Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2016 | Aug. 02, 2016 | |
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 | |
Document Period End Date | Jun. 30, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus (Q1,Q2,Q3,FY) | Q2 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 111,583,435 |
Condensed Consolidated Balance
Condensed Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
ASSETS | ||
Mortgage-backed and credit risk transfer securities, at fair value | $ 15,625,027 | $ 16,065,935 |
Commercial loans, held-for-investment | 272,502 | 209,062 |
U.S. Treasury securities, at fair value | 152,701 | 0 |
Cash and cash equivalents | 144,084 | 53,199 |
Due from counterparties | 267,015 | 110,009 |
Investment related receivable | 37,186 | 154,594 |
Accrued interest receivable | 49,282 | 50,779 |
Derivative assets, at fair value | 5,502 | 8,659 |
Other assets | 108,283 | 115,072 |
Total assets | 16,661,582 | 16,767,309 |
Liabilities: | ||
Repurchase agreements | 11,768,647 | 12,126,048 |
Secured loans | 1,650,000 | 1,650,000 |
Exchangeable senior notes | 395,800 | 394,573 |
Derivative liabilities, at fair value | 447,738 | 238,148 |
Dividends and distributions payable | 50,919 | 51,734 |
Investment related payable | 87,668 | 167 |
Accrued interest payable | 17,625 | 21,604 |
Collateral held payable | 5,560 | 4,900 |
Accounts payable and accrued expenses | 2,080 | 2,376 |
Due to affiliate | 10,094 | 10,851 |
Total liabilities | 14,436,131 | 14,500,401 |
Equity: | ||
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 111,583,435 and 113,619,471 shares issued and outstanding, respectively | 1,116 | 1,136 |
Additional paid in capital | 2,382,689 | 2,407,372 |
Accumulated other comprehensive income | 558,954 | 318,624 |
Retained earnings (distributions in excess of earnings) | (1,028,354) | (771,313) |
Total stockholders’ equity | 2,199,621 | 2,241,035 |
Non-controlling interest | 25,830 | 25,873 |
Total equity | 2,225,451 | 2,266,908 |
Total liabilities and equity | 16,661,582 | 16,767,309 |
Series A Cumulative Redeemable Preferred Stock | ||
Equity: | ||
Preferred Stock | 135,356 | 135,356 |
Series B Cumulative Redeemable Preferred Stock | ||
Equity: | ||
Preferred Stock | $ 149,860 | $ 149,860 |
Condensed Consolidated Balance3
Condensed Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Preferred Stock - par value (in usd per share) | $ 0.01 | $ 0.01 |
Preferred Stock - shares authorized | 50,000,000 | 50,000,000 |
Common Stock - par value (in usd per share) | $ 0.01 | $ 0.01 |
Common Stock - shares authorized | 450,000,000 | 450,000,000 |
Common Stock - shares issued | 111,583,435 | 113,619,471 |
Common Stock - shares outstanding | 111,583,435 | 113,619,471 |
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 | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | ||
Interest Income | |||||
Mortgage-backed and credit risk transfer securities | $ 112,860 | $ 128,491 | $ 235,106 | $ 267,539 | |
Residential loans | [1] | 0 | 30,247 | 0 | 59,621 |
Commercial loans | 5,947 | 4,491 | 10,840 | 7,606 | |
Total interest income | 118,807 | 163,229 | 245,946 | 334,766 | |
Interest Expense | |||||
Repurchase agreements | 31,260 | 40,931 | 73,060 | 84,241 | |
Secured loans | 2,688 | 1,553 | 5,403 | 3,017 | |
Exchangeable senior notes | 5,614 | 5,613 | 11,227 | 11,220 | |
Asset-backed securities | [1] | 0 | 22,329 | 0 | 44,227 |
Total interest expense | 39,562 | 70,426 | 89,690 | 142,705 | |
Net interest income | 79,245 | 92,803 | 156,256 | 192,061 | |
Reduction in provision for loan losses | 0 | 70 | 0 | 132 | |
Net interest income after reduction in provision for loan losses | 79,245 | 92,873 | 156,256 | 192,193 | |
Other Income (loss) | |||||
Gain (loss) on investments, net | 1,414 | 10,896 | 13,015 | 12,986 | |
Equity in earnings of unconsolidated ventures | 202 | 1,231 | 1,263 | 7,237 | |
Gain (loss) on derivative instruments, net | (90,363) | 56,003 | (328,906) | (66,742) | |
Realized and unrealized credit derivative income (loss), net | 17,228 | 614 | 25,638 | 21,976 | |
Other investment income (loss), net | (2,745) | 1,673 | (3,063) | 779 | |
Total other income (loss) | (74,264) | 70,417 | (292,053) | (23,764) | |
Expenses | |||||
Management fee – related party | 9,061 | 9,343 | 18,573 | 18,758 | |
General and administrative | 1,896 | 1,952 | 3,933 | 3,679 | |
Consolidated securitization trusts | [1] | 0 | 2,256 | 0 | 4,412 |
Total expenses | 10,957 | 13,551 | 22,506 | 26,849 | |
Net income (loss) | (5,976) | 149,739 | (158,303) | 141,580 | |
Net income (loss) attributable to non-controlling interest | (75) | 1,712 | (1,958) | 1,618 | |
Net income (loss) attributable to Invesco Mortgage Capital Inc. | (5,901) | 148,027 | (156,345) | 139,962 | |
Dividends to preferred stockholders | 5,716 | 5,716 | 11,432 | 11,432 | |
Net income (loss) attributable to common stockholders | $ (11,617) | $ 142,311 | $ (167,777) | $ 128,530 | |
Earnings (loss) per share: | |||||
Net income attributable to common shareholders (basic) (usd per share) | $ (0.10) | $ 1.16 | $ (1.49) | $ 1.04 | |
Net income attributable to common shareholders (diluted) (usd per share) | (0.10) | 1.06 | (1.49) | 1 | |
Dividends declared per common share (usd per share) | $ 0.40 | $ 0.45 | $ 0.80 | $ 0.9 | |
[1] | The condensed consolidated statements of operations for the three and six months ended June 30, 2015 include income and expenses of consolidated variable interest entities ("VIEs"). The Company deconsolidated these VIEs in December 2015. Refer to Note 2 - “Summary of Significant Accounting Policies” for further discussion. |
Condensed Consolidated Stateme5
Condensed Consolidated Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income (loss) | $ (5,976) | $ 149,739 | $ (158,303) | $ 141,580 |
Other comprehensive income (loss): | ||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | 117,116 | (195,715) | 238,576 | (73,544) |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | (1,037) | (1,689) | (11,581) | (4,541) |
Reclassification of amortization of net deferred losses on de-designated interest rate swaps to repurchase agreements interest expense | 3,238 | 16,313 | 16,162 | 35,458 |
Currency translation adjustments on investment in unconsolidated venture | 274 | 0 | 225 | 0 |
Total other comprehensive income (loss) | 119,591 | (181,091) | 243,382 | (42,627) |
Comprehensive income (loss) | 113,615 | (31,352) | 85,079 | 98,953 |
Less: Comprehensive income (loss) attributable to non-controlling interest | (1,435) | 357 | (1,094) | (1,133) |
Less: Dividends to preferred stockholders | (5,716) | (5,716) | (11,432) | (11,432) |
Comprehensive income (loss) attributable to common stockholders | $ 106,464 | $ (36,711) | $ 72,553 | $ 86,388 |
Condensed Consolidated Stateme6
Condensed Consolidated Statement of Equity (Unaudited) - 6 months ended Jun. 30, 2016 - 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, 2015 | 5,600,000 | 6,200,000 | 113,619,471 | ||||||
Beginning Balance at Dec. 31, 2015 | $ 2,266,908 | $ 135,356 | $ 149,860 | $ 1,136 | $ 2,407,372 | $ 318,624 | $ (771,313) | $ 2,241,035 | $ 25,873 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Net loss | (158,303) | (156,345) | (156,345) | (1,958) | |||||
Other comprehensive income | 243,382 | 240,330 | 240,330 | 3,052 | |||||
Proceeds from issuance of stock, net of offering costs (in shares) | 3,201 | ||||||||
Proceeds from issuance of stock, net of offering costs | 35 | 35 | 35 | ||||||
Repurchase of shares of common stock (in shares) | (2,063,451) | ||||||||
Repurchase of shares of common stock | (25,000) | $ (20) | (24,980) | (25,000) | |||||
Stock awards (in shares) | 24,214 | ||||||||
Common stock dividends | (89,264) | (89,264) | (89,264) | ||||||
Common unit dividends | (1,140) | (1,140) | |||||||
Preferred stock dividends | (11,432) | (11,432) | (11,432) | ||||||
Amortization of equity-based compensation | 265 | 262 | 262 | 3 | |||||
Ending Balance (in shares) at Jun. 30, 2016 | 5,600,000 | 6,200,000 | 111,583,435 | ||||||
Ending Balance at Jun. 30, 2016 | $ 2,225,451 | $ 135,356 | $ 149,860 | $ 1,116 | $ 2,382,689 | $ 558,954 | $ (1,028,354) | $ 2,199,621 | $ 25,830 |
Condensed Consolidated Stateme7
Condensed Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2016 | Jun. 30, 2015 | |
Cash Flows from Operating Activities | ||
Net income (loss) | $ (158,303) | $ 141,580 |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net | 53,664 | 59,075 |
Amortization of residential loans and asset-backed securities premiums (discount), net | 0 | (254) |
Amortization of commercial loan origination fees | (139) | (22) |
Reduction in provision for loan losses | 0 | (132) |
Unrealized (gain) loss on derivative instruments, net | 211,261 | (66,192) |
Unrealized (gain) loss on credit derivatives, net | (19,229) | (11,867) |
(Gain) loss on investments, net | (13,015) | (12,986) |
Realized (gain) loss on derivative instruments, net | 63,569 | 41,315 |
Realized (gain) loss on credit derivatives, net | 6,017 | 2,468 |
Equity in earnings of unconsolidated ventures | (1,263) | (7,237) |
Amortization of equity-based compensation | 265 | 307 |
Amortization of deferred securitization and financing costs | 1,227 | 1,594 |
Amortization of net deferred losses on de-designated interest rate swaps to repurchase agreements interest expense | 16,162 | 35,458 |
(Gain) loss on foreign currency transactions, net | 4,741 | 619 |
Changes in operating assets and liabilities: | ||
(Increase) decrease in operating assets | 1,893 | (4,114) |
(Decrease) increase in operating liabilities | (5,039) | 7,846 |
Net cash provided by operating activities | 161,811 | 187,458 |
Cash Flows from Investing Activities | ||
Purchase of mortgage-backed and credit risk transfer securities | (1,061,651) | (1,416,277) |
Purchase of U.S. Treasury securities | (152,256) | 0 |
Proceeds from sale of U.S. Treasury securities | 122,736 | 0 |
(Contributions) distributions (from) to investment in unconsolidated ventures, net | 6,863 | 6,432 |
Change in other assets | 1,125 | (7,250) |
Principal payments from mortgage-backed and credit risk transfer securities | 1,131,028 | 1,267,293 |
Proceeds from sale of mortgage-backed and credit risk transfer securities | 659,959 | 242,543 |
Payments on sale of credit derivatives | (6,017) | (2,468) |
Payment of premiums for interest rate swaptions | 0 | (1,485) |
(Payments) proceeds (for) from termination of futures, forwards, swaps, swaptions and TBAs, net | (62,083) | (33,577) |
Purchase of residential loans held-for-investment | 0 | (372,305) |
Principal payments from residential loans held-for-investment | 0 | 271,700 |
Principal payments from commercial loans held-for-investment | 15,000 | 63,131 |
Origination and advances of commercial loans, net of origination fees | (83,005) | (72,965) |
Net cash provided by (used in) investing activities | 571,699 | (55,228) |
Cash Flows from Financing Activities | ||
Proceeds from issuance of common stock | 35 | 122 |
Repurchase of common stock | (25,000) | 0 |
Cost of issuance of preferred stock | 0 | (14) |
Due from counterparties | (158,132) | (10,026) |
Change in collateral held payable | 660 | (8,390) |
Proceeds from repurchase agreements | 61,581,699 | 70,442,045 |
Principal repayments of repurchase agreements | (61,939,100) | (70,889,813) |
Proceeds from asset-backed securities issued by securitization trusts | 0 | 336,077 |
Principal repayments of asset-backed securities issued by securitization trusts | 0 | (255,848) |
Proceeds from secured loans | 125,000 | 600,000 |
Principal repayments on secured loans | (125,000) | (300,000) |
Payments of deferred costs | (136) | |
Payments of dividends and distributions | (102,651) | (123,524) |
Net cash used in financing activities | (642,625) | (209,371) |
Net change in cash and cash equivalents | 90,885 | (77,141) |
Cash and cash equivalents, beginning of period | 53,199 | 164,144 |
Cash and cash equivalents, end of period | 144,084 | 87,003 |
Supplement Disclosure of Cash Flow Information | ||
Interest paid | 74,037 | 103,352 |
Non-cash Investing and Financing Activities Information | ||
Net change in unrealized gain on mortgage-backed and credit risk transfer securities | 226,995 | (78,085) |
Dividends and distributions declared not paid | 50,919 | 61,770 |
Net change in investment related payable (receivable) | 206,034 | 152,580 |
Repurchase agreements, not settled | 0 | (49) |
Net change in due from counterparties | $ 1,126 | $ 2,523 |
Organization and Business Opera
Organization and Business Operations | 6 Months Ended |
Jun. 30, 2016 | |
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 conducts its business through IAS Operating Partnership LP (the “Operating Partnership”), a variable interest entity ("VIE"), as its sole general partner. As of June 30, 2016 , the Company owned 98.7% of the Operating Partnership, and a wholly-owned subsidiary of Invesco owned the remaining 1.3% . 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 is externally managed and advised by Invesco Advisers, Inc. (the "Manager"), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. (“Invesco”), a leading independent global investment management firm. The Company 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 | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation and Consolidation Certain disclosures included in the Company’s Annual Report on Form 10-K are not required to be included on an interim basis in the Company’s quarterly reports on Form 10-Q. The Company has condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2015 . 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. During the period from January 1, 2015 through December 9, 2015, the condensed consolidated financial statements also include the results of operations of certain residential loan securitization trusts (the "residential securitizations") that meet the definition of a VIE. On December 9, 2015, the Company completed the sale of certain beneficial interests in the residential securitizations and deconsolidated the residential securitizations. Revision of Previously Issued Financial Statements During the second quarter of 2016, the Company corrected errors in its accounting for premiums and discounts associated with non-Agency RMBS not of high credit quality. The Company concluded that the errors are immaterial to each of the annual and interim consolidated financial statements which were included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015 and its interim report on Form 10-Q for the quarter ended March 31, 2016. The Company has corrected its financial statements for previous periods included in this filing on Form 10-Q and will correct its previously issued financial statements for these errors as the financial statements are presented in future periodic filings. Refer to Note 17 - "Revision of Previously Issued Financial Statements" for additional details. 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 There have been no changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Annual Report on Form 10-K for the year ended December 31, 2015, other than the significant accounting policies disclosed below. U.S. Treasury Securities U.S. Treasury Securities are classified as trading securities and are recorded at fair value. The Company records its purchases of U.S. Treasury Securities on the trade date. Changes in fair value are recognized in gain (loss) on investments, net in the Company’s consolidated statements of operations. Interest income is accrued based on the outstanding principal balance of the securities and their contractual terms. Premiums are amortized into interest income over the contractual lives of the securities using a level yield method. 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 MBS (and other prepayable mortgage-backed securities where the Company may not recover substantially all of its initial investment) is based on estimated future cash flows. Management estimates future expected cash flows at the time of purchase and determines the effective interest rate based on these estimated cash flows and the Company’s purchase price. Over the life of the investments, management updates these estimated future cash flows and computes a revised yield based on the current amortized cost of the investment. In estimating these future 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. When actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security and the security's yield is revised prospectively. Changes in cash flows from the Company's original or most recent projection may result in a prospective change in interest income recognized on these securities, or the amortized cost of these securities. 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. 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. Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements Effective January 1, 2016, the Company adopted the newly issued accounting guidance for presentation of debt issuance costs. Under the new standard, debt issuance costs are required to be presented in the consolidated balance sheets as a direct deduction from the carrying value of the associated debt liability. The Company adopted the accounting standard on a retrospective basis, which required the restatement of the Company's December 31, 2015 balance sheet. The adoption resulted in a $ 5.4 million reduction in exchangeable senior notes and a corresponding reduction in other assets. Effective January 1, 2016, the Company adopted the newly issued accounting guidance for reporting entities that are required to determine whether they should consolidate certain legal entities. The Company adopted the accounting standard on a modified retrospective approach which did not require restatement of prior periods to conform to the post adoption presentation. The Company did not consolidate or deconsolidate any legal entities as a result of implementing the new guidance. In January 2016, the FASB issued guidance to improve certain aspects of classification and measurement of financial instruments, including significant revisions in accounting related to the classification and measurement of investments in equity securities and presentation of certain fair value changes for financial liabilities when the fair value option is elected. The guidance also amends certain disclosure requirements associated with the fair value of financial instruments. The Company is required to adopt the new guidance in the first quarter of 2018. Early adoption is permitted. The Company is currently evaluating the potential impact of the new guidance on its consolidated financial statements, as well as available transition methods. In June 2016, the FASB issued an amendment to the guidance on reporting credit losses for assets measured at amortized cost and available-for-sale securities. The Company is required to adopt the new guidance in the first quarter of 2020. Early adoption is permitted. The Company is currently evaluating the potential impacts of the new guidance on its consolidated financial statements, as well as available transition methods. |
Variable Interest Entities
Variable Interest Entities | 6 Months Ended |
Jun. 30, 2016 | |
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 June 30, 2016 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency RMBS 2,248,974 2,248,974 CMBS 2,733,442 2,733,442 Investments in unconsolidated ventures 33,037 33,037 Total 5,015,453 5,015,453 Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" and Note 7 - "Other Assets" for additional details regarding these investments. |
Mortgage-Backed and Credit Risk
Mortgage-Backed and Credit Risk Transfer Securities | 6 Months Ended |
Jun. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed and Credit Risk Transfer Securities | Mortgage-Backed and Credit Risk Transfer Securities The following tables summarize the Company’s MBS and GSE CRT portfolio by asset type as of June 30, 2016 and December 31, 2015 . June 30, 2016 $ in thousands Principal/ Notional 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 2,417,736 112,107 2,529,843 33,507 2,563,350 3.39 % 2.36 % 1.87 % 30 year fixed-rate 3,509,579 228,288 3,737,867 88,566 3,826,433 4.22 % 2.88 % 2.74 % ARM * 351,704 3,332 355,036 9,298 364,334 2.71 % 2.62 % 2.30 % Hybrid ARM 2,774,976 50,477 2,825,453 54,535 2,879,988 2.72 % 2.53 % 2.10 % Total Agency pass-through 9,053,995 394,204 9,448,199 185,906 9,634,105 3.48 % 2.63 % 2.31 % Agency-CMO (4) 1,718,714 (1,340,005 ) 378,709 16,556 395,265 2.18 % 3.50 % 2.55 % Non-Agency RMBS (5)(6)(7) 4,349,423 (2,178,234 ) 2,171,189 77,785 2,248,974 2.18 % 5.21 % 4.74 % GSE CRT (8)(9) 592,171 21,346 613,517 (276 ) 613,241 1.46 % 0.78 % 0.86 % CMBS (10) 3,166,131 (559,557 ) 2,606,574 126,868 2,733,442 3.95 % 4.34 % 4.37 % Total 18,880,434 (3,662,246 ) 15,218,188 406,839 15,625,027 3.08 % 3.23 % 2.97 % * Adjustable-rate mortgage ("ARM") (1) Net weighted average coupon as of June 30, 2016 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of June 30, 2016 and incorporates future prepayment and loss assumptions. (3) Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. (4) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 83.5% of principal (notional) balance, 24.3% of amortized cost and 25.3% of fair value. (5) Non-Agency RMBS held by the Company is 46.0% variable rate, 47.2% fixed rate, and 6.8% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $261.6 million is non-accretable based on the Company's estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 1.4% of the balance based on fair value. (8) The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 3.4% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative. (9) GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. (10) CMBS includes interest-only securities, which represent 0.9% of the balance based on fair value. December 31, 2015 $ in thousands Principal/Notional 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 1,527,877 72,389 1,600,266 10,664 1,610,930 3.72 % 2.47 % 2.40 % 30 year fixed-rate 3,796,091 249,285 4,045,376 18,581 4,063,957 4.24 % 2.81 % 2.85 % ARM 417,424 4,625 422,049 3,976 426,025 2.72 % 2.58 % 2.26 % Hybrid ARM 3,240,967 63,324 3,304,291 5,234 3,309,525 2.73 % 2.56 % 2.22 % Total Agency pass-through 8,982,359 389,623 9,371,982 38,455 9,410,437 3.54 % 2.65 % 2.53 % Agency-CMO (4) 1,774,621 (1,386,284 ) 388,337 482 388,819 2.23 % 4.29 % 3.42 % Non-Agency RMBS (5)(6)(7) 4,965,978 (2,363,799 ) 2,602,179 90,308 2,692,487 2.20 % 5.11 % 4.90 % GSE CRT (8)(9) 657,500 22,593 680,093 (21,865 ) 658,228 1.32 % 0.72 % 0.62 % CMBS (10) 3,429,655 (558,749 ) 2,870,906 45,058 2,915,964 3.95 % 4.30 % 4.35 % Total 19,810,113 (3,896,616 ) 15,913,497 152,438 16,065,935 3.08 % 3.31 % 3.16 % (1) Net weighted average coupon as of December 31, 2015 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of December 31, 2015 and incorporates future prepayment and loss assumptions. (3) Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. (4) Agency collateralized mortgage obligation ("Agency CMO") includes interest-only securities, which represent 84.4% o f principal (notional) balance, 27.5% of amortized cost and 27.6% of fair value. (5) Non-Agency RMBS held by the Company is 48.4% variable rate, 45.2% fixed rate, and 6.4% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $281.6 million is non-accretable based on the Company's estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 1.3% of the balance based on fair value. (8) The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 1.9% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative. (9) GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. (10) CMBS includes interest-only securities and commercial real estate mezzanine loan pass-through certificates, which represent 0.9% and 0.7% of the balance based on fair value, respectively. The following table summarizes the Company's non-Agency RMBS portfolio by asset type based on fair value as of June 30, 2016 and December 31, 2015 . $ in thousands June 30, 2016 % of Non-Agency December 31, 2015 % of Non-Agency Prime 980,428 43.6 % 1,081,428 40.2 % Alt-A 476,444 21.2 % 544,306 20.2 % Re-REMIC 446,997 19.8 % 663,853 24.7 % Subprime/reperforming 345,105 15.4 % 402,900 14.9 % Total Non-Agency 2,248,974 100.0 % 2,692,487 100.0 % 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 June 30, 2016 and December 31, 2015 . Percentage of Re-REMIC Holdings at Fair Value Re-REMIC Subordination (1) June 30, 2016 December 31, 2015 0% - 10% 14.4 % 11.0 % 10% - 20% 7.3 % 5.6 % 20% - 30% 13.6 % 12.7 % 30% - 40% 16.0 % 20.8 % 40% - 50% 30.3 % 32.8 % 50% - 60% 15.8 % 13.3 % 60% - 70% 2.6 % 3.8 % 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. 