Document_and_Entity_Informatio
Document and Entity Information (USD $) | 12 Months Ended | ||
In Billions, except Share data, unless otherwise specified | Dec. 31, 2014 | Feb. 27, 2015 | Jun. 30, 2014 |
Entity Information [Line Items] | |||
Entity Registrant Name | TWO HARBORS INVESTMENT CORP. | ||
Entity Central Index Key | 1465740 | ||
Current Fiscal Year End Date | -19 | ||
Entity Filer Category | Large Accelerated Filer | ||
Document Type | 10-K | ||
Document Period End Date | 31-Dec-14 | ||
Document Fiscal Year Focus | 2014 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | FALSE | ||
Entity Common Stock, Shares Outstanding | 366,619,809 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $3.80 |
CONSOLIDATED_BALANCE_SHEETS
CONSOLIDATED BALANCE SHEETS (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
ASSETS | ||
Available-for-sale securities, at fair value | $14,341,102 | $12,256,727 |
Trading securities, at fair value | 1,997,656 | 1,000,180 |
Mortgage loans held-for-sale, at fair value | 535,712 | 544,581 |
Mortgage loans held-for-investment in securitization trusts, at fair value | 1,744,746 | 792,390 |
Mortgage servicing rights, at fair value | 452,006 | 514,402 |
Cash and cash equivalents | 1,005,792 | 1,025,487 |
Restricted cash | 336,771 | 401,647 |
Accrued interest receivable | 65,529 | 50,303 |
Due from counterparties | 35,625 | 25,087 |
Derivative assets, at fair value | 380,791 | 549,859 |
Other assets | 188,579 | 13,199 |
Total Assets | 21,084,309 | 17,173,862 |
Liabilities | ||
Repurchase agreements | 12,932,463 | 12,250,450 |
Collateralized borrowings in securitization trusts, at fair value | 1,209,663 | 639,731 |
Federal Home Loan Bank advances | 2,500,000 | 0 |
Derivative liabilities, at fair value | 90,233 | 22,081 |
Accrued interest payable | 23,772 | 20,277 |
Due to counterparties | 124,206 | 318,848 |
Dividends payable | 95,263 | 0 |
Other liabilities | 40,667 | 67,480 |
Total liabilities | 17,016,267 | 13,318,867 |
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 366,395,920 and 364,935,168 shares issued and outstanding, respectively | 3,664 | 3,649 |
Additional paid-in capital | 3,811,027 | 3,795,372 |
Accumulated other comprehensive income | 855,789 | 444,735 |
Cumulative earnings | 1,195,536 | 1,028,397 |
Cumulative distributions to stockholders | -1,797,974 | -1,417,158 |
Total stockholders’ equity | 4,068,042 | 3,854,995 |
Total Liabilities and Stockholders’ Equity | 21,084,309 | 17,173,862 |
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 1,754,943 | 796,896 |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | $1,219,821 | $644,051 |
Balance_Sheet_Parentheticals
Balance Sheet (Parentheticals) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
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 | 450,000,000 |
Common Stock, Shares, Issued | 366,395,920 | 364,935,168 |
Common Stock, Shares, Outstanding | 366,395,920 | 364,935,168 |
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 | $1,754,943 | $796,896 |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | $1,219,821 | $644,051 |
CONSOLIDATED_STATEMENTS_OF_COM
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (USD $) | 12 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Interest income: | |||
Available-for-sale securities | $506,268 | $507,180 | $448,620 |
Trading securities | 12,913 | 5,963 | 4,873 |
Mortgage loans held-for-sale | 16,089 | 22,185 | 609 |
Mortgage loans held-for-investment in securitization trusts | 41,220 | 19,220 | 0 |
Cash and cash equivalents | 717 | 1,043 | 944 |
Total interest income | 577,207 | 555,591 | 455,046 |
Interest expense: | |||
Repurchase agreements | 76,177 | 89,470 | 72,106 |
Collateralized borrowings in securitization trusts | 26,760 | 10,937 | 0 |
Federal Home Loan Bank advances | 4,513 | 0 | 0 |
Total interest expense | 107,450 | 100,407 | 72,106 |
Net interest income | 469,757 | 455,184 | 382,940 |
Other-than-temporary impairments: | |||
Total other-than temporary impairment losses | -392 | -1,662 | -10,952 |
Non-credit portion of loss recognized in other comprehensive income (loss) | 0 | 0 | 0 |
Net other-than-temporary credit impairment losses | -392 | -1,662 | -10,952 |
Other income: | |||
Gain (loss) on investment securities | 87,201 | -54,430 | 122,466 |
(Loss) gain on interest rate swap and swaption agreements | -345,647 | 245,229 | -159,775 |
(Loss) gain on other derivative instruments | -17,529 | 95,345 | -40,906 |
Gain (loss) on mortgage loans held-for-sale | 17,297 | -33,846 | 2,270 |
Servicing income | 128,160 | 12,011 | 0 |
(Loss) gain on servicing asset | -128,388 | 13,881 | 0 |
Other income | 18,539 | 14,619 | 0 |
Total other (loss) income | -240,367 | 292,809 | -75,945 |
Expenses: | |||
Management fees | 48,803 | 41,707 | 33,168 |
Securitization deal costs | 4,638 | 4,153 | 0 |
Servicing expenses | 25,925 | 3,761 | 0 |
Other operating expenses | 56,231 | 37,259 | 17,678 |
Total expenses | 135,597 | 86,880 | 50,846 |
Income from continuing operations before income taxes | 93,401 | 659,451 | 245,197 |
(Benefit from) provision for income taxes | -73,738 | 84,411 | -42,219 |
Net income from continuing operations | 167,139 | 575,040 | 287,416 |
Income from discontinued operations | 0 | 3,999 | 4,490 |
Net income | 167,139 | 579,039 | 291,906 |
Basic earnings per weighted average common share: | |||
Continuing operations | $0.46 | $1.64 | $1.19 |
Discontinued operations | $0 | $0.01 | $0.02 |
Net income | $0.46 | $1.65 | $1.21 |
Diluted earnings per weighted average common share: | |||
Continuing operations | $0.46 | $1.64 | $1.18 |
Discontinued operations | $0 | $0.01 | $0.02 |
Net income | $0.46 | $1.65 | $1.20 |
Basic weighted average number of shares of common stock | 366,011,855 | 350,361,827 | 242,014,751 |
Diluted weighted average number of shares of common stock | 366,011,855 | 350,992,387 | 242,432,156 |
Comprehensive income: | |||
Net income | 167,139 | 579,039 | 291,906 |
Other comprehensive income (loss): | |||
Unrealized gain (loss) on available-for-sale securities, net | 411,054 | -251,723 | 755,174 |
Other comprehensive income (loss) | 411,054 | -251,723 | 755,174 |
Comprehensive income | $578,193 | $327,316 | $1,047,080 |
CONSOLIDATED_STATEMENTS_OF_STO
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 | ||||||
Beginning balance at Dec. 31, 2011 | $1,270,086 | $1,406 | $1,373,099 | ($58,716) | $157,452 | ($203,155) |
Beginning Balance, Common Shares Outstanding at Dec. 31, 2011 | 140,596,708 | |||||
Net income | 291,906 | 0 | 0 | 0 | 291,906 | 0 |
Other comprehensive income (loss), before reclassifications | 867,756 | 0 | 0 | 867,756 | 0 | 0 |
Amounts reclassified from accumulated other comprehensive income (loss) | -112,582 | 0 | 0 | -112,582 | 0 | 0 |
Net other comprehensive income (loss) | 755,174 | 0 | 0 | 755,174 | 0 | 0 |
Issuance of common stock, net of offering costs, shares | 138,744,410 | |||||
Issuance of common stock, net of offering costs | 1,362,747 | 1,388 | 1,361,359 | 0 | 0 | 0 |
Issuance of common stock in connection with exercise of warrants, shares | 19,417,571 | 19,440,119 | ||||
Issuance of common stock in connection with exercise of warrants | 213,593 | 194 | 213,399 | 0 | 0 | 0 |
Common dividends declared | -443,417 | 0 | 0 | 0 | 0 | -443,417 |
Non-cash equity award compensation, shares | 32,021 | |||||
Non-cash equity award compensation | 488 | 0 | 488 | 0 | 0 | 0 |
Ending balance at Dec. 31, 2012 | 3,450,577 | 2,988 | 2,948,345 | 696,458 | 449,358 | -646,572 |
Ending Balance, Common Shares Outstanding at Dec. 31, 2012 | 298,813,258 | |||||
Net income | 579,039 | 0 | 0 | 0 | 579,039 | 0 |
Other comprehensive income (loss), before reclassifications | -298,165 | 0 | 0 | -298,165 | 0 | 0 |
Amounts reclassified from accumulated other comprehensive income (loss) | 46,442 | 0 | 0 | 46,442 | 0 | 0 |
Net other comprehensive income (loss) | -251,723 | 0 | 0 | -251,723 | 0 | 0 |
Issuance of common stock, net of offering costs, shares | 57,571,961 | |||||
Issuance of common stock, net of offering costs | 763,557 | 576 | 762,981 | 0 | 0 | 0 |
Issuance of common stock in connection with exercise of warrants, shares | 9,939,648 | |||||
Issuance of common stock in connection with exercise of warrants | 107,514 | 99 | 107,415 | 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 | -427,105 | 0 | 0 | 0 | 0 | -427,105 |
Special dividends declared | -343,481 | 0 | 0 | 0 | 0 | -343,481 |
Non-cash equity award compensation, shares | 1,061,001 | |||||
Non-cash equity award compensation | 511 | 11 | 500 | 0 | 0 | 0 |
Ending balance at Dec. 31, 2013 | 3,854,995 | 3,649 | 3,795,372 | 444,735 | 1,028,397 | -1,417,158 |
Ending Balance, Common Shares Outstanding at Dec. 31, 2013 | 364,935,168 | 364,935,168 | ||||
Net income | 167,139 | 0 | 0 | 0 | 167,139 | 0 |
Other comprehensive income (loss), before reclassifications | 463,593 | 0 | 0 | 463,593 | 0 | 0 |
Amounts reclassified from accumulated other comprehensive income (loss) | -52,539 | 0 | 0 | -52,539 | 0 | 0 |
Net other comprehensive income (loss) | 411,054 | 0 | 0 | 411,054 | 0 | 0 |
Issuance of common stock, net of offering costs, shares | 57,218 | |||||
Issuance of common stock, net of offering costs | 588 | 1 | 587 | 0 | 0 | 0 |
Common dividends declared | -380,816 | 0 | 0 | 0 | 0 | -380,816 |
Non-cash equity award compensation, shares | 1,403,534 | |||||
Non-cash equity award compensation | 15,082 | 14 | 15,068 | 0 | 0 | 0 |
Ending balance at Dec. 31, 2014 | $4,068,042 | $3,664 | $3,811,027 | $855,789 | $1,195,536 | ($1,797,974) |
Ending Balance, Common Shares Outstanding at Dec. 31, 2014 | 366,395,920 | 366,395,920 |
CONSOLIDATED_STATEMENTS_OF_CAS
CONSOLIDATED STATEMENTS OF CASH FLOWS (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Cash Flows From Operating Activities: | |||
Net income | $167,139 | $579,039 | $291,906 |
Adjustments to reconcile net income to net cash (used in) provided by operating activities: | |||
Amortization of premiums and discounts on investment securities, net | 12,012 | 17,640 | 47 |
Other-than-temporary impairment losses | 392 | 1,662 | 10,952 |
Realized and unrealized (gains) losses on investment securities, net | -87,201 | 54,608 | -122,466 |
(Gain) loss on mortgage loans held-for-sale | -17,297 | 33,846 | -2,270 |
Gain on mortgage loans held-for-investment and collateralized borrowings in securitization trusts | -16,840 | -14,204 | 0 |
Loss (gain) on servicing asset | 128,388 | -13,881 | 0 |
Loss (gain) on termination and option expiration of interest rate swaps and swaptions | 55,389 | -12,293 | 29,579 |
Unrealized loss (gain) on interest rate swaps and swaptions | 198,504 | -291,458 | 91,748 |
Unrealized (gain) loss on other derivative instruments | -8,011 | -95 | 542 |
Gain on contribution of entity | 0 | 0 | -10,641 |
Equity based compensation | 15,082 | 511 | 488 |
Depreciation of fixed assets | 1,083 | 607 | 212 |
Depreciation of real estate | 0 | 0 | 1,520 |
Amortization of intangible assets | 533 | 1,067 | 0 |
Purchases of mortgage loans held-for-sale | -1,469,074 | -993,813 | -57,954 |
Proceeds from sales of mortgage loans held-for-sale | 432,749 | 25,113 | 0 |
Proceeds from repayment of mortgage loans held-for-sale | 38,545 | 35,267 | 5,521 |
Net change in assets and liabilities: | |||
Increase in accrued interest receivable | -15,226 | -7,690 | -19,176 |
(Increase)/decrease in deferred income taxes, net | -80,261 | 83,598 | -37,793 |
Decrease/(increase) in income taxes receivable | 0 | 4,323 | -4,166 |
Increase in prepaid and fixed assets | -2,536 | -1,658 | -1,401 |
(Increase)/decrease in other receivables | -10,421 | 29,772 | -31,872 |
Increase in servicing advances | -20,192 | -7,298 | 0 |
Increase in Federal Home Loan Bank stock | -100,000 | -10 | 0 |
Increase in equity investments | -3,000 | 0 | 0 |
Increase in accrued interest payable | 3,495 | 1,217 | 12,604 |
Increase/(decrease) in income taxes payable | 618 | 757 | -3,898 |
Increase in accrued expenses and other liabilities | 11,983 | 14,014 | 4,383 |
Net change in assets and liabilities due to purchase of entity | 0 | -3,306 | 0 |
Net change in assets and liabilities of discontinued operations | 0 | 0 | -4,313 |
Net cash (used in) provided by operating activities | -764,147 | -456,053 | 162,178 |
Cash Flows From Investing Activities: | |||
Purchases of available-for-sale securities | -6,126,579 | -4,471,289 | -10,799,062 |
Proceeds from sales of available-for-sale securities | 3,479,329 | 4,432,696 | 3,411,580 |
Principal payments on available-for-sale securities | 1,044,487 | 1,111,906 | 825,889 |
Short sales and purchases of other derivative instruments | -81,330 | -55,038 | -388,171 |
Proceeds from sales of other derivative instruments, net | 73,966 | 163,657 | 138,171 |
Purchases of trading securities | -2,138,647 | -995,625 | -996,016 |
Proceeds from sales of trading securities | 1,145,410 | 1,000,946 | 1,001,904 |
Purchases of beneficial interests in securitization trusts | 0 | -30,550 | 0 |
Proceeds from repayment of mortgage loans held-for-investment in securitization trusts | 111,129 | 41,314 | 0 |
Purchases of mortgage servicing rights, net of purchase price adjustments | -65,704 | -499,024 | 0 |
Purchases of investments in real estate | 0 | 0 | -293,745 |
Purchase of entity | 0 | -6,404 | 0 |
(Decrease)/increase in due to counterparties, net | -205,180 | -79,126 | 359,909 |
Decrease/(increase) in restricted cash | 64,876 | -99,325 | -135,735 |
Increase in escrow deposits of discontinued operations | 0 | 0 | -30,208 |
Contribution of cash to Silver Bay Realty Trust Corp. | 0 | 0 | -995 |
Net cash (used in) provided by investing activities | -2,698,243 | 514,138 | -6,906,479 |
Cash Flows From Financing Activities: | |||
Proceeds from repurchase agreements | 213,091,865 | 214,649,749 | 70,643,808 |
Principal payments on repurchase agreements | -212,409,852 | -215,023,809 | -64,679,446 |
Proceeds from issuance of collateralized borrowings in securitization trusts | 728,519 | 307,119 | 0 |
Principal payments on collateralized borrowings in securitization trusts | -182,872 | -42,490 | 0 |
Proceeds from Federal Home Loan Bank advances | 4,796,411 | 0 | 0 |
Principal payments on Federal Home Loan Bank advances | -2,296,411 | 0 | 0 |
Proceeds from issuance of common stock, net of offering costs | 588 | 763,557 | 1,362,747 |
Proceeds from exercise of warrants | 0 | 107,514 | 213,593 |
Repurchase of common stock | 0 | -23,894 | 0 |
Dividends paid on common stock | -285,553 | -591,452 | -335,309 |
Net cash provided by financing activities | 3,442,695 | 146,294 | 7,205,393 |
Net (decrease) increase in cash and cash equivalents | -19,695 | 204,379 | 461,092 |
Cash and cash equivalents at beginning of period | 1,025,487 | 821,108 | 360,016 |
Cash and cash equivalents at end of period | 1,005,792 | 1,025,487 | 821,108 |
Supplemental Disclosure of Cash Flow Information: | |||
Cash paid for interest | 79,276 | 99,189 | 11,766 |
Cash paid (received) for taxes | 5,905 | -4,266 | 3,637 |
Noncash Investing and Financing Activities: | |||
Transfers of mortgage loans held-for-sale to mortgage loans held-for-investment in securitization trusts | 1,022,360 | 413,848 | 0 |
Consolidation of mortgage loans held-for-investment in securitization trusts | 0 | 442,767 | 0 |
Consolidation of collateralized borrowings in securitization trusts | 0 | 412,217 | 0 |
Servicing Asset at Fair Value, Additions from Sale of Mortgage Loans | 288 | 0 | 0 |
Contribution of Two Harbors Property Investment LLC to Silver Bay Realty Trust Corp. | 0 | 0 | -319,040 |
Equity securities and other assets received from Silver Bay Realty Trust Corp. | 0 | 0 | 330,676 |
Distribution of Silver Bay Realty Trust Corp. common stock | 0 | 343,481 | 0 |
Cashless exercise of warrants | 0 | 75 | 268 |
Dividends declared but not paid at end of period | 95,263 | 0 | 164,347 |
Reconciliation of mortgage loans held-for-sale: | |||
Mortgage loans held-for-sale at beginning of period | 544,581 | 58,607 | 5,782 |
Purchases of mortgage loans held-for-sale | 1,469,074 | 993,813 | 57,954 |
Transfers to mortgage loans held-for-investment in securitization trusts | -1,022,360 | -413,848 | 0 |
Proceeds from sales of mortgage loans held-for-sale | -432,749 | -25,113 | 0 |
Proceeds from repayment of mortgage loans held-for-sale | -38,545 | -35,267 | -5,521 |
Realized and unrealized gains (losses) on mortgage loans held-for-sale | 15,711 | -33,611 | 392 |
Mortgage loans held-for-sale at end of period | $535,712 | $544,581 | $58,607 |
Organization_and_Operations_No
Organization and Operations (Notes) | 12 Months Ended |
Dec. 31, 2014 | |
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, mortgage servicing rights, or MSR, 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 New York Stock Exchange, or NYSE, under the symbol “TWO”. | |
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 years ended December 31, 2014, 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 holds 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 MSR. The MSR 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 substantially all servicing functions for the loans underlying the Company’s MSR. See Note 9 - Servicing Activities for additional information. |
Basis_of_Presentation_and_Sign
Basis of Presentation and Significant Accounting Policies (Notes) | 12 Months Ended | |||||||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||||||
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 accompanying consolidated financial statements include the accounts of all subsidiaries; intercompany accounts and transactions have been eliminated. Certain prior period amounts have been reclassified to conform to the current period presentation. The accounting and reporting policies of the Company conform to U.S. generally accepted accounting principles, or U.S. GAAP. | ||||||||||||||||||||||||
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 consolidated balance sheets. | ||||||||||||||||||||||||
Use of Estimates | ||||||||||||||||||||||||
The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of significant estimates. These 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 as of the date of the 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. | ||||||||||||||||||||||||
Significant Accounting Policies | ||||||||||||||||||||||||
Available-for-Sale Securities, at Fair Value and Trading Securities, at Fair Value | ||||||||||||||||||||||||
The Company invests primarily in mortgage pass-through certificates, collateralized mortgage obligations and other residential mortgage-backed securities representing interests in or obligations backed by pools of mortgage loans (collectively “RMBS”) issued by Fannie Mae, Freddie Mac, and Ginnie Mae, or collectively, the government sponsored entities, or GSEs. The Company also invests in residential mortgage-backed securities that are not issued by the GSEs, or non-Agency RMBS, and U.S. Treasuries. | ||||||||||||||||||||||||
Designation | ||||||||||||||||||||||||
The Company classifies its RMBS securities, excluding inverse interest-only Agency securities classified as derivatives for purposes of U.S. GAAP, as available-for-sale, or AFS, investments. Although the Company generally intends to hold most of its investment securities until maturity, it may, from time to time, sell any of its investment securities as part of its overall management of its portfolio. Accordingly, the Company classifies all of its RMBS investment securities as AFS, including its interest-only strips, which represent the Company’s right to receive a specified portion of the contractual interest flows of specific Agency securities. All assets classified as AFS are reported at estimated fair value, with unrealized gains and losses, excluding other than temporary impairments, included in accumulated other comprehensive income, a separate component of stockholders’ equity, on an after-tax basis. | ||||||||||||||||||||||||
The Company classifies its U.S. Treasuries as trading securities. The Company’s trading securities are carried at estimated fair value with changes in fair value recorded as a component of net gain on investment securities in the consolidated statement of income. | ||||||||||||||||||||||||
Balance Sheet Presentation | ||||||||||||||||||||||||
Investment securities transactions are recorded on the trade date. Purchases of newly-issued securities are recorded when all significant uncertainties regarding the characteristics of the securities are removed, generally shortly before settlement date. The cost basis for realized gains and losses on sales of investment securities are determined on the first-in, first-out, or FIFO, method. | ||||||||||||||||||||||||
Determination of RMBS Fair Value | ||||||||||||||||||||||||
Fair value is determined under the guidance of Accounting Standards Codification (ASC) 820, Fair Value Measurements and Disclosures, or ASC 820. The Company determines the fair value of its RMBS that are issued or guaranteed as to principal and/or interest by a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae (collectively, “Agency RMBS”), and U.S. Treasuries based upon prices obtained from third-party pricing providers or broker quotes received using the bid price, which are both deemed indicative of market activity. The third-party pricing providers and brokers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, prepayment speeds, credit enhancements and expected life of the security. 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 listed price data is not available or insufficient, 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. The Company classifies these securities as Level 3 assets. As of December 31, 2014, none of the investment securities portfolio is categorized as Level 3. | ||||||||||||||||||||||||
The Company’s application of ASC 820 guidance is discussed in further detail in Note 15 - Fair Value of these notes to the consolidated financial statements. | ||||||||||||||||||||||||
Revenue Recognition, Premium Amortization and Discount Accretion | ||||||||||||||||||||||||
Interest income on securities is accrued based on the outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency RMBS and non-Agency RMBS rated AA and higher at the time of purchase, are amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayment activity. The Company estimates prepayments for its Agency interest-only securities, which represent the Company’s right to receive a specified portion of the contractual interest flows of specific Agency and CMO securities. As a result, if prepayments increase (or are expected to increase), the Company will accelerate the rate of amortization on the premiums. | ||||||||||||||||||||||||
Interest income on the non-Agency RMBS that were purchased at a discount to par value and were rated below AA at the time of purchase is recognized based on the security’s effective interest rate. The effective interest rate on these securities is based on the projected cash flows from each security, which are estimated based on the Company’s observation of current information and events and include assumptions related to interest rates, prepayment rates, and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the AFS securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, and prepayments of principal. Therefore actual maturities of AFS securities are generally shorter than stated contractual maturities. Stated contractual maturities are generally greater than ten years. | ||||||||||||||||||||||||
Based on the projected cash flows from the Company’s non-Agency RMBS purchased at a discount to par value, a portion of the purchase discount may be designated as credit protection against future credit losses and, therefore, not accreted into interest income. The amount designated as credit discount may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions, and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively. Conversely, if the performance of a security with a credit discount is less favorable than forecasted, an impairment charge and write-down of such security to a new cost basis results. | ||||||||||||||||||||||||
Impairment | ||||||||||||||||||||||||
The Company evaluates its investment securities, on a quarterly basis, to assess whether a decline in the fair value of an AFS security below the Company’s amortized cost basis is an other-than-temporary impairment, or OTTI. The presence of OTTI is based upon a fair value decline below a security’s amortized cost basis and a corresponding adverse change in expected cash flows due to credit related factors as well as non-credit factors, such as changes in interest rates and market spreads. Impairment is considered other-than-temporary if an entity (i) intends to sell the security, (ii) will more likely than not be required to sell the security before it recovers in value, or (iii) does not expect to recover the security’s amortized cost basis, even if the entity does not intend to sell the security. Under these scenarios, the impairment is other-than-temporary and the full amount of impairment should be recognized currently in earnings and the cost basis of the investment security is adjusted. However, if an entity does not intend to sell the impaired debt security and it is more likely than not that it will not be required to sell before recovery, the OTTI is separated into (i) the estimated amount relating to credit loss, or credit component, and (ii) the amount relating to all other factors, or non-credit component. Only the estimated credit loss amount is recognized currently in earnings, with the remainder of the loss amount recognized in other comprehensive income. The difference between the new amortized cost basis and the cash flows expected to be collected is accreted as interest income in accordance with the effective interest method. | ||||||||||||||||||||||||
Mortgage Loans Held-for-Sale, at Fair Value | ||||||||||||||||||||||||
Mortgage loans held-for-sale are reported at fair value as a result of a fair value option election. Fair value is determined under the guidance of ASC 820. The Company determines the fair value of its mortgage loans held-for-sale 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 financial statements for details on fair value measurement. The Company classifies mortgage loans held-for-sale based on management’s intent to sell them in the secondary whole loan market or include them in a securitization. | ||||||||||||||||||||||||
Interest income on mortgage loans held-for-sale 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. | ||||||||||||||||||||||||
Securitizations and Variable Interest Entities | ||||||||||||||||||||||||
The Company purchases subordinated debt and excess servicing rights from securitization trusts sponsored by either third parties or the Company’s subsidiaries. The securitization trusts are considered VIEs for financial reporting purposes and, thus, are 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 consolidated balance sheets. The interest income on mortgage loans held-for-investment and interest expense on collateralized borrowings are recorded on the consolidated statements of comprehensive income. See Note 15 - Fair Value of these notes to the 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 of the Company. 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 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. | ||||||||||||||||||||||||
Mortgage Servicing Rights, at Fair Value | ||||||||||||||||||||||||
The Company’s MSR 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 substantially all servicing functions for the loans underlying the Company’s MSR. However, as an owner and manager of MSR, 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 consolidated balance sheets. | ||||||||||||||||||||||||
MSR are reported at fair value on the consolidated balance sheets. Although MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels and discount rates). Changes in the fair value of MSR as well as servicing fee income and servicing expenses are reported on the consolidated statements of comprehensive income. | ||||||||||||||||||||||||
Cash and Cash Equivalents | ||||||||||||||||||||||||
Cash and cash equivalents include cash held in bank accounts and cash held in money market funds on an overnight basis. | ||||||||||||||||||||||||
Restricted Cash | ||||||||||||||||||||||||
Restricted cash represents the Company’s cash held by counterparties as collateral against the Company’s securities, derivatives and/or repurchase agreements. Also included is the cash balance held pursuant to a letter of credit on the New York office lease. Cash held by counterparties as collateral, which resides in non-interest bearing accounts, is not available to the Company for general corporate purposes, but may be applied against amounts due to securities, derivatives or repurchase counterparties or returned to the Company when the collateral requirements are exceeded or, at the maturity of the derivative or repurchase agreement. | ||||||||||||||||||||||||
Accrued Interest Receivable | ||||||||||||||||||||||||
Accrued interest receivable represents interest that is due and payable to the Company. Cash interest is generally received within 30 days of recording the receivable. | ||||||||||||||||||||||||
Due from/to Counterparties, net | ||||||||||||||||||||||||
Due from Counterparties includes cash held by counterparties for payment of principal and interest as well as cash held by counterparties as collateral against the Company’s derivatives and/or repurchase agreements but represents excess capacity and deemed unrestricted and a receivable from the counterparty as of the balance sheet date. Due to counterparties includes cash payable by the Company upon settlement of trade positions as well as cash deposited to and held by the Company as collateral against the Company’s derivatives and/or repurchase agreements but represents a payable to the counterparty as of the balance sheet date. Due to counterparties also includes purchase price holdbacks on MSR acquisitions for missing documents and early prepayments. | ||||||||||||||||||||||||
Derivative Financial Instruments, at Fair Value | ||||||||||||||||||||||||
In accordance with ASC 815, Derivatives and Hedging, as amended and interpreted, or ASC 815, all derivative financial instruments, whether designated for hedging relationships or not, are recorded on the consolidated balance sheet as assets or liabilities and carried at fair value. | ||||||||||||||||||||||||
At the inception of a derivative contract, the Company determines whether the instrument will be part of a qualifying hedge accounting relationship or whether the Company will account for the contract as a trading instrument. 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. Changes in fair value as well as the accrual and settlement of interest associated with derivatives accounted for as trading instruments are reported in the consolidated statements of comprehensive income as gain (loss) on interest rate swap and swaption agreements or gain (loss) on other derivative instruments depending on the type of derivative instrument. | ||||||||||||||||||||||||
The Company enters into interest rate derivative contracts for a variety of reasons, including minimizing fluctuations in earnings or market values on certain assets or liabilities that may be caused by changes in interest rates. The Company may, at times, enter into various forward contracts including short securities, Agency to-be-announced securities, or TBAs, options, futures, swaps, and caps. Due to the nature of these instruments, they may be in a receivable/asset position or a payable/liability position at the end of an accounting period. Amounts payable to, and receivable from, the same party under contracts may be offset as long as the following conditions are met: (a) each of the two parties owes the other determinable amounts; (b) the reporting party has the right to offset the amount owed with the amount owed by the other party; (c) the reporting party intends to offset; and (d) the right of offset is enforceable by law. If the aforementioned conditions are not met, amounts payable to and receivable from are presented by the Company on a gross basis in the consolidated balance sheet. | ||||||||||||||||||||||||
The Company has provided specific disclosure regarding the location and amounts of derivative instruments in the financial statements and how derivative instruments and related hedged items are accounted for. See Note 12 - Derivative Instruments and Hedging Activities of these notes to the consolidated financial statements. | ||||||||||||||||||||||||
Property and Equipment | ||||||||||||||||||||||||
Property and equipment, stated at cost, net of accumulated depreciation, are reported in other assets in the Company’s consolidated balance sheets. Included in property and equipment are certain furniture and fixtures, leasehold improvements, and information technology hardware and software. Depreciation is computed on the straight-line basis over the estimated useful lives of the assets, which is generally three years. | ||||||||||||||||||||||||
Repurchase Agreements | ||||||||||||||||||||||||
The Company finances the acquisition of certain of its investment securities and mortgage loans through the use of repurchase agreements. These repurchase agreements are generally short-term debt, which expire within one year. As of December 31, 2014, certain of the Company’s repurchase agreements have contractual terms of greater than one year, and are considered long-term debt. Borrowings under repurchase agreements generally bear interest rates of a specified margin over one-month LIBOR and are generally uncommitted. The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. | ||||||||||||||||||||||||
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 consolidated financial statements for details on fair value measurement. | ||||||||||||||||||||||||
Federal Home Loan Bank Advances | ||||||||||||||||||||||||
In December 2013, the Company’s wholly owned subsidiary, TH Insurance Holdings Company LLC, or TH Insurance, was accepted for membership in the Federal Home Loan Bank of Des Moines, or the FHLB. As a member of the FHLB, TH Insurance has access to a variety of products and services offered by the FHLB, including secured advances. | ||||||||||||||||||||||||
As of December 31, 2014, the Company had FHLB advances with both short-term and long-term maturities. The advances with less than five year terms generally bear interest rates of one- or three-month LIBOR and the advances with 20-year terms generally bear interest rates of or one- or three-month MOVR, or the FHLB member option variable-rate. FHLB advances are treated as secured financing transactions and are carried at their contractual amounts. | ||||||||||||||||||||||||
Accrued Interest Payable | ||||||||||||||||||||||||
Accrued interest payable represents interest that is due and payable to third parties. Interest is generally paid within 30 days to three months of recording the payable, based upon the Company’s remittance requirements. | ||||||||||||||||||||||||
Deferred Tax Assets and Liabilities | ||||||||||||||||||||||||
Income recognition for U.S. GAAP and tax differ in certain respects. These differences often reflect differing accounting treatments for tax and U.S. GAAP, such as accounting for discount and premium amortization, credit losses, asset impairments, recognition of certain operating expenses and certain valuation estimates. Some of these differences are temporary in nature and create timing mismatches between when taxable income is earned and the tax is paid versus when the earnings (losses) for U.S. GAAP purposes, or GAAP net income (loss), are recognized and the tax provision is recorded. Some of these differences are permanent since certain income (or expense) may be recorded for tax purposes but not for U.S. GAAP purposes (or vice-versa). One such significant permanent difference is the Company’s ability as a REIT to deduct dividends paid to stockholders as an expense for tax purposes, but not for U.S. GAAP purposes. | ||||||||||||||||||||||||
As a result of these temporary differences, the Company’s taxable REIT subsidiaries, or TRSs, may recognize taxable income in periods prior or subsequent to when it recognizes income for U.S. GAAP purposes. When this occurs, the TRSs pay or defer the tax liability and establish deferred tax assets or deferred tax liabilities, respectively, for U.S. GAAP purposes. | ||||||||||||||||||||||||
As the income is subsequently realized in future periods under U.S. GAAP, the deferred tax asset is recognized as an expense. Alternatively, as the TRSs realize the deferred taxable income, the deferred tax liability is recognized as a reduction to taxable income. The Company’s deferred tax assets and/or liabilities are generated solely by differences in GAAP net income (loss) and taxable income (loss) at our taxable subsidiaries. U.S. GAAP and tax differences in the REIT may create additional deferred tax assets and/or liabilities to the extent the Company does not distribute all of its taxable income. | ||||||||||||||||||||||||
Income Taxes | ||||||||||||||||||||||||
The Company has elected to be taxed as a REIT under the Code and the corresponding provisions of state law. To qualify as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to stockholders (not including taxable income retained in its taxable subsidiaries) within the time frame set forth in the tax Code and the Company must also meet certain other requirements. In addition, because certain activities, if performed by the Company, may cause the Company to earn income which is not qualifying for the REIT gross income tests, the Company has formed TRSs, as defined in the Code, to engage in such activities. These TRSs’ activities are subject to income taxes as well as any REIT taxable income not distributed to stockholders. | ||||||||||||||||||||||||
The Company assesses its tax positions for all open tax years and determines whether the Company has any material unrecognized liabilities in accordance with ASC 740, Income Taxes. The Company records these liabilities to the extent the Company deems them more likely than not to be incurred. The Company classifies interest and penalties on material uncertain tax positions as interest expense and operating expense, respectively, in its consolidated statements of comprehensive income. | ||||||||||||||||||||||||
Earnings Per Share | ||||||||||||||||||||||||
Basic and diluted earnings per share are computed by dividing net income by the weighted average number of common shares and potential common shares outstanding during the period. For both basic and diluted per share calculations, potential common shares represents issued and unvested shares of restricted stock, which have full rights to the common stock dividend declarations of the Company. For diluted per share calculations, potential common shares also includes dilutive warrants if the weighted average market value per share of the Company’s common stock was above the strike price of the warrants during the period presented. In accordance with ASC 260, Earnings Per Share, or ASC 260, if there is a loss from continuing operations, the common stock equivalents are deemed anti-dilutive and earnings (loss) per share is calculated excluding the potential common shares. At 5:00 p.m. EST on November 7, 2013, all outstanding warrants expired, pursuant to the terms of the warrant agreement. No warrants remain outstanding as of December 31, 2014. | ||||||||||||||||||||||||
Other Comprehensive Income (Loss) | ||||||||||||||||||||||||
Current period net unrealized gains and losses on available-for-sale securities are reported as components of accumulated other comprehensive income (loss) on our consolidated statements of stockholders’ equity and in the statement of comprehensive income. Net unrealized gains and losses on securities held by our taxable subsidiaries that are reported in accumulated other comprehensive income (loss) are adjusted for the effects of taxation and may create deferred tax assets or liabilities. | ||||||||||||||||||||||||
Equity Incentive Plan | ||||||||||||||||||||||||
The Company’s Restated 2009 Equity Incentive Plan, or the Plan, was approved by its stockholders on May 21, 2013. The Plan provides incentive compensation to attract and retain qualified directors, officers, advisors, consultants and other personnel, including PRCM Advisers and its affiliates. The Plan is administered by the compensation committee of the Company’s board of directors. The Plan permits the granting of restricted shares of common stock, phantom shares, dividend equivalent rights and other equity-based awards. See Note 21 - Equity Incentive Plan for further details regarding the Plan. | ||||||||||||||||||||||||
The cost of equity-based compensation awarded to employees provided by our manager is measured at fair value at each reporting date based on the price of the Company’s stock as of period end in accordance with ASC 505, Equity, or ASC 505, 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, or central clearing exchange agreements, in the case of centrally cleared interest rate swaps. Additionally, the Company and the counterparty or clearing agency are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparty. | ||||||||||||||||||||||||
Under U.S. 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 consolidated balance sheets. Separately, the Company presents cash collateral subject to such arrangements on a net basis, based on counterparty, in its consolidated balance sheets. However, the Company does not offset financial assets and liabilities with the associated cash collateral on its 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 consolidated balance sheets as of December 31, 2014 and December 31, 2013: | ||||||||||||||||||||||||
31-Dec-14 | ||||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets (1) | ||||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Derivative assets | $ | 443,490 | $ | (62,699 | ) | $ | 380,791 | $ | (90,233 | ) | $ | — | $ | 290,558 | ||||||||||
Total Assets | $ | 443,490 | $ | (62,699 | ) | $ | 380,791 | $ | (90,233 | ) | $ | — | $ | 290,558 | ||||||||||
Liabilities | ||||||||||||||||||||||||
Repurchase agreements | $ | (12,932,463 | ) | $ | — | $ | (12,932,463 | ) | $ | 12,932,463 | $ | — | $ | — | ||||||||||
Derivative liabilities | (152,932 | ) | 62,699 | (90,233 | ) | 90,233 | — | — | ||||||||||||||||
Total Liabilities | $ | (13,085,395 | ) | $ | 62,699 | $ | (13,022,696 | ) | $ | 13,022,696 | $ | — | $ | — | ||||||||||
31-Dec-13 | ||||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets (1) | ||||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Derivative assets | $ | 572,050 | $ | (22,191 | ) | $ | 549,859 | $ | (22,081 | ) | $ | — | $ | 527,778 | ||||||||||
Total Assets | $ | 572,050 | $ | (22,191 | ) | $ | 549,859 | $ | (22,081 | ) | $ | — | $ | 527,778 | ||||||||||
Liabilities | ||||||||||||||||||||||||
Repurchase agreements | $ | (12,250,450 | ) | $ | — | $ | (12,250,450 | ) | $ | 12,250,450 | $ | — | $ | — | ||||||||||
Derivative liabilities | (44,272 | ) | 22,191 | (22,081 | ) | 22,081 | — | — | ||||||||||||||||
Total Liabilities | $ | (12,294,722 | ) | $ | 22,191 | $ | (12,272,531 | ) | $ | 12,272,531 | $ | — | $ | — | ||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Amounts presented are limited in total to the net amount of assets or liabilities presented in the 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 consolidated balance sheets. | |||||||||||||||||||||||
Recently Issued and/or Adopted Accounting Standards | ||||||||||||||||||||||||
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. | ||||||||||||||||||||||||
Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity | ||||||||||||||||||||||||
In August 2014, the FASB issued ASU No. 2014-13, which updates the guidance on measuring the financial assets and financial liabilities of consolidated collateralized financing entities, or CFEs. The update will allow an entity to measure both the financial assets and financial liabilities of a qualifying CFE it consolidates using the fair value of either the CFE’s financial assets or financial liabilities, whichever is more observable. The ASU will require certain recurring disclosures and is effective for annual periods beginning on or after December 15, 2015, with early adoption permitted as of the beginning of an annual period. The Company will early adopt this ASU for the 2015 annual period and has determined this ASU will not have a material impact on the Company’s consolidated financial condition or results of operations. | ||||||||||||||||||||||||
Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure | ||||||||||||||||||||||||
In August 2014, the FASB issued ASU No. 2014-14, which requires that, upon foreclosure, a mortgage loan that is fully guaranteed under certain government programs be derecognized and a separate receivable be recognized when specific criteria are met. The ASU will require certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2014, with early adoption permitted. The Company will adopt this ASU for the 2015 annual period and has determined this ASU will not have a material impact on the Company’s consolidated financial condition or results of operations. | ||||||||||||||||||||||||
Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern | ||||||||||||||||||||||||
In August 2014, the FASB issued ASU No. 2014-15, which requires management to evaluate whether there are conditions and events that raise substantial doubt about the entity’s ability to continue as a going concern for both annual and interim reporting periods. The ASU will require certain disclosures if it concludes that substantial doubt exists and plans to alleviate that doubt. It is effective for annual periods ending after December 15, 2016, and for both annual and interim periods thereafter, with early adoption permitted. The Company does not expect this ASU to have any impact on the Company’s consolidated financial condition or results of operations. |
Variable_Interest_Entities_Not
Variable Interest Entities (Notes) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
Variable Interest Entities [Abstract] | ||||||||
Variable Interest Entities Disclosure [Text Block] | Variable Interest Entities | |||||||
The Company purchases subordinated debt and excess servicing rights from securitization trusts sponsored by either third parties or the Company’s subsidiaries. These 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. A change in the Company’s determination 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 consolidated securitization trusts as reported on the consolidated balance sheets: | ||||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Mortgage loans held-for-investment in securitization trusts | $ | 1,744,746 | $ | 792,390 | ||||
Accrued interest receivable | 10,197 | 4,506 | ||||||
Total Assets | $ | 1,754,943 | $ | 796,896 | ||||
Collateralized borrowings in securitization trusts | 1,209,663 | 639,731 | ||||||
Accrued interest payable | 3,678 | 1,596 | ||||||
Other liabilities | 6,480 | 2,724 | ||||||
Total Liabilities | $ | 1,219,821 | $ | 644,051 | ||||
Discontinued_Operations_Notes
Discontinued Operations (Notes) | 12 Months Ended | |||||||||||
Dec. 31, 2014 | ||||||||||||
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 housed 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 years ended December 31, 2013 and 2012. | ||||||||||||
Summarized financial information for the discontinued operations are presented below. | ||||||||||||
Year Ended | ||||||||||||
December 31, | ||||||||||||
2014 | 2013 | 2012 | ||||||||||
Income: | ||||||||||||
Gain on contribution of entity | $ | — | $ | 3,861 | $ | 10,641 | ||||||
Real estate related revenues | — | — | 2,730 | |||||||||
Total income | — | 3,861 | 13,371 | |||||||||
Expenses: | ||||||||||||
Management fees | — | — | 1,579 | |||||||||
Real estate related expenses | — | — | 4,731 | |||||||||
Other operating expenses | — | (138 | ) | 2,571 | ||||||||
Total expenses | — | (138 | ) | 8,881 | ||||||||
Income (loss) from discontinued operations | $ | — | $ | 3,999 | $ | 4,490 | ||||||
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 included 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, $3.9 million of the installment sales gain was recorded as a gain on contribution of entity within discontinued operations, and the full $4.3 million of the reduction of 2013 management fees payable to PRCM Advisers was recorded within management fees, on the consolidated statements of comprehensive income for the year ended December 31, 2013. The remaining $0.1 million recorded within discontinued operations on the consolidated statements of comprehensive income for the year ended December 31, 2013 relates to accrual adjustments for transaction expenses related to the contribution. No further adjustments were recognized during 2014. See Note 24 - Related Party Transactions for additional information. |
AvailableforSale_Securities_at
Available-for-Sale Securities, at Fair Value (Notes) | 12 Months Ended | |||||||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||||||
Available-for-sale Securities [Abstract] | ||||||||||||||||||||||||
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | Available-for-Sale Securities, at Fair Value | |||||||||||||||||||||||
The Company holds available-for-sale, or AFS, investment securities, which are carried at fair value. AFS securities exclude the retained interests from the Company’s on-balance sheet securitizations, as they are eliminated in consolidation in accordance with U.S. GAAP. The following table presents the Company’s AFS investment securities by collateral type as of December 31, 2014 and December 31, 2013: | ||||||||||||||||||||||||
(in thousands) | December 31, | December 31, | ||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||
Agency | ||||||||||||||||||||||||
Federal Home Loan Mortgage Corporation | $ | 2,418,546 | $ | 2,977,291 | ||||||||||||||||||||
Federal National Mortgage Association | 6,768,875 | 4,435,820 | ||||||||||||||||||||||
Government National Mortgage Association | 2,104,896 | 2,084,298 | ||||||||||||||||||||||
Non-Agency | 3,048,785 | 2,759,318 | ||||||||||||||||||||||
Total mortgage-backed securities | $ | 14,341,102 | $ | 12,256,727 | ||||||||||||||||||||
At December 31, 2014 and December 31, 2013, the Company pledged AFS securities with a carrying value of $14.2 billion and $12.3 billion, respectively, as collateral for repurchase agreements and FHLB advances. See Note 16 - Repurchase Agreements and Note 18 - Federal Home Loan Bank of Des Moines Advances. | ||||||||||||||||||||||||
At December 31, 2014 and December 31, 2013, 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, or ASC 860, 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 December 31, 2014 and December 31, 2013: | ||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Face Value | $ | 13,421,555 | $ | 4,291,872 | $ | 17,713,427 | ||||||||||||||||||
Unamortized premium | 676,641 | — | 676,641 | |||||||||||||||||||||
Unamortized discount | ||||||||||||||||||||||||
Designated credit reserve | — | (927,605 | ) | (927,605 | ) | |||||||||||||||||||
Net, unamortized | (3,009,782 | ) | (967,368 | ) | (3,977,150 | ) | ||||||||||||||||||
Amortized Cost | 11,088,414 | 2,396,899 | 13,485,313 | |||||||||||||||||||||
Gross unrealized gains | 238,291 | 653,529 | 891,820 | |||||||||||||||||||||
Gross unrealized losses | (34,388 | ) | (1,643 | ) | (36,031 | ) | ||||||||||||||||||
Carrying Value | $ | 11,292,317 | $ | 3,048,785 | $ | 14,341,102 | ||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Face Value | $ | 11,919,590 | $ | 4,474,353 | $ | 16,393,943 | ||||||||||||||||||
Unamortized premium | 621,279 | — | 621,279 | |||||||||||||||||||||
Unamortized discount | ||||||||||||||||||||||||
Designated credit reserve | — | (1,234,449 | ) | (1,234,449 | ) | |||||||||||||||||||
Net, unamortized | (2,897,222 | ) | (1,071,559 | ) | (3,968,781 | ) | ||||||||||||||||||
Amortized Cost | 9,643,647 | 2,168,345 | 11,811,992 | |||||||||||||||||||||
Gross unrealized gains | 102,600 | 595,179 | 697,779 | |||||||||||||||||||||
Gross unrealized losses | (248,838 | ) | (4,206 | ) | (253,044 | ) | ||||||||||||||||||
Carrying Value | $ | 9,497,409 | $ | 2,759,318 | $ | 12,256,727 | ||||||||||||||||||
The following tables present the carrying value of the Company’s AFS investment securities by rate type as of December 31, 2014 and December 31, 2013: | ||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Adjustable Rate | $ | 128,285 | $ | 2,558,832 | $ | 2,687,117 | ||||||||||||||||||
Fixed Rate | 11,164,032 | 489,953 | 11,653,985 | |||||||||||||||||||||
Total | $ | 11,292,317 | $ | 3,048,785 | $ | 14,341,102 | ||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Adjustable Rate | $ | 1,006,621 | $ | 2,403,078 | $ | 3,409,699 | ||||||||||||||||||
Fixed Rate | 8,490,788 | 356,240 | 8,847,028 | |||||||||||||||||||||
Total | $ | 9,497,409 | $ | 2,759,318 | $ | 12,256,727 | ||||||||||||||||||
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 years ended December 31, 2014 and 2013 of the unamortized net discount and designated credit reserves on non-Agency AFS securities. | ||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||
(in thousands) | Designated Credit Reserve | Unamortized Net Discount | Total | Designated Credit Reserve | Unamortized Net Discount | Total | ||||||||||||||||||
Beginning balance at January 1 | $ | (1,234,449 | ) | $ | (1,071,559 | ) | $ | (2,306,008 | ) | $ | (1,290,946 | ) | $ | (996,490 | ) | $ | (2,287,436 | ) | ||||||
Acquisitions | (77,506 | ) | (58,007 | ) | (135,513 | ) | (179,678 | ) | (369,651 | ) | (549,329 | ) | ||||||||||||
Accretion of net discount | — | 127,352 | 127,352 | 886 | 142,321 | 143,207 | ||||||||||||||||||
Realized credit losses | 16,528 | — | 16,528 | 33,130 | — | 33,130 | ||||||||||||||||||
Reclassification adjustment for other-than-temporary impairments | (392 | ) | — | (392 | ) | (1,662 | ) | — | (1,662 | ) | ||||||||||||||
Transfers from (to) | 115,894 | (115,894 | ) | — | 97,101 | (97,101 | ) | — | ||||||||||||||||
Sales, calls, other | 252,320 | 150,740 | 403,060 | 106,720 | 249,362 | 356,082 | ||||||||||||||||||
Ending balance at December 31 | $ | (927,605 | ) | $ | (967,368 | ) | $ | (1,894,973 | ) | $ | (1,234,449 | ) | $ | (1,071,559 | ) | $ | (2,306,008 | ) | ||||||
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 December 31, 2014 and December 31, 2013. At December 31, 2014, the Company held 1,452 AFS securities, of which 57 were in an unrealized loss position for less than twelve consecutive months and 172 were in an unrealized loss position for more than twelve consecutive months. At December 31, 2013, the Company held 1,431 AFS securities, of which 447 were in an unrealized loss position for less than twelve months and 114 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 | ||||||||||||||||||
December 31, 2014 | $ | 413,102 | $ | (3,146 | ) | $ | 1,323,688 | $ | (32,885 | ) | $ | 1,736,790 | $ | (36,031 | ) | |||||||||
December 31, 2013 | $ | 4,902,813 | $ | (171,651 | ) | $ | 1,186,692 | $ | (81,393 | ) | $ | 6,089,505 | $ | (253,044 | ) | |||||||||
Evaluating AFS Securities for Other-Than-Temporary Impairments | ||||||||||||||||||||||||
In evaluating 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 $0.4 million other-than-temporary credit impairment during the year ended December 31, 2014 on a total of three non-Agency RMBS where the future expected cash flows for each security were less than its amortized cost. As of December 31, 2014, impaired securities with a carrying value of $161.1 million had actual weighted average cumulative losses of 10.9%, a weighted average three-month prepayment speed of 3.7%, weighted average 60+ day delinquencies of 29.7% of the pool balance, and weighted average FICO score of 664. At December 31, 2014, 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 years ended December 31, 2013 and 2012, the Company recorded $1.7 million and $11.0 million in other-than-temporary credit impairments on four and 33 non-Agency RMBS, respectively, where the future expected cash flows for each security were less than its amortized cost. | ||||||||||||||||||||||||
The following table presents the changes in OTTI included in earnings for the years ended December 31, 2014, 2013 and 2012: | ||||||||||||||||||||||||
Year Ended | ||||||||||||||||||||||||
December 31, | ||||||||||||||||||||||||
(in thousands) | 2014 | 2013 | 2012 | |||||||||||||||||||||
Cumulative credit loss at beginning of year | $ | (9,467 | ) | $ | (15,561 | ) | $ | (5,102 | ) | |||||||||||||||
Additions: | ||||||||||||||||||||||||
Other-than-temporary impairments not previously recognized | (91 | ) | — | (9,537 | ) | |||||||||||||||||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | (301 | ) | (1,662 | ) | (1,415 | ) | ||||||||||||||||||
Reductions: | ||||||||||||||||||||||||
Decreases related to other-than-temporary impairments on securities paid down | 464 | 1,677 | 250 | |||||||||||||||||||||
Decreases related to other-than-temporary impairments on securities sold | 1,154 | 6,079 | 243 | |||||||||||||||||||||
Cumulative credit loss at end of year | $ | (8,241 | ) | $ | (9,467 | ) | $ | (15,561 | ) | |||||||||||||||
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 gain (loss) on investment securities in the Company’s consolidated statements of comprehensive income. For the years ended December 31, 2014, 2013 and 2012, the Company sold AFS securities for $3.5 billion, $4.4 billion and $3.4 billion with an amortized cost of $3.4 billion, $4.5 billion and $3.3 billion, for net realized gains of $84.4 million, losses of $64.5 million, and gains of $112.9 million, respectively. | ||||||||||||||||||||||||
The following table presents the gross realized gains and losses on sales of AFS securities for the years ended December 31, 2014, 2013 and 2012: | ||||||||||||||||||||||||
Year Ended | ||||||||||||||||||||||||
December 31, | ||||||||||||||||||||||||
(in thousands) | 2014 | 2013 | 2012 | |||||||||||||||||||||
Gross realized gains | $ | 162,235 | $ | 202,112 | $ | 115,750 | ||||||||||||||||||
Gross realized losses | (77,820 | ) | (266,620 | ) | (2,859 | ) | ||||||||||||||||||
Total realized gains (losses) on sales, net | $ | 84,415 | $ | (64,508 | ) | $ | 112,891 | |||||||||||||||||
Trading_Securities_at_Fair_Val
Trading Securities, at Fair Value (Notes) | 12 Months Ended |
Dec. 31, 2014 | |
Trading Securities [Abstract] | |
Trading Securities, at Fair Value | Trading Securities, at Fair Value |
The Company holds U.S. Treasuries in a TRS and classifies these securities as trading instruments due to short-term investment objectives. As of December 31, 2014 and December 31, 2013, the Company held U.S. Treasuries with an amortized cost of $2.0 billion and $996.1 million, and a fair value of $2.0 billion and $1.0 billion, respectively, classified as trading securities. Included within trading securities were unrealized gains of $1.4 million and $4.1 million as of December 31, 2014 and December 31, 2013, respectively. | |
For the years ended December 31, 2014, 2013 and 2012, the Company sold trading securities for $1.1 billion, $1.0 billion and $1.0 billion with an amortized cost of $1.1 billion, $997.9 million and $1.0 billion, resulting in realized gains of $5.5 million, $3.0 million and $1.7 million, respectively, on the sale of these securities. | |
For the years ended December 31, 2014, 2013 and 2012, trading securities experienced change in unrealized losses of $2.7 million and $1.0 million and gains of $2.0 million, respectively. Both realized and unrealized gains and losses are recorded as a component of gain (loss) on investment securities in the consolidated statements of comprehensive income. | |
At December 31, 2014 and December 31, 2013, the Company pledged trading securities with a carrying value of $2.0 billion and $1.0 billion, respectively, as collateral for repurchase agreements. See Note 16 - Repurchase Agreements. |
Mortgage_Loans_HeldforSale_at_
Mortgage Loans Held-for-Sale, at Fair Value (Notes) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
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 December 31, 2014 and December 31, 2013: | ||||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Unpaid principal balance | $ | 534,101 | $ | 680,840 | ||||
Fair value adjustment | 1,611 | (136,259 | ) | |||||
Carrying value | $ | 535,712 | $ | 544,581 | ||||
At December 31, 2014 and December 31, 2013, the Company pledged mortgage loans with a carrying value of $416.8 million and $200.8 million, respectively, as collateral for repurchase agreements and FHLB advances. See Note 16 - Repurchase Agreements and Note 18 - Federal Home Loan Bank of Des Moines Advances. |
Mortgage_Loans_HeldforInvestme
Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value (Notes) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value [Abstract] | ||||||||
Mortgage Loans Held-for-Investment [Text Block] | Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value | |||||||
The Company purchases subordinated debt and excess servicing rights from securitization trusts sponsored by either third parties or the Company’s subsidiaries. The underlying residential mortgage loans held by the trusts, which are consolidated on the Company’s 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 December 31, 2014 and December 31, 2013: | ||||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Unpaid principal balance | $ | 1,699,748 | $ | 812,538 | ||||
Fair value adjustment | 44,998 | (20,148 | ) | |||||
Carrying value | $ | 1,744,746 | $ | 792,390 | ||||
Servicing_Activities_Notes
Servicing Activities (Notes) | 12 Months Ended | |||||||||||||
Dec. 31, 2014 | ||||||||||||||
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | ||||||||||||||
Transfers and Servicing of Financial Assets [Text Block] | Servicing Activities | |||||||||||||
Mortgage Servicing Rights, at Fair Value | ||||||||||||||
On April 30, 2013, one of the Company’s wholly owned subsidiaries acquired a company that holds approvals from Fannie Mae, Freddie Mac and Ginnie Mae to hold and manage MSR. The MSR 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 substantially all servicing functions for the loans underlying the Company’s MSR. The following table summarizes activity related to MSR for the years ended December 31, 2014 and 2013. | ||||||||||||||
Year Ended December 31, | ||||||||||||||
(in thousands) | 2014 | 2013 | ||||||||||||
Balance at beginning of period | $ | 514,402 | $ | — | ||||||||||
Additions from purchases of servicing rights | 67,533 | 500,521 | ||||||||||||
Additions from sales of mortgage loans | 288 | — | ||||||||||||
Changes in fair value due to: | ||||||||||||||
Changes in valuation inputs or assumptions used in the valuation model | (73,573 | ) | 20,651 | |||||||||||
Other changes in fair value (1) | (54,815 | ) | (6,770 | ) | ||||||||||
Other changes (2) | (1,829 | ) | — | |||||||||||
Balance at end of period | $ | 452,006 | $ | 514,402 | ||||||||||
____________________ | ||||||||||||||
-1 | Other changes in fair value primarily represents changes due to the realization of expected cash flows. | |||||||||||||
-2 | Other changes includes purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral. | |||||||||||||
As of December 31, 2014 and December 31, 2013, the Company’s key economic assumptions and the sensitivity of the fair value of its MSR to immediate 10% and 20% adverse changes in these assumptions were as follows: | ||||||||||||||
(in thousands) | 31-Dec-14 | 31-Dec-13 | ||||||||||||
Weighted average prepayment speed: | 11.9 | % | 9.5 | % | ||||||||||
Impact on fair value of 10% adverse change | $ | (14,012 | ) | $ | (19,305 | ) | ||||||||
Impact on fair value of 20% adverse change | $ | (31,640 | ) | $ | (37,187 | ) | ||||||||
Weighted average delinquency: | 5.6 | % | 4 | % | ||||||||||
Impact on fair value of 10% adverse change | $ | (3,616 | ) | $ | (8,835 | ) | ||||||||
Impact on fair value of 20% adverse change | $ | (6,780 | ) | $ | (17,642 | ) | ||||||||
Weighted average discount rate: | 9.5 | % | 9 | % | ||||||||||
Impact on fair value of 10% adverse change | $ | (16,272 | ) | $ | (21,037 | ) | ||||||||
Impact on fair value of 20% adverse change | $ | (31,640 | ) | $ | (40,642 | ) | ||||||||
These assumptions and sensitivities are hypothetical and should be considered with caution. Changes in fair value based on 10% and 20% variations in assumptions generally cannot be extrapolated because the relationship of the change in assumptions to the change in fair value may not be linear. Also, the effect of a variation in a particular assumption on the fair value of MSR is calculated without changing any other assumptions. In reality, changes in one factor may result in changes in another (e.g., increased market interest rates may result in lower prepayments and increased credit losses) that could magnify or counteract the sensitivities. Further, these sensitivities show only the change in the asset balances and do not show any expected change in the fair value of the instruments used to manage the interest rates and prepayment risks associated with these assets. | ||||||||||||||
Risk Mitigation Activities | ||||||||||||||
The primary risk of the Company’s MSR is interest rate risk and the resulting impact on prepayments. A significant decline in interest rates could lead to higher-than-expected prepayments that could reduce the value of the MSR. The Company economically hedges the impact of these risks with AFS securities and derivative financial instruments. Refer to Note 12 - Derivative Instruments and Hedging Activities for additional information regarding the derivative financial instruments used to economically hedge MSR. | ||||||||||||||
Mortgage Servicing Income | ||||||||||||||
The following table presents the components of servicing income recorded on the Company’s consolidated statements of comprehensive income for the years ended December 31, 2014 and 2013: | ||||||||||||||
Year Ended December 31, | ||||||||||||||
(in thousands) | 2014 | 2013 | ||||||||||||
Servicing fee income | $ | 125,061 | $ | 11,807 | ||||||||||
Ancillary fee income | 2,210 | 204 | ||||||||||||
Float income | 889 | — | ||||||||||||
Total | $ | 128,160 | $ | 12,011 | ||||||||||
Mortgage Servicing Advances | ||||||||||||||
In connection with the servicing of loans, the Company’s subservicers make certain payments for property taxes and insurance premiums, default and property maintenance payments, as well as advances of principal and interest payments before collecting them from individual borrowers. Servicing advances, including contractual interest, are priority cash flows in the event of a loan principal reduction or foreclosure and ultimate liquidation of the real estate-owned property, thus making their collection reasonably assured. These servicing advances, which are funded by the Company, totaled $27.5 million and $7.3 million and were included in other assets on the consolidated balance sheet as of December 31, 2014 and December 31, 2013, respectively. | ||||||||||||||
Serviced Mortgage Assets | ||||||||||||||
The Company’s total serviced mortgage assets consist of loans owned and classified as mortgage loans held-for-sale, loans held in consolidated VIEs classified as mortgage loans held-for-investment in securitization trusts and loans underlying MSR. The following table presents the number of loans and unpaid principal balance of the mortgage assets for which the Company manages the servicing as of December 31, 2014 and December 31, 2013: | ||||||||||||||
December 31, 2014 | December 31, 2013 | |||||||||||||
(dollars in thousands) | Number of Loans | Unpaid Principal Balance | Number of Loans | Unpaid Principal Balance | ||||||||||
Mortgage loans held-for-sale | 1,008 | $ | 534,101 | 2,890 | $ | 680,840 | ||||||||
Mortgage loans held-for-investment in securitization trusts | 487 | 358,458 | 537 | 425,209 | ||||||||||
Mortgage servicing rights (1) | 224,073 | 44,949,061 | 210,441 | 42,324,328 | ||||||||||
Total serviced mortgage assets | 225,568 | $ | 45,841,620 | 213,868 | $ | 43,430,377 | ||||||||
____________________ | ||||||||||||||
-1 | Includes mortgage loans held-for-investment in securitization trusts for which the Company is the named servicing administrator. |
Restricted_Cash_Notes
Restricted Cash (Notes) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
Restricted Cash [Abstract] | ||||||||
Cash and Cash Equivalents Disclosure [Text Block] | Restricted Cash | |||||||
The Company is required to maintain certain cash balances with counterparties for securities and derivatives trading activity and collateral for the Company’s repurchase agreements and FHLB advances in restricted 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 December 31, 2014 and December 31, 2013: | ||||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Restricted cash balances held by trading counterparties: | ||||||||
For securities trading activity | $ | 12,000 | $ | 9,000 | ||||
For derivatives trading activity | 211,989 | 191,107 | ||||||
As restricted collateral for repurchase agreements and Federal Home Loan Bank advances | 112,435 | 201,194 | ||||||
336,424 | 401,301 | |||||||
Restricted cash balance pursuant to letter of credit on office lease | 347 | 346 | ||||||
Total | $ | 336,771 | $ | 401,647 | ||||
Accrued_Interest_Receivable_No
Accrued Interest Receivable (Notes) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
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) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Accrued Interest Receivable: | ||||||||
U.S. Treasuries | $ | 8,084 | $ | 2,361 | ||||
Mortgage-backed securities: | ||||||||
Agency | ||||||||
Federal Home Loan Mortgage Corporation | 8,734 | 10,583 | ||||||
Federal National Mortgage Association | 22,392 | 15,034 | ||||||
Government National Mortgage Association | 10,290 | 10,007 | ||||||
Non-Agency | 3,835 | 3,676 | ||||||
Total mortgage-backed securities | 45,251 | 39,300 | ||||||
Mortgage loans held-for-sale | 1,997 | 4,136 | ||||||
Mortgage loans held-for-investment in securitization trusts | 10,197 | 4,506 | ||||||
Total | $ | 65,529 | $ | 50,303 | ||||
Derivative_Instruments_and_Hed
Derivative Instruments and Hedging Activities (Notes) | 12 Months Ended | |||||||||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||||||||
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 derivatives 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, credit default swaps and total return swaps. In executing on the Company’s current risk management strategy, the Company has entered into interest rate swap and swaption agreements, TBAs, put and call options for TBAs, constant maturity swaps, credit default swaps and total return swaps (based on the Markit IOS Index). 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. | ||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||
In accordance with ASC 815, the Company records derivative financial instruments on its 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. | ||||||||||||||||||||||||||
The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading instruments as of December 31, 2014 and December 31, 2013. | ||||||||||||||||||||||||||
(in thousands) | December 31, 2014 | |||||||||||||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||
Trading instruments | Fair Value | Notional | Fair Value | Notional | ||||||||||||||||||||||
Inverse interest-only securities | $ | 188,592 | $ | 1,168,226 | $ | — | $ | — | ||||||||||||||||||
Interest rate swap agreements | 55,471 | 9,569,000 | (65,392 | ) | 9,015,000 | |||||||||||||||||||||
Credit default swaps | — | — | (1,672 | ) | 125,000 | |||||||||||||||||||||
Swaptions, net | 121,591 | 9,550,000 | (4,999 | ) | 2,860,000 | |||||||||||||||||||||
TBAs | 10,350 | 875,000 | (17,687 | ) | 2,200,000 | |||||||||||||||||||||
Put and call options for TBAs, net | 90 | 2,000,000 | — | — | ||||||||||||||||||||||
Constant maturity swaps | 2,013 | 12,000,000 | (483 | ) | 2,000,000 | |||||||||||||||||||||
Markit IOS total return swaps | 1,387 | 598,459 | — | — | ||||||||||||||||||||||
Forward purchase commitments | 1,297 | 554,838 | — | — | ||||||||||||||||||||||
Total | $ | 380,791 | $ | 36,315,523 | $ | (90,233 | ) | $ | 16,200,000 | |||||||||||||||||
(in thousands) | December 31, 2013 | |||||||||||||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||
Trading instruments | Fair Value | Notional | Fair Value | Notional | ||||||||||||||||||||||
Inverse interest-only securities | $ | 221,364 | $ | 1,525,845 | $ | — | $ | — | ||||||||||||||||||
Interest rate swap agreements | 25,325 | 19,619,000 | — | — | ||||||||||||||||||||||
Credit default swaps | — | — | (18,049 | ) | 427,073 | |||||||||||||||||||||
Swaptions, net | 269,745 | 5,130,000 | — | — | ||||||||||||||||||||||
TBAs | 33,425 | 4,097,000 | (125 | ) | 400,000 | |||||||||||||||||||||
Constant maturity swaps | — | — | (3,773 | ) | 10,000,000 | |||||||||||||||||||||
Markit IOS total return swaps | — | — | (134 | ) | 49,629 | |||||||||||||||||||||
Forward purchase commitments | — | 12,063 | — | — | ||||||||||||||||||||||
Total | $ | 549,859 | $ | 30,383,908 | $ | (22,081 | ) | $ | 10,876,702 | |||||||||||||||||
Comprehensive Income Statement Presentation | ||||||||||||||||||||||||||
The Company has not applied hedge accounting to its current derivative portfolio held to mitigate the interest rate risk and credit risk associated with its 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 consolidated statements of comprehensive income on its derivative trading instruments: | ||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Trading Instruments | Location of Gain/(Loss) Recognized in Income on Derivatives | Amount of Gain/(Loss) Recognized in Income on Derivatives | ||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||
2014 | 2013 | 2012 | ||||||||||||||||||||||||
Interest rate risk management | ||||||||||||||||||||||||||
TBAs (1) | (Loss) gain on other derivative instruments | $ | (69,921 | ) | $ | 151,021 | $ | (30,897 | ) | |||||||||||||||||
Put and call options for TBAs (1) | (Loss) gain on other derivative instruments | (14,070 | ) | 7,798 | — | |||||||||||||||||||||
Constant maturity swaps (1) | (Loss) gain on other derivative instruments | 6,340 | (11,438 | ) | — | |||||||||||||||||||||
Short U.S. Treasuries (1) | (Loss) gain on other derivative instruments | (8 | ) | (991 | ) | (1,768 | ) | |||||||||||||||||||
Interest rate swap agreements - Receivers (1) | (Loss) gain on interest rate swap and swaption agreements | 201,536 | (14,472 | ) | — | |||||||||||||||||||||
Interest rate swap agreements - Payers (1) | (Loss) gain on interest rate swap and swaption agreements | (114,121 | ) | 6,400 | (13,056 | ) | ||||||||||||||||||||
Swaptions (1) | (Loss) gain on interest rate swap and swaption agreements | (242,795 | ) | 123,033 | (35,012 | ) | ||||||||||||||||||||
Markit IOS total return swaps (1) | (Loss) gain on other derivative instruments | 8,061 | (1,087 | ) | — | |||||||||||||||||||||
Forward sale commitments (1) | Gain (loss) on mortgage loans held-for-sale | — | — | (26 | ) | |||||||||||||||||||||
Interest rate swap agreements - Payers (2) | (Loss) gain on interest rate swap and swaption agreements | (190,267 | ) | 130,268 | (111,707 | ) | ||||||||||||||||||||
Credit risk management | ||||||||||||||||||||||||||
Credit default swaps - Receive protection (3) | (Loss) gain on other derivative instruments | 1,742 | (74,840 | ) | (61,935 | ) | ||||||||||||||||||||
Non-risk management | ||||||||||||||||||||||||||
TBAs | (Loss) gain on other derivative instruments | (4,701 | ) | 38,297 | — | |||||||||||||||||||||
Inverse interest-only securities | (Loss) gain on other derivative instruments | 55,028 | (13,415 | ) | 41,706 | |||||||||||||||||||||
Credit default swaps - Provide protection | (Loss) gain on other derivative instruments | — | — | 11,988 | ||||||||||||||||||||||
Forward purchase commitments | Gain (loss) on mortgage loans held-for-sale | 4,729 | (20,015 | ) | 2,396 | |||||||||||||||||||||
Total | $ | (358,447 | ) | $ | 320,559 | $ | (198,311 | ) | ||||||||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Includes derivative instruments held to mitigate interest rate risk associated with the Company’s investment portfolio. | |||||||||||||||||||||||||
-2 | Includes derivative instruments held to mitigate interest rate risk associated with the Company’s repurchase agreements and FHLB advances. | |||||||||||||||||||||||||
-3 | Includes derivative instruments held to mitigate credit risk associated with the Company’s non-Agency RMBS and mortgage loans held-for-sale. | |||||||||||||||||||||||||
For the years ended December 31, 2014, 2013 and 2012, the Company recognized $91.8 million, $58.5 million and $38.4 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 paying either a fixed interest rate or LIBOR interest on an average $23.3 billion, $17.0 billion and $9.9 billion notional, respectively, and receiving either LIBOR interest or a fixed interest rate. | ||||||||||||||||||||||||||
The following table presents information with respect to the volume of activity in the Company’s derivative instruments during the years ended December 31, 2014 and 2013: | ||||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Year Ended December 31, | Beginning of Period Notional Amount | Additions | Settlement, Termination, Expiration or Exercise | End of Period Notional Amount | Average Notional Amount | Realized Gain (Loss), net (1) | ||||||||||||||||||||
2014 | ||||||||||||||||||||||||||
Inverse interest-only securities | $ | 1,525,845 | $ | 29,372 | $ | (386,991 | ) | $ | 1,168,226 | $ | 1,324,581 | $ | 414 | |||||||||||||
Interest rate swap agreements | 19,619,000 | 24,215,598 | (25,250,598 | ) | 18,584,000 | 23,329,504 | (803 | ) | ||||||||||||||||||
Credit default swaps | 427,073 | — | (302,073 | ) | 125,000 | 138,418 | (13,705 | ) | ||||||||||||||||||
Swaptions, net | 5,130,000 | 15,860,000 | (8,580,000 | ) | 12,410,000 | 9,460,438 | (54,586 | ) | ||||||||||||||||||
TBAs, net | 603,000 | (10,882,000 | ) | 8,954,000 | (1,325,000 | ) | 827,140 | (33,985 | ) | |||||||||||||||||
Put and call options for TBAs, net | — | 5,500,000 | (3,500,000 | ) | 2,000,000 | 772,603 | (13,555 | ) | ||||||||||||||||||
Constant maturity swaps | 10,000,000 | 46,000,000 | (42,000,000 | ) | 14,000,000 | 11,715,068 | 1,037 | |||||||||||||||||||
Markit IOS total return swaps | 49,629 | 586,550 | (37,720 | ) | 598,459 | 437,604 | — | |||||||||||||||||||
Short U.S. Treasuries | — | (125,000 | ) | 125,000 | — | 342 | 2 | |||||||||||||||||||
Forward purchase commitments | 12,063 | 2,753,280 | (2,210,505 | ) | 554,838 | 361,326 | 3,431 | |||||||||||||||||||
Total | $ | 37,366,610 | $ | 83,937,800 | $ | (73,188,887 | ) | $ | 48,115,523 | $ | 48,367,024 | $ | (111,750 | ) | ||||||||||||
2013 | ||||||||||||||||||||||||||
Inverse interest-only securities | $ | 1,909,351 | $ | 245,260 | $ | (628,766 | ) | $ | 1,525,845 | $ | 1,782,306 | $ | — | |||||||||||||
Interest rate swap agreements | 14,070,000 | 27,787,000 | (22,238,000 | ) | 19,619,000 | 16,965,918 | 41,096 | |||||||||||||||||||
Credit default swaps | 438,440 | 2,500,000 | (2,511,367 | ) | 427,073 | 1,031,857 | (53,154 | ) | ||||||||||||||||||
Swaptions, net | 4,950,000 | 420,000 | (240,000 | ) | 5,130,000 | 5,592,274 | (28,803 | ) | ||||||||||||||||||
TBAs, net | 953,000 | 2,734,000 | (3,084,000 | ) | 603,000 | 677,180 | 157,696 | |||||||||||||||||||
Put and call options for TBAs, net | — | 3,748,000 | (3,748,000 | ) | — | 420,334 | 7,798 | |||||||||||||||||||
Constant maturity swaps | — | 31,000,000 | (21,000,000 | ) | 10,000,000 | 7,972,527 | (7,665 | ) | ||||||||||||||||||
Markit IOS total return swaps | — | 50,574 | (945 | ) | 49,629 | 12,313 | — | |||||||||||||||||||
Short U.S. Treasuries | — | (400,000 | ) | 400,000 | — | 6,658 | (876 | ) | ||||||||||||||||||
Forward purchase commitments | 56,865 | 529,582 | (574,384 | ) | 12,063 | 57,489 | (19,780 | ) | ||||||||||||||||||
Total | $ | 22,377,656 | $ | 68,614,416 | $ | (53,625,462 | ) | $ | 37,366,610 | $ | 34,518,856 | $ | 96,312 | |||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Excludes net interest paid or received in full settlement of the net interest spread liability. | |||||||||||||||||||||||||
Cash flow activity related to derivative instruments is reflected within the operating activities and investing activities sections of the consolidated statements of cash flows. Derivative fair value adjustments are reflected within the unrealized loss (gain) on interest rate swaps and swaptions, unrealized (gain) loss on other derivative instruments, and (gain) loss on mortgage loans held-for-sale line items within the operating activities section of the consolidated statements of cash flows. Realized losses on interest rate swap and swaption agreements are reflected within the loss (gain) on termination and option expiration of interest rate swaps and swaptions line item within the operating activities section of the consolidated statements of cash flows. The remaining cash flow activity related to derivative instruments is reflected within the short sales and purchases of other derivative instruments, proceeds from sales of other derivative instruments, net and (decrease) increase in due to counterparties, net line items within the investing activities section of the consolidated statements of cash flows. | ||||||||||||||||||||||||||
Interest Rate Sensitive Assets/Liabilities | ||||||||||||||||||||||||||
The Company’s RMBS investment securities and MSR 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 and an increase in the value of the Company’s MSR. 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, constant maturity swaps and interest rate swap agreements 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 December 31, 2014 and December 31, 2013, the Company had outstanding fair value of $55.7 million and $75.6 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 consolidated balance sheets. | ||||||||||||||||||||||||||
The Company is exposed to interest rate risk on mortgage loans from the time it commits to purchase a 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 enter into derivative contracts to hedge the interest rate risk related to its commitments to purchase mortgage loans and mortgage loans held-for-sale, such as interest rate swaps, swaptions, TBA positions, put and call options for TBAs and constant maturity swaps. | ||||||||||||||||||||||||||
TBAs. 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 are 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 because physical delivery of the Agency RMBS upon settlement cannot be assured, the Company accounts for TBAs as derivative instruments. | ||||||||||||||||||||||||||
As of December 31, 2014, $0.9 billion of the Company’s long notional TBA positions and $2.2 billion of the Company’s short notional TBA positions were held in order to economically hedge portfolio risk. As of December 31, 2013, $0.4 billion of the Company’s long notional TBA positions and $1.9 billion of the Company’s short notional TBA positions were held in order to economically hedge portfolio risk, while the remaining $2.2 billion long notional TBA positions were held for non-risk management purposes (see discussion of “Non-Risk Management Activities” below). The Company discloses these positions 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 tables present the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of December 31, 2014 and December 31, 2013: | ||||||||||||||||||||||||||
As of December 31, 2014 | ||||||||||||||||||||||||||
Net Carrying Value (4) | ||||||||||||||||||||||||||
(in thousands) | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||
Purchase contracts | $ | 875,000 | $ | 862,868 | $ | 873,218 | $ | 10,350 | $ | — | ||||||||||||||||
Sale contracts | (2,200,000 | ) | (2,294,813 | ) | (2,312,500 | ) | — | (17,687 | ) | |||||||||||||||||
TBAs, net | $ | (1,325,000 | ) | $ | (1,431,945 | ) | $ | (1,439,282 | ) | $ | 10,350 | $ | (17,687 | ) | ||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||
Net Carrying Value (4) | ||||||||||||||||||||||||||
(in thousands) | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||
Purchase contracts | $ | 2,550,000 | $ | 2,749,648 | $ | 2,767,295 | $ | 17,771 | $ | (125 | ) | |||||||||||||||
Sale contracts | (1,947,000 | ) | (1,959,256 | ) | (1,943,602 | ) | 15,654 | — | ||||||||||||||||||
TBAs, net | $ | 603,000 | $ | 790,392 | $ | 823,693 | $ | 33,425 | $ | (125 | ) | |||||||||||||||
___________________ | ||||||||||||||||||||||||||
-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 consolidated balance sheets. | |||||||||||||||||||||||||
Put and Call Options for TBAs. As of December 31, 2014, the Company had purchased put options for TBAs with a total notional amount of $2.0 billion and paid upfront premiums of approximately $0.6 million. Each of the options will expire in February 2015. The put options had a net fair market value of $0.1 million, included in derivative assets, at fair value, in the consolidated balance sheet as of December 31, 2014. During the year ended December 31, 2013, the Company had purchased and sold put and call options for TBAs; however, the Company did not hold any put or call options for TBAs as of December 31, 2013. | ||||||||||||||||||||||||||
Constant Maturity Swaps. 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 risk. The Company had the following constant maturity swaps agreements in place at December 31, 2014 and December 31, 2013: | ||||||||||||||||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||
Determination Date | Average Strike Swap Rate | Notional Amount | Fair Value | Upfront Premium Paid | Unrealized Gain/(Loss) | |||||||||||||||||||||
Jan-15 | 0.538 | % | $ | 7,000,000 | $ | 1,502 | $ | — | $ | 1,502 | ||||||||||||||||
Feb-15 | 0.572 | % | 2,000,000 | (13 | ) | — | (13 | ) | ||||||||||||||||||
Mar-15 | 0.552 | % | 5,000,000 | 41 | — | 41 | ||||||||||||||||||||
Total | 0.548 | % | $ | 14,000,000 | $ | 1,530 | $ | — | $ | 1,530 | ||||||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||||
Determination Date | Average Strike Swap Rate | Notional Amount | Fair Value | Upfront Premium Paid | Unrealized Gain/(Loss) | |||||||||||||||||||||
Feb-14 | 0.768 | % | $ | 3,000,000 | $ | 625 | $ | — | $ | 625 | ||||||||||||||||
Mar-14 | 0.85 | % | 5,000,000 | (3,171 | ) | — | (3,171 | ) | ||||||||||||||||||
Jun-14 | 0.828 | % | 2,000,000 | (1,227 | ) | — | (1,227 | ) | ||||||||||||||||||
Total | 0.821 | % | $ | 10,000,000 | $ | (3,773 | ) | $ | — | $ | (3,773 | ) | ||||||||||||||
Interest Rate Swap Agreements. As of December 31, 2014 and December 31, 2013, the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk associated with the Company’s investment portfolio whereby the Company receives interest at a 3-month LIBOR rate: | ||||||||||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amounts | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2017 | $ | 2,000,000 | 1.07 | % | 0.229 | % | 2.54 | |||||||||||||||||||
2018 | 2,040,000 | 1.563 | % | 0.238 | % | 3.94 | ||||||||||||||||||||
2019 and Thereafter | 900,000 | 2.378 | % | 0.255 | % | 6.24 | ||||||||||||||||||||
Total | $ | 4,940,000 | 1.512 | % | 0.237 | % | 3.8 | |||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amounts | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2016 | 1,000,000 | 0.955 | % | 0.239 | % | 2.67 | ||||||||||||||||||||
2018 and Thereafter | 2,040,000 | 1.563 | % | 0.241 | % | 4.94 | ||||||||||||||||||||
Total | $ | 3,040,000 | 1.363 | % | 0.24 | % | 4.2 | |||||||||||||||||||
Additionally, as of December 31, 2014 and December 31, 2013, the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk associated with the Company’s investment portfolio whereby the Company pays interest at a 3-month LIBOR rate: | ||||||||||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amounts | Average Pay Rate | Average Fixed Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2018 | $ | 575,000 | 0.231 | % | 1.44 | % | 3.89 | |||||||||||||||||||
2019 and Thereafter | 1,579,000 | 0.239 | % | 2.794 | % | 9.19 | ||||||||||||||||||||
Total | $ | 2,154,000 | 0.237 | % | 2.433 | % | 7.77 | |||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amounts | Average Pay Rate | Average Fixed Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2018 and Thereafter | 2,154,000 | 0.24 | % | 2.337 | % | 7.84 | ||||||||||||||||||||
Total | $ | 2,154,000 | 0.24 | % | 2.337 | % | 7.84 | |||||||||||||||||||
