Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2018 | Aug. 03, 2018 | |
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, 2018 | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q2 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 111,643,188 |
CONDENSED CONSOLIDATED BALANCE
CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
ASSETS | ||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,047,937 and $17,560,811, respectively) | $ 17,583,187 | $ 18,190,754 |
Commercial loans, held-for-investment | 127,607 | 191,808 |
Cash and cash equivalents | 70,254 | 88,381 |
Restricted cash | 0 | 620 |
Due from counterparties | 7,255 | 0 |
Investment related receivable | 70,839 | 73,217 |
Derivative assets, at fair value | 47,509 | 6,896 |
Other assets | 108,124 | 105,580 |
Total assets | 18,014,775 | 18,657,256 |
Liabilities: | ||
Repurchase agreements | 13,702,321 | 14,080,801 |
Secured loans | 1,650,000 | 1,650,000 |
Exchangeable senior notes, net | 0 | 143,231 |
Derivative liabilities, at fair value | 6,071 | 32,765 |
Dividends and distributions payable | 50,201 | 50,193 |
Investment related payable | 23,562 | 5,191 |
Accrued interest payable | 18,886 | 17,845 |
Collateral held payable | 39,748 | 7,327 |
Accounts payable and accrued expenses | 1,705 | 2,200 |
Due to affiliate | 10,558 | 10,825 |
Total liabilities | 15,503,052 | 16,000,378 |
Commitments and contingencies (See Note 16): | ||
Equity: | ||
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 111,643,188 and 111,624,159 shares issued and outstanding, respectively | 1,116 | 1,116 |
Additional paid in capital | 2,384,902 | 2,384,356 |
Accumulated other comprehensive income | 89,461 | 261,029 |
Retained earnings (distributions in excess of earnings) | (551,632) | (579,334) |
Total stockholders’ equity | 2,487,171 | 2,630,491 |
Non-controlling interest | 24,552 | 26,387 |
Total equity | 2,511,723 | 2,656,878 |
Total liabilities and equity | 18,014,775 | 18,657,256 |
Series A Preferred Stock | ||
Equity: | ||
Preferred Stock | 135,356 | 135,356 |
Series B Preferred Stock | ||
Equity: | ||
Preferred Stock | 149,860 | 149,860 |
Series C Preferred Stock | ||
Equity: | ||
Preferred Stock | $ 278,108 | $ 278,108 |
CONDENSED CONSOLIDATED BALANCE3
CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Preferred Stock - par value (in usd per share) | $ 0.01 | $ 0.01 |
Preferred Stock - shares authorized | 50,000,000 | 50,000,000 |
Common Stock - par value (in usd per share) | $ 0.01 | $ 0.01 |
Common Stock - shares authorized | 450,000,000 | 450,000,000 |
Common Stock - shares issued | 111,643,188 | 111,624,159 |
Common Stock - shares outstanding | 111,643,188 | 111,624,159 |
MBS and GSE CRT pledged as collateral | $ 17,047,937 | $ 17,560,811 |
Series A 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 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 |
Series C Preferred Stock | ||
Preferred Stock - dividend rate stated percentage | 7.50% | 7.50% |
Preferred Stock - shares issued | 11,500,000 | 11,500,000 |
Preferred Stock - shares outstanding | 11,500,000 | 11,500,000 |
Preferred Stock - liquidation preference value | $ 287,500 | $ 287,500 |
CONDENSED CONSOLIDATED STATEMEN
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Interest Income | ||||
Mortgage-backed and credit risk transfer securities | $ 147,548 | $ 121,027 | $ 296,551 | $ 239,900 |
Commercial loans | 4,051 | 6,021 | 8,273 | 11,785 |
Total interest income | 151,599 | 127,048 | 304,824 | 251,685 |
Interest Expense | ||||
Repurchase agreements | 69,389 | 36,072 | 128,974 | 66,019 |
Secured loans | 8,471 | 4,535 | 15,398 | 7,948 |
Exchangeable senior notes | 0 | 3,504 | 1,621 | 8,512 |
Total interest expense | 77,860 | 44,111 | 145,993 | 82,479 |
Net interest income | 73,739 | 82,937 | 158,831 | 169,206 |
Other Income (loss) | ||||
Gain (loss) on investments, net | (36,377) | 11,175 | (196,747) | 9,322 |
Equity in earnings (losses) of unconsolidated ventures | 798 | (154) | 1,694 | (1,688) |
Gain (loss) on derivative instruments, net | 67,169 | (53,513) | 200,536 | (48,051) |
Realized and unrealized credit derivative income (loss), net | 735 | 21,403 | 3,900 | 41,358 |
Net loss on extinguishment of debt | 0 | (526) | (26) | (5,237) |
Other investment income (loss), net | (2,160) | 2,533 | 942 | 3,862 |
Total other income (loss) | 30,165 | (19,082) | 10,299 | (434) |
Expenses | ||||
Management fee – related party | 10,102 | 9,027 | 20,323 | 17,828 |
General and administrative | 1,525 | 1,608 | 3,281 | 3,692 |
Total expenses | 11,627 | 10,635 | 23,604 | 21,520 |
Net income | 92,277 | 53,220 | 145,526 | 147,252 |
Net income attributable to non-controlling interest | 1,163 | 670 | 1,834 | 1,856 |
Net income attributable to Invesco Mortgage Capital Inc. | 91,114 | 52,550 | 143,692 | 145,396 |
Dividends to preferred stockholders | 11,106 | 5,716 | 22,213 | 11,432 |
Net income attributable to common stockholders | $ 80,008 | $ 46,834 | $ 121,479 | $ 133,964 |
Earnings per share: | ||||
Net income attributable to common shareholders (basic) (usd per share) | $ 0.72 | $ 0.42 | $ 1.09 | $ 1.20 |
Net income attributable to common shareholders (diluted) (usd per share) | 0.72 | 0.41 | 1.08 | 1.15 |
Dividends declared per common share (usd per share) | $ 0.42 | $ 0.4 | $ 0.84 | $ 0.8 |
CONDENSED CONSOLIDATED STATEME5
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 92,277 | $ 53,220 | $ 145,526 | $ 147,252 |
Other comprehensive income (loss): | ||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | (47,929) | 39,633 | (180,246) | 55,922 |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 9,889 | 651 | 19,126 | 1,501 |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (6,898) | (6,369) | (13,437) | (12,667) |
Currency translation adjustments on investment in unconsolidated venture | 486 | 139 | 798 | (476) |
Total other comprehensive income (loss) | (44,452) | 34,054 | (173,759) | 44,280 |
Comprehensive income (loss) | 47,825 | 87,274 | (28,233) | 191,532 |
Less: Comprehensive (income) loss attributable to non-controlling interest | (602) | (1,099) | 357 | (2,414) |
Less: Dividends to preferred stockholders | (11,106) | (5,716) | (22,213) | (11,432) |
Comprehensive income (loss) attributable to common stockholders | $ 36,117 | $ 80,459 | $ (50,089) | $ 177,686 |
CONDENSED CONSOLIDATED STATEME6
CONDENSED CONSOLIDATED STATEMENT OF EQUITY (Unaudited) - USD ($) $ in Thousands | Total | Preferred StockSeries A Preferred Stock | Preferred StockSeries B Preferred Stock | Preferred StockSeries C Preferred Stock | Common Stock | Additional Paid in Capital | Accumulated Other Comprehensive Income (Loss) | Retained Earnings (Distributions in excess of earnings) | Total Stockholders’ Equity | Non- Controlling Interest |
Balance at beginning of period at Dec. 31, 2016 | $ 293,668 | |||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income | $ 147,252 | |||||||||
Other comprehensive income (loss) | 44,280 | |||||||||
Rebalancing of ownership percentage of non-controlling interest | 1 | |||||||||
Balance at end of period at Jun. 30, 2017 | 337,391 | |||||||||
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 (loss) | 34,054 | |||||||||
Rebalancing of ownership percentage of non-controlling interest | 1 | |||||||||
Balance at end of period at Jun. 30, 2017 | 337,391 | |||||||||
Beginning Balance (in shares) at Dec. 31, 2017 | 5,600,000 | 6,200,000 | 11,500,000 | 111,624,159 | ||||||
Balance at beginning of period at Dec. 31, 2017 | 2,656,878 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,116 | $ 2,384,356 | 261,029 | $ (579,334) | $ 2,630,491 | $ 26,387 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income | 145,526 | 143,692 | 143,692 | 1,834 | ||||||
Other comprehensive income (loss) | (173,759) | (171,568) | (171,568) | (2,191) | ||||||
Stock awards (in shares) | 19,029 | |||||||||
Common stock dividends | (93,777) | (93,777) | (93,777) | |||||||
Common unit dividends | (1,197) | (1,197) | ||||||||
Preferred stock dividends | (22,213) | (22,213) | (22,213) | |||||||
Amortization of equity-based compensation | 265 | 262 | 262 | 3 | ||||||
Rebalancing of ownership percentage of non-controlling interest | 284 | 284 | (284) | |||||||
Ending Balance (in shares) at Jun. 30, 2018 | 5,600,000 | 6,200,000 | 11,500,000 | 111,643,188 | ||||||
Balance at end of period at Jun. 30, 2018 | 2,511,723 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,116 | 2,384,902 | 89,461 | (551,632) | 2,487,171 | 24,552 |
Balance at beginning of period at Mar. 31, 2018 | 133,352 | |||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income | 92,277 | |||||||||
Other comprehensive income (loss) | (44,452) | |||||||||
Ending Balance (in shares) at Jun. 30, 2018 | 5,600,000 | 6,200,000 | 11,500,000 | 111,643,188 | ||||||
Balance at end of period at Jun. 30, 2018 | $ 2,511,723 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,116 | $ 2,384,902 | $ 89,461 | $ (551,632) | $ 2,487,171 | $ 24,552 |
CONDENSED CONSOLIDATED STATEME7
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2018 | Jun. 30, 2017 | |
Cash Flows from Operating Activities | ||
Net income | $ 145,526 | $ 147,252 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net | 25,657 | 37,534 |
Realized and unrealized (gain) loss on derivative instruments, net | (217,159) | 5,191 |
Realized and unrealized (gain) loss on credit derivatives, net | 7,371 | (29,707) |
Gain (loss) on investments, net | (196,747) | 9,322 |
(Income) loss from investments in unconsolidated ventures in excess of distributions received | (1,150) | 2,106 |
Other amortization | (13,052) | (11,656) |
Net loss on extinguishment of debt | 26 | 5,237 |
(Gain) loss on foreign currency transactions, net | 1,099 | (2,229) |
Changes in operating assets and liabilities: | ||
(Increase) decrease in operating assets | 2,267 | (2,497) |
Increase (decrease) in operating liabilities | 435 | (3,016) |
Net cash provided by operating activities | 147,767 | 138,893 |
Cash Flows from Investing Activities | ||
Purchase of mortgage-backed and credit risk transfer securities | (1,213,558) | (2,533,663) |
(Contributions to) distributions from investments in unconsolidated ventures, net | (1,077) | 7,408 |
Change in other assets | 0 | (3,457) |
Principal payments from mortgage-backed and credit risk transfer securities | 1,061,392 | 1,081,479 |
Proceeds from sale of mortgage-backed and credit risk transfer securities | 387,726 | 572,616 |
Proceeds from/ (payments for) settlement or termination of forwards, swaps and futures, net | 149,852 | (25,311) |
Net change in due from counterparties and collateral held payable | 25,165 | 1,771 |
Principal payments from commercial loans held-for-investment | 64,814 | 0 |
Origination and advances of commercial loans, net of origination fees | (1,677) | (3,170) |
Net cash provided by (used in) investing activities | 472,637 | (902,327) |
Cash Flows from Financing Activities | ||
Due from counterparties - secured loans | 0 | (1,246) |
Proceeds from repurchase agreements | 72,281,324 | 63,154,822 |
Principal repayments of repurchase agreements | (72,659,696) | (62,200,623) |
Extinguishment of exchangeable senior notes | (143,433) | (185,386) |
Payments of deferred costs | (167) | 0 |
Payments of dividends and distributions | (117,179) | (101,852) |
Net cash (used in) provided by financing activities | (639,151) | 665,715 |
Net change in cash, cash equivalents and restricted cash | (18,747) | (97,719) |
Cash, cash equivalents and restricted cash, beginning of period | 89,001 | 161,788 |
Cash, cash equivalents and restricted cash, end of period | 70,254 | 64,069 |
Supplement Disclosure of Cash Flow Information | ||
Interest paid | 158,027 | 97,003 |
Non-cash Investing and Financing Activities Information | ||
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities | (161,120) | 57,423 |
Dividends and distributions declared not paid | 50,201 | 50,930 |
Net change in investment related payable (receivable) | (18,871) | (163,489) |
Net change in repurchase agreements, not settled | (108) | 4,081 |
Change in due from counterparties and collateral held payable | $ 0 | $ 86,450 |
Organization and Business Opera
Organization and Business Operations | 6 Months Ended |
Jun. 30, 2018 | |
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, 2018 , 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"); • Commercial mortgage-backed securities (“CMBS”) 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 CMBS"); • RMBS that are not guaranteed by a U.S. government agency ("non-Agency RMBS"); • CMBS that are not guaranteed by a U.S. government agency (“non-Agency CMBS”); • Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises ("GSE CRT"); • 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, 2018 | |
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, 2017 . 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, 2017 , other than the significant accounting policy disclosed below. Restricted Cash Restricted cash represents cash posted with the Federal Home Loan Bank of Indianapolis ("FHLBI") as collateral for secured loans and cash posted with counterparties as collateral for various derivative instruments. Cash held by counterparties as collateral is legally restricted and is not available for general corporate purposes. Accounting Pronouncements Recently Adopted Effective January 1, 2018, we adopted the accounting guidance that amends certain aspects of recognition, measurement, presentation, and disclosure of financial assets and liabilities. The standard requires that all equity investments, other than those accounted for as equity method investments, be measured at fair value with changes recognized in income. As of January 1, 2018, we had three types of equity investments: investments in unconsolidated ventures, an investment in an exchange traded fund, and an investment in FHLBI stock. Our investments in unconsolidated ventures are accounted for as equity method investments, and our investment in an exchange-traded fund is measured at fair value with changes recognized in income. While the standard eliminates the cost method for equity investments without readily determinable fair values, it does allow an election to record equity investments without readily determinable fair values at cost, less impairment, and plus or minus adjustments for observable price changes. We have elected to record our investment in FHLBI stock at cost, less impairment. As such, the adoption of this accounting guidance did not impact our financial condition or results of operations. The standard also amends certain disclosure requirements for financial instruments. Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" for a tabular summary of the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type. Effective January 1, 2018, we adopted the accounting guidance intended to reduce diversity in how restricted cash and certain transactions are classified in the statement of cash flows. The new guidance requires that the statement of cash flows explains the difference during the period in the total of cash, cash equivalents and amounts generally described as restricted cash or restricted cash equivalents. We adopted the accounting standard on a retrospective basis, which required us to restate our statement of cash flows for the six months ended June 30, 2017 . The adoption resulted in a $15.5 million decrease in net cash provided by operating activities, $17.3 million decrease in net cash used in investing activities and $1.8 million decrease in net cash provided by financing activities. We included restricted cash of $620,000 as of December 31, 2017 in our reconciliation of cash, cash equivalents and restricted cash on the condensed consolidated statements of cash flows. We did not have any restricted cash as of June 30, 2018. Pending Accounting Pronouncements In June 2016, new accounting guidance was issued for reporting credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities will measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost, and require entities to record allowances for available-for-sale debt securities rather than reduce the carrying amount, as they do today under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans. We are required to adopt the new guidance in the first quarter of 2020 by recording a cumulative effect adjustment to retained earnings as of January 1, 2020. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements. In June 2018, new accounting guidance was issued that aligns the measurement and classification for stock-based payments to non-employees with the guidance for stock-based payments to employees. Under the new guidance, the measurement of equity-classified non-employee awards will be fixed at the grant date. We are required to adopt the new guidance in the first quarter of 2019 by recording a cumulative effect adjustment to retained earnings as of January 1, 2019. 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, 2018 | |
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, 2018 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 3,151,237 3,151,237 Non-Agency RMBS 1,220,076 1,220,076 Investments in unconsolidated ventures 28,997 28,997 Total 4,400,310 4,400,310 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, 2018 | |
