Document_and_Entity_Informatio
Document and Entity Information Document | 9 Months Ended | |
Sep. 30, 2013 | Nov. 06, 2013 | |
Entity Information [Line Items] | ' | ' |
Entity Registrant Name | 'TWO HARBORS INVESTMENT CORP. | ' |
Entity Central Index Key | '0001465740 | ' |
Current Fiscal Year End Date | '--12-31 | ' |
Entity Filer Category | 'Large Accelerated Filer | ' |
Document Type | '10-Q | ' |
Document Period End Date | 30-Sep-13 | ' |
Document Fiscal Year Focus | '2013 | ' |
Document Fiscal Period Focus | 'Q3 | ' |
Amendment Flag | 'false | ' |
Entity Common Stock, Shares Outstanding | ' | 364,375,976 |
CONDENSED_CONSOLIDATED_BALANCE
CONDENSED CONSOLIDATED BALANCE SHEETS (USD $) | Sep. 30, 2013 | Dec. 31, 2012 | ||
In Thousands, unless otherwise specified | ||||
ASSETS | ' | ' | ||
Available-for-sale securities, at fair value | $12,672,233 | $13,666,954 | ||
Trading securities, at fair value | 1,000,625 | 1,002,062 | ||
Equity securities, at fair value | 0 | 335,638 | ||
Mortgage loans held-for-sale, at fair value | 559,737 | 58,607 | ||
Mortgage loans held-for-investment in securitization trust, at fair value | 804,988 | 0 | ||
Cash and cash equivalents | 723,160 | 821,108 | ||
Restricted cash | 678,328 | 302,322 | ||
Accrued interest receivable | 48,854 | 42,613 | ||
Due from counterparties | 94,485 | 39,974 | ||
Derivative assets, at fair value | 544,515 | 462,080 | ||
Other assets | 27,241 | 82,586 | ||
Total Assets | 17,154,166 | [1] | 16,813,944 | [1] |
Liabilities | ' | ' | ||
Repurchase agreements | 12,152,065 | 12,624,510 | ||
Collateralized borrowings in securitization trust, at fair value | 649,082 | 0 | ||
Derivative liabilities, at fair value | 73,827 | 129,294 | ||
Accrued interest payable | 15,782 | 19,060 | ||
Due to counterparties | 332,210 | 412,861 | ||
Dividends payable | 102,022 | 164,347 | ||
Other liabilities | 56,125 | 13,295 | ||
Total liabilities | 13,381,113 | [1] | 13,363,367 | [1] |
Stockholders' Equity | ' | ' | ||
Preferred stock, par value $0.01 per share; 50,000,000 shares authorized; no shares issued and outstanding | 0 | 0 | ||
Common stock, par value $0.01 per share; 900,000,000 shares authorized and 364,365,017 and 298,813,258 shares issued and outstanding, respectively | 3,644 | 2,988 | ||
Additional paid-in capital | 3,789,929 | 2,948,345 | ||
Accumulated other comprehensive income | 512,774 | 696,458 | ||
Cumulative earnings | 788,983 | 449,358 | ||
Cumulative distributions to stockholders | -1,322,277 | -646,572 | ||
Total stockholders’ equity | 3,773,053 | 3,450,577 | ||
Total Liabilities and Stockholders’ Equity | 17,154,166 | 16,813,944 | ||
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 808,647 | 0 | ||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | $652,227 | $0 | ||
[1] | The condensed consolidated balance sheets include assets of a consolidated variable interest entity (“VIEâ€) that can only be used to settle obligations of this VIE and liabilities of the consolidated VIE for which creditors do not have recourse to the Company (Two Harbors Investment Corp.). At September 30, 2013, assets of consolidated the VIE totaled $808,647 and liabilities of the consolidated VIE totaled $652,227. The Company did not consolidate any VIEs as of December 31, 2012. See Note 3 - Variable Interest Entities for additional information. |
Balance_Sheet_Paranthetical_Pa
Balance Sheet Paranthetical (Parentheticals) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, except Share data, unless otherwise specified | ||
Common Stock, Par or Stated Value Per Share | $0.01 | $0.01 |
Common Stock, Shares Authorized | 900,000,000 | 900,000,000 |
Common Stock, Shares, Issued | 364,365,017 | 298,813,258 |
Common Stock, Shares, Outstanding | 364,365,017 | 298,813,258 |
Preferred Stock, Par or Stated Value Per Share | $0.01 | $0.01 |
Preferred Stock, Shares Authorized | 50,000,000 | 50,000,000 |
Preferred Stock, Shares Issued | 0 | 0 |
Preferred Stock, Shares Outstanding | 0 | 0 |
Variable Interest Entity, Consolidated, Carrying Amount, Assets | $808,647 | $0 |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | $652,227 | $0 |
CONDENSED_CONSOLIDATED_STATEME
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Interest income: | ' | ' | ' | ' |
Available-for-sale securities | $121,303 | $124,621 | $386,246 | $313,154 |
Trading securities | 1,509 | 1,278 | 4,034 | 3,578 |
Mortgage loans held-for-sale | 9,297 | 167 | 15,409 | 362 |
Mortgage loans held-for-investment in securitization trust | 5,649 | 0 | 11,672 | 0 |
Cash and cash equivalents | 216 | 243 | 773 | 620 |
Total interest income | 137,974 | 126,309 | 418,134 | 317,714 |
Interest expense: | ' | ' | ' | ' |
Repurchase agreements | 21,802 | 20,743 | 67,373 | 47,737 |
Collateralized borrowings in securitization trust | 3,125 | 0 | 6,112 | 0 |
Total interest expense | 24,927 | 20,743 | 73,485 | 47,737 |
Net interest income | 113,047 | 105,566 | 344,649 | 269,977 |
Other-than-temporary impairments: | ' | ' | ' | ' |
Total other-than-temporary impairment losses | 0 | -559 | -1,662 | -9,310 |
Non-credit portion of loss recognized in other comprehensive income (loss) | 0 | 0 | 0 | 0 |
Net other-than-temporary credit impairment losses | 0 | -559 | -1,662 | -9,310 |
Other income: | ' | ' | ' | ' |
Gain on investment securities | -230,111 | 2,527 | -152,280 | 14,247 |
Gain (loss) on interest rate swap and swaption agreements | -55,410 | -76,472 | 223,388 | -153,679 |
Gain (loss) on other derivative instruments | 20,434 | 2,850 | 66,055 | -13,631 |
Gain (loss) on mortgage loans held-for-sale | -4,443 | 613 | -25,262 | 592 |
Other income | 10,788 | 0 | 18,887 | 0 |
Total other income (loss) | -258,742 | -70,482 | 130,788 | -152,471 |
Expenses: | ' | ' | ' | ' |
Management fees | 12,036 | 8,929 | 29,388 | 23,282 |
Securitization deal costs | 2,125 | 0 | 4,153 | 0 |
Other operating expenses | 10,017 | 3,954 | 26,064 | 11,423 |
Total expenses | 24,178 | 12,883 | 59,605 | 34,705 |
Income from continuing operations before income taxes | -169,873 | 21,642 | 414,170 | 73,491 |
Provision for (benefit from) income taxes | 23,726 | -7,834 | 77,809 | -32,016 |
Net income from continuing operations | -193,599 | 29,476 | 336,361 | 105,507 |
Income (loss) from discontinued operations | 871 | -2,674 | 3,264 | -2,901 |
Net income attributable to common stockholders | -192,728 | 26,802 | 339,625 | 102,606 |
Basic earnings per weighted average common share: | ' | ' | ' | ' |
Continuing operations | ($0.53) | $0.11 | $0.97 | $0.47 |
Discontinued operations | $0 | ($0.01) | $0.01 | ($0.01) |
Net income | ($0.53) | $0.10 | $0.98 | $0.46 |
Diluted earnings per weighted average common share: | ' | ' | ' | ' |
Continuing operations | ($0.53) | $0.11 | $0.97 | $0.47 |
Discontinued operations | $0 | ($0.01) | $0.01 | ($0.01) |
Net income | ($0.53) | $0.10 | $0.98 | $0.46 |
Dividends declared per common share | $0.28 | $0.36 | $0.91 | $1.16 |
Basic weighted average number of shares of common stock | 365,057,767 | 270,005,212 | 345,529,611 | 224,058,762 |
Diluted weighted average number of shares of common stock | 365,166,992 | 270,937,960 | 346,370,358 | 224,369,678 |
Comprehensive income (loss): | ' | ' | ' | ' |
Net income attributable to common stockholders | -192,728 | 26,802 | 339,625 | 102,606 |
Other comprehensive income (loss): | ' | ' | ' | ' |
Unrealized gain (loss) on available-for-sale securities, net | 246,777 | 497,598 | -183,684 | 759,112 |
Other comprehensive income (loss) | 246,777 | 497,598 | -183,684 | 759,112 |
Comprehensive income (loss) | $54,049 | $524,400 | $155,941 | $861,718 |
CONDENSED_CONSOLIDATED_STATEME1
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (USD $) | Total | Common Stock | Additional Paid-in Capital | Accumulated Other Comprehensive Income (Loss) | Cumulative Earnings | Cumulative Distributions to Stockholders |
In Thousands, except Share data | ||||||
Balance at Dec. 31, 2011 | $1,270,086 | $1,406 | $1,373,099 | ($58,716) | $157,452 | ($203,155) |
Balance, shares at Dec. 31, 2011 | ' | 140,596,708 | ' | ' | ' | ' |
Net income attributable to common stockholders | 102,606 | 0 | 0 | 0 | 102,606 | 0 |
Other comprehensive income (loss) before reclassifications | 756,143 | 0 | 0 | 756,143 | 0 | 0 |
Amounts reclassified from accumulated other comprehensive income (loss) | 2,969 | 0 | 0 | 2,969 | 0 | 0 |
Net other comprehensive income (loss) | 759,112 | 0 | 0 | 759,112 | 0 | 0 |
Issuance of common stock, net of offering costs, shares | ' | 138,731,623 | ' | ' | ' | ' |
Issuance of common stock, net of offering costs | 1,362,555 | 1,388 | 1,361,167 | 0 | 0 | 0 |
Issuance of common stock in connection with exercise of warrants, shares | ' | 15,990,018 | ' | ' | ' | ' |
Issuance of common stock in connection with exercise of warrants | 175,725 | 160 | 175,565 | 0 | 0 | 0 |
Common dividends declared | -279,070 | 0 | 0 | 0 | 0 | -279,070 |
Non-cash equity award compensation, shares | ' | 32,021 | ' | ' | ' | ' |
Non-cash equity award compensation | 462 | 0 | 462 | 0 | 0 | 0 |
Balance at Sep. 30, 2012 | 3,391,476 | 2,954 | 2,910,293 | 700,396 | 260,058 | -482,225 |
Balance, shares at Sep. 30, 2012 | ' | 295,350,370 | ' | ' | ' | ' |
Balance at Dec. 31, 2012 | 3,450,577 | 2,988 | 2,948,345 | 696,458 | 449,358 | -646,572 |
Balance, shares at Dec. 31, 2012 | 298,813,258 | 298,813,258 | ' | ' | ' | ' |
Net income attributable to common stockholders | 339,625 | 0 | 0 | 0 | 339,625 | 0 |
Other comprehensive income (loss) before reclassifications | -308,435 | 0 | 0 | -308,435 | 0 | 0 |
Amounts reclassified from accumulated other comprehensive income (loss) | 124,751 | 0 | 0 | 124,751 | 0 | 0 |
Net other comprehensive income (loss) | -183,684 | 0 | 0 | -183,684 | 0 | 0 |
Issuance of common stock, net of offering costs, shares | ' | 57,553,749 | ' | ' | ' | ' |
Issuance of common stock, net of offering costs | 763,384 | 576 | 762,808 | 0 | 0 | 0 |
Issuance of common stock in connection with exercise of warrants, shares | ' | 9,391,406 | ' | ' | ' | ' |
Issuance of common stock in connection with exercise of warrants | 102,276 | 94 | 102,182 | 0 | 0 | 0 |
Repurchase of common stock, shares | 2,450,700 | -2,450,700 | ' | ' | ' | ' |
Repurchase of common stock | -23,894 | -25 | -23,869 | 0 | 0 | 0 |
Common dividends declared | -332,224 | 0 | 0 | 0 | 0 | -332,224 |
Special dividends declared | -343,481 | 0 | 0 | 0 | 0 | -343,481 |
Non-cash equity award compensation, shares | ' | 1,057,304 | ' | ' | ' | ' |
Non-cash equity award compensation | 474 | 11 | 463 | 0 | 0 | 0 |
Balance at Sep. 30, 2013 | $3,773,053 | $3,644 | $3,789,929 | $512,774 | $788,983 | ($1,322,277) |
Balance, shares at Sep. 30, 2013 | 364,365,017 | 364,365,017 | ' | ' | ' | ' |
CONDENSED_CONSOLIDATED_STATEME2
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 |
Cash Flows From Operating Activities: | ' | ' |
Net income attributable to common stockholders | $339,625 | $102,606 |
Adjustments to reconcile net income to net cash (used in) provided by operating activities: | ' | ' |
Amortization of premiums and discounts on available-for-sale securities, net | 17,527 | -5,566 |
Other-than-temporary impairment losses | 1,662 | 9,310 |
Realized and unrealized gains on investment securities, net | 152,458 | -14,247 |
(Gain) loss on mortgage loans held-for-sale | 25,262 | -592 |
Gain on mortgage loans held-for-investment and collateralized borrowings in securitization trust | -16,621 | 0 |
Unrealized loss on mortgage servicing rights | -816 | 0 |
Loss on termination and option expiration of interest rate swaps and swaptions | 21,904 | 26,084 |
Unrealized (gain) loss on interest rate swaps and swaptions | -293,783 | 104,506 |
Unrealized (gain) loss on other derivative instruments | 79,553 | -5,889 |
Equity based compensation expense | 474 | 462 |
Depreciation of fixed assets | 424 | 0 |
Depreciation of real estate | 0 | 458 |
Purchases of mortgage loans held-for-sale | -989,665 | -10,797 |
Proceeds from sales of mortgage loans held-for-sale | 25,404 | 0 |
Proceeds from repayment of mortgage loans held-for-sale | 24,256 | 2,040 |
Net change in assets and liabilities: | ' | ' |
(Increase)/decrease in accrued interest receivable | -6,241 | -23,482 |
(Increase)/decrease in deferred income taxes, net | 75,384 | -27,288 |
(Increase)/decrease in current income tax receivable | 4,323 | -4,469 |
(Increase)/decrease in prepaid and fixed assets | -602 | -906 |
(Increase)/decrease in other receivables | 29,687 | -99 |
(Increase)/decrease in servicing advances | -5,368 | 0 |
Increase/(decrease) in accrued interest payable, net | -3,278 | 6,691 |
Increase/(decrease) in income taxes payable | 2,356 | -3,898 |
Increase/(decrease) in accrued expenses and other liabilities | 9,274 | 8,096 |
Net change in assets and liabilities due to purchase of entity | 3,306 | 0 |
Net cash (used in) provided by operating activities | -503,495 | 163,020 |
Cash Flows From Investing Activities: | ' | ' |
Purchases of available-for-sale securities | -4,290,011 | -8,705,850 |
Proceeds from sales of available-for-sale securities | 4,056,691 | 207,083 |
Principal payments on available-for-sale securities | 860,984 | 542,727 |
Purchases of other derivative instruments | -72,158 | -372,509 |
Proceeds from sales of other derivative instruments, net | 126,347 | 86,696 |
Purchases of trading securities | -995,625 | -996,016 |
Proceeds from sales of trading securities | 1,000,946 | 1,001,904 |
Purchases of beneficial interests in securitization trusts | -30,550 | 0 |
Proceeds from repayment of mortgage loans held-for-investment in securitization trust | 28,568 | 0 |
Purchases of mortgage servicing rights | -13,390 | 0 |
Purchases of investments in real estate | 0 | -191,365 |
Purchase of entity | -6,404 | 0 |
Increase/(decrease) in due to counterparties, net | -135,162 | 128,147 |
(Increase)/decrease in restricted cash | -376,006 | -39,603 |
(Increase)/decrease in escrow deposits of discontinued operations | 0 | -34,117 |
Net cash used in investing activities | 154,230 | -8,372,903 |
Cash Flows From Financing Activities: | ' | ' |
Proceeds from repurchase agreements | 145,909,686 | 45,160,427 |
Principal payments on repurchase agreements | -146,382,131 | -37,786,248 |
Proceeds from issuance of collateralized borrowings in securitization trust | 307,119 | 0 |
Principal payments on collateralized borrowings in securitization trust | -30,574 | 0 |
Proceeds from issuance of common stock, net of offering costs | 763,384 | 1,362,555 |
Proceeds from exercise of warrants | 102,276 | 175,725 |
Repurchase of common stock | -23,894 | 0 |
Dividends paid on common stock | -394,549 | -228,984 |
Net cash provided by financing activities | 251,317 | 8,683,475 |
Net increase in cash and cash equivalents | -97,948 | 473,592 |
Cash and cash equivalents at beginning of period | 821,108 | 360,016 |
Cash and cash equivalents at end of period | 723,160 | 833,608 |
Supplemental Disclosure of Cash Flow Information: | ' | ' |
Cash paid for interest | 76,762 | 14,038 |
Cash (received) paid for taxes | -4,254 | 3,637 |
Noncash Investing and Financing Activities: | ' | ' |
Transfers of mortgage loans held-for-sale to mortgage loans held-for-investment in securitization trusts | 413,848 | 0 |
Consolidation of mortgage loans held-for-investment in securitization trusts | 442,767 | 0 |
Consolidation of collateralized borrowings in securitization trusts | 412,217 | 0 |
Distribution of Silver Bay common stock | 343,481 | 0 |
Cashless exercise of warrants | 75 | 178 |
Cash dividends declared but not paid at end of period | 102,022 | 106,325 |
Reconciliation of mortgage loans held-for-sale: | ' | ' |
Mortgage loans held-for-sale at beginning of period | 58,607 | 5,782 |
Purchases of mortgage loans held-for-sale | 989,665 | 10,797 |
Transfers to mortgage loans held-for-investment in securitization trusts | -413,848 | 0 |
Proceeds from sales of mortgage loans held-for-sale | -25,404 | 0 |
Proceeds from repayment of mortgage loans held-for-sale | -24,256 | -2,040 |
Realized and unrealized gains (losses) on mortgage loans held-for-sale | -25,027 | 14 |
Mortgage loans held-for-sale at end of period | $559,737 | $14,553 |
Organization_and_Operations_No
Organization and Operations (Notes) | 9 Months Ended |
Sep. 30, 2013 | |
Organization and Operations [Abstract] | ' |
Organization and Operations | ' |
Organization and Operations | |
Two Harbors Investment Corp., or the Company, is a Maryland corporation focused on investing in, financing and managing residential mortgage-backed securities, or RMBS, residential mortgage loans, and other financial assets. The Company is externally managed and advised by PRCM Advisers LLC, or PRCM Advisers, which is a subsidiary of Pine River Capital Management L.P., or Pine River, a global multi-strategy asset management firm. The Company’s common stock is listed on the NYSE and its warrants are listed on the NYSE MKT under the symbols “TWO” and “TWO.WS,” respectively. | |
The Company was incorporated on May 21, 2009 and commenced operations as a publicly traded company on October 28, 2009, upon completion of a merger with Capitol Acquisition Corp., or Capitol, which became a wholly owned indirect subsidiary as a result of the merger. | |
The Company has elected to be treated as a real estate investment trust, or REIT, as defined under the Internal Revenue Code of 1986, as amended, or the Code, for U.S. federal income tax purposes commencing with its initial taxable period ended December 31, 2009. As long as the Company continues to comply with a number of requirements under federal tax law and maintains its qualification as a REIT, the Company generally will not be subject to U.S. federal income taxes to the extent that the Company distributes its taxable income to its stockholders on an annual basis and does not engage in prohibited transactions. However, certain activities that the Company may perform may cause it to earn income which will not be qualifying income for REIT purposes. The Company has designated certain of its subsidiaries as taxable REIT subsidiaries, or TRSs, as defined in the Code, to engage in such activities, and the Company may in the future form additional TRSs. | |
On December 19, 2012, the Company completed the contribution of its portfolio of single-family rental properties to Silver Bay Realty Trust Corp., or Silver Bay, a newly organized Maryland corporation intended to qualify as a REIT and focused on the acquisition, renovation, leasing and management of single-family residential properties for rental income and long-term capital appreciation. The Company contributed its equity interests in its wholly owned subsidiary, Two Harbors Property Investment LLC, to Silver Bay, and in exchange for its contribution, received shares of common stock of Silver Bay. Silver Bay completed its initial public offering, or IPO, of its common stock on December 19, 2012. Because the Company will not have any significant continuing involvement in Two Harbors Property Investment LLC, all of the associated operating results were removed from continuing operations and are presented separately as discontinued operations for the three and nine months ended September 30, 2013 and 2012. See Note 4 - Discontinued Operations for additional information. | |
On April 30, 2013, one of the Company’s wholly owned subsidiaries acquired a company that has seller-servicer approvals from the Federal National Mortgage Association, or Fannie Mae, the Federal Home Loan Mortgage Corporation, or Freddie Mac, and the Government National Mortgage Association, or Ginnie Mae, to hold and manage mortgage servicing rights, or MSRs. The MSRs acquired in conjunction with the acquisition of this entity and those subsequently purchased represent the right to service mortgage loans. The Company and its subsidiaries do not originate or directly service mortgage loans, and instead contract with fully licensed subservicers to handle all servicing functions for the loans underlying the Company’s MSRs. See Note 13 - Other Assets for additional information. |
Basis_of_Presentation_and_Sign
Basis of Presentation and Significant Accounting Policies (Notes) | 9 Months Ended | |||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||
Basis of Presentation and Significant Accounting Policies [Abstract] | ' | |||||||||||||||||||||||
Basis of Presentation and Significant Accounting Policies [Text Block] | ' | |||||||||||||||||||||||
Basis of Presentation and Significant Accounting Policies | ||||||||||||||||||||||||
Consolidation and Basis of Presentation | ||||||||||||||||||||||||
The interim unaudited condensed consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission, or SEC. Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles, or GAAP, have been condensed or omitted according to such SEC rules and regulations. Management believes, however, that the disclosures included in these interim condensed consolidated financial statements are adequate to make the information presented not misleading. The accompanying condensed consolidated financial statements should be read in conjunction with the financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2012. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at September 30, 2013 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2013 should not be construed as indicative of the results to be expected for the full year. | ||||||||||||||||||||||||
The condensed consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with GAAP requires us to make a number of significant estimates and assumptions. These estimates include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities and disclosure of contingent assets and liabilities as of the date of the condensed consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. | ||||||||||||||||||||||||
The condensed consolidated financial statements of the Company include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. Certain prior period amounts have been reclassified to conform to the current period presentation. | ||||||||||||||||||||||||
The Company’s investment in the common stock of Silver Bay was reviewed for consolidation under the applicable consolidation guidance, including voting control and variable interest entity, or VIE, models. The Company concluded that it did not have voting control of Silver Bay nor was Silver Bay considered a VIE and, therefore, consolidation of Silver Bay was not required. | ||||||||||||||||||||||||
The legal entities used in securitization (i.e., the securitization trusts), which are considered VIEs for financial reporting purposes, were also reviewed for consolidation under the applicable consolidation guidance. Because the Company has both the power to direct the activities of the securitization trusts that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trusts. The accounting is consistent with a secured financing, where the loans and securitized debt are both carried on the Company’s condensed consolidated balance sheets. | ||||||||||||||||||||||||
Significant Accounting Policies | ||||||||||||||||||||||||
Included in Note 2 to the Consolidated Financial Statements of the Company’s 2012 Annual Report on Form 10-K is a summary of the Company’s significant accounting policies. Provided below is a summary of additional accounting policies that are significant to the Company’s consolidated financial condition and results of operations for the nine months ended September 30, 2013. | ||||||||||||||||||||||||
Securitization and Variable Interest Entities | ||||||||||||||||||||||||
During the nine months ended September 30, 2013, the Company purchased subordinated debt and excess servicing rights from a securitization trust issued by a third party. Also during the nine months ended September 30, 2013, the Company purchased subordinated debt and excess servicing rights from a securitization trust sponsored by a subsidiary of the Company. The securitization trusts are considered VIEs for financial reporting purposes and, thus, were reviewed for consolidation under the applicable consolidation guidance. As the Company has both the power to direct the activities of the securitization trusts that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trusts. The underlying loans are classified as mortgage loans held-for-investment in securitization trusts and the underlying debt is classified as collateralized borrowings in securitization trusts on the condensed consolidated balance sheets. The interest income on mortgage loans held-for-investment and interest expense on collateralized borrowings are recorded on the condensed consolidated statements of comprehensive income. See Note 15 - Fair Value of these notes to the condensed consolidated financial statements for details on fair value measurement. | ||||||||||||||||||||||||
Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value | ||||||||||||||||||||||||
Mortgage loans held-for-investment in securitization trusts related to the Company's on-balance sheet securitizations are reported at fair value as a result of a fair value option election. These securitized mortgage loans are legally isolated from the Company and have been structured to be beyond the reach of creditors. Fair value is determined under the guidance of ASC 820. The Company determines the fair value of its mortgage loans held-for-investment in securitization trusts by type of loan and the determination is generally based on current secondary market pricing or cash flow models using market-based yield requirements. See Note 15 - Fair Value of these notes to the condensed consolidated financial statements for details on fair value measurement. | ||||||||||||||||||||||||
Interest income on mortgage loans held-for-investment is recognized at the loan coupon rate. Loans are considered past due when they are 30 days past their contractual due date. Interest income recognition is suspended when mortgage loans are placed on nonaccrual status. Generally, mortgage loans are placed on nonaccrual status when delinquent for more than 60 days or when determined not to be probable of full collection. Interest accrued, but not collected, at the date mortgage loans are placed on nonaccrual is reversed and subsequently recognized only to the extent it is received in cash or until it qualifies for return to accrual status. However, where there is doubt regarding the ultimate collectability of loan principal, all cash received is applied to reduce the carrying value of such loans. Mortgage loans are restored to accrual status only when contractually current or the collection of future payments is reasonably assured. | ||||||||||||||||||||||||
Collateralized Borrowings in Securitization Trusts, at Fair Value | ||||||||||||||||||||||||
Collateralized borrowings in securitization trusts related to the Company's on-balance sheet securitizations are reported at fair value as a result of a fair value option election. This long-term debt is nonrecourse to the Company beyond the assets held in the trusts. Fair value is determined under the guidance of ASC 820. The Company determines the fair value of its collateralized borrowings in securitization trusts based on prices obtained from third-party pricing providers, broker quotes received and other applicable market data. See Note 15 - Fair Value of these notes to the condensed consolidated financial statements for details on fair value measurement. | ||||||||||||||||||||||||
Mortgage Servicing Rights, at Fair Value | ||||||||||||||||||||||||
The Company’s MSRs represent the right to service mortgage loans. The Company and its subsidiaries do not originate or directly service mortgage loans, and instead contract with fully licensed subservicers to handle all servicing functions for the loans underlying the Company’s MSRs. However, as an owner and manager of MSRs, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the other assets line item on the condensed consolidated balance sheets. | ||||||||||||||||||||||||
MSRs are reported at fair value within the other assets line item on the condensed consolidated balance sheets. Changes in the fair value of MSRs as well as servicing fee income are reported within other income on the condensed consolidated statements of comprehensive income. The related subservicing expenses are recorded in other operating expenses on the condensed consolidated statements of comprehensive income. | ||||||||||||||||||||||||
See Note 13 - Other Assets for further discussion on MSRs. | ||||||||||||||||||||||||
Equity Incentive Plan | ||||||||||||||||||||||||
The Company adopted an equity incentive plan in 2009, which provides incentive compensation to attract and retain qualified directors, officers, advisors, consultants and other personnel, including PRCM Advisers and its affiliates. The 2009 equity incentive plan is administered by the compensation committee of the Company’s board of directors. The 2009 equity incentive plan permits the granting of restricted shares of common stock, phantom shares, dividend equivalent rights and other equity-based awards. | ||||||||||||||||||||||||
On May 21, 2013, the Company’s stockholders approved the restated 2009 equity incentive plan, which effectuated, among other changes, an increase in the number of shares available for issuance under the restated 2009 equity incentive plan by 2,800,000 shares of common stock. Other amendments provide for the possibility of making grants of equity-based compensation to the Company’s executive officers and other key employees of the Company’s external manager, PRCM Advisers, upon a determination by the compensation committee, and the implementation of certain best practices of equity-based compensation. | ||||||||||||||||||||||||
The cost of equity-based compensation awarded to employees of our manager is determined using fair value liability accounting in accordance with ASC 718, Compensation - Stock Compensation, or ASC 718, and amortized over the vesting term. | ||||||||||||||||||||||||
Offsetting Assets and Liabilities | ||||||||||||||||||||||||
Certain of the Company’s repurchase agreements are governed by underlying agreements that provide for a right of setoff in the event of default of either party to the agreement. The Company also has netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association, or ISDA. Additionally, the Company and the counterparty are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparty. | ||||||||||||||||||||||||
Under GAAP, if the Company has a valid right of setoff, it may offset the related asset and liability and report the net amount. The Company presents repurchase agreements subject to master netting arrangements or similar agreements on a gross basis, and derivative assets and liabilities subject to such arrangements on a net basis, based on derivative type and counterparty, in its condensed consolidated balance sheets. Separately, the Company presents cash collateral subject to such arrangements on a net basis, based on counterparty, in its condensed consolidated balance sheets. However, the Company does not offset financial assets and liabilities with the associated cash collateral on its condensed consolidated balance sheets. | ||||||||||||||||||||||||
The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||
30-Sep-13 | ||||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets (1) | ||||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Condensed Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Derivative assets | $ | 604,297 | $ | (59,782 | ) | $ | 544,515 | $ | (73,827 | ) | $ | — | $ | 470,688 | ||||||||||
Total Assets | $ | 604,297 | $ | (59,782 | ) | $ | 544,515 | $ | (73,827 | ) | $ | — | $ | 470,688 | ||||||||||
Liabilities | ||||||||||||||||||||||||
Repurchase agreements | $ | (12,152,065 | ) | $ | — | $ | (12,152,065 | ) | $ | 12,152,065 | $ | — | $ | — | ||||||||||
Derivative liabilities | (133,609 | ) | 59,782 | (73,827 | ) | 73,827 | — | — | ||||||||||||||||
Total Liabilities | $ | (12,285,674 | ) | $ | 59,782 | $ | (12,225,892 | ) | $ | 12,225,892 | $ | — | $ | — | ||||||||||
31-Dec-12 | ||||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets (1) | ||||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Condensed Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Derivative assets | $ | 463,027 | $ | (947 | ) | $ | 462,080 | $ | (129,294 | ) | $ | 85,798 | $ | 418,584 | ||||||||||
Total Assets | $ | 463,027 | $ | (947 | ) | $ | 462,080 | $ | (129,294 | ) | $ | 85,798 | $ | 418,584 | ||||||||||
Liabilities | ||||||||||||||||||||||||
Repurchase agreements | $ | (12,624,510 | ) | $ | — | $ | (12,624,510 | ) | $ | 12,624,510 | $ | — | $ | — | ||||||||||
Derivative liabilities | (130,241 | ) | 947 | (129,294 | ) | 129,294 | — | — | ||||||||||||||||
Total Liabilities | $ | (12,754,751 | ) | $ | 947 | $ | (12,753,804 | ) | $ | 12,753,804 | $ | — | $ | — | ||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets. | |||||||||||||||||||||||
Recently Issued and/or Adopted Accounting Standards | ||||||||||||||||||||||||
Offsetting Assets and Liabilities | ||||||||||||||||||||||||
In December 2011, the Financial Accounting Standards Board, or FASB, issued ASU No. 2011-11, which amends ASC 210, Balance Sheet. The amendments in this ASU enhance disclosures required by U.S. GAAP by requiring improved information about financial instruments and derivative instruments that are either (1) offset in accordance with ASC 210, Balance Sheet or ASC 815, Other Presentation Matters or (2) subject to an enforceable master netting arrangement or similar agreement. ASU 2011-11 is effective for the first interim or annual period beginning on or after January 1, 2013. In January 2013, the FASB issued ASU No. 2013-01, which limits the scope of ASU 2011-11 to certain derivatives, repurchase agreements and securities lending arrangements. ASU 2013-01 is also effective for the first interim or annual period beginning on or after January 1, 2013. Adopting both ASU 2011-11 and ASU 2013-01 did not have any impact on the Company’s condensed consolidated financial condition or results of operations, but did impact financial statement disclosures. | ||||||||||||||||||||||||
Comprehensive Income | ||||||||||||||||||||||||
In February 2013, the FASB issued ASU No. 2013-02, which amends ASC 220, Comprehensive Income. The amendments are intended to make the presentation of items within Other Comprehensive Income (OCI) more prominent. ASU 2013-02 requires reclassification adjustments between OCI and net income to be presented separately on the face of the financial statements. The new guidance does not change the requirement to present items of net income and OCI, and totals for net income, OCI and comprehensive income in a single continuous statement or two consecutive statements. ASU 2013-02 is effective for the first interim or annual period beginning on or after December 15, 2012. Adopting this ASU did not have any impact on the Company’s condensed consolidated financial condition or results of operations, but did impact financial statement disclosures. | ||||||||||||||||||||||||
Presentation of an Unrecognized Tax Benefit | ||||||||||||||||||||||||
In July 2013, the FASB issued ASU No. 2013-11, which requires an entity to present an unrecognized tax benefit as a reduction of a deferred tax asset for a net operating loss, or NOL, carryforward, or similar tax loss or tax credit carryforward, rather than as a liability when (1) the uncertain tax position would reduce the NOL or other carryforward under the tax law of the applicable jurisdiction and (2) the entity intends to use the deferred tax asset for that purpose. The ASU does not require any new recurring disclosures. It is effective prospectively for fiscal years, and interim periods within those years, beginning on or after December 15, 2013, with early adoption permitted. Adopting this ASU did not have any impact on the Company’s consolidated financial condition or results of operations. |
Variable_Interest_Entities_Var
Variable Interest Entities Variable Interest Entities (Notes) | 9 Months Ended | |||||||
Sep. 30, 2013 | ||||||||
Variable Interest Entities [Abstract] | ' | |||||||
Variable Interest Entities Disclosure [Text Block] | ' | |||||||
Variable Interest Entities | ||||||||
During the nine months ended September 30, 2013, the Company purchased subordinated debt and excess servicing rights from a securitization trust issued by a third party. Also during the nine months ended September 30, 2013, the Company purchased subordinated debt and excess servicing rights from a securitization trust sponsored by a subsidiary of the Company. Both securitization trusts are considered VIEs for financial reporting purposes and, thus, were reviewed for consolidation under the applicable consolidation guidance. Since the Company has both the power to direct the activities of the securitization trusts that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trusts. As the Company is required to reassess VIE consolidation guidance each quarter, new facts and circumstances may change the Company’s determination. This could result in a material impact to the Company’s financial statements during subsequent reporting periods. | ||||||||
The following table presents a summary of the assets and liabilities of the securitization trusts: | ||||||||
(in thousands) | September 30, | December 31, | ||||||
2013 | 2012 | |||||||
Mortgage loans held-for-investment in securitization trusts | $ | 804,988 | $ | — | ||||
Accrued interest receivable | 3,659 | — | ||||||
Total Assets | $ | 808,647 | $ | — | ||||
Collateralized borrowings in securitization trusts | 649,082 | — | ||||||
Accrued interest payable | 1,622 | — | ||||||
Accrued expenses | 1,523 | — | ||||||
Total Liabilities | $ | 652,227 | $ | — | ||||
Discontinued_Operations
Discontinued Operations | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Discontinued Operations and Disposal Groups [Abstract] | ' | |||||||||||||||
Disposal Groups, Including Discontinued Operations, Disclosure [Text Block] | ' | |||||||||||||||
Discontinued Operations | ||||||||||||||||
On December 19, 2012, the Company completed the contribution of its equity interests in its wholly owned subsidiary, Two Harbors Property Investment LLC, to Silver Bay. Two Harbors Property Investment LLC previously held the Company’s portfolio of single-family rental properties. Because the Company will not have any significant continuing involvement in Two Harbors Property Investment LLC, all of the associated operating results were removed from continuing operations and are presented separately as discontinued operations for the three and nine months ended September 30, 2013 and 2012. | ||||||||||||||||
Summarized financial information for the discontinued operations are presented below. | ||||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Income: | ||||||||||||||||
Gain on contribution of entity | $ | 871 | $ | — | $ | 3,126 | $ | — | ||||||||
Real estate related revenues | — | 721 | — | 808 | ||||||||||||
Total income | 871 | 721 | 3,126 | 808 | ||||||||||||
Expenses: | ||||||||||||||||
Management fees | — | 804 | — | 804 | ||||||||||||
Real estate related expenses | — | 1,786 | — | 1,984 | ||||||||||||
Other operating expenses | — | 805 | (138 | ) | 921 | |||||||||||
Total expenses | — | 3,395 | (138 | ) | 3,709 | |||||||||||
Income (loss) from discontinued operations | $ | 871 | $ | (2,674 | ) | $ | 3,264 | $ | (2,901 | ) | ||||||
In addition to the gain on contribution of entity that was recorded in 2012 in connection with the closing of the contribution, certain adjustments were agreed to be recognized in 2013. These include an installment sales gain of approximately $4.0 million from Silver Bay, a reduction of 2013 management fees payable to PRCM Advisers of $4.3 million, and an immaterial amount of additional working capital adjustments determined in accordance with the contribution agreement entered into with Silver Bay. Of these amounts, $0.9 million and $3.2 million of the installment sales gain was recorded as a gain on contribution of entity within discontinued operations for the three and nine months ended September 30, 2013, respectively, and the full $4.3 million of the reduction of 2013 management fees payable to PRCM Advisers was recorded within management fees, on the condensed consolidated statements of comprehensive income for the nine months ended September 30, 2013, respectively. The remaining $0.1 million recorded within discontinued operations on the condensed consolidated statements of comprehensive income for the nine months ended September 30, 2013 relates to accrual adjustments for transaction expenses related to the contribution. See Note 23 - Related Party Transactions for additional information. |
