Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2017 | Aug. 03, 2017 | |
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, 2017 | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus (Q1,Q2,Q3,FY) | Q2 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 111,609,901 |
CONDENSED CONSOLIDATED BALANCE
CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
ASSETS | ||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,367,150 and $14,422,198, respectively) | $ 16,083,284 | $ 14,981,331 |
Commercial loans, held-for-investment | 278,866 | 273,355 |
Cash and cash equivalents | 64,069 | 161,788 |
Due from counterparties | 1,246 | 86,450 |
Investment related receivable | 83,181 | 43,886 |
Accrued interest receivable | 49,852 | 46,945 |
Derivative assets, at fair value | 11,005 | 3,186 |
Other assets | 102,428 | 109,297 |
Total assets | 16,673,931 | 15,706,238 |
Liabilities: | ||
Repurchase agreements | 12,118,948 | 11,160,669 |
Secured loans | 1,650,000 | 1,650,000 |
Exchangeable senior notes, net | 217,804 | 397,041 |
Derivative liabilities, at fair value | 44,147 | 134,228 |
Dividends and distributions payable | 50,930 | 50,924 |
Investment related payable | 202,051 | 9,232 |
Accrued interest payable | 14,987 | 21,066 |
Collateral held payable | 3,471 | 1,700 |
Accounts payable and accrued expenses | 1,790 | 1,534 |
Due to affiliate | 9,709 | 9,660 |
Total liabilities | 14,313,837 | 13,436,054 |
Commitments and contingencies (See Note 16): | ||
Equity: | ||
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 111,609,901 and 111,594,595 shares issued and outstanding, respectively | 1,116 | 1,116 |
Additional paid in capital | 2,380,243 | 2,379,863 |
Accumulated other comprehensive income | 337,391 | 293,668 |
Retained earnings (distributions in excess of earnings) | (673,625) | (718,303) |
Total stockholders’ equity | 2,330,341 | 2,241,560 |
Non-controlling interest | 29,753 | 28,624 |
Total equity | 2,360,094 | 2,270,184 |
Total liabilities and equity | 16,673,931 | 15,706,238 |
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, 2017 | Dec. 31, 2016 |
Mortgage-backed and credit risk transfer securities, pledged as collateral | $ 15,367,150 | $ 14,422,198 |
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 | 4,500,000 | 450,000,000 |
Common Stock - shares issued | 111,609,901 | 111,594,595 |
Common Stock - shares outstanding | 111,609,901 | 111,594,595 |
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, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Interest Income | ||||
Mortgage-backed and credit risk transfer securities | $ 121,027 | $ 112,860 | $ 239,900 | $ 235,106 |
Commercial loans | 6,021 | 5,947 | 11,785 | 10,840 |
Total interest income | 127,048 | 118,807 | 251,685 | 245,946 |
Interest Expense | ||||
Repurchase agreements | 36,072 | 31,260 | 66,019 | 73,060 |
Secured loans | 4,535 | 2,688 | 7,948 | 5,403 |
Exchangeable senior notes | 3,504 | 5,614 | 8,512 | 11,227 |
Total interest expense | 44,111 | 39,562 | 82,479 | 89,690 |
Net interest income | 82,937 | 79,245 | 169,206 | 156,256 |
Other Income (loss) | ||||
Gain (loss) on investments, net | 11,175 | 1,414 | 9,322 | 13,015 |
Equity in earnings (losses) of unconsolidated ventures | (154) | 202 | (1,688) | 1,263 |
Gain (loss) on derivative instruments, net | (53,513) | (90,363) | (48,051) | (328,906) |
Realized and unrealized credit derivative income (loss), net | 21,403 | 17,228 | 41,358 | 25,638 |
Net loss on extinguishment of debt | (526) | 0 | (5,237) | 0 |
Other investment income (loss), net | 2,533 | (2,745) | 3,862 | (3,063) |
Total other income (loss) | (19,082) | (74,264) | (434) | (292,053) |
Expenses | ||||
Management fee – related party | 9,027 | 9,061 | 17,828 | 18,573 |
General and administrative | 1,608 | 1,896 | 3,692 | 3,933 |
Total expenses | 10,635 | 10,957 | 21,520 | 22,506 |
Net income (loss) | 53,220 | (5,976) | 147,252 | (158,303) |
Net income (loss) attributable to non-controlling interest | 670 | (75) | 1,856 | (1,958) |
Net income (loss) attributable to Invesco Mortgage Capital Inc. | 52,550 | (5,901) | 145,396 | (156,345) |
Dividends to preferred stockholders | 5,716 | 5,716 | 11,432 | 11,432 |
Net income (loss) attributable to common stockholders | $ 46,834 | $ (11,617) | $ 133,964 | $ (167,777) |
Earnings (loss) per share: | ||||
Net income attributable to common shareholders (basic) (usd per share) | $ 0.42 | $ (0.10) | $ 1.20 | $ (1.49) |
Net income attributable to common shareholders (diluted) (usd per share) | 0.41 | (0.10) | 1.15 | (1.49) |
Dividends declared per common share (usd per share) | $ 0.40 | $ 0.4 | $ 0.8 | $ 0.8 |
CONDENSED CONSOLIDATED STATEME5
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income (loss) | $ 53,220 | $ (5,976) | $ 147,252 | $ (158,303) |
Other comprehensive income (loss): | ||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | 39,633 | 117,116 | 55,922 | 238,576 |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 651 | (1,037) | 1,501 | (11,581) |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (6,369) | 3,238 | (12,667) | 16,162 |
Currency translation adjustments on investment in unconsolidated venture | 139 | 274 | (476) | 225 |
Total other comprehensive income (loss) | 34,054 | 119,591 | 44,280 | 243,382 |
Comprehensive income (loss) | 87,274 | 113,615 | 191,532 | 85,079 |
Less: Comprehensive (income) loss attributable to non-controlling interest | (1,099) | (1,435) | (2,414) | (1,094) |
Less: Dividends to preferred stockholders | (5,716) | (5,716) | (11,432) | (11,432) |
Comprehensive income (loss) attributable to common stockholders | $ 80,459 | $ 106,464 | $ 177,686 | $ 72,553 |
CONDENSED CONSOLIDATED STATEME6
CONDENSED CONSOLIDATED STATEMENT OF EQUITY (Unaudited) - 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 |
Balance at beginning of period at Dec. 31, 2015 | $ 318,624 | ||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Net income | $ (158,303) | ||||||||
Other comprehensive income | 243,382 | ||||||||
Balance at end of period at Jun. 30, 2016 | 558,954 | ||||||||
Balance at beginning of period at Mar. 31, 2016 | 440,873 | ||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Net income | (5,976) | ||||||||
Other comprehensive income | 119,591 | ||||||||
Balance at end of period at Jun. 30, 2016 | 558,954 | ||||||||
Beginning Balance (in shares) at Dec. 31, 2016 | 5,600,000 | 6,200,000 | 111,594,595 | ||||||
Balance at beginning of period at Dec. 31, 2016 | 2,270,184 | $ 135,356 | $ 149,860 | $ 1,116 | $ 2,379,863 | 293,668 | $ (718,303) | $ 2,241,560 | $ 28,624 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Net income | 147,252 | 145,396 | 145,396 | 1,856 | |||||
Other comprehensive income | 44,280 | 43,722 | 43,722 | 558 | |||||
Stock awards (in shares) | 15,306 | ||||||||
Common stock dividends | (89,286) | (89,286) | (89,286) | ||||||
Common unit dividends | (1,140) | (1,140) | |||||||
Preferred stock dividends | (11,432) | (11,432) | (11,432) | ||||||
Amortization of equity-based compensation | 236 | 233 | 233 | 3 | |||||
Rebalancing of ownership percentage of non-controlling interest | 1 | 147 | 1 | 148 | (148) | ||||
Ending Balance (in shares) at Jun. 30, 2017 | 5,600,000 | 6,200,000 | 111,609,901 | ||||||
Balance at end of period at Jun. 30, 2017 | 2,360,094 | $ 135,356 | $ 149,860 | $ 1,116 | 2,380,243 | 337,391 | (673,625) | 2,330,341 | 29,753 |
Balance at beginning of period at Mar. 31, 2017 | 303,765 | ||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Net income | 53,220 | ||||||||
Other comprehensive income | 34,054 | ||||||||
Rebalancing of ownership percentage of non-controlling interest | 1 | ||||||||
Ending Balance (in shares) at Jun. 30, 2017 | 5,600,000 | 6,200,000 | 111,609,901 | ||||||
Balance at end of period at Jun. 30, 2017 | $ 2,360,094 | $ 135,356 | $ 149,860 | $ 1,116 | $ 2,380,243 | $ 337,391 | $ (673,625) | $ 2,330,341 | $ 29,753 |
CONDENSED CONSOLIDATED STATEME7
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2017 | Jun. 30, 2016 | |
Cash Flows from Operating Activities | ||
Net income (loss) | $ 147,252 | $ (158,303) |
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 | 53,436 | 53,664 |
Amortization of commercial loan origination fees | (164) | (139) |
Unrealized (gain) loss on derivative instruments, net | (20,120) | 211,261 |
Unrealized (gain) loss on credit derivatives, net | (29,707) | (19,229) |
(Gain) loss on investments, net | (9,322) | (13,015) |
Realized (gain) loss on derivative instruments, net | 25,311 | 63,569 |
Realized (gain) loss on credit derivatives, net | 0 | 6,017 |
Equity in (earnings) losses of unconsolidated ventures | 1,688 | (1,263) |
Amortization of equity-based compensation | 263 | 265 |
Amortization of deferred securitization and financing costs | 912 | 1,227 |
Amortization of net deferred losses on de-designated interest rate swaps | (12,667) | 16,162 |
Net loss on extinguishment of debt | 5,237 | 0 |
(Gain) loss on foreign currency transactions, net | (2,229) | 4,741 |
Changes in operating assets and liabilities: | ||
(Increase) decrease in operating assets | (2,497) | 1,893 |
Decrease in operating liabilities | (3,016) | (5,039) |
Net cash provided by operating activities | 154,377 | 161,811 |
Cash Flows from Investing Activities | ||
Purchase of mortgage-backed and credit risk transfer securities | (2,533,663) | (1,061,651) |
(Contributions to) distributions from investments in unconsolidated ventures, net | 7,826 | 6,863 |
Change in other assets | 0 | 1,125 |
Principal payments from mortgage-backed and credit risk transfer securities | 1,065,577 | 1,131,028 |
Proceeds from sale of mortgage-backed and credit risk transfer securities | 572,616 | 659,959 |
Payments on sale of credit derivatives | 0 | (6,017) |
Proceeds from/ (payments for) settlement or termination of forwards, swaps and swaptions, net | (25,311) | (62,083) |
Principal payments from commercial loans held-for-investment | 0 | 15,000 |
Origination and advances of commercial loans, net of origination fees | (3,170) | (83,005) |
Net cash provided by (used in) investing activities | (919,582) | 571,699 |
Cash Flows from Financing Activities | ||
Proceeds from issuance of common stock | 0 | 35 |
Repurchase of common stock | 0 | (25,000) |
Due from counterparties | (1,246) | (158,132) |
Change in collateral held payable | 1,771 | 660 |
Proceeds from repurchase agreements | 63,154,822 | 61,581,699 |
Principal repayments of repurchase agreements | (62,200,623) | (61,939,100) |
Proceeds from secured loans | 0 | 125,000 |
Principal repayments of secured loans | 0 | (125,000) |
Extinguishment of exchangeable senior notes | (185,386) | 0 |
Payments of deferred costs | 0 | (136) |
Payments of dividends and distributions | (101,852) | (102,651) |
Net cash provided by (used in) financing activities | 667,486 | (642,625) |
Net change in cash and cash equivalents | (97,719) | 90,885 |
Cash and cash equivalents, beginning of period | 161,788 | 53,199 |
Cash and cash equivalents, end of period | 64,069 | 144,084 |
Supplement Disclosure of Cash Flow Information | ||
Interest paid | 97,003 | 74,037 |
Non-cash Investing and Financing Activities Information | ||
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities | 57,423 | 226,995 |
Dividends and distributions declared not paid | 50,930 | 50,919 |
Net change in investment related payable (receivable) | (163,489) | 206,034 |
Net change in repurchase agreements, not settled | 4,081 | 0 |
Change in due from counterparties | 86,450 | 1,126 |
U.S. Treasury securities | ||
Cash Flows from Investing Activities | ||
Purchase of trading securities | 0 | (152,256) |
Proceeds from sale of trading securities | 0 | 122,736 |
Exchange-traded funds | ||
Cash Flows from Investing Activities | ||
Purchase of trading securities | (3,508) | 0 |
Proceeds from sale of trading securities | $ 51 | $ 0 |
Organization and Business Opera
Organization and Business Operations | 6 Months Ended |
Jun. 30, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Business Operations | Organization and Business Operations Invesco Mortgage Capital Inc. (the "Company", "we") is a Maryland corporation primarily focused on investing in, financing and managing residential and commercial mortgage-backed securities and mortgage loans. We are externally managed and advised by Invesco Advisers, Inc. (our "Manager"), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. ("Invesco"), a leading independent global investment management firm. We conduct our business through IAS Operating Partnership LP (the "Operating Partnership"), as its sole general partner. As of June 30, 2017 , we owned 98.7% of the Operating Partnership, and a wholly-owned subsidiary of Invesco owned the remaining 1.3% . We have one operating segment. We primarily invest 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 or the Federal Home Loan Mortgage Corporation (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. We 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 commencing with our taxable year ended December 31, 2009. To maintain our REIT qualification, we are generally required to distribute at least 90% of our REIT taxable income to our stockholders annually. We operate our business in a manner that permits exclusion from the "Investment Company" definition under the Investment Company Act of 1940. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2017 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2016 . The condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon 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 statement of our financial condition and results of operations for the periods presented. 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 our accounting policies included in Note 2 to the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2016 . Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements 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. We are required to adopt the new guidance in the first quarter of 2018. Early adoption is permitted. We have determined that this new accounting standard will not have an impact on our financial condition or results of operations but will simplify financial statement disclosures. 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. We are required to adopt the new guidance in the first quarter of 2020. Early adoption is permitted. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements, as well as available transition methods. In August 2016, the FASB issued new guidance that is intended to reduce diversity in practice in how certain transactions are classified in the statement of cash flows. Additionally, in November 2016, the FASB issued new guidance on classification and presentation of changes in restricted cash on the statement of cash flows. We are required to adopt the new accounting standards in the first quarter of 2018 using a retrospective transition method for each period presented. Early adoption is permitted. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements. |
Variable Interest Entities ("VI
Variable Interest Entities ("VIEs") | 6 Months Ended |
Jun. 30, 2017 | |
Variable Interest Entity Disclosure [Abstract] | |
Variable Interest Entities (VIEs) | Variable Interest Entities ("VIEs") Our maximum risk of loss in VIEs in which we are not the primary beneficiary at June 30, 2017 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss CMBS 2,777,516 2,777,516 Non-Agency RMBS 1,575,840 1,575,840 Investments in unconsolidated ventures 23,311 23,311 Total 4,376,667 4,376,667 Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" and Note 6 - "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, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed and Credit Risk Transfer Securities | Mortgage-Backed and Credit Risk Transfer Securities The following tables summarize our mortgage-backed securities ("MBS") and GSE CRT portfolio by asset type as of June 30, 2017 and December 31, 2016 . June 30, 2017 $ 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 3,187,931 134,856 3,322,787 (46,007 ) 3,276,780 3.09 % 2.19 % 1.97 % 30 year fixed-rate 4,816,054 232,385 5,048,439 20,677 5,069,116 3.95 % 3.10 % 2.83 % ARM * 269,123 1,988 271,111 3,463 274,574 2.68 % 2.58 % 2.27 % Hybrid ARM 1,891,257 30,099 1,921,356 12,659 1,934,015 2.71 % 2.54 % 2.29 % Total Agency pass-through (4) 10,164,365 399,328 10,563,693 (9,208 ) 10,554,485 3.42 % 2.69 % 2.44 % Agency-CMO (5) 1,429,977 (1,129,678 ) 300,299 (2,033 ) 298,266 2.04 % 2.87 % 0.34 % Non-Agency RMBS (6)(7)(8) 3,247,516 (1,793,760 ) 1,453,756 122,084 1,575,840 2.18 % 5.80 % 5.90 % GSE CRT (9)(10) 769,217 25,537 794,754 82,423 877,177 3.06 % 2.40 % 2.62 % CMBS (11)(12) 3,317,888 (612,386 ) 2,705,502 72,014 2,777,516 3.90 % 4.62 % 4.45 % Total 18,928,963 (3,110,959 ) 15,818,004 265,280 16,083,284 3.17 % 3.30 % 3.07 % * Adjustable-rate mortgage ("ARM") (1) Net weighted average coupon as of June 30, 2017 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of June 30, 2017 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 average balance of the amortized cost of the investments. All yields are annualized. (4) We have elected the fair value option for Agency RMBS purchased on or after September 1, 2016 which represent 23.7% of principal/notional balance, 23.5% of amortized cost and 23.5% of fair value. (5) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 84.3% of principal/notional balance, 24.1% of amortized cost and 23.9% of fair value. (6) Non-Agency RMBS held by us is 43.8% fixed rate, 48.0% variable rate, and 8.2% floating rate based on fair value. (7) Of the total discount in non-Agency RMBS, $258.2 million is non-accretable based on estimated future cash flows of the securities. (8) Non-Agency RMBS includes interest-only securities which represent 47.7% of principal/notional balance, 1.8% of amortized cost and 1.5% of fair value. (9) We have elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 26.1% 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. (10) GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. (11) CMBS includes interest-only securities which represent 18.5% of principal/notional balance, 0.7% of amortized cost and 0.7% of fair value. (12) We have elected the fair value option for CMBS purchased on or after September 1, 2016 which represent 10.6% of principal/notional balance, 11.3% of amortized cost and 11.0% of fair value. December 31, 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 3,460,625 151,526 3,612,151 (54,223 ) 3,557,928 3.11 % 2.19 % 1.99 % 30 year fixed-rate 2,780,806 185,521 2,966,327 15,390 2,981,717 4.37 % 2.61 % 2.57 % ARM 301,900 2,520 304,420 3,453 307,873 2.69 % 2.59 % 2.16 % Hybrid ARM 2,423,152 42,360 2,465,512 8,789 2,474,301 2.70 % 2.52 % 2.02 % Total Agency pass-through (4) 8,966,483 381,927 9,348,410 (26,591 ) 9,321,819 3.37 % 2.42 % 2.20 % Agency-CMO (5) 1,712,120 (1,368,916 ) 343,204 837 344,041 2.16 % 3.08 % 2.07 % Non-Agency RMBS (6)(7)(8) 3,838,314 (1,934,269 ) 1,904,045 91,506 1,995,551 2.21 % 5.22 % 5.22 % GSE CRT (9)(10) 707,899 24,320 732,219 35,981 768,200 2.38 % 1.51 % 1.24 % CMBS (11)(12) 3,050,747 (559,857 ) 2,490,890 60,830 2,551,720 3.80 % 4.21 % 4.17 % Total 18,275,563 (3,456,795 ) 14,818,768 162,563 14,981,331 3.05 % 3.05 % 2.87 % (1) Net weighted average coupon as of December 31, 2016 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of December 31, 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 average balance of the amortized cost of the investments. All yields are annualized. (4) We have elected the fair value option for Agency RMBS purchased on or after September 1, 2016 which represent 4.3% of principal/notional balance, 4.3% of amortized cost and 4.2% of fair value. (5) Agency collateralized mortgage obligation ("Agency CMO") includes interest-only securities ("Agency IO"), which represent 85.5% o f principal (notional) balance, 26.8% of amortized cost and 21.7% of fair value. (6) Non-Agency RMBS held by us is 45.5% variable rate, 47.2% fixed rate, and 7.3% floating rate based on fair value. (7) Of the total discount in non-Agency RMBS, $252.5 million is non-accretable based on estimated future cash flows of the securities. (8) Non-Agency RMBS includes interest-only securities, which represent 43.5% of principal/notional balance, 1.5% of amortized cost and 1.3% of fair value. (9) We have elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 19.2% 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. (10) GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. (11) CMBS includes interest-only securities which represent 20.3% of principal/notional balance, 0.8% of amortized cost and 0.9% of fair value. (12) We have elected the fair value option for CMBS purchased on or after September 1, 2016 which represent 0.4% of principal/notional balance, 0.6% of amortized cost and 0.5% of fair value. The following table summarizes our non-Agency RMBS portfolio by asset type based on fair value as of June 30, 2017 and December 31, 2016 . $ in thousands June 30, 2017 % of Non-Agency December 31, 2016 % of Non-Agency Prime 699,638 44.4 % 889,658 44.6 % Alt-A 421,492 26.7 % 447,213 22.4 % Re-REMIC 237,766 15.1 % 364,301 18.2 % Subprime/reperforming 216,944 13.8 % 294,379 14.8 % Total Non-Agency 1,575,840 100.0 % 1,995,551 100.0 % The following table summarizes the credit enhancement provided to our re-securitization of real estate mortgage investment conduit ("Re-REMIC") holdings as of June 30, 2017 and December 31, 2016 . Percentage of Re-REMIC Holdings at Fair Value Re-REMIC Subordination (1) June 30, 2017 December 31, 2016 0% - 10% 26.3 % 17.6 % 10% - 20% 3.9 % 7.4 % 20% - 30% 9.9 % 13.5 % 30% - 40% 19.4 % 15.7 % 40% - 50% 18.4 % 27.0 % 50% - 60% 20.3 % 16.1 % 60% - 70% 1.8 % 2.7 % Total 100.0 % 100.0 % (1) Subordination refers to the credit enhancement provided to the Re-REMIC tranche held by us 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 us. 48.3% of our Re-REMIC holdings are not senior tranches. The components of the carrying value of our MBS and GSE CRT portfolio at June 30, 2017 and December 31, 2016 are presented below. $ in thousands June 30, 2017 December 31, 2016 Principal balance 18,928,963 18,275,563 