mitsubishi UFJ Securities (USA), Inc. | 653,861 | 4.9 | % | 689,968 | ||||||||||||||
Pierpont Securities LLC | 630,346 | 4.7 | % | 662,713 | ||||||||||||||
J.P. Morgan Securities LLC | 624,508 | 4.7 | % | 719,790 | ||||||||||||||
Wells Fargo Securities, LLC | 613,333 | 4.6 | % | 745,065 | ||||||||||||||
ING Financial Market LLC | 576,864 | 4.3 | % | 611,710 | ||||||||||||||
BNP Paribas Securities Corp. | 526,920 | 4 | % | 581,521 | ||||||||||||||
Scotia Capital | 505,637 | 3.8 | % | 526,845 | ||||||||||||||
Morgan Stanley & Co. Incorporated | 467,799 | 3.5 | % | 506,123 | ||||||||||||||
KGS-Alpha Capital Markets, L.P. | 421,208 | 3.2 | % | 445,536 | ||||||||||||||
Goldman, Sachs & Co. | 327,794 | 2.5 | % | 351,736 | ||||||||||||||
Barclays Capital Inc. | 202,225 | 1.5 | % | 254,145 | ||||||||||||||
All other counterparties (4) | 847,729 | 6.2 | % | 907,882 | ||||||||||||||
Total | 13,333,081 | 100 | % | 14,847,249 | ||||||||||||||
(1) Includes $270.8 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
(2) Includes $34.4 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
(3) Includes $126.7 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
(4) Represents amounts outstanding with nine counterparties. | ||||||||||||||||||
31-Dec-14 | ||||||||||||||||||
$ in thousands | Amount Outstanding | Percent of Total Amount Outstanding | Company MBS Held as Collateral | |||||||||||||||
Repurchase Agreement Counterparties | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 1,517,530 | 11.1 | % | 1,925,973 | (1 | ) | ||||||||||||
HSBC Securities (USA) Inc | 1,190,769 | 8.7 | % | 1,225,194 | ||||||||||||||
Royal Bank of Canada | 1,057,798 | 7.8 | % | 1,278,612 | ||||||||||||||
Citigroup Global Markets Inc. | 979,247 | 7.2 | % | 1,157,265 | (2 | ) | ||||||||||||
South Street Securities LLC | 961,938 | 7.1 | % | 1,020,054 | ||||||||||||||
Banc of America Securities LLC | 791,196 | 5.9 | % | 875,984 | (3 | ) | ||||||||||||
ING Financial Market LLC | 767,733 | 5.6 | % | 820,166 | ||||||||||||||
Mitsubishi UFJ Securities (USA), Inc. | 710,058 | 5.2 | % | 744,836 | ||||||||||||||
J.P. Morgan Securities LLC | 698,856 | 5.1 | % | 814,896 | ||||||||||||||
Industrial and Commercial Bank of China Financial Services LLC | 682,193 | 5 | % | 716,989 | ||||||||||||||
Wells Fargo Securities, LLC | 627,071 | 4.6 | % | 754,706 | ||||||||||||||
Pierpont Securities LLC | 601,222 | 4.4 | % | 627,534 | ||||||||||||||
Morgan Stanley & Co. Incorporated | 589,950 | 4.3 | % | 632,002 | ||||||||||||||
BNP Paribas Securities Corp. | 559,658 | 4.1 | % | 622,749 | ||||||||||||||
Scotia Capital | 521,778 | 3.8 | % | 542,044 | ||||||||||||||
KGS-Alpha Capital Markets, L.P. | 407,920 | 3 | % | 430,241 | ||||||||||||||
All other counterparties (4) | 957,760 | 7.1 | % | 1,071,019 | ||||||||||||||
Total | 13,622,677 | 100 | % | 15,260,264 | ||||||||||||||
(1) Includes $276.1 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
(2) Includes $20.3 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
(3) Includes $106.8 million of MBS held as collateral which are eliminated in consolidation. | ||||||||||||||||||
(4) Represents amounts outstanding with ten counterparties. |
Derivatives_and_Hedging_Activi1
Derivatives and Hedging Activities (Tables) | 3 Months Ended | |||||||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||||
Open CDS Sold by Company | At March 31, 2015 and December 31, 2014, terms of the CDS are: | |||||||||||||||||||||
$ in thousand | 31-Mar-15 | 31-Dec-14 | ||||||||||||||||||||
Fair value amount | 334 | 396 | ||||||||||||||||||||
Notional amount | 33,371 | 36,684 | ||||||||||||||||||||
Maximum potential amount of future undiscounted payments | 33,371 | 36,684 | ||||||||||||||||||||
Recourse provisions with third parties | — | — | ||||||||||||||||||||
Collateral held by counterparty | 5,139 | 5,642 | ||||||||||||||||||||
Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges | As of March 31, 2015, the Company had the following interest rate swaps outstanding: | |||||||||||||||||||||
$ in thousands | Notional | Maturity Date | Fixed Interest Rate | |||||||||||||||||||
Counterparty | in Contract | |||||||||||||||||||||
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 | % | ||||||||||||||||||
ING Capital Markets LLC | 300,000 | 5/5/18 | 0.79 | % | ||||||||||||||||||
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 | (1 | ) | 300,000 | 2/5/21 | 2.5 | % | ||||||||||||||||
The Royal Bank of Scotland Plc CME Clearing House | (1 | ) | 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 | 550,000 | 2/24/22 | 2.45 | % | ||||||||||||||||||
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 | 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 | % | ||||||||||||||||||
Morgan Stanley Capital Services, LLC | 100,000 | 4/2/25 | 2.04 | % | ||||||||||||||||||
Total | 10,350,000 | 2.1 | % | |||||||||||||||||||
-1 | Forward start date of February 2016 | |||||||||||||||||||||
Outstanding Interest Rate Swaptions and Derivative Instrument Information | As of March 31, 2015, 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 | 5,640 | 3 | 3.1 | 550,000 | 3.29 | % | 3M Libor | 8.2 | |||||||||||||
Total Payer | 5,640 | 3 | 3.1 | 550,000 | 3.29 | % | 3M Libor | 8.2 | ||||||||||||||
Receiver | > 6 Months | 1,485 | 795 | 10 | 300,000 | 3M Libor | 1.11 | % | 10 | |||||||||||||
Total Receiver | 1,485 | 795 | 10 | 300,000 | 3M Libor | 1.11 | % | 10 | ||||||||||||||
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 condensed 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 condensed 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, 2015 | Termination, | of March 31, 2015 | Gain (Loss), net on Derivative | |||||||||||||||||||
Expiration | Instruments (excluding net interest paid or received) for the three months ended March 31, 2015 | |||||||||||||||||||||
or Exercise | ||||||||||||||||||||||
Interest Rate Swaptions | 1,050,000 | 300,000 | (500,000 | ) | 850,000 | (4,688 | ) | |||||||||||||||
Interest Rate Swaps | 10,550,000 | 100,000 | (300,000 | ) | 10,350,000 | (19,055 | ) | |||||||||||||||
Sale of TBAs | 198,000 | 248,000 | (446,000 | ) | — | (2,292 | ) | |||||||||||||||
Futures Contracts | 127,400 | 120,900 | (248,300 | ) | — | (943 | ) | |||||||||||||||
Currency Forward Contracts | 35,688 | 30,708 | (32,127 | ) | 34,269 | 875 | ||||||||||||||||
Total | 11,961,088 | 799,608 | (1,526,427 | ) | 11,234,269 | (26,103 | ) | |||||||||||||||
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 condensed consolidated balance sheets as of March 31, 2015 and December 31, 2014. | |||||||||||||||||||||
$ in thousands | ||||||||||||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||||||||||||
As of March 31, 2015 | As of December 31, 2014 | As of March 31, 2015 | As of December 31, 2014 | |||||||||||||||||||
Balance | Fair Value | Fair Value | Balance | Fair Value | Fair Value | |||||||||||||||||
Sheet | Sheet | |||||||||||||||||||||
Interest Rate Swap Asset | 4,198 | 22,772 | Interest Rate Swap Liability | 290,852 | 253,468 | |||||||||||||||||
CDS Contract | 334 | 396 | TBAs | — | 558 | |||||||||||||||||
Interest Rate Swaptions | 798 | 322 | ||||||||||||||||||||
Futures Contracts | — | 89 | ||||||||||||||||||||
Currency Forward Contracts | 1,376 | 599 | ||||||||||||||||||||
Effect of Derivative Financial Instruments on Statement of Operations | The tables below present the effect of the Company’s derivative financial instruments on the condensed consolidated statements of operations for the three months ended March 31, 2015 and 2014. | |||||||||||||||||||||
Three months ended March 31, 2015 | ||||||||||||||||||||||
$ 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 | (19,145 | ) | Gain (loss) | — | ||||||||||||||||
on derivative instruments, net | ||||||||||||||||||||||
Three months ended March 31, 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 | (21,296 | ) | Gain (loss) | — | ||||||||||||||||
on derivative instruments, net | ||||||||||||||||||||||
$ in thousands | Amount of unrealized gain (loss) recognized in income on derivative | |||||||||||||||||||||
Derivative | Location of unrealized gain (loss) | Three months ended March 31, 2015 | Three months ended March 31, 2014 | |||||||||||||||||||
not designated as | recognized in income | |||||||||||||||||||||
hedging instrument | on derivative | |||||||||||||||||||||
CDS Contract | Realized and unrealized credit default swap income | (62 | ) | (47 | ) | |||||||||||||||||
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 condensed consolidated statements of operations for the three months ended March 31, 2015 and 2014: | ||||||||||||||||||||||
$ in thousands | Three months ended March 31, 2015 | |||||||||||||||||||||
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 | (19,055 | ) | (45,608 | ) | (55,957 | ) | (120,620 | ) | ||||||||||||||
Interest Rate Swaptions | (4,688 | ) | — | 3,679 | (1,009 | ) | ||||||||||||||||
TBAs | (2,292 | ) | — | 558 | (1,734 | ) | ||||||||||||||||
Futures Contracts | (943 | ) | — | (90 | ) | (1,033 | ) | |||||||||||||||
Currency Forward Contracts | 875 | — | 776 | 1,651 | ||||||||||||||||||
Total | (26,103 | ) | (45,608 | ) | (51,034 | ) | (122,745 | ) | ||||||||||||||
$ in thousands | Three months ended March 31, 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 | — | (51,441 | ) | (90,192 | ) | (141,633 | ) | |||||||||||||||
Interest Rate Swaptions | (15,075 | ) | — | 11,127 | (3,948 | ) | ||||||||||||||||
TBAs | — | — | 703 | 703 | ||||||||||||||||||
Futures Contracts | (3,749 | ) | — | (2,685 | ) | (6,434 | ) | |||||||||||||||
Total | (18,824 | ) | (51,441 | ) | (81,047 | ) | (151,312 | ) |
Offsetting_Assets_and_Liabilit1
Offsetting Assets and Liabilities (Tables) | 3 Months Ended | |||||||||||||||||
Mar. 31, 2015 | ||||||||||||||||||
Offsetting [Abstract] | ||||||||||||||||||
Offsetting of Derivative Assets and Derivative Liabilities | 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 condensed consolidated balance sheets at March 31, 2015 and December 31, 2014. | |||||||||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||
As of March 31, 2015 | ||||||||||||||||||
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Assets | Instruments (1) | Received (4) | |||||||||||||
Recognized | Offset in the Condensed Consolidated | presented in | ||||||||||||||||
Assets | Balance | the Condensed | ||||||||||||||||
Sheets | Consolidated | |||||||||||||||||
Balance Sheets | ||||||||||||||||||
Derivatives | 6,706 | — | 6,706 | (3,171 | ) | (3,535 | ) | — | ||||||||||
Total | 6,706 | — | 6,706 | (3,171 | ) | (3,535 | ) | — | ||||||||||
Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans | ||||||||||||||||||
As of March 31, 2015 | ||||||||||||||||||
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Liabilities | Instruments (2)(3)(5) | Posted (2)(4)(5) | |||||||||||||
Recognized | Offset in the Condensed Consolidated | presented in | ||||||||||||||||
Liabilities | Balance | the Condensed | ||||||||||||||||
Sheets | Consolidated | |||||||||||||||||
Balance Sheets | ||||||||||||||||||
Derivatives | 290,852 | — | 290,852 | (208,855 | ) | (80,414 | ) | 1,583 | ||||||||||
Repurchase Agreements | 13,333,081 | — | 13,333,081 | (13,333,081 | ) | — | — | |||||||||||
Secured Loans | 1,550,000 | — | 1,550,000 | (1,550,000 | ) | — | — | |||||||||||
Total | 15,173,933 | — | 15,173,933 | (15,091,936 | ) | (80,414 | ) | 1,583 | ||||||||||
Offsetting of Derivative Assets | ||||||||||||||||||
As of December 31, 2014 | ||||||||||||||||||
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Assets | Instruments (1) | Received (4) | |||||||||||||
Recognized | Offset in the Condensed Consolidated | presented in | ||||||||||||||||
Assets | Balance | the Condensed | ||||||||||||||||
Sheets | Consolidated | |||||||||||||||||
Balance Sheets | ||||||||||||||||||
Derivatives | 24,178 | — | 24,178 | (5,277 | ) | (18,901 | ) | — | ||||||||||
Total | 24,178 | — | 24,178 | (5,277 | ) | (18,901 | ) | — | ||||||||||
Offsetting of Derivative Liabilities and Repurchase Agreements | ||||||||||||||||||
As of December 31, 2014 | ||||||||||||||||||
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets | ||||||||||||||||||
$ in thousands | Gross | Gross | Net Amounts | Financial | Collateral | Net Amount | ||||||||||||
