Document and Entity Information
Document and Entity Information - shares | 3 Months Ended | |
Mar. 31, 2015 | May. 01, 2015 | |
Document And Entity Information [Abstract] | ||
Entity Registrant Name | Invesco Mortgage Capital Inc. | |
Trading Symbol | IVR | |
Entity Central Index Key | 1,437,071 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Document Type | 10-Q/A | |
Document Period End Date | Mar. 31, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus (Q1,Q2,Q3,FY) | Q1 | |
Amendment Flag | true | |
Amendment Description | Explanatory Note Invesco Mortgage Capital Inc. (referred to herein as "we,""our," or the "Company") is filing this Amendment No. 1 on Form 10-Q/A (this “Form 10-Q/A”) to its Quarterly Report on Form 10-Q for the period ended March 31, 2015, which was originally filed with the Securities and Exchange Commission (the “SEC”) on May 7, 2015 (the “Original Filing”), for the purpose of restating previously-filed financial statements, including notes thereto, and amending portions of the related disclosures contained in the Original Filing (the "Restatement"). This Form 10-Q/A includes (i) restated condensed consolidated balance sheets as of March 31, 2015 and 2014, and (ii) restated condensed consolidated statements of operations, condensed consolidated statements of comprehensive income (loss), condensed consolidated statements of equity and condensed consolidated statements of cash flows for the three months ended March 31, 2015 and 2014 and (iii) restated quarterly financial information for the quarter ended March 31, 2015. | |
Entity Common Stock, Shares Outstanding | 123,133,574 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets - USD ($) $ in Thousands | Mar. 31, 2015 | Dec. 31, 2014 | ||
ASSETS | ||||
Mortgage-backed and credit risk transfer securities, at fair value | [1] | $ 17,340,595 | $ 17,248,895 | |
Residential loans, held-for-investment | [1],[2] | 3,597,147 | 3,365,003 | |
Commercial loans, held-for-investment | [1] | 146,211 | 145,756 | |
Cash and cash equivalents | [1],[3] | 157,025 | 164,144 | |
Due from counterparties | [1] | 82,215 | 57,604 | |
Investment related receivable | [1] | 27,697 | 38,717 | |
Accrued interest receivable | [1] | 66,144 | 66,044 | |
Derivative assets, at fair value | [1] | 6,706 | 24,178 | |
Deferred securitization and financing costs | [1] | 12,286 | 13,080 | |
Other investments | [1] | 110,993 | 106,498 | |
Other assets | [1] | 1,055 | 1,098 | |
Total assets | [1],[2] | 21,548,074 | 21,231,017 | |
Liabilities: | ||||
Repurchase agreements | [1] | 13,333,081 | 13,622,677 | |
Secured loans | [1] | 1,550,000 | 1,250,000 | |
Asset-backed securities issued by securitization trusts | [1],[2] | 3,133,527 | 2,929,820 | |
Exchangeable senior notes | [1] | 400,000 | 400,000 | |
Derivative liabilities, at fair value | [1] | 290,852 | 254,026 | |
Dividends and distributions payable | [1] | 61,766 | [3] | 61,757 |
Investment related payable | [1] | 30,351 | 17,008 | |
Accrued interest payable | [1] | 23,800 | 29,670 | |
Collateral held payable | [1] | 4,300 | 14,890 | |
Accounts payable and accrued expenses | [1] | 3,248 | 2,439 | |
Due to affiliate | [1] | 9,535 | 9,880 | |
Total liabilities | [1],[2] | 18,840,460 | 18,592,167 | |
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] | 1,231 | 1,231 | |
Additional paid in capital | [1] | 2,532,353 | 2,532,130 | |
Accumulated other comprehensive income | [1] | 565,131 | 424,592 | |
Retained earnings (distributions in excess of earnings) | [1] | (705,703) | (632,854) | |
Total stockholders’ equity | [1] | 2,678,228 | 2,610,315 | |
Non-controlling interest | [1] | 29,386 | 28,535 | |
Total equity | [1],[4] | 2,707,614 | 2,638,850 | |
Total liabilities and equity | [1] | 21,548,074 | 21,231,017 | |
Series A Cumulative Redeemable Preferred Stock | ||||
Equity: | ||||
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized: | [1] | 135,356 | 135,356 | |
Series B Cumulative Redeemable Preferred Stock | ||||
Equity: | ||||
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized: | [1] | 149,860 | 149,860 | |
Variable Interest Entity, Primary Beneficiary | ||||
ASSETS | ||||
Residential loans, held-for-investment | 3,597,147 | 3,365,003 | ||
Accrued interest receivable | 11,050 | 10,562 | ||
Deferred securitization and financing costs | 4,846 | 5,032 | ||
Total assets | 3,613,043 | 3,380,597 | ||
Liabilities: | ||||
Asset-backed securities issued by securitization trusts | 3,133,527 | 2,929,820 | ||
Total liabilities | $ 3,142,670 | $ 2,938,512 | ||
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[2] | The condensed consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) 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 $2,938,512, respectively. Refer to Note 3 - "Variable Interest Entities" for further discussion. | |||
[3] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[4] | For discussion of the restatement adjustments, see Note 16 - " Restatement of Previously Issued Financial Statements". |
Condensed Consolidated Balance3
Condensed Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2015 | Dec. 31, 2014 |
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 Statemen
Condensed Consolidated Statements of Operations (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | |||
Interest Income | ||||
Mortgage-backed and credit risk transfer securities | [1] | $ 135,265 | $ 148,405 | |
Residential loans | [1],[2] | 29,374 | 17,704 | |
Commercial loans | [1] | 3,115 | 1,619 | |
Total interest income | [1] | 167,754 | 167,728 | |
Interest Expense | ||||
Repurchase agreements | [1] | 43,310 | 49,071 | |
Secured loans | [1] | 1,464 | 0 | |
Exchangeable senior notes | [1] | 5,607 | 5,607 | |
Asset-backed securities | [1],[2] | 21,898 | 13,935 | |
Total interest expense | [1] | 72,279 | 68,613 | |
Net interest income | [1] | 95,475 | 99,115 | |
(Reduction in) provision for loan losses | [1] | (62) | 207 | |
Net interest income after (reduction in) provision for loan losses | [1] | 95,537 | 98,908 | |
Other Income (loss) | ||||
Gain (loss) on investments, net | [1],[3] | 2,172 | (17,772) | |
Equity in earnings of unconsolidated ventures | [1],[3] | 6,006 | 441 | |
Gain (loss) on derivative instruments, net | [1] | (122,745) | (151,312) | |
Realized and unrealized credit derivative income (loss), net | [1] | 21,362 | 17,487 | |
Other investment income (loss), net | [1] | (894) | 0 | |
Total other income (loss) | [1] | (94,099) | (151,156) | |
Expenses | ||||
Management fee – related party | [1] | 9,415 | 9,335 | |
General and administrative | [1] | 1,727 | 2,012 | |
Total expenses | [1] | 13,298 | 12,531 | |
Net loss | [1],[3],[5] | (11,860) | [4] | (64,779) |
Net loss attributable to non-controlling interest | [1] | (136) | (733) | |
Net loss attributable to Invesco Mortgage Capital Inc. | [1] | (11,724) | (64,046) | |
Dividends to preferred stockholders | [1],[5] | 5,716 | 2,713 | |
Net loss attributable to common stockholders | [1] | $ (17,440) | $ (66,759) | |
Loss per share: | ||||
Net income attributable to common shareholders (basic) (usd per share) | [1] | $ (0.14) | $ (0.54) | |
Net income attributable to common shareholders (diluted) (usd per share) | [1] | (0.14) | (0.54) | |
Dividends declared per common share (usd per share) | [1] | $ 0.45 | $ 0.50 | |
Variable Interest Entity, Primary Beneficiary | ||||
Expenses | ||||
Consolidated securitization trusts | [1],[2] | $ 2,156 | $ 1,184 | |
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[2] | The condensed consolidated statements of operations include income and expenses of consolidated variable interest entities. Refer to Note 3 - “Variable Interest Entities” for further discussion. | |||
[3] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[4] | For discussion of the restatement adjustments, see Note 16 - " Restatement of Previously Issued Financial Statements". | |||
[5] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Condensed Consolidated Stateme5
Condensed Consolidated Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | |||
Statement of Comprehensive Income [Abstract] | ||||
Net loss | [2],[3],[4] | $ (11,860) | [1] | $ (64,779) |
Other comprehensive income (loss): | ||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities | [3] | 125,954 | 161,697 | |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | [3] | (2,934) | 11,718 | |
Reclassification of amortization of net deferred losses on de-designated interest rate swaps to repurchase agreements interest expense | [3] | 19,145 | 21,296 | |
Total other comprehensive income | [3] | 142,165 | [1] | 194,711 |
Comprehensive income | [3] | 130,305 | 129,932 | |
Less: Comprehensive income attributable to non-controlling interest | [3] | (1,490) | (1,483) | |
Less: Dividends to preferred stockholders | [2],[3] | (5,716) | (2,713) | |
Comprehensive income attributable to common stockholders | [3] | $ 123,099 | $ 125,736 | |
[1] | For discussion of the restatement adjustments, see Note 16 - " Restatement of Previously Issued Financial Statements". | |||
[2] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[3] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[4] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Condensed Consolidated Stateme6
Condensed Consolidated Statement of Equity (Unaudited) - 3 months ended Mar. 31, 2015 - USD ($) $ in Thousands | Total | Preferred StockSeries A Cumulative Redeemable Preferred Stock | Preferred StockSeries B Cumulative Redeemable Preferred Stock | Common Stock | Additional Paid in Capital | Accumulated Other Comprehensive Income | Retained Earnings (Distributions in excess of earnings) | Total Stockholders’ Equity | Non- Controlling Interest | ||
Beginning Balance (in shares) at Dec. 31, 2014 | [1] | 5,600,000 | 6,200,000 | 123,110,454 | |||||||
Beginning Balance at Dec. 31, 2014 | [1] | $ 2,638,850 | [2] | $ 135,356 | $ 149,860 | $ 1,231 | $ 2,532,130 | $ 424,592 | $ (632,854) | $ 2,610,315 | $ 28,535 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||||
Net loss | [1] | (11,860) | [3],[4],[5] | (11,724) | (11,724) | (136) | |||||
Other comprehensive income (loss) | [1] | 142,165 | [4] | 140,539 | 140,539 | 1,626 | |||||
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 (in shares) at Mar. 31, 2015 | [1] | 5,600,000 | 6,200,000 | 123,131,777 | |||||||
Ending Balance at Mar. 31, 2015 | [1] | $ 2,707,614 | [2] | $ 135,356 | $ 149,860 | $ 1,231 | $ 2,532,353 | $ 565,131 | $ (705,703) | $ 2,678,228 | $ 29,386 |
[1] | For discussion of the restatement adjustments, see Note 16 - " Restatement of Previously Issued Financial Statements". | ||||||||||
[2] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | ||||||||||
[3] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | ||||||||||
[4] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | ||||||||||
[5] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Condensed Consolidated Stateme7
Condensed Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | |||
Cash Flows from Operating Activities | ||||
Net loss | [2],[3],[4] | $ (11,860) | [1] | $ (64,779) |
Adjustments to reconcile net loss to net cash provided by operating activities: | ||||
Amortization of residential loans and asset-backed securities premiums (discount), net | [4] | 29,389 | 32,527 | |
Amortization of residential loans and asset-backed securities premiums (discount), net | [4] | 37 | 824 | |
Amortization of commercial loan origination fees | [4] | (6) | (1) | |
(Reduction in) provision for loan losses | [4] | (62) | 207 | |
Unrealized (gain) loss on derivative instruments, net | [4] | 51,034 | 81,047 | |
Unrealized (gain) loss on credit derivatives, net | [4] | (15,976) | (13,914) | |
(Gain) loss on sale of mortgage-backed and credit risk transfer securities, net | [2],[4] | (2,172) | 17,772 | |
Realized (gain) loss on derivative instruments, net | [4] | 26,103 | 18,824 | |
Realized (gain) loss on credit derivatives, net | [4] | 792 | 0 | |
Equity in earnings of unconsolidated ventures | [2],[4] | (6,006) | (441) | |
Amortization of equity-based compensation | [4] | 155 | 124 | |
Amortization of deferred securitization and financing costs | [4] | 794 | 719 | |
Reclassification of amortization of net deferred losses on de-designated interest rate swaps | [4] | 19,145 | 21,296 | |
Non-cash interest income capitalized in commercial loans | [4] | 0 | (670) | |
(Gain) loss on foreign currency transactions, net | [4] | 1,500 | 0 | |
Changes in operating assets and liabilities: | ||||
(Increase) decrease in operating assets | [4] | (53) | 1,389 | |
Decrease in operating liabilities | [4] | (5,392) | (5,877) | |
Net cash provided by operating activities | [4] | 87,422 | 89,047 | |
Cash Flows from Investing Activities | ||||
Purchase of mortgage-backed and credit risk transfer securities | [4] | (726,494) | (681,827) | |
(Contributions) distributions (from) to investment in unconsolidated ventures, net | [4] | 8,761 | 2,721 | |
Change in other investments | [4] | (7,250) | 9,891 | |
Principal payments from mortgage-backed and credit risk transfer securities | [4] | 570,110 | 397,431 | |
Proceeds from sale of mortgage-backed and credit risk transfer securities | [4] | 180,790 | 949,905 | |
Payments on sale of credit derivatives | [4] | (792) | 0 | |
Payment of premiums for interest rate swaptions | [4] | (1,485) | (4,688) | |
Payments for termination of futures/currency forward contracts and TBAs | [4] | (2,360) | (3,749) | |
Purchase of residential loans held-for-investment | [4] | (372,305) | (283,421) | |
Principal payments from residential loans held-for-investment | [4] | 138,210 | 21,951 | |
Origination and advances of commercial loans, net of origination fees | [4] | (1,944) | (27,478) | |
Net cash (used in) provided by investing activities | [4] | (214,759) | 380,736 | |
Cash Flows from Financing Activities | ||||
Proceeds from issuance of common stock | [4] | 70 | 73 | |
Repurchase of common stock | [4] | 0 | (21,129) | |
Cost of issuance of preferred stock | [4] | (15) | 0 | |
Due from counterparties | [4] | (23,626) | (3,379) | |
Collateral held payable | [4] | (10,590) | (28,231) | |
Proceeds from repurchase agreements | [4] | 35,603,951 | 33,987,939 | |
Principal repayments of repurchase agreements | [4] | (35,893,498) | (34,587,304) | |
Proceeds from asset-backed securities issued by securitization trusts | [4] | 336,077 | 245,864 | |
Principal repayments of asset-backed securities issued by securitization trusts | [4] | (130,394) | (19,258) | |
Proceeds from secured loans | [4] | 600,000 | 0 | |
Principal repayments on secured loans | [4] | (300,000) | 0 | |
Payments of deferred costs | [4] | 0 | (512) | |
Payments of dividends and distributions | [4] | (61,757) | (66,087) | |
Net cash provided by (used in) financing activities | [4] | 120,218 | (492,024) | |
Net change in cash and cash equivalents | [4] | (7,119) | (22,241) | |
Cash and cash equivalents, beginning of period | [4] | 164,144 | [5] | 210,612 |
Cash and cash equivalents, end of period | [4] | 157,025 | [5] | 188,371 |
Supplement Disclosure of Cash Flow Information | ||||
Interest paid | [4] | 59,713 | 50,363 | |
Non-cash Investing and Financing Activities Information | ||||
Net change in unrealized gain on mortgage-backed and credit risk transfer securities | [4] | 123,020 | 173,415 | |
Dividends and distributions declared not paid | [4] | 61,766 | [5] | 64,969 |
(Receivable) / payable for mortgage-backed and credit risk transfer securities sold / purchased, net | [4] | 4,265 | 710,958 | |
Repurchase agreements, not settled | [4] | (49) | ||
Collateral held payable, not settled | [4] | 0 | (4,319) | |
Interest rate swaps terminated, not settled | [4] | 19,055 | 0 | |
Net change in due from counterparties | [4] | $ (985) | $ 0 | |
[1] | For discussion of the restatement adjustments, see Note 16 - " Restatement of Previously Issued Financial Statements". | |||
[2] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[3] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[4] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[5] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Organization and Business Opera
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 that are unsecured obligations 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 Accounti
Summary of Significant Accounting Policies (As Restated) | 3 Months Ended |
Mar. 31, 2015 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies (As Restated) | Summary of Significant Accounting Policies (As Restated) Restatement The Company is restating its previously issued condensed consolidated balance sheets included in its Quarterly Report on Form 10-Q as of March 31, 2015 and 2014 and condensed consolidated statements of operations, condensed consolidated statements of comprehensive income (loss), condensed consolidated statements of equity, and condensed consolidated statements of cash flows for the three months ended March 31, 2015 and 2014, along with certain related notes (the "Restatement"). The impact of the Restatement is included in this Amendment No. 1 on Form 10-Q/A and is more specifically described in Note 16 - "Restatement of Previously Issued Financial Statements." Basis of Presentation and Consolidation The Company filed Amendment No. 1 to its Annual Report on Form 10-K/A on August 17, 2015 ("Form 10-K/A"). Certain disclosures included in the Company’s Form 10-K/A 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/A should be read in conjunction with the Company’s Annual Report on Form 10-K/A 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 and credit risk transfer 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/A 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 condensed consolidated financial condition and results of operations for the three months ended March 31, 2015 . Mortgage-Backed and Credit Risk Transfer Securities All of the Company’s mortgage-backed securities ("MBS") except for Agency interest-only securities ("Agency MBS IOs"), are classified as available-for-sale and reported at fair value. Fair value 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, discounted cash flow analysis, matrix pricing, option adjusted spread models and other fundamental analysis of observable market factors. The Company records its purchases of mortgage-backed and credit risk transfer securities on the trade date. Although the Company generally intends to hold most of its mortgage-backed and credit risk transfer securities until maturity, the Company may, from time to time, sell any of its mortgage-backed and credit risk transfer securities as part of its overall management of its investment portfolio. Unrealized gains or losses on all MBS, except for Agency MBS IOs, are recorded in accumulated other comprehensive income, a separate component of stockholders' equity, until sale or disposition of the investment. Upon sale or disposition, the cumulative gain or loss previously reported in stockholders' equity is recognized in income. Realized gains and losses from sales of MBS are determined based upon the specific identification method. Agency MBS IOs are hybrid financial instruments that contain embedded derivatives. Agency MBS IOs are carried at fair value on the Company's balance sheet with changes in fair value recognized in the Company's condensed consolidated statement of operations because the embedded interest derivative in Agency MBS IOs cannot be reliably measured. GSE CRTs are unsecured obligations of Fannie Mae and Freddie Mac. Coupon payments on the securities are based on LIBOR and principal payments are based on prepayments and defined credit events in a reference pool of mortgage loans that collateralize Agency RMBS. GSE CRTs are accounted for as hybrid financial instruments consisting of a debt host contract and an embedded derivative. GSE CRTs are measured at fair value. Unrealized gains or losses arising from changes in fair value of the debt host contract, excluding other-than-temporary impairment, are recognized in accumulated other comprehensive income, a separate component of stockholders’ equity, until sale or disposition of the investment. Upon sale or disposition of the debt host contract, the cumulative gain or loss previously reported as a separate component of stockholders’ equity is recognized in income. Realized gains and losses from sales of GSE CRTs are determined based upon the specific identification method. Realized and unrealized gains or losses arising from changes in fair value of the embedded derivative are recognized in realized and unrealized credit derivative income (loss), net in the Company’s condensed consolidated statement of operations. The Company considers its portfolio of Agency RMBS to be of high credit quality under applicable accounting guidance. For non-Agency RMBS, GSE CRTs and CMBS, the Company does not rely on ratings from third party agencies to determine the credit quality of the investment. The Company uses internal models that analyze the loans underlying each security and evaluates factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration to estimate the expected future cash flows. The Company places reliance on these internal models in determining credit quality. While non-Agency RMBS, GSE CRTs and CMBS with expected future losses would generally be purchased at a discount to par, the potential for a significant adverse change in expected cash flows remains. The Company therefore evaluates each security for other-than-temporary impairment at least quarterly. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. Consideration is given to (i) the length of time and the extent to which the fair value has been less than amortized cost, (ii) the financial condition and near-term prospects of recovery in fair value of the security, and (iii) the Company’s intent and ability to retain its investment in the security for a period of time sufficient to allow for any anticipated recovery in fair value. The Company recognizes in earnings and reflects as a reduction in the cost basis of the security the amount of any other-than-temporary impairment related to credit losses or impairments on securities that the Company intends to sell or for which it is more likely than not that the Company will need to sell before recoveries. The amount of the other-than-temporary impairment on debt securities related to other factors is recorded consistent with changes in the fair value of all other available-for-sale securities as a component of condensed consolidated stockholders’ equity in other comprehensive income or loss with no change to the cost basis of the security. Residential Loans Held-For-Investment Residential loans held-for-investment are residential mortgage loans held by consolidated securitization trusts. Residential loans held-for-investment are carried at unpaid principal balance net of any premiums and an allowance for loan losses. The Company expects that it will be required to continue to consolidate the securitization trusts that hold the residential loans. The Company establishes an allowance for residential loan losses based on the Company's estimate of credit losses. The Company calculates expected losses by estimating the default rate and expected loss severities on the loans. The Company considers the following factors in its evaluation of the allowance for loan losses: • Loan-to-value ratios, credit scores, geographic concentration and other observable data; • Historical default rates of loans with similar characteristics; and • Expected future macroeconomic trends including changes in home prices and the unemployment rate. Commercial Loans Held-For-Investment Commercial loans held-for-investment by the Company are carried at cost, net of any allowance for loan losses. An individual loan is considered impaired when it is deemed probable that the Company will not be able to recover its investment and any other anticipated future payments. The Company generally considers the following factors in evaluating whether a commercial loan is impaired: • Loan-to-value ratios; • The most recent financial information available for each loan and associated properties, including net operating income, debt service coverage ratios, occupancy rates, rent rolls, as well as any other factors the Company considers relevant, including, but not limited to, specific loan trigger events that would indicate an adverse change in expected cash flows or payment delinquency; • Economic trends, both macroeconomic as well as those directly affecting the properties associated with the loans, and the supply and demand trends in the market in which the subject property is located; and • The loan sponsor or borrowing entity’s ability to ensure that properties associated with the loan are managed and operated sufficiently. Where an individual commercial loan is deemed to be impaired, the Company records an allowance to reduce the carrying value of the loan to the current present value of expected future cash flows discounted at the loan’s effective interest rate, with a corresponding charge to provision for loan losses on the Company's condensed consolidated statements of operations. Interest Income Recognition Mortgage-Backed Securities Interest income on MBS is accrued based on the outstanding principal balance of the securities and their contractual terms. Premiums or discounts are amortized or accreted into interest income over the life of the investment using the effective interest method. Interest income on the Company's non-Agency RMBS (and other prepayable mortgage-backed securities where the Company may not recover substantially all of its initial investment) is based on estimated cash flows. Management estimates, at the time of purchase, the future expected cash flows and determines the effective interest rate based on these estimated cash flows and the Company’s purchase price. Over the life of the investments, these estimated cash flows are updated and a revised yield is computed based on the current amortized cost of the investment. In estimating these cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate and interest rate fluctuations. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact management’s estimates and the Company's interest income. For Agency RMBS that cannot be prepaid in such a way that the Company would not recover substantially all of its initial investment, interest income recognition is based on contractual cash flows. The Company does not estimate prepayments in applying the effective interest method. Credit Risk Transfer Securities Interest income on credit risk transfer securities is accrued based on the coupon rate of the debt host contract which reflects the credit risk of GSE unsecured senior debt with a similar maturity. Premiums or discounts associated with the purchase of credit risk transfer securities are amortized or accreted into interest income over the life of the debt host contract using the effective interest method. The difference between the coupon rate on the hybrid instrument and the coupon rate on the GSE CRT debt host contract is considered premium income associated with the embedded derivative and is recorded in realized and unrealized credit derivative income (loss), net in the Company’s condensed consolidated statement of operations. Residential Loans The Company recognizes interest income from residential loans on an accrual basis and amortizes the related premiums into interest income using the effective interest method over the weighted average life of these loans. In estimating the weighted average life of these loans, there are a number of assumptions that are subject to estimation, including the rate and timing of principal payments, defaults, loss severity given default and other factors. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status. Interest previously accrued for loans that have been placed on non-accrual status is reversed against interest income in the period the loan is placed in nonaccrual status. Residential loans delinquent more than 90 days or in foreclosure are characterized as delinquent. Cash principal and interest that is advanced from servicers after a loan becomes greater than 90 days past due is recorded as a liability due to the servicer. When a delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternatively, nonaccrual loans may be placed back on accrual status if restructured and after the loan is considered re-performing. A restructured loan is considered re-performing when the loan has been current for at least 12 months . Commercial Loans The Company recognizes interest income from commercial loans when earned and deemed collectible, or until a loan becomes past due based on the terms of the loan agreement. Any related originating fees, net of origination cost are amortized into interest income using the effective interest method over the life of the loan. Interest received after a loan becomes past due or impaired is used to reduce the outstanding loan principal balance. When a delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternately, loans that have been individually impaired may be placed back on accrual status if restructured and after the loan is considered re-performing. A restructured loan is considered re-performing when the loan has been current for at least 12 months . 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 and credit risk transfer 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. Comprehensive Income The Company's comprehensive income consists of net income, as presented in the condensed consolidated statements of operations, adjusted for changes in fair value of MBS classified as available for sale securities; changes in the fair value of the debt host contract associated with GSE CRTs; and amortization of repurchase agreement interest expense resulting from the de-designation of derivatives previously accounted for as cash flow hedges. Unrealized gains and losses on the Company's MBS and the debt host contract associated with GSE CRTs are reclassified into net income upon their sale or termination. Accounting for Derivative Financial Instruments U.S. GAAP provides disclosure requirements for derivatives and hedging activities with the intent to provide users of financial statements with an enhanced understanding of: (i) how and why an entity uses derivative instruments; (ii) how derivative instruments and related hedged items are accounted for; and (iii) how derivative instruments and related hedged items affect an entity’s financial position, financial performance, and cash flows. U.S. GAAP requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about the fair value of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative instruments. The Company records all derivatives on the condensed consolidated balance sheets at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative, whether the Company has elected to designate a derivative in a hedging relationship and apply hedge accounting and whether the hedging relationship has satisfied the criteria necessary to apply hedge accounting. Derivatives designated and qualifying as a hedge of the exposure to changes in the fair value of an asset, liability, or firm commitment attributable to a particular risk, such as interest rate risk, are considered fair value hedges. Derivatives designated and qualifying as a hedge of the exposure to variability in expected future cash flows, or other types of forecasted transactions, are considered cash flow hedges. Derivatives may also be designated as hedges of the foreign currency exposure of a net investment in a foreign operation. Hedge accounting generally provides for the matching of the timing of gain or loss recognition on the hedging instrument with the recognition of the changes in the fair value of the hedged asset or liability that are attributable to the hedged risk in a fair value hedge or the earnings effect of the hedged forecasted transactions in a cash flow hedge. The Company may enter into derivative contracts, such as credit default swaps, that are intended to economically hedge certain of its risks, even though hedge accounting does not apply or the Company elects not to apply hedge accounting under U.S. GAAP. The Company is a party to hybrid financial instruments that contain embedded derivative instruments. At inception, the Company assesses whether the economic characteristics of the embedded derivative instruments are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the debt host contract), whether the financial instrument is remeasured to fair value through earnings and whether a separate instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded instrument possesses economic characteristics that are not clearly and closely related to the economic characteristics of the debt host contract, (2) the financial instrument is not remeasured to fair value through earnings and (3) a separate instrument with the same terms would qualify as a derivative instrument, the embedded instrument qualifies as an embedded derivative that is separated from the debt host contract. The embedded derivative is recorded at fair value, and changes in fair value are recorded in realized and unrealized credit derivative income (loss), net in the Company's condensed consolidated statement of operations. Effective December 31, 2013, the Company voluntarily discontinued hedge accounting for its interest rate swap agreements by de-designating the interest rate swaps as cash flow hedges. No interest rate swaps were terminated in conjunction with this action, and the Company’s risk management and hedging practices were not impacted. However, the Company’s accounting for these transactions changed beginning January 1, 2014. All of the Company’s interest rate swaps had previously been accounted for as cash flow hedges under the applicable guidance. As a result of discontinuing hedge accounting, changes in the fair value of the interest rate swap agreements are recorded in gain (loss) on derivative instruments, net in the Company’s condensed consolidated statements of operations, rather than in accumulated other comprehensive income (loss) (“AOCI”). Also, net interest paid or received under the interest rate swaps, which up through December 31, 2013 was recognized in interest expense, is now recognized in gain (loss) on derivative instruments, net on the Company's condensed consolidated statements of operations. The interest rate swaps continue to be reported as derivative assets or derivative liabilities on the Company’s condensed consolidated balance sheets at their fair value. As long as the forecasted transactions that were being hedged (i.e., rollovers of the Company’s repurchase agreement borrowings) are still expected to occur, the balance in AOCI from the interest rate swap activity up through December 31, 2013 will remain in AOCI and be recognized in the Company’s condensed consolidated statements of operations as interest expense over the remaining term of the interest rate swaps. Refer to Note 8 - "Derivatives and Hedging Activities" for further information. The Company evaluates the terms and conditions of its holdings of swaptions, futures contracts, currency forward contracts and to-be-announced ("TBA") securities to determine if an instrument has the characteristics of an investment or should be considered a derivative under U.S. GAAP. Accordingly swaptions, futures contracts, currency forward contracts and TBAs having the characteristics of derivatives are accounted for at fair value with such changes recognized in gain (loss) on derivative instruments, net in the condensed consolidated statements of operations. The fair value of these swaptions, futures contracts, currency forward contracts and TBAs is included in derivative assets or derivative liabilities on the condensed consolidated balance sheets. 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 and Credit Risk Transfer 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 March 31, 2015 December 31, 2014 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 March 31, 2015 December 31, 2014 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 % 3.70 % 3.69 % 4.96 % 4.73 % 3.44 % Weighted Average Maturity (years) 29.13 28.23 27.70 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 100.0 % The following table presents future contractual minimum annual principal payments of residential loans held-for-investment at March 31, 2015 . $ in thousands Scheduled Principal March 31, 2015 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 March 31, 2015 March 31, 2014 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 . March 31, 2015 December 31, 2014 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 March 31, 2015 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 |
Mortgage-Backed Securities (As
Mortgage-Backed Securities (As Restated) | 3 Months Ended |
Mar. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities (As Restated) | Mortgage-Backed and Credit Risk Transfer Securities (As Restated) The following tables summarize the Company’s MBS and GSE CRT portfolio by asset type as of March 31, 2015 and December 31, 2014 . March 31, 2015 (As Restated) $ in thousands Principal Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Net Weighted Average Coupon (1) Period- end Weighted Average Yield (2) Quarterly Weighted Average Yield (3) 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 25,054 658,054 3,713 661,767 1.02 % 0.50 % 0.50 % 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 (1,619,780 ) 16,871,046 469,549 17,340,595 3.58 % 3.21 % 3.20 % * 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 Agency MBS IOs, 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 weighted average coupon and weighted average yield excludes embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net. (8) CMBS includes commercial real estate mezzanine loan pass-through certificates which represent 1.3% of the balance based on fair value. December 31, 2014 (As Restated) $ in thousands Principal Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Net Weighted Average Coupon (1) Period- end Weighted Average Yield (2) Quarterly Weighted Average Yield (3) Agency RMBS: 15 year fixed-rate 1,236,297 60,764 1,297,061 30,040 1,327,101 4.05 % 2.60 % 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 3.51 % 4.12 % 4.86 % GSE CRT (7) 615,000 25,814 640,814 (15,390 ) 625,424 1.03 % 0.49 % 0.48 % 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 (1,588,068 ) 16,917,642 331,253 17,248,895 3.61 % 3.24 % 3.36 % (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 collateralized mortgage obligation ("Agency CMO") includes Agency MBS IOs, 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 weighted average coupon and weighted yield excludes embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net. (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 March 31, 2015 % of Non-Agency December 31, 2014 % 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 2,947,675 100.0 % 3,061,647 100.0 % 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) March 31, 2015 December 31, 2014 0% - 10% 7.3 % 7.0 % 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 100.0 % 100.0 % (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 and GSE CRT portfolio at March 31, 2015 and December 31, 2014 are presented below. $ in thousands March 31, 2015 December 31, 2014 Principal balance 18,490,826 18,505,710 Unamortized premium 553,290 550,071 Unamortized discount (2,173,070 ) (2,138,139 ) Gross unrealized gains 533,323 439,513 Gross unrealized losses (63,774 ) (108,260 ) Fair value 17,340,595 17,248,895 The following table summarizes the Company’s MBS and GSE CRT portfolio according to estimated weighted average life classifications as of March 31, 2015 and December 31, 2014 . $ in thousands March 31, 2015 December 31, 2014 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 and GSE CRTs 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 Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of 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 (1) 204,279 (11,780 ) 9 — — — 204,279 (11,780 ) 9 CMBS 58,151 (87 ) 7 32,662 (86 ) 2 90,813 (173 ) 9 Total 1,641,577 (23,436 ) 89 1,893,975 (40,338 ) 90 3,535,552 (63,774 ) 179 (1) Balance includes unrealized losses on both the debt host contract and the embedded derivative. December 31, 2014 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of 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 (1) 306,603 (25,394 ) 13 — — — 306,603 (25,394 ) 13 CMBS 134,364 (277 ) 11 227,452 (3,074 ) 19 361,816 (3,351 ) 30 Total 1,854,238 (41,919 ) 111 2,734,465 (66,341 ) 121 4,588,703 (108,260 ) 232 (1) Balance includes unrealized losses on both the debt host contract and the embedded derivative. 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 $39.4 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 and GSE CRT debt host contract on its accumulated other comprehensive income for the three months ended March 31, 2015 and 2014 . The table excludes Agency MBS IOs because unrealized gains and losses on Agency MBS IOs are included in earnings on the condensed consolidated statements of operations. $ in thousands Three Months Ended Three Months Ended Accumulated other comprehensive income from investment securities: Unrealized gain (loss) on MBS and GSE CRT at beginning of period 351,774 (160,083 ) Unrealized gain (loss) on MBS and GSE CRT 125,954 161,697 Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net (2,934 ) 11,718 Balance at the end of period 474,794 13,332 During the three months ended March 31, 2015 and 2014 , the Company reclassified $2.9 million of net unrealized gains and $11.7 million of net unrealized losses, respectively, from other comprehensive income into gain (loss) on investments, net 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 Ended Three Months Ended Gross realized gains on sale of investments 2,964 7,729 Gross realized losses on sale of investments (30 ) (19,447 ) Net unrealized gains and losses on Agency MBS IOs (762 ) (6,054 ) Total gains (loss) on investments, net 2,172 (17,772 ) 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 nine 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 and GSE CRT portfolio for the three months ended March 31, 2015 and 2014 . GSE CRT interest income excludes coupon interest associated with embedded derivatives recorded in realized and unrealized credit derivative income (loss), net. For the three months ended March 31, 2015 (As Restated) $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 94,372 (26,859 ) 67,513 Non-Agency 30,810 658 31,468 GSE CRT (as restated) 1,568 (760 ) 808 CMBS 37,905 (2,428 ) 35,477 Other (1 ) — (1 ) Total 164,654 (29,389 ) 135,265 For the three months ended March 31, 2014 (As Restated) $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 105,483 (23,664 ) 81,819 Non-Agency 35,555 1,531 37,086 GSE CRT (as restated) 1,178 (732 ) 446 CMBS 38,612 (9,661 ) 28,951 Other 103 — 103 Total 180,931 (32,526 ) 148,405 |