The Company monitors its borrowings under repurchase agreements and FHLB advances, 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 borrowings under repurchase agreements and FHLB advances with that of its investment securities and debt portfolios. This particularly applies to borrowing agreements with maturities or interest rate resets of less than six 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 or FHLB advance from floating to fixed. | ||||||||||||||||||||||||||
As of December 31, 2014 and December 31, 2013, the Company had the following outstanding interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) risk associated with the Company’s short-term repurchase agreements and FHLB advances: | ||||||||||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amounts | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2016 | $ | 4,100,000 | 0.667 | % | 0.249 | % | 1.65 | |||||||||||||||||||
2017 | 5,285,000 | 1.063 | % | 0.248 | % | 2.55 | ||||||||||||||||||||
2018 | 625,000 | 0.945 | % | 0.233 | % | 3.08 | ||||||||||||||||||||
2019 and Thereafter | 1,480,000 | 2.408 | % | 0.235 | % | 7.7 | ||||||||||||||||||||
Total | $ | 11,490,000 | 1.089 | % | 0.246 | % | 2.92 | |||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2014 | 3,900,000 | 0.3 | % | 0.245 | % | 0.76 | ||||||||||||||||||||
2015 | 1,000,000 | 0.383 | % | 0.244 | % | 1.04 | ||||||||||||||||||||
2016 | 2,950,000 | 0.626 | % | 0.246 | % | 2.42 | ||||||||||||||||||||
2017 | 5,300,000 | 0.92 | % | 0.217 | % | 3.49 | ||||||||||||||||||||
2018 and Thereafter | 1,275,000 | 1.406 | % | 0.242 | % | 5.04 | ||||||||||||||||||||
Total | $ | 14,425,000 | 0.698 | % | 0.235 | % | 2.5 | |||||||||||||||||||
Interest Rate Swaptions. As of December 31, 2014 and December 31, 2013, 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: | ||||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||
(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) | ||||||||||||||||||
Purchase contracts: | ||||||||||||||||||||||||||
Payer | ≥ 6 Months | $ | 255,358 | $ | 130,120 | 56.62 | $ | 8,210,000 | 4.12 | % | 3M Libor | 7.4 | ||||||||||||||
Total Payer | $ | 255,358 | $ | 130,120 | 56.62 | $ | 8,210,000 | 4.12 | % | 3M Libor | 7.4 | |||||||||||||||
Receiver | < 6 Months | $ | 10,715 | $ | 6,462 | 3.38 | $ | 5,000,000 | 3M Libor | 1.35 | % | 5 | ||||||||||||||
Total Receiver | $ | 10,715 | $ | 6,462 | 3.38 | $ | 5,000,000 | 3M Libor | 1.35 | % | 5 | |||||||||||||||
Sale contracts: | ||||||||||||||||||||||||||
Payer | ≥ 6 Months | $ | (81,248 | ) | $ | (19,990 | ) | 30.02 | $ | (800,000 | ) | 3.44 | % | 3M Libor | 10 | |||||||||||
Total Payer | $ | (81,248 | ) | $ | (19,990 | ) | 30.02 | $ | (800,000 | ) | 3.44 | % | 3M Libor | 10 | ||||||||||||
December 31, 2013 | ||||||||||||||||||||||||||
(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) | ||||||||||||||||||
Purchase contracts: | ||||||||||||||||||||||||||
Payer | < 6 Months | $ | 10,431 | $ | 10,458 | 2.78 | $ | 675,000 | 3.33 | % | 3M Libor | 10 | ||||||||||||||
Payer | ≥ 6 Months | 223,504 | 353,108 | 39.14 | 6,000,000 | 4.27 | % | 3M Libor | 9 | |||||||||||||||||
Total Payer | $ | 233,935 | $ | 363,566 | 38.16 | $ | 6,675,000 | 4.18 | % | 3M Libor | 9.1 | |||||||||||||||
Receiver | < 6 Months | $ | 3,991 | $ | 681 | 1.93 | $ | 275,000 | 3M Libor | 2.89 | % | 10 | ||||||||||||||
Total Receiver | $ | 3,991 | $ | 681 | 1.93 | $ | 275,000 | 3M Libor | 2.89 | % | 10 | |||||||||||||||
Sale contracts: | ||||||||||||||||||||||||||
Payer | < 6 Months | $ | (3,455 | ) | $ | (7,679 | ) | 1.93 | $ | (510,000 | ) | 1.6 | % | 3M Libor | 5 | |||||||||||
Payer | ≥ 6 Months | (81,248 | ) | (86,361 | ) | 42.02 | (800,000 | ) | 3.44 | % | 3M Libor | 10 | ||||||||||||||
Total Payer | $ | (84,703 | ) | $ | (94,040 | ) | 33.68 | $ | (1,310,000 | ) | 2.72 | % | 3M Libor | 8.1 | ||||||||||||
Receiver | < 6 Months | $ | (3,455 | ) | $ | (462 | ) | 1.93 | $ | (510,000 | ) | 3M Libor | 1.6 | % | 5 | |||||||||||
Total Receiver | $ | (3,455 | ) | $ | (462 | ) | 1.93 | $ | (510,000 | ) | 3M Libor | 1.6 | % | 5 | ||||||||||||
Markit IOS Total Return Swaps. The Company also enters into total return swaps (agreements whereby the Company receives or makes payments based on the total return of an underlying instrument or index, such as the Markit IOS Index, in exchange for fixed or floating rate interest payments) to help mitigate the potential impact of larger increases or decreases in interest rates on the performance of our investment portfolio (referred to as “convexity risk”). Total return swaps based on the Markit IOS Index are intended to synthetically replicate the performance of interest-only securities. The Company had the following total return swap agreements in place at December 31, 2014 and December 31, 2013: | ||||||||||||||||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||
Maturity Date | Current Notional Amount | Fair Value | Upfront Payable | Unrealized Gain/(Loss) | ||||||||||||||||||||||
1/12/43 | $ | (411,281 | ) | $ | 763 | $ | (1,457 | ) | $ | (694 | ) | |||||||||||||||
1/12/44 | (187,178 | ) | 624 | (275 | ) | 349 | ||||||||||||||||||||
Total | $ | (598,459 | ) | $ | 1,387 | $ | (1,732 | ) | $ | (345 | ) | |||||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||||
Maturity Date | Current Notional Amount | Fair Value | Upfront Payable | Unrealized Gain/(Loss) | ||||||||||||||||||||||
1/12/43 | $ | (49,629 | ) | $ | (134 | ) | $ | (453 | ) | $ | (587 | ) | ||||||||||||||
Total | $ | (49,629 | ) | $ | (134 | ) | $ | (453 | ) | $ | (587 | ) | ||||||||||||||
Credit Risk | ||||||||||||||||||||||||||
The Company’s exposure to credit losses on its U.S. Treasuries and Agency portfolio of investment securities is limited due to implicit or explicit backing from the U.S. Department of the Treasury or the 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. | ||||||||||||||||||||||||||
Credit Default Swaps. 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 discussion of “Non-Risk Management Activities” below). 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 December 31, 2014 and December 31, 2013, the Company held credit default swaps whereby the Company received 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 where the Company is receiving protection held as of December 31, 2014 and December 31, 2013: | ||||||||||||||||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||
Protection | Maturity Date | Average Implied Credit Spread | Current Notional Amount | Fair Value | Upfront Payable | Unrealized Gain/(Loss) | ||||||||||||||||||||
Receive | 6/20/16 | 105.5 | $ | (100,000 | ) | $ | (1,350 | ) | $ | (260 | ) | $ | (1,610 | ) | ||||||||||||
12/20/16 | 496 | (25,000 | ) | (322 | ) | (4,062 | ) | (4,384 | ) | |||||||||||||||||
Total | 183.6 | $ | (125,000 | ) | $ | (1,672 | ) | $ | (4,322 | ) | $ | (5,994 | ) | |||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||||
Protection | Maturity Date | Average Implied Credit Spread | Current Notional Amount | Fair Value | Upfront Payable | Unrealized Gain/(Loss) | ||||||||||||||||||||
Receive | 6/20/16 | 105.5 | (100,000 | ) | (2,149 | ) | (260 | ) | (2,409 | ) | ||||||||||||||||
12/20/16 | 496 | (25,000 | ) | (401 | ) | (4,062 | ) | (4,463 | ) | |||||||||||||||||
12/20/18 | 393.31 | (270,000 | ) | (23,568 | ) | 12,838 | (10,730 | ) | ||||||||||||||||||
5/25/46 | 356 | (32,073 | ) | 8,069 | (15,026 | ) | (6,957 | ) | ||||||||||||||||||
Total | 329.13 | $ | (427,073 | ) | $ | (18,049 | ) | $ | (6,510 | ) | $ | (24,559 | ) | |||||||||||||
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 December 31, 2014, the fair value of derivative financial instruments as an asset and liability position was $380.8 million and $90.2 million, respectively. | ||||||||||||||||||||||||||
The Company attempts to mitigate its credit risk exposure on derivative financial instruments by limiting its counterparties to banks and financial institutions that meet established credit guidelines. The Company also seeks to spread its credit risk exposure across multiple 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 or clearing agency, in the case of centrally cleared interest rate swaps, upon occurrence of certain events. To further mitigate the risk of counterparty default, the Company maintains collateral agreements with certain of its counterparties and clearing agencies, which require both parties to maintain cash deposits in the event the fair values of the derivative financial instruments exceed established thresholds. As of December 31, 2014, the Company has received cash deposits from counterparties of $71.4 million and placed cash deposits of $216.4 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 consolidated balance sheet. | ||||||||||||||||||||||||||
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 forward purchase commitments, TBAs and inverse interest-only RMBS. | ||||||||||||||||||||||||||
Commitments to Purchase 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, 2014 and December 31, 2013, the Company had outstanding commitments to purchase $554.8 million and $12.1 million of mortgage loans, subject to fallout if the loans do not close, with a fair value asset of $1.3 million at December 31, 2014. As of December 31, 2013, no fair value was assigned to the derivative as there was not a meaningful change in market value change from commitment date to December 31, 2013. | ||||||||||||||||||||||||||
TBAs. As of December 31, 2013, the Company held $2.2 billion notional TBAs as a means of deploying capital until targeted investments are available, and to take advantage of temporary displacements in the marketplace. None of the Company’s TBAs were held for this purpose as of December 31, 2014. | ||||||||||||||||||||||||||
Inverse Interest-Only Securities. As of December 31, 2014 and December 31, 2013, inverse interest-only securities with a carrying value of $188.6 million and $221.4 million, including accrued interest receivable of $2.2 million and $2.9 million, respectively, were accounted for as derivative financial instruments in the consolidated financial statements. The following table presents the amortized cost and carrying value (which approximates fair value) of inverse interest-only securities as of December 31, 2014 and December 31, 2013: | ||||||||||||||||||||||||||
(in thousands) | December 31, | December 31, | ||||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||||
Face Value | $ | 1,168,226 | $ | 1,525,845 | ||||||||||||||||||||||
Unamortized premium | — | — | ||||||||||||||||||||||||
Unamortized discount | ||||||||||||||||||||||||||
Designated credit reserve | — | — | ||||||||||||||||||||||||
Net, unamortized | (991,715 | ) | (1,292,785 | ) | ||||||||||||||||||||||
Amortized Cost | 176,511 | 233,060 | ||||||||||||||||||||||||
Gross unrealized gains | 14,162 | 5,891 | ||||||||||||||||||||||||
Gross unrealized losses | (4,269 | ) | (20,442 | ) | ||||||||||||||||||||||
Carrying Value | $ | 186,404 | $ | 218,509 | ||||||||||||||||||||||
Other_Assets_Notes
Other Assets (Notes) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
Other Assets [Abstract] | ||||||||
Other Assets Disclosure [Text Block] | Other Assets | |||||||
Other assets as of December 31, 2014 and December 31, 2013 are summarized in the following table: | ||||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Property and equipment at cost | $ | 4,849 | $ | 2,285 | ||||
Accumulated depreciation (1) | (1,941 | ) | (858 | ) | ||||
Net property and equipment | 2,908 | 1,427 | ||||||
Prepaid expenses | 1,790 | 1,818 | ||||||
Deferred tax assets, net | 40,847 | — | ||||||
Intangible assets | — | 533 | ||||||
Servicing advances | 27,490 | 7,298 | ||||||
Federal Home Loan Bank stock | 100,010 | 10 | ||||||
Equity investments | 3,000 | — | ||||||
Other receivables | 12,534 | 2,113 | ||||||
Total other assets | $ | 188,579 | $ | 13,199 | ||||
____________________ | ||||||||
-1 | Depreciation expense for the years ended December 31, 2014 and 2013 was $1.1 million and $0.6 million, respectively. |
Other_Liabilities_Notes
Other Liabilities (Notes) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
Other Liabilities [Abstract] | ||||||||
Other Liabilities Disclosure [Text Block] | Other Liabilities | |||||||
Other liabilities as of December 31, 2014 and December 31, 2013 are summarized in the following table: | ||||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Accrued expenses | $ | 29,819 | $ | 20,025 | ||||
Deferred tax liabilities, net | — | 39,414 | ||||||
Income taxes payable | 1,375 | 757 | ||||||
Other | 9,473 | 7,284 | ||||||
Total other liabilities | $ | 40,667 | $ | 67,480 | ||||
Fair_Value_Notes
Fair Value (Notes) | 12 Months Ended | |||||||||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||||||||
Fair Value Disclosures [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 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. The third-party pricing providers and brokers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, prepayment speeds, credit enhancements and expected life of the security. In determining the fair value of its non-Agency RMBS, management judgment may be 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 December 31, 2014. The Company classified 100% of its RMBS AFS securities reported at fair value as Level 2 at December 31, 2014. AFS and trading securities account for 73.7% and 10.3% of all assets reported at fair value at December 31, 2014, respectively. | ||||||||||||||||||||||||||
Equity securities. The Company previously held shares of Silver Bay common stock that were carried at fair value in the 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 April 2013, equity securities are no longer recognized on the consolidated balance sheet. | ||||||||||||||||||||||||||
Mortgage loans held-for-sale. The Company holds mortgage loans held-for-sale that are carried at fair value in the 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 93.4% and 6.6% of its mortgage loans held-for-sale as Level 2 and Level 3 fair value assets, respectively, at December 31, 2014. | ||||||||||||||||||||||||||
Mortgage loans held-for-investment in securitization trusts. The Company recognizes on its 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 December 31, 2014. | ||||||||||||||||||||||||||
Mortgage servicing rights. The Company holds a portfolio of MSR that are reported at fair value on the consolidated balance sheet. The Company determines fair value of its MSR based on prices obtained from third-party pricing providers. Although MSR transactions are observable in the marketplace, the valuation is based upon cash flow models that include unobservable market data inputs (including prepayment speeds, delinquency levels and discount rates). As a result, the Company classified 100% of its MSR as Level 3 fair value assets at December 31, 2014. | ||||||||||||||||||||||||||
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, put and call options for TBAs, credit default swaps, constant maturity swaps and Markit IOS total return swaps. The Company utilizes third-party pricing providers to value its financial derivative instruments. The Company classified 100% of the interest rate swaps, swaptions put and call options for TBAs, credit default swaps, constant maturity swaps and total return swaps reported at fair value as Level 2 at December 31, 2014. | ||||||||||||||||||||||||||
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 to value TBAs and broker quotes to value inverse interest-only securities. The Company classified 100% of its inverse interest-only securities at fair value as Level 2 at December 31, 2014. The Company reported 100% of its TBAs as Level 1 as of December 31, 2014. | ||||||||||||||||||||||||||
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 currently offered in the marketplace for new commitments. Fallout assumptions if the borrower elects not to close the loan are applied to the pricing. As of December 31, 2014, the Company had outstanding commitments to purchase $554.8 million of mortgage loans, subject to fallout if the loans do not close, with a fair value asset of $1.3 million. The Company classified 100% of the forward purchase commitments reported at fair value as Level 2 at December 31, 2014. | ||||||||||||||||||||||||||
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, or central clearing exchange agreements, in the case of centrally cleared interest rate swaps. Additionally, both the Company and the counterparty or clearing agency 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 or clearing agency 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 consolidated balance sheet collateralized borrowings that are carried at fair value as a result of a fair value option election. In determining the fair value of its collateralized borrowings, management judgment may be 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 collateralized borrowings in securitization trusts as Level 2 fair value liabilities at December 31, 2014. | ||||||||||||||||||||||||||
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 December 31, 2014 | ||||||||||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Available-for-sale securities | $ | — | $ | 14,341,102 | $ | — | $ | 14,341,102 | ||||||||||||||||||
Trading securities | 1,997,656 | — | — | 1,997,656 | ||||||||||||||||||||||
Mortgage loans held-for-sale | — | 500,159 | 35,553 | 535,712 | ||||||||||||||||||||||
Mortgage loans held-for-investment in securitization trusts | — | 1,744,746 | — | 1,744,746 | ||||||||||||||||||||||
Mortgage servicing rights | — | — | 452,006 | 452,006 | ||||||||||||||||||||||
Derivative assets | 10,350 | 370,441 | — | 380,791 | ||||||||||||||||||||||
Total assets | $ | 2,008,006 | $ | 16,956,448 | $ | 487,559 | $ | 19,452,013 | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Collateralized borrowings in securitization trusts | $ | — | $ | 1,209,663 | $ | — | $ | 1,209,663 | ||||||||||||||||||
Derivative liabilities | 17,687 | 72,546 | — | 90,233 | ||||||||||||||||||||||
Total liabilities | $ | 17,687 | $ | 1,282,209 | $ | — | $ | 1,299,896 | ||||||||||||||||||
Recurring Fair Value Measurements | ||||||||||||||||||||||||||
At December 31, 2013 | ||||||||||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Available-for-sale securities | $ | — | $ | 12,256,727 | $ | — | $ | 12,256,727 | ||||||||||||||||||
Trading securities | 1,000,180 | — | — | 1,000,180 | ||||||||||||||||||||||
Mortgage loans held-for-sale | — | 119,855 | 424,726 | 544,581 | ||||||||||||||||||||||
Mortgage loans held-for-investment in securitization trusts | — | 792,390 | — | 792,390 | ||||||||||||||||||||||
Mortgage servicing rights | — | — | 514,402 | 514,402 | ||||||||||||||||||||||
Derivative assets | 33,425 | 516,434 | — | 549,859 | ||||||||||||||||||||||
Total assets | $ | 1,033,605 | $ | 13,685,406 | $ | 939,128 | $ | 15,658,139 | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Collateralized borrowings in securitization trusts | $ | — | $ | 639,731 | $ | — | $ | 639,731 | ||||||||||||||||||
Derivative liabilities | 125 | 21,956 | — | 22,081 | ||||||||||||||||||||||
Total liabilities | $ | 125 | $ | 661,687 | $ | — | $ | 661,812 | ||||||||||||||||||
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 U.S. GAAP. These items would constitute nonrecurring fair value measures under ASC 820. As of December 31, 2014, 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, credit default swaps and Markit IOS total return 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 following table presents the reconciliation for all of the Company’s Level 3 assets measured at fair value on a recurring basis: | ||||||||||||||||||||||||||
Level 3 Recurring Fair Value Measurements | ||||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||||
(in thousands) | Available-For-Sale Securities | Mortgage Loans Held-For-Sale | Mortgage Servicing Rights | Available-For-Sale Securities | Mortgage Loans Held-For-Sale | Mortgage Servicing Rights | ||||||||||||||||||||
Beginning of period level 3 fair value | $ | — | $ | 424,726 | $ | 514,402 | $ | 1,871 | $ | — | $ | — | ||||||||||||||
Gains/(losses) included in net income: | ||||||||||||||||||||||||||
Realized gains (losses) | — | (1) | 7,734 | (54,815 | ) | 74 | (1) | 907 | — | |||||||||||||||||
Unrealized (losses) gains | — | (3,213 | ) | (2) | (73,573 | ) | (4) | — | 29 | (2) | 13,881 | (4) | ||||||||||||||
Total net gains/(losses) included in net income | — | 4,521 | (128,388 | ) | 74 | 936 | 13,881 | |||||||||||||||||||
Other comprehensive income | — | — | — | 1,426 | — | — | ||||||||||||||||||||
Purchases | — | 66,793 | 67,821 | — | 440,352 | 500,521 | ||||||||||||||||||||
Sales | — | (433,603 | ) | — | — | — | — | |||||||||||||||||||
Settlements | — | (26,884 | ) | (1,829 | ) | — | (16,562 | ) | — | |||||||||||||||||
Gross transfers into level 3 | — | — | — | 3,000 | — | — | ||||||||||||||||||||
Gross transfers out of level 3 | — | — | — | (6,371 | ) | — | — | |||||||||||||||||||
End of period level 3 fair value | $ | — | $ | 35,553 | $ | 452,006 | $ | — | $ | 424,726 | $ | 514,402 | ||||||||||||||
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | $ | — | $ | (3,028 | ) | (3) | $ | (73,573 | ) | (5) | $ | — | $ | 29 | (3) | $ | 13,881 | (5) | ||||||||
___________________ | ||||||||||||||||||||||||||
-1 | Realized gains (losses) on available-for-sale securities represent net (premium amortization)/discount accretion recorded in interest income on the consolidated statements of comprehensive income. | |||||||||||||||||||||||||
-2 | The change in unrealized gains or losses on mortgage loans held-for-sale was recorded in gain on mortgage loans held-for-sale on the consolidated statements of comprehensive income. | |||||||||||||||||||||||||
-3 | The change in unrealized gains or losses on mortgage loans held-for-sale that were held at the end of the reporting period was recorded in gain on mortgage loans held-for-sale on the consolidated statements of comprehensive income. | |||||||||||||||||||||||||
-4 | The change in unrealized gains or losses on MSR was recorded in gain on servicing asset on the consolidated statements of comprehensive income. | |||||||||||||||||||||||||
-5 | The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in gain on servicing asset on the consolidated statements of comprehensive income. | |||||||||||||||||||||||||
The Company did not incur transfers between Level 1, Level 2 or Level 3 for the year ended December 31, 2014. 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 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 year ended December 31, 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 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 Company also used a third-party pricing provider in the fair value measurement of its Level 3 MSR. The table below presents information about the significant unobservable inputs used by the third-party pricing provider in the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at December 31, 2014: | ||||||||||||||||||||||||||
31-Dec-14 | ||||||||||||||||||||||||||
Valuation Technique | Unobservable Input (1) | Range | Weighted Average | |||||||||||||||||||||||
Discounted cash flow | Constant prepayment speed | 10.6 | - | 13.1 | % | 11.9 | % | |||||||||||||||||||
Delinquency | 5.3 | - | 6.1 | % | 5.6 | % | ||||||||||||||||||||
Discount rate | 8.1 | - | 10.7 | % | 9.5 | % | ||||||||||||||||||||
___________________ | ||||||||||||||||||||||||||
-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 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 has 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 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 gain (loss) on mortgage loans held-for-sale on the consolidated statements of comprehensive income. The fair value option is irrevocable once the loan is acquired. | ||||||||||||||||||||||||||
The Company also elected the fair value option for the equity securities previously carried on the consolidated balance sheet, which consisted 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 were reported in gain (loss) on investment securities on the 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 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 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. | ||||||||||||||||||||||||||
(in thousands) | Changes included in the Consolidated Statements of Comprehensive Income | |||||||||||||||||||||||||
Year Ended December 31, | Interest income (expense) | Gain (loss) on investment securities | Gain (loss) on mortgage loans held-for-sale | Other income | Total included in net income | Change in fair value due to credit risk | ||||||||||||||||||||
2014 | ||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Mortgage loans held-for-sale | $ | 16,089 | (1) | $ | — | $ | 12,568 | $ | — | $ | 28,657 | $ | 1,295 | (3) | ||||||||||||
Mortgage loans held-for-investment in securitization trusts | 41,220 | (1) | — | — | 41,125 | 82,345 | — | (2) | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Collateralized borrowings in securitization trusts | (26,760 | ) | — | — | (24,285 | ) | (51,045 | ) | — | (2) | ||||||||||||||||
Total | $ | 30,549 | $ | — | $ | 12,568 | $ | 16,840 | $ | 59,957 | $ | 1,295 | ||||||||||||||
2013 | ||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Equity securities | $ | — | $ | 7,843 | $ | — | $ | — | $ | 7,843 | $ | — | (2) | |||||||||||||
Mortgage loans held-for-sale | 22,185 | (1) | — | (13,831 | ) | — | 8,354 | 6,677 | (3) | |||||||||||||||||
Mortgage loans held-for-investment in securitization trusts | 19,220 | (1) | — | — | (22,910 | ) | (3,690 | ) | — | (2) | ||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Collateralized borrowings in securitization trusts | (10,937 | ) | — | — | 37,114 | 26,177 | — | (2) | ||||||||||||||||||
Total | $ | 30,468 | $ | 7,843 | $ | (13,831 | ) | $ | 14,204 | $ | 38,684 | $ | 6,677 | |||||||||||||
2012 | ||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Equity securities | $ | — | $ | 5,822 | $ | — | $ | — | $ | 5,822 | $ | — | (2) | |||||||||||||
Mortgage loans held-for-sale | 609 | (1) | — | (100 | ) | — | 509 | — | (3) | |||||||||||||||||
Mortgage loans held-for-investment in securitization trusts | — | (1) | — | — | — | — | — | (2) | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Collateralized borrowings in securitization trusts | — | — | — | — | — | — | (2) | |||||||||||||||||||
Total | $ | 609 | $ | 5,822 | $ | (100 | ) | $ | — | $ | 6,331 | $ | — | |||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Interest income on mortgage loans held-for-sale and 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 | The change in fair value on equity securities, mortgage loans held-for-investment in securitization trusts and collateralized borrowings in securitization trusts was due entirely to changes in market interest rates. | |||||||||||||||||||||||||
-3 | The change in fair value due to credit risk on mortgage loans held-for-sale was quantified by holding yield constant in the cash flow model in order to isolate the credit risk component. | |||||||||||||||||||||||||
The table below provides the fair value and the unpaid principal balance for the Company’s fair value option-elected loans and collateralized borrowings. | ||||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | |||||||||||||||||||||||||
(in thousands) | Unpaid Principal Balance | Fair | Unpaid Principal Balance | Fair | ||||||||||||||||||||||
Value (1) | Value (1) | |||||||||||||||||||||||||
Mortgage loans held-for-sale | ||||||||||||||||||||||||||
Total loans | $ | 534,101 | $ | 535,712 | $ | 680,840 | $ | 544,581 | ||||||||||||||||||
Nonaccrual loans | $ | 26,405 | $ | 20,574 | $ | 80,486 | $ | 62,185 | ||||||||||||||||||
Loans 90+ days past due | $ | 25,263 | $ | 19,675 | $ | 63,152 | $ | 48,786 | ||||||||||||||||||
Mortgage loans held-for-investment in securitization trusts | ||||||||||||||||||||||||||
Total loans | $ | 1,699,748 | $ | 1,744,746 | $ | 812,538 | $ | 792,390 | ||||||||||||||||||
Nonaccrual loans | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Loans 90+ days past due | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Collateralized borrowings in securitization trusts | ||||||||||||||||||||||||||
Total borrowings | $ | 1,218,589 | $ | 1,209,663 | $ | 686,233 | $ | 639,731 | ||||||||||||||||||
____________________ | ||||||||||||||||||||||||||
-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 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, mortgage loans held-for-sale, mortgage loans held-for-investment in securitization trusts, MSR, 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. | |||||||||||||||||||||||||
• | As a condition to membership in the FHLB, the Company is required to purchase and hold a certain amount of FHLB stock, which is considered a non-marketable, long-term investment, and is carried at cost. Because this stock can only be redeemed or sold at its par value, and only to the FHLB, carrying value, or cost, approximates fair value. The Company categorizes the fair value measurement of these assets as Level 3. | |||||||||||||||||||||||||
• | Equity investments include cost method investments for which fair value is not estimated. Carrying value, or cost, approximates fair value. The Company categorizes the fair value measurement of these assets as Level 3. | |||||||||||||||||||||||||
• | The carrying value of repurchase agreements and FHLB advances that mature in less than one year generally approximates fair value due to the short maturities. The Company holds $93.2 million of repurchase agreements and $2.5 billion of FHLB advances that are considered long-term. The Company’s long-term repurchase agreements and FHLB advances 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 2. | |||||||||||||||||||||||||
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 December 31, 2014 and December 31, 2013. | ||||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | |||||||||||||||||||||||||
(in thousands) | Carrying Value | Fair Value | Carrying Value | Fair Value | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Available-for-sale securities | $ | 14,341,102 | $ | 14,341,102 | $ | 12,256,727 | $ | 12,256,727 | ||||||||||||||||||
Trading securities | $ | 1,997,656 | $ | 1,997,656 | $ | 1,000,180 | $ | 1,000,180 | ||||||||||||||||||
Mortgage loans held-for-sale | $ | 535,712 | $ | 535,712 | $ | 544,581 | $ | 544,581 | ||||||||||||||||||
Mortgage loans held-for-investment in securitization trusts | $ | 1,744,746 | $ | 1,744,746 | $ | 792,390 | $ | 792,390 | ||||||||||||||||||
Mortgage servicing rights | $ | 452,006 | $ | 452,006 | $ | 514,402 | $ | 514,402 | ||||||||||||||||||
Cash and cash equivalents | $ | 1,005,792 | $ | 1,005,792 | $ | 1,025,487 | $ | 1,025,487 | ||||||||||||||||||
Restricted cash | $ | 336,771 | $ | 336,771 | $ | 401,647 | $ | 401,647 | ||||||||||||||||||
Derivative assets | $ | 380,791 | $ | 380,791 | $ | 549,859 | $ | 549,859 | ||||||||||||||||||
Federal Home Loan Bank stock | $ | 100,010 | $ | 100,010 | $ | 10 | $ | 10 | ||||||||||||||||||
Equity investments | $ | 3,000 | $ | 3,000 | $ | — | $ | — | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Repurchase agreements | $ | 12,932,463 | $ | 12,932,463 | $ | 12,250,450 | $ | 12,250,450 | ||||||||||||||||||
Collateralized borrowings in securitization trusts | $ | 1,209,663 | $ | 1,209,663 | $ | 639,731 | $ | 639,731 | ||||||||||||||||||
Federal Home Loan Bank advances | $ | 2,500,000 | $ | 2,500,000 | $ | — | $ | — | ||||||||||||||||||
Derivative liabilities | $ | 90,233 | $ | 90,233 | $ | 22,081 | $ | 22,081 | ||||||||||||||||||
Repurchase_Agreements_Notes
Repurchase Agreements (Notes) | 12 Months Ended | |||||||||||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||||||||||
Disclosure of Repurchase Agreements [Abstract] | ||||||||||||||||||||||||||||
Repurchase Agreements | Repurchase Agreements | |||||||||||||||||||||||||||
As of December 31, 2014, the Company had outstanding $12.9 billion of repurchase agreements, including repurchase agreements funding the Company’s U.S. Treasuries of $2.0 billion. 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 0.72% and weighted average remaining maturities of 64 days as of December 31, 2014. As of December 31, 2013, the Company had outstanding $12.3 billion of repurchase agreements, including repurchase agreements funding the Company’s U.S. Treasuries of $997.5 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 0.75% and weighted average remaining maturities of 72 days as of December 31, 2013. As of December 31, 2014 and December 31, 2013, the debt associated with the Company’s U.S. Treasuries had a weighted average borrowing rate of 0.23% and 0.03%, respectively. | ||||||||||||||||||||||||||||
At December 31, 2014 and December 31, 2013, the repurchase agreement balances were as follows: | ||||||||||||||||||||||||||||
(in thousands) | December 31, | December 31, | ||||||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||||||
Short-term | $ | 12,839,242 | $ | 12,050,450 | ||||||||||||||||||||||||
Long-term | 93,221 | 200,000 | ||||||||||||||||||||||||||
Total | $ | 12,932,463 | $ | 12,250,450 | ||||||||||||||||||||||||
At December 31, 2014 and December 31, 2013, the repurchase agreements had the following characteristics: | ||||||||||||||||||||||||||||
(dollars in thousands) | December 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||
Collateral Type | Amount Outstanding | Weighted Average Borrowing Rate | Amount Outstanding | Weighted Average Borrowing Rate | ||||||||||||||||||||||||
U.S. Treasuries | $ | 1,996,250 | 0.23 | % | $ | 997,500 | 0.03 | % | ||||||||||||||||||||
Agency RMBS | 8,458,572 | 0.42 | % | 9,109,510 | 0.46 | % | ||||||||||||||||||||||
Non-Agency RMBS (1) | 2,324,395 | 1.79 | % | 1,829,709 | 2.01 | % | ||||||||||||||||||||||
Agency derivatives | 138,133 | 0.99 | % | 166,438 | 1.05 | % | ||||||||||||||||||||||
Mortgage loans held-for-sale | 15,113 | 3.03 | % | 147,293 | 2.85 | % | ||||||||||||||||||||||
Total | $ | 12,932,463 | 0.64 | % | $ | 12,250,450 | 0.69 | % | ||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||
-1 | Includes repurchase agreements collateralized by retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. | |||||||||||||||||||||||||||
At December 31, 2014 and December 31, 2013, the repurchase agreements had the following remaining maturities: | ||||||||||||||||||||||||||||
(in thousands) | December 31, | December 31, | ||||||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||||||
Within 30 days | $ | 3,979,317 | $ | 3,831,917 | ||||||||||||||||||||||||
30 to 59 days | 4,595,425 | 2,013,733 | ||||||||||||||||||||||||||
60 to 89 days | 903,286 | 2,225,967 | ||||||||||||||||||||||||||
90 to 119 days | 434,550 | 1,386,371 | ||||||||||||||||||||||||||
120 to 364 days | 1,929,164 | 1,594,962 | ||||||||||||||||||||||||||
Open maturity (1) | 997,500 | 997,500 | ||||||||||||||||||||||||||
One year and over | 93,221 | (2) | 200,000 | |||||||||||||||||||||||||
Total | $ | 12,932,463 | $ | 12,250,450 | ||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||
-1 | Includes repurchase agreements collateralized by U.S. Treasuries with 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 a maturity date of June 25, 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) | December 31, | December 31, | ||||||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||||||
Available-for-sale securities, at fair value | $ | 11,874,783 | $ | 12,295,302 | ||||||||||||||||||||||||
Trading securities, at fair value | 1,997,656 | 1,000,180 | ||||||||||||||||||||||||||
Mortgage loans held-for-sale | 19,123 | 200,839 | ||||||||||||||||||||||||||
Net economic interests in consolidated securitization trusts (1) | 363,564 | — | ||||||||||||||||||||||||||
Cash and cash equivalents | 14,117 | 15,000 | ||||||||||||||||||||||||||
Restricted cash | 112,435 | 201,194 | ||||||||||||||||||||||||||
Due from counterparties | 32,495 | 21,579 | ||||||||||||||||||||||||||
Derivative assets, at fair value | 185,067 | 216,365 | ||||||||||||||||||||||||||
Total | $ | 14,599,240 | $ | 13,950,459 | ||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||
-1 | Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. | |||||||||||||||||||||||||||
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 December 31, 2014 and December 31, 2013: | ||||||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | |||||||||||||||||||||||||||
(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 | ||||||||||||||||||||
Royal Bank of Canada | $ | 1,373,549 | $ | 401,194 | 10 | % | 83.8 | $ | 980,464 | $ | 264,746 | 7 | % | 88.2 | ||||||||||||||
Barclays Capital Inc. | 1,346,085 | 365,879 | 9 | % | 50.5 | 1,453,396 | 302,744 | 8 | % | 74.6 | ||||||||||||||||||
All other counterparties (2) (3) | 9,215,329 | 907,066 | 22 | % | 57.7 | 8,819,090 | 1,107,340 | 29 | % | 71.2 | ||||||||||||||||||
Total | $ | 11,934,963 | $ | 1,674,139 | $ | 11,252,950 | $ | 1,674,830 | ||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||
-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. | |||||||||||||||||||||||||||
-2 | Excludes $997.5 million and $997.5 million of repurchase agreements collateralized by U.S. Treasuries with a rolling 1-day maturity as of December 31, 2014 and December 31, 2013, respectively. | |||||||||||||||||||||||||||
-3 | Represents amounts outstanding to 23 and 18 counterparties at December 31, 2014 and December 31, 2013, respectively. | |||||||||||||||||||||||||||
The Company does not anticipate any defaults by its repurchase agreement counterparties. |
Collateralized_Borrowings_in_S
Collateralized Borrowings in Securitization Trusts, at Fair Value (Notes) | 12 Months Ended |
Dec. 31, 2014 | |
Collateralized Borrowings in Securitization Trusts, at Fair Value [Abstract] | |
Debt Disclosure [Text Block] | Collateralized Borrowings in Securitization Trusts, at Fair Value |
The Company purchases subordinated debt and excess servicing rights from securitization trusts sponsored by either third parties or the Company’s subsidiaries. The debt associated with the underlying residential mortgage loans held at the trusts, which are consolidated on the Company’s 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 December 31, 2014 and December 31, 2013, the collateralized borrowings in securitization trusts had a carrying value of $1.2 billion and $639.7 million with a weighted average interest rate of 3.6% and 2.8%, respectively. The stated maturity dates for all collateralized borrowings were more than five years from both December 31, 2014 and December 31, 2013. |
Federal_Home_Loan_Bank_of_Des_
Federal Home Loan Bank of Des Moines Advances Federal Home Loan Bank of Des Moines Advances (Notes) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
Advances from Federal Home Loan Banks [Abstract] | ||||||||
Federal Home Loan Bank Advances, Disclosure [Text Block] | Federal Home Loan Bank of Des Moines Advances | |||||||
In December 2013, the Company’s wholly owned subsidiary, TH Insurance, was accepted for membership in the FHLB. As a member of the FHLB, TH Insurance has access to a variety of products and services offered by the FHLB, including secured advances. As of December 31, 2014, TH Insurance had $2.5 billion in outstanding secured advances with a weighted average borrowing rate of 0.3%, and no additional unused capacity to borrow. Subsequent to December 31, 2014, TH Insurance’s aggregate borrowing capacity was increased to $4.0 billion. To the extent TH Insurance has unused capacity, it may be adjusted at the sole discretion of the FHLB. As of December 31, 2013, TH Insurance had not requested any secured advances and had $1.0 billion of available uncommitted credit for borrowings. | ||||||||
The ability to borrow from the FHLB is subject to the Company’s continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with the FHLB. Each advance requires approval by the FHLB and is secured by collateral in accordance with the FHLB’s credit and collateral guidelines, as may be revised from time to time by the FHLB. Eligible collateral may include conventional 1-4 family residential mortgage loans, commercial real estate loans, Agency RMBS and non-Agency RMBS with an A rating and above. | ||||||||
At December 31, 2014 and December 31, 2013, FHLB advances had the following remaining maturities: | ||||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
≤ 1 year | $ | 33,738 | $ | — | ||||
> 1 and ≤ 3 years | 651,238 | — | ||||||
> 3 and ≤ 5 years | 815,024 | — | ||||||
> 5 and ≤ 10 years | — | — | ||||||
> 10 years | 1,000,000 | — | ||||||
Total | $ | 2,500,000 | $ | — | ||||
The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of FHLB advances: | ||||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Available-for-sale securities, at fair value | $ | 2,284,532 | $ | — | ||||
Mortgage loans held-for-sale, at fair value | 397,656 | — | ||||||
Net economic interests in consolidated securitization trusts (1) | 80,732 | |||||||
Total | $ | 2,762,920 | $ | — | ||||
____________________ | ||||||||
-1 | Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. | |||||||
The FHLB retains the right to mark the underlying collateral for FHLB advances to fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral. In addition, as a condition to membership in the FHLB, the Company is required to purchase and hold a certain amount of FHLB stock, which is based, in part, upon the outstanding principal balance of advances from the FHLB. At December 31, 2014 and December 31, 2013, the Company had stock in the FHLB totaling $100.0 million and $10,000, respectively, which is included in other assets on the consolidated balance sheet. FHLB stock is considered a non-marketable, long-term investment, is carried at cost and is subject to recoverability testing under applicable accounting standards. This stock can only be redeemed or sold at its par value, and only to the FHLB. Accordingly, when evaluating FHLB stock for impairment, the Company considers the ultimate recoverability of the par value rather than recognizing temporary declines in value. As of December 31, 2014 and December 31, 2013, the Company had not recognized an impairment charge related to its FHLB stock. |
Commitments_and_Contingencies_
Commitments and Contingencies (Notes) | 12 Months Ended | ||||
Dec. 31, 2014 | |||||
Commitments and Contingencies Disclosure [Abstract] | |||||
Commitments and Contingencies Disclosure [Text Block] | Commitments and Contingencies | ||||
The following represent the material commitments and contingencies of the Company as of December 31, 2014: | |||||
Management agreement. The Company pays PRCM Advisers a management fee equal to 1.5% per annum, calculated and payable quarterly in arrears, of the Company’s stockholders’ equity. For purposes of calculating the management fee, the Company’s stockholders’ equity means the sum of the net proceeds from all issuances of the Company’s equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus the Company’s retained earnings at the end of the most recently completed calendar quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount that the Company pays for repurchases of the Company’s common stock since inception, and excluding any unrealized gains, losses or other items that do not affect realized net income (regardless of whether such items are included in other comprehensive income or loss, or in net income). This amount will be adjusted to exclude one-time events pursuant to changes in U.S. GAAP, and certain non-cash items after discussions between PRCM Advisers and the Company’s independent directors and approval by a majority of the Company’s independent directors. To the extent asset impairment reduces the Company’s retained earnings at the end of any completed calendar quarter; it will reduce the management fee for such quarter. The Company’s stockholders’ equity for the purposes of calculating the management fee could be greater than the amount of stockholders’ equity shown on the consolidated financial statements. The current term of the management agreement expires on October 28, 2015, and automatically renews for successive one-year terms annually until terminated in accordance with the terms of the agreement. | |||||
The Company reimburses PRCM Advisers for (i) the Company’s allocable share of the compensation paid by PRCM Advisers to its personnel serving as the Company’s principal financial officer and general counsel and personnel employed by PRCM Advisers as in-house legal, tax, accounting, consulting, auditing, administrative, information technology, valuation, computer programming and development and back-office resources to the Company, and (ii) any amounts for personnel of PRCM Adviser’s affiliates arising under a shared facilities and services agreement. | |||||