30.9% of the Company's Re-REMIC holdings are not senior tranches. The components of the carrying value of the Company’s MBS and GSE CRT portfolio at June 30, 2016 and December 31, 2015 are presented below. $ in thousands June 30, 2016 December 31, 2015 Principal balance 18,880,434 19,810,113 Unamortized premium 491,288 495,539 Unamortized discount (4,153,534 ) (4,392,155 ) Gross unrealized gains 442,992 303,890 Gross unrealized losses (36,153 ) (151,452 ) Fair value 15,625,027 16,065,935 The following table summarizes the Company’s MBS and GSE CRT portfolio according to estimated weighted average life classifications as of June 30, 2016 and December 31, 2015 . $ in thousands June 30, 2016 December 31, 2015 Less than one year 280,795 427,678 Greater than one year and less than five years 10,683,740 6,237,547 Greater than or equal to five years 4,660,492 9,400,710 Total 15,625,027 16,065,935 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 June 30, 2016 and December 31, 2015 . June 30, 2016 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 68,046 (263 ) 14 94,534 (613 ) 10 162,580 (876 ) 24 30 year fixed-rate — — — 1,193,363 (7,625 ) 46 1,193,363 (7,625 ) 46 ARM 1,392 (15 ) 1 — — — 1,392 (15 ) 1 Hybrid ARM 9,522 (6 ) 2 256 (3 ) 2 9,778 (9 ) 4 Total Agency pass-through 78,960 (284 ) 17 1,288,153 (8,241 ) 58 1,367,113 (8,525 ) 75 Agency-CMO (1) 36,372 (1,370 ) 11 1,996 (260 ) 3 38,368 (1,630 ) 14 Non-Agency RMBS 756,236 (9,188 ) 57 270,801 (6,891 ) 29 1,027,037 (16,079 ) 86 GSE CRT (2) 34,936 (64 ) 1 146,726 (5,870 ) 10 181,662 (5,934 ) 11 CMBS 147,515 (2,484 ) 12 126,851 (1,501 ) 12 274,366 (3,985 ) 24 Total 1,054,019 (13,390 ) 98 1,834,527 (22,763 ) 112 2,888,546 (36,153 ) 210 (1) Fair value includes unrealized losses on Agency IO of $1.4 million and unrealized losses on CMO of $244,000 . (2) Fair value includes unrealized losses on both the debt host contract and the embedded derivative. December 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 600,480 (8,081 ) 33 77,506 (1,482 ) 6 677,986 (9,563 ) 39 30 year fixed-rate 776,065 (14,827 ) 32 1,120,391 (39,497 ) 47 1,896,456 (54,324 ) 79 ARM 200,863 (501 ) 11 — — — 200,863 (501 ) 11 Hybrid ARM 1,913,872 (17,082 ) 111 — — — 1,913,872 (17,082 ) 111 Total Agency pass-through 3,491,280 (40,491 ) 187 1,197,897 (40,979 ) 53 4,689,177 (81,470 ) 240 Agency-CMO (1) 166,754 (3,296 ) 14 9,118 (6,934 ) 9 175,872 (10,230 ) 23 Non-Agency RMBS 872,575 (7,286 ) 66 316,010 (10,699 ) 20 1,188,585 (17,985 ) 86 GSE CRT (2) 340,116 (10,050 ) 16 120,877 (13,605 ) 7 460,993 (23,655 ) 23 CMBS 1,224,985 (17,328 ) 85 31,533 (784 ) 2 1,256,518 (18,112 ) 87 Total 6,095,710 (78,451 ) 368 1,675,435 (73,001 ) 91 7,771,145 (151,452 ) 459 (1) Fair value includes unrealized losses on Agency IO of $8.3 million and unrealized losses on CMO of $1.9 million . (2) Fair value includes unrealized losses on both the debt host contract and the embedded derivative. Gross unrealized losses on the Company’s Agency RMBS and CMO were $8.5 million and $244,000 , respectively, at June 30, 2016 . Due to the inherent credit quality of Agency RMBS and CMO, the Company determined that at June 30, 2016 , any unrealized losses on its Agency RMBS and CMO portfolio are not other than temporary. Gross unrealized losses on the Company’s Agency IO, non-Agency RMBS, GSE CRT and CMBS were $27.4 million at June 30, 2016 . 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 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.” This analysis includes a determination of estimated future cash flows through an evaluation of the characteristics of the underlying loans and the structural features of the investment. Underlying loan characteristics reviewed include, but are not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. The Company recorded $1.5 million and $7.2 million in other-than-temporary impairments ("OTTI") on RMBS interest-only securities during the three and six months ended June 30, 2016 , respectively. As the Company had previously elected the fair value option for these interest-only securities, the OTTI was recorded as a reclassification from an unrealized to a realized loss within gain (loss) on investments, net reported on the consolidated statement of operations. The Company did not record any OTTI for the three and six months ended June 30, 2015 . As of June 30, 2016 , the Company did not intend to sell the securities and determined that it was not more likely than not that the Company will be required to sell the securities. The following table presents the changes in OTTI included in earnings for the three and six months ended June 30, 2016 and 2015 . $ in thousands Three Months Three Months Six Months ended Six Months ended Cumulative credit loss at beginning of period 5,683 — — — Additions: — — — — Other-than-temporary impairments not previously recognized 1,480 — 7,163 — Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 45 — 45 — Cumulative credit loss at end of period 7,208 — 7,208 — The following table presents the impact of the Company’s MBS and GSE CRT debt host contract on accumulated other comprehensive income (loss) for the three and six months ended June 30, 2016 and 2015 . The Company reclassifies unrealized gains and losses from other comprehensive income to gain (loss) on investments, net when it sells investments. The table excludes RMBS IOs and GSE CRTs that are accounted for under the fair value option. $ in thousands Three Months Three Months Six Months ended Six Months ended Accumulated other comprehensive income (loss) from MBS and GSE CRT securities: Unrealized gain (loss) on MBS and GSE CRT at beginning of period 288,715 495,655 177,799 376,336 Unrealized gain (loss) on MBS and GSE CRT 117,116 (195,715 ) 238,576 (73,544 ) Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net (1,037 ) (1,689 ) (11,581 ) (4,541 ) Balance at the end of period 404,794 298,251 404,794 298,251 The following table summarizes the components of the Company's total gain (loss) on investments, net for the three and six months ended June 30, 2016 and 2015 . $ in thousands Three Months Three Months Six Months ended Six Months ended Gross realized gain on sale of investments 1,037 1,813 14,052 4,777 Gross realized loss on sale of investments — (124 ) (2,471 ) (236 ) Other-than-temporary impairment losses (1,525 ) — (7,208 ) — Net unrealized gain (loss) on RMBS IOs (fair value option) 1,266 9,207 7,942 8,445 Net unrealized gain (loss) on GSE CRT (fair value option) 173 — 237 — Total gains (loss) on investments, net (1) 951 10,896 12,552 12,986 (1) Included within gain (loss) on investments, net on the consolidated statement of operations is unrealized gains on U.S. Treasury securities of $463,000 ( June 30, 2015 : $0 ) for the three and six months ended June 30, 2016 , respectively. U.S. Treasury securities are accounted for as trading securities, refer to Note 6 - "Trading Securities." The following table presents components of interest income recognized on the Company’s MBS and GSE CRT portfolio for the three and six months ended June 30, 2016 and 2015 . GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. For the three months ended June 30, 2016 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 84,440 (28,277 ) 56,163 Non-Agency 24,127 2,292 26,419 GSE CRT 2,136 (775 ) 1,361 CMBS 31,476 (2,839 ) 28,637 Other 297 (17 ) 280 Total 142,476 (29,616 ) 112,860 For the three months ended June 30, 2015 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 94,394 (34,828 ) 59,566 Non-Agency 28,283 4,552 32,835 GSE CRT 1,618 (770 ) 848 CMBS 37,607 (2,423 ) 35,184 Other 58 — 58 Total 161,960 (33,469 ) 128,491 For the six months ended June 30, 2016 $ in thousands Coupon Net (Premium Interest Agency 170,211 (52,462 ) 117,749 Non-Agency 49,976 6,136 56,112 GSE CRT 4,333 (1,542 ) 2,791 CMBS 63,740 (5,779 ) 57,961 Other 510 (17 ) 493 Total 288,770 (53,664 ) 235,106 For the six months ended June 30, 2015 $ in thousands Coupon Net (Premium Interest Agency 188,766 (61,687 ) 127,079 Non-Agency 59,093 8,993 68,086 GSE CRT 3,186 (1,530 ) 1,656 CMBS 75,512 (4,851 ) 70,661 Other 57 — 57 Total 326,614 (59,075 ) 267,539 Trading Securities The following table presents the carrying value of the Company's U.S. Treasury securities as of June 30, 2016 and December 31, 2015 . $ in thousands June 30, 2016 December 31, 2015 Amortized cost 152,238 — Unrealized gains, net 463 — Fair value 152,701 — The Company did not record any realized gains or losses on U.S. Treasury securities for the three and six months ended June 30, 2016 and 2015 . |
Commercial Loans Held-for-Inves
Commercial Loans Held-for-Investment | 6 Months Ended |
Jun. 30, 2016 | |
Receivables [Abstract] | |
Commercial Loans Held-for-Investment | Commercial Loans Held-for-Investment The following table summarizes commercial loans held-for-investment as of June 30, 2016 and December 31, 2015 that were purchased or originated by the Company. June 30, 2016 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Mezzanine loans 10 272,980 (478 ) 272,502 Total 10 272,980 (478 ) 272,502 December 31, 2015 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Mezzanine loans 6 210,769 (1,707 ) 209,062 Total 6 210,769 (1,707 ) 209,062 These loans were not impaired, and no allowance for loan loss has been recorded as of June 30, 2016 and December 31, 2015 . |
Trading Securities
Trading Securities | 6 Months Ended |
Jun. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Trading Securities | Mortgage-Backed and Credit Risk Transfer Securities The following tables summarize the Company’s MBS and GSE CRT portfolio by asset type as of June 30, 2016 and December 31, 2015 . June 30, 2016 $ in thousands Principal/ Notional 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 2,417,736 112,107 2,529,843 33,507 2,563,350 3.39 % 2.36 % 1.87 % 30 year fixed-rate 3,509,579 228,288 3,737,867 88,566 3,826,433 4.22 % 2.88 % 2.74 % ARM * 351,704 3,332 355,036 9,298 364,334 2.71 % 2.62 % 2.30 % Hybrid ARM 2,774,976 50,477 2,825,453 54,535 2,879,988 2.72 % 2.53 % 2.10 % Total Agency pass-through 9,053,995 394,204 9,448,199 185,906 9,634,105 3.48 % 2.63 % 2.31 % Agency-CMO (4) 1,718,714 (1,340,005 ) 378,709 16,556 395,265 2.18 % 3.50 % 2.55 % Non-Agency RMBS (5)(6)(7) 4,349,423 (2,178,234 ) 2,171,189 77,785 2,248,974 2.18 % 5.21 % 4.74 % GSE CRT (8)(9) 592,171 21,346 613,517 (276 ) 613,241 1.46 % 0.78 % 0.86 % CMBS (10) 3,166,131 (559,557 ) 2,606,574 126,868 2,733,442 3.95 % 4.34 % 4.37 % Total 18,880,434 (3,662,246 ) 15,218,188 406,839 15,625,027 3.08 % 3.23 % 2.97 % * Adjustable-rate mortgage ("ARM") (1) Net weighted average coupon as of June 30, 2016 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of June 30, 2016 and incorporates future prepayment and loss assumptions. (3) Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. (4) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 83.5% of principal (notional) balance, 24.3% of amortized cost and 25.3% of fair value. (5) Non-Agency RMBS held by the Company is 46.0% variable rate, 47.2% fixed rate, and 6.8% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $261.6 million is non-accretable based on the Company's estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 1.4% of the balance based on fair value. (8) The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 3.4% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative. (9) GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. (10) CMBS includes interest-only securities, which represent 0.9% of the balance based on fair value. December 31, 2015 $ in thousands Principal/Notional 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 1,527,877 72,389 1,600,266 10,664 1,610,930 3.72 % 2.47 % 2.40 % 30 year fixed-rate 3,796,091 249,285 4,045,376 18,581 4,063,957 4.24 % 2.81 % 2.85 % ARM 417,424 4,625 422,049 3,976 426,025 2.72 % 2.58 % 2.26 % Hybrid ARM 3,240,967 63,324 3,304,291 5,234 3,309,525 2.73 % 2.56 % 2.22 % Total Agency pass-through 8,982,359 389,623 9,371,982 38,455 9,410,437 3.54 % 2.65 % 2.53 % Agency-CMO (4) 1,774,621 (1,386,284 ) 388,337 482 388,819 2.23 % 4.29 % 3.42 % Non-Agency RMBS (5)(6)(7) 4,965,978 (2,363,799 ) 2,602,179 90,308 2,692,487 2.20 % 5.11 % 4.90 % GSE CRT (8)(9) 657,500 22,593 680,093 (21,865 ) 658,228 1.32 % 0.72 % 0.62 % CMBS (10) 3,429,655 (558,749 ) 2,870,906 45,058 2,915,964 3.95 % 4.30 % 4.35 % Total 19,810,113 (3,896,616 ) 15,913,497 152,438 16,065,935 3.08 % 3.31 % 3.16 % (1) Net weighted average coupon as of December 31, 2015 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of December 31, 2015 and incorporates future prepayment and loss assumptions. (3) Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. (4) Agency collateralized mortgage obligation ("Agency CMO") includes interest-only securities, which represent 84.4% o f principal (notional) balance, 27.5% of amortized cost and 27.6% of fair value. (5) Non-Agency RMBS held by the Company is 48.4% variable rate, 45.2% fixed rate, and 6.4% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $281.6 million is non-accretable based on the Company's estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 1.3% of the balance based on fair value. (8) The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 1.9% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative. (9) GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. (10) CMBS includes interest-only securities and commercial real estate mezzanine loan pass-through certificates, which represent 0.9% and 0.7% of the balance based on fair value, respectively. The following table summarizes the Company's non-Agency RMBS portfolio by asset type based on fair value as of June 30, 2016 and December 31, 2015 . $ in thousands June 30, 2016 % of Non-Agency December 31, 2015 % of Non-Agency Prime 980,428 43.6 % 1,081,428 40.2 % Alt-A 476,444 21.2 % 544,306 20.2 % Re-REMIC 446,997 19.8 % 663,853 24.7 % Subprime/reperforming 345,105 15.4 % 402,900 14.9 % Total Non-Agency 2,248,974 100.0 % 2,692,487 100.0 % 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 June 30, 2016 and December 31, 2015 . Percentage of Re-REMIC Holdings at Fair Value Re-REMIC Subordination (1) June 30, 2016 December 31, 2015 0% - 10% 14.4 % 11.0 % 10% - 20% 7.3 % 5.6 % 20% - 30% 13.6 % 12.7 % 30% - 40% 16.0 % 20.8 % 40% - 50% 30.3 % 32.8 % 50% - 60% 15.8 % 13.3 % 60% - 70% 2.6 % 3.8 % 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. 30.9% of the Company's Re-REMIC holdings are not senior tranches. The components of the carrying value of the Company’s MBS and GSE CRT portfolio at June 30, 2016 and December 31, 2015 are presented below. $ in thousands June 30, 2016 December 31, 2015 Principal balance 18,880,434 19,810,113 Unamortized premium 491,288 495,539 Unamortized discount (4,153,534 ) (4,392,155 ) Gross unrealized gains 442,992 303,890 Gross unrealized losses (36,153 ) (151,452 ) Fair value 15,625,027 16,065,935 The following table summarizes the Company’s MBS and GSE CRT portfolio according to estimated weighted average life classifications as of June 30, 2016 and December 31, 2015 . $ in thousands June 30, 2016 December 31, 2015 Less than one year 280,795 427,678 Greater than one year and less than five years 10,683,740 6,237,547 Greater than or equal to five years 4,660,492 9,400,710 Total 15,625,027 16,065,935 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 June 30, 2016 and December 31, 2015 . June 30, 2016 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 68,046 (263 ) 14 94,534 (613 ) 10 162,580 (876 ) 24 30 year fixed-rate — — — 1,193,363 (7,625 ) 46 1,193,363 (7,625 ) 46 ARM 1,392 (15 ) 1 — — — 1,392 (15 ) 1 Hybrid ARM 9,522 (6 ) 2 256 (3 ) 2 9,778 (9 ) 4 Total Agency pass-through 78,960 (284 ) 17 1,288,153 (8,241 ) 58 1,367,113 (8,525 ) 75 Agency-CMO (1) 36,372 (1,370 ) 11 1,996 (260 ) 3 38,368 (1,630 ) 14 Non-Agency RMBS 756,236 (9,188 ) 57 270,801 (6,891 ) 29 1,027,037 (16,079 ) 86 GSE CRT (2) 34,936 (64 ) 1 146,726 (5,870 ) 10 181,662 (5,934 ) 11 CMBS 147,515 (2,484 ) 12 126,851 (1,501 ) 12 274,366 (3,985 ) 24 Total 1,054,019 (13,390 ) 98 1,834,527 (22,763 ) 112 2,888,546 (36,153 ) 210 (1) Fair value includes unrealized losses on Agency IO of $1.4 million and unrealized losses on CMO of $244,000 . (2) Fair value includes unrealized losses on both the debt host contract and the embedded derivative. December 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 600,480 (8,081 ) 33 77,506 (1,482 ) 6 677,986 (9,563 ) 39 30 year fixed-rate 776,065 (14,827 ) 32 1,120,391 (39,497 ) 47 1,896,456 (54,324 ) 79 ARM 200,863 (501 ) 11 — — — 200,863 (501 ) 11 Hybrid ARM 1,913,872 (17,082 ) 111 — — — 1,913,872 (17,082 ) 111 Total Agency pass-through 3,491,280 (40,491 ) 187 1,197,897 (40,979 ) 53 4,689,177 (81,470 ) 240 Agency-CMO (1) 166,754 (3,296 ) 14 9,118 (6,934 ) 9 175,872 (10,230 ) 23 Non-Agency RMBS 872,575 (7,286 ) 66 316,010 (10,699 ) 20 1,188,585 (17,985 ) 86 GSE CRT (2) 340,116 (10,050 ) 16 120,877 (13,605 ) 7 460,993 (23,655 ) 23 CMBS 1,224,985 (17,328 ) 85 31,533 (784 ) 2 1,256,518 (18,112 ) 87 Total 6,095,710 (78,451 ) 368 1,675,435 (73,001 ) 91 7,771,145 (151,452 ) 459 (1) Fair value includes unrealized losses on Agency IO of $8.3 million and unrealized losses on CMO of $1.9 million . (2) Fair value includes unrealized losses on both the debt host contract and the embedded derivative. Gross unrealized losses on the Company’s Agency RMBS and CMO were $8.5 million and $244,000 , respectively, at June 30, 2016 . Due to the inherent credit quality of Agency RMBS and CMO, the Company determined that at June 30, 2016 , any unrealized losses on its Agency RMBS and CMO portfolio are not other than temporary. Gross unrealized losses on the Company’s Agency IO, non-Agency RMBS, GSE CRT and CMBS were $27.4 million at June 30, 2016 . 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 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.” This analysis includes a determination of estimated future cash flows through an evaluation of the characteristics of the underlying loans and the structural features of the investment. Underlying loan characteristics reviewed include, but are not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. The Company recorded $1.5 million and $7.2 million in other-than-temporary impairments ("OTTI") on RMBS interest-only securities during the three and six months ended June 30, 2016 , respectively. As the Company had previously elected the fair value option for these interest-only securities, the OTTI was recorded as a reclassification from an unrealized to a realized loss within gain (loss) on investments, net reported on the consolidated statement of operations. The Company did not record any OTTI for the three and six months ended June 30, 2015 . As of June 30, 2016 , the Company did not intend to sell the securities and determined that it was not more likely than not that the Company will be required to sell the securities. The following table presents the changes in OTTI included in earnings for the three and six months ended June 30, 2016 and 2015 . $ in thousands Three Months Three Months Six Months ended Six Months ended Cumulative credit loss at beginning of period 5,683 — — — Additions: — — — — Other-than-temporary impairments not previously recognized 1,480 — 7,163 — Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 45 — 45 — Cumulative credit loss at end of period 7,208 — 7,208 — The following table presents the impact of the Company’s MBS and GSE CRT debt host contract on accumulated other comprehensive income (loss) for the three and six months ended June 30, 2016 and 2015 . The Company reclassifies unrealized gains and losses from other comprehensive income to gain (loss) on investments, net when it sells investments. The table excludes RMBS IOs and GSE CRTs that are accounted for under the fair value option. $ in thousands Three Months Three Months Six Months ended Six Months ended Accumulated other comprehensive income (loss) from MBS and GSE CRT securities: Unrealized gain (loss) on MBS and GSE CRT at beginning of period 288,715 495,655 177,799 376,336 Unrealized gain (loss) on MBS and GSE CRT 117,116 (195,715 ) 238,576 (73,544 ) Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net (1,037 ) (1,689 ) (11,581 ) (4,541 ) Balance at the end of period 404,794 298,251 404,794 298,251 The following table summarizes the components of the Company's total gain (loss) on investments, net for the three and six months ended June 30, 2016 and 2015 . $ in thousands Three Months Three Months Six Months ended Six Months ended Gross realized gain on sale of investments 1,037 1,813 14,052 4,777 Gross realized loss on sale of investments — (124 ) (2,471 ) (236 ) Other-than-temporary impairment losses (1,525 ) — (7,208 ) — Net unrealized gain (loss) on RMBS IOs (fair value option) 1,266 9,207 7,942 8,445 Net unrealized gain (loss) on GSE CRT (fair value option) 173 — 237 — Total gains (loss) on investments, net (1) 951 10,896 12,552 12,986 (1) Included within gain (loss) on investments, net on the consolidated statement of operations is unrealized gains on U.S. Treasury securities of $463,000 ( June 30, 2015 : $0 ) for the three and six months ended June 30, 2016 , respectively. U.S. Treasury securities are accounted for as trading securities, refer to Note 6 - "Trading Securities." The following table presents components of interest income recognized on the Company’s MBS and GSE CRT portfolio for the three and six months ended June 30, 2016 and 2015 . GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. For the three months ended June 30, 2016 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 84,440 (28,277 ) 56,163 Non-Agency 24,127 2,292 26,419 GSE CRT 2,136 (775 ) 1,361 CMBS 31,476 (2,839 ) 28,637 Other 297 (17 ) 280 Total 142,476 (29,616 ) 112,860 For the three months ended June 30, 2015 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 94,394 (34,828 ) 59,566 Non-Agency 28,283 4,552 32,835 GSE CRT 1,618 (770 ) 848 CMBS 37,607 (2,423 ) 35,184 Other 58 — 58 Total 161,960 (33,469 ) 128,491 For the six months ended June 30, 2016 $ in thousands Coupon Net (Premium Interest Agency 170,211 (52,462 ) 117,749 Non-Agency 49,976 6,136 56,112 GSE CRT 4,333 (1,542 ) 2,791 CMBS 63,740 (5,779 ) 57,961 Other 510 (17 ) 493 Total 288,770 (53,664 ) 235,106 For the six months ended June 30, 2015 $ in thousands Coupon Net (Premium Interest Agency 188,766 (61,687 ) 127,079 Non-Agency 59,093 8,993 68,086 GSE CRT 3,186 (1,530 ) 1,656 CMBS 75,512 (4,851 ) 70,661 Other 57 — 57 Total 326,614 (59,075 ) 267,539 Trading Securities The following table presents the carrying value of the Company's U.S. Treasury securities as of June 30, 2016 and December 31, 2015 . $ in thousands June 30, 2016 December 31, 2015 Amortized cost 152,238 — Unrealized gains, net 463 — Fair value 152,701 — The Company did not record any realized gains or losses on U.S. Treasury securities for the three and six months ended June 30, 2016 and 2015 . |
Other Assets
Other Assets | 6 Months Ended |
Jun. 30, 2016 | |
Schedule of Investments [Abstract] | |
Other Assets | Other Assets The following table summarizes the Company's other assets as of June 30, 2016 and December 31, 2015 . $ in thousands June 30, 2016 December 31, 2015 FHLBI stock 74,250 75,375 Investments in unconsolidated ventures 33,037 38,413 Prepaid expenses 996 1,284 Total 108,283 115,072 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 16 - "Commitments and Contingencies" for additional details regarding the Company's commitments to these unconsolidated ventures. |
Borrowings
Borrowings | 6 Months Ended |
Jun. 30, 2016 | |
Debt Disclosure [Abstract] | |
