Cover
Cover - shares | 9 Months Ended | |
Sep. 30, 2019 | Oct. 31, 2019 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2019 | |
Document Transition Report | false | |
Entity File Number | 001-34385 | |
Entity Registrant Name | Invesco Mortgage Capital Inc. | |
Entity Incorporation, State or Country Code | MD | |
Entity Tax Identification Number | 26-2749336 | |
Entity Address, Address Line One | 1555 Peachtree Street, N.E., Suite 1800, | |
Entity Address, City or Town | Atlanta, | |
Entity Address, State or Province | GA | |
Entity Address, Postal Zip Code | 30309 | |
City Area Code | 404 | |
Local Phone Number | 892-0896 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Large Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 142,802,293 | |
Entity Central Index Key | 0001437071 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false | |
Common Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | Common Stock, par value $0.01 per share | |
Trading Symbol | IVR | |
Security Exchange Name | NYSE | |
7.75% Series A Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.75% Series A Cumulative Redeemable Preferred Stock | |
Trading Symbol | IVRpA | |
Security Exchange Name | NYSE | |
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock | |
Trading Symbol | IVRpB | |
Security Exchange Name | NYSE | |
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock | ||
Entity Information [Line Items] | ||
Title of 12(b) Security | 7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock | |
Trading Symbol | IVRpC | |
Security Exchange Name | NYSE |
CONDENSED CONSOLIDATED BALANCE
CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
ASSETS | ||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $21,866,617 and $17,082,825, respectively) | $ 23,599,499 | $ 17,396,642 |
Cash and cash equivalents | 125,888 | 135,617 |
Restricted cash | 80,086 | 0 |
Due from counterparties | 10,284 | 13,500 |
Investment related receivable | 72,959 | 66,598 |
Derivative assets, at fair value | 4,127 | 15,089 |
Other assets | 168,480 | 186,059 |
Total assets | 24,061,323 | 17,813,505 |
Liabilities: | ||
Repurchase agreements | 18,072,032 | 13,602,484 |
Secured loans | 1,650,000 | 1,650,000 |
Derivative liabilities, at fair value | 46,381 | 23,390 |
Dividends and distributions payable | 66,974 | 49,578 |
Investment related payable | 1,271,718 | 132,096 |
Accrued interest payable | 29,831 | 37,620 |
Collateral held payable | 1,096 | 18,083 |
Accounts payable and accrued expenses | 2,477 | 1,694 |
Due to affiliate | 9,782 | 11,863 |
Total liabilities | 21,150,291 | 15,526,808 |
Commitments and contingencies | ||
Equity: | ||
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 142,802,293 and 111,584,996 shares issued and outstanding, respectively | 1,427 | 1,115 |
Additional paid in capital | 2,869,650 | 2,383,532 |
Accumulated other comprehensive income | 325,850 | 220,813 |
Retained earnings (distributions in excess of earnings) | (849,219) | (882,087) |
Total stockholders’ equity | 2,911,032 | 2,286,697 |
Total liabilities and stockholders' equity | 24,061,323 | 17,813,505 |
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 BALANC_2
CONDENSED CONSOLIDATED BALANCE SHEETS (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
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 | 142,802,293 | 111,584,996 |
Common Stock - shares outstanding | 142,802,293 | 111,584,996 |
MBS and GSE CRT pledged as collateral | $ 21,866,617 | $ 17,082,825 |
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 | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Interest Income | ||||
Mortgage-backed and credit risk transfer securities | $ 194,938 | $ 160,416 | $ 581,167 | $ 456,967 |
Commercial and other loans | 1,353 | 1,672 | 4,419 | 9,945 |
Total interest income | 196,291 | 162,088 | 585,586 | 466,912 |
Interest Expense | ||||
Repurchase agreements | 112,851 | 81,763 | 332,704 | 210,737 |
Secured loans | 10,413 | 9,490 | 32,815 | 24,888 |
Exchangeable senior notes | 0 | 0 | 1,621 | |
Total interest expense | 123,264 | 91,253 | 365,519 | 237,246 |
Net interest income | 73,027 | 70,835 | 220,067 | 229,666 |
Other Income (loss) | ||||
Gain (loss) on investments, net | 202,413 | (207,910) | 772,977 | (404,657) |
Equity in earnings (losses) of unconsolidated ventures | 403 | 1,084 | 1,797 | 2,778 |
Gain (loss) on derivative instruments, net | (177,244) | 87,672 | (723,437) | 288,208 |
Realized and unrealized credit derivative income (loss), net | 1 | 4,975 | 5,447 | 8,875 |
Net loss on extinguishment of debt | 0 | 0 | 0 | (26) |
Other investment income (loss), net | 1,005 | 1,068 | 3,041 | 2,010 |
Total other income (loss) | 26,578 | (113,111) | 59,825 | (102,812) |
Expenses | ||||
Management fee – related party | 8,740 | 10,105 | 27,644 | 30,428 |
General and administrative | 1,862 | 1,673 | 6,119 | 4,954 |
Total expenses | 10,602 | 11,778 | 33,763 | 35,382 |
Net income (loss) | 89,003 | (54,054) | 246,129 | 91,472 |
Net income (loss) attributable to non-controlling interest | 0 | (681) | 0 | 1,153 |
Net income (loss) attributable to Invesco Mortgage Capital Inc. | 89,003 | (53,373) | 246,129 | 90,319 |
Dividends to preferred stockholders | 11,107 | 11,107 | 33,320 | 33,320 |
Net income (loss) attributable to common stockholders | $ 77,896 | $ (64,480) | $ 212,809 | $ 56,999 |
Earnings (loss) per share: | ||||
Net income (loss) attributable to common shareholders (basic) (usd per share) | $ 0.57 | $ (0.58) | $ 1.66 | $ 0.51 |
Net income (loss) attributable to common shareholders (diluted) (usd per share) | $ 0.57 | $ (0.58) | $ 1.65 | $ 0.51 |
CONDENSED CONSOLIDATED STATEM_2
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income (loss) | $ 89,003 | $ (54,054) | $ 246,129 | $ 91,472 |
Other comprehensive income (loss): | ||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | 14,482 | (40,554) | 114,019 | (220,800) |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | (954) | 134,280 | 9,072 | 153,406 |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (5,981) | (6,422) | (17,748) | (19,859) |
Currency translation adjustments on investment in unconsolidated venture | 290 | (1,126) | (306) | (328) |
Total other comprehensive income (loss) | 7,837 | 86,178 | 105,037 | (87,581) |
Comprehensive income (loss) | 96,840 | 32,124 | 351,166 | 3,891 |
Less: Comprehensive (income) loss attributable to non-controlling interest | 0 | (405) | 0 | (48) |
Less: Dividends to preferred stockholders | (11,107) | (11,107) | (33,320) | (33,320) |
Comprehensive income (loss) attributable to common stockholders | $ 85,733 | $ 20,612 | $ 317,846 | $ (29,477) |
CONDENSED CONSOLIDATED STATEM_3
CONDENSED CONSOLIDATED STATEMENTS 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 |
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 (loss) | 53,249 | 52,578 | 52,578 | 671 | ||||||
Other comprehensive income (loss) | (129,307) | (127,677) | (127,677) | (1,630) | ||||||
Stock awards (in shares) | 12,564 | |||||||||
Common stock dividends | (46,887) | (46,887) | (46,887) | |||||||
Common unit dividends | (599) | (599) | ||||||||
Preferred stock dividends | (11,107) | (11,107) | (11,107) | |||||||
Amortization of equity-based compensation | 129 | 127 | 127 | 2 | ||||||
Rebalancing of ownership percentage of non-controlling interest | 143 | 143 | (143) | |||||||
Ending Balance (in shares) at Mar. 31, 2018 | 5,600,000 | 6,200,000 | 11,500,000 | 111,636,723 | ||||||
Balance at end of period at Mar. 31, 2018 | 2,522,356 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,116 | 2,384,626 | 133,352 | (584,750) | 2,497,668 | 24,688 |
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 (loss) | 91,472 | |||||||||
Other comprehensive income (loss) | (87,581) | |||||||||
Ending Balance (in shares) at Sep. 30, 2018 | 5,600,000 | 6,200,000 | 11,500,000 | 111,652,661 | ||||||
Balance at end of period at Sep. 30, 2018 | 2,485,423 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,116 | 2,385,218 | 174,553 | (663,007) | 2,461,204 | 24,219 |
Beginning Balance (in shares) at Mar. 31, 2018 | 5,600,000 | 6,200,000 | 11,500,000 | 111,636,723 | ||||||
Balance at beginning of period at Mar. 31, 2018 | 2,522,356 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,116 | 2,384,626 | 133,352 | (584,750) | 2,497,668 | 24,688 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | 92,277 | 91,114 | 91,114 | 1,163 | ||||||
Other comprehensive income (loss) | (44,452) | (43,891) | (43,891) | (561) | ||||||
Stock awards (in shares) | 6,465 | |||||||||
Common stock dividends | (46,890) | (46,890) | (46,890) | |||||||
Common unit dividends | (598) | (598) | ||||||||
Preferred stock dividends | (11,106) | (11,106) | (11,106) | |||||||
Amortization of equity-based compensation | 136 | 135 | 135 | 1 | ||||||
Rebalancing of ownership percentage of non-controlling interest | 141 | 141 | (141) | |||||||
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 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | (54,054) | (53,373) | (53,373) | (681) | ||||||
Other comprehensive income (loss) | 86,178 | 85,092 | 85,092 | 1,086 | ||||||
Stock awards (in shares) | 9,473 | |||||||||
Common stock dividends | (46,895) | (46,895) | (46,895) | |||||||
Common unit dividends | (599) | (599) | ||||||||
Preferred stock dividends | (11,107) | (11,107) | (11,107) | |||||||
Amortization of equity-based compensation | 177 | 174 | 174 | 3 | ||||||
Rebalancing of ownership percentage of non-controlling interest | 142 | 142 | (142) | |||||||
Ending Balance (in shares) at Sep. 30, 2018 | 5,600,000 | 6,200,000 | 11,500,000 | 111,652,661 | ||||||
Balance at end of period at Sep. 30, 2018 | 2,485,423 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,116 | 2,385,218 | 174,553 | (663,007) | 2,461,204 | $ 24,219 |
Beginning Balance (in shares) at Dec. 31, 2018 | 5,600,000 | 6,200,000 | 11,500,000 | 111,584,996 | ||||||
Balance at beginning of period at Dec. 31, 2018 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,115 | 2,383,532 | 220,813 | (882,087) | 2,286,697 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | 138,790 | 138,790 | ||||||||
Other comprehensive income (loss) | 56,369 | 56,369 | ||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 16,672,000 | |||||||||
Proceeds from issuance of common stock, net of offering costs | $ 167 | 258,386 | 258,553 | |||||||
Stock awards (in shares) | 10,501 | |||||||||
Common stock dividends | (57,720) | (57,720) | ||||||||
Preferred stock dividends | (11,107) | (11,107) | ||||||||
Amortization of equity-based compensation | 132 | 132 | ||||||||
Ending Balance (in shares) at Mar. 31, 2019 | 5,600,000 | 6,200,000 | 11,500,000 | 128,267,497 | ||||||
Balance at end of period at Mar. 31, 2019 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,282 | 2,642,050 | 277,182 | (812,124) | 2,671,714 | ||
Beginning Balance (in shares) at Dec. 31, 2018 | 5,600,000 | 6,200,000 | 11,500,000 | 111,584,996 | ||||||
Balance at beginning of period at Dec. 31, 2018 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,115 | 2,383,532 | 220,813 | (882,087) | 2,286,697 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | 246,129 | |||||||||
Other comprehensive income (loss) | 105,037 | |||||||||
Ending Balance (in shares) at Sep. 30, 2019 | 5,600,000 | 6,200,000 | 11,500,000 | 142,802,293 | ||||||
Balance at end of period at Sep. 30, 2019 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,427 | 2,869,650 | 325,850 | (849,219) | 2,911,032 | ||
Beginning Balance (in shares) at Mar. 31, 2019 | 5,600,000 | 6,200,000 | 11,500,000 | 128,267,497 | ||||||
Balance at beginning of period at Mar. 31, 2019 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,282 | 2,642,050 | 277,182 | (812,124) | 2,671,714 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | 18,336 | 18,336 | ||||||||
Other comprehensive income (loss) | 40,831 | 40,831 | ||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 521,136 | |||||||||
Proceeds from issuance of common stock, net of offering costs | $ 5 | 8,149 | 8,154 | |||||||
Stock awards (in shares) | 6,895 | |||||||||
Common stock dividends | (57,958) | (57,958) | ||||||||
Preferred stock dividends | (11,106) | (11,106) | ||||||||
Amortization of equity-based compensation | 130 | 130 | ||||||||
Ending Balance (in shares) at Jun. 30, 2019 | 5,600,000 | 6,200,000 | 11,500,000 | 128,795,528 | ||||||
Balance at end of period at Jun. 30, 2019 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,287 | 2,650,329 | 318,013 | (862,852) | 2,670,101 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Net income (loss) | 89,003 | 89,003 | 89,003 | |||||||
Other comprehensive income (loss) | $ 7,837 | 7,837 | 7,837 | |||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 14,000,000 | |||||||||
Proceeds from issuance of common stock, net of offering costs | $ 140 | 219,191 | 219,331 | |||||||
Stock awards (in shares) | 6,765 | |||||||||
Common stock dividends | (64,263) | (64,263) | ||||||||
Preferred stock dividends | (11,107) | (11,107) | ||||||||
Amortization of equity-based compensation | 130 | 130 | ||||||||
Ending Balance (in shares) at Sep. 30, 2019 | 5,600,000 | 6,200,000 | 11,500,000 | 142,802,293 | ||||||
Balance at end of period at Sep. 30, 2019 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,427 | $ 2,869,650 | $ 325,850 | $ (849,219) | $ 2,911,032 |
CONDENSED CONSOLIDATED STATEM_4
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2019 | Sep. 30, 2018 | |
Cash Flows from Operating Activities | ||
Net income | $ 246,129 | $ 91,472 |
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 | 28,471 | 37,263 |
Realized and unrealized (gain) loss on derivative instruments, net | 747,186 | (307,594) |
Realized and unrealized (gain) loss on credit derivatives, net | 10,399 | 8,034 |
(Gain) loss on investments, net | (772,977) | 404,657 |
(Gain) loss from investments in unconsolidated ventures in excess of distributions received | (1,797) | 320 |
Other amortization | (17,356) | (19,332) |
Net loss on extinguishment of debt | 0 | 26 |
(Gain) loss on foreign currency transactions, net | 0 | 1,038 |
Changes in operating assets and liabilities: | ||
(Increase) decrease in operating assets | (13,578) | (1,140) |
Increase (decrease) in operating liabilities | (8,591) | 6,974 |
Net cash provided by operating activities | 217,886 | 221,718 |
Cash Flows from Investing Activities | ||
Purchase of mortgage-backed and credit risk transfer securities | (7,980,486) | (4,996,460) |
(Contributions to) distributions from investments in unconsolidated ventures, net | 2,198 | 1,107 |
Change in other assets | 9,866 | (41,094) |
Principal payments from mortgage-backed and credit risk transfer securities | 1,392,097 | 1,597,052 |
Proceeds from sale of mortgage-backed and credit risk transfer securities | 2,387,143 | 2,836,065 |
Settlement (termination) of futures, currency forwards and interest rate swaps, net | (713,233) | 249,492 |
Net change in due from counterparties and collateral held payable on derivative instruments | (8,909) | 13,980 |
Principal payments from commercial loans held-for-investment | 7,394 | 160,809 |
Origination and advances of commercial loans, net of origination fees | 0 | (1,677) |
Net cash used in investing activities | (4,903,930) | (180,726) |
Cash Flows from Financing Activities | ||
Proceeds from issuance of common stock | 486,506 | 0 |
Proceeds from repurchase agreements | 94,974,385 | 108,342,902 |
Principal repayments of repurchase agreements | (90,504,837) | (108,044,996) |
Net change in due from counterparties and collateral held payable on repurchase agreements | (3,612) | 0 |
Extinguishment of exchangeable senior notes | 0 | (143,433) |
Payments of deferred costs | (176) | (167) |
Payments of dividends and distributions | (195,865) | (175,776) |
Net cash provided by (used in) financing activities | 4,756,401 | (21,470) |
Net change in cash, cash equivalents and restricted cash | 70,357 | 19,522 |
Cash, cash equivalents and restricted cash, beginning of period | 135,617 | 89,001 |
Cash, cash equivalents and restricted cash, end of period | 205,974 | 108,523 |
Supplement Disclosure of Cash Flow Information | ||
Interest paid | 391,153 | 248,824 |
Non-cash Investing and Financing Activities Information | ||
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities | 123,091 | (67,394) |
Dividends and distributions declared not paid | 66,974 | 50,205 |
Increase in unsettled to-be-announced (TBA) securities and related payable | 1,124,815 | 0 |
Net change in investment related receivable (payable) excluding TBA securities | (19,598) | (100,061) |
Offering costs not paid | (468) | 0 |
Net change in repurchase agreements, not settled | $ 0 | $ (189) |
Organization and Business Opera
Organization and Business Operations | 9 Months Ended |
Sep. 30, 2019 | |
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 other mortgage-related assets. 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") and have one operating segment. Prior to November 30, 2018, a wholly-owned subsidiary of Invesco owned 1.3% of the Operating Partnership. See Note 15 - "Non-Controlling Interest - Operating Partnership" of our Annual Report on Form 10-K for the year ended December 31, 2018 for information regarding redemption of Operating Partnership Units ("OP Units") previously held by Invesco. 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 ("Ginnie Mae"), or a federally chartered corporation such as the Federal National Mortgage Association ("Fannie Mae") or the Federal Home Loan Mortgage Corporation ("Freddie Mac") (collectively "Agency RMBS"); • Commercial mortgage-backed securities (“CMBS”) that are guaranteed by a U.S. government agency such as Ginnie Mae or a federally chartered corporation such as Fannie Mae or Freddie Mac (collectively "Agency CMBS"); • RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation ("non-Agency RMBS"); • CMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation ("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 | 9 Months Ended |
Sep. 30, 2019 | |
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, 2018 . Our 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. Reclassifications Our condensed consolidated balance sheet for the year ended December 31, 2018 presented in this Form 10-Q includes a reclassification of Commercial Loans, held-for-investment to Other assets to conform to our current period presentation. See Note 5 - "Other Assets" for further information. 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, provision 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, 2018 except for the implementation of new accounting guidance for stock-based payments to non-employees discussed below. Accounting Pronouncements Recently Adopted Effective January 1, 2019, we adopted the accounting guidance 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 is fixed at the grant date. The implementation of the guidance did not have a material impact on our financial statements. 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 requires entities to record credit 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 as of January 1, 2020. We are currently evaluating the potential impacts of the new guidance and proposed amendments to the new guidance on our consolidated financial statements. The new guidance specifically excludes available-for-sale securities measured at fair value through net income. The Company elected the fair value option for all MBS purchased on or after September 1, 2016 and GSE CRTs purchased on or after August 24, 2015. Accordingly, the impact of the new guidance on accounting for our debt securities will be limited to those securities purchased prior to election of the fair value option that the Company continues to hold on January 1, 2020. As of September 30, 2019, we hold approximately $4.6 billion of MBS and GSE CRT securities that were purchased prior to election of the fair value option that will be assessed for impairment under the new guidance. We have one commercial loan as of September 30, 2019 that is measured at amortized cost. We intend to implement the new guidance for this loan by electing the fair value option. The new guidance for this loan will be implemented on a modified retrospective basis by recording a cumulative effect adjustment to retained earnings on January 1, 2020. The loan is due in February 2021, and we do not expect the new guidance to have a material impact on our accounting for this loan. |
Variable Interest Entities ("VI
Variable Interest Entities ("VIEs") | 9 Months Ended |