Upon termination of the management agreement by the Company without cause or by PRCM Advisers due to the Company’s material breach of the management agreement, the Company is required to pay a termination fee equal to three times the sum of the average annual base management fee earned by PRCM Advisers during the 24-month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. | |||||
Employment contracts. The Company does not directly employ any personnel. Instead, the Company relies on the resources of PRCM Advisers to conduct the Company’s operations. Expense reimbursements to PRCM Advisers are made in cash on a quarterly basis following the end of each quarter. | |||||
Operating leases. As of December 31, 2014, the Company was obligated under non-cancelable operating leases for office space. Future minimum rental payments, including escalation clauses, under leases with terms of one year or more at December 31, 2014 were as follows: | |||||
(in thousands) | |||||
Year | Minimum Payment | ||||
2015 | $ | 2,250 | |||
2016 | 1,902 | ||||
2017 | 1,468 | ||||
2018 | 1,187 | ||||
2019 | 1,205 | ||||
Thereafter | 2,988 | ||||
Total | $ | 11,000 | |||
Expenses under the lease agreements were $2.0 million, $1.3 million and $0.6 million for the years ended December 31, 2014, 2013 and 2012, respectively. | |||||
Legal and regulatory. From time to time, the Company may be subject to liability under laws and government regulations and various claims and legal actions arising in the ordinary course of business. Liabilities are established for legal claims when payments associated with the claims become probable and the costs can be reasonably estimated. The actual costs of resolving legal claims may be substantially higher or lower than the amounts established for those claims. Based on information currently available, management is not aware of any legal or regulatory claims that would have a material effect on the Company’s consolidated financial statements and therefore no accrual is required as of December 31, 2014. | |||||
Commitments to purchase mortgage loans. During the years ended December 31, 2014, 2013 and 2012, the Company entered into forward purchase commitments with counterparties whereby the Company committed to purchasing loans at a particular interest rate, provided the borrower elects to close the loan. All of these commitments were accounted for as derivatives at December 31, 2014 and December 31, 2013. See Note 12 - Derivative Instruments and Hedging Activities for additional information. | |||||
Representation and warranty obligations. The Company has exposure to representation and warranty obligations in its capacity as owner of MSR and its mortgage loan sales and securitization activities. The specific representations and warranties, or R&W, vary among different transactions and investors, but typically relate to, among other things, the ownership of the loan, the validity of the lien securing the loan, the loan’s compliance with the criteria for inclusion in the transaction, including compliance with underwriting standards or loan criteria established by the investor, the ability to deliver required documentation and compliance with applicable laws. In general, the representations and warranties may be enforced at any time unless a sunset provision is in place. | |||||
The reserve for R&W obligations reflect management’s best estimate of probable lifetime loss. The methodology used to estimate the reserve considers a variety of assumptions including borrower performance (both actual and estimated future defaults), historical loan defect experience, historical and estimated future loss experience, which includes projections of future home price changes as well as other qualitative factors including investor behavior. | |||||
In accordance with the purchase and sale agreement with our MSR and conduit counterparties, we have contractually mirrored our R&W obligations to the GSEs and private investors. As a result, we possess the ability to seek indemnification from our counterparties in the event of a realized loss from the fulfillment of our R&W obligation. At December 31, 2014 and December 31, 2013, the reserve (liability) for representation and warranty obligations was $2.5 million and $0.6 million, respectively. |
Stockholders_Equity_Notes
Stockholders' Equity (Notes) | 12 Months Ended | ||||||||||||||
Dec. 31, 2014 | |||||||||||||||
Stockholders' Equity Note [Abstract] | |||||||||||||||
Stockholders' Equity | Stockholders’ Equity | ||||||||||||||
Common Stock | |||||||||||||||
As of December 31, 2014, the Company had 366,395,920 shares of common stock outstanding. The following table presents a reconciliation of the common shares outstanding from December 31, 2011 through December 31, 2014: | |||||||||||||||
Number of common shares | |||||||||||||||
Common shares outstanding, December 31, 2011 | 140,596,708 | ||||||||||||||
Issuance of common stock | 158,184,529 | ||||||||||||||
Issuance of restricted stock (1) | 32,021 | ||||||||||||||
Common shares outstanding, December 31, 2012 | 298,813,258 | ||||||||||||||
Issuance of common stock | 67,511,609 | ||||||||||||||
Issuance of restricted stock (1) | 1,061,001 | ||||||||||||||
Repurchase of common stock | (2,450,700 | ) | |||||||||||||
Common shares outstanding, December 31, 2013 | 364,935,168 | ||||||||||||||
Issuance of common stock | 57,218 | ||||||||||||||
Issuance of restricted stock (1) | 1,403,534 | ||||||||||||||
Common shares outstanding, December 31, 2014 | 366,395,920 | ||||||||||||||
____________________ | |||||||||||||||
-1 | Represents shares of restricted stock granted under the Restated 2009 Equity Incentive Plan, of which 2,002,406 restricted shares remained subject to vesting requirements at December 31, 2014. | ||||||||||||||
Distributions to Stockholders | |||||||||||||||
The following table presents cash dividends declared by the Company on its common stock for the years ended December 31, 2014, 2013 and 2012: | |||||||||||||||
Declaration Date | Record Date | Payment Date | Cash Dividend Per Share | ||||||||||||
December 16, 2014 | December 30, 2014 | January 20, 2015 | $ | 0.26 | |||||||||||
September 16, 2014 | September 30, 2014 | October 21, 2014 | $ | 0.26 | |||||||||||
June 17, 2014 | July 2, 2014 | July 22, 2014 | $ | 0.26 | |||||||||||
March 17, 2014 | March 31, 2014 | April 21, 2014 | $ | 0.26 | |||||||||||
December 17, 2013 | December 27, 2013 | December 31, 2013 | $ | 0.26 | |||||||||||
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 | |||||||||||
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 Company distributed 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, on a pro rata basis, to the Company’s stockholders of record as of 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 distributed on or about April 24, 2013. | |||||||||||||||
Accumulated Other Comprehensive Income | |||||||||||||||
Accumulated other comprehensive income at December 31, 2014 and December 31, 2013 was as follows: | |||||||||||||||
(in thousands) | December 31, | December 31, | |||||||||||||
2014 | 2013 | ||||||||||||||
Available-for-sale securities, at fair value | |||||||||||||||
Unrealized gains | $ | 891,820 | $ | 697,779 | |||||||||||
Unrealized losses | (36,031 | ) | (253,044 | ) | |||||||||||
Accumulated other comprehensive income | $ | 855,789 | $ | 444,735 | |||||||||||
Reclassifications out of Accumulated Other Comprehensive Income | |||||||||||||||
The following table summarizes reclassifications out of accumulated other comprehensive income for the years ended December 31, 2014, 2013 and 2012: | |||||||||||||||
(in thousands) | Affected Line Item in the Consolidated Statements of Comprehensive Income | Amount Reclassified out of Accumulated Other Comprehensive Income | |||||||||||||
Year Ended December 31, | |||||||||||||||
2014 | 2013 | 2012 | |||||||||||||
Other-than-temporary-impairments on AFS securities | Total other-than-temporary impairment losses | $ | 392 | $ | 1,662 | $ | 10,952 | ||||||||
Realized losses (gains) on sales of AFS securities | (Loss) gain on investment securities | (52,931 | ) | 44,780 | (123,534 | ) | |||||||||
Total | $ | (52,539 | ) | $ | 46,442 | $ | (112,582 | ) | |||||||
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 December 31, 2014, 213,466 shares have been issued under the plan for total proceeds of $2.3 million, of which 57,218 shares were issued for total proceeds of $0.6 million during the year ended December 31, 2014. During the years ended December 31, 2013 and 2012, 71,961 and 84,287 shares were issued for total proceeds of $0.8 million and $0.9 million, respectively. | |||||||||||||||
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. The share repurchase program does not require the purchase of any minimum number of shares, and purchases may be commenced or suspended at any time without prior notice. As of December 31, 2014, 2,450,700 shares had been repurchased by the Company under the program for a total cost of $23.9 million; however, no shares were repurchased during the year ended December 31, 2014. All 2,450,700 shares were repurchased during the year ended December 31, 2013 for a total cost of $23.9 million. No shares were repurchased during the year ended December 31, 2012. | |||||||||||||||
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 December 31, 2014, 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 years ended December 31, 2014 and 2013. All 7,585,869 shares were sold during the year ended December 31, 2012 for total accumulated net proceeds of $77.6 million. | |||||||||||||||
Warrants | |||||||||||||||
During the year ended December 31, 2012, warrant holders exercised 19,417,571 warrants to purchase 19,417,571 shares of the Company’s common stock, at an exercise price of $11.00 per share. 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 the warrant expiration date, November 7, 2013, warrant holders exercised 1,130,460 warrants to purchase 1,212,607 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 years ended December 31, 2013 and 2012 were approximately $107.5 million and $213.6 million, respectively. | |||||||||||||||
Additionally, certain Capitol founders holding warrants containing cashless exercise provisions exercised 100,000 and 300,000 warrants on a cashless basis, resulting in the surrender of 93,649 and 277,452 shares of common stock and the issuance of 6,351 and 22,548 shares of common stock during the years ended December 31, 2013 and 2012, respectively. No proceeds were received by the Company as a result of the cashless exercises. | |||||||||||||||
At 5:00 p.m. EST on November 7, 2013, 3,580,279 warrants expired pursuant to the terms of the warrant agreement. No warrants remain outstanding as of December 31, 2013. |
Equity_Incentive_Plan_Notes
Equity Incentive Plan (Notes) | 12 Months Ended | |||||||||||||
Dec. 31, 2014 | ||||||||||||||
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ||||||||||||||
Disclosure of Compensation Related Costs, Share-based Payments [Text Block] | Equity Incentive Plan | |||||||||||||
The Company’s Plan was adopted in 2009 and amended in May 2013. The Company adopted the Plan to provide incentive compensation to attract and retain qualified directors, officers, advisors, consultants and other personnel, including PRCM Advisers and affiliates and employees of PRCM Advisers and its affiliates, and any joint venture affiliates of the Company. | ||||||||||||||
On May 21, 2013, the Company’s stockholders approved the Plan, which effectuated, among other changes, an increase in the number of shares available for issuance under the Plan 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 and its affiliates upon a determination by the compensation committee, and the implementation of certain best practices of equity-based compensation. | ||||||||||||||
The 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 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 Plan), to determine the terms, provisions and conditions of each award (which may not be inconsistent with the terms of the 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 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 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. If an award granted under the 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 earlier terminated by the Company’s board of directors, no new award may be granted under the 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 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, May 21, 2013 and May 20, 2014, the Company granted 32,021, 36,335 and 52,180 shares of restricted common stock, respectively, to its independent directors pursuant to the Plan. The estimated fair value of these awards was $10.15, $11.56 and $10.31 per share, respectively, based on the closing price of the Company’s common stock on the NYSE on such date. The shares underlying the grants vested immediately. Additionally, on December 18, 2013, the Company granted 3,697 shares of restricted common stock to a newly appointed independent director pursuant to the Plan. The estimated fair value of these awards was $9.19 per share, based on the closing price of the Company’s common stock on the NYSE on such date. The shares underlying these grants also vested immediately. | ||||||||||||||
On May 29, 2013 and February 5, 2014, the Company granted 1,020,969 and 1,374,989 shares of restricted common stock to its executive officers and other key employees of PRCM Advisers pursuant to the Plan. The estimated fair value of these awards was $11.23 and $9.90 per share on grant date, based on the closing price of the Company’s common stock on the NYSE on such date. However, as the cost of these awards is measured at fair value at each reporting date based on the price of the Company’s stock as of period end in accordance with ASC 505, the fair value of these awards as of December 31, 2014 was $10.02 per share based on the closing market price of the Company’s common stock on the NYSE on such date. The shares underlying the grants vest in three annual installments commencing on the date of the grant, as long as such grantee complies with the terms and conditions of his or her applicable restricted stock award agreement. | ||||||||||||||
The following table summarizes the activity related to restricted common stock for the years ended December 31, 2014 and 2013: | ||||||||||||||
Year Ended December 31, | ||||||||||||||
2014 | 2013 | |||||||||||||
Shares | Weighted Average Grant Date Fair Market Value | Shares | Weighted Average Grant Date Fair Market Value | |||||||||||
Outstanding at Beginning of Period | 1,024,459 | $ | 11.22 | 25,325 | $ | 9.69 | ||||||||
Granted | 1,427,169 | 9.91 | 1,061,001 | 11.23 | ||||||||||
Vested | (443,093 | ) | (11.12 | ) | (61,867 | ) | (10.71 | ) | ||||||
Forfeited | (6,129 | ) | (9.79 | ) | — | — | ||||||||
Outstanding at End of Period | 2,002,406 | $ | 10.32 | 1,024,459 | $ | 11.22 | ||||||||
For the years ended December 31, 2014, 2013 and 2012, the Company recognized compensation costs related to restricted common stock of $11.7 million, $3.9 million, and $0.5 million, respectively. |
Income_Taxes_Notes
Income Taxes (Notes) | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||
Income Tax Disclosure [Abstract] | |||||||||||||||||||||
Income Taxes | Income Taxes | ||||||||||||||||||||
For the years ended December 31, 2014, 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 Company intends to distribute 100% of its REIT taxable income and comply with all requirements to continue to qualify as a REIT. 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. The tables below reflect the net taxes accrued at the TRS level and the tax attributes included in the consolidated financial statements. 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. | |||||||||||||||||||||
Certain activities the Company performs may produce income that will not be qualifying income for REIT purposes. These activities include the designated portion of MSR treated as normal mortgage servicing, swaptions, credit default swaps, TBAs and other risk-management instruments. The Company has designated its TRSs to engage in these activities. The Company also purchases and sells mortgage loans through the secondary whole loan market and/or securitization market and has designated its TRSs to engage in these activities. | |||||||||||||||||||||
The following table summarizes the tax (benefit) provision recorded at the taxable subsidiary level for the years ended December 31, 2014, 2013 and 2012: | |||||||||||||||||||||
Year Ended December 31, | |||||||||||||||||||||
(in thousands) | 2014 | 2013 | 2012 | ||||||||||||||||||
Current tax provision (benefit): | |||||||||||||||||||||
Federal | $ | 6,507 | $ | 808 | $ | (4,586 | ) | ||||||||||||||
State | 16 | 5 | 3 | ||||||||||||||||||
Total current tax provision (benefit) | 6,523 | 813 | (4,583 | ) | |||||||||||||||||
Deferred tax (benefit) provision | (80,261 | ) | 83,598 | (37,636 | ) | ||||||||||||||||
Total (benefit from) provision for income taxes | $ | (73,738 | ) | $ | 84,411 | $ | (42,219 | ) | |||||||||||||
The Company’s taxable income before dividend distributions differs from its pre-tax net income for U.S. GAAP purposes primarily due to unrealized gains and losses, the recognition of credit losses for U.S. GAAP purposes but not tax purposes, differences in timing of income recognition due to market discount, and original issue discount and the calculations surrounding each. These book to tax differences in the REIT are not reflected in the financial statements as the Company intends to retain its REIT status. | |||||||||||||||||||||
The following is a reconciliation of the statutory federal and state rates to the effective rates, for the years ended December 31, 2014, 2013 and 2012: | |||||||||||||||||||||
Year Ended December 31, | |||||||||||||||||||||
2014 | 2013 | 2012 | |||||||||||||||||||
(dollars in thousands) | Amount | Percent | Amount | Percent | Amount | Percent | |||||||||||||||
Computed income tax expense at federal rate | $ | 32,691 | 35 | % | $ | 225,573 | 34 | % | $ | 84,894 | 34 | % | |||||||||
State taxes, net of federal benefit, if applicable | 10 | — | % | 4 | — | % | 2 | — | % | ||||||||||||
Permanent differences in taxable income from GAAP net income | 1,636 | 2 | % | 17,681 | 3 | % | 118 | — | % | ||||||||||||
Dividends paid deduction | (108,075 | ) | (116 | )% | (158,847 | ) | (24 | )% | (127,233 | ) | (51 | )% | |||||||||
(Benefit from) provision for income taxes/Effective Tax Rate(1) | $ | (73,738 | ) | (79 | )% | $ | 84,411 | 13 | % | $ | (42,219 | ) | (17 | )% | |||||||
____________________ | |||||||||||||||||||||
-1 | The (benefit from) provision for income taxes is recorded at the taxable subsidiary level. | ||||||||||||||||||||
The Company’s permanent differences in taxable income from GAAP net income in the year ended December 31, 2014 were due primarily to the statutory federal rate change from 34% to 35% and corresponding adjustment to the measurement of beginning deferred tax assets and liabilities. The Company’s permanent differences in taxable income from GAAP net income in the year ended December 31, 2013 were due primarily to dividends received by the REIT from the TRSs. | |||||||||||||||||||||
The Company’s consolidated balance sheet, as of December 31, 2014 and December 31, 2013, contains the following current and deferred tax liabilities and assets, which are included in other liabilities and other assets, respectively, and are recorded at the taxable subsidiary level: | |||||||||||||||||||||
(in thousands) | December 31, | December 31, | |||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||
Income taxes (payable) receivable | |||||||||||||||||||||
Federal income taxes (payable) receivable | $ | (1,375 | ) | $ | (757 | ) | |||||||||||||||
State and local income taxes (payable) receivable | — | — | |||||||||||||||||||
Income taxes (payable) receivable, net | (1,375 | ) | (757 | ) | |||||||||||||||||
Deferred tax assets (liabilities) | |||||||||||||||||||||
Deferred tax asset | 60,575 | (1) | 14,927 | ||||||||||||||||||
Deferred tax liability | (19,728 | ) | (54,341 | ) | |||||||||||||||||
Total net deferred tax assets (liabilities) | 40,847 | (39,414 | ) | ||||||||||||||||||
Total tax assets and liabilities, net | $ | 39,472 | $ | (40,171 | ) | ||||||||||||||||
____________________ | |||||||||||||||||||||
-1 | Net of valuation allowance of $0.1 million. | ||||||||||||||||||||
Deferred Tax Assets and Liabilities | |||||||||||||||||||||
Deferred income taxes reflect the net tax effect of temporary differences between the carrying amount of assets and liabilities for financial reporting and tax purposes at the TRS level. Components of the Company’s deferred tax assets and liabilities as of December 31, 2014 and December 31, 2013 are as follows: | |||||||||||||||||||||
(in thousands) | December 31, | December 31, | |||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||
Derivative assets and liabilities | $ | 5,978 | $ | (45,740 | ) | ||||||||||||||||
Trading securities | (478 | ) | (1,380 | ) | |||||||||||||||||
Mortgage servicing rights | 4,494 | (846 | ) | ||||||||||||||||||
Other assets | 16 | — | |||||||||||||||||||
Other liabilities | 859 | — | |||||||||||||||||||
Capitalized start-up and organizational costs | 277 | 515 | |||||||||||||||||||
Alternative minimum tax credit | 98 | — | |||||||||||||||||||
Net operating loss carryforward | 9,448 | 7,986 | |||||||||||||||||||
Capital loss carryforward | 20,155 | 51 | |||||||||||||||||||
Total net deferred tax assets (liabilities) | $ | 40,847 | $ | (39,414 | ) | ||||||||||||||||
At December 31, 2014, a $0.1 million valuation allowance was established because the Company determined that it is more likely than not that the associated deferred tax asset will not be realized. At December 31, 2013, the Company had not recorded a valuation allowance for any portion of its deferred tax assets as it did not believe, at a more likely than not level, that any portion of its deferred tax assets would not be realized. Of the TRS net operating loss carryforward of $9.4 million, $6.9 million is scheduled to expire December 31, 2033 and $2.5 million is scheduled to expire December 31, 2034. The TRS net capital loss carryforward of $20.2 million is scheduled to expire December 31, 2019. The Company estimates, based on existence of sufficient evidence, the ability to realize the remainder of its deferred tax assets. Any adjustments to such estimates will be made in the period such determination is made. | |||||||||||||||||||||
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. Additionally, there were no amounts accrued for penalties or interest as of or during the periods presented in these consolidated financial statements. |
Earnings_Per_Share_Notes
Earnings Per Share (Notes) | 12 Months Ended | |||||||||||
Dec. 31, 2014 | ||||||||||||
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 years ended December 31, 2014, 2013 and 2012: | ||||||||||||
Year Ended December 31, | ||||||||||||
(in thousands, except share data) | 2014 | 2013 | 2012 | |||||||||
Numerator: | ||||||||||||
Net income from continuing operations | $ | 167,139 | $ | 575,040 | $ | 287,416 | ||||||
Income (loss) from discontinued operations | — | 3,999 | 4,490 | |||||||||
Net income | $ | 167,139 | $ | 579,039 | $ | 291,906 | ||||||
Denominator: | ||||||||||||
Weighted average common shares outstanding | 364,181,059 | 349,741,902 | 241,975,433 | |||||||||
Weighted average restricted stock shares | 1,830,796 | 619,925 | 39,318 | |||||||||
Basic weighted average shares outstanding | 366,011,855 | 350,361,827 | 242,014,751 | |||||||||
Dilutive weighted average warrants | — | 630,560 | 417,405 | |||||||||
Diluted weighted average shares outstanding | 366,011,855 | 350,992,387 | 242,432,156 | |||||||||
Basic Earnings (Loss) Per Share: | ||||||||||||
Continuing operations | $ | 0.46 | $ | 1.64 | $ | 1.19 | ||||||
Discontinued operations | — | 0.01 | 0.02 | |||||||||
Net income | $ | 0.46 | $ | 1.65 | $ | 1.21 | ||||||
Diluted Earnings (Loss) Per Share: | ||||||||||||
Continuing operations | $ | 0.46 | $ | 1.64 | $ | 1.18 | ||||||
Discontinued operations | — | 0.01 | 0.02 | |||||||||
Net income | $ | 0.46 | $ | 1.65 | $ | 1.2 | ||||||
No warrants were outstanding during the year ended December 31, 2014; however, during the year ended December 31, 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 year ended December 31, 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) | 12 Months Ended |
Dec. 31, 2014 | |
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 $48.8 million, $46.0 million and $33.2 million as a management fee to PRCM Advisers for the years ended December 31, 2014, 2013 and 2012, 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 year ended December 31, 2013 were also reduced by $4.3 million on the 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 $15.5 million, $9.9 million and $11.8 million for the years ended December 31, 2014, 2013 and 2012, respectively. | |
The Company has 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 $11.7 million, $3.9 million and $0.5 million of compensation expense during the years ended December 31, 2014, 2013 and 2012, respectively, related to restricted stock. See Note 21 - 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 U.S. 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. 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, as described below. | |
On December 19, 2012, the Company completed the contribution of its portfolio of single-family rental properties to 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 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, 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, $3.9 million of the installment sales gain was recorded in gain on contribution of entity within discontinued operations, and the full $4.3 million of the reduction of 2013 management fees payable to PRCM Advisers was recorded within management fees, on the consolidated statements of comprehensive income for the year ended December 31, 2013. No further adjustments were recognized during 2014. |
Subsequent_Events_Notes
Subsequent Events (Notes) | 12 Months Ended |
Dec. 31, 2014 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | Subsequent Events |
Events subsequent to December 31, 2014 were evaluated through the date these financial statements were issued and no additional events were identified requiring further disclosure in these Consolidated Financial Statements. |
Quarterly_Financial_Data_Notes
Quarterly Financial Data (Notes) | 12 Months Ended | |||||||||||||||
Dec. 31, 2014 | ||||||||||||||||
Quarterly Financial Data [Abstract] | ||||||||||||||||
Quarterly Financial Information [Text Block] | Quarterly Financial Data - Unaudited | |||||||||||||||
2014 Quarter Ended | ||||||||||||||||
(in thousands, except share data) | 31-Mar | 30-Jun | 30-Sep | 31-Dec | ||||||||||||
Total interest income | $ | 138,535 | $ | 140,149 | $ | 142,303 | $ | 156,220 | ||||||||
Total interest expense | 26,078 | 24,950 | 24,718 | 31,704 | ||||||||||||
Net interest income | 112,457 | 115,199 | 117,585 | 124,516 | ||||||||||||
Other-than-temporary impairment losses | (212 | ) | — | — | (180 | ) | ||||||||||
Total other (loss) income | (143,422 | ) | (65,432 | ) | 111,697 | (143,210 | ) | |||||||||
Total expenses | 31,870 | 33,370 | 40,550 | 29,807 | ||||||||||||
Benefit from income taxes | (33,902 | ) | (23,260 | ) | (4,858 | ) | (11,718 | ) | ||||||||
Net (loss) income from continuing operations | (29,145 | ) | 39,657 | 193,590 | (36,963 | ) | ||||||||||
Income from discontinued operations | — | — | — | — | ||||||||||||
Net (loss) income | $ | (29,145 | ) | $ | 39,657 | $ | 193,590 | $ | (36,963 | ) | ||||||
Basic (loss) earnings per weighted average share: | ||||||||||||||||
Continuing operations | $ | (0.08 | ) | $ | 0.11 | $ | 0.53 | $ | (0.10 | ) | ||||||
Discontinued operations | — | — | — | — | ||||||||||||
Net (loss) income | $ | (0.08 | ) | $ | 0.11 | $ | 0.53 | $ | (0.10 | ) | ||||||
Diluted (loss) earnings per weighted average share: | ||||||||||||||||
Continuing operations | $ | (0.08 | ) | $ | 0.11 | $ | 0.53 | $ | (0.10 | ) | ||||||
Discontinued operations | — | — | — | — | ||||||||||||
Net (loss) income | $ | (0.08 | ) | $ | 0.11 | $ | 0.53 | $ | (0.10 | ) | ||||||
2013 Quarter Ended | ||||||||||||||||
(in thousands, except share data) | 31-Mar | 30-Jun | 30-Sep | 31-Dec | ||||||||||||
Total interest income | $ | 134,835 | $ | 145,325 | $ | 137,974 | $ | 137,457 | ||||||||
Total interest expense | 23,836 | 24,722 | 24,927 | 26,922 | ||||||||||||
Net interest income | 110,999 | 120,603 | 113,047 | 110,535 | ||||||||||||
Other-than-temporary impairment losses | (236 | ) | (1,426 | ) | — | — | ||||||||||
Total other income (loss) | 49,890 | 339,640 | (258,742 | ) | 162,021 | |||||||||||
Total expenses | 13,350 | 22,077 | 24,178 | 27,275 | ||||||||||||
Provision for income taxes | 4,964 | 49,119 | 23,726 | 6,602 | ||||||||||||
Net income (loss) from continuing operations | 142,339 | 387,621 | (193,599 | ) | 238,679 | |||||||||||
Income from discontinued operations | 1,377 | 1,016 | 871 | 735 | ||||||||||||
Net income (loss) | $ | 143,716 | $ | 388,637 | $ | (192,728 | ) | $ | 239,414 | |||||||
Basic earnings (loss) per weighted average share: | ||||||||||||||||
Continuing operations | $ | 0.47 | $ | 1.06 | $ | (0.53 | ) | $ | 0.66 | |||||||
Discontinued operations | — | — | — | — | ||||||||||||
Net income (loss) | $ | 0.47 | $ | 1.06 | $ | (0.53 | ) | $ | 0.66 | |||||||
Diluted earnings (loss) per weighted average share: | ||||||||||||||||
Continuing operations | $ | 0.47 | $ | 1.06 | $ | (0.53 | ) | $ | 0.66 | |||||||
Discontinued operations | — | — | — | — | ||||||||||||
Net income (loss) | $ | 0.47 | $ | 1.06 | $ | (0.53 | ) | $ | 0.66 | |||||||
Basis_of_Presentation_and_Sign1
Basis of Presentation and Significant Accounting Policies (Policies) | 12 Months Ended | |||||||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||||||
Basis of Presentation and Significant Accounting Policies [Abstract] | ||||||||||||||||||||||||
Consolidation, Policy [Policy Text Block] | Consolidation and Basis of Presentation | |||||||||||||||||||||||
The accompanying consolidated financial statements include the accounts of all subsidiaries; intercompany accounts and transactions have been eliminated. Certain prior period amounts have been reclassified to conform to the current period presentation. The accounting and reporting policies of the Company conform to U.S. generally accepted accounting principles, or U.S. GAAP. | ||||||||||||||||||||||||
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 consolidated balance sheets. | ||||||||||||||||||||||||
Use of Estimates, Policy [Policy Text Block] | Use of Estimates | |||||||||||||||||||||||
The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of significant estimates. These 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 as of the date of the 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. | ||||||||||||||||||||||||
Available-for-Sale and Trading Securities, Policy [Policy Text Block] | Available-for-Sale Securities, at Fair Value and Trading Securities, at Fair Value | |||||||||||||||||||||||
The Company invests primarily in mortgage pass-through certificates, collateralized mortgage obligations and other residential mortgage-backed securities representing interests in or obligations backed by pools of mortgage loans (collectively “RMBS”) issued by Fannie Mae, Freddie Mac, and Ginnie Mae, or collectively, the government sponsored entities, or GSEs. The Company also invests in residential mortgage-backed securities that are not issued by the GSEs, or non-Agency RMBS, and U.S. Treasuries. | ||||||||||||||||||||||||
Designation | ||||||||||||||||||||||||
The Company classifies its RMBS securities, excluding inverse interest-only Agency securities classified as derivatives for purposes of U.S. GAAP, as available-for-sale, or AFS, investments. Although the Company generally intends to hold most of its investment securities until maturity, it may, from time to time, sell any of its investment securities as part of its overall management of its portfolio. Accordingly, the Company classifies all of its RMBS investment securities as AFS, including its interest-only strips, which represent the Company’s right to receive a specified portion of the contractual interest flows of specific Agency securities. All assets classified as AFS are reported at estimated fair value, with unrealized gains and losses, excluding other than temporary impairments, included in accumulated other comprehensive income, a separate component of stockholders’ equity, on an after-tax basis. | ||||||||||||||||||||||||
The Company classifies its U.S. Treasuries as trading securities. The Company’s trading securities are carried at estimated fair value with changes in fair value recorded as a component of net gain on investment securities in the consolidated statement of income. | ||||||||||||||||||||||||
Balance Sheet Presentation | ||||||||||||||||||||||||
Investment securities transactions are recorded on the trade date. Purchases of newly-issued securities are recorded when all significant uncertainties regarding the characteristics of the securities are removed, generally shortly before settlement date. The cost basis for realized gains and losses on sales of investment securities are determined on the first-in, first-out, or FIFO, method. | ||||||||||||||||||||||||
Determination of RMBS Fair Value, Policy [Policy Text Block] | Determination of RMBS Fair Value | |||||||||||||||||||||||
Fair value is determined under the guidance of Accounting Standards Codification (ASC) 820, Fair Value Measurements and Disclosures, or ASC 820. The Company determines the fair value of its RMBS that are issued or guaranteed as to principal and/or interest by a federally chartered corporation, such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government, such as Ginnie Mae (collectively, “Agency RMBS”), and U.S. Treasuries based upon prices obtained from third-party pricing providers or broker quotes received using the bid price, which are both deemed indicative of market activity. The third-party pricing providers and brokers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, prepayment speeds, credit enhancements and expected life of the security. 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 listed price data is not available or insufficient, 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. The Company classifies these securities as Level 3 assets. As of December 31, 2014, none of the investment securities portfolio is categorized as Level 3. | ||||||||||||||||||||||||
The Company’s application of ASC 820 guidance is discussed in further detail in Note 15 - Fair Value of these notes to the consolidated financial statements. | ||||||||||||||||||||||||
Revenue Recognition, Premium Amortization and Discount Accretion, Policy [Policy Text Block] | Revenue Recognition, Premium Amortization and Discount Accretion | |||||||||||||||||||||||
Interest income on securities is accrued based on the outstanding principal balance and their contractual terms. Premiums and discounts associated with Agency RMBS and non-Agency RMBS rated AA and higher at the time of purchase, are amortized into interest income over the life of such securities using the effective yield method. Adjustments to premium amortization are made for actual prepayment activity. The Company estimates prepayments for its Agency interest-only securities, which represent the Company’s right to receive a specified portion of the contractual interest flows of specific Agency and CMO securities. As a result, if prepayments increase (or are expected to increase), the Company will accelerate the rate of amortization on the premiums. | ||||||||||||||||||||||||
Interest income on the non-Agency RMBS that were purchased at a discount to par value and were rated below AA at the time of purchase is recognized based on the security’s effective interest rate. The effective interest rate on these securities is based on the projected cash flows from each security, which are estimated based on the Company’s observation of current information and events and include assumptions related to interest rates, prepayment rates, and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the AFS securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, and prepayments of principal. Therefore actual maturities of AFS securities are generally shorter than stated contractual maturities. Stated contractual maturities are generally greater than ten years. | ||||||||||||||||||||||||
Based on the projected cash flows from the Company’s non-Agency RMBS purchased at a discount to par value, a portion of the purchase discount may be designated as credit protection against future credit losses and, therefore, not accreted into interest income. The amount designated as credit discount may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions, and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively. Conversely, if the performance of a security with a credit discount is less favorable than forecasted, an impairment charge and write-down of such security to a new cost basis results. | ||||||||||||||||||||||||
Impairment, Policy [Policy Text Block] | Impairment | |||||||||||||||||||||||
The Company evaluates its investment securities, on a quarterly basis, to assess whether a decline in the fair value of an AFS security below the Company’s amortized cost basis is an other-than-temporary impairment, or OTTI. The presence of OTTI is based upon a fair value decline below a security’s amortized cost basis and a corresponding adverse change in expected cash flows due to credit related factors as well as non-credit factors, such as changes in interest rates and market spreads. Impairment is considered other-than-temporary if an entity (i) intends to sell the security, (ii) will more likely than not be required to sell the security before it recovers in value, or (iii) does not expect to recover the security’s amortized cost basis, even if the entity does not intend to sell the security. Under these scenarios, the impairment is other-than-temporary and the full amount of impairment should be recognized currently in earnings and the cost basis of the investment security is adjusted. However, if an entity does not intend to sell the impaired debt security and it is more likely than not that it will not be required to sell before recovery, the OTTI is separated into (i) the estimated amount relating to credit loss, or credit component, and (ii) the amount relating to all other factors, or non-credit component. Only the estimated credit loss amount is recognized currently in earnings, with the remainder of the loss amount recognized in other comprehensive income. The difference between the new amortized cost basis and the cash flows expected to be collected is accreted as interest income in accordance with the effective interest method. | ||||||||||||||||||||||||
Mortgage Loans Held-for-Sale, Policy [Policy Text Block] | Mortgage Loans Held-for-Sale, at Fair Value | |||||||||||||||||||||||
Mortgage loans held-for-sale are reported at fair value as a result of a fair value option election. Fair value is determined under the guidance of ASC 820. The Company determines the fair value of its mortgage loans held-for-sale 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 financial statements for details on fair value measurement. The Company classifies mortgage loans held-for-sale based on management’s intent to sell them in the secondary whole loan market or include them in a securitization. | ||||||||||||||||||||||||
Interest income on mortgage loans held-for-sale 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. | ||||||||||||||||||||||||
Consolidation, Variable Interest Entity, Policy [Policy Text Block] | Securitizations and Variable Interest Entities | |||||||||||||||||||||||
The Company purchases subordinated debt and excess servicing rights from securitization trusts sponsored by either third parties or the Company’s subsidiaries. The securitization trusts are considered VIEs for financial reporting purposes and, thus, are 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 consolidated balance sheets. The interest income on mortgage loans held-for-investment and interest expense on collateralized borrowings are recorded on the consolidated statements of comprehensive income. See Note 15 - Fair Value of these notes to the consolidated financial statements for details on fair value measurement. | ||||||||||||||||||||||||
Mortgage Loans Held-for-investment in Securitization Trusts, 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 of the Company. 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 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. | ||||||||||||||||||||||||
Mortgage Servicing Rights, Policy [Policy Text Block] | Mortgage Servicing Rights, at Fair Value | |||||||||||||||||||||||
The Company’s MSR 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 substantially all servicing functions for the loans underlying the Company’s MSR. However, as an owner and manager of MSR, 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 consolidated balance sheets. | ||||||||||||||||||||||||
MSR are reported at fair value on the consolidated balance sheets. Although MSR transactions are observable in the marketplace, the valuation includes unobservable market data inputs (prepayment speeds, delinquency levels and discount rates). Changes in the fair value of MSR as well as servicing fee income and servicing expenses are reported on the consolidated statements of comprehensive income. | ||||||||||||||||||||||||
Cash and Cash Equivalents, Policy [Policy Text Block] | Cash and Cash Equivalents | |||||||||||||||||||||||
Cash and cash equivalents include cash held in bank accounts and cash held in money market funds on an overnight basis. | ||||||||||||||||||||||||
Restricted Cash, Policy [Policy Text Block] | Restricted Cash | |||||||||||||||||||||||
Restricted cash represents the Company’s cash held by counterparties as collateral against the Company’s securities, derivatives and/or repurchase agreements. Also included is the cash balance held pursuant to a letter of credit on the New York office lease. Cash held by counterparties as collateral, which resides in non-interest bearing accounts, is not available to the Company for general corporate purposes, but may be applied against amounts due to securities, derivatives or repurchase counterparties or returned to the Company when the collateral requirements are exceeded or, at the maturity of the derivative or repurchase agreement. | ||||||||||||||||||||||||
Accrued Interest Receivable, Policy [Policy Text Block] | Accrued Interest Receivable | |||||||||||||||||||||||
Accrued interest receivable represents interest that is due and payable to the Company. Cash interest is generally received within 30 days of recording the receivable. | ||||||||||||||||||||||||
Due from/to Counterparties, Policy [Policy Text Block] | Due from/to Counterparties, net | |||||||||||||||||||||||
Due from Counterparties includes cash held by counterparties for payment of principal and interest as well as cash held by counterparties as collateral against the Company’s derivatives and/or repurchase agreements but represents excess capacity and deemed unrestricted and a receivable from the counterparty as of the balance sheet date. Due to counterparties includes cash payable by the Company upon settlement of trade positions as well as cash deposited to and held by the Company as collateral against the Company’s derivatives and/or repurchase agreements but represents a payable to the counterparty as of the balance sheet date. Due to counterparties also includes purchase price holdbacks on MSR acquisitions for missing documents and early prepayments. | ||||||||||||||||||||||||
Derivative Financial Instruments, Policy [Policy Text Block] | Derivative Financial Instruments, at Fair Value | |||||||||||||||||||||||
In accordance with ASC 815, Derivatives and Hedging, as amended and interpreted, or ASC 815, all derivative financial instruments, whether designated for hedging relationships or not, are recorded on the consolidated balance sheet as assets or liabilities and carried at fair value. | ||||||||||||||||||||||||