Unamortized premium 484,242 476,314 Unamortized discount (3,595,201 ) (3,933,109 ) Gross unrealized gains 379,923 302,099 Gross unrealized losses (114,643 ) (139,536 ) Fair value 16,083,284 14,981,331 The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of June 30, 2017 and December 31, 2016 . $ in thousands June 30, 2017 December 31, 2016 Less than one year 117,913 121,076 Greater than one year and less than five years 8,306,399 6,719,923 Greater than or equal to five years 7,658,972 8,140,332 Total 16,083,284 14,981,331 The following tables present the estimated fair value and gross unrealized losses of our MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at June 30, 2017 and December 31, 2016 . June 30, 2017 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 2,534,116 (54,361 ) 129 111,912 (2,469 ) 19 2,646,028 (56,830 ) 148 30 year fixed-rate 1,351,307 (16,221 ) 59 507,832 (16,337 ) 27 1,859,139 (32,558 ) 86 ARM 82,986 (89 ) 9 — — — 82,986 (89 ) 9 Hybrid ARM 799,528 (4,824 ) 73 7,048 (105 ) 4 806,576 (4,929 ) 77 Total Agency pass-through (1) 4,767,937 (75,495 ) 270 626,792 (18,911 ) 50 5,394,729 (94,406 ) 320 Agency-CMO (2) 124,257 (5,340 ) 26 21,443 (1,012 ) 4 145,700 (6,352 ) 30 Non-Agency RMBS 113,298 (2,385 ) 23 166,184 (2,403 ) 24 279,482 (4,788 ) 47 CMBS (3) 487,895 (8,767 ) 42 19,970 (330 ) 5 507,865 (9,097 ) 47 Total 5,493,387 (91,987 ) 361 834,389 (22,656 ) 83 6,327,776 (114,643 ) 444 (1) Amounts disclosed include Agency RMBS with a fair value of $ 801.6 million for which the fair value option has been elected. Such securities have unrealized losses of $ 6.5 million . (2) Fair value includes unrealized losses on Agency IO of $3.9 million and unrealized losses on CMO of $2.4 million . (3) Amounts disclosed includes CMBS with a fair value of $168.0 million for which the fair value option has been elected. Such securities have unrealized losses of $2.3 million . December 31, 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 2,781,777 (66,506 ) 127 65,964 (1,556 ) 17 2,847,741 (68,062 ) 144 30 year fixed-rate 747,719 (15,409 ) 45 547,763 (18,004 ) 27 1,295,482 (33,413 ) 72 ARM 120,540 (326 ) 9 1,091 (7 ) 1 121,631 (333 ) 10 Hybrid ARM 1,356,687 (9,922 ) 99 252 (4 ) 2 1,356,939 (9,926 ) 101 Total Agency pass-through (1) 5,006,723 (92,163 ) 280 615,070 (19,571 ) 47 5,621,793 (111,734 ) 327 Agency-CMO (2) 163,114 (3,812 ) 28 22,792 (952 ) 3 185,906 (4,764 ) 31 Non-Agency RMBS 287,647 (7,861 ) 42 497,863 (6,671 ) 36 785,510 (14,532 ) 78 GSE CRT (3) — — — 35,935 (969 ) 3 35,935 (969 ) 3 CMBS (4) 401,016 (6,733 ) 36 47,219 (804 ) 6 448,235 (7,537 ) 42 Total 5,858,500 (110,569 ) 386 1,218,879 (28,967 ) 95 7,077,379 (139,536 ) 481 (1) Amounts disclosed include Agency RMBS with a fair value of $149.7 million for which the fair value option has been elected. Such securities have unrealized losses of $4.0 million . (2) Fair value includes unrealized losses on Agency IO of $3.0 million unrealized losses and unrealized losses on CMO of $1.7 million . (3) Fair value includes unrealized losses on both the debt host contract and the embedded derivative. (4) Amounts disclosed includes CMBS with a fair value of $13.9 million for which the fair value option has been elected. Such securities have unrealized losses of $613,000 . Gross unrealized losses on our Agency RMBS and CMO were $94.4 million and $2.4 million , respectively, at June 30, 2017 . Due to the inherent credit quality of Agency RMBS and CMO, we determined that at June 30, 2017 , any unrealized losses on our Agency RMBS and CMO portfolio are not other than temporary. Gross unrealized losses on our Agency IO, non-Agency RMBS, GSE CRT and CMBS were $17.8 million at June 30, 2017 . We did 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 our assessment for other-than-temporary impairment on a quarterly basis. We assess our 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 following table represents the other-than-temporary impairment losses ("OTTI") included in earnings for the three and six months ended June 30, 2017 and 2016 : Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 RMBS interest-only securities 3,585 1,472 3,876 7,155 Non-Agency RMBS (1) 513 53 754 53 Total 4,098 1,525 4,630 7,208 (1) Amounts disclosed relate to credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income. As we have previously elected the fair value option for RMBS interest-only securities, the OTTI was recorded as a reclassification from an unrealized to a realized loss within gain (loss) on investments, net on the condensed consolidated statements of operations. As of June 30, 2017 , we did not intend to sell the securities and determined that it was not more likely than not that we will be required to sell the securities. The following table summarizes the changes in accumulated other comprehensive income (loss) related to our GSE CRT debt host contracts and available-for-sale MBS for the three and six months ended June 30, 2017 and 2016 . We reclassify unrealized gains and losses from other comprehensive income to gain (loss) on investments, net when we sell our investments. The table excludes MBS and GSE CRT that are accounted for under the fair value option. As of June 30, 2017 , $3.1 billion or 19.3% of our MBS and GSE CRT are accounted for under the fair value option. Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Accumulated other comprehensive income (loss) from MBS and GSE CRT securities: Unrealized gain (loss) on MBS and GSE CRT at beginning of period 163,440 288,715 146,301 177,799 Unrealized gain (loss) on MBS and GSE CRT 39,633 117,116 55,922 238,576 Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net 651 (1,037 ) 1,501 (11,581 ) Balance at the end of period 203,724 404,794 203,724 404,794 The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2017 and 2016 . Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Gross realized gains on sale of investments 1,311 1,037 2,215 14,052 Gross realized losses on sale of investments (1,962 ) — (3,873 ) (2,471 ) Other-than-temporary impairment losses (4,098 ) (1,525 ) (4,630 ) (7,208 ) Net unrealized gains and losses on MBS accounted for under the fair value option 7,715 1,266 4,113 7,942 Net unrealized gains and losses on GSE CRT accounted for under the fair value option 8,195 173 11,474 237 Net unrealized gains and losses on trading securities 14 463 23 463 Total gain (loss) on investments, net 11,175 1,414 9,322 13,015 The following table presents components of interest income recognized on our MBS and GSE CRT portfolio for the three and six months ended June 30, 2017 and 2016 . GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. For the three months ended June 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 91,979 (27,775 ) 64,204 Non-Agency 18,131 3,734 21,865 GSE CRT 5,556 (347 ) 5,209 CMBS 31,506 (1,852 ) 29,654 Other 95 — 95 Total 147,267 (26,240 ) 121,027 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 six months ended June 30, 2017 $ in thousands Coupon Net (Premium Interest Agency 183,210 (56,353 ) 126,857 Non-Agency 38,745 8,121 46,866 GSE CRT 10,043 (718 ) 9,325 CMBS 61,182 (4,486 ) 56,696 Other 156 — 156 Total 293,336 (53,436 ) 239,900 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 |
Commercial Loans Held-for-Inves
Commercial Loans Held-for-Investment | 6 Months Ended |
Jun. 30, 2017 | |
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, 2017 and December 31, 2016 that we purchased or originated. June 30, 2017 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) Mezzanine loans 10 279,121 (255 ) 278,866 8.50 % 1.4 Total 10 279,121 (255 ) 278,866 8.50 % 1.4 December 31, 2016 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) Mezzanine loans 10 273,666 (311 ) 273,355 8.14 % 1.6 Total 10 273,666 (311 ) 273,355 8.14 % 1.6 (1) Weighted average years to maturity is based on the contractual maturity date. Certain loans may contain either an option to prepay or an option to extend beyond their contractual maturity dates as specified in the respective loan agreements. These loans were not impaired, and no allowance for loan loss has been recorded as of June 30, 2017 and December 31, 2016 based on our analysis of credit quality factors as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2016 . |
Other Assets
Other Assets | 6 Months Ended |
Jun. 30, 2017 | |
Schedule of Investments [Abstract] | |
Other Assets | Other Assets The following table summarizes our other assets as of June 30, 2017 and December 31, 2016 . $ in thousands June 30, 2017 December 31, 2016 FHLBI stock 74,250 74,250 Investments in unconsolidated ventures 23,311 33,301 Investment in exchange-traded fund 3,979 500 Prepaid expenses and other assets 888 1,246 Total 102,428 109,297 IAS Services LLC, our 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. We have invested in unconsolidated ventures that are managed by an affiliate of our Manager. The unconsolidated ventures invest in our target assets. Refer to Note 16 - "Commitments and Contingencies" for additional details regarding our commitments to these unconsolidated ventures. We have invested in an exchange-traded fund that is managed by an affiliate of our Manager. The exchange-traded fund invests in our target assets. |
Borrowings
Borrowings | 6 Months Ended |
Jun. 30, 2017 | |
Debt Disclosure [Abstract] | |
Borrowings | Borrowings We finance the majority of our investment portfolio through repurchase agreements, secured loans and exchangeable senior notes. The following table summarizes certain characteristics of our borrowings at June 30, 2017 and December 31, 2016 . Refer to Note 8 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans. $ in thousands June 30, 2017 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 9,227,679 1.29 % 20 Non-Agency RMBS 1,130,943 2.50 % 29 GSE CRT 661,432 2.58 % 7 CMBS 1,098,894 2.33 % 16 Total Repurchase Agreements 12,118,948 1.56 % 21 Secured Loans 1,650,000 1.23 % 2,501 Exchangeable Senior Notes (1) 218,755 5.00 % 258 Total Borrowings 13,987,703 1.58 % 317 $ in thousands December 31, 2016 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 8,148,220 0.93 % 32 Non-Agency RMBS 1,519,859 2.06 % 28 GSE CRT 547,872 2.25 % 16 CMBS 944,718 1.86 % 16 Total Repurchase Agreements 11,160,669 1.23 % 30 Secured Loans 1,650,000 0.74 % 2,682 Exchangeable Senior Notes (1) 400,000 5.00 % 439 Total Borrowings 13,210,669 1.28 % 373 (1) The carrying value of exchangeable senior notes is $217.8 million and $397.0 million as of June 30, 2017 and December 31, 2016 , respectively. The carrying value is net of unamortized debt issuance costs of $1.0 million and $3.0 million as of June 30, 2017 and December 31, 2016 , respectively. The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of June 30, 2018 12,337,703 2019 — 2020 300,000 2021 100,000 2022 — Thereafter 1,250,000 Total 13,987,703 The following tables summarize certain characteristics of our repurchase agreements and secured loans at June 30, 2017 and December 31, 2016 . June 30, 2017 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC Securities (USA) Inc. 1,315,644 9.5 % 1,383,316 ING Financial Market LLC 1,270,181 9.2 % 1,336,963 Pierpont Securities LLC 1,125,511 8.2 % 1,181,071 Royal Bank of Canada 1,073,515 7.8 % 1,258,618 Mitsubishi UFJ Securities (USA), Inc. 653,956 4.7 % 691,437 E D & F Man Capital Markets Inc. 621,813 4.5 % 653,306 Scotia Capital 605,826 4.4 % 630,441 Citigroup Global Markets Inc. 552,926 4.0 % 656,821 Industrial and Commercial Bank of China Financial Services LLC 524,907 3.8 % 550,286 South Street Securities LLC 485,749 3.5 % 514,435 KGS-Alpha Capital Markets, L.P. 481,965 3.5 % 506,387 Goldman, Sachs & Co. 467,361 3.4 % 586,400 JP Morgan Securities Inc. 411,296 3.0 % 476,473 Societe Generale 395,937 2.9 % 509,082 Guggenheim Liquidity Services, LLC 329,375 2.4 % 346,416 Mizuho Securities USA Inc. 329,168 2.4 % 347,282 Natixis, New York Branch 302,566 2.2 % 327,418 BNP Paribas Securities Corp. 283,528 2.1 % 326,548 Daiwa Capital Markets America Inc. 218,702 1.6 % 230,239 All other counterparties (2) 669,022 4.9 % 857,358 Total Repurchase Agreement Counterparties 12,118,948 88.0 % 13,370,297 Secured Loans Counterparty: FHLBI 1,650,000 12.0 % 1,941,665 Total 13,768,948 100.0 % 15,311,962 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2016 . (2) Represents amounts outstanding with seven counterparties. December 31, 2016 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC Securities (USA) Inc. 1,401,966 11.2 % 1,468,793 ING Financial Market LLC 1,142,200 8.9 % 1,216,492 Royal Bank of Canada 1,098,631 8.6 % 1,293,336 Industrial and Commercial Bank of China Financial Services LLC 707,616 5.5 % 748,503 Mitsubishi UFJ Securities (USA), Inc. 703,382 5.5 % 740,404 Pierpont Securities LLC 681,853 5.3 % 717,663 South Street Securities LLC 675,660 5.3 % 713,330 Goldman, Sachs & Co. 486,430 3.8 % 623,400 Scotia Capital 479,105 3.7 % 500,578 JP Morgan Securities Inc. 477,947 3.7 % 554,494 KGS-Alpha Capital Markets, L.P. 441,541 3.4 % 475,858 Citigroup Global Markets Inc. 427,185 3.3 % 534,875 E D & F Man Capital Markets Inc. 405,615 3.2 % 430,896 Guggenheim Liquidity Services, LLC 356,149 2.8 % 377,030 Natixis, New York Branch 336,202 2.6 % 362,432 Societe Generale 325,393 2.5 % 427,200 BNP Paribas Securities Corp. 307,641 2.4 % 346,484 All other counterparties (2) 706,153 5.4 % 912,536 Total Repurchase Agreement Counterparties: 11,160,669 87.1 % 12,444,304 Secured Loans Counterparty: FHLBI 1,650,000 12.9 % 1,931,582 Total 12,810,669 100.0 % 14,375,886 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2016 . (2) Represents amounts outstanding with seven counterparties. 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 we maintain effective control of the financed assets. Repurchase agreements are subject to certain financial covenants. We were in compliance with these covenants at June 30, 2017 . Our repurchase agreement collateral ratio (MBS and GSE CRTs pledged as collateral/Amount Outstanding) was 110% as of June 30, 2017 ( December 31, 2016 : 112% ). Secured Loans Our wholly-owned captive insurance subsidiary, IAS Services LLC is a member of the FHLBI. As a member of the FHLBI, IAS Services LLC has borrowed funds from the FHLBI in the form of secured loans. As of June 30, 2017 , IAS Services LLC, had $1.65 billion in outstanding secured loans from the FHLBI. These secured loans have floating rates that are based on the three-month FHLB swap rate plus a spread. For the six months ended June 30, 2017 , IAS Services LLC had weighted average borrowings of $ 1.65 billion with a weighted average borrowing rate of 0.96% and a weighted average maturity of 6.9 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 until February 2021. New advances or renewals that mature after February 2021 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 February 19, 2016 and extend beyond February 2021. We do not expect there to be any impact to our existing FHLBI borrowings under the FHFA rule. The ability to borrow from the FHLBI is subject to our continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with FHLBI and FHFA rules. As discussed in Note 6 - "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 loans from the FHLBI. Exchangeable Senior Notes In 2013, our wholly-owned subsidiary, IAS Operating Partnership LP, issued $400.0 million in aggregate principal amount of Exchangeable Senior Notes (the "Notes") due March 15, 2018. The Notes may be exchanged for shares of our common stock at the applicable exchange rate at any time prior to the close of business on March 13, 2018. The Notes are reported on our consolidated balance sheets net of unamortized debt issuance costs. Debt issuance costs are amortized as an adjustment to interest expense using the effective interest method over the stated legal maturity of the Notes. In June and March 2017, we retired $31.2 million and $150.0 million of Notes for a repurchase price of $31.6 million and $153.8 million , respectively. During the three months ended June 30, 2017 , we realized a $526,000 net loss on extinguishment of debt including $136,000 of unamortized debt issuance costs associated with the retired debt. During the six months ended June 30, 2017 , we realized a $5.2 million net loss on extinguishment of debt including $1.0 million of unamortized debt issuance costs associated with the retired debt. Accrued interest payable on the Notes was approximately $3.2 million as of June 30, 2017 ( December 31, 2016 : $5.9 million ). |
Collateral Positions
Collateral Positions | 6 Months Ended |
Jun. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Collateral Positions | Collateral Positions The following table summarizes the fair value of collateral that we have pledged and held under our repurchase agreements, secured loans, interest rate swaps and currency forward contracts as of June 30, 2017 and December 31, 2016 . Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2016 for a description of how we determine fair value. RMBS, CMBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our consolidated balance sheets. Cash collateral pledged on bilateral swaps and currency forward contracts is classified as due from counterparties on our consolidated balance sheets. Cash collateral held on bilateral swaps that is not restricted for use is included in cash and cash equivalents on our consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of June 30, 2017 and December 31, 2016 , we did not recognize any non-cash collateral held. Collateral Pledged June 30, 2017 December 31, 2016 Repurchase Agreements: Agency RMBS 9,711,706 8,654,233 Non-Agency RMBS 1,424,646 1,887,550 GSE CRT 874,493 734,212 CMBS 1,359,452 1,168,309 Total repurchase agreements collateral pledged 13,370,297 12,444,304 Secured Loans: Agency RMBS 596,514 585,504 CMBS 1,345,151 1,346,078 Total secured loans collateral pledged 1,941,665 1,931,582 Interest Rate Swaps and Currency Forward Contracts: Agency RMBS 55,188 46,312 Cash 1,246 86,450 Total interest rate swaps and currency forward contracts collateral pledged (1) 56,434 132,762 Total: Mortgage-backed and GSE CRT securities 15,367,150 14,422,198 Cash 1,246 86,450 Total collateral pledged 15,368,396 14,508,648 Collateral Held June 30, 2017 December 31, 2016 Interest Rate Swaps: Cash 3,471 1,700 Non-cash collateral — 536 Total collateral held 3,471 2,236 (1) Cash collateral pledged on our currency forward contracts was $980,000 as of June 30, 2017 . We did no t pledge any collateral on our currency forward contracts as of December 31, 2016 . Repurchase Agreements Collateral pledged with our repurchase agreement counterparties is segregated in our books and records. The repurchase agreement counterparties have the right to resell and repledge the collateral posted but have the obligation to return the pledged collateral, or substantially the same collateral if agreed to by us, upon maturity of the repurchase agreement. Under the repurchase agreements, the respective lender retains the contractual right to mark the underlying collateral to fair value as determined by a pricing service agreed to by the respective lender and us. We would be required to provide additional collateral or fund margin calls if the value of pledged assets declined. We intend to maintain a level of liquidity that will enable us to meet margin calls. Secured Loans The ability to borrow from the FHLBI is subject to our continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with FHLBI and FHFA rules. Collateral pledged with the FHLBI is held in trust for the benefit of the FHLBI and is not commingled with our other assets. The FHLBI does not have the right to resell or repledge collateral posted unless an event of default occurs. The FHLBI retains the right to mark the underlying collateral for FHLBI advances to fair value as determined by the FHLBI in its sole discretion. IAS Services LLC would be required to provide additional collateral or fund margin calls if the value of pledged assets declines. Interest Rate Swaps Collateral pledged with our interest rate swap counterparties is segregated in our books and records. We have two types of interest rate swap agreements: bilateral interest rate swaps that are governed by an International Swaps and Derivatives Association ("ISDA") agreement and interest rate swaps that are centrally cleared by the Chicago Mercantile Exchange ("CME") through a Futures Commission Merchant. Interest rate swaps that are governed by an ISDA agreement provide for bilateral collateral pledging based on the counterparties' market value. The counterparties have the right to repledge the collateral posted, but have the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the interest rate swaps change. We are required to pledge initial margin and daily variation margin for our interest rate swaps that are centrally cleared by CME. CME determines the fair value of our centrally cleared swaps, including daily variation margin. Effective January 3, 2017, CME amended their rulebooks to legally characterize daily variation margin payments for centrally cleared interest rate swaps as settlement rather than collateral. As a result of this rule change, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps. Currency Forward Contracts Collateral pledged with our currency forward counterparty is segregated in our books and records. Eligible collateral to be pledged can be in the form of cash or securities. Our currency forward contract provides for bilateral collateral pledging based on the counterparties' market value. The counterparties have the right to repledge the collateral posted, but have the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the currency forward contracts change. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 6 Months Ended |