Sep. 30, 2019 | |
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 September 30, 2019 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 3,851,552 3,851,552 Non-Agency RMBS 1,018,511 1,018,511 Investments in unconsolidated ventures 23,305 23,305 Total 4,893,368 4,893,368 Refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities" and Note 5 - "Other Assets" for additional details regarding these investments. |
Mortgage-Backed and Credit Risk
Mortgage-Backed and Credit Risk Transfer Securities | 9 Months Ended |
Sep. 30, 2019 | |
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 September 30, 2019 and December 31, 2018 . September 30, 2019 $ in thousands Principal/ Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 296,708 1,873 298,581 10,689 309,270 3.33 % 30 year fixed-rate 11,381,340 366,162 11,747,502 297,405 12,044,907 3.66 % Hybrid ARM * 60,551 654 61,205 1,444 62,649 3.58 % Total Agency RMBS pass-through 11,738,599 368,689 12,107,288 309,538 12,416,826 3.65 % Agency-CMO (2) 930,836 (500,625 ) 430,211 17,181 447,392 3.48 % Agency CMBS (3) 4,597,320 77,442 4,674,762 261,421 4,936,183 3.00 % Non-Agency CMBS (4) 4,446,232 (778,004 ) 3,668,228 183,324 3,851,552 5.23 % Non-Agency RMBS (5)(6)(7) 2,467,994 (1,565,995 ) 901,999 116,512 1,018,511 6.72 % GSE CRT (8) 862,797 22,387 885,184 43,851 929,035 2.88 % Total 25,043,778 (2,376,106 ) 22,667,672 931,827 23,599,499 3.86 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of September 30, 2019 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 57.2% of principal/notional balance, 6.7% of amortized cost and 6.6% of fair value. (3) Includes approximately $1.3 billion of to-be-announced ("TBA") securities that will primarily settle in the fourth quarter of 2019. (4) Non-Agency CMBS includes interest-only securities which represent 13.3% of principal/notional balance, 0.3% of amortized cost and 0.3% of fair value. (5) Non-Agency RMBS is 57.8% fixed rate, 37.0% variable rate, and 5.2% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (6) Of the total discount in non-Agency RMBS, $128.9 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 56.3% of principal/notional balance, 2.2% of amortized cost and 1.9% 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, 2018 $ in thousands Principal/Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 417,233 5,077 422,310 1,944 424,254 3.27 % 30 year fixed-rate 9,599,301 298,693 9,897,994 (125,225 ) 9,772,769 3.55 % Hybrid ARM 653,586 13,775 667,361 (7,413 ) 659,948 2.79 % Total Agency RMBS pass-through 10,670,120 317,545 10,987,665 (130,694 ) 10,856,971 3.49 % Agency-CMO (2) 907,862 (631,180 ) 276,682 (8,991 ) 267,691 3.61 % Agency CMBS 973,122 15,058 988,180 14,330 1,002,510 3.54 % Non-Agency CMBS (3) 4,024,715 (727,307 ) 3,297,408 (10,949 ) 3,286,459 5.05 % Non-Agency RMBS (4)(5)(6) 2,800,335 (1,748,223 ) 1,052,112 111,570 1,163,682 7.24 % GSE CRT (7) 738,529 21,259 759,788 59,541 819,329 3.10 % Total 20,114,683 (2,752,848 ) 17,361,835 34,807 17,396,642 4.00 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2018 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 73.6% o f principal (notional) balance, 13.5% of amortized cost and 12.4% of fair value. (3) Non-Agency CMBS includes interest-only securities which represent 15.0% of principal/notional balance, 0.4% of amortized cost and 0.5% of fair value. (4) Non-Agency RMBS is 43.5% variable rate, 50.7% fixed rate, and 5.8% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (5) Of the total discount in non-Agency RMBS, $145.6 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (6) Non-Agency RMBS includes interest-only securities, which represent 55.4% of principal/notional balance, 2.3% of amortized cost and 2.4% of fair value. (7) 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 September 30, 2019 and December 31, 2018 . We have elected the fair value option for all of our RMBS interest-only securities, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of September 30, 2019 and December 31, 2018 , approximately 81% and 67% , respectively, of our MBS and GSE CRTs are accounted for under the fair value option. September 30, 2019 December 31, 2018 $ 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 106,216 203,054 309,270 204,347 219,907 424,254 30 year fixed-rate 788,483 11,256,424 12,044,907 1,093,070 8,679,699 9,772,769 Hybrid ARM 34,319 28,330 62,649 626,946 33,002 659,948 Total RMBS Agency pass-through 929,018 11,487,808 12,416,826 1,924,363 8,932,608 10,856,971 Agency-CMO 156,447 290,945 447,392 168,385 99,306 267,691 Agency CMBS — 4,936,183 4,936,183 — 1,002,510 1,002,510 Non-Agency CMBS 2,174,951 1,676,601 3,851,552 2,153,403 1,133,056 3,286,459 Non-Agency RMBS 759,701 258,810 1,018,511 961,445 202,237 1,163,682 GSE CRT 530,506 398,529 929,035 586,231 233,098 819,329 Total 4,550,623 19,048,876 23,599,499 5,793,827 11,602,815 17,396,642 The components of the carrying value of our MBS and GSE CRT portfolio at September 30, 2019 and December 31, 2018 are presented below. September 30, 2019 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 22,530,430 2,513,348 25,043,778 Unamortized premium 505,323 — 505,323 Unamortized discount (429,027 ) (2,452,402 ) (2,881,429 ) Gross unrealized gains (1) 948,663 4,109 952,772 Gross unrealized losses (1) (17,431 ) (3,514 ) (20,945 ) Fair value 23,537,958 61,541 23,599,499 December 31, 2018 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 17,442,367 2,672,316 20,114,683 Unamortized premium 395,907 — 395,907 Unamortized discount (549,988 ) (2,598,767 ) (3,148,755 ) Gross unrealized gains (1) 238,579 7,448 246,027 Gross unrealized losses (1) (204,664 ) (6,556 ) (211,220 ) Fair value 17,322,201 74,441 17,396,642 (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 nine months ended September 30, 2019 and 2018 is provided below within this Note 4. The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of September 30, 2019 and December 31, 2018 . $ in thousands September 30, 2019 December 31, 2018 Less than one year 87,420 110,020 Greater than one year and less than five years 10,071,194 3,508,100 Greater than or equal to five years 13,440,885 13,778,522 Total 23,599,499 17,396,642 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 September 30, 2019 and December 31, 2018 . September 30, 2019 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 3 — 1 1,067 (5 ) 7 1,070 (5 ) 8 30 year fixed-rate 704,840 (1,584 ) 7 56,531 (349 ) 7 761,371 (1,933 ) 14 Hybrid ARM 438 (1 ) 1 1,629 (50 ) 4 2,067 (51 ) 5 Total Agency RMBS pass-through (1) 705,281 (1,585 ) 9 59,227 (404 ) 18 764,508 (1,989 ) 27 Agency-CMO (2) 45,278 (2,237 ) 17 4,656 (641 ) 9 49,934 (2,878 ) 26 Agency CMBS (3) 768,675 (7,331 ) 31 — — — 768,675 (7,331 ) 31 Non-Agency CMBS (4) 83,184 (426 ) 6 105,329 (7,165 ) 7 188,513 (7,591 ) 13 GSE CRT (5) 25,467 (198 ) 1 — — — 25,467 (198 ) 1 Non-Agency RMBS (6) 19,653 (733 ) 11 21,506 (225 ) 4 41,159 (958 ) 15 Total 1,647,538 (12,510 ) 75 190,718 (8,435 ) 38 1,838,256 (20,945 ) 113 (1) Includes Agency RMBS with a fair value of $ 730.8 million for which the fair value option has been elected. These securities have unrealized losses of $ 1.7 million . (2) Includes Agency IO with fair value of $11.9 million for which the fair value option has been elected. These Agency IO have unrealized losses of $2.7 million . (3) Fair value option has been elected for all Agency CMBS that are in an unrealized loss position. (4) Includes non-Agency CMBS with a fair value of $83.2 million for which the fair value option has been elected. These securities have unrealized losses of $426,000 . (5) Fair value option has been elected for all GSE CRT that are in an unrealized loss position. (6) Includes non-Agency RMBS and non-Agency IO with a fair value of $6.2 million and $4.0 million , respectively for which the fair value option has been elected. These securities have unrealized losses of $1,000 and $645,000 , respectively. December 31, 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 86,241 (814 ) 50 16,660 (189 ) 22 102,901 (1,003 ) 72 30 year fixed-rate 3,966,347 (49,182 ) 158 2,846,090 (94,716 ) 95 6,812,437 (143,898 ) 253 Hybrid ARM 9,390 (87 ) 3 503,417 (9,175 ) 81 512,807 (9,262 ) 84 Total Agency RMBS pass-through (1) 4,061,978 (50,083 ) 211 3,366,167 (104,080 ) 198 7,428,145 (154,163 ) 409 Agency-CMO (2) 152,962 (6,315 ) 34 101,705 (5,100 ) 19 254,667 (11,415 ) 53 Non-Agency CMBS (3) 1,214,691 (17,778 ) 94 659,298 (25,381 ) 52 1,873,989 (43,159 ) 146 Non-Agency RMBS (4) 87,850 (1,152 ) 19 89,265 (1,138 ) 16 177,115 (2,290 ) 35 GSE CRT (5) 9,639 (193 ) 1 — — — 9,639 (193 ) 1 Total 5,527,120 (75,521 ) 359 4,216,435 (135,699 ) 285 9,743,555 (211,220 ) 644 (1) Includes Agency RMBS with a fair value of $6.1 billion for which the fair value option has been elected. These securities have unrealized losses of $ 130.2 million . (2) Includes Agency IO and Agency-CMO with fair value of $21.8 million and $66.0 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $6.3 million and $845,000 , respectively. (3) Includes non-Agency CMBS with a fair value of $831.3 million for which the fair value option has been elected. These securities have unrealized losses of $26.3 million . (4) Includes non-Agency RMBS and non-Agency IO with a fair value of $6.2 million and $3.7 million for which the fair value option has been elected. These securities have unrealized losses of $79,000 and $269,000 , respectively. (5) Fair value option has been elected for all GSE CRT that are in an unrealized loss position. Gross unrealized losses on our Agency RMBS, Agency CMBS and CMO were $9.5 million at September 30, 2019 ( December 31, 2018 : $159.3 million ). Due to the inherent credit quality of Agency RMBS, Agency CMBS and Agency-CMO, we determined that at September 30, 2019 and December 31, 2018 , any unrealized losses on these securities are not other than temporary. Gross unrealized losses on our Agency IO, non-Agency RMBS, GSE CRT and non-Agency CMBS were $11.5 million at September 30, 2019 ( December 31, 2018 : $51.9 million ). 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 ("OTTI"). We assess our investment securities for 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 nine months ended September 30, 2019 and 2018 : Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2019 2018 2019 2018 RMBS interest-only securities 1,826 702 3,778 7,100 Non-Agency RMBS (1) — 35 1,024 85 Total 1,826 737 4,802 7,185 (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 September 30, 2019 , 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 nine months ended September 30, 2019 and 2018 . Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2019 2018 2019 2018 Gross realized gains on sale of investments 4,022 739 9,181 774 Gross realized losses on sale of investments (1,485 ) (141,454 ) (15,730 ) (162,251 ) Other-than-temporary impairment losses (1,826 ) (737 ) (4,802 ) (7,185 ) Net unrealized gains and losses on MBS accounted for under the fair value option 202,876 (66,831 ) 787,607 (236,967 ) Net unrealized gains and losses on GSE CRT accounted for under the fair value option (1,174 ) 377 (3,279 ) 993 Net unrealized gains and losses on trading securities — (4 ) — (21 ) Total gain (loss) on investments, net 202,413 (207,910 ) 772,977 (404,657 ) The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the three and nine months ended September 30, 2019 and 2018 . 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 September 30, 2019 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 122,725 (21,526 ) 101,199 Agency CMBS 25,434 (1,395 ) 24,039 Non-Agency CMBS 41,972 3,957 45,929 Non-Agency RMBS 12,746 2,725 15,471 GSE CRT 9,913 (2,369 ) 7,544 Other 756 — 756 Total 213,546 (18,608 ) 194,938 For the three months ended September 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 111,893 (20,598 ) 91,295 Agency CMBS 3,936 (252 ) 3,684 Non-Agency CMBS 37,938 1,470 39,408 Non-Agency RMBS 14,106 4,831 18,937 GSE CRT 7,513 (731 ) 6,782 Other 310 — 310 Total 175,696 (15,280 ) 160,416 For the nine months ended September 30, 2019 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 374,208 (50,873 ) 323,335 Agency CMBS 53,767 (2,835 ) 50,932 Non-Agency CMBS 121,417 10,338 131,755 Non-Agency RMBS 40,890 9,447 50,337 GSE CRT 27,935 (5,399 ) 22,536 Other 2,272 — 2,272 Total 620,489 (39,322 ) 581,167 For the nine months ended September 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 325,599 (66,094 ) 259,505 Agency CMBS 3,977 (253 ) 3,724 Non-Agency CMBS 113,332 4,091 117,423 Non-Agency RMBS 41,313 15,167 56,480 GSE CRT 21,218 (2,124 ) 19,094 Other 741 — 741 Total 506,180 (49,213 ) 456,967 |
Other Assets
Other Assets | 9 Months Ended |
Sep. 30, 2019 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets | Other Assets The following table summarizes our other assets as of September 30, 2019 and December 31, 2018 . $ in thousands September 30, 2019 December 31, 2018 FHLBI stock 74,250 74,250 Loan participation interest 45,115 54,981 Commercial loans, held-for-investment 24,188 31,582 Investments in unconsolidated ventures 23,305 24,012 Prepaid expenses and other assets 1,622 1,234 Total 168,480 186,059 IAS Services LLC, our wholly-owned captive insurance subsidiary, is required to purchase and hold Federal Home Loan Bank of Indianapolis ("FHLBI") stock as a condition of membership in the FHLBI. The stock is recorded at cost. In August 2018, we acquired a participation interest in a secured loan collateralized by mortgage servicing rights. The secured loan has a two year term subject to a one year extension at the borrower's option. The participation interest bears interest at a floating rate based on LIBOR plus a spread. The weighted average asset yield for the participation interest was 5.72% as of September 30, 2019 and 6.06% as of December 31, 2018. We elected to account for the investment using the fair value option. Refer to Note 14 - "Commitments and Contingencies" for additional details regarding our unfunded commitment on this loan participation interest. As of September 30, 2019 , our commercial loan portfolio consisted of one commercial loan with a maturity of 1.4 years (December 31, 2018: two commercial loans with a weighted average maturity of 1.7 years ). The loans had a weighted average coupon rate of 10.60% as of September 30, 2019 and 10.69% as of December 31, 2018. The loans were not impaired, and we have not recorded an allowance for loan losses as of September 30, 2019 and December 31, 2018 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, 2018 . 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 14 - "Commitments and Contingencies" for additional details regarding our commitments to these unconsolidated ventures. |
Borrowings
Borrowings | 9 Months Ended |
Sep. 30, 2019 | |
Debt Disclosure [Abstract] | |
Borrowings | Borrowings We finance the majority of our investment portfolio through repurchase agreements and secured loans. The following tables summarize certain characteristics of our borrowings at September 30, 2019 and December 31, 2018 . Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements and secured loans. $ in thousands September 30, 2019 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 11,124,901 2.34 % 21 Agency CMBS 3,306,244 2.35 % 30 Non-Agency CMBS 2,018,542 3.04 % 15 Non-Agency RMBS 828,535 2.97 % 17 GSE CRT 759,973 3.04 % 15 Loan participation interest 33,837 3.68 % 332 Total Repurchase Agreements 18,072,032 2.48 % 22 Secured Loans 1,650,000 2.37 % 1679 Total Borrowings 19,722,032 2.47 % 161 $ in thousands December 31, 2018 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 9,529,352 2.56 % 36 Agency CMBS 810,450 2.53 % 31 Non-Agency CMBS 1,616,473 3.56 % 19 Non-Agency RMBS 923,959 3.60 % 26 GSE CRT 681,014 3.48 % 21 Loan participation interest 41,236 4.09 % 605 Total Repurchase Agreements 13,602,484 2.80 % 34 Secured Loans 1,650,000 2.68 % 1952 Total Borrowings 15,252,484 2.79 % 242 The following table shows the aggregate amount of maturities of our outstanding borrowings: $ in thousands As of Borrowings maturing within: September 30, 2019 10/1/2019 - 9/30/2020 18,372,032 10/1/2020 - 9/30/2021 100,000 10/1/2021 - 9/30/2022 — 10/1/2022 - 9/30/2023 — 10/1/2023 - 9/30/2024 — Thereafter (1) 1,250,000 Total 19,722,032 (1) Amounts represent FHLBI secured loans maturing in 2025. Repurchase Agreements Our repurchase agreements generally bear interest at a contractually agreed upon rate and have maturities ranging from one month to four months . Our repurchase agreement that is collateralized by a loan participation interest bears interest at a floating rate based on LIBOR plus a spread and matures on August 27, 2020 . 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 September 30, 2019 . Our repurchase agreement collateral pledged ratio (MBS, GSE CRTs and a loan participation interest pledged as collateral/amount outstanding) was 109% as of September 30, 2019 ( December 31, 2018 : 111% ). 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 September 30, 2019 , 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 nine months ended September 30, 2019 , IAS Services LLC had weighted average borrowings of $ 1.65 billion with a weighted average borrowing rate of 2.65% and a weighted average maturity of 4.6 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 5 - "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. |
Collateral Positions
Collateral Positions | 9 Months Ended |
Sep. 30, 2019 | |
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 September 30, 2019 and December 31, 2018 . 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, 2018 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. Loan participation interest collateral pledged is included in other assets on our condensed consolidated balance sheets. Cash collateral pledged on secured loans, centrally cleared swaps, bilateral interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on repurchase agreements, futures contracts and TBA securities that are accounted for as derivatives is classified as due from counterparties on our condensed consolidated balance sheets. TBA securities that are recorded as mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets cannot be pledged as collateral until these securities settle. We held approximately $1.3 billion and $131.8 million of these securities as of September 30, 2019 and December 31, 2018 , respectively. Cash collateral held on bilateral swaps and repurchase agreements 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 September 30, 2019 and December 31, 2018 , we did not recognize any non-cash collateral held on the condensed consolidated balance sheets. $ in thousands As of Collateral Pledged September 30, 2019 December 31, 2018 Repurchase Agreements: Agency RMBS 11,737,505 10,158,404 Agency CMBS 3,531,512 870,702 Non-Agency CMBS 2,543,887 2,016,202 Non-Agency RMBS 993,103 1,127,911 GSE CRT 899,144 819,328 Loan participation interest 45,115 54,981 Cash 4,209 — Total repurchase agreements collateral pledged 19,754,475 15,047,528 Secured Loans: Agency RMBS 633,350 702,952 Non-Agency CMBS 1,276,599 1,227,412 Total secured loans collateral pledged 1,909,949 1,930,364 Interest Rate Swaps, Futures Contracts and Currency Forward Contracts: Agency RMBS 251,517 159,914 Cash 6,075 13,500 Restricted cash 80,086 — Total interest rate swaps, futures contracts and currency forward contracts collateral pledged 337,678 173,414 Total collateral pledged: Mortgage-backed and credit risk transfer securities 21,866,617 17,082,825 Loan participation interest 45,115 54,981 Cash 10,284 13,500 Restricted cash 80,086 — Total collateral pledged 22,002,102 17,151,306 As of Collateral Held September 30, 2019 December 31, 2018 Repurchase Agreements: Cash 597 — Non-cash collateral 10,549 — Total repurchase agreements collateral held 11,146 — Interest Rate Swaps: Cash 499 18,083 Non-cash collateral — — Total interest rate swap collateral held 499 18,083 Total collateral held: Cash 1,096 18,083 Non-cash collateral 10,549 — Total collateral held 11,645 18,083 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 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 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 and is recorded as gain (loss) on derivative instruments, net in our condensed consolidated statement of operations. 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 and is recorded as gain (loss) on derivative instruments, net in our condensed consolidated statement of operations. Currency Forward Contracts |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 9 Months Ended |