At the inception of a derivative contract, the Company determines whether the instrument will be part of a qualifying hedge accounting relationship or whether the Company will account for the contract as a trading instrument. 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. Changes in fair value as well as the accrual and settlement of interest associated with derivatives accounted for as trading instruments are reported in the consolidated statements of comprehensive income as gain (loss) on interest rate swap and swaption agreements or gain (loss) on other derivative instruments depending on the type of derivative instrument. | ||||||||||||||||||||||||
The Company enters into interest rate derivative contracts for a variety of reasons, including minimizing fluctuations in earnings or market values on certain assets or liabilities that may be caused by changes in interest rates. The Company may, at times, enter into various forward contracts including short securities, Agency to-be-announced securities, or TBAs, options, futures, swaps, and caps. Due to the nature of these instruments, they may be in a receivable/asset position or a payable/liability position at the end of an accounting period. Amounts payable to, and receivable from, the same party under contracts may be offset as long as the following conditions are met: (a) each of the two parties owes the other determinable amounts; (b) the reporting party has the right to offset the amount owed with the amount owed by the other party; (c) the reporting party intends to offset; and (d) the right of offset is enforceable by law. If the aforementioned conditions are not met, amounts payable to and receivable from are presented by the Company on a gross basis in the consolidated balance sheet. | ||||||||||||||||||||||||
The Company has provided specific disclosure regarding the location and amounts of derivative instruments in the financial statements and how derivative instruments and related hedged items are accounted for. See Note 12 - Derivative Instruments and Hedging Activities of these notes to the consolidated financial statements. | ||||||||||||||||||||||||
Property and Equipment, Policy [Policy Text Block] | Property and Equipment | |||||||||||||||||||||||
Property and equipment, stated at cost, net of accumulated depreciation, are reported in other assets in the Company’s consolidated balance sheets. Included in property and equipment are certain furniture and fixtures, leasehold improvements, and information technology hardware and software. Depreciation is computed on the straight-line basis over the estimated useful lives of the assets, which is generally three years. | ||||||||||||||||||||||||
Repurchase Agreements, Policy [Policy Text Block] | Repurchase Agreements | |||||||||||||||||||||||
The Company finances the acquisition of certain of its investment securities and mortgage loans through the use of repurchase agreements. These repurchase agreements are generally short-term debt, which expire within one year. As of December 31, 2014, certain of the Company’s repurchase agreements have contractual terms of greater than one year, and are considered long-term debt. Borrowings under repurchase agreements generally bear interest rates of a specified margin over one-month LIBOR and are generally uncommitted. The repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, as specified in the respective agreements. | ||||||||||||||||||||||||
Collateralized Borrowings in Securitization Trusts, 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 consolidated financial statements for details on fair value measurement. | ||||||||||||||||||||||||
Federal Home Loan Bank Advances, Policy [Policy Text Block] | Federal Home Loan Bank Advances | |||||||||||||||||||||||
In December 2013, the Company’s wholly owned subsidiary, TH Insurance Holdings Company LLC, or TH Insurance, was accepted for membership in the Federal Home Loan Bank of Des Moines, or the FHLB. As a member of the FHLB, TH Insurance has access to a variety of products and services offered by the FHLB, including secured advances. | ||||||||||||||||||||||||
As of December 31, 2014, the Company had FHLB advances with both short-term and long-term maturities. The advances with less than five year terms generally bear interest rates of one- or three-month LIBOR and the advances with 20-year terms generally bear interest rates of or one- or three-month MOVR, or the FHLB member option variable-rate. FHLB advances are treated as secured financing transactions and are carried at their contractual amounts. | ||||||||||||||||||||||||
Accrued Interest Payable, Policy [Policy Text Block] | Accrued Interest Payable | |||||||||||||||||||||||
Accrued interest payable represents interest that is due and payable to third parties. Interest is generally paid within 30 days to three months of recording the payable, based upon the Company’s remittance requirements. | ||||||||||||||||||||||||
Deferred Taxes Assets and Liabilites, Policy [Policy Text Block] | Deferred Tax Assets and Liabilities | |||||||||||||||||||||||
Income recognition for U.S. GAAP and tax differ in certain respects. These differences often reflect differing accounting treatments for tax and U.S. GAAP, such as accounting for discount and premium amortization, credit losses, asset impairments, recognition of certain operating expenses and certain valuation estimates. Some of these differences are temporary in nature and create timing mismatches between when taxable income is earned and the tax is paid versus when the earnings (losses) for U.S. GAAP purposes, or GAAP net income (loss), are recognized and the tax provision is recorded. Some of these differences are permanent since certain income (or expense) may be recorded for tax purposes but not for U.S. GAAP purposes (or vice-versa). One such significant permanent difference is the Company’s ability as a REIT to deduct dividends paid to stockholders as an expense for tax purposes, but not for U.S. GAAP purposes. | ||||||||||||||||||||||||
As a result of these temporary differences, the Company’s taxable REIT subsidiaries, or TRSs, may recognize taxable income in periods prior or subsequent to when it recognizes income for U.S. GAAP purposes. When this occurs, the TRSs pay or defer the tax liability and establish deferred tax assets or deferred tax liabilities, respectively, for U.S. GAAP purposes. | ||||||||||||||||||||||||
As the income is subsequently realized in future periods under U.S. GAAP, the deferred tax asset is recognized as an expense. Alternatively, as the TRSs realize the deferred taxable income, the deferred tax liability is recognized as a reduction to taxable income. The Company’s deferred tax assets and/or liabilities are generated solely by differences in GAAP net income (loss) and taxable income (loss) at our taxable subsidiaries. U.S. GAAP and tax differences in the REIT may create additional deferred tax assets and/or liabilities to the extent the Company does not distribute all of its taxable income. | ||||||||||||||||||||||||
Income Taxes, Policy [Policy Text Block] | Income Taxes | |||||||||||||||||||||||
The Company has elected to be taxed as a REIT under the Code and the corresponding provisions of state law. To qualify as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to stockholders (not including taxable income retained in its taxable subsidiaries) within the time frame set forth in the tax Code and the Company must also meet certain other requirements. In addition, because certain activities, if performed by the Company, may cause the Company to earn income which is not qualifying for the REIT gross income tests, the Company has formed TRSs, as defined in the Code, to engage in such activities. These TRSs’ activities are subject to income taxes as well as any REIT taxable income not distributed to stockholders. | ||||||||||||||||||||||||
The Company assesses its tax positions for all open tax years and determines whether the Company has any material unrecognized liabilities in accordance with ASC 740, Income Taxes. The Company records these liabilities to the extent the Company deems them more likely than not to be incurred. The Company classifies interest and penalties on material uncertain tax positions as interest expense and operating expense, respectively, in its consolidated statements of comprehensive income. | ||||||||||||||||||||||||
Earnings (Loss) Per Share, Policy [Policy Text Block] | Earnings Per Share | |||||||||||||||||||||||
Basic and diluted earnings per share are computed by dividing net income by the weighted average number of common shares and potential common shares outstanding during the period. For both basic and diluted per share calculations, potential common shares represents issued and unvested shares of restricted stock, which have full rights to the common stock dividend declarations of the Company. For diluted per share calculations, potential common shares also includes dilutive warrants if the weighted average market value per share of the Company’s common stock was above the strike price of the warrants during the period presented. In accordance with ASC 260, Earnings Per Share, or ASC 260, if there is a loss from continuing operations, the common stock equivalents are deemed anti-dilutive and earnings (loss) per share is calculated excluding the potential common shares. At 5:00 p.m. EST on November 7, 2013, all outstanding warrants expired, pursuant to the terms of the warrant agreement. No warrants remain outstanding as of December 31, 2014. | ||||||||||||||||||||||||
Other Comprehensive Income (Loss), Policy [Policy Text Block] | Other Comprehensive Income (Loss) | |||||||||||||||||||||||
Current period net unrealized gains and losses on available-for-sale securities are reported as components of accumulated other comprehensive income (loss) on our consolidated statements of stockholders’ equity and in the statement of comprehensive income. Net unrealized gains and losses on securities held by our taxable subsidiaries that are reported in accumulated other comprehensive income (loss) are adjusted for the effects of taxation and may create deferred tax assets or liabilities. | ||||||||||||||||||||||||
Equity Incentive Plan, Policy [Policy Text Block] | Equity Incentive Plan | |||||||||||||||||||||||
The Company’s Restated 2009 Equity Incentive Plan, or the Plan, was approved by its stockholders on May 21, 2013. The Plan provides incentive compensation to attract and retain qualified directors, officers, advisors, consultants and other personnel, including PRCM Advisers and its affiliates. The Plan is administered by the compensation committee of the Company’s board of directors. The Plan permits the granting of restricted shares of common stock, phantom shares, dividend equivalent rights and other equity-based awards. See Note 21 - Equity Incentive Plan for further details regarding the Plan. | ||||||||||||||||||||||||
The cost of equity-based compensation awarded to employees provided by our manager is measured at fair value at each reporting date based on the price of the Company’s stock as of period end in accordance with ASC 505, Equity, or ASC 505, and amortized over the vesting term. | ||||||||||||||||||||||||
Offsetting Assets and Liablities, 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, or central clearing exchange agreements, in the case of centrally cleared interest rate swaps. Additionally, the Company and the counterparty or clearing agency are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparty. | ||||||||||||||||||||||||
Under U.S. 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 consolidated balance sheets. Separately, the Company presents cash collateral subject to such arrangements on a net basis, based on counterparty, in its consolidated balance sheets. However, the Company does not offset financial assets and liabilities with the associated cash collateral on its 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 consolidated balance sheets as of December 31, 2014 and December 31, 2013: | ||||||||||||||||||||||||
31-Dec-14 | ||||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets (1) | ||||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Derivative assets | $ | 443,490 | $ | (62,699 | ) | $ | 380,791 | $ | (90,233 | ) | $ | — | $ | 290,558 | ||||||||||
Total Assets | $ | 443,490 | $ | (62,699 | ) | $ | 380,791 | $ | (90,233 | ) | $ | — | $ | 290,558 | ||||||||||
Liabilities | ||||||||||||||||||||||||
Repurchase agreements | $ | (12,932,463 | ) | $ | — | $ | (12,932,463 | ) | $ | 12,932,463 | $ | — | $ | — | ||||||||||
Derivative liabilities | (152,932 | ) | 62,699 | (90,233 | ) | 90,233 | — | — | ||||||||||||||||
Total Liabilities | $ | (13,085,395 | ) | $ | 62,699 | $ | (13,022,696 | ) | $ | 13,022,696 | $ | — | $ | — | ||||||||||
31-Dec-13 | ||||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets (1) | ||||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Derivative assets | $ | 572,050 | $ | (22,191 | ) | $ | 549,859 | $ | (22,081 | ) | $ | — | $ | 527,778 | ||||||||||
Total Assets | $ | 572,050 | $ | (22,191 | ) | $ | 549,859 | $ | (22,081 | ) | $ | — | $ | 527,778 | ||||||||||
Liabilities | ||||||||||||||||||||||||
Repurchase agreements | $ | (12,250,450 | ) | $ | — | $ | (12,250,450 | ) | $ | 12,250,450 | $ | — | $ | — | ||||||||||
Derivative liabilities | (44,272 | ) | 22,191 | (22,081 | ) | 22,081 | — | — | ||||||||||||||||
Total Liabilities | $ | (12,294,722 | ) | $ | 22,191 | $ | (12,272,531 | ) | $ | 12,272,531 | $ | — | $ | — | ||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Amounts presented are limited in total to the net amount of assets or liabilities presented in the 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 consolidated balance sheets. | |||||||||||||||||||||||
New Accounting Pronouncements, Policy [Policy Text Block] | Recently Issued and/or Adopted Accounting Standards | |||||||||||||||||||||||
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. | ||||||||||||||||||||||||
Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity | ||||||||||||||||||||||||
In August 2014, the FASB issued ASU No. 2014-13, which updates the guidance on measuring the financial assets and financial liabilities of consolidated collateralized financing entities, or CFEs. The update will allow an entity to measure both the financial assets and financial liabilities of a qualifying CFE it consolidates using the fair value of either the CFE’s financial assets or financial liabilities, whichever is more observable. The ASU will require certain recurring disclosures and is effective for annual periods beginning on or after December 15, 2015, with early adoption permitted as of the beginning of an annual period. The Company will early adopt this ASU for the 2015 annual period and has determined this ASU will not have a material impact on the Company’s consolidated financial condition or results of operations. | ||||||||||||||||||||||||
Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure | ||||||||||||||||||||||||
In August 2014, the FASB issued ASU No. 2014-14, which requires that, upon foreclosure, a mortgage loan that is fully guaranteed under certain government programs be derecognized and a separate receivable be recognized when specific criteria are met. The ASU will require certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2014, with early adoption permitted. The Company will adopt this ASU for the 2015 annual period and has determined this ASU will not have a material impact on the Company’s consolidated financial condition or results of operations. | ||||||||||||||||||||||||
Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern | ||||||||||||||||||||||||
In August 2014, the FASB issued ASU No. 2014-15, which requires management to evaluate whether there are conditions and events that raise substantial doubt about the entity’s ability to continue as a going concern for both annual and interim reporting periods. The ASU will require certain disclosures if it concludes that substantial doubt exists and plans to alleviate that doubt. It is effective for annual periods ending after December 15, 2016, and for both annual and interim periods thereafter, with early adoption permitted. The Company does not expect this ASU to have any impact on the Company’s consolidated financial condition or results of operations. |
Basis_of_Presentation_and_Sign2
Basis of Presentation and Significant Accounting Policies Offsetting Assets and Liabilities (Tables) | 12 Months Ended | |||||||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||||||
Offsetting [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 consolidated balance sheets as of December 31, 2014 and December 31, 2013: | |||||||||||||||||||||||
31-Dec-14 | ||||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets (1) | ||||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Derivative assets | $ | 443,490 | $ | (62,699 | ) | $ | 380,791 | $ | (90,233 | ) | $ | — | $ | 290,558 | ||||||||||
Total Assets | $ | 443,490 | $ | (62,699 | ) | $ | 380,791 | $ | (90,233 | ) | $ | — | $ | 290,558 | ||||||||||
Liabilities | ||||||||||||||||||||||||
Repurchase agreements | $ | (12,932,463 | ) | $ | — | $ | (12,932,463 | ) | $ | 12,932,463 | $ | — | $ | — | ||||||||||
Derivative liabilities | (152,932 | ) | 62,699 | (90,233 | ) | 90,233 | — | — | ||||||||||||||||
Total Liabilities | $ | (13,085,395 | ) | $ | 62,699 | $ | (13,022,696 | ) | $ | 13,022,696 | $ | — | $ | — | ||||||||||
31-Dec-13 | ||||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets (1) | ||||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Derivative assets | $ | 572,050 | $ | (22,191 | ) | $ | 549,859 | $ | (22,081 | ) | $ | — | $ | 527,778 | ||||||||||
Total Assets | $ | 572,050 | $ | (22,191 | ) | $ | 549,859 | $ | (22,081 | ) | $ | — | $ | 527,778 | ||||||||||
Liabilities | ||||||||||||||||||||||||
Repurchase agreements | $ | (12,250,450 | ) | $ | — | $ | (12,250,450 | ) | $ | 12,250,450 | $ | — | $ | — | ||||||||||
Derivative liabilities | (44,272 | ) | 22,191 | (22,081 | ) | 22,081 | — | — | ||||||||||||||||
Total Liabilities | $ | (12,294,722 | ) | $ | 22,191 | $ | (12,272,531 | ) | $ | 12,272,531 | $ | — | $ | — | ||||||||||
____________________ | ||||||||||||||||||||||||
-1 | Amounts presented are limited in total to the net amount of assets or liabilities presented in the 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 consolidated balance sheets. |
Variable_Interest_Entities_Tab
Variable Interest Entities (Tables) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
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 consolidated securitization trusts as reported on the consolidated balance sheets: | |||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Mortgage loans held-for-investment in securitization trusts | $ | 1,744,746 | $ | 792,390 | ||||
Accrued interest receivable | 10,197 | 4,506 | ||||||
Total Assets | $ | 1,754,943 | $ | 796,896 | ||||
Collateralized borrowings in securitization trusts | 1,209,663 | 639,731 | ||||||
Accrued interest payable | 3,678 | 1,596 | ||||||
Other liabilities | 6,480 | 2,724 | ||||||
Total Liabilities | $ | 1,219,821 | $ | 644,051 | ||||
Discontinued_Operations_Tables
Discontinued Operations (Tables) | 12 Months Ended | |||||||||||
Dec. 31, 2014 | ||||||||||||
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. | |||||||||||
Year Ended | ||||||||||||
December 31, | ||||||||||||
2014 | 2013 | 2012 | ||||||||||
Income: | ||||||||||||
Gain on contribution of entity | $ | — | $ | 3,861 | $ | 10,641 | ||||||
Real estate related revenues | — | — | 2,730 | |||||||||
Total income | — | 3,861 | 13,371 | |||||||||
Expenses: | ||||||||||||
Management fees | — | — | 1,579 | |||||||||
Real estate related expenses | — | — | 4,731 | |||||||||
Other operating expenses | — | (138 | ) | 2,571 | ||||||||
Total expenses | — | (138 | ) | 8,881 | ||||||||
Income (loss) from discontinued operations | $ | — | $ | 3,999 | $ | 4,490 | ||||||
AvailableforSale_Securities_at1
Available-for-Sale Securities, at Fair Value (Tables) | 12 Months Ended | |||||||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||||||
Available-for-sale Securities [Abstract] | ||||||||||||||||||||||||
Available-for-sale Securities [Table Text Block] | The following table presents the Company’s AFS investment securities by collateral type as of December 31, 2014 and December 31, 2013: | |||||||||||||||||||||||
(in thousands) | December 31, | December 31, | ||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||
Agency | ||||||||||||||||||||||||
Federal Home Loan Mortgage Corporation | $ | 2,418,546 | $ | 2,977,291 | ||||||||||||||||||||
Federal National Mortgage Association | 6,768,875 | 4,435,820 | ||||||||||||||||||||||
Government National Mortgage Association | 2,104,896 | 2,084,298 | ||||||||||||||||||||||
Non-Agency | 3,048,785 | 2,759,318 | ||||||||||||||||||||||
Total mortgage-backed securities | $ | 14,341,102 | $ | 12,256,727 | ||||||||||||||||||||
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 December 31, 2014 and December 31, 2013: | |||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Face Value | $ | 13,421,555 | $ | 4,291,872 | $ | 17,713,427 | ||||||||||||||||||
Unamortized premium | 676,641 | — | 676,641 | |||||||||||||||||||||
Unamortized discount | ||||||||||||||||||||||||
Designated credit reserve | — | (927,605 | ) | (927,605 | ) | |||||||||||||||||||
Net, unamortized | (3,009,782 | ) | (967,368 | ) | (3,977,150 | ) | ||||||||||||||||||
Amortized Cost | 11,088,414 | 2,396,899 | 13,485,313 | |||||||||||||||||||||
Gross unrealized gains | 238,291 | 653,529 | 891,820 | |||||||||||||||||||||
Gross unrealized losses | (34,388 | ) | (1,643 | ) | (36,031 | ) | ||||||||||||||||||
Carrying Value | $ | 11,292,317 | $ | 3,048,785 | $ | 14,341,102 | ||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Face Value | $ | 11,919,590 | $ | 4,474,353 | $ | 16,393,943 | ||||||||||||||||||
Unamortized premium | 621,279 | — | 621,279 | |||||||||||||||||||||
Unamortized discount | ||||||||||||||||||||||||
Designated credit reserve | — | (1,234,449 | ) | (1,234,449 | ) | |||||||||||||||||||
Net, unamortized | (2,897,222 | ) | (1,071,559 | ) | (3,968,781 | ) | ||||||||||||||||||
Amortized Cost | 9,643,647 | 2,168,345 | 11,811,992 | |||||||||||||||||||||
Gross unrealized gains | 102,600 | 595,179 | 697,779 | |||||||||||||||||||||
Gross unrealized losses | (248,838 | ) | (4,206 | ) | (253,044 | ) | ||||||||||||||||||
Carrying Value | $ | 9,497,409 | $ | 2,759,318 | $ | 12,256,727 | ||||||||||||||||||
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 December 31, 2014 and December 31, 2013: | |||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Adjustable Rate | $ | 128,285 | $ | 2,558,832 | $ | 2,687,117 | ||||||||||||||||||
Fixed Rate | 11,164,032 | 489,953 | 11,653,985 | |||||||||||||||||||||
Total | $ | 11,292,317 | $ | 3,048,785 | $ | 14,341,102 | ||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||
(in thousands) | Agency | Non-Agency | Total | |||||||||||||||||||||
Adjustable Rate | $ | 1,006,621 | $ | 2,403,078 | $ | 3,409,699 | ||||||||||||||||||
Fixed Rate | 8,490,788 | 356,240 | 8,847,028 | |||||||||||||||||||||
Total | $ | 9,497,409 | $ | 2,759,318 | $ | 12,256,727 | ||||||||||||||||||
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 years ended December 31, 2014 and 2013 of the unamortized net discount and designated credit reserves on non-Agency AFS securities. | |||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||
(in thousands) | Designated Credit Reserve | Unamortized Net Discount | Total | Designated Credit Reserve | Unamortized Net Discount | Total | ||||||||||||||||||
Beginning balance at January 1 | $ | (1,234,449 | ) | $ | (1,071,559 | ) | $ | (2,306,008 | ) | $ | (1,290,946 | ) | $ | (996,490 | ) | $ | (2,287,436 | ) | ||||||
Acquisitions | (77,506 | ) | (58,007 | ) | (135,513 | ) | (179,678 | ) | (369,651 | ) | (549,329 | ) | ||||||||||||
Accretion of net discount | — | 127,352 | 127,352 | 886 | 142,321 | 143,207 | ||||||||||||||||||
Realized credit losses | 16,528 | — | 16,528 | 33,130 | — | 33,130 | ||||||||||||||||||
Reclassification adjustment for other-than-temporary impairments | (392 | ) | — | (392 | ) | (1,662 | ) | — | (1,662 | ) | ||||||||||||||
Transfers from (to) | 115,894 | (115,894 | ) | — | 97,101 | (97,101 | ) | — | ||||||||||||||||
Sales, calls, other | 252,320 | 150,740 | 403,060 | 106,720 | 249,362 | 356,082 | ||||||||||||||||||
Ending balance at December 31 | $ | (927,605 | ) | $ | (967,368 | ) | $ | (1,894,973 | ) | $ | (1,234,449 | ) | $ | (1,071,559 | ) | $ | (2,306,008 | ) | ||||||
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 December 31, 2014 and December 31, 2013. At December 31, 2014, the Company held 1,452 AFS securities, of which 57 were in an unrealized loss position for less than twelve consecutive months and 172 were in an unrealized loss position for more than twelve consecutive months. At December 31, 2013, the Company held 1,431 AFS securities, of which 447 were in an unrealized loss position for less than twelve months and 114 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 | ||||||||||||||||||
December 31, 2014 | $ | 413,102 | $ | (3,146 | ) | $ | 1,323,688 | $ | (32,885 | ) | $ | 1,736,790 | $ | (36,031 | ) | |||||||||
December 31, 2013 | $ | 4,902,813 | $ | (171,651 | ) | $ | 1,186,692 | $ | (81,393 | ) | $ | 6,089,505 | $ | (253,044 | ) | |||||||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | The following table presents the changes in OTTI included in earnings for the years ended December 31, 2014, 2013 and 2012: | |||||||||||||||||||||||
Year Ended | ||||||||||||||||||||||||
December 31, | ||||||||||||||||||||||||
(in thousands) | 2014 | 2013 | 2012 | |||||||||||||||||||||
Cumulative credit loss at beginning of year | $ | (9,467 | ) | $ | (15,561 | ) | $ | (5,102 | ) | |||||||||||||||
Additions: | ||||||||||||||||||||||||
Other-than-temporary impairments not previously recognized | (91 | ) | — | (9,537 | ) | |||||||||||||||||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | (301 | ) | (1,662 | ) | (1,415 | ) | ||||||||||||||||||
Reductions: | ||||||||||||||||||||||||
Decreases related to other-than-temporary impairments on securities paid down | 464 | 1,677 | 250 | |||||||||||||||||||||
Decreases related to other-than-temporary impairments on securities sold | 1,154 | 6,079 | 243 | |||||||||||||||||||||
Cumulative credit loss at end of year | $ | (8,241 | ) | $ | (9,467 | ) | $ | (15,561 | ) | |||||||||||||||
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 years ended December 31, 2014, 2013 and 2012: | |||||||||||||||||||||||
Year Ended | ||||||||||||||||||||||||
December 31, | ||||||||||||||||||||||||
(in thousands) | 2014 | 2013 | 2012 | |||||||||||||||||||||
Gross realized gains | $ | 162,235 | $ | 202,112 | $ | 115,750 | ||||||||||||||||||
Gross realized losses | (77,820 | ) | (266,620 | ) | (2,859 | ) | ||||||||||||||||||
Total realized gains (losses) on sales, net | $ | 84,415 | $ | (64,508 | ) | $ | 112,891 | |||||||||||||||||
Mortgage_Loans_HeldforSale_at_1
Mortgage Loans Held-for-Sale, at Fair Value (Tables) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
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 December 31, 2014 and December 31, 2013: | |||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Unpaid principal balance | $ | 534,101 | $ | 680,840 | ||||
Fair value adjustment | 1,611 | (136,259 | ) | |||||
Carrying value | $ | 535,712 | $ | 544,581 | ||||
Mortgage_Loans_HeldforInvestme1
Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value (Tables) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
Mortgage Loans Held-for-Investment in Securitization Trusts, 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 December 31, 2014 and December 31, 2013: | |||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Unpaid principal balance | $ | 1,699,748 | $ | 812,538 | ||||
Fair value adjustment | 44,998 | (20,148 | ) | |||||
Carrying value | $ | 1,744,746 | $ | 792,390 | ||||
Servicing_Activities_Tables
Servicing Activities (Tables) | 12 Months Ended | |||||||||||||
Dec. 31, 2014 | ||||||||||||||
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | ||||||||||||||
Schedule of Servicing Assets at Fair Value [Table Text Block] | The following table summarizes activity related to MSR for the years ended December 31, 2014 and 2013. | |||||||||||||
Year Ended December 31, | ||||||||||||||
(in thousands) | 2014 | 2013 | ||||||||||||
Balance at beginning of period | $ | 514,402 | $ | — | ||||||||||
Additions from purchases of servicing rights | 67,533 | 500,521 | ||||||||||||
Additions from sales of mortgage loans | 288 | — | ||||||||||||
Changes in fair value due to: | ||||||||||||||
Changes in valuation inputs or assumptions used in the valuation model | (73,573 | ) | 20,651 | |||||||||||
Other changes in fair value (1) | (54,815 | ) | (6,770 | ) | ||||||||||
Other changes (2) | (1,829 | ) | — | |||||||||||
Balance at end of period | $ | 452,006 | $ | 514,402 | ||||||||||
____________________ | ||||||||||||||
-1 | Other changes in fair value primarily represents changes due to the realization of expected cash flows. | |||||||||||||
-2 | Other changes includes purchase price adjustments, principally contractual prepayment protection, and changes due to the Company’s repurchase of the underlying collateral. | |||||||||||||
Schedule of Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets [Table Text Block] | As of December 31, 2014 and December 31, 2013, the Company’s key economic assumptions and the sensitivity of the fair value of its MSR to immediate 10% and 20% adverse changes in these assumptions were as follows: | |||||||||||||
(in thousands) | 31-Dec-14 | 31-Dec-13 | ||||||||||||
Weighted average prepayment speed: | 11.9 | % | 9.5 | % | ||||||||||
Impact on fair value of 10% adverse change | $ | (14,012 | ) | $ | (19,305 | ) | ||||||||
Impact on fair value of 20% adverse change | $ | (31,640 | ) | $ | (37,187 | ) | ||||||||
Weighted average delinquency: | 5.6 | % | 4 | % | ||||||||||
Impact on fair value of 10% adverse change | $ | (3,616 | ) | $ | (8,835 | ) | ||||||||
Impact on fair value of 20% adverse change | $ | (6,780 | ) | $ | (17,642 | ) | ||||||||
Weighted average discount rate: | 9.5 | % | 9 | % | ||||||||||
Impact on fair value of 10% adverse change | $ | (16,272 | ) | $ | (21,037 | ) | ||||||||
Impact on fair value of 20% adverse change | $ | (31,640 | ) | $ | (40,642 | ) | ||||||||
Components of Servicing Revenue [Table Text Block] | The following table presents the components of servicing income recorded on the Company’s consolidated statements of comprehensive income for the years ended December 31, 2014 and 2013: | |||||||||||||
Year Ended December 31, | ||||||||||||||
(in thousands) | 2014 | 2013 | ||||||||||||
Servicing fee income | $ | 125,061 | $ | 11,807 | ||||||||||
Ancillary fee income | 2,210 | 204 | ||||||||||||
Float income | 889 | — | ||||||||||||
Total | $ | 128,160 | $ | 12,011 | ||||||||||
Schedule of Total Serviced Mortgage Assets [Table Text Block] | The following table presents the number of loans and unpaid principal balance of the mortgage assets for which the Company manages the servicing as of December 31, 2014 and December 31, 2013: | |||||||||||||
December 31, 2014 | December 31, 2013 | |||||||||||||
(dollars in thousands) | Number of Loans | Unpaid Principal Balance | Number of Loans | Unpaid Principal Balance | ||||||||||
Mortgage loans held-for-sale | 1,008 | $ | 534,101 | 2,890 | $ | 680,840 | ||||||||
Mortgage loans held-for-investment in securitization trusts | 487 | 358,458 | 537 | 425,209 | ||||||||||
Mortgage servicing rights (1) | 224,073 | 44,949,061 | 210,441 | 42,324,328 | ||||||||||
Total serviced mortgage assets | 225,568 | $ | 45,841,620 | 213,868 | $ | 43,430,377 | ||||||||
____________________ | ||||||||||||||
-1 | Includes mortgage loans held-for-investment in securitization trusts for which the Company is the named servicing administrator. |
Restricted_Cash_Tables
Restricted Cash (Tables) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
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 December 31, 2014 and December 31, 2013: | |||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Restricted cash balances held by trading counterparties: | ||||||||
For securities trading activity | $ | 12,000 | $ | 9,000 | ||||
For derivatives trading activity | 211,989 | 191,107 | ||||||
As restricted collateral for repurchase agreements and Federal Home Loan Bank advances | 112,435 | 201,194 | ||||||
336,424 | 401,301 | |||||||
Restricted cash balance pursuant to letter of credit on office lease | 347 | 346 | ||||||
Total | $ | 336,771 | $ | 401,647 | ||||
Accrued_Interest_Receivable_Ta
Accrued Interest Receivable (Tables) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
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) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Accrued Interest Receivable: | ||||||||
U.S. Treasuries | $ | 8,084 | $ | 2,361 | ||||
Mortgage-backed securities: | ||||||||
Agency | ||||||||
Federal Home Loan Mortgage Corporation | 8,734 | 10,583 | ||||||
Federal National Mortgage Association | 22,392 | 15,034 | ||||||
Government National Mortgage Association | 10,290 | 10,007 | ||||||
Non-Agency | 3,835 | 3,676 | ||||||
Total mortgage-backed securities | 45,251 | 39,300 | ||||||
Mortgage loans held-for-sale | 1,997 | 4,136 | ||||||
Mortgage loans held-for-investment in securitization trusts | 10,197 | 4,506 | ||||||
Total | $ | 65,529 | $ | 50,303 | ||||
Derivative_Instruments_and_Hed1
Derivative Instruments and Hedging Activities (Tables) | 12 Months Ended | |||||||||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||||||||
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 December 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
(in thousands) | December 31, 2014 | |||||||||||||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||
Trading instruments | Fair Value | Notional | Fair Value | Notional | ||||||||||||||||||||||
Inverse interest-only securities | $ | 188,592 | $ | 1,168,226 | $ | — | $ | — | ||||||||||||||||||
Interest rate swap agreements | 55,471 | 9,569,000 | (65,392 | ) | 9,015,000 | |||||||||||||||||||||
Credit default swaps | — | — | (1,672 | ) | 125,000 | |||||||||||||||||||||
Swaptions, net | 121,591 | 9,550,000 | (4,999 | ) | 2,860,000 | |||||||||||||||||||||
TBAs | 10,350 | 875,000 | (17,687 | ) | 2,200,000 | |||||||||||||||||||||
Put and call options for TBAs, net | 90 | 2,000,000 | — | — | ||||||||||||||||||||||
Constant maturity swaps | 2,013 | 12,000,000 | (483 | ) | 2,000,000 | |||||||||||||||||||||
Markit IOS total return swaps | 1,387 | 598,459 | — | — | ||||||||||||||||||||||
Forward purchase commitments | 1,297 | 554,838 | — | — | ||||||||||||||||||||||
Total | $ | 380,791 | $ | 36,315,523 | $ | (90,233 | ) | $ | 16,200,000 | |||||||||||||||||
(in thousands) | December 31, 2013 | |||||||||||||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||
Trading instruments | Fair Value | Notional | Fair Value | Notional | ||||||||||||||||||||||
Inverse interest-only securities | $ | 221,364 | $ | 1,525,845 | $ | — | $ | — | ||||||||||||||||||
Interest rate swap agreements | 25,325 | 19,619,000 | — | — | ||||||||||||||||||||||
Credit default swaps | — | — | (18,049 | ) | 427,073 | |||||||||||||||||||||
Swaptions, net | 269,745 | 5,130,000 | — | — | ||||||||||||||||||||||
TBAs | 33,425 | 4,097,000 | (125 | ) | 400,000 | |||||||||||||||||||||
Constant maturity swaps | — | — | (3,773 | ) | 10,000,000 | |||||||||||||||||||||
Markit IOS total return swaps | — | — | (134 | ) | 49,629 | |||||||||||||||||||||
Forward purchase commitments | — | 12,063 | — | — | ||||||||||||||||||||||
Total | $ | 549,859 | $ | 30,383,908 | $ | (22,081 | ) | $ | 10,876,702 | |||||||||||||||||
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 consolidated statements of comprehensive income on its derivative trading instruments: | |||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Trading Instruments | Location of Gain/(Loss) Recognized in Income on Derivatives | Amount of Gain/(Loss) Recognized in Income on Derivatives | ||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||
2014 | 2013 | 2012 | ||||||||||||||||||||||||
Interest rate risk management | ||||||||||||||||||||||||||
TBAs (1) | (Loss) gain on other derivative instruments | $ | (69,921 | ) | $ | 151,021 | $ | (30,897 | ) | |||||||||||||||||
Put and call options for TBAs (1) | (Loss) gain on other derivative instruments | (14,070 | ) | 7,798 | — | |||||||||||||||||||||
Constant maturity swaps (1) | (Loss) gain on other derivative instruments | 6,340 | (11,438 | ) | — | |||||||||||||||||||||
Short U.S. Treasuries (1) | (Loss) gain on other derivative instruments | (8 | ) | (991 | ) | (1,768 | ) | |||||||||||||||||||
Interest rate swap agreements - Receivers (1) | (Loss) gain on interest rate swap and swaption agreements | 201,536 | (14,472 | ) | — | |||||||||||||||||||||
Interest rate swap agreements - Payers (1) | (Loss) gain on interest rate swap and swaption agreements | (114,121 | ) | 6,400 | (13,056 | ) | ||||||||||||||||||||
Swaptions (1) | (Loss) gain on interest rate swap and swaption agreements | (242,795 | ) | 123,033 | (35,012 | ) | ||||||||||||||||||||
Markit IOS total return swaps (1) | (Loss) gain on other derivative instruments | 8,061 | (1,087 | ) | — | |||||||||||||||||||||
Forward sale commitments (1) | Gain (loss) on mortgage loans held-for-sale | — | — | (26 | ) | |||||||||||||||||||||
Interest rate swap agreements - Payers (2) | (Loss) gain on interest rate swap and swaption agreements | (190,267 | ) | 130,268 | (111,707 | ) | ||||||||||||||||||||
Credit risk management | ||||||||||||||||||||||||||
Credit default swaps - Receive protection (3) | (Loss) gain on other derivative instruments | 1,742 | (74,840 | ) | (61,935 | ) | ||||||||||||||||||||
Non-risk management | ||||||||||||||||||||||||||
TBAs | (Loss) gain on other derivative instruments | (4,701 | ) | 38,297 | — | |||||||||||||||||||||
Inverse interest-only securities | (Loss) gain on other derivative instruments | 55,028 | (13,415 | ) | 41,706 | |||||||||||||||||||||
Credit default swaps - Provide protection | (Loss) gain on other derivative instruments | — | — | 11,988 | ||||||||||||||||||||||
Forward purchase commitments | Gain (loss) on mortgage loans held-for-sale | 4,729 | (20,015 | ) | 2,396 | |||||||||||||||||||||
Total | $ | (358,447 | ) | $ | 320,559 | $ | (198,311 | ) | ||||||||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Includes derivative instruments held to mitigate interest rate risk associated with the Company’s investment portfolio. | |||||||||||||||||||||||||
-2 | Includes derivative instruments held to mitigate interest rate risk associated with the Company’s repurchase agreements and FHLB advances. | |||||||||||||||||||||||||
-3 | Includes derivative instruments held to mitigate credit risk associated with the Company’s non-Agency RMBS and mortgage loans held-for-sale. | |||||||||||||||||||||||||
Schedule of Notional Amounts of Outstanding Derivative Positions [Table Text Block] | The following table presents information with respect to the volume of activity in the Company’s derivative instruments during the years ended December 31, 2014 and 2013: | |||||||||||||||||||||||||
(in thousands) | ||||||||||||||||||||||||||
Year Ended December 31, | Beginning of Period Notional Amount | Additions | Settlement, Termination, Expiration or Exercise | End of Period Notional Amount | Average Notional Amount | Realized Gain (Loss), net (1) | ||||||||||||||||||||
2014 | ||||||||||||||||||||||||||
Inverse interest-only securities | $ | 1,525,845 | $ | 29,372 | $ | (386,991 | ) | $ | 1,168,226 | $ | 1,324,581 | $ | 414 | |||||||||||||
Interest rate swap agreements | 19,619,000 | 24,215,598 | (25,250,598 | ) | 18,584,000 | 23,329,504 | (803 | ) | ||||||||||||||||||
Credit default swaps | 427,073 | — | (302,073 | ) | 125,000 | 138,418 | (13,705 | ) | ||||||||||||||||||
Swaptions, net | 5,130,000 | 15,860,000 | (8,580,000 | ) | 12,410,000 | 9,460,438 | (54,586 | ) | ||||||||||||||||||
TBAs, net | 603,000 | (10,882,000 | ) | 8,954,000 | (1,325,000 | ) | 827,140 | (33,985 | ) | |||||||||||||||||
Put and call options for TBAs, net | — | 5,500,000 | (3,500,000 | ) | 2,000,000 | 772,603 | (13,555 | ) | ||||||||||||||||||
Constant maturity swaps | 10,000,000 | 46,000,000 | (42,000,000 | ) | 14,000,000 | 11,715,068 | 1,037 | |||||||||||||||||||
Markit IOS total return swaps | 49,629 | 586,550 | (37,720 | ) | 598,459 | 437,604 | — | |||||||||||||||||||
Short U.S. Treasuries | — | (125,000 | ) | 125,000 | — | 342 | 2 | |||||||||||||||||||
Forward purchase commitments | 12,063 | 2,753,280 | (2,210,505 | ) | 554,838 | 361,326 | 3,431 | |||||||||||||||||||
Total | $ | 37,366,610 | $ | 83,937,800 | $ | (73,188,887 | ) | $ | 48,115,523 | $ | 48,367,024 | $ | (111,750 | ) | ||||||||||||
2013 | ||||||||||||||||||||||||||
Inverse interest-only securities | $ | 1,909,351 | $ | 245,260 | $ | (628,766 | ) | $ | 1,525,845 | $ | 1,782,306 | $ | — | |||||||||||||
Interest rate swap agreements | 14,070,000 | 27,787,000 | (22,238,000 | ) | 19,619,000 | 16,965,918 | 41,096 | |||||||||||||||||||
Credit default swaps | 438,440 | 2,500,000 | (2,511,367 | ) | 427,073 | 1,031,857 | (53,154 | ) | ||||||||||||||||||
Swaptions, net | 4,950,000 | 420,000 | (240,000 | ) | 5,130,000 | 5,592,274 | (28,803 | ) | ||||||||||||||||||
TBAs, net | 953,000 | 2,734,000 | (3,084,000 | ) | 603,000 | 677,180 | 157,696 | |||||||||||||||||||
Put and call options for TBAs, net | — | 3,748,000 | (3,748,000 | ) | — | 420,334 | 7,798 | |||||||||||||||||||
Constant maturity swaps | — | 31,000,000 | (21,000,000 | ) | 10,000,000 | 7,972,527 | (7,665 | ) | ||||||||||||||||||
Markit IOS total return swaps | — | 50,574 | (945 | ) | 49,629 | 12,313 | — | |||||||||||||||||||
Short U.S. Treasuries | — | (400,000 | ) | 400,000 | — | 6,658 | (876 | ) | ||||||||||||||||||
Forward purchase commitments | 56,865 | 529,582 | (574,384 | ) | 12,063 | 57,489 | (19,780 | ) | ||||||||||||||||||
Total | $ | 22,377,656 | $ | 68,614,416 | $ | (53,625,462 | ) | $ | 37,366,610 | $ | 34,518,856 | $ | 96,312 | |||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Excludes net interest paid or received in full settlement of the net interest spread liability. | |||||||||||||||||||||||||
Schedule of TBA Positions [Table Text Block] | The following tables present the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of December 31, 2014 and December 31, 2013: | |||||||||||||||||||||||||
As of December 31, 2014 | ||||||||||||||||||||||||||
Net Carrying Value (4) | ||||||||||||||||||||||||||
(in thousands) | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||
Purchase contracts | $ | 875,000 | $ | 862,868 | $ | 873,218 | $ | 10,350 | $ | — | ||||||||||||||||
Sale contracts | (2,200,000 | ) | (2,294,813 | ) | (2,312,500 | ) | — | (17,687 | ) | |||||||||||||||||
TBAs, net | $ | (1,325,000 | ) | $ | (1,431,945 | ) | $ | (1,439,282 | ) | $ | 10,350 | $ | (17,687 | ) | ||||||||||||
As of December 31, 2013 | ||||||||||||||||||||||||||
Net Carrying Value (4) | ||||||||||||||||||||||||||
(in thousands) | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||
Purchase contracts | $ | 2,550,000 | $ | 2,749,648 | $ | 2,767,295 | $ | 17,771 | $ | (125 | ) | |||||||||||||||
Sale contracts | (1,947,000 | ) | (1,959,256 | ) | (1,943,602 | ) | 15,654 | — | ||||||||||||||||||
TBAs, net | $ | 603,000 | $ | 790,392 | $ | 823,693 | $ | 33,425 | $ | (125 | ) | |||||||||||||||
___________________ | ||||||||||||||||||||||||||
-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 consolidated balance sheets. | |||||||||||||||||||||||||
Schedule of Constant Maturity Swaps [Table Text Block] | The Company had the following constant maturity swaps agreements in place at December 31, 2014 and December 31, 2013: | |||||||||||||||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||
Determination Date | Average Strike Swap Rate | Notional Amount | Fair Value | Upfront Premium Paid | Unrealized Gain/(Loss) | |||||||||||||||||||||
Jan-15 | 0.538 | % | $ | 7,000,000 | $ | 1,502 | $ | — | $ | 1,502 | ||||||||||||||||