AvailableforSale_Securities_at
Available-for-Sale Securities, at Fair Value (Notes) | 9 Months Ended | |||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||
Available for Sale Securities, at Fair Value [Abstract] | ' | |||||||||||||||||||||||
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | ' | |||||||||||||||||||||||
Available-for-Sale Securities, at Fair Value | ||||||||||||||||||||||||
The following table presents the Company’s available-for-sale, or AFS, investment securities by collateral type, which were carried at their fair value as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||
(in thousands) | September 30, | December 31, | ||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||
Agency | ||||||||||||||||||||||||
Federal Home Loan Mortgage Corporation | $ | 3,091,964 | $ | 3,608,272 | ||||||||||||||||||||
Federal National Mortgage Association | 4,550,673 | 5,130,965 | ||||||||||||||||||||||
Government National Mortgage Association | 2,075,301 | 2,272,866 | ||||||||||||||||||||||
Non-Agency | 2,954,295 | 2,654,851 | ||||||||||||||||||||||
Total mortgage-backed securities | $ | 12,672,233 | $ | 13,666,954 | ||||||||||||||||||||
At September 30, 2013 and December 31, 2012, the Company pledged investment securities with a carrying value of $12.2 billion and $12.8 billion, respectively, as collateral for repurchase agreements. See Note 16 - Repurchase Agreements. | ||||||||||||||||||||||||
At September 30, 2013 and December 31, 2012, the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC 860, Transfers and Servicing, to be considered linked transactions and, therefore, classified as derivatives. | ||||||||||||||||||||||||
The following tables present the amortized cost and carrying value (which approximates fair value) of AFS securities by collateral type as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Face Value | $ | 12,039,928 | $ | 4,919,072 | $ | 16,959,000 | ||||||||||||||||||
Unamortized premium | 636,576 | — | 636,576 | |||||||||||||||||||||
Unamortized discount | ||||||||||||||||||||||||
Designated credit reserve | — | (1,372,628 | ) | (1,372,628 | ) | |||||||||||||||||||
Net, unamortized | (2,901,668 | ) | (1,161,821 | ) | (4,063,489 | ) | ||||||||||||||||||
Amortized Cost | 9,774,836 | 2,384,623 | 12,159,459 | |||||||||||||||||||||
Gross unrealized gains | 113,221 | 580,004 | 693,225 | |||||||||||||||||||||
Gross unrealized losses | (170,119 | ) | (10,332 | ) | (180,451 | ) | ||||||||||||||||||
Carrying Value | $ | 9,717,938 | $ | 2,954,295 | $ | 12,672,233 | ||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Face Value | $ | 11,934,492 | $ | 4,503,999 | $ | 16,438,491 | ||||||||||||||||||
Unamortized premium | 749,252 | — | 749,252 | |||||||||||||||||||||
Unamortized discount | ||||||||||||||||||||||||
Designated credit reserve | — | (1,290,946 | ) | (1,290,946 | ) | |||||||||||||||||||
Net, unamortized | (1,929,811 | ) | (996,490 | ) | (2,926,301 | ) | ||||||||||||||||||
Amortized Cost | 10,753,933 | 2,216,563 | 12,970,496 | |||||||||||||||||||||
Gross unrealized gains | 276,293 | 448,403 | 724,696 | |||||||||||||||||||||
Gross unrealized losses | (18,123 | ) | (10,115 | ) | (28,238 | ) | ||||||||||||||||||
Carrying Value | $ | 11,012,103 | $ | 2,654,851 | $ | 13,666,954 | ||||||||||||||||||
The following tables present the carrying value of the Company’s AFS investment securities by rate type as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Adjustable Rate | $ | 1,007,715 | $ | 2,527,240 | $ | 3,534,955 | ||||||||||||||||||
Fixed Rate | 8,710,223 | 427,055 | 9,137,278 | |||||||||||||||||||||
Total | $ | 9,717,938 | $ | 2,954,295 | $ | 12,672,233 | ||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Adjustable Rate | $ | 188,429 | $ | 2,334,950 | $ | 2,523,379 | ||||||||||||||||||
Fixed Rate | 10,823,674 | 319,901 | 11,143,575 | |||||||||||||||||||||
Total | $ | 11,012,103 | $ | 2,654,851 | $ | 13,666,954 | ||||||||||||||||||
When the Company purchases a credit-sensitive AFS security at a significant discount to its face value, the Company often does not amortize into income a significant portion of this discount that the Company is entitled to earn because it does not expect to collect it due to the inherent credit risk of the security. The Company may also record an other-than-temporary impairment, or OTTI, for a portion of its investment in the security to the extent the Company believes that the amortized cost will exceed the present value of expected future cash flows. The amount of principal that the Company does not amortize into income is designated as a credit reserve on the security, with unamortized net discounts or premiums amortized into income over time to the extent realizable. | ||||||||||||||||||||||||
The following table presents the changes for the nine months ended September 30, 2013 and 2012, of the unamortized net discount and designated credit reserves on non-Agency AFS securities. | ||||||||||||||||||||||||
Nine Months Ended September 30, | ||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||
(in thousands) | Designated Credit Reserve | Unamortized Net Discount | Total | Designated Credit Reserve | Unamortized Net Discount | Total | ||||||||||||||||||
Beginning balance at January 1 | $ | (1,290,946 | ) | $ | (996,490 | ) | $ | (2,287,436 | ) | $ | (782,606 | ) | $ | (540,969 | ) | $ | (1,323,575 | ) | ||||||
Acquisitions | (181,122 | ) | (390,269 | ) | (571,391 | ) | (590,090 | ) | (534,000 | ) | (1,124,090 | ) | ||||||||||||
Accretion of net discount | 886 | 108,829 | 109,715 | 493 | 98,685 | 99,178 | ||||||||||||||||||
Realized credit losses | 28,684 | — | 28,684 | 33,622 | — | 33,622 | ||||||||||||||||||
Reclassification adjustment for other-than-temporary impairments | (1,662 | ) | — | (1,662 | ) | (9,310 | ) | — | (9,310 | ) | ||||||||||||||
Transfers from (to) | 35,201 | (35,201 | ) | — | — | — | — | |||||||||||||||||
Sales, calls, other | 36,331 | 151,310 | 187,641 | 8,154 | 15,876 | 24,030 | ||||||||||||||||||
Ending balance at September 30 | $ | (1,372,628 | ) | $ | (1,161,821 | ) | $ | (2,534,449 | ) | $ | (1,339,737 | ) | $ | (960,408 | ) | $ | (2,300,145 | ) | ||||||
The following table presents the components comprising the carrying value of AFS securities not deemed to be other than temporarily impaired by length of time the securities had an unrealized loss position as of September 30, 2013 and December 31, 2012. At September 30, 2013, the Company held 1,453 AFS securities, of which 493 were in an unrealized loss position for less than twelve consecutive months and 64 were in an unrealized loss position for more than twelve consecutive months. Of the $4.8 billion and $2.5 billion of AFS securities in an unrealized loss position for less than twelve consecutive months as of September 30, 2013 and December 31, 2012, $4.5 billion, or 94.5%, and $2.4 billion, or 95.8%, respectively, were Agency AFS securities, whose principal and interest are guaranteed by government sponsored entities, or GSEs. At December 31, 2012, the Company held 1,493 AFS securities, of which 250 were in an unrealized loss position for less than twelve months and 47 were in an unrealized loss position for more than twelve consecutive months. | ||||||||||||||||||||||||
Unrealized Loss Position for | ||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||
(in thousands) | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | ||||||||||||||||||
September 30, 2013 | $ | 4,784,704 | $ | (151,442 | ) | $ | 538,129 | $ | (29,009 | ) | $ | 5,322,833 | $ | (180,451 | ) | |||||||||
December 31, 2012 | $ | 2,548,995 | $ | (18,610 | ) | $ | 52,689 | $ | (9,628 | ) | $ | 2,601,684 | $ | (28,238 | ) | |||||||||
Evaluating AFS Securities for Other-Than-Temporary Impairments | ||||||||||||||||||||||||
In order to evaluate AFS securities for OTTI, the Company determines whether there has been a significant adverse quarterly change in the cash flow expectations for a security. The Company compares the amortized cost of each security in an unrealized loss position against the present value of expected future cash flows of the security. The Company also considers whether there has been a significant adverse change in the regulatory and/or economic environment as part of this analysis. If the amortized cost of the security is greater than the present value of expected future cash flows using the original yield as the discount rate, an other-than-temporary credit impairment has occurred. If the Company does not intend to sell and is not more likely than not required to sell the security, the credit loss is recognized in earnings and the balance of the unrealized loss is recognized in other comprehensive income. If the Company intends to sell the security or will be more likely than not required to sell the security, the full unrealized loss is recognized in earnings. | ||||||||||||||||||||||||
The Company recorded a $1.7 million other-than-temporary credit impairment during the nine months ended September 30, 2013 on a total of four non-Agency RMBS where the future expected cash flows for each security was less than its amortized cost. No OTTI was recorded for the three months ended September 30, 2013. As of September 30, 2013, impaired securities had weighted average cumulative losses of 7.8%, weighted average three-month prepayment speed of 4.3%, weighted average 60+ day delinquency of 34.5% of the pool balance, and weighted average FICO score of 629. At September 30, 2013, the Company did not intend to sell the securities and determined that it was not more likely than not that the Company will be required to sell the securities, therefore, only the projected credit loss was recognized in earnings. During the three and nine months ended September 30, 2012, the Company recorded a $0.6 million and an $9.3 million other-than-temporary credit impairment on a total of 31 non-Agency RMBS where the future expected cash flows for each security was less than its amortized cost. | ||||||||||||||||||||||||
The following table presents the changes in OTTI included in earnings for three and nine months ended September 30, 2013 and 2012: | ||||||||||||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||||||||||||
September 30, | September 30, | |||||||||||||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | ||||||||||||||||||||
Cumulative credit loss at beginning of period | $ | (15,046 | ) | $ | (13,603 | ) | $ | (15,561 | ) | $ | (5,102 | ) | ||||||||||||
Additions: | ||||||||||||||||||||||||
Other-than-temporary impairments not previously recognized | — | (315 | ) | — | (6,443 | ) | ||||||||||||||||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | — | (244 | ) | (1,662 | ) | (2,867 | ) | |||||||||||||||||
Reductions: | ||||||||||||||||||||||||
Decreases related to other-than-temporary impairments on securities paid down | 1,446 | — | 1,677 | 250 | ||||||||||||||||||||
Decreases related to other-than-temporary impairments on securities sold | 406 | 243 | 2,352 | 243 | ||||||||||||||||||||
Cumulative credit loss at end of period | $ | (13,194 | ) | $ | (13,919 | ) | $ | (13,194 | ) | $ | (13,919 | ) | ||||||||||||
Cumulative credit losses related to OTTI may be reduced for securities sold as well as for securities that mature, pay down, or are prepaid such that the outstanding principal balance is reduced to zero. Additionally, increases in cash flows expected to be collected over the remaining life of the security cause a reduction in the cumulative credit loss. | ||||||||||||||||||||||||
Gross Realized Gains and Losses | ||||||||||||||||||||||||
Gains and losses from the sale of AFS securities are recorded as realized gains (losses) within (loss) gain on investment securities in the Company’s condensed consolidated statements of comprehensive income. For the three and nine months ended September 30, 2013, the Company sold AFS securities for $3.1 billion and $4.1 billion with an amortized cost of $3.3 billion and $4.2 billion, for net realized losses of $234.5 million and $163.2 million, respectively. | ||||||||||||||||||||||||
The following table presents the gross realized gains and losses on sales of AFS securities for the three and nine months ended September 30, 2013 and 2012: | ||||||||||||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||||||||||||
September 30, | September 30, | |||||||||||||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | ||||||||||||||||||||
Gross realized gains | $ | 27,786 | $ | — | $ | 103,451 | $ | 11,663 | ||||||||||||||||
Gross realized losses | (262,323 | ) | (221 | ) | (266,620 | ) | (1,850 | ) | ||||||||||||||||
Total realized (losses) gains on sales, net | $ | (234,537 | ) | $ | (221 | ) | $ | (163,169 | ) | $ | 9,813 | |||||||||||||
Trading_Securities_at_Fair_Val
Trading Securities, at Fair Value (Notes) | 9 Months Ended |
Sep. 30, 2013 | |
Trading Securities, at Fair Value [Abstract] | ' |
Trading Securities, at Fair Value | ' |
Trading Securities, at Fair Value | |
The Company holds U.S. Treasuries in a taxable REIT subsidiary and classifies these securities as trading instruments due to short-term investment objectives. As of September 30, 2013 and December 31, 2012, the Company held U.S. Treasuries with an amortized cost of $995.8 million and a fair value of $1.0 billion for both periods classified as trading securities. The unrealized gains included within trading securities were $4.9 million and $5.1 million as of September 30, 2013 and December 31, 2012, respectively. | |
For the three and nine months ended September 30, 2013, the Company sold trading securities for $1.0 billion with an amortized cost of $997.9 million, resulting in realized gains of $3.1 million on the sale of these securities. For the three and nine months ended September 30, 2013, trading securities experienced change in unrealized gains of $1.4 million and change in unrealized losses of $0.2 million, respectively. Unrealized gains and losses are recorded as a component of (loss) gain on investment securities in the Company’s condensed consolidated statements of comprehensive income. | |
At September 30, 2013, the Company pledged trading securities with a carrying value of $1.0 billion as collateral for repurchase agreements. See Note 16 - Repurchase Agreements. |
Equity_Securities_at_Fair_Valu
Equity Securities, at Fair Value | 9 Months Ended |
Sep. 30, 2013 | |
Equity Securities, at Fair Value [Abstract] | ' |
Equity Securities, at Fair Value | ' |
Equity Securities, at Fair Value | |
At December 31, 2012, equity securities consisted of shares of Silver Bay common stock carried at fair value as a result of a fair value option election. In exchange for the contribution of the Company’s equity interests in its wholly owned subsidiary, Two Harbors Property Investment LLC, to Silver Bay on December 19, 2012, the Company received 17,824,647 shares of common stock, or 47.7%, of Silver Bay at the initial public offering price of $18.50. The initial carrying value of the Company’s equity securities was $329.8 million and the carrying value as of December 31, 2012 was $335.6 million, which included $5.9 million in unrealized gains. | |
On March 18, 2013, the Company declared a special dividend pursuant to which the 17,824,647 shares of Silver Bay common stock would be distributed, on a pro rata basis, to the Company’s stockholders of record at the close of business on April 2, 2013. The dividend was paid on or about April 24, 2013. As a result, the Company recognized $13.7 million of realized gains on distribution as well as $5.9 million of change in unrealized losses within (loss) gain on investment securities on the condensed consolidated statements of comprehensive income for the nine months ended September 30, 2013. Because the shares were distributed to the Company’s stockholders during the nine months ended September 30, 2013, equity securities are no longer recognized on the condensed consolidated balance sheet as of September 30, 2013. |
Mortgage_Loans_HeldforSale_Not
Mortgage Loans Held-for-Sale (Notes) | 9 Months Ended | |||||||
Sep. 30, 2013 | ||||||||
Mortgage Loans Held-for-Sale [Abstract] | ' | |||||||
Mortgage Loans Held-for-Sale [Text Block] | ' | |||||||
Mortgage Loans Held-for-Sale, at Fair Value | ||||||||
Mortgage loans held-for-sale consists of residential mortgage loans carried at fair value as a result of a fair value option election. The following table presents the carrying value of the Company’s mortgage loans held-for-sale as of September 30, 2013 and December 31, 2012: | ||||||||
(in thousands) | September 30, | December 31, | ||||||
2013 | 2012 | |||||||
Unpaid principal balance | $ | 688,620 | $ | 56,976 | ||||
Fair value adjustment | (128,883 | ) | 1,631 | |||||
Carrying value | $ | 559,737 | $ | 58,607 | ||||
At September 30, 2013 and December 31, 2012, the Company pledged mortgage loans with a carrying value of $19.0 million and $52.5 million, respectively, as collateral for repurchase agreements. See Note 16 - Repurchase Agreements. |
Mortgage_Loans_HeldforInvestme
Mortgage Loans Held-for-Investment in Securitization Trust, at Fair Value Mortgage Loans Held-for-Investment in Securitization Trust, at Fair Value (Notes) | 9 Months Ended | |||||||
Sep. 30, 2013 | ||||||||
Mortgage Loans Held-for-Investment, at Fair Value [Abstract] | ' | |||||||
Loans, Notes, Trade and Other Receivables Disclosure [Text Block] | ' | |||||||
Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value | ||||||||
During the nine months ended September 30, 2013, the Company purchased subordinated debt and excess servicing rights from a securitization trust issued by a third party. Also during the nine months ended September 30, 2013, the Company purchased subordinated debt and excess servicing rights from a securitization trust sponsored by a subsidiary of the Company. The underlying residential mortgage loans held by the trusts, which are consolidated on the Company’s condensed consolidated balance sheet, are classified as mortgage loans held-for-investment in securitization trusts and carried at fair value as a result of a fair value option election. See Note 3 - Variable Interest Entities for additional information regarding consolidation of the securitization trusts. The following table presents the carrying value of the Company’s mortgage loans held-for-investment in securitization trusts as of September 30, 2013 and December 31, 2012: | ||||||||
(in thousands) | September 30, | December 31, | ||||||
2013 | 2012 | |||||||
Unpaid principal balance | $ | 825,285 | $ | — | ||||
Fair value adjustment | (20,297 | ) | — | |||||
Carrying value | $ | 804,988 | $ | — | ||||
Restricted_Cash_Notes
Restricted Cash (Notes) | 9 Months Ended | |||||||
Sep. 30, 2013 | ||||||||
Restricted Cash [Abstract] | ' | |||||||
Cash and Cash Equivalents Disclosure [Text Block] | ' | |||||||
Restricted Cash | ||||||||
The Company is required to maintain certain cash balances with counterparties for broker activity and collateral for the Company’s repurchase agreements in non-interest bearing accounts. The Company has also placed cash in a restricted account pursuant to a letter of credit on an office space lease. | ||||||||
The following table presents the Company’s restricted cash balances as of September 30, 2013 and December 31, 2012: | ||||||||
(in thousands) | September 30, | December 31, | ||||||
2013 | 2012 | |||||||
Restricted cash balances held by trading counterparties: | ||||||||
For securities trading activity | $ | 9,000 | $ | 9,000 | ||||
For derivatives trading activity | 409,340 | 208,669 | ||||||
As restricted collateral for repurchase agreements | 259,642 | 84,307 | ||||||
677,982 | 301,976 | |||||||
Restricted cash balance pursuant to letter of credit on office lease | 346 | 346 | ||||||
Total | $ | 678,328 | $ | 302,322 | ||||
Accrued_Interest_Receivable_No
Accrued Interest Receivable (Notes) | 9 Months Ended | |||||||
Sep. 30, 2013 | ||||||||
Accrued Interest Receivable [Abstract] | ' | |||||||
Loans, Notes, Trade and Other Receivables Disclosure [Text Block] | ' | |||||||
Accrued Interest Receivable | ||||||||
The following table presents the Company’s accrued interest receivable by collateral type: | ||||||||
(in thousands) | September 30, | December 31, | ||||||
2013 | 2012 | |||||||
Accrued Interest Receivable: | ||||||||
U.S. Treasuries | $ | 798 | $ | 1,119 | ||||
Mortgage-backed securities: | ||||||||
Agency | ||||||||
Federal Home Loan Mortgage Corporation | 10,902 | 11,888 | ||||||
Federal National Mortgage Association | 15,622 | 17,101 | ||||||
Government National Mortgage Association | 9,712 | 8,962 | ||||||
Non-Agency | 3,875 | 3,296 | ||||||
Total mortgage-backed securities | 40,111 | 41,247 | ||||||
Mortgage loans held-for-sale | 4,286 | 247 | ||||||
Mortgage loans held-for-investment in securitization trusts | 3,659 | — | ||||||
Total | $ | 48,854 | $ | 42,613 | ||||
Derivative_Instruments_and_Hed
Derivative Instruments and Hedging Activities (Notes) | 9 Months Ended | |||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ' | |||||||||||||||||||||||||
Derivative Instruments and Hedging Activities | ' | |||||||||||||||||||||||||
Derivative Instruments and Hedging Activities | ||||||||||||||||||||||||||
The Company enters into a variety of derivative and non-derivative instruments in connection with its risk management activities. The Company’s primary objective for executing these derivative and non-derivative instruments is to mitigate the Company’s economic exposure to future events that are outside its control. The Company’s derivative financial instruments are utilized principally to manage market risk and cash flow volatility associated with interest rate risk (including associated prepayment risk) related to certain assets and liabilities. As part of its risk management activities, the Company may, at times, enter into various forward contracts, including short securities, Agency to-be-announced securities, or TBAs, options, futures, swaps, caps and credit default swaps. In executing on the Company’s current risk management strategy, the Company has entered into interest rate swap and swaption agreements and credit default swaps. The Company has also entered into a number of non-derivative instruments to manage interest rate risk, principally U.S. Treasuries and Agency interest-only securities. | ||||||||||||||||||||||||||
At times, the Company may use TBAs for risk management purposes, or as a means of deploying capital until targeted investments are available and to take advantage of temporary displacements in the marketplace. TBAs are forward contracts for the purchase (long notional positions) or sale (short notional positions) of Agency RMBS. The issuer, coupon and stated maturity of the Agency RMBS is predetermined as well as the trade price, face amount and future settle date (published each month by the Securities Industry and Financial Markets Association); however, the specific Agency RMBS to be delivered upon settlement is not known at the time of the TBA transaction. As a result, and since physical delivery of the Agency RMBS upon settlement cannot be assured, the Company accounts for TBAs as derivative instruments. | ||||||||||||||||||||||||||
The following summarizes the Company’s significant asset and liability classes, the risk exposure for these classes, and the Company’s risk management activities used to mitigate certain of these risks. The discussion includes both derivative and non-derivative instruments used as part of these risk management activities. While the Company uses non-derivative and derivative instruments to achieve the Company’s risk management activities, it is possible that these instruments will not effectively mitigate all or a substantial portion of the Company’s market rate risk. In addition, the Company might elect, at times, not to enter into certain hedging arrangements in order to maintain compliance with REIT requirements. | ||||||||||||||||||||||||||
Balance Sheet Presentation | ||||||||||||||||||||||||||
The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading instruments as of September 30, 2013 and December 31, 2012. | ||||||||||||||||||||||||||
(in thousands) | September 30, 2013 | |||||||||||||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||
Trading instruments | Fair Value | Notional | Fair Value | Notional | ||||||||||||||||||||||
Inverse interest-only securities | $ | 226,744 | $ | 1,648,236 | $ | — | $ | — | ||||||||||||||||||
Interest rate swap agreements | 51,374 | 17,575,000 | — | — | ||||||||||||||||||||||
Credit default swaps | — | — | (29,852 | ) | 1,462,165 | |||||||||||||||||||||
Swaptions | 237,871 | 4,430,000 | — | — | ||||||||||||||||||||||
TBAs | 21,896 | 1,504,000 | (34,634 | ) | 4,247,000 | |||||||||||||||||||||
Put and call options for TBAs | 6,630 | 2,500,000 | — | — | ||||||||||||||||||||||
Constant maturity swaps | — | — | (9,341 | ) | 8,000,000 | |||||||||||||||||||||
Total | $ | 544,515 | $ | 27,657,236 | $ | (73,827 | ) | $ | 13,709,165 | |||||||||||||||||
(in thousands) | December 31, 2012 | |||||||||||||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||
Trading instruments | Fair Value | Notional | Fair Value | Notional | ||||||||||||||||||||||
Inverse interest-only securities | $ | 304,975 | $ | 1,909,351 | $ | — | $ | — | ||||||||||||||||||
Interest rate swap agreements | — | — | (129,055 | ) | 14,070,000 | |||||||||||||||||||||
Credit default swaps | 52,906 | 438,440 | — | — | ||||||||||||||||||||||
Swaptions | 102,048 | 4,950,000 | — | — | ||||||||||||||||||||||
TBAs | 1,917 | 2,414,000 | (239 | ) | 139,000 | |||||||||||||||||||||
Forward purchase commitment | 234 | 56,865 | — | — | ||||||||||||||||||||||
Total | $ | 462,080 | $ | 9,768,656 | $ | (129,294 | ) | $ | 14,209,000 | |||||||||||||||||
The following table provides the average outstanding notional amounts of the Company’s derivative financial instruments treated as trading instruments for the three and nine months ended September 30, 2013. | ||||||||||||||||||||||||||
(in thousands) | Three Months Ended September 30, 2013 | Nine Months Ended September 30, 2013 | ||||||||||||||||||||||||
Trading instruments | Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | ||||||||||||||||||||||
Inverse interest-only securities | $ | 1,735,973 | $ | — | $ | 1,850,637 | $ | — | ||||||||||||||||||
Interest rate swap agreements | 19,884,272 | — | 17,486,421 | — | ||||||||||||||||||||||
Credit default swaps | — | 1,525,716 | — | 913,477 | ||||||||||||||||||||||
Swaptions | 6,002,717 | — | 5,766,300 | — | ||||||||||||||||||||||
TBAs | 2,584,391 | 2,270,489 | 1,904,608 | 1,295,974 | ||||||||||||||||||||||
Put and call options for TBAs | 413,043 | — | 95,560 | — | ||||||||||||||||||||||
Constant maturity swaps | — | 10,032,609 | — | 5,225,275 | ||||||||||||||||||||||
Short U.S. Treasuries | — | — | — | 8,901 | ||||||||||||||||||||||
Forward purchase commitment | — | 6,672 | — | 75,117 | ||||||||||||||||||||||
Comprehensive Income Statement Presentation | ||||||||||||||||||||||||||
The Company has not applied hedge accounting to its current derivative portfolio held to mitigate the interest rate risk associated with its debt portfolio. As a result, the Company is subject to volatility in its earnings due to movement in the unrealized gains and losses associated with its interest rate swaps and its other derivative instruments. | ||||||||||||||||||||||||||
The following table summarizes the location and amount of gains and losses on derivative instruments reported in the condensed consolidated statements of comprehensive income on its derivative instruments: | ||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Trading Instruments | Location of Gain/(Loss) Recognized in Income on Derivatives | Amount of Gain/(Loss) Recognized in Income on Derivatives | ||||||||||||||||||||||||
Three Months Ended September 30, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
Interest rate risk management | ||||||||||||||||||||||||||
TBAs (1) | Gain (loss) on other derivative instruments | $ | 71,751 | $ | 2,170 | |||||||||||||||||||||
Put and call options for TBAs (1) | Gain (loss) on other derivative instruments | (37,052 | ) | — | ||||||||||||||||||||||
Constant maturity swaps (1) | Gain (loss) on other derivative instruments | 71 | — | |||||||||||||||||||||||
Short U.S. Treasuries (1) | Gain (loss) on other derivative instruments | — | (1,768 | ) | ||||||||||||||||||||||
Interest rate swap agreements - Receivers (1) | (Loss) gain on interest rate swap and swaption agreements | 7,852 | — | |||||||||||||||||||||||
Interest rate swap agreements - Payers (2) | (Loss) gain on interest rate swap and swaption agreements | (8,691 | ) | (5,428 | ) | |||||||||||||||||||||
Interest rate swap agreements - Payers (4) | (Loss) gain on interest rate swap and swaption agreements | (58,282 | ) | (64,774 | ) | |||||||||||||||||||||
Swaptions (4) | (Loss) gain on interest rate swap and swaption agreements | 3,711 | (6,270 | ) | ||||||||||||||||||||||
Credit risk management | ||||||||||||||||||||||||||
Credit default swaps - Receive protection (5) | Gain (loss) on other derivative instruments | (30,344 | ) | (18,661 | ) | |||||||||||||||||||||
Non-risk management | ||||||||||||||||||||||||||
TBAs | Gain (loss) on other derivative instruments | 10,322 | — | |||||||||||||||||||||||
Inverse interest-only securities | Gain (loss) on other derivative instruments | 5,686 | 18,094 | |||||||||||||||||||||||
Credit default swaps - Provide protection | Gain (loss) on other derivative instruments | — | 3,015 | |||||||||||||||||||||||
Forward purchase commitments | (Loss) gain on mortgage loans held-for-sale | — | 604 | |||||||||||||||||||||||
Total | $ | (34,976 | ) | $ | (73,018 | ) | ||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Trading Instruments | Location of Gain/(Loss) Recognized in Income on Derivatives | Amount of Gain/(Loss) Recognized in Income on Derivatives | ||||||||||||||||||||||||
Nine Months Ended September 30, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
Interest rate risk management | ||||||||||||||||||||||||||
TBAs (1) | Gain (loss) on other derivative instruments | $ | 138,429 | $ | (22,817 | ) | ||||||||||||||||||||
Put and call options for TBAs (1) | Gain (loss) on other derivative instruments | 15,375 | — | |||||||||||||||||||||||
Constant maturity swaps (1) | Gain (loss) on other derivative instruments | (13,986 | ) | — | ||||||||||||||||||||||
Short U.S. Treasuries (1) | Gain (loss) on other derivative instruments | (991 | ) | (1,768 | ) | |||||||||||||||||||||
Interest rate swap agreements - Receivers (1) | (Loss) gain on interest rate swap and swaption agreements | 7,852 | — | |||||||||||||||||||||||
Interest rate swap agreements - Payers (2) | (Loss) gain on interest rate swap and swaption agreements | (8,371 | ) | (12,774 | ) | |||||||||||||||||||||
Forward sale commitments (3) | (Loss) gain on mortgage loans held-for-sale | — | (26 | ) | ||||||||||||||||||||||
Interest rate swap agreements - Payers (4) | (Loss) gain on interest rate swap and swaption agreements | 128,431 | (110,409 | ) | ||||||||||||||||||||||
Swaptions (4) | (Loss) gain on interest rate swap and swaption agreements | 95,476 | (30,496 | ) | ||||||||||||||||||||||
Credit risk management | ||||||||||||||||||||||||||
Credit default swaps - Receive protection (5) | Gain (loss) on other derivative instruments | (40,206 | ) | (44,187 | ) | |||||||||||||||||||||
Non-risk management | ||||||||||||||||||||||||||
TBAs | Gain (loss) on other derivative instruments | 668 | — | |||||||||||||||||||||||
Inverse interest-only securities | Gain (loss) on other derivative instruments | (33,234 | ) | 43,154 | ||||||||||||||||||||||
Credit default swaps - Provide protection | Gain (loss) on other derivative instruments | — | 11,987 | |||||||||||||||||||||||
Forward purchase commitments | (Loss) gain on mortgage loans held-for-sale | (20,015 | ) | 604 | ||||||||||||||||||||||
Total | $ | 269,428 | $ | (166,732 | ) | |||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Includes derivative instruments held to mitigate interest rate risk associated with the Company’s available-for-sale securities, mortgage loans held-for-sale and forward purchase commitments. | |||||||||||||||||||||||||
-2 | Includes derivative instruments held to mitigate interest rate risk associated with the Company’s U.S. Treasuries, TBAs and MSRs. | |||||||||||||||||||||||||
-3 | Includes derivative instruments held to mitigate interest rate risk associated with the Company’s mortgage loans held-for-sale. | |||||||||||||||||||||||||
-4 | Includes derivative instruments held to mitigate interest rate risk associated with the Company’s repurchase agreements. | |||||||||||||||||||||||||
-5 | Includes derivative instruments held to mitigate credit risk associated with the Company’s non-Agency RMBS and mortgage loans held-for-sale. | |||||||||||||||||||||||||
For the three and nine months ended September 30, 2013, the Company recognized $15.1 million and $48.5 million, respectively, of expenses for the accrual and/or settlement of the net interest expense associated with its interest rate swaps. The expenses result from generally paying a fixed interest rate on an average $19.9 billion and $17.5 billion notional, respectively, to economically hedge a portion of the Company’s interest rate risk on its short-term repurchase agreements, funding costs, and macro-financing risk and generally receiving LIBOR interest. | ||||||||||||||||||||||||||
For the three and nine months ended September 30, 2013, the Company terminated, had agreements mature or had options expire on a total of 35 and 107 interest rate swap and swaption positions of $8.0 billion and $16.5 billion notional, respectively. Upon settlement of the early terminations, contractual maturities and option expirations, the Company paid $10.2 million and $27.4 million in full settlement of its net interest spread liability and recognized $40.8 million in realized gains and $21.9 million in realized losses on the swaps and swaptions for the three and nine months ended September 30, 2013, respectively, including early termination penalties. | ||||||||||||||||||||||||||
For the three and nine months ended September 30, 2013, the Company terminated or had agreements mature on eight and 13 credit default swap positions of $870.0 million and $985.0 million notional, respectively. Upon settlement of the early terminations, the Company paid $0.5 million in full settlement of its net interest spread liability and recognized $9.9 million and $22.3 million, respectively, in realized losses on the credit default swaps, including early terminations penalties. | ||||||||||||||||||||||||||
Cash flow activity related to derivative instruments is reflected within the operating activities and investing activities sections of the condensed consolidated statements of cash flows. Derivative fair value adjustments are reflected within the unrealized (gain) loss on interest rate swaps and swaptions, unrealized loss (gain) on other derivative instruments, and loss (gain) on mortgage loans held-for-sale line items within the operating activities section of the condensed consolidated statements of cash flows. Realized losses on interest rate swap and swaption agreements are reflected within the loss on termination of interest rate swaps and swaptions line item within the operating activities section of the condensed consolidated statements of cash flows. The remaining cash flow activity related to derivative instruments is reflected within the purchases of other derivative instruments, proceeds from sales of other derivative instruments, and (decrease)/increase in due to counterparties, net line items within the investing activities section of the condensed consolidated statements of cash flows. | ||||||||||||||||||||||||||
Interest Rate Sensitive Assets/Liabilities | ||||||||||||||||||||||||||
Available-for-sale Securities - The Company’s RMBS investment securities are generally subject to change in value when mortgage rates decline or increase, depending on the type of investment. Rising mortgage rates generally result in a slowing of refinancing activity, which slows prepayments and results in a decline in the value of the Company’s fixed-rate Agency pools. To mitigate the impact of this risk, the Company maintains a portfolio of financial instruments, primarily fixed-rate interest-only securities, which increase in value when interest rates increase. In addition, the Company has initiated TBA positions, put and call options for TBAs, and constant maturity swaps to further mitigate its exposure to higher interest rates, decreased prepayment speeds and widening mortgage spreads. The objective is to reduce the risk of losses to the portfolio caused by interest rate changes and changes in prepayment speeds. | ||||||||||||||||||||||||||
As of September 30, 2013 and December 31, 2012, the Company had outstanding fair value of $89.1 million and $77.3 million, respectively, of interest-only securities in place to economically hedge its investment securities. These interest-only securities are included in AFS securities, at fair value, in the condensed consolidated balance sheets. | ||||||||||||||||||||||||||
At September 30, 2013, $654.0 million of the Company’s long notional TBA positions and $2.4 billion of the Company’s short notional TBA positions were held as a means to mitigate exposure to higher interest rates and wider mortgage spreads, while the remaining $2.7 billion long notional TBA positions were held for non-risk management purposes (see “Non-Risk Management Activities” section). The Company discloses these on a gross basis according to the unrealized gain or loss position of each TBA contract regardless of long or short notional position. The following table presents the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||||
As of September 30, 2013 | ||||||||||||||||||||||||||
Net Carrying Value (4) | ||||||||||||||||||||||||||
(in thousands) | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||
Purchase contracts | $ | 3,304,000 | $ | 3,509,122 | $ | 3,530,416 | $ | 21,896 | $ | (601 | ) | |||||||||||||||
Sale contracts | (2,447,000 | ) | (2,451,599 | ) | (2,485,632 | ) | — | (34,033 | ) | |||||||||||||||||
TBAs, net | $ | 857,000 | $ | 1,057,523 | $ | 1,044,784 | $ | 21,896 | $ | (34,634 | ) | |||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||
Net Carrying Value (4) | ||||||||||||||||||||||||||
(in thousands) | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||
Purchase contracts | $ | 1,753,000 | $ | 1,867,621 | $ | 1,869,112 | $ | 1,729 | $ | (239 | ) | |||||||||||||||
Sale contracts | (800,000 | ) | (857,625 | ) | (857,438 | ) | 188 | — | ||||||||||||||||||
TBAs, net | $ | 953,000 | $ | 1,009,996 | $ | 1,011,674 | $ | 1,917 | $ | (239 | ) | |||||||||||||||
___________________ | ||||||||||||||||||||||||||
-1 | Notional amount represents the face amount of the underlying Agency RMBS. | |||||||||||||||||||||||||
-2 | Cost basis represents the forward price to be paid/(received) for the underlying Agency RMBS. | |||||||||||||||||||||||||
-3 | Market value represents the current market value of the TBA (or of the underlying Agency RMBS) as of period-end. | |||||||||||||||||||||||||
-4 | Net carrying value represents the difference between the market value of the TBA as of period-end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the condensed consolidated balance sheets. | |||||||||||||||||||||||||
As of September 30, 2013, the Company had purchased put and call options for TBAs with a total notional amount of $2.5 billion. The Company paid upfront premiums of approximately $17.3 million for the options purchased. Each of the options will expire by December 2013. The put and call options had a net fair market value of $6.6 million, included in derivative assets, at fair value, in the condensed consolidated balance sheet as of September 30, 2013. The Company did not hold any put or call options for TBAs as of December 31, 2012. | ||||||||||||||||||||||||||