Jun. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Derivatives and Hedging Activities The following table summarizes changes in the notional amount of our derivative instruments during 2017 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps 6,500,000 1,400,000 — 7,900,000 Currency Forward Contracts 62,308 137,860 (131,575 ) 68,593 Credit Derivatives 569,966 — (5,729 ) 564,237 Total 7,132,274 1,537,860 (137,304 ) 8,532,830 Interest Rate Swaps Our repurchase agreements are usually settled on a short-term basis ranging from one to twelve months. At each settlement date, we typically refinance each repurchase agreement at the market interest rate at that time. In addition, our secured loans have floating interest rates. As such, we are exposed to changing interest rates. Our objectives in using interest rate derivatives are to add stability to interest expense and to manage our exposures to interest rate movements. To accomplish these objectives, we primarily use interest rate swaps as part of our interest rate risk management strategy. Interest rate swaps involve the receipt of variable-rate amounts from a counterparty in exchange for making fixed-rate payments over the life of the agreements without exchange of the underlying notional amount. Effective December 31, 2013, we voluntarily discontinued cash flow hedge accounting for our interest rate swaps to gain greater flexibility in managing interest rate exposures. Amounts recorded in accumulated other comprehensive income ("AOCI") before we discontinued cash flow hedge accounting for our 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. We reclassified $6.4 million as a decrease ( June 30, 2016 : $3.2 million as an increase) and $12.7 million as a decrease ( June 30, 2016 : $16.2 million as an increase) to interest expense for the three and six months ended June 30, 2017 , respectively. During the next 12 months, we estimate that $26.3 million will be reclassified as a decrease to interest expense, repurchase agreements. As of June 30, 2017 , $136.6 million ( December 31, 2016 : $149.1 million ) of unrealized gain/(loss) on discontinued cash flow hedges, net is still included in accumulated other comprehensive income. As of June 30, 2017 , we had the following interest rate swaps outstanding: $ in thousands Counterparty Notional Maturity Date Fixed Interest Rate 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 450,000 1/12/2024 2.10 % CME Central Clearing 450,000 1/25/2024 2.15 % CME Central Clearing 100,000 4/2/2025 2.04 % CME Central Clearing (1 ) 250,000 5/24/2028 2.78 % CME Central Clearing (1 ) 250,000 5/24/2028 2.39 % Total 7,900,000 2.17 % (1) Forward start date of 5/24/2018 Refer to Note 8 - "Collateral Positions" for further information regarding our collateral pledged to and received from our interest rate swap counterparties. Interest Rate Swaptions We have purchased interest rate swaptions to help mitigate the potential impact of increases or decreases in interest rates on the performance of a portion of our investment portfolio (referred to as "convexity risk"). The interest rate swaptions provide us 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 our 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 our 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 we sell or exercise 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, 2017 and December 31, 2016 , we have no outstanding interest rate swaptions. Currency Forward Contracts We use currency forward contracts to help mitigate the potential impact of changes in foreign currency exchange rates on our 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 our condensed consolidated statements of operations. As of June 30, 2017 , we have $49.6 million ( December 31, 2016 : $49.0 million ) of notional amount of forward contracts denominated in Pound Sterling and $19.0 million ( December 31, 2016 : $13.3 million ) of notional amount of forward contracts denominated in Euro. Credit Derivatives Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments consisting of a debt host contract and an embedded credit derivative. Embedded derivatives associated with GSE CRTs are recorded within mortgage-backed and credit risk transfer securities, at fair value, on the consolidated balance sheets. At June 30, 2017 and December 31, 2016 , terms of the GSE CRT embedded derivatives are: $ in thousand June 30, 2017 December 31, 2016 Fair value amount 46,802 17,095 Notional amount 564,237 569,966 Maximum potential amount of future undiscounted payments 564,237 569,966 Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of June 30, 2017 and December 31, 2016 . $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2017 As of December 31, 2016 As of June 30, 2017 As of December 31, 2016 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 11,005 3,085 Interest Rate Swaps Liability 43,047 133,833 Currency Forward Contracts — 101 Currency Forward Contracts 1,100 395 Effective January 3, 2017, CME amended their rulebooks to legally characterize daily variation margin payments for centrally cleared interest rate swaps as settlement rather than collateral. As a result of this rule change, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps. Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement The tables below present the effect of our credit derivatives on the condensed consolidated statements of operations for the three and six months ended June 30, 2017 and 2016 . $ in thousands Three months ended June 30, 2017 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 5,844 15,559 21,403 $ in thousands Three months ended June 30, 2016 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (5,097 ) 6,112 16,213 17,228 $ in thousands Six months ended June 30, 2017 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 11,651 29,707 41,358 $ in thousands Six months ended June 30, 2016 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (6,017 ) 12,426 19,229 25,638 The following table summarizes the effect of interest rate swaps, interest rate swaptions 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, 2017 and 2016 : $ in thousands Three months ended June 30, 2017 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (38,512 ) (19,966 ) 7,975 (50,503 ) Currency Forward Contracts (1,717 ) — (1,293 ) (3,010 ) Total (40,229 ) (19,966 ) 6,682 (53,513 ) $ in thousands Three months ended June 30, 2016 Derivative Realized gain (loss) on derivative instruments, net Contractual net 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, 2017 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (22,518 ) (42,860 ) 20,925 (44,453 ) Currency Forward Contracts (2,793 ) — (805 ) (3,598 ) Total (25,311 ) (42,860 ) 20,120 (48,051 ) $ in thousands Six months ended June 30, 2016 Derivative Realized gain (loss) on derivative instruments, net Contractual net 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 ) Credit-risk-related Contingent Features We have agreements with each of our bilateral derivative counterparties. Some of those agreements contain a provision whereby if we default on any of our indebtedness, including default whereby repayment of the indebtedness has not been accelerated by the lender, we could be declared in default on our derivative obligations. At June 30, 2017 , the fair value of derivatives in a net liability position, which includes accrued interest but excludes any adjustment for non-performance risk related to bilateral interest rate swap agreements, was $40.0 million . We have minimum collateral posting thresholds with certain of our derivative counterparties and have pledged collateral of $55.2 million of Agency RMBS as of June 30, 2017 . If we had breached any of these provisions at June 30, 2017 , we could have been required to settle our obligations under these agreements at their termination value. We also have an agreement with a clearing counterparty for our interest rate swaps that includes cross default provisions. The fair value of our centrally cleared interest rate derivative contracts was a net asset as of June 30, 2017 . We were in compliance with all of the financial provisions of these counterparty agreements as of June 30, 2017 . |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 6 Months Ended |
Jun. 30, 2017 | |
Offsetting [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities Certain of our 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 our condensed consolidated balance sheets at June 30, 2017 and December 31, 2016 . Effective January 3, 2017, CME amended their rulebooks to legally characterize daily variation margin payments for centrally cleared interest rate swaps as settlement rather than collateral. As a result of this rule change, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps. Our derivative asset of $7.3 million at June 30, 2017 related to centrally cleared interest rate swaps is not included in the table below as a result of this change. Offsetting of Derivative Assets As of June 30, 2017 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 Cash Collateral Received Net Amount Derivatives (1) (4) 3,706 — 3,706 — (3,445 ) 261 Total 3,706 — 3,706 — (3,445 ) 261 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2017 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) Cash Collateral Pledged Net Amount Derivatives (4) 44,147 — 44,147 (43,047 ) (980 ) 120 Repurchase Agreements (3) 12,118,948 — 12,118,948 (12,118,948 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 13,813,095 — 13,813,095 (13,811,995 ) (980 ) 120 Offsetting of Derivative Assets As of December 31, 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 Cash Collateral Received Net Amount Derivatives (1) (4) 3,186 — 3,186 (1,640 ) (1,546 ) — Total 3,186 — 3,186 (1,640 ) (1,546 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 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) Cash Collateral Pledged Net Amount Derivatives (4) 134,228 — 134,228 (45,738 ) (85,787 ) 2,703 Repurchase Agreements (3) 11,160,669 — 11,160,669 (11,160,669 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 12,944,897 — 12,944,897 (12,856,407 ) (85,787 ) 2,703 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2017 and December 31, 2016 , 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 our borrowing under repurchase agreements was $13.4 billion and $12.4 billion at June 30, 2017 and December 31, 2016 , respectively. (4) Cash collateral received on our derivatives was $3.5 million and $1.7 million at June 30, 2017 and December 31, 2016 , respectively. We did not receive any non-cash collateral on our derivatives at June 30, 2017 . Non-cash collateral received on our derivatives was $536,000 at December 31, 2016 . Cash collateral pledged by us on our derivatives was $86.5 million at December 31, 2016 . As a result of the CME rule change effective January 3, 2017, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the table above at June 30, 2017 . (5) The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $1.9 billion at June 30, 2017 and December 31, 2016 , respectively. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 6 Months Ended |
Jun. 30, 2017 | |
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 our 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 our assets and liabilities measured at fair value on a recurring basis. June 30, 2017 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Fair Value Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 16,036,482 46,802 — 16,083,284 Derivative assets — 11,005 — — 11,005 Other assets (4) 3,979 — — 23,311 27,290 Total assets 3,979 16,047,487 46,802 23,311 16,121,579 Liabilities: Derivative liabilities — 44,147 — — 44,147 Total liabilities — 44,147 — — 44,147 December 31, 2016 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 14,964,236 17,095 — 14,981,331 Derivative assets — 3,186 — — 3,186 Other assets (4) 500 — — 33,301 33,801 Total assets 500 14,967,422 17,095 33,301 15,018,318 Liabilities: Derivative liabilities — 134,228 — — 134,228 Total liabilities — 134,228 — — 134,228 (1) For more detail about the fair value of our MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of June 30, 2017 , the net embedded derivative asset position of $46.8 million includes $47.7 million of embedded derivatives in an asset position and $900,000 of embedded derivatives in a liability position. As of December 31, 2016 , the net embedded derivative asset position of $17.1 million includes $21.0 million of embedded derivatives in an asset position and $3.9 million of embedded derivatives in a liability position. (3) Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of June 30, 2017 and December 31, 2016 , the weighted average remaining term of investments in unconsolidated ventures is 1.8 and 1.3 years, respectively. (4) Includes $4.0 million and $0.5 million of investment in an exchange-traded fund as of June 30, 2017 and December 31, 2016 , respectively. The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs: Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Beginning balance 31,243 (22,706 ) 17,095 (25,722 ) Sales and settlements — 5,097 — 6,017 Total net gains / (losses) included in net income: — — — Realized gains/(losses), net — (5,097 ) — (6,017 ) Unrealized gains/(losses), net (1) 15,559 16,213 29,707 19,229 Ending balance 46,802 (6,493 ) 46,802 (6,493 ) (1) Included in realized and unrealized credit derivative income (loss), net in the condensed consolidated statements of operations for the three months ended June 30, 2017 and 2016 , are $15.6 million and $11.1 million in net unrealized gains attributable to assets still held as of June 30, 2017 and June 30, 2016 , respectively. Included in realized and unrealized credit derivative income (loss), net in the condensed consolidated statements of operations for the six months ended June 30, 2017 and 2016 , are $29.7 million and $12.6 million in net unrealized gains attributable to assets still held as of June 30, 2017 and June 30, 2016 , respectively. We did not reverse any unrealized gains or losses on securities sold in the three and six months ended June 30, 2017 . During the three and six months ended June 30, 2016 , we reversed unrealized losses on securities sold during the period of $5.1 million and $6.0 million , respectively. The following table summarizes significant unobservable inputs used in the fair value measurement of our GSE CRT embedded derivatives: Fair Value at Valuation Unobservable Weighted $ in thousands June 30, 2017 Technique Input Range Average GSE CRT Embedded Derivatives 46,802 Market Comparables, Vendor Pricing Weighted average life 3.7 - 7.5 years 5.7 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2016 Technique Input Range Average GSE CRT Embedded Derivatives 17,095 Market Comparables, Vendor Pricing Weighted average life 2.5 - 7.7 years 5.3 years These significant unobservable inputs change according to market conditions and security performance. We estimate the weighted average life of GSE CRTs in order to identify GSE corporate debt with a similar maturity. We obtain our weighted average life estimates from a third party provider. Although weighted average life is a significant input, changes in weighted average life may not have an explicit directional impact on the fair value measurement. The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at June 30, 2017 and December 31, 2016 : June 30, 2017 December 31, 2016 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 278,866 280,257 273,355 275,319 Other assets 74,250 74,250 74,250 74,250 Total 353,116 354,507 347,605 349,569 Financial Liabilities Repurchase agreements 12,118,948 12,118,722 11,160,669 11,161,034 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes 217,804 220,943 397,041 400,000 Total 13,986,752 13,989,665 13,207,710 13,211,034 The following describes our 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. Subsequent to the origination or purchase, commercial loan investments are valued on a monthly 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. • 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 we 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 exchangeable senior notes is a Level 2 fair value measurement based on a valuation obtained from a third-party pricing service. |
Related Party Transactions
Related Party Transactions | 6 Months Ended |
Jun. 30, 2017 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Under the terms of our management agreement, our Manager and its affiliates provide us with our management team, including our officers and appropriate support personnel. Each of our officers is an employee of our Manager or one of its affiliates. We do not have any employees. Our Manager is not obligated to dedicate any of its employees exclusively to us, nor is our Manager obligated to dedicate any specific portion of time to our business. During the three and six months ended June 30, 2017 , we reimbursed our Manager $202,000 ( June 30, 2016 : $182,000 ) and $387,000 ( June 30, 2016 : $341,000 ), respectively, for costs of support personnel that are fully dedicated to our business. We have invested $24.3 million as of June 30, 2017 ( December 31, 2016 : $149.9 million ) in money market or mutual funds managed by affiliates of our Manager. The investments are reported as cash and cash equivalents on our condensed consolidated balance sheets. We also pay our 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 and six months ended June 30, 2017 , we did not pay our Manager any costs related to such transactions. For the three and six months ended June 30, 2016 , we paid our Manager $189,000 and $692,000 , respectively, related to such transactions. Management Fee Expense We pay our Manager a management fee equal to 1.50% of our 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 excludes (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 our Manager and our independent directors and approval by a majority of our independent directors. We do not pay any management fees on our investments in unconsolidated ventures that are managed by an affiliate of our Manager. Expense Reimbursement We are required to reimburse our Manager for our operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, filing fees, and miscellaneous general and administrative costs. Our reimbursement obligation is not subject to any dollar limitation. We incurred costs of $1.2 million and $1.4 million originally paid for by our Manager for the three months ended June 30, 2017 and 2016 , respectively. We incurred costs of $2.8 million and $3.2 million originally paid for by our Manager for the six months ended June 30, 2017 and 2016 , respectively. Termination Fee If we terminate our management agreement, we owe our Manager a termination fee equal to three times the sum of our average annual management fee 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, 2017 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders’ Equity Preferred Stock Holders of our 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 our 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. We may elect to redeem shares of preferred stock at our 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 our qualification as a REIT or upon the occurrence of a change in control. Accumulated Other Comprehensive Income The following tables present the components of accumulated other comprehensive income. The tables exclude MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 39,633 — 39,633 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 651 — 651 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,369 ) (6,369 ) Currency translation adjustments on investment in unconsolidated venture 139 — — 139 Other comprehensive income/(loss), net 139 40,284 (6,369 ) 34,054 Balance at beginning of period (512 ) 161,381 142,896 303,765 Other comprehensive income/(loss), net 139 40,284 (6,369 ) 34,054 Other comprehensive income/(loss) attributable to non-controlling interest (2 ) (508 ) 81 (429 ) Rebalancing of ownership percentage of non-controlling interest — 1 — 1 Balance at end of period (375 ) 201,158 136,608 337,391 Three Months Ended June 30, 2016 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 117,116 — 117,116 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (1,037 ) — (1,037 ) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — 3,238 3,238 Currency translation adjustments on investment in unconsolidated venture 274 — — 274 Other comprehensive income/(loss), net 274 116,079 3,238 119,591 Balance at beginning of period (79 ) 279,916 161,036 440,873 Other comprehensive income/(loss), net 274 116,079 3,238 119,591 Other comprehensive income/(loss) attributable to non-controlling interest (5 ) (1,464 ) (41 ) (1,510 ) Balance at end of period 190 394,531 164,233 558,954 Six Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 55,922 — 55,922 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 1,501 — 1,501 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (12,667 ) (12,667 ) Currency translation adjustments on investment in unconsolidated venture (476 ) — — (476 ) Other comprehensive income/(loss), net (476 ) 57,423 (12,667 ) 44,280 Balance at beginning of period 95 144,458 149,115 293,668 Other comprehensive income/(loss), net (476 ) 57,423 (12,667 ) 44,280 Other comprehensive income/(loss) attributable to non-controlling interest 6 (724 ) 160 (558 ) Rebalancing of ownership percentage of non-controlling interest — 1 — 1 Balance at end of period (375 ) 201,158 136,608 337,391 Six Months Ended June 30, 2016 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 238,576 — 238,576 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (11,581 ) — (11,581 ) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — 16,162 16,162 Currency translation adjustments on investment in unconsolidated venture 225 — — 225 Other comprehensive income/(loss), net 225 226,995 16,162 243,382 Balance at beginning of period (32 ) 170,383 148,273 318,624 Other comprehensive income/(loss), net 225 226,995 16,162 243,382 Other comprehensive income/(loss) attributable to non-controlling interest (3 ) (2,847 ) (202 ) (3,052 ) Balance at end of period 190 394,531 164,233 558,954 Effective December 31, 2013, we voluntarily discontinued cash flow hedge accounting for our interest rate swaps to gain greater flexibility in managing interest rate exposures. Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our 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 original 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 units ("OP Units") for cash equal to the market value of an equivalent number of shares of common stock, or at our option, we may purchase their OP Units by issuing one share of common stock for each OP Unit redeemed. We also have an equity incentive plan which allows us to grant securities convertible into our common stock to our independent directors and employees of our Manager and its affiliates. Share Repurchase Program During the three and six months ended June 30, 2017 and three months ended June 30, 2016 , we did not repurchase any shares of our common stock. During the six months ended June 30, 2016 , we repurchased and concurrently retired 2,063,451 shares of our common stock at a weighted average repurchase price of $12.12 per share for a net cost of $25.0 million , including acquisition expenses. As of June 30, 2017 , we have authority to purchase 18,239,082 additional shares of our common stock under our share repurchase program. The share repurchase program has no stated expiration date. Share-Based Compensation We established the 2009 Equity Incentive Plan for grants of common stock and other equity based awards to our independent directors and officers and employees of our Manager and its affiliates (the "Incentive Plan"). Under the Incentive Plan, a total of 1,000,000 shares of common stock are authorized for issuance. Unless terminated earlier, the Incentive Plan will terminate in 2019 , but will continue to govern the unexpired awards. As of June 30, 2017 , 806,778 shares of common stock remain available for future issuance under the Incentive Plan. We recognized compensation expense of approximately $112,000 ( June 30, 2016 : $85,000 ) and approximately $197,000 ( June 30, 2016 : $170,000 ) related to our independent directors for the three and six months ended June 30, 2017 , respectively. During the three months ended June 30, 2017 and 2016 , we issued 5,292 shares and 6,160 shares of common stock, respectively, pursuant to the Incentive Plan to our independent directors. During the six months ended June 30, 2017 and 2016 , we issued 10,748 shares and 13,908 shares of common stock, respectively, pursuant to the Incentive Plan to our independent 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. We recognized compensation expense of approximately $35,000 ( June 30, 2016 : $63,000 ) and $66,000 ( June 30, 2016 : $95,000 ) for the three and six months ended June 30, 2017 , respectively, related to restricted stock units awarded to employees of our Manager and its affiliates which is reimbursed by our Manager under the management agreement. At June 30, 2017 there was approximately $288,000 of total unrecognized compensation cost related to restricted stock unit awards that is expected to be recognized over a period of up to 45 months, with a weighted-average remaining vesting period of 20 months. The following table summarizes the activity related to restricted stock units awarded to employees of our Manager and its affiliates for the three and six months ended June 30, 2017 . Three Months Ended June 30, Six Months Ended June 30, 2017 2017 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 19,827 $ 14.35 18,807 $ 14.37 Shares granted during the period — — 8,115 15.55 Shares vested during the period — — (7,095 ) 15.78 Unvested at the end of the period 19,827 $ 14.35 19,827 $ 14.35 (1) The grant date fair value of restricted stock awards is based on the closing market price of our common stock at the grant date. Dividends On June 15, 2017 , we declared the following dividends: • a dividend of $0.40 per share of common stock to be paid on July 26, 2017 to stockholders of record as of the close of business on June 27, 2017 ; • a dividend of $0.4844 per share of Series A Preferred Stock to be paid on July 25, 2017 to stockholders of record as of the close of business on July 1, 2017 ; and • a dividend of $0.4844 per share of Series B Preferred Stock to be paid on September 27, 2017 to stockholders of record as of the close of business on September 5, 2017 . |
Earnings per Common Share
Earnings per Common Share | 6 Months Ended |
Jun. 30, 2017 | |
Earnings Per Share [Abstract] | |
Earnings per Common Share | Earnings per Common Share Earnings per share for the three and six months ended June 30, 2017 and 2016 is computed as follows: Three Months Ended Six Months Ended In thousands except per share amounts 2017 2016 2017 2016 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders 46,834 (11,617 ) 133,964 (167,777 ) Effect of dilutive securities: Income allocated to exchangeable senior notes 3,504 — 8,512 — Income (loss) allocated to non-controlling interest 670 (75 ) 1,856 (1,958 ) Dilutive net income (loss) available to stockholders 51,008 (11,692 ) 144,332 (169,735 ) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 111,608 111,581 111,603 112,362 Effect of dilutive securities: Restricted stock awards 20 — 20 — OP units 1,425 1,425 1,425 1,425 Exchangeable senior notes 10,507 — 12,782 — Dilutive Shares 123,560 113,006 125,830 113,787 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic 0.42 (0.10 ) 1.20 (1.49 ) Diluted 0.41 (0.10 ) 1.15 (1.49 ) The following potential common shares were excluded from diluted earnings per 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. |
Non-controlling Interest - Oper
Non-controlling Interest - Operating Partnership | 6 Months Ended |
Jun. 30, 2017 | |
Noncontrolling Interest [Abstract] | |
Non-controlling Interest - Operating Partnership | Non-controlling Interest - Operating Partnership Non-controlling interest represents the aggregate ownership interest of a wholly-owned Invesco subsidiary in our 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 or repurchase of common stock ("Share" or "Shares") or OP Units changes the percentage ownership of both the Unit Holders and the common stockholders. Since an OP unit is generally redeemable for cash or Shares at our option, it is deemed to be a Share equivalent. Therefore, such transactions are treated as capital transactions and result in a reallocation between stockholders’ equity and non-controlling interest in the accompanying condensed consolidated balance sheets. As of June 30, 2017 and December 31, 2016 , non-controlling interest related to the outstanding 1,425,000 OP Units represented a 1.3% interest in the Operating Partnership. Income allocated to the non-controlling interest is based on the Unit Holders' ownership percentage of the Operating Partnership. 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, 2017 and 2016 . Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Net income (loss) allocated 670 (75 ) 1,856 (1,958 ) Distributions paid 570 570 1,140 1,140 As of June 30, 2017 and December 31, 2016 , distributions payable to the non-controlling interest were approximately $570,000 . |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2017 | |
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. Our material off-balance sheet commitments as of June 30, 2017 are discussed below. As discussed in Note 6 - "Other Assets", we have invested in unconsolidated ventures that are sponsored by an affiliate of our Manager. The unconsolidated ventures are structured as partnerships, and we invest 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, 2017 and December 31, 2016 , our undrawn capital and purchase commitments were $12.6 million and $15.5 million , respectively. As discussed in Note 5 - "Commercial Loans Held-for-Investment", we purchase and originate commercial loans. As of June 30, 2017 and December 31, 2016 , we have unfunded commitments on commercial loans held-for-investment of $6.4 million and $9.7 million , respectively. We have entered into agreements with financial institutions to guarantee certain obligations of our subsidiaries. We would be required to perform under these guarantees in the event of certain defaults. We have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote. |
Subsequent Events
Subsequent Events | 6 Months Ended |
Jun. 30, 2017 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events We have reviewed subsequent events occurring through the date that these condensed consolidated financial statements were issued, and determined that no subsequent events occurred that would require accrual or additional disclosure. |
Summary of Significant Accoun25
Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2017 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation and Consolidation Certain disclosures included in our Annual Report on Form 10-K are not required to be included on an interim basis in our quarterly reports on Form 10-Q. We have condensed or omitted these disclosures. Therefore, this Form 10-Q should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2016 . |
Consolidation | The condensed consolidated financial statements have been prepared in accordance with U.S. GAAP and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon 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 statement of our financial condition and results of operations for the periods presented. |
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. |
Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements | Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements 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. We are required to adopt the new guidance in the first quarter of 2018. Early adoption is permitted. We have determined that this new accounting standard will not have an impact on our financial condition or results of operations but will simplify financial statement disclosures. 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. We are required to adopt the new guidance in the first quarter of 2020. Early adoption is permitted. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements, as well as available transition methods. In August 2016, the FASB issued new guidance that is intended to reduce diversity in practice in how certain transactions are classified in the statement of cash flows. Additionally, in November 2016, the FASB issued new guidance on classification and presentation of changes in restricted cash on the statement of cash flows. We are required to adopt the new accounting standards in the first quarter of 2018 using a retrospective transition method for each period presented. Early adoption is permitted. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements. |
Variable Interest Entities ("26
Variable Interest Entities ("VIEs") (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Variable Interest Entity, Not Primary Beneficiary | |
Variable Interest Entity | |
Summary of Assets and Liabilities of Variable Interest Entities | Our maximum risk of loss in VIEs in which we are not the primary beneficiary at June 30, 2017 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss CMBS 2,777,516 2,777,516 Non-Agency RMBS 1,575,840 1,575,840 Investments in unconsolidated ventures 23,311 23,311 Total 4,376,667 4,376,667 |
Mortgage-Backed and Credit Ri27
Mortgage-Backed and Credit Risk Transfer Securities (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Investment Portfolio | The components of the carrying value of our MBS and GSE CRT portfolio at June 30, 2017 and December 31, 2016 are presented below. $ in thousands June 30, 2017 December 31, 2016 Principal balance 18,928,963 18,275,563 Unamortized premium 484,242 476,314 Unamortized discount (3,595,201 ) (3,933,109 ) Gross unrealized gains 379,923 302,099 Gross unrealized losses (114,643 ) (139,536 ) Fair value 16,083,284 14,981,331 The following tables summarize our mortgage-backed securities ("MBS") and GSE CRT portfolio by asset type as of June 30, 2017 and December 31, 2016 . June 30, 2017 $ 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 3,187,931 134,856 3,322,787 (46,007 ) 3,276,780 3.09 % 2.19 % 1.97 % 30 year fixed-rate 4,816,054 232,385 5,048,439 20,677 5,069,116 3.95 % 3.10 % 2.83 % ARM * 269,123 1,988 271,111 3,463 274,574 2.68 % 2.58 % 2.27 % Hybrid ARM 1,891,257 30,099 1,921,356 12,659 1,934,015 2.71 % 2.54 % 2.29 % Total Agency pass-through (4) 10,164,365 399,328 10,563,693 (9,208 ) 10,554,485 3.42 % 2.69 % 2.44 % Agency-CMO (5) 1,429,977 (1,129,678 ) 300,299 (2,033 ) 298,266 2.04 % 2.87 % 0.34 % Non-Agency RMBS (6)(7)(8) 3,247,516 (1,793,760 ) 1,453,756 122,084 1,575,840 2.18 % 5.80 % 5.90 % GSE CRT (9)(10) 769,217 25,537 794,754 82,423 877,177 3.06 % 2.40 % 2.62 % CMBS (11)(12) 3,317,888 (612,386 ) 2,705,502 72,014 2,777,516 3.90 % 4.62 % 4.45 % Total 18,928,963 (3,110,959 ) 15,818,004 265,280 16,083,284 3.17 % 3.30 % 3.07 % * Adjustable-rate mortgage ("ARM") (1) Net weighted average coupon as of June 30, 2017 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of June 30, 2017 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 average balance of the amortized cost of the investments. All yields are annualized. (4) We have elected the fair value option for Agency RMBS purchased on or after September 1, 2016 which represent 23.7% of principal/notional balance, 23.5% of amortized cost and 23.5% of fair value. (5) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 84.3% of principal/notional balance, 24.1% of amortized cost and 23.9% of fair value. (6) Non-Agency RMBS held by us is 43.8% fixed rate, 48.0% variable rate, and 8.2% floating rate based on fair value. (7) Of the total discount in non-Agency RMBS, $258.2 million is non-accretable based on estimated future cash flows of the securities. (8) Non-Agency RMBS includes interest-only securities which represent 47.7% of principal/notional balance, 1.8% of amortized cost and 1.5% of fair value. (9) We have elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 26.1% 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. (10) GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. (11) CMBS includes interest-only securities which represent 18.5% of principal/notional balance, 0.7% of amortized cost and 0.7% of fair value. (12) We have elected the fair value option for CMBS purchased on or after September 1, 2016 which represent 10.6% of principal/notional balance, 11.3% of amortized cost and 11.0% of fair value. December 31, 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 3,460,625 151,526 3,612,151 (54,223 ) 3,557,928 3.11 % 2.19 % 1.99 % 30 year fixed-rate 2,780,806 185,521 2,966,327 15,390 2,981,717 4.37 % 2.61 % 2.57 % ARM 301,900 2,520 304,420 3,453 307,873 2.69 % 2.59 % 2.16 % Hybrid ARM 2,423,152 42,360 2,465,512 8,789 2,474,301 2.70 % 2.52 % 2.02 % Total Agency pass-through (4) 8,966,483 381,927 9,348,410 (26,591 ) 9,321,819 3.37 % 2.42 % 2.20 % Agency-CMO (5) 1,712,120 (1,368,916 ) 343,204 837 344,041 2.16 % 3.08 % 2.07 % Non-Agency RMBS (6)(7)(8) 3,838,314 (1,934,269 ) 1,904,045 91,506 1,995,551 2.21 % 5.22 % 5.22 % GSE CRT (9)(10) 707,899 24,320 732,219 35,981 768,200 2.38 % 1.51 % 1.24 % CMBS (11)(12) 3,050,747 (559,857 ) 2,490,890 60,830 2,551,720 3.80 % 4.21 % 4.17 % Total 18,275,563 (3,456,795 ) 14,818,768 162,563 14,981,331 3.05 % 3.05 % 2.87 % (1) Net weighted average coupon as of December 31, 2016 is presented net of servicing and other fees. (2) Period-end weighted average yield is based on amortized cost as of December 31, 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 average balance of the amortized cost of the investments. All yields are annualized. (4) We have elected the fair value option for Agency RMBS purchased on or after September 1, 2016 which represent 4.3% of principal/notional balance, 4.3% of amortized cost and 4.2% of fair value. (5) Agency collateralized mortgage obligation ("Agency CMO") includes interest-only securities ("Agency IO"), which represent 85.5% o f principal (notional) balance, 26.8% of amortized cost and 21.7% of fair value. (6) Non-Agency RMBS held by us is 45.5% variable rate, 47.2% fixed rate, and 7.3% floating rate based on fair value. (7) Of the total discount in non-Agency RMBS, $252.5 million is non-accretable based on estimated future cash flows of the securities. (8) Non-Agency RMBS includes interest-only securities, which represent 43.5% of principal/notional balance, 1.5% of amortized cost and 1.3% of fair value. (9) We have elected the fair value option for GSE CRT purchased on or after August 24, 2015, which represent 19.2% 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. (10) GSE CRT weighted average coupon and weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. (11) CMBS includes interest-only securities which represent 20.3% of principal/notional balance, 0.8% of amortized cost and 0.9% of fair value. (12) We have elected the fair value option for CMBS purchased on or after September 1, 2016 which represent 0.4% of principal/notional balance, 0.6% of amortized cost and 0.5% of fair value. |
Components of Non-Agency RMBS Portfolio by Asset Type | The following table summarizes our non-Agency RMBS portfolio by asset type based on fair value as of June 30, 2017 and December 31, 2016 . $ in thousands June 30, 2017 % of Non-Agency December 31, 2016 % of Non-Agency Prime 699,638 44.4 % 889,658 44.6 % Alt-A 421,492 26.7 % 447,213 22.4 % Re-REMIC 237,766 15.1 % 364,301 18.2 % Subprime/reperforming 216,944 13.8 % 294,379 14.8 % Total Non-Agency 1,575,840 100.0 % 1,995,551 100.0 % |
Components of Senior Re-REMIC at Fair Value | The following table summarizes the credit enhancement provided to our re-securitization of real estate mortgage investment conduit ("Re-REMIC") holdings as of June 30, 2017 and December 31, 2016 . Percentage of Re-REMIC Holdings at Fair Value Re-REMIC Subordination (1) June 30, 2017 December 31, 2016 0% - 10% 26.3 % 17.6 % 10% - 20% 3.9 % 7.4 % 20% - 30% 9.9 % 13.5 % 30% - 40% 19.4 % 15.7 % 40% - 50% 18.4 % 27.0 % 50% - 60% 20.3 % 16.1 % 60% - 70% 1.8 % 2.7 % Total 100.0 % 100.0 % (1) Subordination refers to the credit enhancement provided to the Re-REMIC tranche held by us 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 us. 48.3% of our 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 our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of June 30, 2017 and December 31, 2016 . $ in thousands June 30, 2017 December 31, 2016 Less than one year 117,913 121,076 Greater than one year and less than five years 8,306,399 6,719,923 Greater than or equal to five years 7,658,972 8,140,332 Total 16,083,284 14,981,331 |
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 our MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at June 30, 2017 and December 31, 2016 . June 30, 2017 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 2,534,116 (54,361 ) 129 111,912 (2,469 ) 19 2,646,028 (56,830 ) 148 30 year fixed-rate 1,351,307 (16,221 ) 59 507,832 (16,337 ) 27 1,859,139 (32,558 ) 86 ARM 82,986 (89 ) 9 — — — 82,986 (89 ) 9 Hybrid ARM 799,528 (4,824 ) 73 7,048 (105 ) 4 806,576 (4,929 ) 77 Total Agency pass-through (1) 4,767,937 (75,495 ) 270 626,792 (18,911 ) 50 5,394,729 (94,406 ) 320 Agency-CMO (2) 124,257 (5,340 ) 26 21,443 (1,012 ) 4 145,700 (6,352 ) 30 Non-Agency RMBS 113,298 (2,385 ) 23 166,184 (2,403 ) 24 279,482 (4,788 ) 47 CMBS (3) 487,895 (8,767 ) 42 19,970 (330 ) 5 507,865 (9,097 ) 47 Total 5,493,387 (91,987 ) 361 834,389 (22,656 ) 83 6,327,776 (114,643 ) 444 (1) Amounts disclosed include Agency RMBS with a fair value of $ 801.6 million for which the fair value option has been elected. Such securities have unrealized losses of $ 6.5 million . (2) Fair value includes unrealized losses on Agency IO of $3.9 million and unrealized losses on CMO of $2.4 million . (3) Amounts disclosed includes CMBS with a fair value of $168.0 million for which the fair value option has been elected. Such securities have unrealized losses of $2.3 million . December 31, 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 2,781,777 (66,506 ) 127 65,964 (1,556 ) 17 2,847,741 (68,062 ) 144 30 year fixed-rate 747,719 (15,409 ) 45 547,763 (18,004 ) 27 1,295,482 (33,413 ) 72 ARM 120,540 (326 ) 9 1,091 (7 ) 1 121,631 (333 ) 10 Hybrid ARM 1,356,687 (9,922 ) 99 252 (4 ) 2 1,356,939 (9,926 ) 101 Total Agency pass-through (1) 5,006,723 (92,163 ) 280 615,070 (19,571 ) 47 5,621,793 (111,734 ) 327 Agency-CMO (2) 163,114 (3,812 ) 28 22,792 (952 ) 3 185,906 (4,764 ) 31 Non-Agency RMBS 287,647 (7,861 ) 42 497,863 (6,671 ) 36 785,510 (14,532 ) 78 GSE CRT (3) — — — 35,935 (969 ) 3 35,935 (969 ) 3 CMBS (4) 401,016 (6,733 ) 36 47,219 (804 ) 6 448,235 (7,537 ) 42 Total 5,858,500 (110,569 ) 386 1,218,879 (28,967 ) 95 7,077,379 (139,536 ) 481 (1) Amounts disclosed include Agency RMBS with a fair value of $149.7 million for which the fair value option has been elected. Such securities have unrealized losses of $4.0 million . (2) Fair value includes unrealized losses on Agency IO of $3.0 million unrealized losses and unrealized losses on CMO of $1.7 million . (3) Fair value includes unrealized losses on both the debt host contract and the embedded derivative. (4) Amounts disclosed includes CMBS with a fair value of $13.9 million for which the fair value option has been elected. Such securities have unrealized losses of $613,000 . |
Changes in other than temporary impairment included in earnings | The following table represents the other-than-temporary impairment losses ("OTTI") included in earnings for the three and six months ended June 30, 2017 and 2016 : Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 RMBS interest-only securities 3,585 1,472 3,876 7,155 Non-Agency RMBS (1) 513 53 754 53 Total 4,098 1,525 4,630 7,208 (1) Amounts disclosed relate to credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income. |
Impact of MBS and GSE CRT on Accumulated Other Comprehensive Income | The following table summarizes the changes in accumulated other comprehensive income (loss) related to our GSE CRT debt host contracts and available-for-sale MBS for the three and six months ended June 30, 2017 and 2016 . We reclassify unrealized gains and losses from other comprehensive income to gain (loss) on investments, net when we sell our investments. The table excludes MBS and GSE CRT that are accounted for under the fair value option. As of June 30, 2017 , $3.1 billion or 19.3% of our MBS and GSE CRT are accounted for under the fair value option. Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Accumulated other comprehensive income (loss) from MBS and GSE CRT securities: Unrealized gain (loss) on MBS and GSE CRT at beginning of period 163,440 288,715 146,301 177,799 Unrealized gain (loss) on MBS and GSE CRT 39,633 117,116 55,922 238,576 Reclassification of unrealized (gain) loss on sale of MBS and GSE CRT to gain (loss) on investments, net 651 (1,037 ) 1,501 (11,581 ) Balance at the end of period 203,724 404,794 203,724 404,794 |