Commercial Loans Held-for-Inves
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 loans Principal Balance Unamortized (fees)/ costs, net Carrying value Unfunded 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 loans Principal Balance Unamortized (fees)/ costs, net Carrying value Unfunded 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 March 31, 2015 December 31, 2014 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 March 31, 2015 December 31, 2014 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 0.40 % 3,071 1,250,000 0.37 % 3,472 Exchangeable Senior Notes 400,000 5.00 % 1,081 400,000 5.00 % 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 . March 31, 2015 $ in thousands Repurchase Agreement Counterparties Amount Outstanding Percent of Total Amount Outstanding Company MBS and GSE CRTs Held as Collateral 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 7.0 % 976,970 Industrial and Commercial Bank of China Financial Services LLC 717,869 5.4 % 757,589 Banc of America Securities LLC 662,641 5.0 % 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 4.0 % 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 13,333,081 100.0 % 14,847,249 (1) Includes $270.8 million of MBS held as collateral which are eliminated in consolidation. $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. December 31, 2014 $ in thousands Repurchase Agreement Counterparties Amount Outstanding Percent of Total Amount Outstanding Company MBS and GSE CRTs Held as Collateral 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 5.0 % 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 3.0 % 430,241 All other counterparties (4) 957,760 7.1 % 1,071,019 Total 13,622,677 100.0 % 15,260,264 (1) Includes $276.1 million of MBS held as collateral which are eliminated in consolidation. $20.3 million of MBS held as collateral which are eliminated in consolidation. $106.8 million of MBS held as collateral which are eliminated in consolidation. ten counterparties. Company MBS and GSE CRTs 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 and GSE CRTs 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 Activit
Derivatives and Hedging Activities (As Restated) | 3 Months Ended |
Mar. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities (As Restated) | 6 Months 1,485 795 10.0 300,000 3M Libor 1.11 % 10.0 Total Receiver 1,485 795 10.0 300,000 3M Libor 1.11 % 10.0 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 of January 1, 2015 Additions Settlement, Termination, Expiration or Exercise Notional Amount as of March 31, 2015 Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) for the three months ended March 31, 2015 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 Derivative Assets Derivative Liabilities As of March 31, 2015 As of December 31, 2014 As of March 31, 2015 As of December 31, 2014 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value 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 Embedded derivatives associated with GSE CRTs are recorded within mortgage-backed and credit risk transfer securities, at fair value, on the consolidated balance sheets. The fair value of the embedded derivative associated with GSE CRTs is a net liability of $5.5 million as of March 31, 2015 (December 31, 2014: $21.5 million net liability). 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 type for cash flow hedge Amount of gain (loss) recognized in OCI on derivative (effective portion) Location of gain (loss) reclassified from accumulated OCI into income (effective portion) Amount of gain (loss) reclassified from accumulated OCI into income (effective portion) Location of gain (loss) recognized in income on derivative (ineffective portion) Amount of gain (loss) recognized in income on derivative (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 type for cash flow hedge Amount of gain (loss) recognized in OCI on derivative (effective portion) Location of gain (loss) reclassified from accumulated OCI into income (effective portion) Amount of gain (loss) reclassified from accumulated OCI into income (effective portion) Location of gain (loss) recognized in income on derivative (ineffective portion) Amount of gain (loss) recognized in income on derivative (ineffective portion) Interest Rate Swaps — Interest Expense, Repurchase Agreements (21,296 ) Gain (loss) on derivative instruments, net — $ in thousands Derivative not designated as hedging instrument Location of unrealized gain (loss) recognized in income on derivative Three Months Ended Three Months Ended CDS Contract Realized and unrealized credit derivative income (loss), net (62 ) (47 ) GSE CRT Embedded Derivatives Realized and unrealized credit derivative income (loss), net 16,038 13,961 Total 15,976 13,914 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 not designated as hedging instrument Realized gain (loss) on settlement, termination, expiration or exercise, net Contractual interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net 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 not designated as hedging instrument Realized gain (loss) on settlement, termination, expiration or exercise, net Contractual interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net 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 ." id="sjs-B4">Derivatives and Hedging Activities (As Restated) Credit Derivatives (As Restated) As discussed in Note 2 - "Summary of Significant Accounting Policies," the Company's GSE CRTs are accounted for as hybrid financial instruments with an embedded derivative. At March 31, 2015 and December 31, 2014 , terms of these GSE CRT embedded derivatives are: $ in thousands March 31, 2015 December 31, 2014 Fair value amount (5,457 ) (21,495 ) Notional amount 633,000 615,000 Maximum potential amount of future undiscounted payments 633,000 615,000 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 thousands March 31, 2015 December 31, 2014 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 Counterparty Notional Maturity Date Fixed Interest Rate in Contract Morgan Stanley Capital Services, LLC 300,000 1/24/2016 2.12 % The Bank of New York Mellon 300,000 1/24/2016 2.13 % Morgan Stanley Capital Services, LLC 300,000 4/5/2016 2.48 % Credit Suisse International 500,000 4/15/2016 2.27 % The Bank of New York Mellon 500,000 4/15/2016 2.24 % JPMorgan Chase Bank, N.A. 500,000 5/16/2016 2.31 % Goldman Sachs Bank USA 500,000 5/24/2016 2.34 % Goldman Sachs Bank USA 250,000 6/15/2016 2.67 % Wells Fargo Bank, N.A. 250,000 6/15/2016 2.67 % JPMorgan Chase Bank, N.A. 500,000 6/24/2016 2.51 % Citibank, N.A. 500,000 10/15/2016 1.93 % Deutsche Bank AG 150,000 2/5/2018 2.90 % ING Capital Markets LLC 350,000 2/24/2018 0.95 % ING Capital Markets LLC 300,000 5/5/2018 0.79 % UBS AG 500,000 5/24/2018 1.10 % ING Capital Markets LLC 400,000 6/5/2018 0.87 % The Royal Bank of Scotland Plc 500,000 9/5/2018 1.04 % Citibank, N.A. CME Clearing House (1 ) 300,000 2/5/2021 2.50 % The Royal Bank of Scotland Plc CME Clearing House (1 ) 300,000 2/5/2021 2.69 % Wells Fargo Bank, N.A. 200,000 3/15/2021 3.14 % Citibank, N.A. 200,000 5/25/2021 2.83 % HSBC Bank USA, National Association 550,000 2/24/2022 2.45 % HSBC Bank USA, National Association 250,000 6/5/2023 1.91 % The Royal Bank of Scotland Plc 500,000 8/15/2023 1.98 % Goldman Sachs Bank USA CME Clearing House 600,000 8/24/2023 2.88 % UBS AG 250,000 11/15/2023 2.23 % HSBC Bank USA, National Association 500,000 12/15/2023 2.20 % Morgan Stanley Capital Services, LLC 100,000 4/2/2025 2.04 % Total 10,350,000 2.10 % (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 total mortgage-backed and credit risk transfer 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 10.0 300,000 3M Libor 1.11 % 10.0 Total Receiver 1,485 795 10.0 300,000 3M Libor 1.11 % 10.0 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 of January 1, 2015 Additions Settlement, Termination, Expiration or Exercise Notional Amount as of March 31, 2015 Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) for the three months ended March 31, 2015 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 Derivative Assets Derivative Liabilities As of March 31, 2015 As of December 31, 2014 As of March 31, 2015 As of December 31, 2014 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value 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 Embedded derivatives associated with GSE CRTs are recorded within mortgage-backed and credit risk transfer securities, at fair value, on the consolidated balance sheets. The fair value of the embedded derivative associated with GSE CRTs is a net liability of $5.5 million as of March 31, 2015 (December 31, 2014: $21.5 million net liability). 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 type for cash flow hedge Amount of gain (loss) recognized in OCI on derivative (effective portion) Location of gain (loss) reclassified from accumulated OCI into income (effective portion) Amount of gain (loss) reclassified from accumulated OCI into income (effective portion) Location of gain (loss) recognized in income on derivative (ineffective portion) Amount of gain (loss) recognized in income on derivative (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 type for cash flow hedge Amount of gain (loss) recognized in OCI on derivative (effective portion) Location of gain (loss) reclassified from accumulated OCI into income (effective portion) Amount of gain (loss) reclassified from accumulated OCI into income (effective portion) Location of gain (loss) recognized in income on derivative (ineffective portion) Amount of gain (loss) recognized in income on derivative (ineffective portion) Interest Rate Swaps — Interest Expense, Repurchase Agreements (21,296 ) Gain (loss) on derivative instruments, net — $ in thousands Derivative not designated as hedging instrument Location of unrealized gain (loss) recognized in income on derivative Three Months Ended Three Months Ended CDS Contract Realized and unrealized credit derivative income (loss), net (62 ) (47 ) GSE CRT Embedded Derivatives Realized and unrealized credit derivative income (loss), net 16,038 13,961 Total 15,976 13,914 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 not designated as hedging instrument Realized gain (loss) on settlement, termination, expiration or exercise, net Contractual interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net 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 not designated as hedging instrument Realized gain (loss) on settlement, termination, expiration or exercise, net Contractual interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net 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 Liabiliti
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 arrangements (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 Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments (1) Collateral Received (4) Net Amount 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 Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2)(3)(5) Collateral Posted (2)(4)(5) Net Amount 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 Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Financial Instruments (1) Collateral Received (4) Net Amount 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 Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities presented in the Consolidated Balance Sheets Financial Instruments (2)(3) Collateral Posted (2)(4) Net Amount 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 no t 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 Instrum
Fair Value of Financial Instruments (As Restated) | 3 Months Ended |
Mar. 31, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments (As Restated) | Fair Value of Financial Instruments (As Restated) 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. March 31, 2015 (As Restated) Fair Value Measurements Using: Total at Level 1 Level 2 Level 3 Fair Value Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 17,346,052 (5,457 ) 17,340,595 Derivative assets — 6,372 334 6,706 Total assets — 17,352,424 (5,123 ) 17,347,301 Liabilities: Derivative liabilities — 290,852 — 290,852 Total liabilities — 290,852 — 290,852 December 31, 2014 (As Restated) Fair Value Measurements Using: Total at $ in thousands Level 1 Level 2 Level 3 Fair Value Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 17,270,390 (21,495 ) 17,248,895 Derivative assets 89 23,693 396 24,178 Total assets 89 17,294,083 (21,099 ) 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 and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) As discussed in Note 2 " Summary of Significant Accounting Policies", the Company's GSE CRTs are accounted for as hybrid financial instruments with an embedded derivative. The hybrid instruments contain debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of March 31, 2015 , the net embedded derivative liability position of $5.5 million includes $5.4 million of embedded derivatives in an asset position and $10.8 million of embedded derivatives in a liability position. As of December 31, 2014 , the net embedded derivative liability position of $21.5 million includes $3.1 million of embedded derivatives in an asset position and $24.6 million of embedded derivatives in a liability position. The following table shows a reconciliation of the beginning and ending fair value measurements of the Company's GSE CRT embedded derivatives which the Company has valued utilizing Level 3 inputs: $ in thousands March 31, 2015 December 31, 2014 Beginning balance (21,495 ) — Sales and settlements 792 — Total net gains/(losses) included in net income: Realized gains/(losses), net (792 ) — Unrealized gains/(losses), net 16,038 (21,495 ) Ending balance (5,457 ) (21,495 ) The following tables summarizes significant unobservable inputs used in the fair value measurement of the Company's GSE CRT embedded derivatives: Fair Value at Valuation Unobservable Weighted $ in thousands March 31, 2015 Technique Input Range Average GSE CRT Embedded derivatives (5,457 ) Market Comparables Prepayment Rate 5.52% - 18.57% 7.39 % Vendor Pricing Default Rate 0.13% - 0.42% 0.19 % Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2014 Technique Input Range Average GSE CRT Embedded derivatives (21,495 ) Market Comparables Prepayment Rate 4.46% - 8.98% 5.29 % Vendor Pricing Default Rate 0.12% - 0.37% 0.18 % These significant unobservable inputs change according to market conditions and security performance. Prepayment rate and default rate are used to estimate the maturity of GSE CRTs in order to identify GSE corporate debt with a similar maturity. Therefore, changes in prepayment rate and default rate do not have an explicit directional impact on the fair value measurement. 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 March 31, 2015 December 31, 2014 Beginning balance 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 March 31, 2015 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 December 31, 2014 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 : March 31, 2015 December 31, 2014 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated 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 $ 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 its non-executive 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 (As R
Earnings per Common Share (As Restated) | 3 Months Ended |
Mar. 31, 2015 | |
Earnings Per Share [Abstract] | |
Earnings per Common Share (As Restated) | Earnings per Common Share (As Restated) Earnings per share for the three months ended March 31, 2015 and 2014 is computed as follows: Three Months Ended $ and share amounts in thousands 2015 2014 Numerator (Income) Basic Earnings Net income (loss) available to common stockholders (17,440 ) (66,759 ) Effect of dilutive securities: Income allocated to exchangeable senior notes — — Loss allocated to non-controlling interest (136 ) (733 ) Dilutive net income (loss) available to stockholders (17,576 ) (67,492 ) 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. |
Non-controlling Interest-Operat
Non-controlling Interest-Operating Partnership (As Restated) | 3 Months Ended |
Mar. 31, 2015 | |
Noncontrolling Interest [Abstract] | |
Non-controlling Interest-Operating Partnership (As Restated) | Non-controlling Interest—Operating Partnership (As Restated) 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 net income (loss) 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, $ in thousands 2015 2014 Net income (loss) allocated (136 ) (733 ) 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. |
Restatement of Previously Issue
Restatement of Previously Issued Financial Statements | 3 Months Ended |
Mar. 31, 2015 | |
Accounting Changes and Error Corrections [Abstract] | |
Restatement of Previously Issued Financial Statements | Restatement of Previously Issued Financial Statements In connection with the preparation of our consolidated financial statements for the fiscal quarter ended June 30, 2015, the Company determined it had been incorrectly applying the GAAP guidance in ASC 320 - Investments - Debt and Equity Securities , as the basis for recognition, measurement and presentation for its investments in GSE CRTs and Agency MBS IOs. Prior to the second quarter of 2015, the GSE CRTs and Agency MBS IOs were reported at fair value on the balance sheet based on valuations provided by a third party pricing service, changes in fair value were recorded as other comprehensive income in stockholders’ equity and the interest income associated with the GSE CRTs was recorded as interest income. The Company should have applied the guidance in ASC 815 - Derivatives and Hedging to account for the GSE CRTs and Agency MBS IOs. These securities meet the definition of a hybrid financial instrument and meet the criteria in ASC 815 requiring bifurcation of an embedded derivative from a host contract. The Company has bifurcated the GSE CRT embedded derivative from its host contract and recorded changes in the fair value of the embedded derivative in the consolidated statement of operations. Changes in the fair value of the GSE CRT debt host contract continue to be recorded as other comprehensive income in stockholders' equity. The difference between the coupon rate on the GSE CRT and the coupon rate on the GSE CRT debt host contract is considered premium income associated with the embedded derivative and is recorded in realized and unrealized credit derivative income (loss), net in the Company's consolidated statement of operations. The Company has determined that the Agency MBS IOs embedded derivative cannot be reliably valued as a stand-alone instrument and therefore recorded the entire Agency MBS IOs change in fair value in the consolidated statement of operations in accordance with ASC 815. The Company determined these errors had a material effect on its previously issued financial statements. The Company is restating its previously issued condensed consolidated balance sheets as of March 31, 2015 and 2014 and condensed consolidated statements of operations, condensed consolidated statements of comprehensive income (loss), condensed consolidated statements of equity and condensed consolidated statements of cash flows for the three months ended March 31, 2015 and 2014, along with certain related notes (the "Restatement"). The tables below illustrate the impact of the Restatement on the Company's condensed financial statements, each as compared with the amounts presented in the original Quarterly Report on Form 10-Q previously filed with the Securities and Exchange Commission. The following table represents a summary of the as previously reported balances, adjustments and restated balances on the condensed consolidated balance sheet by financial statement line item as of March 31, 2015 : As of March 31, 2015 In thousands As Reported Adjustment (1) As Restated Accumulated other comprehensive income 560,358 4,773 565,131 Retained earnings (distributions in excess of earnings) (700,930 ) (4,773 ) (705,703 ) (1) Includes $5.0 million of unrealized loss resulting from GSE CRTs and $0.2 million of unrealized gains resulting from Agency MBS IOs. The following table represents a summary of the as previously reported balances, adjustments and restated balances on the condensed consolidated statement of operations by financial statement line item for the three months ended March 31, 2015 : Three Months Ended March 31, 2015 In thousands As Reported Adjustment As Restated Interest Income: Mortgage-backed and credit risk transfer securities 141,018 (5,753 ) 135,265 Other income (loss): Gain (loss) on investments, net 2,142 30 2,172 Realized and unrealized credit derivative income (loss), net 203 21,159 21,362 Net income (loss) (27,296 ) 15,436 (11,860 ) Net income (loss) attributable to non-controlling interest (312 ) 176 (136 ) Net income (loss) attributable to Invesco Mortgage Capital, Inc. (26,984 ) 15,260 (11,724 ) Net income (loss) attributable to common stockholders (32,700 ) 15,260 (17,440 ) Earnings per share: Basic (0.27 ) 0.13 (0.14 ) Diluted (0.27 ) 0.13 (0.14 ) The following table represents a summary of the as previously reported balances, adjustments and restated balances on the condensed consolidated statement of comprehensive income by financial statement line item for the three months ended March 31, 2015 : Three Months Ended March 31, 2015 In thousands As Reported Adjustment As Restated Net income (loss) (27,296 ) 15,436 (11,860 ) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities 140,598 (14,644 ) 125,954 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net (2,142 ) (792 ) (2,934 ) Total Other comprehensive income (loss) 157,601 (15,436 ) 142,165 Comprehensive income 130,305 — 130,305 Comprehensive income attributable to non-controlling interest (1,490 ) — (1,490 ) Comprehensive income attributable to common stockholders 123,099 — 123,099 The following table represents a summary of the as previously reported balances, adjustments and restated balances on the condensed consolidated statement of equity by financial statement line item for the three months ended March 31, 2015 : Three Months Ended March 31, 2015 In thousands As Reported Adjustment As Restated Net income (loss) (27,296 ) 15,436 (11,860 ) Other comprehensive income (loss) 157,601 (15,436 ) 142,165 The following table represents a summary of the as previously reported balances and restated balances on the condensed consolidated statement of cash flows by financial statement line item for the three months ended March 31, 2015 : Three Months Ended March 31, 2015 In thousands As Reported Adjustment As Restated Cash Flows from Operating Activities Net income (loss) (27,296 ) 15,436 (11,860 ) Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net 29,549 (160 ) 29,389 Unrealized (gain) loss on credit derivatives, net 62 (16,038 ) (15,976 ) (Gain) loss on sale of mortgage-backed securities and credit risk transfer securities, net (2,142 ) (30 ) (2,172 ) Realized (gain) loss on credit derivatives, net — 792 792 Non-cash Investing and Financing Activities Information Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities 138,456 (15,436 ) 123,020 |