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, 2018 and December 31, 2017 . June 30, 2018 $ in thousands Principal/ Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Quarterly Weighted Average Yield (2) Agency RMBS: 15 year fixed-rate 2,532,605 85,680 2,618,285 (95,101 ) 2,523,184 2.32 % 1.99 % 30 year fixed-rate 7,602,464 284,277 7,886,741 (221,602 ) 7,665,139 3.14 % 2.95 % ARM * 215,178 1,300 216,478 (1,677 ) 214,801 2.58 % 2.43 % Hybrid ARM 1,566,739 23,143 1,589,882 (22,831 ) 1,567,051 2.56 % 2.28 % Total Agency RMBS pass-through 11,916,986 394,400 12,311,386 (341,211 ) 11,970,175 2.88 % 2.65 % Agency-CMO (3) 995,408 (745,565 ) 249,843 (11,027 ) 238,816 3.26 % 3.04 % Agency CMBS 150,268 1,940 152,208 19 152,227 3.46 % 3.63 % Non-Agency CMBS (4) 3,871,603 (700,887 ) 3,170,716 (19,479 ) 3,151,237 5.02 % 4.95 % Non-Agency RMBS (5)(6)(7) 2,945,105 (1,851,911 ) 1,093,194 126,882 1,220,076 7.09 % 7.12 % GSE CRT (8) 744,545 22,913 767,458 83,198 850,656 2.81 % 3.37 % Total 20,623,915 (2,879,110 ) 17,744,805 (161,618 ) 17,583,187 3.53 % 3.36 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of June 30, 2018 and incorporates future prepayment and loss assumptions. (2) Quarterly weighted average 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. (3) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 79.3% of principal/notional balance, 17.0% of amortized cost and 16.1% of fair value. (4) Non-Agency CMBS includes interest-only securities which represent 15.7% of principal/notional balance, 0.5% of amortized cost and 0.6% of fair value. (5) Non-Agency RMBS held by us is 47.6% variable rate, 46.0% fixed rate and 6.4% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $190.7 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities ("Non-Agency IO") which represent 55.7% of principal/notional balance, 2.4% of amortized cost and 2.3% of fair value. (8) GSE CRT 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. December 31, 2017 $ in thousands Principal/Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Quarterly Weighted Average Yield (2) Agency RMBS: 15 year fixed-rate 2,917,307 119,120 3,036,427 (61,645 ) 2,974,782 2.17 % 1.98 % 30 year fixed-rate 7,354,211 295,977 7,650,188 (9,648 ) 7,640,540 3.09 % 2.90 % ARM 238,486 1,609 240,095 1,105 241,200 2.60 % 2.36 % Hybrid ARM 1,696,148 26,066 1,722,214 (2,829 ) 1,719,385 2.54 % 2.25 % Total Agency RMBS pass-through 12,206,152 442,772 12,648,924 (73,017 ) 12,575,907 2.79 % 2.58 % Agency-CMO (3) 1,226,539 (942,290 ) 284,249 (10,306 ) 273,943 2.91 % 2.74 % Non-Agency CMBS (4) 3,879,775 (704,097 ) 3,175,678 40,739 3,216,417 4.92 % 4.77 % Non-Agency RMBS (5)(6)(7) 2,785,704 (1,661,683 ) 1,124,021 133,587 1,257,608 7.19 % 7.18 % GSE CRT (8) 757,183 24,306 781,489 85,390 866,879 2.45 % 2.79 % Total 20,855,353 (2,840,992 ) 18,014,361 176,393 18,190,754 3.42 % 3.27 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2017 and incorporates future prepayment and loss assumptions. (2) Quarterly weighted average 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. (3) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 81.8% o f principal (notional) balance, 20.9% of amortized cost and 18.7% of fair value. (4) Non-Agency CMBS includes interest-only securities which represent 15.8% of principal/notional balance, 0.5% of amortized cost and 0.6% of fair value. (5) Non-Agency RMBS held by us is 52.2% variable rate, 37.8% fixed rate, and 10.0% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $195.3 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 51.5% of principal/notional balance, 2.0% of amortized cost and 1.8% of fair value. (8) GSE CRT 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. The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of June 30, 2018 and December 31, 2017 . We have elected the fair value option for all of our RMBS IOs, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of June 30, 2018 and December 31, 2017, approximately 41% and 36% , respectively, of our MBS and GSE CRTs are accounted for under the fair value option. June 30, 2018 December 31, 2017 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Fair Value Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 15 year fixed-rate 2,170,906 352,278 2,523,184 2,842,440 132,342 2,974,782 30 year fixed-rate 2,216,755 5,448,384 7,665,139 2,467,871 5,172,669 7,640,540 ARM * 214,801 — 214,801 241,200 — 241,200 Hybrid ARM 1,535,502 31,549 1,567,051 1,719,385 — 1,719,385 Total RMBS Agency pass-through 6,137,964 5,832,211 11,970,175 7,270,896 5,305,011 12,575,907 Agency-CMO 182,293 56,523 238,816 203,351 70,592 273,943 Agency CMBS — 152,227 152,227 — — — Non-Agency CMBS 2,294,341 856,896 3,151,237 2,376,413 840,004 3,216,417 Non-Agency RMBS 1,075,371 144,705 1,220,076 1,236,178 21,430 1,257,608 GSE CRT 619,553 231,103 850,656 635,537 231,342 866,879 Total 10,309,522 7,273,665 17,583,187 11,722,375 6,468,379 18,190,754 The components of the carrying value of our MBS and GSE CRT portfolio at June 30, 2018 and December 31, 2017 are presented below. June 30, 2018 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 17,743,581 2,880,334 20,623,915 Unamortized premium 471,489 — 471,489 Unamortized discount (552,058 ) (2,798,541 ) (3,350,599 ) Gross unrealized gains (1) 253,314 7,010 260,324 Gross unrealized losses (1) (415,201 ) (6,741 ) (421,942 ) Fair value 17,501,125 82,062 17,583,187 December 31, 2017 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 17,974,390 2,880,963 20,855,353 Unamortized premium 521,626 — 521,626 Unamortized discount (577,344 ) (2,785,274 ) (3,362,618 ) Gross unrealized gains (1) 336,543 5,113 341,656 Gross unrealized losses (1) (155,146 ) (10,117 ) (165,263 ) Fair value 18,100,069 90,685 18,190,754 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three and six months ended June 30, 2018 and 2017 is provided later in this Note 4. The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of June 30, 2018 and December 31, 2017 . $ in thousands June 30, 2018 December 31, 2017 Less than one year 135,350 135,559 Greater than one year and less than five years 6,166,267 7,934,836 Greater than or equal to five years 11,281,570 10,120,359 Total 17,583,187 18,190,754 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, 2018 and December 31, 2017 . June 30, 2018 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 385,423 (5,524 ) 87 1,780,406 (92,961 ) 127 2,165,829 (98,485 ) 214 30 year fixed-rate 5,930,551 (182,696 ) 212 890,051 (50,074 ) 58 6,820,602 (232,770 ) 270 ARM 157,531 (2,230 ) 17 530 (26 ) 1 158,061 (2,256 ) 18 Hybrid ARM 852,306 (12,652 ) 94 436,416 (12,707 ) 46 1,288,722 (25,359 ) 140 Total Agency RMBS pass-through (1) 7,325,811 (203,102 ) 410 3,107,403 (155,768 ) 232 10,433,214 (358,870 ) 642 Agency-CMO (2) 149,189 (9,756 ) 43 71,796 (3,873 ) 5 220,985 (13,629 ) 48 Agency CMBS (3) 69,365 (78 ) 1 — — — 69,365 (78 ) 1 Non-Agency CMBS (4) 1,842,373 (35,757 ) 136 207,220 (11,547 ) 17 2,049,593 (47,304 ) 153 Non-Agency RMBS (5) 250,751 (1,687 ) 30 50,145 (374 ) 7 300,896 (2,061 ) 37 Total 9,637,489 (250,380 ) 620 3,436,564 (171,562 ) 261 13,074,053 (421,942 ) 881 (1) Amounts disclosed includes Agency RMBS with a fair value of $ 5.3 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 177.0 million . (2) Amounts disclosed includes Agency IO and Agency-CMO with fair value of $22.4 million and $18.0 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $6.5 million and $856,000 , respectively. (3) Fair value option has been elected for all Agency CMBS. (4) Amounts disclosed includes Non-Agency CMBS with a fair value of $693.4 million for which the fair value option has been elected. Such securities have unrealized losses of $21.8 million . (5) Amounts disclosed includes Non-Agency RMBS and Non-Agency IO with a fair value of $111.2 million and $10.7 million , respectively for which the fair value option has been elected. Such securities have unrealized losses of $4,000 and $247,000 , respectively. December 31, 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 111,020 (321 ) 26 2,406,021 (67,285 ) 133 2,517,041 (67,606 ) 159 30 year fixed-rate 3,677,576 (20,730 ) 107 963,547 (27,158 ) 56 4,641,123 (47,888 ) 163 ARM 101,173 (902 ) 12 — — — 101,173 (902 ) 12 Hybrid ARM 614,321 (4,189 ) 73 517,642 (8,091 ) 47 1,131,963 (12,280 ) 120 Total Agency RMBS pass-through (1) 4,504,090 (26,142 ) 218 3,887,210 (102,534 ) 236 8,391,300 (128,676 ) 454 Agency-CMO (2) 75,299 (10,433 ) 44 81,988 (2,309 ) 5 157,287 (12,742 ) 49 Non-Agency CMBS (3) 892,553 (17,612 ) 81 135,139 (3,792 ) 12 1,027,692 (21,404 ) 93 Non-Agency RMBS (4) 84,439 (709 ) 15 96,263 (1,732 ) 11 180,702 (2,441 ) 26 Total 5,556,381 (54,896 ) 358 4,200,600 (110,367 ) 264 9,756,981 (165,263 ) 622 (1) Amounts disclosed includes Agency RMBS with a fair value of $3.4 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 22.8 million . (2) Amounts disclosed includes Agency IO and Agency-CMO with fair value of $36.5 million and $9.5 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $10.1 million and $88,000 , respectively. (3) Amounts disclosed includes Non-Agency CMBS with a fair value of $596.0 million for which the fair value option has been elected. Such securities have unrealized losses of $8.9 million . (4) Amounts disclosed includes Non-Agency IO with a fair value of $530,000 for which the fair value option has been elected. Such securities have unrealized losses of $39,000 . Gross unrealized losses on our Agency RMBS, Agency CMBS and CMO were $366.1 million at June 30, 2018 ( December 31, 2017 : $131.3 million ). Due to the inherent credit quality of Agency RMBS, Agency CMBS and Agency-CMO, we determined that at June 30, 2018 and December 31, 2017 , any unrealized losses on these securities are not other than temporary. Gross unrealized losses on our Agency IO, non-Agency RMBS and non-Agency CMBS were $55.9 million ( December 31, 2017 : $33.9 million ) at June 30, 2018 . We did not consider these unrealized losses to be credit related, but rather due to non-credit related factors such as interest rates, 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 ("OTTI") 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 summarizes OTTI included in earnings for the three and six months ended June 30, 2018 and 2017 : Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 RMBS interest-only securities 2,089 3,585 6,398 3,876 Non-Agency RMBS (1) — 513 50 754 Total 2,089 4,098 6,448 4,630 (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. OTTI on RMBS interest-only securities was recorded as a reclassification from an unrealized to realized loss within gain (loss) on investments, net on the condensed consolidated statements of operations because we account for these securities under the fair value option. As of June 30, 2018 , 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 components of our total gain (loss) on investments, net for the three and six months ended June 30, 2018 and 2017 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Gross realized gains on sale of investments 35 1,311 35 2,215 Gross realized losses on sale of investments (11,560 ) (1,962 ) (20,797 ) (3,873 ) Other-than-temporary impairment losses (2,089 ) (4,098 ) (6,448 ) (4,630 ) Net unrealized gains and losses on MBS accounted for under the fair value option (22,941 ) 7,715 (170,136 ) 4,113 Net unrealized gains and losses on GSE CRT accounted for under the fair value option 182 8,195 616 11,474 Net unrealized gains and losses on trading securities (4 ) 14 (17 ) 23 Total gain (loss) on investments, net (36,377 ) 11,175 (196,747 ) 9,322 The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three and six months ended June 30, 2018 and 2017 . 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, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 105,430 (22,275 ) 83,155 Non-Agency CMBS 38,101 1,195 39,296 Non-Agency RMBS 13,195 5,159 18,354 GSE CRT 7,180 (696 ) 6,484 Other 259 — 259 Total 164,165 (16,617 ) 147,548 For the three months ended June 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 91,979 (27,775 ) 64,204 Non-Agency CMBS 31,506 (1,852 ) 29,654 Non-Agency RMBS 18,131 3,734 21,865 GSE CRT 5,556 (347 ) 5,209 Other 95 — 95 Total 147,267 (26,240 ) 121,027 For the six months ended June 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 213,747 (45,497 ) 168,250 Non-Agency CMBS 75,394 2,621 78,015 Non-Agency RMBS 27,207 10,336 37,543 GSE CRT 13,705 (1,393 ) 12,312 Other 431 — 431 Total 330,484 (33,933 ) 296,551 For the six months ended June 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 183,210 (56,353 ) 126,857 Non-Agency CMBS 61,182 (4,486 ) 56,696 Non-Agency RMBS 38,745 8,121 46,866 GSE CRT 10,043 (718 ) 9,325 Other 156 — 156 Total 293,336 (53,436 ) 239,900 |
Commercial Loans Held-for-Inves
Commercial Loans Held-for-Investment | 6 Months Ended |
Jun. 30, 2018 | |
Receivables [Abstract] | |
Commercial Loans Held-for-Investment | Commercial Loans Held-for-Investment The following table summarizes purchased or originated commercial mezzanine loans held-for-investment as of June 30, 2018 and December 31, 2017 . $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) June 30, 2018 5 127,638 (31 ) 127,607 8.96 % 0.7 December 31, 2017 8 191,894 (86 ) 191,808 8.52 % 1.2 (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, 2018 and December 31, 2017 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, 2017 . |
Other Assets
Other Assets | 6 Months Ended |
Jun. 30, 2018 | |
Schedule of Investments [Abstract] | |
Other Assets | Other Assets The following table summarizes our other assets as of June 30, 2018 and December 31, 2017 . $ in thousands June 30, 2018 December 31, 2017 FHLBI stock 74,250 74,250 Investments in unconsolidated ventures 28,997 25,972 Investment in exchange-traded fund 3,962 3,979 Prepaid expenses and other assets 915 1,379 Total 108,124 105,580 IAS Services LLC, our wholly-owned subsidiary, is required to purchase and hold FHLBI stock as a condition of membership in the 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, 2018 | |
Debt Disclosure [Abstract] | |
Borrowings | Borrowings We have financed the majority of our investment portfolio through repurchase agreements, secured loans and exchangeable senior notes. The following tables summarize certain characteristics of our borrowings at June 30, 2018 and December 31, 2017 . Refer to Note 8 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans. $ in thousands June 30, 2018 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 10,537,934 2.13 % 22 Agency CMBS 133,417 2.10 % 30 Non-Agency CMBS 1,450,627 3.25 % 23 Non-Agency RMBS 917,106 3.28 % 23 GSE CRT 663,237 3.18 % 23 Total Repurchase Agreements 13,702,321 2.38 % 23 Secured Loans 1,650,000 2.18 % 2,136 Total Borrowings 15,352,321 2.36 % 250 $ in thousands December 31, 2017 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 11,111,755 1.58 % 25 Non-Agency CMBS 1,396,330 2.61 % 9 Non-Agency RMBS 915,225 2.77 % 31 GSE CRT 657,491 2.78 % 24 Total Repurchase Agreements 14,080,801 1.82 % 25 Secured Loans 1,650,000 1.52 % 2,317 Exchangeable Senior Notes (1) 143,410 5.00 % 74 Total Borrowings 15,874,211 1.82 % 263 (1) The carrying value of exchangeable senior notes was $143.2 million as of December 31, 2017 . The carrying value was net of unamortized debt issuance costs of $179,000 as of December 31, 2017 . The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of Borrowings maturing within: June 30, 2018 7/1/2018 - 6/30/2019 13,702,321 7/1/2019 - 6/30/2020 300,000 7/1/2020 - 6/30/2021 100,000 7/1/2021 - 6/30/2022 — 7/1/2022 - 6/30/2023 — Thereafter 1,250,000 Total 15,352,321 The following tables summarize certain characteristics of our repurchase agreements and secured loans at June 30, 2018 and December 31, 2017 . June 30, 2018 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC 1,808,727 11.8 % 1,897,787 ING Financial Market 1,348,953 8.8 % 1,425,690 Royal Bank of Canada 1,024,743 6.7 % 1,232,629 E D & F Man Capital Markets 981,383 6.4 % 1,034,330 Industrial and Commercial Bank of China 964,543 6.3 % 1,018,444 Mirae Asset Securities 955,053 6.2 % 1,011,962 MUFG Securities 800,043 5.2 % 865,731 Citigroup 739,881 4.8 % 862,726 Amherst Pierpont Securities 534,560 3.5 % 563,108 KGS-Alpha Capital Markets 468,171 3.0 % 497,673 JP Morgan 433,950 2.8 % 505,625 South Street Securities 391,157 2.5 % 410,702 Societe Generale 373,836 2.4 % 471,416 Goldman Sachs 331,685 2.2 % 424,913 Mizuho Securities 285,212 1.9 % 302,605 BNP Paribas Securities 280,800 1.8 % 312,536 Guggenheim Liquidity Services 270,239 1.8 % 285,207 Natixis Securities 264,068 1.7 % 296,149 Bank of Nova Scotia 236,178 1.5 % 251,630 Wells Fargo Securities 218,878 1.4 % 263,463 All other counterparties (2) 990,261 6.6 % 1,120,124 Total Repurchase Agreement Counterparties 13,702,321 89.3 % 15,054,450 Secured Loans Counterparty: FHLBI 1,650,000 10.7 % 1,910,709 Total 15,352,321 100.0 % 16,965,159 (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, 2017 . (2) Represents amounts outstanding with nine counterparties. December 31, 2017 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC 1,745,684 11.2 % 1,839,411 ING Financial Markets 1,482,603 9.4 % 1,571,061 Royal Bank of Canada 1,144,856 7.3 % 1,375,285 Industrial and Commercial Bank of China 1,038,844 6.6 % 1,102,543 E D & F Man Capital Markets 1,028,437 6.5 % 1,085,429 Mirae Asset Securities 958,756 6.1 % 1,018,664 MUFG Securities 865,201 5.5 % 936,071 Citigroup 724,094 4.6 % 841,977 Amherst Pierpont Securities 722,080 4.6 % 764,713 KGS-Alpha Capital Markets 461,098 2.9 % 491,313 JP Morgan 451,941 2.9 % 523,590 Societe Generale 386,737 2.5 % 495,093 BNP Paribas Securities 348,340 2.2 % 388,091 South Street Securities 332,623 2.1 % 354,689 Goldman Sachs 324,152 2.1 % 419,713 Mizuho Securities 310,835 2.0 % 330,555 Guggenheim Liquidity Services 306,081 1.9 % 322,452 Bank of Nova Scotia 289,705 1.8 % 301,715 Natixis Securities 275,764 1.8 % 302,291 All other counterparties (2) 882,970 5.5 % 1,058,759 Total Repurchase Agreement Counterparties 14,080,801 89.5 % 15,523,415 Secured Loans Counterparty: FHLBI 1,650,000 10.5 % 1,927,496 Total 15,730,801 100.0 % 17,450,911 (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, 2017 . (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, 2018 . Our repurchase agreement collateral ratio (MBS and GSE CRTs pledged as collateral/Amount Outstanding) was 110% as of June 30, 2018 ( December 31, 2017 : 110% ). 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, 2018 , 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, 2018 , IAS Services LLC had weighted average borrowings of $ 1.65 billion with a weighted average borrowing rate of 1.87% and a weighted average maturity of 5.9 years. The Federal Housing Finance Agency’s ("FHFA") final rule governing Federal Home Loan Bank membership (the "FHFA Rule") became effective on February 19, 2016. 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. 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 million in aggregate principal amount of Exchangeable Senior Notes (the "Notes") due March 15, 2018. We retired a portion of the Notes prior to their maturity and fully retired the Notes upon their maturity on March 15, 2018. We did not incur a loss on retirement of the Notes in the three months ended June 30, 2018. In the three months ended June 30, 2017 , we retired $31.2 million of the Notes for a repurchase price of $31.6 million . In the six months ended June 30, 2018 , we retired $143.4 million ( 2017 : $181.2 million ) of the Notes for a repurchase price of $143.4 million ( 2017 : $185.4 million ). Accrued interest payable on the Notes was approximately $2.1 million as of December 31, 2017 . |
Collateral Positions
Collateral Positions | 6 Months Ended |
Jun. 30, 2018 | |
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, futures contracts and currency forward contracts as of June 30, 2018 and December 31, 2017 . 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, 2017 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 condensed consolidated balance sheets. Cash collateral pledged on secured loans, bilateral interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on futures contracts is classified as due from counterparties on our condensed consolidated balance sheets. Cash collateral held on bilateral swaps that is not restricted for use is included in cash and cash equivalents on our condensed 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, 2018 and December 31, 2017 , we did not recognize any non-cash collateral held. $ in thousands As of Collateral Pledged June 30, 2018 December 31, 2017 Repurchase Agreements: Agency RMBS 11,166,220 11,788,765 Agency CMBS 140,714 — Non-Agency CMBS 1,809,084 853,446 Non-Agency RMBS 1,130,621 1,737,831 GSE CRT 807,811 1,143,373 Total repurchase agreements collateral pledged 15,054,450 15,523,415 Secured Loans: Agency RMBS 642,808 623,181 Non-Agency CMBS 1,267,901 1,304,315 Total secured loans collateral pledged 1,910,709 1,927,496 Interest Rate Swaps, Futures Contracts and Currency Forward Contracts: Agency RMBS (1) 82,778 109,900 Cash 7,255 620 Total interest rate swaps, futures contracts and currency forward contracts collateral pledged 90,033 110,520 Total: Mortgage-backed and credit risk transfer securities 17,047,937 17,560,811 Cash 7,255 620 Total collateral pledged 17,055,192 17,561,431 Collateral Held June 30, 2018 December 31, 2017 Interest Rate Swaps: Cash 39,748 7,327 Total collateral held 39,748 7,327 (1) During the first quarter of 2018, we determined that the amount disclosed as Agency RMBS collateral pledged on our interest rate swaps was understated by $86.2 million in our report on Form 10-K as of December 31, 2017. We concluded that the error in the amount disclosed was immaterial. We have revised the total amount of pledged securities disclosed parenthetically on our condensed consolidated balance sheet as of December 31, 2017 presented in this report on Form 10-Q and within the table above. 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 a registered clearing organization such as the Chicago Mercantile Exchange ("CME") and LCH. Clearnet Limited ("LCH") through a Futures Commission Merchant ("FCM"). 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. The FCM determines the fair value of our centrally cleared swaps, including daily variation margin. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Accordingly, cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps. Futures Contracts We are required to pledge initial margin and daily variation margin for our futures contracts that is based on the fair value of our contracts as determined by our FCM. The daily variation margin payment for our futures contracts is characterized as settlement of the futures contract itself rather than collateral. Accordingly, cash collateral pledged on our futures contracts is settled against the fair value of these contracts. 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, 2018 | |