Description | Amounts of | Amounts | of Liabilities | Instruments (2)(3) | Posted (2)(4) | |||||||||||||
Recognized | Offset in the Condensed Consolidated | presented in | ||||||||||||||||
Liabilities | Balance | the Condensed | ||||||||||||||||
Sheets | Consolidated | |||||||||||||||||
Balance Sheets | ||||||||||||||||||
Derivatives | 254,026 | — | 254,026 | (235,908 | ) | (18,118 | ) | — | ||||||||||
Repurchase Agreements | 13,622,677 | — | 13,622,677 | (13,622,677 | ) | — | — | |||||||||||
Secured Loans | 1,250,000 | — | 1,250,000 | (1,250,000 | ) | — | ||||||||||||
Total | 15,126,703 | — | 15,126,703 | (15,108,585 | ) | (18,118 | ) | — | ||||||||||
-1 | Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at March 31, 2015 and December 31, 2014, 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 $14.8 billion and $15.3 billion at March 31, 2015 and December 31, 2014, respectively, including securities held as collateral that are eliminated in consolidation of $431.9 million and $403.2 million, respectively at March 31, 2015 and December 31, 2014. | |||||||||||||||||
-4 | Cash collateral received on the Company's derivatives was $4.3 million and $14.9 million at March 31, 2015 and December 31, 2014, respectively. The Company did not receive non-cash collateral at March 31, 2015. Non-cash collateral received on the Company's derivatives was $10.8 million at December 31, 2014. Cash collateral posted by the Company on its derivatives was $82.2 million and $57.6 million at March 31, 2015 and December 31, 2014, respectively. | |||||||||||||||||
-5 | The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $1.9 billion and $1.5 billion at March 31, 2015 and December 31, 2014, respectively. |
Fair_Value_of_Financial_Instru1
Fair Value of Financial Instruments (Tables) | 3 Months Ended | |||||||||||
Mar. 31, 2015 | ||||||||||||
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. | |||||||||||
31-Mar-15 | ||||||||||||
Fair Value Measurements Using: | ||||||||||||
Total at | ||||||||||||
Level 1 | Level 2 | Level 3 | Fair Value | |||||||||
Assets: | ||||||||||||
Mortgage-backed securities(1) | — | 17,340,595 | — | 17,340,595 | ||||||||
Derivative assets | — | 6,372 | 334 | 6,706 | ||||||||
Total assets | — | 17,346,967 | 334 | 17,347,301 | ||||||||
Liabilities: | ||||||||||||
Derivative liabilities | — | 290,852 | — | 290,852 | ||||||||
Total liabilities | — | 290,852 | — | 290,852 | ||||||||
December 31, 2014 | ||||||||||||
Fair Value Measurements Using: | ||||||||||||
$ in thousands | Level 1 | Level 2 | Level 3 | Total at | ||||||||
Fair Value | ||||||||||||
Assets: | ||||||||||||
Mortgage-backed securities(1) | — | 17,248,895 | — | 17,248,895 | ||||||||
Derivative assets | 89 | 23,693 | 396 | 24,178 | ||||||||
Total assets | 89 | 17,272,588 | 396 | 17,273,073 | ||||||||
Liabilities: | ||||||||||||
Derivative liabilities | — | 254,026 | — | 254,026 | ||||||||
Total liabilities | — | 254,026 | — | 254,026 | ||||||||
-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 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 | 31-Mar-15 | 31-Dec-14 | ||||||||||
Balance at January 1 | 396 | 654 | ||||||||||
Unrealized gains/(losses), net | (62 | ) | (258 | ) | ||||||||
Ending balance | 334 | 396 | ||||||||||
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 | 31-Mar-15 | Technique | Input | Range | Average | |||||||
CDS Contract | 334 | Discounted cash flow | Swap Rate | 2.39 | % | |||||||
Discount Rate | 0.66 | % | ||||||||||
Credit Spread | 0.32 | % | ||||||||||
Constant Prepayment Rate | 1.0% - 20.0% | 5.47 | % | |||||||||
Constant Default Rate | 0.5% - 100.0% | 4.14 | % | |||||||||
Loss Severity | 2.02% - 66.0% | 40.14 | % | |||||||||
Fair Value at | Valuation | Unobservable | Weighted | |||||||||
$ in thousands | 31-Dec-14 | Technique | Input | Range | Average | |||||||
CDS Contract | 396 | Discounted cash flow | Swap Rate | 2.39 | % | |||||||
Discount Rate | 0.76 | % | ||||||||||
Credit Spread | 0.24 | % | ||||||||||
Constant Prepayment Rate | 1.0% - 20.0% | 5.46 | % | |||||||||
Constant Default Rate | 0.6% - 100.0% | 4.15 | % | |||||||||
Loss Severity | 1.1% - 62.3% | 39.35 | % | |||||||||
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 condensed consolidated balance sheets, at March 31, 2015 and December 31, 2014: | |||||||||||
31-Mar-15 | 31-Dec-14 | |||||||||||
$ in thousands | Carrying | Estimated | Carrying | Estimated | ||||||||
Value | Fair Value | Value | Fair Value | |||||||||
Financial Assets | ||||||||||||
Residential loans, held-for-investment | 3,597,147 | 3,622,776 | 3,365,003 | 3,399,964 | ||||||||
Commercial loans, held-for-investment | 146,211 | 148,026 | 145,756 | 147,497 | ||||||||
Other investments | 110,993 | 110,993 | 106,498 | 106,498 | ||||||||
Total | 3,854,351 | 3,881,795 | 3,617,257 | 3,653,959 | ||||||||
Financial Liabilities | ||||||||||||
Repurchase agreements | 13,333,081 | 13,340,003 | 13,622,677 | 13,630,571 | ||||||||
Secured loans | 1,550,000 | 1,550,000 | 1,250,000 | 1,250,000 | ||||||||
Asset-backed securities issued by securitization trusts | 3,133,527 | 3,150,057 | 2,929,820 | 2,930,422 | ||||||||
Exchangeable senior notes | 400,000 | 385,000 | 400,000 | 379,500 | ||||||||
Total | 18,416,608 | 18,425,060 | 18,202,497 | 18,190,493 | ||||||||
Related_Party_Transactions_Tab
Related Party Transactions (Tables) | 3 Months Ended | |||||
Mar. 31, 2015 | ||||||
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 months ended March 31, 2015 and 2014. | |||||
Three Months Ended | ||||||
March 31, 2015 | ||||||
$ in thousands | 2015 | 2014 | ||||
Incurred costs, prepaid or expensed | 642 | 1,765 | ||||
Total incurred costs, originally paid by the Manager | 642 | 1,765 | ||||
Earnings_per_Common_Share_Tabl
Earnings per Common Share (Tables) | 3 Months Ended | |||||
Mar. 31, 2015 | ||||||
Earnings Per Share [Abstract] | ||||||
Earnings Per Share | Earnings per share for the three months ended March 31, 2015 and 2014 is computed as follows: | |||||
Three Months Ended | ||||||
March 31, | ||||||
$ and share amounts in thousands | 2015 | 2014 | ||||
Numerator (Income) | ||||||
Basic Earnings | ||||||
Net loss available to common stockholders | (32,700 | ) | (74,440 | ) | ||
Effect of dilutive securities: | ||||||
Income allocated to exchangeable senior debt | — | — | ||||
Loss allocated to non-controlling interest | (312 | ) | (822 | ) | ||
Dilutive net loss available to stockholders | (33,012 | ) | (75,262 | ) | ||
Denominator (Weighted Average Shares) | ||||||
Basic Earnings: | ||||||
Shares available to common stockholders | 123,118 | 123,125 | ||||
Effect of dilutive securities: | ||||||
Restricted stock awards | — | — | ||||
OP units | 1,425 | 1,425 | ||||
Exchangeable senior notes | — | — | ||||
Dilutive Shares | 124,543 | 124,550 | ||||
Noncontrolling_InterestOperati1
Non-controlling Interest-Operating Partnership (Tables) | 3 Months Ended | |||||
Mar. 31, 2015 | ||||||
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 months ended March 31, 2015 and 2014. | |||||
Three Months Ended | ||||||
March 31, 2015 | ||||||
$ in thousands | 2015 | 2014 | ||||
Expense allocated | (312 | ) | (822 | ) | ||
Distributions paid | 641 | 713 | ||||
Organization_and_Business_Oper1
Organization and Business Operations - Additional Information (Detail) | 3 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | |
segment | ||
Organization And Business Operations | ||
Ownership interest in Operating Partnership | 98.90% | |
Ownership percentage in Operating Partnership | 1.10% | 1.10% |
Number of operating segments | 1 | |
Minimum distribution percentage of taxable income to qualify for REIT | 90.00% | |
Invesco Investments (Bermuda) Ltd | ||
Organization And Business Operations | ||
Ownership percentage in Operating Partnership | 1.10% |
Variable_Interest_Entities_Add
Variable Interest Entities - Additional Information (Detail) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | |
Variable Interest Entity | ||
Number of securitization trusts | 1 | |
Variable Interest Entity, Primary Beneficiary | Asset Backed Securities | ||
Variable Interest Entity | ||
Weighted average maturity | 28 years 9 months 18 days | 28 years 11 months 9 days |
Variable_Interest_Entities_Max
Variable Interest Entities - Maximum Risk of Loss (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Variable Interest Entity | ||||
Carrying Amount | $17,340,595 | [1] | $17,248,895 | [1] |
Variable Interest Entity, Not Primary Beneficiary | ||||
Variable Interest Entity | ||||
Carrying Amount | 6,404,567 | |||
Company's Maximum Risk of Loss | 6,404,567 | |||
Non-Agency RMBS | ||||
Variable Interest Entity | ||||
Carrying Amount | 2,947,675 | [2],[3] | 3,061,647 | [4],[5] |
Non-Agency RMBS | Variable Interest Entity, Not Primary Beneficiary | ||||
Variable Interest Entity | ||||
Carrying Amount | 2,947,675 | |||
Company's Maximum Risk of Loss | 2,947,675 | |||
CMBS | ||||
Variable Interest Entity | ||||
Carrying Amount | 3,456,892 | [6] | 3,469,835 | [6] |
CMBS | Variable Interest Entity, Not Primary Beneficiary | ||||
Variable Interest Entity | ||||
Carrying Amount | 3,456,892 | |||
Company's Maximum Risk of Loss | $3,456,892 | |||
[1] | For more detail about the fair value of the Company's MBS, refer to Note 4 - "Mortgage-Backed Securities." | |||
[2] | Non-Agency RMBS held by the Company is 52.5% variable rate, 40.3% fixed rate, and 7.2% floating rate based on fair value. | |||
[3] | Of the total discount in non-Agency RMBS, $392.5 million is non-accretable. | |||
[4] | Of the total discount in non-Agency RMBS, $405.5 million is non-accretable. | |||
[5] | Non-Agency RMBS held by the Company is 52.8% variable rate, 40.1% fixed rate, and 7.1% floating rate based on fair value. | |||
[6] | CMBS includes commercial real estate mezzanine loan pass-through certificates which represent 1.3% of the balance based on fair value. |
Variable_Interest_Entities_Sum
Variable Interest Entities - Summary of Assets and Liabilities of Variable Interest Entities (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Variable Interest Entity | ||||
Residential loans, held-for-investment | $3,597,147 | [1] | $3,365,003 | [1] |
Accrued interest receivable | 66,144 | 66,044 | ||
Deferred costs | 12,286 | 13,080 | ||
Total assets | 21,548,074 | [1] | 21,231,017 | [1] |
Asset-backed securities issued by securitization trusts | 3,133,527 | [1] | 2,929,820 | [1] |
Total liabilities | 18,840,460 | [1] | 18,592,167 | [1] |
Variable Interest Entity, Primary Beneficiary | ||||
Variable Interest Entity | ||||
Residential loans, held-for-investment | 3,597,147 | 3,365,003 | ||
Accrued interest receivable | 11,050 | 10,562 | ||
Deferred costs | 4,846 | 5,032 | ||
Total assets | 3,613,043 | 3,380,597 | ||
Accrued interest and accrued expenses payable | 9,143 | 8,692 | ||
Asset-backed securities issued by securitization trusts | 3,133,527 | 2,929,820 | ||
Total liabilities | 3,142,670 | 2,938,512 | ||
Variable Interest Entity, New Primary Beneficiary | ||||
Variable Interest Entity | ||||
Residential loans, held-for-investment | 372,305 | |||
Accrued interest receivable | 1,236 | |||
Total assets | 373,541 | |||
Accrued interest and accrued expenses payable | 1,236 | |||
Asset-backed securities issued by securitization trusts | 372,305 | |||
Total liabilities | $373,541 | |||
[1] | The condensed consolidated balance sheets include assets of consolidated variable interest entities (bVIEsb) 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 MarchB 31, 2015 and DecemberB 31, 2014, total assets of the consolidated VIEs were $3,613,043 and $3,380,597, respectively, and total liabilities of the consolidated VIEs were $3,142,670 and $2,938,512, respectively. Refer to Note 3 - "Variable Interest Entities" for further discussion. |
Variable_Interest_Entities_Res
Variable Interest Entities - Residential Loans Held-For-Investment (Details) (USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Loan | Loan | |
Portfolio Characteristics: | ||
Number of loans | 7 | 7 |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | ||
Variable Interest Entity | ||
Principal balance | 3,566,418 | 3,332,192 |
Unamortized premium (discount), net | 31,409 | 33,553 |
Recorded investment | 3,597,827 | 3,365,745 |