Borrowings | Borrowings The Company has financed the majority of its investment portfolio through repurchase agreements, secured loans and exchangeable senior notes. The following table summarizes certain characteristics of the Company’s borrowings at June 30, 2016 and December 31, 2015 . $ in thousands June 30, 2016 December 31, 2015 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 8,351,796 0.65 % 16 8,389,643 0.65 % 24 Non-Agency RMBS 1,775,190 1.83 % 39 2,077,240 1.68 % 32 GSE CRT 457,046 2.06 % 28 488,275 1.91 % 19 CMBS 1,032,365 1.61 % 20 1,170,890 1.49 % 23 U.S. Treasury securities 152,250 0.31 % 18 — — % — Total Repurchase Agreements 11,768,647 0.96 % 20 12,126,048 0.96 % 25 Secured Loans 1,650,000 0.66 % 2,866 1,650,000 0.55 % 2,937 Exchangeable Senior Notes (1) 400,000 5.00 % 623 400,000 5.00 % 805 Total Borrowings 13,818,647 1.04 % 377 14,176,048 1.02 % 386 (1) The carrying value of exchangeable senior notes is $395.8 million and $394.6 million as of June 30, 2016 and December 31, 2015 , respectively. The carrying value is net of debt issuance costs of $4.2 million and $5.4 million as of June 30, 2016 and December 31, 2015 , respectively. 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. The Company intends to maintain a level of liquidity that will enable the Company to meet margin calls. In addition, the repurchase agreements are subject to certain financial covenants. The Company was in compliance with these covenants at June 30, 2016 . The following tables summarize certain characteristics of the Company’s repurchase agreements at June 30, 2016 and December 31, 2015 . June 30, 2016 $ in thousands Repurchase Agreement Counterparties Amount Outstanding Percent of Total Amount Outstanding Company MBS and GSE CRTs Held as Collateral HSBC Securities (USA) Inc 1,587,595 13.6 % 1,641,055 Royal Bank of Canada 1,107,843 9.4 % 1,310,002 ING Financial Market LLC 1,044,876 8.9 % 1,111,694 South Street Securities LLC 760,278 6.5 % 802,395 Pierpont Securities LLC 733,307 6.2 % 763,791 Industrial and Commercial Bank of China Financial Services LLC 711,600 6.0 % 750,053 Goldman, Sachs & Co. 581,083 4.9 % 721,737 Mitsubishi UFJ Securities (USA), Inc. 546,852 4.6 % 576,421 Scotia Capital 536,182 4.6 % 557,888 JP Morgan Securities Inc. 518,649 4.4 % 591,574 Citigroup Global Markets Inc. 445,437 3.8 % 562,462 BNP Paribas Securities Corp. 429,280 3.6 % 480,599 KGS-Alpha Capital Markets, L.P. 424,707 3.6 % 448,366 Wells Fargo Securities, LLC 379,943 3.2 % 450,716 Societe Generale 328,524 2.8 % 431,916 Nomura Securities International, Inc. 293,202 2.5 % 309,568 Morgan Stanley & Co. Incorporated 227,156 1.9 % 271,618 All other counterparties (1) 1,112,133 9.5 % 1,256,400 Total 11,768,647 100.0 % 13,038,255 (1) Represents amounts outstanding with ten counterparties. December 31, 2015 $ in thousands Repurchase Agreement Counterparties Amount Outstanding Percent of Total Amount Outstanding Company MBS and GSE CRTs Held as Collateral HSBC Securities (USA) Inc 1,566,747 12.9 % 1,611,020 Royal Bank of Canada 1,148,480 9.5 % 1,383,839 ING Financial Market LLC 1,050,548 8.7 % 1,112,102 South Street Securities LLC 799,783 6.6 % 838,600 Pierpont Securities LLC 786,623 6.5 % 814,804 Industrial and Commercial Bank of China Financial Services LLC 695,933 5.7 % 730,941 Mitsubishi UFJ Securities (USA), Inc. 627,383 5.2 % 657,201 JP Morgan Securities Inc. 622,665 5.1 % 728,502 Citigroup Global Markets Inc. 585,632 4.8 % 725,882 Scotia Capital 576,137 4.8 % 598,343 BNP Paribas Securities Corp. 474,053 3.9 % 530,584 Wells Fargo Securities, LLC 463,673 3.8 % 551,667 Goldman, Sachs & Co. 428,799 3.5 % 552,549 KGS-Alpha Capital Markets, L.P. 380,286 3.1 % 400,758 Banc of America Securities LLC 380,520 3.1 % 442,801 Morgan Stanley & Co. Incorporated 273,124 2.3 % 320,484 Guggenheim Liquidity Services, LLC 265,709 2.2 % 279,345 All other counterparties (1) 999,953 8.3 % 1,180,866 Total 12,126,048 100.0 % 13,460,288 (1) Represents amounts outstanding with nine counterparties. The Company's repurchase agreement collateral ratio (Company MBS and GSE CRTs Held as Collateral/Amount Outstanding) was 111% as of June 30, 2016 ( December 31, 2015 : 111% ). The Company was not required to post cash collateral ( December 31, 2015 : posted $710,000 ) with its repurchase agreement counterparties at June 30, 2016 . Cash margin posted by the Company is classified as due from counterparties. Secured Loans The Company's wholly-owned captive insurance 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 June 30, 2016 , IAS Services LLC, had $1.65 billion in outstanding secured advances from the FHLBI. These secured advances have floating rates. Floating rates are based on the three-month FHLB swap rate plus a spread. For the six months ended June 30, 2016 , IAS Services LLC had weighted average borrowings of $ 1.65 billion with a weighted average borrowing rate of 0.65% and a weighted average maturity of 7.85 years . The Federal Housing Finance Agency’s ("FHFA") final rule governing Federal Home Loan Bank membership (the “FHFA Rule”) was effective on February 19, 2016. The FHFA Rule, among other provisions, excludes captive insurance companies from membership eligibility. The FHFA Rule permits existing captive insurance companies, such as IAS Services LLC, to remain members for a period of five years following the effective date of the FHFA Rule. New advances or renewals that mature beyond the five year period are prohibited. As permitted by the FHFA Rule, the FHLBI has indicated it will honor the contractual maturity dates of existing advances to IAS Services LLC that were made prior to the effective date of the final FHFA Rule and extend beyond the five year period. The Company does not expect there to be any impact to its existing FHLBI borrowings under the FHFA rule. 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 and FHFA rules. As of June 30, 2016 , the FHLBI advances were collateralized by CMBS and Agency RMBS with a fair value of $ 1.4 billion and $ 563.5 million , respectively. 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 discussed in Note 7 - "Other Assets," 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 | 6 Months Ended |
Jun. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Derivatives and Hedging Activities The following table presents information with respect to the Company's derivative instruments: $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaptions 300,000 — (300,000 ) — Interest Rate Swaps 11,450,000 — (4,800,000 ) 6,650,000 Currency Forward Contracts 76,324 162,843 (154,867 ) 84,300 Credit Derivatives 645,000 — (73,399 ) 571,601 Total 12,471,324 162,843 (5,328,266 ) 7,305,901 Credit Derivatives The Company's GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments consisting of a debt host contract and an embedded derivative and are reported at fair value. At June 30, 2016 and December 31, 2015 , terms of the GSE CRT embedded derivatives are: $ in thousand June 30, 2016 December 31, 2015 Fair value amount (6,493 ) (25,722 ) Notional amount 571,601 645,000 Maximum potential amount of future undiscounted payments 571,601 645,000 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 typically 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 prior to the Company discontinuing cash flow hedge accounting for its interest rate swaps are reclassified to interest expense on 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 $3.2 million ( June 30, 2015 : $16.3 million ) and $16.2 million ( June 30, 2015 : $35.5 million ) as an increase to interest expense for the three and six months ended June 30, 2016 , respectively. During the next 12 months, the Company estimates that $23.7 million will be reclassified as a decrease to interest expense, repurchase agreements. As of June 30, 2016 , $164.2 million ( December 31, 2015 : $148.3 million ) of unrealized gain/(loss) on discontinued cash flow hedges, net is still included in accumulated other comprehensive income. As of June 30, 2016 , the Company had the following interest rate swaps outstanding: $ in thousands Counterparty Notional Maturity Date Fixed Interest Rate Deutsche Bank AG 150,000 2/5/2018 2.90 % ING Capital Markets LLC 350,000 2/24/2018 0.95 % UBS AG 500,000 5/24/2018 1.10 % ING Capital Markets LLC 400,000 6/5/2018 0.87 % CME Central Clearing 300,000 2/5/2021 2.50 % CME Central Clearing 300,000 2/5/2021 2.69 % Wells Fargo Bank, N.A. 200,000 3/15/2021 3.14 % CME Central Clearing 500,000 5/24/2021 2.25 % Citibank, N.A. 200,000 5/25/2021 2.83 % CME Central Clearing 500,000 6/24/2021 2.44 % HSBC Bank USA, National Association 550,000 2/24/2022 2.45 % CME Central Clearing 1,000,000 6/9/2022 2.21 % The Royal Bank of Scotland Plc 500,000 8/15/2023 1.98 % CME Central Clearing 600,000 8/24/2023 2.88 % HSBC Bank USA, National Association 500,000 12/15/2023 2.20 % CME Central Clearing 100,000 4/2/2025 2.04 % Total 6,650,000 2.16 % At June 30, 2016 , the Company’s counterparties held $267.0 million in cash margin deposits and approximately $200.2 million in Agency RMBS as collateral against its interest rate swaps. 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 June 30, 2016 and December 31, 2015 , 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 June 30, 2016 and December 31, 2015 , 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 a derivative 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. As of June 30, 2016 , we have no outstanding interest rate swaptions. The Company did not record any realized or unrealized gains or losses on interest rate swaptions in the three months ended June 30, 2016 ( June 30, 2015 : $3.1 million of realized loss and $2.3 million of unrealized gain). The Company recorded $1.5 million of unrealized gain representing the change in fair value of the Company's interest rate swaptions and $1.5 million of realized loss on interest rate swaptions that expired unexercised during the six months ended June 30, 2016 ( June 30, 2015 : $6.0 million of unrealized gain and $7.7 million of realized loss). 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. 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 June 30, 2016 and December 31, 2015 . $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2016 As of December 31, 2015 As of June 30, 2016 As of December 31, 2015 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swap Asset — 6,795 Interest Rate Swap Liability 447,632 238,045 Currency Forward Contracts 5,502 1,864 Currency Forward Contracts 106 103 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 derivatives associated with the GSE CRTs is a net liability of $6.5 million as of June 30, 2016 ( December 31, 2015 : $25.7 million ). 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 and six months ended June 30, 2016 and 2015 . $ in thousands Derivative not designated as hedging instrument Location of unrealized gain (loss) recognized in income on derivative Three months ended June 30, 2016 Three months ended CDS Contract Realized and unrealized credit derivative income (loss), net — 806 GSE CRT Embedded Derivatives Realized and unrealized credit derivative income (loss), net 11,116 (4,915 ) Total 11,116 (4,109 ) $ in thousands Derivative Location of unrealized gain (loss) Six months ended June 30, 2016 Six months ended June 30, 2015 CDS Contract Realized and unrealized credit derivative income (loss), net — 744 GSE CRT Embedded Derivatives Realized and unrealized credit derivative income (loss), net 13,212 11,123 Total 13,212 11,867 The following table summarizes the effect of interest rate swaps, swaption contracts, TBAs, futures contracts and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and six months ended June 30, 2016 and 2015 : $ in thousands Three months ended June 30, 2016 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 (20,105 ) (24,985 ) (49,711 ) (94,801 ) Currency Forward Contracts (479 ) — 4,917 4,438 Total (20,584 ) (24,985 ) (44,794 ) (90,363 ) $ in thousands Six months ended June 30, 2016 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 (64,000 ) (54,076 ) (216,382 ) (334,458 ) Interest Rate Swaptions (1,485 ) — 1,485 — Currency Forward Contracts 1,916 — 3,636 5,552 Total (63,569 ) (54,076 ) (211,261 ) (328,906 ) $ in thousands Three months ended June 30, 2015 Derivative 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 (12,826 ) (46,011 ) 116,623 57,786 Interest Rate Swaptions (3,050 ) — 2,326 (724 ) Currency Forward Contracts 664 — (1,723 ) (1,059 ) Total (15,212 ) (46,011 ) 117,226 56,003 $ in thousands Six months ended June 30, 2015 Derivative 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 (31,881 ) (91,619 ) 60,666 (62,834 ) Interest Rate Swaptions (7,738 ) — 6,005 (1,733 ) TBAs (2,292 ) — 558 (1,734 ) Futures Contracts (943 ) — (90 ) (1,033 ) Currency Forward Contracts 1,539 — (947 ) 592 Total (41,315 ) (91,619 ) 66,192 (66,742 ) 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 June 30, 2016 , 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 $182.4 million . The Company has minimum collateral posting thresholds with certain of its derivative counterparties and has posted collateral of $200.2 million of Agency RMBS and $267.0 million of cash as of June 30, 2016 . If the Company had breached any of these provisions at June 30, 2016 , it could have been required to settle its obligations under the agreements at their termination value. In addition, as of June 30, 2016 , 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 $270.4 million . The Company was in compliance with all of the financial provisions of these counterparty agreements as of June 30, 2016 . |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 6 Months Ended |
Jun. 30, 2016 | |
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 June 30, 2016 and December 31, 2015 . Offsetting of Derivative Assets As of June 30, 2016 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 5,502 — 5,502 (106 ) (5,396 ) — Total 5,502 — 5,502 (106 ) (5,396 ) — Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2016 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 447,738 — 447,738 (180,804 ) (266,934 ) — Repurchase Agreements 11,768,647 — 11,768,647 (11,768,647 ) — — Secured Loans 1,650,000 — 1,650,000 (1,650,000 ) — — Total 13,866,385 — 13,866,385 (13,599,451 ) (266,934 ) — Offsetting of Derivative Assets As of December 31, 2015 Gross Amounts Not Offset in the 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 8,659 — 8,659 (4,142 ) (4,517 ) — Total 8,659 — 8,659 (4,142 ) (4,517 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 2015 Gross Amounts Not Offset in the 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 238,148 — 238,148 (117,240 ) (109,299 ) 11,609 Repurchase Agreements 12,126,048 — 12,126,048 (12,126,048 ) — — Secured Loans 1,650,000 — 1,650,000 (1,650,000 ) — — Total 14,014,196 — 14,014,196 (13,893,288 ) (109,299 ) 11,609 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2016 and December 31, 2015 , 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 $13.0 billion and $13.5 billion at June 30, 2016 and December 31, 2015 , respectively. (4) Cash collateral of $5.6 million was posted by the Company's derivative counterparties at June 30, 2016 ( December 31, 2015 : $4.9 million ). Cash collateral posted by the Company on its derivatives was $267.0 million and $109.3 million at June 30, 2016 and December 31, 2015 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $2.0 billion and $ 1.9 billion at June 30, 2016 and December 31, 2015 , respectively. No cash collateral was posted by the Company at June 30, 2016 and December 31, 2015 . |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments A three-level valuation hierarchy exists for disclosure of fair value measurements based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect the Company’s market assumptions. The three levels are defined as follows: • Level 1 Inputs – Quoted prices for identical instruments in active markets. • Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs – Instruments with primarily unobservable value drivers. The following tables present the Company's assets and liabilities measured at fair value on a recurring basis. June 30, 2016 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) — 15,631,520 (6,493 ) 15,625,027 U.S. Treasury securities (3) — 152,701 — 152,701 Derivative assets — 5,502 — 5,502 Total assets — 15,789,723 (6,493 ) 15,783,230 Liabilities: Derivative liabilities — 447,738 — 447,738 Total liabilities — 447,738 — 447,738 December 31, 2015 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) — 16,091,657 (25,722 ) 16,065,935 Derivative assets — 8,659 — 8,659 Total assets — 16,100,316 (25,722 ) 16,074,594 Liabilities: Derivative liabilities — 238,148 — 238,148 Total liabilities — 238,148 — 238,148 (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) The Company's GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative. The hybrid instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of June 30, 2016 , the net embedded derivative liability position of $6.5 million includes $5.8 million of embedded derivatives in an asset position and $12.3 million of embedded derivatives in a liability position. As of December 31, 2015 , the net embedded derivative liability position of $25.7 million includes $1.0 million of embedded derivatives in an asset position and $26.7 million of embedded derivatives in a liability position. (3) Similar to the Company's MBS and GSE CRTs, the fair value of the Company's U.S. Treasury securities are based upon prices obtained from third-party pricing vendors. 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: Three Months Ended Six Months Ended $ in thousands 2016 2015 2016 2015 Beginning balance (22,706 ) (5,457 ) (25,722 ) (21,495 ) Sales and settlements 5,097 1,676 6,017 2,468 Total net gains / (losses) included in net income: — — — Realized gains/(losses), net (5,097 ) (1,676 ) (6,017 ) (2,468 ) Unrealized gains/(losses), net 16,213 (4,915 ) 19,229 11,123 Ending balance (6,493 ) (10,372 ) (6,493 ) (10,372 ) The following table 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 June 30, 2016 Technique Input Range Average GSE CRT Embedded Derivatives (6,493 ) Market Comparables Prepayment Rate 6.84% - 23.41% 11.55 % Vendor Pricing Default Rate 0.10% - 0.43% 0.16 % Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2015 Technique Input Range Average GSE CRT Embedded Derivatives (25,722 ) Market Comparables Prepayment Rate 5.72% - 14.37% 7.83 % Vendor Pricing Default Rate 0.10% - 0.35% 0.16 % These significant unobservable inputs change according to market conditions and security performance. Prepayment rate and default rate are used to estimate the weighted-average life 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 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 June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 272,502 273,156 209,062 209,790 Other assets 108,283 108,283 115,072 115,072 Total 380,785 381,439 324,134 324,862 Financial Liabilities Repurchase agreements 11,768,647 11,768,485 12,126,048 12,133,252 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes 395,800 390,000 394,573 376,500 Total 13,814,447 13,808,485 14,170,621 14,159,752 The following describes the Company’s methods for estimating the fair value for financial instruments. • The estimated 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 or purchased unless market factors indicate cost may not be a reliable indicator of fair value. Subsequent to the year of origination or purchase, 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 estimated fair value of FHLBI stock, included in "Other assets," 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. At June 30, 2016 and December 31, 2015 , the fair value of FHLBI stock is $74.3 million and $75.4 million , respectively. • The estimated fair value of investments in unconsolidated ventures, included in "Other assets," 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. At June 30, 2016 and December 31, 2015 , the fair value of investments in unconsolidated ventures is $33.0 million and $38.4 million , respectively. • The estimated 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 estimated 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 and the spread is typically consistent with those demanded in the market. Accordingly, the interest rates on these secured loans are at market, and thus the carrying amount approximates fair value. • The estimated 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 | 6 Months Ended |
Jun. 30, 2016 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions The Company has invested $137.7 million and $47.4 million as of June 30, 2016 and December 31, 2015 , 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 The Company pays its Manager a management fee equal to 1.50% of the Company’s stockholders’ equity per annum. The fee is calculated and payable quarterly in arrears. For purposes of calculating the management fee, stockholders’ equity is equal to the sum of the net proceeds from all issuances of equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus retained earnings at the end of the most recently completed calendar quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid to repurchase common stock since inception. Stockholder's equity shall exclude (i) any unrealized gains, losses or other items that do not affect realized net income (regardless of whether such items are included in other comprehensive income or loss, or in net income); (ii) cumulative net realized losses that are not attributable to permanently impaired investments and that relate to the investments for which market movement is accounted for in other comprehensive income; provided, however, that such adjustment shall not exceed cumulative unrealized net gains in other comprehensive income; (iii) one-time events pursuant to changes in U.S. GAAP; and (iv) certain non-cash items after discussions between the Manager and the Company’s independent directors and approval by a majority of the Company’s independent directors. The Company does not pay any management fees on its investments in unconsolidated ventures that are managed by an affiliate of the Manager. For the three months ended June 30, 2016 , the Company incurred management fees of $9.1 million ( June 30, 2015 : $9.3 million ) of which $9.3 million ( June 30, 2015 : $9.2 million ) was accrued but had not been paid to the Manager. For the six months ended June 30, 2016 , the Company incurred management fees of $18.6 million ( June 30, 2015 : $18.8 million ) of which $9.3 million ( June 30, 2015 : $9.2 million ) was accrued but had not been paid to the Manager. Expense Reimbursement The Company is required to reimburse its Manager for Company operating expenses incurred on its behalf by the Manager, including directors and officers insurance, accounting services, auditing and tax services, filing fees, and miscellaneous general and administrative costs. The Company’s reimbursement obligation is not subject to any dollar limitation. The following table summarizes the costs originally paid by the Manager, incurred on behalf of the Company for the three and six months ended June 30, 2016 and 2015 . Three Months Ended Six Months Ended $ in thousands 2016 2015 2016 2015 Incurred costs, prepaid or expensed 1,443 1,707 3,225 2,349 Total incurred costs, originally paid by the Manager 1,443 1,707 3,225 2,349 The Company also pays the Manager a portion of the origination and commitment fees received from borrowers in connection with purchasing and originating commercial real estate loans. For the three months ended June 30, 2016 , the Company incurred $189,000 ( June 30, 2015 : $653,000 ) of costs related to such transactions of which $2,000 (June 30, 2015: $280,000 ) was accrued but had not been paid to the Manager as of June 30, 2016. For the six months ended June 30, 2016, the Company incurred $692,000 ( June 30, 2015 : $653,000 ) of costs related to such transactions of which $2,000 (June 30, 2015: $280,000 ) was accrued but had not been paid to the Manager. 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 | 6 Months Ended |