Realized Gain (Loss) on Investments | The following table summarizes the components of our total gain (loss) on investments, net for the three and six months ended June 30, 2017 and 2016 . Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Gross realized gains on sale of investments 1,311 1,037 2,215 14,052 Gross realized losses on sale of investments (1,962 ) — (3,873 ) (2,471 ) Other-than-temporary impairment losses (4,098 ) (1,525 ) (4,630 ) (7,208 ) Net unrealized gains and losses on MBS accounted for under the fair value option 7,715 1,266 4,113 7,942 Net unrealized gains and losses on GSE CRT accounted for under the fair value option 8,195 173 11,474 237 Net unrealized gains and losses on trading securities 14 463 23 463 Total gain (loss) on investments, net 11,175 1,414 9,322 13,015 |
Components of MBS and GSE CRT Interest Income | The following table presents components of interest income recognized on our MBS and GSE CRT portfolio for the three and six months ended June 30, 2017 and 2016 . GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. For the three months ended June 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency 91,979 (27,775 ) 64,204 Non-Agency 18,131 3,734 21,865 GSE CRT 5,556 (347 ) 5,209 CMBS 31,506 (1,852 ) 29,654 Other 95 — 95 Total 147,267 (26,240 ) 121,027 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 six months ended June 30, 2017 $ in thousands Coupon Net (Premium Interest Agency 183,210 (56,353 ) 126,857 Non-Agency 38,745 8,121 46,866 GSE CRT 10,043 (718 ) 9,325 CMBS 61,182 (4,486 ) 56,696 Other 156 — 156 Total 293,336 (53,436 ) 239,900 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 |
Commercial Loans Held-for-Inv28
Commercial Loans Held-for-Investment (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Receivables [Abstract] | |
Schedule of Commercial Loans Held-for-Investment | The following table summarizes commercial loans held-for-investment as of June 30, 2017 and December 31, 2016 that we purchased or originated. June 30, 2017 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) Mezzanine loans 10 279,121 (255 ) 278,866 8.50 % 1.4 Total 10 279,121 (255 ) 278,866 8.50 % 1.4 December 31, 2016 $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) Mezzanine loans 10 273,666 (311 ) 273,355 8.14 % 1.6 Total 10 273,666 (311 ) 273,355 8.14 % 1.6 (1) Weighted average years to maturity is based on the contractual maturity date. Certain loans may contain either an option to prepay or an option to extend beyond their contractual maturity dates as specified in the respective loan agreements. |
Other Assets (Tables)
Other Assets (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Schedule of Investments [Abstract] | |
Summary of Company's Other Investments | The following table summarizes our other assets as of June 30, 2017 and December 31, 2016 . $ in thousands June 30, 2017 December 31, 2016 FHLBI stock 74,250 74,250 Investments in unconsolidated ventures 23,311 33,301 Investment in exchange-traded fund 3,979 500 Prepaid expenses and other assets 888 1,246 Total 102,428 109,297 |
Borrowings (Tables)
Borrowings (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Debt Disclosure [Abstract] | |
Schedule of Borrowings | The following table summarizes certain characteristics of our borrowings at June 30, 2017 and December 31, 2016 . Refer to Note 8 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans. $ in thousands June 30, 2017 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 9,227,679 1.29 % 20 Non-Agency RMBS 1,130,943 2.50 % 29 GSE CRT 661,432 2.58 % 7 CMBS 1,098,894 2.33 % 16 Total Repurchase Agreements 12,118,948 1.56 % 21 Secured Loans 1,650,000 1.23 % 2,501 Exchangeable Senior Notes (1) 218,755 5.00 % 258 Total Borrowings 13,987,703 1.58 % 317 $ in thousands December 31, 2016 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 8,148,220 0.93 % 32 Non-Agency RMBS 1,519,859 2.06 % 28 GSE CRT 547,872 2.25 % 16 CMBS 944,718 1.86 % 16 Total Repurchase Agreements 11,160,669 1.23 % 30 Secured Loans 1,650,000 0.74 % 2,682 Exchangeable Senior Notes (1) 400,000 5.00 % 439 Total Borrowings 13,210,669 1.28 % 373 (1) The carrying value of exchangeable senior notes is $217.8 million and $397.0 million as of June 30, 2017 and December 31, 2016 , respectively. The carrying value is net of unamortized debt issuance costs of $1.0 million and $3.0 million as of June 30, 2017 and December 31, 2016 , respectively. |
Schedule of Maturities of Outstanding Borrowings | The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of June 30, 2018 12,337,703 2019 — 2020 300,000 2021 100,000 2022 — Thereafter 1,250,000 Total 13,987,703 |
Schedule of Repurchase Agreements by Counterparties | The following tables summarize certain characteristics of our repurchase agreements and secured loans at June 30, 2017 and December 31, 2016 . June 30, 2017 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC Securities (USA) Inc. 1,315,644 9.5 % 1,383,316 ING Financial Market LLC 1,270,181 9.2 % 1,336,963 Pierpont Securities LLC 1,125,511 8.2 % 1,181,071 Royal Bank of Canada 1,073,515 7.8 % 1,258,618 Mitsubishi UFJ Securities (USA), Inc. 653,956 4.7 % 691,437 E D & F Man Capital Markets Inc. 621,813 4.5 % 653,306 Scotia Capital 605,826 4.4 % 630,441 Citigroup Global Markets Inc. 552,926 4.0 % 656,821 Industrial and Commercial Bank of China Financial Services LLC 524,907 3.8 % 550,286 South Street Securities LLC 485,749 3.5 % 514,435 KGS-Alpha Capital Markets, L.P. 481,965 3.5 % 506,387 Goldman, Sachs & Co. 467,361 3.4 % 586,400 JP Morgan Securities Inc. 411,296 3.0 % 476,473 Societe Generale 395,937 2.9 % 509,082 Guggenheim Liquidity Services, LLC 329,375 2.4 % 346,416 Mizuho Securities USA Inc. 329,168 2.4 % 347,282 Natixis, New York Branch 302,566 2.2 % 327,418 BNP Paribas Securities Corp. 283,528 2.1 % 326,548 Daiwa Capital Markets America Inc. 218,702 1.6 % 230,239 All other counterparties (2) 669,022 4.9 % 857,358 Total Repurchase Agreement Counterparties 12,118,948 88.0 % 13,370,297 Secured Loans Counterparty: FHLBI 1,650,000 12.0 % 1,941,665 Total 13,768,948 100.0 % 15,311,962 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2016 . (2) Represents amounts outstanding with seven counterparties. December 31, 2016 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC Securities (USA) Inc. 1,401,966 11.2 % 1,468,793 ING Financial Market LLC 1,142,200 8.9 % 1,216,492 Royal Bank of Canada 1,098,631 8.6 % 1,293,336 Industrial and Commercial Bank of China Financial Services LLC 707,616 5.5 % 748,503 Mitsubishi UFJ Securities (USA), Inc. 703,382 5.5 % 740,404 Pierpont Securities LLC 681,853 5.3 % 717,663 South Street Securities LLC 675,660 5.3 % 713,330 Goldman, Sachs & Co. 486,430 3.8 % 623,400 Scotia Capital 479,105 3.7 % 500,578 JP Morgan Securities Inc. 477,947 3.7 % 554,494 KGS-Alpha Capital Markets, L.P. 441,541 3.4 % 475,858 Citigroup Global Markets Inc. 427,185 3.3 % 534,875 E D & F Man Capital Markets Inc. 405,615 3.2 % 430,896 Guggenheim Liquidity Services, LLC 356,149 2.8 % 377,030 Natixis, New York Branch 336,202 2.6 % 362,432 Societe Generale 325,393 2.5 % 427,200 BNP Paribas Securities Corp. 307,641 2.4 % 346,484 All other counterparties (2) 706,153 5.4 % 912,536 Total Repurchase Agreement Counterparties: 11,160,669 87.1 % 12,444,304 Secured Loans Counterparty: FHLBI 1,650,000 12.9 % 1,931,582 Total 12,810,669 100.0 % 14,375,886 (1) Amount pledged as collateral is measured at fair value as described in Note 2 - "Summary of Significant Accounting Policies" included in the consolidated financial statements of our Annual Report on Form 10-K for the year ended December 31, 2016 . (2) Represents amounts outstanding with seven counterparties. |
Collateral Positions (Tables)
Collateral Positions (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Collateral Hold and Pledged | The following table summarizes the fair value of collateral that we have pledged and held under our repurchase agreements, secured loans, interest rate swaps and currency forward contracts as of June 30, 2017 and December 31, 2016 . Refer to Note 2 - "Summary of Significant Accounting Policies - Fair Value Measurements" of our consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, 2016 for a description of how we determine fair value. RMBS, CMBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our consolidated balance sheets. Cash collateral pledged on bilateral swaps and currency forward contracts is classified as due from counterparties on our consolidated balance sheets. Cash collateral held on bilateral swaps that is not restricted for use is included in cash and cash equivalents on our consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of June 30, 2017 and December 31, 2016 , we did not recognize any non-cash collateral held. Collateral Pledged June 30, 2017 December 31, 2016 Repurchase Agreements: Agency RMBS 9,711,706 8,654,233 Non-Agency RMBS 1,424,646 1,887,550 GSE CRT 874,493 734,212 CMBS 1,359,452 1,168,309 Total repurchase agreements collateral pledged 13,370,297 12,444,304 Secured Loans: Agency RMBS 596,514 585,504 CMBS 1,345,151 1,346,078 Total secured loans collateral pledged 1,941,665 1,931,582 Interest Rate Swaps and Currency Forward Contracts: Agency RMBS 55,188 46,312 Cash 1,246 86,450 Total interest rate swaps and currency forward contracts collateral pledged (1) 56,434 132,762 Total: Mortgage-backed and GSE CRT securities 15,367,150 14,422,198 Cash 1,246 86,450 Total collateral pledged 15,368,396 14,508,648 Collateral Held June 30, 2017 December 31, 2016 Interest Rate Swaps: Cash 3,471 1,700 Non-cash collateral — 536 Total collateral held 3,471 2,236 (1) Cash collateral pledged on our currency forward contracts was $980,000 as of June 30, 2017 . We did no t pledge any collateral on our currency forward contracts as of December 31, 2016 . |
Derivatives and Hedging Activ32
Derivatives and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Outstanding Interest Rate Swaptions and Derivative Instrument Information | The following table summarizes changes in the notional amount of our derivative instruments during 2017 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps 6,500,000 1,400,000 — 7,900,000 Currency Forward Contracts 62,308 137,860 (131,575 ) 68,593 Credit Derivatives 569,966 — (5,729 ) 564,237 Total 7,132,274 1,537,860 (137,304 ) 8,532,830 |
Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges | As of June 30, 2017 , we had the following interest rate swaps outstanding: $ in thousands Counterparty Notional Maturity Date Fixed Interest Rate 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 450,000 1/12/2024 2.10 % CME Central Clearing 450,000 1/25/2024 2.15 % CME Central Clearing 100,000 4/2/2025 2.04 % CME Central Clearing (1 ) 250,000 5/24/2028 2.78 % CME Central Clearing (1 ) 250,000 5/24/2028 2.39 % Total 7,900,000 2.17 % (1) Forward start date of 5/24/2018 |
Disclosure of Credit Derivatives | At June 30, 2017 and December 31, 2016 , terms of the GSE CRT embedded derivatives are: $ in thousand June 30, 2017 December 31, 2016 Fair value amount 46,802 17,095 Notional amount 564,237 569,966 Maximum potential amount of future undiscounted payments 564,237 569,966 |
Fair Value of Derivative Financial Instruments and Classification on Balance Sheet | The table below presents the fair value of our derivative financial instruments, as well as their classification on the condensed consolidated balance sheets as of June 30, 2017 and December 31, 2016 . $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2017 As of December 31, 2016 As of June 30, 2017 As of December 31, 2016 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 11,005 3,085 Interest Rate Swaps Liability 43,047 133,833 Currency Forward Contracts — 101 Currency Forward Contracts 1,100 395 |
Effect of Derivative Financial Instruments on Statement of Operations | The tables below present the effect of our credit derivatives on the condensed consolidated statements of operations for the three and six months ended June 30, 2017 and 2016 . $ in thousands Three months ended June 30, 2017 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 5,844 15,559 21,403 $ in thousands Three months ended June 30, 2016 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (5,097 ) 6,112 16,213 17,228 $ in thousands Six months ended June 30, 2017 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 11,651 29,707 41,358 $ in thousands Six months ended June 30, 2016 Derivative not designated as hedging instrument Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized gain (loss), net Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (6,017 ) 12,426 19,229 25,638 The following table summarizes the effect of interest rate swaps, interest rate swaptions 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, 2017 and 2016 : $ in thousands Three months ended June 30, 2017 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (38,512 ) (19,966 ) 7,975 (50,503 ) Currency Forward Contracts (1,717 ) — (1,293 ) (3,010 ) Total (40,229 ) (19,966 ) 6,682 (53,513 ) $ in thousands Three months ended June 30, 2016 Derivative Realized gain (loss) on derivative instruments, net Contractual net 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, 2017 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest expense Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (22,518 ) (42,860 ) 20,925 (44,453 ) Currency Forward Contracts (2,793 ) — (805 ) (3,598 ) Total (25,311 ) (42,860 ) 20,120 (48,051 ) $ in thousands Six months ended June 30, 2016 Derivative Realized gain (loss) on derivative instruments, net Contractual net 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 ) |
Offsetting Assets and Liabili33
Offsetting Assets and Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Offsetting [Abstract] | |
Offsetting Derivative Assets | Offsetting of Derivative Assets As of June 30, 2017 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 Cash Collateral Received Net Amount Derivatives (1) (4) 3,706 — 3,706 — (3,445 ) 261 Total 3,706 — 3,706 — (3,445 ) 261 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2017 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) Cash Collateral Pledged Net Amount Derivatives (4) 44,147 — 44,147 (43,047 ) (980 ) 120 Repurchase Agreements (3) 12,118,948 — 12,118,948 (12,118,948 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 13,813,095 — 13,813,095 (13,811,995 ) (980 ) 120 Offsetting of Derivative Assets As of December 31, 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 Cash Collateral Received Net Amount Derivatives (1) (4) 3,186 — 3,186 (1,640 ) (1,546 ) — Total 3,186 — 3,186 (1,640 ) (1,546 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 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) Cash Collateral Pledged Net Amount Derivatives (4) 134,228 — 134,228 (45,738 ) (85,787 ) 2,703 Repurchase Agreements (3) 11,160,669 — 11,160,669 (11,160,669 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 12,944,897 — 12,944,897 (12,856,407 ) (85,787 ) 2,703 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2017 and December 31, 2016 , 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 our borrowing under repurchase agreements was $13.4 billion and $12.4 billion at June 30, 2017 and December 31, 2016 , respectively. (4) Cash collateral received on our derivatives was $3.5 million and $1.7 million at June 30, 2017 and December 31, 2016 , respectively. We did not receive any non-cash collateral on our derivatives at June 30, 2017 . Non-cash collateral received on our derivatives was $536,000 at December 31, 2016 . Cash collateral pledged by us on our derivatives was $86.5 million at December 31, 2016 . As a result of the CME rule change effective January 3, 2017, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the table above at June 30, 2017 . (5) The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $1.9 billion at June 30, 2017 and December 31, 2016 , respectively. |
Offsetting Derivative Liabilities | Offsetting of Derivative Assets As of June 30, 2017 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 Cash Collateral Received Net Amount Derivatives (1) (4) 3,706 — 3,706 — (3,445 ) 261 Total 3,706 — 3,706 — (3,445 ) 261 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2017 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) Cash Collateral Pledged Net Amount Derivatives (4) 44,147 — 44,147 (43,047 ) (980 ) 120 Repurchase Agreements (3) 12,118,948 — 12,118,948 (12,118,948 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 13,813,095 — 13,813,095 (13,811,995 ) (980 ) 120 Offsetting of Derivative Assets As of December 31, 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 Cash Collateral Received Net Amount Derivatives (1) (4) 3,186 — 3,186 (1,640 ) (1,546 ) — Total 3,186 — 3,186 (1,640 ) (1,546 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 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) Cash Collateral Pledged Net Amount Derivatives (4) 134,228 — 134,228 (45,738 ) (85,787 ) 2,703 Repurchase Agreements (3) 11,160,669 — 11,160,669 (11,160,669 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 12,944,897 — 12,944,897 (12,856,407 ) (85,787 ) 2,703 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2017 and December 31, 2016 , 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 our borrowing under repurchase agreements was $13.4 billion and $12.4 billion at June 30, 2017 and December 31, 2016 , respectively. (4) Cash collateral received on our derivatives was $3.5 million and $1.7 million at June 30, 2017 and December 31, 2016 , respectively. We did not receive any non-cash collateral on our derivatives at June 30, 2017 . Non-cash collateral received on our derivatives was $536,000 at December 31, 2016 . Cash collateral pledged by us on our derivatives was $86.5 million at December 31, 2016 . As a result of the CME rule change effective January 3, 2017, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the table above at June 30, 2017 . (5) The fair value of securities pledged against IAS Services LLC's borrowing under secured loans was $1.9 billion at June 30, 2017 and December 31, 2016 , respectively. |
Fair Value of Financial Instr34
Fair Value of Financial Instruments (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measured on Recurring Basis | The following tables present our assets and liabilities measured at fair value on a recurring basis. June 30, 2017 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Fair Value Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 16,036,482 46,802 — 16,083,284 Derivative assets — 11,005 — — 11,005 Other assets (4) 3,979 — — 23,311 27,290 Total assets 3,979 16,047,487 46,802 23,311 16,121,579 Liabilities: Derivative liabilities — 44,147 — — 44,147 Total liabilities — 44,147 — — 44,147 December 31, 2016 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 14,964,236 17,095 — 14,981,331 Derivative assets — 3,186 — — 3,186 Other assets (4) 500 — — 33,301 33,801 Total assets 500 14,967,422 17,095 33,301 15,018,318 Liabilities: Derivative liabilities — 134,228 — — 134,228 Total liabilities — 134,228 — — 134,228 (1) For more detail about the fair value of our MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." (2) Our GSE CRTs purchased prior to August 24, 2015 are accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of June 30, 2017 , the net embedded derivative asset position of $46.8 million includes $47.7 million of embedded derivatives in an asset position and $900,000 of embedded derivatives in a liability position. As of December 31, 2016 , the net embedded derivative asset position of $17.1 million includes $21.0 million of embedded derivatives in an asset position and $3.9 million of embedded derivatives in a liability position. (3) Investments in unconsolidated ventures are valued using the net asset value ("NAV") as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of June 30, 2017 and December 31, 2016 , the weighted average remaining term of investments in unconsolidated ventures is 1.8 and 1.3 years, respectively. (4) Includes $4.0 million and $0.5 million of investment in an exchange-traded fund as of June 30, 2017 and December 31, 2016 , respectively. |
Embedded Derivatives Level 3 Roll Forward | The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs: Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Beginning balance 31,243 (22,706 ) 17,095 (25,722 ) Sales and settlements — 5,097 — 6,017 Total net gains / (losses) included in net income: — — — Realized gains/(losses), net — (5,097 ) — (6,017 ) Unrealized gains/(losses), net (1) 15,559 16,213 29,707 19,229 Ending balance 46,802 (6,493 ) 46,802 (6,493 ) (1) Included in realized and unrealized credit derivative income (loss), net in the condensed consolidated statements of operations for the three months ended June 30, 2017 and 2016 , are $15.6 million and $11.1 million in net unrealized gains attributable to assets still held as of June 30, 2017 and June 30, 2016 , respectively. Included in realized and unrealized credit derivative income (loss), net in the condensed consolidated statements of operations for the six months ended June 30, 2017 and 2016 , are $29.7 million and $12.6 million in net unrealized gains attributable to assets still held as of June 30, 2017 and June 30, 2016 , respectively. We did not reverse any unrealized gains or losses on securities sold in the three and six months ended June 30, 2017 . During the three and six months ended June 30, 2016 , we reversed unrealized losses on securities sold during the period of $5.1 million and $6.0 million , respectively. |