Allowance for loan losses | -680 | -742 |
Carrying value | 3,597,147 | 3,365,003 |
Portfolio Characteristics: | ||
Number of loans | 4,481 | |
Current Principal Balance | 3,566,418 | 3,332,192 |
Net Weighted Average Coupon Rate | 3.44% | |
Weighted Average Maturity (years) | 28 years 1 month 24 days | |
Current Performance: [Abstract] | ||
Current | 3,562,881 | |
Bankruptcy/Foreclosure | 0 | |
Total | 3,566,418 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | 30 to 59 Days Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 2,903 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | 60 to 89 Days Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 634 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | 90 Days or More Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2014 | ||
Variable Interest Entity | ||
Principal balance | 573,464 | |
Portfolio Characteristics: | ||
Number of loans | 760 | |
Current Principal Balance | 573,464 | |
Net Weighted Average Coupon Rate | 3.49% | |
Weighted Average Maturity (years) | 29 years 1 month 17 days | |
Current Performance: [Abstract] | ||
Current | 571,545 | |
Bankruptcy/Foreclosure | 0 | |
Total | 573,464 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2014 | 30 to 59 Days Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 1,285 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2014 | 60 to 89 Days Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 634 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2014 | 90 Days or More Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2013 | ||
Variable Interest Entity | ||
Principal balance | 2,160,438 | |
Portfolio Characteristics: | ||
Number of loans | 2,788 | |
Current Principal Balance | 2,160,438 | |
Net Weighted Average Coupon Rate | 3.47% | |
Weighted Average Maturity (years) | 28 years 2 months 23 days | |
Current Performance: [Abstract] | ||
Current | 2,158,820 | |
Bankruptcy/Foreclosure | 0 | |
Total | 2,160,438 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2013 | 30 to 59 Days Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 1,618 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2013 | 60 to 89 Days Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2013 | 90 Days or More Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2012 | ||
Variable Interest Entity | ||
Principal balance | 665,613 | |
Portfolio Characteristics: | ||
Number of loans | 765 | |
Current Principal Balance | 665,613 | |
Net Weighted Average Coupon Rate | 3.25% | |
Weighted Average Maturity (years) | 27 years 8 months 12 days | |
Current Performance: [Abstract] | ||
Current | 665,613 | |
Bankruptcy/Foreclosure | 0 | |
Total | 665,613 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2012 | 30 to 59 Days Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2012 | 60 to 89 Days Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2012 | 90 Days or More Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2007 | ||
Variable Interest Entity | ||
Principal balance | 13,727 | |
Portfolio Characteristics: | ||
Number of loans | 16 | |
Current Principal Balance | 13,727 | |
Net Weighted Average Coupon Rate | 4.73% | |
Weighted Average Maturity (years) | 22 years 3 months 4 days | |
Current Performance: [Abstract] | ||
Current | 13,727 | |
Bankruptcy/Foreclosure | 0 | |
Total | 13,727 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2007 | 30 to 59 Days Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2007 | 60 to 89 Days Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2007 | 90 Days or More Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2011 | ||
Variable Interest Entity | ||
Principal balance | 103,886 | |
Portfolio Characteristics: | ||
Number of loans | 99 | |
Current Principal Balance | 103,886 | |
Net Weighted Average Coupon Rate | 3.38% | |
Weighted Average Maturity (years) | 26 years 2 months 5 days | |
Current Performance: [Abstract] | ||
Current | 103,886 | |
Total | 103,886 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination in 2010 | ||
Variable Interest Entity | ||
Principal balance | 30,021 | |
Portfolio Characteristics: | ||
Number of loans | 30 | |
Current Principal Balance | 30,021 | |
Net Weighted Average Coupon Rate | 3.70% | |
Weighted Average Maturity (years) | 25 years 7 months 17 days | |
Current Performance: [Abstract] | ||
Current | 30,021 | |
Total | 30,021 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination In 2009 | ||
Variable Interest Entity | ||
Principal balance | 2,754 | |
Portfolio Characteristics: | ||
Number of loans | 6 | |
Current Principal Balance | 2,754 | |
Net Weighted Average Coupon Rate | 3.69% | |
Weighted Average Maturity (years) | 24 years 2 months 5 days | |
Current Performance: [Abstract] | ||
Current | 2,754 | |
Bankruptcy/Foreclosure | 0 | |
Total | 2,754 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination In 2009 | 30 to 59 Days Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination In 2009 | 60 to 89 Days Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination In 2009 | 90 Days or More Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination In 2008 | ||
Variable Interest Entity | ||
Principal balance | 16,515 | |
Portfolio Characteristics: | ||
Number of loans | 17 | |
Current Principal Balance | 16,515 | |
Net Weighted Average Coupon Rate | 4.96% | |
Weighted Average Maturity (years) | 23 years 4 months 2 days | |
Current Performance: [Abstract] | ||
Current | 16,515 | |
Bankruptcy/Foreclosure | 0 | |
Total | 16,515 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination In 2008 | 30 to 59 Days Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination In 2008 | 60 to 89 Days Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 | |
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | Origination In 2008 | 90 Days or More Delinquent | ||
Current Performance: [Abstract] | ||
30 days delinquent | 0 |
Variable_Interest_Entities_Fiv
Variable Interest Entities - Five Largest Geographic Concentrations of Residential Loans (Details) (Variable Interest Entity, Primary Beneficiary, Residential Loans Held For Investment, Geographic Concentration Risk, Residential Mortgage) | 3 Months Ended |
Mar. 31, 2015 | |
Concentration Risk | |
Concentration risk percentage | 100.00% |
California | |
Concentration Risk | |
Concentration risk percentage | 53.50% |
New York | |
Concentration Risk | |
Concentration risk percentage | 7.60% |
Massachusetts | |
Concentration Risk | |
Concentration risk percentage | 5.80% |
Illinois | |
Concentration Risk | |
Concentration risk percentage | 3.70% |
Other states (none greater than 3%) | |
Concentration Risk | |
Concentration risk percentage | 29.40% |
Other states (none greater than 3%) | Maximum | |
Concentration Risk | |
Concentration risk percentage per other state | 3.00% |
Variable_Interest_Entities_Fut
Variable Interest Entities - Future Minimum Annual Principal Payments Under Residential Loans, Held for Investments (Details) (Variable Interest Entity, Primary Beneficiary, Residential Mortgage, USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Variable Interest Entity, Primary Beneficiary | Residential Mortgage | ||
Accounts, Notes, Loans and Financing Receivable | ||
Within one year | $62,173 | |
One to three years | 131,815 | |
Three to five years | 142,940 | |
Greater than or equal to five years | 3,229,490 | |
Total | $3,566,418 | $3,332,192 |
Variable_Interest_Entities_Act
Variable Interest Entities - Activity in Allowance for Loan Losses (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Allowance for Loan Losses [Roll Forward] | ||
Provision for loan losses | $62 | ($207) |
Variable Interest Entity, Primary Beneficiary | ||
Allowance for Loan Losses [Roll Forward] | ||
Balance at beginning of period | -742 | -884 |
Charge-offs, net | 0 | 0 |
Provision for loan losses | 62 | -207 |
Balance at end of period | ($680) | ($1,091) |
Variable_Interest_Entities_Car
Variable Interest Entities - Carrying Value of Asset Backed Securities Issued (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Debt Instrument | ||||
Carrying value | $3,133,527 | [1] | $2,929,820 | [1] |
Variable Interest Entity, Primary Beneficiary | ||||
Debt Instrument | ||||
Carrying value | 3,133,527 | 2,929,820 | ||
Variable Interest Entity, Primary Beneficiary | Asset Backed Securities Outstanding | ||||
Debt Instrument | ||||
Principal balance | 3,106,212 | 2,902,378 | ||
Unamortized premium | 23,371 | 23,735 | ||
Unamortized discount | -10,630 | -11,333 | ||
Allowance for loan losses | 0 | 0 | ||
Carrying value | 3,133,527 | 2,929,820 | ||
Number of securitization trusts consolidated | 11 | 10 | ||
Variable Interest Entity, Primary Beneficiary | Asset Backed Securities Outstanding | Interest-only securities | ||||
Debt Instrument | ||||
Principal balance | 14,574 | 15,040 | ||
Variable Interest Entity, Primary Beneficiary | Asset Backed Securities Outstanding | Minimum | ||||
Debt Instrument | ||||
Range of weighted average interest rates | 2.80% | |||
Variable Interest Entity, Primary Beneficiary | Asset Backed Securities Outstanding | Maximum | ||||
Debt Instrument | ||||
Range of weighted average interest rates | 4.00% | |||
Variable Interest Entity, Primary Beneficiary | Residential Loans Held as Collateral | ||||
Debt Instrument | ||||
Principal balance | 3,566,418 | 3,332,192 | ||
Unamortized premium | 39,497 | 41,928 | ||
Unamortized discount | -8,088 | -8,375 | ||
Allowance for loan losses | -680 | -742 | ||
Carrying value | $3,597,147 | $3,365,003 | ||
[1] | The condensed consolidated balance sheets include assets of consolidated variable interest entities (bVIEsb) 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 MarchB 31, 2015 and DecemberB 31, 2014, total assets of the consolidated VIEs were $3,613,043 and $3,380,597, respectively, and total liabilities of the consolidated VIEs were $3,142,670 and $2,938,512, respectively. Refer to Note 3 - "Variable Interest Entities" for further discussion. |
Variable_Interest_Entities_Pri
Variable Interest Entities - Principal Repayment of Mortgage Loans (Details) (Variable Interest Entity, Primary Beneficiary, Asset Backed Securities, USD $) | Mar. 31, 2015 |
In Thousands, unless otherwise specified | |
Variable Interest Entity, Primary Beneficiary | Asset Backed Securities | |
Debt Instrument | |
Within One Year | $411,313 |
One to Three Years | 676,771 |
Three to Five Years | 511,839 |
Greater Than or Equal to Five Years | 1,506,289 |
Total | $3,106,212 |
MortgageBacked_Securities_Addi
Mortgage-Backed Securities - Additional Information (Detail) (USD $) | 3 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities | |||
Gross unrealized losses | $63,711 | $108,212 | |
Net unrealized gains (losses) from other comprehensive income into gain (loss) on sale of investments | 2,142 | -11,718 | |
Agency RMBS | |||
Schedule of Available-for-sale Securities | |||
Gross unrealized losses | 24,400 | ||
Agency-CMO, Non-Agency RMBS, GSE CRT and CMBS | |||
Schedule of Available-for-sale Securities | |||
Gross unrealized losses | $39,300 |
MortgageBacked_Securities_Summ
Mortgage-Backed Securities - Summary of Investment Portfolio (Detail) (USD $) | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2015 | Dec. 31, 2014 | |||
Schedule of Available-for-sale Securities | ||||
Principal balance | $18,490,826,000 | $18,505,710,000 | ||
Unamortized premium (discount) | -1,620,181,000 | -1,588,309,000 | ||
Amortized cost | 16,870,645,000 | 16,917,401,000 | ||
Unrealized gain/ (loss), net | 469,950,000 | 331,494,000 | ||
Carrying Amount | 17,340,595,000 | [1] | 17,248,895,000 | [1] |
Net weighted average coupon | 3.71% | [2] | 3.74% | [3] |
Period- end weighted average yield | 3.35% | [4] | 3.38% | [5] |
Quarterly weighted average yield | 3.33% | [6] | 3.49% | [6] |
Unamortized premium (discount) non-accretable portion | -392,500,000 | -405,500,000 | ||
Agency RMBS | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | 9,212,454,000 | 9,100,957,000 | ||
Unamortized premium (discount) | 426,695,000 | 417,900,000 | ||
Amortized cost | 9,639,149,000 | 9,518,857,000 | ||
Unrealized gain/ (loss), net | 191,863,000 | 122,237,000 | ||
Carrying Amount | 9,831,012,000 | 9,641,094,000 | ||
Net weighted average coupon | 3.65% | [2] | 3.69% | [3] |