The Company has also entered into constant maturity swaps between the 10-year interest rate swap curve and the yield to maturity on a 30-year Fannie Mae TBA to economically hedge mortgage spread widening. The Company had the following constant maturity swaps agreements in place at September 30, 2013: | ||||||||||||||||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||
Determination Date | Average Strike Swap Rate | Notional Amount | Fair Value | Upfront Premium Paid | Unrealized Gain/(Loss) | |||||||||||||||||||||
Nov-13 | 0.869 | % | 3,000,000 | (3,205 | ) | — | (3,205 | ) | ||||||||||||||||||
Dec-13 | 0.89 | % | 5,000,000 | (6,136 | ) | — | (6,136 | ) | ||||||||||||||||||
Total | 0.882 | % | $ | 8,000,000 | $ | (9,341 | ) | $ | — | $ | (9,341 | ) | ||||||||||||||
The Company did not hold any constant maturity swaps as of December 31, 2012. | ||||||||||||||||||||||||||
U.S. Treasuries, TBAs and MSRs - The Company has entered into interest rate swaps in combination with U.S. Treasuries, TBAs and MSRs to economically hedge funding cost risk, mortgage interest rate exposure (or duration), and mortgage basis widening, depending on the type of investment. | ||||||||||||||||||||||||||
As of September 30, 2013 and December 31, 2012, the Company held $1.0 billion in fair value of U.S. Treasuries classified as trading securities and the following outstanding interest rate swaps utilized to economically hedge funding cost risk: | ||||||||||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2016 | $ | 1,000,000 | 0.955 | % | 0.259 | % | 2.92 | |||||||||||||||||||
Total | $ | 1,000,000 | ||||||||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2015 | $ | 1,000,000 | 0.799 | % | 0.35 | % | 2.28 | |||||||||||||||||||
Total | $ | 1,000,000 | ||||||||||||||||||||||||
As of September 30, 2013 and December 31, 2012, the Company held the following interest rate swaps entered in combination with TBA contracts and/or MSRs to economically hedge mortgage basis widening and duration: | ||||||||||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Average Pay Rate | Average Fixed Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2014 | $ | — | — | % | — | % | — | |||||||||||||||||||
2015 | — | — | % | — | % | — | ||||||||||||||||||||
2016 | 750,000 | 0.266 | % | 0.754 | % | 2.81 | ||||||||||||||||||||
2017 | — | — | % | — | % | — | ||||||||||||||||||||
2018 and Thereafter | 1,725,000 | 0.266 | % | 1.981 | % | 6.36 | ||||||||||||||||||||
Total | $ | 2,475,000 | 0.266 | % | 1.609 | % | 5.28 | |||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2014 | $ | 500,000 | 0.399 | % | 0.356 | % | 1.78 | |||||||||||||||||||
Total | $ | 500,000 | ||||||||||||||||||||||||
As of December 31, 2012, all of the Company’s interest rate swap contracts received interest at a 3-month LIBOR rate. However, as of September 30, 2013, the Company also utilized the above interest rate swaps entered in combination with TBA contracts and/or MSRs where the Company paid interest at a 3-month LIBOR rate. | ||||||||||||||||||||||||||
Commitments to Purchase and/or Sell Mortgage Loans Held-for-Sale - Prior to a mortgage loan purchase, the Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing the loans at a particular interest rate, provided the borrower elects to close the loan. These commitments to purchase mortgage loans have been defined as derivatives and are, therefore, recorded on the balance sheet as assets or liabilities and measured at fair value. Subsequent changes in fair value are recorded on the balance sheet as adjustments to the carrying value of these assets or liabilities with a corresponding adjustment recognized in current period earnings. As of December 31, 2012, the Company had entered into commitments to purchase $56.9 million of mortgage loans, subject to fallout if the loans do not close, with a fair value of $0.2 million included in derivative assets on the condensed consolidated balance sheet at December 31, 2012. As of September 30, 2013, the Company had no remaining commitments to purchase mortgage loans. | ||||||||||||||||||||||||||
The Company is exposed to interest rate risk on mortgage loans from the time it commits to purchase the mortgage loan until it acquires the loan from the originator and subsequently sells the loan to a third party. Changes in interest rates impact the market price for the mortgage loans. For example, as market interest rates decline, the value of mortgage loans held-for-sale increases, and vice versa. To mitigate the impact of this risk, the Company may from time to time enter into a forward sale commitment under the Forward AAA Securities Agreement, or the Forward Agreement, with Barclays Bank PLC, or Barclays, pursuant to which Barclays would purchase certain securities issued in connection with a potential securitization transaction involving mortgage loans subject to the Forward Agreement. As of September 30, 2013, the Company did not have any trades under the Forward Agreement. The Company may also enter into other derivative contracts to hedge the interest rate risk related to the commitments to purchase mortgage loans, such as interest rate swaps, swaptions, TBA positions, put and call options for TBAs or constant maturity swaps. | ||||||||||||||||||||||||||
Repurchase Agreements - The Company monitors its repurchase agreements, which are generally floating rate debt, in relation to the rate profile of its investment securities. When it is cost effective to do so, the Company may enter into interest rate swap arrangements to align the interest rate composition of its investment securities and debt portfolios, specifically repurchase agreements with maturities of less than 6 months. Typically, the interest receivable terms (i.e., LIBOR) of the interest rate swaps match the terms of the underlying debt, resulting in an effective conversion of the rate of the related repurchase agreement from floating to fixed. | ||||||||||||||||||||||||||
As of September 30, 2013 and December 31, 2012, the Company had the following outstanding interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) associated with the Company’s short-term repurchase agreements: | ||||||||||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2014 | $ | 900,000 | 0.318 | % | 0.269 | % | 0.29 | |||||||||||||||||||
2015 | 4,000,000 | 0.386 | % | 0.27 | % | 1.28 | ||||||||||||||||||||
2016 | 2,650,000 | 0.579 | % | 0.263 | % | 2.42 | ||||||||||||||||||||
2017 | 4,225,000 | 0.888 | % | 0.263 | % | 3.62 | ||||||||||||||||||||
2018 and Thereafter | 2,325,000 | 1.294 | % | 0.259 | % | 5.52 | ||||||||||||||||||||
Total | $ | 14,100,000 | 0.718 | % | 0.265 | % | 2.83 | |||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2013 | $ | 2,275,000 | 0.713 | % | 0.315 | % | 0.56 | |||||||||||||||||||
2014 | 1,675,000 | 0.644 | % | 0.311 | % | 1.57 | ||||||||||||||||||||
2015 | 2,770,000 | 0.908 | % | 0.313 | % | 2.43 | ||||||||||||||||||||
2016 | 1,940,000 | 0.874 | % | 0.323 | % | 3.46 | ||||||||||||||||||||
2017 and Thereafter | 3,910,000 | 0.96 | % | 0.313 | % | 4.72 | ||||||||||||||||||||
Total | $ | 12,570,000 | 0.85 | % | 0.315 | % | 2.85 | |||||||||||||||||||
As of September 30, 2013 and December 31, 2012, the Company had the following outstanding interest rate swaptions (agreements to enter into interest rate swaps in the future for which the Company would either pay or receive a fixed rate) that were utilized as macro-economic hedges: | ||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||
(notional and dollars in thousands) | Option | Underlying Swap | ||||||||||||||||||||||||
Swaption | Expiration | Cost | Fair Value | Average Months to Expiration | Notional Amount | Average Pay Rate | Average Receive Rate | Average Term (Years) | ||||||||||||||||||
Payer | ≥ 6 Months | 229,944 | 313,418 | 41.79 | 6,400,000 | 4.23 | % | 3M Libor | 9.06 | |||||||||||||||||
Total Payer | $ | 229,944 | $ | 313,418 | 41.79 | $ | 6,400,000 | 4.23 | % | 3M Libor | 9.06 | |||||||||||||||
Receiver | < 6 Months | $ | (7,383 | ) | $ | (5 | ) | 0.1 | $ | (1,170,000 | ) | 3M Libor | 3.11 | % | 10 | |||||||||||
Receiver | ≥ 6 Months | (81,248 | ) | (75,542 | ) | 45.02 | (800,000 | ) | 3M Libor | 3.44 | % | 10 | ||||||||||||||
Total Receiver | $ | (88,631 | ) | $ | (75,547 | ) | 45.02 | $ | (1,970,000 | ) | 3M Libor | 3.24 | % | 10 | ||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||
(notional and dollars in thousands) | Option | Underlying Swap | ||||||||||||||||||||||||
Swaption | Expiration | Cost | Fair Value | Average Months to Expiration | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Term (Years) | ||||||||||||||||||
Payer | < 6 Months | $ | 3,983 | $ | 30 | 5.38 | $ | 300,000 | 4 | % | 3M Libor | 10 | ||||||||||||||
Payer | ≥ 6 Months | 129,925 | 102,018 | 53.38 | 4,650,000 | 3.74 | % | 3M Libor | 9.74 | |||||||||||||||||
Total Payer | $ | 133,908 | $ | 102,048 | 53.38 | $ | 4,950,000 | 3.75 | % | 3M Libor | 9.76 | |||||||||||||||
The Company has not applied hedge accounting to its current derivative portfolio held to mitigate the interest rate risk associated with its debt portfolio. As a result, the Company is subject to volatility in its earnings due to movement in the unrealized gains and losses associated with its interest rate swaps and its other derivative instruments. | ||||||||||||||||||||||||||
Foreign Currency Risk | ||||||||||||||||||||||||||
In compliance with the Company’s REIT requirements, the Company does not have exposure to foreign denominated assets or liabilities. As such, the Company is not subject to foreign currency risk. | ||||||||||||||||||||||||||
Credit Risk | ||||||||||||||||||||||||||
The Company’s exposure to credit losses on its U.S. Treasuries and Agency portfolio of investment securities is limited because these securities are issued by the U.S. Department of the Treasury or GSEs. The payment of principal and interest on the Freddie Mac and Fannie Mae mortgage-backed securities are guaranteed by those respective agencies, and the payment of principal and interest on the Ginnie Mae mortgage-backed securities are backed by the full faith and credit of the U.S. Government. | ||||||||||||||||||||||||||
For non-Agency investment securities and mortgage loans, the Company may enter into credit default swaps to hedge credit risk. In future periods, the Company could enhance its credit risk protection, enter into further paired derivative positions, including both long and short credit default swaps, and/or seek opportunistic trades in the event of a market disruption (see “Non-Risk Management Activities” section). The Company also has processes and controls in place to monitor, analyze, manage and mitigate its credit risk with respect to non-Agency RMBS and mortgage loans. | ||||||||||||||||||||||||||
As of September 30, 2013, the Company held credit default swaps whereby the Company receives credit protection for a fixed premium. The maximum payouts for these credit default swaps are limited to the current notional amounts of each swap contract. Maximum payouts for credit default swaps do not represent the expected future cash requirements, as the Company’s credit default swaps are typically liquidated or expire and are not exercised by the holder of the credit default swaps. | ||||||||||||||||||||||||||
The following tables present credit default swaps whereby the Company is receiving protection held as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||
Protection | Maturity Date | Average Implied Credit Spread | Current Notional Amount | Fair Value | Upfront (Payable)/Receivable | Unrealized Gain/(Loss) | ||||||||||||||||||||
Receive | 12/20/13 | 181.91 | (105,000 | ) | (67 | ) | (3,225 | ) | (3,292 | ) | ||||||||||||||||
6/20/16 | 105.5 | (100,000 | ) | (2,043 | ) | (260 | ) | (2,303 | ) | |||||||||||||||||
12/20/16 | 496 | (25,000 | ) | (95 | ) | (4,062 | ) | (4,157 | ) | |||||||||||||||||
6/20/18 | 432.2 | (500,000 | ) | (30,139 | ) | 14,563 | (15,576 | ) | ||||||||||||||||||
12/20/18 | 80.88 | (700,000 | ) | (6,472 | ) | 6,662 | 190 | |||||||||||||||||||
5/25/46 | 356 | (32,165 | ) | 8,964 | (15,026 | ) | (6,062 | ) | ||||||||||||||||||
Total | 223.1 | $ | (1,462,165 | ) | $ | (29,852 | ) | $ | (1,348 | ) | $ | (31,200 | ) | |||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||
Protection | Maturity Date | Average Implied Credit Spread | Current Notional Amount | Fair Value | Upfront Payable | Unrealized Gain/(Loss) | ||||||||||||||||||||
Receive | 9/20/13 | 460 | $ | (45,000 | ) | $ | (264 | ) | $ | (3,127 | ) | $ | (3,391 | ) | ||||||||||||
12/20/13 | 181.91 | (105,000 | ) | (198 | ) | (3,225 | ) | (3,423 | ) | |||||||||||||||||
6/20/16 | 105.5 | (100,000 | ) | (1,940 | ) | (260 | ) | (2,200 | ) | |||||||||||||||||
12/20/16 | 496 | (25,000 | ) | 527 | (4,062 | ) | (3,535 | ) | ||||||||||||||||||
5/25/46 | 297.6 | (163,440 | ) | 54,781 | (71,114 | ) | (16,333 | ) | ||||||||||||||||||
Total | 254.06 | $ | (438,440 | ) | $ | 52,906 | $ | (81,788 | ) | $ | (28,882 | ) | ||||||||||||||
Derivative financial instruments contain an element of credit risk if counterparties are unable to meet the terms of the agreements. Credit risk associated with derivative financial instruments is measured as the net replacement cost should the counterparties that owe the Company under such contracts completely fail to perform under the terms of these contracts, assuming there are no recoveries of underlying collateral, as measured by the market value of the derivative financial instruments. As of September 30, 2013, the fair value of derivative financial instruments as an asset and liability position was $544.5 million and $73.8 million, respectively. | ||||||||||||||||||||||||||
The Company mitigates the credit risk exposure on derivative financial instruments by limiting the counterparties to those major banks and financial institutions that meet established credit guidelines; the Company also seeks to transact with several different counterparties in order to reduce the exposure to any single counterparty. Additionally, the Company reduces credit risk on the majority of its derivative instruments by entering into agreements that permit the closeout and netting of transactions with the same counterparty upon occurrence of certain events. To further mitigate the risk of counterparty default, the Company maintains collateral agreements with certain of its counterparties. The agreements require both parties to maintain cash deposits in the event the fair values of the derivative financial instruments exceed established thresholds. As of September 30, 2013, the Company has received cash deposits from counterparties of $231.8 million and placed cash deposits of $410.7 million in accounts maintained by counterparties, of which the amounts are netted on a counterparty basis and classified within restricted cash, due from counterparties, or due to counterparties on the condensed consolidated balance sheet. | ||||||||||||||||||||||||||
In accordance with ASC 815, as amended and interpreted, the Company records derivative financial instruments on its condensed consolidated balance sheet as assets or liabilities at fair value. Changes in fair value are accounted for depending on the use of the derivative instruments and whether they qualify for hedge accounting treatment. Due to the volatility of the credit markets and difficulty in effectively matching pricing or cash flows, the Company has elected to treat all current derivative contracts as trading instruments. | ||||||||||||||||||||||||||
Non-Risk Management Activities | ||||||||||||||||||||||||||
The Company has entered into certain financial instruments that are considered derivative contracts under ASC 815 that are not for purposes of hedging. These contracts are currently limited to inverse interest-only RMBS, credit default swaps, forward purchase commitments and TBAs. As of September 30, 2013, the Company held $2.7 billion notional TBAs as a means of deploying capital until targeted investments are available, and to take advantage of temporary displacements in the marketplace. | ||||||||||||||||||||||||||
Inverse interest-only securities with a carrying value of $226.7 million, including accrued interest receivable of $3.1 million, are accounted for as derivative financial instruments in the condensed consolidated financial statements. The following table presents the amortized cost and carrying value (which approximates fair value) of inverse interest-only securities as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||||
(in thousands) | September 30, | December 31, | ||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
Face Value | $ | 1,648,236 | $ | 1,909,351 | ||||||||||||||||||||||
Unamortized premium | — | — | ||||||||||||||||||||||||
Unamortized discount | ||||||||||||||||||||||||||
Designated credit reserve | — | — | ||||||||||||||||||||||||
Net, unamortized | (1,395,982 | ) | (1,620,966 | ) | ||||||||||||||||||||||
Amortized Cost | 252,254 | 288,385 | ||||||||||||||||||||||||
Gross unrealized gains | 3,807 | 21,616 | ||||||||||||||||||||||||
Gross unrealized losses | (32,386 | ) | (8,737 | ) | ||||||||||||||||||||||
Carrying Value | $ | 223,675 | $ | 301,264 | ||||||||||||||||||||||
Other_Assets_Notes
Other Assets (Notes) | 9 Months Ended | |||||||
Sep. 30, 2013 | ||||||||
Other Assets [Abstract] | ' | |||||||
Other Assets Disclosure [Text Block] | ' | |||||||
Other Assets | ||||||||
Other assets as of September 30, 2013 and December 31, 2012 are summarized in the following table: | ||||||||
(in thousands) | September 30, | December 31, | ||||||
2013 | 2012 | |||||||
Property and equipment at cost | $ | 2,073 | $ | 1,034 | ||||
Accumulated depreciation (1) | (675 | ) | (251 | ) | ||||
Net property and equipment | 1,398 | 783 | ||||||
Mortgage servicing rights, at fair value | 15,703 | — | ||||||
Prepaid expenses | 974 | 1,411 | ||||||
Current income tax receivable | — | 4,323 | ||||||
Deferred tax assets | — | 44,184 | ||||||
Intangible assets | 1,600 | — | ||||||
Servicing advances | 5,368 | — | ||||||
Other receivables (2) | 2,198 | 31,885 | ||||||
Total other assets | $ | 27,241 | $ | 82,586 | ||||
____________________ | ||||||||
-1 | Depreciation expense for the three and nine months ended September 30, 2013 was $168,586 and $424,191, respectively. | |||||||
-2 | The majority of other receivables at December 31, 2012 are amounts due from the Company’s transfer agent for cash proceeds received upon exercise of warrants by warrant holders on December 31, 2012. | |||||||
Mortgage Servicing Rights | ||||||||
On April 30, 2013, one of the Company’s wholly owned subsidiaries acquired a company that has seller-servicer approvals from Fannie Mae, Freddie Mac and Ginnie Mae to hold and manage MSRs. The MSRs acquired in conjunction with this acquisition and those subsequently purchased represent the right to service mortgage loans. The Company and its subsidiaries do not originate or directly service mortgage loans, and instead contract with fully licensed subservicers to handle all servicing functions for the loans underlying the Company’s MSRs. The following table summarizes activity related to MSRs, for the three and nine months ended September 30, 2013. | ||||||||
(in thousands) | Three Months Ended September 30, 2013 | Nine Months Ended September 30, 2013 | ||||||
Balance at beginning of period | $ | 1,452 | $ | — | ||||
Additions | 13,390 | 14,887 | ||||||
Changes in fair value due to: | ||||||||
Changes in fair value assumptions | — | — | ||||||
Other changes in fair value | 861 | 816 | ||||||
Balance at end of period | $ | 15,703 | $ | 15,703 | ||||
As of September 30, 2013, the MSR portfolio includes approximately 14,000 loans with unpaid principal balance of approximately $1.7 billion. | ||||||||
The following table presents the components of servicing revenue recorded within other income on the Company’s condensed consolidated statements of comprehensive income for the three and nine months ended September 30, 2013: | ||||||||
(in thousands) | Three Months Ended September 30, 2013 | Nine Months Ended September 30, 2013 | ||||||
Servicing fee income | $ | 899 | $ | 1,114 | ||||
Ancillary fee income | 90 | 120 | ||||||
$ | 989 | $ | 1,234 | |||||
Other_Liabilities_Other_Liabil
Other Liabilities Other Liabilities(Notes) | 9 Months Ended | |||||||
Sep. 30, 2013 | ||||||||
Other Liabilities [Abstract] | ' | |||||||
Other Liabilities Disclosure [Text Block] | ' | |||||||
Other Liabilities | ||||||||
Other liabilities as of September 30, 2013 and December 31, 2012 are summarized in the following table: | ||||||||
(in thousands) | September 30, | December 31, | ||||||
2013 | 2012 | |||||||
Accrued expenses | $ | 17,330 | $ | 13,295 | ||||
Deferred tax liabilities | 31,200 | — | ||||||
Income taxes payable | 2,356 | — | ||||||
Other | 5,239 | — | ||||||
Total other liabilities | $ | 56,125 | $ | 13,295 | ||||
Fair_Value_Notes
Fair Value (Notes) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Fair Value [Abstract] | ' | ||||||||||||||||
Fair Value | ' | ||||||||||||||||
Fair Value | |||||||||||||||||
Fair Value Measurements | |||||||||||||||||
ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets (i.e., observable inputs) and the lowest priority to data lacking transparency (i.e., unobservable inputs). Additionally, ASC 820 requires an entity to consider all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability. | |||||||||||||||||
ASC 820 establishes a three level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels: | |||||||||||||||||
Level 1 | Inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity. | ||||||||||||||||
Level 2 | Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities. | ||||||||||||||||
Level 3 | Unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation. | ||||||||||||||||
Following are descriptions of the valuation methodologies used to measure material assets and liabilities at fair value and details of the valuation models, key inputs to those models and significant assumptions utilized. | |||||||||||||||||
Investment securities - The Company holds a portfolio of AFS and trading securities that are carried at fair value in the condensed consolidated balance sheet. AFS securities are primarily comprised of Agency and non-Agency RMBS while the Company’s U.S. Treasuries are classified as trading securities. The Company determines the fair value of its U.S. Treasuries and Agency RMBS based upon prices obtained from third-party pricing providers or broker quotes received using bid price, which are deemed indicative of market activity. In determining the fair value of its non-Agency RMBS, management judgment is used to arrive at fair value that considers prices obtained from third-party pricing providers, broker quotes received and other applicable market data. If observable market prices are not available or insufficient to determine fair value due to principally illiquidity in the marketplace, then fair value is based upon internally developed models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels, and credit losses). The Company classified 100% of its U.S. Treasuries as Level 1 fair value assets at September 30, 2013. The Company classified 100% of its RMBS AFS securities reported at fair value as Level 2 at September 30, 2013. AFS and trading securities account for 81.2% and 6.4%, respectively, of all assets reported at fair value at September 30, 2013. | |||||||||||||||||
Equity securities - The Company held shares of Silver Bay common stock at December 31, 2012 that were carried at fair value in the condensed consolidated balance sheet as a result of a fair value option election. The Company determined fair value of these equity securities based on the closing market price at period end. Because the shares were distributed to the Company’s stockholders in 2013, equity securities are no longer recognized on the condensed consolidated balance sheet as of September 30, 2013. | |||||||||||||||||
Mortgage loans held-for-sale - The Company holds a portfolio of mortgage loans held-for-sale that are carried at fair value in the condensed consolidated balance sheet as a result of a fair value option election. The Company determines fair value of its mortgage loans based on prices obtained from third-party pricing providers and other applicable market data. If observable market prices are not available or insufficient to determine fair value due principally to illiquidity in the marketplace, then fair value is based upon cash flow models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels and credit losses). The Company classified 21.4% and 78.6% of its mortgage loans held-for-sale as Level 2 and Level 3 fair value assets, respectively, at September 30, 2013. | |||||||||||||||||
Mortgage loans held-for-investment in securitization trusts - The Company recognizes on its condensed consolidated balance sheet mortgage loans held-for-investment in securitization trusts that are carried at fair value as a result of a fair value option election. The Company determines fair value of its mortgage loans based on prices obtained from third-party pricing providers and other applicable market data. If observable market prices are not available or insufficient to determine fair value due principally to illiquidity in the marketplace, then fair value is based upon cash flow models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels and credit losses). The Company classified 100% of its mortgage loans held-for-investment in securitization trusts as Level 2 fair value assets at September 30, 2013. | |||||||||||||||||
Mortgage servicing rights - The Company holds a portfolio of MSRs that are carried at fair value and included in other assets on the condensed consolidated balance sheet. As there are limited MSR transactions that are directly observable in the market, the Company determines fair value of its MSRs based upon cash flow models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels and discount rates). The Company classified 100% of its MSRs as Level 3 fair value assets at September 30, 2013. | |||||||||||||||||
Derivative instruments - The Company may enter into a variety of derivative financial instruments as part of its hedging strategies. The Company principally executes over-the-counter, or OTC, derivative contracts, such as interest rate swaps, swaptions, and credit default swaps. The Company utilizes third-party pricing providers to value its financial derivative instruments. The Company classified 100% of the interest rate swaps, swaptions and credit default swaps reported at fair value as Level 2 at September 30, 2013. | |||||||||||||||||
The Company also enters into certain other derivative financial instruments, such as TBAs and inverse interest-only securities. These instruments are similar in form to the Company’s AFS securities and the Company utilizes a pricing service for TBAs and broker quotes for inverse interest-only securities to value these instruments. The Company classified 100% of its inverse interest-only securities at fair value as Level 2 at September 30, 2013. The Company reported 100% of its TBAs as Level 1 as of September 30, 2013. | |||||||||||||||||
The Company may also enter into forward purchase commitments on mortgage loans whereby the Company commits to purchasing the loans at a particular interest rate. The fair value of these derivatives is determined based on prices obtained from third-party price providers. Fallout assumptions if the borrower elects not to close the loan are applied to the third-party pricing. The Company did not hold any forward purchase commitments as of September 30, 2013. | |||||||||||||||||
The Company’s risk management committee governs trading activity relating to derivative instruments. The Company’s policy is to minimize credit exposure related to financial derivatives used for hedging by limiting the hedge counterparties to major banks, financial institutions, exchanges, and private investors who meet established capital and credit guidelines as well as by limiting the amount of exposure to any individual counterparty. | |||||||||||||||||
The Company has netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by ISDA. Additionally, both the Company and the counterparty are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparty. Posting of cash collateral typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash collateral posting at low posting thresholds, credit exposure to the Company and/or to the counterparty is considered materially mitigated. Based on the Company’s assessment, there is no requirement for any additional adjustment to derivative valuations specifically for credit. | |||||||||||||||||
Collateralized borrowings in securitization trusts - The Company recognizes on its condensed consolidated balance sheet collateralized borrowings that are carried at fair value as a result of a fair value option election. The Company determines fair value of its collateralized borrowings based on prices obtained from third-party pricing providers, broker quotes received and other applicable market data. If observable market prices are not available or insufficient to determine fair value due to principally illiquidity in the marketplace, then fair value is based upon internally developed models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels, and credit losses). The Company classified 100% of its collateralized borrowings in securitization trusts as Level 2 fair value assets at September 30, 2013. | |||||||||||||||||
The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities. | |||||||||||||||||
Recurring Fair Value Measurements | |||||||||||||||||
At September 30, 2013 | |||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | |||||||||||||||||
Available-for-sale securities | $ | — | $ | 12,672,233 | $ | — | $ | 12,672,233 | |||||||||
Trading securities | 1,000,625 | — | — | 1,000,625 | |||||||||||||
Mortgage loans held-for-sale | — | 119,607 | 440,130 | 559,737 | |||||||||||||
Mortgage loans held-for-investment in securitization trusts | — | 804,988 | — | 804,988 | |||||||||||||
Derivative assets | 21,896 | 522,619 | — | 544,515 | |||||||||||||
Mortgage servicing rights | — | — | 15,703 | 15,703 | |||||||||||||
Total assets | $ | 1,022,521 | $ | 14,119,447 | $ | 455,833 | $ | 15,597,801 | |||||||||
Liabilities | |||||||||||||||||
Collateralized borrowings in securitization trusts | $ | — | $ | 649,082 | $ | — | $ | 649,082 | |||||||||
Derivative liabilities | 34,634 | 39,193 | — | 73,827 | |||||||||||||
Total liabilities | $ | 34,634 | $ | 688,275 | $ | — | $ | 722,909 | |||||||||
Recurring Fair Value Measurements | |||||||||||||||||
At December 31, 2012 | |||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | |||||||||||||||||
Available-for-sale securities | $ | — | $ | 13,665,083 | $ | 1,871 | $ | 13,666,954 | |||||||||
Trading securities | 1,002,062 | — | — | 1,002,062 | |||||||||||||
Equity securities | 335,638 | — | — | 335,638 | |||||||||||||
Mortgage loans held-for-sale | — | 58,607 | — | 58,607 | |||||||||||||
Derivative assets | 1,917 | 460,163 | — | 462,080 | |||||||||||||
Total assets | $ | 1,339,617 | $ | 14,183,853 | $ | 1,871 | $ | 15,525,341 | |||||||||
Liabilities | |||||||||||||||||
Derivative liabilities | $ | 239 | $ | 129,055 | $ | — | $ | 129,294 | |||||||||
Total liabilities | $ | 239 | $ | 129,055 | $ | — | $ | 129,294 | |||||||||
The Company may be required to measure certain assets or liabilities at fair value from time to time. These periodic fair value measures typically result from application of certain impairment measures under GAAP. These items would constitute nonrecurring fair value measures under ASC 820. As of September 30, 2013, the Company did not have any assets or liabilities measured at fair value on a nonrecurring basis in the periods presented. | |||||||||||||||||
The valuation of Level 3 instruments requires significant judgment by the third-party pricing providers and/or management. The third-party pricing providers and/or management rely on inputs such as market price quotations from market makers (either market or indicative levels), original transaction price, recent transactions in the same or similar instruments, and changes in financial ratios or cash flows to determine fair value. Level 3 instruments may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the third-party pricing provider in the absence of market information. Assumptions used by the third-party pricing provider due to lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s financial statements. The Company’s valuation committee reviews all valuations that are based on pricing information received from a third-party pricing provider. As part of this review, prices are compared against other pricing or input data points in the marketplace, along with internal valuation expertise, to ensure the pricing is reasonable. In addition, the Company performs back-testing of pricing information to validate price information and identify any pricing trends of a third-party price provider. | |||||||||||||||||
In determining fair value, third-party pricing providers use various valuation approaches, including market and income approaches. Inputs that are used in determining fair value of an instrument may include pricing information, credit data, volatility statistics, and other factors. In addition, inputs can be either observable or unobservable. | |||||||||||||||||
The availability of observable inputs can vary by instrument and is affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument. The third-party pricing provider uses prices and inputs that are current as of the measurement date, including during periods of market dislocations. In periods of market dislocation, the availability of prices and inputs may be reduced for many instruments. This condition could cause an instrument to be reclassified to or from various levels within the fair value hierarchy. | |||||||||||||||||
Securities for which market quotations are readily available are valued at the bid price (in the case of long positions) or the ask price (in the case of short positions) at the close of trading on the date as of which value is determined. Exchange-traded securities for which no bid or ask price is available are valued at the last traded price. OTC derivative contracts, including interest rate swaps, swaptions, and credit default swaps, are valued by the Company using observable inputs, specifically quotations received from third-party pricing providers, and are therefore classified within Level 2. | |||||||||||||||||
The table below presents the reconciliation for all of the Company’s Level 3 assets and liabilities measured at fair value on a recurring basis. The Level 3 items presented below may be hedged by derivatives and other financial instruments that are classified as Level 1 or Level 2. Thus, the tables below do not fully reflect the impact of the Company’s risk management activities. | |||||||||||||||||
Level 3 Recurring Fair Value Measurements | |||||||||||||||||
Three Months Ended September 30, 2013 | |||||||||||||||||
Assets | |||||||||||||||||
(in thousands) | Available-For-Sale Securities | Mortgage Loans Held-For-Sale | Mortgage Servicing Rights | ||||||||||||||
Beginning of period level 3 fair value | $ | — | $ | 438,193 | $ | 1,452 | |||||||||||
Gains/(losses) included in net income: | |||||||||||||||||
Realized gains (losses) | — | (1) | 211 | — | |||||||||||||
Unrealized gains (losses) | — | 7,588 | (2) | 861 | |||||||||||||
Total net gains/(losses) included in net income | — | 7,799 | 861 | ||||||||||||||
Other comprehensive income | — | — | — | ||||||||||||||
Purchases | — | 175 | 13,390 | ||||||||||||||
Sales | — | — | — | ||||||||||||||
Settlements | — | (6,037 | ) | — | |||||||||||||
Gross transfers into level 3 | — | — | — | ||||||||||||||
Gross transfers out of level 3 | — | — | — | ||||||||||||||
End of period level 3 fair value | $ | — | $ | 440,130 | $ | 15,703 | |||||||||||
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | $ | — | $ | 7,588 | (3) | $ | 861 | ||||||||||
Level 3 Recurring Fair Value Measurements | |||||||||||||||||
Nine Months Ended September 30, 2013 | |||||||||||||||||
Assets | |||||||||||||||||
(in thousands) | Available-For-Sale Securities | Mortgage Loans Held-For-Sale | Mortgage Servicing Rights | ||||||||||||||
Beginning of period level 3 fair value | $ | 1,871 | $ | — | $ | — | |||||||||||
Gains/(losses) included in net income: | |||||||||||||||||
Realized gains (losses) | 74 | (1) | 633 | — | |||||||||||||
Unrealized gains (losses) | — | 8,762 | (2) | 816 | |||||||||||||
Total net gains/(losses) included in net income | 74 | 9,395 | 816 | ||||||||||||||
Other comprehensive income | 1,426 | — | — | ||||||||||||||
Purchases | — | 440,243 | 14,887 | ||||||||||||||
Sales | — | — | — | ||||||||||||||
Settlements | — | (9,508 | ) | — | |||||||||||||
Gross transfers into level 3 | 3,000 | — | — | ||||||||||||||
Gross transfers out of level 3 | (6,371 | ) | — | — | |||||||||||||
End of period level 3 fair value | $ | — | $ | 440,130 | $ | 15,703 | |||||||||||
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | $ | — | $ | 8,762 | (3) | $ | 816 | ||||||||||
___________________ | |||||||||||||||||
-1 | For the three and nine months ended September 30, 2013, the realized gains on available-for-sale securities represent net (premium amortization)/discount accretion recorded in interest income on the condensed consolidated statements of comprehensive income. | ||||||||||||||||
-2 | For the three and nine months ended September 30, 2013, the change in unrealized gains or losses on mortgage loans held-for-sale was recorded in (loss) gain on mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income. | ||||||||||||||||
-3 | For the three and nine months ended September 30, 2013, the change in unrealized gains or losses on mortgage loans held-for-sale that were held at the end of the reporting period were recorded in (loss) gain on mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income. | ||||||||||||||||
The Company transferred one Level 2 asset in the amount of $3.0 million into Level 3 during the three months ended March 31, 2013. The asset was deemed to be Level 3 based on the limited availability of third-party pricing. However, during the nine months ended September 30, 2013, the Company transferred this asset along with two other Level 3 assets in the amount of $6.4 million into Level 2. The assets were deemed to be Level 2 based on the availability of third-party pricing and corroborating market data. The Company did not incur transfers between Level 1 and Level 2 for the nine months ended September 30, 2013. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place. | |||||||||||||||||
The Company used a third-party pricing provider in the fair value measurement of its Level 3 mortgage loans held-for-sale. The significant unobservable inputs used by the third-party pricing provider included expected default, severity and discount rate. Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. | |||||||||||||||||
The table below presents information about the significant unobservable inputs used in the fair value measurement of the Company’s MSRs classified as Level 3 fair value assets at September 30, 2013: | |||||||||||||||||
As of September 30, 2013 | |||||||||||||||||
(in thousands) | Fair Value | Valuation Technique | Unobservable Input (1) | Range | Weighted Average | ||||||||||||
Mortgage servicing rights | $ | 15,703 | Discounted cash flow | Constant prepayment speed | 6 | - | 11 | % | 8.5 | % | |||||||
Delinquency | 3 | - | 10 | % | 5 | % | |||||||||||
Discount rate | 8 | - | 14 | % | 11.3 | % | |||||||||||
___________________ | |||||||||||||||||
-1 | Significant increases/(decreases) in any of the inputs in isolation may result in significantly lower/(higher) fair value measurement. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the the probability of delinquency and a directionally opposite change in the assumption used for prepayment rates. | ||||||||||||||||
Fair Value Option for Financial Assets and Financial Liabilities | |||||||||||||||||