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 Accoun25
Summary of Significant Accounting Policies (As Restated) (Policies) | 3 Months Ended |
Mar. 31, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation and Consolidation The Company filed Amendment No. 1 to its Annual Report on Form 10-K/A on August 17, 2015 ("Form 10-K/A"). Certain disclosures included in the Company’s Form 10-K/A 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/A should be read in conjunction with the Company’s Annual Report on Form 10-K/A 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. Refer to Note 3 - "Variable Interest Entities" for additional information regarding the impact of consolidation of securitization trusts. |
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 and credit risk transfer securities, allowance for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates. |
Mortgage-Backed and Credit Risk Transfer Securities | Mortgage-Backed and Credit Risk Transfer Securities All of the Company’s mortgage-backed securities ("MBS") except for Agency interest-only securities ("Agency MBS IOs"), are classified as available-for-sale and reported at fair value. Fair value 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, discounted cash flow analysis, matrix pricing, option adjusted spread models and other fundamental analysis of observable market factors. The Company records its purchases of mortgage-backed and credit risk transfer securities on the trade date. Although the Company generally intends to hold most of its mortgage-backed and credit risk transfer securities until maturity, the Company may, from time to time, sell any of its mortgage-backed and credit risk transfer securities as part of its overall management of its investment portfolio. Unrealized gains or losses on all MBS, except for Agency MBS IOs, are recorded in accumulated other comprehensive income, a separate component of stockholders' equity, until sale or disposition of the investment. Upon sale or disposition, the cumulative gain or loss previously reported in stockholders' equity is recognized in income. Realized gains and losses from sales of MBS are determined based upon the specific identification method. Agency MBS IOs are hybrid financial instruments that contain embedded derivatives. Agency MBS IOs are carried at fair value on the Company's balance sheet with changes in fair value recognized in the Company's condensed consolidated statement of operations because the embedded interest derivative in Agency MBS IOs cannot be reliably measured. GSE CRTs are unsecured obligations of Fannie Mae and Freddie Mac. Coupon payments on the securities are based on LIBOR and principal payments are based on prepayments and defined credit events in a reference pool of mortgage loans that collateralize Agency RMBS. GSE CRTs are accounted for as hybrid financial instruments consisting of a debt host contract and an embedded derivative. GSE CRTs are measured at fair value. Unrealized gains or losses arising from changes in fair value of the debt host contract, excluding other-than-temporary impairment, are recognized in accumulated other comprehensive income, a separate component of stockholders’ equity, until sale or disposition of the investment. Upon sale or disposition of the debt host contract, the cumulative gain or loss previously reported as a separate component of stockholders’ equity is recognized in income. Realized gains and losses from sales of GSE CRTs are determined based upon the specific identification method. Realized and unrealized gains or losses arising from changes in fair value of the embedded derivative are recognized in realized and unrealized credit derivative income (loss), net in the Company’s condensed consolidated statement of operations. The Company considers its portfolio of Agency RMBS to be of high credit quality under applicable accounting guidance. For non-Agency RMBS, GSE CRTs and CMBS, the Company does not rely on ratings from third party agencies to determine the credit quality of the investment. The Company uses internal models that analyze the loans underlying each security and evaluates factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration to estimate the expected future cash flows. The Company places reliance on these internal models in determining credit quality. While non-Agency RMBS, GSE CRTs and CMBS with expected future losses would generally be purchased at a discount to par, the potential for a significant adverse change in expected cash flows remains. The Company therefore evaluates each security for other-than-temporary impairment at least quarterly. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. Consideration is given to (i) the length of time and the extent to which the fair value has been less than amortized cost, (ii) the financial condition and near-term prospects of recovery in fair value of the security, and (iii) the Company’s intent and ability to retain its investment in the security for a period of time sufficient to allow for any anticipated recovery in fair value. The Company recognizes in earnings and reflects as a reduction in the cost basis of the security the amount of any other-than-temporary impairment related to credit losses or impairments on securities that the Company intends to sell or for which it is more likely than not that the Company will need to sell before recoveries. The amount of the other-than-temporary impairment on debt securities related to other factors is recorded consistent with changes in the fair value of all other available-for-sale securities as a component of condensed consolidated stockholders’ equity in other comprehensive income or loss with no change to the cost basis of the security. |
Residential and Commercial Loans Held-For-Investment | Residential Loans Held-For-Investment Residential loans held-for-investment are residential mortgage loans held by consolidated securitization trusts. Residential loans held-for-investment are carried at unpaid principal balance net of any premiums and an allowance for loan losses. The Company expects that it will be required to continue to consolidate the securitization trusts that hold the residential loans. The Company establishes an allowance for residential loan losses based on the Company's estimate of credit losses. The Company calculates expected losses by estimating the default rate and expected loss severities on the loans. The Company considers the following factors in its evaluation of the allowance for loan losses: • Loan-to-value ratios, credit scores, geographic concentration and other observable data; • Historical default rates of loans with similar characteristics; and • Expected future macroeconomic trends including changes in home prices and the unemployment rate. Commercial Loans Held-For-Investment Commercial loans held-for-investment by the Company are carried at cost, net of any allowance for loan losses. An individual loan is considered impaired when it is deemed probable that the Company will not be able to recover its investment and any other anticipated future payments. The Company generally considers the following factors in evaluating whether a commercial loan is impaired: • Loan-to-value ratios; • The most recent financial information available for each loan and associated properties, including net operating income, debt service coverage ratios, occupancy rates, rent rolls, as well as any other factors the Company considers relevant, including, but not limited to, specific loan trigger events that would indicate an adverse change in expected cash flows or payment delinquency; • Economic trends, both macroeconomic as well as those directly affecting the properties associated with the loans, and the supply and demand trends in the market in which the subject property is located; and • The loan sponsor or borrowing entity’s ability to ensure that properties associated with the loan are managed and operated sufficiently. Where an individual commercial loan is deemed to be impaired, the Company records an allowance to reduce the carrying value of the loan to the current present value of expected future cash flows discounted at the loan’s effective interest rate, with a corresponding charge to provision for loan losses on the Company's condensed consolidated statements of operations. |
Interest Income Recognition | Interest Income Recognition Mortgage-Backed Securities Interest income on MBS is accrued based on the outstanding principal balance of the securities and their contractual terms. Premiums or discounts are amortized or accreted into interest income over the life of the investment using the effective interest method. Interest income on the Company's non-Agency RMBS (and other prepayable mortgage-backed securities where the Company may not recover substantially all of its initial investment) is based on estimated cash flows. Management estimates, at the time of purchase, the future expected cash flows and determines the effective interest rate based on these estimated cash flows and the Company’s purchase price. Over the life of the investments, these estimated cash flows are updated and a revised yield is computed based on the current amortized cost of the investment. In estimating these cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate and interest rate fluctuations. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact management’s estimates and the Company's interest income. For Agency RMBS that cannot be prepaid in such a way that the Company would not recover substantially all of its initial investment, interest income recognition is based on contractual cash flows. The Company does not estimate prepayments in applying the effective interest method. Credit Risk Transfer Securities Interest income on credit risk transfer securities is accrued based on the coupon rate of the debt host contract which reflects the credit risk of GSE unsecured senior debt with a similar maturity. Premiums or discounts associated with the purchase of credit risk transfer securities are amortized or accreted into interest income over the life of the debt host contract using the effective interest method. The difference between the coupon rate on the hybrid instrument and the coupon rate on the GSE CRT debt host contract is considered premium income associated with the embedded derivative and is recorded in realized and unrealized credit derivative income (loss), net in the Company’s condensed consolidated statement of operations. Residential Loans The Company recognizes interest income from residential loans on an accrual basis and amortizes the related premiums into interest income using the effective interest method over the weighted average life of these loans. In estimating the weighted average life of these loans, there are a number of assumptions that are subject to estimation, including the rate and timing of principal payments, defaults, loss severity given default and other factors. Coupon interest is recognized as revenue when earned and deemed collectible or until a loan becomes more than 90 days past due, at which point the loan is placed on nonaccrual status. Interest previously accrued for loans that have been placed on non-accrual status is reversed against interest income in the period the loan is placed in nonaccrual status. Residential loans delinquent more than 90 days or in foreclosure are characterized as delinquent. Cash principal and interest that is advanced from servicers after a loan becomes greater than 90 days past due is recorded as a liability due to the servicer. When a delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternatively, nonaccrual loans may be placed back on accrual status if restructured and after the loan is considered re-performing. A restructured loan is considered re-performing when the loan has been current for at least 12 months . Commercial Loans The Company recognizes interest income from commercial loans when earned and deemed collectible, or until a loan becomes past due based on the terms of the loan agreement. Any related originating fees, net of origination cost are amortized into interest income using the effective interest method over the life of the loan. Interest received after a loan becomes past due or impaired is used to reduce the outstanding loan principal balance. When a delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternately, loans that have been individually impaired may be placed back on accrual status if restructured and after the loan is considered re-performing. A restructured loan is considered re-performing when the loan has been current for at least 12 months . |
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 and credit risk transfer 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. |
Comprehensive Income | Comprehensive Income The Company's comprehensive income consists of net income, as presented in the condensed consolidated statements of operations, adjusted for changes in fair value of MBS classified as available for sale securities; changes in the fair value of the debt host contract associated with GSE CRTs; and amortization of repurchase agreement interest expense resulting from the de-designation of derivatives previously accounted for as cash flow hedges. Unrealized gains and losses on the Company's MBS and the debt host contract associated with GSE CRTs are reclassified into net income upon their sale or termination. |
Accounting for Derivatives Financial Instruments | Accounting for Derivative Financial Instruments U.S. GAAP provides disclosure requirements for derivatives and hedging activities with the intent to provide users of financial statements with an enhanced understanding of: (i) how and why an entity uses derivative instruments; (ii) how derivative instruments and related hedged items are accounted for; and (iii) how derivative instruments and related hedged items affect an entity’s financial position, financial performance, and cash flows. U.S. GAAP requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about the fair value of and gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative instruments. The Company records all derivatives on the condensed consolidated balance sheets at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative, whether the Company has elected to designate a derivative in a hedging relationship and apply hedge accounting and whether the hedging relationship has satisfied the criteria necessary to apply hedge accounting. Derivatives designated and qualifying as a hedge of the exposure to changes in the fair value of an asset, liability, or firm commitment attributable to a particular risk, such as interest rate risk, are considered fair value hedges. Derivatives designated and qualifying as a hedge of the exposure to variability in expected future cash flows, or other types of forecasted transactions, are considered cash flow hedges. Derivatives may also be designated as hedges of the foreign currency exposure of a net investment in a foreign operation. Hedge accounting generally provides for the matching of the timing of gain or loss recognition on the hedging instrument with the recognition of the changes in the fair value of the hedged asset or liability that are attributable to the hedged risk in a fair value hedge or the earnings effect of the hedged forecasted transactions in a cash flow hedge. The Company may enter into derivative contracts, such as credit default swaps, that are intended to economically hedge certain of its risks, even though hedge accounting does not apply or the Company elects not to apply hedge accounting under U.S. GAAP. The Company is a party to hybrid financial instruments that contain embedded derivative instruments. At inception, the Company assesses whether the economic characteristics of the embedded derivative instruments are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the debt host contract), whether the financial instrument is remeasured to fair value through earnings and whether a separate instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded instrument possesses economic characteristics that are not clearly and closely related to the economic characteristics of the debt host contract, (2) the financial instrument is not remeasured to fair value through earnings and (3) a separate instrument with the same terms would qualify as a derivative instrument, the embedded instrument qualifies as an embedded derivative that is separated from the debt host contract. The embedded derivative is recorded at fair value, and changes in fair value are recorded in realized and unrealized credit derivative income (loss), net in the Company's condensed consolidated statement of operations. Effective December 31, 2013, the Company voluntarily discontinued hedge accounting for its interest rate swap agreements by de-designating the interest rate swaps as cash flow hedges. No interest rate swaps were terminated in conjunction with this action, and the Company’s risk management and hedging practices were not impacted. However, the Company’s accounting for these transactions changed beginning January 1, 2014. All of the Company’s interest rate swaps had previously been accounted for as cash flow hedges under the applicable guidance. As a result of discontinuing hedge accounting, changes in the fair value of the interest rate swap agreements are recorded in gain (loss) on derivative instruments, net in the Company’s condensed consolidated statements of operations, rather than in accumulated other comprehensive income (loss) (“AOCI”). Also, net interest paid or received under the interest rate swaps, which up through December 31, 2013 was recognized in interest expense, is now recognized in gain (loss) on derivative instruments, net on the Company's condensed consolidated statements of operations. The interest rate swaps continue to be reported as derivative assets or derivative liabilities on the Company’s condensed consolidated balance sheets at their fair value. As long as the forecasted transactions that were being hedged (i.e., rollovers of the Company’s repurchase agreement borrowings) are still expected to occur, the balance in AOCI from the interest rate swap activity up through December 31, 2013 will remain in AOCI and be recognized in the Company’s condensed consolidated statements of operations as interest expense over the remaining term of the interest rate swaps. Refer to Note 8 - "Derivatives and Hedging Activities" for further information. The Company evaluates the terms and conditions of its holdings of swaptions, futures contracts, currency forward contracts and to-be-announced ("TBA") securities to determine if an instrument has the characteristics of an investment or should be considered a derivative under U.S. GAAP. Accordingly swaptions, futures contracts, currency forward contracts and TBAs having the characteristics of derivatives are accounted for at fair value with such changes recognized in gain (loss) on derivative instruments, net in the condensed consolidated statements of operations. The fair value of these swaptions, futures contracts, currency forward contracts and TBAs is included in derivative assets or derivative liabilities on the condensed consolidated balance sheets. |
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 March 31, 2015 December 31, 2014 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 March 31, 2015 December 31, 2014 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 % 3.70 % 3.69 % 4.96 % 4.73 % 3.44 % Weighted Average Maturity (years) 29.13 28.23 27.70 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 100.0 % |