Period- end weighted average yield | 2.68% | [4] | 2.68% | [5] |
Quarterly weighted average yield | 2.62% | [6] | 2.71% | [6] |
Agency RMBS | 15 Year Fixed-Rate | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | 1,718,391,000 | 1,236,297,000 | ||
Unamortized premium (discount) | 86,529,000 | 60,764,000 | ||
Amortized cost | 1,804,920,000 | 1,297,061,000 | ||
Unrealized gain/ (loss), net | 35,330,000 | 30,040,000 | ||
Carrying Amount | 1,840,250,000 | 1,327,101,000 | ||
Net weighted average coupon | 3.77% | [2] | 4.05% | [3] |
Period- end weighted average yield | 2.54% | [4] | 2.60% | [5] |
Quarterly weighted average yield | 2.21% | [6] | 2.66% | [6] |
Agency RMBS | 30 Year Fixed-Rate | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | 4,239,350,000 | 4,432,301,000 | ||
Unamortized premium (discount) | 285,902,000 | 297,311,000 | ||
Amortized cost | 4,525,252,000 | 4,729,612,000 | ||
Unrealized gain/ (loss), net | 98,204,000 | 60,681,000 | ||
Carrying Amount | 4,623,456,000 | 4,790,293,000 | ||
Net weighted average coupon | 4.29% | [2] | 4.29% | [3] |
Period- end weighted average yield | 3.02% | [4] | 2.97% | [5] |
Quarterly weighted average yield | 2.99% | [6] | 3.05% | [6] |
Agency RMBS | ARM | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | 448,286,000 | 531,281,000 | ||
Unamortized premium (discount) | 5,345,000 | 9,068,000 | ||
Amortized cost | 453,631,000 | 540,349,000 | ||
Unrealized gain/ (loss), net | 9,711,000 | 6,433,000 | ||
Carrying Amount | 463,342,000 | 546,782,000 | ||
Net weighted average coupon | 2.75% | [2] | 2.83% | [3] |
Period- end weighted average yield | 2.41% | [4] | 2.27% | [5] |
Quarterly weighted average yield | 2.69% | [6] | 2.29% | [6] |
Agency RMBS | Hybrid ARM | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | 2,806,427,000 | 2,901,078,000 | ||
Unamortized premium (discount) | 48,919,000 | 50,757,000 | ||
Amortized cost | 2,855,346,000 | 2,951,835,000 | ||
Unrealized gain/ (loss), net | 48,618,000 | 25,083,000 | ||
Carrying Amount | 2,903,964,000 | 2,976,918,000 | ||
Net weighted average coupon | 2.77% | [2] | 2.78% | [3] |
Period- end weighted average yield | 2.28% | [4] | 2.34% | [5] |
Quarterly weighted average yield | 2.28% | [6] | 2.24% | [6] |
Agency-CMO | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | 1,997,925,000 | [7] | 1,957,296,000 | [8] |
Unamortized premium (discount) | -1,554,128,000 | [7] | -1,502,785,000 | [8] |
Amortized cost | 443,797,000 | [7] | 454,511,000 | [8] |
Unrealized gain/ (loss), net | -548,000 | [7] | -3,616,000 | [8] |
Carrying Amount | 443,249,000 | [7] | 450,895,000 | [8] |
Net weighted average coupon | 2.29% | [2],[7] | 2.34% | [3],[8] |
Period- end weighted average yield | 4.91% | [4],[7] | 4.57% | [5],[8] |
Quarterly weighted average yield | 3.71% | [6],[7] | 3.62% | [6],[8] |
Percentage of agency collateralized mortgage obligations interest only securities | 29.70% | 29.10% | ||
Non-Agency RMBS | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | 3,428,864,000 | [10],[9] | 3,555,249,000 | [11],[12] |
Unamortized premium (discount) | -569,772,000 | [10],[9] | -583,890,000 | [11],[12] |
Amortized cost | 2,859,092,000 | [10],[9] | 2,971,359,000 | [11],[12] |
Unrealized gain/ (loss), net | 88,583,000 | [10],[9] | 90,288,000 | [11],[12] |
Carrying Amount | 2,947,675,000 | [10],[9] | 3,061,647,000 | [11],[12] |
Net weighted average coupon | 3.55% | [10],[2],[9] | 3.70% | [11],[12],[3] |
Period- end weighted average yield | 4.03% | [10],[4],[9] | 4.12% | [11],[12],[5] |
Quarterly weighted average yield | 4.35% | [10],[6],[9] | 4.86% | [11],[12],[6] |
Non-Agency RMBS | Variable Rate | ||||
Schedule of Available-for-sale Securities | ||||
Percentage of non-agency securities classified as variable rate | 52.50% | 52.80% | ||
Non-Agency RMBS | Fixed Rate | ||||
Schedule of Available-for-sale Securities | ||||
Percentage of non-agency securities classified as fixed rate | 40.30% | 40.10% | ||
Non-Agency RMBS | Floating Rate | ||||
Schedule of Available-for-sale Securities | ||||
Percentage of non-agency securities classified as floating rate | 7.20% | 7.10% | ||
GSE CRT | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | 633,000,000 | [13] | 615,000,000 | [13] |
Unamortized premium (discount) | 24,653,000 | [13] | 25,573,000 | [13] |
Amortized cost | 657,653,000 | [13] | 640,573,000 | [13] |
Unrealized gain/ (loss), net | 4,114,000 | [13] | -15,149,000 | [13] |
Carrying Amount | 661,767,000 | [13] | 625,424,000 | [13] |
Net weighted average coupon | 4.84% | [13],[2] | 4.85% | [13],[3] |
Period- end weighted average yield | 4.13% | [13],[4] | 4.11% | [13],[5] |
Quarterly weighted average yield | 4.04% | [13],[6] | 4.02% | [13],[6] |
CMBS | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | 3,218,583,000 | [14] | 3,277,208,000 | [14] |
Unamortized premium (discount) | 52,371,000 | [14] | 54,893,000 | [14] |
Amortized cost | 3,270,954,000 | [14] | 3,332,101,000 | [14] |
Unrealized gain/ (loss), net | 185,938,000 | [14] | 137,734,000 | [14] |
Carrying Amount | $3,456,892,000 | [14] | $3,469,835,000 | [14] |
Net weighted average coupon | 4.71% | [14],[2] | 4.74% | [14],[3] |
Period- end weighted average yield | 4.36% | [14],[4] | 4.39% | [14],[5] |
Quarterly weighted average yield | 4.34% | [14],[6] | 4.38% | [14],[6] |
Commercial Real Estate | CMBS | ||||
Schedule of Available-for-sale Securities | ||||
Percentage of commercial real estate mezzanine loan pass-through certificates | 1.30% | 1.30% | ||
[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 (bWACb) as of MarchB 31, 2015 is presented net of servicing and other fees. | |||
[3] | Net WAC as of DecemberB 31, 2014 is presented net of servicing and other fees. | |||
[4] | Period-end weighted average yield is based on amortized cost as of MarchB 31, 2015 and incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates. | |||
[5] | Period-end weighted average yield based on amortized cost as of DecemberB 31, 2014 incorporates future prepayment and loss assumptions but excludes changes in anticipated interest rates. | |||
[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 collateralized mortgage obligation ("Agency-CMO") includes interest-only securities which represent 29.7% of the balance based on fair value. | |||
[8] | Agency-CMO includes interest-only securities, which represent 29.1% of the balance based on fair value. | |||
[9] | Non-Agency RMBS held by the Company is 52.5% variable rate, 40.3% fixed rate, and 7.2% floating rate based on fair value. | |||
[10] | Of the total discount in non-Agency RMBS, $392.5 million is non-accretable. | |||
[11] | Of the total discount in non-Agency RMBS, $405.5 million is non-accretable. | |||
[12] | Non-Agency RMBS held by the Company is 52.8% variable rate, 40.1% fixed rate, and 7.1% floating rate based on fair value. | |||
[13] | 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. | |||
[14] | CMBS includes commercial real estate mezzanine loan pass-through certificates which represent 1.3% of the balance based on fair value. |
MortgageBacked_Securities_Comp
Mortgage-Backed Securities - Components of Non-Agency RMBS Portfolio By Asset Type (Detail) (USD $) | 3 Months Ended | 12 Months Ended | ||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 | ||
Schedule of Available-for-sale Securities | ||||
Mortgage-backed securities, at fair value | $17,340,595 | [1] | $17,248,895 | [1] |
Non-Agency RMBS | ||||
Schedule of Available-for-sale Securities | ||||
Mortgage-backed securities, at fair value | 2,947,675 | [2],[3] | 3,061,647 | [4],[5] |
% of Non-Agency | 100.00% | 100.00% | ||
Non-Agency RMBS | Re-REMIC | ||||
Schedule of Available-for-sale Securities | ||||
Mortgage-backed securities, at fair value | 954,523 | 1,000,635 | ||
% of Non-Agency | 32.40% | 32.70% | ||
Non-Agency RMBS | Prime | ||||
Schedule of Available-for-sale Securities | ||||
Mortgage-backed securities, at fair value | 929,961 | 969,849 | ||
% of Non-Agency | 31.50% | 31.70% | ||
Non-Agency RMBS | Alt-A | ||||
Schedule of Available-for-sale Securities | ||||
Mortgage-backed securities, at fair value | 674,373 | 694,467 | ||
% of Non-Agency | 22.90% | 22.70% | ||
Non-Agency RMBS | Subprime/reperforming | ||||
Schedule of Available-for-sale Securities | ||||
Mortgage-backed securities, at fair value | $388,818 | $396,696 | ||
% of Non-Agency | 13.20% | 12.90% | ||
[1] | For more detail about the fair value of the Company's MBS, refer to Note 4 - "Mortgage-Backed Securities." | |||
[2] | Non-Agency RMBS held by the Company is 52.5% variable rate, 40.3% fixed rate, and 7.2% floating rate based on fair value. | |||
[3] | Of the total discount in non-Agency RMBS, $392.5 million is non-accretable. | |||
[4] | Of the total discount in non-Agency RMBS, $405.5 million is non-accretable. | |||
[5] | Non-Agency RMBS held by the Company is 52.8% variable rate, 40.1% fixed rate, and 7.1% floating rate based on fair value. |
MortgageBacked_Securities_Comp1
Mortgage-Backed Securities - Components of Senior Re-REMIC at Fair Value (Detail) | Mar. 31, 2015 | Dec. 31, 2014 | ||
Schedule of Available-for-sale Securities | ||||
Percentage of Re-REMIC at fair value | 100.00% | [1] | 100.00% | [1] |
Re-REMIC 0-10 | ||||
Schedule of Available-for-sale Securities | ||||
Percentage of Re-REMIC at fair value | 7.30% | [1] | 7.00% | [1] |
Re-REMIC 10-20 | ||||
Schedule of Available-for-sale Securities | ||||
Percentage of Re-REMIC at fair value | 4.50% | [1] | 4.40% | [1] |
Re-REMIC 20-30 | ||||
Schedule of Available-for-sale Securities | ||||
Percentage of Re-REMIC at fair value | 11.90% | [1] | 11.90% | [1] |
Re-REMIC 30-40 | ||||
Schedule of Available-for-sale Securities | ||||
Percentage of Re-REMIC at fair value | 25.70% | [1] | 26.10% | [1] |
Re-REMIC 40-50 | ||||
Schedule of Available-for-sale Securities | ||||
Percentage of Re-REMIC at fair value | 31.50% | [1] | 31.80% | [1] |
Re-REMIC 50-60 | ||||
Schedule of Available-for-sale Securities | ||||
Percentage of Re-REMIC at fair value | 15.50% | [1] | 15.20% | [1] |
Re-REMIC 60-70 | ||||
Schedule of Available-for-sale Securities | ||||
Percentage of Re-REMIC at fair value | 3.60% | [1] | 3.60% | [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 $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Investments, Debt and Equity Securities [Abstract] | ||||
Principal balance | $18,490,826 | $18,505,710 | ||
Unamortized premium | 552,865 | 549,816 | ||
Unamortized discount | -2,173,046 | -2,138,125 | ||
Gross unrealized gains | 533,661 | 439,706 | ||
Gross unrealized losses | -63,711 | -108,212 | ||
Carrying Amount | $17,340,595 | [1] | $17,248,895 | [1] |
[1] | For more detail about the fair value of the Company's MBS, refer to Note 4 - "Mortgage-Backed Securities." |
MortgageBacked_Securities_Fair
Mortgage-Backed Securities - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Investments, Debt and Equity Securities [Abstract] | ||||
Less than one year | $511,744 | $440,471 | ||
Greater than one year and less than five years | 8,899,541 | 7,997,709 | ||
Greater than or equal to five years | 7,929,310 | 8,810,715 | ||
Fair value | $17,340,595 | [1] | $17,248,895 | [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 $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | security | security |
Schedule of Available-for-sale Securities | ||
Fair value, less than 12 months | $1,641,577 | $1,854,238 |
Unrealized losses, less than 12 months | -23,373 | -41,871 |
Number of securities, less than one year | 89 | 111 |
Fair value, 12 months or more | 1,893,975 | 2,734,465 |
Unrealized losses, 12 months or more | -40,338 | -66,341 |
Number of securities, greater than or equal to one year | 90 | 121 |
Fair value, total | 3,535,552 | 4,588,703 |
Unrealized losses, total | -63,711 | -108,212 |
Number of securities, total | 179 | 232 |
Agency RMBS | ||
Schedule of Available-for-sale Securities | ||
Fair value, less than 12 months | 822,374 | 803,426 |
Unrealized losses, less than 12 months | -3,218 | -4,257 |
Number of securities, less than one year | 27 | 35 |
Fair value, 12 months or more | 1,336,129 | 1,886,618 |
Unrealized losses, 12 months or more | -21,154 | -41,796 |
Number of securities, greater than or equal to one year | 52 | 71 |
Fair value, total | 2,158,503 | 2,690,044 |