Feb-15 | 0.572 | % | 2,000,000 | (13 | ) | — | (13 | ) | ||||||||||||||||||
Mar-15 | 0.552 | % | 5,000,000 | 41 | — | 41 | ||||||||||||||||||||
Total | 0.548 | % | $ | 14,000,000 | $ | 1,530 | $ | — | $ | 1,530 | ||||||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||||
Determination Date | Average Strike Swap Rate | Notional Amount | Fair Value | Upfront Premium Paid | Unrealized Gain/(Loss) | |||||||||||||||||||||
Feb-14 | 0.768 | % | $ | 3,000,000 | $ | 625 | $ | — | $ | 625 | ||||||||||||||||
Mar-14 | 0.85 | % | 5,000,000 | (3,171 | ) | — | (3,171 | ) | ||||||||||||||||||
Jun-14 | 0.828 | % | 2,000,000 | (1,227 | ) | — | (1,227 | ) | ||||||||||||||||||
Total | 0.821 | % | $ | 10,000,000 | $ | (3,773 | ) | $ | — | $ | (3,773 | ) | ||||||||||||||
Schedule of Interest Rate Swap Payers Associated with the Investment Portfolio [Table Text Block] | As of December 31, 2014 and December 31, 2013, the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk associated with the Company’s investment portfolio whereby the Company receives interest at a 3-month LIBOR rate: | |||||||||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amounts | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2017 | $ | 2,000,000 | 1.07 | % | 0.229 | % | 2.54 | |||||||||||||||||||
2018 | 2,040,000 | 1.563 | % | 0.238 | % | 3.94 | ||||||||||||||||||||
2019 and Thereafter | 900,000 | 2.378 | % | 0.255 | % | 6.24 | ||||||||||||||||||||
Total | $ | 4,940,000 | 1.512 | % | 0.237 | % | 3.8 | |||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amounts | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2016 | 1,000,000 | 0.955 | % | 0.239 | % | 2.67 | ||||||||||||||||||||
2018 and Thereafter | 2,040,000 | 1.563 | % | 0.241 | % | 4.94 | ||||||||||||||||||||
Total | $ | 3,040,000 | 1.363 | % | 0.24 | % | 4.2 | |||||||||||||||||||
Schedule of Interest Rate Swap Receivers Associated with the Investment Portfolio [Table Text Block] | Additionally, as of December 31, 2014 and December 31, 2013, the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk associated with the Company’s investment portfolio whereby the Company pays interest at a 3-month LIBOR rate: | |||||||||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amounts | Average Pay Rate | Average Fixed Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2018 | $ | 575,000 | 0.231 | % | 1.44 | % | 3.89 | |||||||||||||||||||
2019 and Thereafter | 1,579,000 | 0.239 | % | 2.794 | % | 9.19 | ||||||||||||||||||||
Total | $ | 2,154,000 | 0.237 | % | 2.433 | % | 7.77 | |||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amounts | Average Pay Rate | Average Fixed Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2018 and Thereafter | 2,154,000 | 0.24 | % | 2.337 | % | 7.84 | ||||||||||||||||||||
Total | $ | 2,154,000 | 0.24 | % | 2.337 | % | 7.84 | |||||||||||||||||||
Schedule of Interest Rate Swaps Associated with Borrowings [Table Text Block] | As of December 31, 2014 and December 31, 2013, the Company had the following outstanding interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) risk associated with the Company’s short-term repurchase agreements and FHLB advances: | |||||||||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amounts | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2016 | $ | 4,100,000 | 0.667 | % | 0.249 | % | 1.65 | |||||||||||||||||||
2017 | 5,285,000 | 1.063 | % | 0.248 | % | 2.55 | ||||||||||||||||||||
2018 | 625,000 | 0.945 | % | 0.233 | % | 3.08 | ||||||||||||||||||||
2019 and Thereafter | 1,480,000 | 2.408 | % | 0.235 | % | 7.7 | ||||||||||||||||||||
Total | $ | 11,490,000 | 1.089 | % | 0.246 | % | 2.92 | |||||||||||||||||||
(notional in thousands) | ||||||||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||||
Swaps Maturities | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Maturity (Years) | ||||||||||||||||||||||
2014 | 3,900,000 | 0.3 | % | 0.245 | % | 0.76 | ||||||||||||||||||||
2015 | 1,000,000 | 0.383 | % | 0.244 | % | 1.04 | ||||||||||||||||||||
2016 | 2,950,000 | 0.626 | % | 0.246 | % | 2.42 | ||||||||||||||||||||
2017 | 5,300,000 | 0.92 | % | 0.217 | % | 3.49 | ||||||||||||||||||||
2018 and Thereafter | 1,275,000 | 1.406 | % | 0.242 | % | 5.04 | ||||||||||||||||||||
Total | $ | 14,425,000 | 0.698 | % | 0.235 | % | 2.5 | |||||||||||||||||||
Schedule of Interest Rate Swaptions [Table Text Block] | As of December 31, 2014 and December 31, 2013, 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: | |||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||
(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) | ||||||||||||||||||
Purchase contracts: | ||||||||||||||||||||||||||
Payer | ≥ 6 Months | $ | 255,358 | $ | 130,120 | 56.62 | $ | 8,210,000 | 4.12 | % | 3M Libor | 7.4 | ||||||||||||||
Total Payer | $ | 255,358 | $ | 130,120 | 56.62 | $ | 8,210,000 | 4.12 | % | 3M Libor | 7.4 | |||||||||||||||
Receiver | < 6 Months | $ | 10,715 | $ | 6,462 | 3.38 | $ | 5,000,000 | 3M Libor | 1.35 | % | 5 | ||||||||||||||
Total Receiver | $ | 10,715 | $ | 6,462 | 3.38 | $ | 5,000,000 | 3M Libor | 1.35 | % | 5 | |||||||||||||||
Sale contracts: | ||||||||||||||||||||||||||
Payer | ≥ 6 Months | $ | (81,248 | ) | $ | (19,990 | ) | 30.02 | $ | (800,000 | ) | 3.44 | % | 3M Libor | 10 | |||||||||||
Total Payer | $ | (81,248 | ) | $ | (19,990 | ) | 30.02 | $ | (800,000 | ) | 3.44 | % | 3M Libor | 10 | ||||||||||||
December 31, 2013 | ||||||||||||||||||||||||||
(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) | ||||||||||||||||||
Purchase contracts: | ||||||||||||||||||||||||||
Payer | < 6 Months | $ | 10,431 | $ | 10,458 | 2.78 | $ | 675,000 | 3.33 | % | 3M Libor | 10 | ||||||||||||||
Payer | ≥ 6 Months | 223,504 | 353,108 | 39.14 | 6,000,000 | 4.27 | % | 3M Libor | 9 | |||||||||||||||||
Total Payer | $ | 233,935 | $ | 363,566 | 38.16 | $ | 6,675,000 | 4.18 | % | 3M Libor | 9.1 | |||||||||||||||
Receiver | < 6 Months | $ | 3,991 | $ | 681 | 1.93 | $ | 275,000 | 3M Libor | 2.89 | % | 10 | ||||||||||||||
Total Receiver | $ | 3,991 | $ | 681 | 1.93 | $ | 275,000 | 3M Libor | 2.89 | % | 10 | |||||||||||||||
Sale contracts: | ||||||||||||||||||||||||||
Payer | < 6 Months | $ | (3,455 | ) | $ | (7,679 | ) | 1.93 | $ | (510,000 | ) | 1.6 | % | 3M Libor | 5 | |||||||||||
Payer | ≥ 6 Months | (81,248 | ) | (86,361 | ) | 42.02 | (800,000 | ) | 3.44 | % | 3M Libor | 10 | ||||||||||||||
Total Payer | $ | (84,703 | ) | $ | (94,040 | ) | 33.68 | $ | (1,310,000 | ) | 2.72 | % | 3M Libor | 8.1 | ||||||||||||
Receiver | < 6 Months | $ | (3,455 | ) | $ | (462 | ) | 1.93 | $ | (510,000 | ) | 3M Libor | 1.6 | % | 5 | |||||||||||
Total Receiver | $ | (3,455 | ) | $ | (462 | ) | 1.93 | $ | (510,000 | ) | 3M Libor | 1.6 | % | 5 | ||||||||||||
Schedule of Total Return Swaps [Table Text Block] | The Company had the following total return swap agreements in place at December 31, 2014 and December 31, 2013: | |||||||||||||||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||
Maturity Date | Current Notional Amount | Fair Value | Upfront Payable | Unrealized Gain/(Loss) | ||||||||||||||||||||||
1/12/43 | $ | (411,281 | ) | $ | 763 | $ | (1,457 | ) | $ | (694 | ) | |||||||||||||||
1/12/44 | (187,178 | ) | 624 | (275 | ) | 349 | ||||||||||||||||||||
Total | $ | (598,459 | ) | $ | 1,387 | $ | (1,732 | ) | $ | (345 | ) | |||||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||||
Maturity Date | Current Notional Amount | Fair Value | Upfront Payable | Unrealized Gain/(Loss) | ||||||||||||||||||||||
1/12/43 | $ | (49,629 | ) | $ | (134 | ) | $ | (453 | ) | $ | (587 | ) | ||||||||||||||
Total | $ | (49,629 | ) | $ | (134 | ) | $ | (453 | ) | $ | (587 | ) | ||||||||||||||
Schedule of Credit Default Swaps, Receive Protection [Table Text Block] | The following tables present credit default swaps where the Company is receiving protection held as of December 31, 2014 and December 31, 2013: | |||||||||||||||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
December 31, 2014 | ||||||||||||||||||||||||||
Protection | Maturity Date | Average Implied Credit Spread | Current Notional Amount | Fair Value | Upfront Payable | Unrealized Gain/(Loss) | ||||||||||||||||||||
Receive | 6/20/16 | 105.5 | $ | (100,000 | ) | $ | (1,350 | ) | $ | (260 | ) | $ | (1,610 | ) | ||||||||||||
12/20/16 | 496 | (25,000 | ) | (322 | ) | (4,062 | ) | (4,384 | ) | |||||||||||||||||
Total | 183.6 | $ | (125,000 | ) | $ | (1,672 | ) | $ | (4,322 | ) | $ | (5,994 | ) | |||||||||||||
(notional and dollars in thousands) | ||||||||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||||
Protection | Maturity Date | Average Implied Credit Spread | Current Notional Amount | Fair Value | Upfront Payable | Unrealized Gain/(Loss) | ||||||||||||||||||||
Receive | 6/20/16 | 105.5 | (100,000 | ) | (2,149 | ) | (260 | ) | (2,409 | ) | ||||||||||||||||
12/20/16 | 496 | (25,000 | ) | (401 | ) | (4,062 | ) | (4,463 | ) | |||||||||||||||||
12/20/18 | 393.31 | (270,000 | ) | (23,568 | ) | 12,838 | (10,730 | ) | ||||||||||||||||||
5/25/46 | 356 | (32,073 | ) | 8,069 | (15,026 | ) | (6,957 | ) | ||||||||||||||||||
Total | 329.13 | $ | (427,073 | ) | $ | (18,049 | ) | $ | (6,510 | ) | $ | (24,559 | ) | |||||||||||||
Schedule of Inverse Interest-Only Securities Reconciliation [Table Text Block] | The following table presents the amortized cost and carrying value (which approximates fair value) of inverse interest-only securities as of December 31, 2014 and December 31, 2013: | |||||||||||||||||||||||||
(in thousands) | December 31, | December 31, | ||||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||||
Face Value | $ | 1,168,226 | $ | 1,525,845 | ||||||||||||||||||||||
Unamortized premium | — | — | ||||||||||||||||||||||||
Unamortized discount | ||||||||||||||||||||||||||
Designated credit reserve | — | — | ||||||||||||||||||||||||
Net, unamortized | (991,715 | ) | (1,292,785 | ) | ||||||||||||||||||||||
Amortized Cost | 176,511 | 233,060 | ||||||||||||||||||||||||
Gross unrealized gains | 14,162 | 5,891 | ||||||||||||||||||||||||
Gross unrealized losses | (4,269 | ) | (20,442 | ) | ||||||||||||||||||||||
Carrying Value | $ | 186,404 | $ | 218,509 | ||||||||||||||||||||||
Other_Assets_Tables
Other Assets (Tables) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
Other Assets [Abstract] | ||||||||
Schedule of Other Assets [Table Text Block] | Other assets as of December 31, 2014 and December 31, 2013 are summarized in the following table: | |||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Property and equipment at cost | $ | 4,849 | $ | 2,285 | ||||
Accumulated depreciation (1) | (1,941 | ) | (858 | ) | ||||
Net property and equipment | 2,908 | 1,427 | ||||||
Prepaid expenses | 1,790 | 1,818 | ||||||
Deferred tax assets, net | 40,847 | — | ||||||
Intangible assets | — | 533 | ||||||
Servicing advances | 27,490 | 7,298 | ||||||
Federal Home Loan Bank stock | 100,010 | 10 | ||||||
Equity investments | 3,000 | — | ||||||
Other receivables | 12,534 | 2,113 | ||||||
Total other assets | $ | 188,579 | $ | 13,199 | ||||
____________________ | ||||||||
-1 | Depreciation expense for the years ended December 31, 2014 and 2013 was $1.1 million and $0.6 million, respectively. |
Other_Liabilities_Tables
Other Liabilities (Tables) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
Other Liabilities [Abstract] | ||||||||
Other Liabilities [Table Text Block] | Other liabilities as of December 31, 2014 and December 31, 2013 are summarized in the following table: | |||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Accrued expenses | $ | 29,819 | $ | 20,025 | ||||
Deferred tax liabilities, net | — | 39,414 | ||||||
Income taxes payable | 1,375 | 757 | ||||||
Other | 9,473 | 7,284 | ||||||
Total other liabilities | $ | 40,667 | $ | 67,480 | ||||
Fair_Value_Tables
Fair Value (Tables) | 12 Months Ended | |||||||||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | ||||||||||||||||||||||||||
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 December 31, 2014 | ||||||||||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Available-for-sale securities | $ | — | $ | 14,341,102 | $ | — | $ | 14,341,102 | ||||||||||||||||||
Trading securities | 1,997,656 | — | — | 1,997,656 | ||||||||||||||||||||||
Mortgage loans held-for-sale | — | 500,159 | 35,553 | 535,712 | ||||||||||||||||||||||
Mortgage loans held-for-investment in securitization trusts | — | 1,744,746 | — | 1,744,746 | ||||||||||||||||||||||
Mortgage servicing rights | — | — | 452,006 | 452,006 | ||||||||||||||||||||||
Derivative assets | 10,350 | 370,441 | — | 380,791 | ||||||||||||||||||||||
Total assets | $ | 2,008,006 | $ | 16,956,448 | $ | 487,559 | $ | 19,452,013 | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Collateralized borrowings in securitization trusts | $ | — | $ | 1,209,663 | $ | — | $ | 1,209,663 | ||||||||||||||||||
Derivative liabilities | 17,687 | 72,546 | — | 90,233 | ||||||||||||||||||||||
Total liabilities | $ | 17,687 | $ | 1,282,209 | $ | — | $ | 1,299,896 | ||||||||||||||||||
Recurring Fair Value Measurements | ||||||||||||||||||||||||||
At December 31, 2013 | ||||||||||||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Available-for-sale securities | $ | — | $ | 12,256,727 | $ | — | $ | 12,256,727 | ||||||||||||||||||
Trading securities | 1,000,180 | — | — | 1,000,180 | ||||||||||||||||||||||
Mortgage loans held-for-sale | — | 119,855 | 424,726 | 544,581 | ||||||||||||||||||||||
Mortgage loans held-for-investment in securitization trusts | — | 792,390 | — | 792,390 | ||||||||||||||||||||||
Mortgage servicing rights | — | — | 514,402 | 514,402 | ||||||||||||||||||||||
Derivative assets | 33,425 | 516,434 | — | 549,859 | ||||||||||||||||||||||
Total assets | $ | 1,033,605 | $ | 13,685,406 | $ | 939,128 | $ | 15,658,139 | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Collateralized borrowings in securitization trusts | $ | — | $ | 639,731 | $ | — | $ | 639,731 | ||||||||||||||||||
Derivative liabilities | 125 | 21,956 | — | 22,081 | ||||||||||||||||||||||
Total liabilities | $ | 125 | $ | 661,687 | $ | — | $ | 661,812 | ||||||||||||||||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] | The following table presents the reconciliation for all of the Company’s Level 3 assets measured at fair value on a recurring basis: | |||||||||||||||||||||||||
Level 3 Recurring Fair Value Measurements | ||||||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||||
(in thousands) | Available-For-Sale Securities | Mortgage Loans Held-For-Sale | Mortgage Servicing Rights | Available-For-Sale Securities | Mortgage Loans Held-For-Sale | Mortgage Servicing Rights | ||||||||||||||||||||
Beginning of period level 3 fair value | $ | — | $ | 424,726 | $ | 514,402 | $ | 1,871 | $ | — | $ | — | ||||||||||||||
Gains/(losses) included in net income: | ||||||||||||||||||||||||||
Realized gains (losses) | — | (1) | 7,734 | (54,815 | ) | 74 | (1) | 907 | — | |||||||||||||||||
Unrealized (losses) gains | — | (3,213 | ) | (2) | (73,573 | ) | (4) | — | 29 | (2) | 13,881 | (4) | ||||||||||||||
Total net gains/(losses) included in net income | — | 4,521 | (128,388 | ) | 74 | 936 | 13,881 | |||||||||||||||||||
Other comprehensive income | — | — | — | 1,426 | — | — | ||||||||||||||||||||
Purchases | — | 66,793 | 67,821 | — | 440,352 | 500,521 | ||||||||||||||||||||
Sales | — | (433,603 | ) | — | — | — | — | |||||||||||||||||||
Settlements | — | (26,884 | ) | (1,829 | ) | — | (16,562 | ) | — | |||||||||||||||||
Gross transfers into level 3 | — | — | — | 3,000 | — | — | ||||||||||||||||||||
Gross transfers out of level 3 | — | — | — | (6,371 | ) | — | — | |||||||||||||||||||
End of period level 3 fair value | $ | — | $ | 35,553 | $ | 452,006 | $ | — | $ | 424,726 | $ | 514,402 | ||||||||||||||
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | $ | — | $ | (3,028 | ) | (3) | $ | (73,573 | ) | (5) | $ | — | $ | 29 | (3) | $ | 13,881 | (5) | ||||||||
___________________ | ||||||||||||||||||||||||||
-1 | Realized gains (losses) on available-for-sale securities represent net (premium amortization)/discount accretion recorded in interest income on the consolidated statements of comprehensive income. | |||||||||||||||||||||||||
-2 | The change in unrealized gains or losses on mortgage loans held-for-sale was recorded in gain on mortgage loans held-for-sale on the consolidated statements of comprehensive income. | |||||||||||||||||||||||||
-3 | The change in unrealized gains or losses on mortgage loans held-for-sale that were held at the end of the reporting period was recorded in gain on mortgage loans held-for-sale on the consolidated statements of comprehensive income. | |||||||||||||||||||||||||
-4 | The change in unrealized gains or losses on MSR was recorded in gain on servicing asset on the consolidated statements of comprehensive income. | |||||||||||||||||||||||||
-5 | The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in gain on servicing asset on the consolidated statements of comprehensive income. | |||||||||||||||||||||||||
The Company did not incur transfers between Level 1, Level 2 or Level 3 for the year ended December 31, 2014. 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 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 year ended December 31, 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. | ||||||||||||||||||||||||||
Fair Value Inputs, Assets, Quantitative Information [Table Text Block] | The table below presents information about the significant unobservable inputs used by the third-party pricing provider in the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at December 31, 2014: | |||||||||||||||||||||||||
31-Dec-14 | ||||||||||||||||||||||||||
Valuation Technique | Unobservable Input (1) | Range | Weighted Average | |||||||||||||||||||||||
Discounted cash flow | Constant prepayment speed | 10.6 | - | 13.1 | % | 11.9 | % | |||||||||||||||||||
Delinquency | 5.3 | - | 6.1 | % | 5.6 | % | ||||||||||||||||||||
Discount rate | 8.1 | - | 10.7 | % | 9.5 | % | ||||||||||||||||||||
___________________ | ||||||||||||||||||||||||||
-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 probability of delinquency and a directionally opposite change in the assumption used for prepayment rates. | |||||||||||||||||||||||||
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. | |||||||||||||||||||||||||
(in thousands) | Changes included in the Consolidated Statements of Comprehensive Income | |||||||||||||||||||||||||
Year Ended December 31, | Interest income (expense) | Gain (loss) on investment securities | Gain (loss) on mortgage loans held-for-sale | Other income | Total included in net income | Change in fair value due to credit risk | ||||||||||||||||||||
2014 | ||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Mortgage loans held-for-sale | $ | 16,089 | (1) | $ | — | $ | 12,568 | $ | — | $ | 28,657 | $ | 1,295 | (3) | ||||||||||||
Mortgage loans held-for-investment in securitization trusts | 41,220 | (1) | — | — | 41,125 | 82,345 | — | (2) | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Collateralized borrowings in securitization trusts | (26,760 | ) | — | — | (24,285 | ) | (51,045 | ) | — | (2) | ||||||||||||||||
Total | $ | 30,549 | $ | — | $ | 12,568 | $ | 16,840 | $ | 59,957 | $ | 1,295 | ||||||||||||||
2013 | ||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Equity securities | $ | — | $ | 7,843 | $ | — | $ | — | $ | 7,843 | $ | — | (2) | |||||||||||||
Mortgage loans held-for-sale | 22,185 | (1) | — | (13,831 | ) | — | 8,354 | 6,677 | (3) | |||||||||||||||||
Mortgage loans held-for-investment in securitization trusts | 19,220 | (1) | — | — | (22,910 | ) | (3,690 | ) | — | (2) | ||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Collateralized borrowings in securitization trusts | (10,937 | ) | — | — | 37,114 | 26,177 | — | (2) | ||||||||||||||||||
Total | $ | 30,468 | $ | 7,843 | $ | (13,831 | ) | $ | 14,204 | $ | 38,684 | $ | 6,677 | |||||||||||||
2012 | ||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Equity securities | $ | — | $ | 5,822 | $ | — | $ | — | $ | 5,822 | $ | — | (2) | |||||||||||||
Mortgage loans held-for-sale | 609 | (1) | — | (100 | ) | — | 509 | — | (3) | |||||||||||||||||
Mortgage loans held-for-investment in securitization trusts | — | (1) | — | — | — | — | — | (2) | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Collateralized borrowings in securitization trusts | — | — | — | — | — | — | (2) | |||||||||||||||||||
Total | $ | 609 | $ | 5,822 | $ | (100 | ) | $ | — | $ | 6,331 | $ | — | |||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Interest income on mortgage loans held-for-sale and 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 | The change in fair value on equity securities, mortgage loans held-for-investment in securitization trusts and collateralized borrowings in securitization trusts was due entirely to changes in market interest rates. | |||||||||||||||||||||||||
-3 | The change in fair value due to credit risk on mortgage loans held-for-sale was quantified by holding yield constant in the cash flow model in order to isolate the credit risk component. | |||||||||||||||||||||||||
Schedule of Financing Receivables, Non Accrual Status [Table Text Block] | The table below provides the fair value and the unpaid principal balance for the Company’s fair value option-elected loans and collateralized borrowings. | |||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | |||||||||||||||||||||||||
(in thousands) | Unpaid Principal Balance | Fair | Unpaid Principal Balance | Fair | ||||||||||||||||||||||
Value (1) | Value (1) | |||||||||||||||||||||||||
Mortgage loans held-for-sale | ||||||||||||||||||||||||||
Total loans | $ | 534,101 | $ | 535,712 | $ | 680,840 | $ | 544,581 | ||||||||||||||||||
Nonaccrual loans | $ | 26,405 | $ | 20,574 | $ | 80,486 | $ | 62,185 | ||||||||||||||||||
Loans 90+ days past due | $ | 25,263 | $ | 19,675 | $ | 63,152 | $ | 48,786 | ||||||||||||||||||
Mortgage loans held-for-investment in securitization trusts | ||||||||||||||||||||||||||
Total loans | $ | 1,699,748 | $ | 1,744,746 | $ | 812,538 | $ | 792,390 | ||||||||||||||||||
Nonaccrual loans | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Loans 90+ days past due | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Collateralized borrowings in securitization trusts | ||||||||||||||||||||||||||
Total borrowings | $ | 1,218,589 | $ | 1,209,663 | $ | 686,233 | $ | 639,731 | ||||||||||||||||||
____________________ | ||||||||||||||||||||||||||
-1 | Excludes accrued interest receivable. | |||||||||||||||||||||||||
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 December 31, 2014 and December 31, 2013. | |||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | |||||||||||||||||||||||||
(in thousands) | Carrying Value | Fair Value | Carrying Value | Fair Value | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||
Available-for-sale securities | $ | 14,341,102 | $ | 14,341,102 | $ | 12,256,727 | $ | 12,256,727 | ||||||||||||||||||
Trading securities | $ | 1,997,656 | $ | 1,997,656 | $ | 1,000,180 | $ | 1,000,180 | ||||||||||||||||||
Mortgage loans held-for-sale | $ | 535,712 | $ | 535,712 | $ | 544,581 | $ | 544,581 | ||||||||||||||||||
Mortgage loans held-for-investment in securitization trusts | $ | 1,744,746 | $ | 1,744,746 | $ | 792,390 | $ | 792,390 | ||||||||||||||||||
Mortgage servicing rights | $ | 452,006 | $ | 452,006 | $ | 514,402 | $ | 514,402 | ||||||||||||||||||
Cash and cash equivalents | $ | 1,005,792 | $ | 1,005,792 | $ | 1,025,487 | $ | 1,025,487 | ||||||||||||||||||
Restricted cash | $ | 336,771 | $ | 336,771 | $ | 401,647 | $ | 401,647 | ||||||||||||||||||
Derivative assets | $ | 380,791 | $ | 380,791 | $ | 549,859 | $ | 549,859 | ||||||||||||||||||
Federal Home Loan Bank stock | $ | 100,010 | $ | 100,010 | $ | 10 | $ | 10 | ||||||||||||||||||
Equity investments | $ | 3,000 | $ | 3,000 | $ | — | $ | — | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||
Repurchase agreements | $ | 12,932,463 | $ | 12,932,463 | $ | 12,250,450 | $ | 12,250,450 | ||||||||||||||||||
Collateralized borrowings in securitization trusts | $ | 1,209,663 | $ | 1,209,663 | $ | 639,731 | $ | 639,731 | ||||||||||||||||||
Federal Home Loan Bank advances | $ | 2,500,000 | $ | 2,500,000 | $ | — | $ | — | ||||||||||||||||||
Derivative liabilities | $ | 90,233 | $ | 90,233 | $ | 22,081 | $ | 22,081 | ||||||||||||||||||
Repurchase_Agreements_Tables
Repurchase Agreements (Tables) | 12 Months Ended | |||||||||||||||||||||||||||
Dec. 31, 2014 | ||||||||||||||||||||||||||||
Disclosure of Repurchase Agreements [Abstract] | ||||||||||||||||||||||||||||
Schedule of Repurchase Agreements by Term, Short or Long [Table Text Block] | At December 31, 2014 and December 31, 2013, the repurchase agreement balances were as follows: | |||||||||||||||||||||||||||
(in thousands) | December 31, | December 31, | ||||||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||||||
Short-term | $ | 12,839,242 | $ | 12,050,450 | ||||||||||||||||||||||||
Long-term | 93,221 | 200,000 | ||||||||||||||||||||||||||
Total | $ | 12,932,463 | $ | 12,250,450 | ||||||||||||||||||||||||
Schedule of Repurchase Agreements by Collateral Type [Table Text Block] | At December 31, 2014 and December 31, 2013, the repurchase agreements had the following characteristics: | |||||||||||||||||||||||||||
(dollars in thousands) | December 31, 2014 | December 31, 2013 | ||||||||||||||||||||||||||
Collateral Type | Amount Outstanding | Weighted Average Borrowing Rate | Amount Outstanding | Weighted Average Borrowing Rate | ||||||||||||||||||||||||
U.S. Treasuries | $ | 1,996,250 | 0.23 | % | $ | 997,500 | 0.03 | % | ||||||||||||||||||||
Agency RMBS | 8,458,572 | 0.42 | % | 9,109,510 | 0.46 | % | ||||||||||||||||||||||
Non-Agency RMBS (1) | 2,324,395 | 1.79 | % | 1,829,709 | 2.01 | % | ||||||||||||||||||||||
Agency derivatives | 138,133 | 0.99 | % | 166,438 | 1.05 | % | ||||||||||||||||||||||
Mortgage loans held-for-sale | 15,113 | 3.03 | % | 147,293 | 2.85 | % | ||||||||||||||||||||||
Total | $ | 12,932,463 | 0.64 | % | $ | 12,250,450 | 0.69 | % | ||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||
-1 | Includes repurchase agreements collateralized by retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. | |||||||||||||||||||||||||||
Schedule of Repurchase Agreements by Maturity [Table Text Block] | At December 31, 2014 and December 31, 2013, the repurchase agreements had the following remaining maturities: | |||||||||||||||||||||||||||
(in thousands) | December 31, | December 31, | ||||||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||||||
Within 30 days | $ | 3,979,317 | $ | 3,831,917 | ||||||||||||||||||||||||
30 to 59 days | 4,595,425 | 2,013,733 | ||||||||||||||||||||||||||
60 to 89 days | 903,286 | 2,225,967 | ||||||||||||||||||||||||||
90 to 119 days | 434,550 | 1,386,371 | ||||||||||||||||||||||||||
120 to 364 days | 1,929,164 | 1,594,962 | ||||||||||||||||||||||||||
Open maturity (1) | 997,500 | 997,500 | ||||||||||||||||||||||||||
One year and over | 93,221 | (2) | 200,000 | |||||||||||||||||||||||||
Total | $ | 12,932,463 | $ | 12,250,450 | ||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||
-1 | Includes repurchase agreements collateralized by U.S. Treasuries with 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 a maturity date of June 25, 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) | December 31, | December 31, | ||||||||||||||||||||||||||
2014 | 2013 | |||||||||||||||||||||||||||
Available-for-sale securities, at fair value | $ | 11,874,783 | $ | 12,295,302 | ||||||||||||||||||||||||
Trading securities, at fair value | 1,997,656 | 1,000,180 | ||||||||||||||||||||||||||
Mortgage loans held-for-sale | 19,123 | 200,839 | ||||||||||||||||||||||||||
Net economic interests in consolidated securitization trusts (1) | 363,564 | — | ||||||||||||||||||||||||||
Cash and cash equivalents | 14,117 | 15,000 | ||||||||||||||||||||||||||
Restricted cash | 112,435 | 201,194 | ||||||||||||||||||||||||||
Due from counterparties | 32,495 | 21,579 | ||||||||||||||||||||||||||
Derivative assets, at fair value | 185,067 | 216,365 | ||||||||||||||||||||||||||
Total | $ | 14,599,240 | $ | 13,950,459 | ||||||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||
-1 | Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. | |||||||||||||||||||||||||||
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 December 31, 2014 and December 31, 2013: | |||||||||||||||||||||||||||
December 31, 2014 | December 31, 2013 | |||||||||||||||||||||||||||
(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 | ||||||||||||||||||||
Royal Bank of Canada | $ | 1,373,549 | $ | 401,194 | 10 | % | 83.8 | $ | 980,464 | $ | 264,746 | 7 | % | 88.2 | ||||||||||||||
Barclays Capital Inc. | 1,346,085 | 365,879 | 9 | % | 50.5 | 1,453,396 | 302,744 | 8 | % | 74.6 | ||||||||||||||||||
All other counterparties (2) (3) | 9,215,329 | 907,066 | 22 | % | 57.7 | 8,819,090 | 1,107,340 | 29 | % | 71.2 | ||||||||||||||||||
Total | $ | 11,934,963 | $ | 1,674,139 | $ | 11,252,950 | $ | 1,674,830 | ||||||||||||||||||||
____________________ | ||||||||||||||||||||||||||||
-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. | |||||||||||||||||||||||||||
-2 | Excludes $997.5 million and $997.5 million of repurchase agreements collateralized by U.S. Treasuries with a rolling 1-day maturity as of December 31, 2014 and December 31, 2013, respectively. | |||||||||||||||||||||||||||
-3 | Represents amounts outstanding to 23 and 18 counterparties at December 31, 2014 and December 31, 2013, respectively. |
Federal_Home_Loan_Bank_of_Des_1
Federal Home Loan Bank of Des Moines Advances Federal Home Loan Bank of Des Moines Advances (Tables) | 12 Months Ended | |||||||
Dec. 31, 2014 | ||||||||
Advances from Federal Home Loan Banks [Abstract] | ||||||||
Schedule of Maturities of Long-term Debt [Table Text Block] | At December 31, 2014 and December 31, 2013, FHLB advances had the following remaining maturities: | |||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
≤ 1 year | $ | 33,738 | $ | — | ||||
> 1 and ≤ 3 years | 651,238 | — | ||||||
> 3 and ≤ 5 years | 815,024 | — | ||||||
> 5 and ≤ 10 years | — | — | ||||||
> 10 years | 1,000,000 | — | ||||||
Total | $ | 2,500,000 | $ | — | ||||
Schedule of Underlying Assets of Federal Home Loan Bank Advances [Table Text Block] | The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of FHLB advances: | |||||||
(in thousands) | December 31, | December 31, | ||||||
2014 | 2013 | |||||||
Available-for-sale securities, at fair value | $ | 2,284,532 | $ | — | ||||
Mortgage loans held-for-sale, at fair value | 397,656 | — | ||||||
Net economic interests in consolidated securitization trusts (1) | 80,732 | |||||||
Total | $ | 2,762,920 | $ | — | ||||
____________________ | ||||||||
-1 | Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. |
Commitments_and_Contingencies_1
Commitments and Contingencies (Tables) | 12 Months Ended | ||||
Dec. 31, 2014 | |||||
Commitments and Contingencies Disclosure [Abstract] | |||||
Schedule of Future Minimum Rental Payments for Operating Leases [Table Text Block] | Future minimum rental payments, including escalation clauses, under leases with terms of one year or more at December 31, 2014 were as follows: | ||||
(in thousands) | |||||
Year | Minimum Payment | ||||
2015 | $ | 2,250 | |||
2016 | 1,902 | ||||
2017 | 1,468 | ||||
2018 | 1,187 | ||||
2019 | 1,205 | ||||
Thereafter | 2,988 | ||||
Total | $ | 11,000 | |||
Expenses under the lease agreements were $2.0 million, $1.3 million and $0.6 million for the years ended December 31, 2014, 2013 and 2012, respectively. |
Stockholders_Equity_Tables
Stockholders' Equity (Tables) | 12 Months Ended | ||||||||||||||
Dec. 31, 2014 | |||||||||||||||
Stockholders' Equity Note [Abstract] | |||||||||||||||
Schedule of Common Stock Outstanding Roll Forward [Table Text Block] | The following table presents a reconciliation of the common shares outstanding from December 31, 2011 through December 31, 2014: | ||||||||||||||
Number of common shares | |||||||||||||||
Common shares outstanding, December 31, 2011 | 140,596,708 | ||||||||||||||
Issuance of common stock | 158,184,529 | ||||||||||||||
Issuance of restricted stock (1) | 32,021 | ||||||||||||||
Common shares outstanding, December 31, 2012 | 298,813,258 | ||||||||||||||
Issuance of common stock | 67,511,609 | ||||||||||||||
Issuance of restricted stock (1) | 1,061,001 | ||||||||||||||
Repurchase of common stock | (2,450,700 | ) | |||||||||||||
Common shares outstanding, December 31, 2013 | 364,935,168 | ||||||||||||||
Issuance of common stock | 57,218 | ||||||||||||||
Issuance of restricted stock (1) | 1,403,534 | ||||||||||||||
Common shares outstanding, December 31, 2014 | 366,395,920 | ||||||||||||||
____________________ | |||||||||||||||
-1 | Represents shares of restricted stock granted under the Restated 2009 Equity Incentive Plan, of which 2,002,406 restricted shares remained subject to vesting requirements at December 31, 2014. | ||||||||||||||
Dividends Declared [Table Text Block] | The following table presents cash dividends declared by the Company on its common stock for the years ended December 31, 2014, 2013 and 2012: | ||||||||||||||
Declaration Date | Record Date | Payment Date | Cash Dividend Per Share | ||||||||||||
December 16, 2014 | December 30, 2014 | January 20, 2015 | $ | 0.26 | |||||||||||
September 16, 2014 | September 30, 2014 | October 21, 2014 | $ | 0.26 | |||||||||||
June 17, 2014 | July 2, 2014 | July 22, 2014 | $ | 0.26 | |||||||||||
March 17, 2014 | March 31, 2014 | April 21, 2014 | $ | 0.26 | |||||||||||
December 17, 2013 | December 27, 2013 | December 31, 2013 | $ | 0.26 | |||||||||||
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 | |||||||||||
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | Accumulated other comprehensive income at December 31, 2014 and December 31, 2013 was as follows: | ||||||||||||||
(in thousands) | December 31, | December 31, | |||||||||||||
2014 | 2013 | ||||||||||||||
Available-for-sale securities, at fair value | |||||||||||||||
Unrealized gains | $ | 891,820 | $ | 697,779 | |||||||||||
Unrealized losses | (36,031 | ) | (253,044 | ) | |||||||||||
Accumulated other comprehensive income | $ | 855,789 | $ | 444,735 | |||||||||||
Reclassification out of Accumulated Other Comprehensive Income [Table Text Block] | The following table summarizes reclassifications out of accumulated other comprehensive income for the years ended December 31, 2014, 2013 and 2012: | ||||||||||||||
(in thousands) | Affected Line Item in the Consolidated Statements of Comprehensive Income | Amount Reclassified out of Accumulated Other Comprehensive Income | |||||||||||||
Year Ended December 31, | |||||||||||||||
2014 | 2013 | 2012 | |||||||||||||
Other-than-temporary-impairments on AFS securities | Total other-than-temporary impairment losses | $ | 392 | $ | 1,662 | $ | 10,952 | ||||||||
Realized losses (gains) on sales of AFS securities | (Loss) gain on investment securities | (52,931 | ) | 44,780 | (123,534 | ) | |||||||||
Total | $ | (52,539 | ) | $ | 46,442 | $ | (112,582 | ) | |||||||
Equity_Incentive_Plan_Tables
Equity Incentive Plan (Tables) | 12 Months Ended | |||||||||||||
Dec. 31, 2014 | ||||||||||||||
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | ||||||||||||||
Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity [Table Text Block] | On May 23, 2012, May 21, 2013 and May 20, 2014, the Company granted 32,021, 36,335 and 52,180 shares of restricted common stock, respectively, to its independent directors pursuant to the Plan. The estimated fair value of these awards was $10.15, $11.56 and $10.31 per share, respectively, based on the closing price of the Company’s common stock on the NYSE on such date. The shares underlying the grants vested immediately. Additionally, on December 18, 2013, the Company granted 3,697 shares of restricted common stock to a newly appointed independent director pursuant to the Plan. The estimated fair value of these awards was $9.19 per share, based on the closing price of the Company’s common stock on the NYSE on such date. The shares underlying these grants also vested immediately. | |||||||||||||
On May 29, 2013 and February 5, 2014, the Company granted 1,020,969 and 1,374,989 shares of restricted common stock to its executive officers and other key employees of PRCM Advisers pursuant to the Plan. The estimated fair value of these awards was $11.23 and $9.90 per share on grant date, based on the closing price of the Company’s common stock on the NYSE on such date. However, as the cost of these awards is measured at fair value at each reporting date based on the price of the Company’s stock as of period end in accordance with ASC 505, the fair value of these awards as of December 31, 2014 was $10.02 per share based on the closing market price of the Company’s common stock on the NYSE on such date. The shares underlying the grants vest in three annual installments commencing on the date of the grant, as long as such grantee complies with the terms and conditions of his or her applicable restricted stock award agreement. | ||||||||||||||
The following table summarizes the activity related to restricted common stock for the years ended December 31, 2014 and 2013: | ||||||||||||||
Year Ended December 31, | ||||||||||||||
2014 | 2013 | |||||||||||||
Shares | Weighted Average Grant Date Fair Market Value | Shares | Weighted Average Grant Date Fair Market Value | |||||||||||
Outstanding at Beginning of Period | 1,024,459 | $ | 11.22 | 25,325 | $ | 9.69 | ||||||||
Granted | 1,427,169 | 9.91 | 1,061,001 | 11.23 | ||||||||||
Vested | (443,093 | ) | (11.12 | ) | (61,867 | ) | (10.71 | ) | ||||||
Forfeited | (6,129 | ) | (9.79 | ) | — | — | ||||||||
Outstanding at End of Period | 2,002,406 | $ | 10.32 | 1,024,459 | $ | 11.22 | ||||||||
For the years ended December 31, 2014, 2013 and 2012, the Company recognized compensation costs related to restricted common stock of $11.7 million, $3.9 million, and $0.5 million, respectively. |
Income_Taxes_Tables
Income Taxes (Tables) | 12 Months Ended | ||||||||||||||||||||
Dec. 31, 2014 | |||||||||||||||||||||
Income Tax Disclosure [Abstract] | |||||||||||||||||||||
Schedule of Components of Income Tax Expense (Benefit) [Table Text Block] | The following table summarizes the tax (benefit) provision recorded at the taxable subsidiary level for the years ended December 31, 2014, 2013 and 2012: | ||||||||||||||||||||
Year Ended December 31, | |||||||||||||||||||||
(in thousands) | 2014 | 2013 | 2012 | ||||||||||||||||||
Current tax provision (benefit): | |||||||||||||||||||||
Federal | $ | 6,507 | $ | 808 | $ | (4,586 | ) | ||||||||||||||
State | 16 | 5 | 3 | ||||||||||||||||||
Total current tax provision (benefit) | 6,523 | 813 | (4,583 | ) | |||||||||||||||||
Deferred tax (benefit) provision | (80,261 | ) | 83,598 | (37,636 | ) | ||||||||||||||||
Total (benefit from) provision for income taxes | $ | (73,738 | ) | $ | 84,411 | $ | (42,219 | ) | |||||||||||||
Schedule of Effective Income Tax Rate Reconciliation [Table Text Block] | The following is a reconciliation of the statutory federal and state rates to the effective rates, for the years ended December 31, 2014, 2013 and 2012: | ||||||||||||||||||||
Year Ended December 31, | |||||||||||||||||||||
2014 | 2013 | 2012 | |||||||||||||||||||
(dollars in thousands) | Amount | Percent | Amount | Percent | Amount | Percent | |||||||||||||||
Computed income tax expense at federal rate | $ | 32,691 | 35 | % | $ | 225,573 | 34 | % | $ | 84,894 | 34 | % | |||||||||
State taxes, net of federal benefit, if applicable | 10 | — | % | 4 | — | % | 2 | — | % | ||||||||||||
Permanent differences in taxable income from GAAP net income | 1,636 | 2 | % | 17,681 | 3 | % | 118 | — | % | ||||||||||||
Dividends paid deduction | (108,075 | ) | (116 | )% | (158,847 | ) | (24 | )% | (127,233 | ) | (51 | )% | |||||||||
(Benefit from) provision for income taxes/Effective Tax Rate(1) | $ | (73,738 | ) | (79 | )% | $ | 84,411 | 13 | % | $ | (42,219 | ) | (17 | )% | |||||||
____________________ | |||||||||||||||||||||
-1 | The (benefit from) provision for income taxes is recorded at the taxable subsidiary level. | ||||||||||||||||||||
Schedule of Current and Deferred Tax Assets and Liabilities [Table Text Block] | The Company’s consolidated balance sheet, as of December 31, 2014 and December 31, 2013, contains the following current and deferred tax liabilities and assets, which are included in other liabilities and other assets, respectively, and are recorded at the taxable subsidiary level: | ||||||||||||||||||||
(in thousands) | December 31, | December 31, | |||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||
Income taxes (payable) receivable | |||||||||||||||||||||
Federal income taxes (payable) receivable | $ | (1,375 | ) | $ | (757 | ) | |||||||||||||||
State and local income taxes (payable) receivable | — | — | |||||||||||||||||||
Income taxes (payable) receivable, net | (1,375 | ) | (757 | ) | |||||||||||||||||
Deferred tax assets (liabilities) | |||||||||||||||||||||
Deferred tax asset | 60,575 | (1) | 14,927 | ||||||||||||||||||
Deferred tax liability | (19,728 | ) | (54,341 | ) | |||||||||||||||||
Total net deferred tax assets (liabilities) | 40,847 | (39,414 | ) | ||||||||||||||||||
Total tax assets and liabilities, net | $ | 39,472 | $ | (40,171 | ) | ||||||||||||||||
____________________ | |||||||||||||||||||||
-1 | Net of valuation allowance of $0.1 million. | ||||||||||||||||||||
Schedule of Deferred Tax Assets and Liabilities [Table Text Block] | Components of the Company’s deferred tax assets and liabilities as of December 31, 2014 and December 31, 2013 are as follows: | ||||||||||||||||||||
(in thousands) | December 31, | December 31, | |||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||
Derivative assets and liabilities | $ | 5,978 | $ | (45,740 | ) | ||||||||||||||||
Trading securities | (478 | ) | (1,380 | ) | |||||||||||||||||
Mortgage servicing rights | 4,494 | (846 | ) | ||||||||||||||||||
Other assets | 16 | — | |||||||||||||||||||
Other liabilities | 859 | — | |||||||||||||||||||
Capitalized start-up and organizational costs | 277 | 515 | |||||||||||||||||||
Alternative minimum tax credit | 98 | — | |||||||||||||||||||
Net operating loss carryforward | 9,448 | 7,986 | |||||||||||||||||||
Capital loss carryforward | 20,155 | 51 | |||||||||||||||||||
Total net deferred tax assets (liabilities) | $ | 40,847 | $ | (39,414 | ) | ||||||||||||||||
Earnings_Per_Share_Tables
Earnings Per Share (Tables) | 12 Months Ended | |||||||||||
Dec. 31, 2014 | ||||||||||||
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 years ended December 31, 2014, 2013 and 2012: | |||||||||||
Year Ended December 31, | ||||||||||||
(in thousands, except share data) | 2014 | 2013 | 2012 | |||||||||
Numerator: | ||||||||||||
Net income from continuing operations | $ | 167,139 | $ | 575,040 | $ | 287,416 | ||||||
Income (loss) from discontinued operations | — | 3,999 | 4,490 | |||||||||
Net income | $ | 167,139 | $ | 579,039 | $ | 291,906 | ||||||
Denominator: | ||||||||||||
Weighted average common shares outstanding | 364,181,059 | 349,741,902 | 241,975,433 | |||||||||
Weighted average restricted stock shares | 1,830,796 | 619,925 | 39,318 | |||||||||
Basic weighted average shares outstanding | 366,011,855 | 350,361,827 | 242,014,751 | |||||||||
Dilutive weighted average warrants | — | 630,560 | 417,405 | |||||||||
Diluted weighted average shares outstanding | 366,011,855 | 350,992,387 | 242,432,156 | |||||||||
Basic Earnings (Loss) Per Share: | ||||||||||||
Continuing operations | $ | 0.46 | $ | 1.64 | $ | 1.19 | ||||||
Discontinued operations | — | 0.01 | 0.02 | |||||||||
Net income | $ | 0.46 | $ | 1.65 | $ | 1.21 | ||||||
Diluted Earnings (Loss) Per Share: | ||||||||||||
Continuing operations | $ | 0.46 | $ | 1.64 | $ | 1.18 | ||||||
Discontinued operations | — | 0.01 | 0.02 | |||||||||
Net income | $ | 0.46 | $ | 1.65 | $ | 1.2 | ||||||
Quarterly_Financial_Data_Table
Quarterly Financial Data (Tables) | 12 Months Ended | |||||||||||||||
Dec. 31, 2014 | ||||||||||||||||
Quarterly Financial Data [Abstract] | ||||||||||||||||
Schedule of Quarterly Financial Information [Table Text Block] | ||||||||||||||||
2014 Quarter Ended | ||||||||||||||||
(in thousands, except share data) | 31-Mar | 30-Jun | 30-Sep | 31-Dec | ||||||||||||
Total interest income | $ | 138,535 | $ | 140,149 | $ | 142,303 | $ | 156,220 | ||||||||
Total interest expense | 26,078 | 24,950 | 24,718 | 31,704 | ||||||||||||
Net interest income | 112,457 | 115,199 | 117,585 | 124,516 | ||||||||||||