Sep. 30, 2019 | |
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 2019 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps 12,370,000 20,550,000 (18,495,000 ) 14,425,000 Futures Contracts 1,689,900 3,625,800 (4,821,400 ) 494,300 Currency Forward Contracts 23,149 81,577 (75,268 ) 29,458 Credit Derivatives 526,912 — (39,963 ) 486,949 Total 14,609,961 24,257,377 (23,431,631 ) 15,435,707 Refer to Note 7 - "Collateral Positions" for further information regarding our collateral pledged to and received from our interest rate swap counterparties. 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 $6.0 million as a decrease ( September 30, 2018 : $6.4 million as a decrease) and $17.7 million as a decrease ( September 30, 2018 : $19.9 million as a decrease) to interest expense for the three and nine months ended September 30, 2019 , respectively. During the next 12 months, we estimate that $23.8 million will be reclassified as a decrease to interest expense, repurchase agreements. As of September 30, 2019 , $81.9 million ( December 31, 2018 : $99.6 million ) of unrealized gains on discontinued cash flow hedges, net are still included in accumulated other comprehensive income and will be reclassified as a decrease to interest expense, repurchase agreements over a period of time through December 15, 2023. As of September 30, 2019 and December 31, 2018 , we had interest rate swaps with the following maturities outstanding: $ in thousands As of September 30, 2019 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2020 1,900,000 1.67 % 2.09 % 0.9 2021 3,700,000 1.56 % 2.06 % 1.7 2022 2,350,000 1.99 % 2.11 % 2.7 2023 1,400,000 1.85 % 2.03 % 4.0 Thereafter 5,075,000 1.58 % 2.07 % 8.2 Total 14,425,000 1.68 % 2.07 % 4.3 $ in thousands As of December 31, 2018 Maturities Notional Amount (2) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2019 1,500,000 2.70 % 2.47 % 0.9 2020 1,500,000 2.78 % 2.51 % 1.7 2021 2,300,000 2.51 % 2.58 % 2.5 2022 2,550,000 2.13 % 2.65 % 3.4 2023 1,600,000 2.39 % 2.47 % 4.7 Thereafter 2,920,000 2.47 % 2.55 % 6.8 Total 12,370,000 2.46 % 2.55 % 3.7 (1) Notional amount includes $11.6 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $2.8 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of September 30, 2019 . (2) Notional amount includes $6.7 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $5.7 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of December 31, 2018 . TBAs, Futures and Currency Forward Contracts We purchase or sell certain TBAs and 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 TBAs and 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 September 30, 2019 , we had $29.5 million ( December 31, 2018 : $23.1 million ) of notional amount of currency forward contracts related to an investment in an unconsolidated venture 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 September 30, 2019 and December 31, 2018 , terms of the GSE CRT embedded derivatives are: $ in thousands September 30, 2019 December 31, 2018 Fair value amount 12,372 22,771 Notional amount 486,949 526,912 Maximum potential amount of future undiscounted payments 486,949 526,912 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 September 30, 2019 and December 31, 2018 . $ in thousands Derivative Assets Derivative Liabilities As of September 30, 2019 As of December 31, 2018 As of September 30, 2019 As of December 31, 2018 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 3,384 15,089 Interest Rate Swaps Liability 46,381 15,382 Currency Forward Contracts 589 — Currency Forward Contracts — 172 Futures Contracts 154 — Futures Contracts — 7,836 Total Derivative Assets 4,127 15,089 Total Derivative Liabilities 46,381 23,390 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 nine months ended September 30, 2019 and 2018 . $ in thousands Three months ended September 30, 2019 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 — 5,196 (5,195 ) 1 $ in thousands Three months ended September 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 (663 ) 4,975 $ in thousands Nine months ended September 30, 2019 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 — 15,846 (10,399 ) 5,447 $ in thousands Nine months ended September 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 — 16,909 (8,034 ) 8,875 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 nine months ended September 30, 2019 and 2018 : $ in thousands Three Months Ended September 30, 2019 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (137,346 ) 11,715 (15,772 ) (141,403 ) Futures Contracts (36,633 ) — (464 ) (37,097 ) Currency Forward Contracts 372 — 884 1,256 Total (173,607 ) 11,715 (15,352 ) (177,244 ) $ in thousands Three Months Ended September 30, 2018 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 68,953 (2,763 ) (178 ) 66,012 Futures Contracts 27,136 — (5,548 ) 21,588 Currency Forward Contracts 3,569 — (3,480 ) 89 TBAs (17 ) — — (17 ) Total 99,641 (2,763 ) (9,206 ) 87,672 $ in thousands Nine Months Ended September 30, 2019 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (545,069 ) 23,749 (42,703 ) (564,023 ) Futures Contracts (169,274 ) — 7,990 (161,284 ) Currency Forward Contracts 1,110 — 760 1,870 Total (713,233 ) 23,749 (33,953 ) (723,437 ) $ in thousands Nine Months Ended September 30, 2018 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 225,499 (19,386 ) 65,181 271,294 Futures Contracts 22,499 — (8,204 ) 14,295 Currency Forward Contracts 1,512 — 1,124 2,636 TBAs (17 ) — — (17 ) Total 249,493 (19,386 ) 58,101 288,208 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 September 30, 2019 , 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 $46.5 million . We have minimum collateral posting thresholds with certain of our bilateral derivative counterparties and pledged securities with a fair value of $41.4 million and restricted cash of $8.4 million with these counterparties as of September 30, 2019 . If we had breached any of these provisions at September 30, 2019 , 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 $3.4 million as of September 30, 2019 . We were in compliance with all of the financial provisions of these counterparty agreements as of September 30, 2019 . |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 9 Months Ended |
Sep. 30, 2019 | |
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 September 30, 2019 and December 31, 2018 . The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of September 30, 2019 , our derivative asset of $3.4 million ( December 31, 2018 : derivative liability of $13.2 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 September 30, 2019 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) 743 — 743 — (346 ) 397 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of September 30, 2019 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) 46,381 — 46,381 (38,471 ) (7,910 ) — Repurchase Agreements (4) 18,072,032 — 18,072,032 (18,072,032 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 19,768,413 — 19,768,413 (19,760,503 ) (7,910 ) — Offsetting of Derivative Assets As of December 31, 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) 15,089 — 15,089 (433 ) (14,656 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 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) 10,239 — 10,239 (2,058 ) (7,836 ) 345 Repurchase Agreements (4) 13,602,484 — 13,602,484 (13,602,484 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,262,723 — 15,262,723 (15,254,542 ) (7,836 ) 345 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at September 30, 2019 and December 31, 2018 , 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 $251.5 million ( December 31, 2018 : $159.9 million ) at September 30, 2019 , of which $200.2 million ( December 31, 2018 : $158.3 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 $499,000 and $18.1 million at September 30, 2019 and December 31, 2018 , respectively. Cash collateral pledged by us on our futures contracts and interest rate swaps were $86.2 million and $13.5 million at September 30, 2019 and December 31, 2018 , 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 September 30, 2019 and December 31, 2018 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $19.8 billion and $15.0 billion at September 30, 2019 and December 31, 2018 , respectively. We pledged cash collateral of $4.2 million and held cash collateral of $597,000 under repurchase agreements as of September 30, 2019 . (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at September 30, 2019 and December 31, 2018 , respectively. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 9 Months Ended |
Sep. 30, 2019 | |
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. September 30, 2019 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) — 23,587,127 12,372 — 23,599,499 Derivative assets 154 3,973 — — 4,127 Other assets (4) — — 45,115 23,305 68,420 Total assets 154 23,591,100 57,487 23,305 23,672,046 Liabilities: Derivative liabilities — 46,381 — — 46,381 Total liabilities — 46,381 — — 46,381 December 31, 2018 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) — 17,373,871 22,771 — 17,396,642 Derivative assets — 15,089 — — 15,089 Other assets (4) — — 54,981 24,012 78,993 Total assets — 17,388,960 77,752 24,012 17,490,724 Liabilities: Derivative liabilities 7,836 15,554 — — 23,390 Total liabilities 7,836 15,554 — — 23,390 (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 September 30, 2019 , the net embedded derivative asset position of $12.4 million includes $21.6 million of embedded derivatives in an asset position and $9.2 million of embedded derivatives in a liability position. As of December 31, 2018 , the net embedded derivative asset position of $22.8 million includes $28.8 million of embedded derivatives in an asset position and $6.0 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 September 30, 2019 and December 31, 2018 , the weighted average remaining term of our investments in unconsolidated ventures was 2.6 years for both periods. (4) Includes $45.1 million and $55.0 million of a loan participation interest as of September 30, 2019 and December 31, 2018 , respectively. The loan participation interest is transferable and bears interest at a variable rate based on LIBOR plus a spread and resets daily. As a result, the cost of the loan participation interest approximates its fair value. 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 September 30, Nine Months Ended September 30, $ in thousands 2019 2018 2019 2018 Beginning balance 17,567 38,029 22,771 45,400 Unrealized credit derivative gains (losses), net (5,195 ) (663 ) (10,399 ) (8,034 ) Ending balance 12,372 37,366 12,372 37,366 The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs: Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2019 2018 2019 2018 Beginning balance 47,885 — 54,981 — Purchases/Advances 5,192 45,058 5,769 45,058 Repayments (7,962 ) — (15,635 ) — Ending balance 45,115 45,058 45,115 45,058 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 September 30, 2019 Technique Input Range Average GSE CRT Embedded Derivatives 12,372 Market Comparables, Vendor Pricing Weighted average life 1.3 - 4.6 years 3.1 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2018 Technique Input Range Average GSE CRT Embedded Derivatives 22,771 Market Comparables, Vendor Pricing Weighted average life 2.9 - 5.9 years 4.3 years These significant unobservable inputs change according to market conditions and security performance. We estimate the weighted average life of GSE CRTs in order to identify GSE corporate debt with a similar maturity. We obtain our weighted average life estimates from a third party provider. Although weighted average life is a significant input, changes in weighted average life may not have an explicit directional impact on the fair value measurement. The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at September 30, 2019 and December 31, 2018 : September 30, 2019 December 31, 2018 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 24,188 24,478 31,582 31,826 FHLBI stock 74,250 74,250 74,250 74,250 Total 98,438 98,728 105,832 106,076 Financial Liabilities Repurchase agreements 18,072,032 18,072,733 13,602,484 13,602,050 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Total 19,722,032 19,722,733 15,252,484 15,252,050 The following describes our methods for estimating the fair value for financial instruments not carried at fair value on the condensed consolidated balance sheets. • The estimated fair value of commercial loans held-for-investment, included in "Other assets" on our condensed consolidated balance sheets, 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" on our condensed consolidated balance sheets, is a Level 3 fair value measurement. FHLBI stock may only be sold back to the FHLBI at its discretion at par. 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. |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2019 | |
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 nine months ended September 30, 2019 , we reimbursed our Manager $250,000 ( September 30, 2018 : $168,000 ) and $646,000 ( September 30, 2018 : $599,000 ), respectively, for costs of support personnel that are fully dedicated to our business. We have invested $120.4 million as of September 30, 2019 ( December 31, 2018 : $131.9 million ) in money market or mutual funds managed by affiliates of our Manager. The investments are reported as cash and cash equivalents on our condensed consolidated balance sheets as they are highly liquid and have original or remaining maturities of three months or less when purchased. 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. Stockholders 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 nine months ended September 30, 2019 and 2018 . Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2019 2018 2019 2018 Incurred costs, prepaid or expensed 2,186 2,133 5,399 4,925 Incurred costs, charged against equity as a cost of raising capital 236 — 680 167 Total incurred costs, originally paid by our Manager 2,422 2,133 6,079 5,092 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 | 9 Months Ended |
Sep. 30, 2019 | |
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. 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. In March 2019, we entered into an equity distribution agreement with a placement agent under which we may sell up to 7,000,000 shares of our preferred stock from time to time in at-the-market or privately negotiated transactions. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). As of September 30, 2019 , we have not sold any shares of preferred stock under the equity distribution agreement. Common Stock On February 7, 2019, we completed a public offering of 16,100,000 shares of common stock at the price of $15.73 per share. Total net proceeds were approximately $249.5 million after deducting offering costs. On August 16, 2019, we completed a public offering of 14,000,000 shares of common stock at the price of $15.86 per share. Total net proceeds were approximately $219.3 million after deducting offering costs. In March 2019, we amended our equity distribution agreement, dated December 18, 2017, 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 shelf registration statement (as amended and/or supplemented). During the nine months ended September 30, 2019 , we issued 1,093,136 shares of common stock under the equity distribution agreement for proceeds of $17.2 million , net of approximately $363,000 in commissions and fees. We did no t issue any common stock under the equity distribution agreement during the three months ended September 30, 2019 . Share Repurchase Program During the three and nine months ended September 30, 2019 and 2018 , we did no t repurchase any shares of our common stock. As of September 30, 2019 , we had authority to purchase 18,163,982 shares of our common stock through our share repurchase program. 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"). The Incentive Plan was amended and restated as of May 3, 2019 to extend the term of the plan until 2029 and to reduce the number of shares of common stock available for issuance under the Incentive Plan to 200,000 . We recognized compensation expense of approximately $113,000 ( September 30, 2018 : $107,000 ) and $338,000 ( September 30, 2018 : $306,000 ) for shares issued to our independent directors under our Incentive Plan for the three and nine months ended September 30, 2019 , respectively. During the three months ended September 30, 2019 and 2018 , we issued 6,765 shares and 6,620 shares of common stock, respectively, to our independent directors. During the nine months ended September 30, 2019 and 2018 , we issued 20,725 and 20,262 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 $17,000 ( September 30, 2018 : $71,000 ) and $54,000 ( September 30, 2018 : $115,000 ) for the three and nine months ended September 30, 2019 , respectively for restricted stock units awarded to employees of our Manager and its affiliates under our Incentive Plan. Our Manager reimburses us for the cost of these restricted stock awards under the terms of our management agreement. At September 30, 2019 , there was approximately $149,000 of total unrecognized compensation cost related to restricted stock unit awards that is expected to be recognized over a period of up to 42 months, with a weighted-average remaining vesting period of 18 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 nine months ended September 30, 2019 . Three Months Ended September 30, Nine Months Ended September 30, 2019 2019 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 12,520 $ 15.25 11,051 $ 14.55 Shares granted during the period — — 6,189 15.92 Shares vested during the period — — (4,720 ) 14.48 Unvested at the end of the period 12,520 $ 15.25 12,520 $ 15.25 (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 nine months ended September 30, 2019 and 2018 . The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. Three Months Ended September 30, 2019 $ 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 — 14,482 — 14,482 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (954 ) — (954 ) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,981 ) (5,981 ) Currency translation adjustments on investment in unconsolidated venture 290 — — 290 Total other comprehensive income (loss) 290 13,528 (5,981 ) 7,837 AOCI balance at beginning of period (83 ) 230,227 87,869 318,013 Total other comprehensive income (loss) 290 13,528 (5,981 ) 7,837 AOCI balance at end of period 207 243,755 81,888 325,850 Three Months Ended September 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 — (40,554 ) — (40,554 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 134,280 — 134,280 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,422 ) (6,422 ) Currency translation adjustments on investment in unconsolidated venture (1,126 ) — — (1,126 ) Total other comprehensive income (loss) (1,126 ) 93,726 (6,422 ) 86,178 AOCI balance at beginning of period 1,736 (22,901 ) 110,626 89,461 Total other comprehensive income (loss) (1,126 ) 93,726 (6,422 ) 86,178 Other comprehensive income/(loss) attributable to non-controlling interest 13 (1,181 ) 82 (1,086 ) AOCI balance at end of period 623 69,644 104,286 174,553 Nine Months Ended September 30, 2019 $ 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 — 114,019 — 114,019 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 9,072 — 9,072 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (17,748 ) (17,748 ) Currency translation adjustments on investment in unconsolidated venture (306 ) — — (306 ) Total other comprehensive income/(loss) (306 ) 123,091 (17,748 ) 105,037 AOCI balance at beginning of period 513 120,664 99,636 220,813 Total other comprehensive income/(loss) (306 ) 123,091 (17,748 ) 105,037 AOCI balance at end of period 207 243,755 81,888 325,850 Nine Months Ended September 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 — (220,800 ) — (220,800 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 153,406 — 153,406 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (19,859 ) (19,859 ) Currency translation adjustments on investment in unconsolidated venture (328 ) — — (328 ) Total other comprehensive income/(loss) (328 ) (67,394 ) (19,859 ) (87,581 ) AOCI balance at beginning of period 947 136,188 123,894 261,029 Total other comprehensive income/(loss) (328 ) (67,394 ) (19,859 ) (87,581 ) Other comprehensive income/(loss) attributable to non-controlling interest 4 850 251 1,105 AOCI balance at end of period 623 69,644 104,286 174,553 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 We declared the following dividends during the nine months ended September 30, 2019 and 2018 : $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2019 September 16, 2019 0.4844 2,713 October 25, 2019 June 17, 2019 0.4844 2,712 July 25, 2019 March 18, 2019 0.4844 2,713 April 25, 2019 2018 September 14, 2018 0.4844 2,713 October 25, 2018 June 15, 2018 0.4844 2,712 July 25, 2018 March 15, 2018 0.4844 2,713 April 25, 2018 $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2019 August 1, 2019 0.4844 3,003 September 27, 2019 May 3, 2019 0.4844 3,004 June 27, 2019 February 14, 2019 0.4844 3,003 March 27, 2019 2018 August 2, 2018 0.4844 3,003 September 27, 2018 May 2, 2018 0.4844 3,004 June 27, 2018 February 15, 2018 0.4844 3,003 March 27, 2018 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2019 August 1, 2019 0.46875 5,391 September 27, 2019 May 3, 2019 0.46875 5,390 June 27, 2019 February 14, 2019 0.46875 5,391 March 27, 2019 2018 August 2, 2018 0.46875 5,391 September 27, 2018 May 2, 2018 0.46875 5,390 June 27, 2018 February 15, 2018 0.46875 5,391 March 27, 2018 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2019 September 16, 2019 0.45 64,261 October 28, 2019 June 17, 2019 0.45 57,958 July 26, 2019 March 18, 2019 0.45 57,720 April 26, 2019 2018 September 14, 2018 0.42 46,895 October 26, 2018 June 15, 2018 0.42 46,890 July 26, 2018 March 15, 2018 0.42 46,887 April 26, 2018 |