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 March 31, 2015 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 March 31, 2015 March 31, 2014 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 . March 31, 2015 December 31, 2014 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 March 31, 2015 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 |
Mortgage-Backed Securities (A27
Mortgage-Backed Securities (As Restated) (Tables) | 3 Months Ended |
Mar. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Investment Portfolio | The components of the carrying value of the Company’s MBS and GSE CRT portfolio at March 31, 2015 and December 31, 2014 are presented below. $ in thousands March 31, 2015 December 31, 2014 Principal balance 18,490,826 18,505,710 Unamortized premium 553,290 550,071 Unamortized discount (2,173,070 ) (2,138,139 ) Gross unrealized gains 533,323 439,513 Gross unrealized losses (63,774 ) (108,260 ) Fair value 17,340,595 17,248,895 The following tables summarize the Company’s MBS and GSE CRT portfolio by asset type as of March 31, 2015 and December 31, 2014 . March 31, 2015 (As Restated) $ in thousands Principal Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Net Weighted Average Coupon (1) Period- end Weighted Average Yield (2) Quarterly Weighted Average Yield (3) 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 25,054 658,054 3,713 661,767 1.02 % 0.50 % 0.50 % 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 (1,619,780 ) 16,871,046 469,549 17,340,595 3.58 % 3.21 % 3.20 % * 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 Agency MBS IOs, 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 weighted average coupon and weighted average yield excludes embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net. (8) CMBS includes commercial real estate mezzanine loan pass-through certificates which represent 1.3% of the balance based on fair value. December 31, 2014 (As Restated) $ in thousands Principal Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Net Weighted Average Coupon (1) Period- end Weighted Average Yield (2) Quarterly Weighted Average Yield (3) Agency RMBS: 15 year fixed-rate 1,236,297 60,764 1,297,061 30,040 1,327,101 4.05 % 2.60 % 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 3.51 % 4.12 % 4.86 % GSE CRT (7) 615,000 25,814 640,814 (15,390 ) 625,424 1.03 % 0.49 % 0.48 % 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 (1,588,068 ) 16,917,642 331,253 17,248,895 3.61 % 3.24 % 3.36 % (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 collateralized mortgage obligation ("Agency CMO") includes Agency MBS IOs, 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 weighted average coupon and weighted yield excludes embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net. (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 March 31, 2015 % of Non-Agency December 31, 2014 % 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 2,947,675 100.0 % 3,061,647 100.0 % |
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) March 31, 2015 December 31, 2014 0% - 10% 7.3 % 7.0 % 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 100.0 % 100.0 % (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. |
Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification | The following table summarizes the Company’s MBS and GSE CRT portfolio according to estimated weighted average life classifications as of March 31, 2015 and December 31, 2014 . $ in thousands March 31, 2015 December 31, 2014 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 and GSE CRTs 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 Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of 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 (1) 204,279 (11,780 ) 9 — — — 204,279 (11,780 ) 9 CMBS 58,151 (87 ) 7 32,662 (86 ) 2 90,813 (173 ) 9 Total 1,641,577 (23,436 ) 89 1,893,975 (40,338 ) 90 3,535,552 (63,774 ) 179 (1) Balance includes unrealized losses on both the debt host contract and the embedded derivative. December 31, 2014 Less than 12 Months 12 Months or More Total $ in thousands Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of 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 (1) 306,603 (25,394 ) 13 — — — 306,603 (25,394 ) 13 CMBS 134,364 (277 ) 11 227,452 (3,074 ) 19 361,816 (3,351 ) 30 Total 1,854,238 (41,919 ) 111 2,734,465 (66,341 ) 121 4,588,703 (108,260 ) 232 (1) Balance includes unrealized losses on both the debt host contract and the embedded derivative. |
Impact of MBS on Accumulated Other Comprehensive Income | The following table presents the impact of the Company’s MBS and GSE CRT debt host contract on its accumulated other comprehensive income for the three months ended March 31, 2015 and 2014 . The table excludes Agency MBS IOs because unrealized gains and losses on Agency MBS IOs are included in earnings on the condensed consolidated statements of operations. $ in thousands Three Months Ended Three Months Ended Accumulated other comprehensive income from investment securities: Unrealized gain (loss) on MBS and GSE CRT at beginning of period 351,774 (160,083 ) Unrealized gain (loss) on MBS and GSE CRT 125,954 161,697 Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net (2,934 ) 11,718 Balance at the end of period 474,794 13,332 |
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 Ended Three Months Ended Gross realized gains on sale of investments 2,964 7,729 Gross realized losses on sale of investments (30 ) (19,447 ) Net unrealized gains and losses on Agency MBS IOs (762 ) (6,054 ) Total gains (loss) on investments, net 2,172 (17,772 ) |
Components of MBS Interest Income | The following table presents components of interest income on the Company’s MBS and GSE CRT portfolio for the three months ended March 31, 2015 and 2014 . GSE CRT interest income excludes coupon interest associated with embedded derivatives recorded in realized and unrealized credit derivative income (loss), net. For the three months ended March 31, 2015 (As Restated) $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 94,372 (26,859 ) 67,513 Non-Agency 30,810 658 31,468 GSE CRT (as restated) 1,568 (760 ) 808 CMBS 37,905 (2,428 ) 35,477 Other (1 ) — (1 ) Total 164,654 (29,389 ) 135,265 For the three months ended March 31, 2014 (As Restated) $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 105,483 (23,664 ) 81,819 Non-Agency 35,555 1,531 37,086 GSE CRT (as restated) 1,178 (732 ) 446 CMBS 38,612 (9,661 ) 28,951 Other 103 — 103 Total 180,931 (32,526 ) 148,405 |
Commercial Loans Held-for-Inv28
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 loans Principal Balance Unamortized (fees)/ costs, net Carrying value Unfunded 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 loans Principal Balance Unamortized (fees)/ costs, net Carrying value Unfunded 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 March 31, 2015 December 31, 2014 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 March 31, 2015 December 31, 2014 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 0.40 % 3,071 1,250,000 0.37 % 3,472 Exchangeable Senior Notes 400,000 5.00 % 1,081 400,000 5.00 % 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 . March 31, 2015 $ in thousands Repurchase Agreement Counterparties Amount Outstanding Percent of Total Amount Outstanding Company MBS and GSE CRTs Held as Collateral 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 7.0 % 976,970 Industrial and Commercial Bank of China Financial Services LLC 717,869 5.4 % 757,589 Banc of America Securities LLC 662,641 5.0 % 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 4.0 % 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 13,333,081 100.0 % 14,847,249 (1) Includes $270.8 million of MBS held as collateral which are eliminated in consolidation. $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. December 31, 2014 $ in thousands Repurchase Agreement Counterparties Amount Outstanding Percent of Total Amount Outstanding Company MBS and GSE CRTs Held as Collateral 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 5.0 % 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 3.0 % 430,241 All other counterparties (4) 957,760 7.1 % 1,071,019 Total 13,622,677 100.0 % 15,260,264 (1) Includes $276.1 million of MBS held as collateral which are eliminated in consolidation. $20.3 million of MBS held as collateral which are eliminated in consolidation. $106.8 million of MBS held as collateral which are eliminated in consolidation. ten counterparties. |
Derivatives and Hedging Activ31
Derivatives and Hedging Activities (As Restated) (Tables) | 3 Months Ended |
Mar. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Credit Derivatives | As discussed in Note 2 - "Summary of Significant Accounting Policies," the Company's GSE CRTs are accounted for as hybrid financial instruments with an embedded derivative. At March 31, 2015 and December 31, 2014 , terms of these GSE CRT embedded derivatives are: $ in thousands March 31, 2015 December 31, 2014 Fair value amount (5,457 ) (21,495 ) Notional amount 633,000 615,000 Maximum potential amount of future undiscounted payments 633,000 615,000 At March 31, 2015 and December 31, 2014 , terms of the CDS are: $ in thousands March 31, 2015 December 31, 2014 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 Counterparty Notional Maturity Date Fixed Interest Rate in Contract Morgan Stanley Capital Services, LLC 300,000 1/24/2016 2.12 % The Bank of New York Mellon 300,000 1/24/2016 2.13 % Morgan Stanley Capital Services, LLC 300,000 4/5/2016 2.48 % Credit Suisse International 500,000 4/15/2016 2.27 % The Bank of New York Mellon 500,000 4/15/2016 2.24 % JPMorgan Chase Bank, N.A. 500,000 5/16/2016 2.31 % Goldman Sachs Bank USA 500,000 5/24/2016 2.34 % Goldman Sachs Bank USA 250,000 6/15/2016 2.67 % Wells Fargo Bank, N.A. 250,000 6/15/2016 2.67 % JPMorgan Chase Bank, N.A. 500,000 6/24/2016 2.51 % Citibank, N.A. 500,000 10/15/2016 1.93 % Deutsche Bank AG 150,000 2/5/2018 2.90 % ING Capital Markets LLC 350,000 2/24/2018 0.95 % ING Capital Markets LLC 300,000 5/5/2018 0.79 % UBS AG 500,000 5/24/2018 1.10 % ING Capital Markets LLC 400,000 6/5/2018 0.87 % The Royal Bank of Scotland Plc 500,000 9/5/2018 1.04 % Citibank, N.A. CME Clearing House (1 ) 300,000 2/5/2021 2.50 % The Royal Bank of Scotland Plc CME Clearing House (1 ) 300,000 2/5/2021 2.69 % Wells Fargo Bank, N.A. 200,000 3/15/2021 3.14 % Citibank, N.A. 200,000 5/25/2021 2.83 % HSBC Bank USA, National Association 550,000 2/24/2022 2.45 % HSBC Bank USA, National Association 250,000 6/5/2023 1.91 % The Royal Bank of Scotland Plc 500,000 8/15/2023 1.98 % Goldman Sachs Bank USA CME Clearing House 600,000 8/24/2023 2.88 % UBS AG 250,000 11/15/2023 2.23 % HSBC Bank USA, National Association 500,000 12/15/2023 2.20 % Morgan Stanley Capital Services, LLC 100,000 4/2/2025 2.04 % Total 10,350,000 2.10 % (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 10.0 300,000 3M Libor 1.11 % 10.0 Total Receiver 1,485 795 10.0 300,000 3M Libor 1.11 % 10.0 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 of January 1, 2015 Additions Settlement, Termination, Expiration or Exercise Notional Amount as of March 31, 2015 Amount of Realized Gain (Loss), net on Derivative Instruments (excluding net interest paid or received) for the three months ended March 31, 2015 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 Derivative Assets Derivative Liabilities As of March 31, 2015 As of December 31, 2014 As of March 31, 2015 As of December 31, 2014 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value 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 type for cash flow hedge Amount of gain (loss) recognized in OCI on derivative (effective portion) Location of gain (loss) reclassified from accumulated OCI into income (effective portion) Amount of gain (loss) reclassified from accumulated OCI into income (effective portion) Location of gain (loss) recognized in income on derivative (ineffective portion) Amount of gain (loss) recognized in income on derivative (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 type for cash flow hedge Amount of gain (loss) recognized in OCI on derivative (effective portion) Location of gain (loss) reclassified from accumulated OCI into income (effective portion) Amount of gain (loss) reclassified from accumulated OCI into income (effective portion) Location of gain (loss) recognized in income on derivative (ineffective portion) Amount of gain (loss) recognized in income on derivative (ineffective portion) Interest Rate Swaps — Interest Expense, Repurchase Agreements (21,296 ) Gain (loss) on derivative instruments, net — $ in thousands Derivative not designated as hedging instrument Location of unrealized gain (loss) recognized in income on derivative Three Months Ended Three Months Ended CDS Contract Realized and unrealized credit derivative income (loss), net (62 ) (47 ) GSE CRT Embedded Derivatives Realized and unrealized credit derivative income (loss), net 16,038 13,961 Total 15,976 13,914 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 not designated as hedging instrument Realized gain (loss) on settlement, termination, expiration or exercise, net Contractual interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net 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 not designated as hedging instrument Realized gain (loss) on settlement, termination, expiration or exercise, net Contractual interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net 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 Liabili32
Offsetting Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2015 | |
Offsetting [Abstract] | |
Offsetting Assets | 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 Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments (1) Collateral Received (4) Net Amount 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 Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2)(3)(5) Collateral Posted (2)(4)(5) Net Amount 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 Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Financial Instruments (1) Collateral Received (4) Net Amount 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 Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities presented in the Consolidated Balance Sheets Financial Instruments (2)(3) Collateral Posted (2)(4) Net Amount 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 no t 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. |
Offsetting 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 Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets Financial Instruments (1) Collateral Received (4) Net Amount 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 Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets Financial Instruments (2)(3)(5) Collateral Posted (2)(4)(5) Net Amount 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 Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Financial Instruments (1) Collateral Received (4) Net Amount 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 Consolidated Balance Sheets $ in thousands Description Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Liabilities presented in the Consolidated Balance Sheets Financial Instruments (2)(3) Collateral Posted (2)(4) Net Amount 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 no t 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 Instr33
Fair Value of Financial Instruments (As Restated) (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. March 31, 2015 (As Restated) Fair Value Measurements Using: Total at Level 1 Level 2 Level 3 Fair Value Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 17,346,052 (5,457 ) 17,340,595 Derivative assets — 6,372 334 6,706 Total assets — 17,352,424 (5,123 ) 17,347,301 Liabilities: Derivative liabilities — 290,852 — 290,852 Total liabilities — 290,852 — 290,852 December 31, 2014 (As Restated) Fair Value Measurements Using: Total at $ in thousands Level 1 Level 2 Level 3 Fair Value Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 17,270,390 (21,495 ) 17,248,895 Derivative assets 89 23,693 396 24,178 Total assets 89 17,294,083 (21,099 ) 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 and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) As discussed in Note 2 " Summary of Significant Accounting Policies", the Company's GSE CRTs are accounted for as hybrid financial instruments with an embedded derivative. The hybrid instruments contain debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of March 31, 2015 , the net embedded derivative liability position of $5.5 million includes $5.4 million of embedded derivatives in an asset position and $10.8 million of embedded derivatives in a liability position. As of December 31, 2014 , the net embedded derivative liability position of $21.5 million includes $3.1 million of embedded derivatives in an asset position and $24.6 million of embedded derivatives in a liability position. |
Reconciliation Fair Value Measurements of Embedded Derivatives | The following table shows a reconciliation of the beginning and ending fair value measurements of the Company's GSE CRT embedded derivatives which the Company has valued utilizing Level 3 inputs: $ in thousands March 31, 2015 December 31, 2014 Beginning balance (21,495 ) — Sales and settlements 792 — Total net gains/(losses) included in net income: Realized gains/(losses), net (792 ) — Unrealized gains/(losses), net 16,038 (21,495 ) Ending balance (5,457 ) (21,495 ) |
Net Derivative Asset (Liability), Fair Value Inputs | The following tables summarizes significant unobservable inputs used in the fair value measurement of the Company's GSE CRT embedded derivatives: Fair Value at Valuation Unobservable Weighted $ in thousands March 31, 2015 Technique Input Range Average GSE CRT Embedded derivatives (5,457 ) Market Comparables Prepayment Rate 5.52% - 18.57% 7.39 % Vendor Pricing Default Rate 0.13% - 0.42% 0.19 % Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2014 Technique Input Range Average GSE CRT Embedded derivatives (21,495 ) Market Comparables Prepayment Rate 4.46% - 8.98% 5.29 % Vendor Pricing Default Rate 0.12% - 0.37% 0.18 % |
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 March 31, 2015 December 31, 2014 Beginning balance 396 654 Unrealized gains/(losses), net (62 ) (258 ) Ending balance 334 396 |
Assets, Fair Value Inputs | 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 March 31, 2015 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 December 31, 2014 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 : March 31, 2015 December 31, 2014 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated 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 $ 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 (As35
Earnings per Common Share (As Restated) (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 $ and share amounts in thousands 2015 2014 Numerator (Income) Basic Earnings Net income (loss) available to common stockholders (17,440 ) (66,759 ) Effect of dilutive securities: Income allocated to exchangeable senior notes — — Loss allocated to non-controlling interest (136 ) (733 ) Dilutive net income (loss) available to stockholders (17,576 ) (67,492 ) 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 |
Non-controlling Interest-Oper36
Non-controlling Interest-Operating Partnership (As Restated) (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 net income (loss) 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, $ in thousands 2015 2014 Net income (loss) allocated (136 ) (733 ) Distributions paid 641 713 |
Restatement of Previously Iss37
Restatement of Previously Issued Financial Statements (Tables) | 3 Months Ended |
Mar. 31, 2015 | |
Accounting Changes and Error Corrections [Abstract] | |