The Company elected the fair value option for the residential mortgage loans it acquired. The fair value option was elected to mitigate earnings volatility by better matching the accounting for the assets with the related hedges. The residential mortgage loans are carried within mortgage loans held-for-sale on the condensed consolidated balance sheet. The Company’s policy is to separately record interest income on these fair value elected loans. Upfront fees and costs related to the fair value elected loans are not deferred or capitalized. Fair value adjustments are reported in (loss) gain on mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income. The fair value option is irrevocable once the loan is acquired. | |||||||||||||||||
The Company elected the fair value option for the equity securities carried on the condensed consolidated balance sheet at December 31, 2012, which consist solely of shares of Silver Bay common stock. The Company determined fair value of these equity securities based on the closing market price at period end. Fair value adjustments are reported in (loss) gain on investment securities on the condensed consolidated statements of comprehensive income. | |||||||||||||||||
The Company also elected the fair value option for both the mortgage loans held-for-investment in securitization trusts and the collateralized borrowings in securitization trusts carried on the condensed consolidated balance sheet. The fair value option was elected to better reflect the economics of the Company’s retained interests. The Company’s policy is to separately record interest income on the fair value elected loans and interest expense on the fair value elected borrowings. Upfront fees and costs are not deferred or capitalized. Fair value adjustments are reported in other income on the condensed consolidated statements of comprehensive income. | |||||||||||||||||
The following table summarizes the fair value option elections and information regarding the amounts recognized in earnings for each fair value option-elected item. | |||||||||||||||||
Changes included in the Condensed Consolidated Statements of Comprehensive Income | |||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||||
(in thousands) | |||||||||||||||||
Interest income: | |||||||||||||||||
Interest income on mortgage loans held-for-sale (1) | $ | 9,297 | $ | 167 | $ | 15,409 | $ | 362 | |||||||||
Interest income on mortgage loans held-for-investment in securitization trusts (1) | 5,649 | — | 11,672 | — | |||||||||||||
Interest expense: | |||||||||||||||||
Interest expense on collateralized borrowings in securitization trusts | (3,125 | ) | — | (6,112 | ) | — | |||||||||||
Other income: | |||||||||||||||||
Realized loss on mortgage loans held-for-sale (2) | (10,456 | ) | (23 | ) | (10,221 | ) | (45 | ) | |||||||||
Unrealized gain on mortgage loans held-for-sale (2) | 6,013 | 34 | 4,974 | 59 | |||||||||||||
Unrealized gain (loss) on mortgage loans held-for-investment in securitization trusts (3) | 1,698 | — | (23,059 | ) | — | ||||||||||||
Unrealized gain on collateralized borrowings in securitization trusts (3) | 7,076 | — | 39,680 | — | |||||||||||||
Realized gain on equity securities (4) | — | — | 13,725 | — | |||||||||||||
Unrealized loss on equity securities (4) | — | — | (5,882 | ) | — | ||||||||||||
Total included in net income | $ | 16,152 | $ | 178 | $ | 40,186 | $ | 376 | |||||||||
Change in fair value due to credit risk | $ | — | $ | — | $ | — | $ | — | |||||||||
____________________ | |||||||||||||||||
-1 | Interest income on mortgage loans held-for-sale and mortgage loans held-for-investment in securitization trusts is measured by multiplying the unpaid principal balance on the loans by the coupon rate and the number of days of interest due. | ||||||||||||||||
-2 | Realized loss and unrealized gain on mortgage loans held-for-sale are recorded in (loss) gain on mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income. | ||||||||||||||||
-3 | Unrealized gain (loss) on mortgage loans held-for-investment in securitization trusts and unrealized gain on collateralized borrowings in securitization trusts are recorded in other income on the condensed consolidated statements of comprehensive income. | ||||||||||||||||
-4 | Realized gain and unrealized loss on equity securities are recorded in (loss) gain on investment securities on the condensed consolidated statements of comprehensive income. | ||||||||||||||||
The table below provides the fair value and the unpaid principal balance for the Company’s fair value option-elected loans and collateralized borrowings. | |||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||
(in thousands) | Unpaid Principal Balance | Fair Value (1) | Unpaid Principal Balance | Fair Value (1) | |||||||||||||
Mortgage loans held-for-sale | |||||||||||||||||
Total loans | $ | 688,620 | $ | 559,737 | $ | 56,976 | $ | 58,607 | |||||||||
Nonaccrual loans | $ | 70,382 | $ | 55,782 | $ | — | $ | — | |||||||||
Loans 90+ days past due | $ | 47,086 | $ | 37,303 | $ | — | $ | — | |||||||||
Mortgage loans held-for-investment in securitization trusts | |||||||||||||||||
Total loans | $ | 825,285 | $ | 804,988 | $ | — | $ | — | |||||||||
Nonaccrual loans | $ | — | $ | — | $ | — | $ | — | |||||||||
Loans 90+ days past due | $ | — | $ | — | $ | — | $ | — | |||||||||
Collateralized borrowings in securitization trusts | |||||||||||||||||
Total borrowings | $ | 698,150 | $ | 649,082 | $ | — | $ | — | |||||||||
____________________ | |||||||||||||||||
-1 | Excludes accrued interest receivable. | ||||||||||||||||
Fair Value of Financial Instruments | |||||||||||||||||
In accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the condensed consolidated balance sheet, for which fair value can be estimated. | |||||||||||||||||
The following describes the Company’s methods for estimating the fair value for financial instruments. Descriptions are not provided for those items that have zero balances as of the current balance sheet date. | |||||||||||||||||
• | AFS securities, trading securities, equity securities, mortgage loans held-for-sale, mortgage loans held-for-investment in securitization trusts, MSRs, derivative assets and liabilities, and collateralized borrowings in securitization trusts are recurring fair value measurements; carrying value equals fair value. See discussion of valuation methods and assumptions within the Fair Value Measurements section of this footnote. | ||||||||||||||||
• | Cash and cash equivalents and restricted cash have a carrying value which approximates fair value because of the short maturities of these instruments. The Company categorizes the fair value measurement of these assets as Level 1. | ||||||||||||||||
• | The carrying value of repurchase agreements that mature in less than one year generally approximates fair value due to the short maturities. The Company holds $200.0 million of repurchase agreements that are considered long-term. The Company’s long-term repurchase agreements have floating rates based on an index plus a spread and the credit spread is typically consistent with those demanded in the market. Accordingly, the interest rates on these borrowings are at market and thus carrying value approximates fair value. The Company categorizes the fair value measurement of these liabilities as Level 1. | ||||||||||||||||
The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at September 30, 2013 and December 31, 2012. | |||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||
(in thousands) | Carrying Value | Fair Value | Carrying Value | Fair Value | |||||||||||||
Assets | |||||||||||||||||
Available-for-sale securities | $ | 12,672,233 | $ | 12,672,233 | $ | 13,666,954 | $ | 13,666,954 | |||||||||
Trading securities | 1,000,625 | 1,000,625 | 1,002,062 | 1,002,062 | |||||||||||||
Equity securities | — | — | 335,638 | 335,638 | |||||||||||||
Mortgage loans held-for-sale | 559,737 | 559,737 | 58,607 | 58,607 | |||||||||||||
Mortgage loans held-for-investment in securitization trusts | 804,988 | 804,988 | — | — | |||||||||||||
Cash and cash equivalents | 723,160 | 723,160 | 821,108 | 821,108 | |||||||||||||
Restricted cash | 678,328 | 678,328 | 302,322 | 302,322 | |||||||||||||
Derivative assets | 544,515 | 544,515 | 462,080 | 462,080 | |||||||||||||
Mortgage servicing rights | 15,703 | 15,703 | — | — | |||||||||||||
Liabilities | |||||||||||||||||
Repurchase agreements | $ | 12,152,065 | $ | 12,152,065 | $ | 12,624,510 | $ | 12,624,510 | |||||||||
Collateralized borrowings in securitization trusts | 649,082 | 649,082 | — | — | |||||||||||||
Derivative liabilities | 73,827 | 73,827 | 129,294 | 129,294 | |||||||||||||
Repurchase_Agreements_Notes
Repurchase Agreements (Notes) | 9 Months Ended | |||||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||||
Repurchase Agreements [Abstract] | ' | |||||||||||||||||||||||||||
Repurchase Agreements | ' | |||||||||||||||||||||||||||
Repurchase Agreements | ||||||||||||||||||||||||||||
The Company had outstanding $12.2 billion of repurchase agreements, including repurchase agreements funding the Company’s U.S. Treasuries of $996.3 million. Excluding the debt associated with the Company’s U.S. Treasuries and the effect of the Company’s interest rate swaps, the repurchase agreements had a weighted average borrowing rate of 0.71% and weighted average remaining maturities of 76 days as of September 30, 2013. The Company had outstanding $12.6 billion of repurchase agreements with a weighted average borrowing rate of 0.76%, excluding the debt associated with the Company’s U.S. Treasuries and the effect of the Company’s interest rate swaps, and weighted average remaining maturities of 85 days as of December 31, 2012. As of September 30, 2013 and December 31, 2012, the debt associated with the Company’s U.S. Treasuries had a weighted average borrowing rate of 0.09% and 0.30%, respectively. | ||||||||||||||||||||||||||||
At September 30, 2013 and December 31, 2012, the repurchase agreement balances were as follows: | ||||||||||||||||||||||||||||
(in thousands) | September 30, | December 31, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||||
Short-term | $ | 11,952,065 | $ | 12,424,510 | ||||||||||||||||||||||||
Long-term | 200,000 | 200,000 | ||||||||||||||||||||||||||
Total | $ | 12,152,065 | $ | 12,624,510 | ||||||||||||||||||||||||
At September 30, 2013 and December 31, 2012, the repurchase agreements had the following characteristics: | ||||||||||||||||||||||||||||
(dollars in thousands) | September 30, 2013 | December 31, 2012 | ||||||||||||||||||||||||||
Collateral Type | Amount Outstanding | Weighted Average Borrowing Rate | Amount Outstanding | Weighted Average Borrowing Rate | ||||||||||||||||||||||||
U.S. Treasuries | $ | 996,250 | 0.09 | % | $ | 997,500 | 0.3 | % | ||||||||||||||||||||
Agency RMBS AFS | 9,251,556 | 0.45 | % | 10,171,385 | 0.54 | % | ||||||||||||||||||||||
Non-Agency RMBS | 1,714,491 | 2.07 | % | 1,177,675 | 2.5 | % | ||||||||||||||||||||||
Agency derivatives | 173,579 | 1.02 | % | 228,241 | 1.16 | % | ||||||||||||||||||||||
Mortgage loans held-for-sale | 16,189 | 2.55 | % | 49,709 | 2.46 | % | ||||||||||||||||||||||
Total | $ | 12,152,065 | 0.66 | % | $ | 12,624,510 | 0.72 | % | ||||||||||||||||||||
At September 30, 2013 and December 31, 2012, the repurchase agreements had the following remaining maturities: | ||||||||||||||||||||||||||||
(in thousands) | September 30, | December 31, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||||
Within 30 days | $ | 2,911,117 | $ | 3,038,229 | ||||||||||||||||||||||||
30 to 59 days | 4,730,641 | 3,528,393 | ||||||||||||||||||||||||||
60 to 89 days | 88,560 | 1,731,595 | ||||||||||||||||||||||||||
90 to 119 days | 1,566,860 | 849,621 | ||||||||||||||||||||||||||
120 to 364 days | 1,658,637 | 2,279,172 | ||||||||||||||||||||||||||
Open maturity (1) | 996,250 | 997,500 | ||||||||||||||||||||||||||
One year and over (2) | 200,000 | 200,000 | ||||||||||||||||||||||||||
Total | $ | 12,152,065 | $ | 12,624,510 | ||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||
-1 | Repurchase agreements collateralized by U.S. Treasuries include an open maturity period (i.e., rolling 1-day maturity) renewable at the discretion of either party to the agreements. | |||||||||||||||||||||||||||
-2 | One year and over includes repurchase agreements with maturity dates ranging from June 26, 2015 to June 27, 2016. | |||||||||||||||||||||||||||
The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of repurchase agreements: | ||||||||||||||||||||||||||||
(in thousands) | September 30, | December 31, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||||
Available-for-sale securities, at fair value | $ | 12,239,599 | $ | 12,810,355 | ||||||||||||||||||||||||
Trading securities, at fair value | 1,000,625 | 1,002,062 | ||||||||||||||||||||||||||
Mortgage loans held-for-sale | 18,982 | 52,529 | ||||||||||||||||||||||||||
Cash and cash equivalents | 15,000 | 10,000 | ||||||||||||||||||||||||||
Restricted cash | 259,642 | 84,307 | ||||||||||||||||||||||||||
Due from counterparties | 103,682 | 36,917 | ||||||||||||||||||||||||||
Derivative assets, at fair value | 221,402 | 291,054 | ||||||||||||||||||||||||||
Total | $ | 13,858,932 | $ | 14,287,224 | ||||||||||||||||||||||||
Although the transactions under repurchase agreements represent committed borrowings until maturity, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral or fund margin calls. | ||||||||||||||||||||||||||||
The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||||||||||||||
(dollars in thousands) | Amount Outstanding | Net Counterparty Exposure (1) | Percent of Equity | Weighted Average Days to Maturity | Amount Outstanding | Net Counterparty Exposure (1) | Percent of Equity | Weighted Average Days to Maturity | ||||||||||||||||||||
Barclays Capital Inc. | $ | 1,293,826 | $ | 300,824 | 8 | % | 41.1 | $ | 1,127,888 | $ | 257,858 | 7 | % | 90.3 | ||||||||||||||
All other counterparties (2) (3) | 9,861,989 | 1,381,138 | 37 | % | 81 | 10,499,122 | 1,403,268 | 41 | % | 84 | ||||||||||||||||||
Total | $ | 11,155,815 | $ | 1,681,962 | $ | 11,627,010 | $ | 1,661,126 | ||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||
-1 | Represents the net carrying value of the securities and mortgage loans held-for-sale sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest. At September 30, 2013 and December 31, 2012, the Company had $43.5 million and $291.7 million, respectively, in payables due to broker counterparties for unsettled securities purchases. The payables are not included in the amounts presented above. | |||||||||||||||||||||||||||
-2 | Excludes $996.3 million of repurchase agreements collateralized by U.S. Treasuries with a rolling 1-day maturity. | |||||||||||||||||||||||||||
-3 | Represents amounts outstanding with 20 and 21 counterparties at September 30, 2013 and December 31, 2012, respectively. | |||||||||||||||||||||||||||
The Company does not anticipate any defaults by its repurchase agreement counterparties. |
Collateralized_Borrowings_in_S
Collateralized Borrowings in Securitization Trust, at Fair Value Collateralized Borrowings in Securitization Trust, at Fair Value (Notes) | 9 Months Ended |
Sep. 30, 2013 | |
Collateralized Borrowings in Securitization Trust, at Fair Value [Abstract] | ' |
Debt Disclosure [Text Block] | ' |
Collateralized Borrowings in Securitization Trusts, at Fair Value | |
During the nine months ended September 30, 2013, the Company purchased subordinated debt and excess servicing rights from a securitization trust issued by a third party. Also during the nine months ended September 30, 2013, the Company purchased subordinated debt and excess servicing rights from a securitization trust sponsored by a subsidiary of the Company. The debt associated with the underlying residential mortgage loans held at the trusts, which are consolidated on the Company’s condensed consolidated balance sheet, is classified as collateralized borrowings in securitization trusts and carried at fair value as a result of a fair value option election. See Note 3 - Variable Interest Entities for additional information regarding consolidation of the securitization trusts. As of September 30, 2013, the collateralized borrowings in securitization trusts had a carrying value of $649.1 million with a weighted average interest rate of 2.79%. The stated maturity dates for all collateralized borrowings are greater than five years from September 30, 2013. No collateralized borrowings were outstanding as of December 31, 2012. |
Stockholders_Equity_Notes
Stockholders' Equity (Notes) | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||
Stockholders' Equity Attributable to Parent [Abstract] | ' | ||||||||||||||||||
Stockholders' Equity | ' | ||||||||||||||||||
Stockholders’ Equity | |||||||||||||||||||
Distributions to Stockholders | |||||||||||||||||||
The following table presents cash dividends declared by the Company on its common stock from October 28, 2009 through September 30, 2013: | |||||||||||||||||||
Declaration Date | Record Date | Payment Date | Cash Dividend Per Share | ||||||||||||||||
September 11, 2013 | September 26, 2013 | October 23, 2013 | $ | 0.28 | |||||||||||||||
June 18, 2013 | June 28, 2013 | July 23, 2013 | $ | 0.31 | |||||||||||||||
March 18, 2013 | April 2, 2013 | April 24, 2013 | $ | 0.32 | |||||||||||||||
December 17, 2012 | December 31, 2012 | January 18, 2013 | $ | 0.55 | |||||||||||||||
September 12, 2012 | September 24, 2012 | October 22, 2012 | $ | 0.36 | |||||||||||||||
June 12, 2012 | June 22, 2012 | July 20, 2012 | $ | 0.4 | |||||||||||||||
March 14, 2012 | March 26, 2012 | April 20, 2012 | $ | 0.4 | |||||||||||||||
December 14, 2011 | December 27, 2011 | January 20, 2012 | $ | 0.4 | |||||||||||||||
September 14, 2011 | September 26, 2011 | October 20, 2011 | $ | 0.4 | |||||||||||||||
June 14, 2011 | June 24, 2011 | July 20, 2011 | $ | 0.4 | |||||||||||||||
March 2, 2011 | March 14, 2011 | April 14, 2011 | $ | 0.4 | |||||||||||||||
December 8, 2010 | December 17, 2010 | January 20, 2011 | $ | 0.4 | |||||||||||||||
September 13, 2010 | September 30, 2010 | October 21, 2010 | $ | 0.39 | |||||||||||||||
June 14, 2010 | June 30, 2010 | July 22, 2010 | $ | 0.33 | |||||||||||||||
March 12, 2010 | March 31, 2010 | April 23, 2010 | $ | 0.36 | |||||||||||||||
December 21, 2009 | December 31, 2009 | January 26, 2010 | $ | 0.26 | |||||||||||||||
Special Dividend of Silver Bay Common Stock | |||||||||||||||||||
On March 18, 2013, the Company’s board of directors declared a special dividend pursuant to which the 17,824,647 shares of Silver Bay common stock the Company received in exchange for the contribution of its equity interests in Two Harbors Property Investment LLC to Silver Bay on December 19, 2012 would be distributed, on a pro rata basis, to the Company’s stockholders of record at the close of business on April 2, 2013. The final distribution ratio for the stock dividend was determined to be 0.048825853 shares of Silver Bay common stock for each share of the Company’s common stock outstanding as of April 2, 2013. The dividend was paid on or about April 24, 2013. | |||||||||||||||||||
Accumulated Other Comprehensive Income | |||||||||||||||||||
Accumulated other comprehensive income at September 30, 2013 and December 31, 2012 was as follows: | |||||||||||||||||||
(in thousands) | September 30, | December 31, | |||||||||||||||||
2013 | 2012 | ||||||||||||||||||
Available-for-sale securities, at fair value | |||||||||||||||||||
Unrealized gains | $ | 693,225 | $ | 724,696 | |||||||||||||||
Unrealized losses | (180,451 | ) | (28,238 | ) | |||||||||||||||
Accumulated other comprehensive income | $ | 512,774 | $ | 696,458 | |||||||||||||||
Reclassifications out of Accumulated Other Comprehensive Income | |||||||||||||||||||
The following table summarizes reclassifications out of accumulated other comprehensive income for the three and nine months ended September 30, 2013 and 2012: | |||||||||||||||||||
(in thousands) | Affected Line Item in the Condensed Consolidated Statements of Comprehensive Income | Amount Reclassified out of Accumulated Other Comprehensive Income | |||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||||||
Other-than-temporary-impairments on AFS securities | Total other-than-temporary impairment losses | $ | — | $ | 559 | $ | 1,662 | $ | 9,310 | ||||||||||
Realized (gains) losses on sales of AFS securities | (Loss) gain on investment securities | 187,007 | 803 | 123,089 | (6,342 | ) | |||||||||||||
$ | 187,007 | $ | 1,362 | $ | 124,751 | $ | 2,968 | ||||||||||||
Public Offering | |||||||||||||||||||
On March 22, 2013, the Company completed a public offering of 50,000,000 shares of its common stock and issued an additional 7,500,000 shares of common stock pursuant to the underwriters’ over-allotments at a price of $13.46 per share, for gross proceeds of approximately $774.0 million. Net proceeds to the Company were approximately $762.9 million, net of issuance costs of approximately $11.1 million. | |||||||||||||||||||
Dividend Reinvestment and Direct Stock Purchase Plan | |||||||||||||||||||
The Company sponsors a dividend reinvestment and direct stock purchase plan through which stockholders may purchase additional shares of the Company’s common stock by reinvesting some or all of the cash dividends received on shares of the Company’s common stock. Stockholders may also make optional cash purchases of shares of the Company’s common stock subject to certain limitation detailed in the plan prospectus. An aggregate of 7.5 million shares of the Company’s common stock were originally reserved for issuance under the plan. As of September 30, 2013, 138,036 shares have been issued under the plan for total proceeds of $1.5 million. | |||||||||||||||||||
Share Repurchase Program | |||||||||||||||||||
On October 5, 2011, the Company’s board of directors authorized a share repurchase program, which allows the Company to repurchase up to 10,000,000 shares of its common stock. On November 14, 2012, the board of directors authorized an increase in the share repurchase program of 15,000,000, for a total of 25,000,000 shares. Shares may be repurchased from time to time through privately negotiated transactions or open market transactions, pursuant to a trading plan in accordance with Rules 10b5-1 and 10b-18 under the Securities Exchange Act of 1934, as amended, or the Exchange Act, or by any combination of such methods. The manner, price, number and timing of share repurchases will be subject to a variety of factors, including market conditions and applicable SEC rules. As of September 30, 2013, 2,450,700 shares had been repurchased by the Company under the program for a total cost of $23.9 million. | |||||||||||||||||||
At-the-Market Offering | |||||||||||||||||||
On May 25, 2012, the Company entered into an equity distribution agreement under which the Company may sell up to an aggregate of 20,000,000 shares of its common stock from time to time in any method permitted by law deemed to be an “at the market” offering as defined in Rule 415 under the Securities Act of 1933, as amended, or the Securities Act. As of September 30, 2013, 7,585,869 shares of common stock have been sold under the equity distribution agreement for total accumulated net proceeds of approximately $77.6 million; however, no shares were sold during the nine months ended September 30, 2013. | |||||||||||||||||||
Warrants | |||||||||||||||||||
From January 1, 2013 to April 2, 2013, warrant holders exercised 8,720,690 warrants to purchase 8,720,690 shares of the Company’s common stock, at an exercise price of $11.00 per share. | |||||||||||||||||||
On April 2, 2013, the exercise price of the warrants was lowered to $10.25 per warrant share and the number of shares of the Company’s common stock issuable for each warrant share exercised was increased to 1.0727 shares. These adjustments were required under the terms of the warrant agreement as a result of the special dividend of Silver Bay common stock. Calculation of the adjustments was determined based on, among other things, the closing price of the Company’s common stock on the business day immediately preceding the ex-dividend date for the stock dividend and the fair market value of the stock dividend to be received for each share of the Company’s common stock on the ex-dividend date. | |||||||||||||||||||
From April 3, 2013 to September 30, 2013, warrant holders exercised 619,370 warrants to purchase 664,365 shares of the Company’s common stock, at an exercise price of $10.25 per share. Total proceeds to the Company for warrant exercises during the nine months ended September 30, 2013 were approximately $102.3 million. | |||||||||||||||||||
Additionally, certain Capitol founders holding warrants containing cashless exercise provisions exercised 100,000 warrants on a cashless basis, resulting in the surrender of 93,649 shares of common stock and the issuance of 6,351 shares of common stock during the nine months ended September 30, 2013. No proceeds were received by the Company as a result of the cashless exercises. | |||||||||||||||||||
As of September 30, 2013, 4,091,369 warrants to purchase approximately 4,388,811 shares of common stock remained outstanding and will expire at 5:00 p.m. EST on November 7, 2013, pursuant to the terms of the warrant agreement. |
Equity_Incentive_Plan_Equity_I
Equity Incentive Plan Equity Incentive Plan (Notes) | 9 Months Ended |
Sep. 30, 2013 | |
Equity Incentive Plan [Abstract] | ' |
Disclosure of Compensation Related Costs, Share-based Payments [Text Block] | ' |
Equity Incentive Plan | |
In 2009, the Company adopted an equity incentive plan, which provides incentive compensation to attract and retain qualified directors, officers, advisors, consultants and other personnel, including PRCM Advisers and affiliates and personnel of PRCM Advisers and its affiliates, and any joint venture affiliates of the Company. | |
On May 21, 2013, the Company’s stockholders approved the restated 2009 equity incentive plan, which effectuated, among other changes, an increase in the number of shares available for issuance under the plan by 2,800,000 shares of common stock from 200,000 to 3,000,000 shares of common stock. Other amendments provide for the possibility of making grants of equity-based compensation to the Company’s executive officers and other key employees of PRCM Advisers upon a determination by the compensation committee, and the implementation of certain best practices of equity-based compensation. | |
The restated 2009 equity incentive plan is administered by the compensation committee of the Company’s board of directors. The compensation committee has the full authority to administer and interpret the restated 2009 equity incentive plan, to authorize the granting of awards, to determine the eligibility of directors, officers, advisors, consultants and other personnel, including PRCM Advisers and affiliates and personnel of PRCM Advisers and its affiliates, and any joint venture affiliates of the Company, to receive an award, to determine the number of shares of common stock to be covered by each award (subject to the individual participant limitations provided in the restated 2009 equity incentive plan), to determine the terms, provisions and conditions of each award (which may not be inconsistent with the terms of the restated 2009 equity incentive plan), to prescribe the form of instruments evidencing awards and to take any other actions and make all other determinations that it deems necessary or appropriate in connection with the restated 2009 equity incentive plan or the administration or interpretation thereof. In connection with this authority, the compensation committee may, among other things, establish performance goals that must be met in order for awards to be granted or to vest, or for the restrictions on any such awards to lapse. | |
The Company’s restated 2009 equity incentive plan provides for grants of restricted common stock, phantom shares, dividend equivalent rights and other equity-based awards, subject to a ceiling of 3,000,000 shares available for issuance under the plan. The plan allows for the Company’s board of directors to expand the types of awards available under the plan to include long-term incentive plan units in the future. The maximum number of shares with respect to which any options may be granted in any one year to any eligible person may not exceed 500,000. The maximum number of shares that may underlie grants, other than grants of options, in any one year to any eligible person may not exceed 200,000. If an award granted under the restated 2009 equity incentive plan expires or terminates, the shares subject to any portion of the award that expires or terminates without having been exercised or paid, as the case may be, will again become available for the issuance of additional awards. Unless previously terminated by the Company’s board of directors, no new award may be granted under the restated 2009 equity incentive plan after the tenth anniversary of the date that such plan was initially approved by the Company’s board of directors. No award may be granted under the restated 2009 equity incentive plan to any person who, assuming payment of all awards held by such person, would own or be deemed to own more than 9.8% of the outstanding shares of the Company’s common stock. | |
On May 23, 2012 and May 21, 2013, the Company granted 32,021 and 36,335 shares of restricted common stock, respectively, to its independent directors pursuant to the 2009 equity incentive plan. The estimated fair value of these awards was $10.15 and $11.56 per share, respectively, based on the closing price of the Company’s common stock on such date. The grants vested immediately. Additionally, on May 29, 2013, the Company granted 1,020,969 shares of restricted common stock to its executive officers and other key employees of PRCM Advisers pursuant to the restated 2009 equity incentive plan. The estimated fair value of these awards was $11.23 per share on grant date, May 29, 2013, based on the closing price of the Company’s common stock on such date. However, as the cost of these awards is determined using fair value liability accounting in accordance with ASC 718, the fair value of these awards as of September 30, 2013 is $9.71 per share based on the closing price of the Company’s common stock on such date. The grants will vest in three annual installments commencing on the date of the grant, as long as such individual is employed on the vesting date. | |
For the three and nine months ended September 30, 2013, the Company recognized compensation costs related to restricted stock of $1.5 million and $2.5 million, respectively. For the three and nine months ended September 30, 2012, the Company recognized compensation costs related to restricted stock of $29,340 and $462,686, respectively. |
Other_Operating_Expenses_Notes
Other Operating Expenses (Notes) | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Operating Expenses [Abstract] | ' | |||||||||||||||
Other Operating Expenses | ' | |||||||||||||||
Other Operating Expenses | ||||||||||||||||
Components of the Company’s other operating expenses for the three and nine months ended September 30, 2013 and 2012, are presented in the following table: | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Other operating expenses: | ||||||||||||||||
General and administrative | $ | 7,754 | $ | 3,418 | $ | 20,069 | $ | 9,789 | ||||||||
Directors and officers’ insurance | 201 | 204 | 603 | 493 | ||||||||||||
Professional fees | 1,200 | 332 | 4,223 | 1,141 | ||||||||||||
Subservicing expenses | 862 | — | 1,169 | — | ||||||||||||
Total other operating expenses | $ | 10,017 | $ | 3,954 | $ | 26,064 | $ | 11,423 | ||||||||
Income_Taxes_Notes
Income Taxes (Notes) | 9 Months Ended |
Sep. 30, 2013 | |
Income Tax Disclosure [Abstract] | ' |
Income Taxes | ' |
Income Taxes | |
For the three and nine months ended September 30, 2013 and 2012, the Company qualified to be taxed as a REIT under the Code for U.S. federal income tax purposes. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes its net taxable income to stockholders, and does not engage in prohibited transactions. The majority of states also recognize the Company’s REIT status. The Company’s TRSs file separate tax returns and are fully taxed as standalone U.S. C-Corporations. It is assumed that the Company will retain its REIT status and will incur no REIT level taxation as it intends to comply with the REIT regulations and annual distribution requirements. | |
During the three and nine months ended September 30, 2013, the Company’s TRSs recognized a provision for income taxes of $23.7 million and $77.8 million, respectively. The significant change in the provision for income taxes in the quarter is related to the deferred tax on unrealized gains at one of the Company’s TRSs. During the three and nine months ended September 30, 2012, the Company’s TRSs recognized a benefit from income taxes of $7.8 million and $32.0 million, respectively. | |
Based on the Company’s evaluation, it has been concluded that there are no significant uncertain tax positions requiring recognition in the Company’s financial statements of a contingent tax liability for uncertain tax positions. |
Earnings_Per_Share_Notes
Earnings Per Share (Notes) | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Earnings Per Share [Abstract] | ' | |||||||||||||||
Earnings Per Share | ' | |||||||||||||||
Earnings Per Share | ||||||||||||||||
The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share, or EPS, for the three and nine months ended September 30, 2013 and 2012: | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(in thousands, except share data) | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Numerator: | ||||||||||||||||
Net (loss) income from continuing operations | $ | (193,599 | ) | $ | 29,476 | $ | 336,361 | $ | 105,507 | |||||||
Income (loss) from discontinued operations | 871 | (2,674 | ) | 3,264 | (2,901 | ) | ||||||||||
Net (loss) income attributable to common stockholders | $ | (192,728 | ) | $ | 26,802 | $ | 339,625 | $ | 102,606 | |||||||
Denominator: | ||||||||||||||||
Weighted average common shares outstanding | 364,032,788 | 269,972,503 | 345,046,012 | 224,015,418 | ||||||||||||
Weighted average restricted stock shares | 1,024,979 | 32,709 | 483,599 | 43,344 | ||||||||||||
Basic weighted average shares outstanding | 365,057,767 | 270,005,212 | 345,529,611 | 224,058,762 | ||||||||||||
Dilutive weighted average warrants | 109,225 | 932,748 | 840,747 | 310,916 | ||||||||||||
Diluted weighted average shares outstanding | 365,166,992 | 270,937,960 | 346,370,358 | 224,369,678 | ||||||||||||
Basic (Loss) Earnings Per Share: | ||||||||||||||||
Continuing operations | $ | (0.53 | ) | $ | 0.11 | $ | 0.97 | $ | 0.47 | |||||||
Discontinued operations | — | (0.01 | ) | 0.01 | (0.01 | ) | ||||||||||
Net (loss) income | $ | (0.53 | ) | $ | 0.1 | $ | 0.98 | $ | 0.46 | |||||||
Diluted (Loss) Earnings Per Share: | ||||||||||||||||
Continuing operations | $ | (0.53 | ) | $ | 0.11 | $ | 0.97 | $ | 0.47 | |||||||
Discontinued operations | — | (0.01 | ) | 0.01 | (0.01 | ) | ||||||||||
Net (loss) income | $ | (0.53 | ) | $ | 0.1 | $ | 0.98 | $ | 0.46 | |||||||
During the three and nine months ended September 30, 2013, the weighted average market value per share of the Company’s common stock, after factoring in the number of shares of the Company’s common stock issuable for each warrant of 1.0727 shares, was above the exercise price of the warrants, making the warrants dilutive. | ||||||||||||||||
During the three and nine months ended September 30, 2012, the weighted average market value per share of the Company’s common stock was above the exercise price of the warrants, making the warrants dilutive. |
Related_Party_Transactions_Not
Related Party Transactions (Notes) | 9 Months Ended |
Sep. 30, 2013 | |
Related Party Transactions [Abstract] | ' |
Related Party Transactions | ' |
Related Party Transactions | |
The following summary provides disclosure of the material transactions with affiliates of the Company. | |
In accordance with the Management Agreement with PRCM Advisers, the Company incurred $12.0 million and $33.7 million as a management fee to PRCM Advisers for the three and nine months ended September 30, 2013, respectively, which represents approximately 1.5% of stockholders’ equity on an annualized basis as defined by the Management Agreement. For purposes of calculating the management fee, stockholders’ equity is adjusted to exclude any common stock repurchases as well as any unrealized gains, losses or other items that do not affect realized net income, among other adjustments, in accordance with the Management Agreement. Management fees for the nine months ended September 30, 2013 were also reduced by $4.3 million on the condensed consolidated statements of comprehensive income in accordance with the contribution transaction entered into with Silver Bay. See further discussion of this adjustment below. In addition, the Company reimbursed PRCM Advisers for direct and allocated costs incurred by PRCM Advisers on behalf of the Company. These direct and allocated costs totaled approximately $2.6 million and $7.1 million for the three and nine months ended September 30, 2013, respectively. | |
In April 2012, the Company established an accounts payable function and direct relationships with the majority of its third-party vendors. The Company will continue to have certain costs allocated to it by PRCM Advisers for compensation, data services and proprietary technology, but most direct expenses with third-party vendors are paid directly by the Company. | |
The Company recognized $1.5 million and $2.5 million of compensation expense during the three and nine months ended September 30, 2013, respectively, related to restricted stock. See Note 19 - Equity Incentive Plan for additional information. | |
On February 3, 2012, a subsidiary of the Company entered into an acquisition services agreement, a property management agreement and a side letter agreement regarding certain fees with Silver Bay Property Management LLC, or Silver Bay Property Management, which is a joint venture between Provident Real Estate Advisors LLC and an affiliate of PRCM Advisers and Pine River. Under the acquisition services agreement, Silver Bay Property Management assisted the Company’s subsidiaries in identifying and acquiring a portfolio of residential real properties in various geographic areas throughout the United States. Under the property management agreement, Silver Bay Property Management operated, maintained, repaired, managed and leased the residential properties and collected rental income for the benefit of the Company and its subsidiaries. Pursuant to the side letter, the Company’s subsidiary was obligated to pay Silver Bay Property Management for various services provided under the acquisition services and property management agreements. For the three and nine months ended September 30, 2012, the Company incurred $1.5 million and $2.6 million, respectively, in acquisition fees to Silver Bay Property Management which were capitalized as part of the property acquisition cost. In addition, for the three and nine months ended September 30, 2012, the Company incurred $138,363 and $181,477 in property management fees related to Silver Bay Property Management, of which $72,573 and $78,687, respectively, were expensed in the condensed consolidated statements of comprehensive income. The remaining $102,790 were deferred on the condensed consolidated balance sheet as of September 30, 2012 and amortized over the lease period. These agreements were terminated on December 19, 2012 in connection with the contribution of the Company’s single family rental property business to Silver Bay Realty Trust Corp., as described below. | |