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 2018 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps (1) (2) 8,620,000 1,500,000 (1,250,000 ) 8,870,000 Futures Contracts — 715,000 (430,000 ) 285,000 Currency Forward Contracts 76,859 156,754 (156,159 ) 77,454 Credit Derivatives 553,493 — (11,683 ) 541,810 Total 9,250,352 2,371,754 (1,847,842 ) 9,774,264 (1) Notional amount as of June 30, 2018 excludes $1.6 billion of interest rate swaps with forward start dates. (2) Notional amount as of December 31, 2017 excludes $500.0 million of interest rate swaps with forward start dates. 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 making fixed-rate payments to a counterparty in exchange for the receipt of variable-rate amounts over the life of the agreements without exchange of the underlying notional amount. 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 $6.9 million as a decrease ( June 30, 2017 : $6.4 million as a decrease) and $13.4 million as a decrease ( June 30, 2017 : $12.7 million as a decrease) to interest expense for the three and six months ended June 30, 2018 , respectively. During the next 12 months, we estimate that $24.2 million will be reclassified as a decrease to interest expense, repurchase agreements. As of June 30, 2018 , $110.6 million ( December 31, 2017 : $123.9 million ) of unrealized gains on discontinued cash flow hedges, net are still included in accumulated other comprehensive income and will be reclassified to interest expense over a period of time through December 15, 2023. As of June 30, 2018 , we had the following interest rate swaps outstanding: $ in thousands Counterparty Index Notional Maturity Date Fixed Interest Rate CME Central Clearing 1-month LIBOR 300,000 2/5/2021 2.50 % CME Central Clearing 1-month LIBOR 300,000 2/5/2021 2.69 % Wells Fargo Bank, N.A. 1-month LIBOR 200,000 3/15/2021 3.14 % CME Central Clearing 3-month LIBOR 500,000 5/24/2021 2.25 % Citibank, N.A. 1-month LIBOR 200,000 5/25/2021 2.83 % CME Central Clearing 3-month LIBOR 500,000 6/24/2021 2.44 % HSBC Bank USA, National Association 1-month LIBOR 550,000 2/24/2022 2.45 % CME Central Clearing 3-month LIBOR 1,000,000 6/9/2022 2.21 % CME Central Clearing 3-month LIBOR 1,000,000 8/14/2022 1.87 % The Royal Bank of Scotland Plc 1-month LIBOR 500,000 8/15/2023 1.98 % CME Central Clearing 1-month LIBOR 600,000 8/24/2023 2.88 % HSBC Bank USA, National Association 1-month LIBOR 500,000 12/15/2023 2.20 % CME Central Clearing 3-month LIBOR 450,000 1/12/2024 2.10 % CME Central Clearing 3-month LIBOR 450,000 1/25/2024 2.15 % LCH Central Clearing 3-month LIBOR 1,000,000 2/6/2025 2.77 % CME Central Clearing 3-month LIBOR 100,000 4/2/2025 2.04 % LCH Central Clearing 3-month LIBOR 220,000 8/31/2027 2.12 % CME Central Clearing 3-month LIBOR 250,000 5/24/2028 2.78 % CME Central Clearing 3-month LIBOR 250,000 5/24/2028 2.39 % Total 8,870,000 2.37 % As of June 30, 2018 , we had the following additional interest rate swaps outstanding with forward start dates: $ in thousands Counterparty Index Notional Maturity Date Fixed Interest Rate LCH Central Clearing (1) 3-month LIBOR 600,000 2/5/2026 2.64 % LCH Central Clearing (2) 1-month LIBOR 200,000 7/3/2028 2.78 % LCH Central Clearing (3) 3-month LIBOR 200,000 3/17/2031 2.74 % LCH Central Clearing (4) 1-month LIBOR 600,000 8/24/2033 3.18 % Total 1,600,000 2.87 % (1) Forward start date of 2/5/2021 (2) Forward start date of 7/2/2018 (3) Forward start date of 3/15/2021 (4) Forward start date of 8/24/2023 Refer to Note 8 - "Collateral Positions" for further information regarding our collateral pledged to and received from our interest rate swap counterparties. Futures and Currency Forward Contracts We purchase or sell U.S. Treasury futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our investment portfolio. We recognize realized and unrealized gains and losses associated with the purchases or sales of U.S. Treasury futures contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. 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. We recognize realized and unrealized gains and losses associated with the purchases or sales of currency forward contracts in gain (loss) on derivative instruments, net in our condensed consolidated statements of operations. As of June 30, 2018 , we have $50.8 million ( December 31, 2017 : $49.7 million ) of notional amount of forward contracts denominated in Pound Sterling and $26.7 million ( December 31, 2017 : $27.2 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 condensed consolidated balance sheets. At June 30, 2018 and December 31, 2017 , terms of the GSE CRT embedded derivatives are: $ in thousands June 30, 2018 December 31, 2017 Fair value amount 38,029 45,400 Notional amount 541,810 553,493 Maximum potential amount of future undiscounted payments 541,810 553,493 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, 2018 and December 31, 2017 . $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2018 As of December 31, 2017 As of June 30, 2018 As of December 31, 2017 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 44,122 6,896 Interest Rate Swaps Liability 3,415 31,548 Currency Forward Contracts 3,387 — Currency Forward Contracts — 1,217 Futures Contracts 2,656 — 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, 2018 and 2017 . $ in thousands Three months ended June 30, 2018 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 — 5,638 (4,903 ) 735 $ 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 Six months ended June 30, 2018 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 — 11,271 (7,371 ) 3,900 $ 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 The following table summarizes the effect of interest rate swaps, futures contracts and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and six months ended June 30, 2018 and 2017 : $ in thousands Three Months Ended June 30, 2018 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 34,273 (4,511 ) 32,985 62,747 Futures Contracts 640 — (1,044 ) (404 ) Currency Forward Contracts 1,361 — 3,465 4,826 Total 36,274 (4,511 ) 35,406 67,169 $ 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 Six Months Ended June 30, 2018 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 156,546 (16,623 ) 65,359 205,282 Futures Contracts (4,637 ) — (2,656 ) (7,293 ) Currency Forward Contracts (2,057 ) — 4,604 2,547 Total 149,852 (16,623 ) 67,307 200,536 $ in thousands Six Months Ended June 30, 2017 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 (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 ) 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, 2018 , 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 $3.5 million . We have minimum collateral posting thresholds with certain of our derivative counterparties and have pledged collateral of $5.3 million of Agency RMBS as of June 30, 2018 related to bilateral interest rate swap agreements. If we had breached any of these provisions at June 30, 2018 , 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, which includes accrued interest and variation margin but excludes any adjustment for non-performance risk, was a net asset of $6.7 million as of June 30, 2018 . We were in compliance with all of the financial provisions of these counterparty agreements as of June 30, 2018 . |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 6 Months Ended |
Jun. 30, 2018 | |
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 offset 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, 2018 and December 31, 2017 . The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of June 30, 2018 , our derivative asset of $6.7 million ( December 31, 2017 : derivative liability of $10.3 million ) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. Offsetting of Derivative Assets As of June 30, 2018 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) (3) 40,773 — 40,773 — (39,389 ) 1,384 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2018 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 (3) 6,071 — 6,071 (3,415 ) (2,656 ) — Repurchase Agreements (4) 13,702,321 — 13,702,321 (13,702,321 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,358,392 — 15,358,392 (15,355,736 ) (2,656 ) — Offsetting of Derivative Assets As of December 31, 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) (3) 6,896 — 6,896 — (6,896 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 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 (3) 22,445 — 22,445 (21,169 ) (620 ) 656 Repurchase Agreements (4) 14,080,801 — 14,080,801 (14,080,801 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,753,246 — 15,753,246 (15,751,970 ) (620 ) 656 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2018 and December 31, 2017 , 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 derivatives was $82.8 million ( December 31, 2017 : $109.9 million ) at June 30, 2018 , of which $77.4 million ( December 31, 2017 : $86.2 million ) relates to initial margin pledged on centrally cleared interest rate swaps. Centrally cleared interest rate swaps are excluded from the tables above. Cash collateral received on our derivatives was $39.7 million and $7.3 million at June 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged by us on our futures contracts and currency forward contracts were $7.3 million and $620,000 at June 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the tables above at June 30, 2018 and December 31, 2017 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $15.1 billion and $15.5 billion at June 30, 2018 and December 31, 2017 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at June 30, 2018 and December 31, 2017 , respectively. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 6 Months Ended |
Jun. 30, 2018 | |
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, 2018 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) — 17,545,158 38,029 — 17,583,187 Derivative assets — 47,509 — — 47,509 Other assets (4) 3,962 — — 28,997 32,959 Total assets 3,962 17,592,667 38,029 28,997 17,663,655 Liabilities: Derivative liabilities 2,656 3,415 — — 6,071 Total liabilities 2,656 3,415 — — 6,071 December 31, 2017 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) — 18,145,354 45,400 — 18,190,754 Derivative assets — 6,896 — — 6,896 Other assets (4) 3,979 — — 25,972 29,951 Total assets 3,979 18,152,250 45,400 25,972 18,227,601 Liabilities: Derivative liabilities — 32,765 — — 32,765 Total liabilities — 32,765 — — 32,765 (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, 2018 , the net embedded derivative asset position of $38.0 million includes $39.4 million of embedded derivatives in an asset position and $1.4 million of embedded derivatives in a liability position. As of December 31, 2017 , the net embedded derivative asset position of $45.4 million includes $46.5 million of embedded derivatives in an asset position and $1.1 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, 2018 and December 31, 2017 , the weighted average remaining term of investments in unconsolidated ventures is 2.2 and 1.9 years, respectively. (4) Includes $4.0 million and $4.0 million of investment in an exchange-traded fund as of June 30, 2018 and December 31, 2017 , 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 June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Beginning balance 42,932 31,243 45,400 17,095 Unrealized credit derivative gains (losses), net (4,903 ) 15,559 (7,371 ) 29,707 Ending balance 38,029 46,802 38,029 46,802 The following tables summarize 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, 2018 Technique Input Range Average GSE CRT Embedded Derivatives 38,029 Market Comparables, Vendor Pricing Weighted average life 2.8 - 6.4 years 4.6 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2017 Technique Input Range Average GSE CRT Embedded Derivatives 45,400 Market Comparables, Vendor Pricing Weighted average life 2.6 - 6.8 years 4.8 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, 2018 and December 31, 2017 : June 30, 2018 December 31, 2017 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 127,607 127,770 191,808 191,930 Other assets 74,250 74,250 74,250 74,250 Total 201,857 202,020 266,058 266,180 Financial Liabilities Repurchase agreements 13,702,321 13,702,411 14,080,801 14,080,460 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes — — 143,231 143,948 Total 15,352,321 15,352,411 15,874,032 15,874,408 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, 2018 | |
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, 2018 , we reimbursed our Manager $217,000 ( June 30, 2017 : $202,000 ) and $431,000 ( June 30, 2017 : $387,000 ), respectively, for costs of support personnel that are fully dedicated to our business. We have invested $24.2 million as of June 30, 2018 ( December 31, 2017 : $74.4 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. 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 including proceeds from the issuance of operating partnership units to an affiliate of our Manager, 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. The following table summarizes the costs incurred on our behalf by our Manager for the three and six months ended June 30, 2018 and 2017 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Incurred costs, prepaid or expensed 1,300 1,249 2,792 2,794 Incurred costs, charged against equity as a cost of raising capital 2 — 167 — Total incurred costs, originally paid by our Manager 1,302 1,249 2,959 2,794 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, 2018 | |
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. 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. In August 2017, we completed a public offering of 11,500,000 shares of 7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock at the price of $25.00 per share. Holders of our Series C Preferred Stock are entitled to receive dividends at an annual rate of 7.50% of the liquidation preference of $25.00 per share or $1.875 per share per annum until September 27, 2027. After September 27, 2027, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.289% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. As of July 27, 2017, we had the option to redeem shares of Series A Preferred Stock for $25.00 per share, plus any accumulated and unpaid dividends through the date of redemption. We have the option to redeem shares of Series B Preferred Stock after December 27, 2024 and shares of Series C Preferred Stock after September 27, 2027 for $25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption. Shares of Series B and Series C Preferred Stock 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. Common Stock In December 2017, we entered into an equity distribution agreement with a placement agent under which we may sell up to 17,000,000 shares of our common stock from time to time in at-the-market or privately negotiated transactions. These shares are registered with the SEC under our automatic shelf registration statement (as amended and/or supplemented). As of June 30, 2018 , we have not sold any shares of common stock under the equity distribution agreement. 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, 2018 and 2017 , we did not repurchase any shares of our common stock. As of June 30, 2018 , we had authority to purchase 18,239,082 shares of our common stock through 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, 2018 , 771,823 shares of common stock remain available for future issuance under the Incentive Plan. We recognized compensation expense of approximately $106,000 ( June 30, 2017 : $112,000 ) and approximately $199,000 ( June 30, 2017 : $197,000 ) for shares issued to our independent directors under the Incentive Plan for the three and six months ended June 30, 2018 . During the three months ended June 30, 2018 and 2017 , we issued 6,465 shares and 5,292 shares of common stock, respectively, to our independent directors. During the six months ended June 30, 2018 and 2017 , we issued 13,642 shares and 10,748 shares of common stock, respectively, 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 $30,000 ( June 30, 2017 : $35,000 ) and approximately $44,000 ( June 30, 2017 : $66,000 ) for the three and six months ended June 30, 2018 for restricted stock units awarded to employees of our Manager and its affiliates under the Incentive Plan. Our Manager reimburses us for the cost of these restricted stock awards under the terms of our management agreement. At June 30, 2018 there was approximately $276,000 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, 2018 . Three Months Ended June 30, Six Months Ended June 30, 2018 2018 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 19,185 $ 14.56 19,827 $ 14.35 Shares granted during the period — — 7,055 15.37 Shares vested during the period — — (7,697 ) 14.75 Unvested at the end of the period 19,185 $ 14.56 19,185 $ 14.56 (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. Accumulated Other Comprehensive Income The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income ("AOCI") for the three and six months ended June 30, 2018 and 2017 . The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended June 30, 2018 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (47,929 ) — (47,929 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 9,889 — 9,889 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,898 ) (6,898 ) Currency translation adjustments on investment in unconsolidated venture 486 — — 486 Total other comprehensive income/(loss) 486 (38,040 ) (6,898 ) (44,452 ) AOCI balance at beginning of period 1,255 14,660 117,437 133,352 Total other comprehensive income/(loss) 486 (38,040 ) (6,898 ) (44,452 ) Other comprehensive income/(loss) attributable to non-controlling interest (5 ) 479 87 561 AOCI balance at end of period 1,736 (22,901 ) 110,626 89,461 Three Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) 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 Total other comprehensive income/(loss) 139 40,284 (6,369 ) 34,054 AOCI balance at beginning of period (512 ) 161,381 142,896 303,765 Total other comprehensive income/(loss) 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 AOCI balance at end of period (375 ) 201,158 136,608 337,391 Six Months Ended June 30, 2018 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (180,246 ) — (180,246 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 19,126 — 19,126 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — (13,437 ) (13,437 ) Currency translation adjustments on investment in unconsolidated venture 798 — — 798 Total other comprehensive income/(loss) 798 (161,120 ) (13,437 ) (173,759 ) AOCI balance at beginning of period 947 136,188 123,894 261,029 Total other comprehensive income/(loss) 798 (161,120 ) (13,437 ) (173,759 ) Other comprehensive income/(loss) attributable to non-controlling interest (9 ) 2,031 169 2,191 AOCI balance at end of period 1,736 (22,901 ) 110,626 89,461 Six Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) 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 ) Total other comprehensive income/(loss) (476 ) 57,423 (12,667 ) 44,280 AOCI balance at beginning of period 95 144,458 149,115 293,668 Total other comprehensive income/(loss) (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 AOCI balance at end of period (375 ) 201,158 136,608 337,391 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. Dividends On June 15, 2018 , we declared the following dividends: • a dividend of $0.42 per share of common stock to be paid on July 26, 2018 to stockholders of record as of the close of business on June 27, 2018 ; and • a dividend of $0.4844 per share of Series A Preferred Stock to be paid on July 25, 2018 to stockholders of record as of the close of business on July 1, 2018 . On May 2, 2018 , we declared the following dividends: • a dividend of $0.4844 per share of Series B Preferred Stock payable on June 27, 2018 to stockholders of record as of the close of business on June 5, 2018 ; and • a dividend of $0.46875 per share of Series C Preferred Stock payable on June 27, 2018 to stockholders of record as of the close of business on June 5, 2018 . |
Earnings per Common Share
Earnings per Common Share | 6 Months Ended |
Jun. 30, 2018 | |
Earnings Per Share [Abstract] | |