Schedule of Error Corrections and Prior Period Adjustments | The following table represents a summary of the as previously reported balances, adjustments and restated balances on the condensed consolidated statement of comprehensive income by financial statement line item for the three months ended March 31, 2015 : Three Months Ended March 31, 2015 In thousands As Reported Adjustment As Restated Net income (loss) (27,296 ) 15,436 (11,860 ) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities 140,598 (14,644 ) 125,954 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net (2,142 ) (792 ) (2,934 ) Total Other comprehensive income (loss) 157,601 (15,436 ) 142,165 Comprehensive income 130,305 — 130,305 Comprehensive income attributable to non-controlling interest (1,490 ) — (1,490 ) Comprehensive income attributable to common stockholders 123,099 — 123,099 The following table represents a summary of the as previously reported balances, adjustments and restated balances on the condensed consolidated balance sheet by financial statement line item as of March 31, 2015 : As of March 31, 2015 In thousands As Reported Adjustment (1) As Restated Accumulated other comprehensive income 560,358 4,773 565,131 Retained earnings (distributions in excess of earnings) (700,930 ) (4,773 ) (705,703 ) (1) Includes $5.0 million of unrealized loss resulting from GSE CRTs and $0.2 million of unrealized gains resulting from Agency MBS IOs. The following table represents a summary of the as previously reported balances, adjustments and restated balances on the condensed consolidated statement of equity by financial statement line item for the three months ended March 31, 2015 : Three Months Ended March 31, 2015 In thousands As Reported Adjustment As Restated Net income (loss) (27,296 ) 15,436 (11,860 ) Other comprehensive income (loss) 157,601 (15,436 ) 142,165 The following table represents a summary of the as previously reported balances, adjustments and restated balances on the condensed consolidated statement of operations by financial statement line item for the three months ended March 31, 2015 : Three Months Ended March 31, 2015 In thousands As Reported Adjustment As Restated Interest Income: Mortgage-backed and credit risk transfer securities 141,018 (5,753 ) 135,265 Other income (loss): Gain (loss) on investments, net 2,142 30 2,172 Realized and unrealized credit derivative income (loss), net 203 21,159 21,362 Net income (loss) (27,296 ) 15,436 (11,860 ) Net income (loss) attributable to non-controlling interest (312 ) 176 (136 ) Net income (loss) attributable to Invesco Mortgage Capital, Inc. (26,984 ) 15,260 (11,724 ) Net income (loss) attributable to common stockholders (32,700 ) 15,260 (17,440 ) Earnings per share: Basic (0.27 ) 0.13 (0.14 ) Diluted (0.27 ) 0.13 (0.14 ) The following table represents a summary of the as previously reported balances and restated balances on the condensed consolidated statement of cash flows by financial statement line item for the three months ended March 31, 2015 : Three Months Ended March 31, 2015 In thousands As Reported Adjustment As Restated Cash Flows from Operating Activities Net income (loss) (27,296 ) 15,436 (11,860 ) Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net 29,549 (160 ) 29,389 Unrealized (gain) loss on credit derivatives, net 62 (16,038 ) (15,976 ) (Gain) loss on sale of mortgage-backed securities and credit risk transfer securities, net (2,142 ) (30 ) (2,172 ) Realized (gain) loss on credit derivatives, net — 792 792 Non-cash Investing and Financing Activities Information Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities 138,456 (15,436 ) 123,020 |
Organization and Business Ope38
Organization and Business Operations - Additional Information (Detail) - segment | 3 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | |
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% |
Summary of Significant Accoun39
Summary of Significant Accounting Policies (As Restated) (Detail) - Mortgages | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | |
Accounts, Notes, Loans and Financing Receivable | ||
Number of days loans are past due for accrual of interest | 90 days | |
Minimum | ||
Accounts, Notes, Loans and Financing Receivable | ||
Restructured loans and leases receivable nonperforming to performing status | 12 months | 12 months |
Variable Interest Entities - Ad
Variable Interest Entities - Additional Information (Detail) - trust | 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 - Ma
Variable Interest Entities - Maximum Risk of Loss (Details) - Variable Interest Entity, Not Primary Beneficiary $ in Thousands | Mar. 31, 2015USD ($) |
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 |
Company's Maximum Risk of Loss | 2,947,675 |
CMBS | |
Variable Interest Entity | |
Carrying Amount | 3,456,892 |
Company's Maximum Risk of Loss | $ 3,456,892 |
Variable Interest Entities - Su
Variable Interest Entities - Summary of Assets and Liabilities of Variable Interest Entities (Detail) - USD ($) $ in Thousands | Mar. 31, 2015 | Dec. 31, 2014 | |
Variable Interest Entity | |||
Residential loans, held-for-investment | [1],[2] | $ 3,597,147 | $ 3,365,003 |
Accrued interest receivable | [1] | 66,144 | 66,044 |
Deferred costs | [1] | 12,286 | 13,080 |
Total assets | [1],[2] | 21,548,074 | 21,231,017 |
Asset-backed securities issued by securitization trusts | [1],[2] | 3,133,527 | 2,929,820 |
Total liabilities | [1],[2] | 18,840,460 | 18,592,167 |
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] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | ||
[2] | The condensed consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) 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. |
Variable Interest Entities - Re
Variable Interest Entities - Residential Loans Held-For-Investment (Details) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015USD ($)Loan | Dec. 31, 2014USD ($)Loan | |
Portfolio Characteristics: | ||
Number of loans | Loan | 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 | Loan | 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 | Loan | 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 | Loan | 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 | Loan | 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 | Loan | 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 | Loan | 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 | Loan | 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 | Loan | 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 | Loan | 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 - Fi
Variable Interest Entities - Five Largest Geographic Concentrations of Residential Loans (Details) - Mar. 31, 2015 - Variable Interest Entity, Primary Beneficiary - Residential Loans Held For Investment - Geographic Concentration Risk - Residential Mortgage | Total |
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 - Fu
Variable Interest Entities - Future Minimum Annual Principal Payments Under Residential Loans, Held for Investments (Details) - Variable Interest Entity, Primary Beneficiary - Residential Mortgage - USD ($) $ in Thousands | Mar. 31, 2015 | Dec. 31, 2014 |
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 - Ac
Variable Interest Entities - Activity in Allowance for Loan Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | ||
Allowance for Loan Losses [Roll Forward] | |||
Provision for loan losses | [1] | $ 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) | |
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Variable Interest Entities - Ca
Variable Interest Entities - Carrying Value of Asset Backed Securities Issued (Details) $ in Thousands | Mar. 31, 2015USD ($)Series | Dec. 31, 2014USD ($)Series | |
Debt Instrument | |||
Carrying value | [1],[2] | $ 3,133,527 | $ 2,929,820 |
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 | Series | 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% | 2.80% | |
Variable Interest Entity, Primary Beneficiary | Asset Backed Securities Outstanding | Maximum | |||
Debt Instrument | |||
Range of weighted average interest rates | 4.00% | 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] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | ||
[2] | The condensed consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) 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. |
Variable Interest Entities - Pr
Variable Interest Entities - Principal Repayment of Mortgage Loans (Details) - Variable Interest Entity, Primary Beneficiary - Asset Backed Securities $ in Thousands | Mar. 31, 2015USD ($) |
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 |
Mortgage-Backed Securities (A49
Mortgage-Backed Securities (As Restated) - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | ||
Schedule of Available-for-sale Securities | ||||
Gross unrealized losses | $ 63,774 | $ 108,260 | ||
Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net | [1] | 2,934 | $ (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 | $ 39,400 | |||
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Mortgage-Backed Securities (A50
Mortgage-Backed Securities (As Restated) - Summary of Investment Portfolio (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2015 | Dec. 31, 2014 | ||||
Schedule of Available-for-sale Securities | |||||
Principal balance | $ 18,490,826 | $ 18,505,710 | |||
Fair value | [1] | 17,340,595 | 17,248,895 | ||
Unamortized premium (discount) | (1,619,780) | (1,588,068) | |||
Amortized cost | 16,871,046 | 16,917,642 | |||
Unrealized gain/ (loss), net | $ 469,549 | $ 331,253 | |||
Net weighted average coupon | 3.58% | [2] | 3.61% | [3] | |
Period- end weighted average yield | 3.21% | [4] | 3.24% | [5] | |
Quarterly weighted average yield | 3.20% | [6] | 3.36% | [7] | |
Percentage of agency collateralized mortgage obligations interest only securities | 29.70% | 29.10% | |||
Unamortized premium (discount) non-accretable portion | $ (392,500) | $ (405,500) | |||
Agency RMBS | |||||
Schedule of Available-for-sale Securities | |||||
Principal balance | 9,212,454 | 9,100,957 | |||
Fair value | 9,831,012 | 9,641,094 | |||
Unamortized premium (discount) | 426,695 | 417,900 | |||
Amortized cost | 9,639,149 | 9,518,857 | |||
Unrealized gain/ (loss), net | $ 191,863 | $ 122,237 | |||
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% | [7] | |
Agency RMBS | 15 Year Fixed-Rate | |||||
Schedule of Available-for-sale Securities | |||||
Principal balance | $ 1,718,391 | $ 1,236,297 | |||
Fair value | 1,840,250 | 1,327,101 | |||
Unamortized premium (discount) | 86,529 | 60,764 | |||
Amortized cost | 1,804,920 | 1,297,061 | |||
Unrealized gain/ (loss), net | $ 35,330 | $ 30,040 | |||
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% | [7] | |
Agency RMBS | 30 Year Fixed-Rate | |||||
Schedule of Available-for-sale Securities | |||||
Principal balance | $ 4,239,350 | $ 4,432,301 | |||
Fair value | 4,623,456 | 4,790,293 | |||
Unamortized premium (discount) | 285,902 | 297,311 | |||
Amortized cost | 4,525,252 | 4,729,612 | |||
Unrealized gain/ (loss), net | $ 98,204 | $ 60,681 | |||
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% | [7] | |
Agency RMBS | ARM | |||||
Schedule of Available-for-sale Securities | |||||
Principal balance | $ 448,286 | $ 531,281 | |||
Fair value | 463,342 | 546,782 | |||
Unamortized premium (discount) | 5,345 | 9,068 | |||
Amortized cost | 453,631 | 540,349 | |||
Unrealized gain/ (loss), net | $ 9,711 | $ 6,433 | |||
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% | [7] | |
Agency RMBS | Hybrid ARM | |||||
Schedule of Available-for-sale Securities | |||||
Principal balance | $ 2,806,427 | $ 2,901,078 | |||
Fair value | 2,903,964 | 2,976,918 | |||
Unamortized premium (discount) | 48,919 | 50,757 | |||
Amortized cost | 2,855,346 | 2,951,835 | |||
Unrealized gain/ (loss), net | $ 48,618 | $ 25,083 | |||
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% | [7] | |
Agency-CMO | |||||
Schedule of Available-for-sale Securities | |||||
Principal balance | [8] | $ 1,997,925 | $ 1,957,296 | ||
Fair value | 443,249 | [9] | 450,895 | [8] | |
Unamortized premium (discount) | (1,554,128) | [9] | (1,502,785) | [8] | |
Amortized cost | 443,797 | [9] | 454,511 | [8] | |
Unrealized gain/ (loss), net | $ (548) | [9] | $ (3,616) | [8] | |
Net weighted average coupon | 2.29% | [2],[9] | 2.34% | [3],[8] | |
Period- end weighted average yield | 4.91% | [4],[9] | 4.57% | [5],[8] | |
Quarterly weighted average yield | 3.71% | [6],[9] | 3.62% | [7],[8] | |
Non-Agency RMBS | |||||
Schedule of Available-for-sale Securities | |||||
Principal balance | [10],[11] | $ 3,428,864 | $ 3,555,249 | ||
Fair value | 2,947,675 | [12],[13] | 3,061,647 | [10],[11] | |
Unamortized premium (discount) | (569,772) | [12],[13] | (583,890) | [10],[11] | |
Amortized cost | 2,859,092 | [12],[13] | 2,971,359 | [10],[11] | |
Unrealized gain/ (loss), net | $ 88,583 | [12],[13] | $ 90,288 | [10],[11] | |
Net weighted average coupon | 3.55% | [2],[12],[13] | 3.51% | [3],[10],[11] | |
Period- end weighted average yield | 4.03% | [4],[12],[13] | 4.12% | [5],[10],[11] | |
Quarterly weighted average yield | 4.35% | [6],[12],[13] | 4.86% | [7],[10],[11] | |
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 | [14] | $ 633,000 | $ 615,000 | ||
Fair value | 661,767 | [15] | 625,424 | [14] | |
Unamortized premium (discount) | 25,054 | [15] | 25,814 | [14] | |
Amortized cost | 658,054 | [15] | 640,814 | [14] | |
Unrealized gain/ (loss), net | $ 3,713 | [15] | $ (15,390) | [14] | |
Net weighted average coupon | 1.02% | [2],[15] | 1.03% | [3],[14] | |
Period- end weighted average yield | 0.50% | [4],[15] | 0.49% | [5],[14] | |
Quarterly weighted average yield | 0.50% | [6],[15] | 0.48% | [7],[14] | |
CMBS | |||||
Schedule of Available-for-sale Securities | |||||
Principal balance | [16] | $ 3,218,583 | $ 3,277,208 | ||
Fair value | 3,456,892 | [17] | 3,469,835 | [16] | |
Unamortized premium (discount) | 52,371 | [17] | 54,893 | [16] | |
Amortized cost | 3,270,954 | [17] | 3,332,101 | [16] | |
Unrealized gain/ (loss), net | $ 185,938 | [17] | $ 137,734 | [16] | |
Net weighted average coupon | 4.71% | [2],[17] | 4.74% | [3],[16] | |
Period- end weighted average yield | 4.36% | [4],[17] | 4.39% | [5],[16] | |
Quarterly weighted average yield | 4.34% | [6],[17] | 4.38% | [7],[16] | |
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 discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | ||||
[2] | Net weighted average coupon (“WAC”) as of March 31, 2015 is presented net of servicing and other fees. | ||||
[3] | Net WAC as of December 31, 2014 is presented net of servicing and other fees. | ||||
[4] | 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. | ||||
[5] | 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. | ||||
[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] | 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. | ||||
[8] | Agency collateralized mortgage obligation ("Agency CMO") includes Agency MBS IOs, which represent 29.1% of the balance based on fair value. | ||||
[9] | Agency collateralized mortgage obligation ("Agency CMO") includes Agency MBS IOs, which represent 29.7% of the balance based on fair value. | ||||
[10] | 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. | ||||
[11] | Of the total discount in non-Agency RMBS, $405.5 million is non-accretable. | ||||
[12] | Non-Agency RMBS held by the Company is 52.5% variable rate, 40.3% fixed rate, and 7.2% floating rate based on fair value. | ||||
[13] | Of the total discount in non-Agency RMBS, $392.5 million is non-accretable. | ||||
[14] | GSE CRT weighted average coupon and weighted yield excludes embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net. | ||||
[15] | GSE CRT weighted average coupon and weighted average yield excludes embedded derivative coupon interest recorded as realized and unrealized credit derivative income (loss), net. | ||||
[16] | CMBS includes commercial real estate mezzanine loan pass-through certificates which represent 1.3% of the balance based on fair value. | ||||
[17] | CMBS includes commercial real estate mezzanine loan pass-through certificates which represent 1.3% of the balance based on fair value. |
Mortgage-Backed Securities (A51
Mortgage-Backed Securities (As Restated) - Components of Non-Agency RMBS Portfolio By Asset Type (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Mar. 31, 2015 | Dec. 31, 2014 | ||||
Schedule of Available-for-sale Securities | |||||
Mortgage-backed and credit risk transfer securities, at fair value | [1] | $ 17,340,595 | $ 17,248,895 | ||
Non-Agency RMBS | |||||
Schedule of Available-for-sale Securities | |||||
Mortgage-backed and credit risk transfer 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 and credit risk transfer 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 and credit risk transfer 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 and credit risk transfer 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 and credit risk transfer securities, at fair value | $ 388,818 | $ 396,696 | |||
% of Non-Agency | 13.20% | 12.90% | |||
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | ||||
[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] | 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. | ||||
[5] | Of the total discount in non-Agency RMBS, $405.5 million is non-accretable. |
Mortgage-Backed Securities (A52
Mortgage-Backed Securities (As Restated) - Components of Senior Re-REMIC at Fair Value (Detail) | Mar. 31, 2015 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities | |||
Percentage of Re-REMIC at fair value | [1] | 100.00% | 100.00% |
Re-REMIC 0-10 | |||
Schedule of Available-for-sale Securities | |||
Percentage of Re-REMIC at fair value | [1] | 7.30% | 7.00% |
Re-REMIC 10-20 | |||
Schedule of Available-for-sale Securities | |||
Percentage of Re-REMIC at fair value | [1] | 4.50% | 4.40% |
Re-REMIC 20-30 | |||
Schedule of Available-for-sale Securities | |||
Percentage of Re-REMIC at fair value | [1] | 11.90% | 11.90% |
Re-REMIC 30-40 | |||
Schedule of Available-for-sale Securities | |||
Percentage of Re-REMIC at fair value | [1] | 25.70% | 26.10% |
Re-REMIC 40-50 | |||
Schedule of Available-for-sale Securities | |||
Percentage of Re-REMIC at fair value | [1] | 31.50% | 31.80% |
Re-REMIC 50-60 | |||
Schedule of Available-for-sale Securities | |||
Percentage of Re-REMIC at fair value | [1] | 15.50% | 15.20% |
Re-REMIC 60-70 | |||
Schedule of Available-for-sale Securities | |||
Percentage of Re-REMIC at fair value | [1] | 3.60% | 3.60% |
[1] | Subordination refers to the credit enhancement provided to the Re-REMIC tranche held by the Company by any junior Re-REMIC tranche or tranches in a resecuritization. This figure reflects the percentage of the balance of the underlying securities represented by any junior tranche or tranches at the time of resecuritization. Generally, principal losses on the underlying securities in excess of the subordination amount would result in principal losses on the Re-REMIC tranche held by the Company. |
Mortgage-Backed Securities (A53
Mortgage-Backed Securities (As Restated) - Components of Carrying Value Of Investment Portfolio (Detail) - USD ($) $ in Thousands | Mar. 31, 2015 | Dec. 31, 2014 | |
Investments, Debt and Equity Securities [Abstract] | |||
Principal balance | $ 18,490,826 | $ 18,505,710 | |
Unamortized premium | 553,290 | 550,071 | |
Unamortized discount | (2,173,070) | (2,138,139) | |
Gross unrealized gains | 533,323 | 439,513 | |
Gross unrealized losses | (63,774) | (108,260) | |
Fair value | [1] | $ 17,340,595 | $ 17,248,895 |
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Mortgage-Backed Securities (A54
Mortgage-Backed Securities (As Restated) - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Detail) - USD ($) $ in Thousands | Mar. 31, 2015 | Dec. 31, 2014 | |
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 | [1] | $ 17,340,595 | $ 17,248,895 |
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Mortgage-Backed Securities (A55
Mortgage-Backed Securities (As Restated) - Unrealized Losses and Estimated Fair Value of MBS by Length of Time (Detail) $ in Thousands | Mar. 31, 2015USD ($)security | Dec. 31, 2014USD ($)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 | $ (23,436) | $ (41,919) | ||
Number of securities, less than one year | security | 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 | security | 90 | 121 | ||
Fair value, total | $ 3,535,552 | $ 4,588,703 | ||
Unrealized losses, total | $ (63,774) | $ (108,260) | ||
Number of securities, total | security | 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 | security | 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 | security | 52 | 71 | ||
Fair value, total | $ 2,158,503 | $ 2,690,044 | ||
Unrealized losses, total | $ (24,372) | $ (46,053) | ||
Number of securities, total | security | 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 | security | 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 | security | 5 | 6 | ||
Fair value, total | $ 442,746 | $ 116,541 | ||
Unrealized losses, total | $ (698) | $ (1,437) | ||
Number of securities, total | security | 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 | security | 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 | security | 45 | 62 | ||
Fair value, total | $ 1,630,035 | $ 1,894,574 | ||
Unrealized losses, total | $ (23,540) | $ (42,843) | ||
Number of securities, total | security | 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 | security | 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 | security | 0 | 1 | ||
Fair value, total | $ 0 | $ 27,793 | ||
Unrealized losses, total | $ 0 | $ (32) | ||
Number of securities, total | security | 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 | security | 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 | security | 2 | 2 | ||
Fair value, total | $ 85,722 | $ 651,136 | ||
Unrealized losses, total | $ (134) | $ (1,741) | ||
Number of securities, total | security | 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 | security | 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 | security | 11 | 10 | ||
Fair value, total | $ 193,228 | $ 302,586 | ||
Unrealized losses, total | $ (12,402) | $ (15,673) | ||
Number of securities, total | security | 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 | security | 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 | security | 25 | 21 | ||
Fair value, total | $ 888,729 | $ 927,654 | ||
Unrealized losses, total | $ (15,047) | $ (17,789) | ||
Number of securities, total | security | 55 | 55 | ||
GSE CRT | ||||
Schedule of Available-for-sale Securities | ||||
Fair value, less than 12 months | $ 204,279 | [1] | $ 306,603 | [2] |
Unrealized losses, less than 12 months | $ (11,780) | [1] | $ (25,394) | [2] |
Number of securities, less than one year | security | 9 | [1] | 13 | [2] |
Fair value, 12 months or more | $ 0 | [1] | $ 0 | [2] |
Unrealized losses, 12 months or more | $ 0 | [1] | $ 0 | [2] |
Number of securities, greater than or equal to one year | security | 0 | [1] | 0 | [2] |
Fair value, total | $ 204,279 | [1] | $ 306,603 | [2] |
Unrealized losses, total | $ (11,780) | [1] | $ (25,394) | [2] |
Number of securities, total | security | 9 | [1] | 13 | [2] |