On December 19, 2012, the Company completed the contribution of its portfolio of single family rental properties to Silver Bay Realty Trust Corp., a newly organized Maryland corporation intended to qualify as a REIT and focused on the acquisition, renovation, leasing and management of single-family residential properties for rental income and long-term capital appreciation. The Company contributed its equity interests in its wholly owned subsidiary, Two Harbors Property Investment LLC, to Silver Bay Realty Trust Corp., and in exchange for its contribution, received shares of common stock of Silver Bay Realty Trust Corp. Silver Bay Realty Trust Corp. completed its IPO of its common stock on December 19, 2012. See Note 4 - Discontinued Operations for additional information. In connection with the closing of the contribution, the acquisition services agreement, property management agreement and side letter agreement referenced above were each terminated, except for certain designated provisions (e.g., protection of confidential information and indemnification), which the parties agreed would survive the termination. Not included in the gain that was recorded on the contribution in 2012 are certain adjustments to be recognized in 2013. These include an installment sales gain of approximately $4.0 million from Silver Bay Realty Trust Corp., a reduction of 2013 management fees payable to PRCM Advisers of $4.3 million, and an immaterial amount of additional working capital adjustments determined in accordance with the contribution agreement entered into with Silver Bay Realty Trust Corp. Of these amounts, $0.9 million and $3.2 million of the installment sales gain was recorded in gain on contribution of entity within discontinued operations for the three and nine months ended September 30, 2013, respectively, and the full $4.3 million of the reduction of 2013 management fees payable to PRCM Advisers was recorded within management fees, on the condensed consolidated statements of comprehensive income for the nine months ended September 30, 2013. |
Subsequent_Events_Notes
Subsequent Events (Notes) | 9 Months Ended |
Sep. 30, 2013 | |
Subsequent Events [Abstract] | ' |
Subsequent Events [Text Block] | ' |
Subsequent Events | |
Events subsequent to September 30, 2013, were evaluated through the date these financial statements were issued and no additional events were identified requiring further disclosure in these Condensed Consolidated Financial Statements. |
Basis_of_Presentation_and_Sign1
Basis of Presentation and Significant Accounting Policies (Policies) | 9 Months Ended | |||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||
Basis of Presentation and Significant Accounting Policies [Abstract] | ' | |||||||||||||||||||||||
Consolidation, Policy [Policy Text Block] | ' | |||||||||||||||||||||||
Consolidation and Basis of Presentation | ||||||||||||||||||||||||
The interim unaudited condensed consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission, or SEC. Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles, or GAAP, have been condensed or omitted according to such SEC rules and regulations. Management believes, however, that the disclosures included in these interim condensed consolidated financial statements are adequate to make the information presented not misleading. The accompanying condensed consolidated financial statements should be read in conjunction with the financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2012. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at September 30, 2013 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2013 should not be construed as indicative of the results to be expected for the full year. | ||||||||||||||||||||||||
The condensed consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with GAAP. The preparation of financial statements in conformity with GAAP requires us to make a number of significant estimates and assumptions. These estimates include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities and disclosure of contingent assets and liabilities as of the date of the condensed consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. | ||||||||||||||||||||||||
The condensed consolidated financial statements of the Company include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. Certain prior period amounts have been reclassified to conform to the current period presentation. | ||||||||||||||||||||||||
The Company’s investment in the common stock of Silver Bay was reviewed for consolidation under the applicable consolidation guidance, including voting control and variable interest entity, or VIE, models. The Company concluded that it did not have voting control of Silver Bay nor was Silver Bay considered a VIE and, therefore, consolidation of Silver Bay was not required. | ||||||||||||||||||||||||
The legal entities used in securitization (i.e., the securitization trusts), which are considered VIEs for financial reporting purposes, were also reviewed for consolidation under the applicable consolidation guidance. Because the Company has both the power to direct the activities of the securitization trusts that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trusts. The accounting is consistent with a secured financing, where the loans and securitized debt are both carried on the Company’s condensed consolidated balance sheets. | ||||||||||||||||||||||||
Consolidation, Variable Interest Entity, Policy [Policy Text Block] | ' | |||||||||||||||||||||||
Securitization and Variable Interest Entities | ||||||||||||||||||||||||
During the nine months ended September 30, 2013, the Company purchased subordinated debt and excess servicing rights from a securitization trust issued by a third party. Also during the nine months ended September 30, 2013, the Company purchased subordinated debt and excess servicing rights from a securitization trust sponsored by a subsidiary of the Company. The securitization trusts are considered VIEs for financial reporting purposes and, thus, were reviewed for consolidation under the applicable consolidation guidance. As the Company has both the power to direct the activities of the securitization trusts that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trusts. The underlying loans are classified as mortgage loans held-for-investment in securitization trusts and the underlying debt is classified as collateralized borrowings in securitization trusts on the condensed consolidated balance sheets. The interest income on mortgage loans held-for-investment and interest expense on collateralized borrowings are recorded on the condensed consolidated statements of comprehensive income. See Note 15 - Fair Value of these notes to the condensed consolidated financial statements for details on fair value measurement. | ||||||||||||||||||||||||
Finance, Loan and Lease Receivables, Held-for-investment, Policy [Policy Text Block] | ' | |||||||||||||||||||||||
Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value | ||||||||||||||||||||||||
Mortgage loans held-for-investment in securitization trusts related to the Company's on-balance sheet securitizations are reported at fair value as a result of a fair value option election. These securitized mortgage loans are legally isolated from the Company and have been structured to be beyond the reach of creditors. Fair value is determined under the guidance of ASC 820. The Company determines the fair value of its mortgage loans held-for-investment in securitization trusts by type of loan and the determination is generally based on current secondary market pricing or cash flow models using market-based yield requirements. See Note 15 - Fair Value of these notes to the condensed consolidated financial statements for details on fair value measurement. | ||||||||||||||||||||||||
Interest income on mortgage loans held-for-investment is recognized at the loan coupon rate. Loans are considered past due when they are 30 days past their contractual due date. Interest income recognition is suspended when mortgage loans are placed on nonaccrual status. Generally, mortgage loans are placed on nonaccrual status when delinquent for more than 60 days or when determined not to be probable of full collection. Interest accrued, but not collected, at the date mortgage loans are placed on nonaccrual is reversed and subsequently recognized only to the extent it is received in cash or until it qualifies for return to accrual status. However, where there is doubt regarding the ultimate collectability of loan principal, all cash received is applied to reduce the carrying value of such loans. Mortgage loans are restored to accrual status only when contractually current or the collection of future payments is reasonably assured. | ||||||||||||||||||||||||
Debt, Policy [Policy Text Block] | ' | |||||||||||||||||||||||
Collateralized Borrowings in Securitization Trusts, at Fair Value | ||||||||||||||||||||||||
Collateralized borrowings in securitization trusts related to the Company's on-balance sheet securitizations are reported at fair value as a result of a fair value option election. This long-term debt is nonrecourse to the Company beyond the assets held in the trusts. Fair value is determined under the guidance of ASC 820. The Company determines the fair value of its collateralized borrowings in securitization trusts based on prices obtained from third-party pricing providers, broker quotes received and other applicable market data. See Note 15 - Fair Value of these notes to the condensed consolidated financial statements for details on fair value measurement. | ||||||||||||||||||||||||
Transfers and Servicing of Financial Assets, Servicing of Financial Assets, Policy [Policy Text Block] | ' | |||||||||||||||||||||||
Mortgage Servicing Rights, at Fair Value | ||||||||||||||||||||||||
The Company’s MSRs represent the right to service mortgage loans. The Company and its subsidiaries do not originate or directly service mortgage loans, and instead contract with fully licensed subservicers to handle all servicing functions for the loans underlying the Company’s MSRs. However, as an owner and manager of MSRs, the Company may be obligated to fund advances of principal and interest payments due to third-party owners of the loans, but not yet received from the individual borrowers. These advances are reported as servicing advances within the other assets line item on the condensed consolidated balance sheets. | ||||||||||||||||||||||||
MSRs are reported at fair value within the other assets line item on the condensed consolidated balance sheets. Changes in the fair value of MSRs as well as servicing fee income are reported within other income on the condensed consolidated statements of comprehensive income. The related subservicing expenses are recorded in other operating expenses on the condensed consolidated statements of comprehensive income. | ||||||||||||||||||||||||
See Note 13 - Other Assets for further discussion on MSRs. | ||||||||||||||||||||||||
Share-based Compensation, Option and Incentive Plans Policy [Policy Text Block] | ' | |||||||||||||||||||||||
Equity Incentive Plan | ||||||||||||||||||||||||
The Company adopted an equity incentive plan in 2009, which provides incentive compensation to attract and retain qualified directors, officers, advisors, consultants and other personnel, including PRCM Advisers and its affiliates. The 2009 equity incentive plan is administered by the compensation committee of the Company’s board of directors. The 2009 equity incentive plan permits the granting of restricted shares of common stock, phantom shares, dividend equivalent rights and other equity-based awards. | ||||||||||||||||||||||||
On May 21, 2013, the Company’s stockholders approved the restated 2009 equity incentive plan, which effectuated, among other changes, an increase in the number of shares available for issuance under the restated 2009 equity incentive plan by 2,800,000 shares of common stock. Other amendments provide for the possibility of making grants of equity-based compensation to the Company’s executive officers and other key employees of the Company’s external manager, PRCM Advisers, upon a determination by the compensation committee, and the implementation of certain best practices of equity-based compensation. | ||||||||||||||||||||||||
The cost of equity-based compensation awarded to employees of our manager is determined using fair value liability accounting in accordance with ASC 718, Compensation - Stock Compensation, or ASC 718, and amortized over the vesting term. | ||||||||||||||||||||||||
Offsetting Assets and Liabilities, Policy [Policy Text Block] | ' | |||||||||||||||||||||||
Offsetting Assets and Liabilities | ||||||||||||||||||||||||
Certain of the Company’s repurchase agreements are governed by underlying agreements that provide for a right of setoff in the event of default of either party to the agreement. The Company also has netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association, or ISDA. Additionally, the Company and the counterparty are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparty. | ||||||||||||||||||||||||
Under GAAP, if the Company has a valid right of setoff, it may offset the related asset and liability and report the net amount. The Company presents repurchase agreements subject to master netting arrangements or similar agreements on a gross basis, and derivative assets and liabilities subject to such arrangements on a net basis, based on derivative type and counterparty, in its condensed consolidated balance sheets. Separately, the Company presents cash collateral subject to such arrangements on a net basis, based on counterparty, in its condensed consolidated balance sheets. However, the Company does not offset financial assets and liabilities with the associated cash collateral on its condensed consolidated balance sheets. | ||||||||||||||||||||||||
The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||
30-Sep-13 | ||||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets (1) | ||||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Condensed Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Derivative assets | $ | 604,297 | $ | (59,782 | ) | $ | 544,515 | $ | (73,827 | ) | $ | — | $ | 470,688 | ||||||||||
Total Assets | $ | 604,297 | $ | (59,782 | ) | $ | 544,515 | $ | (73,827 | ) | $ | — | $ | 470,688 | ||||||||||
Liabilities | ||||||||||||||||||||||||
Repurchase agreements | $ | (12,152,065 | ) | $ | — | $ | (12,152,065 | ) | $ | 12,152,065 | $ | — | $ | — | ||||||||||
Derivative liabilities | (133,609 | ) | 59,782 | (73,827 | ) | 73,827 | — | — | ||||||||||||||||
Total Liabilities | $ | (12,285,674 | ) | $ | 59,782 | $ | (12,225,892 | ) | $ | 12,225,892 | $ | — | $ | — | ||||||||||
31-Dec-12 | ||||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets (1) | ||||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Condensed Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Derivative assets | $ | 463,027 | $ | (947 | ) | $ | 462,080 | $ | (129,294 | ) | $ | 85,798 | $ | 418,584 | ||||||||||
Total Assets | $ | 463,027 | $ | (947 | ) | $ | 462,080 | $ | (129,294 | ) | $ | 85,798 | $ | 418,584 | ||||||||||
Liabilities | ||||||||||||||||||||||||
Repurchase agreements | $ | (12,624,510 | ) | $ | — | $ | (12,624,510 | ) | $ | 12,624,510 | $ | — | $ | — | ||||||||||
Derivative liabilities | (130,241 | ) | 947 | (129,294 | ) | 129,294 | — | — | ||||||||||||||||
Total Liabilities | $ | (12,754,751 | ) | $ | 947 | $ | (12,753,804 | ) | $ | 12,753,804 | $ | — | $ | — | ||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets. |
Basis_of_Presentation_and_Sign2
Basis of Presentation and Significant Accounting Policies Offsetting Assets and Liabilities (Tables) | 9 Months Ended | |||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||
Offsetting Asssets and Liabilities [Abstract] | ' | |||||||||||||||||||||||
Offsetting Assets and Liabilities [Table Text Block] | ' | |||||||||||||||||||||||
The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||
30-Sep-13 | ||||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets (1) | ||||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Condensed Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Derivative assets | $ | 604,297 | $ | (59,782 | ) | $ | 544,515 | $ | (73,827 | ) | $ | — | $ | 470,688 | ||||||||||
Total Assets | $ | 604,297 | $ | (59,782 | ) | $ | 544,515 | $ | (73,827 | ) | $ | — | $ | 470,688 | ||||||||||
Liabilities | ||||||||||||||||||||||||
Repurchase agreements | $ | (12,152,065 | ) | $ | — | $ | (12,152,065 | ) | $ | 12,152,065 | $ | — | $ | — | ||||||||||
Derivative liabilities | (133,609 | ) | 59,782 | (73,827 | ) | 73,827 | — | — | ||||||||||||||||
Total Liabilities | $ | (12,285,674 | ) | $ | 59,782 | $ | (12,225,892 | ) | $ | 12,225,892 | $ | — | $ | — | ||||||||||
31-Dec-12 | ||||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets (1) | ||||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Condensed Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Derivative assets | $ | 463,027 | $ | (947 | ) | $ | 462,080 | $ | (129,294 | ) | $ | 85,798 | $ | 418,584 | ||||||||||
Total Assets | $ | 463,027 | $ | (947 | ) | $ | 462,080 | $ | (129,294 | ) | $ | 85,798 | $ | 418,584 | ||||||||||
Liabilities | ||||||||||||||||||||||||
Repurchase agreements | $ | (12,624,510 | ) | $ | — | $ | (12,624,510 | ) | $ | 12,624,510 | $ | — | $ | — | ||||||||||
Derivative liabilities | (130,241 | ) | 947 | (129,294 | ) | 129,294 | — | — | ||||||||||||||||
Total Liabilities | $ | (12,754,751 | ) | $ | 947 | $ | (12,753,804 | ) | $ | 12,753,804 | $ | — | $ | — | ||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets. |
Variable_Interest_Entities_Var1
Variable Interest Entities Variable Interest Entities (Tables) | 9 Months Ended | |||||||
Sep. 30, 2013 | ||||||||
Variable Interest Entities [Abstract] | ' | |||||||
Schedule of Variable Interest Entities [Table Text Block] | ' | |||||||
The following table presents a summary of the assets and liabilities of the securitization trusts: | ||||||||
(in thousands) | September 30, | December 31, | ||||||
2013 | 2012 | |||||||
Mortgage loans held-for-investment in securitization trusts | $ | 804,988 | $ | — | ||||
Accrued interest receivable | 3,659 | — | ||||||
Total Assets | $ | 808,647 | $ | — | ||||
Collateralized borrowings in securitization trusts | 649,082 | — | ||||||
Accrued interest payable | 1,622 | — | ||||||
Accrued expenses | 1,523 | — | ||||||
Total Liabilities | $ | 652,227 | $ | — | ||||
Discontinued_Operations_Discon
Discontinued Operations Discontinued Operations (Tables) | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Discontinued Operations and Disposal Groups [Abstract] | ' | |||||||||||||||
Schedule of Disposal Groups, Including Discontinued Operations, Income Statement, Balance Sheet and Additional Disclosures [Table Text Block] | ' | |||||||||||||||
Summarized financial information for the discontinued operations are presented below. | ||||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Income: | ||||||||||||||||
Gain on contribution of entity | $ | 871 | $ | — | $ | 3,126 | $ | — | ||||||||
Real estate related revenues | — | 721 | — | 808 | ||||||||||||
Total income | 871 | 721 | 3,126 | 808 | ||||||||||||
Expenses: | ||||||||||||||||
Management fees | — | 804 | — | 804 | ||||||||||||
Real estate related expenses | — | 1,786 | — | 1,984 | ||||||||||||
Other operating expenses | — | 805 | (138 | ) | 921 | |||||||||||
Total expenses | — | 3,395 | (138 | ) | 3,709 | |||||||||||
Income (loss) from discontinued operations | $ | 871 | $ | (2,674 | ) | $ | 3,264 | $ | (2,901 | ) | ||||||
AvailableforSale_Securities_at1
Available-for-Sale Securities, at Fair Value (Tables) | 9 Months Ended | |||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||
Available for Sale Securities, at Fair Value [Abstract] | ' | |||||||||||||||||||||||
Available-for-sale Securities [Table Text Block] | ' | |||||||||||||||||||||||
The following table presents the Company’s available-for-sale, or AFS, investment securities by collateral type, which were carried at their fair value as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||
(in thousands) | September 30, | December 31, | ||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||
Agency | ||||||||||||||||||||||||
Federal Home Loan Mortgage Corporation | $ | 3,091,964 | $ | 3,608,272 | ||||||||||||||||||||
Federal National Mortgage Association | 4,550,673 | 5,130,965 | ||||||||||||||||||||||
Government National Mortgage Association | 2,075,301 | 2,272,866 | ||||||||||||||||||||||
Non-Agency | 2,954,295 | 2,654,851 | ||||||||||||||||||||||
Total mortgage-backed securities | $ | 12,672,233 | $ | 13,666,954 | ||||||||||||||||||||
Schedule of Available-for-sale Securities Reconciliation [Table Text Block] | ' | |||||||||||||||||||||||
The following tables present the amortized cost and carrying value (which approximates fair value) of AFS securities by collateral type as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Face Value | $ | 12,039,928 | $ | 4,919,072 | $ | 16,959,000 | ||||||||||||||||||
Unamortized premium | 636,576 | — | 636,576 | |||||||||||||||||||||
Unamortized discount | ||||||||||||||||||||||||
Designated credit reserve | — | (1,372,628 | ) | (1,372,628 | ) | |||||||||||||||||||
Net, unamortized | (2,901,668 | ) | (1,161,821 | ) | (4,063,489 | ) | ||||||||||||||||||
Amortized Cost | 9,774,836 | 2,384,623 | 12,159,459 | |||||||||||||||||||||
Gross unrealized gains | 113,221 | 580,004 | 693,225 | |||||||||||||||||||||
Gross unrealized losses | (170,119 | ) | (10,332 | ) | (180,451 | ) | ||||||||||||||||||
Carrying Value | $ | 9,717,938 | $ | 2,954,295 | $ | 12,672,233 | ||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Face Value | $ | 11,934,492 | $ | 4,503,999 | $ | 16,438,491 | ||||||||||||||||||
Unamortized premium | 749,252 | — | 749,252 | |||||||||||||||||||||
Unamortized discount | ||||||||||||||||||||||||
Designated credit reserve | — | (1,290,946 | ) | (1,290,946 | ) | |||||||||||||||||||
Net, unamortized | (1,929,811 | ) | (996,490 | ) | (2,926,301 | ) | ||||||||||||||||||
Amortized Cost | 10,753,933 | 2,216,563 | 12,970,496 | |||||||||||||||||||||
Gross unrealized gains | 276,293 | 448,403 | 724,696 | |||||||||||||||||||||
Gross unrealized losses | (18,123 | ) | (10,115 | ) | (28,238 | ) | ||||||||||||||||||
Carrying Value | $ | 11,012,103 | $ | 2,654,851 | $ | 13,666,954 | ||||||||||||||||||
Available-for-sale Securities Classified by Rate Type [Table Text Block] | ' | |||||||||||||||||||||||
The following tables present the carrying value of the Company’s AFS investment securities by rate type as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Adjustable Rate | $ | 1,007,715 | $ | 2,527,240 | $ | 3,534,955 | ||||||||||||||||||
Fixed Rate | 8,710,223 | 427,055 | 9,137,278 | |||||||||||||||||||||
Total | $ | 9,717,938 | $ | 2,954,295 | $ | 12,672,233 | ||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Adjustable Rate | $ | 188,429 | $ | 2,334,950 | $ | 2,523,379 | ||||||||||||||||||
Fixed Rate | 10,823,674 | 319,901 | 11,143,575 | |||||||||||||||||||||
Total | $ | 11,012,103 | $ | 2,654,851 | $ | 13,666,954 | ||||||||||||||||||
Schedule of Available-for-sale Securities Reconciliation, Non-Agency Unamortized Net Discount and Designated Credit Reserves [Table Text Block] | ' | |||||||||||||||||||||||
The following table presents the changes for the nine months ended September 30, 2013 and 2012, of the unamortized net discount and designated credit reserves on non-Agency AFS securities. | ||||||||||||||||||||||||
Nine Months Ended September 30, | ||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||
(in thousands) | Designated Credit Reserve | Unamortized Net Discount | Total | Designated Credit Reserve | Unamortized Net Discount | Total | ||||||||||||||||||
Beginning balance at January 1 | $ | (1,290,946 | ) | $ | (996,490 | ) | $ | (2,287,436 | ) | $ | (782,606 | ) | $ | (540,969 | ) | $ | (1,323,575 | ) | ||||||
Acquisitions | (181,122 | ) | (390,269 | ) | (571,391 | ) | (590,090 | ) | (534,000 | ) | (1,124,090 | ) | ||||||||||||
Accretion of net discount | 886 | 108,829 | 109,715 | 493 | 98,685 | 99,178 | ||||||||||||||||||
Realized credit losses | 28,684 | — | 28,684 | 33,622 | — | 33,622 | ||||||||||||||||||
Reclassification adjustment for other-than-temporary impairments | (1,662 | ) | — | (1,662 | ) | (9,310 | ) | — | (9,310 | ) | ||||||||||||||
Transfers from (to) | 35,201 | (35,201 | ) | — | — | — | — | |||||||||||||||||
Sales, calls, other | 36,331 | 151,310 | 187,641 | 8,154 | 15,876 | 24,030 | ||||||||||||||||||
Ending balance at September 30 | $ | (1,372,628 | ) | $ | (1,161,821 | ) | $ | (2,534,449 | ) | $ | (1,339,737 | ) | $ | (960,408 | ) | $ | (2,300,145 | ) | ||||||
Schedule of Unrealized Loss on Investments [Table Text Block] | ' | |||||||||||||||||||||||
The following table presents the components comprising the carrying value of AFS securities not deemed to be other than temporarily impaired by length of time the securities had an unrealized loss position as of September 30, 2013 and December 31, 2012. At September 30, 2013, the Company held 1,453 AFS securities, of which 493 were in an unrealized loss position for less than twelve consecutive months and 64 were in an unrealized loss position for more than twelve consecutive months. Of the $4.8 billion and $2.5 billion of AFS securities in an unrealized loss position for less than twelve consecutive months as of September 30, 2013 and December 31, 2012, $4.5 billion, or 94.5%, and $2.4 billion, or 95.8%, respectively, were Agency AFS securities, whose principal and interest are guaranteed by government sponsored entities, or GSEs. At December 31, 2012, the Company held 1,493 AFS securities, of which 250 were in an unrealized loss position for less than twelve months and 47 were in an unrealized loss position for more than twelve consecutive months. | ||||||||||||||||||||||||
Unrealized Loss Position for | ||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||
(in thousands) | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | ||||||||||||||||||
September 30, 2013 | $ | 4,784,704 | $ | (151,442 | ) | $ | 538,129 | $ | (29,009 | ) | $ | 5,322,833 | $ | (180,451 | ) | |||||||||
December 31, 2012 | $ | 2,548,995 | $ | (18,610 | ) | $ | 52,689 | $ | (9,628 | ) | $ | 2,601,684 | $ | (28,238 | ) | |||||||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | ' | |||||||||||||||||||||||
The following table presents the changes in OTTI included in earnings for three and nine months ended September 30, 2013 and 2012: | ||||||||||||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||||||||||||
September 30, | September 30, | |||||||||||||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | ||||||||||||||||||||
Cumulative credit loss at beginning of period | $ | (15,046 | ) | $ | (13,603 | ) | $ | (15,561 | ) | $ | (5,102 | ) | ||||||||||||
Additions: | ||||||||||||||||||||||||
Other-than-temporary impairments not previously recognized | — | (315 | ) | — | (6,443 | ) | ||||||||||||||||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | — | (244 | ) | (1,662 | ) | (2,867 | ) | |||||||||||||||||
Reductions: | ||||||||||||||||||||||||
Decreases related to other-than-temporary impairments on securities paid down | 1,446 | — | 1,677 | 250 | ||||||||||||||||||||
Decreases related to other-than-temporary impairments on securities sold | 406 | 243 | 2,352 | 243 | ||||||||||||||||||||
Cumulative credit loss at end of period | $ | (13,194 | ) | $ | (13,919 | ) | $ | (13,194 | ) | $ | (13,919 | ) | ||||||||||||
Schedule of Realized Gain (Loss) [Table Text Block] | ' | |||||||||||||||||||||||
The following table presents the gross realized gains and losses on sales of AFS securities for the three and nine months ended September 30, 2013 and 2012: | ||||||||||||||||||||||||
Three Months Ended | Nine Months Ended | |||||||||||||||||||||||
September 30, | September 30, | |||||||||||||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | ||||||||||||||||||||
Gross realized gains | $ | 27,786 | $ | — | $ | 103,451 | $ | 11,663 | ||||||||||||||||
Gross realized losses | (262,323 | ) | (221 | ) | (266,620 | ) | (1,850 | ) | ||||||||||||||||
Total realized (losses) gains on sales, net | $ | (234,537 | ) | $ | (221 | ) | $ | (163,169 | ) | $ | 9,813 | |||||||||||||
Mortgage_Loans_HeldforSale_Tab
Mortgage Loans Held-for-Sale (Tables) | 9 Months Ended | |||||||
Sep. 30, 2013 | ||||||||
Mortgage Loans Held-for-Sale [Abstract] | ' | |||||||
Schedule of Mortgage Loans Held-for-Sale Reconciliation [Table Text Block] | ' | |||||||
The following table presents the carrying value of the Company’s mortgage loans held-for-sale as of September 30, 2013 and December 31, 2012: | ||||||||
(in thousands) | September 30, | December 31, | ||||||
2013 | 2012 | |||||||
Unpaid principal balance | $ | 688,620 | $ | 56,976 | ||||
Fair value adjustment | (128,883 | ) | 1,631 | |||||
Carrying value | $ | 559,737 | $ | 58,607 | ||||
Mortgage_Loans_HeldforInvestme1
Mortgage Loans Held-for-Investment in Securitization Trust, at Fair Value Mortgage Loans Held-for-Investment in Securitization Trust, at Fair Value (Tables) | 9 Months Ended | |||||||
Sep. 30, 2013 | ||||||||
Mortgage Loans Held-for-Investment, at Fair Value [Abstract] | ' | |||||||
Schedule of Mortgage Loans Held-for-Investment Reconciliation [Table Text Block] | ' | |||||||
The following table presents the carrying value of the Company’s mortgage loans held-for-investment in securitization trusts as of September 30, 2013 and December 31, 2012: | ||||||||
(in thousands) | September 30, | December 31, | ||||||
2013 | 2012 | |||||||
Unpaid principal balance | $ | 825,285 | $ | — | ||||
Fair value adjustment | (20,297 | ) | — | |||||
Carrying value | $ | 804,988 | $ | — | ||||
Restricted_Cash_Tables
Restricted Cash (Tables) | 9 Months Ended | |||||||
Sep. 30, 2013 | ||||||||
Restricted Cash [Abstract] | ' | |||||||
Schedule of Restricted Cash and Cash Equivalents [Table Text Block] | ' | |||||||
The following table presents the Company’s restricted cash balances as of September 30, 2013 and December 31, 2012: | ||||||||
(in thousands) | September 30, | December 31, | ||||||
2013 | 2012 | |||||||
Restricted cash balances held by trading counterparties: | ||||||||
For securities trading activity | $ | 9,000 | $ | 9,000 | ||||
For derivatives trading activity | 409,340 | 208,669 | ||||||
As restricted collateral for repurchase agreements | 259,642 | 84,307 | ||||||
677,982 | 301,976 | |||||||
Restricted cash balance pursuant to letter of credit on office lease | 346 | 346 | ||||||
Total | $ | 678,328 | $ | 302,322 | ||||
Accrued_Interest_Receivable_Ta
Accrued Interest Receivable (Tables) | 9 Months Ended | |||||||
Sep. 30, 2013 | ||||||||
Accrued Interest Receivable [Abstract] | ' | |||||||
Schedule of Accounts, Notes, Loans and Financing Receivable [Table Text Block] | ' | |||||||
The following table presents the Company’s accrued interest receivable by collateral type: | ||||||||
(in thousands) | September 30, | December 31, | ||||||
2013 | 2012 | |||||||
Accrued Interest Receivable: | ||||||||
U.S. Treasuries | $ | 798 | $ | 1,119 | ||||
Mortgage-backed securities: | ||||||||
Agency | ||||||||
Federal Home Loan Mortgage Corporation | 10,902 | 11,888 | ||||||
Federal National Mortgage Association | 15,622 | 17,101 | ||||||
Government National Mortgage Association | 9,712 | 8,962 | ||||||
Non-Agency | 3,875 | 3,296 | ||||||
Total mortgage-backed securities | 40,111 | 41,247 | ||||||
Mortgage loans held-for-sale | 4,286 | 247 | ||||||
Mortgage loans held-for-investment in securitization trusts | 3,659 | — | ||||||
Total | $ | 48,854 | $ | 42,613 | ||||
Derivative_Instruments_and_Hed1
Derivative Instruments and Hedging Activities (Tables) | 9 Months Ended | |||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||
Derivative [Line Items] | ' | |||||||||||||||||||||||||
Schedule of TBA Positions [Table Text Block] | ' | |||||||||||||||||||||||||
The following table presents the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||||
As of September 30, 2013 | ||||||||||||||||||||||||||
Net Carrying Value (4) | ||||||||||||||||||||||||||
(in thousands) | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||
Purchase contracts | $ | 3,304,000 | $ | 3,509,122 | $ | 3,530,416 | $ | 21,896 | $ | (601 | ) | |||||||||||||||
Sale contracts | (2,447,000 | ) | (2,451,599 | ) | (2,485,632 | ) | — | (34,033 | ) | |||||||||||||||||
TBAs, net | $ | 857,000 | $ | 1,057,523 | $ | 1,044,784 | $ | 21,896 | $ | (34,634 | ) | |||||||||||||||
As of December 31, 2012 | ||||||||||||||||||||||||||
Net Carrying Value (4) | ||||||||||||||||||||||||||
(in thousands) | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||
Purchase contracts | $ | 1,753,000 | $ | 1,867,621 | $ | 1,869,112 | $ | 1,729 | $ | (239 | ) | |||||||||||||||
Sale contracts | (800,000 | ) | (857,625 | ) | (857,438 | ) | 188 | — | ||||||||||||||||||
TBAs, net | $ | 953,000 | $ | 1,009,996 | $ | 1,011,674 | $ | 1,917 | $ | (239 | ) | |||||||||||||||
___________________ | ||||||||||||||||||||||||||
-1 | Notional amount represents the face amount of the underlying Agency RMBS. | |||||||||||||||||||||||||
-2 | Cost basis represents the forward price to be paid/(received) for the underlying Agency RMBS. | |||||||||||||||||||||||||
-3 | Market value represents the current market value of the TBA (or of the underlying Agency RMBS) as of period-end. | |||||||||||||||||||||||||
-4 | Net carrying value represents the difference between the market value of the TBA as of period-end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the condensed consolidated balance sheets. | |||||||||||||||||||||||||
Schedule of Constant Maturity Swaps [Table Text Block] | ' | |||||||||||||||||||||||||
The Company had the following constant maturity swaps agreements in place at September 30, 2013: | ||||||||||||||||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||
Determination Date | Average Strike Swap Rate | Notional Amount | Fair Value | Upfront Premium Paid | Unrealized Gain/(Loss) | |||||||||||||||||||||
Nov-13 | 0.869 | % | 3,000,000 | (3,205 | ) | — | (3,205 | ) | ||||||||||||||||||
Dec-13 | 0.89 | % | 5,000,000 | (6,136 | ) | — | (6,136 | ) | ||||||||||||||||||
Total | 0.882 | % | $ | 8,000,000 | $ | (9,341 | ) | $ | — | $ | (9,341 | ) | ||||||||||||||
Schedule of Interest Rate Swaps Associated with TBA Contracts [Table Text Block] | ' | |||||||||||||||||||||||||
As of September 30, 2013 and December 31, 2012, the Company held the following interest rate swaps entered in combination with TBA contracts and/or MSRs to economically hedge mortgage basis widening and duration: | ||||||||||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Average Pay Rate | Average Fixed Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2014 | $ | — | — | % | — | % | — | |||||||||||||||||||
2015 | — | — | % | — | % | — | ||||||||||||||||||||
2016 | 750,000 | 0.266 | % | 0.754 | % | 2.81 | ||||||||||||||||||||
2017 | — | — | % | — | % | — | ||||||||||||||||||||
2018 and Thereafter | 1,725,000 | 0.266 | % | 1.981 | % | 6.36 | ||||||||||||||||||||
Total | $ | 2,475,000 | 0.266 | % | 1.609 | % | 5.28 | |||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2014 | $ | 500,000 | 0.399 | % | 0.356 | % | 1.78 | |||||||||||||||||||
Total | $ | 500,000 | ||||||||||||||||||||||||
Schedule of Interest Rate Swaps Associated with Repurchase Agreements [Table Text Block] | ' | |||||||||||||||||||||||||
As of September 30, 2013 and December 31, 2012, the Company had the following outstanding interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) associated with the Company’s short-term repurchase agreements: | ||||||||||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2014 | $ | 900,000 | 0.318 | % | 0.269 | % | 0.29 | |||||||||||||||||||
2015 | 4,000,000 | 0.386 | % | 0.27 | % | 1.28 | ||||||||||||||||||||
2016 | 2,650,000 | 0.579 | % | 0.263 | % | 2.42 | ||||||||||||||||||||
2017 | 4,225,000 | 0.888 | % | 0.263 | % | 3.62 | ||||||||||||||||||||
2018 and Thereafter | 2,325,000 | 1.294 | % | 0.259 | % | 5.52 | ||||||||||||||||||||
Total | $ | 14,100,000 | 0.718 | % | 0.265 | % | 2.83 | |||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2013 | $ | 2,275,000 | 0.713 | % | 0.315 | % | 0.56 | |||||||||||||||||||
2014 | 1,675,000 | 0.644 | % | 0.311 | % | 1.57 | ||||||||||||||||||||
2015 | 2,770,000 | 0.908 | % | 0.313 | % | 2.43 | ||||||||||||||||||||
2016 | 1,940,000 | 0.874 | % | 0.323 | % | 3.46 | ||||||||||||||||||||
2017 and Thereafter | 3,910,000 | 0.96 | % | 0.313 | % | 4.72 | ||||||||||||||||||||
Total | $ | 12,570,000 | 0.85 | % | 0.315 | % | 2.85 | |||||||||||||||||||
Schedule of Interest Rate Swaps Associated with U.S. Treasuries and Other RMBS [Table Text Block] | ' | |||||||||||||||||||||||||
As of September 30, 2013 and December 31, 2012, the Company held $1.0 billion in fair value of U.S. Treasuries classified as trading securities and the following outstanding interest rate swaps utilized to economically hedge funding cost risk: | ||||||||||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2016 | $ | 1,000,000 | 0.955 | % | 0.259 | % | 2.92 | |||||||||||||||||||
Total | $ | 1,000,000 | ||||||||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2015 | $ | 1,000,000 | 0.799 | % | 0.35 | % | 2.28 | |||||||||||||||||||
Total | $ | 1,000,000 | ||||||||||||||||||||||||
Schedule of Interest Rate Swaptions [Table Text Block] | ' | |||||||||||||||||||||||||
As of September 30, 2013 and December 31, 2012, the Company had the following outstanding interest rate swaptions (agreements to enter into interest rate swaps in the future for which the Company would either pay or receive a fixed rate) that were utilized as macro-economic hedges: | ||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||
(notional and dollars in thousands) | Option | Underlying Swap | ||||||||||||||||||||||||
Swaption | Expiration | Cost | Fair Value | Average Months to Expiration | Notional Amount | Average Pay Rate | Average Receive Rate | Average Term (Years) | ||||||||||||||||||
Payer | ≥ 6 Months | 229,944 | 313,418 | 41.79 | 6,400,000 | 4.23 | % | 3M Libor | 9.06 | |||||||||||||||||
Total Payer | $ | 229,944 | $ | 313,418 | 41.79 | $ | 6,400,000 | 4.23 | % | 3M Libor | 9.06 | |||||||||||||||
Receiver | < 6 Months | $ | (7,383 | ) | $ | (5 | ) | 0.1 | $ | (1,170,000 | ) | 3M Libor | 3.11 | % | 10 | |||||||||||
Receiver | ≥ 6 Months | (81,248 | ) | (75,542 | ) | 45.02 | (800,000 | ) | 3M Libor | 3.44 | % | 10 | ||||||||||||||
Total Receiver | $ | (88,631 | ) | $ | (75,547 | ) | 45.02 | $ | (1,970,000 | ) | 3M Libor | 3.24 | % | 10 | ||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||
(notional and dollars in thousands) | Option | Underlying Swap | ||||||||||||||||||||||||
Swaption | Expiration | Cost | Fair Value | Average Months to Expiration | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Term (Years) | ||||||||||||||||||
Payer | < 6 Months | $ | 3,983 | $ | 30 | 5.38 | $ | 300,000 | 4 | % | 3M Libor | 10 | ||||||||||||||
Payer | ≥ 6 Months | 129,925 | 102,018 | 53.38 | 4,650,000 | 3.74 | % | 3M Libor | 9.74 | |||||||||||||||||
Total Payer | $ | 133,908 | $ | 102,048 | 53.38 | $ | 4,950,000 | 3.75 | % | 3M Libor | 9.76 | |||||||||||||||
Schedule of Credit Default Swaps, Receive Protection [Table Text Block] | ' | |||||||||||||||||||||||||
The following tables present credit default swaps whereby the Company is receiving protection held as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
September 30, 2013 | ||||||||||||||||||||||||||
Protection | Maturity Date | Average Implied Credit Spread | Current Notional Amount | Fair Value | Upfront (Payable)/Receivable | Unrealized Gain/(Loss) | ||||||||||||||||||||
Receive | 12/20/13 | 181.91 | (105,000 | ) | (67 | ) | (3,225 | ) | (3,292 | ) | ||||||||||||||||
6/20/16 | 105.5 | (100,000 | ) | (2,043 | ) | (260 | ) | (2,303 | ) | |||||||||||||||||
12/20/16 | 496 | (25,000 | ) | (95 | ) | (4,062 | ) | (4,157 | ) | |||||||||||||||||
6/20/18 | 432.2 | (500,000 | ) | (30,139 | ) | 14,563 | (15,576 | ) | ||||||||||||||||||
12/20/18 | 80.88 | (700,000 | ) | (6,472 | ) | 6,662 | 190 | |||||||||||||||||||
5/25/46 | 356 | (32,165 | ) | 8,964 | (15,026 | ) | (6,062 | ) | ||||||||||||||||||
Total | 223.1 | $ | (1,462,165 | ) | $ | (29,852 | ) | $ | (1,348 | ) | $ | (31,200 | ) | |||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
December 31, 2012 | ||||||||||||||||||||||||||
Protection | Maturity Date | Average Implied Credit Spread | Current Notional Amount | Fair Value | Upfront Payable | Unrealized Gain/(Loss) | ||||||||||||||||||||
Receive | 9/20/13 | 460 | $ | (45,000 | ) | $ | (264 | ) | $ | (3,127 | ) | $ | (3,391 | ) | ||||||||||||
12/20/13 | 181.91 | (105,000 | ) | (198 | ) | (3,225 | ) | (3,423 | ) | |||||||||||||||||
6/20/16 | 105.5 | (100,000 | ) | (1,940 | ) | (260 | ) | (2,200 | ) | |||||||||||||||||