Earnings per Common Share | Earnings per Common Share Earnings per share for the three and six months ended June 30, 2018 and 2017 is computed as follows: Three Months Ended June 30, Six Months Ended June 30, In thousands except per share amounts 2018 2017 2018 2017 Numerator (Income) Basic Earnings: Net income available to common stockholders 80,008 46,834 121,479 133,964 Effect of dilutive securities: Income allocated to exchangeable senior notes — 3,504 1,621 8,512 Income allocated to non-controlling interest 1,163 670 1,834 1,856 Dilutive net income available to stockholders 81,171 51,008 124,934 144,332 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 111,641 111,608 111,635 111,603 Effect of dilutive securities: Restricted stock awards 19 20 19 20 Non-controlling interest OP units 1,425 1,425 1,425 1,425 Exchangeable senior notes — 10,507 2,389 12,782 Dilutive Shares 113,085 123,560 115,468 125,830 Earnings per share: Net income attributable to common stockholders Basic 0.72 0.42 1.09 1.20 Diluted 0.72 0.41 1.08 1.15 |
Non-controlling Interest - Oper
Non-controlling Interest - Operating Partnership | 6 Months Ended |
Jun. 30, 2018 | |
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, 2018 and December 31, 2017 , 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, 2018 and 2017 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Net income allocated 1,163 670 1,834 1,856 Distributions paid 598 570 1,197 1,140 As of June 30, 2018 and December 31, 2017 , distributions payable to the non-controlling interest were $598,500 and $598,500 , respectively. |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2018 | |
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, 2018 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, 2018 and December 31, 2017 , our undrawn capital and purchase commitments were $7.5 million and $10.2 million , respectively. As discussed in Note 5 - "Commercial Loans Held-for-Investment", we purchase and originate commercial loans. As of June 30, 2018 and December 31, 2017 , we have unfunded commitments on commercial loans held-for-investment of $2.7 million and $4.8 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, 2018 | |
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, 2018 | |
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, 2017 . |
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. |
Restricted Cash | Restricted Cash Restricted cash represents cash posted with the Federal Home Loan Bank of Indianapolis ("FHLBI") as collateral for secured loans and cash posted with counterparties as collateral for various derivative instruments. Cash held by counterparties as collateral is legally restricted and is not available for general corporate purposes. |
Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements | Accounting Pronouncements Recently Adopted Effective January 1, 2018, we adopted the accounting guidance that amends certain aspects of recognition, measurement, presentation, and disclosure of financial assets and liabilities. The standard requires that all equity investments, other than those accounted for as equity method investments, be measured at fair value with changes recognized in income. As of January 1, 2018, we had three types of equity investments: investments in unconsolidated ventures, an investment in an exchange traded fund, and an investment in FHLBI stock. Our investments in unconsolidated ventures are accounted for as equity method investments, and our investment in an exchange-traded fund is measured at fair value with changes recognized in income. While the standard eliminates the cost method for equity investments without readily determinable fair values, it does allow an election to record equity investments without readily determinable fair values at cost, less impairment, and plus or minus adjustments for observable price changes. We have elected to record our investment in FHLBI stock at cost, less impairment. As such, the adoption of this accounting guidance did not impact our financial condition or results of operations. The standard also amends certain disclosure requirements for financial instruments. Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" for a tabular summary of the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type. Effective January 1, 2018, we adopted the accounting guidance intended to reduce diversity in how restricted cash and certain transactions are classified in the statement of cash flows. The new guidance requires that the statement of cash flows explains the difference during the period in the total of cash, cash equivalents and amounts generally described as restricted cash or restricted cash equivalents. We adopted the accounting standard on a retrospective basis, which required us to restate our statement of cash flows for the six months ended June 30, 2017 . The adoption resulted in a $15.5 million decrease in net cash provided by operating activities, $17.3 million decrease in net cash used in investing activities and $1.8 million decrease in net cash provided by financing activities. We included restricted cash of $620,000 as of December 31, 2017 in our reconciliation of cash, cash equivalents and restricted cash on the condensed consolidated statements of cash flows. We did not have any restricted cash as of June 30, 2018. Pending Accounting Pronouncements In June 2016, new accounting guidance was issued for reporting credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities will measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost, and require entities to record allowances for available-for-sale debt securities rather than reduce the carrying amount, as they do today under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans. We are required to adopt the new guidance in the first quarter of 2020 by recording a cumulative effect adjustment to retained earnings as of January 1, 2020. We are currently evaluating the potential impacts of the new guidance on our consolidated financial statements. In June 2018, new accounting guidance was issued that aligns the measurement and classification for stock-based payments to non-employees with the guidance for stock-based payments to employees. Under the new guidance, the measurement of equity-classified non-employee awards will be fixed at the grant date. We are required to adopt the new guidance in the first quarter of 2019 by recording a cumulative effect adjustment to retained earnings as of January 1, 2019. 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, 2018 | |
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, 2018 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 3,151,237 3,151,237 Non-Agency RMBS 1,220,076 1,220,076 Investments in unconsolidated ventures 28,997 28,997 Total 4,400,310 4,400,310 |
Mortgage-Backed and Credit Ri27
Mortgage-Backed and Credit Risk Transfer Securities (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Investment Portfolio | The following tables summarize our mortgage-backed securities ("MBS") and GSE CRT portfolio by asset type as of June 30, 2018 and December 31, 2017 . June 30, 2018 $ in thousands Principal/ Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Quarterly Weighted Average Yield (2) Agency RMBS: 15 year fixed-rate 2,532,605 85,680 2,618,285 (95,101 ) 2,523,184 2.32 % 1.99 % 30 year fixed-rate 7,602,464 284,277 7,886,741 (221,602 ) 7,665,139 3.14 % 2.95 % ARM * 215,178 1,300 216,478 (1,677 ) 214,801 2.58 % 2.43 % Hybrid ARM 1,566,739 23,143 1,589,882 (22,831 ) 1,567,051 2.56 % 2.28 % Total Agency RMBS pass-through 11,916,986 394,400 12,311,386 (341,211 ) 11,970,175 2.88 % 2.65 % Agency-CMO (3) 995,408 (745,565 ) 249,843 (11,027 ) 238,816 3.26 % 3.04 % Agency CMBS 150,268 1,940 152,208 19 152,227 3.46 % 3.63 % Non-Agency CMBS (4) 3,871,603 (700,887 ) 3,170,716 (19,479 ) 3,151,237 5.02 % 4.95 % Non-Agency RMBS (5)(6)(7) 2,945,105 (1,851,911 ) 1,093,194 126,882 1,220,076 7.09 % 7.12 % GSE CRT (8) 744,545 22,913 767,458 83,198 850,656 2.81 % 3.37 % Total 20,623,915 (2,879,110 ) 17,744,805 (161,618 ) 17,583,187 3.53 % 3.36 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of June 30, 2018 and incorporates future prepayment and loss assumptions. (2) Quarterly weighted average 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. (3) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 79.3% of principal/notional balance, 17.0% of amortized cost and 16.1% of fair value. (4) Non-Agency CMBS includes interest-only securities which represent 15.7% of principal/notional balance, 0.5% of amortized cost and 0.6% of fair value. (5) Non-Agency RMBS held by us is 47.6% variable rate, 46.0% fixed rate and 6.4% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $190.7 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities ("Non-Agency IO") which represent 55.7% of principal/notional balance, 2.4% of amortized cost and 2.3% of fair value. (8) GSE CRT 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. December 31, 2017 $ in thousands Principal/Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Quarterly Weighted Average Yield (2) Agency RMBS: 15 year fixed-rate 2,917,307 119,120 3,036,427 (61,645 ) 2,974,782 2.17 % 1.98 % 30 year fixed-rate 7,354,211 295,977 7,650,188 (9,648 ) 7,640,540 3.09 % 2.90 % ARM 238,486 1,609 240,095 1,105 241,200 2.60 % 2.36 % Hybrid ARM 1,696,148 26,066 1,722,214 (2,829 ) 1,719,385 2.54 % 2.25 % Total Agency RMBS pass-through 12,206,152 442,772 12,648,924 (73,017 ) 12,575,907 2.79 % 2.58 % Agency-CMO (3) 1,226,539 (942,290 ) 284,249 (10,306 ) 273,943 2.91 % 2.74 % Non-Agency CMBS (4) 3,879,775 (704,097 ) 3,175,678 40,739 3,216,417 4.92 % 4.77 % Non-Agency RMBS (5)(6)(7) 2,785,704 (1,661,683 ) 1,124,021 133,587 1,257,608 7.19 % 7.18 % GSE CRT (8) 757,183 24,306 781,489 85,390 866,879 2.45 % 2.79 % Total 20,855,353 (2,840,992 ) 18,014,361 176,393 18,190,754 3.42 % 3.27 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2017 and incorporates future prepayment and loss assumptions. (2) Quarterly weighted average 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. (3) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 81.8% o f principal (notional) balance, 20.9% of amortized cost and 18.7% of fair value. (4) Non-Agency CMBS includes interest-only securities which represent 15.8% of principal/notional balance, 0.5% of amortized cost and 0.6% of fair value. (5) Non-Agency RMBS held by us is 52.2% variable rate, 37.8% fixed rate, and 10.0% floating rate based on fair value. (6) Of the total discount in non-Agency RMBS, $195.3 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities, which represent 51.5% of principal/notional balance, 2.0% of amortized cost and 1.8% of fair value. (8) GSE CRT 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. The components of the carrying value of our MBS and GSE CRT portfolio at June 30, 2018 and December 31, 2017 are presented below. June 30, 2018 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 17,743,581 2,880,334 20,623,915 Unamortized premium 471,489 — 471,489 Unamortized discount (552,058 ) (2,798,541 ) (3,350,599 ) Gross unrealized gains (1) 253,314 7,010 260,324 Gross unrealized losses (1) (415,201 ) (6,741 ) (421,942 ) Fair value 17,501,125 82,062 17,583,187 December 31, 2017 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/ notional balance 17,974,390 2,880,963 20,855,353 Unamortized premium 521,626 — 521,626 Unamortized discount (577,344 ) (2,785,274 ) (3,362,618 ) Gross unrealized gains (1) 336,543 5,113 341,656 Gross unrealized losses (1) (155,146 ) (10,117 ) (165,263 ) Fair value 18,100,069 90,685 18,190,754 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the three and six months ended June 30, 2018 and 2017 is provided later in this Note 4. |
Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type | The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of June 30, 2018 and December 31, 2017 . We have elected the fair value option for all of our RMBS IOs, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of June 30, 2018 and December 31, 2017, approximately 41% and 36% , respectively, of our MBS and GSE CRTs are accounted for under the fair value option. June 30, 2018 December 31, 2017 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Fair Value Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 15 year fixed-rate 2,170,906 352,278 2,523,184 2,842,440 132,342 2,974,782 30 year fixed-rate 2,216,755 5,448,384 7,665,139 2,467,871 5,172,669 7,640,540 ARM * 214,801 — 214,801 241,200 — 241,200 Hybrid ARM 1,535,502 31,549 1,567,051 1,719,385 — 1,719,385 Total RMBS Agency pass-through 6,137,964 5,832,211 11,970,175 7,270,896 5,305,011 12,575,907 Agency-CMO 182,293 56,523 238,816 203,351 70,592 273,943 Agency CMBS — 152,227 152,227 — — — Non-Agency CMBS 2,294,341 856,896 3,151,237 2,376,413 840,004 3,216,417 Non-Agency RMBS 1,075,371 144,705 1,220,076 1,236,178 21,430 1,257,608 GSE CRT 619,553 231,103 850,656 635,537 231,342 866,879 Total 10,309,522 7,273,665 17,583,187 11,722,375 6,468,379 18,190,754 |
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, 2018 and December 31, 2017 . $ in thousands June 30, 2018 December 31, 2017 Less than one year 135,350 135,559 Greater than one year and less than five years 6,166,267 7,934,836 Greater than or equal to five years 11,281,570 10,120,359 Total 17,583,187 18,190,754 |
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, 2018 and December 31, 2017 . June 30, 2018 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 385,423 (5,524 ) 87 1,780,406 (92,961 ) 127 2,165,829 (98,485 ) 214 30 year fixed-rate 5,930,551 (182,696 ) 212 890,051 (50,074 ) 58 6,820,602 (232,770 ) 270 ARM 157,531 (2,230 ) 17 530 (26 ) 1 158,061 (2,256 ) 18 Hybrid ARM 852,306 (12,652 ) 94 436,416 (12,707 ) 46 1,288,722 (25,359 ) 140 Total Agency RMBS pass-through (1) 7,325,811 (203,102 ) 410 3,107,403 (155,768 ) 232 10,433,214 (358,870 ) 642 Agency-CMO (2) 149,189 (9,756 ) 43 71,796 (3,873 ) 5 220,985 (13,629 ) 48 Agency CMBS (3) 69,365 (78 ) 1 — — — 69,365 (78 ) 1 Non-Agency CMBS (4) 1,842,373 (35,757 ) 136 207,220 (11,547 ) 17 2,049,593 (47,304 ) 153 Non-Agency RMBS (5) 250,751 (1,687 ) 30 50,145 (374 ) 7 300,896 (2,061 ) 37 Total 9,637,489 (250,380 ) 620 3,436,564 (171,562 ) 261 13,074,053 (421,942 ) 881 (1) Amounts disclosed includes Agency RMBS with a fair value of $ 5.3 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 177.0 million . (2) Amounts disclosed includes Agency IO and Agency-CMO with fair value of $22.4 million and $18.0 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $6.5 million and $856,000 , respectively. (3) Fair value option has been elected for all Agency CMBS. (4) Amounts disclosed includes Non-Agency CMBS with a fair value of $693.4 million for which the fair value option has been elected. Such securities have unrealized losses of $21.8 million . (5) Amounts disclosed includes Non-Agency RMBS and Non-Agency IO with a fair value of $111.2 million and $10.7 million , respectively for which the fair value option has been elected. Such securities have unrealized losses of $4,000 and $247,000 , respectively. December 31, 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 111,020 (321 ) 26 2,406,021 (67,285 ) 133 2,517,041 (67,606 ) 159 30 year fixed-rate 3,677,576 (20,730 ) 107 963,547 (27,158 ) 56 4,641,123 (47,888 ) 163 ARM 101,173 (902 ) 12 — — — 101,173 (902 ) 12 Hybrid ARM 614,321 (4,189 ) 73 517,642 (8,091 ) 47 1,131,963 (12,280 ) 120 Total Agency RMBS pass-through (1) 4,504,090 (26,142 ) 218 3,887,210 (102,534 ) 236 8,391,300 (128,676 ) 454 Agency-CMO (2) 75,299 (10,433 ) 44 81,988 (2,309 ) 5 157,287 (12,742 ) 49 Non-Agency CMBS (3) 892,553 (17,612 ) 81 135,139 (3,792 ) 12 1,027,692 (21,404 ) 93 Non-Agency RMBS (4) 84,439 (709 ) 15 96,263 (1,732 ) 11 180,702 (2,441 ) 26 Total 5,556,381 (54,896 ) 358 4,200,600 (110,367 ) 264 9,756,981 (165,263 ) 622 (1) Amounts disclosed includes Agency RMBS with a fair value of $3.4 billion for which the fair value option has been elected. Such securities have unrealized losses of $ 22.8 million . (2) Amounts disclosed includes Agency IO and Agency-CMO with fair value of $36.5 million and $9.5 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $10.1 million and $88,000 , respectively. (3) Amounts disclosed includes Non-Agency CMBS with a fair value of $596.0 million for which the fair value option has been elected. Such securities have unrealized losses of $8.9 million . (4) Amounts disclosed includes Non-Agency IO with a fair value of $530,000 for which the fair value option has been elected. Such securities have unrealized losses of $39,000 . |
Changes in other than temporary impairment included in earnings | The following table summarizes OTTI included in earnings for the three and six months ended June 30, 2018 and 2017 : Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 RMBS interest-only securities 2,089 3,585 6,398 3,876 Non-Agency RMBS (1) — 513 50 754 Total 2,089 4,098 6,448 4,630 (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. |
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, 2018 and 2017 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Gross realized gains on sale of investments 35 1,311 35 2,215 Gross realized losses on sale of investments (11,560 ) (1,962 ) (20,797 ) (3,873 ) Other-than-temporary impairment losses (2,089 ) (4,098 ) (6,448 ) (4,630 ) Net unrealized gains and losses on MBS accounted for under the fair value option (22,941 ) 7,715 (170,136 ) 4,113 Net unrealized gains and losses on GSE CRT accounted for under the fair value option 182 8,195 616 11,474 Net unrealized gains and losses on trading securities (4 ) 14 (17 ) 23 Total gain (loss) on investments, net (36,377 ) 11,175 (196,747 ) 9,322 |
Components of MBS and GSE CRT Interest Income | The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three and six months ended June 30, 2018 and 2017 . 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, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 105,430 (22,275 ) 83,155 Non-Agency CMBS 38,101 1,195 39,296 Non-Agency RMBS 13,195 5,159 18,354 GSE CRT 7,180 (696 ) 6,484 Other 259 — 259 Total 164,165 (16,617 ) 147,548 For the three months ended June 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 91,979 (27,775 ) 64,204 Non-Agency CMBS 31,506 (1,852 ) 29,654 Non-Agency RMBS 18,131 3,734 21,865 GSE CRT 5,556 (347 ) 5,209 Other 95 — 95 Total 147,267 (26,240 ) 121,027 For the six months ended June 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 213,747 (45,497 ) 168,250 Non-Agency CMBS 75,394 2,621 78,015 Non-Agency RMBS 27,207 10,336 37,543 GSE CRT 13,705 (1,393 ) 12,312 Other 431 — 431 Total 330,484 (33,933 ) 296,551 For the six months ended June 30, 2017 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS and CMBS 183,210 (56,353 ) 126,857 Non-Agency CMBS 61,182 (4,486 ) 56,696 Non-Agency RMBS 38,745 8,121 46,866 GSE CRT 10,043 (718 ) 9,325 Other 156 — 156 Total 293,336 (53,436 ) 239,900 |
Commercial Loans Held-for-Inv28
Commercial Loans Held-for-Investment (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Receivables [Abstract] | |
Schedule of Commercial Loans Held-for-Investment | The following table summarizes purchased or originated commercial mezzanine loans held-for-investment as of June 30, 2018 and December 31, 2017 . $ in thousands Number of loans Principal Balance Unamortized (fees)/ costs, net Carrying value Weighted Average Coupon Weighted Average Years to Maturity (1) June 30, 2018 5 127,638 (31 ) 127,607 8.96 % 0.7 December 31, 2017 8 191,894 (86 ) 191,808 8.52 % 1.2 (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, 2018 | |
Schedule of Investments [Abstract] | |
Summary of Company's Other Investments | The following table summarizes our other assets as of June 30, 2018 and December 31, 2017 . $ in thousands June 30, 2018 December 31, 2017 FHLBI stock 74,250 74,250 Investments in unconsolidated ventures 28,997 25,972 Investment in exchange-traded fund 3,962 3,979 Prepaid expenses and other assets 915 1,379 Total 108,124 105,580 |
Borrowings (Tables)
Borrowings (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Debt Disclosure [Abstract] | |