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 | security | 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 | security | 2 | 19 | ||
Fair value, total | $ 90,813 | $ 361,816 | ||
Unrealized losses, total | $ (173) | $ (3,351) | ||
Number of securities, total | security | 9 | 30 | ||
[1] | Balance includes unrealized losses on both the debt host contract and the embedded derivative. | |||
[2] | Balance includes unrealized losses on both the debt host contract and the embedded derivative. |
Mortgage-Backed Securities (A56
Mortgage-Backed Securities (As Restated) - Impact of MBS on Accumulated Other Comprehensive Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | ||
Accumulated other comprehensive income from investment securities: | |||
Unrealized gain (loss) on MBS and GSE CRT at beginning of period | $ 351,774 | $ (160,083) | |
Unrealized gain (loss) on MBS and GSE CRT | [1] | 125,954 | 161,697 |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | [1] | (2,934) | 11,718 |
Balance at the end of period | $ 474,794 | $ 13,332 | |
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Mortgage-Backed Securities (A57
Mortgage-Backed Securities (As Restated) - Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
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 | (30) | (19,447) | |
Net unrealized gains and losses on Agency MBS IOs | (762) | (6,054) | |
Total gains (loss) on investments, net | [1],[2] | $ 2,172 | $ (17,772) |
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | ||
[2] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Mortgage-Backed Securities (A58
Mortgage-Backed Securities (As Restated) - Components of MBS Interest Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | ||
Schedule of Available-for-sale Securities | |||
Coupon interest | $ 164,654 | $ 180,931 | |
Net (premium-amortization)/ discount-accretion | (29,389) | (32,526) | |
Interest Income | [1] | 135,265 | 148,405 |
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 | 1,568 | 1,178 | |
Net (premium-amortization)/ discount-accretion | (760) | (732) | |
Interest Income | 808 | 446 | |
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 | |
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Commercial Loans Held-for-Inv59
Commercial Loans Held-for-Investment - Schedule of Commercial Loans Held-for-Investment(Details) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2015USD ($)Loan | Mar. 31, 2014USD ($) | Dec. 31, 2014USD ($)Loan | ||||
Accounts, Notes, Loans and Financing Receivable | ||||||
Number of loans | Loan | 7 | 7 | ||||
Principal balance | $ 146,258 | $ 145,809 | ||||
Unamortized (fees)/ costs, net | (47) | (53) | ||||
Carrying value | [1] | 146,211 | 145,756 | |||
Unfunded commitment | $ 1,623 | $ 5,000 | $ 4,980 | |||
First Mortgage Loan | ||||||
Accounts, Notes, Loans and Financing Receivable | ||||||
Number of loans | Loan | 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 | Loan | 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 | Loan | 2 | [2] | 2 | [3] | ||
Principal balance | $ 52,693 | [2] | $ 54,188 | [3] | ||
Unamortized (fees)/ costs, net | 0 | [2] | 0 | [3] | ||
Carrying value | 52,693 | [2] | 54,188 | [3] | ||
Unfunded commitment | $ 0 | [2] | $ 0 | [3] | ||
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||||
[2] | Other subordinate interests include a B-note and a preferred equity investment. | |||||
[3] | Other subordinate interests include a B-note and a preferred equity investment. |
Other Investments - Summary of
Other Investments - Summary of Company's Other Investments (Details) - USD ($) $ in Thousands | Mar. 31, 2015 | Dec. 31, 2014 | |
Schedule of Investments [Abstract] | |||
FHLB Indianapolis stock | $ 69,750 | $ 62,500 | |
Investments in unconsolidated ventures | 41,243 | 43,998 | |
Total | [1] | $ 110,993 | $ 106,498 |
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Borrowings - Additional Informa
Borrowings - Additional Information (Detail) - USD ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | ||
Repurchase Agreement Counterparty | |||
Securities sold under agreements to repurchase fair value of collateral | $ 14,847,249,000 | $ 15,260,264,000 | |
Collateral ratio | 111.00% | 112.00% | |
Outstanding secured advances from FHLBI | [1] | $ 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% | ||
Minimum | |||
Repurchase Agreement Counterparty | |||
Repurchase obligation maturity | 1 month | ||
Maximum | |||
Repurchase Agreement Counterparty | |||
Repurchase obligation maturity | 12 months | ||
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 | ||
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Borrowings - Schedule of Borrow
Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | ||
Secured Loans | |||
Secured loans | [1] | $ 1,550,000 | $ 1,250,000 |
Weighted average interest rate (percent) | 0.40% | 0.37% | |
Weighted average remaining maturity (days) | 3071 days | 3472 days | |
Exchangeable Senior Notes | |||
Amount outstanding | [1] | $ 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 | |
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Borrowings - Repurchase Agreeme
Borrowings - Repurchase Agreements (Detail) $ in Thousands | 3 Months Ended | |||||
Mar. 31, 2015USD ($)counterparties | Mar. 31, 2014counterparties | Dec. 31, 2014USD ($) | ||||
Repurchase Agreement Counterparty | ||||||
Amount outstanding | [1] | $ 13,333,081 | $ 13,622,677 | |||
Percent of total amount outstanding | 100.00% | 100.00% | ||||
Securities sold under agreements to repurchase fair value of collateral | $ 14,847,249 | $ 15,260,264 | ||||
Number of counterparties | 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% | ||||
Securities sold under agreements to repurchase fair value of collateral | $ 1,741,155 | [2] | $ 1,925,973 | [3] | ||
HSBC Securities (USA) Inc | ||||||
Repurchase Agreement Counterparty | ||||||
Amount outstanding | $ 1,231,915 | $ 1,190,769 | ||||
Percent of total amount outstanding | 9.20% | 8.70% | ||||
Securities sold under agreements to repurchase fair value of 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% | ||||
Securities sold under agreements to repurchase fair value of 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% | ||||
Securities sold under agreements to repurchase fair value of collateral | $ 1,144,895 | [4] | $ 1,157,265 | [5] | ||
South Street Securities LLC | ||||||
Repurchase Agreement Counterparty | ||||||
Amount outstanding | $ 931,104 | $ 961,938 | ||||
Percent of total amount outstanding | 7.00% | 7.10% | ||||
Securities sold under agreements to repurchase fair value of 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% | ||||
Securities sold under agreements to repurchase fair value of 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% | ||||
Securities sold under agreements to repurchase fair value of collateral | $ 748,193 | [6] | $ 875,984 | [7] | ||
Mitsubishi UFJ Securities (USA), Inc | ||||||
Repurchase Agreement Counterparty | ||||||
Amount outstanding | $ 653,861 | $ 710,058 | ||||
Percent of total amount outstanding | 4.90% | 5.20% | ||||
Securities sold under agreements to repurchase fair value of 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% | ||||
Securities sold under agreements to repurchase fair value of 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% | ||||
Securities sold under agreements to repurchase fair value of 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% | ||||
Securities sold under agreements to repurchase fair value of 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% | ||||
Securities sold under agreements to repurchase fair value of 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% | ||||
Securities sold under agreements to repurchase fair value of 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% | ||||
Securities sold under agreements to repurchase fair value of 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% | ||||
Securities sold under agreements to repurchase fair value of 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% | ||||
Securities sold under agreements to repurchase fair value of collateral | $ 445,536 | $ 430,241 | ||||
Goldman, Sachs & Co | ||||||
Repurchase Agreement Counterparty | ||||||
Amount outstanding | $ 327,794 | |||||
Percent of total amount outstanding | 2.50% | |||||
Securities sold under agreements to repurchase fair value of collateral | $ 351,736 | |||||
Barclays Capital Inc | ||||||
Repurchase Agreement Counterparty | ||||||
Amount outstanding | $ 202,225 | |||||
Percent of total amount outstanding | 1.50% | |||||
Securities sold under agreements to repurchase fair value of collateral | $ 254,145 | |||||
All Other Counterparties | ||||||
Repurchase Agreement Counterparty | ||||||
Amount outstanding | $ 847,729 | [8] | $ 957,760 | [9] | ||
Percent of total amount outstanding | 6.20% | [8] | 7.10% | [9] | ||
Securities sold under agreements to repurchase fair value of collateral | $ 907,882 | [8] | $ 1,071,019 | [9] | ||
Consolidation, Eliminations | ||||||
Repurchase Agreement Counterparty | ||||||
Securities sold under agreements to repurchase fair value of collateral | 431,900 | 403,200 | ||||
Consolidation, Eliminations | Credit Suisse Securities (USA) LLC | ||||||
Repurchase Agreement Counterparty | ||||||
Securities sold under agreements to repurchase fair value of collateral | 270,800 | 276,100 | ||||
Consolidation, Eliminations | Citigroup Global Markets Inc | ||||||
Repurchase Agreement Counterparty | ||||||
Securities sold under agreements to repurchase fair value of collateral | 34,400 | 20,300 | ||||
Consolidation, Eliminations | Banc of America Securities LLC | ||||||
Repurchase Agreement Counterparty | ||||||
Securities sold under agreements to repurchase fair value of collateral | $ 126,700 | $ 106,800 | ||||
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||||
[2] | Includes $270.8 million of MBS held as collateral which are eliminated in consolidation. | |||||
[3] | Includes $276.1 million of MBS held as collateral which are eliminated in consolidation. | |||||
[4] | Includes $34.4 million of MBS held as collateral which are eliminated in consolidation. | |||||
[5] | Includes $20.3 million of MBS held as collateral which are eliminated in consolidation. | |||||
[6] | Includes $126.7 million of MBS held as collateral which are eliminated in consolidation. | |||||
[7] | Includes $106.8 million of MBS held as collateral which are eliminated in consolidation. | |||||
[8] | Represents amounts outstanding with nine counterparties. | |||||
[9] | Represents amounts outstanding with ten counterparties. |
Derivatives and Hedging Activ64
Derivatives and Hedging Activities (As Restated) - Additional Information (Detail) - Derivative Contract [Domain] - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | ||
Derivatives And Hedging Activities | ||||
AOCI loss related to derivatives reclassed as an increase to interest expense | $ 19,100 | $ 21,300 | ||
AOCI loss related to derivatives to be reclassified to interest expenses within Next 12 months | 60,500 | |||
Cash margin deposits | [1] | 82,215 | $ 57,604 | |
Cash collateral received on derivatives | 4,300 | 14,900 | ||
Realized gain (loss) on interest rate swaption | (4,700) | (15,100) | ||
Unrealized gain (loss), net | [2] | (51,034) | (81,047) | |
Derivative liabilities, at fair value | [1] | 290,852 | 254,026 | |
Accrued Interest | ||||
Derivatives And Hedging Activities | ||||
Derivative liabilities, at fair value | 215,400 | |||
Agency RMBS | ||||
Derivatives And Hedging Activities | ||||
Cash margin deposits | 273,900 | |||
AFS securities pledged as collateral | $ 273,900 | |||
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 | $ 11,100 | ||
Central Clearing Counterparty | Liability Derivatives | ||||
Derivatives And Hedging Activities | ||||
Derivative liabilities, at fair value | 80,800 | |||
GSE CRT | ||||
Derivatives And Hedging Activities | ||||
Fair value amount | $ (5,457) | $ (21,495) | ||
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[2] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Derivatives and Hedging Activ65
Derivatives and Hedging Activities (As Restated) - Open CDS Sold by Company (Detail) - USD ($) | Mar. 31, 2015 | Dec. 31, 2014 |
Derivative | ||
Notional amount | $ 11,234,269,000 | $ 11,961,088,000 |
GSE CRT | ||
Derivative | ||
Fair value amount | (5,457,000) | (21,495,000) |
Embedded Credit Derivative | GSE CRT | ||
Derivative | ||
Notional amount | 633,000,000 | 615,000,000 |
Maximum potential amount of future undiscounted payments | 633,000,000 | 615,000,000 |
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 Activ66
Derivatives and Hedging Activities (As Restated) - 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 | Jan. 24, 2016 | ||
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 | Jan. 24, 2016 | ||
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 | Apr. 5, 2016 | ||
Fixed Interest Rate in Contract | 2.48% | ||
Interest Rate Swaps | Credit Suisse International | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | $ 500,000,000 | ||
Maturity Date | Apr. 15, 2016 | ||
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 | Apr. 15, 2016 | ||
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 | May 16, 2016 | ||
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 | May 24, 2016 | ||
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 | Jun. 15, 2016 | ||
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 | Jun. 15, 2016 | ||
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 | Jun. 24, 2016 | ||
Fixed Interest Rate in Contract | 2.51% | ||
Interest Rate Swaps | Citibank, N.A | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | $ 500,000,000 | ||
Maturity Date | Oct. 15, 2016 | ||
Fixed Interest Rate in Contract | 1.93% | ||
Interest Rate Swaps | Deutsche Bank AG | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | $ 150,000,000 | ||
Maturity Date | Feb. 5, 2018 | ||
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 | Feb. 24, 2018 | ||
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 | May 5, 2018 | ||
Fixed Interest Rate in Contract | 0.79% | ||
Interest Rate Swaps | UBS AG | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | $ 500,000,000 | ||
Maturity Date | May 24, 2018 | ||
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 | Jun. 5, 2018 | ||
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 | Sep. 5, 2018 | ||
Fixed Interest Rate in Contract | 1.04% | ||
Interest Rate Swaps | Citibank, N.A. CME Clearing House | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | [1] | $ 300,000,000 | |
Maturity Date | [1] | Feb. 5, 2021 | |
Fixed Interest Rate in Contract | [1] | 2.50% | |
Interest Rate Swaps | The Royal Bank of Scotland PLC CME Clearing House | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | [1] | $ 300,000,000 | |
Maturity Date | [1] | Feb. 5, 2021 | |
Fixed Interest Rate in Contract | [1] | 2.69% | |
Interest Rate Swaps | Wells Fargo Bank, N.A. | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | $ 200,000,000 | ||
Maturity Date | Mar. 15, 2021 | ||
Fixed Interest Rate in Contract | 3.14% | ||
Interest Rate Swaps | Citibank, N.A. | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | $ 200,000,000 | ||
Maturity Date | May 25, 2021 | ||
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 | Feb. 24, 2022 | ||
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 | Jun. 5, 2023 | ||
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 | Aug. 15, 2023 | ||
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 | ||
Maturity Date | Aug. 24, 2023 | ||
Fixed Interest Rate in Contract | 2.88% | ||
Interest Rate Swaps | UBS AG | |||
Interest Rate Derivatives Outstanding | |||
Notional amount | $ 250,000,000 | ||
Maturity Date | Nov. 15, 2023 | ||
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 | Dec. 15, 2023 | ||
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 | Apr. 2, 2025 | ||
Fixed Interest Rate in Contract | 2.0375% | ||
[1] | Forward start date of February 2016 |
Derivatives and Hedging Activ67
Derivatives and Hedging Activities (As Restated) - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail) - Mar. 31, 2015 - USD ($) | Total |
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) |
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 Activ68
Derivatives and Hedging Activities (As Restated) - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Detail) - USD ($) $ in Thousands | Mar. 31, 2015 | Dec. 31, 2014 | |
Derivatives, Fair Value [Line Items] | |||
Derivative assets, at fair value | [1] | $ 6,706 | $ 24,178 |
Derivative liabilities, at fair value | [1] | 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 | |
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Derivatives and Hedging Activ69
Derivatives and Hedging Activities (As Restated) - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | ||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on settlement, termination, expiration or exercise, net | [1] | $ (26,103) | $ (18,824) |
Unrealized gain (loss), net | [1] | (51,034) | (81,047) |
Gain (loss) on derivative instruments, net | [2] | (122,745) | (151,312) |
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 | |
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) | |
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 | |
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 derivative instruments, net | (122,745) | (151,312) | |
Not Designated as Hedging Instrument | Realized and unrealized credit derivative income (loss), net | |||
Derivative Instruments, Gain (Loss) | |||
Gain (loss) on derivative instruments, net | 15,976 | 13,914 | |
Not Designated as Hedging Instrument | CDS Contract | Realized and unrealized credit derivative income (loss), net | |||
Derivative Instruments, Gain (Loss) | |||
Gain (loss) on derivative instruments, 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 derivative instruments, 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 derivative instruments, 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 derivative instruments, 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 derivative instruments, 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 derivative instruments, net | 1,651 | ||
Not Designated as Hedging Instrument | Embedded Credit Derivative | Realized and unrealized credit derivative income (loss), net | |||
Derivative Instruments, Gain (Loss) | |||
Gain (loss) on derivative instruments, net | $ 16,038 | $ 13,961 | |
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | ||
[2] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Offsetting Assets and Liabili70
Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Mar. 31, 2015 | Dec. 31, 2014 | |
Offsetting Derivative Assets [Abstract] | |||
Gross Amounts of Recognized Assets | [1] | $ 6,706 | $ 24,178 |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 | |
Derivative Asset | 6,706 | 24,178 | |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | [2] | (3,171) | (5,277) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Received | [3] | (3,535) | (18,901) |
Net Amount | $ 0 | $ 0 | |
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | ||
[2] | 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. | ||
[3] | 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 $57.6 million at March 31, 2015 and December 31, 2014, respectively. |
Offsetting Assets and Liabili71
Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($) | Mar. 31, 2015 | Dec. 31, 2014 | ||
Offsetting Liabilities | ||||
Securities sold under agreements to repurchase fair value of collateral | $ 14,847,249,000 | $ 15,260,264,000 | ||
Cash collateral received on derivatives | 4,300,000 | 14,900,000 | ||
Non-cash collateral received on derivatives | 0 | 10,800,000 | ||
Due from counterparties | [1] | 82,215,000 | 57,604,000 | |
Securities loaned fair value of collateral | 1,900,000,000 | 1,500,000,000 | ||
Derivatives | ||||
Gross Amounts of Recognized Liabilities | [1] | 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 | ||
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | [2],[4] | (208,855,000) | [3] | (235,908,000) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | [2],[5] | (80,414,000) | [3] | (18,118,000) |
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 | [1] | 13,333,081,000 | 13,622,677,000 | |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, FInancial Instruments | [2],[4] | (13,333,081,000) | [3] | (13,622,677,000) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | [2],[5] | 0 | [3] | 0 |
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 | ||
Gross Amounts Not Offset in the Consolidated Balance Sheets, Financial Instruments | [2],[4] | (1,550,000,000) | [3] | (1,250,000,000) |
Gross Amounts Not Offset in the Consolidated Balance Sheets, Collateral Posted | [2],[5] | 0 | [3] | 0 |
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 | ||
Gross Amounts Not Offset in the Consolidated Balance Sheets, Financial Instruments | [2],[4] | (15,091,936,000) | [3] | (15,108,585,000) |
Gross Amounts Not Offset in the Consolidated Balance Sheets, Collateral Posted | [2],[5] | (80,414,000) | [3] | (18,118,000) |
Net Amount | 1,583,000 | 0 | ||
Consolidation, Eliminations | ||||
Offsetting Liabilities | ||||
Securities sold under agreements to repurchase fair value of collateral | $ 431,900,000 | $ 403,200,000 | ||
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[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 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. | |||