12/20/16 | 496 | (25,000 | ) | 527 | (4,062 | ) | (3,535 | ) | ||||||||||||||||||
5/25/46 | 297.6 | (163,440 | ) | 54,781 | (71,114 | ) | (16,333 | ) | ||||||||||||||||||
Total | 254.06 | $ | (438,440 | ) | $ | 52,906 | $ | (81,788 | ) | $ | (28,882 | ) | ||||||||||||||
Schedule of Inverse Interest-Only Securities Reconciliation [Table Text Block] | ' | |||||||||||||||||||||||||
s. The following table presents the amortized cost and carrying value (which approximates fair value) of inverse interest-only securities as of September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||||
(in thousands) | September 30, | December 31, | ||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
Face Value | $ | 1,648,236 | $ | 1,909,351 | ||||||||||||||||||||||
Unamortized premium | — | — | ||||||||||||||||||||||||
Unamortized discount | ||||||||||||||||||||||||||
Designated credit reserve | — | — | ||||||||||||||||||||||||
Net, unamortized | (1,395,982 | ) | (1,620,966 | ) | ||||||||||||||||||||||
Amortized Cost | 252,254 | 288,385 | ||||||||||||||||||||||||
Gross unrealized gains | 3,807 | 21,616 | ||||||||||||||||||||||||
Gross unrealized losses | (32,386 | ) | (8,737 | ) | ||||||||||||||||||||||
Carrying Value | $ | 223,675 | $ | 301,264 | ||||||||||||||||||||||
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | ' | |||||||||||||||||||||||||
The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading instruments as of September 30, 2013 and December 31, 2012. | ||||||||||||||||||||||||||
(in thousands) | September 30, 2013 | |||||||||||||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||
Trading instruments | Fair Value | Notional | Fair Value | Notional | ||||||||||||||||||||||
Inverse interest-only securities | $ | 226,744 | $ | 1,648,236 | $ | — | $ | — | ||||||||||||||||||
Interest rate swap agreements | 51,374 | 17,575,000 | — | — | ||||||||||||||||||||||
Credit default swaps | — | — | (29,852 | ) | 1,462,165 | |||||||||||||||||||||
Swaptions | 237,871 | 4,430,000 | — | — | ||||||||||||||||||||||
TBAs | 21,896 | 1,504,000 | (34,634 | ) | 4,247,000 | |||||||||||||||||||||
Put and call options for TBAs | 6,630 | 2,500,000 | — | — | ||||||||||||||||||||||
Constant maturity swaps | — | — | (9,341 | ) | 8,000,000 | |||||||||||||||||||||
Total | $ | 544,515 | $ | 27,657,236 | $ | (73,827 | ) | $ | 13,709,165 | |||||||||||||||||
(in thousands) | December 31, 2012 | |||||||||||||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||
Trading instruments | Fair Value | Notional | Fair Value | Notional | ||||||||||||||||||||||
Inverse interest-only securities | $ | 304,975 | $ | 1,909,351 | $ | — | $ | — | ||||||||||||||||||
Interest rate swap agreements | — | — | (129,055 | ) | 14,070,000 | |||||||||||||||||||||
Credit default swaps | 52,906 | 438,440 | — | — | ||||||||||||||||||||||
Swaptions | 102,048 | 4,950,000 | — | — | ||||||||||||||||||||||
TBAs | 1,917 | 2,414,000 | (239 | ) | 139,000 | |||||||||||||||||||||
Forward purchase commitment | 234 | 56,865 | — | — | ||||||||||||||||||||||
Total | $ | 462,080 | $ | 9,768,656 | $ | (129,294 | ) | $ | 14,209,000 | |||||||||||||||||
Schedule of Average Notional Amounts of Derivative Positions [Table Text Block] | ' | |||||||||||||||||||||||||
The following table provides the average outstanding notional amounts of the Company’s derivative financial instruments treated as trading instruments for the three and nine months ended September 30, 2013. | ||||||||||||||||||||||||||
(in thousands) | Three Months Ended September 30, 2013 | Nine Months Ended September 30, 2013 | ||||||||||||||||||||||||
Trading instruments | Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | ||||||||||||||||||||||
Inverse interest-only securities | $ | 1,735,973 | $ | — | $ | 1,850,637 | $ | — | ||||||||||||||||||
Interest rate swap agreements | 19,884,272 | — | 17,486,421 | — | ||||||||||||||||||||||
Credit default swaps | — | 1,525,716 | — | 913,477 | ||||||||||||||||||||||
Swaptions | 6,002,717 | — | 5,766,300 | — | ||||||||||||||||||||||
TBAs | 2,584,391 | 2,270,489 | 1,904,608 | 1,295,974 | ||||||||||||||||||||||
Put and call options for TBAs | 413,043 | — | 95,560 | — | ||||||||||||||||||||||
Constant maturity swaps | — | 10,032,609 | — | 5,225,275 | ||||||||||||||||||||||
Short U.S. Treasuries | — | — | — | 8,901 | ||||||||||||||||||||||
Forward purchase commitment | — | 6,672 | — | 75,117 | ||||||||||||||||||||||
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | ' | |||||||||||||||||||||||||
The following table summarizes the location and amount of gains and losses on derivative instruments reported in the condensed consolidated statements of comprehensive income on its derivative instruments: | ||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Trading Instruments | Location of Gain/(Loss) Recognized in Income on Derivatives | Amount of Gain/(Loss) Recognized in Income on Derivatives | ||||||||||||||||||||||||
Three Months Ended September 30, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
Interest rate risk management | ||||||||||||||||||||||||||
TBAs (1) | Gain (loss) on other derivative instruments | $ | 71,751 | $ | 2,170 | |||||||||||||||||||||
Put and call options for TBAs (1) | Gain (loss) on other derivative instruments | (37,052 | ) | — | ||||||||||||||||||||||
Constant maturity swaps (1) | Gain (loss) on other derivative instruments | 71 | — | |||||||||||||||||||||||
Short U.S. Treasuries (1) | Gain (loss) on other derivative instruments | — | (1,768 | ) | ||||||||||||||||||||||
Interest rate swap agreements - Receivers (1) | (Loss) gain on interest rate swap and swaption agreements | 7,852 | — | |||||||||||||||||||||||
Interest rate swap agreements - Payers (2) | (Loss) gain on interest rate swap and swaption agreements | (8,691 | ) | (5,428 | ) | |||||||||||||||||||||
Interest rate swap agreements - Payers (4) | (Loss) gain on interest rate swap and swaption agreements | (58,282 | ) | (64,774 | ) | |||||||||||||||||||||
Swaptions (4) | (Loss) gain on interest rate swap and swaption agreements | 3,711 | (6,270 | ) | ||||||||||||||||||||||
Credit risk management | ||||||||||||||||||||||||||
Credit default swaps - Receive protection (5) | Gain (loss) on other derivative instruments | (30,344 | ) | (18,661 | ) | |||||||||||||||||||||
Non-risk management | ||||||||||||||||||||||||||
TBAs | Gain (loss) on other derivative instruments | 10,322 | — | |||||||||||||||||||||||
Inverse interest-only securities | Gain (loss) on other derivative instruments | 5,686 | 18,094 | |||||||||||||||||||||||
Credit default swaps - Provide protection | Gain (loss) on other derivative instruments | — | 3,015 | |||||||||||||||||||||||
Forward purchase commitments | (Loss) gain on mortgage loans held-for-sale | — | 604 | |||||||||||||||||||||||
Total | $ | (34,976 | ) | $ | (73,018 | ) | ||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Trading Instruments | Location of Gain/(Loss) Recognized in Income on Derivatives | Amount of Gain/(Loss) Recognized in Income on Derivatives | ||||||||||||||||||||||||
Nine Months Ended September 30, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||
Interest rate risk management | ||||||||||||||||||||||||||
TBAs (1) | Gain (loss) on other derivative instruments | $ | 138,429 | $ | (22,817 | ) | ||||||||||||||||||||
Put and call options for TBAs (1) | Gain (loss) on other derivative instruments | 15,375 | — | |||||||||||||||||||||||
Constant maturity swaps (1) | Gain (loss) on other derivative instruments | (13,986 | ) | — | ||||||||||||||||||||||
Short U.S. Treasuries (1) | Gain (loss) on other derivative instruments | (991 | ) | (1,768 | ) | |||||||||||||||||||||
Interest rate swap agreements - Receivers (1) | (Loss) gain on interest rate swap and swaption agreements | 7,852 | — | |||||||||||||||||||||||
Interest rate swap agreements - Payers (2) | (Loss) gain on interest rate swap and swaption agreements | (8,371 | ) | (12,774 | ) | |||||||||||||||||||||
Forward sale commitments (3) | (Loss) gain on mortgage loans held-for-sale | — | (26 | ) | ||||||||||||||||||||||
Interest rate swap agreements - Payers (4) | (Loss) gain on interest rate swap and swaption agreements | 128,431 | (110,409 | ) | ||||||||||||||||||||||
Swaptions (4) | (Loss) gain on interest rate swap and swaption agreements | 95,476 | (30,496 | ) | ||||||||||||||||||||||
Credit risk management | ||||||||||||||||||||||||||
Credit default swaps - Receive protection (5) | Gain (loss) on other derivative instruments | (40,206 | ) | (44,187 | ) | |||||||||||||||||||||
Non-risk management | ||||||||||||||||||||||||||
TBAs | Gain (loss) on other derivative instruments | 668 | — | |||||||||||||||||||||||
Inverse interest-only securities | Gain (loss) on other derivative instruments | (33,234 | ) | 43,154 | ||||||||||||||||||||||
Credit default swaps - Provide protection | Gain (loss) on other derivative instruments | — | 11,987 | |||||||||||||||||||||||
Forward purchase commitments | (Loss) gain on mortgage loans held-for-sale | (20,015 | ) | 604 | ||||||||||||||||||||||
Total | $ | 269,428 | $ | (166,732 | ) | |||||||||||||||||||||
Other_Assets_Tables
Other Assets (Tables) | 9 Months Ended | |||||||
Sep. 30, 2013 | ||||||||
Other Assets [Abstract] | ' | |||||||
Schedule of Servicing Assets at Fair Value [Table Text Block] | ' | |||||||
The following table summarizes activity related to MSRs, for the three and nine months ended September 30, 2013. | ||||||||
(in thousands) | Three Months Ended September 30, 2013 | Nine Months Ended September 30, 2013 | ||||||
Balance at beginning of period | $ | 1,452 | $ | — | ||||
Additions | 13,390 | 14,887 | ||||||
Changes in fair value due to: | ||||||||
Changes in fair value assumptions | — | — | ||||||
Other changes in fair value | 861 | 816 | ||||||
Balance at end of period | $ | 15,703 | $ | 15,703 | ||||
Schedule of Other Assets [Table Text Block] | ' | |||||||
Other assets as of September 30, 2013 and December 31, 2012 are summarized in the following table: | ||||||||
(in thousands) | September 30, | December 31, | ||||||
2013 | 2012 | |||||||
Property and equipment at cost | $ | 2,073 | $ | 1,034 | ||||
Accumulated depreciation (1) | (675 | ) | (251 | ) | ||||
Net property and equipment | 1,398 | 783 | ||||||
Mortgage servicing rights, at fair value | 15,703 | — | ||||||
Prepaid expenses | 974 | 1,411 | ||||||
Current income tax receivable | — | 4,323 | ||||||
Deferred tax assets | — | 44,184 | ||||||
Intangible assets | 1,600 | — | ||||||
Servicing advances | 5,368 | — | ||||||
Other receivables (2) | 2,198 | 31,885 | ||||||
Total other assets | $ | 27,241 | $ | 82,586 | ||||
____________________ | ||||||||
-1 | Depreciation expense for the three and nine months ended September 30, 2013 was $168,586 and $424,191, respectively. | |||||||
Components of Servicing Revenue [Table Text Block] | ' | |||||||
The following table presents the components of servicing revenue recorded within other income on the Company’s condensed consolidated statements of comprehensive income for the three and nine months ended September 30, 2013: | ||||||||
(in thousands) | Three Months Ended September 30, 2013 | Nine Months Ended September 30, 2013 | ||||||
Servicing fee income | $ | 899 | $ | 1,114 | ||||
Ancillary fee income | 90 | 120 | ||||||
$ | 989 | $ | 1,234 | |||||
Other_Liabilities_Other_Liabil1
Other Liabilities Other Liabilties (Tables) | 9 Months Ended | |||||||
Sep. 30, 2013 | ||||||||
Other Liabilities [Abstract] | ' | |||||||
Other Liabilities [Table Text Block] | ' | |||||||
Other liabilities as of September 30, 2013 and December 31, 2012 are summarized in the following table: | ||||||||
(in thousands) | September 30, | December 31, | ||||||
2013 | 2012 | |||||||
Accrued expenses | $ | 17,330 | $ | 13,295 | ||||
Deferred tax liabilities | 31,200 | — | ||||||
Income taxes payable | 2,356 | — | ||||||
Other | 5,239 | — | ||||||
Total other liabilities | $ | 56,125 | $ | 13,295 | ||||
Fair_Value_Tables
Fair Value (Tables) | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Table Text Block] | ' | ||||||||||||||||
The table below presents information about the significant unobservable inputs used in the fair value measurement of the Company’s MSRs classified as Level 3 fair value assets at September 30, 2013: | |||||||||||||||||
As of September 30, 2013 | |||||||||||||||||
(in thousands) | Fair Value | Valuation Technique | Unobservable Input (1) | Range | Weighted Average | ||||||||||||
Mortgage servicing rights | $ | 15,703 | Discounted cash flow | Constant prepayment speed | 6 | - | 11 | % | 8.5 | % | |||||||
Delinquency | 3 | - | 10 | % | 5 | % | |||||||||||
Discount rate | 8 | - | 14 | % | 11.3 | % | |||||||||||
___________________ | |||||||||||||||||
-1 | Significant increases/(decreases) in any of the inputs in isolation may result in significantly lower/(higher) fair value measurement. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the the probability of delinquency and a directionally opposite change in the assumption used for prepayment rates. | ||||||||||||||||
Fair Value, by Balance Sheet Grouping [Table Text Block] | ' | ||||||||||||||||
The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at September 30, 2013 and December 31, 2012. | |||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||
(in thousands) | Carrying Value | Fair Value | Carrying Value | Fair Value | |||||||||||||
Assets | |||||||||||||||||
Available-for-sale securities | $ | 12,672,233 | $ | 12,672,233 | $ | 13,666,954 | $ | 13,666,954 | |||||||||
Trading securities | 1,000,625 | 1,000,625 | 1,002,062 | 1,002,062 | |||||||||||||
Equity securities | — | — | 335,638 | 335,638 | |||||||||||||
Mortgage loans held-for-sale | 559,737 | 559,737 | 58,607 | 58,607 | |||||||||||||
Mortgage loans held-for-investment in securitization trusts | 804,988 | 804,988 | — | — | |||||||||||||
Cash and cash equivalents | 723,160 | 723,160 | 821,108 | 821,108 | |||||||||||||
Restricted cash | 678,328 | 678,328 | 302,322 | 302,322 | |||||||||||||
Derivative assets | 544,515 | 544,515 | 462,080 | 462,080 | |||||||||||||
Mortgage servicing rights | 15,703 | 15,703 | — | — | |||||||||||||
Liabilities | |||||||||||||||||
Repurchase agreements | $ | 12,152,065 | $ | 12,152,065 | $ | 12,624,510 | $ | 12,624,510 | |||||||||
Collateralized borrowings in securitization trusts | 649,082 | 649,082 | — | — | |||||||||||||
Derivative liabilities | 73,827 | 73,827 | 129,294 | 129,294 | |||||||||||||
Fair Value, Measurement Inputs, Disclosure [Text Block] | ' | ||||||||||||||||
The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities. | |||||||||||||||||
Recurring Fair Value Measurements | |||||||||||||||||
At September 30, 2013 | |||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | |||||||||||||||||
Available-for-sale securities | $ | — | $ | 12,672,233 | $ | — | $ | 12,672,233 | |||||||||
Trading securities | 1,000,625 | — | — | 1,000,625 | |||||||||||||
Mortgage loans held-for-sale | — | 119,607 | 440,130 | 559,737 | |||||||||||||
Mortgage loans held-for-investment in securitization trusts | — | 804,988 | — | 804,988 | |||||||||||||
Derivative assets | 21,896 | 522,619 | — | 544,515 | |||||||||||||
Mortgage servicing rights | — | — | 15,703 | 15,703 | |||||||||||||
Total assets | $ | 1,022,521 | $ | 14,119,447 | $ | 455,833 | $ | 15,597,801 | |||||||||
Liabilities | |||||||||||||||||
Collateralized borrowings in securitization trusts | $ | — | $ | 649,082 | $ | — | $ | 649,082 | |||||||||
Derivative liabilities | 34,634 | 39,193 | — | 73,827 | |||||||||||||
Total liabilities | $ | 34,634 | $ | 688,275 | $ | — | $ | 722,909 | |||||||||
Recurring Fair Value Measurements | |||||||||||||||||
At December 31, 2012 | |||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | |||||||||||||||||
Available-for-sale securities | $ | — | $ | 13,665,083 | $ | 1,871 | $ | 13,666,954 | |||||||||
Trading securities | 1,002,062 | — | — | 1,002,062 | |||||||||||||
Equity securities | 335,638 | — | — | 335,638 | |||||||||||||
Mortgage loans held-for-sale | — | 58,607 | — | 58,607 | |||||||||||||
Derivative assets | 1,917 | 460,163 | — | 462,080 | |||||||||||||
Total assets | $ | 1,339,617 | $ | 14,183,853 | $ | 1,871 | $ | 15,525,341 | |||||||||
Liabilities | |||||||||||||||||
Derivative liabilities | $ | 239 | $ | 129,055 | $ | — | $ | 129,294 | |||||||||
Total liabilities | $ | 239 | $ | 129,055 | $ | — | $ | 129,294 | |||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] | ' | ||||||||||||||||
The table below presents the reconciliation for all of the Company’s Level 3 assets and liabilities measured at fair value on a recurring basis. The Level 3 items presented below may be hedged by derivatives and other financial instruments that are classified as Level 1 or Level 2. Thus, the tables below do not fully reflect the impact of the Company’s risk management activities. | |||||||||||||||||
Level 3 Recurring Fair Value Measurements | |||||||||||||||||
Three Months Ended September 30, 2013 | |||||||||||||||||
Assets | |||||||||||||||||
(in thousands) | Available-For-Sale Securities | Mortgage Loans Held-For-Sale | Mortgage Servicing Rights | ||||||||||||||
Beginning of period level 3 fair value | $ | — | $ | 438,193 | $ | 1,452 | |||||||||||
Gains/(losses) included in net income: | |||||||||||||||||
Realized gains (losses) | — | (1) | 211 | — | |||||||||||||
Unrealized gains (losses) | — | 7,588 | (2) | 861 | |||||||||||||
Total net gains/(losses) included in net income | — | 7,799 | 861 | ||||||||||||||
Other comprehensive income | — | — | — | ||||||||||||||
Purchases | — | 175 | 13,390 | ||||||||||||||
Sales | — | — | — | ||||||||||||||
Settlements | — | (6,037 | ) | — | |||||||||||||
Gross transfers into level 3 | — | — | — | ||||||||||||||
Gross transfers out of level 3 | — | — | — | ||||||||||||||
End of period level 3 fair value | $ | — | $ | 440,130 | $ | 15,703 | |||||||||||
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | $ | — | $ | 7,588 | (3) | $ | 861 | ||||||||||
Level 3 Recurring Fair Value Measurements | |||||||||||||||||
Nine Months Ended September 30, 2013 | |||||||||||||||||
Assets | |||||||||||||||||
(in thousands) | Available-For-Sale Securities | Mortgage Loans Held-For-Sale | Mortgage Servicing Rights | ||||||||||||||
Beginning of period level 3 fair value | $ | 1,871 | $ | — | $ | — | |||||||||||
Gains/(losses) included in net income: | |||||||||||||||||
Realized gains (losses) | 74 | (1) | 633 | — | |||||||||||||
Unrealized gains (losses) | — | 8,762 | (2) | 816 | |||||||||||||
Total net gains/(losses) included in net income | 74 | 9,395 | 816 | ||||||||||||||
Other comprehensive income | 1,426 | — | — | ||||||||||||||
Purchases | — | 440,243 | 14,887 | ||||||||||||||
Sales | — | — | — | ||||||||||||||
Settlements | — | (9,508 | ) | — | |||||||||||||
Gross transfers into level 3 | 3,000 | — | — | ||||||||||||||
Gross transfers out of level 3 | (6,371 | ) | — | — | |||||||||||||
End of period level 3 fair value | $ | — | $ | 440,130 | $ | 15,703 | |||||||||||
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | $ | — | $ | 8,762 | (3) | $ | 816 | ||||||||||
___________________ | |||||||||||||||||
-1 | For the three and nine months ended September 30, 2013, the realized gains on available-for-sale securities represent net (premium amortization)/discount accretion recorded in interest income on the condensed consolidated statements of comprehensive income. | ||||||||||||||||
-2 | For the three and nine months ended September 30, 2013, the change in unrealized gains or losses on mortgage loans held-for-sale was recorded in (loss) gain on mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income. | ||||||||||||||||
-3 | For the three and nine months ended September 30, 2013, the change in unrealized gains or losses on mortgage loans held-for-sale that were held at the end of the reporting period were recorded in (loss) gain on mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income. | ||||||||||||||||
The Company transferred one Level 2 asset in the amount of $3.0 million into Level 3 during the three months ended March 31, 2013. The asset was deemed to be Level 3 based on the limited availability of third-party pricing. However, during the nine months ended September 30, 2013, the Company transferred this asset along with two other Level 3 assets in the amount of $6.4 million into Level 2. The assets were deemed to be Level 2 based on the availability of third-party pricing and corroborating market data. The Company did not incur transfers between Level 1 and Level 2 for the nine months ended September 30, 2013. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place. | |||||||||||||||||
Fair Value, Measurement Inputs, Disclosure [Text Block] | ' | ||||||||||||||||
The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities. | |||||||||||||||||
Recurring Fair Value Measurements | |||||||||||||||||
At September 30, 2013 | |||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | |||||||||||||||||
Available-for-sale securities | $ | — | $ | 12,672,233 | $ | — | $ | 12,672,233 | |||||||||
Trading securities | 1,000,625 | — | — | 1,000,625 | |||||||||||||
Mortgage loans held-for-sale | — | 119,607 | 440,130 | 559,737 | |||||||||||||
Mortgage loans held-for-investment in securitization trusts | — | 804,988 | — | 804,988 | |||||||||||||
Derivative assets | 21,896 | 522,619 | — | 544,515 | |||||||||||||
Mortgage servicing rights | — | — | 15,703 | 15,703 | |||||||||||||
Total assets | $ | 1,022,521 | $ | 14,119,447 | $ | 455,833 | $ | 15,597,801 | |||||||||
Liabilities | |||||||||||||||||
Collateralized borrowings in securitization trusts | $ | — | $ | 649,082 | $ | — | $ | 649,082 | |||||||||
Derivative liabilities | 34,634 | 39,193 | — | 73,827 | |||||||||||||
Total liabilities | $ | 34,634 | $ | 688,275 | $ | — | $ | 722,909 | |||||||||
Recurring Fair Value Measurements | |||||||||||||||||
At December 31, 2012 | |||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | |||||||||||||||||
Available-for-sale securities | $ | — | $ | 13,665,083 | $ | 1,871 | $ | 13,666,954 | |||||||||
Trading securities | 1,002,062 | — | — | 1,002,062 | |||||||||||||
Equity securities | 335,638 | — | — | 335,638 | |||||||||||||
Mortgage loans held-for-sale | — | 58,607 | — | 58,607 | |||||||||||||
Derivative assets | 1,917 | 460,163 | — | 462,080 | |||||||||||||
Total assets | $ | 1,339,617 | $ | 14,183,853 | $ | 1,871 | $ | 15,525,341 | |||||||||
Liabilities | |||||||||||||||||
Derivative liabilities | $ | 239 | $ | 129,055 | $ | — | $ | 129,294 | |||||||||
Total liabilities | $ | 239 | $ | 129,055 | $ | — | $ | 129,294 | |||||||||
Fair Value, Option, Quantitative Disclosures [Table Text Block] | ' | ||||||||||||||||
The following table summarizes the fair value option elections and information regarding the amounts recognized in earnings for each fair value option-elected item. | |||||||||||||||||
Changes included in the Condensed Consolidated Statements of Comprehensive Income | |||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||||
(in thousands) | |||||||||||||||||
Interest income: | |||||||||||||||||
Interest income on mortgage loans held-for-sale (1) | $ | 9,297 | $ | 167 | $ | 15,409 | $ | 362 | |||||||||
Interest income on mortgage loans held-for-investment in securitization trusts (1) | 5,649 | — | 11,672 | — | |||||||||||||
Interest expense: | |||||||||||||||||
Interest expense on collateralized borrowings in securitization trusts | (3,125 | ) | — | (6,112 | ) | — | |||||||||||
Other income: | |||||||||||||||||
Realized loss on mortgage loans held-for-sale (2) | (10,456 | ) | (23 | ) | (10,221 | ) | (45 | ) | |||||||||
Unrealized gain on mortgage loans held-for-sale (2) | 6,013 | 34 | 4,974 | 59 | |||||||||||||
Unrealized gain (loss) on mortgage loans held-for-investment in securitization trusts (3) | 1,698 | — | (23,059 | ) | — | ||||||||||||
Unrealized gain on collateralized borrowings in securitization trusts (3) | 7,076 | — | 39,680 | — | |||||||||||||
Realized gain on equity securities (4) | — | — | 13,725 | — | |||||||||||||
Unrealized loss on equity securities (4) | — | — | (5,882 | ) | — | ||||||||||||
Total included in net income | $ | 16,152 | $ | 178 | $ | 40,186 | $ | 376 | |||||||||
Change in fair value due to credit risk | $ | — | $ | — | $ | — | $ | — | |||||||||
____________________ | |||||||||||||||||
-1 | Interest income on mortgage loans held-for-sale and mortgage loans held-for-investment in securitization trusts is measured by multiplying the unpaid principal balance on the loans by the coupon rate and the number of days of interest due. | ||||||||||||||||
-2 | Realized loss and unrealized gain on mortgage loans held-for-sale are recorded in (loss) gain on mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income. | ||||||||||||||||
-3 | Unrealized gain (loss) on mortgage loans held-for-investment in securitization trusts and unrealized gain on collateralized borrowings in securitization trusts are recorded in other income on the condensed consolidated statements of comprehensive income. | ||||||||||||||||
-4 | Realized gain and unrealized loss on equity securities are recorded in (loss) gain on investment securities on the condensed consolidated statements of comprehensive income. | ||||||||||||||||
The table below provides the fair value and the unpaid principal balance for the Company’s fair value option-elected loans and collateralized borrowings. | |||||||||||||||||
September 30, 2013 | December 31, 2012 | ||||||||||||||||
(in thousands) | Unpaid Principal Balance | Fair Value (1) | Unpaid Principal Balance | Fair Value (1) | |||||||||||||
Mortgage loans held-for-sale | |||||||||||||||||
Total loans | $ | 688,620 | $ | 559,737 | $ | 56,976 | $ | 58,607 | |||||||||
Nonaccrual loans | $ | 70,382 | $ | 55,782 | $ | — | $ | — | |||||||||
Loans 90+ days past due | $ | 47,086 | $ | 37,303 | $ | — | $ | — | |||||||||
Mortgage loans held-for-investment in securitization trusts | |||||||||||||||||
Total loans | $ | 825,285 | $ | 804,988 | $ | — | $ | — | |||||||||
Nonaccrual loans | $ | — | $ | — | $ | — | $ | — | |||||||||
Loans 90+ days past due | $ | — | $ | — | $ | — | $ | — | |||||||||
Collateralized borrowings in securitization trusts | |||||||||||||||||
Total borrowings | $ | 698,150 | $ | 649,082 | $ | — | $ | — | |||||||||
____________________ | |||||||||||||||||
-1 | Excludes accrued interest receivable. |
Repurchase_Agreements_Tables
Repurchase Agreements (Tables) | 9 Months Ended | |||||||||||||||||||||||||||
Sep. 30, 2013 | ||||||||||||||||||||||||||||
Repurchase Agreements [Abstract] | ' | |||||||||||||||||||||||||||
Schedule of Repurchase Agreements by Term, Short or Long [Table Text Block] | ' | |||||||||||||||||||||||||||
At September 30, 2013 and December 31, 2012, the repurchase agreement balances were as follows: | ||||||||||||||||||||||||||||
(in thousands) | September 30, | December 31, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||||
Short-term | $ | 11,952,065 | $ | 12,424,510 | ||||||||||||||||||||||||
Long-term | 200,000 | 200,000 | ||||||||||||||||||||||||||
Total | $ | 12,152,065 | $ | 12,624,510 | ||||||||||||||||||||||||
Schedule of Repurchase Agreements by Collateral Type [Table Text Block] | ' | |||||||||||||||||||||||||||
At September 30, 2013 and December 31, 2012, the repurchase agreements had the following characteristics: | ||||||||||||||||||||||||||||
(dollars in thousands) | September 30, 2013 | December 31, 2012 | ||||||||||||||||||||||||||
Collateral Type | Amount Outstanding | Weighted Average Borrowing Rate | Amount Outstanding | Weighted Average Borrowing Rate | ||||||||||||||||||||||||
U.S. Treasuries | $ | 996,250 | 0.09 | % | $ | 997,500 | 0.3 | % | ||||||||||||||||||||
Agency RMBS AFS | 9,251,556 | 0.45 | % | 10,171,385 | 0.54 | % | ||||||||||||||||||||||
Non-Agency RMBS | 1,714,491 | 2.07 | % | 1,177,675 | 2.5 | % | ||||||||||||||||||||||
Agency derivatives | 173,579 | 1.02 | % | 228,241 | 1.16 | % | ||||||||||||||||||||||
Mortgage loans held-for-sale | 16,189 | 2.55 | % | 49,709 | 2.46 | % | ||||||||||||||||||||||
Total | $ | 12,152,065 | 0.66 | % | $ | 12,624,510 | 0.72 | % | ||||||||||||||||||||
Schedule of Repurchase Agreements by Maturity [Table Text Block] | ' | |||||||||||||||||||||||||||
At September 30, 2013 and December 31, 2012, the repurchase agreements had the following remaining maturities: | ||||||||||||||||||||||||||||
(in thousands) | September 30, | December 31, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||||
Within 30 days | $ | 2,911,117 | $ | 3,038,229 | ||||||||||||||||||||||||
30 to 59 days | 4,730,641 | 3,528,393 | ||||||||||||||||||||||||||
60 to 89 days | 88,560 | 1,731,595 | ||||||||||||||||||||||||||
90 to 119 days | 1,566,860 | 849,621 | ||||||||||||||||||||||||||
120 to 364 days | 1,658,637 | 2,279,172 | ||||||||||||||||||||||||||
Open maturity (1) | 996,250 | 997,500 | ||||||||||||||||||||||||||
One year and over (2) | 200,000 | 200,000 | ||||||||||||||||||||||||||
Total | $ | 12,152,065 | $ | 12,624,510 | ||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||
-1 | Repurchase agreements collateralized by U.S. Treasuries include an open maturity period (i.e., rolling 1-day maturity) renewable at the discretion of either party to the agreements. | |||||||||||||||||||||||||||
-2 | One year and over includes repurchase agreements with maturity dates ranging from June 26, 2015 to June 27, 2016. | |||||||||||||||||||||||||||
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets [Table Text Block] | ' | |||||||||||||||||||||||||||
The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of repurchase agreements: | ||||||||||||||||||||||||||||
(in thousands) | September 30, | December 31, | ||||||||||||||||||||||||||
2013 | 2012 | |||||||||||||||||||||||||||
Available-for-sale securities, at fair value | $ | 12,239,599 | $ | 12,810,355 | ||||||||||||||||||||||||
Trading securities, at fair value | 1,000,625 | 1,002,062 | ||||||||||||||||||||||||||
Mortgage loans held-for-sale | 18,982 | 52,529 | ||||||||||||||||||||||||||
Cash and cash equivalents | 15,000 | 10,000 | ||||||||||||||||||||||||||
Restricted cash | 259,642 | 84,307 | ||||||||||||||||||||||||||
Due from counterparties | 103,682 | 36,917 | ||||||||||||||||||||||||||
Derivative assets, at fair value | 221,402 | 291,054 | ||||||||||||||||||||||||||
Total | $ | 13,858,932 | $ | 14,287,224 | ||||||||||||||||||||||||
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity [Table Text Block] | ' | |||||||||||||||||||||||||||
The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at September 30, 2013 and December 31, 2012: | ||||||||||||||||||||||||||||
September 30, 2013 | December 31, 2012 | |||||||||||||||||||||||||||
(dollars in thousands) | Amount Outstanding | Net Counterparty Exposure (1) | Percent of Equity | Weighted Average Days to Maturity | Amount Outstanding | Net Counterparty Exposure (1) | Percent of Equity | Weighted Average Days to Maturity | ||||||||||||||||||||
Barclays Capital Inc. | $ | 1,293,826 | $ | 300,824 | 8 | % | 41.1 | $ | 1,127,888 | $ | 257,858 | 7 | % | 90.3 | ||||||||||||||
All other counterparties (2) (3) | 9,861,989 | 1,381,138 | 37 | % | 81 | 10,499,122 | 1,403,268 | 41 | % | 84 | ||||||||||||||||||
Total | $ | 11,155,815 | $ | 1,681,962 | $ | 11,627,010 | $ | 1,661,126 | ||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||
-1 | Represents the net carrying value of the securities and mortgage loans held-for-sale sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest. At September 30, 2013 and December 31, 2012, the Company had $43.5 million and $291.7 million, respectively, in payables due to broker counterparties for unsettled securities purchases. The payables are not included in the amounts presented above. | |||||||||||||||||||||||||||
-2 | Excludes $996.3 million of repurchase agreements collateralized by U.S. Treasuries with a rolling 1-day maturity. | |||||||||||||||||||||||||||
-3 | Represents amounts outstanding with 20 and 21 counterparties at September 30, 2013 and December 31, 2012, respectively. |
Stockholders_Equity_Tables
Stockholders' Equity (Tables) | 9 Months Ended | ||||||||||||||||||
Sep. 30, 2013 | |||||||||||||||||||
Stockholders' Equity Attributable to Parent [Abstract] | ' | ||||||||||||||||||
Schedule of Dividends Declared [Table Text Block] | ' | ||||||||||||||||||
The following table presents cash dividends declared by the Company on its common stock from October 28, 2009 through September 30, 2013: | |||||||||||||||||||
Declaration Date | Record Date | Payment Date | Cash Dividend Per Share | ||||||||||||||||
September 11, 2013 | September 26, 2013 | October 23, 2013 | $ | 0.28 | |||||||||||||||
June 18, 2013 | June 28, 2013 | July 23, 2013 | $ | 0.31 | |||||||||||||||
March 18, 2013 | April 2, 2013 | April 24, 2013 | $ | 0.32 | |||||||||||||||
December 17, 2012 | December 31, 2012 | January 18, 2013 | $ | 0.55 | |||||||||||||||
September 12, 2012 | September 24, 2012 | October 22, 2012 | $ | 0.36 | |||||||||||||||
June 12, 2012 | June 22, 2012 | July 20, 2012 | $ | 0.4 | |||||||||||||||
March 14, 2012 | March 26, 2012 | April 20, 2012 | $ | 0.4 | |||||||||||||||
December 14, 2011 | December 27, 2011 | January 20, 2012 | $ | 0.4 | |||||||||||||||
September 14, 2011 | September 26, 2011 | October 20, 2011 | $ | 0.4 | |||||||||||||||
June 14, 2011 | June 24, 2011 | July 20, 2011 | $ | 0.4 | |||||||||||||||
March 2, 2011 | March 14, 2011 | April 14, 2011 | $ | 0.4 | |||||||||||||||
December 8, 2010 | December 17, 2010 | January 20, 2011 | $ | 0.4 | |||||||||||||||
September 13, 2010 | September 30, 2010 | October 21, 2010 | $ | 0.39 | |||||||||||||||
June 14, 2010 | June 30, 2010 | July 22, 2010 | $ | 0.33 | |||||||||||||||
March 12, 2010 | March 31, 2010 | April 23, 2010 | $ | 0.36 | |||||||||||||||
December 21, 2009 | December 31, 2009 | January 26, 2010 | $ | 0.26 | |||||||||||||||
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | ' | ||||||||||||||||||
Accumulated other comprehensive income at September 30, 2013 and December 31, 2012 was as follows: | |||||||||||||||||||
(in thousands) | September 30, | December 31, | |||||||||||||||||
2013 | 2012 | ||||||||||||||||||
Available-for-sale securities, at fair value | |||||||||||||||||||
Unrealized gains | $ | 693,225 | $ | 724,696 | |||||||||||||||
Unrealized losses | (180,451 | ) | (28,238 | ) | |||||||||||||||
Accumulated other comprehensive income | $ | 512,774 | $ | 696,458 | |||||||||||||||
Reclassification out of Accumulated Other Comprehensive Income [Table Text Block] | ' | ||||||||||||||||||
The following table summarizes reclassifications out of accumulated other comprehensive income for the three and nine months ended September 30, 2013 and 2012: | |||||||||||||||||||
(in thousands) | Affected Line Item in the Condensed Consolidated Statements of Comprehensive Income | Amount Reclassified out of Accumulated Other Comprehensive Income | |||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||
2013 | 2012 | 2013 | 2012 | ||||||||||||||||
Other-than-temporary-impairments on AFS securities | Total other-than-temporary impairment losses | $ | — | $ | 559 | $ | 1,662 | $ | 9,310 | ||||||||||
Realized (gains) losses on sales of AFS securities | (Loss) gain on investment securities | 187,007 | 803 | 123,089 | (6,342 | ) | |||||||||||||
$ | 187,007 | $ | 1,362 | $ | 124,751 | $ | 2,968 | ||||||||||||
Other_Operating_Expenses_Table
Other Operating Expenses (Tables) | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Operating Expenses [Abstract] | ' | |||||||||||||||
Schedule of Other Operating Cost and Expense, by Component [Table Text Block] | ' | |||||||||||||||
Components of the Company’s other operating expenses for the three and nine months ended September 30, 2013 and 2012, are presented in the following table: | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(in thousands) | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Other operating expenses: | ||||||||||||||||
General and administrative | $ | 7,754 | $ | 3,418 | $ | 20,069 | $ | 9,789 | ||||||||
Directors and officers’ insurance | 201 | 204 | 603 | 493 | ||||||||||||
Professional fees | 1,200 | 332 | 4,223 | 1,141 | ||||||||||||
Subservicing expenses | 862 | — | 1,169 | — | ||||||||||||
Total other operating expenses | $ | 10,017 | $ | 3,954 | $ | 26,064 | $ | 11,423 | ||||||||
Earnings_Per_Share_Tables
Earnings Per Share (Tables) | 9 Months Ended | |||||||||||||||
Sep. 30, 2013 | ||||||||||||||||
Earnings Per Share [Abstract] | ' | |||||||||||||||
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | ' | |||||||||||||||
The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share, or EPS, for the three and nine months ended September 30, 2013 and 2012: | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
(in thousands, except share data) | 2013 | 2012 | 2013 | 2012 | ||||||||||||
Numerator: | ||||||||||||||||
Net (loss) income from continuing operations | $ | (193,599 | ) | $ | 29,476 | $ | 336,361 | $ | 105,507 | |||||||
Income (loss) from discontinued operations | 871 | (2,674 | ) | 3,264 | (2,901 | ) | ||||||||||
Net (loss) income attributable to common stockholders | $ | (192,728 | ) | $ | 26,802 | $ | 339,625 | $ | 102,606 | |||||||
Denominator: | ||||||||||||||||
Weighted average common shares outstanding | 364,032,788 | 269,972,503 | 345,046,012 | 224,015,418 | ||||||||||||
Weighted average restricted stock shares | 1,024,979 | 32,709 | 483,599 | 43,344 | ||||||||||||
Basic weighted average shares outstanding | 365,057,767 | 270,005,212 | 345,529,611 | 224,058,762 | ||||||||||||
Dilutive weighted average warrants | 109,225 | 932,748 | 840,747 | 310,916 | ||||||||||||
Diluted weighted average shares outstanding | 365,166,992 | 270,937,960 | 346,370,358 | 224,369,678 | ||||||||||||
Basic (Loss) Earnings Per Share: | ||||||||||||||||
Continuing operations | $ | (0.53 | ) | $ | 0.11 | $ | 0.97 | $ | 0.47 | |||||||
Discontinued operations | — | (0.01 | ) | 0.01 | (0.01 | ) | ||||||||||
Net (loss) income | $ | (0.53 | ) | $ | 0.1 | $ | 0.98 | $ | 0.46 | |||||||
Diluted (Loss) Earnings Per Share: | ||||||||||||||||
Continuing operations | $ | (0.53 | ) | $ | 0.11 | $ | 0.97 | $ | 0.47 | |||||||
Discontinued operations | — | (0.01 | ) | 0.01 | (0.01 | ) | ||||||||||
Net (loss) income | $ | (0.53 | ) | $ | 0.1 | $ | 0.98 | $ | 0.46 | |||||||
Basis_of_Presentation_and_Sign3
Basis of Presentation and Significant Accounting Policies Offsetting Assets and Liabilities (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Derivative Financial Instruments, Assets [Member] | ' | ' |
Offsetting Assets and Liabilities [Line Items] | ' | ' |
Gross Amount of Recognized Assets (Liabilities) | $604,297 | $463,027 |
Gross Amounts Offset on the Balance Sheet | -59,782 | -947 |
Net Amount of Assets (Liabilities) Presented on the Balance Sheet | 544,515 | 462,080 |
Gross Amounts of Financial Instruments Not Offset on the Balance Sheet | -73,827 | -129,294 |
Gross Amounts of Cash Collateral Not Offset on the Balance Sheet | 0 | 85,798 |
Net Amount After Deducting Gross Amounts Not Offset on the Balance Sheet From Net Amount of Assets (Liabilities) Presented on the Balance Sheet | 470,688 | 418,584 |
Assets [Member] | ' | ' |
Offsetting Assets and Liabilities [Line Items] | ' | ' |
Gross Amount of Recognized Assets (Liabilities) | 604,297 | 463,027 |
Gross Amounts Offset on the Balance Sheet | -59,782 | -947 |
Net Amount of Assets (Liabilities) Presented on the Balance Sheet | 544,515 | 462,080 |
Gross Amounts of Financial Instruments Not Offset on the Balance Sheet | -73,827 | -129,294 |
Gross Amounts of Cash Collateral Not Offset on the Balance Sheet | 0 | 85,798 |
Net Amount After Deducting Gross Amounts Not Offset on the Balance Sheet From Net Amount of Assets (Liabilities) Presented on the Balance Sheet | 470,688 | 418,584 |
Federal Funds Purchased and Securities Sold under Agreements to Repurchase [Member] | ' | ' |
Offsetting Assets and Liabilities [Line Items] | ' | ' |
Gross Amount of Recognized Assets (Liabilities) | -12,152,065 | -12,624,510 |
Gross Amounts Offset on the Balance Sheet | 0 | 0 |
Net Amount of Assets (Liabilities) Presented on the Balance Sheet | -12,152,065 | -12,624,510 |
Gross Amounts of Financial Instruments Not Offset on the Balance Sheet | 12,152,065 | 12,624,510 |
Gross Amounts of Cash Collateral Not Offset on the Balance Sheet | 0 | 0 |