Schedule of Borrowings | The following tables summarize certain characteristics of our borrowings at June 30, 2018 and December 31, 2017 . Refer to Note 8 - "Collateral Positions" for collateral pledged under our repurchase agreements and secured loans. $ in thousands June 30, 2018 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 10,537,934 2.13 % 22 Agency CMBS 133,417 2.10 % 30 Non-Agency CMBS 1,450,627 3.25 % 23 Non-Agency RMBS 917,106 3.28 % 23 GSE CRT 663,237 3.18 % 23 Total Repurchase Agreements 13,702,321 2.38 % 23 Secured Loans 1,650,000 2.18 % 2,136 Total Borrowings 15,352,321 2.36 % 250 $ in thousands December 31, 2017 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 11,111,755 1.58 % 25 Non-Agency CMBS 1,396,330 2.61 % 9 Non-Agency RMBS 915,225 2.77 % 31 GSE CRT 657,491 2.78 % 24 Total Repurchase Agreements 14,080,801 1.82 % 25 Secured Loans 1,650,000 1.52 % 2,317 Exchangeable Senior Notes (1) 143,410 5.00 % 74 Total Borrowings 15,874,211 1.82 % 263 (1) The carrying value of exchangeable senior notes was $143.2 million as of December 31, 2017 . The carrying value was net of unamortized debt issuance costs of $179,000 as of December 31, 2017 . |
Schedule of Maturities of Outstanding Borrowings | The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of Borrowings maturing within: June 30, 2018 7/1/2018 - 6/30/2019 13,702,321 7/1/2019 - 6/30/2020 300,000 7/1/2020 - 6/30/2021 100,000 7/1/2021 - 6/30/2022 — 7/1/2022 - 6/30/2023 — Thereafter 1,250,000 Total 15,352,321 |
Schedule of Repurchase Agreements by Counterparties | The following tables summarize certain characteristics of our repurchase agreements and secured loans at June 30, 2018 and December 31, 2017 . June 30, 2018 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC 1,808,727 11.8 % 1,897,787 ING Financial Market 1,348,953 8.8 % 1,425,690 Royal Bank of Canada 1,024,743 6.7 % 1,232,629 E D & F Man Capital Markets 981,383 6.4 % 1,034,330 Industrial and Commercial Bank of China 964,543 6.3 % 1,018,444 Mirae Asset Securities 955,053 6.2 % 1,011,962 MUFG Securities 800,043 5.2 % 865,731 Citigroup 739,881 4.8 % 862,726 Amherst Pierpont Securities 534,560 3.5 % 563,108 KGS-Alpha Capital Markets 468,171 3.0 % 497,673 JP Morgan 433,950 2.8 % 505,625 South Street Securities 391,157 2.5 % 410,702 Societe Generale 373,836 2.4 % 471,416 Goldman Sachs 331,685 2.2 % 424,913 Mizuho Securities 285,212 1.9 % 302,605 BNP Paribas Securities 280,800 1.8 % 312,536 Guggenheim Liquidity Services 270,239 1.8 % 285,207 Natixis Securities 264,068 1.7 % 296,149 Bank of Nova Scotia 236,178 1.5 % 251,630 Wells Fargo Securities 218,878 1.4 % 263,463 All other counterparties (2) 990,261 6.6 % 1,120,124 Total Repurchase Agreement Counterparties 13,702,321 89.3 % 15,054,450 Secured Loans Counterparty: FHLBI 1,650,000 10.7 % 1,910,709 Total 15,352,321 100.0 % 16,965,159 (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, 2017 . (2) Represents amounts outstanding with nine counterparties. December 31, 2017 $ in thousands Amount Outstanding Percent of Total Amount Outstanding MBS and GSE CRT Pledged as Collateral (1) Repurchase Agreement Counterparties: HSBC 1,745,684 11.2 % 1,839,411 ING Financial Markets 1,482,603 9.4 % 1,571,061 Royal Bank of Canada 1,144,856 7.3 % 1,375,285 Industrial and Commercial Bank of China 1,038,844 6.6 % 1,102,543 E D & F Man Capital Markets 1,028,437 6.5 % 1,085,429 Mirae Asset Securities 958,756 6.1 % 1,018,664 MUFG Securities 865,201 5.5 % 936,071 Citigroup 724,094 4.6 % 841,977 Amherst Pierpont Securities 722,080 4.6 % 764,713 KGS-Alpha Capital Markets 461,098 2.9 % 491,313 JP Morgan 451,941 2.9 % 523,590 Societe Generale 386,737 2.5 % 495,093 BNP Paribas Securities 348,340 2.2 % 388,091 South Street Securities 332,623 2.1 % 354,689 Goldman Sachs 324,152 2.1 % 419,713 Mizuho Securities 310,835 2.0 % 330,555 Guggenheim Liquidity Services 306,081 1.9 % 322,452 Bank of Nova Scotia 289,705 1.8 % 301,715 Natixis Securities 275,764 1.8 % 302,291 All other counterparties (2) 882,970 5.5 % 1,058,759 Total Repurchase Agreement Counterparties 14,080,801 89.5 % 15,523,415 Secured Loans Counterparty: FHLBI 1,650,000 10.5 % 1,927,496 Total 15,730,801 100.0 % 17,450,911 (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, 2017 . (2) Represents amounts outstanding with seven counterparties. |
Collateral Positions (Tables)
Collateral Positions (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
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, futures contracts and currency forward contracts as of June 30, 2018 and December 31, 2017 . 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, 2017 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 condensed consolidated balance sheets. Cash collateral pledged on secured loans, bilateral interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on futures contracts is classified as due from counterparties on our condensed consolidated balance sheets. Cash collateral held on bilateral swaps that is not restricted for use is included in cash and cash equivalents on our condensed 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, 2018 and December 31, 2017 , we did not recognize any non-cash collateral held. $ in thousands As of Collateral Pledged June 30, 2018 December 31, 2017 Repurchase Agreements: Agency RMBS 11,166,220 11,788,765 Agency CMBS 140,714 — Non-Agency CMBS 1,809,084 853,446 Non-Agency RMBS 1,130,621 1,737,831 GSE CRT 807,811 1,143,373 Total repurchase agreements collateral pledged 15,054,450 15,523,415 Secured Loans: Agency RMBS 642,808 623,181 Non-Agency CMBS 1,267,901 1,304,315 Total secured loans collateral pledged 1,910,709 1,927,496 Interest Rate Swaps, Futures Contracts and Currency Forward Contracts: Agency RMBS (1) 82,778 109,900 Cash 7,255 620 Total interest rate swaps, futures contracts and currency forward contracts collateral pledged 90,033 110,520 Total: Mortgage-backed and credit risk transfer securities 17,047,937 17,560,811 Cash 7,255 620 Total collateral pledged 17,055,192 17,561,431 Collateral Held June 30, 2018 December 31, 2017 Interest Rate Swaps: Cash 39,748 7,327 Total collateral held 39,748 7,327 (1) During the first quarter of 2018, we determined that the amount disclosed as Agency RMBS collateral pledged on our interest rate swaps was understated by $86.2 million in our report on Form 10-K as of December 31, 2017. We concluded that the error in the amount disclosed was immaterial. We have revised the total amount of pledged securities disclosed parenthetically on our condensed consolidated balance sheet as of December 31, 2017 presented in this report on Form 10-Q and within the table above. |
Derivatives and Hedging Activ32
Derivatives and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
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 2018 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps (1) (2) 8,620,000 1,500,000 (1,250,000 ) 8,870,000 Futures Contracts — 715,000 (430,000 ) 285,000 Currency Forward Contracts 76,859 156,754 (156,159 ) 77,454 Credit Derivatives 553,493 — (11,683 ) 541,810 Total 9,250,352 2,371,754 (1,847,842 ) 9,774,264 (1) Notional amount as of June 30, 2018 excludes $1.6 billion of interest rate swaps with forward start dates. (2) Notional amount as of December 31, 2017 excludes $500.0 million of interest rate swaps with forward start dates. |
Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges | As of June 30, 2018 , we had the following interest rate swaps outstanding: $ in thousands Counterparty Index Notional Maturity Date Fixed Interest Rate CME Central Clearing 1-month LIBOR 300,000 2/5/2021 2.50 % CME Central Clearing 1-month LIBOR 300,000 2/5/2021 2.69 % Wells Fargo Bank, N.A. 1-month LIBOR 200,000 3/15/2021 3.14 % CME Central Clearing 3-month LIBOR 500,000 5/24/2021 2.25 % Citibank, N.A. 1-month LIBOR 200,000 5/25/2021 2.83 % CME Central Clearing 3-month LIBOR 500,000 6/24/2021 2.44 % HSBC Bank USA, National Association 1-month LIBOR 550,000 2/24/2022 2.45 % CME Central Clearing 3-month LIBOR 1,000,000 6/9/2022 2.21 % CME Central Clearing 3-month LIBOR 1,000,000 8/14/2022 1.87 % The Royal Bank of Scotland Plc 1-month LIBOR 500,000 8/15/2023 1.98 % CME Central Clearing 1-month LIBOR 600,000 8/24/2023 2.88 % HSBC Bank USA, National Association 1-month LIBOR 500,000 12/15/2023 2.20 % CME Central Clearing 3-month LIBOR 450,000 1/12/2024 2.10 % CME Central Clearing 3-month LIBOR 450,000 1/25/2024 2.15 % LCH Central Clearing 3-month LIBOR 1,000,000 2/6/2025 2.77 % CME Central Clearing 3-month LIBOR 100,000 4/2/2025 2.04 % LCH Central Clearing 3-month LIBOR 220,000 8/31/2027 2.12 % CME Central Clearing 3-month LIBOR 250,000 5/24/2028 2.78 % CME Central Clearing 3-month LIBOR 250,000 5/24/2028 2.39 % Total 8,870,000 2.37 % As of June 30, 2018 , we had the following additional interest rate swaps outstanding with forward start dates: $ in thousands Counterparty Index Notional Maturity Date Fixed Interest Rate LCH Central Clearing (1) 3-month LIBOR 600,000 2/5/2026 2.64 % LCH Central Clearing (2) 1-month LIBOR 200,000 7/3/2028 2.78 % LCH Central Clearing (3) 3-month LIBOR 200,000 3/17/2031 2.74 % LCH Central Clearing (4) 1-month LIBOR 600,000 8/24/2033 3.18 % Total 1,600,000 2.87 % (1) Forward start date of 2/5/2021 (2) Forward start date of 7/2/2018 (3) Forward start date of 3/15/2021 (4) Forward start date of 8/24/2023 |
Disclosure of Credit Derivatives | At June 30, 2018 and December 31, 2017 , terms of the GSE CRT embedded derivatives are: $ in thousands June 30, 2018 December 31, 2017 Fair value amount 38,029 45,400 Notional amount 541,810 553,493 Maximum potential amount of future undiscounted payments 541,810 553,493 |
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, 2018 and December 31, 2017 . $ in thousands Derivative Assets Derivative Liabilities As of June 30, 2018 As of December 31, 2017 As of June 30, 2018 As of December 31, 2017 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 44,122 6,896 Interest Rate Swaps Liability 3,415 31,548 Currency Forward Contracts 3,387 — Currency Forward Contracts — 1,217 Futures Contracts 2,656 — |
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, 2018 and 2017 . $ in thousands Three months ended June 30, 2018 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 — 5,638 (4,903 ) 735 $ 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 Six months ended June 30, 2018 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 — 11,271 (7,371 ) 3,900 $ 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 The following table summarizes the effect of interest rate swaps, futures contracts and currency forward contracts reported in gain (loss) on derivative instruments, net on the condensed consolidated statements of operations for the three and six months ended June 30, 2018 and 2017 : $ in thousands Three Months Ended June 30, 2018 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 34,273 (4,511 ) 32,985 62,747 Futures Contracts 640 — (1,044 ) (404 ) Currency Forward Contracts 1,361 — 3,465 4,826 Total 36,274 (4,511 ) 35,406 67,169 $ 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 Six Months Ended June 30, 2018 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 156,546 (16,623 ) 65,359 205,282 Futures Contracts (4,637 ) — (2,656 ) (7,293 ) Currency Forward Contracts (2,057 ) — 4,604 2,547 Total 149,852 (16,623 ) 67,307 200,536 $ in thousands Six Months Ended June 30, 2017 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 (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 ) |
Offsetting Assets and Liabili33
Offsetting Assets and Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Offsetting [Abstract] | |
Offsetting Derivative Assets | Offsetting of Derivative Assets As of June 30, 2018 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) (3) 40,773 — 40,773 — (39,389 ) 1,384 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2018 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 (3) 6,071 — 6,071 (3,415 ) (2,656 ) — Repurchase Agreements (4) 13,702,321 — 13,702,321 (13,702,321 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,358,392 — 15,358,392 (15,355,736 ) (2,656 ) — Offsetting of Derivative Assets As of December 31, 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) (3) 6,896 — 6,896 — (6,896 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 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 (3) 22,445 — 22,445 (21,169 ) (620 ) 656 Repurchase Agreements (4) 14,080,801 — 14,080,801 (14,080,801 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,753,246 — 15,753,246 (15,751,970 ) (620 ) 656 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2018 and December 31, 2017 , 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 derivatives was $82.8 million ( December 31, 2017 : $109.9 million ) at June 30, 2018 , of which $77.4 million ( December 31, 2017 : $86.2 million ) relates to initial margin pledged on centrally cleared interest rate swaps. Centrally cleared interest rate swaps are excluded from the tables above. Cash collateral received on our derivatives was $39.7 million and $7.3 million at June 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged by us on our futures contracts and currency forward contracts were $7.3 million and $620,000 at June 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the tables above at June 30, 2018 and December 31, 2017 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $15.1 billion and $15.5 billion at June 30, 2018 and December 31, 2017 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at June 30, 2018 and December 31, 2017 , respectively. |
Offsetting Derivative Liabilities | Offsetting of Derivative Assets As of June 30, 2018 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) (3) 40,773 — 40,773 — (39,389 ) 1,384 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of June 30, 2018 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 (3) 6,071 — 6,071 (3,415 ) (2,656 ) — Repurchase Agreements (4) 13,702,321 — 13,702,321 (13,702,321 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,358,392 — 15,358,392 (15,355,736 ) (2,656 ) — Offsetting of Derivative Assets As of December 31, 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) (3) 6,896 — 6,896 — (6,896 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 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 (3) 22,445 — 22,445 (21,169 ) (620 ) 656 Repurchase Agreements (4) 14,080,801 — 14,080,801 (14,080,801 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,753,246 — 15,753,246 (15,751,970 ) (620 ) 656 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at June 30, 2018 and December 31, 2017 , 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 derivatives was $82.8 million ( December 31, 2017 : $109.9 million ) at June 30, 2018 , of which $77.4 million ( December 31, 2017 : $86.2 million ) relates to initial margin pledged on centrally cleared interest rate swaps. Centrally cleared interest rate swaps are excluded from the tables above. Cash collateral received on our derivatives was $39.7 million and $7.3 million at June 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged by us on our futures contracts and currency forward contracts were $7.3 million and $620,000 at June 30, 2018 and December 31, 2017 , respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and therefore excluded from the tables above at June 30, 2018 and December 31, 2017 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $15.1 billion and $15.5 billion at June 30, 2018 and December 31, 2017 , respectively. (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at June 30, 2018 and December 31, 2017 , respectively. |
Fair Value of Financial Instr34
Fair Value of Financial Instruments (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
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, 2018 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) — 17,545,158 38,029 — 17,583,187 Derivative assets — 47,509 — — 47,509 Other assets (4) 3,962 — — 28,997 32,959 Total assets 3,962 17,592,667 38,029 28,997 17,663,655 Liabilities: Derivative liabilities 2,656 3,415 — — 6,071 Total liabilities 2,656 3,415 — — 6,071 December 31, 2017 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) — 18,145,354 45,400 — 18,190,754 Derivative assets — 6,896 — — 6,896 Other assets (4) 3,979 — — 25,972 29,951 Total assets 3,979 18,152,250 45,400 25,972 18,227,601 Liabilities: Derivative liabilities — 32,765 — — 32,765 Total liabilities — 32,765 — — 32,765 (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, 2018 , the net embedded derivative asset position of $38.0 million includes $39.4 million of embedded derivatives in an asset position and $1.4 million of embedded derivatives in a liability position. As of December 31, 2017 , the net embedded derivative asset position of $45.4 million includes $46.5 million of embedded derivatives in an asset position and $1.1 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, 2018 and December 31, 2017 , the weighted average remaining term of investments in unconsolidated ventures is 2.2 and 1.9 years, respectively. (4) Includes $4.0 million and $4.0 million of investment in an exchange-traded fund as of June 30, 2018 and December 31, 2017 , 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 June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Beginning balance 42,932 31,243 45,400 17,095 Unrealized credit derivative gains (losses), net (4,903 ) 15,559 (7,371 ) 29,707 Ending balance 38,029 46,802 38,029 46,802 |
Embedded Derivatives Fair Value Inputs | The following tables summarize 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, 2018 Technique Input Range Average GSE CRT Embedded Derivatives 38,029 Market Comparables, Vendor Pricing Weighted average life 2.8 - 6.4 years 4.6 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2017 Technique Input Range Average GSE CRT Embedded Derivatives 45,400 Market Comparables, Vendor Pricing Weighted average life 2.6 - 6.8 years 4.8 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, 2018 and December 31, 2017 : June 30, 2018 December 31, 2017 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 127,607 127,770 191,808 191,930 Other assets 74,250 74,250 74,250 74,250 Total 201,857 202,020 266,058 266,180 Financial Liabilities Repurchase agreements 13,702,321 13,702,411 14,080,801 14,080,460 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Exchangeable senior notes — — 143,231 143,948 Total 15,352,321 15,352,411 15,874,032 15,874,408 |
Related Party Transactions (Tab
Related Party Transactions (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Related Party Transactions [Abstract] | |
Schedule of Related Party Transactions | The following table summarizes the costs incurred on our behalf by our Manager for the three and six months ended June 30, 2018 and 2017 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Incurred costs, prepaid or expensed 1,300 1,249 2,792 2,794 Incurred costs, charged against equity as a cost of raising capital 2 — 167 — Total incurred costs, originally paid by our Manager 1,302 1,249 2,959 2,794 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Equity [Abstract] | |
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, 2018 . Three Months Ended June 30, Six Months Ended June 30, 2018 2018 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 19,185 $ 14.56 19,827 $ 14.35 Shares granted during the period — — 7,055 15.37 Shares vested during the period — — (7,697 ) 14.75 Unvested at the end of the period 19,185 $ 14.56 19,185 $ 14.56 (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. |