Earnings per Common Share
Earnings per Common Share | 9 Months Ended |
Sep. 30, 2019 | |
Earnings Per Share [Abstract] | |
Earnings per Common Share | Earnings per Common Share Earnings per share for the three and nine months ended September 30, 2019 and 2018 is computed as follows: Three Months Ended September 30, Nine Months Ended September 30, In thousands except per share amounts 2019 2018 2019 2018 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders 77,896 (64,480 ) 212,809 56,999 Effect of dilutive securities: Income (loss) allocated to non-controlling interest — (681 ) — 1,153 Dilutive net income (loss) available to stockholders 77,896 (65,161 ) 212,809 58,152 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 135,799 111,647 128,574 111,639 Effect of dilutive securities: Restricted stock awards 13 — 12 16 Non-controlling interest OP units — 1,425 — 1,425 Dilutive Shares 135,812 113,072 128,586 113,080 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic 0.57 (0.58 ) 1.66 0.51 Diluted 0.57 (0.58 ) 1.65 0.51 |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2019 | |
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 September 30, 2019 are discussed below. As discussed in Note 5 - "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 September 30, 2019 and December 31, 2018 , our undrawn capital and purchase commitments were $6.4 million and $10.0 million , respectively. As discussed in Note 5 - "Other Assets", we have funded our portion of a commitment in a loan participation. The remainder of our commitment will be funded over the remaining term of the loan based upon the financing needs of the borrower. As of September 30, 2019 , we have an unfunded commitment of $29.9 million . 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 | 9 Months Ended |
Sep. 30, 2019 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Dividends We declared the following dividends on our Series B and Series C Preferred Stock on November 5, 2019 to our stockholders of record as of December 5, 2019: a Series B Preferred Stock dividend of $0.4844 per share payable on December 27, 2019 and a Series C Preferred Stock dividend of $0.46875 per share payable on December 27, 2019. Amendment to Management Agreement On November 6, 2019, we entered into a Third Amendment to the management agreement, dated July 1, 2009 and amended on May 24, 2011 and July 1, 2015, between the Company, the Operating Partnership, IAS Asset I LLC and our Manager (the “Amendment”). Under the Amendment, effective October 1, 2019, our management fee will be equal to 1.50% of our stockholders’ equity per annum. For purposes of calculating the management fee, stockholders’ equity will be calculated as average month end stockholders’ equity for the prior calendar quarter as determined in accordance with U.S. GAAP. Stockholders’ equity may exclude one-time events due to changes in U.S. GAAP and certain non-cash items upon approval by a majority of our independent directors. The Amendment also clarified language in the management agreement regarding the pass through of certain costs incurred by our Manager in providing services to the Company. The full text of the Amendment is attached as Exhibit 10.1 to this report on Form 10-Q. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2019 | |
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, 2018 . |
Consolidation | Our 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. |
Reclassifications | Reclassifications |
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, provision for loan losses and other-than-temporary impairment charges. Actual results may differ from those estimates. |
Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements | Accounting Pronouncements Recently Adopted Effective January 1, 2019, we adopted the accounting guidance 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 is fixed at the grant date. The implementation of the guidance did not have a material impact on our financial statements. 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 requires entities to record credit 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 as of January 1, 2020. We are currently evaluating the potential impacts of the new guidance and proposed amendments to the new guidance on our consolidated financial statements. The new guidance specifically excludes available-for-sale securities measured at fair value through net income. The Company elected the fair value option for all MBS purchased on or after September 1, 2016 and GSE CRTs purchased on or after August 24, 2015. Accordingly, the impact of the new guidance on accounting for our debt securities will be limited to those securities purchased prior to election of the fair value option that the Company continues to hold on January 1, 2020. As of September 30, 2019, we hold approximately $4.6 billion of MBS and GSE CRT securities that were purchased prior to election of the fair value option that will be assessed for impairment under the new guidance. We have one commercial loan as of September 30, 2019 that is measured at amortized cost. We intend to implement the new guidance for this loan by electing the fair value option. The new guidance for this loan will be implemented on a modified retrospective basis by recording a cumulative effect adjustment to retained earnings on January 1, 2020. The loan is due in February 2021, and we do not expect the new guidance to have a material impact on our accounting for this loan. |
Variable Interest Entities ("_2
Variable Interest Entities ("VIEs") (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Variable Interest Entity Disclosure [Abstract] | |
Maximum Risk of Loss | Our maximum risk of loss in VIEs in which we are not the primary beneficiary at September 30, 2019 is presented in the table below. $ in thousands Carrying Amount Company's Maximum Risk of Loss Non-Agency CMBS 3,851,552 3,851,552 Non-Agency RMBS 1,018,511 1,018,511 Investments in unconsolidated ventures 23,305 23,305 Total 4,893,368 4,893,368 |
Mortgage-Backed and Credit Ri_2
Mortgage-Backed and Credit Risk Transfer Securities (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of Investment Portfolio | The components of the carrying value of our MBS and GSE CRT portfolio at September 30, 2019 and December 31, 2018 are presented below. September 30, 2019 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 22,530,430 2,513,348 25,043,778 Unamortized premium 505,323 — 505,323 Unamortized discount (429,027 ) (2,452,402 ) (2,881,429 ) Gross unrealized gains (1) 948,663 4,109 952,772 Gross unrealized losses (1) (17,431 ) (3,514 ) (20,945 ) Fair value 23,537,958 61,541 23,599,499 December 31, 2018 $ in thousands MBS and GSE CRT Securities Interest-Only Securities Total Principal/notional balance 17,442,367 2,672,316 20,114,683 Unamortized premium 395,907 — 395,907 Unamortized discount (549,988 ) (2,598,767 ) (3,148,755 ) Gross unrealized gains (1) 238,579 7,448 246,027 Gross unrealized losses (1) (204,664 ) (6,556 ) (211,220 ) Fair value 17,322,201 74,441 17,396,642 (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 nine months ended September 30, 2019 and 2018 is provided below within this Note 4. The following tables summarize our mortgage-backed securities ("MBS") and GSE CRT portfolio by asset type as of September 30, 2019 and December 31, 2018 . September 30, 2019 $ in thousands Principal/ Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 296,708 1,873 298,581 10,689 309,270 3.33 % 30 year fixed-rate 11,381,340 366,162 11,747,502 297,405 12,044,907 3.66 % Hybrid ARM * 60,551 654 61,205 1,444 62,649 3.58 % Total Agency RMBS pass-through 11,738,599 368,689 12,107,288 309,538 12,416,826 3.65 % Agency-CMO (2) 930,836 (500,625 ) 430,211 17,181 447,392 3.48 % Agency CMBS (3) 4,597,320 77,442 4,674,762 261,421 4,936,183 3.00 % Non-Agency CMBS (4) 4,446,232 (778,004 ) 3,668,228 183,324 3,851,552 5.23 % Non-Agency RMBS (5)(6)(7) 2,467,994 (1,565,995 ) 901,999 116,512 1,018,511 6.72 % GSE CRT (8) 862,797 22,387 885,184 43,851 929,035 2.88 % Total 25,043,778 (2,376,106 ) 22,667,672 931,827 23,599,499 3.86 % * Adjustable-rate mortgage ("ARM") (1) Period-end weighted average yield is based on amortized cost as of September 30, 2019 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 57.2% of principal/notional balance, 6.7% of amortized cost and 6.6% of fair value. (3) Includes approximately $1.3 billion of to-be-announced ("TBA") securities that will primarily settle in the fourth quarter of 2019. (4) Non-Agency CMBS includes interest-only securities which represent 13.3% of principal/notional balance, 0.3% of amortized cost and 0.3% of fair value. (5) Non-Agency RMBS is 57.8% fixed rate, 37.0% variable rate, and 5.2% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (6) Of the total discount in non-Agency RMBS, $128.9 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes interest-only securities ("non-Agency IO") which represent 56.3% of principal/notional balance, 2.2% of amortized cost and 1.9% 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, 2018 $ in thousands Principal/Notional Balance Unamortized Premium (Discount) Amortized Cost Unrealized Gain/ (Loss), net Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 417,233 5,077 422,310 1,944 424,254 3.27 % 30 year fixed-rate 9,599,301 298,693 9,897,994 (125,225 ) 9,772,769 3.55 % Hybrid ARM 653,586 13,775 667,361 (7,413 ) 659,948 2.79 % Total Agency RMBS pass-through 10,670,120 317,545 10,987,665 (130,694 ) 10,856,971 3.49 % Agency-CMO (2) 907,862 (631,180 ) 276,682 (8,991 ) 267,691 3.61 % Agency CMBS 973,122 15,058 988,180 14,330 1,002,510 3.54 % Non-Agency CMBS (3) 4,024,715 (727,307 ) 3,297,408 (10,949 ) 3,286,459 5.05 % Non-Agency RMBS (4)(5)(6) 2,800,335 (1,748,223 ) 1,052,112 111,570 1,163,682 7.24 % GSE CRT (7) 738,529 21,259 759,788 59,541 819,329 3.10 % Total 20,114,683 (2,752,848 ) 17,361,835 34,807 17,396,642 4.00 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2018 and incorporates future prepayment and loss assumptions. (2) Agency collateralized mortgage obligation ("Agency-CMO") includes interest-only securities ("Agency IO"), which represent 73.6% o f principal (notional) balance, 13.5% of amortized cost and 12.4% of fair value. (3) Non-Agency CMBS includes interest-only securities which represent 15.0% of principal/notional balance, 0.4% of amortized cost and 0.5% of fair value. (4) Non-Agency RMBS is 43.5% variable rate, 50.7% fixed rate, and 5.8% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (5) Of the total discount in non-Agency RMBS, $145.6 million is non-accretable (calculated using the principal/notional balance) based on estimated future cash flows of the securities. (6) Non-Agency RMBS includes interest-only securities, which represent 55.4% of principal/notional balance, 2.3% of amortized cost and 2.4% of fair value. (7) 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. |
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 September 30, 2019 and December 31, 2018 . We have elected the fair value option for all of our RMBS interest-only securities, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of September 30, 2019 and December 31, 2018 , approximately 81% and 67% , respectively, of our MBS and GSE CRTs are accounted for under the fair value option. September 30, 2019 December 31, 2018 $ 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 106,216 203,054 309,270 204,347 219,907 424,254 30 year fixed-rate 788,483 11,256,424 12,044,907 1,093,070 8,679,699 9,772,769 Hybrid ARM 34,319 28,330 62,649 626,946 33,002 659,948 Total RMBS Agency pass-through 929,018 11,487,808 12,416,826 1,924,363 8,932,608 10,856,971 Agency-CMO 156,447 290,945 447,392 168,385 99,306 267,691 Agency CMBS — 4,936,183 4,936,183 — 1,002,510 1,002,510 Non-Agency CMBS 2,174,951 1,676,601 3,851,552 2,153,403 1,133,056 3,286,459 Non-Agency RMBS 759,701 258,810 1,018,511 961,445 202,237 1,163,682 GSE CRT 530,506 398,529 929,035 586,231 233,098 819,329 Total 4,550,623 19,048,876 23,599,499 5,793,827 11,602,815 17,396,642 |
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 September 30, 2019 and December 31, 2018 . $ in thousands September 30, 2019 December 31, 2018 Less than one year 87,420 110,020 Greater than one year and less than five years 10,071,194 3,508,100 Greater than or equal to five years 13,440,885 13,778,522 Total 23,599,499 17,396,642 |
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 September 30, 2019 and December 31, 2018 . September 30, 2019 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 3 — 1 1,067 (5 ) 7 1,070 (5 ) 8 30 year fixed-rate 704,840 (1,584 ) 7 56,531 (349 ) 7 761,371 (1,933 ) 14 Hybrid ARM 438 (1 ) 1 1,629 (50 ) 4 2,067 (51 ) 5 Total Agency RMBS pass-through (1) 705,281 (1,585 ) 9 59,227 (404 ) 18 764,508 (1,989 ) 27 Agency-CMO (2) 45,278 (2,237 ) 17 4,656 (641 ) 9 49,934 (2,878 ) 26 Agency CMBS (3) 768,675 (7,331 ) 31 — — — 768,675 (7,331 ) 31 Non-Agency CMBS (4) 83,184 (426 ) 6 105,329 (7,165 ) 7 188,513 (7,591 ) 13 GSE CRT (5) 25,467 (198 ) 1 — — — 25,467 (198 ) 1 Non-Agency RMBS (6) 19,653 (733 ) 11 21,506 (225 ) 4 41,159 (958 ) 15 Total 1,647,538 (12,510 ) 75 190,718 (8,435 ) 38 1,838,256 (20,945 ) 113 (1) Includes Agency RMBS with a fair value of $ 730.8 million for which the fair value option has been elected. These securities have unrealized losses of $ 1.7 million . (2) Includes Agency IO with fair value of $11.9 million for which the fair value option has been elected. These Agency IO have unrealized losses of $2.7 million . (3) Fair value option has been elected for all Agency CMBS that are in an unrealized loss position. (4) Includes non-Agency CMBS with a fair value of $83.2 million for which the fair value option has been elected. These securities have unrealized losses of $426,000 . (5) Fair value option has been elected for all GSE CRT that are in an unrealized loss position. (6) Includes non-Agency RMBS and non-Agency IO with a fair value of $6.2 million and $4.0 million , respectively for which the fair value option has been elected. These securities have unrealized losses of $1,000 and $645,000 , respectively. December 31, 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 86,241 (814 ) 50 16,660 (189 ) 22 102,901 (1,003 ) 72 30 year fixed-rate 3,966,347 (49,182 ) 158 2,846,090 (94,716 ) 95 6,812,437 (143,898 ) 253 Hybrid ARM 9,390 (87 ) 3 503,417 (9,175 ) 81 512,807 (9,262 ) 84 Total Agency RMBS pass-through (1) 4,061,978 (50,083 ) 211 3,366,167 (104,080 ) 198 7,428,145 (154,163 ) 409 Agency-CMO (2) 152,962 (6,315 ) 34 101,705 (5,100 ) 19 254,667 (11,415 ) 53 Non-Agency CMBS (3) 1,214,691 (17,778 ) 94 659,298 (25,381 ) 52 1,873,989 (43,159 ) 146 Non-Agency RMBS (4) 87,850 (1,152 ) 19 89,265 (1,138 ) 16 177,115 (2,290 ) 35 GSE CRT (5) 9,639 (193 ) 1 — — — 9,639 (193 ) 1 Total 5,527,120 (75,521 ) 359 4,216,435 (135,699 ) 285 9,743,555 (211,220 ) 644 (1) Includes Agency RMBS with a fair value of $6.1 billion for which the fair value option has been elected. These securities have unrealized losses of $ 130.2 million . (2) Includes Agency IO and Agency-CMO with fair value of $21.8 million and $66.0 million , respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $6.3 million and $845,000 , respectively. (3) Includes non-Agency CMBS with a fair value of $831.3 million for which the fair value option has been elected. These securities have unrealized losses of $26.3 million . (4) Includes non-Agency RMBS and non-Agency IO with a fair value of $6.2 million and $3.7 million for which the fair value option has been elected. These securities have unrealized losses of $79,000 and $269,000 , respectively. (5) Fair value option has been elected for all GSE CRT that are in an unrealized loss position. |
Changes in other than temporary impairment included in earnings | The following table summarizes OTTI included in earnings for the three and nine months ended September 30, 2019 and 2018 : Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2019 2018 2019 2018 RMBS interest-only securities 1,826 702 3,778 7,100 Non-Agency RMBS (1) — 35 1,024 85 Total 1,826 737 4,802 7,185 (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 nine months ended September 30, 2019 and 2018 . Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2019 2018 2019 2018 Gross realized gains on sale of investments 4,022 739 9,181 774 Gross realized losses on sale of investments (1,485 ) (141,454 ) (15,730 ) (162,251 ) Other-than-temporary impairment losses (1,826 ) (737 ) (4,802 ) (7,185 ) Net unrealized gains and losses on MBS accounted for under the fair value option 202,876 (66,831 ) 787,607 (236,967 ) Net unrealized gains and losses on GSE CRT accounted for under the fair value option (1,174 ) 377 (3,279 ) 993 Net unrealized gains and losses on trading securities — (4 ) — (21 ) Total gain (loss) on investments, net 202,413 (207,910 ) 772,977 (404,657 ) |
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 nine months ended September 30, 2019 and 2018 . 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 September 30, 2019 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 122,725 (21,526 ) 101,199 Agency CMBS 25,434 (1,395 ) 24,039 Non-Agency CMBS 41,972 3,957 45,929 Non-Agency RMBS 12,746 2,725 15,471 GSE CRT 9,913 (2,369 ) 7,544 Other 756 — 756 Total 213,546 (18,608 ) 194,938 For the three months ended September 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 111,893 (20,598 ) 91,295 Agency CMBS 3,936 (252 ) 3,684 Non-Agency CMBS 37,938 1,470 39,408 Non-Agency RMBS 14,106 4,831 18,937 GSE CRT 7,513 (731 ) 6,782 Other 310 — 310 Total 175,696 (15,280 ) 160,416 For the nine months ended September 30, 2019 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 374,208 (50,873 ) 323,335 Agency CMBS 53,767 (2,835 ) 50,932 Non-Agency CMBS 121,417 10,338 131,755 Non-Agency RMBS 40,890 9,447 50,337 GSE CRT 27,935 (5,399 ) 22,536 Other 2,272 — 2,272 Total 620,489 (39,322 ) 581,167 For the nine months ended September 30, 2018 $ in thousands Coupon Interest Net (Premium Amortization)/Discount Accretion Interest Income Agency RMBS 325,599 (66,094 ) 259,505 Agency CMBS 3,977 (253 ) 3,724 Non-Agency CMBS 113,332 4,091 117,423 Non-Agency RMBS 41,313 15,167 56,480 GSE CRT 21,218 (2,124 ) 19,094 Other 741 — 741 Total 506,180 (49,213 ) 456,967 |
Other Assets (Tables)
Other Assets (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Summary of Company's Other Assets | The following table summarizes our other assets as of September 30, 2019 and December 31, 2018 . $ in thousands September 30, 2019 December 31, 2018 FHLBI stock 74,250 74,250 Loan participation interest 45,115 54,981 Commercial loans, held-for-investment 24,188 31,582 Investments in unconsolidated ventures 23,305 24,012 Prepaid expenses and other assets 1,622 1,234 Total 168,480 186,059 |
Borrowings (Tables)