Jun. 30, 2016 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders’ Equity 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. 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. Common Stock During the six months ended June 30, 2016 , the Company issued 3,201 shares of common stock at an average price of $11.08 under its dividend reinvestment and stock purchase plan (the "DRSPP"). The Company received total proceeds of approximately $35,000 . Effective April 1, 2016, the Company terminated its DRSPP and replaced the DRSPP program with a direct stock purchase plan and dividend reinvestment program administered by an affiliate of its transfer agent, Computershare Trust Company. Accumulated Other Comprehensive Income The following table presents the components of accumulated other comprehensive income at June 30, 2016 and December 31, 2015 , respectively. $ in thousands June 30, 2016 December 31, 2015 Unrealized gain/(loss) on mortgage-backed and credit risk transfer securities, net 394,529 170,383 Unrealized gain/(loss) on discontinued cash flow hedges, net 164,234 148,273 Currency translation adjustments on investment in unconsolidated venture 191 (32 ) Accumulated other comprehensive income 558,954 318,624 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 prior to the Company discontinuing cash flow hedge accounting for its interest rate swaps are reclassified to interest expense on 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. 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. Share Repurchase Program In February 2016, the Company's board of directors authorized an additional share repurchase of up to 15,000,000 of its common shares with no expiration date. During the six months ended June 30, 2016 , the Company repurchased and concurrently retired 2,063,451 shares of its common stock at an average repurchase price of $12.12 per share for a net cost of $25.0 million , including acquisition expenses. As of June 30, 2016 , the Company had authority to purchase 18,239,082 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 non-executive 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 ( June 30, 2015 : $85,000 ) and approximately $170,000 ( June 30, 2015 : $170,000 ) related to the Company's non-executive directors for the three and six months ended June 30, 2016 and 2015 , respectively. During the three months ended June 30, 2016 and 2015 , the Company issued 6,160 shares and 5,412 shares of stock, respectively, pursuant to the Incentive Plan to the Company’s non-executive directors. During the six months ended June 30, 2016 and 2015 , the Company issued 13,908 shares and 10,744 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 grants vested immediately. The Company recognized compensation expense of approximately $63,000 ( June 30, 2015 : $67,000 ) and $95,000 ( June 30, 2015 : $137,000 ) for the three and six months ended June 30, 2016 and 2015 , respectively, related to awards to employees of the Manager and its affiliates which is reimbursed by the Manager under the management agreement. At June 30, 2016 there was approximately $548,000 of total unrecognized compensation cost related to certain share-based compensation awards that is expected to be recognized over a period of up to 45 months, with a weighted-average remaining vesting period of 20.6 months. The following table summarizes the activity related to restricted stock units to employees of the Manager and its affiliates for the three and six months ended June 30, 2016 . Three Months Ended June 30, Six Months Ended June 30, 2016 2016 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Restricted Stock Units Weighted Average Grant Date Fair Value (1) Unvested at the beginning of the period 46,000 $ 14.40 40,814 17.29 Shares granted during the period — — 21,099 11.28 Shares forfeited during the period — — — — Shares vested during the period — — (15,913 ) (17.66 ) Unvested at the end of the period 46,000 $ 14.40 46,000 14.40 (1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date. Dividends On June 15, 2016 , the Company declared the following dividends: • a dividend of $0.40 per share of common stock to be paid on July 26, 2016 to stockholders of record as of the close of business on June 27, 2016 ; • a dividend of $0.4844 per share of Series A Preferred Stock to be paid on July 25, 2016 to stockholders of record as of the close of business on July 1, 2016 ; and • a dividend of $0.4844 per share of Series B Preferred Stock to be paid on September 27, 2016 to stockholders of record as of the close of business on September 5, 2016 . |
Earnings per Common Share
Earnings per Common Share | 6 Months Ended |
Jun. 30, 2016 | |
Earnings Per Share [Abstract] | |
Earnings per Common Share | Earnings per Common Share Earnings per share for the three and six months ended June 30, 2016 and 2015 is computed as follows: Three Months Ended Six Months Ended $ and share amounts in thousands 2016 2015 2016 2015 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (11,617 ) 142,311 (167,777 ) 128,530 Effect of dilutive securities: Income allocated to exchangeable senior notes — 5,613 — 11,220 Income (loss) allocated to non-controlling interest (75 ) 1,712 (1,958 ) 1,618 Dilutive net income (loss) available to stockholders (11,692 ) 149,636 (169,735 ) 141,368 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 111,581 123,137 112,362 123,127 Effect of dilutive securities: Restricted stock awards — 45 — 46 OP units 1,425 1,425 1,425 1,425 Exchangeable senior notes — 16,836 — 16,836 Dilutive Shares 113,006 141,443 113,787 141,434 The following potential common shares were excluded from diluted earnings per common share for the three and six months ended June 30, 2016 as the effect would be anti-dilutive: 16,835,720 for the exchangeable senior notes and 46,001 and 44,172 for restricted stock awards, respectively. |
Non-controlling Interest - Oper
Non-controlling Interest - Operating Partnership | 6 Months Ended |
Jun. 30, 2016 | |
Noncontrolling Interest [Abstract] | |
Non-controlling Interest - Operating Partnership | Non-controlling Interest - Operating Partnership Non-controlling interest represents the aggregate Operating Partnership Units in the Company's Operating Partnership held by a wholly-owned Invesco subsidiary. Income allocated to the non-controlling interest is based on the Unit Holders’ ownership percentage of the Operating Partnership. The ownership percentage is determined by dividing the number of OP Units held by the Unit Holders by the total number of dilutive shares of common stock. The issuance of common stock (“Share” or “Shares”) or OP Units changes the percentage ownership of both the Unit Holders and the holders of common stock. Since an OP unit is generally redeemable for cash or Shares at the option of the Company, it is deemed to be a Share equivalent. Therefore, such transactions are treated as capital transactions and result in an allocation between stockholders’ equity and non-controlling interest in the accompanying condensed consolidated balance sheets. As of June 30, 2016 and December 31, 2015 , non-controlling interest related to the outstanding 1,425,000 OP Units represented a 1.3% interest and 1.2% 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 and six months ended June 30, 2016 and 2015 . Three Months Ended Six Months Ended $ in thousands 2016 2015 2016 2015 Net income (loss) allocated (75 ) 1,712 (1,958 ) 1,618 Distributions paid 570 642 1,140 1,283 As of June 30, 2016 and December 31, 2015 , distributions payable to the non-controlling interest were approximately $570,000 and $570,000 , respectively. |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2016 | |
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. The Company's material off balance sheet commitments as of June 30, 2016 are discussed below. As discussed in Note 7 - "Other Assets", 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 June 30, 2016 and December 31, 2015 , the Company’s undrawn capital and purchase commitments were $18.9 million and $21.1 million , respectively. As discussed in Note 5 - “Commercial Loans Held-for-Investment”, the Company purchases and originates commercial loans. As of June 30, 2016 and December 31, 2015 , the Company has unfunded commitments on commercial loans held-for-investment of $13.9 million and $2.1 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. |
Revision of Previously Issued F
Revision of Previously Issued Financial Statements | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Changes and Error Corrections [Abstract] | |
Revision of Previously Issued Financial Statements | Revision of Previously Issued Financial Statements During the second quarter of 2016, the Company corrected errors in its accounting for premiums and discounts associated with non-Agency RMBS not of high credit quality. Premiums and discounts are amortized and recorded as interest income in the Company's financial statements based on estimated future cash flows. The Company determined that the future cash flow assumptions used to develop its estimated premium amortization and discount accretion did not support its reported interest income. The Company revised its future cash flow estimates and also corrected its financial statements to account for the difference between actual and expected future cash flows as an adjustment to the amortized cost of the security and a prospective adjustment to the security's yield. The Company concluded that the errors are immaterial to each of the annual and interim consolidated financial statements which were included in the Company's Annual Report on Form 10-K for the year ended December 31, 2015 and its interim report on Form 10-Q for the quarter ended March 31, 2016. The Company has also concluded that the cumulative adjustment necessary to correct the errors would be material to the quarter ended June 30, 2016. The Company has revised its consolidated financial statements as of December 31, 2015 and for the three and six months ended June 30, 2015 presented in this Report on Form 10-Q and will revise its previously issued financial statements to correct these errors when the financial statements are presented in future periodic filings. The following changes have been made to the Company's Consolidated Balance Sheet as of December 31, 2015 : $ in thousands December 31, 2015 As Reported Adjustment As Revised Accumulated other comprehensive income 303,110 15,514 318,624 Retained earnings (distributions in excess of earnings) (755,799 ) (15,514 ) (771,313 ) The following changes have been made to the Company's Unaudited Consolidated Statements of Operations for the three and six months ended June 30, 2015 : $ in thousands Three Months Ended June 30, 2015 As Reported Adjustment As Revised Interest Income Mortgage-backed and credit risk transfer securities 126,098 2,393 128,491 Other Income Gain (loss) on investments, net 10,876 20 10,896 Net income 147,326 2,413 149,739 Net income attributable to non-controlling interest 1,685 27 1,712 Net income attributable to Invesco Mortgage Capital Inc. 145,641 2,386 148,027 Net income attributable to common stockholders 139,925 2,386 142,311 Earnings per share: Net income attributable to common stockholders Basic 1.14 0.02 1.16 Diluted 1.04 0.02 1.06 $ in thousands Six Months Ended June 30, 2015 As Reported Adjustment As Revised Interest Income Mortgage-backed and credit risk transfer securities 261,363 6,176 267,539 Other Income (loss) Gain (loss) on investments, net 13,048 (62 ) 12,986 Net income 135,466 6,114 141,580 Net income attributable to non-controlling interest 1,549 69 1,618 Net income attributable to Invesco Mortgage Capital Inc. 133,917 6,045 139,962 Net income attributable to common stockholders 122,485 6,045 128,530 Earnings per share: Net income attributable to common stockholders Basic 0.99 0.05 1.04 Diluted 0.96 0.04 1.00 The following changes have been made to the Company's Unaudited Consolidated Statement of Comprehensive Income for the three and six months ended June 30, 2015 : $ in thousands Three Months Ended June 30, 2015 As Reported Adjustment As Revised Net income 147,326 2,413 149,739 Total other comprehensive income (loss) (178,678 ) (2,413 ) (181,091 ) $ in thousands Six Months Ended June 30, 2015 As Reported Adjustment As Revised Net income 135,466 6,114 141,580 Total other comprehensive income (loss) (36,513 ) (6,114 ) (42,627 ) The following changes have been made to the Company's Unaudited Consolidated Statement of Cash Flows for the six months ended June 30, 2015 : $ in thousands Six Months Ended June 30, 2015 As Reported Adjustment As Revised Cash Flows from Operating Activities Net income 135,466 6,114 141,580 Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net 65,251 (6,176 ) 59,075 (Gain) loss on investments, net (13,048 ) 62 (12,986 ) Non-cash Investing and Financing Activities Information Net change in unrealized gain on mortgage-backed and credit risk transfer securities (71,971 ) (6,114 ) (78,085 ) |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2016 | |
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 Accoun26
Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation and Consolidation Certain disclosures included in the Company’s Annual Report on Form 10-K are not required to be included on an interim basis in the Company’s quarterly reports on Form 10-Q. The Company has condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with the Company’s Annual Report on Form 10-K for the year ended December 31, 2015 . |
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. During the period from January 1, 2015 through December 9, 2015, the condensed consolidated financial statements also include the results of operations of certain residential loan securitization trusts (the "residential securitizations") that meet the definition of a VIE. On December 9, 2015, the Company completed the sale of certain beneficial interests in the residential securitizations and deconsolidated the residential securitizations. |
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. |
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. |
Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements | Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements Effective January 1, 2016, the Company adopted the newly issued accounting guidance for presentation of debt issuance costs. Under the new standard, debt issuance costs are required to be presented in the consolidated balance sheets as a direct deduction from the carrying value of the associated debt liability. The Company adopted the accounting standard on a retrospective basis, which required the restatement of the Company's December 31, 2015 balance sheet. The adoption resulted in a $ 5.4 million reduction in exchangeable senior notes and a corresponding reduction in other assets. Effective January 1, 2016, the Company adopted the newly issued accounting guidance for reporting entities that are required to determine whether they should consolidate certain legal entities. The Company adopted the accounting standard on a modified retrospective approach which did not require restatement of prior periods to conform to the post adoption presentation. The Company did not consolidate or deconsolidate any legal entities as a result of implementing the new guidance. In January 2016, the FASB issued guidance to improve certain aspects of classification and measurement of financial instruments, including significant revisions in accounting related to the classification and measurement of investments in equity securities and presentation of certain fair value changes for financial liabilities when the fair value option is elected. The guidance also amends certain disclosure requirements associated with the fair value of financial instruments. The Company is required to adopt the new guidance in the first quarter of 2018. Early adoption is permitted. The Company is currently evaluating the potential impact of the new guidance on its consolidated financial statements, as well as available transition methods. In June 2016, the FASB issued an amendment to the guidance on reporting credit losses for assets measured at amortized cost and available-for-sale securities. The Company is required to adopt the new guidance in the first quarter of 2020. Early adoption is permitted. The Company is currently evaluating the potential impacts of the new guidance on its consolidated financial statements, as well as available transition methods. |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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 June 30, 2016 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency RMBS 2,248,974 2,248,974 CMBS 2,733,442 2,733,442 Investments in unconsolidated ventures 33,037 33,037 Total 5,015,453 5,015,453 |
Mortgage-Backed and Credit Ri28
Mortgage-Backed and Credit Risk Transfer Securities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Investment Portfolio | The following tables summarize the Company’s MBS and GSE CRT portfolio by asset type as of June 30, 2016 and December 31, 2015 . June 30, 2016 $ in thousands Principal/ Notional 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 2,417,736 112,107 2,529,843 33,507 2,563,350 3.39 % 2.36 % 1.87 % 30 year fixed-rate 3,509,579 228,288 3,737,867 88,566 3,826,433 4.22 % 2.88 % 2.74 % ARM * 351,704 3,332 355,036 9,298 364,334 2.71 % 2.62 % 2.30 % Hybrid ARM 2,774,976 50,477 2,825,453 54,535 2,879,988 2.72 % 2.53 % 2.10 % Total Agency pass-through 9,053,995 394,204 9,448,199 185,906 9,634,105 3.48 % 2.63 % 2.31 % Agency-CMO (4) 1,718,714 (1,340,005 ) 378,709 16,556 395,265 2.18 % 3.50 % 2.55 % Non-Agency RMBS (5)(6)(7) 4,349,423 (2,178,234 ) 2,171,189 77,785 2,248,974 2.18 % 5.21 % 4.74 % GSE CRT (8)(9) 592,171 21,346 613,517 (276 ) 613,241 1.46 % 0.78 % 0.86 % CMBS (10) 3,166,131 (559,557 ) 2,606,574 126,868 2,733,442 3.95 % 4.34 % 4.37 % Total 18,880,434 (3,662,246 ) 15,218,188 406,839 15,625,027 3.08 % 3.23 % 2.97 % * Adjustable-rate mortgage ("ARM") (1) Net weighted average coupon as of June 30, 2016 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of June 30, 2016 and incorporates future prepayment and loss assumptions. (3) Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. (4) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 83.5% of principal (notional) balance, 24.3% of amortized cost and 25.3% of fair value. (5) Non-Agency RMBS held by the Company is 46.0% variable rate, 47.2% fixed rate, and 6.8% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $261.6 million is non-accretable based on the Company's estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 1.4% of the balance based on fair value. (8) The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 3.4% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative. (9) GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. (10) CMBS includes interest-only securities, which represent 0.9% of the balance based on fair value. December 31, 2015 $ in thousands Principal/Notional 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 1,527,877 72,389 1,600,266 10,664 1,610,930 3.72 % 2.47 % 2.40 % 30 year fixed-rate 3,796,091 249,285 4,045,376 18,581 4,063,957 4.24 % 2.81 % 2.85 % ARM 417,424 4,625 422,049 3,976 426,025 2.72 % 2.58 % 2.26 % Hybrid ARM 3,240,967 63,324 3,304,291 5,234 3,309,525 2.73 % 2.56 % 2.22 % Total Agency pass-through 8,982,359 389,623 9,371,982 38,455 9,410,437 3.54 % 2.65 % 2.53 % Agency-CMO (4) 1,774,621 (1,386,284 ) 388,337 482 388,819 2.23 % 4.29 % 3.42 % Non-Agency RMBS (5)(6)(7) 4,965,978 (2,363,799 ) 2,602,179 90,308 2,692,487 2.20 % 5.11 % 4.90 % GSE CRT (8)(9) 657,500 22,593 680,093 (21,865 ) 658,228 1.32 % 0.72 % 0.62 % CMBS (10) 3,429,655 (558,749 ) 2,870,906 45,058 2,915,964 3.95 % 4.30 % 4.35 % Total 19,810,113 (3,896,616 ) 15,913,497 152,438 16,065,935 3.08 % 3.31 % 3.16 % (1) Net weighted average coupon as of December 31, 2015 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of December 31, 2015 and incorporates future prepayment and loss assumptions. (3) Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. (4) Agency collateralized mortgage obligation ("Agency CMO") includes interest-only securities, which represent 84.4% o f principal (notional) balance, 27.5% of amortized cost and 27.6% of fair value. (5) Non-Agency RMBS held by the Company is 48.4% variable rate, 45.2% fixed rate, and 6.4% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $281.6 million is non-accretable based on the Company's estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 1.3% of the balance based on fair value. (8) The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 1.9% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative. (9) GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. (10) CMBS includes interest-only securities and commercial real estate mezzanine loan pass-through certificates, which represent 0.9% and 0.7% of the balance based on fair value, respectively. The components of the carrying value of the Company’s MBS and GSE CRT portfolio at June 30, 2016 and December 31, 2015 are presented below. $ in thousands June 30, 2016 December 31, 2015 Principal balance 18,880,434 19,810,113 Unamortized premium 491,288 495,539 Unamortized discount (4,153,534 ) (4,392,155 ) Gross unrealized gains 442,992 303,890 Gross unrealized losses (36,153 ) (151,452 ) Fair value 15,625,027 16,065,935 |
Components of Non-Agency RMBS Portfolio by Asset Type | The following table summarizes the Company's non-Agency RMBS portfolio by asset type based on fair value as of June 30, 2016 and December 31, 2015 . $ in thousands June 30, 2016 % of Non-Agency December 31, 2015 % of Non-Agency Prime 980,428 43.6 % 1,081,428 40.2 % Alt-A 476,444 21.2 % 544,306 20.2 % Re-REMIC 446,997 19.8 % 663,853 24.7 % Subprime/reperforming 345,105 15.4 % 402,900 14.9 % Total Non-Agency 2,248,974 100.0 % 2,692,487 100.0 % |
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 June 30, 2016 and December 31, 2015 . Percentage of Re-REMIC Holdings at Fair Value Re-REMIC Subordination (1) June 30, 2016 December 31, 2015 0% - 10% 14.4 % 11.0 % 10% - 20% 7.3 % 5.6 % 20% - 30% 13.6 % 12.7 % 30% - 40% 16.0 % 20.8 % 40% - 50% 30.3 % 32.8 % 50% - 60% 15.8 % 13.3 % 60% - 70% 2.6 % 3.8 % 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. 30.9% of the Company's Re-REMIC holdings are not senior tranches. |
Fair Value of Mortgage-Backed Securities and GSE CRT Portfolio 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 June 30, 2016 and December 31, 2015 . $ in thousands June 30, 2016 December 31, 2015 Less than one year 280,795 427,678 Greater than one year and less than five years 10,683,740 6,237,547 Greater than or equal to five years 4,660,492 9,400,710 Total 15,625,027 16,065,935 |
Unrealized Losses and Estimated Fair Value of MBS and GSE CRT 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 June 30, 2016 and December 31, 2015 . June 30, 2016 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 68,046 (263 ) 14 94,534 (613 ) 10 162,580 (876 ) 24 30 year fixed-rate — — — 1,193,363 (7,625 ) 46 1,193,363 (7,625 ) 46 ARM 1,392 (15 ) 1 — — — 1,392 (15 ) 1 Hybrid ARM 9,522 (6 ) 2 256 (3 ) 2 9,778 (9 ) 4 Total Agency pass-through 78,960 (284 ) 17 1,288,153 (8,241 ) 58 1,367,113 (8,525 ) 75 Agency-CMO (1) 36,372 (1,370 ) 11 1,996 (260 ) 3 38,368 (1,630 ) 14 Non-Agency RMBS 756,236 (9,188 ) 57 270,801 (6,891 ) 29 1,027,037 (16,079 ) 86 GSE CRT (2) 34,936 (64 ) 1 146,726 (5,870 ) 10 181,662 (5,934 ) 11 CMBS 147,515 (2,484 ) 12 126,851 (1,501 ) 12 274,366 (3,985 ) 24 Total 1,054,019 (13,390 ) 98 1,834,527 (22,763 ) 112 2,888,546 (36,153 ) 210 (1) Fair value includes unrealized losses on Agency IO of $1.4 million and unrealized losses on CMO of $244,000 . (2) Fair value includes unrealized losses on both the debt host contract and the embedded derivative. December 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 600,480 (8,081 ) 33 77,506 (1,482 ) 6 677,986 (9,563 ) 39 30 year fixed-rate 776,065 (14,827 ) 32 1,120,391 (39,497 ) 47 1,896,456 (54,324 ) 79 ARM 200,863 (501 ) 11 — — — 200,863 (501 ) 11 Hybrid ARM 1,913,872 (17,082 ) 111 — — — 1,913,872 (17,082 ) 111 Total Agency pass-through 3,491,280 (40,491 ) 187 1,197,897 (40,979 ) 53 4,689,177 (81,470 ) 240 Agency-CMO (1) 166,754 (3,296 ) 14 9,118 (6,934 ) 9 175,872 (10,230 ) 23 Non-Agency RMBS 872,575 (7,286 ) 66 316,010 (10,699 ) 20 1,188,585 (17,985 ) 86 GSE CRT (2) 340,116 (10,050 ) 16 120,877 (13,605 ) 7 460,993 (23,655 ) 23 CMBS 1,224,985 (17,328 ) 85 31,533 (784 ) 2 1,256,518 (18,112 ) 87 Total 6,095,710 (78,451 ) 368 1,675,435 (73,001 ) 91 7,771,145 (151,452 ) 459 (1) Fair value includes unrealized losses on Agency IO of $8.3 million and unrealized losses on CMO of $1.9 million . (2) Fair value includes unrealized losses on both the debt host contract and the embedded derivative. |
Changes in other than temporary impairment included in earnings | The following table presents the changes in OTTI included in earnings for the three and six months ended June 30, 2016 and 2015 . $ in thousands Three Months Three Months Six Months ended Six Months ended Cumulative credit loss at beginning of period 5,683 — — — Additions: — — — — Other-than-temporary impairments not previously recognized 1,480 — 7,163 — Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments 45 — 45 — Cumulative credit loss at end of period 7,208 — 7,208 — |