Schedule of accumulated other comprehensive income | The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended June 30, 2018 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (47,929 ) — (47,929 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 9,889 — 9,889 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,898 ) (6,898 ) Currency translation adjustments on investment in unconsolidated venture 486 — — 486 Total other comprehensive income/(loss) 486 (38,040 ) (6,898 ) (44,452 ) AOCI balance at beginning of period 1,255 14,660 117,437 133,352 Total other comprehensive income/(loss) 486 (38,040 ) (6,898 ) (44,452 ) Other comprehensive income/(loss) attributable to non-controlling interest (5 ) 479 87 561 AOCI balance at end of period 1,736 (22,901 ) 110,626 89,461 Three Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) 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 Total other comprehensive income/(loss) 139 40,284 (6,369 ) 34,054 AOCI balance at beginning of period (512 ) 161,381 142,896 303,765 Total other comprehensive income/(loss) 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 AOCI balance at end of period (375 ) 201,158 136,608 337,391 Six Months Ended June 30, 2018 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (180,246 ) — (180,246 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 19,126 — 19,126 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — (13,437 ) (13,437 ) Currency translation adjustments on investment in unconsolidated venture 798 — — 798 Total other comprehensive income/(loss) 798 (161,120 ) (13,437 ) (173,759 ) AOCI balance at beginning of period 947 136,188 123,894 261,029 Total other comprehensive income/(loss) 798 (161,120 ) (13,437 ) (173,759 ) Other comprehensive income/(loss) attributable to non-controlling interest (9 ) 2,031 169 2,191 AOCI balance at end of period 1,736 (22,901 ) 110,626 89,461 Six Months Ended June 30, 2017 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income/(loss) 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 ) Total other comprehensive income/(loss) (476 ) 57,423 (12,667 ) 44,280 AOCI balance at beginning of period 95 144,458 149,115 293,668 Total other comprehensive income/(loss) (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 AOCI balance at end of period (375 ) 201,158 136,608 337,391 |
Earnings per Common Share (Tabl
Earnings per Common Share (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings per share for the three and six months ended June 30, 2018 and 2017 is computed as follows: Three Months Ended June 30, Six Months Ended June 30, In thousands except per share amounts 2018 2017 2018 2017 Numerator (Income) Basic Earnings: Net income available to common stockholders 80,008 46,834 121,479 133,964 Effect of dilutive securities: Income allocated to exchangeable senior notes — 3,504 1,621 8,512 Income allocated to non-controlling interest 1,163 670 1,834 1,856 Dilutive net income available to stockholders 81,171 51,008 124,934 144,332 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 111,641 111,608 111,635 111,603 Effect of dilutive securities: Restricted stock awards 19 20 19 20 Non-controlling interest OP units 1,425 1,425 1,425 1,425 Exchangeable senior notes — 10,507 2,389 12,782 Dilutive Shares 113,085 123,560 115,468 125,830 Earnings per share: Net income attributable to common stockholders Basic 0.72 0.42 1.09 1.20 Diluted 0.72 0.41 1.08 1.15 |
Non-controlling Interest - Op38
Non-controlling Interest - Operating Partnership (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
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, 2018 and 2017 . Three Months Ended June 30, Six Months Ended June 30, $ in thousands 2018 2017 2018 2017 Net income allocated 1,163 670 1,834 1,856 Distributions paid 598 570 1,197 1,140 |
Organization and Business Ope39
Organization and Business Operations (Detail) - segment | 6 Months Ended | |
Jun. 30, 2018 | Dec. 31, 2017 | |
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% |
Summary of Significant Accoun40
Summary of Significant Accounting Policies (Details) - USD ($) $ in Thousands | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Decrease in net cash provided by operating activities | $ (147,767) | $ (138,893) | |
Decrease in net cash used in investing activities | 472,637 | (902,327) | |
Decrease in net cash provided by financing activities | 639,151 | (665,715) | |
Restricted cash | $ 0 | $ 620 | |
Accounting Standards Update 2016-15 | |||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||
Decrease in net cash provided by operating activities | 15,500 | ||
Decrease in net cash used in investing activities | 17,300 | ||
Decrease in net cash provided by financing activities | $ 1,800 |
Variable Interest Entities ("41
Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Variable Interest Entity | ||
Carrying Amount | $ 17,583,187 | $ 18,190,754 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity | ||
Carrying Amount | 4,400,310 | |
Company's Maximum Risk of Loss | 4,400,310 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS | ||
Variable Interest Entity | ||
Carrying Amount | 3,151,237 | |
Company's Maximum Risk of Loss | 3,151,237 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS | ||
Variable Interest Entity | ||
Carrying Amount | 1,220,076 | |
Company's Maximum Risk of Loss | 1,220,076 | |
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures | ||
Variable Interest Entity | ||
Carrying Amount | 28,997 | |
Company's Maximum Risk of Loss | $ 28,997 |
Mortgage-Backed and Credit Ri42
Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 20,623,915 | $ 20,855,353 |
Unamortized Premium (Discount) | (2,879,110) | (2,840,992) |
Amortized Cost | 17,744,805 | 18,014,361 |
Unrealized Gain/ (Loss), net | (161,618) | 176,393 |
Fair value | $ 17,583,187 | $ 18,190,754 |
Period- end Weighted Average Yield | 3.53% | 3.42% |
Quarterly Weighted Average Yield | 3.36% | 3.27% |
Percentage of agency collateralized mortgage obligations interest only securities, principal balance | 79.30% | 81.80% |
Percentage of agency collateralized mortgage obligations interest only securities, amortized cost | 17.00% | 20.90% |
Percentage of agency collateralized mortgage obligations interest only securities, fair value | 16.10% | 18.70% |
Percentage of CMBS interest only, principal balance | 15.70% | 15.80% |
Percentage of CMBS interest only, amortized cost | 0.50% | 0.50% |
Percentage of CMBS interest only, fair value | 0.60% | 0.60% |
Unamortized premium (discount) non-accretable portion | $ 190,700 | $ 195,300 |
Percentage of Non-Agency RMBS interest-only, principal balance | 55.70% | 51.50% |
Percentage of Non-Agency RMBS interest-only, amortized cost | 2.40% | 2.00% |
Percentage of Non-Agency RMBS interest only, fair value | 2.30% | 1.80% |
15 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 2,532,605 | $ 2,917,307 |
Unamortized Premium (Discount) | 85,680 | 119,120 |
Amortized Cost | 2,618,285 | 3,036,427 |
Unrealized Gain/ (Loss), net | (95,101) | (61,645) |
Fair value | $ 2,523,184 | $ 2,974,782 |
Period- end Weighted Average Yield | 2.32% | 2.17% |
Quarterly Weighted Average Yield | 1.99% | 1.98% |
30 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 7,602,464 | $ 7,354,211 |
Unamortized Premium (Discount) | 284,277 | 295,977 |
Amortized Cost | 7,886,741 | 7,650,188 |
Unrealized Gain/ (Loss), net | (221,602) | (9,648) |
Fair value | $ 7,665,139 | $ 7,640,540 |
Period- end Weighted Average Yield | 3.14% | 3.09% |
Quarterly Weighted Average Yield | 2.95% | 2.90% |
ARM | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 215,178 | $ 238,486 |
Unamortized Premium (Discount) | 1,300 | 1,609 |
Amortized Cost | 216,478 | 240,095 |
Unrealized Gain/ (Loss), net | (1,677) | 1,105 |
Fair value | $ 214,801 | $ 241,200 |
Period- end Weighted Average Yield | 2.58% | 2.60% |
Quarterly Weighted Average Yield | 2.43% | 2.36% |
Hybrid ARM | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 1,566,739 | $ 1,696,148 |
Unamortized Premium (Discount) | 23,143 | 26,066 |
Amortized Cost | 1,589,882 | 1,722,214 |
Unrealized Gain/ (Loss), net | (22,831) | (2,829) |
Fair value | $ 1,567,051 | $ 1,719,385 |
Period- end Weighted Average Yield | 2.56% | 2.54% |
Quarterly Weighted Average Yield | 2.28% | 2.25% |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 11,916,986 | $ 12,206,152 |
Unamortized Premium (Discount) | 394,400 | 442,772 |
Amortized Cost | 12,311,386 | 12,648,924 |
Unrealized Gain/ (Loss), net | (341,211) | (73,017) |
Fair value | $ 11,970,175 | $ 12,575,907 |
Period- end Weighted Average Yield | 2.88% | 2.79% |
Quarterly Weighted Average Yield | 2.65% | 2.58% |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 995,408 | $ 1,226,539 |
Unamortized Premium (Discount) | (745,565) | (942,290) |
Amortized Cost | 249,843 | 284,249 |
Unrealized Gain/ (Loss), net | (11,027) | (10,306) |
Fair value | $ 238,816 | $ 273,943 |
Period- end Weighted Average Yield | 3.26% | 2.91% |
Quarterly Weighted Average Yield | 3.04% | 2.74% |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 150,268 | |
Unamortized Premium (Discount) | 1,940 | |
Amortized Cost | 152,208 | |
Unrealized Gain/ (Loss), net | 19 | |
Fair value | $ 152,227 | |
Period- end Weighted Average Yield | 3.46% | |
Quarterly Weighted Average Yield | 3.63% | |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 3,871,603 | $ 3,879,775 |
Unamortized Premium (Discount) | (700,887) | (704,097) |
Amortized Cost | 3,170,716 | 3,175,678 |
Unrealized Gain/ (Loss), net | (19,479) | 40,739 |
Fair value | $ 3,151,237 | $ 3,216,417 |
Period- end Weighted Average Yield | 5.02% | 4.92% |
Quarterly Weighted Average Yield | 4.95% | 4.77% |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 2,945,105 | $ 2,785,704 |
Unamortized Premium (Discount) | (1,851,911) | (1,661,683) |
Amortized Cost | 1,093,194 | 1,124,021 |
Unrealized Gain/ (Loss), net | 126,882 | 133,587 |
Fair value | $ 1,220,076 | $ 1,257,608 |
Period- end Weighted Average Yield | 7.09% | 7.19% |
Quarterly Weighted Average Yield | 7.12% | 7.18% |
Percentage of non-agency securities classified as variable rate | 47.60% | 52.20% |
Percentage of non-agency securities classified as fixed rate | 46.00% | 37.80% |
Percentage of non-agency securities classified as floating rate | 6.40% | 10.00% |
GSE CRT | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 744,545 | $ 757,183 |
Unamortized Premium (Discount) | 22,913 | 24,306 |
Amortized Cost | 767,458 | 781,489 |
Unrealized Gain/ (Loss), net | 83,198 | 85,390 |
Fair value | $ 850,656 | $ 866,879 |
Period- end Weighted Average Yield | 2.81% | 2.45% |
Quarterly Weighted Average Yield | 3.37% | 2.79% |
Mortgage-Backed and Credit Ri43
Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of MBS and GSE CRT are accounted for under the fair value option | 41.00% | 36.00% |
Gross unrealized losses | $ 421,942 | $ 165,263 |
Agency RMBS, Agency CMBS and CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross unrealized losses | 366,100 | 131,300 |
Agency IO, non-Agency RMBS and non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross unrealized losses | $ 55,900 | $ 33,900 |
Mortgage-Backed and Credit Ri44
Mortgage-Backed and Credit Risk Transfer Securities - Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type (Details) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | $ 10,309,522 | $ 11,722,375 |
Securities under Fair Value Option | 7,273,665 | 6,468,379 |
Marketable Securities | 17,583,187 | 18,190,754 |
15 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 2,170,906 | 2,842,440 |
Securities under Fair Value Option | 352,278 | 132,342 |
Marketable Securities | 2,523,184 | 2,974,782 |
30 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 2,216,755 | 2,467,871 |
Securities under Fair Value Option | 5,448,384 | 5,172,669 |
Marketable Securities | 7,665,139 | 7,640,540 |
ARM | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 214,801 | 241,200 |
Securities under Fair Value Option | 0 | 0 |
Marketable Securities | 214,801 | 241,200 |
Hybrid ARM | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 1,535,502 | 1,719,385 |
Securities under Fair Value Option | 31,549 | 0 |
Marketable Securities | 1,567,051 | 1,719,385 |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 6,137,964 | 7,270,896 |
Securities under Fair Value Option | 5,832,211 | 5,305,011 |
Marketable Securities | 11,970,175 | 12,575,907 |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 182,293 | 203,351 |
Securities under Fair Value Option | 56,523 | 70,592 |
Marketable Securities | 238,816 | 273,943 |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Securities under Fair Value Option | 152,227 | 0 |
Marketable Securities | 152,227 | |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 2,294,341 | 2,376,413 |
Securities under Fair Value Option | 856,896 | 840,004 |
Marketable Securities | 3,151,237 | 3,216,417 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 1,075,371 | 1,236,178 |
Securities under Fair Value Option | 144,705 | 21,430 |
Marketable Securities | 1,220,076 | 1,257,608 |
GSE CRT | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 619,553 | 635,537 |
Securities under Fair Value Option | 231,103 | 231,342 |
Marketable Securities | $ 850,656 | $ 866,879 |
Mortgage-Backed and Credit Ri45
Mortgage-Backed and Credit Risk Transfer Securities - Components of Carrying Value of MBS and GSE CRT Portfolio (Detail) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ notional balance | $ 20,623,915 | $ 20,855,353 |
Unamortized premium | 471,489 | 521,626 |
Unamortized discount | (3,350,599) | (3,362,618) |
Gross unrealized gains | 260,324 | 341,656 |
Gross unrealized losses | (421,942) | (165,263) |
Fair value | 17,583,187 | 18,190,754 |
MBS and GSE CRT Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ notional balance | 17,743,581 | 17,974,390 |
Unamortized premium | 471,489 | 521,626 |
Unamortized discount | (552,058) | (577,344) |
Gross unrealized gains | 253,314 | 336,543 |
Gross unrealized losses | (415,201) | (155,146) |
Fair value | 17,501,125 | 18,100,069 |
Interest-Only Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ notional balance | 2,880,334 | 2,880,963 |
Unamortized premium | 0 | 0 |
Unamortized discount | (2,798,541) | (2,785,274) |
Gross unrealized gains | 7,010 | 5,113 |
Gross unrealized losses | (6,741) | (10,117) |
Fair value | $ 82,062 | $ 90,685 |
Mortgage-Backed and Credit Ri46
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, 2018 | Dec. 31, 2017 |
Investments, Debt and Equity Securities [Abstract] | ||
Less than one year | $ 135,350 | $ 135,559 |
Greater than one year and less than five years | 6,166,267 | 7,934,836 |
Greater than or equal to five years | 11,281,570 | 10,120,359 |
Fair value | $ 17,583,187 | $ 18,190,754 |
Mortgage-Backed and Credit Ri47
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, 2018USD ($)security | Dec. 31, 2017USD ($)security |
Fair Value | ||
Less than 12 Months | $ 9,637,489 | $ 5,556,381 |
12 Months or More | 3,436,564 | 4,200,600 |
Total | 13,074,053 | 9,756,981 |
Unrealized Losses | ||
Less than 12 Months | (250,380) | (54,896) |
12 Months or More | (171,562) | (110,367) |
Total | $ (421,942) | $ (165,263) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 620 | 358 |
12 Months or More (in securities) | security | 261 | 264 |
Total (in securities) | security | 881 | 622 |
15 year fixed-rate | ||
Fair Value | ||
Less than 12 Months | $ 385,423 | $ 111,020 |
12 Months or More | 1,780,406 | 2,406,021 |
Total | 2,165,829 | 2,517,041 |
Unrealized Losses | ||
Less than 12 Months | (5,524) | (321) |
12 Months or More | (92,961) | (67,285) |
Total | $ (98,485) | $ (67,606) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 87 | 26 |
12 Months or More (in securities) | security | 127 | 133 |
Total (in securities) | security | 214 | 159 |
30 year fixed-rate | ||
Fair Value | ||
Less than 12 Months | $ 5,930,551 | $ 3,677,576 |
12 Months or More | 890,051 | 963,547 |
Total | 6,820,602 | 4,641,123 |
Unrealized Losses | ||
Less than 12 Months | (182,696) | (20,730) |
12 Months or More | (50,074) | (27,158) |
Total | $ (232,770) | $ (47,888) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 212 | 107 |
12 Months or More (in securities) | security | 58 | 56 |
Total (in securities) | security | 270 | 163 |
ARM | ||
Fair Value | ||
Less than 12 Months | $ 157,531 | $ 101,173 |
12 Months or More | 530 | 0 |
Total | 158,061 | 101,173 |
Unrealized Losses | ||
Less than 12 Months | (2,230) | (902) |
12 Months or More | (26) | 0 |
Total | $ (2,256) | $ (902) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 17 | 12 |
12 Months or More (in securities) | security | 1 | 0 |
Total (in securities) | security | 18 | 12 |
Hybrid ARM | ||
Fair Value | ||
Less than 12 Months | $ 852,306 | $ 614,321 |
12 Months or More | 436,416 | 517,642 |
Total | 1,288,722 | 1,131,963 |
Unrealized Losses | ||
Less than 12 Months | (12,652) | (4,189) |
12 Months or More | (12,707) | (8,091) |
Total | $ (25,359) | $ (12,280) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 94 | 73 |
12 Months or More (in securities) | security | 46 | 47 |
Total (in securities) | security | 140 | 120 |
Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 7,325,811 | $ 4,504,090 |
12 Months or More | 3,107,403 | 3,887,210 |
Total | 10,433,214 | 8,391,300 |
Unrealized Losses | ||
Less than 12 Months | (203,102) | (26,142) |
12 Months or More | (155,768) | (102,534) |
Total | $ (358,870) | $ (128,676) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 410 | 218 |
12 Months or More (in securities) | security | 232 | 236 |
Total (in securities) | security | 642 | 454 |
Fair value option, fair value | $ 5,300,000 | $ 3,400,000 |
Fair value option, unrealized losses | 177,000 | 22,800 |
Agency-CMO | ||
Fair Value | ||
Less than 12 Months | 149,189 | 75,299 |
12 Months or More | 71,796 | 81,988 |
Total | 220,985 | 157,287 |
Unrealized Losses | ||
Less than 12 Months | (9,756) | (10,433) |
12 Months or More | (3,873) | (2,309) |
Total | $ (13,629) | $ (12,742) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 43 | 44 |
12 Months or More (in securities) | security | 5 | 5 |
Total (in securities) | security | 48 | 49 |
Agency IO | ||
Number of Securities | ||
Fair value option, fair value | $ 22,400 | $ 36,500 |
Fair value option, unrealized losses | 6,500 | 10,100 |
Agency-CMO | ||
Number of Securities | ||
Fair value option, fair value | 18,000 | 9,500 |
Fair value option, unrealized losses | 856 | 88 |
Agency CMBS | ||
Fair Value | ||
Less than 12 Months | 69,365 | |
12 Months or More | 0 | |
Total | 69,365 | |
Unrealized Losses | ||
Less than 12 Months | (78) | |
12 Months or More | 0 | |
Total | $ (78) | |
Number of Securities | ||
Less than 12 Months (in securities) | security | 1 | |
12 Months or More (in securities) | security | 0 | |
Total (in securities) | security | 1 | |
Non-Agency CMBS | ||
Fair Value | ||
Less than 12 Months | $ 1,842,373 | 892,553 |
12 Months or More | 207,220 | 135,139 |
Total | 2,049,593 | 1,027,692 |
Unrealized Losses | ||
Less than 12 Months | (35,757) | (17,612) |
12 Months or More | (11,547) | (3,792) |
Total | $ (47,304) | $ (21,404) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 136 | 81 |
12 Months or More (in securities) | security | 17 | 12 |
Total (in securities) | security | 153 | 93 |
Fair value option, fair value | $ 693,400 | $ 596,000 |
Fair value option, unrealized losses | 21,800 | 8,900 |
Non-Agency RMBS | ||
Fair Value | ||
Less than 12 Months | 250,751 | 84,439 |
12 Months or More | 50,145 | 96,263 |
Total | 300,896 | 180,702 |
Unrealized Losses | ||
Less than 12 Months | (1,687) | (709) |
12 Months or More | (374) | (1,732) |
Total | $ (2,061) | $ (2,441) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 30 | 15 |
12 Months or More (in securities) | security | 7 | 11 |
Total (in securities) | security | 37 | 26 |
Fair value option, fair value | $ 111,200 | |
Fair value option, unrealized losses | 4 | |
Non-Agency IO | ||
Number of Securities | ||
Fair value option, fair value | 10,700 | $ 530 |
Fair value option, unrealized losses | $ 247 | $ 39 |
Mortgage-Backed and Credit Ri48
Mortgage-Backed and Credit Risk Transfer Securities - OTTI included in earnings (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Other-than-temporary credit impairment losses | $ 2,089 | $ 4,098 | $ 6,448 | $ 4,630 |
RMBS interest-only securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Other-than-temporary credit impairment losses | 2,089 | 3,585 | 6,398 | 3,876 |
Non-Agency RMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Other-than-temporary credit impairment losses | $ 0 | $ 513 | $ 50 | $ 754 |
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, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Gross realized gains on sale of investments | $ 35 | $ 1,311 | $ 35 | $ 2,215 |