Net Amount After Deducting Gross Amounts Not Offset on the Balance Sheet From Net Amount of Assets (Liabilities) Presented on the Balance Sheet | 0 | 0 |
Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Offsetting Assets and Liabilities [Line Items] | ' | ' |
Gross Amount of Recognized Assets (Liabilities) | -133,609 | -130,241 |
Gross Amounts Offset on the Balance Sheet | 59,782 | 947 |
Net Amount of Assets (Liabilities) Presented on the Balance Sheet | -73,827 | -129,294 |
Gross Amounts of Financial Instruments Not Offset on the Balance Sheet | 73,827 | 129,294 |
Gross Amounts of Cash Collateral Not Offset on the Balance Sheet | 0 | 0 |
Net Amount After Deducting Gross Amounts Not Offset on the Balance Sheet From Net Amount of Assets (Liabilities) Presented on the Balance Sheet | 0 | 0 |
Liability [Member] | ' | ' |
Offsetting Assets and Liabilities [Line Items] | ' | ' |
Gross Amount of Recognized Assets (Liabilities) | -12,285,674 | -12,754,751 |
Gross Amounts Offset on the Balance Sheet | 59,782 | 947 |
Net Amount of Assets (Liabilities) Presented on the Balance Sheet | -12,225,892 | -12,753,804 |
Gross Amounts of Financial Instruments Not Offset on the Balance Sheet | 12,225,892 | 12,753,804 |
Gross Amounts of Cash Collateral Not Offset on the Balance Sheet | 0 | 0 |
Net Amount After Deducting Gross Amounts Not Offset on the Balance Sheet From Net Amount of Assets (Liabilities) Presented on the Balance Sheet | $0 | $0 |
Variable_Interest_Entities_Var2
Variable Interest Entities Variable Interest Entities (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Variable Interest Entity [Line Items] | ' | ' |
Variable Interest Entity, Consolidated, Carrying Amount, Assets | $808,647 | $0 |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 652,227 | 0 |
Loans Held-for-investment, Mortgages [Member] | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 804,988 | 0 |
Accrued Income Receivable [Member] | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 3,659 | 0 |
Assets, Total [Member] | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 808,647 | 0 |
Borrowings [Member] | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 649,082 | 0 |
Accrued Liabilities [Member] | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 1,622 | 0 |
Accounts Payable [Member] | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 1,523 | 0 |
Liabilities, Total [Member] | ' | ' |
Variable Interest Entity [Line Items] | ' | ' |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | $652,227 | $0 |
Discontinued_Operations_Discon1
Discontinued Operations Discontinued Operations (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | ' | ' | ' | ' |
Discontinued Operation, Gain (Loss) on Disposal of Discontinued Operation, Net of Tax | $871 | $0 | $3,126 | $0 |
Disposal Group, Including Discontinued Operation, Revenue | 0 | 721 | 0 | 808 |
Disposal Group, Including Discontinued Operation, Gross Profit (Loss) | 871 | 721 | 3,126 | 808 |
Disposal Group, Including Discontinued Operation, Management Fees | 0 | 804 | 0 | 804 |
Disposal Group, Including Discontinued Operation, Real Estate Related Expenses | 0 | 1,786 | 0 | 1,984 |
Disposal Group, Including Discontinued Operation, Operating Expense | 0 | 805 | -138 | 921 |
Disposal Group, Including Discontinued Operation, Total Expenses | 0 | 3,395 | -138 | 3,709 |
Income (Loss) from Discontinued Operations, Net of Tax, Including Portion Attributable to Noncontrolling Interest | $871 | ($2,674) | $3,264 | ($2,901) |
Discontinued_Operations_Discon2
Discontinued Operations Discontinued Operations, Related Party Transactions (Details) (USD $) | 3 Months Ended | 9 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 |
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | ' | ' | ' | ' | ' |
Discontinued Operation, 2013 Gain (Loss) on Disposal of Discontinued Operation, Net of Tax | ' | ' | ' | ' | $4,000 |
Reduction of 2013 Management Fees | ' | ' | ' | ' | 4,300 |
Discontinued Operation, Gain (Loss) on Disposal of Discontinued Operation, Net of Tax | 871 | 0 | 3,126 | 0 | ' |
Reduction of Mangement Fees | ' | ' | -4,340 | ' | ' |
Disposal Group, Including Discontinued Operation, Operating Expense | $0 | ($805) | $138 | ($921) | ' |
AvailableforSale_Securities_at2
Available-for-Sale Securities, at Fair Value (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale securities, at fair value | $12,672,233 | $13,666,954 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale securities, at fair value | 3,091,964 | 3,608,272 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale securities, at fair value | 4,550,673 | 5,130,965 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale securities, at fair value | 2,075,301 | 2,272,866 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale securities, at fair value | $2,954,295 | $2,654,851 |
AvailableforSale_Securities_at3
Available-for-Sale Securities, at Fair Value Available-for-Sale Securities Sold Under Agreements to Repurchase (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Market Value | $13,858,932 | $14,287,224 |
Available-for-sale Securities [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Market Value | $12,239,599 | $12,810,355 |
Schedule_of_Availableforsale_S
Schedule of Available-for-sale Securities Reconciliation (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale securities, at fair value | $12,672,233 | $13,666,954 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Face Value | 12,039,928 | 11,934,492 |
Available-for-sale Securities, Unamortized Premium | 636,576 | 749,252 |
Available-for-sale Securities, Designated Credit Reserve | 0 | 0 |
Available-for-sale Securities, Net, Unamortized | -2,901,668 | -1,929,811 |
Available-for-sale Securities, Amortized Cost Basis | 9,774,836 | 10,753,933 |
Available-for-sale Securities, Unrealized Gains | 113,221 | 276,293 |
Available-for-sale Securities, Gross Unrealized Losses | -170,119 | -18,123 |
Available-for-sale securities, at fair value | 9,717,938 | 11,012,103 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Face Value | 4,919,072 | 4,503,999 |
Available-for-sale Securities, Unamortized Premium | 0 | 0 |
Available-for-sale Securities, Designated Credit Reserve | -1,372,628 | -1,290,946 |
Available-for-sale Securities, Net, Unamortized | -1,161,821 | -996,490 |
Available-for-sale Securities, Amortized Cost Basis | 2,384,623 | 2,216,563 |
Available-for-sale Securities, Unrealized Gains | 580,004 | 448,403 |
Available-for-sale Securities, Gross Unrealized Losses | -10,332 | -10,115 |
Available-for-sale securities, at fair value | 2,954,295 | 2,654,851 |
Collateralized Mortgage Backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Face Value | 16,959,000 | 16,438,491 |
Available-for-sale Securities, Unamortized Premium | 636,576 | 749,252 |
Available-for-sale Securities, Designated Credit Reserve | -1,372,628 | -1,290,946 |
Available-for-sale Securities, Net, Unamortized | -4,063,489 | -2,926,301 |
Available-for-sale Securities, Amortized Cost Basis | 12,159,459 | 12,970,496 |
Available-for-sale Securities, Unrealized Gains | 693,225 | 724,696 |
Available-for-sale Securities, Gross Unrealized Losses | -180,451 | -28,238 |
Available-for-sale securities, at fair value | $12,672,233 | $13,666,954 |
Availableforsale_Securities_Cl
Available-for-sale Securities Classified by Rate Type (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale securities, at fair value | $12,672,233 | $13,666,954 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Adjustable Rate | 1,007,715 | 188,429 |
Available-for-sale Securities, Fixed Rate | 8,710,223 | 10,823,674 |
Available-for-sale securities, at fair value | 9,717,938 | 11,012,103 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Adjustable Rate | 2,527,240 | 2,334,950 |
Available-for-sale Securities, Fixed Rate | 427,055 | 319,901 |
Available-for-sale securities, at fair value | 2,954,295 | 2,654,851 |
Collateralized Mortgage Backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Adjustable Rate | 3,534,955 | 2,523,379 |
Available-for-sale Securities, Fixed Rate | 9,137,278 | 11,143,575 |
Available-for-sale securities, at fair value | $12,672,233 | $13,666,954 |
Schedule_of_Availableforsale_S1
Schedule of Available-for-sale Securities Reconciliation, Non-Agency Unamortized Net Discount and Designated Credit Reserves (Details) (USD $) | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 |
Available-for-sale Securities, Designated Credit Reserve [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Unamortized Discount, Beginning Balance | ($1,290,946) | ($782,606) |
Available-for-sale Securities, Unamortized Discount, Acquisitions | -181,122 | -590,090 |
Available-for-sale Securities, Unamortized Discount, Accretion | 886 | 493 |
Available-for-sale Securities, Unamortized Discount, Credit Losses | 28,684 | 33,622 |
Available-for-sale Securities, Unamortized Discount, Other-than-temporary Impairment Adjustment | -1,662 | -9,310 |
Available-for-sale Securities, Unamortized Discount, Transfers | 35,201 | 0 |
Available-for-sale Securities, Unamortized Discount, Sales, Calls and Other | 36,331 | 8,154 |
Available-for-sale Securities, Unamortized Discount, Ending Balance | -1,372,628 | -1,339,737 |
Available-for-sale Securities, Net, Unamortized [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Unamortized Discount, Beginning Balance | -996,490 | -540,969 |
Available-for-sale Securities, Unamortized Discount, Acquisitions | -390,269 | -534,000 |
Available-for-sale Securities, Unamortized Discount, Accretion | 108,829 | 98,685 |
Available-for-sale Securities, Unamortized Discount, Credit Losses | 0 | 0 |
Available-for-sale Securities, Unamortized Discount, Other-than-temporary Impairment Adjustment | 0 | 0 |
Available-for-sale Securities, Unamortized Discount, Transfers | -35,201 | 0 |
Available-for-sale Securities, Unamortized Discount, Sales, Calls and Other | 151,310 | 15,876 |
Available-for-sale Securities, Unamortized Discount, Ending Balance | -1,161,821 | -960,408 |
Available-for-sale Securities, Unamortized Discount [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Unamortized Discount, Beginning Balance | -2,287,436 | -1,323,575 |
Available-for-sale Securities, Unamortized Discount, Acquisitions | -571,391 | -1,124,090 |
Available-for-sale Securities, Unamortized Discount, Accretion | 109,715 | 99,178 |
Available-for-sale Securities, Unamortized Discount, Credit Losses | 28,684 | 33,622 |
Available-for-sale Securities, Unamortized Discount, Other-than-temporary Impairment Adjustment | -1,662 | -9,310 |
Available-for-sale Securities, Unamortized Discount, Transfers | 0 | 0 |
Available-for-sale Securities, Unamortized Discount, Sales, Calls and Other | 187,641 | 24,030 |
Available-for-sale Securities, Unamortized Discount, Ending Balance | ($2,534,449) | ($2,300,145) |
Schedule_of_Unrealized_Loss_on
Schedule of Unrealized Loss on Investments (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-Sale Securities, Number of Positions | 1,453 | 1,493 |
Available-for-Sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Number of Positions | 493 | 250 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Number of Positions | 64 | 47 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $4,784,704 | $2,548,995 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Percent Agency | 94.50% | 95.80% |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Aggregate Losses | -151,442 | -18,610 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 538,129 | 52,689 |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Aggregate Losses | -29,009 | -9,628 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 5,322,833 | 2,601,684 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Aggregate Losses | -180,451 | -28,238 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $4,523,646 | $2,440,929 |
Other_than_Temporary_Impairmen
Other than Temporary Impairment, Credit Losses Recognized in Earnings (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | ' | ' | ' | ' |
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net, Available-for-sale Securities | $0 | ($559) | ($1,662) | ($9,310) |
Other than Temporary Impairment Losses, Investments, Number, Available-for-sale Securities | ' | ' | 4 | 31 |
Available-for-sale Securities, Weighted Average Cumulative Losses | 7.80% | ' | 7.80% | ' |
Available-for-sale Securities, Weighted Average Three-Month Prepayment Speed | 0.043 | ' | 0.043 | ' |
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures, Delinquency Rate | ' | ' | 34.50% | ' |
Available-for-sale Securities, Weighted Average FICO Score | 629 | ' | 629 | ' |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Credit Losses on Debt Securities Held, Beginning Balance | -15,046 | -13,603 | -15,561 | -5,102 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Additions, No Previous Impairment | 0 | -315 | 0 | -6,443 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Additions, Additional Credit Losses | 0 | -244 | -1,662 | -2,867 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Cash Flows | 1,446 | 0 | 1,677 | 250 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Securities Sold | 406 | 243 | 2,352 | 243 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Credit Losses on Debt Securities Held, Ending Balance | ($13,194) | ($13,919) | ($13,194) | ($13,919) |
AvailableforSale_Securities_at4
Available-for-Sale Securities, at Fair Value Schedule of Realized Gain (Loss) (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Schedule of Available-for-sale Securities [Line Items] | ' | ' | ' | ' |
Available-for-sale Securities, Gross Realized Gains (Losses), Sale Proceeds | $3,070,334 | ' | $4,056,691 | ' |
Available-for-sale Securities, Gross Realized Gains (Losses), Amortized Cost Sold | 3,304,872 | ' | 4,219,860 | ' |
Available-for-sale Securities, Gross Realized Gains | 27,786 | 0 | 103,451 | 11,663 |
Available-for-sale Securities, Gross Realized Losses | -262,323 | -221 | -266,620 | -1,850 |
Available-for-sale Securities, Gross Realized Gain (Loss) | ($234,537) | ($221) | ($163,169) | $9,813 |
Trading_Securities_at_Fair_Val1
Trading Securities, at Fair Value (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ' | ' |
Trading Securities, Cost | $995,755,000 | $995,755,000 | ' | ' |
Trading securities, at fair value | 1,000,625,000 | 1,000,625,000 | ' | 1,002,062,000 |
Trading Securities, Gross Unrealized Gain (Loss) | 4,870,000 | 4,870,000 | ' | 5,066,000 |
Proceeds from sales of trading securities | ' | 1,000,946,000 | 1,001,904,000 | ' |
Trading Securities, Amortized Cost Sold | ' | 997,900,000 | ' | ' |
Trading Securities, Realized Gain (Loss) | ' | 3,100,000 | ' | ' |
Trading Securities, Change in Unrealized Holding Gain (Loss) | 1,380,000 | -179,000 | ' | ' |
Assets Sold under Agreements to Repurchase, Market Value | 13,858,932,000 | 13,858,932,000 | ' | 14,287,224,000 |
US Treasury Securities [Member] | ' | ' | ' | ' |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ' | ' | ' | ' |
Assets Sold under Agreements to Repurchase, Market Value | $1,000,625,000 | $1,000,625,000 | ' | $1,002,062,000 |
Equity_Securities_at_Fair_Valu1
Equity Securities, at Fair Value Equity Securities (Details) (USD $) | 9 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 19, 2012 |
Schedule of Equity Securities [Line Items] | ' | ' | ' |
Equity Securities, Shares | ' | ' | 17,824,647 |
Investment in Common Stock of Silver Bay, Ownership Percentage | ' | ' | 47.70% |
Initial Public Offering of Silver Bay Common Stock, Price Per Share | ' | ' | $18.50 |
Equity Securities, Cost Basis | ' | $329,756 | ' |
Equity Securities, Gross Unrealized Gain (Loss) | ' | 5,882 | ' |
Equity securities, at fair value | 0 | 335,638 | ' |
Realized Investment Gains (Losses) | 13,725 | ' | ' |
Equity Securities, Unrealized Gain (Loss) | ($5,882) | ' | ' |
Schedule_of_Mortgage_Loans_Hel
Schedule of Mortgage Loans Held-for-Sale Reconciliation (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Loans Held-for-sale, Mortgages, Unpaid Principal | $688,620 | $56,976 |
Loans Held-for-sale, Mortgages, Fair Value Adjustment | -128,883 | 1,631 |
Mortgage loans held-for-sale, at fair value | 559,737 | 58,607 |
Assets Sold under Agreements to Repurchase, Market Value | 13,858,932 | 14,287,224 |
Loans Held-for-sale, Mortgages [Member] | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Market Value | $18,982 | $52,529 |
Mortgage_Loans_HeldforInvestme2
Mortgage Loans Held-for-Investment in Securitization Trust, at Fair Value Mortgage Loans Held-for-Investment in Securitization Trust, at Fair Value (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Mortgage Loans Held-for-Invesment, Unpaid Principal | $825,285 | $0 |
Mortgage Loans Held-for-Investment, Fair Value Adjustment | -20,297 | 0 |
Mortgage loans held-for-investment in securitization trust, at fair value | $804,988 | $0 |
Schedule_of_Restricted_Cash_an
Schedule of Restricted Cash and Cash Equivalents (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ' | ' |
Restricted Cash and Cash Equivalents Held By Broker Counterparties For Securities Trading Activity | $9,000 | $9,000 |
Restricted Cash and Cash equivalents Held by Broker Counterparties For Derivatives Trading Activity | 409,340 | 208,669 |
Restricted Cash and Cash Equivalents Held By Repurchase Counterparties as Restricted Collateral | 259,642 | 84,307 |
Restricted Cash and Cash Equivalents Held by Broker and Repurchase Counterparties | 677,982 | 301,976 |
Restricted Cash and Cash Equivalents, Noncurrent | 346 | 346 |
Restricted Cash and Cash Equivalents | $678,328 | $302,322 |
Accrued_Interest_Receivable_Sc
Accrued Interest Receivable Schedule of Accounts, Notes, Loans and Financing Receivable (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Interest Receivable | $48,854 | $42,613 |
Loans Held-for-sale, Mortgages [Member] | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Interest Receivable | 4,286 | 247 |
Loans Held-for-investment, Mortgages [Member] | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Interest Receivable | 3,659 | 0 |
US Treasury Securities [Member] | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Interest Receivable | 798 | 1,119 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Interest Receivable | 10,902 | 11,888 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Interest Receivable | 15,622 | 17,101 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Interest Receivable | 9,712 | 8,962 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Interest Receivable | 3,875 | 3,296 |
Available-for-sale Securities [Member] | ' | ' |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ' | ' |
Interest Receivable | $40,111 | $41,247 |
Derivative_Instruments_and_Hed2
Derivative Instruments and Hedging Activities Schedule of Derivative Instruments in Statement of Financial Position, Fair Value (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | $544,515 | $462,080 |
Derivative, Notional Amount | 27,657,236 | 9,768,656 |
Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | -73,827 | -129,294 |
Derivative, Notional Amount | 13,709,165 | 14,209,000 |
Inverse Interest-Only Securities [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 226,744 | 304,975 |
Derivative, Notional Amount | 1,648,236 | 1,909,351 |
Inverse Interest-Only Securities [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 0 | 0 |
Derivative, Notional Amount | 0 | 0 |
Interest Rate Swap [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 51,374 | 0 |
Derivative, Notional Amount | 17,575,000 | 0 |
Interest Rate Swap [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 0 | -129,055 |
Derivative, Notional Amount | 0 | 14,070,000 |
Credit Default Swap [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 0 | 52,906 |
Derivative, Notional Amount | 0 | 438,440 |
Credit Default Swap [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | -29,852 | 0 |
Derivative, Notional Amount | 1,462,165 | 0 |
Interest Rate Swaption [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 237,871 | 102,048 |
Derivative, Notional Amount | 4,430,000 | 4,950,000 |
Interest Rate Swaption [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 0 | 0 |
Derivative, Notional Amount | 0 | 0 |
Forward Contracts [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Notional Amount | 857,000 | 953,000 |
Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 21,896 | 1,917 |
Derivative, Notional Amount | 1,504,000 | 2,414,000 |
Forward Contracts [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | -34,634 | -239 |
Derivative, Notional Amount | 4,247,000 | 139,000 |
Options Held [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 6,630 | ' |
Derivative, Notional Amount | 2,500,000 | ' |
Options Held [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 0 | ' |
Derivative, Notional Amount | 0 | ' |
Swap [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | -9,341 | ' |
Derivative, Notional Amount | 8,000,000 | ' |
Swap [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 0 | ' |
Derivative, Notional Amount | 0 | ' |
Swap [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | -9,341 | ' |
Derivative, Notional Amount | 8,000,000 | ' |
Forward Purchase Commitment [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | ' | 234 |
Derivative, Notional Amount | ' | 56,865 |
Forward Purchase Commitment [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | ' | 0 |
Derivative, Notional Amount | ' | $0 |
Derivative_Instruments_and_Hed3
Derivative Instruments and Hedging Activities Schedule of Average Notional Amounts of Derivative Positions (Details) (USD $) | 3 Months Ended | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 |
Inverse Interest-Only Securities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative Asset, Average Notional Amount | $1,735,973 | $1,850,637 |
Derivative Liability, Average Notional Amount | 0 | 0 |
Interest Rate Swap [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative Asset, Average Notional Amount | 19,884,272 | 17,486,421 |
Derivative Liability, Average Notional Amount | 0 | 0 |
Credit Default Swap [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative Asset, Average Notional Amount | 0 | 0 |
Derivative Liability, Average Notional Amount | 1,525,716 | 913,477 |
Interest Rate Swaption [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative Asset, Average Notional Amount | 6,002,717 | 5,766,300 |
Derivative Liability, Average Notional Amount | 0 | 0 |
Forward Contracts [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative Asset, Average Notional Amount | 2,584,391 | 1,904,608 |
Derivative Liability, Average Notional Amount | 2,270,489 | 1,295,974 |
Options Held [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative Asset, Average Notional Amount | 413,043 | 95,560 |
Derivative Liability, Average Notional Amount | 0 | 0 |
Swap [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative Asset, Average Notional Amount | 0 | 0 |
Derivative Liability, Average Notional Amount | 10,032,609 | 5,225,275 |
Short US Treasury Securities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative Asset, Average Notional Amount | 0 | 0 |
Derivative Liability, Average Notional Amount | 0 | 8,901 |
Forward Purchase Commitment [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative Asset, Average Notional Amount | 0 | 0 |
Derivative Liability, Average Notional Amount | $6,672 | $75,117 |
Derivative_Instruments_and_Hed4
Derivative Instruments and Hedging Activities Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) Recognized in Income, Net | $20,434 | $2,850 | $66,055 | ($13,631) |
Gain (Loss) on Interest Rate Swap and Swaption Agreements | -55,410 | -76,472 | 223,388 | -153,679 |
Gain (Loss) on Mortgage Loans Held-for-Sale | -4,443 | 613 | -25,262 | 592 |
Trading Activity, Gains and Losses, Net | -34,976 | -73,018 | 269,428 | -166,732 |
Forward Contracts [Member] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) Recognized in Income, Net | 71,751 | 2,170 | 138,429 | -22,817 |
Options Held [Member] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) Recognized in Income, Net | -37,052 | 0 | 15,375 | 0 |
Swap [Member] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) Recognized in Income, Net | 71 | 0 | -13,986 | 0 |
Short US Treasury Securities [Member] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) Recognized in Income, Net | 0 | -1,768 | -991 | -1,768 |
Interest Rate Swaption [Member] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Gain (Loss) on Interest Rate Swap and Swaption Agreements | 3,711 | -6,270 | 95,476 | -30,496 |
Credit Default Swap, Selling Protection [Member] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) Recognized in Income, Net | -30,344 | -18,661 | -40,206 | -44,187 |
Credit Default Swap, Buying Protection [Member] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Gain (Loss) on Interest Rate Swap and Swaption Agreements | 7,852 | 0 | 7,852 | 0 |
Interest Rate Swaps Assicated with U.S. Treasuries, TBAs and MSRs [Member] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Gain (Loss) on Interest Rate Swap and Swaption Agreements | -8,691 | -5,428 | -8,371 | -12,774 |
Forward Sale Commitment [Member] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Gain (Loss) on Mortgage Loans Held-for-Sale | ' | ' | 0 | -26 |
Interest Rate Swaps Associated with Repurchase Agreements [Member] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Gain (Loss) on Interest Rate Swap and Swaption Agreements | -58,282 | -64,774 | 128,431 | -110,409 |
Agency To-be-Announced Securities, Non-Risk Management [Member] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) Recognized in Income, Net | 10,322 | 0 | 668 | 0 |
Inverse Interest-Only Securities [Member] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) Recognized in Income, Net | 5,686 | 18,094 | -33,234 | 43,154 |
Credit Default Swap, Buying Protection [Member] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) Recognized in Income, Net | 0 | 3,015 | 0 | 11,987 |
Forward Purchase Commitment [Member] | ' | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' | ' |
Gain (Loss) on Mortgage Loans Held-for-Sale | $0 | $604 | ($20,015) | $604 |
Derivative_Instruments_and_Hed5
Derivative Instruments and Hedging Activities Components of Other Income (Expense) Related to Interest Rate and Credit Default Swaps (Details) (USD $) | 3 Months Ended | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2012 |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' |
Interest Expense on Interest Rate Swap and Swaption Agreements | ($15,079) | ($48,490) | ' |
Termination of Interest Rate Swaps and Swaptions, Number of Positions | 35 | 107 | ' |
Termination of Interest Rate Swaps and Swaptions, Notional Amount | 8,058,000 | 16,518,000 | ' |
Termination of Interest Rate Swaps and Swaptions, Interest Spread Settlement | -10,256 | -27,421 | ' |
Loss on Termination of Interest Rate Swaps and Swaptions | 40,770 | -21,904 | -26,084 |
Termination of Credit Default Swaps, Number of Positions | 8 | 13 | ' |
Termination of Credit Default Swaps, Notional Amount | 870,000 | 985,000 | ' |
Termination of Credit Default Swaps, Interest Spread Settlement | ' | -504 | ' |
Loss on Termination of Credit Default Swaps | -9,937 | -22,290 | ' |
Interest Rate Swap [Member] | ' | ' | ' |
Derivative Instruments, Gain (Loss) [Line Items] | ' | ' | ' |
Derivative Asset, Average Notional Amount | 19,884,272 | 17,486,421 | ' |
Derivative Liability, Average Notional Amount | $0 | $0 | ' |
Derivative_Instruments_and_Hed6
Derivative Instruments and Hedging Activities Interest Rate Sensitive Assets/Liabilities (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Derivatives, Fair Value [Line Items] | ' | ' |
Available-for-sale Securities, Interest-only | $89,080 | $77,342 |
Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 544,515 | 462,080 |
Derivative, Notional Amount | 27,657,236 | 9,768,656 |
Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | -73,827 | -129,294 |
Derivative, Notional Amount | 13,709,165 | 14,209,000 |
Forward Contracts [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Notional Amount | 857,000 | 953,000 |
Derivative, Cost | 1,057,523 | 1,009,996 |
Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 21,896 | 1,917 |
Derivative, Notional Amount | 1,504,000 | 2,414,000 |
Forward Contracts [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | -34,634 | -239 |
Derivative, Notional Amount | 4,247,000 | 139,000 |
Options Held [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 6,630 | ' |
Derivative, Notional Amount | 2,500,000 | ' |
Options Held [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 0 | ' |
Derivative, Notional Amount | 0 | ' |
Forward Purchase Commitment [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | ' | 234 |
Derivative, Notional Amount | ' | 56,865 |
Forward Purchase Commitment [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | ' | 0 |
Derivative, Notional Amount | ' | 0 |
Long [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Agency To-be-Announced Securities, Notional Amount, Mitigate Prepayment Exposure | 654,000 | ' |
Long [Member] | Forward Contracts [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Agency To-be-Announced Securities, Notional Amount, Non-Risk Management | 2,650,000 | ' |
Derivative, Notional Amount | 3,304,000 | 1,753,000 |
Derivative, Cost | 3,509,122 | 1,867,621 |
Long [Member] | Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 21,896 | 1,729 |
Long [Member] | Forward Contracts [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | -601 | -239 |
Long [Member] | Options Held [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Notional Amount | 2,500,000 | ' |
Derivative, Cost | -17,266 | ' |
Short [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Agency To-be-Announced Securities, Notional Amount, Mitigate Prepayment Exposure | 2,447,000 | ' |
Short [Member] | Forward Contracts [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Notional Amount | -2,447,000 | -800,000 |
Derivative, Cost | -2,451,599 | -857,625 |
Short [Member] | Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | 0 | 188 |
Short [Member] | Forward Contracts [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Fair Value, Net | ($34,033) | $0 |
Derivative_Instruments_and_Hed7
Derivative Instruments and Hedging Activities Schedule of TBA Contracts (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | $27,657,236 | $9,768,656 |
Derivative, Fair Value, Net | 544,515 | 462,080 |
Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 13,709,165 | 14,209,000 |
Derivative, Fair Value, Net | -73,827 | -129,294 |
Forward Contracts [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 857,000 | 953,000 |
Derivative, Cost | 1,057,523 | 1,009,996 |
Derivative, Market Value | 1,044,784 | 1,011,674 |
Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 1,504,000 | 2,414,000 |
Derivative, Fair Value, Net | 21,896 | 1,917 |
Forward Contracts [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 4,247,000 | 139,000 |
Derivative, Fair Value, Net | -34,634 | -239 |
Forward Contracts [Member] | Long [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 3,304,000 | 1,753,000 |
Derivative, Cost | 3,509,122 | 1,867,621 |
Derivative, Market Value | 3,530,416 | 1,869,112 |
Forward Contracts [Member] | Long [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Fair Value, Net | 21,896 | 1,729 |
Forward Contracts [Member] | Long [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Fair Value, Net | -601 | -239 |
Forward Contracts [Member] | Short [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | -2,447,000 | -800,000 |
Derivative, Cost | -2,451,599 | -857,625 |
Derivative, Market Value | -2,485,632 | -857,438 |
Forward Contracts [Member] | Short [Member] | Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Fair Value, Net | 0 | 188 |
Forward Contracts [Member] | Short [Member] | Derivative Financial Instruments, Liabilities [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Fair Value, Net | ($34,033) | $0 |
Derivative_Instruments_and_Hed8
Derivative Instruments and Hedging Activities Schedule of Constant Maturity Swaps (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | $8,000,000 | ' |
Derivative, Fair Value, Net | -9,341 | ' |
Derivative, Cost | 0 | ' |
Derivative, Unrealized Gains (Losses) | -9,341 | ' |
Derivative, Average Strike Swap Rate | 0.88% | ' |
Derivative Financial Instruments, Assets [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 27,657,236 | 9,768,656 |
Derivative, Fair Value, Net | 544,515 | 462,080 |
Derivative Financial Instruments, Assets [Member] | Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 0 | ' |
Derivative, Fair Value, Net | 0 | ' |
Determination Date, November 2013 [Member] | Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 3,000,000 | ' |
Derivative, Fair Value, Net | -3,205 | ' |
Derivative, Cost | 0 | ' |
Derivative, Unrealized Gains (Losses) | -3,205 | ' |
Derivative, Average Strike Swap Rate | 0.87% | ' |
Determination Date, December 2013 [Member] | Swap [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 5,000,000 | ' |
Derivative, Fair Value, Net | -6,136 | ' |
Derivative, Cost | 0 | ' |
Derivative, Unrealized Gains (Losses) | ($6,136) | ' |
Derivative, Average Strike Swap Rate | 0.89% | ' |
Derivative_Instruments_and_Hed9
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaps Associated with Repurchase Agreements (Details) (Swap [Member], USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | $14,100,000 | $12,570,000 |
Derivative, Average Fixed Interest Rate | 0.72% | 0.85% |
Derivative, Average Variable Interest Rate | 0.27% | 0.32% |
Derivative, Weighted Average Remaining Maturity | '2.833 | '2.847 |
Derivative Maturity Within One Year From Balance Sheet Date [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 900,000 | 2,275,000 |
Derivative, Average Fixed Interest Rate | 0.32% | 0.71% |
Derivative, Average Variable Interest Rate | 0.27% | 0.32% |
Derivative, Weighted Average Remaining Maturity | '.292 | '.558 |
Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 4,000,000 | 1,675,000 |
Derivative, Average Fixed Interest Rate | 0.39% | 0.64% |
Derivative, Average Variable Interest Rate | 0.27% | 0.31% |
Derivative, Weighted Average Remaining Maturity | '1.284 | '1.566 |
Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 2,650,000 | 2,770,000 |
Derivative, Average Fixed Interest Rate | 0.58% | 0.91% |
Derivative, Average Variable Interest Rate | 0.26% | 0.31% |
Derivative, Weighted Average Remaining Maturity | '2.422 | '2.427 |
Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 4,225,000 | 1,940,000 |
Derivative, Average Fixed Interest Rate | 0.89% | 0.87% |
Derivative, Average Variable Interest Rate | 0.26% | 0.32% |
Derivative, Weighted Average Remaining Maturity | '3.622 | '3.456 |
Derivative Maturity Over Four Years From Balance Sheet Date [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | $2,325,000 | $3,910,000 |
Derivative, Average Fixed Interest Rate | 1.29% | 0.96% |
Derivative, Average Variable Interest Rate | 0.26% | 0.31% |
Derivative, Weighted Average Remaining Maturity | '5.517 | '4.723 |
Recovered_Sheet1
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaps Associated with U.S. Treasuries (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Derivative [Line Items] | ' | ' |
Trading securities, at fair value | $1,000,625 | $1,002,062 |
Interest Rate Swaps Associated with U.S. Treasuries [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 1,000,000 | 1,000,000 |
Interest Rate Swaps Associated with U.S. Treasuries [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | $1,000,000 | $1,000,000 |
Derivative, Average Fixed Interest Rate | 0.96% | 0.80% |
Derivative, Average Variable Interest Rate | 0.26% | 0.35% |
Derivative, Weighted Average Remaining Maturity | '2.917 | '2.278 |
Recovered_Sheet2
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaps Associated with TBA Contracts and MSRs (Details) (Interest Rate Swaps Associated with TBA Contracts and MSRs [Member], USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | $2,475,000 | $500,000 |
Derivative, Average Fixed Interest Rate | 1.61% | ' |
Derivative, Average Variable Interest Rate | 0.27% | ' |
Derivative, Weighted Average Remaining Maturity | '5.284 | ' |
Derivative Maturity Within One Year From Balance Sheet Date [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 0 | ' |
Derivative, Average Fixed Interest Rate | 0.00% | ' |
Derivative, Average Variable Interest Rate | 0.00% | ' |
Derivative, Weighted Average Remaining Maturity | '0 | ' |
Derivative Maturity Over Four Years From Balance Sheet Date [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 1,725,000 | ' |
Derivative, Average Fixed Interest Rate | 1.98% | ' |
Derivative, Average Variable Interest Rate | 0.27% | ' |
Derivative, Weighted Average Remaining Maturity | '6.359 | ' |
Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 0 | 500,000 |
Derivative, Average Fixed Interest Rate | 0.00% | 0.40% |
Derivative, Average Variable Interest Rate | 0.00% | 0.36% |
Derivative, Weighted Average Remaining Maturity | '0 | '1.775 |
Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | 750,000 | ' |
Derivative, Average Fixed Interest Rate | 0.75% | ' |
Derivative, Average Variable Interest Rate | 0.27% | ' |
Derivative, Weighted Average Remaining Maturity | '2.812 | ' |
Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Notional Amount | $0 | ' |
Derivative, Average Fixed Interest Rate | 0.00% | ' |
Derivative, Average Variable Interest Rate | 0.00% | ' |
Derivative, Weighted Average Remaining Maturity | '0 | ' |
Recovered_Sheet3
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaptions (Details) (USD $) | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 |
Long [Member] | Interest Rate Swaption [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Cost | $229,944 | ' | $133,908 |
Derivative Asset, Fair Value, Net | 313,418 | ' | 102,048 |
Derivative, Weighted Average Remaining Maturity | '41.785 | ' | '53.376 |
Derivative, Weighted Average Remaining Maturity | '41.785 | ' | '53.376 |
Long [Member] | Underlying Swap [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Weighted Average Remaining Maturity | '9.063 | ' | '9.758 |
Derivative, Notional Amount | 6,400,000 | ' | 4,950,000 |
Derivative, Average Fixed Interest Rate | 4.23% | ' | 3.75% |
Derivative, Description of Variable Rate Basis | '3M Libor | '3M Libor | ' |
Derivative, Weighted Average Remaining Maturity | '9.063 | ' | '9.758 |
Long [Member] | Less Than Six Months Remaining Maturity [Member] | Interest Rate Swaption [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Cost | ' | ' | 3,983 |
Derivative Asset, Fair Value, Net | ' | ' | 30 |
Derivative, Weighted Average Remaining Maturity | ' | ' | '5.375 |
Derivative, Weighted Average Remaining Maturity | ' | ' | '5.375 |
Long [Member] | Less Than Six Months Remaining Maturity [Member] | Underlying Swap [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Weighted Average Remaining Maturity | ' | ' | '10 |
Derivative, Notional Amount | ' | ' | 300,000 |
Derivative, Average Fixed Interest Rate | ' | ' | 4.00% |
Derivative, Description of Variable Rate Basis | ' | '3M Libor | ' |
Derivative, Weighted Average Remaining Maturity | ' | ' | '10 |
Long [Member] | Six Months or Longer Remaining Maturity [Member] | Interest Rate Swaption [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Cost | 229,944 | ' | 129,925 |
Derivative Asset, Fair Value, Net | 313,418 | ' | 102,018 |
Derivative, Weighted Average Remaining Maturity | '41.785 | ' | '53.383 |
Derivative, Weighted Average Remaining Maturity | '41.785 | ' | '53.383 |
Long [Member] | Six Months or Longer Remaining Maturity [Member] | Underlying Swap [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Weighted Average Remaining Maturity | '9.063 | ' | '9.742 |
Derivative, Notional Amount | 6,400,000 | ' | 4,650,000 |
Derivative, Average Fixed Interest Rate | 4.23% | ' | 3.74% |
Derivative, Description of Variable Rate Basis | '3M Libor | '3M Libor | ' |
Derivative, Weighted Average Remaining Maturity | '9.063 | ' | '9.742 |
Short [Member] | Interest Rate Swaption [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Cost | -88,631 | ' | ' |
Derivative Asset, Fair Value, Net | -75,547 | ' | ' |
Derivative, Weighted Average Remaining Maturity | '45.018 | ' | ' |