Impact of MBS and GSE CRT on Accumulated Other Comprehensive Income | The following table presents the impact of the Company’s MBS and GSE CRT debt host contract on accumulated other comprehensive income (loss) for the three and six months ended June 30, 2016 and 2015 . The Company reclassifies unrealized gains and losses from other comprehensive income to gain (loss) on investments, net when it sells investments. The table excludes RMBS IOs and GSE CRTs that are accounted for under the fair value option. $ in thousands Three Months Three Months Six Months ended Six Months ended Accumulated other comprehensive income (loss) from MBS and GSE CRT securities: Unrealized gain (loss) on MBS and GSE CRT at beginning of period 288,715 495,655 177,799 376,336 Unrealized gain (loss) on MBS and GSE CRT 117,116 (195,715 ) 238,576 (73,544 ) Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net (1,037 ) (1,689 ) (11,581 ) (4,541 ) Balance at the end of period 404,794 298,251 404,794 298,251 |
Realized Gain (Loss) on Investments | The following table summarizes the components of the Company's total gain (loss) on investments, net for the three and six months ended June 30, 2016 and 2015 . $ in thousands Three Months Three Months Six Months ended Six Months ended Gross realized gain on sale of investments 1,037 1,813 14,052 4,777 Gross realized loss on sale of investments — (124 ) (2,471 ) (236 ) Other-than-temporary impairment losses (1,525 ) — (7,208 ) — Net unrealized gain (loss) on RMBS IOs (fair value option) 1,266 9,207 7,942 8,445 Net unrealized gain (loss) on GSE CRT (fair value option) 173 — 237 — Total gains (loss) on investments, net (1) 951 10,896 12,552 12,986 (1) Included within gain (loss) on investments, net on the consolidated statement of operations is unrealized gains on U.S. Treasury securities of $463,000 ( June 30, 2015 : $0 ) for the three and six months ended June 30, 2016 , respectively. U.S. Treasury securities are accounted for as trading securities, refer to Note 6 - "Trading Securities." |
Components of MBS and GSE CRT Interest Income | The following table presents components of interest income recognized on the Company’s MBS and GSE CRT portfolio for the three and six months ended June 30, 2016 and 2015 . GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. For the three months ended June 30, 2016 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 84,440 (28,277 ) 56,163 Non-Agency 24,127 2,292 26,419 GSE CRT 2,136 (775 ) 1,361 CMBS 31,476 (2,839 ) 28,637 Other 297 (17 ) 280 Total 142,476 (29,616 ) 112,860 For the three months ended June 30, 2015 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 94,394 (34,828 ) 59,566 Non-Agency 28,283 4,552 32,835 GSE CRT 1,618 (770 ) 848 CMBS 37,607 (2,423 ) 35,184 Other 58 — 58 Total 161,960 (33,469 ) 128,491 For the six months ended June 30, 2016 $ in thousands Coupon Net (Premium Interest Agency 170,211 (52,462 ) 117,749 Non-Agency 49,976 6,136 56,112 GSE CRT 4,333 (1,542 ) 2,791 CMBS 63,740 (5,779 ) 57,961 Other 510 (17 ) 493 Total 288,770 (53,664 ) 235,106 For the six months ended June 30, 2015 $ in thousands Coupon Net (Premium Interest Agency 188,766 (61,687 ) 127,079 Non-Agency 59,093 8,993 68,086 GSE CRT 3,186 (1,530 ) 1,656 CMBS 75,512 (4,851 ) 70,661 Other 57 — 57 Total 326,614 (59,075 ) 267,539 |
Commercial Loans Held-for-Inv29
Commercial Loans Held-for-Investment (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Receivables [Abstract] | |
Schedule of Commercial Loans Held-for-Investment | The following table summarizes commercial loans held-for-investment as of June 30, 2016 and December 31, 2015 that were purchased or originated by the Company. June 30, 2016 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Mezzanine loans 10 272,980 (478 ) 272,502 Total 10 272,980 (478 ) 272,502 December 31, 2015 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Mezzanine loans 6 210,769 (1,707 ) 209,062 Total 6 210,769 (1,707 ) 209,062 |
Trading Securities (Tables)
Trading Securities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Trading Securities | The following table presents the carrying value of the Company's U.S. Treasury securities as of June 30, 2016 and December 31, 2015 . $ in thousands June 30, 2016 December 31, 2015 Amortized cost 152,238 — Unrealized gains, net 463 — Fair value 152,701 — |
Other Assets (Tables)
Other Assets (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Schedule of Investments [Abstract] | |
Summary of Company's Other Investments | The following table summarizes the Company's other assets as of June 30, 2016 and December 31, 2015 . $ in thousands June 30, 2016 December 31, 2015 FHLBI stock 74,250 75,375 Investments in unconsolidated ventures 33,037 38,413 Prepaid expenses 996 1,284 Total 108,283 115,072 |
Borrowings (Tables)
Borrowings (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Debt Disclosure [Abstract] | |
Schedule of Borrowings | The following table summarizes certain characteristics of the Company’s borrowings at June 30, 2016 and December 31, 2015 . $ in thousands June 30, 2016 December 31, 2015 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 8,351,796 0.65 % 16 8,389,643 0.65 % 24 Non-Agency RMBS 1,775,190 1.83 % 39 2,077,240 1.68 % 32 GSE CRT 457,046 2.06 % 28 488,275 1.91 % 19 CMBS 1,032,365 1.61 % 20 1,170,890 1.49 % 23 U.S. Treasury securities 152,250 0.31 % 18 — — % — Total Repurchase Agreements 11,768,647 0.96 % 20 12,126,048 0.96 % 25 Secured Loans 1,650,000 0.66 % 2,866 1,650,000 0.55 % 2,937 Exchangeable Senior Notes (1) 400,000 5.00 % 623 400,000 5.00 % 805 Total Borrowings 13,818,647 1.04 % 377 14,176,048 1.02 % 386 (1) The carrying value of exchangeable senior notes is $395.8 million and $394.6 million as of June 30, 2016 and December 31, 2015 , respectively. The carrying value is net of debt issuance costs of $4.2 million and $5.4 million as of June 30, 2016 and December 31, 2015 , respectively. |
Schedule of Repurchase Agreements by Counterparties | The following tables summarize certain characteristics of the Company’s repurchase agreements at June 30, 2016 and December 31, 2015 . June 30, 2016 $ in thousands Repurchase Agreement Counterparties Amount Outstanding Percent of Total Amount Outstanding Company MBS and GSE CRTs Held as Collateral HSBC Securities (USA) Inc 1,587,595 13.6 % 1,641,055 Royal Bank of Canada 1,107,843 9.4 % 1,310,002 ING Financial Market LLC 1,044,876 8.9 % 1,111,694 South Street Securities LLC 760,278 6.5 % 802,395 Pierpont Securities LLC 733,307 6.2 % 763,791 Industrial and Commercial Bank of China Financial Services LLC 711,600 6.0 % 750,053 Goldman, Sachs & Co. 581,083 4.9 % 721,737 Mitsubishi UFJ Securities (USA), Inc. 546,852 4.6 % 576,421 Scotia Capital 536,182 4.6 % 557,888 JP Morgan Securities Inc. 518,649 4.4 % 591,574 Citigroup Global Markets Inc. 445,437 3.8 % 562,462 BNP Paribas Securities Corp. 429,280 3.6 % 480,599 KGS-Alpha Capital Markets, L.P. 424,707 3.6 % 448,366 Wells Fargo Securities, LLC 379,943 3.2 % 450,716 Societe Generale 328,524 2.8 % 431,916 Nomura Securities International, Inc. 293,202 2.5 % 309,568 Morgan Stanley & Co. Incorporated 227,156 1.9 % 271,618 All other counterparties (1) 1,112,133 9.5 % 1,256,400 Total 11,768,647 100.0 % 13,038,255 (1) Represents amounts outstanding with ten counterparties. December 31, 2015 $ in thousands Repurchase Agreement Counterparties Amount Outstanding Percent of Total Amount Outstanding Company MBS and GSE CRTs Held as Collateral HSBC Securities (USA) Inc 1,566,747 12.9 % 1,611,020 Royal Bank of Canada 1,148,480 9.5 % 1,383,839 ING Financial Market LLC 1,050,548 8.7 % 1,112,102 South Street Securities LLC 799,783 6.6 % 838,600 Pierpont Securities LLC 786,623 6.5 % 814,804 Industrial and Commercial Bank of China Financial Services LLC 695,933 5.7 % 730,941 Mitsubishi UFJ Securities (USA), Inc. 627,383 5.2 % 657,201 JP Morgan Securities Inc. 622,665 5.1 % 728,502 Citigroup Global Markets Inc. 585,632 4.8 % 725,882 Scotia Capital 576,137 4.8 % 598,343 BNP Paribas Securities Corp. 474,053 3.9 % 530,584 Wells Fargo Securities, LLC 463,673 3.8 % 551,667 Goldman, Sachs & Co. 428,799 3.5 % 552,549 KGS-Alpha Capital Markets, L.P. 380,286 3.1 % 400,758 Banc of America Securities LLC 380,520 3.1 % 442,801 Morgan Stanley & Co. Incorporated 273,124 2.3 % 320,484 Guggenheim Liquidity Services, LLC 265,709 2.2 % 279,345 All other counterparties (1) 999,953 8.3 % 1,180,866 Total 12,126,048 100.0 % 13,460,288 (1) Represents amounts outstanding with nine counterparties. |
Derivatives and Hedging Activ33
Derivatives and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Outstanding Interest Rate Swaptions and Derivative Instrument Information | The following table presents information with respect to the Company's derivative instruments: $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaptions 300,000 — (300,000 ) — Interest Rate Swaps 11,450,000 — (4,800,000 ) 6,650,000 Currency Forward Contracts 76,324 162,843 (154,867 ) 84,300 Credit Derivatives 645,000 — (73,399 ) 571,601 Total 12,471,324 162,843 (5,328,266 ) 7,305,901 |
Schedule of Credit Derivatives | At June 30, 2016 and December 31, 2015 , terms of the GSE CRT embedded derivatives are: $ in thousand June 30, 2016 December 31, 2015 Fair value amount (6,493 ) (25,722 ) Notional amount 571,601 645,000 Maximum potential amount of future undiscounted payments 571,601 645,000 |
Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges | As of June 30, 2016 , the Company had the following interest rate swaps outstanding: $ in thousands Counterparty Notional Maturity Date Fixed Interest Rate Deutsche Bank AG 150,000 2/5/2018 2.90 % ING Capital Markets LLC 350,000 2/24/2018 0.95 % UBS AG 500,000 5/24/2018 1.10 % ING Capital Markets LLC 400,000 6/5/2018 0.87 % CME Central Clearing 300,000 2/5/2021 2.50 % CME Central Clearing 300,000 2/5/2021 2.69 % Wells Fargo Bank, N.A. 200,000 3/15/2021 3.14 % CME Central Clearing 500,000 5/24/2021 2.25 % Citibank, N.A. 200,000 5/25/2021 2.83 % CME Central Clearing 500,000 6/24/2021 2.44 % HSBC Bank USA, National Association 550,000 2/24/2022 2.45 % CME Central Clearing 1,000,000 6/9/2022 2.21 % The Royal Bank of Scotland Plc 500,000 8/15/2023 1.98 % CME Central Clearing 600,000 8/24/2023 2.88 % HSBC Bank USA, National Association 500,000 12/15/2023 2.20 % CME Central Clearing 100,000 4/2/2025 2.04 % Total 6,650,000 2.16 % |
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 June 30, 2016 and December 31, 2015 . $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2016 As of December 31, 2015 As of June 30, 2016 As of December 31, 2015 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swap Asset — 6,795 Interest Rate Swap Liability 447,632 238,045 Currency Forward Contracts 5,502 1,864 Currency Forward Contracts 106 103 |
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 and six months ended June 30, 2016 and 2015 . $ in thousands Derivative not designated as hedging instrument Location of unrealized gain (loss) recognized in income on derivative Three months ended June 30, 2016 Three months ended CDS Contract Realized and unrealized credit derivative income (loss), net — 806 GSE CRT Embedded Derivatives Realized and unrealized credit derivative income (loss), net 11,116 (4,915 ) Total 11,116 (4,109 ) $ in thousands Derivative Location of unrealized gain (loss) Six months ended June 30, 2016 Six months ended June 30, 2015 CDS Contract Realized and unrealized credit derivative income (loss), net — 744 GSE CRT Embedded Derivatives Realized and unrealized credit derivative income (loss), net 13,212 11,123 Total 13,212 11,867 The following table summarizes the effect of interest rate swaps, swaption contracts, TBAs, futures contracts and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and six months ended June 30, 2016 and 2015 : $ in thousands Three months ended June 30, 2016 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 (20,105 ) (24,985 ) (49,711 ) (94,801 ) Currency Forward Contracts (479 ) — 4,917 4,438 Total (20,584 ) (24,985 ) (44,794 ) (90,363 ) $ in thousands Six months ended June 30, 2016 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 (64,000 ) (54,076 ) (216,382 ) (334,458 ) Interest Rate Swaptions (1,485 ) — 1,485 — Currency Forward Contracts 1,916 — 3,636 5,552 Total (63,569 ) (54,076 ) (211,261 ) (328,906 ) $ in thousands Three months ended June 30, 2015 Derivative 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 (12,826 ) (46,011 ) 116,623 57,786 Interest Rate Swaptions (3,050 ) — 2,326 (724 ) Currency Forward Contracts 664 — (1,723 ) (1,059 ) Total (15,212 ) (46,011 ) 117,226 56,003 $ in thousands Six months ended June 30, 2015 Derivative 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 (31,881 ) (91,619 ) 60,666 (62,834 ) Interest Rate Swaptions (7,738 ) — 6,005 (1,733 ) TBAs (2,292 ) — 558 (1,734 ) Futures Contracts (943 ) — (90 ) (1,033 ) Currency Forward Contracts 1,539 — (947 ) 592 Total (41,315 ) (91,619 ) 66,192 (66,742 ) |
Offsetting Assets and Liabili34
Offsetting Assets and Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Offsetting [Abstract] | |
Offsetting Derivative Assets | Offsetting of Derivative Assets As of June 30, 2016 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 5,502 — 5,502 (106 ) (5,396 ) — Total 5,502 — 5,502 (106 ) (5,396 ) — Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2016 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 447,738 — 447,738 (180,804 ) (266,934 ) — Repurchase Agreements 11,768,647 — 11,768,647 (11,768,647 ) — — Secured Loans 1,650,000 — 1,650,000 (1,650,000 ) — — Total 13,866,385 — 13,866,385 (13,599,451 ) (266,934 ) — Offsetting of Derivative Assets As of December 31, 2015 Gross Amounts Not Offset in the 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 8,659 — 8,659 (4,142 ) (4,517 ) — Total 8,659 — 8,659 (4,142 ) (4,517 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 2015 Gross Amounts Not Offset in the 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 238,148 — 238,148 (117,240 ) (109,299 ) 11,609 Repurchase Agreements 12,126,048 — 12,126,048 (12,126,048 ) — — Secured Loans 1,650,000 — 1,650,000 (1,650,000 ) — — Total 14,014,196 — 14,014,196 (13,893,288 ) (109,299 ) 11,609 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2016 and December 31, 2015 , 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 $13.0 billion and $13.5 billion at June 30, 2016 and December 31, 2015 , respectively. (4) Cash collateral of $5.6 million was posted by the Company's derivative counterparties at June 30, 2016 ( December 31, 2015 : $4.9 million ). Cash collateral posted by the Company on its derivatives was $267.0 million and $109.3 million at June 30, 2016 and December 31, 2015 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $2.0 billion and $ 1.9 billion at June 30, 2016 and December 31, 2015 , respectively. No cash collateral was posted by the Company at June 30, 2016 and December 31, 2015 . |
Offsetting Derivative Liabilities | Offsetting of Derivative Assets As of June 30, 2016 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 5,502 — 5,502 (106 ) (5,396 ) — Total 5,502 — 5,502 (106 ) (5,396 ) — Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2016 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 447,738 — 447,738 (180,804 ) (266,934 ) — Repurchase Agreements 11,768,647 — 11,768,647 (11,768,647 ) — — Secured Loans 1,650,000 — 1,650,000 (1,650,000 ) — — Total 13,866,385 — 13,866,385 (13,599,451 ) (266,934 ) — Offsetting of Derivative Assets As of December 31, 2015 Gross Amounts Not Offset in the 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 8,659 — 8,659 (4,142 ) (4,517 ) — Total 8,659 — 8,659 (4,142 ) (4,517 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 2015 Gross Amounts Not Offset in the 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 238,148 — 238,148 (117,240 ) (109,299 ) 11,609 Repurchase Agreements 12,126,048 — 12,126,048 (12,126,048 ) — — Secured Loans 1,650,000 — 1,650,000 (1,650,000 ) — — Total 14,014,196 — 14,014,196 (13,893,288 ) (109,299 ) 11,609 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2016 and December 31, 2015 , 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 $13.0 billion and $13.5 billion at June 30, 2016 and December 31, 2015 , respectively. (4) Cash collateral of $5.6 million was posted by the Company's derivative counterparties at June 30, 2016 ( December 31, 2015 : $4.9 million ). Cash collateral posted by the Company on its derivatives was $267.0 million and $109.3 million at June 30, 2016 and December 31, 2015 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $2.0 billion and $ 1.9 billion at June 30, 2016 and December 31, 2015 , respectively. No cash collateral was posted by the Company at June 30, 2016 and December 31, 2015 . |
Fair Value of Financial Instr35
Fair Value of Financial Instruments (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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. June 30, 2016 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) — 15,631,520 (6,493 ) 15,625,027 U.S. Treasury securities (3) — 152,701 — 152,701 Derivative assets — 5,502 — 5,502 Total assets — 15,789,723 (6,493 ) 15,783,230 Liabilities: Derivative liabilities — 447,738 — 447,738 Total liabilities — 447,738 — 447,738 December 31, 2015 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) — 16,091,657 (25,722 ) 16,065,935 Derivative assets — 8,659 — 8,659 Total assets — 16,100,316 (25,722 ) 16,074,594 Liabilities: Derivative liabilities — 238,148 — 238,148 Total liabilities — 238,148 — 238,148 (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) The Company's GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative. The hybrid instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of June 30, 2016 , the net embedded derivative liability position of $6.5 million includes $5.8 million of embedded derivatives in an asset position and $12.3 million of embedded derivatives in a liability position. As of December 31, 2015 , the net embedded derivative liability position of $25.7 million includes $1.0 million of embedded derivatives in an asset position and $26.7 million of embedded derivatives in a liability position. (3) Similar to the Company's MBS and GSE CRTs, the fair value of the Company's U.S. Treasury securities are based upon prices obtained from third-party pricing vendors. |
Embedded Derivatives Level 3 Roll Forward | 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: Three Months Ended Six Months Ended $ in thousands 2016 2015 2016 2015 Beginning balance (22,706 ) (5,457 ) (25,722 ) (21,495 ) Sales and settlements 5,097 1,676 6,017 2,468 Total net gains / (losses) included in net income: — — — Realized gains/(losses), net (5,097 ) (1,676 ) (6,017 ) (2,468 ) Unrealized gains/(losses), net 16,213 (4,915 ) 19,229 11,123 Ending balance (6,493 ) (10,372 ) (6,493 ) (10,372 ) |
Embedded Derivatives Fair Value Inputs | The following table 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 June 30, 2016 Technique Input Range Average GSE CRT Embedded Derivatives (6,493 ) Market Comparables Prepayment Rate 6.84% - 23.41% 11.55 % Vendor Pricing Default Rate 0.10% - 0.43% 0.16 % Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2015 Technique Input Range Average GSE CRT Embedded Derivatives (25,722 ) Market Comparables Prepayment Rate 5.72% - 14.37% 7.83 % Vendor Pricing Default Rate 0.10% - 0.35% 0.16 % |
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 June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 272,502 273,156 209,062 209,790 Other assets 108,283 108,283 115,072 115,072 Total 380,785 381,439 324,134 324,862 Financial Liabilities Repurchase agreements 11,768,647 11,768,485 12,126,048 12,133,252 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes 395,800 390,000 394,573 376,500 Total 13,814,447 13,808,485 14,170,621 14,159,752 |
Related Party Transactions (Tab
Related Party Transactions (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Related Party Transactions [Abstract] | |
Schedule of Related Party Transactions | The following table summarizes the costs originally paid by the Manager, incurred on behalf of the Company for the three and six months ended June 30, 2016 and 2015 . Three Months Ended Six Months Ended $ in thousands 2016 2015 2016 2015 Incurred costs, prepaid or expensed 1,443 1,707 3,225 2,349 Total incurred costs, originally paid by the Manager 1,443 1,707 3,225 2,349 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Equity [Abstract] | |
Schedule of accumulated other comprehensive income | The following table presents the components of accumulated other comprehensive income at June 30, 2016 and December 31, 2015 , respectively. $ in thousands June 30, 2016 December 31, 2015 Unrealized gain/(loss) on mortgage-backed and credit risk transfer securities, net 394,529 170,383 Unrealized gain/(loss) on discontinued cash flow hedges, net 164,234 148,273 Currency translation adjustments on investment in unconsolidated venture 191 (32 ) Accumulated other comprehensive income 558,954 318,624 |
Schedule of Nonvested Restricted Stock Units Activity | The following table summarizes the activity related to restricted stock units to employees of the Manager and its affiliates for the three and six months ended June 30, 2016 . Three Months Ended June 30, Six Months Ended June 30, 2016 2016 Restricted Stock Units Weighted Average Grant Date Fair Value (1) Restricted Stock Units Weighted Average Grant Date Fair Value (1) Unvested at the beginning of the period 46,000 $ 14.40 40,814 17.29 Shares granted during the period — — 21,099 11.28 Shares forfeited during the period — — — — Shares vested during the period — — (15,913 ) (17.66 ) Unvested at the end of the period 46,000 $ 14.40 46,000 14.40 (1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date. |
Earnings per Common Share (Tabl
Earnings per Common Share (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings per share for the three and six months ended June 30, 2016 and 2015 is computed as follows: Three Months Ended Six Months Ended $ and share amounts in thousands 2016 2015 2016 2015 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (11,617 ) 142,311 (167,777 ) 128,530 Effect of dilutive securities: Income allocated to exchangeable senior notes — 5,613 — 11,220 Income (loss) allocated to non-controlling interest (75 ) 1,712 (1,958 ) 1,618 Dilutive net income (loss) available to stockholders (11,692 ) 149,636 (169,735 ) 141,368 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 111,581 123,137 112,362 123,127 Effect of dilutive securities: Restricted stock awards — 45 — 46 OP units 1,425 1,425 1,425 1,425 Exchangeable senior notes — 16,836 — 16,836 Dilutive Shares 113,006 141,443 113,787 141,434 |
Non-controlling Interest - Op39
Non-controlling Interest - Operating Partnership (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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 and six months ended June 30, 2016 and 2015 . Three Months Ended Six Months Ended $ in thousands 2016 2015 2016 2015 Net income (loss) allocated (75 ) 1,712 (1,958 ) 1,618 Distributions paid 570 642 1,140 1,283 |
Revision of Previously Issued40
Revision of Previously Issued Financial Statements (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Changes and Error Corrections [Abstract] | |