Other-than-temporary impairment losses | (212 | ) | — | — | (180 | ) | ||||||||||
Total other (loss) income | (143,422 | ) | (65,432 | ) | 111,697 | (143,210 | ) | |||||||||
Total expenses | 31,870 | 33,370 | 40,550 | 29,807 | ||||||||||||
Benefit from income taxes | (33,902 | ) | (23,260 | ) | (4,858 | ) | (11,718 | ) | ||||||||
Net (loss) income from continuing operations | (29,145 | ) | 39,657 | 193,590 | (36,963 | ) | ||||||||||
Income from discontinued operations | — | — | — | — | ||||||||||||
Net (loss) income | $ | (29,145 | ) | $ | 39,657 | $ | 193,590 | $ | (36,963 | ) | ||||||
Basic (loss) earnings per weighted average share: | ||||||||||||||||
Continuing operations | $ | (0.08 | ) | $ | 0.11 | $ | 0.53 | $ | (0.10 | ) | ||||||
Discontinued operations | — | — | — | — | ||||||||||||
Net (loss) income | $ | (0.08 | ) | $ | 0.11 | $ | 0.53 | $ | (0.10 | ) | ||||||
Diluted (loss) earnings per weighted average share: | ||||||||||||||||
Continuing operations | $ | (0.08 | ) | $ | 0.11 | $ | 0.53 | $ | (0.10 | ) | ||||||
Discontinued operations | — | — | — | — | ||||||||||||
Net (loss) income | $ | (0.08 | ) | $ | 0.11 | $ | 0.53 | $ | (0.10 | ) | ||||||
2013 Quarter Ended | ||||||||||||||||
(in thousands, except share data) | 31-Mar | 30-Jun | 30-Sep | 31-Dec | ||||||||||||
Total interest income | $ | 134,835 | $ | 145,325 | $ | 137,974 | $ | 137,457 | ||||||||
Total interest expense | 23,836 | 24,722 | 24,927 | 26,922 | ||||||||||||
Net interest income | 110,999 | 120,603 | 113,047 | 110,535 | ||||||||||||
Other-than-temporary impairment losses | (236 | ) | (1,426 | ) | — | — | ||||||||||
Total other income (loss) | 49,890 | 339,640 | (258,742 | ) | 162,021 | |||||||||||
Total expenses | 13,350 | 22,077 | 24,178 | 27,275 | ||||||||||||
Provision for income taxes | 4,964 | 49,119 | 23,726 | 6,602 | ||||||||||||
Net income (loss) from continuing operations | 142,339 | 387,621 | (193,599 | ) | 238,679 | |||||||||||
Income from discontinued operations | 1,377 | 1,016 | 871 | 735 | ||||||||||||
Net income (loss) | $ | 143,716 | $ | 388,637 | $ | (192,728 | ) | $ | 239,414 | |||||||
Basic earnings (loss) per weighted average share: | ||||||||||||||||
Continuing operations | $ | 0.47 | $ | 1.06 | $ | (0.53 | ) | $ | 0.66 | |||||||
Discontinued operations | — | — | — | — | ||||||||||||
Net income (loss) | $ | 0.47 | $ | 1.06 | $ | (0.53 | ) | $ | 0.66 | |||||||
Diluted earnings (loss) per weighted average share: | ||||||||||||||||
Continuing operations | $ | 0.47 | $ | 1.06 | $ | (0.53 | ) | $ | 0.66 | |||||||
Discontinued operations | — | — | — | — | ||||||||||||
Net income (loss) | $ | 0.47 | $ | 1.06 | $ | (0.53 | ) | $ | 0.66 | |||||||
Basis_of_Presentation_and_Sign3
Basis of Presentation and Significant Accounting Policies Offsetting Assets and Liabilities (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Federal Funds Purchased and Securities Sold under Agreements to Repurchase [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amount of Recognized Assets (Liabilities) | ($12,932,463) | ($12,250,450) |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheets | -12,932,463 | -12,250,450 |
Gross Amounts of Financial Instruments Not Offset in the Consolidated Balance Sheets | 12,932,463 | 12,250,450 |
Gross Amounts of Cash Collateral Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 0 | 0 |
Derivative Financial Instruments, Liabilities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amount of Recognized Assets (Liabilities) | -152,932 | -44,272 |
Gross Amounts Offset in the Consolidated Balance Sheets | 62,699 | 22,191 |
Net Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheets | -90,233 | -22,081 |
Gross Amounts of Financial Instruments Not Offset in the Consolidated Balance Sheets | 90,233 | 22,081 |
Gross Amounts of Cash Collateral Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 0 | 0 |
Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amount of Recognized Assets (Liabilities) | -13,085,395 | -12,294,722 |
Gross Amounts Offset in the Consolidated Balance Sheets | 62,699 | 22,191 |
Net Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheets | -13,022,696 | -12,272,531 |
Gross Amounts of Financial Instruments Not Offset in the Consolidated Balance Sheets | 13,022,696 | 12,272,531 |
Gross Amounts of Cash Collateral Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 0 | 0 |
Derivative Financial Instruments, Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amount of Recognized Assets (Liabilities) | 443,490 | 572,050 |
Gross Amounts Offset in the Consolidated Balance Sheets | -62,699 | -22,191 |
Net Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 380,791 | 549,859 |
Gross Amounts of Financial Instruments Not Offset in the Consolidated Balance Sheets | -90,233 | -22,081 |
Gross Amounts of Cash Collateral Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | 290,558 | 527,778 |
Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amount of Recognized Assets (Liabilities) | 443,490 | 572,050 |
Gross Amounts Offset in the Consolidated Balance Sheets | -62,699 | -22,191 |
Net Amount of Assets (Liabilities) Presented in the Consolidated Balance Sheets | 380,791 | 549,859 |
Gross Amounts of Financial Instruments Not Offset in the Consolidated Balance Sheets | -90,233 | -22,081 |
Gross Amounts of Cash Collateral Not Offset in the Consolidated Balance Sheets | 0 | 0 |
Net Amount | $290,558 | $527,778 |
Variable_Interest_Entities_Det
Variable Interest Entities (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Assets | $1,754,943 | $796,896 |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 1,219,821 | 644,051 |
Loans Held-for-investment, Mortgages [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 1,744,746 | 792,390 |
Accrued Income Receivable [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 10,197 | 4,506 |
Assets, Total [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 1,754,943 | 796,896 |
Borrowings [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 1,209,663 | 639,731 |
Accrued Liabilities [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 3,678 | 1,596 |
Accounts Payable [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 6,480 | 2,724 |
Liabilities, Total [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | $1,219,821 | $644,051 |
Discontinued_Operations_Detail
Discontinued Operations (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | |||||||||||
Discontinued Operation, Amount of Adjustment to Prior Period Gain (Loss) on Disposal, Net of Tax | $0 | $3,861 | |||||||||
Discontinued Operation, Gain (Loss) on Disposal of Discontinued Operation, Net of Tax | 0 | 0 | 10,641 | ||||||||
Disposal Group, Including Discontinued Operation, Revenue | 0 | 0 | 2,730 | ||||||||
Disposal Group, Including Discontinued Operation, Gross Profit (Loss) | 0 | 3,861 | 13,371 | ||||||||
Disposal Group, Including Discontinued Operation, Management Fees | 0 | 0 | 1,579 | ||||||||
Disposal Group, Including Discontinued Operation, Real Estate Related Expenses | 0 | 0 | 4,731 | ||||||||
Disposal Group, Including Discontinued Operation, Operating Expense | 0 | -138 | 2,571 | ||||||||
Disposal Group, Including Discontinued Operation, Total Expenses | 0 | -138 | 8,881 | ||||||||
Income (loss) from discontinued operations | $0 | $0 | $0 | $0 | $735 | $871 | $1,016 | $1,377 | $0 | $3,999 | $4,490 |
Discontinued_Operations_Discon
Discontinued Operations Discontinued Operations, Related Party Transactions (Details) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Income Statement, Balance Sheet and Additional Disclosures by Disposal Groups, Including Discontinued Operations [Line Items] | |||
Discontinued Operation, Future Gain (Loss) on Disposal of Discontinued Operation, Net of Tax | $4,000 | ||
Reduction of Future Management Fees | 4,300 | ||
Discontinued Operation, Amount of Adjustment to Prior Period Gain (Loss) on Disposal, Net of Tax | 0 | 3,861 | |
Reduction of Mangement Fees | 4,300 | ||
Disposal Group, Including Discontinued Operation, Operating Expense | $0 | $138 | ($2,571) |
AvailableforSale_Securities_at2
Available-for-Sale Securities, at Fair Value (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | $14,341,102 | $12,256,727 |
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 | 2,418,546 | 2,977,291 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | 6,768,875 | 4,435,820 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | 2,104,896 | 2,084,298 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | $3,048,785 | $2,759,318 |
AvailableforSale_Securities_Pl
Available-for-Sale Securities Pledged as Collateral (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Available-for-sale Securities [Abstract] | ||
Available-for-sale Securities Pledged as Collateral | $14,159,315 | $12,295,302 |
Schedule_of_AvailableforSale_S
Schedule of Available-for-Sale Securities Reconciliation (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Face Value | $17,713,427 | $16,393,943 |
Available-for-sale Securities, Unamortized Premium | 676,641 | 621,279 |
Available-for-sale Securities, Designated Credit Reserve | -927,605 | -1,234,449 |
Available-for-sale Securities, Net, Unamortized | -3,977,150 | -3,968,781 |
Available-for-sale Securities, Amortized Cost Basis | 13,485,313 | 11,811,992 |
Available-for-sale Securities, Unrealized Gains | 891,820 | 697,779 |
Available-for-sale Securities, Unrealized Losses | -36,031 | -253,044 |
Available-for-sale securities, at fair value | 14,341,102 | 12,256,727 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Face Value | 13,421,555 | 11,919,590 |
Available-for-sale Securities, Unamortized Premium | 676,641 | 621,279 |
Available-for-sale Securities, Designated Credit Reserve | 0 | 0 |
Available-for-sale Securities, Net, Unamortized | -3,009,782 | -2,897,222 |
Available-for-sale Securities, Amortized Cost Basis | 11,088,414 | 9,643,647 |
Available-for-sale Securities, Unrealized Gains | 238,291 | 102,600 |
Available-for-sale Securities, Unrealized Losses | -34,388 | -248,838 |
Available-for-sale securities, at fair value | 11,292,317 | 9,497,409 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Face Value | 4,291,872 | 4,474,353 |
Available-for-sale Securities, Unamortized Premium | 0 | 0 |
Available-for-sale Securities, Designated Credit Reserve | -927,605 | -1,234,449 |
Available-for-sale Securities, Net, Unamortized | -967,368 | -1,071,559 |
Available-for-sale Securities, Amortized Cost Basis | 2,396,899 | 2,168,345 |
Available-for-sale Securities, Unrealized Gains | 653,529 | 595,179 |
Available-for-sale Securities, Unrealized Losses | -1,643 | -4,206 |
Available-for-sale securities, at fair value | $3,048,785 | $2,759,318 |
AvailableforSale_Securities_Cl
Available-for-Sale Securities Classified by Rate Type (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | $14,341,102 | $12,256,727 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Adjustable Rate | 128,285 | 1,006,621 |
Available-for-sale Securities, Fixed Rate | 11,164,032 | 8,490,788 |
Available-for-sale securities, at fair value | 11,292,317 | 9,497,409 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Adjustable Rate | 2,558,832 | 2,403,078 |
Available-for-sale Securities, Fixed Rate | 489,953 | 356,240 |
Available-for-sale securities, at fair value | 3,048,785 | 2,759,318 |
Collateralized Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Adjustable Rate | 2,687,117 | 3,409,699 |
Available-for-sale Securities, Fixed Rate | 11,653,985 | 8,847,028 |
Available-for-sale securities, at fair value | $14,341,102 | $12,256,727 |
Schedule_of_AvailableforSale_S1
Schedule of Available-for-Sale Securities Reconciliation, Non-Agency Unamortized Net Discount and Designated Credit Reserves (Details) (Mortgage-backed Securities, Issued by Private Enterprises [Member], USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Available-for-sale Securities, Designated Credit Reserve [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Unamortized Discount, Beginning Balance | ($1,234,449) | ($1,290,946) |
Available-for-sale Securities, Unamortized Discount, Acquisitions | -77,506 | -179,678 |
Available-for-sale Securities, Unamortized Discount, Accretion | 0 | 886 |
Available-for-sale Securities, Unamortized Discount, Credit Losses | -16,528 | -33,130 |
Available-for-sale Securities, Unamortized Discount, Other-than-temporary Impairment Adjustment | -392 | -1,662 |
Available-for-sale Securities, Unamortized Discount, Transfers | 115,894 | 97,101 |
Available-for-sale Securities, Unamortized Discount, Sales, Calls and Other | -252,320 | -106,720 |
Available-for-sale Securities, Unamortized Discount, Ending Balance | -927,605 | -1,234,449 |
Available-for-sale Securities, Net, Unamortized [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Unamortized Discount, Beginning Balance | -1,071,559 | -996,490 |
Available-for-sale Securities, Unamortized Discount, Acquisitions | -58,007 | -369,651 |
Available-for-sale Securities, Unamortized Discount, Accretion | 127,352 | 142,321 |
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 | -115,894 | -97,101 |
Available-for-sale Securities, Unamortized Discount, Sales, Calls and Other | -150,740 | -249,362 |
Available-for-sale Securities, Unamortized Discount, Ending Balance | -967,368 | -1,071,559 |
Available-for-sale Securities, Unamortized Discount [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Unamortized Discount, Beginning Balance | -2,306,008 | -2,287,436 |
Available-for-sale Securities, Unamortized Discount, Acquisitions | -135,513 | -549,329 |
Available-for-sale Securities, Unamortized Discount, Accretion | 127,352 | 143,207 |
Available-for-sale Securities, Unamortized Discount, Credit Losses | -16,528 | -33,130 |
Available-for-sale Securities, Unamortized Discount, Other-than-temporary Impairment Adjustment | -392 | -1,662 |
Available-for-sale Securities, Unamortized Discount, Transfers | 0 | 0 |
Available-for-sale Securities, Unamortized Discount, Sales, Calls and Other | -403,060 | -356,082 |
Available-for-sale Securities, Unamortized Discount, Ending Balance | ($1,894,973) | ($2,306,008) |
AvailableforSale_Securities_at3
Available-for-Sale Securities, at Fair Value Schedule of Unrealized Loss on Investments (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-Sale Securities, Number of Positions | 1,452 | 1,431 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | 57 | 447 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | 172 | 114 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $413,102 | $4,902,813 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | -3,146 | -171,651 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 1,323,688 | 1,186,692 |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | -32,885 | -81,393 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 1,736,790 | 6,089,505 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | ($36,031) | ($253,044) |
AvailableforSale_Securities_at4
Available-for-Sale Securities, at Fair Value Other than Temporary Impairment, Credit Losses Recognized in Earnings (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 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 | ($180) | $0 | $0 | ($212) | $0 | $0 | ($1,426) | ($236) | ($392) | ($1,662) | ($10,952) |
Other than Temporary Impairment Losses, Investments, Number, Available-for-sale Securities | 3 | 4 | 33 | ||||||||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Market Value | 161,134 | 161,134 | |||||||||
Available-for-sale Securities, Weighted Average Cumulative Losses | 10.90% | 10.90% | |||||||||
Available-for-sale Securities, Weighted Average Three-Month Prepayment Speed | 0.037 | 0.037 | |||||||||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures, Delinquency Rate | 29.70% | ||||||||||
Available-for-sale Securities, Weighted Average FICO Score | 664 | 664 | |||||||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Credit Losses on Debt Securities Held, Beginning Balance | -9,467 | -15,561 | -9,467 | -15,561 | -5,102 | ||||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Additions, No Previous Impairment | -91 | 0 | -9,537 | ||||||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Additions, Additional Credit Losses | -301 | -1,662 | -1,415 | ||||||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Cash Flows | 464 | 1,677 | 250 | ||||||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Securities Sold | 1,154 | 6,079 | 243 | ||||||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Credit Losses on Debt Securities Held, Ending Balance | ($8,241) | ($9,467) | ($8,241) | ($9,467) | ($15,561) |
AvailableforSale_Securities_at5
Available-for-Sale Securities, at Fair Value Schedule of Realized Gain (Loss) (Details) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Gross Realized Gains (Losses), Sale Proceeds | $3,479,329 | $4,432,696 | $3,411,580 |
Available-for-sale Securities, Gross Realized Gains (Losses), Amortized Cost Sold | 3,394,914 | 4,497,205 | 3,298,689 |
Available-for-sale Securities, Gross Realized Gains | 162,235 | 202,112 | 115,750 |
Available-for-sale Securities, Gross Realized Losses | -77,820 | -266,620 | -2,859 |
Available-for-sale Securities, Gross Realized Gain (Loss) | $84,415 | ($64,508) | $112,891 |
Trading_Securities_at_Fair_Val1
Trading Securities, at Fair Value (Details) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Trading Securities, Cost | $1,996,289 | $996,121 | |
Trading securities, at fair value | 1,997,656 | 1,000,180 | |
Trading Securities, Gross Unrealized Gain (Loss) | 1,367 | 4,059 | |
Proceeds from sales of trading securities | 1,145,410 | 1,000,946 | 1,001,904 |
Trading Securities, Amortized Cost Sold | 1,139,932 | 997,899 | 1,000,207 |
Trading Securities, Realized Gain (Loss) | 5,478 | 3,047 | 1,697 |
Trading Securities, Change in Unrealized Holding Gain (Loss) | -2,692 | -990 | 1,996 |
Assets Sold under Agreements to Repurchase, Market Value | 14,599,240 | 13,950,459 | |
US Treasury Securities [Member] | |||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||
Assets Sold under Agreements to Repurchase, Market Value | $1,997,656 | $1,000,180 |
Mortgage_Loans_HeldforSale_at_2
Mortgage Loans Held-for-Sale, at Fair Value (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
In Thousands, unless otherwise specified | ||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Loans Held-for-sale, Mortgages, Unpaid Principal | $534,101 | $680,840 | ||
Loans Held-for-sale, Mortgages, Fair Value Adjustment | 1,611 | -136,259 | ||
Mortgage loans held-for-sale, at fair value | 535,712 | 544,581 | 58,607 | 5,782 |
Loans Pledged as Collateral | $416,779 | $200,839 |
Mortgage_Loans_HeldforInvestme2
Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Mortgage Loans Held-for-Invesment, Unpaid Principal | $1,699,748 | $812,538 |
Mortgage Loans Held-for-Investment, Fair Value Adjustment | 44,998 | -20,148 |
Mortgage loans held-for-investment in securitization trusts, at fair value | $1,744,746 | $792,390 |
Rollforward_of_Mortgage_Servic
Rollforward of Mortgage Servicing Rights, at Fair Value (Details) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Servicing Assets at Fair Value [Line Items] | |||
Mortgage servicing rights, beginning balance | $514,402 | $0 | |
Servicing Asset at Fair Value, Additions | 67,533 | 500,521 | |
Servicing Asset at Fair Value, Additions from Sale of Mortgage Loans | 288 | 0 | 0 |
Servicing Asset at Fair Value, Changes in Fair Value Resulting from Changes in Valuation Inputs or Changes in Assumptions | -73,573 | 20,651 | |
Servicing Asset at Fair Value, Other Changes in Fair Value | -54,815 | -6,770 | |
Servicing Asset at Fair Value, Other Changes that Affect Balance | -1,829 | 0 | |
Mortgage servicing rights, ending balance | $452,006 | $514,402 | $0 |
Schedule_of_Mortgage_Servicing
Schedule of Mortgage Servicing Rights Sensitivity Analysis of Fair Value (Details) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Fair Value Inputs, Prepayment Rate | 11.90% | 9.50% |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 10 Percent Adverse Change in Prepayment Speed | ($14,012) | ($19,305) |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 20 Percent Adverse Change in Prepayment Speed | -31,640 | -37,187 |
Fair Value Inputs, Probability of Default | 5.60% | 4.00% |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 10 Percent Adverse Change in Other Assumption | -3,616 | -8,835 |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 20 Percent Adverse Change in Other Assumption | -6,780 | -17,642 |
Fair Value Inputs, Discount Rate | 9.50% | 9.00% |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 10 Percent Adverse Change in Discount Rate | -16,272 | -21,037 |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 20 Percent Adverse Change in Discount Rate | ($31,640) | ($40,642) |
Servicing_Activities_Component
Servicing Activities Components of Servicing Revenue (Details) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Components of Servicing Revenue [Line Items] | |||
Contractually Specified Servicing Fees, Amount | $125,061 | $11,807 | |
Ancillary Fee Income Generated by Servicing Financial Assets, Amount | 2,210 | 204 | |
Float Income Generated by Servicing Financial Assets, Amount | 889 | 0 | |
Contractually Specified Servicing Fees, Late Fees, and Ancillary Fees Earned in Exchange for Servicing Financial Assets | 128,160 | 12,011 | 0 |
Servicing advances | $27,490 | $7,298 |
Servicing_Activities_Serviced_
Servicing Activities Serviced Mortgage Assets (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Continuing Involvement with Continued to be Recognized Transferred Financial Assets, Amount Outstanding | $45,841,620 | $43,430,377 |
Continuing Involvement with Continued to be Recognized Transferred Financial Assets, Number of Loans | 225,568 | 213,868 |
Loans Held-for-sale, Mortgages [Member] | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Continuing Involvement with Continued to be Recognized Transferred Financial Assets, Amount Outstanding | 534,101 | 680,840 |
Continuing Involvement with Continued to be Recognized Transferred Financial Assets, Number of Loans | 1,008 | 2,890 |
Loans Held-for-investment, Mortgages [Member] | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Continuing Involvement with Continued to be Recognized Transferred Financial Assets, Amount Outstanding | 358,458 | 425,209 |
Continuing Involvement with Continued to be Recognized Transferred Financial Assets, Number of Loans | 487 | 537 |
Servicing Contracts [Member] | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Continuing Involvement with Continued to be Recognized Transferred Financial Assets, Amount Outstanding | $44,949,061 | $42,324,328 |
Continuing Involvement with Continued to be Recognized Transferred Financial Assets, Number of Loans | 224,073 | 210,441 |
Restricted_Cash_Details
Restricted Cash (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
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 | $12,000 | $9,000 |
Restricted Cash and Cash equivalents Held by Broker Counterparties For Derivatives Trading Activity | 211,989 | 191,107 |
Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings | 112,435 | 201,194 |
Restricted Cash and Cash Equivalents Held by Broker Counterparties or Pledged as Collateral for Borrowings | 336,424 | 401,301 |
Restricted Cash and Cash Equivalents, Noncurrent | 347 | 346 |
Restricted Cash and Cash Equivalents | $336,771 | $401,647 |
Accrued_Interest_Receivable_De
Accrued Interest Receivable (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | $65,529 | $50,303 |
Loans Held-for-sale, Mortgages [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 1,997 | 4,136 |
Loans Held-for-investment, Mortgages [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 10,197 | 4,506 |
US Treasury Securities [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 8,084 | 2,361 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 8,734 | 10,583 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 22,392 | 15,034 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 10,290 | 10,007 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 3,835 | 3,676 |
Available-for-sale Securities [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | $45,251 | $39,300 |
Schedule_of_Derivative_Instrum
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | $48,115,523 | $37,366,610 | $22,377,656 |
Derivative Financial Instruments, Assets [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | 380,791 | 549,859 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 36,315,523 | 30,383,908 | |
Derivative Financial Instruments, Liabilities [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | -90,233 | -22,081 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 16,200,000 | 10,876,702 | |
Inverse Interest-Only Securities [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 1,168,226 | 1,525,845 | 1,909,351 |
Inverse Interest-Only Securities [Member] | Derivative Financial Instruments, Assets [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | 188,592 | 221,364 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 1,168,226 | 1,525,845 | |
Inverse Interest-Only Securities [Member] | Derivative Financial Instruments, Liabilities [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | 0 | 0 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 0 | 0 | |
Interest Rate Swap [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 18,584,000 | 19,619,000 | 14,070,000 |
Interest Rate Swap [Member] | Derivative Financial Instruments, Assets [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | 55,471 | 25,325 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 9,569,000 | 19,619,000 | |
Interest Rate Swap [Member] | Derivative Financial Instruments, Liabilities [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | -65,392 | 0 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 9,015,000 | 0 | |
Credit Default Swap [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 125,000 | 427,073 | 438,440 |
Credit Default Swap [Member] | Derivative Financial Instruments, Assets [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | 0 | 0 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 0 | 0 | |
Credit Default Swap [Member] | Derivative Financial Instruments, Liabilities [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | -1,672 | -18,049 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 125,000 | 427,073 | |
Interest Rate Swaption [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 12,410,000 | 5,130,000 | 4,950,000 |
Interest Rate Swaption [Member] | Derivative Financial Instruments, Assets [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | 121,591 | 269,745 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 9,550,000 | 5,130,000 | |
Interest Rate Swaption [Member] | Derivative Financial Instruments, Liabilities [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | -4,999 | 0 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 2,860,000 | 0 | |
Forward Contracts [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 1,325,000 | 603,000 | 953,000 |
Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | 10,350 | 33,425 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 875,000 | 4,097,000 | |
Forward Contracts [Member] | Derivative Financial Instruments, Liabilities [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | -17,687 | -125 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 2,200,000 | 400,000 | |
Options Held [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 2,000,000 | 0 | 0 |
Options Held [Member] | Derivative Financial Instruments, Assets [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | 90 | ||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 2,000,000 | ||
Options Held [Member] | Derivative Financial Instruments, Liabilities [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | 0 | ||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 0 | ||
Swap [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | -3,773 | ||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 14,000,000 | 10,000,000 | 0 |
Swap [Member] | Derivative Financial Instruments, Assets [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | 2,013 | 0 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 12,000,000 | 0 | |
Swap [Member] | Derivative Financial Instruments, Liabilities [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | -483 | -3,773 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 2,000,000 | 10,000,000 | |
Total Return Swap [Member] | |||
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 598,459 | 49,629 | 0 |
Total Return Swap [Member] | Derivative Financial Instruments, Assets [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | 1,387 | 0 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 598,459 | 0 | |
Total Return Swap [Member] | Derivative Financial Instruments, Liabilities [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | 0 | -134 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 0 | 49,629 | |
Forward Purchase Commitments [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | 1,297 | 0 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | 554,838 | 12,063 | 56,865 |
Forward Purchase Commitments [Member] | Derivative Financial Instruments, Liabilities [Member] | |||
Derivative, Fair Value, Net [Abstract] | |||
Derivative, Fair Value, Net | 0 | 0 | |
Notional Disclosures [Abstract] | |||
Derivative, Notional Amount | $0 | $0 |
Schedule_of_Derivative_Instrum1
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | ($17,529) | $95,345 | ($40,906) |
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments | -345,647 | 245,229 | -159,775 |
Gain (loss) on mortgage loans held-for-sale | 17,297 | -33,846 | 2,270 |
Trading Gain (Loss) | -358,447 | 320,559 | -198,311 |
Forward Sale Commitments [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (loss) on mortgage loans held-for-sale | 0 | 0 | -26 |
Agency To-be-Announced Securities, Non-Risk Management [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | -4,701 | 38,297 | 0 |
Inverse Interest-Only Securities [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | 55,028 | -13,415 | 41,706 |
Credit Default Swap, Buying Protection [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | 0 | 0 | 11,988 |
Forward Purchase Commitments [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (loss) on mortgage loans held-for-sale | 4,729 | -20,015 | 2,396 |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Forward Contracts [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | -69,921 | 151,021 | -30,897 |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Options Held [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | -14,070 | 7,798 | 0 |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Swap [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | 6,340 | -11,438 | 0 |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Short US Treasury Securities [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | -8 | -991 | -1,768 |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Interest Rate Swaption [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments | -242,795 | 123,033 | -35,012 |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Total Return Swap [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | 8,061 | -1,087 | 0 |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Short [Member] | Interest Rate Swap [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments | 201,536 | -14,472 | 0 |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Interest Rate Swap [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments | -114,121 | 6,400 | -13,056 |
Interest Rate Risk Associated with Borrowings [Member] | Long [Member] | Interest Rate Swap [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments | -190,267 | 130,268 | -111,707 |
Credit Risk [Member] | Credit Default Swap, Selling Protection [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | $1,742 | ($74,840) | ($61,935) |
Derivative_Instruments_and_Hed2
Derivative Instruments and Hedging Activities Interest Spread on Interest Rate Swaps (Details) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Average Notional Amount | $48,367,024 | $34,518,856 | |
Interest Rate Swap [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Interest Expense on Interest Rate Swap and Swaption Agreements | -91,754 | -58,522 | -38,448 |
Derivative, Average Notional Amount | $23,329,504 | $16,965,918 | $9,891,749 |
Schedule_of_Notional_Amounts_o
Schedule of Notional Amounts of Derivative Positions (Details) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount, Beginning Balance | ($37,366,610) | ($22,377,656) | |
Derivative, Notional Amount, Additions | 83,937,800 | 68,614,416 | |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | -73,188,887 | -53,625,462 | |
Derivative, Notional Amount, Ending Balance | -48,115,523 | -37,366,610 | |
Derivative, Average Notional Amount | 48,367,024 | 34,518,856 | |
Gain (Loss) on Sale of Derivatives | -111,750 | 96,312 | |
Inverse Interest-Only Securities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount, Beginning Balance | -1,525,845 | -1,909,351 | |
Derivative, Notional Amount, Additions | 29,372 | 245,260 | |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | -386,991 | -628,766 | |
Derivative, Notional Amount, Ending Balance | -1,168,226 | -1,525,845 | |
Derivative, Average Notional Amount | 1,324,581 | 1,782,306 | |
Gain (Loss) on Sale of Derivatives | 414 | 0 | |
Interest Rate Swap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount, Beginning Balance | -19,619,000 | -14,070,000 | |
Derivative, Notional Amount, Additions | 24,215,598 | 27,787,000 | |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | -25,250,598 | -22,238,000 | |
Derivative, Notional Amount, Ending Balance | -18,584,000 | -19,619,000 | -14,070,000 |
Derivative, Average Notional Amount | 23,329,504 | 16,965,918 | 9,891,749 |
Gain (Loss) on Sale of Derivatives | -803 | 41,096 | |
Credit Default Swap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount, Beginning Balance | -427,073 | -438,440 | |
Derivative, Notional Amount, Additions | 0 | 2,500,000 | |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | -302,073 | -2,511,367 | |
Derivative, Notional Amount, Ending Balance | -125,000 | -427,073 | |
Derivative, Average Notional Amount | 138,418 | 1,031,857 | |
Gain (Loss) on Sale of Derivatives | -13,705 | -53,154 | |
Interest Rate Swaption [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount, Beginning Balance | -5,130,000 | -4,950,000 | |
Derivative, Notional Amount, Additions | 15,860,000 | 420,000 | |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | -8,580,000 | -240,000 | |
Derivative, Notional Amount, Ending Balance | -12,410,000 | -5,130,000 | |
Derivative, Average Notional Amount | 9,460,438 | 5,592,274 | |
Gain (Loss) on Sale of Derivatives | -54,586 | -28,803 | |
Forward Contracts [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount, Beginning Balance | -603,000 | -953,000 | |
Derivative, Notional Amount, Additions | -10,882,000 | 2,734,000 | |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | 8,954,000 | -3,084,000 | |
Derivative, Notional Amount, Ending Balance | -1,325,000 | -603,000 | |
Derivative, Average Notional Amount | 827,140 | 677,180 | |
Gain (Loss) on Sale of Derivatives | -33,985 | 157,696 | |
Options Held [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount, Beginning Balance | 0 | 0 | |
Derivative, Notional Amount, Additions | 5,500,000 | 3,748,000 | |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | -3,500,000 | -3,748,000 | |
Derivative, Notional Amount, Ending Balance | -2,000,000 | 0 | |
Derivative, Average Notional Amount | 772,603 | 420,334 | |
Gain (Loss) on Sale of Derivatives | -13,555 | 7,798 | |
Swap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount, Beginning Balance | -10,000,000 | 0 | |
Derivative, Notional Amount, Additions | 46,000,000 | 31,000,000 | |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | -42,000,000 | -21,000,000 | |
Derivative, Notional Amount, Ending Balance | -14,000,000 | -10,000,000 | |
Derivative, Average Notional Amount | 11,715,068 | 7,972,527 | |
Gain (Loss) on Sale of Derivatives | 1,037 | -7,665 | |
Total Return Swap [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount, Beginning Balance | -49,629 | 0 | |
Derivative, Notional Amount, Additions | 586,550 | 50,574 | |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | -37,720 | -945 | |
Derivative, Notional Amount, Ending Balance | -598,459 | -49,629 | |
Derivative, Average Notional Amount | 437,604 | 12,313 | |
Gain (Loss) on Sale of Derivatives | 0 | 0 | |
Short US Treasury Securities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount, Beginning Balance | 0 | 0 | |
Derivative, Notional Amount, Additions | -125,000 | -400,000 | |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | 125,000 | 400,000 | |
Derivative, Notional Amount, Ending Balance | 0 | 0 | |
Derivative, Average Notional Amount | 342 | 6,658 | |
Gain (Loss) on Sale of Derivatives | 2 | -876 | |
Forward Purchase Commitments [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount, Beginning Balance | -12,063 | -56,865 | |
Derivative, Notional Amount, Additions | 2,753,280 | 529,582 | |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | -2,210,505 | -574,384 | |
Derivative, Notional Amount, Ending Balance | -554,838 | -12,063 | |
Derivative, Average Notional Amount | 361,326 | 57,489 | |
Gain (Loss) on Sale of Derivatives | $3,431 | ($19,780) |
Derivative_Instruments_and_Hed3
Derivative Instruments and Hedging Activities Interest Rate Sensitive Assets/Liabilities (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivatives, Fair Value [Line Items] | ||
Available-for-sale securities | $14,341,102 | $12,256,727 |
Interest-Only-Strip [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Available-for-sale securities | $55,686 | $75,575 |
Derivative_Instruments_and_Hed4
Derivative Instruments and Hedging Activities Schedule of TBA Contracts (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | ($48,115,523) | ($37,366,610) | ($22,377,656) |
Derivative Financial Instruments, Assets [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -36,315,523 | -30,383,908 | |
Derivative, Fair Value, Net | 380,791 | 549,859 | |
Derivative Financial Instruments, Liabilities [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -16,200,000 | -10,876,702 | |
Derivative, Fair Value, Net | -90,233 | -22,081 | |
Forward Contracts [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -1,325,000 | -603,000 | -953,000 |
Derivative, Cost | -1,431,945 | 790,392 | |
Derivative, Market Value | -1,439,282 | 823,693 | |
Forward Contracts [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -875,000 | -2,550,000 | |
Derivative, Cost | 862,868 | 2,749,648 | |
Derivative, Market Value | 873,218 | 2,767,295 | |
Forward Contracts [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -2,200,000 | -1,947,000 | |
Derivative, Cost | 2,294,813 | 1,959,256 | |
Derivative, Market Value | 2,312,500 | 1,943,602 | |
Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -875,000 | -4,097,000 | |
Derivative, Fair Value, Net | 10,350 | 33,425 | |
Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Derivative, Fair Value, Net | 10,350 | 17,771 | |
Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Derivative, Fair Value, Net | 0 | 15,654 | |
Forward Contracts [Member] | Derivative Financial Instruments, Liabilities [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -2,200,000 | -400,000 | |
Derivative, Fair Value, Net | -17,687 | -125 | |
Forward Contracts [Member] | Derivative Financial Instruments, Liabilities [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Derivative, Fair Value, Net | 0 | -125 | |
Forward Contracts [Member] | Derivative Financial Instruments, Liabilities [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Derivative, Fair Value, Net | -17,687 | 0 | |
Agency To-be-Announced Securities, Non-Risk Management [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -2,150,000 | ||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Forward Contracts [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -875,000 | -400,000 | |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Forward Contracts [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | ($2,200,000) | ($1,947,000) |
Derivative_Instruments_and_Hed5
Derivative Instruments and Hedging Activities Put and Call Options for TBAs (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $48,115,523 | $37,366,610 | $22,377,656 |
Derivative Financial Instruments, Assets [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 36,315,523 | 30,383,908 | |
Derivative, Fair Value, Net | 380,791 | 549,859 | |
Options Held [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 2,000,000 | 0 | 0 |
Options Held [Member] | Derivative Financial Instruments, Assets [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 2,000,000 | ||
Derivative, Fair Value, Net | 90 | ||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Options Held [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 2,000,000 | ||
Derivative, Cost | -605 | ||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Options Held [Member] | Derivative Financial Instruments, Assets [Member] | |||
Derivative [Line Items] | |||
Derivative, Fair Value, Net | $90 |
Derivative_Instruments_and_Hed6
Derivative Instruments and Hedging Activities Schedule of Constant Maturity Swaps (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $48,115,523 | $37,366,610 | $22,377,656 |
Swap [Member] | |||
Derivative [Line Items] | |||
Derivative, Average Strike Swap Rate | 0.82% | ||
Derivative, Notional Amount | 14,000,000 | 10,000,000 | 0 |
Derivative, Fair Value, Net | -3,773 | ||
Derivative, Cost | 0 | ||
Derivative, Unrealized Gains (Losses) | -3,773 | ||
Swap [Member] | Determination Date, February 2014 [Member] | |||
Derivative [Line Items] | |||
Derivative, Average Strike Swap Rate | 0.77% | ||
Derivative, Notional Amount | 3,000,000 | ||
Derivative, Fair Value, Net | 625 | ||
Derivative, Cost | 0 | ||
Derivative, Unrealized Gains (Losses) | 625 | ||
Swap [Member] | Determination Date, March 2014 [Member] | |||
Derivative [Line Items] | |||
Derivative, Average Strike Swap Rate | 0.85% | ||
Derivative, Notional Amount | 5,000,000 | ||
Derivative, Fair Value, Net | -3,171 | ||
Derivative, Cost | 0 | ||
Derivative, Unrealized Gains (Losses) | -3,171 | ||
Swap [Member] | Determination Date, June 2014 [Member] | |||
Derivative [Line Items] | |||
Derivative, Average Strike Swap Rate | 0.83% | ||
Derivative, Notional Amount | 2,000,000 | ||
Derivative, Fair Value, Net | -1,227 | ||
Derivative, Cost | 0 | ||
Derivative, Unrealized Gains (Losses) | -1,227 | ||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Swap [Member] | |||
Derivative [Line Items] | |||
Derivative, Average Strike Swap Rate | 0.55% | ||
Derivative, Notional Amount | 14,000,000 | ||
Derivative, Fair Value, Net | 1,530 | ||
Derivative, Cost | 0 | ||
Derivative, Unrealized Gains (Losses) | 1,530 | ||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Swap [Member] | Determination Date, January 2015 [Member] | |||
Derivative [Line Items] | |||
Derivative, Average Strike Swap Rate | 0.54% | ||
Derivative, Notional Amount | 7,000,000 | ||
Derivative, Fair Value, Net | 1,502 | ||
Derivative, Cost | 0 | ||
Derivative, Unrealized Gains (Losses) | 1,502 | ||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Swap [Member] | Determination Date, February 2015 [Member] | |||
Derivative [Line Items] | |||
Derivative, Average Strike Swap Rate | 0.57% | ||
Derivative, Notional Amount | 2,000,000 | ||
Derivative, Fair Value, Net | -13 | ||
Derivative, Cost | 0 | ||
Derivative, Unrealized Gains (Losses) | -13 | ||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Swap [Member] | Determination Date, March 2015 [Member] | |||
Derivative [Line Items] | |||
Derivative, Average Strike Swap Rate | 0.55% | ||
Derivative, Notional Amount | 5,000,000 | ||
Derivative, Fair Value, Net | 41 | ||
Derivative, Cost | 0 | ||
Derivative, Unrealized Gains (Losses) | $41 |
Derivative_Instruments_and_Hed7
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Payers Associated with the Investment Portfolio (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $48,115,523 | $37,366,610 | $22,377,656 |
Interest Rate Swap [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 18,584,000 | 19,619,000 | 14,070,000 |