Derivative, Weighted Average Remaining Maturity | '45.018 | ' | ' |
Short [Member] | Underlying Swap [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Weighted Average Remaining Maturity | '10 | ' | ' |
Derivative, Notional Amount | -1,970,000 | ' | ' |
Derivative, Average Fixed Interest Rate | 3.24% | ' | ' |
Derivative, Description of Variable Rate Basis | '3M Libor | ' | ' |
Derivative, Weighted Average Remaining Maturity | '10 | ' | ' |
Short [Member] | Less Than Six Months Remaining Maturity [Member] | Interest Rate Swaption [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Cost | -7,383 | ' | ' |
Derivative Asset, Fair Value, Net | -5 | ' | ' |
Derivative, Weighted Average Remaining Maturity | '0.1 | ' | ' |
Derivative, Weighted Average Remaining Maturity | '0.1 | ' | ' |
Short [Member] | Less Than Six Months Remaining Maturity [Member] | Underlying Swap [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Weighted Average Remaining Maturity | '10 | ' | ' |
Derivative, Notional Amount | -1,170,000 | ' | ' |
Derivative, Average Fixed Interest Rate | 3.11% | ' | ' |
Derivative, Description of Variable Rate Basis | '3M Libor | ' | ' |
Derivative, Weighted Average Remaining Maturity | '10 | ' | ' |
Short [Member] | Six Months or Longer Remaining Maturity [Member] | Interest Rate Swaption [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Cost | -81,248 | ' | ' |
Derivative Asset, Fair Value, Net | -75,542 | ' | ' |
Derivative, Weighted Average Remaining Maturity | '45.023 | ' | ' |
Derivative, Weighted Average Remaining Maturity | '45.023 | ' | ' |
Short [Member] | Six Months or Longer Remaining Maturity [Member] | Underlying Swap [Member] | ' | ' | ' |
Derivative [Line Items] | ' | ' | ' |
Derivative, Weighted Average Remaining Maturity | '10 | ' | ' |
Derivative, Notional Amount | ($800,000) | ' | ' |
Derivative, Average Fixed Interest Rate | 3.44% | ' | ' |
Derivative, Description of Variable Rate Basis | '3M Libor | ' | ' |
Derivative, Weighted Average Remaining Maturity | '10 | ' | ' |
Recovered_Sheet4
Derivative Instruments and Hedging Activities Schedule of Credit Default Swaps, Receive Protection (Details) (Credit Default Swap, Buying Protection [Member], USD $) | 9 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 |
Derivative [Line Items] | ' | ' |
Derivative, Average Implied Credit Spread | 223.1 | 254.06 |
Derivative, Notional Amount | ($1,462,165) | ($438,440) |
Derivative, Fair Value, Net | -29,852 | 52,906 |
Derivative, Cost | -1,348 | -81,788 |
Derivative, Unrealized Gains (Losses) | -31,200 | -28,882 |
Maturity Date, 09/20/2013 [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Maturity Date | ' | 20-Sep-13 |
Derivative, Average Implied Credit Spread | ' | 460 |
Derivative, Notional Amount | ' | -45,000 |
Derivative, Fair Value, Net | ' | -264 |
Derivative, Cost | ' | -3,127 |
Derivative, Unrealized Gains (Losses) | ' | -3,391 |
Maturity Date, 12/20/2013 [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Maturity Date | 20-Dec-13 | 20-Dec-13 |
Derivative, Average Implied Credit Spread | 181.91 | 181.91 |
Derivative, Notional Amount | -105,000 | -105,000 |
Derivative, Fair Value, Net | -67 | -198 |
Derivative, Cost | -3,225 | -3,225 |
Derivative, Unrealized Gains (Losses) | -3,292 | -3,423 |
Maturity Date, 06/20/2016 [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Maturity Date | 20-Jun-16 | 20-Jun-16 |
Derivative, Average Implied Credit Spread | 105.5 | 105.5 |
Derivative, Notional Amount | -100,000 | -100,000 |
Derivative, Fair Value, Net | -2,043 | -1,940 |
Derivative, Cost | -260 | -260 |
Derivative, Unrealized Gains (Losses) | -2,303 | -2,200 |
Maturity Date, 12/20/2016 [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Maturity Date | 20-Dec-16 | 20-Dec-16 |
Derivative, Average Implied Credit Spread | 496 | 496 |
Derivative, Notional Amount | -25,000 | -25,000 |
Derivative, Fair Value, Net | -95 | 527 |
Derivative, Cost | -4,062 | -4,062 |
Derivative, Unrealized Gains (Losses) | -4,157 | -3,535 |
Maturity Date, 6/20/2018 [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Maturity Date | 20-Jun-18 | ' |
Derivative, Average Implied Credit Spread | 432.2 | ' |
Derivative, Notional Amount | -500,000 | ' |
Derivative, Fair Value, Net | -30,139 | ' |
Derivative, Cost | 14,563 | ' |
Derivative, Unrealized Gains (Losses) | -15,576 | ' |
Maturity Date, 12/20/2018 [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Maturity Date | 20-Dec-18 | ' |
Derivative, Average Implied Credit Spread | 80.88 | ' |
Derivative, Notional Amount | -700,000 | ' |
Derivative, Fair Value, Net | -6,472 | ' |
Derivative, Cost | 6,662 | ' |
Derivative, Unrealized Gains (Losses) | 190 | ' |
Maturity Date, 05/25/2046 [Member] | ' | ' |
Derivative [Line Items] | ' | ' |
Derivative, Maturity Date | 25-May-46 | 25-May-46 |
Derivative, Average Implied Credit Spread | 356 | 297.6 |
Derivative, Notional Amount | -32,165 | -163,440 |
Derivative, Fair Value, Net | 8,964 | 54,781 |
Derivative, Cost | -15,026 | -71,114 |
Derivative, Unrealized Gains (Losses) | ($6,062) | ($16,333) |
Recovered_Sheet5
Derivative Instruments and Hedging Activities Credit Risk - Counterparty Exposure (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Credit Derivatives [Line Items] | ' | ' |
Derivative Asset, Fair Value, Gross Asset | $544,515 | $462,080 |
Derivative Liability, Fair Value, Gross Liability | 73,827 | 129,294 |
Collateral Securities Repledged, Delivered, or Used | -231,846 | ' |
Collateral Already Posted, Aggregate Fair Value | $410,705 | ' |
Recovered_Sheet6
Derivative Instruments and Hedging Activities Schedule of Inverse Interest-Only Securities Reconciliation (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Derivatives, Fair Value [Line Items] | ' | ' |
Inverse Interest-only Securities, Accrued Interest | $3,069 | ' |
Not Designated as Hedging Instrument [Member] | ' | ' |
Derivatives, Fair Value [Line Items] | ' | ' |
Derivative, Notional Amount | 1,648,236 | 1,909,351 |
Derivative, Unamortized Premium | 0 | 0 |
Derivative, Designated Credit Reserve | 0 | 0 |
Derivative, Net, Unamortized | -1,395,982 | -1,620,966 |
Derivative, Amortized Cost Basis | 252,254 | 288,385 |
Derivative, Gross Unrealized Gains | 3,807 | 21,616 |
Derivative, Gross Unrealized Losses | -32,386 | -8,737 |
Derivative, Carrying Value | $223,675 | $301,264 |
Other_Assets_Other_Assets_Deta
Other Assets Other Assets (Details) (USD $) | Sep. 30, 2013 | Jun. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | |||
Other Assets [Line Items] | ' | ' | ' |
Property, Plant and Equipment, Gross | $2,073 | ' | $1,034 |
Accumulated Depreciation, Depletion and Amortization, Property, Plant, and Equipment | -675 | ' | -251 |
Property, Plant and Equipment, Net | 1,398 | ' | 783 |
Mortgage servicing rights, at fair value | 15,703 | 1,452 | 0 |
Prepaid Expense | 974 | ' | 1,411 |
Income Taxes Receivable, Current | 0 | ' | 4,323 |
Deferred Tax Assets, Net | 0 | ' | 44,184 |
Intangible assets | 1,600 | ' | 0 |
Servicing advances | 5,368 | ' | 0 |
Other Receivables | 2,198 | ' | 31,885 |
Other Assets | $27,241 | ' | $82,586 |
Other_Assets_Depreciation_Expe
Other Assets Depreciation Expense (Details) (USD $) | 3 Months Ended | 9 Months Ended | |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 | Sep. 30, 2012 |
Depreciation Expense [Line Items] | ' | ' | ' |
Depreciation of fixed assets | $169 | $424 | $0 |
Other_Assets_Mortgage_Servicin
Other Assets Mortgage Servicing Rights Rollforward (Details) (USD $) | 3 Months Ended | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 |
Servicing Assets at Fair Value [Line Items] | ' | ' |
Mortgage servicing rights, Balance at beginning of period | $1,452 | $0 |
Servicing Asset at Fair Value, Additions | 13,390 | 14,887 |
Servicing Asset at Fair Value, Changes in Fair Value Resulting from Changes in Valuation Inputs or Changes in Assumptions | 0 | 0 |
Servicing Asset at Fair Value, Other Changes in Fair Value | 861 | 816 |
Mortgage servicing rights, Balance at end of period | $15,703 | $15,703 |
Other_Assets_Servicing_Portfol
Other Assets Servicing Portfolio (Details) (USD $) | Sep. 30, 2013 |
In Billions, unless otherwise specified | unit |
Other Assets [Abstract] | ' |
Mortgage Servicing Rights, Number of Loans | 14,000 |
Mortgage Servicing Rights, Unpaid Principal | $1.70 |
Other_Assets_Components_of_Ser
Other Assets Components of Servicing Revenue (Details) (USD $) | 3 Months Ended | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 |
Components of Servicing Revenue [Line Items] | ' | ' |
Contractually Specified Servicing Fees, Amount | $899 | $1,114 |
Ancillary Fee Income Generated by Servicing Financial Assets, Amount | 90 | 120 |
Contractually Specified Servicing Fees, Late Fees, and Ancillary Fees Earned in Exchange for Servicing Financial Assets | $989 | $1,234 |
Other_Liabilities_Other_Liabil2
Other Liabilities Other Liabilities (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Other Liabilities [Abstract] | ' | ' |
Accrued Liabilities, Current | $17,330 | $13,295 |
Deferred Tax Liabilities, Net | 31,200 | 0 |
Taxes Payable | 2,356 | 0 |
Other Accounts Payable and Accrued Liabilities | 5,239 | 0 |
Other liabilities | $56,125 | $13,295 |
Fair_Value_Fair_Value_Measurem
Fair Value Fair Value, Measurement Inputs, Disclosure (Details) (USD $) | Sep. 30, 2013 | Jun. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
Trading Securities Categorized as Level 1 Assets | 100.00% | ' | ' |
Avaialble-for-sale Securities Categorized as Level 2 Assets | 100.00% | ' | ' |
Assets Reported at Fair Value, Available-for-sale Securities | 81.20% | ' | ' |
Assets Reported at Fair Value, Trading Securities | 6.40% | ' | ' |
Mortgage Loans Held-for-sale Categorized as Level 2 Assets | 21.40% | ' | ' |
Mortgage Loans Held-for-sale Categorized as Level 3 Assets | 78.60% | ' | ' |
Mortgage Loans Held-for-investment Categorized as Level 2 Assets | 100.00% | ' | ' |
Mortgage Servicing Rights Categorized as Level 3 Assets | 100.00% | ' | ' |
Interest Rate Swaps, Swaptions and Credit Default Swaps Categorized as Level 2 Assets (Liabilities) | 100.00% | ' | ' |
Inverse Interest-only Securities Categorized as Level 2 Assets | 100.00% | ' | ' |
Agency To-be-Announced Securities Categoized as Level 1 Assets (Liabilities) | 100.00% | ' | ' |
Collateralized Borrowings in Securitization Trust Categorized as Level 2 Liabilities | 100.00% | ' | ' |
Available-for-Sale Securities | $12,672,233 | ' | $13,666,954 |
Trading Securities | 1,000,625 | ' | 1,002,062 |
Equity securities | 0 | ' | 335,638 |
Mortgage servicing rights | 15,703 | 1,452 | 0 |
Fair Value, Measurements, Recurring [Member] | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
Available-for-Sale Securities | 12,672,233 | ' | 13,666,954 |
Trading Securities | 1,000,625 | ' | 1,002,062 |
Equity securities | ' | ' | 335,638 |
Mortgage loans held-for-sale | 559,737 | ' | 58,607 |
Mortgage loans held-for-investment in securitization trust | 804,988 | ' | ' |
Derivative assets | 544,515 | ' | 462,080 |
Mortgage servicing rights | 15,703 | ' | ' |
Assets, Fair Value Disclosure | 15,597,801 | ' | 15,525,341 |
Collateralized borrowings in securitization trust | 649,082 | ' | ' |
Derivative liabilities | 73,827 | ' | 129,294 |
Liabilities, Fair Value Disclosure | 722,909 | ' | 129,294 |
Fair Value, Inputs, Level 1 [Member] | Fair Value, Measurements, Recurring [Member] | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
Available-for-Sale Securities | 0 | ' | 0 |
Trading Securities | 1,000,625 | ' | 1,002,062 |
Equity securities | ' | ' | 335,638 |
Mortgage loans held-for-sale | 0 | ' | 0 |
Mortgage loans held-for-investment in securitization trust | 0 | ' | ' |
Derivative assets | 21,896 | ' | 1,917 |
Mortgage servicing rights | 0 | ' | ' |
Assets, Fair Value Disclosure | 1,022,521 | ' | 1,339,617 |
Collateralized borrowings in securitization trust | 0 | ' | ' |
Derivative liabilities | 34,634 | ' | 239 |
Liabilities, Fair Value Disclosure | 34,634 | ' | 239 |
Fair Value, Inputs, Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
Available-for-Sale Securities | 12,672,233 | ' | 13,665,083 |
Trading Securities | 0 | ' | 0 |
Equity securities | ' | ' | 0 |
Mortgage loans held-for-sale | 119,607 | ' | 58,607 |
Mortgage loans held-for-investment in securitization trust | 804,988 | ' | ' |
Derivative assets | 522,619 | ' | 460,163 |
Mortgage servicing rights | 0 | ' | ' |
Assets, Fair Value Disclosure | 14,119,447 | ' | 14,183,853 |
Collateralized borrowings in securitization trust | 649,082 | ' | ' |
Derivative liabilities | 39,193 | ' | 129,055 |
Liabilities, Fair Value Disclosure | 688,275 | ' | 129,055 |
Fair Value, Inputs, Level 3 [Member] | Fair Value, Measurements, Recurring [Member] | ' | ' | ' |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ' | ' | ' |
Available-for-Sale Securities | 0 | ' | 1,871 |
Trading Securities | 0 | ' | 0 |
Equity securities | ' | ' | 0 |
Mortgage loans held-for-sale | 440,130 | ' | 0 |
Mortgage loans held-for-investment in securitization trust | 0 | ' | ' |
Derivative assets | 0 | ' | 0 |
Mortgage servicing rights | 15,703 | ' | ' |
Assets, Fair Value Disclosure | 455,833 | ' | 1,871 |
Collateralized borrowings in securitization trust | 0 | ' | ' |
Derivative liabilities | 0 | ' | 0 |
Liabilities, Fair Value Disclosure | $0 | ' | $0 |
Fair_Value_Fair_Value_Assets_M
Fair Value Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation (Details) (USD $) | 3 Months Ended | 9 Months Ended |
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2013 |
Collateralized Mortgage Backed Securities [Member] | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance | $0 | $1,871 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Realized Gain (Loss) Included in Earnings | 0 | 74 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Unrealized Gain (Loss) Included in Earnings | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | 0 | 74 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Other Comprehensive Income (Loss) | 0 | 1,426 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Purchases | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Sales | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Transfers Into Level 3 | 0 | 3,000 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Transfers out of Level 3 | 0 | -6,371 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance | 0 | 0 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) Included in Other Income | 0 | 0 |
Loans Receivable [Member] | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance | 438,193 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Realized Gain (Loss) Included in Earnings | 211 | 633 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Unrealized Gain (Loss) Included in Earnings | 7,588 | 8,762 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | 7,799 | 9,395 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Other Comprehensive Income (Loss) | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Purchases | 175 | 440,243 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Sales | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | -6,037 | -9,508 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Transfers Into Level 3 | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Transfers out of Level 3 | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance | 440,130 | 440,130 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) Included in Other Income | 7,588 | 8,762 |
Servicing Contracts [Member] | ' | ' |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ' | ' |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Beginning Balance | 1,452 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Realized Gain (Loss) Included in Earnings | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Unrealized Gain (Loss) Included in Earnings | 861 | 816 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | 861 | 816 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Other Comprehensive Income (Loss) | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Purchases | 13,390 | 14,887 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Sales | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Transfers Into Level 3 | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Transfers out of Level 3 | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset Value, Ending Balance | 15,703 | 15,703 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) Included in Other Income | $861 | $816 |
Fair_Value_Fair_Value_Quantita
Fair Value Fair Value, Quantitative Information about Level 3 Fair Value Measurements (Details) (USD $) | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Jun. 30, 2013 | Dec. 31, 2012 |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ' |
Mortgage servicing rights | $15,703 | $1,452 | $0 |
Fair Value Measurements, Valuation Techniques | 'Discounted cash flow | ' | ' |
Fair Value Inputs, Prepayment Rate | 8.50% | ' | ' |
Fair Value Inputs, Probability of Default | 5.00% | ' | ' |
Fair Value Inputs, Discount Rate | 11.30% | ' | ' |
Minimum [Member] | ' | ' | ' |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ' |
Fair Value Inputs, Prepayment Rate | 6.00% | ' | ' |
Fair Value Inputs, Probability of Default | 3.00% | ' | ' |
Fair Value Inputs, Discount Rate | 8.00% | ' | ' |
Maximum [Member] | ' | ' | ' |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ' | ' | ' |
Fair Value Inputs, Prepayment Rate | 11.00% | ' | ' |
Fair Value Inputs, Probability of Default | 10.00% | ' | ' |
Fair Value Inputs, Discount Rate | 14.00% | ' | ' |
Fair_Value_Fair_Value_Option_Q
Fair Value Fair Value, Option, Quantitative Disclosures - changes included in net income (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | ' | ' |
Fair Value, Option, Total Included in Net Income | $16,152 | $178 | $40,186 | $376 |
Fair Value, Option, Credit Risk, Gains (Losses) on Assets | 0 | 0 | 0 | 0 |
Interest Income on Mortgage Loans Held-for-Sale [Member] | Loans Receivable [Member] | ' | ' | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | ' | ' |
Fair Value, Option, Interest Income (Expense) | 9,297 | 167 | 15,409 | 362 |
Interest Income on Mortgage Loans Held-for-Investment [Member] | Fair Value Option, Other Eligible Items [Member] | ' | ' | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | ' | ' |
Fair Value, Option, Interest Income (Expense) | 5,649 | 0 | 11,672 | 0 |
Interest Expense on Collateralized Borrowings in Securitization Trust [Member] | Borrowings [Member] | ' | ' | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | ' | ' |
Fair Value, Option, Interest Income (Expense) | -3,125 | 0 | -6,112 | 0 |
Gain (Loss) on Mortgage Loans [Member] | Loans Receivable [Member] | ' | ' | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | ' | ' |
Fair Value, Option, Realized Gain (Loss) | -10,456 | -23 | -10,221 | -45 |
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 6,013 | 34 | 4,974 | 59 |
Other Income [Member] | Fair Value Option, Other Eligible Items [Member] | ' | ' | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | ' | ' |
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 1,698 | 0 | -23,059 | 0 |
Other Income [Member] | Borrowings [Member] | ' | ' | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | ' | ' |
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 7,076 | 0 | 39,680 | 0 |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Equity Securities [Member] | ' | ' | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' | ' | ' |
Fair Value, Option, Realized Gain (Loss) | 0 | 0 | 13,725 | 0 |
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $0 | $0 | ($5,882) | $0 |
Fair_Value_Fair_Value_Option_Q1
Fair Value Fair Value, Option, Quantitative Disclosures - change in balance (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' |
Mortgage loans held-for-sale, at fair value | $559,737 | $58,607 |
Mortgage loans held-for-investment in securitization trust, at fair value | 804,988 | 0 |
Collateralized borrowings in securitization trust, at fair value | 649,082 | 0 |
Loan Held-for-Sale, Mortgages, Unpaid Principal [Member] | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' |
Mortgage loans held-for-sale, at fair value | 688,620 | 56,976 |
Fair Value, Option, Loans Held as Assets, Aggregate Amount in Nonaccrual Status | 70,382 | 0 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | 47,086 | 0 |
Loans Held-for-sale, Mortgages [Member] | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' |
Mortgage loans held-for-sale, at fair value | 559,737 | 58,607 |
Fair Value, Option, Loans Held as Assets, Aggregate Amount in Nonaccrual Status | 55,782 | 0 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | 37,303 | 0 |
Loan Held-for-Investment, Mortgages, Unpaid Principal [Member] | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' |
Mortgage loans held-for-investment in securitization trust, at fair value | 825,285 | 0 |
Fair Value, Option, Loans Held as Assets, Aggregate Amount in Nonaccrual Status | 0 | 0 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | 0 | 0 |
Loans Held-for-investment, Mortgages [Member] | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' |
Mortgage loans held-for-investment in securitization trust, at fair value | 804,988 | 0 |
Fair Value, Option, Loans Held as Assets, Aggregate Amount in Nonaccrual Status | 0 | 0 |
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | 0 | 0 |
Collateralized Borrowings, Unpaid Principal [Member] | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' |
Collateralized borrowings in securitization trust, at fair value | 698,150 | 0 |
Borrowings [Member] | ' | ' |
Fair Value, Option, Quantitative Disclosures [Line Items] | ' | ' |
Collateralized borrowings in securitization trust, at fair value | $649,082 | $0 |
Fair_Value_Fair_Value_of_Finan
Fair Value Fair Value of Financial Instruments (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' |
Securities Sold under Agreements to Repuchase, Long-term | $200,000 | $200,000 |
Fair_Value_Fair_Value_by_Balan
Fair Value Fair Value by Balance Sheet Grouping (Details) (USD $) | Sep. 30, 2013 | Jun. 30, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Dec. 31, 2011 |
In Thousands, unless otherwise specified | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ' | ' | ' | ' | ' |
Available-for-Sale Securities | $12,672,233 | ' | $13,666,954 | ' | ' |
Trading Securities | 1,000,625 | ' | 1,002,062 | ' | ' |
Equity securities | 0 | ' | 335,638 | ' | ' |
Loans Held-for-sale, Mortgages | 559,737 | ' | 58,607 | ' | ' |
Mortgage loans held-for-investment in securitization trust, at fair value | 804,988 | ' | 0 | ' | ' |
Cash and Cash Equivalents, at Carrying Value | 723,160 | ' | 821,108 | 833,608 | 360,016 |
Restricted Cash and Cash Equivalents | 678,328 | ' | 302,322 | ' | ' |
Derivative Asset, Fair Value, Gross Asset | 544,515 | ' | 462,080 | ' | ' |
Mortgage servicing rights | 15,703 | 1,452 | 0 | ' | ' |
Securities Sold under Agreements to Repurchase | 12,152,065 | ' | 12,624,510 | ' | ' |
Collateralized borrowings in securitization trust, at fair value | 649,082 | ' | 0 | ' | ' |
Derivative Liability, Fair Value, Gross Liability | $73,827 | ' | $129,294 | ' | ' |
Repurchase_Agreements_Schedule
Repurchase Agreements Schedule of Repurchase Agreements by Term, Short or Long (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Securities Sold under Agreements to Repurchase, Short-term | $11,952,065 | $12,424,510 |
Securities Sold under Agreements to Repuchase, Long-term | 200,000 | 200,000 |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $12,152,065 | $12,624,510 |
Repurchase_Agreements_Schedule1
Repurchase Agreements Schedule of Repurchase Agreements by Collateral Type (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $12,152,065 | $12,624,510 |
Assets Sold under Agreements to Repurchase, Weighted Average Borrowing Rate, Excluding U.S. Treasuries and Interest Rate Swaps | 0.71% | 0.76% |
Assets Sold under Agreements to Repurchase, Weighted Average Remaining Maturity, Excluding U.S. Treasuries and Interest Rate Swaps | 76 | 85 |
Assets Sold under Agreements to Repurchase, Interest Rate | 0.66% | 0.72% |
US Treasury Securities [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | 996,250 | 997,500 |
Assets Sold under Agreements to Repurchase, Interest Rate | 0.09% | 0.30% |
US Government Agencies Debt Securities [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | 9,251,556 | 10,171,385 |
Assets Sold under Agreements to Repurchase, Interest Rate | 0.45% | 0.54% |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | 1,714,491 | 1,177,675 |
Assets Sold under Agreements to Repurchase, Interest Rate | 2.07% | 2.50% |
Inverse Interest-Only Securities [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | 173,579 | 228,241 |
Assets Sold under Agreements to Repurchase, Interest Rate | 1.02% | 1.16% |
Loans Held-for-sale, Mortgages [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $16,189 | $49,709 |
Assets Sold under Agreements to Repurchase, Interest Rate | 2.55% | 2.46% |
Repurchase_Agreements_Schedule2
Repurchase Agreements Schedule of Repurchase Agreements by Maturity (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $12,152,065 | $12,624,510 |
Maturity up to 30 days [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | 2,911,117 | 3,038,229 |
Maturity 30 to 59 Days [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | 4,730,641 | 3,528,393 |
Maturity 60 to 89 Days [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | 88,560 | 1,731,595 |
Maturity 90 to 119 Days [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | 1,566,860 | 849,621 |
Maturity 120 to 364 days [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | 1,658,637 | 2,279,172 |
Maturity on Demand [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | 996,250 | 997,500 |
Maturity Over One Year [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $200,000 | $200,000 |
Repurchase_Agreements_Schedule3
Repurchase Agreements Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Market Value | $13,858,932 | $14,287,224 |
Available-for-sale Securities [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Market Value | 12,239,599 | 12,810,355 |
US Treasury Securities [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Market Value | 1,000,625 | 1,002,062 |
Loans Held-for-sale, Mortgages [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Market Value | 18,982 | 52,529 |
Cash and Cash Equivalents [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Market Value | 15,000 | 10,000 |
Restricted Cash and Cash Equivalents [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Market Value | 259,642 | 84,307 |
Due From Correspondent Brokers [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Market Value | 103,682 | 36,917 |
Derivative Financial Instruments, Assets [Member] | ' | ' |
Assets Sold under Agreements to Repurchase [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Market Value | $221,402 | $291,054 |
Repurchase_Agreements_Schedule4
Repurchase Agreements Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $12,152,065 | $12,624,510 |
Repurchase Agreement Counterparty, Barclays Capital [Member] | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | 1,293,826 | 1,127,888 |
Repurchase Agreement Counterparty, Amount at Risk | 300,824 | 257,858 |
Repurchase Agreement Counterparty, Percent of Equity at Risk | 8.00% | 7.00% |
Repurchase Agreement Counterparty, Weighted Average Maturity | '41.1 | '90.3 |
Repurchase Agreement Counterparty, All Other Counterparties [Member] | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | 9,861,989 | 10,499,122 |
Repurchase Agreement Counterparty, Amount at Risk | 1,381,138 | 1,403,268 |
Repurchase Agreement Counterparty, Percent of Equity at Risk | 37.00% | 41.00% |
Repurchase Agreement Counterparty, Weighted Average Maturity | '81 | '84 |
Repurchase Agreement Counterparty, Excluding Repurchase Agreements Collateralized by U.S. Treasuries [Member] | ' | ' |
Repurchase Agreement Counterparty [Line Items] | ' | ' |
Assets Sold under Agreements to Repurchase, Repurchase Liability | 11,155,815 | 11,627,010 |
Repurchase Agreement Counterparty, Amount at Risk | 1,681,962 | 1,661,126 |
Payables to Broker-Dealers and Clearing Organizations | $43,485 | $291,675 |
Number of Repurchase Agreement Counterparties with Whom Repurchase Agreements Are Less Than 10 Percent of Stockholders' Equity | 20 | 21 |
Collateralized_Borrowings_in_S1
Collateralized Borrowings in Securitization Trust, at Fair Value Collateralized Borrowings in Securitization Trust, at Fair Value (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Debt Instrument [Line Items] | ' | ' |
Collateralized borrowings in securitization trust, at fair value | $649,082 | $0 |
Debt, Weighted Average Interest Rate | 2.79% | ' |
Stockholders_Equity_Schedule_o
Stockholders' Equity Schedule of Dividends Declared (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||||||||||||||||
Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | Dec. 31, 2011 | Sep. 30, 2011 | Jun. 30, 2011 | Mar. 31, 2011 | Dec. 31, 2010 | Sep. 30, 2010 | Jun. 30, 2010 | Mar. 31, 2010 | Dec. 31, 2009 | Sep. 30, 2013 | Sep. 30, 2012 | |
Dividends Payable [Line Items] | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' | ' |
Dividends Payable, Date Declared | 11-Sep-13 | 18-Jun-13 | 18-Mar-13 | 17-Dec-12 | 12-Sep-12 | 12-Jun-12 | 14-Mar-12 | 14-Dec-11 | 14-Sep-11 | 14-Jun-11 | 2-Mar-11 | 8-Dec-10 | 13-Sep-10 | 14-Jun-10 | 12-Mar-10 | 21-Dec-09 | ' | ' |
Dividends Payable, Date of Record | 26-Sep-13 | 28-Jun-13 | 2-Apr-13 | 31-Dec-12 | 24-Sep-12 | 22-Jun-12 | 26-Mar-12 | 27-Dec-11 | 26-Sep-11 | 24-Jun-11 | 14-Mar-11 | 17-Dec-10 | 30-Sep-10 | 30-Jun-10 | 31-Mar-10 | 31-Dec-09 | ' | ' |
Dividends Payable, Date to be Paid | 23-Oct-13 | 23-Jul-13 | 24-Apr-13 | 18-Jan-13 | 22-Oct-12 | 20-Jul-12 | 20-Apr-12 | 20-Jan-12 | 20-Oct-11 | 20-Jul-11 | 14-Apr-11 | 20-Jan-11 | 21-Oct-10 | 22-Jul-10 | 23-Apr-10 | 26-Jan-10 | ' | ' |
Common Stock, Dividends, Per Share, Declared | $0.28 | $0.31 | $0.32 | $0.55 | $0.36 | $0.40 | $0.40 | $0.40 | $0.40 | $0.40 | $0.40 | $0.40 | $0.39 | $0.33 | $0.36 | $0.26 | $0.91 | $1.16 |
Stockholders_Equity_Special_Di
Stockholders' Equity Special Dividend of Silver Bay Common Stock (Details) (USD $) | Sep. 30, 2013 | Dec. 19, 2012 |
Dividends Payable [Line Items] | ' | ' |
Equity Securities, Shares | ' | 17,824,647 |
Distribution Ratio of Special Dividend Declared | $0.05 | ' |
Stockholders_Equity_Schedule_o1
Stockholders' Equity Schedule of Accumulated Other Comprehensive Income (Loss) (Details) (USD $) | Sep. 30, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Accumulated Other Comprehensive Income (Loss), Net of Tax | $512,774 | $696,458 |
Collateralized Mortgage Backed Securities [Member] | ' | ' |
Schedule of Available-for-sale Securities [Line Items] | ' | ' |
Available-for-sale Securities, Unrealized Gains | 693,225 | 724,696 |
Available-for-sale Securities, Gross Unrealized Losses | ($180,451) | ($28,238) |
Stockholders_Equity_Reclassifi
Stockholders' Equity Reclassifications out of Accumulated Other Comprehensive Income (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ' | ' | ' | ' |
Gain (Loss) on Investments, Excluding Other than Temporary Impairments | ' | ' | $152,458 | ($14,247) |
Reclassification out of Accumulated Other Comprehensive Income [Member] | ' | ' | ' | ' |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ' | ' | ' | ' |
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net | 0 | 559 | 1,662 | 9,310 |
Gain (Loss) on Investments, Excluding Other than Temporary Impairments | 187,007 | 803 | 123,089 | -6,342 |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $187,007 | $1,362 | $124,751 | $2,968 |
Stockholders_Equity_Public_Off
Stockholders' Equity Public Offerings (Details) (USD $) | 3 Months Ended | 9 Months Ended | |||
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2013 | Sep. 30, 2013 | Sep. 30, 2012 | Mar. 22, 2013 | Dec. 31, 2012 |
Class of Stock [Line Items] | ' | ' | ' | ' | ' |
Common Stock, Shares, Issued | ' | 364,365,017 | ' | 50,000,000 | 298,813,258 |
Common Stock, Shares, Issued Pursuant to the Underwriters' Over-allotments | ' | ' | ' | 7,500,000 | ' |
Sale of Stock, Price Per Share | ' | ' | ' | $13.46 | ' |
Proceeds from Issuance of Common Stock | $774,000 | $763,384 | $1,362,555 | ' | ' |
Proceeds from Issuance of Common Stock, Net | ' | 762,900 | ' | ' | ' |
Payments of Stock Issuance Costs | $11,100 | ' | ' | ' | ' |
Stockholders_Equity_Dividend_R
Stockholders' Equity Dividend Reinvestment and Direct Stock Purchase Plan (Details) (USD $) | Sep. 30, 2013 |
In Thousands, except Share data, unless otherwise specified | |
Class of Stock [Line Items] | ' |
Common Stock, Capital Shares Reserved for Future Issuance | 7,500,000 |
Stock Issued During Period, Shares, Dividend Reinvestment Plan | 138,036 |
Stock Issued and Outstanding, Value, Dividend Reinvestment Plan | $1,508 |
Stockholders_Equity_Share_Repu
Stockholders' Equity Share Repurchase Program (Details) (USD $) | 9 Months Ended | 12 Months Ended | |
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
Class of Stock [Line Items] | ' | ' | ' |
Stock Repurchase Program, Number of Shares Authorized to be Repurchased | 25,000,000 | ' | 10,000,000 |
Stock Repurchase Program, Number of Additional Shares Authorized to be Repurchased | ' | 15,000,000 | ' |
Repurchase of common stock, shares | -2,450,700 | ' | ' |
Repurchase of common stock | $23,894 | ' | ' |
Common Stock [Member] | ' | ' | ' |
Class of Stock [Line Items] | ' | ' | ' |
Repurchase of common stock, shares | 2,450,700 | ' | ' |
Repurchase of common stock | $25 | ' | ' |
Stockholders_Equity_AttheMarke
Stockholders' Equity At-the-Market Offering (Details) (USD $) | Sep. 30, 2013 |
In Thousands, except Share data, unless otherwise specified | |
Class of Stock [Line Items] | ' |
At-the-Market Offering, Number of Shares Authorized to be Sold | 20,000,000 |
Stock Issued And Outstanding, Shares, At-the-Market Offering | 7,585,869 |
Stock Issued and Outstanding, Value, At-the-Market Offering | $77,603 |
Stockholders_Equity_Warrants_D
Stockholders' Equity Warrants (Details) (USD $) | 3 Months Ended | 9 Months Ended | |||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | Apr. 02, 2013 | Sep. 30, 2013 | Sep. 30, 2012 | Jun. 30, 2013 |
Class of Warrant or Right [Line Items] | ' | ' | ' | ' | ' |
Warrants Exercised During Period | -619,370 | -8,720,690 | ' | ' | ' |
Class of Warrant or Right, Exercise Price of Warrants or Rights | 10.25 | 10.25 | 10.25 | ' | 11 |
Stock Issued During Period, Shares, Conversion of Convertible Securities | 664,365 | 8,720,690 | ' | ' | ' |
Issuance of common stock in connection with exercise of warrants | ' | ' | $102,276 | $175,725 | ' |
Cashless Warrants Exercised During Period | ' | ' | -100,000 | ' | ' |
Stock Issued During Period, Shares, Cashless Exercise of Warrants, Forfeited | ' | ' | -93,649 | ' | ' |
Stock Issued During Period, Shares, Cashless Exercise of Warrant | ' | ' | 6,351 | ' | ' |
Class of Warrant or Right, Outstanding | 4,091,369 | ' | 4,091,369 | ' | ' |
Class of Warrant or Right, Number of Securities Called by Warrants or Rights | 4,388,811 | 1.0727 | 4,388,811 | ' | ' |
Equity_Incentive_Plan_Equity_I1
Equity Incentive Plan Equity Incentive Plan (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' | ' |
Allocated Share-based Compensation Expense | ($1,494,000) | ($29,340) | ($2,493,000) | ($462,686) |
Stock Issued During Period, Value, Share-based Compensation, Net of Forfeitures | ' | ' | $474,000 | $462,000 |
Director [Member] | ' | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' | ' |
Stock Issued During Period, Shares, Share-based Compensation, Net of Forfeitures | ' | ' | 36,335 | 32,021 |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Weighted Average Grant Date Fair Value | ' | ' | $11.56 | $10.15 |
Key Employees [Member] | ' | ' | ' | ' |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ' | ' | ' | ' |
Stock Issued During Period, Shares, Share-based Compensation, Net of Forfeitures | ' | ' | 1,020,969 | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Grants in Period, Weighted Average Grant Date Fair Value | ' | ' | $11.23 | ' |
Share-based Compensation Arrangement by Share-based Payment Award, Options, Nonvested, Weighted Average Grant Date Fair Value | $9.71 | ' | $9.71 | ' |
Other_Operating_Expenses_Sched
Other Operating Expenses Schedule of Other Operating Cost and Expense, by Component (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | ' | ' |
General and Administrative Expense | $7,754 | $3,418 | $20,069 | $9,789 |
Directors and Officers Insurance Expense | 201 | 204 | 603 | 493 |
Professional Fees | 1,200 | 332 | 4,223 | 1,141 |
Subservicing Expense | 862 | 0 | 1,169 | 0 |
Total other operating expenses | $10,017 | $3,954 | $26,064 | $11,423 |
Income_Taxes_Income_Taxes_Deta
Income Taxes Income Taxes (Details) (USD $) | 3 Months Ended | 9 Months Ended | ||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 |
Components of Income Tax Expense (Benefit) [Line Items] | ' | ' | ' | ' |
Income Tax Expense (Benefit) | $23,726 | ($7,834) | $77,809 | ($32,016) |
Earnings_Per_Share_Details
Earnings Per Share (Details) (USD $) | 3 Months Ended | 9 Months Ended | |||
In Thousands, except Share data, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Apr. 02, 2013 |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ' | ' | ' | ' | ' |
Class of Warrant or Right, Number of Securities Called by Warrants or Rights | 4,388,811 | ' | 4,388,811 | ' | 1.0727 |
Net income from continuing operations | ($193,599) | $29,476 | $336,361 | $105,507 | ' |
Income (Loss) from Discontinued Operations, Net of Tax, Including Portion Attributable to Noncontrolling Interest | 871 | -2,674 | 3,264 | -2,901 | ' |
Net income attributable to common stockholders | ($192,728) | $26,802 | $339,625 | $102,606 | ' |
Weighted Average Number of Shares Outstanding | 364,032,788 | 269,972,503 | 345,046,012 | 224,015,418 | ' |
Weighted Average Number of Shares, Restricted Stock | 1,024,979 | 32,709 | 483,599 | 43,344 | ' |
Basic weighted average number of shares of common stock | 365,057,767 | 270,005,212 | 345,529,611 | 224,058,762 | ' |
Dilutive weighted averate warrants | 109,225 | 932,748 | 840,747 | 310,916 | ' |
Diluted weighted average number of shares of common stock | 365,166,992 | 270,937,960 | 346,370,358 | 224,369,678 | ' |
Continuing operations | ($0.53) | $0.11 | $0.97 | $0.47 | ' |
Discontinued operations | $0 | ($0.01) | $0.01 | ($0.01) | ' |
Net income | ($0.53) | $0.10 | $0.98 | $0.46 | ' |
Continuing operations | ($0.53) | $0.11 | $0.97 | $0.47 | ' |
Discontinued operations | $0 | ($0.01) | $0.01 | ($0.01) | ' |
Net income | ($0.53) | $0.10 | $0.98 | $0.46 | ' |
Director [Member] | ' | ' | ' | ' | ' |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ' | ' | ' | ' | ' |
Stock Issued During Period, Shares, Share-based Compensation, Net of Forfeitures | ' | ' | 36,335 | 32,021 | ' |
Related_Party_Transactions_Sch
Related Party Transactions Schedule of Related Party Transactions, by Related Party (Details) (USD $) | 3 Months Ended | 9 Months Ended | |||
In Thousands, unless otherwise specified | Sep. 30, 2013 | Sep. 30, 2012 | Sep. 30, 2013 | Sep. 30, 2012 | Dec. 31, 2012 |
Related Party Transaction [Line Items] | ' | ' | ' | ' | ' |
Gross Asset Management Costs, before Reduction | $12,036 | ' | $33,727 | ' | ' |
Management Fee, Percent | ' | ' | 1.50% | ' | ' |
Reduction of Mangement Fees | ' | ' | -4,340 | ' | ' |
Costs and Expenses, Related Party | 2,619 | ' | 7,075 | ' | ' |
Share-based Compensation | ' | ' | 474 | 462 | ' |
Payments to Acquire Real Estate | ' | ' | 0 | 191,365 | ' |
Discontinued Operation, 2013 Gain (Loss) on Disposal of Discontinued Operation, Net of Tax | ' | ' | ' | ' | 4,000 |
Reduction of 2013 Management Fees | ' | ' | ' | ' | 4,300 |
Discontinued Operation, Gain (Loss) on Disposal of Discontinued Operation, Net of Tax | 871 | 0 | 3,126 | 0 | ' |
Affiliated Entity [Member] | ' | ' | ' | ' | ' |
Related Party Transaction [Line Items] | ' | ' | ' | ' | ' |
Payments to Acquire Real Estate | ' | 1,545 | ' | 2,583 | ' |
Property Management Fees, Incurred | ' | 138 | ' | 181 | ' |
Property Management Fees, Expensed | ' | 73 | ' | 79 | ' |
Property Management Fees, Deferred | ' | ' | ' | $103 | ' |