Schedule of Error Revision of Previously Issued Financial Statements | The following changes have been made to the Company's Consolidated Balance Sheet as of December 31, 2015 : $ in thousands December 31, 2015 As Reported Adjustment As Revised Accumulated other comprehensive income 303,110 15,514 318,624 Retained earnings (distributions in excess of earnings) (755,799 ) (15,514 ) (771,313 ) The following changes have been made to the Company's Unaudited Consolidated Statements of Operations for the three and six months ended June 30, 2015 : $ in thousands Three Months Ended June 30, 2015 As Reported Adjustment As Revised Interest Income Mortgage-backed and credit risk transfer securities 126,098 2,393 128,491 Other Income Gain (loss) on investments, net 10,876 20 10,896 Net income 147,326 2,413 149,739 Net income attributable to non-controlling interest 1,685 27 1,712 Net income attributable to Invesco Mortgage Capital Inc. 145,641 2,386 148,027 Net income attributable to common stockholders 139,925 2,386 142,311 Earnings per share: Net income attributable to common stockholders Basic 1.14 0.02 1.16 Diluted 1.04 0.02 1.06 $ in thousands Six Months Ended June 30, 2015 As Reported Adjustment As Revised Interest Income Mortgage-backed and credit risk transfer securities 261,363 6,176 267,539 Other Income (loss) Gain (loss) on investments, net 13,048 (62 ) 12,986 Net income 135,466 6,114 141,580 Net income attributable to non-controlling interest 1,549 69 1,618 Net income attributable to Invesco Mortgage Capital Inc. 133,917 6,045 139,962 Net income attributable to common stockholders 122,485 6,045 128,530 Earnings per share: Net income attributable to common stockholders Basic 0.99 0.05 1.04 Diluted 0.96 0.04 1.00 The following changes have been made to the Company's Unaudited Consolidated Statement of Comprehensive Income for the three and six months ended June 30, 2015 : $ in thousands Three Months Ended June 30, 2015 As Reported Adjustment As Revised Net income 147,326 2,413 149,739 Total other comprehensive income (loss) (178,678 ) (2,413 ) (181,091 ) $ in thousands Six Months Ended June 30, 2015 As Reported Adjustment As Revised Net income 135,466 6,114 141,580 Total other comprehensive income (loss) (36,513 ) (6,114 ) (42,627 ) The following changes have been made to the Company's Unaudited Consolidated Statement of Cash Flows for the six months ended June 30, 2015 : $ in thousands Six Months Ended June 30, 2015 As Reported Adjustment As Revised Cash Flows from Operating Activities Net income 135,466 6,114 141,580 Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net 65,251 (6,176 ) 59,075 (Gain) loss on investments, net (13,048 ) 62 (12,986 ) Non-cash Investing and Financing Activities Information Net change in unrealized gain on mortgage-backed and credit risk transfer securities (71,971 ) (6,114 ) (78,085 ) |
Organization and Business Ope41
Organization and Business Operations - Additional Information (Detail) - segment | 6 Months Ended | |
Jun. 30, 2016 | Dec. 31, 2015 | |
Organization And Business Operations | ||
Ownership interest in Operating Partnership | 98.70% | |
Ownership percentage in Operating Partnership | 1.30% | 1.20% |
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 | 1.30% |
Summary of Significant Accoun42
Summary of Significant Accounting Policies (Details) - Accounting Standards Update 2015-03 $ in Millions | Dec. 31, 2015USD ($) |
Other assets | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Debt issuance costs | $ (5.4) |
Exchangeable senior notes | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |
Debt issuance costs | $ 5.4 |
Variable Interest Entities - Ma
Variable Interest Entities - Maximum Risk of Loss (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Variable Interest Entity | ||
Carrying Amount | $ 15,625,027 | $ 16,065,935 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity | ||
Carrying Amount | 5,015,453 | |
Company's Maximum Risk of Loss | 5,015,453 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS | ||
Variable Interest Entity | ||
Carrying Amount | 2,248,974 | |
Company's Maximum Risk of Loss | 2,248,974 | |
Variable Interest Entity, Not Primary Beneficiary | CMBS | ||
Variable Interest Entity | ||
Carrying Amount | 2,733,442 | |
Company's Maximum Risk of Loss | 2,733,442 | |
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures | ||
Variable Interest Entity | ||
Carrying Amount | 33,037 | |
Company's Maximum Risk of Loss | $ 33,037 |
Mortgage-Backed and Credit Ri44
Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2016 | Dec. 31, 2015 | |||
Schedule of Available-for-sale Securities | ||||
Principal balance | $ 18,880,434 | $ 19,810,113 | ||
Unamortized premium (discount) | (3,662,246) | (3,896,616) | ||
Amortized cost | 15,218,188 | 15,913,497 | ||
Unrealized gain/ (loss), net | 406,839 | 152,438 | ||
Fair value | $ 15,625,027 | $ 16,065,935 | ||
Net weighted average coupon | 3.08% | [1] | 3.08% | [2] |
Period-end weighted average yield | 3.23% | [3] | 3.31% | [4] |
Quarterly weighted average yield | 2.97% | [5] | 3.16% | [6] |
Percentage of agency collateralized mortgage obligations interest only securities, principal balance | 83.50% | 84.40% | ||
Percentage of agency collateralized mortgage obligations interest only securities, amortized cost | 24.30% | 27.50% | ||
Percentage of agency collateralized mortgage obligations interest only securities, fair value | 25.30% | 27.60% | ||
Unamortized premium (discount) non-accretable portion | $ (261,600) | $ (281,600) | ||
Percentage of government sponsored enterprise credit risk transfer securities | 3.40% | 1.90% | ||
Agency RMBS | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | $ 9,053,995 | $ 8,982,359 | ||
Unamortized premium (discount) | 394,204 | 389,623 | ||
Amortized cost | 9,448,199 | 9,371,982 | ||
Unrealized gain/ (loss), net | 185,906 | 38,455 | ||
Fair value | $ 9,634,105 | $ 9,410,437 | ||
Net weighted average coupon | 3.48% | [1] | 3.54% | [2] |
Period-end weighted average yield | 2.63% | [3] | 2.65% | [4] |
Quarterly weighted average yield | 2.31% | [5] | 2.53% | [6] |
Agency RMBS | 15 Year Fixed-Rate | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | $ 2,417,736 | $ 1,527,877 | ||
Unamortized premium (discount) | 112,107 | 72,389 | ||
Amortized cost | 2,529,843 | 1,600,266 | ||
Unrealized gain/ (loss), net | 33,507 | 10,664 | ||
Fair value | $ 2,563,350 | $ 1,610,930 | ||
Net weighted average coupon | 3.39% | [1] | 3.72% | [2] |
Period-end weighted average yield | 2.36% | [3] | 2.47% | [4] |
Quarterly weighted average yield | 1.87% | [5] | 2.40% | [6] |
Agency RMBS | 30 Year Fixed-Rate | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | $ 3,509,579 | $ 3,796,091 | ||
Unamortized premium (discount) | 228,288 | 249,285 | ||
Amortized cost | 3,737,867 | 4,045,376 | ||
Unrealized gain/ (loss), net | 88,566 | 18,581 | ||
Fair value | $ 3,826,433 | $ 4,063,957 | ||
Net weighted average coupon | 4.22% | [1] | 4.24% | [2] |
Period-end weighted average yield | 2.88% | [3] | 2.81% | [4] |
Quarterly weighted average yield | 2.74% | [5] | 2.85% | [6] |
Agency RMBS | ARM | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | $ 351,704 | $ 417,424 | ||
Unamortized premium (discount) | 3,332 | 4,625 | ||
Amortized cost | 355,036 | 422,049 | ||
Unrealized gain/ (loss), net | 9,298 | 3,976 | ||
Fair value | $ 364,334 | $ 426,025 | ||
Net weighted average coupon | 2.71% | [1] | 2.72% | [2] |
Period-end weighted average yield | 2.62% | [3] | 2.58% | [4] |
Quarterly weighted average yield | 2.30% | [5] | 2.26% | [6] |
Agency RMBS | Hybrid ARM | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | $ 2,774,976 | $ 3,240,967 | ||
Unamortized premium (discount) | 50,477 | 63,324 | ||
Amortized cost | 2,825,453 | 3,304,291 | ||
Unrealized gain/ (loss), net | 54,535 | 5,234 | ||
Fair value | $ 2,879,988 | $ 3,309,525 | ||
Net weighted average coupon | 2.72% | [1] | 2.73% | [2] |
Period-end weighted average yield | 2.53% | [3] | 2.56% | [4] |
Quarterly weighted average yield | 2.10% | [5] | 2.22% | [6] |
Agency-CMO | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | $ 1,718,714 | [7] | $ 1,774,621 | [8] |
Unamortized premium (discount) | (1,340,005) | [7] | (1,386,284) | [8] |
Amortized cost | 378,709 | [7] | 388,337 | [8] |
Unrealized gain/ (loss), net | 16,556 | [7] | 482 | [8] |
Fair value | $ 395,265 | [7] | $ 388,819 | [8] |
Net weighted average coupon | 2.18% | [1],[7] | 2.23% | [2],[8] |
Period-end weighted average yield | 3.50% | [3],[7] | 4.29% | [4],[8] |
Quarterly weighted average yield | 2.55% | [5],[7] | 3.42% | [6],[8] |
Non-Agency RMBS | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | $ 4,349,423 | [9],[10],[11] | $ 4,965,978 | [12],[13],[14] |
Unamortized premium (discount) | (2,178,234) | [9],[10],[11] | (2,363,799) | [12],[13],[14] |
Amortized cost | 2,171,189 | [9],[10],[11] | 2,602,179 | [12],[13],[14] |
Unrealized gain/ (loss), net | 77,785 | [9],[10],[11] | 90,308 | [12],[13],[14] |
Fair value | $ 2,248,974 | [9],[10],[11] | $ 2,692,487 | [12],[13],[14] |
Net weighted average coupon | 2.18% | [1],[9],[10],[11] | 2.20% | [2],[12],[13],[14] |
Period-end weighted average yield | 5.21% | [3],[9],[10],[11] | 5.11% | [4],[12],[13],[14] |
Quarterly weighted average yield | 4.74% | [5],[9],[10],[11] | 4.90% | [6],[12],[13],[14] |
Percentage of interest only securities | 1.40% | 1.30% | ||
Non-Agency RMBS | Variable Rate | ||||
Schedule of Available-for-sale Securities | ||||
Percentage of non-agency securities classified as variable rate | 46.00% | 48.40% | ||
Non-Agency RMBS | Fixed Rate | ||||
Schedule of Available-for-sale Securities | ||||
Percentage of non-agency securities classified as fixed rate | 47.20% | 45.20% | ||
Non-Agency RMBS | Floating Rate | ||||
Schedule of Available-for-sale Securities | ||||
Percentage of non-agency securities classified as floating rate | 6.80% | 6.40% | ||
GSE CRT | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | $ 592,171 | [15],[16] | $ 657,500 | [17],[18] |
Unamortized premium (discount) | 21,346 | [15],[16] | 22,593 | [17],[18] |
Amortized cost | 613,517 | [15],[16] | 680,093 | [17],[18] |
Unrealized gain/ (loss), net | (276) | [15],[16] | (21,865) | [17],[18] |
Fair value | $ 613,241 | [15],[16] | $ 658,228 | [17],[18] |
Net weighted average coupon | 1.46% | [1],[15],[16] | 1.32% | [2],[17],[18] |
Period-end weighted average yield | 0.78% | [3],[15],[16] | 0.72% | [4],[17],[18] |
Quarterly weighted average yield | 0.86% | [5],[15],[16] | 0.62% | [6],[17],[18] |
CMBS | ||||
Schedule of Available-for-sale Securities | ||||
Principal balance | $ 3,166,131 | [19] | $ 3,429,655 | [20] |
Unamortized premium (discount) | (559,557) | [19] | (558,749) | [20] |
Amortized cost | 2,606,574 | [19] | 2,870,906 | [20] |
Unrealized gain/ (loss), net | 126,868 | [19] | 45,058 | [20] |
Fair value | $ 2,733,442 | [19] | $ 2,915,964 | [20] |
Net weighted average coupon | 3.95% | [1],[19] | 3.95% | [2],[20] |
Period-end weighted average yield | 4.34% | [3],[19] | 4.30% | [4],[20] |
Quarterly weighted average yield | 4.37% | [5],[19] | 4.35% | [6],[20] |
Percentage of interest only securities | 0.90% | 0.90% | ||
Commercial Real Estate | CMBS | ||||
Schedule of Available-for-sale Securities | ||||
Percentage of commercial real estate mezzanine loan pass-through certificates | 0.70% | |||
[1] | Net weighted average coupon as of June 30, 2016 is presented net of servicing and other fees. | |||
[2] | Net weighted average coupon as of December 31, 2015 is presented net of servicing and other fees. | |||
[3] | Period-end weighted average yield is based on amortized cost as of June 30, 2016 and incorporates future prepayment and loss assumptions. | |||
[4] | Period-end weighted average yield is based on amortized cost as of December 31, 2015 and incorporates future prepayment and loss assumptions. | |||
[5] | 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. | |||
[6] | Quarterly weighted average portfolio yield for the period was calculated by dividing interest income, including amortization of premiums and discounts, by the Company's average of the amortized cost of the investments. All yields are annualized. | |||
[7] | Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 83.5% of principal (notional) balance, 24.3% of amortized cost and 25.3% of fair value. | |||
[8] | Agency collateralized mortgage obligation ("Agency CMO") includes interest-only securities, which represent 84.4% of principal (notional) balance, 27.5% of amortized cost and 27.6% of fair value. | |||
[9] | Non-Agency RMBS held by the Company is 46.0% variable rate, 47.2% fixed rate, and 6.8% floating rate based on fair value. | |||
[10] | Non-Agency RMBS includes interest-only securities, which represent 1.4% of the balance based on fair value. | |||
[11] | Of the total discount in non-Agency RMBS, $261.6 million is non-accretable based on the Company's estimated future cash flows of the securities. | |||
[12] | Non-Agency RMBS held by the Company is 48.4% variable rate, 45.2% fixed rate, and 6.4% floating rate based on fair value. | |||
[13] | Non-Agency RMBS includes interest-only securities, which represent 1.3% of the balance based on fair value. | |||
[14] | Of the total discount in non-Agency RMBS, $281.6 million is non-accretable based on the Company's estimated future cash flows of the securities. | |||
[15] | GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. | |||
[16] | The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 3.4% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative. | |||
[17] | GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option recorded as realized and unrealized credit derivative income (loss), net. | |||
[18] | The Company has elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 1.9% of the balance based on fair value. As a result, GSE CRT accounted for under the fair value option are not bifurcated between the debt host contract and the embedded derivative. | |||
[19] | CMBS includes interest-only securities, which represent 0.9% of the balance based on fair value. | |||
[20] | CMBS includes interest-only securities and commercial real estate mezzanine loan pass-through certificates, which represent 0.9% and 0.7% of the balance based on fair value, respectively. |
Mortgage-Backed and Credit Ri45
Mortgage-Backed and Credit Risk Transfer Securities - Components of Non-Agency RMBS Portfolio By Asset Type (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2016 | Dec. 31, 2015 | |||
Schedule of Available-for-sale Securities | ||||
Mortgage-backed and credit risk transfer securities, at fair value | $ 15,625,027 | $ 16,065,935 | ||
Non-Agency RMBS | ||||
Schedule of Available-for-sale Securities | ||||
Mortgage-backed and credit risk transfer securities, at fair value | $ 2,248,974 | [1],[2],[3] | $ 2,692,487 | [4],[5],[6] |
% of Non-Agency | 100.00% | 100.00% | ||
Non-Agency RMBS | Prime | ||||
Schedule of Available-for-sale Securities | ||||
Mortgage-backed and credit risk transfer securities, at fair value | $ 980,428 | $ 1,081,428 | ||
% of Non-Agency | 43.60% | 40.20% | ||
Non-Agency RMBS | Alt-A | ||||
Schedule of Available-for-sale Securities | ||||
Mortgage-backed and credit risk transfer securities, at fair value | $ 476,444 | $ 544,306 | ||
% of Non-Agency | 21.20% | 20.20% | ||
Non-Agency RMBS | Re-Remic | ||||
Schedule of Available-for-sale Securities | ||||
Mortgage-backed and credit risk transfer securities, at fair value | $ 446,997 | $ 663,853 | ||
% of Non-Agency | 19.80% | 24.70% | ||
Non-Agency RMBS | Subprime/Reperforming | ||||
Schedule of Available-for-sale Securities | ||||
Mortgage-backed and credit risk transfer securities, at fair value | $ 345,105 | $ 402,900 | ||
% of Non-Agency | 15.40% | 14.90% | ||
[1] | Non-Agency RMBS held by the Company is 46.0% variable rate, 47.2% fixed rate, and 6.8% floating rate based on fair value. | |||
[2] | Non-Agency RMBS includes interest-only securities, which represent 1.4% of the balance based on fair value. | |||
[3] | Of the total discount in non-Agency RMBS, $261.6 million is non-accretable based on the Company's estimated future cash flows of the securities. | |||
[4] | Non-Agency RMBS held by the Company is 48.4% variable rate, 45.2% fixed rate, and 6.4% floating rate based on fair value. | |||
[5] | Non-Agency RMBS includes interest-only securities, which represent 1.3% of the balance based on fair value. | |||
[6] | Of the total discount in non-Agency RMBS, $281.6 million is non-accretable based on the Company's estimated future cash flows of the securities. |
Mortgage-Backed and Credit Ri46
Mortgage-Backed and Credit Risk Transfer Securities - Components of Senior Re-REMIC at Fair Value (Detail) | 6 Months Ended | ||
Jun. 30, 2016 | Dec. 31, 2015 | ||
Schedule of Available-for-sale Securities | |||
Re-REMIC holdings by subordination | [1] | 100.00% | 100.00% |
Re-REMIC holdings that are not senior class (percentage) | 30.90% | ||
Re-REMIC 0-10 | |||
Schedule of Available-for-sale Securities | |||
Re-REMIC holdings by subordination | [1] | 14.40% | 11.00% |
Re-REMIC 10-20 | |||
Schedule of Available-for-sale Securities | |||
Re-REMIC holdings by subordination | [1] | 7.30% | 5.60% |
Re-REMIC 20-30 | |||
Schedule of Available-for-sale Securities | |||
Re-REMIC holdings by subordination | [1] | 13.60% | 12.70% |
Re-REMIC 30-40 | |||
Schedule of Available-for-sale Securities | |||
Re-REMIC holdings by subordination | [1] | 16.00% | 20.80% |
Re-REMIC 40-50 | |||
Schedule of Available-for-sale Securities | |||
Re-REMIC holdings by subordination | [1] | 30.30% | 32.80% |
Re-REMIC 50-60 | |||
Schedule of Available-for-sale Securities | |||
Re-REMIC holdings by subordination | [1] | 15.80% | 13.30% |
Re-REMIC 60-70 | |||
Schedule of Available-for-sale Securities | |||
Re-REMIC holdings by subordination | [1] | 2.60% | 3.80% |
[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. 30.9% of the Company's Re-REMIC holdings are not senior tranches. |
Mortgage-Backed and Credit Ri47
Mortgage-Backed and Credit Risk Transfer Securities - Components of Carrying Value of Investment Portfolio (Detail) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Investments, Debt and Equity Securities [Abstract] | ||
Principal balance | $ 18,880,434 | $ 19,810,113 |
Unamortized premium | 491,288 | 495,539 |
Unamortized discount | (4,153,534) | (4,392,155) |
Gross unrealized gains | 442,992 | 303,890 |
Gross unrealized losses | (36,153) | (151,452) |
Fair value | $ 15,625,027 | $ 16,065,935 |
Mortgage-Backed and Credit Ri48
Mortgage-Backed and Credit Risk Transfer Securities - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Detail) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Investments, Debt and Equity Securities [Abstract] | ||
Less than one year | $ 280,795 | $ 427,678 |
Greater than one year and less than five years | 10,683,740 | 6,237,547 |
Greater than or equal to five years | 4,660,492 | 9,400,710 |
Fair value | $ 15,625,027 | $ 16,065,935 |
Mortgage-Backed and Credit Ri49
Mortgage-Backed and Credit Risk Transfer Securities - Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time (Detail) $ in Thousands | Jun. 30, 2016USD ($)security | Dec. 31, 2015USD ($)security | ||
Fair Value | ||||
Less than 12 months | $ 1,054,019 | $ 6,095,710 | ||
12 months or more | 1,834,527 | 1,675,435 | ||
Total | 2,888,546 | 7,771,145 | ||
Unrealized Losses | ||||
Less than 12 months | (13,390) | (78,451) | ||
12 months or more | (22,763) | (73,001) | ||
Total | $ (36,153) | $ (151,452) | ||
Number of Securities | ||||
Less than 12 months | security | 98 | 368 | ||
12 months or more | security | 112 | 91 | ||
Total | security | 210 | 459 | ||
Agency RMBS | ||||
Fair Value | ||||
Less than 12 months | $ 78,960 | $ 3,491,280 | ||
12 months or more | 1,288,153 | 1,197,897 | ||
Total | 1,367,113 | 4,689,177 | ||
Unrealized Losses | ||||
Less than 12 months | (284) | (40,491) | ||
12 months or more | (8,241) | (40,979) | ||
Total | $ (8,525) | $ (81,470) | ||
Number of Securities | ||||
Less than 12 months | security | 17 | 187 | ||
12 months or more | security | 58 | 53 | ||
Total | security | 75 | 240 | ||
Agency RMBS | 15 Year Fixed-Rate | ||||
Fair Value | ||||
Less than 12 months | $ 68,046 | $ 600,480 | ||
12 months or more | 94,534 | 77,506 | ||
Total | 162,580 | 677,986 | ||
Unrealized Losses | ||||
Less than 12 months | (263) | (8,081) | ||
12 months or more | (613) | (1,482) | ||
Total | $ (876) | $ (9,563) | ||
Number of Securities | ||||
Less than 12 months | security | 14 | 33 | ||
12 months or more | security | 10 | 6 | ||
Total | security | 24 | 39 | ||
Agency RMBS | 30 Year Fixed-Rate | ||||
Fair Value | ||||
Less than 12 months | $ 0 | $ 776,065 | ||
12 months or more | 1,193,363 | 1,120,391 | ||
Total | 1,193,363 | 1,896,456 | ||
Unrealized Losses | ||||
Less than 12 months | 0 | (14,827) | ||
12 months or more | (7,625) | (39,497) | ||
Total | $ (7,625) | $ (54,324) | ||
Number of Securities | ||||
Less than 12 months | security | 0 | 32 | ||
12 months or more | security | 46 | 47 | ||
Total | security | 46 | 79 | ||
Agency RMBS | ARM | ||||
Fair Value | ||||
Less than 12 months | $ 1,392 | $ 200,863 | ||
12 months or more | 0 | 0 | ||
Total | 1,392 | 200,863 | ||
Unrealized Losses | ||||
Less than 12 months | (15) | (501) | ||
12 months or more | 0 | 0 | ||
Total | $ (15) | $ (501) | ||
Number of Securities | ||||
Less than 12 months | security | 1 | 11 | ||
12 months or more | security | 0 | 0 | ||
Total | security | 1 | 11 | ||
Agency RMBS | Hybrid ARM | ||||
Fair Value | ||||
Less than 12 months | $ 9,522 | $ 1,913,872 | ||
12 months or more | 256 | 0 | ||
Total | 9,778 | 1,913,872 | ||
Unrealized Losses | ||||
Less than 12 months | (6) | (17,082) | ||
12 months or more | (3) | 0 | ||
Total | $ (9) | $ (17,082) | ||
Number of Securities | ||||
Less than 12 months | security | 2 | 111 | ||
12 months or more | security | 2 | 0 | ||
Total | security | 4 | 111 | ||
Agency-CMO | ||||
Fair Value | ||||
Less than 12 months | $ 36,372 | [1] | $ 166,754 | [2] |
12 months or more | 1,996 | [1] | 9,118 | [2] |
Total | 38,368 | [1] | 175,872 | [2] |
Unrealized Losses | ||||
Less than 12 months | (1,370) | [1] | (3,296) | [2] |
12 months or more | (260) | [1] | (6,934) | [2] |
Total | $ (1,630) | [1] | $ (10,230) | [2] |
Number of Securities | ||||
Less than 12 months | security | 11 | [1] | 14 | [2] |
12 months or more | security | 3 | [1] | 9 | [2] |
Total | security | 14 | [1] | 23 | [2] |
Agency IO | ||||
Unrealized Losses | ||||
Total | $ (1,400) | $ (8,300) | ||
CMO | ||||
Unrealized Losses | ||||
Total | (244) | (1,900) | ||
Non-Agency RMBS | ||||
Fair Value | ||||
Less than 12 months | 756,236 | 872,575 | ||
12 months or more | 270,801 | 316,010 | ||
Total | 1,027,037 | 1,188,585 | ||
Unrealized Losses | ||||
Less than 12 months | (9,188) | (7,286) | ||
12 months or more | (6,891) | (10,699) | ||
Total | $ (16,079) | $ (17,985) | ||
Number of Securities | ||||
Less than 12 months | security | 57 | 66 | ||
12 months or more | security | 29 | 20 | ||
Total | security | 86 | 86 | ||
GSE CRT | ||||
Fair Value | ||||
Less than 12 months | $ 34,936 | [3] | $ 340,116 | [4] |
12 months or more | 146,726 | [3] | 120,877 | [4] |
Total | 181,662 | [3] | 460,993 | [4] |
Unrealized Losses | ||||
Less than 12 months | (64) | [3] | (10,050) | [4] |
12 months or more | (5,870) | [3] | (13,605) | [4] |
Total | $ (5,934) | [3] | $ (23,655) | [4] |
Number of Securities | ||||
Less than 12 months | security | 1 | [3] | 16 | [4] |
12 months or more | security | 10 | [3] | 7 | [4] |
Total | security | 11 | [3] | 23 | [4] |
CMBS | ||||
Fair Value | ||||
Less than 12 months | $ 147,515 | $ 1,224,985 | ||
12 months or more | 126,851 | 31,533 | ||
Total | 274,366 | 1,256,518 | ||
Unrealized Losses | ||||
Less than 12 months | (2,484) | (17,328) | ||
12 months or more | (1,501) | (784) | ||
Total | $ (3,985) | $ (18,112) | ||
Number of Securities | ||||
Less than 12 months | security | 12 | 85 | ||
12 months or more | security | 12 | 2 | ||
Total | security | 24 | 87 | ||
[1] | Fair value includes unrealized losses on Agency IO of $1.4 million and unrealized losses on CMO of $244,000. | |||
[2] | Fair value includes unrealized losses on Agency IO of $8.3 million and unrealized losses on CMO of $1.9 million. | |||
[3] | Fair value includes unrealized losses on both the debt host contract and the embedded derivative. | |||
[4] | Fair value includes unrealized losses on both the debt host contract and the embedded derivative. |
Mortgage-Backed and Credit Ri50
Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities | ||
Gross unrealized losses | $ 36,153 | $ 151,452 |
CMO | ||
Schedule of Available-for-sale Securities | ||
Gross unrealized losses | 244 | |
Agency RMBS | ||
Schedule of Available-for-sale Securities | ||
Gross unrealized losses | 8,500 | |
Agency-IO, Non-Agency RMBS, GSE CRT and CMBS | ||
Schedule of Available-for-sale Securities | ||
Gross unrealized losses | $ 27,400 |
Mortgage-Backed and Credit Ri51
Mortgage-Backed and Credit Risk Transfer Securities - OTTI Rollforward (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||||
Cumulative credit loss at beginning of period | $ 5,683,000 | $ 0 | $ 0 | $ 0 |
Additions: | ||||
Other-than-temporary impairments not previously recognized | 1,480,000 | 0 | 7,163,000 | 0 |
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | 45,000 | 0 | 45,000 | 0 |
Cumulative credit loss at end of period | 7,208,000 | 0 | 7,208,000 | 0 |
Other-than-temporary credit impairment losses | $ 1,525,000 | $ 0 | $ 7,208,000 | $ 0 |