Unrealized losses, total | -24,372 | -46,053 |
Number of securities, total | 79 | 106 |
Agency RMBS | 15 Year Fixed-Rate | ||
Schedule of Available-for-sale Securities | ||
Fair value, less than 12 months | 362,706 | 10,897 |
Unrealized losses, less than 12 months | -320 | -42 |
Number of securities, less than one year | 9 | 1 |
Fair value, 12 months or more | 80,040 | 105,644 |
Unrealized losses, 12 months or more | -378 | -1,395 |
Number of securities, greater than or equal to one year | 5 | 6 |
Fair value, total | 442,746 | 116,541 |
Unrealized losses, total | -698 | -1,437 |
Number of securities, total | 14 | 7 |
Agency RMBS | 30 Year Fixed-Rate | ||
Schedule of Available-for-sale Securities | ||
Fair value, less than 12 months | 386,616 | 137,680 |
Unrealized losses, less than 12 months | -2,830 | -2,662 |
Number of securities, less than one year | 14 | 5 |
Fair value, 12 months or more | 1,243,419 | 1,756,894 |
Unrealized losses, 12 months or more | -20,710 | -40,181 |
Number of securities, greater than or equal to one year | 45 | 62 |
Fair value, total | 1,630,035 | 1,894,574 |
Unrealized losses, total | -23,540 | -42,843 |
Number of securities, total | 59 | 67 |
Agency RMBS | ARM | ||
Schedule of Available-for-sale Securities | ||
Fair value, less than 12 months | 0 | 24,074 |
Unrealized losses, less than 12 months | 0 | -9 |
Number of securities, less than one year | 0 | 1 |
Fair value, 12 months or more | 0 | 3,719 |
Unrealized losses, 12 months or more | 0 | -23 |
Number of securities, greater than or equal to one year | 0 | 1 |
Fair value, total | 0 | 27,793 |
Unrealized losses, total | 0 | -32 |
Number of securities, total | 0 | 2 |
Agency RMBS | Hybrid ARM | ||
Schedule of Available-for-sale Securities | ||
Fair value, less than 12 months | 73,052 | 630,775 |
Unrealized losses, less than 12 months | -68 | -1,544 |
Number of securities, less than one year | 4 | 28 |
Fair value, 12 months or more | 12,670 | 20,361 |
Unrealized losses, 12 months or more | -66 | -197 |
Number of securities, greater than or equal to one year | 2 | 2 |
Fair value, total | 85,722 | 651,136 |
Unrealized losses, total | -134 | -1,741 |
Number of securities, total | 6 | 30 |
Agency-CMO | ||
Schedule of Available-for-sale Securities | ||
Fair value, less than 12 months | 31,907 | 36,723 |
Unrealized losses, less than 12 months | -4,171 | -6,192 |
Number of securities, less than one year | 16 | 18 |
Fair value, 12 months or more | 161,321 | 265,863 |
Unrealized losses, 12 months or more | -8,231 | -9,481 |
Number of securities, greater than or equal to one year | 11 | 10 |
Fair value, total | 193,228 | 302,586 |
Unrealized losses, total | -12,402 | -15,673 |
Number of securities, total | 27 | 28 |
Non-Agency RMBS | ||
Schedule of Available-for-sale Securities | ||
Fair value, less than 12 months | 524,866 | 573,122 |
Unrealized losses, less than 12 months | -4,180 | -5,799 |
Number of securities, less than one year | 30 | 34 |
Fair value, 12 months or more | 363,863 | 354,532 |
Unrealized losses, 12 months or more | -10,867 | -11,990 |
Number of securities, greater than or equal to one year | 25 | 21 |
Fair value, total | 888,729 | 927,654 |
Unrealized losses, total | -15,047 | -17,789 |
Number of securities, total | 55 | 55 |
GSE CRT | ||
Schedule of Available-for-sale Securities | ||
Fair value, less than 12 months | 204,279 | 306,603 |
Unrealized losses, less than 12 months | -11,717 | -25,346 |
Number of securities, less than one year | 9 | 13 |
Fair value, 12 months or more | 0 | 0 |
Unrealized losses, 12 months or more | 0 | 0 |
Number of securities, greater than or equal to one year | 0 | 0 |
Fair value, total | 204,279 | 306,603 |
Unrealized losses, total | -11,717 | -25,346 |
Number of securities, total | 9 | 13 |
CMBS | ||
Schedule of Available-for-sale Securities | ||
Fair value, less than 12 months | 58,151 | 134,364 |
Unrealized losses, less than 12 months | -87 | -277 |
Number of securities, less than one year | 7 | 11 |
Fair value, 12 months or more | 32,662 | 227,452 |
Unrealized losses, 12 months or more | -86 | -3,074 |
Number of securities, greater than or equal to one year | 2 | 19 |
Fair value, total | 90,813 | 361,816 |
Unrealized losses, total | ($173) | ($3,351) |
Number of securities, total | 9 | 30 |
MortgageBacked_Securities_Impa
Mortgage-Backed Securities - Impact of MBS on Accumulated Other Comprehensive Income (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Accumulated Other Comprehensive Income Loss, Available-for-sale Securities [Roll Forward] | ||
Unrealized gain (loss) on MBS at beginning of period | $331,494 | ($151,371) |
Unrealized gain (loss) on MBS, net | 138,456 | 181,185 |
Balance at the end of period | $469,950 | $29,814 |
MortgageBacked_Securities_Real
Mortgage-Backed Securities - Realized Gain (Loss) on Investments (Details) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Investments, Debt and Equity Securities [Abstract] | ||
Gross realized gains on sale of investments | $2,964 | $7,729 |
Gross realized losses on sale of investments | -822 | -19,447 |
Net realized gains (losses) on sale of investments | $2,142 | ($11,718) |
MortgageBacked_Securities_Comp3
Mortgage-Backed Securities - Components of MBS Interest Income (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Schedule of Available-for-sale Securities | ||
Coupon interest | $170,567 | $184,129 |
Net (premium-amortization)/ discount-accretion | -29,549 | -32,390 |
Interest income | 141,018 | 151,739 |
Agency RMBS | ||
Schedule of Available-for-sale Securities | ||
Coupon interest | 94,372 | 105,483 |
Net (premium-amortization)/ discount-accretion | -26,859 | -23,664 |
Interest income | 67,513 | 81,819 |
Non-Agency RMBS | ||
Schedule of Available-for-sale Securities | ||
Coupon interest | 30,810 | 35,555 |
Net (premium-amortization)/ discount-accretion | 658 | 1,531 |
Interest income | 31,468 | 37,086 |
GSE CRT | ||
Schedule of Available-for-sale Securities | ||
Coupon interest | 7,481 | 4,376 |
Net (premium-amortization)/ discount-accretion | -920 | -596 |
Interest income | 6,561 | 3,780 |
CMBS | ||
Schedule of Available-for-sale Securities | ||
Coupon interest | 37,905 | 38,612 |
Net (premium-amortization)/ discount-accretion | -2,428 | -9,661 |
Interest income | 35,477 | 28,951 |
Other | ||
Schedule of Available-for-sale Securities | ||
Coupon interest | -1 | 103 |
Net (premium-amortization)/ discount-accretion | 0 | 0 |
Interest income | ($1) | $103 |
Commercial_Loans_HeldforInvest2
Commercial Loans Held-for-Investment - Schedule of Commercial Loans Held-for-Investment(Details) (USD $) | 3 Months Ended | 12 Months Ended | |||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | ||
Loan | Loan | ||||
Accounts, Notes, Loans and Financing Receivable | |||||
Number of loans | 7 | 7 | |||
Principal balance | $146,258 | $145,809 | |||
Unamortized (fees)/ costs, net | -47 | -53 | |||
Carrying value | 146,211 | 145,756 | |||
Unfunded commitment | 1,623 | 5,000 | 4,980 | ||
First Mortgage Loan | |||||
Accounts, Notes, Loans and Financing Receivable | |||||
Number of loans | 1 | 1 | |||
Principal balance | 19,978 | 19,978 | |||
Unamortized (fees)/ costs, net | 28 | 41 | |||
Carrying value | 20,006 | 20,019 | |||
Unfunded commitment | 1,623 | 1,623 | |||
Mezzanine Loans | |||||
Accounts, Notes, Loans and Financing Receivable | |||||
Number of loans | 4 | 4 | |||
Principal balance | 73,587 | 71,643 | |||
Unamortized (fees)/ costs, net | -75 | -94 | |||
Carrying value | 73,512 | 71,549 | |||
Unfunded commitment | 0 | 3,357 | |||
Other | |||||
Accounts, Notes, Loans and Financing Receivable | |||||
Number of loans | 2 | [1] | 2 | [1] | |
Principal balance | 52,693 | [1] | 54,188 | [1] | |
Unamortized (fees)/ costs, net | 0 | [1] | 0 | [1] | |
Carrying value | 52,693 | [1] | 54,188 | [1] | |
Unfunded commitment | $0 | [1] | $0 | [1] | |
[1] | Other subordinate interests include a B-note and a preferred equity investment. |
Other_Investments_Summary_of_C
Other Investments - Summary of Company's Other Investments (Details) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Schedule of Investments [Abstract] | ||
FHLB Indianapolis stock | $69,750 | $62,500 |
Investments in unconsolidated ventures | 41,243 | 43,998 |
Total | $110,993 | $106,498 |
Borrowings_Additional_Informat
Borrowings - Additional Information (Detail) (USD $) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | |
Repurchase Agreement Counterparty | ||
Company MBS held as collateral | $14,847,249,000 | $15,260,264,000 |
Collateral ratio | 111.00% | 112.00% |
Outstanding secured advances from FHLBI | 1,550,000,000 | 1,250,000,000 |
Average outstanding borrowings from FHLBI | 1,500,000,000 | |
FHLBI weighted average interest rate on advances | 0.39% | |
Collateral pledged against secured loans | 1,900,000,000 | 1,500,000,000 |
Exchangeable Senior Notes | ||
Repurchase Agreement Counterparty | ||
Exchange rate for each $1,000 aggregate principal amount | 0.0420893 | |
Minimum | ||
Repurchase Agreement Counterparty | ||
Repurchase obligation maturity | 1 month | |
Maximum | ||
Repurchase Agreement Counterparty | ||
Repurchase obligation maturity | 12 months | |
Maximum | Exchangeable Senior Notes | ||
Repurchase Agreement Counterparty | ||
Exchange rate for each $1,000 aggregate principal amount | 0.0484027 | |
Federal Home Loan Bank of Indianapolis | ||
Repurchase Agreement Counterparty | ||
Available uncommitted credit for borrowing (up to a maximum of) | 2,500,000,000 | |
Residential Loans Held as Collateral | CMBS | ||
Repurchase Agreement Counterparty | ||
Collateral pledged against secured loans | 1,500,000,000 | |
Residential Loans Held as Collateral | Agency RMBS | ||
Repurchase Agreement Counterparty | ||
Collateral pledged against secured loans | $392,100,000 |
Borrowings_Schedule_of_Borrowi
Borrowings - Schedule of Borrowings (Detail) (USD $) | 3 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2015 |
Secured Loans | |||
Amount outstanding | $1,250,000 | $1,550,000 | |
Weighted average interest rate (percent) | 0.40% | 0.37% | |
Weighted average remaining maturity (days) | 3071 days | 3472 days | |
Exchangeable Senior Notes | |||
Amount outstanding | 400,000 | 400,000 | |
Agency RMBS | |||
Repurchase Agreements | |||
Amount outstanding | 8,778,225 | 9,018,818 | |
Weighted average interest rate (percent) | 0.35% | 0.35% | |
Weighted average remaining maturity (days) | 17 days | 18 days | |
Non-Agency RMBS | |||
Repurchase Agreements | |||
Amount outstanding | 2,613,114 | 2,676,626 | |
Weighted average interest rate (percent) | 1.52% | 1.51% | |
Weighted average remaining maturity (days) | 34 days | 36 days | |
GSE CRT | |||
Repurchase Agreements | |||
Amount outstanding | 486,990 | 468,782 | |
Weighted average interest rate (percent) | 1.67% | 1.55% | |
Weighted average remaining maturity (days) | 26 days | 27 days | |
CMBS | |||
Repurchase Agreements | |||
Amount outstanding | 1,454,752 | 1,458,451 | |
Weighted average interest rate (percent) | 1.33% | 1.32% | |
Weighted average remaining maturity (days) | 38 days | 26 days | |
Exchangeable Senior Notes | |||
Exchangeable Senior Notes | |||
Amount outstanding | 400,000 | 400,000 | |
Weighted average interest rate (percent) | 5.00% | 5.00% | |
Weighted average remaining maturity (days) | 1081 days | 1170 days | |
Secured Debt, Excluding Asset-Backed Securities | |||
Total | |||
Amount outstanding | $15,283,081 | $15,272,677 | |
Weighted average interest rate (percent) | 0.81% | 0.81% | |
Weighted average remaining maturity (days) | 359 days | 335 days |
Borrowings_Repurchase_Agreemen
Borrowings - Repurchase Agreements (Detail) (USD $) | 3 Months Ended | ||||
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | ||
counterparties | counterparties | ||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | $13,333,081 | $13,622,677 | |||
Percent of total amount outstanding | 100.00% | 100.00% | |||
Company MBS held as collateral | 14,847,249 | 15,260,264 | |||
Number of counterparties | 9 | 10 | |||
Credit Suisse Securities (USA) LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 1,382,129 | 1,517,530 | |||
Percent of total amount outstanding | 10.40% | 11.10% | |||
Company MBS held as collateral | 1,741,155 | [1] | 1,925,973 | [2] | |