[4] | 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. | |||
[5] | 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 $57.6 million at March 31, 2015 and December 31, 2014, respectively. |
Fair Value of Financial Instr72
Fair Value of Financial Instruments (As Restated) - Additional Information (Detail) | Mar. 31, 2015USD ($) |
Fair Value Disclosures [Abstract] | |
Fair value of CDS contract | $ 6,200 |
Fair Value of Financial Instr73
Fair Value of Financial Instruments (As Restated) - Fair Value Measured on Recurring Basis (Detail) - USD ($) $ in Thousands | Mar. 31, 2015 | Dec. 31, 2014 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions | |||
Mortgage-backed and credit risk transfer securities, at fair value | [1] | $ 17,340,595 | $ 17,248,895 |
Derivative assets, at fair value | [1] | 6,706 | 24,178 |
Derivative liabilities, at fair value | [1] | 290,852 | 254,026 |
Recurring | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | |||
Mortgage-backed and credit risk transfer securities, at fair value | [2],[3] | 17,340,595 | 17,248,895 |
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 | |
Recurring | Level 1 | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | |||
Mortgage-backed and credit risk transfer securities, at fair value | [2],[3] | 0 | 0 |
Derivative assets, at fair value | 0 | 89 | |
Total assets | 0 | 89 | |
Derivative liabilities, at fair value | 0 | 0 | |
Total liabilities | 0 | 0 | |
Recurring | Level 2 | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | |||
Mortgage-backed and credit risk transfer securities, at fair value | [2],[3] | 17,346,052 | 17,270,390 |
Derivative assets, at fair value | 6,372 | 23,693 | |
Total assets | 17,352,424 | 17,294,083 | |
Derivative liabilities, at fair value | 290,852 | 254,026 | |
Total liabilities | 290,852 | 254,026 | |
Recurring | Level 3 | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | |||
Mortgage-backed and credit risk transfer securities, at fair value | [2],[3] | (5,457) | (21,495) |
Derivative assets, at fair value | 334 | 396 | |
Total assets | (5,123) | (21,099) | |
Derivative liabilities, at fair value | 0 | 0 | |
Total liabilities | 0 | 0 | |
Recurring | Level 3 | Mortgage-backed and credit risk transfer securities | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | |||
Embedded derivatives at fair value | [2],[3] | (5,500) | (21,500) |
Embedded derivatives in an asset position | 5,400 | 3,100 | |
Embedded derivatives in a liability position | $ (10,800) | $ (24,600) | |
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | ||
[2] | As discussed in Note 2 " Summary of Significant Accounting Policies", the Company's GSE CRTs are accounted for as hybrid financial instruments with an embedded derivative. The hybrid instruments contain debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of March 31, 2015, the net embedded derivative liability position of $5.5 million includes $5.4 million of embedded derivatives in an asset position and $10.8 million of embedded derivatives in a liability position. As of December 31, 2014, the net embedded derivative liability position of $21.5 million includes $3.1 million of embedded derivatives in an asset position and $24.6 million of embedded derivatives in a liability position. | ||
[3] | For more detail about the fair value of the Company's MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." |
Fair Value of Financial Instr74
Fair Value of Financial Instruments (As Restated) - Reconciliation Fair Value Measurement of Embedded Derivatives (Details) - GSE CRT - Embedded Credit Derivative - USD ($) | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | ||
Beginning balance | $ (21,495,000) | $ 0 |
Sales and settlements | 792,000 | 0 |
Realized gains/(losses), net | (792,000) | 0 |
Unrealized gains/(losses), net | 16,038,000 | $ (21,495,000) |
Ending balance | $ (5,457,000) |
Fair Value of Financial Instr75
Fair Value of Financial Instruments (As Restated) - Net Derivative Asset (Liability), Fair Value Inputs (Details) - Embedded Credit Derivative - USD ($) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
GSE CRT | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Embedded derivatives at fair value | $ (5,457,000) | $ (21,495,000) | $ 0 |
GSE CRT | Level 3 | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Embedded derivatives at fair value | $ (5,457,000) | $ (21,495,000) | |
Minimum | GSE CRT | Market Comparables, Vendor Pricing and Internal Models | Level 3 | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Prepayment rate (as percent) | 5.52% | 4.46% | |
Default rate (as percent) | 0.13% | 0.12% | |
Maximum | GSE CRT | Market Comparables, Vendor Pricing and Internal Models | Level 3 | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Prepayment rate (as percent) | 18.57% | 8.98% | |
Default rate (as percent) | 0.42% | 0.37% | |
Weighted Average | Market Comparables, Vendor Pricing and Internal Models | Level 3 | |||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | |||
Prepayment rate (as percent) | 7.39% | 5.29% | |
Default rate (as percent) | 0.19% | 0.18% |
Fair Value of Financial Instr76
Fair Value of Financial Instruments (As Restated) - Fair Value on Recurring Basis Utilizing Level 3 Inputs (Detail) - CDS Contract - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | |
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 Instr77
Fair Value of Financial Instruments (As Restated) - Quantitative Information About Level 3 Fair Value Measurements (Detail) - Level 3 - CDS Contract - Derivative Contract [Domain] - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2015 | Dec. 31, 2014 | |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | ||
CDS Contract at fair value | $ 334 | $ 396 |
Discounted cash flow | Minimum | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | ||
Prepayment rate (as percent) | 1.00% | 1.00% |
Default rate (as percent) | 0.50% | 0.60% |
Loss severity (as percent) | 2.02% | 1.10% |
Discounted cash flow | Maximum | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | ||
Prepayment rate (as percent) | 20.00% | 20.00% |
Default rate (as percent) | 100.00% | 100.00% |
Loss severity (as percent) | 66.00% | 62.30% |
Discounted cash flow | Weighted Average | ||
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | ||
Prepayment rate (as percent) | 5.47% | 5.46% |
Default rate (as percent) | 4.14% | 4.15% |
Swap rate (as percent) | 2.39% | 2.39% |
Discount rate (as percent) | 0.66% | 0.76% |
Credit spread (as percent) | 0.32% | 0.24% |
Loss severity (as percent) | 40.14% | 39.35% |
Fair Value of Financial Instr78
Fair Value of Financial Instruments (As Restated) - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands | Mar. 31, 2015 | Dec. 31, 2014 |
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 - Ad
Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands | 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 | [2] | $ 157,025 | [1] | $ 188,371 | $ 164,144 | [1] | $ 210,612 |
Management fee – related party | [3] | 9,415 | 9,335 | ||||
Affiliate of the Manager | |||||||
Related Party Transaction | |||||||
Investment in money market or mutual funds managed by affiliates of a related party | 152,700 | $ 149,300 | |||||
Manager | |||||||
Related Party Transaction | |||||||
Management fee – related party | 9,400 | 9,300 | |||||
Management fees accrued but not paid | $ 9,300 | $ 9,300 | |||||
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | ||||||
[2] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | ||||||
[3] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Related Party Transactions - Sc
Related Party Transactions - Schedule of Related Party Transactions (Details) - Manager - USD ($) $ in Thousands | 3 Months Ended | |
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 - Addition
Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands | Mar. 17, 2015 | Mar. 31, 2014 | Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | |
Class of Stock | ||||||
Common stock shares issued | 123,131,777 | 123,110,454 | ||||
Proceeds from issuance of common stock | [1] | $ 70 | $ 73 | |||
Common stock dividend declared, per share | [2] | $ 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 | Apr. 28, 2015 | |||||
Dividend payable, date of record | Mar. 30, 2015 | |||||
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 | |||||
Common Stock | Incentive Plan | ||||||
Class of Stock | ||||||
Common stock options reserved for issuance | 1,000,000 | |||||
Incentive plan termination year | 2,019 | |||||
Compensation expense recognized | $ 85 | $ 52 | ||||
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 | $ 81 | ||||
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) | $ 1.9375 | |||||
Dividend payable date | Apr. 27, 2015 | |||||
Dividend payable, date of record | Apr. 1, 2015 | |||||
Series A preferred stock dividend, per share | 0.4844 | |||||
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) | $ 1.9375 | |||||
Dividend payable date | Jun. 29, 2015 | |||||
Dividend payable, date of record | Jun. 5, 2015 | |||||
Series A preferred stock dividend, per share | $ 0.4844 | |||||
Three-month LIBOR rate | Series B Cumulative Redeemable Preferred Stock | ||||||
Class of Stock | ||||||
Preferred stock dividend variable rate spread | 5.18% | |||||
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||||
[2] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Earnings per Common Share (As82
Earnings per Common Share (As Restated) Earnings per Common Share (As Restated) - Additional Information (Details) - shares | 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 (As83
Earnings per Common Share (As Restated) Earnings per Common Share (As Restated) - Earnings per Share (Detail) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | ||
Mar. 31, 2015 | Mar. 31, 2014 | ||
Basic Earnings | |||
Net income (loss) available to common stockholders | [1] | $ (17,440) | $ (66,759) |
Effect of dilutive securities: | |||
Income allocated to exchangeable senior notes | 0 | 0 | |
Loss allocated to non-controlling interest | (136) | (733) | |
Dilutive net income (loss) available to stockholders | $ (17,576) | $ (67,492) | |
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 | |
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Non-controlling Interest-Oper84
Non-controlling Interest-Operating Partnership (As Restated) - Additional Information (Detail) - USD ($) $ in Thousands | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 31, 2014 | [2] | ||
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 | [1],[2] | $ 61,757 | [1] | $ 64,969 | |
Non- Controlling Interest | ||||||
Noncontrolling Interest | ||||||
Distributions payable to non-controlling interest | $ 641 | $ 713 | ||||
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||||
[2] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". |
Non-controlling Interest-Oper85
Non-controlling Interest-Operating Partnership (As Restated) - Schedule of Income (Expense) Allocated and Distributions Paid to Noncontrolling Interests (Details) - Non- Controlling Interest - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2015 | Mar. 31, 2014 | |
Noncontrolling Interest | ||
Net income (loss) allocated | $ (136) | $ (733) |
Distributions paid | $ 641 | $ 713 |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) $ in Thousands | 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 | $ 31,000 | |
Unfunded commitment | $ 1,623 | $ 5,000 | $ 4,980 |
Restatement of Previously Iss87
Restatement of Previously Issued Financial Statements - Condensed Consolidated Balance Sheets (Details) - USD ($) $ in Thousands | Mar. 31, 2015 | Dec. 31, 2014 | |
Error Corrections and Prior Period Adjustments Restatement | |||
Accumulated other comprehensive income | [1] | $ 565,131 | $ 424,592 |
Retained earnings (distributions in excess of earnings) | [1] | (705,703) | $ (632,854) |
As Reported | |||
Error Corrections and Prior Period Adjustments Restatement | |||
Accumulated other comprehensive income | 560,358 | ||
Retained earnings (distributions in excess of earnings) | (700,930) | ||
Adjustment | |||
Error Corrections and Prior Period Adjustments Restatement | |||
Accumulated other comprehensive income | [2] | 4,773 | |
Retained earnings (distributions in excess of earnings) | [2] | (4,773) | |
GSE CRT | |||
Error Corrections and Prior Period Adjustments Restatement | |||
Retained earnings (distributions in excess of earnings) | (5,000) | ||
GSE CRT | Adjustment | |||
Error Corrections and Prior Period Adjustments Restatement | |||
Accumulated other comprehensive income | [2] | 5,000 | |
Agency MBO IO | |||
Error Corrections and Prior Period Adjustments Restatement | |||
Retained earnings (distributions in excess of earnings) | 200 | ||
Agency MBO IO | Adjustment | |||
Error Corrections and Prior Period Adjustments Restatement | |||
Accumulated other comprehensive income | [2] | $ (200) | |
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | ||
[2] | Includes $5.0 million of unrealized loss resulting from GSE CRTs and $0.2 million of unrealized gains resulting from Agency MBS IOs. |
Restatement of Previously Iss88
Restatement of Previously Issued Financial Statements - Condensed Consolidated Statements of Operations (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | |||
Interest Income: | ||||
Mortgage-backed and credit risk transfer securities | [1] | $ 135,265 | $ 148,405 | |
Gain (loss) on investments, net | [1],[2] | 2,172 | (17,772) | |
Realized and unrealized credit derivative income (loss), net | [1] | 21,362 | 17,487 | |
Net loss | [1],[2],[4] | (11,860) | [3] | (64,779) |
Net income (loss) attributable to non-controlling interest | [1] | (136) | (733) | |
Net loss attributable to Invesco Mortgage Capital Inc. | [1] | (11,724) | (64,046) | |
Net income (loss) available to common stockholders | [1] | $ (17,440) | $ (66,759) | |
Earnings per share: | ||||
Basic (in usd per share) | [1] | $ (0.14) | $ (0.54) | |
Diluted (in usd per share) | [1] | $ (0.14) | $ (0.54) | |
As Reported | ||||
Interest Income: | ||||
Mortgage-backed and credit risk transfer securities | $ 141,018 | |||
Gain (loss) on investments, net | 2,142 | |||
Realized and unrealized credit derivative income (loss), net | 203 | |||
Net loss | (27,296) | |||
Net income (loss) attributable to non-controlling interest | (312) | |||
Net loss attributable to Invesco Mortgage Capital Inc. | (26,984) | |||
Net income (loss) available to common stockholders | $ (32,700) | |||
Earnings per share: | ||||
Basic (in usd per share) | $ (0.27) | |||
Diluted (in usd per share) | $ (0.27) | |||
Adjustment | ||||
Interest Income: | ||||
Mortgage-backed and credit risk transfer securities | $ (5,753) | |||
Gain (loss) on investments, net | 30 | |||
Realized and unrealized credit derivative income (loss), net | 21,159 | |||
Net loss | [5] | 15,436 | ||
Net income (loss) attributable to non-controlling interest | 176 | |||
Net loss attributable to Invesco Mortgage Capital Inc. | 15,260 | |||
Net income (loss) available to common stockholders | $ 15,260 | |||
Earnings per share: | ||||
Basic (in usd per share) | $ 0.13 | |||
Diluted (in usd per share) | $ 0.13 | |||
[1] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[2] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[3] | For discussion of the restatement adjustments, see Note 16 - " Restatement of Previously Issued Financial Statements". | |||
[4] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[5] | Includes $5.0 million of unrealized loss resulting from GSE CRTs and $0.2 million of unrealized gains resulting from Agency MBS IOs. |
Restatement of Previously Iss89
Restatement of Previously Issued Financial Statements - Condensed Consolidated Statements of Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | |||
Error Corrections and Prior Period Adjustments Restatement | ||||
Net loss | [2],[3],[4] | $ (11,860) | [1] | $ (64,779) |
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities | [3] | 125,954 | 161,697 | |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | [3] | (2,934) | 11,718 | |
Total other comprehensive income | [3] | 142,165 | [1] | 194,711 |
Comprehensive income | [3] | 130,305 | 129,932 | |
Comprehensive income attributable to non-controlling interest | [3] | (1,490) | (1,483) | |
Comprehensive income attributable to common stockholders | [3] | 123,099 | $ 125,736 | |
As Reported | ||||
Error Corrections and Prior Period Adjustments Restatement | ||||
Net loss | (27,296) | |||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities | 140,598 | |||
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | (2,142) | |||
Total other comprehensive income | 157,601 | |||
Comprehensive income | 130,305 | |||
Comprehensive income attributable to non-controlling interest | (1,490) | |||
Comprehensive income attributable to common stockholders | 123,099 | |||
Adjustment | ||||
Error Corrections and Prior Period Adjustments Restatement | ||||
Net loss | [5] | 15,436 | ||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities | [5] | (14,644) | ||
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | [5] | (792) | ||
Total other comprehensive income | [5] | (15,436) | ||
Comprehensive income | [5] | 0 | ||
Comprehensive income attributable to non-controlling interest | [5] | 0 | ||
Comprehensive income attributable to common stockholders | [5] | $ 0 | ||
[1] | For discussion of the restatement adjustments, see Note 16 - " Restatement of Previously Issued Financial Statements". | |||
[2] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[3] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[4] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[5] | Includes $5.0 million of unrealized loss resulting from GSE CRTs and $0.2 million of unrealized gains resulting from Agency MBS IOs. |
Restatement of Previously Iss90
Restatement of Previously Issued Financial Statements - Condensed Consolidated Statement of Equity (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | |||
Error Corrections and Prior Period Adjustments Restatement | ||||
Net loss | [2],[3],[4] | $ (11,860) | [1] | $ (64,779) |
Total Other comprehensive income | [3] | 142,165 | [1] | $ 194,711 |
As Reported | ||||
Error Corrections and Prior Period Adjustments Restatement | ||||
Net loss | (27,296) | |||
Total Other comprehensive income | 157,601 | |||
Adjustment | ||||
Error Corrections and Prior Period Adjustments Restatement | ||||
Net loss | [5] | 15,436 | ||
Total Other comprehensive income | [5] | $ (15,436) | ||
[1] | For discussion of the restatement adjustments, see Note 16 - " Restatement of Previously Issued Financial Statements". | |||
[2] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[3] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[4] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[5] | Includes $5.0 million of unrealized loss resulting from GSE CRTs and $0.2 million of unrealized gains resulting from Agency MBS IOs. |
Restatement of Previously Iss91
Restatement of Previously Issued Financial Statements - Condensed Consolidated Statements of Cash Flows (Details) - USD ($) $ in Thousands | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | |||
Cash Flows from Operating Activities | ||||
Net loss | [2],[3],[4] | $ (11,860) | [1] | $ (64,779) |
Amortization of residential loans and asset-backed securities premiums (discount), net | [4] | 29,389 | 32,527 | |
Unrealized (gain) loss on credit derivatives, net | [4] | (15,976) | (13,914) | |
(Gain) loss on sale of mortgage-backed and credit risk transfer securities, net | [2],[4] | (2,172) | 17,772 | |
Realized (gain) loss on credit derivatives, net | [4] | 792 | 0 | |
Non-cash Investing and Financing Activities Information | ||||
Net change in unrealized gain on mortgage-backed and credit risk transfer securities | [4] | 123,020 | $ 173,415 | |
As Reported | ||||
Cash Flows from Operating Activities | ||||
Net loss | (27,296) | |||
Amortization of residential loans and asset-backed securities premiums (discount), net | 29,549 | |||
Unrealized (gain) loss on credit derivatives, net | 62 | |||
(Gain) loss on sale of mortgage-backed and credit risk transfer securities, net | (2,142) | |||
Realized (gain) loss on credit derivatives, net | 0 | |||
Non-cash Investing and Financing Activities Information | ||||
Net change in unrealized gain on mortgage-backed and credit risk transfer securities | 138,456 | |||
Adjustment | ||||
Cash Flows from Operating Activities | ||||
Net loss | [5] | 15,436 | ||
Amortization of residential loans and asset-backed securities premiums (discount), net | (160) | |||
Unrealized (gain) loss on credit derivatives, net | (16,038) | |||
(Gain) loss on sale of mortgage-backed and credit risk transfer securities, net | (30) | |||
Realized (gain) loss on credit derivatives, net | 792 | |||
Non-cash Investing and Financing Activities Information | ||||
Net change in unrealized gain on mortgage-backed and credit risk transfer securities | $ (15,436) | |||
[1] | For discussion of the restatement adjustments, see Note 16 - " Restatement of Previously Issued Financial Statements". | |||
[2] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[3] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[4] | For discussion of the restatement adjustments, see Note 16 - "Restatement of Previously Issued Financial Statements". | |||
[5] | Includes $5.0 million of unrealized loss resulting from GSE CRTs and $0.2 million of unrealized gains resulting from Agency MBS IOs. |