Borrowings (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Debt Disclosure [Abstract] | |
Schedule of Borrowings | The following tables summarize certain characteristics of our borrowings at September 30, 2019 and December 31, 2018 . Refer to Note 7 - "Collateral Positions" for collateral pledged and held under our repurchase agreements and secured loans. $ in thousands September 30, 2019 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 11,124,901 2.34 % 21 Agency CMBS 3,306,244 2.35 % 30 Non-Agency CMBS 2,018,542 3.04 % 15 Non-Agency RMBS 828,535 2.97 % 17 GSE CRT 759,973 3.04 % 15 Loan participation interest 33,837 3.68 % 332 Total Repurchase Agreements 18,072,032 2.48 % 22 Secured Loans 1,650,000 2.37 % 1679 Total Borrowings 19,722,032 2.47 % 161 $ in thousands December 31, 2018 Weighted Weighted Average Average Remaining Amount Interest Maturity Outstanding Rate (days) Repurchase Agreements: Agency RMBS 9,529,352 2.56 % 36 Agency CMBS 810,450 2.53 % 31 Non-Agency CMBS 1,616,473 3.56 % 19 Non-Agency RMBS 923,959 3.60 % 26 GSE CRT 681,014 3.48 % 21 Loan participation interest 41,236 4.09 % 605 Total Repurchase Agreements 13,602,484 2.80 % 34 Secured Loans 1,650,000 2.68 % 1952 Total Borrowings 15,252,484 2.79 % 242 |
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: September 30, 2019 10/1/2019 - 9/30/2020 18,372,032 10/1/2020 - 9/30/2021 100,000 10/1/2021 - 9/30/2022 — 10/1/2022 - 9/30/2023 — 10/1/2023 - 9/30/2024 — Thereafter (1) 1,250,000 Total 19,722,032 (1) Amounts represent FHLBI secured loans maturing in 2025. |
Collateral Positions (Tables)
Collateral Positions (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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 September 30, 2019 and December 31, 2018 . 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, 2018 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. Loan participation interest collateral pledged is included in other assets on our condensed consolidated balance sheets. Cash collateral pledged on secured loans, centrally cleared swaps, bilateral interest rate swaps and currency forward contracts is classified as restricted cash on our condensed consolidated balance sheets. Cash collateral pledged on repurchase agreements, futures contracts and TBA securities that are accounted for as derivatives is classified as due from counterparties on our condensed consolidated balance sheets. TBA securities that are recorded as mortgage-backed and credit risk transfer securities on our condensed consolidated balance sheets cannot be pledged as collateral until these securities settle. We held approximately $1.3 billion and $131.8 million of these securities as of September 30, 2019 and December 31, 2018 , respectively. Cash collateral held on bilateral swaps and repurchase agreements 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 September 30, 2019 and December 31, 2018 , we did not recognize any non-cash collateral held on the condensed consolidated balance sheets. $ in thousands As of Collateral Pledged September 30, 2019 December 31, 2018 Repurchase Agreements: Agency RMBS 11,737,505 10,158,404 Agency CMBS 3,531,512 870,702 Non-Agency CMBS 2,543,887 2,016,202 Non-Agency RMBS 993,103 1,127,911 GSE CRT 899,144 819,328 Loan participation interest 45,115 54,981 Cash 4,209 — Total repurchase agreements collateral pledged 19,754,475 15,047,528 Secured Loans: Agency RMBS 633,350 702,952 Non-Agency CMBS 1,276,599 1,227,412 Total secured loans collateral pledged 1,909,949 1,930,364 Interest Rate Swaps, Futures Contracts and Currency Forward Contracts: Agency RMBS 251,517 159,914 Cash 6,075 13,500 Restricted cash 80,086 — Total interest rate swaps, futures contracts and currency forward contracts collateral pledged 337,678 173,414 Total collateral pledged: Mortgage-backed and credit risk transfer securities 21,866,617 17,082,825 Loan participation interest 45,115 54,981 Cash 10,284 13,500 Restricted cash 80,086 — Total collateral pledged 22,002,102 17,151,306 As of Collateral Held September 30, 2019 December 31, 2018 Repurchase Agreements: Cash 597 — Non-cash collateral 10,549 — Total repurchase agreements collateral held 11,146 — Interest Rate Swaps: Cash 499 18,083 Non-cash collateral — — Total interest rate swap collateral held 499 18,083 Total collateral held: Cash 1,096 18,083 Non-cash collateral 10,549 — Total collateral held 11,645 18,083 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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 2019 : $ in thousands Notional Amount as Additions Settlement, Notional Amount as Interest Rate Swaps 12,370,000 20,550,000 (18,495,000 ) 14,425,000 Futures Contracts 1,689,900 3,625,800 (4,821,400 ) 494,300 Currency Forward Contracts 23,149 81,577 (75,268 ) 29,458 Credit Derivatives 526,912 — (39,963 ) 486,949 Total 14,609,961 24,257,377 (23,431,631 ) 15,435,707 |
Schedule of Interest Rate Swaps Outstanding | As of September 30, 2019 and December 31, 2018 , we had interest rate swaps with the following maturities outstanding: $ in thousands As of September 30, 2019 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2020 1,900,000 1.67 % 2.09 % 0.9 2021 3,700,000 1.56 % 2.06 % 1.7 2022 2,350,000 1.99 % 2.11 % 2.7 2023 1,400,000 1.85 % 2.03 % 4.0 Thereafter 5,075,000 1.58 % 2.07 % 8.2 Total 14,425,000 1.68 % 2.07 % 4.3 $ in thousands As of December 31, 2018 Maturities Notional Amount (2) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2019 1,500,000 2.70 % 2.47 % 0.9 2020 1,500,000 2.78 % 2.51 % 1.7 2021 2,300,000 2.51 % 2.58 % 2.5 2022 2,550,000 2.13 % 2.65 % 3.4 2023 1,600,000 2.39 % 2.47 % 4.7 Thereafter 2,920,000 2.47 % 2.55 % 6.8 Total 12,370,000 2.46 % 2.55 % 3.7 (1) Notional amount includes $11.6 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $2.8 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of September 30, 2019 . (2) Notional amount includes $6.7 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $5.7 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of December 31, 2018 . |
Disclosure of Credit Derivatives | At September 30, 2019 and December 31, 2018 , terms of the GSE CRT embedded derivatives are: $ in thousands September 30, 2019 December 31, 2018 Fair value amount 12,372 22,771 Notional amount 486,949 526,912 Maximum potential amount of future undiscounted payments 486,949 526,912 |
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 September 30, 2019 and December 31, 2018 . $ in thousands Derivative Assets Derivative Liabilities As of September 30, 2019 As of December 31, 2018 As of September 30, 2019 As of December 31, 2018 Balance Sheet Fair Value Fair Value Balance Sheet Fair Value Fair Value Interest Rate Swaps Asset 3,384 15,089 Interest Rate Swaps Liability 46,381 15,382 Currency Forward Contracts 589 — Currency Forward Contracts — 172 Futures Contracts 154 — Futures Contracts — 7,836 Total Derivative Assets 4,127 15,089 Total Derivative Liabilities 46,381 23,390 |
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 nine months ended September 30, 2019 and 2018 . $ in thousands Three months ended September 30, 2019 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 — 5,196 (5,195 ) 1 $ in thousands Three months ended September 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 (663 ) 4,975 $ in thousands Nine months ended September 30, 2019 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 — 15,846 (10,399 ) 5,447 $ in thousands Nine months ended September 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 — 16,909 (8,034 ) 8,875 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 nine months ended September 30, 2019 and 2018 : $ in thousands Three Months Ended September 30, 2019 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (137,346 ) 11,715 (15,772 ) (141,403 ) Futures Contracts (36,633 ) — (464 ) (37,097 ) Currency Forward Contracts 372 — 884 1,256 Total (173,607 ) 11,715 (15,352 ) (177,244 ) $ in thousands Three Months Ended September 30, 2018 Derivative not designated as hedging instrument Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 68,953 (2,763 ) (178 ) 66,012 Futures Contracts 27,136 — (5,548 ) 21,588 Currency Forward Contracts 3,569 — (3,480 ) 89 TBAs (17 ) — — (17 ) Total 99,641 (2,763 ) (9,206 ) 87,672 $ in thousands Nine Months Ended September 30, 2019 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps (545,069 ) 23,749 (42,703 ) (564,023 ) Futures Contracts (169,274 ) — 7,990 (161,284 ) Currency Forward Contracts 1,110 — 760 1,870 Total (713,233 ) 23,749 (33,953 ) (723,437 ) $ in thousands Nine Months Ended September 30, 2018 Derivative Realized gain (loss) on derivative instruments, net Contractual net interest income (expense) Unrealized gain (loss), net Gain (loss) on derivative instruments, net Interest Rate Swaps 225,499 (19,386 ) 65,181 271,294 Futures Contracts 22,499 — (8,204 ) 14,295 Currency Forward Contracts 1,512 — 1,124 2,636 TBAs (17 ) — — (17 ) Total 249,493 (19,386 ) 58,101 288,208 |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Offsetting [Abstract] | |
Offsetting Derivative Assets | The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at September 30, 2019 and December 31, 2018 . The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of September 30, 2019 , our derivative asset of $3.4 million ( December 31, 2018 : derivative liability of $13.2 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 September 30, 2019 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) 743 — 743 — (346 ) 397 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of September 30, 2019 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) 46,381 — 46,381 (38,471 ) (7,910 ) — Repurchase Agreements (4) 18,072,032 — 18,072,032 (18,072,032 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 19,768,413 — 19,768,413 (19,760,503 ) (7,910 ) — Offsetting of Derivative Assets As of December 31, 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) 15,089 — 15,089 (433 ) (14,656 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 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) 10,239 — 10,239 (2,058 ) (7,836 ) 345 Repurchase Agreements (4) 13,602,484 — 13,602,484 (13,602,484 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,262,723 — 15,262,723 (15,254,542 ) (7,836 ) 345 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at September 30, 2019 and December 31, 2018 , 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 $251.5 million ( December 31, 2018 : $159.9 million ) at September 30, 2019 , of which $200.2 million ( December 31, 2018 : $158.3 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 $499,000 and $18.1 million at September 30, 2019 and December 31, 2018 , respectively. Cash collateral pledged by us on our futures contracts and interest rate swaps were $86.2 million and $13.5 million at September 30, 2019 and December 31, 2018 , 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 September 30, 2019 and December 31, 2018 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $19.8 billion and $15.0 billion at September 30, 2019 and December 31, 2018 , respectively. We pledged cash collateral of $4.2 million and held cash collateral of $597,000 under repurchase agreements as of September 30, 2019 . (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at September 30, 2019 and December 31, 2018 , respectively. |
Offsetting Derivative Liabilities | The following tables present information about the assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset on our condensed consolidated balance sheets at September 30, 2019 and December 31, 2018 . The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. As of September 30, 2019 , our derivative asset of $3.4 million ( December 31, 2018 : derivative liability of $13.2 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 September 30, 2019 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) 743 — 743 — (346 ) 397 Offsetting of Derivative Liabilities, Repurchase Agreements and Secured Loans As of September 30, 2019 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) 46,381 — 46,381 (38,471 ) (7,910 ) — Repurchase Agreements (4) 18,072,032 — 18,072,032 (18,072,032 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 19,768,413 — 19,768,413 (19,760,503 ) (7,910 ) — Offsetting of Derivative Assets As of December 31, 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) 15,089 — 15,089 (433 ) (14,656 ) — Offsetting of Derivative Liabilities and Repurchase Agreements As of December 31, 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) 10,239 — 10,239 (2,058 ) (7,836 ) 345 Repurchase Agreements (4) 13,602,484 — 13,602,484 (13,602,484 ) — — Secured Loans (5) 1,650,000 — 1,650,000 (1,650,000 ) — — Total 15,262,723 — 15,262,723 (15,254,542 ) (7,836 ) 345 (1) Amounts represent derivatives in an asset position which could potentially be offset against derivatives in a liability position at September 30, 2019 and December 31, 2018 , 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 $251.5 million ( December 31, 2018 : $159.9 million ) at September 30, 2019 , of which $200.2 million ( December 31, 2018 : $158.3 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 $499,000 and $18.1 million at September 30, 2019 and December 31, 2018 , respectively. Cash collateral pledged by us on our futures contracts and interest rate swaps were $86.2 million and $13.5 million at September 30, 2019 and December 31, 2018 , 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 September 30, 2019 and December 31, 2018 , respectively. (4) The fair value of securities pledged against our borrowing under repurchase agreements was $19.8 billion and $15.0 billion at September 30, 2019 and December 31, 2018 , respectively. We pledged cash collateral of $4.2 million and held cash collateral of $597,000 under repurchase agreements as of September 30, 2019 . (5) The fair value of securities pledged against IAS Services LLC's borrowings under secured loans was $1.9 billion at September 30, 2019 and December 31, 2018 , respectively. |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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. September 30, 2019 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) — 23,587,127 12,372 — 23,599,499 Derivative assets 154 3,973 — — 4,127 Other assets (4) — — 45,115 23,305 68,420 Total assets 154 23,591,100 57,487 23,305 23,672,046 Liabilities: Derivative liabilities — 46,381 — — 46,381 Total liabilities — 46,381 — — 46,381 December 31, 2018 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) — 17,373,871 22,771 — 17,396,642 Derivative assets — 15,089 — — 15,089 Other assets (4) — — 54,981 24,012 78,993 Total assets — 17,388,960 77,752 24,012 17,490,724 Liabilities: Derivative liabilities 7,836 15,554 — — 23,390 Total liabilities 7,836 15,554 — — 23,390 (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 September 30, 2019 , the net embedded derivative asset position of $12.4 million includes $21.6 million of embedded derivatives in an asset position and $9.2 million of embedded derivatives in a liability position. As of December 31, 2018 , the net embedded derivative asset position of $22.8 million includes $28.8 million of embedded derivatives in an asset position and $6.0 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 September 30, 2019 and December 31, 2018 , the weighted average remaining term of our investments in unconsolidated ventures was 2.6 years for both periods. (4) Includes $45.1 million and $55.0 million of a loan participation interest as of September 30, 2019 and December 31, 2018 , respectively. The loan participation interest is transferable and bears interest at a variable rate based on LIBOR plus a spread and resets daily. As a result, the cost of the loan participation interest approximates its fair value. |
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 September 30, Nine Months Ended September 30, $ in thousands 2019 2018 2019 2018 Beginning balance 17,567 38,029 22,771 45,400 Unrealized credit derivative gains (losses), net (5,195 ) (663 ) (10,399 ) (8,034 ) Ending balance 12,372 37,366 12,372 37,366 |
Loan participation interest Level 3 Roll Forward | The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs: Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2019 2018 2019 2018 Beginning balance 47,885 — 54,981 — Purchases/Advances 5,192 45,058 5,769 45,058 Repayments (7,962 ) — (15,635 ) — Ending balance 45,115 45,058 45,115 45,058 |
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 September 30, 2019 Technique Input Range Average GSE CRT Embedded Derivatives 12,372 Market Comparables, Vendor Pricing Weighted average life 1.3 - 4.6 years 3.1 years Fair Value at Valuation Unobservable Weighted $ in thousands December 31, 2018 Technique Input Range Average GSE CRT Embedded Derivatives 22,771 Market Comparables, Vendor Pricing Weighted average life 2.9 - 5.9 years 4.3 years |
Carrying Value and Estimated Fair Value of Financial Instruments | The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the condensed consolidated balance sheets at September 30, 2019 and December 31, 2018 : September 30, 2019 December 31, 2018 $ in thousands Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets Commercial loans, held-for-investment 24,188 24,478 31,582 31,826 FHLBI stock 74,250 74,250 74,250 74,250 Total 98,438 98,728 105,832 106,076 Financial Liabilities Repurchase agreements 18,072,032 18,072,733 13,602,484 13,602,050 Secured loans 1,650,000 1,650,000 1,650,000 1,650,000 Total 19,722,032 19,722,733 15,252,484 15,252,050 |
Related Party Transactions (Tab
Related Party Transactions (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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 nine months ended September 30, 2019 and 2018 . Three Months Ended September 30, Nine Months Ended September 30, $ in thousands 2019 2018 2019 2018 Incurred costs, prepaid or expensed 2,186 2,133 5,399 4,925 Incurred costs, charged against equity as a cost of raising capital 236 — 680 167 Total incurred costs, originally paid by our Manager 2,422 2,133 6,079 5,092 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
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 nine months ended September 30, 2019 . Three Months Ended September 30, Nine Months Ended September 30, 2019 2019 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 12,520 $ 15.25 11,051 $ 14.55 Shares granted during the period — — 6,189 15.92 Shares vested during the period — — (4,720 ) 14.48 Unvested at the end of the period 12,520 $ 15.25 12,520 $ 15.25 (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 September 30, 2019 $ 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 — 14,482 — 14,482 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — (954 ) — (954 ) Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (5,981 ) (5,981 ) Currency translation adjustments on investment in unconsolidated venture 290 — — 290 Total other comprehensive income (loss) 290 13,528 (5,981 ) 7,837 AOCI balance at beginning of period (83 ) 230,227 87,869 318,013 Total other comprehensive income (loss) 290 13,528 (5,981 ) 7,837 AOCI balance at end of period 207 243,755 81,888 325,850 Three Months Ended September 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 — (40,554 ) — (40,554 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 134,280 — 134,280 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (6,422 ) (6,422 ) Currency translation adjustments on investment in unconsolidated venture (1,126 ) — — (1,126 ) Total other comprehensive income (loss) (1,126 ) 93,726 (6,422 ) 86,178 AOCI balance at beginning of period 1,736 (22,901 ) 110,626 89,461 Total other comprehensive income (loss) (1,126 ) 93,726 (6,422 ) 86,178 Other comprehensive income/(loss) attributable to non-controlling interest 13 (1,181 ) 82 (1,086 ) AOCI balance at end of period 623 69,644 104,286 174,553 Nine Months Ended September 30, 2019 $ 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 — 114,019 — 114,019 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 9,072 — 9,072 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (17,748 ) (17,748 ) Currency translation adjustments on investment in unconsolidated venture (306 ) — — (306 ) Total other comprehensive income/(loss) (306 ) 123,091 (17,748 ) 105,037 AOCI balance at beginning of period 513 120,664 99,636 220,813 Total other comprehensive income/(loss) (306 ) 123,091 (17,748 ) 105,037 AOCI balance at end of period 207 243,755 81,888 325,850 Nine Months Ended September 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 — (220,800 ) — (220,800 ) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 153,406 — 153,406 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (19,859 ) (19,859 ) Currency translation adjustments on investment in unconsolidated venture (328 ) — — (328 ) Total other comprehensive income/(loss) (328 ) (67,394 ) (19,859 ) (87,581 ) AOCI balance at beginning of period 947 136,188 123,894 261,029 Total other comprehensive income/(loss) (328 ) (67,394 ) (19,859 ) (87,581 ) Other comprehensive income/(loss) attributable to non-controlling interest 4 850 251 1,105 AOCI balance at end of period 623 69,644 104,286 174,553 |