HSBC Securities (USA) Inc | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 1,231,915 | 1,190,769 | |||
Percent of total amount outstanding | 9.20% | 8.70% | |||
Company MBS held as collateral | 1,271,803 | 1,225,194 | |||
Royal Bank of Canada | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 1,040,865 | 1,057,798 | |||
Percent of total amount outstanding | 7.80% | 7.80% | |||
Company MBS held as collateral | 1,203,610 | 1,278,612 | |||
Citigroup Global Markets Inc | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 968,334 | 979,247 | |||
Percent of total amount outstanding | 7.30% | 7.20% | |||
Company MBS held as collateral | 1,144,895 | [3] | 1,157,265 | [4] | |
South Street Securities LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 931,104 | 961,938 | |||
Percent of total amount outstanding | 7.00% | 7.10% | |||
Company MBS held as collateral | 976,970 | 1,020,054 | |||
Industrial And Commercial Bank Of China Financial Services LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 717,869 | 682,193 | |||
Percent of total amount outstanding | 5.40% | 5.00% | |||
Company MBS held as collateral | 757,589 | 716,989 | |||
Banc of America Securities LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 662,641 | 791,196 | |||
Percent of total amount outstanding | 5.00% | 5.90% | |||
Company MBS held as collateral | 748,193 | [5] | 875,984 | [6] | |
Mitsubishi UFJ Securities (USA), Inc | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 653,861 | 710,058 | |||
Percent of total amount outstanding | 4.90% | 5.20% | |||
Company MBS held as collateral | 689,968 | 744,836 | |||
Pierpont Securities LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 630,346 | 601,222 | |||
Percent of total amount outstanding | 4.70% | 4.40% | |||
Company MBS held as collateral | 662,713 | 627,534 | |||
JP Morgan Securities LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 624,508 | 698,856 | |||
Percent of total amount outstanding | 4.70% | 5.10% | |||
Company MBS held as collateral | 719,790 | 814,896 | |||
Wells Fargo Securities, LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 613,333 | 627,071 | |||
Percent of total amount outstanding | 4.60% | 4.60% | |||
Company MBS held as collateral | 745,065 | 754,706 | |||
ING Financial Market LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 576,864 | 767,733 | |||
Percent of total amount outstanding | 4.30% | 5.60% | |||
Company MBS held as collateral | 611,710 | 820,166 | |||
BNP Paribas Securities Corp | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 526,920 | 559,658 | |||
Percent of total amount outstanding | 4.00% | 4.10% | |||
Company MBS held as collateral | 581,521 | 622,749 | |||
Scotia Capital | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 505,637 | 521,778 | |||
Percent of total amount outstanding | 3.80% | 3.80% | |||
Company MBS held as collateral | 526,845 | 542,044 | |||
Morgan Stanley & Co. Incorporated | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 467,799 | 589,950 | |||
Percent of total amount outstanding | 3.50% | 4.30% | |||
Company MBS held as collateral | 506,123 | 632,002 | |||
KGS Alpha Capital Markets LP | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 421,208 | 407,920 | |||
Percent of total amount outstanding | 3.20% | 3.00% | |||
Company MBS held as collateral | 445,536 | 430,241 | |||
Goldman, Sachs & Co | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 327,794 | ||||
Percent of total amount outstanding | 2.50% | ||||
Company MBS held as collateral | 351,736 | ||||
Barclays Capital Inc | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 202,225 | ||||
Percent of total amount outstanding | 1.50% | ||||
Company MBS held as collateral | 254,145 | ||||
All Other Counterparties | |||||
Repurchase Agreement Counterparty | |||||
Amount outstanding | 847,729 | [7] | 957,760 | [8] | |
Percent of total amount outstanding | 6.20% | [7] | 7.10% | [8] | |
Company MBS held as collateral | 907,882 | [7] | 1,071,019 | [8] | |
Consolidation, Eliminations | Credit Suisse Securities (USA) LLC | |||||
Repurchase Agreement Counterparty | |||||
Company MBS held as collateral | 270,837 | 276,064 | |||
Consolidation, Eliminations | Citigroup Global Markets Inc | |||||
Repurchase Agreement Counterparty | |||||
Company MBS held as collateral | 34,433 | 20,308 | |||
Consolidation, Eliminations | Banc of America Securities LLC | |||||
Repurchase Agreement Counterparty | |||||
Company MBS held as collateral | $126,698 | $106,799 | |||
[1] | Includes $270.8 million of MBS held as collateral which are eliminated in consolidation. | ||||
[2] | Includes $276.1 million of MBS held as collateral which are eliminated in consolidation. | ||||
[3] | Includes $34.4 million of MBS held as collateral which are eliminated in consolidation. | ||||
[4] | Includes $20.3 million of MBS held as collateral which are eliminated in consolidation. | ||||
[5] | Includes $126.7 million of MBS held as collateral which are eliminated in consolidation. | ||||
[6] | Includes $106.8 million of MBS held as collateral which are eliminated in consolidation. | ||||
[7] | Represents amounts outstanding with nine counterparties. | ||||
[8] | Represents amounts outstanding with ten counterparties. |
Derivatives_and_Hedging_Activi2
Derivatives and Hedging Activities - Additional Information (Detail) (USD $) | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2012 | |
Derivatives And Hedging Activities | ||||
AOCI loss related to derivatives reclassed as an increase to interest expense | $19,100,000 | $21,300,000 | ||
AOCI loss related to derivatives to be reclassified to interest expenses within Next 12 months | 60,500,000 | |||
Cash margin deposits | 82,215,000 | 57,604,000 | ||
Realized gain (loss) on interest rate swaption | -4,700,000 | -15,100,000 | ||
Unrealized gain (loss), net | -51,034,000 | -81,047,000 | ||
Derivative liabilities, at fair value | 290,852,000 | 254,026,000 | ||
Accrued Interest | ||||
Derivatives And Hedging Activities | ||||
Derivative liabilities, at fair value | 215,400,000 | |||
Agency RMBS | ||||
Derivatives And Hedging Activities | ||||
Cash margin deposits | 273,900,000 | |||
Credit Default Swap (CDS) | ||||
Derivatives And Hedging Activities | ||||
Stated fixed rate fee (percent) | 3.00% | |||
Interest Rate Swaptions | ||||
Derivatives And Hedging Activities | ||||
Unrealized gain (loss), net | 3,700,000 | 11,100,000 | ||
Central Clearing Counterparty | Liability Derivatives | ||||
Derivatives And Hedging Activities | ||||
Derivative liabilities, at fair value | 80,800,000 | |||
Cash | ||||
Derivatives And Hedging Activities | ||||
Cash margin deposits | $82,200,000 | $4,300,000 |
Derivatives_and_Hedging_Activi3
Derivatives and Hedging Activities - Open CDS Sold by Company (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Derivative | ||
Notional amount | $11,234,269,000 | $11,961,088,000 |
CDS Contract | ||
Derivative | ||
Fair value amount | 334,000 | 396,000 |
Notional amount | 33,371,000 | 36,684,000 |
Maximum potential amount of future undiscounted payments | 33,371,000 | 36,684,000 |
Recourse provisions with third parties | 0 | 0 |
Collateral held by counterparty | $5,139,000 | $5,642,000 |
Derivatives_and_Hedging_Activi4
Derivatives and Hedging Activities - Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges (Detail) (USD $) | 3 Months Ended | ||
Mar. 31, 2015 | Dec. 31, 2014 | ||
Interest Rate Derivatives Outstanding | |||
Notional amount | $11,234,269,000 | $11,961,088,000 | |
Interest Rate Swaps | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 10,350,000,000 | 10,550,000,000 | |
Fixed Interest Rate in Contract | 2.10% | ||
Interest Rate Swaps | Morgan Stanley Capital Services, LLC | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 300,000,000 | ||
Maturity Date | 24-Jan-16 | ||
Fixed Interest Rate in Contract | 2.12% | ||
Interest Rate Swaps | Bank of New York Mellon | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 300,000,000 | ||
Maturity Date | 24-Jan-16 | ||
Fixed Interest Rate in Contract | 2.13% | ||
Interest Rate Swaps | Morgan Stanley Capital Services, LLC | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 300,000,000 | ||
Maturity Date | 5-Apr-16 | ||
Fixed Interest Rate in Contract | 2.48% | ||
Interest Rate Swaps | Credit Suisse International | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 500,000,000 | ||
Maturity Date | 15-Apr-16 | ||
Fixed Interest Rate in Contract | 2.27% | ||
Interest Rate Swaps | Bank of New York Mellon | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 500,000,000 | ||
Maturity Date | 15-Apr-16 | ||
Fixed Interest Rate in Contract | 2.24% | ||
Interest Rate Swaps | JPMorgan Chase Bank, N.A. | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 500,000,000 | ||
Maturity Date | 16-May-16 | ||
Fixed Interest Rate in Contract | 2.31% | ||
Interest Rate Swaps | Goldman Sachs Bank USA | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 500,000,000 | ||
Maturity Date | 24-May-16 | ||
Fixed Interest Rate in Contract | 2.34% | ||
Interest Rate Swaps | Goldman Sachs Bank USA | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 250,000,000 | ||
Maturity Date | 15-Jun-16 | ||
Fixed Interest Rate in Contract | 2.67% | ||
Interest Rate Swaps | Wells Fargo Bank, N.A. | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 250,000,000 | ||
Maturity Date | 15-Jun-16 | ||
Fixed Interest Rate in Contract | 2.67% | ||
Interest Rate Swaps | JPMorgan Chase Bank, N.A. | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 500,000,000 | ||
Maturity Date | 24-Jun-16 | ||
Fixed Interest Rate in Contract | 2.51% | ||
Interest Rate Swaps | Citibank, N.A | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 500,000,000 | ||
Maturity Date | 15-Oct-16 | ||
Fixed Interest Rate in Contract | 1.93% | ||
Interest Rate Swaps | Deutsche Bank AG | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 150,000,000 | ||
Maturity Date | 5-Feb-18 | ||
Fixed Interest Rate in Contract | 2.90% | ||
Interest Rate Swaps | ING Capital Markets LLC | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 350,000,000 | ||
Maturity Date | 24-Feb-18 | ||
Fixed Interest Rate in Contract | 0.95% | ||
Interest Rate Swaps | ING Capital Markets LLC | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 300,000,000 | ||
Maturity Date | 5-May-18 | ||
Fixed Interest Rate in Contract | 0.79% | ||
Interest Rate Swaps | UBS AG | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 500,000,000 | ||
Maturity Date | 24-May-18 | ||
Fixed Interest Rate in Contract | 1.10% | ||
Interest Rate Swaps | ING Capital Markets LLC | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 400,000,000 | ||
Maturity Date | 5-Jun-18 | ||
Fixed Interest Rate in Contract | 0.87% | ||
Interest Rate Swaps | The Royal Bank of Scotland PLC | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 500,000,000 | ||
Maturity Date | 5-Sep-18 | ||
Fixed Interest Rate in Contract | 1.04% | ||
Interest Rate Swaps | Citibank, N.A. CME Clearing House | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 300,000,000 | [1],[2] | |
Maturity Date | 5-Feb-21 | [1],[2] | |
Fixed Interest Rate in Contract | 2.50% | [1],[2] | |
Interest Rate Swaps | The Royal Bank of Scotland PLC CME Clearing House | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 300,000,000 | [1],[2] | |
Maturity Date | 5-Feb-21 | [1],[2] | |
Fixed Interest Rate in Contract | 2.69% | [1],[2] | |
Interest Rate Swaps | Wells Fargo Bank, N.A. | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 200,000,000 | ||
Maturity Date | 15-Mar-21 | ||
Fixed Interest Rate in Contract | 3.14% | ||
Interest Rate Swaps | Citibank, N.A. | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 200,000,000 | ||
Maturity Date | 25-May-21 | ||
Fixed Interest Rate in Contract | 2.83% | ||
Interest Rate Swaps | HSBC Bank USA, National Association | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 550,000,000 | ||
Maturity Date | 24-Feb-22 | ||
Fixed Interest Rate in Contract | 2.45% | ||
Interest Rate Swaps | HSBC Bank USA, National Association | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 250,000,000 | ||
Maturity Date | 5-Jun-23 | ||
Fixed Interest Rate in Contract | 1.91% | ||
Interest Rate Swaps | The Royal Bank of Scotland PLC | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 500,000,000 | ||