Embedded Derivatives Fair Value Inputs | The following table summarizes significant unobservable inputs used in the fair value measurement of our GSE CRT embedded derivatives: Fair Value at Valuation Unobservable Weighted $ in thousands June 30, 2017 Technique Input Range Average GSE CRT Embedded Derivatives 46,802 Market Comparables, Vendor Pricing Weighted average life 3.7 - 7.5 years 5.7 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2016 Technique Input Range Average GSE CRT Embedded Derivatives 17,095 Market Comparables, Vendor Pricing Weighted average life 2.5 - 7.7 years 5.3 years |
Carrying Value and Estimated Fair Value of Financial Instruments | The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at June 30, 2017 and December 31, 2016 : June 30, 2017 December 31, 2016 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 278,866 280,257 273,355 275,319 Other assets 74,250 74,250 74,250 74,250 Total 353,116 354,507 347,605 349,569 Financial Liabilities Repurchase agreements 12,118,948 12,118,722 11,160,669 11,161,034 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes 217,804 220,943 397,041 400,000 Total 13,986,752 13,989,665 13,207,710 13,211,034 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Equity [Abstract] | |
Schedule of accumulated other comprehensive income | The following tables present the components of accumulated other comprehensive income. The tables exclude MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 39,633 — 39,633 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 651 — 651 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,369 ) (6,369 ) Currency translation adjustments on investment in unconsolidated venture 139 — — 139 Other comprehensive income/(loss), net 139 40,284 (6,369 ) 34,054 Balance at beginning of period (512 ) 161,381 142,896 303,765 Other comprehensive income/(loss), net 139 40,284 (6,369 ) 34,054 Other comprehensive income/(loss) attributable to non-controlling interest (2 ) (508 ) 81 (429 ) Rebalancing of ownership percentage of non-controlling interest — 1 — 1 Balance at end of period (375 ) 201,158 136,608 337,391 Three Months Ended June 30, 2016 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 117,116 — 117,116 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (1,037 ) — (1,037 ) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — 3,238 3,238 Currency translation adjustments on investment in unconsolidated venture 274 — — 274 Other comprehensive income/(loss), net 274 116,079 3,238 119,591 Balance at beginning of period (79 ) 279,916 161,036 440,873 Other comprehensive income/(loss), net 274 116,079 3,238 119,591 Other comprehensive income/(loss) attributable to non-controlling interest (5 ) (1,464 ) (41 ) (1,510 ) Balance at end of period 190 394,531 164,233 558,954 Six Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 55,922 — 55,922 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 1,501 — 1,501 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (12,667 ) (12,667 ) Currency translation adjustments on investment in unconsolidated venture (476 ) — — (476 ) Other comprehensive income/(loss), net (476 ) 57,423 (12,667 ) 44,280 Balance at beginning of period 95 144,458 149,115 293,668 Other comprehensive income/(loss), net (476 ) 57,423 (12,667 ) 44,280 Other comprehensive income/(loss) attributable to non-controlling interest 6 (724 ) 160 (558 ) Rebalancing of ownership percentage of non-controlling interest — 1 — 1 Balance at end of period (375 ) 201,158 136,608 337,391 Six Months Ended June 30, 2016 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Other comprehensive income/(loss), net Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 238,576 — 238,576 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (11,581 ) — (11,581 ) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — 16,162 16,162 Currency translation adjustments on investment in unconsolidated venture 225 — — 225 Other comprehensive income/(loss), net 225 226,995 16,162 243,382 Balance at beginning of period (32 ) 170,383 148,273 318,624 Other comprehensive income/(loss), net 225 226,995 16,162 243,382 Other comprehensive income/(loss) attributable to non-controlling interest (3 ) (2,847 ) (202 ) (3,052 ) Balance at end of period 190 394,531 164,233 558,954 |
Schedule of Nonvested Restricted Stock Units Activity | The following table summarizes the activity related to restricted stock units awarded to employees of our Manager and its affiliates for the three and six months ended June 30, 2017 . Three Months Ended June 30, Six Months Ended June 30, 2017 2017 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 19,827 $ 14.35 18,807 $ 14.37 Shares granted during the period — — 8,115 15.55 Shares vested during the period — — (7,095 ) 15.78 Unvested at the end of the period 19,827 $ 14.35 19,827 $ 14.35 (1) The grant date fair value of restricted stock awards is based on the closing market price of our common stock at the grant date. |
Earnings per Common Share (Tabl
Earnings per Common Share (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings per share for the three and six months ended June 30, 2017 and 2016 is computed as follows: Three Months Ended Six Months Ended In thousands except per share amounts 2017 2016 2017 2016 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders 46,834 (11,617 ) 133,964 (167,777 ) Effect of dilutive securities: Income allocated to exchangeable senior notes 3,504 — 8,512 — Income (loss) allocated to non-controlling interest 670 (75 ) 1,856 (1,958 ) Dilutive net income (loss) available to stockholders 51,008 (11,692 ) 144,332 (169,735 ) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 111,608 111,581 111,603 112,362 Effect of dilutive securities: Restricted stock awards 20 — 20 — OP units 1,425 1,425 1,425 1,425 Exchangeable senior notes 10,507 — 12,782 — Dilutive Shares 123,560 113,006 125,830 113,787 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic 0.42 (0.10 ) 1.20 (1.49 ) Diluted 0.41 (0.10 ) 1.15 (1.49 ) |
Non-controlling Interest - Op37
Non-controlling Interest - Operating Partnership (Tables) | 6 Months Ended |
Jun. 30, 2017 | |
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, 2017 and 2016 . Three Months Ended Six Months Ended $ in thousands 2017 2016 2017 2016 Net income (loss) allocated 670 (75 ) 1,856 (1,958 ) Distributions paid 570 570 1,140 1,140 |
Organization and Business Ope38
Organization and Business Operations (Detail) - segment | 6 Months Ended | |
Jun. 30, 2017 | Dec. 31, 2016 | |
Organization And Business Operations | ||
Ownership interest in Operating Partnership | 98.70% | |
Ownership percentage in Operating Partnership | 1.30% | 1.30% |
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% |
Variable Interest Entities ("39
Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Variable Interest Entity | ||
Carrying Amount | $ 16,083,284 | $ 14,981,331 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity | ||
Carrying Amount | 4,376,667 | |
Company's Maximum Risk of Loss | 4,376,667 | |
Variable Interest Entity, Not Primary Beneficiary | CMBS | ||
Variable Interest Entity | ||
Carrying Amount | 2,777,516 | |
Company's Maximum Risk of Loss | 2,777,516 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS | ||
Variable Interest Entity | ||
Carrying Amount | 1,575,840 | |
Company's Maximum Risk of Loss | 1,575,840 | |
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures | ||
Variable Interest Entity | ||
Carrying Amount | 23,311 | |
Company's Maximum Risk of Loss | $ 23,311 |
Mortgage-Backed and Credit Ri40
Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2017 | Dec. 31, 2016 | |
Schedule of Available-for-sale Securities | ||
Principal/ Notional Balance | $ 18,928,963 | $ 18,275,563 |
Unamortized Premium (Discount) | (3,110,959) | (3,456,795) |
Amortized Cost | 15,818,004 | 14,818,768 |
Unrealized Gain/ (Loss), net | 265,280 | 162,563 |
Fair value | $ 16,083,284 | $ 14,981,331 |
Net Weighted Average Coupon | 3.17% | 3.05% |
Period- end Weighted Average Yield | 3.30% | 3.05% |
Quarterly Weighted Average Yield | 3.07% | 2.87% |
Percentage of agency collateralized mortgage obligations interest only securities, principal balance | 84.30% | 85.50% |
Percentage of agency collateralized mortgage obligations interest only securities, amortized cost | 24.10% | 26.80% |
Percentage of agency collateralized mortgage obligations interest only securities, fair value | 23.90% | 21.70% |
Unamortized premium (discount) non-accretable portion | $ 258,200 | $ 252,500 |
Percentage of Non-Agency RMBS interest-only, principal balance | 47.70% | 43.50% |
Percentage of Non-Agency RMBS interest-only, amortized cost | 1.80% | 1.50% |
Percentage of Non-Agency RMBS interest only, fair value | 1.50% | 1.30% |
Percentage of government sponsored enterprise credit risk transfer securities | 26.10% | 19.20% |
Percentage of CMBS interest only, principal balance | 18.50% | 20.30% |
Percentage of CMBS interest only, amortized cost | 0.70% | 0.80% |
Percentage of CMBS interest only, fair value | 0.70% | 0.90% |
On or After September 1, 2016 | ||
Schedule of Available-for-sale Securities | ||
Fair value option, percentage of RMBS, principal balance | 23.70% | 4.30% |
Fair value option, percentage of RMBS, amortized cost | 23.50% | 4.30% |
Fair value option, percentage of RMBS, fair value | 23.50% | 4.20% |
Fair value option, percentage of CMBS, principal balance | 10.60% | 0.40% |
Fair value option, percentage of CMBS, amortized cost | 11.30% | 0.60% |
Fair value option, percentage of CMBS, fair value | 11.00% | 0.50% |
Agency RMBS | ||
Schedule of Available-for-sale Securities | ||
Principal/ Notional Balance | $ 10,164,365 | $ 8,966,483 |
Unamortized Premium (Discount) | 399,328 | 381,927 |
Amortized Cost | 10,563,693 | 9,348,410 |
Unrealized Gain/ (Loss), net | (9,208) | (26,591) |
Fair value | $ 10,554,485 | $ 9,321,819 |
Net Weighted Average Coupon | 3.42% | 3.37% |
Period- end Weighted Average Yield | 2.69% | 2.42% |
Quarterly Weighted Average Yield | 2.44% | 2.20% |
Agency RMBS | 15 year fixed-rate | ||
Schedule of Available-for-sale Securities | ||
Principal/ Notional Balance | $ 3,187,931 | $ 3,460,625 |
Unamortized Premium (Discount) | 134,856 | 151,526 |
Amortized Cost | 3,322,787 | 3,612,151 |
Unrealized Gain/ (Loss), net | (46,007) | (54,223) |
Fair value | $ 3,276,780 | $ 3,557,928 |
Net Weighted Average Coupon | 3.09% | 3.11% |
Period- end Weighted Average Yield | 2.19% | 2.19% |
Quarterly Weighted Average Yield | 1.97% | 1.99% |
Agency RMBS | 30 year fixed-rate | ||
Schedule of Available-for-sale Securities | ||
Principal/ Notional Balance | $ 4,816,054 | $ 2,780,806 |
Unamortized Premium (Discount) | 232,385 | 185,521 |
Amortized Cost | 5,048,439 | 2,966,327 |
Unrealized Gain/ (Loss), net | 20,677 | 15,390 |
Fair value | $ 5,069,116 | $ 2,981,717 |
Net Weighted Average Coupon | 3.95% | 4.37% |
Period- end Weighted Average Yield | 3.10% | 2.61% |
Quarterly Weighted Average Yield | 2.83% | 2.57% |
Agency RMBS | ARM | ||
Schedule of Available-for-sale Securities | ||
Principal/ Notional Balance | $ 269,123 | $ 301,900 |
Unamortized Premium (Discount) | 1,988 | 2,520 |
Amortized Cost | 271,111 | 304,420 |
Unrealized Gain/ (Loss), net | 3,463 | 3,453 |
Fair value | $ 274,574 | $ 307,873 |
Net Weighted Average Coupon | 2.68% | 2.69% |
Period- end Weighted Average Yield | 2.58% | 2.59% |
Quarterly Weighted Average Yield | 2.27% | 2.16% |
Agency RMBS | Hybrid ARM | ||
Schedule of Available-for-sale Securities | ||
Principal/ Notional Balance | $ 1,891,257 | $ 2,423,152 |
Unamortized Premium (Discount) | 30,099 | 42,360 |
Amortized Cost | 1,921,356 | 2,465,512 |
Unrealized Gain/ (Loss), net | 12,659 | 8,789 |
Fair value | $ 1,934,015 | $ 2,474,301 |
Net Weighted Average Coupon | 2.71% | 2.70% |
Period- end Weighted Average Yield | 2.54% | 2.52% |
Quarterly Weighted Average Yield | 2.29% | 2.02% |
Agency-CMO | ||
Schedule of Available-for-sale Securities | ||
Principal/ Notional Balance | $ 1,429,977 | $ 1,712,120 |
Unamortized Premium (Discount) | (1,129,678) | (1,368,916) |
Amortized Cost | 300,299 | 343,204 |
Unrealized Gain/ (Loss), net | (2,033) | 837 |
Fair value | $ 298,266 | $ 344,041 |
Net Weighted Average Coupon | 2.04% | 2.16% |
Period- end Weighted Average Yield | 2.87% | 3.08% |
Quarterly Weighted Average Yield | 0.34% | 2.07% |
Non-Agency RMBS | ||
Schedule of Available-for-sale Securities | ||
Principal/ Notional Balance | $ 3,247,516 | $ 3,838,314 |
Unamortized Premium (Discount) | (1,793,760) | (1,934,269) |
Amortized Cost | 1,453,756 | 1,904,045 |
Unrealized Gain/ (Loss), net | 122,084 | 91,506 |
Fair value | $ 1,575,840 | $ 1,995,551 |
Net Weighted Average Coupon | 2.18% | 2.21% |
Period- end Weighted Average Yield | 5.80% | 5.22% |
Quarterly Weighted Average Yield | 5.90% | 5.22% |
Non-Agency RMBS | Variable Rate | ||
Schedule of Available-for-sale Securities | ||
Percentage of non-agency securities classified as variable rate | 48.00% | 45.50% |
Non-Agency RMBS | Fixed Rate | ||
Schedule of Available-for-sale Securities | ||
Percentage of non-agency securities classified as fixed rate | 43.80% | 47.20% |
Non-Agency RMBS | Floating Rate | ||
Schedule of Available-for-sale Securities | ||
Percentage of non-agency securities classified as floating rate | 8.20% | 7.30% |
GSE CRT | ||
Schedule of Available-for-sale Securities | ||
Principal/ Notional Balance | $ 769,217 | $ 707,899 |
Unamortized Premium (Discount) | 25,537 | 24,320 |
Amortized Cost | 794,754 | 732,219 |
Unrealized Gain/ (Loss), net | 82,423 | 35,981 |
Fair value | $ 877,177 | $ 768,200 |
Net Weighted Average Coupon | 3.06% | 2.38% |
Period- end Weighted Average Yield | 2.40% | 1.51% |
Quarterly Weighted Average Yield | 2.62% | 1.24% |
CMBS | ||
Schedule of Available-for-sale Securities | ||
Principal/ Notional Balance | $ 3,317,888 | $ 3,050,747 |
Unamortized Premium (Discount) | (612,386) | (559,857) |
Amortized Cost | 2,705,502 | 2,490,890 |
Unrealized Gain/ (Loss), net | 72,014 | 60,830 |
Fair value | $ 2,777,516 | $ 2,551,720 |
Net Weighted Average Coupon | 3.90% | 3.80% |
Period- end Weighted Average Yield | 4.62% | 4.21% |
Quarterly Weighted Average Yield | 4.45% | 4.17% |
Mortgage-Backed and Credit Ri41
Mortgage-Backed and Credit Risk Transfer Securities - Components of Non-Agency RMBS Portfolio By Asset Type (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities | ||
Non-Agency RMBS, at fair value | $ 16,083,284 | $ 14,981,331 |
Non-Agency RMBS | ||
Schedule of Available-for-sale Securities | ||
Non-Agency RMBS, at fair value | $ 1,575,840 | $ 1,995,551 |
Percentage Of Non-Agency | 100.00% | 100.00% |
Non-Agency RMBS | Prime | ||
Schedule of Available-for-sale Securities | ||
Non-Agency RMBS, at fair value | $ 699,638 | $ 889,658 |
Percentage Of Non-Agency | 44.40% | 44.60% |
Non-Agency RMBS | Alt-A | ||
Schedule of Available-for-sale Securities | ||
Non-Agency RMBS, at fair value | $ 421,492 | $ 447,213 |
Percentage Of Non-Agency | 26.70% | 22.40% |
Non-Agency RMBS | Re-REMIC | ||
Schedule of Available-for-sale Securities | ||
Non-Agency RMBS, at fair value | $ 237,766 | $ 364,301 |
Percentage Of Non-Agency | 15.10% | 18.20% |
Non-Agency RMBS | Subprime/reperforming | ||
Schedule of Available-for-sale Securities | ||
Non-Agency RMBS, at fair value | $ 216,944 | $ 294,379 |
Percentage Of Non-Agency | 13.80% | 14.80% |
Mortgage-Backed and Credit Ri42
Mortgage-Backed and Credit Risk Transfer Securities - Components of Senior Re-REMIC at Fair Value (Detail) | 6 Months Ended | |
Jun. 30, 2017 | Dec. 31, 2016 | |
Schedule of Available-for-sale Securities | ||
Percentage of Re-REMIC Holdings at Fair Value | 100.00% | 100.00% |
Re-REMIC holdings that are not senior class (percentage) | 48.30% | |
0% - 10% | ||
Schedule of Available-for-sale Securities | ||
Percentage of Re-REMIC Holdings at Fair Value | 26.30% | 17.60% |
10% - 20% | ||
Schedule of Available-for-sale Securities | ||
Percentage of Re-REMIC Holdings at Fair Value | 3.90% | 7.40% |
20% - 30% | ||
Schedule of Available-for-sale Securities | ||
Percentage of Re-REMIC Holdings at Fair Value | 9.90% | 13.50% |
30% - 40% | ||
Schedule of Available-for-sale Securities | ||
Percentage of Re-REMIC Holdings at Fair Value | 19.40% | 15.70% |
40% - 50% | ||
Schedule of Available-for-sale Securities | ||
Percentage of Re-REMIC Holdings at Fair Value | 18.40% | 27.00% |
50% - 60% | ||
Schedule of Available-for-sale Securities | ||
Percentage of Re-REMIC Holdings at Fair Value | 20.30% | 16.10% |
60% - 70% | ||
Schedule of Available-for-sale Securities | ||
Percentage of Re-REMIC Holdings at Fair Value | 1.80% | 2.70% |
Mortgage-Backed and Credit Ri43
Mortgage-Backed and Credit Risk Transfer Securities - Components of Carrying Value of Investment Portfolio (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Investments, Debt and Equity Securities [Abstract] | ||
Principal balance | $ 18,928,963 | $ 18,275,563 |
Unamortized premium | 484,242 | 476,314 |
Unamortized discount | (3,595,201) | (3,933,109) |
Gross unrealized gains | 379,923 | 302,099 |
Gross unrealized losses | (114,643) | (139,536) |
Fair value | $ 16,083,284 | $ 14,981,331 |
Mortgage-Backed and Credit Ri44
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, 2017 | Dec. 31, 2016 |
Investments, Debt and Equity Securities [Abstract] | ||
Less than one year | $ 117,913 | $ 121,076 |
Greater than one year and less than five years | 8,306,399 | 6,719,923 |
Greater than or equal to five years | 7,658,972 | 8,140,332 |
Fair value | $ 16,083,284 | $ 14,981,331 |
Mortgage-Backed and Credit Ri45
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, 2017USD ($)security | Dec. 31, 2016USD ($)security |
Fair Value | ||
Less than 12 Months | $ 5,493,387 | $ 5,858,500 |
12 Months or More | 834,389 | 1,218,879 |
Total | 6,327,776 | 7,077,379 |
Unrealized Losses | ||
Less than 12 Months | (91,987) | (110,569) |
12 Months or More | (22,656) | (28,967) |
Total | $ (114,643) | $ (139,536) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 361 | 386 |
12 Months or More (in securities) | security | 83 | 95 |
Total (in securities) | security | 444 | 481 |
Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 4,767,937 | $ 5,006,723 |
12 Months or More | 626,792 | 615,070 |
Total | 5,394,729 | 5,621,793 |
Unrealized Losses | ||
Less than 12 Months | (75,495) | (92,163) |
12 Months or More | (18,911) | (19,571) |
Total | $ (94,406) | $ (111,734) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 270 | 280 |
12 Months or More (in securities) | security | 50 | 47 |
Total (in securities) | security | 320 | 327 |
Fair value option, fair value | $ 801,600 | $ 149,700 |
Fair value option, unrealized losses | 6,500 | 4,000 |
Agency RMBS | 15 year fixed-rate | ||
Fair Value | ||
Less than 12 Months | 2,534,116 | 2,781,777 |
12 Months or More | 111,912 | 65,964 |
Total | 2,646,028 | 2,847,741 |
Unrealized Losses | ||
Less than 12 Months | (54,361) | (66,506) |
12 Months or More | (2,469) | (1,556) |
Total | $ (56,830) | $ (68,062) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 129 | 127 |
12 Months or More (in securities) | security | 19 | 17 |
Total (in securities) | security | 148 | 144 |
Agency RMBS | 30 year fixed-rate | ||
Fair Value | ||
Less than 12 Months | $ 1,351,307 | $ 747,719 |
12 Months or More | 507,832 | 547,763 |
Total | 1,859,139 | 1,295,482 |
Unrealized Losses | ||
Less than 12 Months | (16,221) | (15,409) |
12 Months or More | (16,337) | (18,004) |
Total | $ (32,558) | $ (33,413) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 59 | 45 |
12 Months or More (in securities) | security | 27 | 27 |
Total (in securities) | security | 86 | 72 |
Agency RMBS | ARM | ||
Fair Value | ||
Less than 12 Months | $ 82,986 | $ 120,540 |
12 Months or More | 0 | 1,091 |
Total | 82,986 | 121,631 |
Unrealized Losses | ||
Less than 12 Months | (89) | (326) |
12 Months or More | 0 | (7) |
Total | $ (89) | $ (333) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 9 | 9 |
12 Months or More (in securities) | security | 0 | 1 |
Total (in securities) | security | 9 | 10 |
Agency RMBS | Hybrid ARM | ||
Fair Value | ||
Less than 12 Months | $ 799,528 | $ 1,356,687 |
12 Months or More | 7,048 | 252 |
Total | 806,576 | 1,356,939 |
Unrealized Losses | ||
Less than 12 Months | (4,824) | (9,922) |
12 Months or More | (105) | (4) |
Total | $ (4,929) | $ (9,926) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 73 | 99 |
12 Months or More (in securities) | security | 4 | 2 |
Total (in securities) | security | 77 | 101 |
Agency-CMO | ||
Fair Value | ||
Less than 12 Months | $ 124,257 | $ 163,114 |
12 Months or More | 21,443 | 22,792 |
Total | 145,700 | 185,906 |
Unrealized Losses | ||
Less than 12 Months | (5,340) | (3,812) |
12 Months or More | (1,012) | (952) |
Total | $ (6,352) | $ (4,764) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 26 | 28 |
12 Months or More (in securities) | security | 4 | 3 |
Total (in securities) | security | 30 | 31 |
Agency IO | ||
Number of Securities | ||
Fair value option, fair value | $ 3,900 | |
Fair value option, unrealized losses | $ 3,000 | |
CMO | ||
Number of Securities | ||
Fair value option, unrealized losses | 2,400 | 1,700 |
Non-Agency RMBS | ||
Fair Value | ||
Less than 12 Months | 113,298 | 287,647 |
12 Months or More | 166,184 | 497,863 |
Total | 279,482 | 785,510 |
Unrealized Losses | ||
Less than 12 Months | (2,385) | (7,861) |
12 Months or More | (2,403) | (6,671) |
Total | $ (4,788) | $ (14,532) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 23 | 42 |
12 Months or More (in securities) | security | 24 | 36 |
Total (in securities) | security | 47 | 78 |
GSE CRT | ||
Fair Value | ||
Less than 12 Months | $ 0 | |
12 Months or More | 35,935 | |
Total | 35,935 | |
Unrealized Losses | ||
Less than 12 Months | 0 | |
12 Months or More | (969) | |
Total | $ (969) | |
Number of Securities | ||
Less than 12 Months (in securities) | security | 0 | |
12 Months or More (in securities) | security | 3 | |
Total (in securities) | security | 3 | |
CMBS | ||
Fair Value | ||
Less than 12 Months | $ 487,895 | $ 401,016 |
12 Months or More | 19,970 | 47,219 |
Total | 507,865 | 448,235 |
Unrealized Losses | ||
Less than 12 Months | (8,767) | (6,733) |
12 Months or More | (330) | (804) |