Dividends Declared | We declared the following dividends during the nine months ended September 30, 2019 and 2018 : $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2019 September 16, 2019 0.4844 2,713 October 25, 2019 June 17, 2019 0.4844 2,712 July 25, 2019 March 18, 2019 0.4844 2,713 April 25, 2019 2018 September 14, 2018 0.4844 2,713 October 25, 2018 June 15, 2018 0.4844 2,712 July 25, 2018 March 15, 2018 0.4844 2,713 April 25, 2018 $ in thousands, except per share amounts Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2019 August 1, 2019 0.4844 3,003 September 27, 2019 May 3, 2019 0.4844 3,004 June 27, 2019 February 14, 2019 0.4844 3,003 March 27, 2019 2018 August 2, 2018 0.4844 3,003 September 27, 2018 May 2, 2018 0.4844 3,004 June 27, 2018 February 15, 2018 0.4844 3,003 March 27, 2018 $ in thousands, except per share amounts Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2019 August 1, 2019 0.46875 5,391 September 27, 2019 May 3, 2019 0.46875 5,390 June 27, 2019 February 14, 2019 0.46875 5,391 March 27, 2019 2018 August 2, 2018 0.46875 5,391 September 27, 2018 May 2, 2018 0.46875 5,390 June 27, 2018 February 15, 2018 0.46875 5,391 March 27, 2018 $ in thousands, except per share amounts Dividends Declared Common Stock Per Share In Aggregate Date of Payment 2019 September 16, 2019 0.45 64,261 October 28, 2019 June 17, 2019 0.45 57,958 July 26, 2019 March 18, 2019 0.45 57,720 April 26, 2019 2018 September 14, 2018 0.42 46,895 October 26, 2018 June 15, 2018 0.42 46,890 July 26, 2018 March 15, 2018 0.42 46,887 April 26, 2018 |
Earnings per Common Share (Tabl
Earnings per Common Share (Tables) | 9 Months Ended |
Sep. 30, 2019 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings per share for the three and nine months ended September 30, 2019 and 2018 is computed as follows: Three Months Ended September 30, Nine Months Ended September 30, In thousands except per share amounts 2019 2018 2019 2018 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders 77,896 (64,480 ) 212,809 56,999 Effect of dilutive securities: Income (loss) allocated to non-controlling interest — (681 ) — 1,153 Dilutive net income (loss) available to stockholders 77,896 (65,161 ) 212,809 58,152 Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 135,799 111,647 128,574 111,639 Effect of dilutive securities: Restricted stock awards 13 — 12 16 Non-controlling interest OP units — 1,425 — 1,425 Dilutive Shares 135,812 113,072 128,586 113,080 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic 0.57 (0.58 ) 1.66 0.51 Diluted 0.57 (0.58 ) 1.65 0.51 |
Organization and Business Ope_2
Organization and Business Operations (Detail) | 9 Months Ended |
Sep. 30, 2019segment | |
Organization And Business Operations | |
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 Accoun_3
Summary of Significant Accounting Policies (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | $ 4,550,623 | $ 5,793,827 |
MBS and GSE CRT Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | $ 4,600,000 |
Variable Interest Entities ("_3
Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Variable Interest Entity | ||
Carrying Amount | $ 23,599,499 | $ 17,396,642 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity | ||
Carrying Amount | 4,893,368 | |
Company's Maximum Risk of Loss | 4,893,368 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS | ||
Variable Interest Entity | ||
Carrying Amount | 3,851,552 | |
Company's Maximum Risk of Loss | 3,851,552 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS | ||
Variable Interest Entity | ||
Carrying Amount | 1,018,511 | |
Company's Maximum Risk of Loss | 1,018,511 | |
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures | ||
Variable Interest Entity | ||
Carrying Amount | 23,305 | |
Company's Maximum Risk of Loss | $ 23,305 |
Mortgage-Backed and Credit Ri_3
Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 25,043,778 | $ 20,114,683 |
Unamortized Premium (Discount) | (2,376,106) | (2,752,848) |
Amortized Cost | 22,667,672 | 17,361,835 |
Unrealized Gain/ (Loss), net | 931,827 | 34,807 |
Fair value | $ 23,599,499 | $ 17,396,642 |
Marketable Securities, Weighted Average Yield Rate | 3.86% | 4.00% |
Percentage of agency collateralized mortgage obligations interest only securities, principal balance | 57.20% | 73.60% |
Percentage of agency collateralized mortgage obligations interest only securities, amortized cost | 6.70% | 13.50% |
Percentage of agency collateralized mortgage obligations interest only securities, fair value | 6.60% | 12.40% |
Percentage of CMBS interest only, principal balance | 13.30% | 15.00% |
Percentage of CMBS interest only, amortized cost | 0.30% | 0.40% |
Percentage of CMBS interest only, fair value | 0.30% | 0.50% |
Unamortized premium (discount) non-accretable portion | $ 128,900 | $ 145,600 |
Percentage of Non-Agency RMBS interest-only, principal balance | 56.30% | 55.40% |
Percentage of Non-Agency RMBS interest-only, amortized cost | 2.20% | 2.30% |
Percentage of Non-Agency RMBS interest only, fair value | 1.90% | 2.40% |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 11,738,599 | $ 10,670,120 |
Unamortized Premium (Discount) | 368,689 | 317,545 |
Amortized Cost | 12,107,288 | 10,987,665 |
Unrealized Gain/ (Loss), net | 309,538 | (130,694) |
Fair value | $ 12,416,826 | $ 10,856,971 |
Marketable Securities, Weighted Average Yield Rate | 3.65% | 3.49% |
15 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 296,708 | $ 417,233 |
Unamortized Premium (Discount) | 1,873 | 5,077 |
Amortized Cost | 298,581 | 422,310 |
Unrealized Gain/ (Loss), net | 10,689 | 1,944 |
Fair value | $ 309,270 | $ 424,254 |
Marketable Securities, Weighted Average Yield Rate | 3.33% | 3.27% |
30 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 11,381,340 | $ 9,599,301 |
Unamortized Premium (Discount) | 366,162 | 298,693 |
Amortized Cost | 11,747,502 | 9,897,994 |
Unrealized Gain/ (Loss), net | 297,405 | (125,225) |
Fair value | $ 12,044,907 | $ 9,772,769 |
Marketable Securities, Weighted Average Yield Rate | 3.66% | 3.55% |
Hybrid ARM | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 60,551 | $ 653,586 |
Unamortized Premium (Discount) | 654 | 13,775 |
Amortized Cost | 61,205 | 667,361 |
Unrealized Gain/ (Loss), net | 1,444 | (7,413) |
Fair value | $ 62,649 | $ 659,948 |
Marketable Securities, Weighted Average Yield Rate | 3.58% | 2.79% |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 930,836 | $ 907,862 |
Unamortized Premium (Discount) | (500,625) | (631,180) |
Amortized Cost | 430,211 | 276,682 |
Unrealized Gain/ (Loss), net | 17,181 | (8,991) |
Fair value | $ 447,392 | $ 267,691 |
Marketable Securities, Weighted Average Yield Rate | 3.48% | 3.61% |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 4,597,320 | $ 973,122 |
Unamortized Premium (Discount) | 77,442 | 15,058 |
Amortized Cost | 4,674,762 | 988,180 |
Unrealized Gain/ (Loss), net | 261,421 | 14,330 |
Fair value | $ 4,936,183 | $ 1,002,510 |
Marketable Securities, Weighted Average Yield Rate | 3.00% | 3.54% |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 4,446,232 | $ 4,024,715 |
Unamortized Premium (Discount) | (778,004) | (727,307) |
Amortized Cost | 3,668,228 | 3,297,408 |
Unrealized Gain/ (Loss), net | 183,324 | (10,949) |
Fair value | $ 3,851,552 | $ 3,286,459 |
Marketable Securities, Weighted Average Yield Rate | 5.23% | 5.05% |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 2,467,994 | $ 2,800,335 |
Unamortized Premium (Discount) | (1,565,995) | (1,748,223) |
Amortized Cost | 901,999 | 1,052,112 |
Unrealized Gain/ (Loss), net | 116,512 | 111,570 |
Fair value | $ 1,018,511 | $ 1,163,682 |
Marketable Securities, Weighted Average Yield Rate | 6.72% | 7.24% |
Percentage of non-agency securities classified as fixed rate | 57.80% | 50.70% |
Percentage of non-agency securities classified as variable rate | 37.00% | 43.50% |
Percentage of non-agency securities classified as floating rate | 5.20% | 5.80% |
GSE CRT | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 862,797 | $ 738,529 |
Unamortized Premium (Discount) | 22,387 | 21,259 |
Amortized Cost | 885,184 | 759,788 |
Unrealized Gain/ (Loss), net | 43,851 | 59,541 |
Fair value | $ 929,035 | $ 819,329 |
Marketable Securities, Weighted Average Yield Rate | 2.88% | 3.10% |
TBA securities to be settled in the fourth quarter of 2019 | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 1,300,000 |
Mortgage-Backed and Credit Ri_4
Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of MBS and GSE CRT are accounted for under the fair value option | 81.00% | 67.00% |
Gross unrealized losses | $ 20,945 | $ 211,220 |
Agency RMBS, Agency CMBS and CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross unrealized losses | 9,500 | 159,300 |
Agency IO, non-Agency RMBS and non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Gross unrealized losses | $ 11,500 | $ 51,900 |
Mortgage-Backed and Credit Ri_5
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 | Sep. 30, 2019 | Dec. 31, 2018 |
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | $ 4,550,623 | $ 5,793,827 |
Securities under Fair Value Option | 19,048,876 | 11,602,815 |
Total Fair Value | 23,599,499 | 17,396,642 |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 929,018 | 1,924,363 |
Securities under Fair Value Option | 11,487,808 | 8,932,608 |
Total Fair Value | 12,416,826 | 10,856,971 |
15 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 106,216 | 204,347 |
Securities under Fair Value Option | 203,054 | 219,907 |
Total Fair Value | 309,270 | 424,254 |
30 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 788,483 | 1,093,070 |
Securities under Fair Value Option | 11,256,424 | 8,679,699 |
Total Fair Value | 12,044,907 | 9,772,769 |
Hybrid ARM | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 34,319 | 626,946 |
Securities under Fair Value Option | 28,330 | 33,002 |
Total Fair Value | 62,649 | 659,948 |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 156,447 | 168,385 |
Securities under Fair Value Option | 290,945 | 99,306 |
Total Fair Value | 447,392 | 267,691 |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Securities under Fair Value Option | 4,936,183 | 1,002,510 |
Total Fair Value | 4,936,183 | 1,002,510 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 2,174,951 | 2,153,403 |
Securities under Fair Value Option | 1,676,601 | 1,133,056 |
Total Fair Value | 3,851,552 | 3,286,459 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 759,701 | 961,445 |
Securities under Fair Value Option | 258,810 | 202,237 |
Total Fair Value | 1,018,511 | 1,163,682 |
GSE CRT | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 530,506 | 586,231 |
Securities under Fair Value Option | 398,529 | 233,098 |
Total Fair Value | $ 929,035 | $ 819,329 |
Mortgage-Backed and Credit Ri_6
Mortgage-Backed and Credit Risk Transfer Securities - Components of Carrying Value of MBS and GSE CRT Portfolio (Detail) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | $ 25,043,778 | $ 20,114,683 |
Unamortized premium | 505,323 | 395,907 |
Unamortized discount | (2,881,429) | (3,148,755) |
Gross unrealized gains | 952,772 | 246,027 |
Gross unrealized losses | (20,945) | (211,220) |
Fair value | 23,599,499 | 17,396,642 |
MBS and GSE CRT Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | 22,530,430 | 17,442,367 |
Unamortized premium | 505,323 | 395,907 |
Unamortized discount | (429,027) | (549,988) |
Gross unrealized gains | 948,663 | 238,579 |
Gross unrealized losses | (17,431) | (204,664) |
Fair value | 23,537,958 | 17,322,201 |
Interest-Only Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | 2,513,348 | 2,672,316 |
Unamortized premium | 0 | 0 |
Unamortized discount | (2,452,402) | (2,598,767) |
Gross unrealized gains | 4,109 | 7,448 |
Gross unrealized losses | (3,514) | (6,556) |
Fair value | $ 61,541 | $ 74,441 |
Mortgage-Backed and Credit Ri_7
Mortgage-Backed and Credit Risk Transfer Securities - Fair Value of Mortgage-Backed Securities According to Weighted Average Life Classification (Detail) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Investments, Debt and Equity Securities [Abstract] | ||
Less than one year | $ 87,420 | $ 110,020 |
Greater than one year and less than five years | 10,071,194 | 3,508,100 |
Greater than or equal to five years | 13,440,885 | 13,778,522 |
Fair value | $ 23,599,499 | $ 17,396,642 |
Mortgage-Backed and Credit Ri_8
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 | Sep. 30, 2019USD ($)security | Dec. 31, 2018USD ($)security |
Fair Value | ||
Less than 12 Months | $ 1,647,538 | $ 5,527,120 |
12 Months or More | 190,718 | 4,216,435 |
Total | 1,838,256 | 9,743,555 |
Unrealized Losses | ||
Less than 12 Months | (12,510) | (75,521) |
12 Months or More | (8,435) | (135,699) |
Total | $ (20,945) | $ (211,220) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 75 | 359 |
12 Months or More (in securities) | security | 38 | 285 |
Total (in securities) | security | 113 | 644 |
Principal/notional balance | $ 25,043,778 | $ 20,114,683 |
Unamortized Premium (Discount) | (2,376,106) | (2,752,848) |
Marketable Securities, Amortized Cost Basis | 22,667,672 | 17,361,835 |
Unrealized Gain/ (Loss), net | 931,827 | 34,807 |
Fair value | $ 23,599,499 | $ 17,396,642 |
Period- end Weighted Average Yield Rate | 3.86% | 4.00% |
Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 705,281 | $ 4,061,978 |
12 Months or More | 59,227 | 3,366,167 |
Total | 764,508 | 7,428,145 |
Unrealized Losses | ||
Less than 12 Months | (1,585) | (50,083) |
12 Months or More | (404) | (104,080) |
Total | $ (1,989) | $ (154,163) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 9 | 211 |
12 Months or More (in securities) | security | 18 | 198 |
Total (in securities) | security | 27 | 409 |
Fair value option, fair value | $ 730,800 | $ 6,100,000 |
Fair value option, unrealized losses | 1,700 | 130,200 |
Principal/notional balance | 11,738,599 | 10,670,120 |
Unamortized Premium (Discount) | 368,689 | 317,545 |
Marketable Securities, Amortized Cost Basis | 12,107,288 | 10,987,665 |
Unrealized Gain/ (Loss), net | 309,538 | (130,694) |
Fair value | $ 12,416,826 | $ 10,856,971 |
Period- end Weighted Average Yield Rate | 3.65% | 3.49% |
15 year fixed-rate | ||
Fair Value | ||
Less than 12 Months | $ 3 | $ 86,241 |
12 Months or More | 1,067 | 16,660 |
Total | 1,070 | 102,901 |
Unrealized Losses | ||
Less than 12 Months | 0 | (814) |
12 Months or More | (5) | (189) |
Total | $ (5) | $ (1,003) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 1 | 50 |
12 Months or More (in securities) | security | 7 | 22 |
Total (in securities) | security | 8 | 72 |
Principal/notional balance | $ 296,708 | $ 417,233 |
Unamortized Premium (Discount) | 1,873 | 5,077 |
Marketable Securities, Amortized Cost Basis | 298,581 | 422,310 |
Unrealized Gain/ (Loss), net | 10,689 | 1,944 |
Fair value | $ 309,270 | $ 424,254 |
Period- end Weighted Average Yield Rate | 3.33% | 3.27% |
30 year fixed-rate | ||
Fair Value | ||
Less than 12 Months | $ 704,840 | $ 3,966,347 |
12 Months or More | 56,531 | 2,846,090 |
Total | 761,371 | 6,812,437 |
Unrealized Losses | ||
Less than 12 Months | (1,584) | (49,182) |
12 Months or More | (349) | (94,716) |
Total | $ (1,933) | $ (143,898) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 7 | 158 |
12 Months or More (in securities) | security | 7 | 95 |
Total (in securities) | security | 14 | 253 |
Principal/notional balance | $ 11,381,340 | $ 9,599,301 |
Unamortized Premium (Discount) | 366,162 | 298,693 |
Marketable Securities, Amortized Cost Basis | 11,747,502 | 9,897,994 |
Unrealized Gain/ (Loss), net | 297,405 | (125,225) |
Fair value | $ 12,044,907 | $ 9,772,769 |
Period- end Weighted Average Yield Rate | 3.66% | 3.55% |
Hybrid ARM | ||
Fair Value | ||
Less than 12 Months | $ 438 | $ 9,390 |
12 Months or More | 1,629 | 503,417 |
Total | 2,067 | 512,807 |
Unrealized Losses | ||
Less than 12 Months | (1) | (87) |
12 Months or More | (50) | (9,175) |
Total | $ (51) | $ (9,262) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 1 | 3 |
12 Months or More (in securities) | security | 4 | 81 |
Total (in securities) | security | 5 | 84 |
Principal/notional balance | $ 60,551 | $ 653,586 |
Unamortized Premium (Discount) | 654 | 13,775 |
Marketable Securities, Amortized Cost Basis | 61,205 | 667,361 |
Unrealized Gain/ (Loss), net | 1,444 | (7,413) |
Fair value | $ 62,649 | $ 659,948 |
Period- end Weighted Average Yield Rate | 3.58% | 2.79% |
Agency-CMO | ||
Fair Value | ||
Less than 12 Months | $ 45,278 | $ 152,962 |
12 Months or More | 4,656 | 101,705 |
Total | 49,934 | 254,667 |
Unrealized Losses | ||
Less than 12 Months | (2,237) | (6,315) |
12 Months or More | (641) | (5,100) |
Total | $ (2,878) | $ (11,415) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 17 | 34 |
12 Months or More (in securities) | security | 9 | 19 |
Total (in securities) | security | 26 | 53 |
Agency CMBS | ||
Fair Value | ||
Less than 12 Months | $ 768,675 | |
12 Months or More | 0 | |
Total | 768,675 | |
Unrealized Losses | ||
Less than 12 Months | (7,331) | |
12 Months or More | 0 | |
Total | $ (7,331) | |
Number of Securities | ||
Less than 12 Months (in securities) | security | 31 | |
12 Months or More (in securities) | security | 0 | |
Total (in securities) | security | 31 | |
Principal/notional balance | $ 4,597,320 | $ 973,122 |
Unamortized Premium (Discount) | 77,442 | 15,058 |
Marketable Securities, Amortized Cost Basis | 4,674,762 | 988,180 |
Unrealized Gain/ (Loss), net | 261,421 | 14,330 |
Fair value | $ 4,936,183 | $ 1,002,510 |
Period- end Weighted Average Yield Rate | 3.00% | 3.54% |
Non-Agency CMBS | ||
Fair Value | ||
Less than 12 Months | $ 83,184 | $ 1,214,691 |
12 Months or More | 105,329 | 659,298 |
Total | 188,513 | 1,873,989 |
Unrealized Losses | ||
Less than 12 Months | (426) | (17,778) |
12 Months or More | (7,165) | (25,381) |
Total | $ (7,591) | $ (43,159) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 6 | 94 |
12 Months or More (in securities) | security | 7 | 52 |
Total (in securities) | security | 13 | 146 |
Fair value option, fair value | $ 83,200 | $ 831,300 |
Fair value option, unrealized losses | 426 | 26,300 |
Principal/notional balance | 4,446,232 | 4,024,715 |
Unamortized Premium (Discount) | (778,004) | (727,307) |
Marketable Securities, Amortized Cost Basis | 3,668,228 | 3,297,408 |
Unrealized Gain/ (Loss), net | 183,324 | (10,949) |
Fair value | $ 3,851,552 | $ 3,286,459 |
Period- end Weighted Average Yield Rate | 5.23% | 5.05% |
GSE CRT | ||
Fair Value | ||
Less than 12 Months | $ 25,467 | $ 9,639 |
12 Months or More | 0 | 0 |
Total | 25,467 | 9,639 |
Unrealized Losses | ||
Less than 12 Months | (198) | (193) |
12 Months or More | 0 | 0 |
Total | $ (198) | $ (193) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 1 | 1 |
12 Months or More (in securities) | security | 0 | 0 |
Total (in securities) | security | 1 | 1 |
Principal/notional balance | $ 862,797 | $ 738,529 |
Unamortized Premium (Discount) | 22,387 | 21,259 |
Marketable Securities, Amortized Cost Basis | 885,184 | 759,788 |
Unrealized Gain/ (Loss), net | 43,851 | 59,541 |
Fair value | $ 929,035 | $ 819,329 |
Period- end Weighted Average Yield Rate | 2.88% | 3.10% |
Non-Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 19,653 | $ 87,850 |
12 Months or More | 21,506 | 89,265 |
Total | 41,159 | 177,115 |
Unrealized Losses | ||
Less than 12 Months | (733) | (1,152) |
12 Months or More | (225) | (1,138) |
Total | $ (958) | $ (2,290) |
Number of Securities | ||
Less than 12 Months (in securities) | security | 11 | 19 |
12 Months or More (in securities) | security | 4 | 16 |
Total (in securities) | security | 15 | 35 |
Fair value option, fair value | $ 6,200 | $ 6,200 |
Fair value option, unrealized losses | 1 | 79 |
Principal/notional balance | 2,467,994 | 2,800,335 |
Unamortized Premium (Discount) | (1,565,995) | (1,748,223) |