Maturity Date | 15-Aug-23 | ||
Fixed Interest Rate in Contract | 1.98% | ||
Interest Rate Swaps | Goldman Sachs Bank USA CME Clearing House | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 600,000,000 | [1] | |
Maturity Date | 24-Aug-23 | [1] | |
Fixed Interest Rate in Contract | 2.88% | [1] | |
Interest Rate Swaps | UBS AG | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 250,000,000 | ||
Maturity Date | 15-Nov-23 | ||
Fixed Interest Rate in Contract | 2.23% | ||
Interest Rate Swaps | HSBC Bank USA, National Association | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | 500,000,000 | ||
Maturity Date | 15-Dec-23 | ||
Fixed Interest Rate in Contract | 2.20% | ||
Interest Rate Swaps | Morgan Stanley Capital Services, LLC | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | $100,000,000 | ||
Maturity Date | 2-Apr-25 | ||
Fixed Interest Rate in Contract | 2.04% | ||
[1] | {F|ahBzfndlYmZpbGluZ3MtaHJkcmoLEgZYTUxEb2MiXlhCUkxEb2NHZW5JbmZvOmZmM2NlODM0MzQ1NDQxYWJhYmE0Mzg1MzRmM2RkODM2fFRleHRTZWxlY3Rpb246MDc2ODE3QTRGRjBGRDc4M0ExMkM0ODI0OTMxOTlGNzQM} | ||
[2] | Forward start date of February 2016 |
Derivatives_and_Hedging_Activi5
Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Derivative Interest Rate Swaptions | ||
Notional Amount as of January 1, 2015 | $11,961,088,000 | |
Additions | 799,608,000 | |
Settlement, Termination, Expiration or Exercise | -1,526,427,000 | |
Notional Amount as of March 31, 2015 | 11,234,269,000 | |
Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) for the three months ended March 31, 2015 | -26,103,000 | -18,824,000 |
Interest Rate Swaptions | ||
Derivative Interest Rate Swaptions | ||
Notional Amount as of January 1, 2015 | 1,050,000,000 | |
Additions | 300,000,000 | |
Settlement, Termination, Expiration or Exercise | -500,000,000 | |
Notional Amount as of March 31, 2015 | 850,000,000 | |
Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) for the three months ended March 31, 2015 | -4,688,000 | |
Interest Rate Swaps | ||
Derivative Interest Rate Swaptions | ||
Notional Amount as of January 1, 2015 | 10,550,000,000 | |
Additions | 100,000,000 | |
Settlement, Termination, Expiration or Exercise | -300,000,000 | |
Notional Amount as of March 31, 2015 | 10,350,000,000 | |
Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) for the three months ended March 31, 2015 | -19,055,000 | |
Sale of TBA's | ||
Derivative Interest Rate Swaptions | ||
Notional Amount as of January 1, 2015 | 198,000,000 | |
Additions | 248,000,000 | |
Settlement, Termination, Expiration or Exercise | -446,000,000 | |
Notional Amount as of March 31, 2015 | 0 | |
Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) for the three months ended March 31, 2015 | -2,292,000 | |
Futures Contracts | ||
Derivative Interest Rate Swaptions | ||
Notional Amount as of January 1, 2015 | 127,400,000 | |
Additions | 120,900,000 | |
Settlement, Termination, Expiration or Exercise | -248,300,000 | |
Notional Amount as of March 31, 2015 | 0 | |
Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) for the three months ended March 31, 2015 | -943,000 | |
Currency Forward Contracts | ||
Derivative Interest Rate Swaptions | ||
Notional Amount as of January 1, 2015 | 35,688,000 | |
Additions | 30,708,000 | |
Settlement, Termination, Expiration or Exercise | -32,127,000 | |
Notional Amount as of March 31, 2015 | 34,269,000 | |
Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) for the three months ended March 31, 2015 | 875,000 | |
Options Held | Payer Swaption | ||
Interest Rate Swaps | ||
Option cost | 5,640,000 | |
Option fair value | 3,000 | |
Average months to expiration | 6 months | |
Average term | 3 months 3 days | |
Options Held | Payer Swaption | Interest Rate Swaptions | ||
Derivative Interest Rate Swaptions | ||
Notional Amount as of March 31, 2015 | 550,000,000 | |
Options Held | Receiver Swaption | ||
Interest Rate Swaps | ||
Option cost | 1,485,000 | |
Option fair value | 795,000 | |
Average months to expiration | 6 months | |
Average term | 10 months | |
Options Held | Receiver Swaption | Interest Rate Swaptions | ||
Derivative Interest Rate Swaptions | ||
Notional Amount as of March 31, 2015 | $300,000,000 | |
Interest Rate Swaps | Payer Swaption | ||
Interest Rate Swaps | ||
Average term | 8 years 2 months 12 days | |
Underlying swap average fixed pay rate | 3.29% | |
Interest Rate Swaps | Receiver Swaption | ||
Interest Rate Swaps | ||
Average term | 10 years | |
Underlying swap average receive rate | 1.11% |
Derivatives_and_Hedging_Activi6
Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | $6,706 | $24,178 |
Derivative liabilities, at fair value | 290,852 | 254,026 |
Asset Derivatives | Interest Rate Swap Asset | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 4,198 | 22,772 |
Asset Derivatives | CDS Contract | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 334 | 396 |
Asset Derivatives | Interest Rate Swaptions | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 798 | 322 |
Asset Derivatives | Futures Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 0 | 89 |
Asset Derivatives | Currency Forward Contracts | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets, at fair value | 1,376 | 599 |
Liability Derivatives | Interest Rate Swap Liability | ||
Derivatives, Fair Value [Line Items] | ||
Derivative liabilities, at fair value | 290,852 | 253,468 |
Liability Derivatives | TBA's | ||
Derivatives, Fair Value [Line Items] | ||
Derivative liabilities, at fair value | $0 | $558 |
Derivatives_and_Hedging_Activi7
Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Derivative Instruments, Gain (Loss) | ||
Unrealized gain (loss), net | ($51,034) | ($81,047) |
Gain (loss) on derivatives, net | -122,745 | -151,312 |
Not Designated as Hedging Instrument | ||
Derivative Instruments, Gain (Loss) | ||
Realized gain (loss) on settlement, termination, expiration or exercise, net | -26,103 | -18,824 |
Contractual interest expense | -45,608 | -51,441 |
Unrealized gain (loss), net | -51,034 | -81,047 |
Gain (loss) on derivatives, net | -122,745 | -151,312 |
Not Designated as Hedging Instrument | CDS Contract | Realized and unrealized credit default swap income | ||
Derivative Instruments, Gain (Loss) | ||
Gain (loss) on derivatives, net | -62 | -47 |
Not Designated as Hedging Instrument | Interest Rate Swaps | ||
Derivative Instruments, Gain (Loss) | ||
Realized gain (loss) on settlement, termination, expiration or exercise, net | -19,055 | 0 |
Contractual interest expense | -45,608 | -51,441 |
Unrealized gain (loss), net | -55,957 | -90,192 |
Gain (loss) on derivatives, net | -120,620 | -141,633 |
Not Designated as Hedging Instrument | Interest Rate Swaptions | ||
Derivative Instruments, Gain (Loss) | ||
Realized gain (loss) on settlement, termination, expiration or exercise, net | -4,688 | -15,075 |
Contractual interest expense | 0 | 0 |
Unrealized gain (loss), net | 3,679 | 11,127 |
Gain (loss) on derivatives, net | -1,009 | -3,948 |
Not Designated as Hedging Instrument | TBA's | ||
Derivative Instruments, Gain (Loss) | ||
Realized gain (loss) on settlement, termination, expiration or exercise, net | -2,292 | 0 |
Contractual interest expense | 0 | 0 |
Unrealized gain (loss), net | 558 | 703 |
Gain (loss) on derivatives, net | -1,734 | 703 |
Not Designated as Hedging Instrument | Futures Contracts | ||
Derivative Instruments, Gain (Loss) | ||
Realized gain (loss) on settlement, termination, expiration or exercise, net | -943 | -3,749 |
Contractual interest expense | 0 | 0 |
Unrealized gain (loss), net | -90 | -2,685 |
Gain (loss) on derivatives, net | -1,033 | -6,434 |
Not Designated as Hedging Instrument | Currency Forward Contracts | ||
Derivative Instruments, Gain (Loss) | ||
Realized gain (loss) on settlement, termination, expiration or exercise, net | 875 | |
Contractual interest expense | 0 | |
Unrealized gain (loss), net | 776 | |
Gain (loss) on derivatives, net | 1,651 | |
Not Designated as Hedging Instrument | Cash Flow Hedging | Interest Rate Swaps | ||
Derivative Instruments, Gain (Loss) | ||
Amount of gain (loss) recognized in OCI on derivative (effective portion) | 0 | 0 |
Not Designated as Hedging Instrument | Cash Flow Hedging | Interest Rate Swaps | Interest expense, repurchase agreements | ||
Derivative Instruments, Gain (Loss) | ||
Amount of gain (loss) reclassified from accumulated OCI into income (effective portion) | -19,145 | -21,296 |
Not Designated as Hedging Instrument | Cash Flow Hedging | Interest Rate Swaps | Gain (loss) on derivative instruments, net | ||
Derivative Instruments, Gain (Loss) | ||
Amount of gain (loss) recognized in income on derivative (ineffective portion) | $0 | $0 |
Offsetting_Assets_and_Liabilit2
Offsetting Assets and Liabilities - Offsetting of Derivative Assets and Liabilities (Detail) (USD $) | 3 Months Ended | 12 Months Ended | ||
Mar. 31, 2015 | Dec. 31, 2014 | |||
Offsetting Liabilities | ||||
Fair value of securities pledged under repurchase agreement | $14,800,000,000 | $15,300,000,000 | ||
Due from counterparties | 82,215,000 | 57,604,000 | ||
Collateral pledged against secured loans | 1,900,000,000 | 1,500,000,000 | ||
Derivatives | ||||
Gross Amounts of Recognized Assets | 6,706,000 | 24,178,000 | ||
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 | ||
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets | 6,706,000 | 24,178,000 | ||
Financial Instruments | -3,171,000 | [1] | -5,277,000 | [1] |
Collateral Received (4) | -3,535,000 | [2] | -18,901,000 | [2] |
Net Amount | 0 | 0 | ||
Derivatives | ||||
Gross Amounts of Recognized Liabilities | 290,852,000 | 254,026,000 | ||
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 | ||
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 290,852,000 | 254,026,000 | ||
Financial Instruments | -208,855,000 | [3],[4],[5] | -235,908,000 | [3],[4] |
Collateral Posted | -80,414,000 | [2],[3],[5] | -18,118,000 | [2],[3] |
Net Amount | 1,583,000 | 0 | ||
Repurchase Agreements | ||||
Gross Amounts of Recognized Liabilities | 13,333,081,000 | 13,622,677,000 | ||
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 | ||
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 13,333,081,000 | 13,622,677,000 | ||
Financial Instruments | -13,333,081,000 | [3],[4],[5] | -13,622,677,000 | [3],[4] |
Collateral Posted | 0 | [2],[3],[5] | 0 | [2],[3] |
Net Amount | 0 | 0 | ||
Secured Loans | ||||
Gross Amounts of Recognized Liabilities | 1,550,000,000 | 1,250,000,000 | ||
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 | ||
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 1,550,000,000 | 1,250,000,000 | ||
Financial Instruments | -1,550,000,000 | [3],[4],[5] | -1,250,000,000 | [3],[4] |
Collateral Posted | 0 | [2],[3],[5] | 0 | [2],[3] |
Net Amount | 0 | |||
Total | ||||
Gross Amounts of Recognized Liabilities | 15,173,933,000 | 15,126,703,000 | ||
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 | ||
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 15,173,933,000 | 15,126,703,000 | ||
Financial Instruments | -15,091,936,000 | [3],[4],[5] | -15,108,585,000 | [3],[4] |
Collateral Posted | -80,414,000 | [2],[3],[5] | -18,118,000 | [2],[3] |
Net Amount | 1,583,000 | 0 | ||
Derivative | ||||
Offsetting Liabilities | ||||
Cash collateral received on derivatives | 4,300,000 | 14,900,000 | ||
Non-cash collateral received on derivatives | 0 | 10,800,000 | ||
Consolidation, Eliminations | ||||
Offsetting Liabilities | ||||
Fair value of securities pledged under repurchase agreement | $431,900,000 | $403,200,000 | ||
[1] | Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at MarchB 31, 2015 and DecemberB 31, 2014, subject to a netting arrangement. | |||
[2] | Cash collateral received on the Company's derivatives was $4.3 million and $14.9 million at MarchB 31, 2015 and DecemberB 31, 2014, respectively. The Company did not receive non-cash collateral at MarchB 31, 2015. Non-cash collateral received on the Company's derivatives was $10.8 million at DecemberB 31, 2014. Cash collateral posted by the Company on its derivatives was $82.2 million and $57.6 million at MarchB 31, 2015 and DecemberB 31, 2014, respectively. | |||
[3] | Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. | |||