Mortgage-Backed and Credit Ri52
Mortgage-Backed and Credit Risk Transfer Securities - Impact of MBS and GSE CRT on Accumulated Other Comprehensive Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Accumulated Other Comprehensive Income Loss, Available-for-sale Securities [Roll Forward] | ||||
Unrealized gain (loss) on MBS and GSE CRT at beginning of period | $ 288,715 | $ 495,655 | $ 177,799 | $ 376,336 |
Unrealized gain (loss) on MBS and GSE CRT | 117,116 | (195,715) | 238,576 | (73,544) |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | (1,037) | (1,689) | (11,581) | (4,541) |
Unrealized gain (loss) on MBS and GSE CRT at end of period | $ 404,794 | $ 298,251 | $ 404,794 | $ 298,251 |
Mortgage-Backed and Credit Ri53
Mortgage-Backed and Credit Risk Transfer Securities - Realized Gain (Loss) on Investments (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | ||
Schedule of Available-for-sale Securities | ||||||
Gross realized gain on sale of investments | $ 1,037,000 | $ 1,813,000 | $ 14,052,000 | $ 4,777,000 | ||
Gross realized loss on sale of investments | 0 | (124,000) | (2,471,000) | (236,000) | ||
Other-than-temporary impairment losses | (1,525,000) | 0 | (7,208,000) | 0 | ||
Total gains (loss) on investments, net | [1] | 951,000 | 10,896,000 | 12,552,000 | 12,986,000 | |
Unrealized gains, net | 463,000 | 463,000 | $ 0 | |||
RMBS IOs | ||||||
Schedule of Available-for-sale Securities | ||||||
Net unrealized gain (loss) | 1,266,000 | 9,207,000 | 7,942,000 | 8,445,000 | ||
GSE CRT | ||||||
Schedule of Available-for-sale Securities | ||||||
Net unrealized gain (loss) | $ 173,000 | $ 0 | $ 237,000 | $ 0 | ||
[1] | Included within gain (loss) on investments, net on the consolidated statement of operations is unrealized gains on U.S. Treasury securities of $463,000 (June 30, 2015: $0) for the three and six months ended June 30, 2016, respectively. U.S. Treasury securities are accounted for as trading securities, refer to Note 6 - "Trading Securities." |
Mortgage-Backed and Credit Ri54
Mortgage-Backed and Credit Risk Transfer Securities - Components of MBS and GSE CRT Interest Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Schedule of Available-for-sale Securities | ||||
Coupon Interest | $ 142,476 | $ 161,960 | $ 288,770 | $ 326,614 |
Net (Premium Amortization)/Discount Accretion | (29,616) | (33,469) | (53,664) | (59,075) |
Interest Income | 112,860 | 128,491 | 235,106 | 267,539 |
Agency RMBS | ||||
Schedule of Available-for-sale Securities | ||||
Coupon Interest | 84,440 | 94,394 | 170,211 | 188,766 |
Net (Premium Amortization)/Discount Accretion | (28,277) | (34,828) | (52,462) | (61,687) |
Interest Income | 56,163 | 59,566 | 117,749 | 127,079 |
Non-Agency RMBS | ||||
Schedule of Available-for-sale Securities | ||||
Coupon Interest | 24,127 | 28,283 | 49,976 | 59,093 |
Net (Premium Amortization)/Discount Accretion | 2,292 | 4,552 | 6,136 | 8,993 |
Interest Income | 26,419 | 32,835 | 56,112 | 68,086 |
GSE CRT | ||||
Schedule of Available-for-sale Securities | ||||
Coupon Interest | 2,136 | 1,618 | 4,333 | 3,186 |
Net (Premium Amortization)/Discount Accretion | (775) | (770) | (1,542) | (1,530) |
Interest Income | 1,361 | 848 | 2,791 | 1,656 |
CMBS | ||||
Schedule of Available-for-sale Securities | ||||
Coupon Interest | 31,476 | 37,607 | 63,740 | 75,512 |
Net (Premium Amortization)/Discount Accretion | (2,839) | (2,423) | (5,779) | (4,851) |
Interest Income | 28,637 | 35,184 | 57,961 | 70,661 |
Other | ||||
Schedule of Available-for-sale Securities | ||||
Coupon Interest | 297 | 58 | 510 | 57 |
Net (Premium Amortization)/Discount Accretion | (17) | 0 | (17) | 0 |
Interest Income | $ 280 | $ 58 | $ 493 | $ 57 |
Commercial Loans Held-for-Inv55
Commercial Loans Held-for-Investment - Schedule of Commercial Loans Held-for-Investment(Details) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016USD ($)loan | Dec. 31, 2015USD ($)loan | |
Accounts, Notes, Loans and Financing Receivable | ||
Carrying value | $ 272,502,000 | $ 209,062,000 |
Commercial Portfolio Segment | ||
Accounts, Notes, Loans and Financing Receivable | ||
Number of loans | loan | 10 | 6 |
Principal balance | $ 272,980,000 | $ 210,769,000 |
Unamortized (fees)/ costs, net | (478,000) | (1,707,000) |
Carrying value | 272,502,000 | 209,062,000 |
Allowance for loan losses | $ 0 | $ 0 |
Commercial Portfolio Segment | Mezzanine Loans | ||
Accounts, Notes, Loans and Financing Receivable | ||
Number of loans | loan | 10 | 6 |
Principal balance | $ 272,980,000 | $ 210,769,000 |
Unamortized (fees)/ costs, net | (478,000) | (1,707,000) |
Carrying value | $ 272,502,000 | $ 209,062,000 |
Trading Securities (Details)
Trading Securities (Details) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Investments, Debt and Equity Securities [Abstract] | |||||
Amortized cost | $ 152,238,000 | $ 152,238,000 | $ 0 | ||
Unrealized gains, net | 463,000 | 463,000 | 0 | ||
Fair value | 152,701,000 | 152,701,000 | $ 0 | ||
Realized gains or losses on U.S. Treasury securities | $ 0 | $ 0 | $ 0 | $ 0 |
Other Assets - Summary of Compa
Other Assets - Summary of Company's Other Investments (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Investments [Abstract] | ||
FHLBI stock | $ 74,250 | $ 75,375 |
Investments in unconsolidated ventures | 33,037 | 38,413 |
Prepaid expenses | 996 | 1,284 |
Total | $ 108,283 | $ 115,072 |
Borrowings - Schedule of Borrow
Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2016 | Dec. 31, 2015 | ||
Repurchase Agreements | |||
Amount outstanding | $ 11,768,647 | $ 12,126,048 | |
Weighted average interest rate (percent) | 0.96% | 0.96% | |
Weighted average remaining maturity (days) | 20 days | 25 days | |
Secured Loans | |||
Amount outstanding | $ 1,650,000 | $ 1,650,000 | |
Total Borrowings | |||
Carrying value of exchangeable senior notes | 395,800 | 394,573 | |
Agency RMBS | |||
Repurchase Agreements | |||
Amount outstanding | $ 8,351,796 | $ 8,389,643 | |
Weighted average interest rate (percent) | 0.65% | 0.65% | |
Weighted average remaining maturity (days) | 16 days | 24 days | |
Non-Agency RMBS | |||
Repurchase Agreements | |||
Amount outstanding | $ 1,775,190 | $ 2,077,240 | |
Weighted average interest rate (percent) | 1.83% | 1.68% | |
Weighted average remaining maturity (days) | 39 days | 32 days | |
GSE CRT | |||
Repurchase Agreements | |||
Amount outstanding | $ 457,046 | $ 488,275 | |
Weighted average interest rate (percent) | 2.06% | 1.91% | |
Weighted average remaining maturity (days) | 28 days | 19 days | |
CMBS | |||
Repurchase Agreements | |||
Amount outstanding | $ 1,032,365 | $ 1,170,890 | |
Weighted average interest rate (percent) | 1.61% | 1.49% | |
Weighted average remaining maturity (days) | 20 days | 23 days | |
U.S. Treasury securities | |||
Repurchase Agreements | |||
Amount outstanding | $ 152,250 | $ 0 | |
Weighted average interest rate (percent) | 0.31% | 0.00% | |
Weighted average remaining maturity (days) | 18 days | ||
Secured Loans | |||
Secured Loans | |||
Amount outstanding | $ 1,650,000 | $ 1,650,000 | |
Weighted average interest rate (percent) | 0.66% | 0.55% | |
Weighted average remaining maturity (days) | 2866 days | 2937 days | |
Exchangeable Senior Notes | |||
Exchangeable Senior Notes | |||
Amount outstanding | [1] | $ 400,000 | $ 400,000 |
Weighted average interest rate (percent) | [1] | 5.00% | 5.00% |
Weighted average remaining maturity (days) | [1] | 623 days | 805 days |
Total Borrowings | |||
Debt issuance costs | $ 4,200 | $ 5,400 | |
Secured Debt, Excluding Asset-Backed Securities | |||
Total Borrowings | |||
Amount outstanding | $ 13,818,647 | $ 14,176,048 | |
Weighted average interest rate (percent) | 1.04% | 1.02% | |
Weighted average remaining maturity (days) | 377 days | 386 days | |
[1] | The carrying value of exchangeable senior notes is $395.8 million and $394.6 million as of June 30, 2016 and December 31, 2015, respectively. The carrying value is net of debt issuance costs of $4.2 million and $5.4 million as of June 30, 2016 and December 31, 2015, respectively. |
Borrowings - Additional Informa
Borrowings - Additional Information (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
Repurchase Agreement Counterparty | ||
Collateral ratio | 111.00% | 111.00% |
Cash margin deposits | $ 267,000 | $ 109,300 |
Outstanding secured advances from FHLBI | 1,650,000 | 1,650,000 |
Agency RMBS | ||
Repurchase Agreement Counterparty | ||
Cash margin deposits | $ 200,200 | |
Repurchase Agreements | ||
Repurchase Agreement Counterparty | ||
Cash margin deposits | $ 710,000 | |
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 | ||
Outstanding secured advances from FHLBI | $ 1,650,000 | |
Average outstanding borrowings from FHLBI | $ 1,650,000 | |
FHLBI weighted average interest rate on advances | 0.65% | |
Weighted average maturity (in years) | 7 years 10 months 7 days | |
Residential Loans Held as Collateral | Federal Home Loan Bank of Indianapolis | CMBS | ||
Repurchase Agreement Counterparty | ||
Collateral pledged against secured loans | $ 1,400,000 | |
Residential Loans Held as Collateral | Federal Home Loan Bank of Indianapolis | Agency RMBS | ||
Repurchase Agreement Counterparty | ||
Collateral pledged against secured loans | $ 563,500 |
Borrowings - Repurchase Agreeme
Borrowings - Repurchase Agreements (Detail) $ in Thousands | 6 Months Ended | ||||
Jun. 30, 2016USD ($)Counterparty | Jun. 30, 2015Counterparty | Dec. 31, 2015USD ($) | |||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 11,768,647 | $ 12,126,048 | |||
Percent of Total Amount Outstanding | 100.00% | 100.00% | |||
Company MBS and GSE CRTs Held as Collateral | $ 13,038,255 | $ 13,460,288 | |||
Number of counterparties | Counterparty | 10 | 9 | |||
HSBC Securities (USA) Inc | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 1,587,595 | $ 1,566,747 | |||
Percent of Total Amount Outstanding | 13.60% | 12.90% | |||
Company MBS and GSE CRTs Held as Collateral | $ 1,641,055 | $ 1,611,020 | |||
Royal Bank of Canada | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 1,107,843 | $ 1,148,480 | |||
Percent of Total Amount Outstanding | 9.40% | 9.50% | |||
Company MBS and GSE CRTs Held as Collateral | $ 1,310,002 | $ 1,383,839 | |||
ING Financial Market LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 1,044,876 | $ 1,050,548 | |||
Percent of Total Amount Outstanding | 8.90% | 8.70% | |||
Company MBS and GSE CRTs Held as Collateral | $ 1,111,694 | $ 1,112,102 | |||
South Street Securities LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 760,278 | $ 799,783 | |||
Percent of Total Amount Outstanding | 6.50% | 6.60% | |||
Company MBS and GSE CRTs Held as Collateral | $ 802,395 | $ 838,600 | |||
Pierpont Securities LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 733,307 | $ 786,623 | |||
Percent of Total Amount Outstanding | 6.20% | 6.50% | |||
Company MBS and GSE CRTs Held as Collateral | $ 763,791 | $ 814,804 | |||
Industrial and Commercial Bank of China Financial Services LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 711,600 | $ 695,933 | |||
Percent of Total Amount Outstanding | 6.00% | 5.70% | |||
Company MBS and GSE CRTs Held as Collateral | $ 750,053 | $ 730,941 | |||
Goldman, Sachs & Co | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 581,083 | $ 428,799 | |||
Percent of Total Amount Outstanding | 4.90% | 3.50% | |||
Company MBS and GSE CRTs Held as Collateral | $ 721,737 | $ 552,549 | |||
Mitsubishi UFJ Securities (USA), Inc | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 546,852 | $ 627,383 | |||
Percent of Total Amount Outstanding | 4.60% | 5.20% | |||
Company MBS and GSE CRTs Held as Collateral | $ 576,421 | $ 657,201 | |||
Scotia Capital | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 536,182 | $ 576,137 | |||
Percent of Total Amount Outstanding | 4.60% | 4.80% | |||
Company MBS and GSE CRTs Held as Collateral | $ 557,888 | $ 598,343 | |||
JP Morgan Securities LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 518,649 | $ 622,665 | |||
Percent of Total Amount Outstanding | 4.40% | 5.10% | |||
Company MBS and GSE CRTs Held as Collateral | $ 591,574 | $ 728,502 | |||
Citigroup Global Markets Inc | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 445,437 | $ 585,632 | |||
Percent of Total Amount Outstanding | 3.80% | 4.80% | |||
Company MBS and GSE CRTs Held as Collateral | $ 562,462 | $ 725,882 | |||
BNP Paribas Securities Corp | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 429,280 | $ 474,053 | |||
Percent of Total Amount Outstanding | 3.60% | 3.90% | |||
Company MBS and GSE CRTs Held as Collateral | $ 480,599 | $ 530,584 | |||
KGS Alpha Capital Markets LP | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 424,707 | $ 380,286 | |||
Percent of Total Amount Outstanding | 3.60% | 3.10% | |||
Company MBS and GSE CRTs Held as Collateral | $ 448,366 | $ 400,758 | |||
Guggenheim Liquidity Services, LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 265,709 | ||||
Percent of Total Amount Outstanding | 2.20% | ||||
Company MBS and GSE CRTs Held as Collateral | $ 279,345 | ||||
Wells Fargo Securities, LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 379,943 | $ 463,673 | |||
Percent of Total Amount Outstanding | 3.20% | 3.80% | |||
Company MBS and GSE CRTs Held as Collateral | $ 450,716 | $ 551,667 | |||
Banc of America Securities LLC | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 380,520 | ||||
Percent of Total Amount Outstanding | 3.10% | ||||
Company MBS and GSE CRTs Held as Collateral | $ 442,801 | ||||
Societe Generale | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 328,524 | ||||
Percent of Total Amount Outstanding | 2.80% | ||||
Company MBS and GSE CRTs Held as Collateral | $ 431,916 | ||||
Nomura Securities International, Inc. | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 293,202 | ||||
Percent of Total Amount Outstanding | 2.50% | ||||
Company MBS and GSE CRTs Held as Collateral | $ 309,568 | ||||
Morgan Stanley & Co. Incorporated | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 227,156 | $ 273,124 | |||
Percent of Total Amount Outstanding | 1.90% | 2.30% | |||
Company MBS and GSE CRTs Held as Collateral | $ 271,618 | $ 320,484 | |||
All Other Counterparties | |||||
Repurchase Agreement Counterparty | |||||
Amount Outstanding | $ 1,112,133 | [1] | $ 999,953 | [2] | |
Percent of Total Amount Outstanding | 9.50% | [1] | 8.30% | [2] | |
Company MBS and GSE CRTs Held as Collateral | $ 1,256,400 | [1] | $ 1,180,866 | [2] | |
[1] | Represents amounts outstanding with ten counterparties. | ||||
[2] | Represents amounts outstanding with nine counterparties. |
Derivatives and Hedging Activ61
Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail) | 6 Months Ended |
Jun. 30, 2016USD ($) | |
Derivative Interest Rate Swaptions | |
Notional Amount as of January 1, 2016 | $ 12,471,324,000 |
Additions | 162,843,000 |
Settlement, Termination, Expiration or Exercise | (5,328,266,000) |
Notional Amount as of June 30, 2016 | 7,305,901,000 |
Interest Rate Swaptions | |
Derivative Interest Rate Swaptions | |
Notional Amount as of January 1, 2016 | 300,000,000 |
Additions | 0 |
Settlement, Termination, Expiration or Exercise | (300,000,000) |
Notional Amount as of June 30, 2016 | 0 |
Interest Rate Swaps | |
Derivative Interest Rate Swaptions | |
Notional Amount as of January 1, 2016 | 11,450,000,000 |
Additions | 0 |
Settlement, Termination, Expiration or Exercise | (4,800,000,000) |
Notional Amount as of June 30, 2016 | 6,650,000,000 |
Currency Forward Contracts | |
Derivative Interest Rate Swaptions | |
Notional Amount as of January 1, 2016 | 76,324,000 |
Additions | 162,843,000 |
Settlement, Termination, Expiration or Exercise | (154,867,000) |
Notional Amount as of June 30, 2016 | 84,300,000 |
Credit Derivatives | |
Derivative Interest Rate Swaptions | |
Notional Amount as of January 1, 2016 | 645,000,000 |
Additions | 0 |
Settlement, Termination, Expiration or Exercise | (73,399,000) |
Notional Amount as of June 30, 2016 | $ 571,601,000 |
Derivatives and Hedging Activ62
Derivatives and Hedging Activities - Schedule of Credit Derivatives (Detail) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Derivative | ||
Notional amount | $ 7,305,901 | $ 12,471,324 |
GSE CRT | ||
Derivative | ||
Fair value amount | (6,493) | (25,722) |
GSE CRT | Embedded Credit Derivative | ||
Derivative | ||
Notional amount | 571,601 | 645,000 |
Maximum potential amount of future undiscounted payments | $ 571,601 | $ 645,000 |
Derivatives and Hedging Activ63
Derivatives and Hedging Activities - Additional Information (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Loss reclassified from accumulated OCI into income (effective portion) | $ 3,200,000 | $ 16,300,000 | $ 16,200,000 | $ 35,500,000 | |
AOCI loss related to derivatives to be reclassified to interest expenses within Next 12 months | 23,700,000 | 23,700,000 | |||
Accumulated other comprehensive income | 558,954,000 | 558,954,000 | $ 318,624,000 | ||
Cash margin deposits | 267,000,000 | 267,000,000 | 109,300,000 | ||
Unrealized gain (loss), net | (211,261,000) | 66,192,000 | |||
Derivative liabilities, at fair value | 447,738,000 | 447,738,000 | 238,148,000 | ||
Accrued Interest | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Derivative liabilities, at fair value | 182,400,000 | 182,400,000 | |||
Agency RMBS | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Cash margin deposits | 200,200,000 | 200,200,000 | |||
Available-for-sale securities pledged as collateral | 200,200,000 | 200,200,000 | |||
Central Clearing Counterparty | Liability Derivatives | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Derivative liabilities, at fair value | 270,400,000 | 270,400,000 | |||
GSE CRT | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Embedded derivatives at fair value | (6,493,000) | (6,493,000) | (25,722,000) | ||
GSE CRT | Mortgage-backed and credit risk transfer securities | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Embedded derivatives at fair value | (6,500,000) | (6,500,000) | (25,700,000) | ||
Interest Rate Swaptions | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Realized gain (loss) on interest rate swaption | 0 | (3,100,000) | (1,500,000) | (7,700,000) | |
Unrealized gain (loss), net | 0 | $ 2,300,000 | 1,500,000 | $ 6,000,000 | |
Unrealized gain/(loss) on discontinued cash flow hedges, net | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Accumulated other comprehensive income | $ 164,234,000 | $ 164,234,000 | $ 148,273,000 |
Derivatives and Hedging Activ64
Derivatives and Hedging Activities - Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges (Detail) - USD ($) | 6 Months Ended | |
Jun. 30, 2016 | Dec. 31, 2015 | |
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 7,305,901,000 | $ 12,471,324,000 |
Interest Rate Swaps | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 6,650,000,000 | $ 11,450,000,000 |
Fixed Interest Rate in Contract | 2.16% | |
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 - 2/24/2018 | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 350,000,000 | |
Maturity Date | Feb. 24, 2018 | |
Fixed Interest Rate in Contract | 0.95% | |
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 - 6/5/2018 | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 400,000,000 | |
Maturity Date | Jun. 5, 2018 | |
Fixed Interest Rate in Contract | 0.87% | |
Interest Rate Swaps | CME Central Clearing - 2.50% | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 300,000,000 | |
Maturity Date | Feb. 5, 2021 | |
Fixed Interest Rate in Contract | 2.50% | |
Interest Rate Swaps | CME Central Clearing - 2.69% | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 300,000,000 | |
Maturity Date | Feb. 5, 2021 | |
Fixed Interest Rate in Contract | 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 | CME Central Cleaning - 5/24/2021 | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 500,000,000 | |
Maturity Date | May 24, 2021 | |
Fixed Interest Rate in Contract | 2.25% | |
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 | CME Central Cleaning - 6/24/2021 | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 500,000,000 | |
Maturity Date | Jun. 24, 2021 | |
Fixed Interest Rate in Contract | 2.44% | |
Interest Rate Swaps | HSBC Bank USA, National Association - 2/24/2022 | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 550,000,000 | |
Maturity Date | Feb. 24, 2022 | |
Fixed Interest Rate in Contract | 2.45% | |
Interest Rate Swaps | CME Central Cleaning - 6/9/2022 | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 1,000,000,000 | |
Maturity Date | Jun. 9, 2022 | |
Fixed Interest Rate in Contract | 2.21% | |
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 | CME Central Cleaning - 8/24/2023 | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 600,000,000 | |
Maturity Date | Aug. 24, 2023 | |
Fixed Interest Rate in Contract | 2.88% | |
Interest Rate Swaps | HSBC Bank USA, National Association - 12/15/2023 | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 500,000,000 | |
Maturity Date | Dec. 15, 2023 | |
Fixed Interest Rate in Contract | 2.20% | |
Interest Rate Swaps | CME Central Cleaning - 4/2/2025 | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 100,000,000 | |
Maturity Date | Apr. 2, 2025 | |
Fixed Interest Rate in Contract | 2.04% |
Derivatives and Hedging Activ65
Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Detail) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Derivatives, Fair Value | ||
Derivative assets, at fair value | $ 5,502 | $ 8,659 |
Derivative liabilities, at fair value | 447,738 | 238,148 |
Interest Rate Swap Asset | ||
Derivatives, Fair Value | ||
Derivative assets, at fair value | 0 | 6,795 |
Currency Forward Contracts | ||
Derivatives, Fair Value | ||
Derivative assets, at fair value | 5,502 | 1,864 |
Derivative liabilities, at fair value | 106 | 103 |
Interest Rate Swap Liability | ||
Derivatives, Fair Value | ||
Derivative liabilities, at fair value | $ 447,632 | $ 238,045 |
Derivatives and Hedging Activ66
Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on settlement, termination, expiration or exercise, net | $ (63,569,000) | $ (41,315,000) | ||
Unrealized gain (loss), net | (211,261,000) | 66,192,000 | ||
Gain (loss) on derivative instruments, net | $ (90,363,000) | $ 56,003,000 | (328,906,000) | (66,742,000) |
Interest Rate Swaptions | ||||
Derivative Instruments, Gain (Loss) | ||||
Unrealized gain (loss), net | 0 | 2,300,000 | 1,500,000 | 6,000,000 |
Not Designated as Hedging Instrument | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on settlement, termination, expiration or exercise, net | (20,584,000) | (15,212,000) | (63,569,000) | (41,315,000) |
Contractual interest expense | (24,985,000) | (46,011,000) | (54,076,000) | (91,619,000) |
Unrealized gain (loss), net | (44,794,000) | 117,226,000 | (211,261,000) | 66,192,000 |
Gain (loss) on derivative instruments, net | (90,363,000) | 56,003,000 | (328,906,000) | (66,742,000) |
Not Designated as Hedging Instrument | Realized and unrealized credit derivative income (loss), net | ||||
Derivative Instruments, Gain (Loss) | ||||
Gain (loss) on derivative instruments, net | 11,116,000 | (4,109,000) | 13,212,000 | 11,867,000 |
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 | 0 | 806,000 | 0 | 744,000 |
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 | 11,116,000 | (4,915,000) | 13,212,000 | 11,123,000 |
Not Designated as Hedging Instrument | Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on settlement, termination, expiration or exercise, net | (20,105,000) | (12,826,000) | (64,000,000) | (31,881,000) |
Contractual interest expense | (24,985,000) | (46,011,000) | (54,076,000) | (91,619,000) |
Unrealized gain (loss), net | (49,711,000) | 116,623,000 | (216,382,000) | 60,666,000 |
Gain (loss) on derivative instruments, net | (94,801,000) | 57,786,000 | (334,458,000) | (62,834,000) |
Not Designated as Hedging Instrument | Interest Rate Swaptions | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on settlement, termination, expiration or exercise, net | (3,050,000) | (1,485,000) | (7,738,000) | |
Contractual interest expense | 0 | 0 | ||
Unrealized gain (loss), net | 2,326,000 | 1,485,000 | 6,005,000 | |
Gain (loss) on derivative instruments, net | (724,000) | 0 | (1,733,000) | |
Not Designated as Hedging Instrument | Currency Forward Contracts | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on settlement, termination, expiration or exercise, net | (479,000) | 664,000 | 1,916,000 | 1,539,000 |