Marketable Securities, Amortized Cost Basis | 901,999 | 1,052,112 |
Unrealized Gain/ (Loss), net | 116,512 | 111,570 |
Fair value | $ 1,018,511 | $ 1,163,682 |
Period- end Weighted Average Yield Rate | 6.72% | 7.24% |
Agency IO | ||
Number of Securities | ||
Fair value option, fair value | $ 11,900 | $ 21,800 |
Fair value option, unrealized losses | 2,700 | 6,300 |
Agency-CMO | ||
Number of Securities | ||
Fair value option, fair value | 66,000 | |
Fair value option, unrealized losses | 845 | |
Principal/notional balance | 930,836 | 907,862 |
Unamortized Premium (Discount) | (500,625) | (631,180) |
Marketable Securities, Amortized Cost Basis | 430,211 | 276,682 |
Unrealized Gain/ (Loss), net | 17,181 | (8,991) |
Fair value | $ 447,392 | $ 267,691 |
Period- end Weighted Average Yield Rate | 3.48% | 3.61% |
Non-Agency IO | ||
Number of Securities | ||
Fair value option, fair value | $ 4,000 | $ 3,700 |
Fair value option, unrealized losses | $ 645 | $ 269 |
Mortgage-Backed and Credit Ri_9
Mortgage-Backed and Credit Risk Transfer Securities - OTTI included in earnings (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Other-than-temporary credit impairment losses | $ 1,826 | $ 737 | $ 4,802 | $ 7,185 |
RMBS interest-only securities | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Other-than-temporary credit impairment losses | 1,826 | 702 | 3,778 | 7,100 |
Non-Agency RMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Other-than-temporary credit impairment losses | $ 0 | $ 35 | $ 1,024 | $ 85 |
Mortgage-Backed and Credit R_10
Mortgage-Backed and Credit Risk Transfer Securities - Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Gross realized gains on sale of investments | $ 4,022 | $ 739 | $ 9,181 | $ 774 |
Gross realized losses on sale of investments | (1,485) | (141,454) | (15,730) | (162,251) |
Other-than-temporary impairment losses | (1,826) | (737) | (4,802) | (7,185) |
Net unrealized gains and losses on trading securities | 0 | (4) | 0 | (21) |
Total gain (loss) on investments, net | 202,413 | (207,910) | 772,977 | (404,657) |
MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Net unrealized gains and losses on securities accounted for under the fair value option | 202,876 | (66,831) | 787,607 | (236,967) |
GSE CRT | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Net unrealized gains and losses on securities accounted for under the fair value option | $ (1,174) | $ 377 | $ (3,279) | $ 993 |
Mortgage-Backed and Credit R_11
Mortgage-Backed and Credit Risk Transfer Securities - Components of MBS and GSE CRT Interest Income (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | $ 213,546 | $ 175,696 | $ 620,489 | $ 506,180 |
Net (Premium Amortization)/Discount Accretion | (18,608) | (15,280) | (39,322) | (49,213) |
Interest Income | 194,938 | 160,416 | 581,167 | 456,967 |
Agency RMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 122,725 | 111,893 | 374,208 | 325,599 |
Net (Premium Amortization)/Discount Accretion | (21,526) | (20,598) | (50,873) | (66,094) |
Interest Income | 101,199 | 91,295 | 323,335 | 259,505 |
Agency CMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 25,434 | 3,936 | 53,767 | 3,977 |
Net (Premium Amortization)/Discount Accretion | (1,395) | (252) | (2,835) | (253) |
Interest Income | 24,039 | 3,684 | 50,932 | 3,724 |
Non-Agency CMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 41,972 | 37,938 | 121,417 | 113,332 |
Net (Premium Amortization)/Discount Accretion | 3,957 | 1,470 | 10,338 | 4,091 |
Interest Income | 45,929 | 39,408 | 131,755 | 117,423 |
Non-Agency RMBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 12,746 | 14,106 | 40,890 | 41,313 |
Net (Premium Amortization)/Discount Accretion | 2,725 | 4,831 | 9,447 | 15,167 |
Interest Income | 15,471 | 18,937 | 50,337 | 56,480 |
GSE CRT | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 9,913 | 7,513 | 27,935 | 21,218 |
Net (Premium Amortization)/Discount Accretion | (2,369) | (731) | (5,399) | (2,124) |
Interest Income | 7,544 | 6,782 | 22,536 | 19,094 |
Other | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Coupon Interest | 756 | 310 | 2,272 | 741 |
Net (Premium Amortization)/Discount Accretion | 0 | 0 | 0 | 0 |
Interest Income | $ 756 | $ 310 | $ 2,272 | $ 741 |
Other Assets - Schedule of Othe
Other Assets - Schedule of Other Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||
FHLBI stock | $ 74,250 | $ 74,250 |
Loan participation interest | 45,115 | 54,981 |
Commercial loans, held-for-investment | 24,188 | 31,582 |
Investments in unconsolidated ventures | 23,305 | 24,012 |
Prepaid expenses and other assets | 1,622 | 1,234 |
Total | $ 168,480 | $ 186,059 |
Other Assets - Additional Infor
Other Assets - Additional Information (Details) - loan | 1 Months Ended | 9 Months Ended | 12 Months Ended |
Aug. 31, 2018 | Sep. 30, 2019 | Dec. 31, 2018 | |
Secured loan collateralized by mortgage servicing rights | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Loans Receivable, Term | 2 years | ||
Loans receivable, renewal option, term | 1 year | ||
Participation interest in a secured loan collateralized by mortgage servicing rights | LIBOR | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Loans receivable, basis spread on variable rate | 5.72% | 6.06% | |
Commercial | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Number of loans | 1 | 2 | |
Weighted average years to maturity | 1 year 4 months 24 days | 1 year 8 months 12 days | |
Weighted average coupon rate | 10.60% | 10.69% |
Borrowings - Schedule of Borrow
Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Repurchase Agreements: | ||
Amount outstanding | $ 18,072,032 | $ 13,602,484 |
Weighted Average Interest Rate | 2.48% | 2.80% |
Weighted average remaining maturity | 22 days | 34 days |
Secured Loans | ||
Amount outstanding | $ 1,650,000 | $ 1,650,000 |
Secured Debt, Excluding Asset-Backed Securities | ||
Total Borrowings | ||
Amount outstanding | $ 19,722,032 | $ 15,252,484 |
Weighted average interest rate | 2.47% | 2.79% |
Weighted average remaining maturity | 161 days | 242 days |
Agency RMBS | ||
Repurchase Agreements: | ||
Amount outstanding | $ 11,124,901 | $ 9,529,352 |
Weighted Average Interest Rate | 2.34% | 2.56% |
Weighted average remaining maturity | 21 days | 36 days |
Agency CMBS | ||
Repurchase Agreements: | ||
Amount outstanding | $ 3,306,244 | $ 810,450 |
Weighted Average Interest Rate | 2.35% | 2.53% |
Weighted average remaining maturity | 30 days | 31 days |
Non-Agency CMBS | ||
Repurchase Agreements: | ||
Amount outstanding | $ 2,018,542 | $ 1,616,473 |
Weighted Average Interest Rate | 3.04% | 3.56% |
Weighted average remaining maturity | 15 days | 19 days |
Non-Agency RMBS | ||
Repurchase Agreements: | ||
Amount outstanding | $ 828,535 | $ 923,959 |
Weighted Average Interest Rate | 2.97% | 3.60% |
Weighted average remaining maturity | 17 days | 26 days |
GSE CRT | ||
Repurchase Agreements: | ||
Amount outstanding | $ 759,973 | $ 681,014 |
Weighted Average Interest Rate | 3.04% | 3.48% |
Weighted average remaining maturity | 15 days | 21 days |
Loan participation interest | ||
Repurchase Agreements: | ||
Amount outstanding | $ 33,837 | $ 41,236 |
Weighted Average Interest Rate | 3.68% | 4.09% |
Weighted average remaining maturity | 332 days | 605 days |
Secured Loans | ||
Secured Loans | ||
Amount outstanding | $ 1,650,000 | $ 1,650,000 |
Weighted average interest rate | 2.37% | 2.68% |
Weighted average remaining maturity | 1679 days | 1952 days |
Borrowings - Schedule of Maturi
Borrowings - Schedule of Maturities (Details) $ in Thousands | Sep. 30, 2019USD ($) |
Debt Disclosure [Abstract] | |
Borrowings maturing within 10/1/2019 - 9/30/2020 | $ 18,372,032 |
Borrowings maturing within 10/1/2020 - 9/30/2021 | 100,000 |
Borrowings maturing within 10/1/2021 - 9/30/2022 | 0 |
Borrowings maturing within 10/1/2022 - 9/30/2023 | 0 |
Borrowings maturing within 10/1/2023 - 9/30/2024 | 0 |
Thereafter | 1,250,000 |
Total | $ 19,722,032 |
Borrowings - Additional Informa
Borrowings - Additional Information (Detail) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2019 | Dec. 31, 2018 | |
Repurchase Agreement Counterparty | ||
Collateral ratio | 109.00% | 111.00% |
Advances from Federal Home Loan Banks | $ 1,650,000 | $ 1,650,000 |
Minimum | ||
Repurchase Agreement Counterparty | ||
Repurchase obligation maturity | 1 month | |
Maximum | ||
Repurchase Agreement Counterparty | ||
Repurchase obligation maturity | 4 months | |
FHLBI | ||
Repurchase Agreement Counterparty | ||
Advances from Federal Home Loan Banks | $ 1,650,000 | |
Average outstanding borrowings from FHLBI | $ 1,650,000 | |
FHLBI weighted average interest rate on advances | 2.65% | |
Weighted average maturity (in years) | 4 years 7 months 6 days |
Collateral Positions (Details)
Collateral Positions (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Derivative [Line Items] | ||
Principal/notional balance | $ 25,043,778 | $ 20,114,683 |
Repurchase Agreements | 19,754,475 | 15,047,528 |
Secured Loans | 1,909,949 | 1,930,364 |
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts | 251,500 | 159,900 |
Total collateral pledged | 22,002,102 | 17,151,306 |
Cash collateral held | 1,096 | 18,083 |
Non-cash collateral collateral held | 10,549 | 0 |
Total collateral held | 11,645 | 18,083 |
Cash | ||
Derivative [Line Items] | ||
Repurchase Agreements | 4,209 | 0 |
Total collateral pledged | 10,284 | 13,500 |
Restricted cash | ||
Derivative [Line Items] | ||
Total collateral pledged | 80,086 | 0 |
Interest Rate Swaps, Future Contracts and Currency Forward Contracts | ||
Derivative [Line Items] | ||
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts | 337,678 | 173,414 |
Interest Rate Swaps, Future Contracts and Currency Forward Contracts | Cash | ||
Derivative [Line Items] | ||
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts | 6,075 | 13,500 |
Interest Rate Swaps, Future Contracts and Currency Forward Contracts | Restricted cash | ||
Derivative [Line Items] | ||
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts | 80,086 | 0 |
Repurchase agreement | ||
Derivative [Line Items] | ||
Cash collateral held | 597 | 0 |
Non-cash collateral collateral held | 10,549 | 0 |
Total collateral held | 11,146 | 0 |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Cash collateral held | 499 | 18,083 |
Non-cash collateral collateral held | 0 | 0 |
Total collateral held | 499 | 18,083 |
Agency RMBS | ||
Derivative [Line Items] | ||
Repurchase Agreements | 11,737,505 | 10,158,404 |
Secured Loans | 633,350 | 702,952 |
Agency RMBS | Interest Rate Swaps, Future Contracts and Currency Forward Contracts | ||
Derivative [Line Items] | ||
Interest Rate Swaps, Futures Contracts and Currency Forward Contracts | 251,517 | 159,914 |
Agency CMBS | ||
Derivative [Line Items] | ||
Principal/notional balance | 4,597,320 | 973,122 |
Repurchase Agreements | 3,531,512 | 870,702 |
Non-Agency CMBS | ||
Derivative [Line Items] | ||
Principal/notional balance | 4,446,232 | 4,024,715 |
Repurchase Agreements | 2,543,887 | 2,016,202 |
Secured Loans | 1,276,599 | 1,227,412 |
Non-Agency RMBS | ||
Derivative [Line Items] | ||
Principal/notional balance | 2,467,994 | 2,800,335 |
Repurchase Agreements | 993,103 | 1,127,911 |
GSE CRT | ||
Derivative [Line Items] | ||
Principal/notional balance | 862,797 | 738,529 |
Repurchase Agreements | 899,144 | 819,328 |
Loan participation interest | ||
Derivative [Line Items] | ||
Repurchase Agreements | 45,115 | 54,981 |
Total collateral pledged | 45,115 | 54,981 |
Mortgage-backed and credit risk transfer securities | ||
Derivative [Line Items] | ||
Principal/notional balance | 1,300,000 | 131,800 |
Total collateral pledged | $ 21,866,617 | $ 17,082,825 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail) $ in Thousands | 9 Months Ended |
Sep. 30, 2019USD ($) | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2018 | $ 14,609,961 |
Additions | 24,257,377 |
Settlement, Termination, Expiration or Exercise | (23,431,631) |
Notional Amount as of September 30, 2019 | 15,435,707 |
Interest Rate Swaps | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2018 | 12,370,000 |
Additions | 20,550,000 |
Settlement, Termination, Expiration or Exercise | (18,495,000) |
Notional Amount as of September 30, 2019 | 14,425,000 |
Futures Contracts | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2018 | 1,689,900 |
Additions | 3,625,800 |
Settlement, Termination, Expiration or Exercise | (4,821,400) |
Notional Amount as of September 30, 2019 | 494,300 |
Currency Forward Contracts | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2018 | 23,149 |
Additions | 81,577 |
Settlement, Termination, Expiration or Exercise | (75,268) |
Notional Amount as of September 30, 2019 | 29,458 |
Credit Derivatives | |
Derivative Interest Rate Swaptions | |
Notional Amount as of December 31, 2018 | 526,912 |
Additions | 0 |
Settlement, Termination, Expiration or Exercise | (39,963) |
Notional Amount as of September 30, 2019 | $ 486,949 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Decrease (increase) to interest expense | $ 6,000 | $ 6,400 | $ 17,700 | $ 19,900 | |
Amount reclassified to interest expenses within Next 12 months | 23,800 | 23,800 | |||
Unrealized gain on discontinued cash flow hedges included in AOCI | 2,911,032 | 2,911,032 | $ 2,286,697 | ||
Notional amount | 15,435,707 | 15,435,707 | 14,609,961 | ||
Derivative and hedging attributable to Parent | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Unrealized gain on discontinued cash flow hedges included in AOCI | 81,900 | 81,900 | 99,600 | ||
Currency Forward Contracts | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Notional amount | 29,458 | 29,458 | 23,149 | ||
Euro | Currency Forward Contracts | |||||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||||
Notional amount | $ 29,500 | $ 29,500 | $ 23,100 |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities - Schedule of Interest Rate Swaps Outstanding (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Derivative [Line Items] | ||
Notional amount | $ 15,435,707 | $ 14,609,961 |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional amount | $ 14,425,000 | $ 12,370,000 |
Weighted Average Fixed Pay Rate | 1.68% | 2.46% |
Weighted Average Receive Rate | 2.07% | 2.55% |
Weighted Average Years to Maturity | 4 years 3 months 18 days | 3 years 8 months 12 days |
2019 | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional amount | $ 1,500,000 | |
Weighted Average Fixed Pay Rate | 2.70% | |
Weighted Average Receive Rate | 2.47% | |
Weighted Average Years to Maturity | 10 months 24 days | |
2020 | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional amount | $ 1,900,000 | $ 1,500,000 |
Weighted Average Fixed Pay Rate | 1.67% | 2.78% |
Weighted Average Receive Rate | 2.09% | 2.51% |
Weighted Average Years to Maturity | 27 days | 1 year 8 months 12 days |
2021 | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional amount | $ 3,700,000 | $ 2,300,000 |
Weighted Average Fixed Pay Rate | 1.56% | 2.51% |
Weighted Average Receive Rate | 2.06% | 2.58% |
Weighted Average Years to Maturity | 1 year 8 months 12 days | 2 years 6 months |
2022 | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional amount | $ 2,350,000 | $ 2,550,000 |
Weighted Average Fixed Pay Rate | 1.99% | 2.13% |
Weighted Average Receive Rate | 2.11% | 2.65% |
Weighted Average Years to Maturity | 2 years 8 months 12 days | 3 years 4 months 24 days |
2023 | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional amount | $ 1,400,000 | $ 1,600,000 |
Weighted Average Fixed Pay Rate | 1.85% | 2.39% |
Weighted Average Receive Rate | 2.03% | 2.47% |
Weighted Average Years to Maturity | 4 years | 4 years 8 months 12 days |
Thereafter | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional amount | $ 5,075,000 | $ 2,920,000 |
Weighted Average Fixed Pay Rate | 1.58% | 2.47% |
Weighted Average Receive Rate | 2.07% | 2.55% |
Weighted Average Years to Maturity | 8 years 2 months 12 days | 6 years 9 months 18 days |
1-Month LIBOR | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional amount | $ 11,600,000 | $ 6,700,000 |
3-Month LIBOR | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional amount | $ 2,800,000 | $ 5,700,000 |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities - Schedule of Credit Derivatives (Detail) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Derivative [Line Items] | ||
Notional amount | $ 15,435,707 | $ 14,609,961 |
GSE CRT | GSE CRT Embedded Derivatives | ||
Derivative [Line Items] | ||
Fair value amount | 12,372 | 22,771 |
Notional amount | 486,949 | 526,912 |
Maximum potential amount of future undiscounted payments | $ 486,949 | $ 526,912 |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments and Classification on Balance Sheet (Detail) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Derivatives, Fair Value | ||
Derivative assets, at fair value | $ 4,127 | $ 15,089 |
Derivative liabilities, at fair value | 46,381 | 23,390 |
Interest Rate Swaps | ||
Derivatives, Fair Value | ||
Derivative assets, at fair value | 3,384 | 15,089 |
Derivative liabilities, at fair value | 46,381 | 15,382 |
Currency Forward Contracts | ||
Derivatives, Fair Value | ||
Derivative assets, at fair value | 589 | 0 |
Derivative liabilities, at fair value | 0 | 172 |
Futures Contracts | ||
Derivatives, Fair Value | ||
Derivative assets, at fair value | 154 | 0 |
Derivative liabilities, at fair value | $ 0 | $ 7,836 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Derivative Instruments, Gain (Loss) | ||||
Gain (loss) on derivative instruments, net | $ (177,244) | $ 87,672 | $ (723,437) | $ 288,208 |
Not Designated as Hedging Instrument | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | (173,607) | 99,641 | (713,233) | 249,493 |
Contractual net interest income (expense) | 11,715 | (2,763) | 23,749 | (19,386) |
Unrealized gain (loss), net | (15,352) | (9,206) | (33,953) | 58,101 |
Gain (loss) on derivative instruments, net | (177,244) | 87,672 | (723,437) | 288,208 |
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 income (expense) | 5,196 | 5,638 | 15,846 | 16,909 |
Unrealized gain (loss), net | (5,195) | (663) | (10,399) | (8,034) |
Gain (loss) on derivative instruments, net | 1 | 4,975 | 5,447 | 8,875 |
Not Designated as Hedging Instrument | Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | (137,346) | 68,953 | (545,069) | 225,499 |
Contractual net interest income (expense) | 11,715 | (2,763) | 23,749 | (19,386) |
Unrealized gain (loss), net | (15,772) | (178) | (42,703) | 65,181 |
Gain (loss) on derivative instruments, net | (141,403) | 66,012 | (564,023) | 271,294 |
Not Designated as Hedging Instrument | Futures Contracts | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | (36,633) | 27,136 | (169,274) | 22,499 |
Contractual net interest income (expense) | 0 | 0 | 0 | 0 |
Unrealized gain (loss), net | (464) | (5,548) | 7,990 | (8,204) |
Gain (loss) on derivative instruments, net | (37,097) | 21,588 | (161,284) | 14,295 |
Not Designated as Hedging Instrument | Currency Forward Contracts | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | 372 | 3,569 | 1,110 | 1,512 |
Contractual net interest income (expense) | 0 | 0 | 0 | 0 |
Unrealized gain (loss), net | 884 | (3,480) | 760 | 1,124 |
Gain (loss) on derivative instruments, net | $ 1,256 | 89 | $ 1,870 | 2,636 |
Not Designated as Hedging Instrument | TBAs | ||||
Derivative Instruments, Gain (Loss) | ||||
Realized gain (loss) on derivative instruments, net | (17) | (17) | ||
Contractual net interest income (expense) | 0 | 0 | ||
Unrealized gain (loss), net | 0 | 0 | ||
Gain (loss) on derivative instruments, net | $ (17) | $ (17) |
Derivatives and Hedging Activ_9
Derivatives and Hedging Activities - Credit Risk Related Contingent Features (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Derivative [Line Items] | ||
Derivative liabilities, at fair value | $ 46,381 | $ 23,390 |
Restricted cash | 80,086 | 0 |
Derivative assets, at fair value | 4,127 | 15,089 |
Central Clearing Counterparty | ||
Derivative [Line Items] | ||
Derivative liabilities, at fair value | $ 13,200 | |
Derivative assets, at fair value | 3,400 | |
Bilateral Interest Rate Swap | ||
Derivative [Line Items] | ||
Collateral required to pledge | 41,400 | |
Bilateral Interest Rate Swap | Accrued Interest | ||
Derivative [Line Items] | ||
Derivative liabilities, at fair value | 46,500 | |
Collateral Pledged | Bilateral Interest Rate Swap | ||
Derivative [Line Items] | ||
Restricted cash | $ 8,400 |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Derivative [Line Items] | ||