Total | $ (9,097) | $ (7,537) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 42 | 36 |
12 Months or More (in securities) | security | 5 | 6 |
Total (in securities) | security | 47 | 42 |
Fair value option, fair value | $ 168,000 | $ 13,900 |
Fair value option, unrealized losses | $ 2,300 | $ 613 |
Mortgage-Backed and Credit Ri46
Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities | ||
Gross unrealized losses | $ 114,643 | $ 139,536 |
CMO | ||
Schedule of Available-for-sale Securities | ||
Gross unrealized losses | 2,400 | |
Agency RMBS | ||
Schedule of Available-for-sale Securities | ||
Gross unrealized losses | 94,400 | |
Agency-IO, Non-Agency RMBS, GSE CRT and CMBS | ||
Schedule of Available-for-sale Securities | ||
Gross unrealized losses | $ 17,800 |
Mortgage-Backed and Credit Ri47
Mortgage-Backed and Credit Risk Transfer Securities - OTTI included in earnings (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Schedule of Available-for-sale Securities | ||||
Other-than-temporary credit impairment losses | $ 4,098 | $ 1,525 | $ 4,630 | $ 7,208 |
RMBS interest-only securities | ||||
Schedule of Available-for-sale Securities | ||||
Other-than-temporary credit impairment losses | 3,585 | 1,472 | 3,876 | 7,155 |
Non-Agency RMBS | ||||
Schedule of Available-for-sale Securities | ||||
Other-than-temporary credit impairment losses | $ 513 | $ 53 | $ 754 | $ 53 |
Mortgage-Backed and Credit Ri48
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, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Amount of MBS and GSE CRT are accounted for under the fair value option | $ 3,100,000 | $ 3,100,000 | ||
Percentage of MBS and GSE CRT are accounted for under the fair value option | 19.30% | 19.30% | ||
Accumulated Other Comprehensive Income Loss, Available-for-sale Securities [Roll Forward] | ||||
Unrealized gain (loss) on MBS and GSE CRT at beginning of period | $ 163,440 | $ 288,715 | $ 146,301 | $ 177,799 |
Unrealized gain (loss) on MBS and GSE CRT | 39,633 | 117,116 | 55,922 | 238,576 |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 651 | (1,037) | 1,501 | (11,581) |
Unrealized gain (loss) on MBS and GSE CRT at end of period | $ 203,724 | $ 404,794 | $ 203,724 | $ 404,794 |
Mortgage-Backed and Credit Ri49
Mortgage-Backed and Credit Risk Transfer Securities - Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Schedule of Available-for-sale Securities | ||||
Gross realized gains on sale of investments | $ 1,311 | $ 1,037 | $ 2,215 | $ 14,052 |
Gross realized losses on sale of investments | (1,962) | 0 | (3,873) | (2,471) |
Other-than-temporary impairment losses | (4,098) | (1,525) | (4,630) | (7,208) |
Net unrealized gains and losses on trading securities | 14 | 463 | 23 | 463 |
Total gain (loss) on investments, net | 11,175 | 1,414 | 9,322 | 13,015 |
RMBS IOs | ||||
Schedule of Available-for-sale Securities | ||||
Net unrealized gains (losses) | 7,715 | 1,266 | 4,113 | 7,942 |
GSE CRT | ||||
Schedule of Available-for-sale Securities | ||||
Net unrealized gains (losses) | $ 8,195 | $ 173 | $ 11,474 | $ 237 |
Mortgage-Backed and Credit Ri50
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, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Schedule of Available-for-sale Securities | ||||
Coupon Interest | $ 147,267 | $ 142,476 | $ 293,336 | $ 288,770 |
Net (Premium Amortization)/Discount Accretion | (26,240) | (29,616) | (53,436) | (53,664) |
Interest Income | 121,027 | 112,860 | 239,900 | 235,106 |
Agency | ||||
Schedule of Available-for-sale Securities | ||||
Coupon Interest | 91,979 | 84,440 | 183,210 | 170,211 |
Net (Premium Amortization)/Discount Accretion | (27,775) | (28,277) | (56,353) | (52,462) |
Interest Income | 64,204 | 56,163 | 126,857 | 117,749 |
Non-Agency RMBS | ||||
Schedule of Available-for-sale Securities | ||||
Coupon Interest | 18,131 | 24,127 | 38,745 | 49,976 |
Net (Premium Amortization)/Discount Accretion | 3,734 | 2,292 | 8,121 | 6,136 |
Interest Income | 21,865 | 26,419 | 46,866 | 56,112 |
GSE CRT | ||||
Schedule of Available-for-sale Securities | ||||
Coupon Interest | 5,556 | 2,136 | 10,043 | 4,333 |
Net (Premium Amortization)/Discount Accretion | (347) | (775) | (718) | (1,542) |
Interest Income | 5,209 | 1,361 | 9,325 | 2,791 |
CMBS | ||||
Schedule of Available-for-sale Securities | ||||
Coupon Interest | 31,506 | 31,476 | 61,182 | 63,740 |
Net (Premium Amortization)/Discount Accretion | (1,852) | (2,839) | (4,486) | (5,779) |
Interest Income | 29,654 | 28,637 | 56,696 | 57,961 |
Other | ||||
Schedule of Available-for-sale Securities | ||||
Coupon Interest | 95 | 297 | 156 | 510 |
Net (Premium Amortization)/Discount Accretion | 0 | (17) | 0 | (17) |
Interest Income | $ 95 | $ 280 | $ 156 | $ 493 |
Commercial Loans Held-for-Inv51
Commercial Loans Held-for-Investment (Details) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2017USD ($)loan | Dec. 31, 2016USD ($)loan | |
Accounts, Notes, Loans and Financing Receivable | ||
Carrying value | $ 278,866,000 | $ 273,355,000 |
Commercial Portfolio Segment | ||
Accounts, Notes, Loans and Financing Receivable | ||
Number of loans | loan | 10 | 10 |
Principal Balance | $ 279,121,000 | $ 273,666,000 |
Unamortized (fees)/ costs, net | (255,000) | (311,000) |
Carrying value | $ 278,866,000 | $ 273,355,000 |
Weighted Average Coupon | 8.50% | 8.14% |
Weighted Average Years to Maturity | 1 year 5 months | 1 year 7 months |
Allowance for loan losses | $ 0 | $ 0 |
Commercial Portfolio Segment | Mezzanine Loans | ||
Accounts, Notes, Loans and Financing Receivable | ||
Number of loans | loan | 10 | 10 |
Principal Balance | $ 279,121,000 | $ 273,666,000 |
Unamortized (fees)/ costs, net | (255,000) | (311,000) |
Carrying value | $ 278,866,000 | $ 273,355,000 |
Weighted Average Coupon | 8.50% | 8.14% |
Weighted Average Years to Maturity | 1 year 5 months | 1 year 7 months |
Other Assets (Details)
Other Assets (Details) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Schedule of Investments [Abstract] | ||
FHLBI stock | $ 74,250 | $ 74,250 |
Investments in unconsolidated ventures | 23,311 | 33,301 |
Investment in exchange-traded fund | 3,979 | 500 |
Prepaid expenses and other assets | 888 | 1,246 |
Total | $ 102,428 | $ 109,297 |
Borrowings - Schedule of Borrow
Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2017 | Dec. 31, 2016 | |
Repurchase Agreements: | ||
Amount outstanding | $ 12,118,948 | $ 11,160,669 |
Weighted average interest rate | 1.56% | 1.23% |
Weighted average remaining maturity | 21 days | 30 days |
Secured Loans | ||
Amount outstanding | $ 1,650,000 | $ 1,650,000 |
Total Borrowings | ||
Carrying value of exchangeable senior notes | 217,804 | 397,041 |
Agency RMBS | ||
Repurchase Agreements: | ||
Amount outstanding | $ 9,227,679 | $ 8,148,220 |
Weighted average interest rate | 1.29% | 0.93% |
Weighted average remaining maturity | 20 days | 32 days |
Non-Agency RMBS | ||
Repurchase Agreements: | ||
Amount outstanding | $ 1,130,943 | $ 1,519,859 |
Weighted average interest rate | 2.50% | 2.06% |
Weighted average remaining maturity | 29 days | 28 days |
GSE CRT | ||
Repurchase Agreements: | ||
Amount outstanding | $ 661,432 | $ 547,872 |
Weighted average interest rate | 2.58% | 2.25% |
Weighted average remaining maturity | 7 days | 16 days |
CMBS | ||
Repurchase Agreements: | ||
Amount outstanding | $ 1,098,894 | $ 944,718 |
Weighted average interest rate | 2.33% | 1.86% |
Weighted average remaining maturity | 16 days | 16 days |
Secured Loans | ||
Secured Loans | ||
Amount outstanding | $ 1,650,000 | $ 1,650,000 |
Weighted average interest rate | 1.23% | 0.74% |
Weighted average remaining maturity | 2501 days | 2682 days |
Exchangeable Senior Notes | ||
Exchangeable Senior Notes | ||
Amount outstanding | $ 218,755 | $ 400,000 |
Weighted average interest rate | 5.00% | 5.00% |
Weighted average remaining maturity | 258 days | 439 days |
Total Borrowings | ||
Debt issuance costs | $ 1,000 | $ 3,000 |
Secured Debt, Excluding Asset-Backed Securities | ||
Total Borrowings | ||
Amount outstanding | $ 13,987,703 | $ 13,210,669 |
Weighted average interest rate | 1.58% | 1.28% |
Weighted average remaining maturity | 317 days | 373 days |
Borrowings - Schedule of Maturi
Borrowings - Schedule of Maturities (Details) $ in Thousands | Jun. 30, 2017USD ($) |
Debt Disclosure [Abstract] | |
2,018 | $ 12,337,703 |
2,019 | 0 |
2,020 | 300,000 |
2,021 | 100,000 |
2,022 | 0 |
Thereafter | 1,250,000 |
Total | $ 13,987,703 |
Borrowings - Repurchase Agreeme
Borrowings - Repurchase Agreements (Detail) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2017USD ($)Counterparty | Dec. 31, 2016USD ($)Counterparty | |
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 12,118,948 | $ 11,160,669 |
MBS and GSE CRTs Pledged as Collateral | 13,370,297 | 12,444,304 |
Advances from Federal Home Loan Banks | $ 1,650,000 | $ 1,650,000 |
Secured Loans Counterparty, Percentage of Total Amount Outstanding | 12.00% | 12.90% |
Secured Loans Counterparty, Pledged as Collateral | $ 1,941,665 | $ 1,931,582 |
Total, Amount Outstanding | $ 13,768,948 | $ 12,810,669 |
Total, Percentage of Total Amount Outstanding | 100.00% | 100.00% |
MBS and GSE CRTs Pledged as Collateral | $ 15,311,962 | $ 14,375,886 |
Number of counterparties | Counterparty | 7 | 7 |
Repurchase Agreement Counterparties [Member] | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 12,118,948 | $ 11,160,669 |
Percent of Total Amount Outstanding | 88.00% | 87.10% |
MBS and GSE CRTs Pledged as Collateral | $ 13,370,297 | $ 12,444,304 |
HSBC Securities (USA) Inc. | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 1,315,644 | $ 1,401,966 |
Percent of Total Amount Outstanding | 9.50% | 11.20% |
MBS and GSE CRTs Pledged as Collateral | $ 1,383,316 | $ 1,468,793 |
ING Financial Market LLC | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 1,270,181 | $ 1,142,200 |
Percent of Total Amount Outstanding | 9.20% | 8.90% |
MBS and GSE CRTs Pledged as Collateral | $ 1,336,963 | $ 1,216,492 |
Pierpont Securities LLC | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 1,125,511 | $ 681,853 |
Percent of Total Amount Outstanding | 8.20% | 5.30% |
MBS and GSE CRTs Pledged as Collateral | $ 1,181,071 | $ 717,663 |
Royal Bank of Canada | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 1,073,515 | $ 1,098,631 |
Percent of Total Amount Outstanding | 7.80% | 8.60% |
MBS and GSE CRTs Pledged as Collateral | $ 1,258,618 | $ 1,293,336 |
Mitsubishi UFJ Securities (USA), Inc. | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 653,956 | $ 703,382 |
Percent of Total Amount Outstanding | 4.70% | 5.50% |
MBS and GSE CRTs Pledged as Collateral | $ 691,437 | $ 740,404 |
E D & F Man Capital Markets Inc. | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 621,813 | $ 405,615 |
Percent of Total Amount Outstanding | 4.50% | 3.20% |
MBS and GSE CRTs Pledged as Collateral | $ 653,306 | $ 430,896 |
Scotia Capital | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 605,826 | $ 479,105 |
Percent of Total Amount Outstanding | 4.40% | 3.70% |
MBS and GSE CRTs Pledged as Collateral | $ 630,441 | $ 500,578 |
Citigroup Global Markets Inc. | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 552,926 | $ 427,185 |
Percent of Total Amount Outstanding | 4.00% | 3.30% |
MBS and GSE CRTs Pledged as Collateral | $ 656,821 | $ 534,875 |
Industrial and Commercial Bank of China Financial Services LLC | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 524,907 | $ 707,616 |
Percent of Total Amount Outstanding | 3.80% | 5.50% |
MBS and GSE CRTs Pledged as Collateral | $ 550,286 | $ 748,503 |
South Street Securities LLC | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 485,749 | $ 675,660 |
Percent of Total Amount Outstanding | 3.50% | 5.30% |
MBS and GSE CRTs Pledged as Collateral | $ 514,435 | $ 713,330 |
KGS Alpha Capital Markets LP | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 481,965 | $ 441,541 |
Percent of Total Amount Outstanding | 3.50% | 3.40% |
MBS and GSE CRTs Pledged as Collateral | $ 506,387 | $ 475,858 |
Goldman, Sachs & Co | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 467,361 | $ 486,430 |
Percent of Total Amount Outstanding | 3.40% | 3.80% |
MBS and GSE CRTs Pledged as Collateral | $ 586,400 | $ 623,400 |
JP Morgan Securities Inc. | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 411,296 | $ 477,947 |
Percent of Total Amount Outstanding | 3.00% | 3.70% |
MBS and GSE CRTs Pledged as Collateral | $ 476,473 | $ 554,494 |
Societe Generale | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 395,937 | $ 325,393 |
Percent of Total Amount Outstanding | 2.90% | 2.50% |
MBS and GSE CRTs Pledged as Collateral | $ 509,082 | $ 427,200 |
Guggenheim Liquidity Services, LLC | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 329,375 | $ 356,149 |
Percent of Total Amount Outstanding | 2.40% | 2.80% |
MBS and GSE CRTs Pledged as Collateral | $ 346,416 | $ 377,030 |
Mizuho Securities USA Inc. | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 329,168 | |
Percent of Total Amount Outstanding | 2.40% | |
MBS and GSE CRTs Pledged as Collateral | $ 347,282 | |
Natixis, New York Branch | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 302,566 | $ 336,202 |
Percent of Total Amount Outstanding | 2.20% | 2.60% |
MBS and GSE CRTs Pledged as Collateral | $ 327,418 | $ 362,432 |
BNP Paribas Securities Corp | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 283,528 | $ 307,641 |
Percent of Total Amount Outstanding | 2.10% | 2.40% |
MBS and GSE CRTs Pledged as Collateral | $ 326,548 | $ 346,484 |
Daiwa Capital Markets America Inc. | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 218,702 | |
Percent of Total Amount Outstanding | 1.60% | |
MBS and GSE CRTs Pledged as Collateral | $ 230,239 | |
All other counterparties | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 669,022 | $ 706,153 |
Percent of Total Amount Outstanding | 4.90% | 5.40% |
MBS and GSE CRTs Pledged as Collateral | $ 857,358 | $ 912,536 |
Borrowings - Additional Informa
Borrowings - Additional Information (Detail) - USD ($) | 1 Months Ended | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2017 | Mar. 31, 2017 | Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | Dec. 31, 2013 | |
Repurchase Agreement Counterparty | ||||||||
Collateral ratio | 110.00% | 112.00% | ||||||
Advances from Federal Home Loan Banks | $ 1,650,000,000 | $ 1,650,000,000 | $ 1,650,000,000 | $ 1,650,000,000 | ||||
Net loss on extinguishment of debt | 526,000 | $ 0 | $ 5,237,000 | $ 0 | ||||
Minimum | ||||||||
Repurchase Agreement Counterparty | ||||||||
Repurchase obligation maturity | 1 month | |||||||
Maximum | ||||||||
Repurchase Agreement Counterparty | ||||||||
Repurchase obligation maturity | 12 months | |||||||
FHLBI | ||||||||
Repurchase Agreement Counterparty | ||||||||
Advances from Federal Home Loan Banks | 1,650,000,000 | 1,650,000,000 | $ 1,650,000,000 | |||||
Average outstanding borrowings from FHLBI | $ 1,650,000,000 | |||||||
FHLBI weighted average interest rate on advances | 0.96% | |||||||
Weighted average maturity (in years) | 6 years 10 months 24 days | |||||||
Exchangeable Senior Notes | ||||||||
Repurchase Agreement Counterparty | ||||||||
Debt principal amount | $ 400,000,000 | |||||||
Accrued interest payable | 3,200,000 | 3,200,000 | $ 3,200,000 | $ 5,900,000 | ||||
Exchangeable Senior Notes | ||||||||
Repurchase Agreement Counterparty | ||||||||
Debt principal amount | 31,245,000 | $ 150,000,000 | 31,245,000 | 31,245,000 | ||||
Extinguishment of debt, amount | $ 31,600,000 | $ 153,800,000 | ||||||
Net loss on extinguishment of debt | 526,000 | 5,200,000 | ||||||
Write off of unamortized debt issuance costs | $ 136,000 | $ 1,000,000 |
Collateral Positions (Details)
Collateral Positions (Details) - USD ($) | Jun. 30, 2017 | Dec. 31, 2016 |
Derivative | ||
Repurchase agreements collateral pledged | $ 13,370,297,000 | $ 12,444,304,000 |
Securities loaned collateral pledged | 1,941,665,000 | 1,931,582,000 |
Interest rate swaps collateral pledged | 56,434,000 | 132,762,000 |
Total collateral pledged | 15,368,396,000 | 14,508,648,000 |
Cash | 3,471,000 | 1,700,000 |
Non-cash collateral | 0 | 536,000 |
Total collateral held | 3,471,000 | 2,236,000 |
Cash | ||
Derivative | ||
Total collateral pledged | 1,246,000 | 86,450,000 |
Interest Rate Swaps and Currency Forward Contracts | Cash | ||
Derivative | ||
Interest rate swaps collateral pledged | 1,246,000 | 86,450,000 |
Currency Forward Contracts | Cash | ||
Derivative | ||
Interest rate swaps collateral pledged | 980,000 | 0 |
Agency RMBS | ||
Derivative | ||
Repurchase agreements collateral pledged | 9,711,706,000 | 8,654,233,000 |
Securities loaned collateral pledged | 596,514,000 | 585,504,000 |
Agency RMBS | Interest Rate Swaps and Currency Forward Contracts | ||
Derivative | ||
Interest rate swaps collateral pledged | 55,188,000 | 46,312,000 |
Non-Agency RMBS | ||
Derivative | ||
Repurchase agreements collateral pledged | 1,424,646,000 | 1,887,550,000 |
GSE CRT | ||
Derivative | ||
Repurchase agreements collateral pledged | 874,493,000 | 734,212,000 |
CMBS | ||
Derivative | ||
Repurchase agreements collateral pledged | 1,359,452,000 | 1,168,309,000 |
Securities loaned collateral pledged | 1,345,151,000 | 1,346,078,000 |
Mortgage-backed and GSE CRT securities | ||
Derivative | ||
Total collateral pledged | $ 15,367,150,000 | $ 14,422,198,000 |
Derivatives and Hedging Activ58
Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail) | 6 Months Ended |
Jun. 30, 2017USD ($) | |
Derivative Interest Rate Swaptions | |
Notional Amount as of January 1, 2017 | $ 7,132,274,000 |
Additions | 1,537,860,000 |
Settlement, Termination, Expiration or Exercise | (137,304,000) |
Notional Amount as of June 30, 2017 | 8,532,830,000 |
Interest Rate Swaps | |
Derivative Interest Rate Swaptions | |
Notional Amount as of January 1, 2017 | 6,500,000,000 |
Additions | 1,400,000,000 |
Settlement, Termination, Expiration or Exercise | 0 |
Notional Amount as of June 30, 2017 | 7,900,000,000 |
Currency Forward Contracts | |
Derivative Interest Rate Swaptions | |
Notional Amount as of January 1, 2017 | 62,308,000 |
Additions | 137,860,000 |
Settlement, Termination, Expiration or Exercise | (131,575,000) |
Notional Amount as of June 30, 2017 | 68,593,000 |
Credit Derivatives | |
Derivative Interest Rate Swaptions | |
Notional Amount as of January 1, 2017 | 569,966,000 |
Additions | 0 |
Settlement, Termination, Expiration or Exercise | (5,729,000) |
Notional Amount as of June 30, 2017 | $ 564,237,000 |
Derivatives and Hedging Activ59
Derivatives and Hedging Activities - Additional Information (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Mar. 31, 2017 | Dec. 31, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||
Decrease (increase) to interest expense | $ 6,400,000 | $ (3,200,000) | $ 12,700,000 | $ 16,200,000 | ||||
Amount reclassified to interest expenses within Next 12 months | 26,300,000 | 26,300,000 | ||||||
Unrealized gain on discontinued cash flow hedges included in AOCI | 2,360,094,000 | 2,360,094,000 | $ 2,270,184,000 | |||||
Notional amount | 8,532,830,000 | 8,532,830,000 | 7,132,274,000 | |||||
Derivative Liabilities | 44,147,000 | 44,147,000 | 134,228,000 | |||||
Cash margin deposits | 86,450,000 | |||||||
Accrued Interest | ||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||
Derivative Liabilities | 40,000,000 | 40,000,000 | ||||||
Agency RMBS | ||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||
Cash margin deposits | 55,200,000 | 55,200,000 | ||||||
Derivative and hedging attributable to Parent | ||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||
Unrealized gain on discontinued cash flow hedges included in AOCI | 136,608,000 | $ 164,233,000 | 136,608,000 | $ 164,233,000 | $ 142,896,000 | 149,115,000 | $ 161,036,000 | $ 148,273,000 |
Currency Forward Contracts | ||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||
Notional amount | 68,593,000 | 68,593,000 | 62,308,000 | |||||
Derivative Liabilities | 1,100,000 | 1,100,000 | 395,000 | |||||
Pound Sterling | Currency Forward Contracts | ||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||
Notional amount | 49,600,000 | 49,600,000 | 49,000,000 | |||||
Euro | Currency Forward Contracts | ||||||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||||||||
Notional amount | $ 19,000,000 | $ 19,000,000 | $ 13,300,000 |
Derivatives and Hedging Activ60
Derivatives and Hedging Activities - Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges (Detail) - USD ($) | Jun. 30, 2017 | Dec. 31, 2016 |
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 8,532,830,000 | $ 7,132,274,000 |
Interest Rate Swaps | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 7,900,000,000 | $ 6,500,000,000 |
Fixed Interest Rate in Contract | 2.1664% | |
Interest Rate Swaps | ING Capital Markets LLC | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 350,000,000 | |
Fixed Interest Rate in Contract | 0.954% | |
Interest Rate Swaps | UBS AG | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 500,000,000 | |
Fixed Interest Rate in Contract | 1.102% | |
Interest Rate Swaps | ING Capital Markets LLC | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 400,000,000 | |
Fixed Interest Rate in Contract | 0.8675% | |
Interest Rate Swaps | CME Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 300,000,000 | |
Fixed Interest Rate in Contract | 2.496% | |
Interest Rate Swaps | CME Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 300,000,000 | |
Fixed Interest Rate in Contract | 2.691% | |
Interest Rate Swaps | Wells Fargo Bank, N.A. | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 200,000,000 | |
Fixed Interest Rate in Contract | 3.142% | |
Interest Rate Swaps | CME Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 500,000,000 | |
Fixed Interest Rate in Contract | 2.249% | |
Interest Rate Swaps | Citibank, N.A. | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 200,000,000 | |
Fixed Interest Rate in Contract | 2.83% | |
Interest Rate Swaps | CME Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 500,000,000 | |
Fixed Interest Rate in Contract | 2.439% | |
Interest Rate Swaps | HSBC Bank USA, National Association | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 550,000,000 | |