Contractual interest expense | 0 | 0 | 0 | |
Unrealized gain (loss), net | 4,917,000 | (1,723,000) | 3,636,000 | (947,000) |
Gain (loss) on derivative instruments, net | $ 4,438,000 | $ (1,059,000) | $ 5,552,000 | 592,000 |
Not Designated as Hedging Instrument | TBA's | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on settlement, termination, expiration or exercise, net | (2,292,000) | |||
Contractual interest expense | 0 | |||
Unrealized gain (loss), net | 558,000 | |||
Gain (loss) on derivative instruments, net | (1,734,000) | |||
Not Designated as Hedging Instrument | Futures Contracts | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on settlement, termination, expiration or exercise, net | (943,000) | |||
Contractual interest expense | 0 | |||
Unrealized gain (loss), net | (90,000) | |||
Gain (loss) on derivative instruments, net | $ (1,033,000) |
Offsetting Assets and Liabili67
Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Derivatives Asset | |||
Gross Amounts of Recognized Assets | $ 5,502 | $ 8,659 | |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 | |
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets | 5,502 | 8,659 | |
Financial Instruments | [1] | (106) | (4,142) |
Collateral Received | [2] | (5,396) | (4,517) |
Net Amount | $ 0 | $ 0 | |
[1] | Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2016 and December 31, 2015, subject to a netting arrangement. | ||
[2] | Cash collateral of $5.6 million was posted by the Company's derivative counterparties at June 30, 2016 (December 31, 2015: $4.9 million). Cash collateral posted by the Company on its derivatives was $267.0 million and $109.3 million at June 30, 2016 and December 31, 2015, respectively. |
Offsetting Assets and Liabili68
Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($) | Jun. 30, 2016 | Dec. 31, 2015 | ||
Derivatives Liability | ||||
Gross Amounts of Recognized Liabilities | $ 447,738,000 | $ 238,148,000 | ||
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 | ||
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 447,738,000 | 238,148,000 | ||
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | [1],[3] | (180,804,000) | [2] | (117,240,000) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | [1],[4] | (266,934,000) | [2] | (109,299,000) |
Net Amount | 0 | 11,609,000 | ||
Repurchase Agreements | ||||
Gross Amounts of Recognized Liabilities | 11,768,647,000 | 12,126,048,000 | ||
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 | ||
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 11,768,647,000 | 12,126,048,000 | ||
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | [1],[3] | (11,768,647,000) | [2] | (12,126,048,000) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | [1],[4] | 0 | [2] | 0 |
Net Amount | 0 | 0 | ||
Secured Loans | ||||
Gross Amounts of Recognized Liabilities | 1,650,000,000 | 1,650,000,000 | ||
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 | ||
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 1,650,000,000 | 1,650,000,000 | ||
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | [1],[3] | (1,650,000,000) | [2] | (1,650,000,000) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | [1],[4] | 0 | [2] | 0 |
Net Amount | 0 | 0 | ||
Total Borrowings | ||||
Gross Amounts of Recognized Liabilities | 13,866,385,000 | 14,014,196,000 | ||
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 | ||
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 13,866,385,000 | 14,014,196,000 | ||
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | [1],[3] | (13,599,451,000) | [2] | (13,893,288,000) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | [1],[4] | (266,934,000) | [2] | (109,299,000) |
Net Amount | 0 | 11,609,000 | ||
Fair value of securities pledged under repurchase agreement | 13,038,255,000 | 13,460,288,000 | ||
Cash collateral posted by Company's derivative counterparties | 5,600,000 | 4,900,000 | ||
Due from counterparties | 267,000,000 | 109,300,000 | ||
Collateral pledged against secured loans | 2,000,000,000 | 1,900,000,000 | ||
Cash collateral posted | $ 0 | $ 0 | ||
[1] | Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, secured loans and derivatives. | |||
[2] | The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $2.0 billion and $1.9 billion at June 30, 2016 and December 31, 2015, respectively. No cash collateral was posted by the Company at June 30, 2016 and December 31, 2015. | |||
[3] | The fair value of securities pledged against the Company's borrowing under repurchase agreements was $13.0 billion and $13.5 billion at June 30, 2016 and December 31, 2015, respectively. | |||
[4] | Cash collateral of $5.6 million was posted by the Company's derivative counterparties at June 30, 2016 (December 31, 2015: $4.9 million). Cash collateral posted by the Company on its derivatives was $267.0 million and $109.3 million at June 30, 2016 and December 31, 2015, respectively. |
Fair Value of Financial Instr69
Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Detail) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions | |||
Mortgage-backed and credit risk transfer securities, at fair value | $ 15,625,027 | $ 16,065,935 | |
U.S. Treasury securities, at fair value | 152,701 | 0 | |
Derivative assets, at fair value | 5,502 | 8,659 | |
Derivative liabilities, at fair value | 447,738 | 238,148 | |
Recurring | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | |||
Mortgage-backed and credit risk transfer securities, at fair value | [1],[2] | 15,625,027 | 16,065,935 |
U.S. Treasury securities, at fair value | [3] | 152,701 | |
Derivative assets, at fair value | 5,502 | 8,659 | |
Total assets | 15,783,230 | 16,074,594 | |
Derivative liabilities, at fair value | 447,738 | 238,148 | |
Total liabilities | 447,738 | 238,148 | |
Recurring | Level 1 | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | |||
Mortgage-backed and credit risk transfer securities, at fair value | [1],[2] | 0 | 0 |
U.S. Treasury securities, at fair value | [3] | 0 | |
Derivative assets, at fair value | 0 | 0 | |
Total assets | 0 | 0 | |
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 | [1],[2] | 15,631,520 | 16,091,657 |
U.S. Treasury securities, at fair value | [3] | 152,701 | |
Derivative assets, at fair value | 5,502 | 8,659 | |
Total assets | 15,789,723 | 16,100,316 | |
Derivative liabilities, at fair value | 447,738 | 238,148 | |
Total liabilities | 447,738 | 238,148 | |
Recurring | Level 3 | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | |||
Mortgage-backed and credit risk transfer securities, at fair value | [1],[2] | (6,493) | (25,722) |
U.S. Treasury securities, at fair value | [3] | 0 | |
Derivative assets, at fair value | 0 | 0 | |
Total assets | (6,493) | (25,722) | |
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 | [1],[2] | (6,500) | (25,700) |
Embedded derivatives in an asset position | 5,800 | 1,000 | |
Embedded derivatives in a liability position | $ (12,300) | $ (26,700) | |
[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] | The Company's GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative. The hybrid instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of June 30, 2016, the net embedded derivative liability position of $6.5 million includes $5.8 million of embedded derivatives in an asset position and $12.3 million of embedded derivatives in a liability position. As of December 31, 2015, the net embedded derivative liability position of $25.7 million includes $1.0 million of embedded derivatives in an asset position and $26.7 million of embedded derivatives in a liability position. | ||
[3] | Similar to the Company's MBS and GSE CRTs, the fair value of the Company's U.S. Treasury securities are based upon prices obtained from third-party pricing vendors. |
Fair Value of Financial Instr70
Fair Value of Financial Instruments - Embedded Derivatives Level 3 Roll Forward (Detail) - Embedded Credit Derivative - GSE CRT - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | ||||
Beginning balance | $ (22,706) | $ (5,457) | $ (25,722) | $ (21,495) |
Sales and settlements | 5,097 | 1,676 | 6,017 | 2,468 |
Realized gains/(losses), net | (5,097) | (1,676) | (6,017) | (2,468) |
Unrealized gains/(losses), net | 16,213 | (4,915) | 19,229 | 11,123 |
Ending balance | $ (6,493) | $ (10,372) | $ (6,493) | $ (10,372) |
Fair Value of Financial Instr71
Fair Value of Financial Instruments - Embedded Derivatives Fair Value Inputs (Detail) - Embedded Credit Derivative - GSE CRT - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2016 | Dec. 31, 2015 | Mar. 31, 2016 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | |
Fair Value Inputs, Assets, Quantitative Information | ||||||
Net embedded derivative | $ (6,493) | $ (25,722) | $ (22,706) | $ (10,372) | $ (5,457) | $ (21,495) |
Level 3 | Market Comparables, Vendor Pricing and Internal Models | ||||||
Fair Value Inputs, Assets, Quantitative Information | ||||||
Prepayment rate (as percent) | 11.55% | 7.83% | ||||
Default rate (as percent) | 0.16% | 0.16% | ||||
Minimum | Level 3 | Market Comparables, Vendor Pricing and Internal Models | ||||||
Fair Value Inputs, Assets, Quantitative Information | ||||||
Prepayment rate (as percent) | 6.84% | 5.72% | ||||
Default rate (as percent) | 0.10% | 0.10% | ||||
Maximum | Level 3 | Market Comparables, Vendor Pricing and Internal Models | ||||||
Fair Value Inputs, Assets, Quantitative Information | ||||||
Prepayment rate (as percent) | 23.41% | 14.37% | ||||
Default rate (as percent) | 0.43% | 0.35% |
Fair Value of Financial Instr72
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Financial Liabilities | ||
FHLBI stock | $ 74,250 | $ 75,375 |
Carrying Value | ||
Financial Assets | ||
Other assets | 108,283 | 115,072 |
Total | 380,785 | 324,134 |
Financial Liabilities | ||
Repurchase agreements | 11,768,647 | 12,126,048 |
Secured loans | 1,650,000 | 1,650,000 |
Exchangeable senior notes | 395,800 | 394,573 |
Total | 13,814,447 | 14,170,621 |
Carrying Value | Commercial Loans Held For Investment | ||
Financial Assets | ||
Mortgage loans, held-for-investment | 272,502 | 209,062 |
Estimated Fair Value | ||
Financial Assets | ||
Other assets | 108,283 | 115,072 |
Total | 381,439 | 324,862 |
Financial Liabilities | ||
Repurchase agreements | 11,768,485 | 12,133,252 |
Secured loans | 1,650,000 | 1,650,000 |
Exchangeable senior notes | 390,000 | 376,500 |
Total | 13,808,485 | 14,159,752 |
Estimated Fair Value | Commercial Loans Held For Investment | ||
Financial Assets | ||
Mortgage loans, held-for-investment | 273,156 | 209,790 |
Level 3 | Estimated Fair Value | ||
Financial Liabilities | ||
Investments in unconsolidated ventures | 33,000 | 38,400 |
Federal Home Loan Bank of Indianapolis | Level 3 | Estimated Fair Value | ||
Financial Liabilities | ||
FHLBI stock | $ 74,300 | $ 75,400 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | Dec. 31, 2014 | |
Related Party Transaction | ||||||
Investment in money market or mutual funds managed by affiliates of a related party | $ 144,084 | $ 87,003 | $ 144,084 | $ 87,003 | $ 53,199 | $ 164,144 |
Management fee – related party | 9,061 | 9,343 | 18,573 | 18,758 | ||
Affiliate of the Manager | ||||||
Related Party Transaction | ||||||
Investment in money market or mutual funds managed by affiliates of a related party | 137,700 | $ 137,700 | $ 47,400 | |||
Manager | ||||||
Related Party Transaction | ||||||
Management fee (as a percentage) | 1.50% | |||||
Management fee – related party | 9,100 | 9,300 | $ 18,573 | 18,758 | ||
Management fees accrued but not paid | $ 9,300 | $ 9,200 | $ 9,300 | $ 9,200 |
Related Party Transactions - Ex
Related Party Transactions - Expense Reimbursement (Details) - Manager - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Summary of Investments, Other than Investments in Related Parties | ||||
Incurred costs | $ 1,443 | $ 1,707 | $ 3,225 | $ 2,349 |
Incurred Costs, Prepaid or Expensed | ||||
Summary of Investments, Other than Investments in Related Parties | ||||
Incurred costs | 1,443 | 1,707 | 3,225 | 2,349 |
Incurred Costs Related to Origination and Commitment Fees [Member] | ||||
Summary of Investments, Other than Investments in Related Parties | ||||
Incurred costs | 189 | 653 | 692 | 653 |
Incurred Costs, Not Paid | ||||
Summary of Investments, Other than Investments in Related Parties | ||||
Accounts payable, related parties | $ 2 | $ 280 | $ 2 | $ 280 |
Stockholders' Equity - Componen
Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Accumulated other comprehensive income | $ 558,954 | $ 318,624 |
Unrealized gain/(loss) on mortgage-backed and credit risk transfer securities, net | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Accumulated other comprehensive income | 394,529 | 170,383 |
Unrealized gain/(loss) on discontinued cash flow hedges, net | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Accumulated other comprehensive income | 164,234 | 148,273 |
Currency translation adjustments on investment in unconsolidated venture | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Accumulated other comprehensive income | 191 | (32) |
Accumulated other comprehensive income | ||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||
Accumulated other comprehensive income | $ 558,954 | $ 318,624 |
Shareholders' Equity - Restrict
Shareholders' Equity - Restricted Stock Units Activity (Details) - Restricted Stock Units (RSUs) - $ / shares | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2016 | Jun. 30, 2016 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | |||
Unvested at the beginning of the period | 46,000 | 40,814 | |
Shares granted during the period | 0 | 21,099 | |
Shares forfeited during the period | 0 | 0 | |
Shares vested during the period | 0 | (15,913) | |
Unvested at the end of the period | 46,000 | 46,000 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract] | |||
Weighted Average Grant Date Fair Value, at the beginning of the period (usd per share) | [1] | $ 14.40 | $ 17.29 |
Granted, Weighted Average Grant Date Fair Value (usd per share) | [1] | 0 | 11.28 |
Forfeited, Weighted Average Grant Date Fair Value (usd per share) | [1] | 0 | 0 |
Vested, Weighted Average Grant Date Fair Value (usd per share) | [1] | 0 | (17.66) |
Weighted Average Grant Date Fair Value, at the end of the period (usd per share) | [1] | $ 14.40 | $ 14.40 |
[1] | The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date. |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands | Mar. 15, 2016 | Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Feb. 29, 2016 | Dec. 31, 2015 |
Class of Stock | |||||||
Common stock shares issued | 111,583,435 | 111,583,435 | 113,619,471 | ||||
Proceeds from issuance of common stock | $ 35 | $ 122 | |||||
Repurchase of shares of common stock | 25,000 | ||||||
Total unrecognized compensation cost | $ 548 | $ 548 | |||||
Share-based compensation cost not yet recognized, period for recognition | 45 months | ||||||
Weighted average remaining vesting period | 20 months 18 days | ||||||
Common stock dividend declared, per share | $ 0.40 | $ 0.45 | $ 0.80 | $ 0.9 | |||
Common Stock | |||||||
Class of Stock | |||||||
Number of shares authorized to be repurchased | 15,000,000 | ||||||
Repurchase of shares of common stock (in shares) | 2,063,451 | ||||||
Repurchase of common stock, average cost per share | $ 12.12 | ||||||
Repurchase of shares of common stock | $ 25,000 | ||||||
Remaining number of shares authorized to be repurchased | 18,239,082 | 18,239,082 | |||||
Common stock dividend declared, per share | $ 0.4 | ||||||
Dividend payable date | Jul. 26, 2016 | ||||||
Dividend payable, date of record | Jun. 27, 2016 | ||||||
Common Stock | DRSPP | |||||||
Class of Stock | |||||||
Common stock shares issued | 3,201 | 3,201 | |||||
Price of per share of stock issued | $ 11.08 | $ 11.08 | |||||
Proceeds from issuance of common stock | $ 35 | ||||||
Common Stock | Incentive Plan | |||||||
Class of Stock | |||||||
Common stock options reserved for issuance | 1,000,000 | 1,000,000 | |||||
Incentive plan termination year | 2,019 | ||||||
Compensation expense recognized | $ 85 | $ 85 | $ 170 | $ 170 | |||
Restricted stock issued | 6,160 | 5,412 | 13,908 | 10,744 | |||
Common Stock | Incentive Plan | Employee | |||||||
Class of Stock | |||||||
Compensation expense recognized | $ 63 | $ 67 | $ 95 | $ 137 | |||
Preferred Stock | |||||||
Class of Stock | |||||||
Preferred stock, redemption price per share | $ 25 | $ 25 | |||||
Series A Cumulative Redeemable Preferred Stock | |||||||
Class of Stock | |||||||
Preferred stock, liquidation preference (dollars per share) | 25 | $ 25 | |||||
Preferred stock dividend rate | 7.75% | ||||||
Preferred stock, dividends per annum (dollars per share) | $ 1.9375 | ||||||
Dividend payable date | Jul. 25, 2016 | ||||||
Dividend payable, date of record | Jul. 1, 2016 | ||||||
Series A preferred stock dividend, per share | 0.4844 | ||||||
Series B Cumulative Redeemable Preferred Stock | |||||||
Class of Stock | |||||||
Preferred stock, liquidation preference (dollars per share) | $ 25 | $ 25 | |||||
Preferred stock dividend rate | 7.75% | ||||||
Preferred stock, dividends per annum (dollars per share) | $ 1.9375 | ||||||
Dividend payable date | Sep. 27, 2016 | ||||||
Dividend payable, date of record | Sep. 5, 2016 | ||||||
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% | 5.18% |
Earnings per Common Share - Ear
Earnings per Common Share - Earnings per Share (Detail) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Basic Earnings: | ||||
Net income (loss) available to common stockholders | $ (11,617) | $ 142,311 | $ (167,777) | $ 128,530 |
Effect of dilutive securities: | ||||
Income allocated to exchangeable senior notes | 0 | 5,613 | 0 | 11,220 |
Income (loss) allocated to non-controlling interest | (75) | 1,712 | (1,958) | 1,618 |
Dilutive net income (loss) available to stockholders | $ (11,692) | $ 149,636 | $ (169,735) | $ 141,368 |
Basic Earnings: | ||||
Shares available to common stockholders (in shares) | 111,581 | 123,137 | 112,362 | 123,127 |
Effect of dilutive securities: | ||||
Restricted stock awards (in shares) | 0 | 45 | 0 | 46 |
OP units (in shares) | 1,425 | 1,425 | 1,425 | 1,425 |
Exchangeable senior notes (in shares) | 0 | 16,836 | 0 | 16,836 |
Dilutive Shares (in shares) | 113,006 | 141,443 | 113,787 | 141,434 |
Earnings per Common Share - Add
Earnings per Common Share - Additional Information (Details) - shares | 3 Months Ended | 6 Months Ended |
Jun. 30, 2016 | Jun. 30, 2016 | |
Exchangeable Senior Notes | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share | ||
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 | ||
Antidilutive securities excluded from computation of earnings per share | 46,001 | 44,172 |
Non-controlling Interest - Op80
Non-controlling Interest - Operating Partnership - Additional Information (Detail) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | Jun. 30, 2015 |
Noncontrolling Interest | |||
Non-controlling interest related to the outstanding of OP Units | 1,425,000 | 1,425,000 | |
Non-controlling interest in Operating Partnership | 1.30% | 1.20% | |
Distributions payable to non-controlling interest | $ 50,919 | $ 51,734 | $ 61,770 |
Non- Controlling Interest | |||
Noncontrolling Interest | |||
Distributions payable to non-controlling interest | $ 570 | $ 570 |
Non-controlling Interest - Op81
Non-controlling Interest - Operating Partnership - Schedule of Income (Expense) Allocated and Distributions Paid to Noncontrolling Interests (Details) - Non- Controlling Interest - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Noncontrolling Interest | ||||
Net income (loss) allocated | $ (75) | $ 1,712 | $ (1,958) | $ 1,618 |
Distributions paid | $ 570 | $ 642 | $ 1,140 | $ 1,283 |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | ||
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate | $ 18.9 | $ 21.1 |
Unfunded commitment | $ 13.9 | $ 2.1 |
Revision of Previously Issued83
Revision of Previously Issued Financial Statements (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Statement of Financial Position [Abstract] | |||||
Accumulated other comprehensive income | $ 558,954 | $ 558,954 | $ 318,624 | ||
Retained earnings (distributions in excess of earnings) | (1,028,354) | (1,028,354) | (771,313) | ||
Interest Income | |||||
Mortgage-backed and credit risk transfer securities | 112,860 | $ 128,491 | 235,106 | $ 267,539 | |
Other Income | |||||
Gain (loss) on investments, net | 1,414 | 10,896 | 13,015 | 12,986 | |
Net income | (5,976) | 149,739 | (158,303) | 141,580 | |
Net income attributable to non-controlling interest | (75) | 1,712 | (1,958) | 1,618 | |
Net income attributable to Invesco Mortgage Capital Inc. | (5,901) | 148,027 | (156,345) | 139,962 | |
Net income (loss) available to common stockholders | $ (11,617) | $ 142,311 | $ (167,777) | $ 128,530 | |
Earnings per share: | |||||
Net income attributable to common shareholders (basic) (usd per share) | $ (0.10) | $ 1.16 | $ (1.49) | $ 1.04 | |
Net income attributable to common shareholders (diluted) (usd per share) | $ (0.10) | $ 1.06 | $ (1.49) | $ 1 | |
Statement of Comprehensive Income [Abstract] | |||||
Total other comprehensive income (loss) | $ 119,591 | $ (181,091) | $ 243,382 | $ (42,627) | |
Cash Flows from Operating Activities | |||||
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net | 29,616 | 33,469 | 53,664 | 59,075 | |
(Gain) loss on investments, net | $ (1,414) | (10,896) | (13,015) | (12,986) | |
Non-cash Investing and Financing Activities Information | |||||
Net change in unrealized gain on mortgage-backed and credit risk transfer securities | $ 226,995 | (78,085) | |||
Accounting for Premiums and discounts Associated with Purchase of Non-Agency RMBS | As Reported | |||||
Statement of Financial Position [Abstract] | |||||
Accumulated other comprehensive income | 303,110 | ||||
Retained earnings (distributions in excess of earnings) | (755,799) | ||||
Interest Income | |||||
Mortgage-backed and credit risk transfer securities | 126,098 | 261,363 | |||
Other Income | |||||
Gain (loss) on investments, net | 10,876 | 13,048 | |||
Net income | 147,326 | 135,466 | |||
Net income attributable to non-controlling interest | 1,685 | 1,549 | |||
Net income attributable to Invesco Mortgage Capital Inc. | 145,641 | 133,917 | |||
Net income (loss) available to common stockholders | $ 139,925 | $ 122,485 | |||
Earnings per share: | |||||
Net income attributable to common shareholders (basic) (usd per share) | $ 1.14 | $ 0.99 | |||
Net income attributable to common shareholders (diluted) (usd per share) | $ 1.04 | $ 0.96 | |||
Statement of Comprehensive Income [Abstract] | |||||
Total other comprehensive income (loss) | $ (178,678) | $ (36,513) | |||
Cash Flows from Operating Activities | |||||
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net | 65,251 | ||||
(Gain) loss on investments, net | (10,876) | (13,048) | |||
Non-cash Investing and Financing Activities Information | |||||
Net change in unrealized gain on mortgage-backed and credit risk transfer securities | (71,971) | ||||
Accounting for Premiums and discounts Associated with Purchase of Non-Agency RMBS | Adjustment | |||||
Statement of Financial Position [Abstract] | |||||
Accumulated other comprehensive income | 15,514 | ||||
Retained earnings (distributions in excess of earnings) | $ (15,514) | ||||
Interest Income | |||||
Mortgage-backed and credit risk transfer securities | 2,393 | 6,176 | |||
Other Income | |||||
Gain (loss) on investments, net | 20 | (62) | |||
Net income | 2,413 | 6,114 | |||
Net income attributable to non-controlling interest | 27 | 69 | |||
Net income attributable to Invesco Mortgage Capital Inc. | 2,386 | 6,045 | |||
Net income (loss) available to common stockholders | $ 2,386 | $ 6,045 | |||
Earnings per share: | |||||
Net income attributable to common shareholders (basic) (usd per share) | $ 0.02 | $ 0.05 | |||
Net income attributable to common shareholders (diluted) (usd per share) | $ 0.02 | $ 0.04 | |||
Statement of Comprehensive Income [Abstract] | |||||
Total other comprehensive income (loss) | $ (2,413) | $ (6,114) | |||
Cash Flows from Operating Activities | |||||
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net | (6,176) | ||||
(Gain) loss on investments, net | $ (20) | 62 | |||
Non-cash Investing and Financing Activities Information | |||||
Net change in unrealized gain on mortgage-backed and credit risk transfer securities | $ (6,114) |