Gross realized losses on sale of investments | (11,560) | (1,962) | (20,797) | (3,873) |
Other-than-temporary impairment losses | (2,089) | (4,098) | (6,448) | (4,630) |
Net unrealized gains and losses on trading securities | (4) | 14 | (17) | 23 |
Total gain (loss) on investments, net | (36,377) | 11,175 | (196,747) | 9,322 |
MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Net unrealized gains and losses on securities accounted for under the fair value option | (22,941) | 7,715 | (170,136) | 4,113 |
GSE CRT | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Net unrealized gains and losses on securities accounted for under the fair value option | $ 182 | $ 8,195 | $ 616 | $ 11,474 |
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, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | $ 164,165 | $ 147,267 | $ 330,484 | $ 293,336 |
Net (Premium Amortization)/Discount Accretion | (16,617) | (26,240) | (33,933) | (53,436) |
Interest Income | 147,548 | 121,027 | 296,551 | 239,900 |
Agency RMBS and CMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 105,430 | 91,979 | 213,747 | 183,210 |
Net (Premium Amortization)/Discount Accretion | (22,275) | (27,775) | (45,497) | (56,353) |
Interest Income | 83,155 | 64,204 | 168,250 | 126,857 |
Non-Agency CMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 38,101 | 31,506 | 75,394 | 61,182 |
Net (Premium Amortization)/Discount Accretion | 1,195 | (1,852) | 2,621 | (4,486) |
Interest Income | 39,296 | 29,654 | 78,015 | 56,696 |
Non-Agency RMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 13,195 | 18,131 | 27,207 | 38,745 |
Net (Premium Amortization)/Discount Accretion | 5,159 | 3,734 | 10,336 | 8,121 |
Interest Income | 18,354 | 21,865 | 37,543 | 46,866 |
GSE CRT | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 7,180 | 5,556 | 13,705 | 10,043 |
Net (Premium Amortization)/Discount Accretion | (696) | (347) | (1,393) | (718) |
Interest Income | 6,484 | 5,209 | 12,312 | 9,325 |
Other | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 259 | 95 | 431 | 156 |
Net (Premium Amortization)/Discount Accretion | 0 | 0 | 0 | 0 |
Interest Income | $ 259 | $ 95 | $ 431 | $ 156 |
Commercial Loans Held-for-Inv51
Commercial Loans Held-for-Investment (Details) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018USD ($)loan | Dec. 31, 2017USD ($)loan | |
Accounts, Notes, Loans and Financing Receivable | ||
Carrying value | $ 127,607,000 | $ 191,808,000 |
Commercial Portfolio Segment | ||
Accounts, Notes, Loans and Financing Receivable | ||
Allowance for loan losses | $ 0 | $ 0 |
Commercial Portfolio Segment | Mezzanine Loans | ||
Accounts, Notes, Loans and Financing Receivable | ||
Number of loans | loan | 5 | 8 |
Principal Balance | $ 127,638,000 | $ 191,894,000 |
Unamortized (fees)/ costs, net | (31,000) | (86,000) |
Carrying value | $ 127,607,000 | $ 191,808,000 |
Weighted Average Coupon | 8.96% | 8.52% |
Weighted Average Years to Maturity | 8 months | 1 year 2 months |
Other Assets (Details)
Other Assets (Details) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Schedule of Investments [Abstract] | ||
FHLBI stock | $ 74,250 | $ 74,250 |
Investments in unconsolidated ventures | 28,997 | 25,972 |
Investment in exchange-traded fund | 3,962 | 3,979 |
Prepaid expenses and other assets | 915 | 1,379 |
Total | $ 108,124 | $ 105,580 |
Borrowings - Schedule of Borrow
Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
Repurchase Agreements: | ||
Amount outstanding | $ 13,702,321 | $ 14,080,801 |
Weighted average interest rate | 2.38% | 1.82% |
Weighted average remaining maturity | 23 days | 25 days |
Secured Loans | ||
Amount outstanding | $ 1,650,000 | $ 1,650,000 |
Total Borrowings | ||
Carrying value of exchangeable senior notes | 0 | 143,231 |
Secured Debt, Excluding Asset-Backed Securities | ||
Total Borrowings | ||
Amount outstanding | $ 15,352,321 | $ 15,874,211 |
Weighted average interest rate | 2.36% | 1.82% |
Weighted average remaining maturity | 250 days | 263 days |
Agency RMBS | ||
Repurchase Agreements: | ||
Amount outstanding | $ 10,537,934 | $ 11,111,755 |
Weighted average interest rate | 2.13% | 1.58% |
Weighted average remaining maturity | 22 days | 25 days |
Agency CMBS | ||
Repurchase Agreements: | ||
Amount outstanding | $ 133,417 | |
Weighted average interest rate | 2.10% | |
Weighted average remaining maturity | 30 days | |
Non-Agency CMBS | ||
Repurchase Agreements: | ||
Amount outstanding | $ 1,450,627 | $ 1,396,330 |
Weighted average interest rate | 3.25% | 2.61% |
Weighted average remaining maturity | 23 days | 9 days |
Non-Agency RMBS | ||
Repurchase Agreements: | ||
Amount outstanding | $ 917,106 | $ 915,225 |
Weighted average interest rate | 3.28% | 2.77% |
Weighted average remaining maturity | 23 days | 31 days |
GSE CRT | ||
Repurchase Agreements: | ||
Amount outstanding | $ 663,237 | $ 657,491 |
Weighted average interest rate | 3.18% | 2.78% |
Weighted average remaining maturity | 23 days | 24 days |
Secured Loans | ||
Secured Loans | ||
Amount outstanding | $ 1,650,000 | $ 1,650,000 |
Weighted average interest rate | 2.18% | 1.52% |
Weighted average remaining maturity | 2136 days | 2317 days |
Exchangeable Senior Notes | ||
Exchangeable Senior Notes | ||
Amount outstanding | $ 143,410 | |
Weighted average interest rate | 5.00% | |
Weighted average remaining maturity | 74 days | |
Total Borrowings | ||
Debt issuance costs | $ 179 |
Borrowings - Schedule of Maturi
Borrowings - Schedule of Maturities (Details) $ in Thousands | Jun. 30, 2018USD ($) |
Debt Disclosure [Abstract] | |
7/1/2018 - 6/30/2019 | $ 13,702,321 |
7/1/2019 - 6/30/2020 | 300,000 |
7/1/2020 - 6/30/2021 | 100,000 |
7/1/2021 - 6/30/2022 | 0 |
7/1/2022 - 6/30/2023 | 0 |
Thereafter | 1,250,000 |
Total | $ 15,352,321 |
Borrowings - Repurchase Agreeme
Borrowings - Repurchase Agreements (Detail) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018USD ($)Counterparty | Dec. 31, 2017USD ($)Counterparty | |
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 13,702,321 | $ 14,080,801 |
MBS and GSE CRTs Pledged as Collateral | 15,054,450 | 15,523,415 |
Advances from Federal Home Loan Banks | 1,650,000 | 1,650,000 |
Secured Loans Counterparty, Pledged as Collateral | 1,910,709 | 1,927,496 |
Total, Amount Outstanding | $ 15,352,321 | $ 15,730,801 |
Total, Percentage of Total Amount Outstanding | 100.00% | 100.00% |
MBS and GSE CRTs Pledged as Collateral | $ 16,965,159 | $ 17,450,911 |
Number of counterparties | Counterparty | 9 | 7 |
Repurchase Agreement Counterparties [Member] | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 13,702,321 | $ 14,080,801 |
Percent of Total Amount Outstanding | 89.30% | 89.50% |
MBS and GSE CRTs Pledged as Collateral | $ 15,054,450 | $ 15,523,415 |
HSBC | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 1,808,727 | $ 1,745,684 |
Percent of Total Amount Outstanding | 11.80% | 11.20% |
MBS and GSE CRTs Pledged as Collateral | $ 1,897,787 | $ 1,839,411 |
ING Financial Market | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 1,348,953 | $ 1,482,603 |
Percent of Total Amount Outstanding | 8.80% | 9.40% |
MBS and GSE CRTs Pledged as Collateral | $ 1,425,690 | $ 1,571,061 |
Royal Bank of Canada | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 1,024,743 | $ 1,144,856 |
Percent of Total Amount Outstanding | 6.70% | 7.30% |
MBS and GSE CRTs Pledged as Collateral | $ 1,232,629 | $ 1,375,285 |
E D & F Man Capital Markets | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 981,383 | $ 1,028,437 |
Percent of Total Amount Outstanding | 6.40% | 6.50% |
MBS and GSE CRTs Pledged as Collateral | $ 1,034,330 | $ 1,085,429 |
Industrial and Commercial Bank of China | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 964,543 | $ 1,038,844 |
Percent of Total Amount Outstanding | 6.30% | 6.60% |
MBS and GSE CRTs Pledged as Collateral | $ 1,018,444 | $ 1,102,543 |
Mirae Asset Securities | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 955,053 | $ 958,756 |
Percent of Total Amount Outstanding | 6.20% | 6.10% |
MBS and GSE CRTs Pledged as Collateral | $ 1,011,962 | $ 1,018,664 |
MUFG Securities | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 800,043 | $ 865,201 |
Percent of Total Amount Outstanding | 5.20% | 5.50% |
MBS and GSE CRTs Pledged as Collateral | $ 865,731 | $ 936,071 |
Citigroup | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 739,881 | $ 724,094 |
Percent of Total Amount Outstanding | 4.80% | 4.60% |
MBS and GSE CRTs Pledged as Collateral | $ 862,726 | $ 841,977 |
Amherst Pierpont Securities | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 534,560 | $ 722,080 |
Percent of Total Amount Outstanding | 3.50% | 4.60% |
MBS and GSE CRTs Pledged as Collateral | $ 563,108 | $ 764,713 |
KGS-Alpha Capital Markets | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 468,171 | $ 461,098 |
Percent of Total Amount Outstanding | 3.00% | 2.90% |
MBS and GSE CRTs Pledged as Collateral | $ 497,673 | $ 491,313 |
JP Morgan | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 433,950 | $ 451,941 |
Percent of Total Amount Outstanding | 2.80% | 2.90% |
MBS and GSE CRTs Pledged as Collateral | $ 505,625 | $ 523,590 |
South Street Securities | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 391,157 | $ 332,623 |
Percent of Total Amount Outstanding | 2.50% | 2.10% |
MBS and GSE CRTs Pledged as Collateral | $ 410,702 | $ 354,689 |
Societe Generale | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 373,836 | $ 386,737 |
Percent of Total Amount Outstanding | 2.40% | 2.50% |
MBS and GSE CRTs Pledged as Collateral | $ 471,416 | $ 495,093 |
Goldman Sachs | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 331,685 | $ 324,152 |
Percent of Total Amount Outstanding | 2.20% | 2.10% |
MBS and GSE CRTs Pledged as Collateral | $ 424,913 | $ 419,713 |
Mizuho Securities | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 285,212 | $ 310,835 |
Percent of Total Amount Outstanding | 1.90% | 2.00% |
MBS and GSE CRTs Pledged as Collateral | $ 302,605 | $ 330,555 |
BNP Paribas Securities | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 280,800 | $ 348,340 |
Percent of Total Amount Outstanding | 1.80% | 2.20% |
MBS and GSE CRTs Pledged as Collateral | $ 312,536 | $ 388,091 |
Guggenheim Liquidity Services | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 270,239 | $ 306,081 |
Percent of Total Amount Outstanding | 1.80% | 1.90% |
MBS and GSE CRTs Pledged as Collateral | $ 285,207 | $ 322,452 |
Natixis Securities | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 264,068 | $ 275,764 |
Percent of Total Amount Outstanding | 1.70% | 1.80% |
MBS and GSE CRTs Pledged as Collateral | $ 296,149 | $ 302,291 |
Bank of Nova Scotia | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 236,178 | $ 289,705 |
Percent of Total Amount Outstanding | 1.50% | 1.80% |
MBS and GSE CRTs Pledged as Collateral | $ 251,630 | $ 301,715 |
Wells Fargo Securities | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 218,878 | |
Percent of Total Amount Outstanding | 1.40% | |
MBS and GSE CRTs Pledged as Collateral | $ 263,463 | |
All other counterparties | ||
Repurchase Agreement Counterparty | ||
Amount Outstanding | $ 990,261 | $ 882,970 |
Percent of Total Amount Outstanding | 6.60% | 5.50% |
MBS and GSE CRTs Pledged as Collateral | $ 1,120,124 | $ 1,058,759 |
FHLBI | ||
Repurchase Agreement Counterparty | ||
Advances from Federal Home Loan Banks | $ 1,650,000 | $ 1,650,000 |
Secured Loans Counterparty, Percentage of Total Amount Outstanding | 10.70% | 10.50% |
Secured Loans Counterparty, Pledged as Collateral | $ 1,910,709 | $ 1,927,496 |
Borrowings - Additional Informa
Borrowings - Additional Information (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | Dec. 31, 2013 | |
Repurchase Agreement Counterparty | |||||
Collateral ratio | 110.00% | 110.00% | |||
Advances from Federal Home Loan Banks | $ 1,650,000,000 | $ 1,650,000,000 | |||
Payment for debt retirement | $ 143,433,000 | $ 185,386,000 | |||
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 | ||||
Average outstanding borrowings from FHLBI | $ 1,650,000,000 | ||||
FHLBI weighted average interest rate on advances | 1.87% | ||||
Weighted average maturity (in years) | 5 years 11 months | ||||
Exchangeable Senior Notes | |||||
Repurchase Agreement Counterparty | |||||
Debt principal amount | $ 400,000,000 | ||||
Debt retired amount | $ (31,200,000) | $ (143,400,000) | (181,200,000) | ||
Payment for debt retirement | $ 31,600,000 | $ 143,400,000 | $ 185,400,000 | ||
Accrued interest payable | $ 2,100,000 |
Collateral Positions (Details)
Collateral Positions (Details) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Derivative [Line Items] | ||
Repurchase agreements collateral pledged | $ 15,054,450 | $ 15,523,415 |
Securities loaned collateral pledged | 1,910,709 | 1,927,496 |
Interest rate swaps, futures contracts and currency forward contracts collateral pledged | 82,800 | 109,900 |
Total collateral pledged | 17,055,192 | 17,561,431 |
Cash | 39,748 | 7,327 |
Total collateral held | 39,748 | 7,327 |
Cash | ||
Derivative [Line Items] | ||
Total collateral pledged | 7,255 | 620 |
Interest Rate Swaps, Future Contracts and Currency Forward Contracts | ||
Derivative [Line Items] | ||
Interest rate swaps, futures contracts and currency forward contracts collateral pledged | 90,033 | 110,520 |
Interest Rate Swaps, Future Contracts and Currency Forward Contracts | Cash | ||
Derivative [Line Items] | ||
Interest rate swaps, futures contracts and currency forward contracts collateral pledged | 7,255 | 620 |
Agency RMBS | ||
Derivative [Line Items] | ||
Repurchase agreements collateral pledged | 11,166,220 | 11,788,765 |
Securities loaned collateral pledged | 642,808 | 623,181 |
Agency RMBS | Interest Rate Swaps, Future Contracts and Currency Forward Contracts | ||
Derivative [Line Items] | ||
Interest rate swaps, futures contracts and currency forward contracts collateral pledged | 82,778 | 109,900 |
Agency CMBS | ||
Derivative [Line Items] | ||
Repurchase agreements collateral pledged | 140,714 | 0 |
Non-Agency CMBS | ||
Derivative [Line Items] | ||
Repurchase agreements collateral pledged | 1,809,084 | 853,446 |
Securities loaned collateral pledged | 1,267,901 | 1,304,315 |
Non-Agency RMBS | ||
Derivative [Line Items] | ||
Repurchase agreements collateral pledged | 1,130,621 | 1,737,831 |
GSE CRT | ||
Derivative [Line Items] | ||
Repurchase agreements collateral pledged | 807,811 | 1,143,373 |
Mortgage-backed and credit risk transfer securities | ||
Derivative [Line Items] | ||
Total collateral pledged | $ 17,047,937 | $ 17,560,811 |
Derivatives and Hedging Activ58
Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail) | 6 Months Ended |
Jun. 30, 2018USD ($) | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2017 | $ 9,250,352,000 |
Additions | 2,371,754,000 |
Settlement, Termination, Expiration or Exercise | (1,847,842,000) |
Notional Amount as of June 30, 2018 | 9,774,264,000 |
Interest Rate Swaps | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2017 | 8,620,000,000 |
Additions | 1,500,000,000 |
Settlement, Termination, Expiration or Exercise | (1,250,000,000) |
Notional Amount as of June 30, 2018 | 8,870,000,000 |
Interest Rate Swaps with Forward Start Dates | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2017 | 500,000,000 |
Notional Amount as of June 30, 2018 | 1,600,000,000 |
Futures Contracts | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2017 | 0 |
Additions | 715,000,000 |
Settlement, Termination, Expiration or Exercise | (430,000,000) |
Notional Amount as of June 30, 2018 | 285,000,000 |
Currency Forward Contracts | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2017 | 76,859,000 |
Additions | 156,754,000 |
Settlement, Termination, Expiration or Exercise | (156,159,000) |
Notional Amount as of June 30, 2018 | 77,454,000 |
Credit Derivatives | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2017 | 553,493,000 |
Additions | 0 |
Settlement, Termination, Expiration or Exercise | (11,683,000) |
Notional Amount as of June 30, 2018 | $ 541,810,000 |
Derivatives and Hedging Activ59
Derivatives and Hedging Activities - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Decrease (increase) to interest expense | $ 6,900 | $ 6,400 | $ 13,400 | $ 12,700 | |
Amount reclassified to interest expenses within Next 12 months | 24,200 | 24,200 | |||
Unrealized gain on discontinued cash flow hedges included in AOCI | 2,487,171 | 2,487,171 | $ 2,630,491 | ||
Notional amount | 9,774,264 | 9,774,264 | 9,250,352 | ||
Derivative Liabilities | 6,071 | 6,071 | 22,445 | ||
Cash margin deposits | 7,300 | 7,300 | 620 | ||
Agency RMBS | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Cash margin deposits | 5,300 | 5,300 | |||
Derivative and hedging attributable to Parent | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Unrealized gain on discontinued cash flow hedges included in AOCI | 110,600 | 110,600 | 123,900 | ||
Currency Forward Contracts | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Notional amount | 77,454 | 77,454 | 76,859 | ||
Derivative Liabilities | 0 | 0 | 1,217 | ||
Pound Sterling | Currency Forward Contracts | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Notional amount | 50,800 | 50,800 | 49,700 | ||
Euro | Currency Forward Contracts | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Notional amount | $ 26,700 | $ 26,700 | $ 27,200 |
Derivatives and Hedging Activ60
Derivatives and Hedging Activities - Interest Rate Derivatives Outstanding Designated as Cash Flow Hedges (Detail) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 9,774,264,000 | $ 9,250,352,000 |
Interest Rate Swaps | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 8,870,000,000 | 8,620,000,000 |
Fixed Interest Rate in Contract | 2.36636% | |
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 | CME Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 1,000,000,000 | |
Fixed Interest Rate in Contract | 1.8665% | |
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 | LCH Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 1,000,000,000 | |
Fixed Interest Rate in Contract | 2.7735% | |
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 | LCH Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 220,000,000 | |
Fixed Interest Rate in Contract | 2.1225% | |
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 | 2.39% | |
Interest Rate Swaps with Forward Start Dates | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 1,600,000,000 | $ 500,000,000 |
Fixed Interest Rate in Contract | 2.87194% | |
Interest Rate Swaps with Forward Start Dates | LCH Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 600,000,000 | |
Fixed Interest Rate in Contract | 2.6405% | |
Interest Rate Swaps with Forward Start Dates | LCH Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 200,000,000 | |
Fixed Interest Rate in Contract | 2.7835% | |
Interest Rate Swaps with Forward Start Dates | LCH Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 200,000,000 | |
Fixed Interest Rate in Contract | 2.741% | |
Interest Rate Swaps with Forward Start Dates | LCH Central Clearing | ||
Interest Rate Derivatives Outstanding | ||
Notional amount | $ 600,000,000 | |
Fixed Interest Rate in Contract | 3.1765% |
Derivatives and Hedging Activ61
Derivatives and Hedging Activities - Schedule of Credit Derivatives (Detail) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Derivative [Line Items] | ||
Notional amount | $ 9,774,264 | $ 9,250,352 |
GSE CRT | GSE CRT Embedded Derivatives | ||
Derivative [Line Items] | ||
Fair value amount | 38,029 | 45,400 |
Notional amount | 541,810 | 553,493 |
Maximum potential amount of future undiscounted payments | $ 541,810 | $ 553,493 |
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, 2018 | Dec. 31, 2017 |
Derivatives, Fair Value | ||
Derivative Assets | $ 40,773 | $ 6,896 |
Derivative Liabilities | 6,071 | 22,445 |
Interest Rate Swaps Asset | ||
Derivatives, Fair Value | ||
Derivative Assets | 44,122 | 6,896 |
Currency Forward Contracts | ||
Derivatives, Fair Value | ||
Derivative Assets | 3,387 | 0 |
Derivative Liabilities | 0 | 1,217 |
Interest Rate Swaps Liability | ||
Derivatives, Fair Value | ||
Derivative Liabilities | 3,415 | 31,548 |
Futures Contracts | ||