Fixed Interest Rate in Contract | 2.45% | |
Interest Rate Swaps | CME Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 1,000,000,000 | |
Fixed Interest Rate in Contract | 2.213% | |
Interest Rate Swaps | The Royal Bank of Scotland Plc | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 500,000,000 | |
Fixed Interest Rate in Contract | 1.98375% | |
Interest Rate Swaps | CME Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 600,000,000 | |
Fixed Interest Rate in Contract | 2.883% | |
Interest Rate Swaps | HSBC Bank USA, National Association | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 500,000,000 | |
Fixed Interest Rate in Contract | 2.201% | |
Interest Rate Swaps | CME Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 450,000,000 | |
Fixed Interest Rate in Contract | 2.0999% | |
Interest Rate Swaps | CME Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 450,000,000 | |
Fixed Interest Rate in Contract | 2.1456% | |
Interest Rate Swaps | CME Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 100,000,000 | |
Fixed Interest Rate in Contract | 2.0375% | |
Interest Rate Swaps | CME Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 250,000,000 | |
Fixed Interest Rate in Contract | 2.778% | |
Interest Rate Swaps | CME Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 250,000,000 | |
Fixed Interest Rate in Contract | 2.387% |
Derivatives and Hedging Activ61
Derivatives and Hedging Activities - Schedule of Credit Derivatives (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Derivative | ||
Notional amount | $ 8,532,830 | $ 7,132,274 |
GSE CRT | ||
Derivative | ||
Fair value amount | 46,802 | 17,095 |
GSE CRT | GSE CRT embedded derivatives | ||
Derivative | ||
Notional amount | 564,237 | 569,966 |
Maximum potential amount of future undiscounted payments | $ 564,237 | $ 569,966 |
Derivatives and Hedging Activ62
Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Derivatives, Fair Value | ||
Derivative Assets | $ 3,706 | $ 3,186 |
Derivative Liabilities | 44,147 | 134,228 |
Interest Rate Swaps Asset | ||
Derivatives, Fair Value | ||
Derivative Assets | 11,005 | 3,085 |
Currency Forward Contracts | ||
Derivatives, Fair Value | ||
Derivative Assets | 0 | 101 |
Derivative Liabilities | 1,100 | 395 |
Interest Rate Swaps Liability | ||
Derivatives, Fair Value | ||
Derivative Liabilities | $ 43,047 | $ 133,833 |
Derivatives and Hedging Activ63
Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | $ (25,311) | $ (63,569) | ||
Unrealized gain (loss), net | 20,120 | (211,261) | ||
Gain (loss) on derivative instruments, net | $ (53,513) | $ (90,363) | (48,051) | (328,906) |
Not Designated as Hedging Instrument | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | (40,229) | (20,584) | (25,311) | (63,569) |
Contractual net interest expense | (19,966) | (24,985) | (42,860) | (54,076) |
Unrealized gain (loss), net | 6,682 | (44,794) | 20,120 | (211,261) |
Gain (loss) on derivative instruments, net | (53,513) | (90,363) | (48,051) | (328,906) |
Not Designated as Hedging Instrument | GSE CRT embedded derivatives | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | 0 | (5,097) | 0 | (6,017) |
Contractual net interest expense | 5,844 | 6,112 | 11,651 | 12,426 |
Unrealized gain (loss), net | 15,559 | 16,213 | 29,707 | 19,229 |
Gain (loss) on derivative instruments, net | 21,403 | 17,228 | 41,358 | 25,638 |
Not Designated as Hedging Instrument | Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | (38,512) | (20,105) | (22,518) | (64,000) |
Contractual net interest expense | (19,966) | (24,985) | (42,860) | (54,076) |
Unrealized gain (loss), net | 7,975 | (49,711) | 20,925 | (216,382) |
Gain (loss) on derivative instruments, net | (50,503) | (94,801) | (44,453) | (334,458) |
Not Designated as Hedging Instrument | Interest Rate Swaptions | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | (1,485) | |||
Contractual net interest expense | 0 | |||
Unrealized gain (loss), net | 1,485 | |||
Gain (loss) on derivative instruments, net | 0 | |||
Not Designated as Hedging Instrument | Currency Forward Contracts | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | (1,717) | (479) | (2,793) | 1,916 |
Contractual net interest expense | 0 | 0 | 0 | 0 |
Unrealized gain (loss), net | (1,293) | 4,917 | (805) | 3,636 |
Gain (loss) on derivative instruments, net | $ (3,010) | $ 4,438 | $ (3,598) | $ 5,552 |
Offsetting Assets and Liabili64
Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Derivatives Asset | ||
Gross Amounts of Recognized Assets | $ 3,706 | $ 3,186 |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets | 3,706 | 3,186 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | 0 | (1,640) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Cash Collateral Received | (3,445) | (1,546) |
Net Amount | 261 | 0 |
Total | ||
Gross Amounts of Recognized Assets | 3,706 | 3,186 |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets | 3,706 | 3,186 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | 0 | (1,640) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Cash Collateral Received | (3,445) | (1,546) |
Net Amount | 261 | $ 0 |
Central Clearing Counterparty | ||
Derivatives Asset | ||
Gross Amounts of Recognized Assets | $ 7,300 |
Offsetting Assets and Liabili65
Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($) | Jun. 30, 2017 | Dec. 31, 2016 |
Derivatives Liability | ||
Gross Amounts of Recognized Liabilities | $ 44,147,000 | $ 134,228,000 |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 44,147,000 | 134,228,000 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | (43,047,000) | (45,738,000) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | (980,000) | (85,787,000) |
Net Amount | 120,000 | 2,703,000 |
Repurchase Agreements | ||
Gross Amounts of Recognized Liabilities | 12,118,948,000 | 11,160,669,000 |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 12,118,948,000 | 11,160,669,000 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | (12,118,948,000) | (11,160,669,000) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | 0 | 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 | (1,650,000,000) | (1,650,000,000) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | 0 | 0 |
Net Amount | 0 | 0 |
Total Borrowings | ||
Gross Amounts of Recognized Liabilities | 13,813,095,000 | 12,944,897,000 |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 13,813,095,000 | 12,944,897,000 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | (13,811,995,000) | (12,856,407,000) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | (980,000) | (85,787,000) |
Net Amount | 120,000 | 2,703,000 |
Fair value of securities pledged under repurchase agreement | 13,370,297,000 | 12,444,304,000 |
Cash collateral posted by Company's derivative counterparties | 3,471,000 | 1,700,000 |
Non-cash collateral received on derivatives | 0 | 536,000 |
Due from counterparties | 86,450,000 | |
Collateral pledged against secured loans | $ 1,941,665,000 | $ 1,931,582,000 |
Fair Value of Financial Instr66
Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2017 | Dec. 31, 2016 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,367,150 and $14,422,198, respectively) | $ 16,083,284 | $ 14,981,331 |
Derivative Assets | 3,706 | 3,186 |
Derivative Liabilities | $ 44,147 | $ 134,228 |
Weighted average remaining term of investments in unconsolidated ventures | 1 year 9 months 24 days | 1 year 3 months 28 days |
Recurring | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,367,150 and $14,422,198, respectively) | $ 16,083,284 | $ 14,981,331 |
Derivative Assets | 11,005 | 3,186 |
Other assets, at fair value | 27,290 | 33,801 |
NAV as a practical expedient | 23,311 | 33,301 |
Total assets | 16,121,579 | 15,018,318 |
Derivative Liabilities | 44,147 | 134,228 |
Total liabilities | 44,147 | 134,228 |
Recurring | Level 1 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,367,150 and $14,422,198, respectively) | 0 | 0 |
Derivative Assets | 0 | 0 |
Other assets, at fair value | 3,979 | 500 |
Total assets | 3,979 | 500 |
Derivative Liabilities | 0 | 0 |
Total liabilities | 0 | 0 |
Recurring | Level 1 | Exchange-traded funds | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Investments in exchange-traded funds | 4,000 | 500 |
Recurring | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,367,150 and $14,422,198, respectively) | 16,036,482 | 14,964,236 |
Derivative Assets | 11,005 | 3,186 |
Other assets, at fair value | 0 | 0 |
Total assets | 16,047,487 | 14,967,422 |
Derivative Liabilities | 44,147 | 134,228 |
Total liabilities | 44,147 | 134,228 |
Recurring | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $15,367,150 and $14,422,198, respectively) | 46,802 | 17,095 |
Derivative Assets | 0 | 0 |
Other assets, at fair value | 0 | 0 |
Total assets | 46,802 | 17,095 |
Derivative Liabilities | 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 | 46,800 | 17,100 |
Embedded derivatives in an asset position | 47,700 | 21,000 |
Embedded derivatives in a liability position | $ (900) | $ (3,900) |
Fair Value of Financial Instr67
Fair Value of Financial Instruments - Embedded Derivatives Level 3 Roll Forward (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | ||||
Unrealized gains on credit derivative | $ 29,707,000 | $ 19,229,000 | ||
Reverse of unrealized losses on securities sold | $ 0 | $ 5,100,000 | 0 | 6,000,000 |
Embedded Credit Derivative | GSE CRT | ||||
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | ||||
Beginning balance | 31,243,000 | (22,706,000) | 17,095,000 | (25,722,000) |
Sales and settlements | 0 | 5,097,000 | 0 | 6,017,000 |
Realized gains/(losses), net | 0 | (5,097,000) | 0 | (6,017,000) |
Unrealized gains/(losses), net | 15,559,000 | 16,213,000 | 29,707,000 | 19,229,000 |
Ending balance | 46,802,000 | (6,493,000) | 46,802,000 | (6,493,000) |
Unrealized gains on credit derivative | $ 15,600,000 | $ 11,100,000 | $ 29,700,000 | $ 12,600,000 |
Fair Value of Financial Instr68
Fair Value of Financial Instruments - Embedded Derivatives Fair Value Inputs (Detail) - GSE CRT - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2017 | Dec. 31, 2016 | Mar. 31, 2017 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | |
Market Comparables, Vendor Pricing and Internal Models | Level 3 | Weighted Average | ||||||
Fair Value Inputs, Assets, Quantitative Information | ||||||
Weighted average life | 5 years 8 months | 5 years 3 months | ||||
Embedded Credit Derivative | ||||||
Fair Value Inputs, Assets, Quantitative Information | ||||||
Net embedded derivative | $ 46,802 | $ 17,095 | $ 31,243 | $ (6,493) | $ (22,706) | $ (25,722) |
Embedded Credit Derivative | Market Comparables, Vendor Pricing and Internal Models | Level 3 | Minimum | ||||||
Fair Value Inputs, Assets, Quantitative Information | ||||||
Weighted average life | 3 years 8 months | 2 years 6 months | ||||
Embedded Credit Derivative | Market Comparables, Vendor Pricing and Internal Models | Level 3 | Maximum | ||||||
Fair Value Inputs, Assets, Quantitative Information | ||||||
Weighted average life | 7 years 6 months | 7 years 8 months |
Fair Value of Financial Instr69
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
Carrying Value | ||
Financial Assets | ||
Other assets | $ 74,250 | $ 74,250 |
Total | 353,116 | 347,605 |
Financial Liabilities | ||
Repurchase agreements | 12,118,948 | 11,160,669 |
Secured loans | 1,650,000 | 1,650,000 |
Exchangeable senior notes | 217,804 | 397,041 |
Total | 13,986,752 | 13,207,710 |
Carrying Value | Commercial Loans Held For Investment | ||
Financial Assets | ||
Commercial loans, held-for-investment | 278,866 | 273,355 |
Estimated Fair Value | ||
Financial Assets | ||
Other assets | 74,250 | 74,250 |
Total | 354,507 | 349,569 |
Financial Liabilities | ||
Repurchase agreements | 12,118,722 | 11,161,034 |
Secured loans | 1,650,000 | 1,650,000 |
Exchangeable senior notes | 220,943 | 400,000 |
Total | 13,989,665 | 13,211,034 |
Estimated Fair Value | Commercial Loans Held For Investment | ||
Financial Assets | ||
Commercial loans, held-for-investment | $ 280,257 | $ 275,319 |
Related Party Transactions (Det
Related Party Transactions (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 | Dec. 31, 2015 | |
Related Party Transaction | ||||||
Management fee – related party | $ 9,027,000 | $ 9,061,000 | $ 17,828,000 | $ 18,573,000 | ||
Investment in money market or mutual funds managed by affiliates of a related party | 64,069,000 | 144,084,000 | $ 64,069,000 | 144,084,000 | $ 161,788,000 | $ 53,199,000 |
Manager | ||||||
Related Party Transaction | ||||||
Management fee | 1.50% | |||||
Amounts of transaction with related party | 1,200,000 | 1,400,000 | $ 2,800,000 | 3,200,000 | ||
Termination fee multiplier | 3 | |||||
Termination fees assessment period | 24 months | |||||
Invesco Advisers, Inc. | Affiliated Entity | ||||||
Related Party Transaction | ||||||
Management fee – related party | 202,000 | 182,000 | $ 387,000 | 341,000 | ||
Investment in money market or mutual funds managed by affiliates of a related party | 24,300,000 | 24,300,000 | $ 149,900,000 | |||
Loans origination and commitment fees paid | $ 0 | $ 189,000 | $ 0 | $ 692,000 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands | Mar. 15, 2017 | Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | Dec. 31, 2016 |
Class of Stock | ||||||
Common stock dividend declared (dollars per share) | $ 0.40 | $ 0.4 | $ 0.8 | $ 0.8 | ||
Common Stock | ||||||
Class of Stock | ||||||
Repurchase of shares of common stock (in shares) | 0 | 0 | 0 | 2,063,451 | ||
Weighted average repurchase price (dollars per share) | $ 12.12 | |||||
Repurchase of common stock | $ 25,000 | |||||
Remaining number of shares authorized to be repurchased (in shares) | 18,239,082 | 18,239,082 | ||||
Common stock dividend declared (dollars per share) | $ 0.4 | |||||
Preferred Stock | ||||||
Class of Stock | ||||||
Preferred stock, redemption price per share (dollars per share) | $ 25 | $ 25 | ||||
Series A Cumulative Redeemable Preferred Stock | ||||||
Class of Stock | ||||||
Preferred stock dividend rate | 7.75% | |||||
Preferred stock, liquidation preference (dollars per share) | 25 | $ 25 | ||||
Preferred stock, dividends per annum (dollars per share) | $ 1.9375 | |||||
Series A preferred stock dividend (dollars per share) | 0.4844 | |||||
Series B Cumulative Redeemable Preferred Stock | ||||||
Class of Stock | ||||||
Preferred stock dividend rate | 7.75% | |||||
Preferred stock, liquidation preference (dollars per share) | $ 25 | $ 25 | ||||
Preferred stock, dividends per annum (dollars per share) | $ 1.9375 | |||||
Series A preferred stock dividend (dollars 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% | ||||
Incentive Plan | ||||||
Class of Stock | ||||||
Number of shares of common stock remain available for future issuance (in shares) | 806,778 | 806,778 | ||||
Total unrecognized compensation cost | $ 288 | $ 288 | ||||
Share-based compensation cost not yet recognized, period for recognition | 45 months | |||||
Weighted average remaining vesting period | 20 months | |||||
Incentive Plan | Common Stock | ||||||
Class of Stock | ||||||
Common stock options reserved for issuance (in shares) | 1,000,000 | 1,000,000 | ||||
Compensation expense recognized | $ 112 | $ 85 | $ 197 | $ 170 | ||
Restricted stock issued (in shares) | 5,292 | 6,160 | 10,748 | 13,908 | ||
Incentive Plan | Common Stock | Employee | ||||||
Class of Stock | ||||||
Compensation expense recognized | $ 35 | $ 63 | $ 66 | $ 95 |
Stockholders' Equity - Componen
Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | $ 39,633 | $ 117,116 | $ 55,922 | $ 238,576 |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 651 | (1,037) | 1,501 | (11,581) |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (6,369) | 3,238 | (12,667) | 16,162 |
Currency translation adjustments on investment in unconsolidated venture | 139 | 274 | (476) | 225 |
Total other comprehensive income (loss) | 34,054 | 119,591 | 44,280 | 243,382 |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Balance at beginning of period | 2,270,184 | |||
Other comprehensive income/(loss), net | 34,054 | 119,591 | 44,280 | 243,382 |
Other comprehensive income/(loss) attributable to non-controlling interest | (429) | (1,510) | (558) | (3,052) |
Rebalancing of ownership percentage of non-controlling interest | 1 | 1 | ||
Balance at end of period | 2,360,094 | 2,360,094 | ||
Equity method investments including portion attributable to noncontrolling interest | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Currency translation adjustments on investment in unconsolidated venture | 139 | 274 | (476) | 225 |
Total other comprehensive income (loss) | 139 | 274 | (476) | 225 |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Other comprehensive income/(loss), net | 139 | 274 | (476) | 225 |
Other comprehensive income/(loss) attributable to non-controlling interest | (2) | (5) | 6 | (3) |
Available-for-sale securities including portion attributable to noncontrolling interest | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | 39,633 | 117,116 | 55,922 | 238,576 |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 651 | (1,037) | 1,501 | (11,581) |
Total other comprehensive income (loss) | 40,284 | 116,079 | 57,423 | 226,995 |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Other comprehensive income/(loss), net | 40,284 | 116,079 | 57,423 | 226,995 |
Other comprehensive income/(loss) attributable to non-controlling interest | (508) | (1,464) | (724) | (2,847) |
Rebalancing of ownership percentage of non-controlling interest | 1 | 1 | ||
Derivative and hedging including portion attributable to noncontrolling interest | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (6,369) | 3,238 | (12,667) | 16,162 |
Total other comprehensive income (loss) | (6,369) | 3,238 | (12,667) | 16,162 |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Other comprehensive income/(loss), net | (6,369) | 3,238 | (12,667) | 16,162 |
Other comprehensive income/(loss) attributable to non-controlling interest | 81 | (41) | 160 | (202) |
Equity method investments attributable to Parent | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Balance at beginning of period | (512) | (79) | 95 | (32) |
Balance at end of period | (375) | 190 | (375) | 190 |
Available-for-sale securities attributable to Parent | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Balance at beginning of period | 161,381 | 279,916 | 144,458 | 170,383 |
Balance at end of period | 201,158 | 394,531 | 201,158 | 394,531 |
Derivative and hedging attributable to Parent | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Balance at beginning of period | 142,896 | 161,036 | 149,115 | 148,273 |
Balance at end of period | 136,608 | 164,233 | 136,608 | 164,233 |
Accumulated other comprehensive income | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Total other comprehensive income (loss) | 43,722 | |||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Balance at beginning of period | 303,765 | 440,873 | 293,668 | 318,624 |
Other comprehensive income/(loss), net | 43,722 | |||
Rebalancing of ownership percentage of non-controlling interest | 1 | |||
Balance at end of period | $ 337,391 | $ 558,954 | $ 337,391 | $ 558,954 |
Shareholders' Equity - Restrict
Shareholders' Equity - Restricted Stock Units Activity (Details) - Restricted Stock Units (RSUs) - $ / shares | 3 Months Ended | 6 Months Ended |
Jun. 30, 2017 | Jun. 30, 2017 | |
Restricted Stock Units | ||
Unvested at the beginning of the period | 19,827 | 18,807 |
Shares granted during the period | 0 | 8,115 |
Shares vested during the period | 0 | (7,095) |
Unvested at the end of the period | 19,827 | 19,827 |
Weighted Average Grant Date Fair Value | ||
Weighted Average Grant Date Fair Value, at the beginning of the period (usd per share) | $ 14.35 | $ 14.37 |
Granted, Weighted Average Grant Date Fair Value (usd per share) | 0 | 15.55 |
Vested, Weighted Average Grant Date Fair Value (usd per share) | 0 | 15.78 |
Weighted Average Grant Date Fair Value, at the end of the period (usd per share) | $ 14.35 | $ 14.35 |
Earnings per Common Share - Ear
Earnings per Common Share - Earnings per Share (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Basic Earnings: | ||||
Net income (loss) available to common stockholders | $ 46,834 | $ (11,617) | $ 133,964 | $ (167,777) |
Effect of dilutive securities: | ||||
Income allocated to exchangeable senior notes | 3,504 | 0 | 8,512 | 0 |
Income (loss) allocated to non-controlling interest | 670 | (75) | 1,856 | (1,958) |
Dilutive net income (loss) available to stockholders | $ 51,008 | $ (11,692) | $ 144,332 | $ (169,735) |
Basic Earnings: | ||||
Shares available to common stockholders (in shares) | 111,608 | 111,581 | 111,603 | 112,362 |
Effect of dilutive securities: | ||||
Restricted stock awards (in shares) | 20 | 0 | 20 | 0 |
OP units (in shares) | 1,425 | 1,425 | 1,425 | 1,425 |
Exchangeable senior notes (in shares) | 10,507 | 0 | 12,782 | 0 |
Dilutive Shares (in shares) | 123,560 | 113,006 | 125,830 | 113,787 |
Net income (loss) attributable to common stockholders | ||||
Basic (usd per share) | $ 0.42 | $ (0.10) | $ 1.20 | $ (1.49) |
Diluted (usd per share) | $ 0.41 | $ (0.10) | $ 1.15 | $ (1.49) |
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 - Op76
Non-controlling Interest - Operating Partnership - Additional Information (Detail) - USD ($) $ in Thousands | Jun. 30, 2017 | Dec. 31, 2016 |
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% | 1.30% |
Non- Controlling Interest | ||
Noncontrolling Interest | ||
Distribution payable | $ 570 | $ 570 |
Non-controlling Interest - Op77
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, 2017 | Jun. 30, 2016 | Jun. 30, 2017 | Jun. 30, 2016 | |
Noncontrolling Interest | ||||
Net income (loss) allocated | $ 670 | $ (75) | $ 1,856 | $ (1,958) |
Distributions paid | $ 570 | $ 570 | $ 1,140 | $ 1,140 |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2017 | Dec. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | ||
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate | $ 12.6 | $ 15.5 |
Unfunded commitment | $ 6.4 | $ 9.7 |