Derivative assets, at fair value | $ 4,127 | $ 15,089 |
Derivative liabilities, at fair value | (46,381) | (23,390) |
Central Clearing Counterparty | ||
Derivative [Line Items] | ||
Derivative assets, at fair value | $ 3,400 | |
Derivative liabilities, at fair value | $ (13,200) |
Offsetting Assets and Liabili_4
Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Detail) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Derivatives Asset | ||
Gross Amounts of Recognized Assets | $ 743 | $ 15,089 |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Assets presented in the Condensed Consolidated Balance Sheets | 743 | 15,089 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | 0 | (433) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Cash Collateral Received | (346) | (14,656) |
Net Amount | $ 397 | $ 0 |
Offsetting Assets and Liabili_5
Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Derivatives Liability | ||
Gross Amounts of Recognized Liabilities | $ 46,381 | $ 10,239 |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 46,381 | 10,239 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | (38,471) | (2,058) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | (7,910) | (7,836) |
Net Amount | 0 | 345 |
Repurchase Agreements | ||
Gross Amounts of Recognized Liabilities | 18,072,032 | 13,602,484 |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 18,072,032 | 13,602,484 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | (18,072,032) | (13,602,484) |
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 | 19,768,413 | 15,262,723 |
Gross Amounts Offset in the Condensed Consolidated Balance Sheets | 0 | 0 |
Net Amounts of Liabilities presented in the Condensed Consolidated Balance Sheets | 19,768,413 | 15,262,723 |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Financial Instruments | (19,760,503) | (15,254,542) |
Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets, Collateral Posted | (7,910) | (7,836) |
Net Amount | 0 | 345 |
Interest rate swaps collateral pledged | 251,500 | 159,900 |
Cash collateral posted by Company's derivative counterparties | 1,096 | 18,083 |
Due from counterparties | 86,200 | 13,500 |
Fair value of securities pledged under repurchase agreements, excluding cash collateral | 19,800,000 | 15,000,000 |
Fair value of securities pledged under repurchase agreement | 19,754,475 | 15,047,528 |
Collateral pledged against secured loans | 1,909,949 | 1,930,364 |
IAS Services LLC | ||
Total Borrowings | ||
Collateral pledged against secured loans | 1,900,000 | |
Repurchase agreement | ||
Total Borrowings | ||
Cash collateral posted by Company's derivative counterparties | 597 | 0 |
Centrally Cleared Interest Rate Swaps | ||
Total Borrowings | ||
Interest rate swaps collateral pledged | 200,200 | 158,300 |
Cash | ||
Total Borrowings | ||
Fair value of securities pledged under repurchase agreement | $ 4,209 | $ 0 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Fair Value Measured on Recurring Basis (Detail) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities | $ 23,599,499 | $ 17,396,642 |
Derivative assets | 743 | 15,089 |
Derivative liabilities | $ 46,381 | $ 10,239 |
Weighted average remaining term of investments in unconsolidated ventures | 2 years 7 months 6 days | 2 years 7 months 3 days |
Loan participation interest | $ 45,115 | $ 54,981 |
GSE CRT | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities | 929,035 | 819,329 |
Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Embedded derivatives in an asset position | 12,372 | 22,771 |
Recurring | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities | 23,599,499 | 17,396,642 |
Derivative assets | 4,127 | 15,089 |
Other assets | 68,420 | 78,993 |
Total assets | 23,672,046 | 17,490,724 |
Derivative liabilities | 46,381 | 23,390 |
Total liabilities | 46,381 | 23,390 |
Recurring | Level 1 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities | 0 | 0 |
Derivative assets | 154 | 0 |
Other assets | 0 | 0 |
Total assets | 154 | 0 |
Derivative liabilities | 0 | 7,836 |
Total liabilities | 0 | 7,836 |
Recurring | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities | 23,587,127 | 17,373,871 |
Derivative assets | 3,973 | 15,089 |
Other assets | 0 | 0 |
Total assets | 23,591,100 | 17,388,960 |
Derivative liabilities | 46,381 | 15,554 |
Total liabilities | 46,381 | 15,554 |
Recurring | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
Mortgage-backed and credit risk transfer securities | 12,372 | 22,771 |
Derivative assets | 0 | 0 |
Other assets | 45,115 | 54,981 |
Total assets | 57,487 | 77,752 |
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 | 12,400 | 22,800 |
Embedded derivatives in an asset position | 21,600 | 28,800 |
Embedded derivatives in a liability position | 9,200 | 6,000 |
Recurring | NAV as a practical expedient | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions | ||
NAV as a practical expedient | $ 23,305 | $ 24,012 |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Embedded Derivatives Level 3 Roll Forward (Detail) - Embedded Credit Derivative - GSE CRT - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation [Roll Forward] | ||||
Beginning balance | $ 17,567 | $ 38,029 | $ 22,771 | $ 45,400 |
Unrealized credit derivative gains (losses), net | (5,195) | (663) | (10,399) | (8,034) |
Ending balance | $ 12,372 | $ 37,366 | $ 12,372 | $ 37,366 |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Loan participation interest Level 3 Roll Forward (Details) - Loan participation interest - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 47,885 | $ 0 | $ 54,981 | $ 0 |
Purchases/Advances | 5,192 | 45,058 | 5,769 | 45,058 |
Repayments | (7,962) | 0 | (15,635) | 0 |
Ending balance | $ 45,115 | $ 45,058 | $ 45,115 | $ 45,058 |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Embedded Derivatives Fair Value Inputs (Detail) - Level 3 $ in Thousands | Sep. 30, 2019USD ($)year | Dec. 31, 2018USD ($)year |
Fair Value Inputs, Assets, Quantitative Information | ||
GSE CRT Embedded Derivatives | $ | $ 12,372 | $ 22,771 |
Measurement Input, Expected Term | Minimum | ||
Fair Value Inputs, Assets, Quantitative Information | ||
GSE CRT Embedded Derivatives, measurement input | 1.3 | 2.9 |
Measurement Input, Expected Term | Maximum | ||
Fair Value Inputs, Assets, Quantitative Information | ||
GSE CRT Embedded Derivatives, measurement input | 4.6 | 5.9 |
Measurement Input, Expected Term | Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information | ||
GSE CRT Embedded Derivatives, measurement input | 3.1 | 4.3 |
Fair Value of Financial Instr_7
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands | Sep. 30, 2019 | Dec. 31, 2018 |
Carrying Value | ||
Financial Assets | ||
Commercial loans, held-for-investment | $ 24,188 | $ 31,582 |
FHLBI stock | 74,250 | 74,250 |
Total assets | 98,438 | 105,832 |
Financial Liabilities | ||
Repurchase agreements | 18,072,032 | 13,602,484 |
Secured loans | 1,650,000 | 1,650,000 |
Total | 19,722,032 | 15,252,484 |
Estimated Fair Value | ||
Financial Assets | ||
Commercial loans, held-for-investment | 24,478 | 31,826 |
FHLBI stock | 74,250 | 74,250 |
Total assets | 98,728 | 106,076 |
Financial Liabilities | ||
Repurchase agreements | 18,072,733 | 13,602,050 |
Secured loans | 1,650,000 | 1,650,000 |
Total | $ 19,722,733 | $ 15,252,050 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | Dec. 31, 2018 | |
Related Party Transaction [Line Items] | |||||
Management fee – related party | $ 8,740 | $ 10,105 | $ 27,644 | $ 30,428 | |
Investment in money market or mutual funds managed by affiliates of a related party | 125,888 | $ 125,888 | $ 135,617 | ||
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 | 250 | $ 168 | $ 646 | $ 599 | |
Investment in money market or mutual funds managed by affiliates of a related party | $ 120,400 | $ 120,400 | $ 131,900 |
Related Party Transactions - Sc
Related Party Transactions - Schedule of Relater Party Transactions (Details) - Manager - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Related Party Transaction [Line Items] | ||||
Amounts of transaction with related party | $ 2,422 | $ 2,133 | $ 6,079 | $ 5,092 |
Incurred costs, prepaid or expensed | ||||
Related Party Transaction [Line Items] | ||||
Amounts of transaction with related party | 2,186 | 2,133 | 5,399 | 4,925 |
Incurred costs, charged against equity as a cost of raising capital | ||||
Related Party Transaction [Line Items] | ||||
Amounts of transaction with related party | $ 236 | $ 0 | $ 680 | $ 167 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands | Aug. 16, 2019 | Feb. 07, 2019 | Mar. 31, 2019 | Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | May 03, 2019 | Jul. 27, 2017 |
Class of Stock [Line Items] | |||||||||
Number of shares repurchased during period (in shares) | 0 | 0 | 0 | 0 | |||||
Incentive Plan | |||||||||
Class of Stock [Line Items] | |||||||||
Number of shares of common stock available for issuance | 200,000 | ||||||||
Total unrecognized compensation cost | $ 149 | $ 149 | |||||||
Share-based compensation cost not yet recognized, period for recognition | 42 months | ||||||||
Weighted average remaining vesting period | 18 months | ||||||||
Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred stock, redemption price per share (dollars per share) | $ 25 | $ 25 | $ 25 | ||||||
Equity distribution agreement, authorized (in shares) | 7,000,000 | ||||||||
Series A Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred stock dividend rate | 7.75% | ||||||||
Preferred stock, liquidation preference (dollars per share) | 25 | $ 25 | |||||||
Preferred stock, dividends per annum (dollars per share) | $ 1.9375 | ||||||||
Series B Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred stock dividend rate | 7.75% | ||||||||
Preferred stock, liquidation preference (dollars per share) | $ 25 | $ 25 | |||||||
Preferred stock, dividends per annum (dollars per share) | $ 1.9375 | ||||||||
Series B Preferred Stock | LIBOR | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred stock dividend variable rate spread | 5.18% | 5.18% | |||||||
Series C Preferred Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred stock dividend rate | 7.50% | ||||||||
Preferred stock, liquidation preference (dollars per share) | $ 25 | $ 25 | |||||||
Preferred stock, dividends per annum (dollars per share) | $ 1.875 | ||||||||
Series C Preferred Stock | LIBOR | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred stock dividend variable rate spread | 5.289% | 5.289% | |||||||
Common Stock | |||||||||
Class of Stock [Line Items] | |||||||||
Equity distribution agreement, authorized (in shares) | 17,000,000 | ||||||||
Number of shares issued during period | 14,000,000 | 16,100,000 | |||||||
Sale of stock, price (in USD per share) | $ 15.86 | $ 15.73 | |||||||
Proceeds from issuance of common stock | $ 219,300 | $ 249,500 | |||||||
Remaining number of shares authorized to be repurchased (in shares) | 18,163,982 | 18,163,982 | |||||||
Common Stock | Incentive Plan | |||||||||
Class of Stock [Line Items] | |||||||||
Compensation expense recognized | $ 17 | $ 54 | |||||||
Common Stock | Equity Distribution Agreement | |||||||||
Class of Stock [Line Items] | |||||||||
Number of shares issued during period | 0 | 1,093,136 | |||||||
Proceeds from issuance of common stock | $ 17,200 | ||||||||
Payments of stock issuance commission and fees | 363 | ||||||||
Directors | Common Stock | Incentive Plan | |||||||||
Class of Stock [Line Items] | |||||||||
Compensation expense recognized | $ 113 | $ 107 | $ 338 | $ 306 | |||||
Restricted stock issued (in shares) | 6,765 | 6,620 | 20,725 | 20,262 | |||||
Employees of the Manager snd its affiliates | Common Stock | Incentive Plan | |||||||||
Class of Stock [Line Items] | |||||||||
Compensation expense recognized | $ 71 | $ 115 |
Shareholders' Equity - Restrict
Shareholders' Equity - Restricted Stock Units Activity (Details) - Restricted Stock Units (RSUs) - $ / shares | 3 Months Ended | 9 Months Ended |
Sep. 30, 2019 | Sep. 30, 2019 | |
Restricted Stock Units | ||
Unvested at the beginning of the period (in shares) | 12,520 | 11,051 |
Shares granted during the period (in shares) | 0 | 6,189 |
Shares vested during the period (in shares) | 0 | (4,720) |
Unvested at the end of the period (in shares) | 12,520 | 12,520 |
Weighted Average Grant Date Fair Value | ||
Weighted Average Grant Date Fair Value, at the beginning of the period (usd per share) | $ 15.25 | $ 14.55 |
Granted, Weighted Average Grant Date Fair Value (usd per share) | 0 | 15.92 |
Vested, Weighted Average Grant Date Fair Value (usd per share) | 0 | 14.48 |
Weighted Average Grant Date Fair Value, at the end of the period (usd per share) | $ 15.25 | $ 15.25 |
Stockholders' Equity - Componen
Stockholders' Equity - Components of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | $ 14,482 | $ (40,554) | $ 114,019 | $ (220,800) | ||||
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | (954) | 134,280 | 9,072 | 153,406 | ||||
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (5,981) | (6,422) | (17,748) | (19,859) | ||||
Currency translation adjustments on investment in unconsolidated venture | 290 | (1,126) | (306) | (328) | ||||
Total other comprehensive income (loss) | 7,837 | 86,178 | $ (44,452) | $ (129,307) | 105,037 | (87,581) | ||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||||
Balance at beginning of period | 2,511,723 | 2,522,356 | 2,656,878 | 2,656,878 | ||||
Total other comprehensive income (loss) | 7,837 | 86,178 | (44,452) | (129,307) | 105,037 | (87,581) | ||
Other comprehensive income/(loss) attributable to non-controlling interest | (1,086) | 1,105 | ||||||
Balance at end of period | 2,485,423 | 2,511,723 | 2,522,356 | 2,485,423 | ||||
Equity method investments including portion attributable to noncontrolling interest | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Currency translation adjustments on investment in unconsolidated venture | 290 | (1,126) | (306) | (328) | ||||
Total other comprehensive income (loss) | 290 | (1,126) | (306) | (328) | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||||
Total other comprehensive income (loss) | 290 | (1,126) | (306) | (328) | ||||
Other comprehensive income/(loss) attributable to non-controlling interest | 13 | 4 | ||||||
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 | 14,482 | (40,554) | 114,019 | (220,800) | ||||
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | (954) | 134,280 | 9,072 | 153,406 | ||||
Total other comprehensive income (loss) | 13,528 | 93,726 | 123,091 | (67,394) | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||||
Total other comprehensive income (loss) | 13,528 | 93,726 | 123,091 | (67,394) | ||||
Other comprehensive income/(loss) attributable to non-controlling interest | (1,181) | 850 | ||||||
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 | (5,981) | (6,422) | (17,748) | (19,859) | ||||
Total other comprehensive income (loss) | (5,981) | (6,422) | (17,748) | (19,859) | ||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||||
Total other comprehensive income (loss) | (5,981) | (6,422) | (17,748) | (19,859) | ||||
Other comprehensive income/(loss) attributable to non-controlling interest | 82 | 251 | ||||||
Equity method investments attributable to Parent | ||||||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||||
Balance at beginning of period | (83) | $ 513 | 1,736 | 947 | 513 | 947 | ||
Balance at end of period | 207 | $ (83) | 623 | 1,736 | 207 | 623 | ||
Available-for-sale securities attributable to Parent | ||||||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||||
Balance at beginning of period | 230,227 | 120,664 | (22,901) | 136,188 | 120,664 | 136,188 | ||
Balance at end of period | 243,755 | 230,227 | 69,644 | (22,901) | 243,755 | 69,644 | ||
Derivative and hedging attributable to Parent | ||||||||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||||
Balance at beginning of period | 87,869 | 99,636 | 110,626 | 123,894 | 99,636 | 123,894 | ||
Balance at end of period | 81,888 | 87,869 | 104,286 | 110,626 | 81,888 | 104,286 | ||
Accumulated other comprehensive income | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Total other comprehensive income (loss) | 7,837 | 40,831 | 56,369 | 85,092 | (43,891) | (127,677) | ||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | ||||||||
Balance at beginning of period | 318,013 | 277,182 | 220,813 | 89,461 | 133,352 | 261,029 | 220,813 | 261,029 |
Total other comprehensive income (loss) | 7,837 | 40,831 | 56,369 | 85,092 | (43,891) | (127,677) | ||
Balance at end of period | $ 325,850 | $ 318,013 | $ 277,182 | $ 174,553 | $ 89,461 | $ 133,352 | $ 325,850 | $ 174,553 |
Stockholders' Equity - Schedule
Stockholders' Equity - Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | 9 Months Ended | |||
Mar. 31, 2019 | Mar. 31, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Class of Stock [Line Items] | ||||||
Common stock dividend declared (dollars per share) | $ 0.45 | $ 0.42 | $ 0.45 | $ 0.42 | $ 0.45 | $ 0.42 |
Dividends, common stock | $ 57,720 | $ 46,887 | $ 57,958 | $ 46,890 | $ 64,261 | $ 46,895 |
Series A Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred stock dividend declared (dollars per share) | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 |
Dividends, preferred stock | $ 2,713 | $ 2,713 | $ 2,712 | $ 2,712 | $ 2,713 | $ 2,713 |
Series B Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred stock dividend declared (dollars per share) | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 |
Dividends, preferred stock | $ 3,003 | $ 3,003 | $ 3,004 | $ 3,004 | $ 3,003 | $ 3,003 |
Series C Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred stock dividend declared (dollars per share) | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 |
Dividends, preferred stock | $ 5,391 | $ 5,391 | $ 5,390 | $ 5,390 | $ 5,391 | $ 5,391 |
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 | 9 Months Ended | ||
Sep. 30, 2019 | Sep. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 | |
Basic Earnings: | ||||
Net income (loss) available to common stockholders | $ 77,896 | $ (64,480) | $ 212,809 | $ 56,999 |
Effect of dilutive securities: | ||||
Income (loss) allocated to non-controlling interest | 0 | (681) | 0 | 1,153 |
Dilutive net income (loss) available to stockholders | $ 77,896 | $ (65,161) | $ 212,809 | $ 58,152 |
Basic Earnings: | ||||
Shares available to common stockholders (in shares) | 135,799 | 111,647 | 128,574 | 111,639 |
Effect of dilutive securities: | ||||
Restricted stock awards (in shares) | 13 | 0 | 12 | 16 |
Non-controlling interest OP units (in shares) | 0 | 1,425 | 0 | 1,425 |
Dilutive Shares (in shares) | 135,812 | 113,072 | 128,586 | 113,080 |
Net income (loss) attributable to common stockholders | ||||
Basic (usd per share) | $ 0.57 | $ (0.58) | $ 1.66 | $ 0.51 |
Diluted (usd per share) | $ 0.57 | $ (0.58) | $ 1.65 | $ 0.51 |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) $ in Millions | Sep. 30, 2019 | Dec. 31, 2018 |
Loans and Leases Receivable Disclosure [Line Items] | ||
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate | $ 6.4 | $ 10 |
Loan participation interest | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Unfunded commitment | $ 29.9 |
Subsequent Events (Details)
Subsequent Events (Details) - $ / shares | Nov. 06, 2019 | Nov. 05, 2019 | Mar. 31, 2019 | Mar. 31, 2018 | Jun. 30, 2019 | Jun. 30, 2018 | Sep. 30, 2019 | Sep. 30, 2018 |
Series B Preferred Stock | ||||||||
Subsequent Event [Line Items] | ||||||||
Preferred stock dividend declared (dollars per share) | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | ||
Series C Preferred Stock | ||||||||
Subsequent Event [Line Items] | ||||||||
Preferred stock dividend declared (dollars per share) | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | ||
Subsequent Event | Series B Preferred Stock | ||||||||
Subsequent Event [Line Items] | ||||||||
Preferred stock dividend declared (dollars per share) | $ 0.4844 | |||||||
Subsequent Event | Series C Preferred Stock | ||||||||
Subsequent Event [Line Items] | ||||||||
Preferred stock dividend declared (dollars per share) | $ 0.46875 | |||||||
Manager | ||||||||
Subsequent Event [Line Items] | ||||||||
Management fee as percentage of stockholders' equity per annum | 1.50% | |||||||
Manager | Subsequent Event | ||||||||
Subsequent Event [Line Items] | ||||||||
Management fee as percentage of stockholders' equity per annum | 1.50% |