Derivatives, Fair Value | ||
Derivative Assets | $ 2,656 | $ 0 |
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, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Derivative Instruments, Gain (Loss) | ||||
Gain (loss) on derivative instruments, net | $ 67,169 | $ (53,513) | $ 200,536 | $ (48,051) |
Not Designated as Hedging Instrument | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | 36,274 | (40,229) | 149,852 | (25,311) |
Contractual net interest expense | (4,511) | (19,966) | (16,623) | (42,860) |
Unrealized gain (loss), net | 35,406 | 6,682 | 67,307 | 20,120 |
Gain (loss) on derivative instruments, net | 67,169 | (53,513) | 200,536 | (48,051) |
Not Designated as Hedging Instrument | GSE CRT Embedded Derivatives | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | 0 | 0 | 0 | 0 |
Contractual net interest expense | 5,638 | 5,844 | 11,271 | 11,651 |
Unrealized gain (loss), net | (4,903) | 15,559 | (7,371) | 29,707 |
Gain (loss) on derivative instruments, net | 735 | 21,403 | 3,900 | 41,358 |
Not Designated as Hedging Instrument | Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | 34,273 | (38,512) | 156,546 | (22,518) |
Contractual net interest expense | (4,511) | (19,966) | (16,623) | (42,860) |
Unrealized gain (loss), net | 32,985 | 7,975 | 65,359 | 20,925 |
Gain (loss) on derivative instruments, net | 62,747 | (50,503) | 205,282 | (44,453) |
Not Designated as Hedging Instrument | Futures Contracts | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | 640 | (4,637) | ||
Contractual net interest expense | 0 | 0 | ||
Unrealized gain (loss), net | (1,044) | (2,656) | ||
Gain (loss) on derivative instruments, net | (404) | (7,293) | ||
Not Designated as Hedging Instrument | Currency Forward Contracts | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | 1,361 | (1,717) | (2,057) | (2,793) |
Contractual net interest expense | 0 | 0 | 0 | 0 |
Unrealized gain (loss), net | 3,465 | (1,293) | 4,604 | (805) |
Gain (loss) on derivative instruments, net | $ 4,826 | $ (3,010) | $ 2,547 | $ (3,598) |
Derivatives and Hedging Activ64
Derivatives and Hedging Activities - Credit Risk Related Contingent Features (Details) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Derivative [Line Items] | ||
Derivative liability, net | $ 6,071 | $ 32,765 |
Cash margin deposits | 7,300 | 620 |
Derivative asset, net | 47,509 | 6,896 |
Agency RMBS | ||
Derivative [Line Items] | ||
Cash margin deposits | 5,300 | |
Bilateral Counterparty | ||
Derivative [Line Items] | ||
Derivative liability, net | 3,500 | |
Central Clearing Counterparty | ||
Derivative [Line Items] | ||
Derivative liability, net | $ 10,300 | |
Derivative asset, net | $ 6,700 |
Offsetting Assets and Liabili65
Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Derivative [Line Items] | ||
Derivative Assets | $ 40,773 | $ 6,896 |
Derivative liabilities, at fair value | $ 6,071 | 32,765 |
Central Clearing Counterparty | ||
Derivative [Line Items] | ||
Derivative liabilities, at fair value | $ 10,300 |
Offsetting Assets and Liabili66
Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Derivatives Asset | ||
Gross Amounts of Recognized Assets | $ 40,773 | $ 6,896 |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets | 40,773 | 6,896 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Cash Collateral Received | (39,389) | (6,896) |
Net Amount | $ 1,384 | $ 0 |
Offsetting Assets and Liabili67
Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Derivatives Liability | ||
Gross Amounts of Recognized Liabilities | $ 6,071 | $ 22,445 |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 6,071 | 22,445 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | (3,415) | (21,169) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | (2,656) | (620) |
Net Amount | 0 | 656 |
Repurchase Agreements | ||
Gross Amounts of Recognized Liabilities | 13,702,321 | 14,080,801 |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 13,702,321 | 14,080,801 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | (13,702,321) | (14,080,801) |
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 | 1,650,000 |
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 | 1,650,000 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | (1,650,000) | (1,650,000) |
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 | 15,358,392 | 15,753,246 |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 15,358,392 | 15,753,246 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | (15,355,736) | (15,751,970) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | (2,656) | (620) |
Net Amount | 0 | 656 |
Interest rate swaps collateral pledged | 82,800 | 109,900 |
Cash collateral posted by Company's derivative counterparties | 39,748 | 7,327 |
Due from counterparties | 7,300 | 620 |
Fair value of securities pledged under repurchase agreement | 15,054,450 | 15,523,415 |
Collateral pledged against secured loans | 1,910,709 | 1,927,496 |
IAS Services LLC | ||
Total Borrowings | ||
Collateral pledged against secured loans | 1,900,000 | |
Centrally Cleared Interest Rate Swaps | ||
Total Borrowings | ||
Interest rate swaps collateral pledged | $ 77,400 | $ 86,200 |
Fair Value of Financial Instr68
Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Detail) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,047,937 and $17,560,811, respectively) | $ 17,583,187 | $ 18,190,754 |
Derivative Assets | 40,773 | 6,896 |
Derivative Liabilities | $ 6,071 | $ 22,445 |
Weighted average remaining term of investments in unconsolidated ventures | 2 years 2 months | 1 year 11 months |
Securities under Fair Value Option | $ 7,273,665 | $ 6,468,379 |
GSE CRT | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,047,937 and $17,560,811, respectively) | 850,656 | 866,879 |
Securities under Fair Value Option | 231,103 | 231,342 |
Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Embedded derivatives in an asset position | 38,029 | 45,400 |
Recurring | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $17,047,937 and $17,560,811, respectively) | 17,583,187 | 18,190,754 |
Derivative Assets | 47,509 | 6,896 |
Other assets, at fair value | 32,959 | 29,951 |
Total assets | 17,663,655 | 18,227,601 |
Derivative Liabilities | 6,071 | 32,765 |
Total liabilities | 6,071 | 32,765 |
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 $17,047,937 and $17,560,811, respectively) | 0 | 0 |
Derivative Assets | 0 | 0 |
Other assets, at fair value | 3,962 | 3,979 |
Total assets | 3,962 | 3,979 |
Derivative Liabilities | 2,656 | 0 |
Total liabilities | 2,656 | 0 |
Recurring | Level 1 | Exchange-traded funds | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Securities under Fair Value Option | 4,000 | 4,000 |
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 $17,047,937 and $17,560,811, respectively) | 17,545,158 | 18,145,354 |
Derivative Assets | 47,509 | 6,896 |
Other assets, at fair value | 0 | 0 |
Total assets | 17,592,667 | 18,152,250 |
Derivative Liabilities | 3,415 | 32,765 |
Total liabilities | 3,415 | 32,765 |
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 $17,047,937 and $17,560,811, respectively) | 38,029 | 45,400 |
Derivative Assets | 0 | 0 |
Other assets, at fair value | 0 | 0 |
Total assets | 38,029 | 45,400 |
Derivative Liabilities | 0 | 0 |
Total liabilities | 0 | 0 |
Recurring | Level 3 | GSE CRT | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Embedded derivatives at fair value | 38,000 | 45,400 |
Embedded derivatives in an asset position | 39,400 | 46,500 |
Embedded derivatives in a liability position | 1,400 | 1,100 |
Recurring | NAV as a practical expedient | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
NAV as a practical expedient | $ 28,997 | $ 25,972 |
Fair Value of Financial Instr69
Fair Value of Financial Instruments - Embedded Derivatives Level 3 Roll Forward (Detail) - Embedded Credit Derivative - GSE CRT - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | ||||
Beginning balance | $ 42,932 | $ 31,243 | $ 45,400 | $ 17,095 |
Unrealized credit derivative gains (losses), net | (4,903) | 15,559 | (7,371) | 29,707 |
Ending balance | $ 38,029 | $ 46,802 | $ 38,029 | $ 46,802 |
Fair Value of Financial Instr70
Fair Value of Financial Instruments - Embedded Derivatives Fair Value Inputs (Detail) - Level 3 $ in Thousands | Jun. 30, 2018USD ($)year | Dec. 31, 2017USD ($)year |
Fair Value Inputs, Assets, Quantitative Information | ||
GSE CRT Embedded Derivatives | $ | $ 38,029 | $ 45,400 |
Measurement Input, Expected Term | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information | ||
GSE CRT Embedded Derivatives, measurement input | 2.8 | 2.6 |
Measurement Input, Expected Term | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information | ||
GSE CRT Embedded Derivatives, measurement input | 6.4 | 6.8 |
Measurement Input, Expected Term | Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information | ||
GSE CRT Embedded Derivatives, measurement input | 4.6 | 4.8 |
Fair Value of Financial Instr71
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands | Jun. 30, 2018 | Dec. 31, 2017 |
Carrying Value | ||
Financial Assets | ||
Other assets | $ 74,250 | $ 74,250 |
Total | 201,857 | 266,058 |
Financial Liabilities | ||
Repurchase agreements | 13,702,321 | 14,080,801 |
Secured loans | 1,650,000 | 1,650,000 |
Exchangeable senior notes | 0 | 143,231 |
Total | 15,352,321 | 15,874,032 |
Carrying Value | Commercial loans, held-for-investment | ||
Financial Assets | ||
Commercial loans, held-for-investment | 127,607 | 191,808 |
Estimated Fair Value | ||
Financial Assets | ||
Other assets | 74,250 | 74,250 |
Total | 202,020 | 266,180 |
Financial Liabilities | ||
Repurchase agreements | 13,702,411 | 14,080,460 |
Secured loans | 1,650,000 | 1,650,000 |
Exchangeable senior notes | 0 | 143,948 |
Total | 15,352,411 | 15,874,408 |
Estimated Fair Value | Commercial loans, held-for-investment | ||
Financial Assets | ||
Commercial loans, held-for-investment | $ 127,770 | $ 191,930 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Detail) - USD ($) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Dec. 31, 2017 | |
Related Party Transaction [Line Items] | |||||
Management fee – related party | $ 10,102,000 | $ 9,027,000 | $ 20,323,000 | $ 17,828,000 | |
Investment in money market or mutual funds managed by affiliates of a related party | 70,254,000 | $ 70,254,000 | $ 88,381,000 | ||
Manager | |||||
Related Party Transaction [Line Items] | |||||
Management fee as percentage of stockholders' equity per annum | 1.50% | ||||
Termination fee multiplier | 3 | ||||
Termination fees assessment period | 24 months | ||||
Invesco Advisers, Inc. | Affiliated Entity | |||||
Related Party Transaction [Line Items] | |||||
Management fee – related party | 217,000 | $ 202,000 | $ 431,000 | $ 387,000 | |
Investment in money market or mutual funds managed by affiliates of a related party | $ 24,200,000 | $ 24,200,000 | $ 74,400,000 |
Related Party Transactions - Sc
Related Party Transactions - Schedule of Relater Party Transactions (Details) - Manager - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Related Party Transaction [Line Items] | ||||
Amounts of transaction with related party | $ 1,302 | $ 1,249 | $ 2,959 | $ 2,794 |
Incurred costs, prepaid or expensed | ||||
Related Party Transaction [Line Items] | ||||
Amounts of transaction with related party | 1,300 | 1,249 | 2,792 | 2,794 |
Incurred costs, charged against equity as a cost of raising capital | ||||
Related Party Transaction [Line Items] | ||||
Amounts of transaction with related party | $ 2 | $ 0 | $ 167 | $ 0 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands | Jun. 15, 2018 | May 02, 2018 | Dec. 31, 2017 | Aug. 31, 2017 | Sep. 27, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | Sep. 28, 2017 |
Class of Stock | ||||||||||
Equity distribution agreement, authorized (in shares) | 17,000,000 | |||||||||
Common stock dividend declared (dollars per share) | $ 0.42 | $ 0.4 | $ 0.84 | $ 0.8 | ||||||
Common Stock | ||||||||||
Class of Stock | ||||||||||
Remaining number of shares authorized to be repurchased (in shares) | 18,239,082 | 18,239,082 | ||||||||
Common stock dividend declared (dollars per share) | $ 0.42 | |||||||||
Preferred Stock | ||||||||||
Class of Stock | ||||||||||
Preferred stock, redemption price per share (dollars per share) | $ 25 | $ 25 | ||||||||
Series A 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 | |||||||||
Preferred stock dividend (dollars per share) | $ 0.4844 | |||||||||
Series B 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 | |||||||||
Preferred stock dividend (dollars per share) | $ 0.4844 | |||||||||
Series C Preferred Stock | ||||||||||
Class of Stock | ||||||||||
Preferred stock dividend rate | 7.50% | |||||||||
Preferred stock, liquidation preference (dollars per share) | $ 25 | |||||||||
Preferred stock, dividends per annum (dollars per share) | $ 1.875 | |||||||||
Proceeds from issuance of preferred stock, net of offering costs | 11,500,000 | |||||||||
Preferred stock dividend (dollars per share) | $ 0.46875 | |||||||||
LIBOR | Series B Preferred Stock | ||||||||||
Class of Stock | ||||||||||
Preferred stock dividend variable rate spread | 5.18% | 5.18% | ||||||||
LIBOR | Series C Preferred Stock | ||||||||||
Class of Stock | ||||||||||
Preferred stock dividend variable rate spread | 5.289% | |||||||||
Incentive Plan | ||||||||||
Class of Stock | ||||||||||
Number of shares of common stock remain available for future issuance (in shares) | 771,823 | 771,823 | ||||||||
Total unrecognized compensation cost | $ 276 | $ 276 | ||||||||
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 | $ 106 | $ 112 | $ 199 | $ 197 | ||||||
Restricted stock issued (in shares) | 6,465 | 5,292 | 13,642 | 10,748 | ||||||
Incentive Plan | Common Stock | Employee | ||||||||||
Class of Stock | ||||||||||
Compensation expense recognized | $ 30 | $ 35 | $ 44 | $ 66 |
Shareholders' Equity - Restrict
Shareholders' Equity - Restricted Stock Units Activity (Details) - Restricted Stock Units (RSUs) - $ / shares | 3 Months Ended | 6 Months Ended |
Jun. 30, 2018 | Jun. 30, 2018 | |
Restricted Stock Units | ||
Unvested at the beginning of the period (in shares) | 19,185 | 19,827 |
Shares granted during the period (in shares) | 0 | 7,055 |
Shares vested during the period (in shares) | 0 | (7,697) |
Unvested at the end of the period (in shares) | 19,185 | 19,185 |
Weighted Average Grant Date Fair Value | ||
Weighted Average Grant Date Fair Value, at the beginning of the period (usd per share) | $ 14.56 | $ 14.35 |
Granted, Weighted Average Grant Date Fair Value (usd per share) | 0 | 15.37 |
Vested, Weighted Average Grant Date Fair Value (usd per share) | 0 | 14.75 |
Weighted Average Grant Date Fair Value, at the end of the period (usd per share) | $ 14.56 | $ 14.56 |
Stockholders' Equity - Componen
Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | $ (47,929) | $ 39,633 | $ (180,246) | $ 55,922 |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 9,889 | 651 | 19,126 | 1,501 |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (6,898) | (6,369) | (13,437) | (12,667) |
Currency translation adjustments on investment in unconsolidated venture | 486 | 139 | 798 | (476) |
Total other comprehensive income (loss) | (44,452) | 34,054 | (173,759) | 44,280 |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Balance at beginning of period | 2,656,878 | |||
Total other comprehensive income/(loss) | (44,452) | 34,054 | (173,759) | 44,280 |
Other comprehensive income/(loss) attributable to non-controlling interest | 561 | (429) | 2,191 | (558) |
Rebalancing of ownership percentage of non-controlling interest | 1 | 1 | ||
Balance at end of period | 2,511,723 | 2,511,723 | ||
Equity method investments including portion attributable to noncontrolling interest | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Currency translation adjustments on investment in unconsolidated venture | 486 | 139 | 798 | (476) |
Total other comprehensive income (loss) | 486 | 139 | 798 | (476) |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Total other comprehensive income/(loss) | 486 | 139 | 798 | (476) |
Other comprehensive income/(loss) attributable to non-controlling interest | (5) | (2) | (9) | 6 |
Rebalancing of ownership percentage of non-controlling interest | 0 | 0 | ||
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 | (47,929) | 39,633 | (180,246) | 55,922 |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 9,889 | 651 | 19,126 | 1,501 |
Total other comprehensive income (loss) | (38,040) | 40,284 | (161,120) | 57,423 |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Total other comprehensive income/(loss) | (38,040) | 40,284 | (161,120) | 57,423 |
Other comprehensive income/(loss) attributable to non-controlling interest | 479 | (508) | 2,031 | (724) |
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 | (6,898) | (6,369) | (13,437) | (12,667) |
Total other comprehensive income (loss) | (6,898) | (6,369) | (13,437) | (12,667) |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Total other comprehensive income/(loss) | (6,898) | (6,369) | (13,437) | (12,667) |
Other comprehensive income/(loss) attributable to non-controlling interest | 87 | 81 | 169 | 160 |
Rebalancing of ownership percentage of non-controlling interest | 0 | 0 | ||
Equity method investments attributable to Parent | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Balance at beginning of period | 1,255 | (512) | 947 | 95 |
Balance at end of period | 1,736 | (375) | 1,736 | (375) |
Available-for-sale securities attributable to Parent | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Balance at beginning of period | 14,660 | 161,381 | 136,188 | 144,458 |
Balance at end of period | (22,901) | 201,158 | (22,901) | 201,158 |
Derivative and hedging attributable to Parent | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Balance at beginning of period | 117,437 | 142,896 | 123,894 | 149,115 |
Balance at end of period | 110,626 | 136,608 | 110,626 | 136,608 |
Accumulated other comprehensive income | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Total other comprehensive income (loss) | (171,568) | |||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||
Balance at beginning of period | 133,352 | 303,765 | 261,029 | 293,668 |
Total other comprehensive income/(loss) | (171,568) | |||
Balance at end of period | $ 89,461 | $ 337,391 | $ 89,461 | $ 337,391 |
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, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Basic Earnings: | ||||
Net income available to common stockholders | $ 80,008 | $ 46,834 | $ 121,479 | $ 133,964 |
Effect of dilutive securities: | ||||
Income allocated to exchangeable senior notes | 0 | 3,504 | 1,621 | 8,512 |
Income allocated to non-controlling interest | 1,163 | 670 | 1,834 | 1,856 |
Dilutive net income available to stockholders | $ 81,171 | $ 51,008 | $ 124,934 | $ 144,332 |
Basic Earnings: | ||||
Shares available to common stockholders (in shares) | 111,641 | 111,608 | 111,635 | 111,603 |
Effect of dilutive securities: | ||||
Restricted stock awards (in shares) | 19 | 20 | 19 | 20 |
Non-controlling interest OP units (in shares) | 1,425 | 1,425 | 1,425 | 1,425 |
Exchangeable senior notes (in shares) | 0 | 10,507 | 2,389 | 12,782 |
Dilutive Shares (in shares) | 113,085 | 123,560 | 115,468 | 125,830 |
Net income attributable to common stockholders | ||||
Basic (usd per share) | $ 0.72 | $ 0.42 | $ 1.09 | $ 1.20 |
Diluted (usd per share) | $ 0.72 | $ 0.41 | $ 1.08 | $ 1.15 |
Non-controlling Interest - Op78
Non-controlling Interest - Operating Partnership - Additional Information (Detail) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
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 | $ 598,500 | $ 598,500 |
Non-controlling Interest - Op79
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, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Noncontrolling Interest | ||||
Net income allocated | $ 1,163 | $ 670 | $ 1,834 | $ 1,856 |
Distributions paid | $ 598 | $ 570 | $ 1,197 | $ 1,140 |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | ||
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate | $ 7.5 | $ 10.2 |
Unfunded commitment | $ 2.7 | $ 4.8 |