[4] | The fair value of securities pledged against the Company's borrowing under repurchase agreements was $14.8 billion and $15.3 billion at MarchB 31, 2015 and DecemberB 31, 2014, respectively, including securities held as collateral that are eliminated in consolidation of $431.9 million and $403.2 million, respectively at MarchB 31, 2015 and DecemberB 31, 2014. | |||
[5] | The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $1.9 billion and $1.5 billion at MarchB 31, 2015 and DecemberB 31, 2014, respectively. |
Fair_Value_of_Financial_Instru2
Fair Value of Financial Instruments - Additional Information (Detail) (USD $) | Mar. 31, 2015 |
Fair Value Disclosures [Abstract] | |
Fair value of CDS contract | $6,200 |
Fair_Value_of_Financial_Instru3
Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||||
Mortgage-backed securities, at fair value | $17,340,595 | [1] | $17,248,895 | [1] |
Derivative assets, at fair value | 6,706 | 24,178 | ||
Total assets | 17,347,301 | 17,273,073 | ||
Derivative liabilities, at fair value | 290,852 | 254,026 | ||
Total liabilities | 290,852 | 254,026 | ||
Level 1 | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||||
Mortgage-backed securities, at fair value | 0 | [1] | 0 | [1] |
Derivative assets, at fair value | 0 | 89 | ||
Total assets | 0 | 89 | ||
Derivative liabilities, at fair value | 0 | 0 | ||
Total liabilities | 0 | 0 | ||
Level 2 | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||||
Mortgage-backed securities, at fair value | 17,340,595 | [1] | 17,248,895 | [1] |
Derivative assets, at fair value | 6,372 | 23,693 | ||
Total assets | 17,346,967 | 17,272,588 | ||
Derivative liabilities, at fair value | 290,852 | 254,026 | ||
Total liabilities | 290,852 | 254,026 | ||
Level 3 | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||||
Mortgage-backed securities, at fair value | 0 | [1] | 0 | [1] |
Derivative assets, at fair value | 334 | 396 | ||
Total assets | 334 | 396 | ||
Derivative liabilities, at fair value | 0 | 0 | ||
Total liabilities | $0 | $0 | ||
[1] | For more detail about the fair value of the Company's MBS, refer to Note 4 - "Mortgage-Backed Securities." |
Fair_Value_of_Financial_Instru4
Fair Value of Financial Instruments - Fair Value on Recurring Basis Utilizing Level 3 Inputs (Detail) (CDS Contract, USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
CDS Contract | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | $396 | $654 |
Unrealized gains/(losses), net | -62 | -258 |
Ending balance | $334 | $396 |
Fair_Value_of_Financial_Instru5
Fair Value of Financial Instruments - Quantitative Information About Level 3 Fair Value Measurements (Detail) (USD $) | 3 Months Ended | 12 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 |
CDS Contract | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |||
Fair Value | 334 | 396 | $654 |
Swap Rate | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |||
Weighted Average | 2.39% | 2.39% | |
Discount Rate | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |||
Weighted Average | 0.66% | 0.76% | |
Credit Spread | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |||
Weighted Average | 0.32% | 0.24% | |
Constant Prepayment Rate | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |||
Weighted Average | 5.47% | 5.46% | |
Constant Prepayment Rate | Minimum | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |||
Range | 1.00% | 1.00% | |
Constant Prepayment Rate | Maximum | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |||
Range | 20.00% | 20.00% | |
Constant Default Rate | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |||
Weighted Average | 4.14% | 4.15% | |
Constant Default Rate | Minimum | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |||
Range | 0.50% | 0.60% | |
Constant Default Rate | Maximum | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |||
Range | 100.00% | 100.00% | |
Loss Severity | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |||
Weighted Average | 40.14% | 39.35% | |
Loss Severity | Minimum | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |||
Range | 2.02% | 1.10% | |
Loss Severity | Maximum | |||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |||
Range | 66.00% | 62.30% |
Fair_Value_of_Financial_Instru6
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Carrying value | ||
Financial Assets | ||
Other investments | $110,993 | $106,498 |
Total | 3,854,351 | 3,617,257 |
Financial Liabilities | ||
Repurchase agreements | 13,333,081 | 13,622,677 |
Secured loans | 1,550,000 | 1,250,000 |
Asset-backed securities issued by securitization trusts | 3,133,527 | 2,929,820 |
Exchangeable senior notes | 400,000 | 400,000 |
Total | 18,416,608 | 18,202,497 |
Carrying value | Residential Loans Held For Investment | ||
Financial Assets | ||
Mortgage loans, held-for-investment | 3,597,147 | 3,365,003 |
Carrying value | Commercial Loans Held For Investment | ||
Financial Assets | ||
Mortgage loans, held-for-investment | 146,211 | 145,756 |
Estimated fair value | ||
Financial Assets | ||
Other investments | 110,993 | 106,498 |
Total | 3,881,795 | 3,653,959 |
Financial Liabilities | ||
Repurchase agreements | 13,340,003 | 13,630,571 |
Secured loans | 1,550,000 | 1,250,000 |
Asset-backed securities issued by securitization trusts | 3,150,057 | 2,930,422 |
Exchangeable senior notes | 385,000 | 379,500 |
Total | 18,425,060 | 18,190,493 |
Estimated fair value | Residential Loans Held For Investment | ||
Financial Assets | ||
Mortgage loans, held-for-investment | 3,622,776 | 3,399,964 |
Estimated fair value | Commercial Loans Held For Investment | ||
Financial Assets | ||
Mortgage loans, held-for-investment | $148,026 | $147,497 |
Related_Party_Transactions_Add
Related Party Transactions - Additional Information (Detail) (USD $) | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2013 | |
Related Party Transaction | ||||
Investment in money market or mutual funds managed by affiliates of a related party | $157,025,000 | $188,371,000 | $164,144,000 | $210,612,000 |
Management fee b related party | 9,415,000 | 9,335,000 | ||
Affiliate of the Manager | ||||
Related Party Transaction | ||||
Investment in money market or mutual funds managed by affiliates of a related party | 152,700,000 | 149,300,000 | ||
Manager | ||||
Related Party Transaction | ||||
Management fee b related party | 9,400,000 | 9,300,000 | ||
Management fees accrued but not paid | $9,300,000 | $9,300,000 |
Related_Party_Transactions_Sch
Related Party Transactions - Schedule of Related Party Transactions (Details) (Manager, USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Summary of Investments, Other than Investments in Related Parties | ||
Total incurred costs, originally paid by the Manager | $642 | $1,765 |
Incurred costs, prepaid or expensed | ||
Summary of Investments, Other than Investments in Related Parties | ||
Total incurred costs, originally paid by the Manager | $642 | $1,765 |
Stockholders_Equity_Additional
Stockholders' Equity - Additional Information (Detail) (USD $) | 3 Months Ended | 1 Months Ended | 0 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | Mar. 31, 2014 | Mar. 17, 2015 | Dec. 31, 2014 | |
Class of Stock | |||||
Common stock shares issued | 123,131,777 | 123,110,454 | |||
Proceeds from issuance of common stock | $70,000 | $73,000 | |||
Common stock dividend declared, per share | $0.45 | $0.50 | |||
Incentive Plan | Restricted Stock Units (RSUs) | |||||
Class of Stock | |||||
Number of restricted stock units vested | 17,783 | ||||
Incentive Plan | Employee | Restricted Stock Units (RSUs) | |||||
Class of Stock | |||||
Restricted stock issued | 17,652 | ||||
Common Stock | |||||
Class of Stock | |||||
Stock repurchase program, remaining number of shares authorized to be repurchased | 14,841,784 | ||||
Common stock dividend declared, per share | $0.45 | ||||
Dividend payable date | 28-Apr-15 | ||||
Dividend payable, date of record | 30-Mar-15 | ||||
Common Stock | DRSPP | |||||
Class of Stock | |||||
Common stock shares issued | 4,444 | ||||
Price of per share of stock issued | $15.83 | ||||
Proceeds from issuance of common stock | 70,000 | ||||
Common Stock | Incentive Plan | |||||
Class of Stock | |||||
Common stock options reserved for issuance | 1,000,000 | ||||
Incentive plan termination year | 2019 | ||||
Compensation expense recognized | 85,000 | 52,000 | |||
Restricted stock issued | 5,332 | 2,745 | |||
Common stock shares issued in exchange for restricted stock | 11,547 | ||||
Common Stock | Incentive Plan | Employee | |||||
Class of Stock | |||||
Compensation expense recognized | $70,000 | $81,000 | |||
Preferred Stock | |||||
Class of Stock | |||||
Preferred Stock, redemption price per share | $25 | ||||
Series A Cumulative Redeemable Preferred Stock | |||||
Class of Stock | |||||
Preferred stock dividend rate | 7.75% | ||||
Preferred Stock, liquidation preference (dollars per share) | $25 | ||||
Preferred Stock, dividends per annum (dollars per share) | $1.94 | ||||
Dividend payable date | 27-Apr-15 | ||||
Dividend payable, date of record | 1-Apr-15 | ||||
Series A preferred stock dividend, per share | $0.48 | ||||
Series B Cumulative Redeemable Preferred Stock | |||||
Class of Stock | |||||
Preferred stock dividend rate | 7.75% | ||||
Preferred Stock, liquidation preference (dollars per share) | $25 | ||||
Preferred Stock, dividends per annum (dollars per share) | $1.94 | ||||
Dividend payable date | 29-Jun-15 | ||||
Dividend payable, date of record | 5-Jun-15 | ||||
Series A preferred stock dividend, per share | $0.48 | ||||
Three-month LIBOR rate | Series B Cumulative Redeemable Preferred Stock | |||||
Class of Stock | |||||
Preferred stock dividend variable rate spread | 5.18% |
Earnings_per_Common_Share_Earn
Earnings per Common Share Earnings per Common Share - Additional Information (Details) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Exchangeable Senior Notes | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||
Antidilutive securities excluded from computation of earnings per share | 16,835,720 | 16,835,720 |
Restricted Stock Units (RSUs) | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||
Antidilutive securities excluded from computation of earnings per share | 46,003 | 41,007 |
Earnings_per_Common_Share_Earn1
Earnings per Common Share Earnings per Common Share - Earnings per Share (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Basic Earnings | ||
Net loss available to common stockholders | ($32,700) | ($74,440) |
Effect of dilutive securities: | ||
Income allocated to exchangeable senior debt | 0 | 0 |
Loss allocated to non-controlling interest | -312 | -822 |
Dilutive net loss available to stockholders | ($33,012) | ($75,262) |
Basic Earnings: | ||
Shares available to common stockholders | 123,118 | 123,125 |
Effect of dilutive securities: | ||
Restricted stock awards | 0 | 0 |
OP units | 1,425 | 1,425 |
Exchangeable senior notes | 0 | 0 |
Dilutive Shares | 124,543 | 124,550 |
Noncontrolling_InterestOperati2
Non-controlling Interest-Operating Partnership - Additional Information (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 |
Noncontrolling Interest | |||
Non-controlling interest related to the outstanding of OP Units | 1,425,000 | 1,425,000 | |
Non-controlling interest in Operating Partnership | 1.10% | 1.10% | |
Distributions payable to non-controlling interest | $61,766,000 | $61,757,000 | $64,969,000 |
Non- Controlling Interest | |||
Noncontrolling Interest | |||
Distributions payable to non-controlling interest | $641,000 | $713,000 |
Noncontrolling_InterestOperati3
Non-controlling Interest-Operating Partnership - Schedule of Income (Expense) Allocated and Distributions Paid to Noncontrolling Interests (Details) (Non- Controlling Interest, USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Non- Controlling Interest | ||
Noncontrolling Interest | ||
Expense allocated | ($312) | ($822) |
Distributions paid | $641 | $713 |
Commitments_and_Contingencies_
Commitments and Contingencies (Details) (USD $) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
Commitments and Contingencies Disclosure [Abstract] | |||
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate | $27,800,000 | $31,000,000 | |
Unfunded commitment | $1,623,000 | $5,000,000 | $4,980,000 |