Interest Rate Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 4,940,000 | 3,040,000 | |
Derivative, Average Fixed Interest Rate | 1.51% | 1.36% | |
Derivative, Average Variable Interest Rate | 0.24% | 0.24% | |
Derivative, Average Remaining Period Until Maturity | 3.8 | 4.2 | |
Interest Rate Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 900,000 | 2,040,000 | |
Derivative, Average Fixed Interest Rate | 2.38% | 1.56% | |
Derivative, Average Variable Interest Rate | 0.26% | 0.24% | |
Derivative, Average Remaining Period Until Maturity | 6.24 | 4.94 | |
Interest Rate Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 2,000,000 | 1,000,000 | |
Derivative, Average Fixed Interest Rate | 1.07% | 0.96% | |
Derivative, Average Variable Interest Rate | 0.23% | 0.24% | |
Derivative, Average Remaining Period Until Maturity | 2.54 | 2.67 | |
Interest Rate Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $2,040,000 | ||
Derivative, Average Fixed Interest Rate | 1.56% | ||
Derivative, Average Variable Interest Rate | 0.24% | ||
Derivative, Average Remaining Period Until Maturity | 3.94 |
Derivative_Instruments_and_Hed8
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Receivers Associated with the Investment Portfolio (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $48,115,523 | $37,366,610 | $22,377,656 |
Interest Rate Swap [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 18,584,000 | 19,619,000 | 14,070,000 |
Interest Rate Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 2,154,000 | 2,154,000 | |
Derivative, Average Variable Interest Rate | 2.43% | 2.34% | |
Derivative, Average Fixed Interest Rate | 0.24% | 0.24% | |
Derivative, Average Remaining Period Until Maturity | 7.77 | 7.84 | |
Interest Rate Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 1,579,000 | 2,154,000 | |
Derivative, Average Variable Interest Rate | 2.79% | 2.34% | |
Derivative, Average Fixed Interest Rate | 0.24% | 0.24% | |
Derivative, Average Remaining Period Until Maturity | 9.19 | 7.84 | |
Interest Rate Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | Short [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $575,000 | ||
Derivative, Average Variable Interest Rate | 1.44% | ||
Derivative, Average Fixed Interest Rate | 0.23% | ||
Derivative, Average Remaining Period Until Maturity | 3.89 |
Derivative_Instruments_and_Hed9
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaps Associated with Borrowings (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $48,115,523 | $37,366,610 | $22,377,656 |
Interest Rate Swap [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 18,584,000 | 19,619,000 | 14,070,000 |
Interest Rate Swap [Member] | Interest Rate Risk Associated with Borrowings [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 11,490,000 | 14,425,000 | |
Derivative, Average Fixed Interest Rate | 1.09% | 0.70% | |
Derivative, Average Variable Interest Rate | 0.25% | 0.24% | |
Derivative, Average Remaining Period Until Maturity | 2.92 | 2.5 | |
Interest Rate Swap [Member] | Interest Rate Risk Associated with Borrowings [Member] | Derivative Maturity Within One Year From Balance Sheet Date [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 3,900,000 | ||
Derivative, Average Fixed Interest Rate | 0.30% | ||
Derivative, Average Variable Interest Rate | 0.25% | ||
Derivative, Average Remaining Period Until Maturity | 0.76 | ||
Interest Rate Swap [Member] | Interest Rate Risk Associated with Borrowings [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 4,100,000 | 1,000,000 | |
Derivative, Average Fixed Interest Rate | 0.67% | 0.38% | |
Derivative, Average Variable Interest Rate | 0.25% | 0.24% | |
Derivative, Average Remaining Period Until Maturity | 1.65 | 1.04 | |
Interest Rate Swap [Member] | Interest Rate Risk Associated with Borrowings [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 5,285,000 | 2,950,000 | |
Derivative, Average Fixed Interest Rate | 1.06% | 0.63% | |
Derivative, Average Variable Interest Rate | 0.25% | 0.25% | |
Derivative, Average Remaining Period Until Maturity | 2.55 | 2.42 | |
Interest Rate Swap [Member] | Interest Rate Risk Associated with Borrowings [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 625,000 | 5,300,000 | |
Derivative, Average Fixed Interest Rate | 0.95% | 0.92% | |
Derivative, Average Variable Interest Rate | 0.23% | 0.22% | |
Derivative, Average Remaining Period Until Maturity | 3.08 | 3.49 | |
Interest Rate Swap [Member] | Interest Rate Risk Associated with Borrowings [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $1,480,000 | $1,275,000 | |
Derivative, Average Fixed Interest Rate | 2.41% | 1.41% | |
Derivative, Average Variable Interest Rate | 0.24% | 0.24% | |
Derivative, Average Remaining Period Until Maturity | 7.7 | 5.04 |
Recovered_Sheet1
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaptions (Details) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Derivative [Line Items] | |||
Derivative, Notional Amount | ($48,115,523) | ($37,366,610) | ($22,377,656) |
Interest Rate Swaption [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -12,410,000 | -5,130,000 | -4,950,000 |
Interest Rate Swaption [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Variable Income Interest Rate [Member] | |||
Derivative [Line Items] | |||
Derivative, Cost | -255,358 | -233,935 | |
Derivative Asset, Fair Value, Net | -130,120 | -363,566 | |
Derivative, Average Remaining Period Until Maturity | 56.62 | 38.16 | |
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 56.62 | 38.16 | |
Interest Rate Swaption [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Derivative, Cost | -10,431 | ||
Derivative Asset, Fair Value, Net | -10,458 | ||
Derivative, Average Remaining Period Until Maturity | 2.78 | ||
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 2.78 | ||
Interest Rate Swaption [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Derivative, Cost | -255,358 | -223,504 | |
Derivative Asset, Fair Value, Net | -130,120 | -353,108 | |
Derivative, Average Remaining Period Until Maturity | 56.62 | 39.14 | |
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 56.62 | 39.14 | |
Interest Rate Swaption [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Fixed Income Interest Rate [Member] | |||
Derivative [Line Items] | |||
Derivative, Cost | -10,715 | -3,991 | |
Derivative Asset, Fair Value, Net | -6,462 | -681 | |
Derivative, Average Remaining Period Until Maturity | 3.38 | 1.93 | |
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 3.38 | 1.93 | |
Interest Rate Swaption [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Derivative, Cost | -10,715 | -3,991 | |
Derivative Asset, Fair Value, Net | -6,462 | -681 | |
Derivative, Average Remaining Period Until Maturity | 3.38 | 1.93 | |
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 3.38 | 1.93 | |
Interest Rate Swaption [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Short [Member] | Variable Income Interest Rate [Member] | |||
Derivative [Line Items] | |||
Derivative, Cost | -81,248 | -84,703 | |
Derivative Asset, Fair Value, Net | -19,990 | -94,040 | |
Derivative, Average Remaining Period Until Maturity | 30.02 | 33.68 | |
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 30.02 | 33.68 | |
Interest Rate Swaption [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Short [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Derivative, Cost | -3,455 | ||
Derivative Asset, Fair Value, Net | -7,679 | ||
Derivative, Average Remaining Period Until Maturity | 1.93 | ||
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 1.93 | ||
Interest Rate Swaption [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Short [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Derivative, Cost | -81,248 | -81,248 | |
Derivative Asset, Fair Value, Net | -19,990 | -86,361 | |
Derivative, Average Remaining Period Until Maturity | 30.02 | 42.02 | |
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 30.02 | 42.02 | |
Interest Rate Swaption [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Short [Member] | Fixed Income Interest Rate [Member] | |||
Derivative [Line Items] | |||
Derivative, Cost | -3,455 | ||
Derivative Asset, Fair Value, Net | -462 | ||
Derivative, Average Remaining Period Until Maturity | 1.93 | ||
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 1.93 | ||
Interest Rate Swaption [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Derivative, Cost | -3,455 | ||
Derivative Asset, Fair Value, Net | -462 | ||
Derivative, Average Remaining Period Until Maturity | 1.93 | ||
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 1.93 | ||
Underlying Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Variable Income Interest Rate [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -8,210,000 | -6,675,000 | |
Derivative, Average Remaining Period Until Maturity | 7.4 | 9.1 | |
Derivative, Average Fixed Interest Rate | 4.12% | 4.18% | |
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | |
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 7.4 | 9.1 | |
Underlying Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -675,000 | ||
Derivative, Average Remaining Period Until Maturity | 10 | ||
Derivative, Average Fixed Interest Rate | 3.33% | ||
Derivative, Description of Variable Reference Rate | 3M Libor | ||
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 10 | ||
Underlying Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -8,210,000 | -6,000,000 | |
Derivative, Average Remaining Period Until Maturity | 7.4 | 9 | |
Derivative, Average Fixed Interest Rate | 4.12% | 4.27% | |
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | |
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 7.4 | 9 | |
Underlying Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Fixed Income Interest Rate [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -5,000,000 | -275,000 | |
Derivative, Average Remaining Period Until Maturity | 5 | 10 | |
Derivative, Average Fixed Interest Rate | 1.35% | 2.89% | |
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | |
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 5 | 10 | |
Underlying Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -5,000,000 | -275,000 | |
Derivative, Average Remaining Period Until Maturity | 5 | 10 | |
Derivative, Average Fixed Interest Rate | 1.35% | 2.89% | |
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | |
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 5 | 10 | |
Underlying Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Short [Member] | Variable Income Interest Rate [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -800,000 | -1,310,000 | |
Derivative, Average Remaining Period Until Maturity | 10 | 8.1 | |
Derivative, Average Fixed Interest Rate | 3.44% | 2.72% | |
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | |
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 10 | 8.1 | |
Underlying Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Short [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -510,000 | ||
Derivative, Average Remaining Period Until Maturity | 5 | ||
Derivative, Average Fixed Interest Rate | 1.60% | ||
Derivative, Description of Variable Reference Rate | 3M Libor | ||
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 5 | ||
Underlying Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Short [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -800,000 | -800,000 | |
Derivative, Average Remaining Period Until Maturity | 10 | 10 | |
Derivative, Average Fixed Interest Rate | 3.44% | 3.44% | |
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | |
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 10 | 10 | |
Underlying Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Short [Member] | Fixed Income Interest Rate [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | -510,000 | ||
Derivative, Average Remaining Period Until Maturity | 5 | ||
Derivative, Average Fixed Interest Rate | 1.60% | ||
Derivative, Description of Variable Reference Rate | 3M Libor | ||
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 5 | ||
Underlying Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | ($510,000) | ||
Derivative, Average Remaining Period Until Maturity | 5 | ||
Derivative, Average Fixed Interest Rate | 1.60% | ||
Derivative, Description of Variable Reference Rate | 3M Libor | ||
Derivative, Average Remaining Period Until Maturity, Underlying Swap | 5 |
Recovered_Sheet2
Derivative Instruments and Hedging Activities Schedule of Total Return Swaps (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $48,115,523 | $37,366,610 | $22,377,656 |
Total Return Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 598,459 | 49,629 | |
Derivative, Fair Value, Net | 1,387 | -134 | |
Derivative, Cost | -1,732 | -453 | |
Derivative, Unrealized Gains (Losses) | -345 | -587 | |
Total Return Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Maturity Date, 1/12/2043 [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 411,281 | 49,629 | |
Derivative, Fair Value, Net | 763 | -134 | |
Derivative, Cost | -1,457 | -453 | |
Derivative, Unrealized Gains (Losses) | -694 | -587 | |
Total Return Swap [Member] | Interest Rate Risk Associated with the Investment Portfolio [Member] | Maturity Date, 1/12/2044 [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 187,178 | ||
Derivative, Fair Value, Net | 624 | ||
Derivative, Cost | -275 | ||
Derivative, Unrealized Gains (Losses) | $349 |
Recovered_Sheet3
Derivative Instruments and Hedging Activities Schedule of Credit Default Swaps, Receive Protection (Details) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Derivative [Line Items] | |||
Derivative, Notional Amount | ($48,115,523) | ($37,366,610) | ($22,377,656) |
Credit Default Swap, Buying Protection [Member] | |||
Derivative [Line Items] | |||
Derivative, Average Implied Credit Spread | 183.6 | ||
Derivative, Notional Amount | -125,000 | ||
Derivative, Fair Value, Net | -1,672 | ||
Derivative, Cost | -4,322 | ||
Derivative, Unrealized Gains (Losses) | -5,994 | ||
Credit Default Swap, Buying Protection [Member] | Maturity Date, 06/20/2016 [Member] | |||
Derivative [Line Items] | |||
Derivative, Maturity Date | 20-Jun-16 | ||
Derivative, Average Implied Credit Spread | 105.5 | ||
Derivative, Notional Amount | -100,000 | ||
Derivative, Fair Value, Net | -1,350 | ||
Derivative, Cost | -260 | ||
Derivative, Unrealized Gains (Losses) | -1,610 | ||
Credit Default Swap, Buying Protection [Member] | Maturity Date, 12/20/2016 [Member] | |||
Derivative [Line Items] | |||
Derivative, Maturity Date | 20-Dec-16 | ||
Derivative, Average Implied Credit Spread | 496 | ||
Derivative, Notional Amount | -25,000 | ||
Derivative, Fair Value, Net | -322 | ||
Derivative, Cost | -4,062 | ||
Derivative, Unrealized Gains (Losses) | -4,384 | ||
Credit Default Swap, Buying Protection [Member] | Credit Risk [Member] | |||
Derivative [Line Items] | |||
Derivative, Average Implied Credit Spread | 329.13 | ||
Derivative, Notional Amount | -427,073 | ||
Derivative, Fair Value, Net | -18,049 | ||
Derivative, Cost | -6,510 | ||
Derivative, Unrealized Gains (Losses) | -24,559 | ||
Credit Default Swap, Buying Protection [Member] | Credit Risk [Member] | Maturity Date, 06/20/2016 [Member] | |||
Derivative [Line Items] | |||
Derivative, Maturity Date | 20-Jun-16 | ||
Derivative, Average Implied Credit Spread | 105.5 | ||
Derivative, Notional Amount | -100,000 | ||
Derivative, Fair Value, Net | -2,149 | ||
Derivative, Cost | -260 | ||
Derivative, Unrealized Gains (Losses) | -2,409 | ||
Credit Default Swap, Buying Protection [Member] | Credit Risk [Member] | Maturity Date, 12/20/2016 [Member] | |||
Derivative [Line Items] | |||
Derivative, Maturity Date | 20-Dec-16 | ||
Derivative, Average Implied Credit Spread | 496 | ||
Derivative, Notional Amount | -25,000 | ||
Derivative, Fair Value, Net | -401 | ||
Derivative, Cost | -4,062 | ||
Derivative, Unrealized Gains (Losses) | -4,463 | ||
Credit Default Swap, Buying Protection [Member] | Credit Risk [Member] | Maturity Date, 12/20/2018 [Member] | |||
Derivative [Line Items] | |||
Derivative, Maturity Date | 20-Dec-18 | ||
Derivative, Average Implied Credit Spread | 393.31 | ||
Derivative, Notional Amount | -270,000 | ||
Derivative, Fair Value, Net | -23,568 | ||
Derivative, Cost | 12,838 | ||
Derivative, Unrealized Gains (Losses) | -10,730 | ||
Credit Default Swap, Buying Protection [Member] | Credit Risk [Member] | Maturity Date, 05/25/2046 [Member] | |||
Derivative [Line Items] | |||
Derivative, Maturity Date | 25-May-46 | ||
Derivative, Average Implied Credit Spread | 356 | ||
Derivative, Notional Amount | -32,073 | ||
Derivative, Fair Value, Net | 8,069 | ||
Derivative, Cost | -15,026 | ||
Derivative, Unrealized Gains (Losses) | ($6,957) |
Recovered_Sheet4
Derivative Instruments and Hedging Activities Credit Risk - Counterparty Exposure (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Derivatives, Fair Value [Line Items] | ||
Derivative assets | $380,791 | $549,859 |
Derivative liabilities | 90,233 | 22,081 |
Collateral Securities Repledged, Delivered, or Used | -71,436 | |
Collateral Already Posted, Aggregate Fair Value | $216,430 |
Recovered_Sheet5
Derivative Instruments and Hedging Activities Commitments to Purchase Mortgage Loans Held-for-Sale (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $48,115,523 | $37,366,610 | $22,377,656 |
Forward Purchase Commitments [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | 554,838 | 12,063 | 56,865 |
Derivative, Fair Value, Net | $1,297 | $0 |
Recovered_Sheet6
Derivative Instruments and Hedging Activities Agency To-be-Announced Securities, Non-Risk Management (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $48,115,523 | $37,366,610 | $22,377,656 |
Agency To-be-Announced Securities, Non-Risk Management [Member] | Long [Member] | |||
Derivative [Line Items] | |||
Derivative, Notional Amount | $2,150,000 |
Recovered_Sheet7
Derivative Instruments and Hedging Activities Schedule of Inverse Interest-Only Securities Reconciliation (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
In Thousands, unless otherwise specified | |||
Derivatives, Fair Value [Line Items] | |||
Interest Receivable | $65,529 | $50,303 | |
Derivative, Notional Amount | 48,115,523 | 37,366,610 | 22,377,656 |
Inverse Interest-Only Securities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Interest Receivable | 2,188 | 2,855 | |
Derivative, Notional Amount | 1,168,226 | 1,525,845 | 1,909,351 |
Derivative, Unamortized Premium | 0 | 0 | |
Derivative, Designated Credit Reserve | 0 | 0 | |
Derivative, Net, Unamortized | -991,715 | -1,292,785 | |
Derivative, Amortized Cost Basis | 176,511 | 233,060 | |
Derivative, Gross Unrealized Gains | 14,162 | 5,891 | |
Derivative, Gross Unrealized Losses | -4,269 | -20,442 | |
Derivative, Carrying Value | $186,404 | $218,509 |
Other_Assets_Details
Other Assets (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Other Assets [Line Items] | ||
Property, Plant and Equipment, Gross | $4,849 | $2,285 |
Accumulated Depreciation, Depletion and Amortization, Property, Plant, and Equipment | -1,941 | -858 |
Property, Plant and Equipment, Net | 2,908 | 1,427 |
Prepaid Expense | 1,790 | 1,818 |
Deferred Tax Assets, Net | 40,847 | 0 |
Intangible Assets, Net (Excluding Goodwill) | 0 | 533 |
Servicing advances | 27,490 | 7,298 |
Federal Home Loan Bank Stock | 100,010 | 10 |
Equity investments | 3,000 | 0 |
Other Receivables | 12,534 | 2,113 |
Other Assets | $188,579 | $13,199 |
Other_Assets_Depreciation_Expe
Other Assets Depreciation Expense (Details) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Property, Plant and Equipment [Line Items] | |||
Depreciation of fixed assets | $1,083 | $607 | $212 |
Other_Liabilities_Details
Other Liabilities (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Other Liabilities [Line Items] | ||
Accrued Liabilities, Current | $29,819 | $20,025 |
Deferred Tax Liabilities, Net | 0 | 39,414 |
Taxes Payable, Current | 1,375 | 757 |
Other Accounts Payable and Accrued Liabilities | 9,473 | 7,284 |
Other liabilities | $40,667 | $67,480 |
Fair_Value_Measurement_Inputs_
Fair Value, Measurement Inputs, Disclosure (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 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 | 73.70% | ||
Assets Reported at Fair Value, Trading Securities | 10.30% | ||
Mortgage Loans Held-for-sale Categorized as Level 2 Assets | 93.40% | ||
Mortgage Loans Held-for-sale Categorized as Level 3 Assets | 6.60% | ||
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 Categorized as Level 1 Assets (Liabilities) | 100.00% | ||
Derivative, Notional Amount | $48,115,523 | $37,366,610 | $22,377,656 |
Forward Purchase Commitments Categorized as Level 2 Assets (Liabilities) | 100.00% | ||
Collateralized Borrowings in Securitization Trust Categorized as Level 2 Liabilities | 100.00% | ||
Available-for-sale securities | 14,341,102 | 12,256,727 | |
Trading securities | 1,997,656 | 1,000,180 | |
Mortgage servicing rights | 452,006 | 514,402 | 0 |
Forward Purchase Commitments [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative, Notional Amount | 554,838 | 12,063 | 56,865 |
Derivative, Fair Value, Net | 1,297 | 0 | |
Fair Value, Measurements, Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities | 14,341,102 | 12,256,727 | |
Trading securities | 1,997,656 | 1,000,180 | |
Mortgage loans held-for-sale | 535,712 | 544,581 | |
Mortgage loans held-for-investment in securitization trusts | 1,744,746 | 792,390 | |
Mortgage servicing rights | 452,006 | 514,402 | |
Derivative assets | 380,791 | 549,859 | |
Assets, Fair Value Disclosure | 19,452,013 | 15,658,139 | |
Collateralized borrowings in securitization trusts | 1,209,663 | 639,731 | |
Derivative liabilities | 90,233 | 22,081 | |
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 1,299,896 | 661,812 | |
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 | 1,997,656 | 1,000,180 | |
Mortgage loans held-for-sale | 0 | 0 | |
Mortgage loans held-for-investment in securitization trusts | 0 | 0 | |
Mortgage servicing rights | 0 | 0 | |
Derivative assets | 10,350 | 33,425 | |
Assets, Fair Value Disclosure | 2,008,006 | 1,033,605 | |
Collateralized borrowings in securitization trusts | 0 | 0 | |
Derivative liabilities | 17,687 | 125 | |
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 17,687 | 125 | |
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 | 14,341,102 | 12,256,727 | |
Trading securities | 0 | 0 | |
Mortgage loans held-for-sale | 500,159 | 119,855 | |
Mortgage loans held-for-investment in securitization trusts | 1,744,746 | 792,390 | |
Mortgage servicing rights | 0 | 0 | |
Derivative assets | 370,441 | 516,434 | |
Assets, Fair Value Disclosure | 16,956,448 | 13,685,406 | |
Collateralized borrowings in securitization trusts | 1,209,663 | 639,731 | |
Derivative liabilities | 72,546 | 21,956 | |
Financial and Nonfinancial Liabilities, Fair Value Disclosure | 1,282,209 | 661,687 | |
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 | 0 | |
Trading securities | 0 | 0 | |
Mortgage loans held-for-sale | 35,553 | 424,726 | |
Mortgage loans held-for-investment in securitization trusts | 0 | 0 | |
Mortgage servicing rights | 452,006 | 514,402 | |
Derivative assets | 0 | 0 | |
Assets, Fair Value Disclosure | 487,559 | 939,128 | |
Collateralized borrowings in securitization trusts | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
Financial and Nonfinancial Liabilities, Fair Value Disclosure | $0 | $0 |
Fair_Value_Assets_Measured_on_
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation (Details) (USD $) | 12 Months Ended | |
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 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 | 424,726 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Realized Gain (Loss) Included in Earnings | 7,734 | 907 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Unrealized Gain (Loss) Included in Earnings | -3,213 | 29 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | 4,521 | 936 |
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 | 66,793 | 440,352 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Sales | -433,603 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | -26,884 | -16,562 |
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 | 35,553 | 424,726 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) Included in Other Income | -3,028 | 29 |
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 | 514,402 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Realized Gain (Loss) Included in Earnings | -54,815 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Unrealized Gain (Loss) Included in Earnings | -73,573 | 13,881 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | -128,388 | 13,881 |
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 | 67,821 | 500,521 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Sales | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | -1,829 | 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 | 452,006 | 514,402 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) Included in Other Income | ($73,573) | $13,881 |
Quantitative_Information_about
Quantitative Information about Level 3 Fair Value Inputs (Details) | 12 Months Ended | |
Dec. 31, 2014 | Dec. 31, 2013 | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Fair Value Measurements, Valuation Processes, Description | Discounted cash flow | |
Fair Value Inputs, Prepayment Rate | 11.90% | 9.50% |
Fair Value Inputs, Probability of Default | 5.60% | 4.00% |
Fair Value Inputs, Discount Rate | 9.50% | 9.00% |
Minimum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Fair Value Inputs, Prepayment Rate | 10.60% | |
Fair Value Inputs, Probability of Default | 5.30% | |
Fair Value Inputs, Discount Rate | 8.10% | |
Maximum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Fair Value Inputs, Prepayment Rate | 13.10% | |
Fair Value Inputs, Probability of Default | 6.10% | |
Fair Value Inputs, Discount Rate | 10.70% |
Fair_Value_Option_Quantitative
Fair Value, Option, Quantitative Disclosures (Details) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $59,957 | $38,684 | $6,331 |
Fair Value, Option, Credit Risk, Gains (Losses) on Assets | 1,295 | 6,677 | 0 |
Equity Securities [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 7,843 | 5,822 | |
Fair Value, Option, Credit Risk, Gains (Losses) on Assets | 0 | 0 | |
Loans Held-for-sale, Mortgages [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 28,657 | 8,354 | 509 |
Fair Value, Option, Credit Risk, Gains (Losses) on Assets | 1,295 | 6,677 | 0 |
Loans Held-for-investment, Mortgages [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 82,345 | -3,690 | 0 |
Fair Value, Option, Credit Risk, Gains (Losses) on Assets | 0 | 0 | 0 |
Borrowings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | -51,045 | 26,177 | 0 |
Fair Value, Option, Credit Risk, Gains (Losses) on Liabilities | 0 | 0 | 0 |
Interest Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 30,549 | 30,468 | 609 |
Interest Income [Member] | Equity Securities [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | 0 | |
Interest Income [Member] | Loans Held-for-sale, Mortgages [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 16,089 | 22,185 | 609 |
Interest Income [Member] | Loans Held-for-investment, Mortgages [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 41,220 | 19,220 | 0 |
Interest Expense [Member] | Borrowings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | -26,760 | -10,937 | 0 |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | 7,843 | 5,822 |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Equity Securities [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 7,843 | 5,822 | |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Loans Held-for-sale, Mortgages [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | 0 | 0 |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Loans Held-for-investment, Mortgages [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | 0 | 0 |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Borrowings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | 0 | 0 |
Gain (Loss) on Mortgage Loans Held-for-Sale [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 12,568 | -13,831 | -100 |
Gain (Loss) on Mortgage Loans Held-for-Sale [Member] | Equity Securities [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | 0 | |
Gain (Loss) on Mortgage Loans Held-for-Sale [Member] | Loans Held-for-sale, Mortgages [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 12,568 | -13,831 | -100 |
Gain (Loss) on Mortgage Loans Held-for-Sale [Member] | Loans Held-for-investment, Mortgages [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | 0 | 0 |
Gain (Loss) on Mortgage Loans Held-for-Sale [Member] | Borrowings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | 0 | 0 |
Other Income [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 16,840 | 14,204 | 0 |
Other Income [Member] | Equity Securities [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | 0 | |
Other Income [Member] | Loans Held-for-sale, Mortgages [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | 0 | 0 |
Other Income [Member] | Loans Held-for-investment, Mortgages [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 41,125 | -22,910 | 0 |
Other Income [Member] | Borrowings [Member] | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | ($24,285) | $37,114 | $0 |
Fair_Value_Option_Non_Accrual_
Fair Value, Option, Non Accrual Status of Loans (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
In Thousands, unless otherwise specified | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Mortgage loans held-for-sale | $535,712 | $544,581 | $58,607 | $5,782 |
Mortgage loans held-for-investment in securitization trusts | 1,744,746 | 792,390 | ||
Collateralized borrowings in securitization trusts, at fair value | 1,209,663 | 639,731 | ||
Loan Held-for-Sale, Mortgages, Unpaid Principal [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Mortgage loans held-for-sale | 534,101 | 680,840 | ||
Fair Value, Option, Loans Held as Assets, Aggregate Amount in Nonaccrual Status | 26,405 | 80,486 | ||
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | 25,263 | 63,152 | ||
Loans Held-for-sale, Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Mortgage loans held-for-sale | 535,712 | 544,581 | ||
Fair Value, Option, Loans Held as Assets, Aggregate Amount in Nonaccrual Status | 20,574 | 62,185 | ||
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | 19,675 | 48,786 | ||
Loan Held-for-Investment, Mortgages, Unpaid Principal [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Mortgage loans held-for-investment in securitization trusts | 1,699,748 | 812,538 | ||
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 trusts | 1,744,746 | 792,390 | ||
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 trusts, at fair value | 1,218,589 | 686,233 | ||
Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Collateralized borrowings in securitization trusts, at fair value | $1,209,663 | $639,731 |
Fair_Value_of_Financial_Instru
Fair Value of Financial Instruments (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | $12,932,463 | $12,250,450 |
Long-term Federal Home Loan Bank Advances | 2,466,262 | |
Maturity Over One Year [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | $93,221 | $200,000 |
Fair_Value_by_Balance_Sheet_Gr
Fair Value by Balance Sheet Grouping (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2011 |
In Thousands, unless otherwise specified | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Available-for-sale securities | $14,341,102 | $12,256,727 | ||
Trading securities | 1,997,656 | 1,000,180 | ||
Mortgage loans held-for-sale | 535,712 | 544,581 | 58,607 | 5,782 |
Mortgage loans held-for-investment in securitization trusts | 1,744,746 | 792,390 | ||
Mortgage servicing rights | 452,006 | 514,402 | 0 | |
Cash and cash equivalents | 1,005,792 | 1,025,487 | 821,108 | 360,016 |
Restricted cash | 336,771 | 401,647 | ||
Derivative assets | 380,791 | 549,859 | ||
Federal Home Loan Bank Stock | 100,010 | 10 | ||
Equity investments | 3,000 | 0 | ||
Repurchase agreements | 12,932,463 | 12,250,450 | ||
Collateralized borrowings in securitization trusts, at fair value | 1,209,663 | 639,731 | ||
Federal Home Loan Bank advances | 2,500,000 | 0 | ||
Derivative liabilities | 90,233 | 22,081 | ||
Federal Home Loan Bank of Des Moines [Member] | ||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||
Federal Home Loan Bank advances | $2,500,000 |
Repurchase_Agreements_Repurcha
Repurchase Agreements Repurchase Agreements Outstanding Balances and Key Metrics (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $12,932,463 | $12,250,450 |
Assets Sold under Agreements to Repurchase, Weighted Average Borrowing Rate, Excluding U.S. Treasuries and Interest Rate Swaps | 0.72% | 0.75% |
Assets Sold under Agreements to Repurchase, Weighted Average Remaining Maturity, Excluding U.S. Treasuries and Interest Rate Swaps | 64 | 72 |
Assets Sold under Agreements to Repurchase, Interest Rate | 0.64% | 0.69% |
US Treasury Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $1,996,250 | $997,500 |
Assets Sold under Agreements to Repurchase, Interest Rate | 0.23% | 0.03% |
Schedule_of_Repurchase_Agreeme
Schedule of Repurchase Agreements by Term, Short or Long (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $12,932,463 | $12,250,450 |
Maturity up to One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 12,839,242 | 12,050,450 |
Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $93,221 | $200,000 |
Schedule_of_Repurchase_Agreeme1
Schedule of Repurchase Agreements by Collateral Type (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $12,932,463 | $12,250,450 |
Assets Sold under Agreements to Repurchase, Interest Rate | 0.64% | 0.69% |
US Treasury Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,996,250 | 997,500 |
Assets Sold under Agreements to Repurchase, Interest Rate | 0.23% | 0.03% |
US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 8,458,572 | 9,109,510 |
Assets Sold under Agreements to Repurchase, Interest Rate | 0.42% | 0.46% |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,324,395 | 1,829,709 |
Assets Sold under Agreements to Repurchase, Interest Rate | 1.79% | 2.01% |
Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 138,133 | 166,438 |
Assets Sold under Agreements to Repurchase, Interest Rate | 0.99% | 1.05% |
Loans Held-for-sale, Mortgages [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $15,113 | $147,293 |
Assets Sold under Agreements to Repurchase, Interest Rate | 3.03% | 2.85% |
Schedule_of_Repurchase_Agreeme2
Schedule of Repurchase Agreements by Maturity (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $12,932,463 | $12,250,450 |
Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 3,979,317 | 3,831,917 |
Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 4,595,425 | 2,013,733 |
Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 903,286 | 2,225,967 |
Maturity 90 to 119 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 434,550 | 1,386,371 |
Maturity 120 to 364 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,929,164 | 1,594,962 |
Maturity on Demand [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 997,500 | 997,500 |
Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $93,221 | $200,000 |
Schedule_of_Underlying_Assets_
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | $14,599,240 | $13,950,459 |
Available-for-sale Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 11,874,783 | 12,295,302 |
US Treasury Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 1,997,656 | 1,000,180 |
Loans Held-for-sale, Mortgages [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 19,123 | 200,839 |
Retained Interest [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 363,564 | 0 |
Cash and Cash Equivalents [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 14,117 | 15,000 |
Restricted Cash and Cash Equivalents [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 112,435 | 201,194 |
Due From Correspondent Brokers [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 32,495 | 21,579 |
Derivative Financial Instruments, Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | $185,067 | $216,365 |
Schedule_of_Repurchase_Agreeme3
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | $12,932,463 | $12,250,450 |
Number of Repurchase Agreement Counterparties with Whom Repurchase Agreements Are Less Than 10 Percent of Stockholders' Equity | 23 | 18 |
Maturity on Demand [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | 997,500 | 997,500 |
Repurchase Agreement Counterparty, Barclays Capital [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | 1,346,085 | 1,453,396 |
Repurchase Agreement Counterparty, Amount at Risk | 365,879 | 302,744 |
Repurchase Agreement Counterparty, Percent of Equity at Risk | 9.00% | 8.00% |
Repurchase Agreement Counterparty, Weighted Average Days to Maturity | 50.5 | 74.6 |
Repurchase Agreement Counterparty, All Other Counterparties [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | 9,215,329 | 8,819,090 |
Repurchase Agreement Counterparty, Amount at Risk | 907,066 | 1,107,340 |
Repurchase Agreement Counterparty, Percent of Equity at Risk | 22.00% | 29.00% |
Repurchase Agreement Counterparty, Weighted Average Days to Maturity | 57.7 | 71.2 |
Repurchase Agreement Counterparty, Excluding Repurchase Agreements with Rolling One-Day Maturity [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | 11,934,963 | 11,252,950 |
Repurchase Agreement Counterparty, Amount at Risk | $1,674,139 | $1,674,830 |
Collateralized_Borrowings_in_S1
Collateralized Borrowings in Securitization Trusts, at Fair Value (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Debt Instrument [Line Items] | ||
Collateralized borrowings in securitization trusts, at fair value | $1,209,663 | $639,731 |
Debt, Weighted Average Interest Rate | 3.60% | 2.80% |
Federal_Home_Loan_Bank_of_Des_2
Federal Home Loan Bank of Des Moines Advances Federal Home Loan Bank Advances Outstanding Balances and Key Metrics (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 | Feb. 27, 2015 |
In Thousands, unless otherwise specified | |||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | |||
Federal Home Loan Bank advances | $2,500,000 | $0 | |
Federal Home Loan Bank of Des Moines [Member] | |||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | |||
Federal Home Loan Bank advances | 2,500,000 | ||
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Weighted Average Interest Rate | 0.30% | ||
Federal Home Loan Bank, Advances, General Debt Obligations, Amount of Available, Unused Funds | 1,000,000 | ||
Subsequent Event [Member] | Federal Home Loan Bank of Des Moines [Member] | |||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | |||
Federal Home Loan Bank, Advances, General Debt Obligations, Amount of Available, Unused Funds | $4,000,000 |
Federal_Home_Loan_Bank_of_Des_3
Federal Home Loan Bank of Des Moines Advances Schedule of Maturities of Federal Home Loan Bank Advances (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | $2,500,000 | $0 |
Maturity Within One Year [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 33,738 | 0 |
Maturity One to Three Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 651,238 | 0 |
Maturity Three to Five Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 815,024 | 0 |
Maturity Five to Ten Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 0 |
Maturity Over Ten Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | $1,000,000 | $0 |
Federal_Home_Loan_Bank_of_Des_4
Federal Home Loan Bank of Des Moines Advances Schedule of Underlying Assets of Federal Home Loan Bank Advances (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Collateral Pledged | $2,762,920 | $0 |
Available-for-sale Securities [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Collateral Pledged | 2,284,532 | 0 |
Loans Held-for-sale, Mortgages [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Collateral Pledged | 397,656 | 0 |
Retained Interest [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Collateral Pledged | $80,732 |
Federal_Home_Loan_Bank_of_Des_5
Federal Home Loan Bank of Des Moines Advances Federal Home Loan Bank of Des Moines Stock (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
Federal Home Loan Bank Stock | $100,010 | $10 |
Commitments_and_Contingencies_2
Commitments and Contingencies Management Agreement (Details) | 12 Months Ended |
Dec. 31, 2014 | |
Management Agreement, Commitment [Line Items] | |
Management Fee, Percent | 1.50% |
Commitments_and_Contingencies_3
Commitments and Contingencies Schedule of Future Minimum Rental Payments for Operating Leases (Details) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Operating Leased Assets [Line Items] | |||
Operating Leases, Future Minimum Payments Due, Next Twelve Months | $2,250 | ||
Operating Leases, Future Minimum Payments, Due in Two Years | 1,902 | ||
Operating Leases, Future Minimum Payments, Due in Three Years | 1,468 | ||
Operating Leases, Future Minimum Payments, Due in Four Years | 1,187 | ||
Operating Leases, Future Minimum Payments, Due in Five Years | 1,205 | ||
Operating Leases, Future Minimum Payments, Due Thereafter | 2,988 | ||
Operating Leases, Future Minimum Payments Due | 11,000 | ||
Operating Leases, Rent Expense | $1,998 | $1,346 | $574 |
Commitments_and_Contingencies_4
Commitments and Contingencies Representation and Warranty Obligations (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Loss Contingencies [Line Items] | ||
Loss Contingency, Estimate of Possible Loss | $2,455 | $633 |
Stockholders_Equity_Schedule_o
Stockholders' Equity Schedule of Common Stock Outstanding Roll Forward (Details) | 12 Months Ended | ||
Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Class of Stock [Line Items] | |||
Stock Repurchased During Period, Shares | -2,450,700 | ||
Ending Balance, Common Shares Outstanding | 366,395,920 | 364,935,168 | |
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant | 2,002,406 | ||
Common Stock [Member] | |||
Class of Stock [Line Items] | |||
Beginning Balance, Common Shares Outstanding | 364,935,168 | 298,813,258 | 140,596,708 |
Stock Issued During Period, Shares, Period Increase (Decrease) | 57,218 | 67,511,609 | 158,184,529 |
Stock Issued During Period, Shares, Share-based Compensation, Net of Forfeitures | 1,403,534 | 1,061,001 | 32,021 |
Stock Repurchased During Period, Shares | -2,450,700 | ||
Ending Balance, Common Shares Outstanding | 366,395,920 | 364,935,168 | 298,813,258 |
Stockholders_Equity_Schedule_o1
Stockholders' Equity Schedule of Dividends Declared (Details) (USD $) | 3 Months Ended | |||||||||||
Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2012 | Sep. 30, 2012 | Jun. 30, 2012 | Mar. 31, 2012 | |
Dividends Payable [Line Items] | ||||||||||||
Dividends Payable, Date Declared | 16-Dec-14 | 16-Sep-14 | 17-Jun-14 | 17-Mar-14 | 17-Dec-13 | 11-Sep-13 | 18-Jun-13 | 18-Mar-13 | 17-Dec-12 | 12-Sep-12 | 12-Jun-12 | 14-Mar-12 |
Dividends Payable, Date of Record | 30-Dec-14 | 30-Sep-14 | 2-Jul-14 | 31-Mar-14 | 27-Dec-13 | 26-Sep-13 | 28-Jun-13 | 2-Apr-13 | 31-Dec-12 | 24-Sep-12 | 22-Jun-12 | 26-Mar-12 |
Dividends Payable, Date to be Paid | 20-Jan-15 | 21-Oct-14 | 22-Jul-14 | 21-Apr-14 | 31-Dec-13 | 23-Oct-13 | 23-Jul-13 | 24-Apr-13 | 18-Jan-13 | 22-Oct-12 | 20-Jul-12 | 20-Apr-12 |
Common Stock, Dividends, Per Share, Declared | $0.26 | $0.26 | $0.26 | $0.26 | $0.26 | $0.28 | $0.31 | $0.32 | $0.55 | $0.36 | $0.40 | $0.40 |
Stockholders_Equity_Special_Di
Stockholders' Equity Special Dividend of Silver Bay Common Stock (Details) (USD $) | Dec. 19, 2012 |
Dividends Payable [Line Items] | |
Equity Securities, Shares | 17,824,647 |
Distribution Ratio of Special Dividend Declared | $0.05 |
Stockholders_Equity_Schedule_o2
Stockholders' Equity Schedule of Accumulated Other Comprehensive Income (Loss) (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Accumulated Gross Unrealized Loss | ($36,031) | ($253,044) |
Available-for-sale Securities, Accumulated Gross Unrealized Gain | 891,820 | 697,779 |
Accumulated other comprehensive income | $855,789 | $444,735 |
Stockholders_Equity_Reclassifi
Stockholders' Equity Reclassifications out of Accumulated Other Comprehensive Income (Details) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||
Gain (Loss) on Investments, Excluding Other than Temporary Impairments | ($87,201) | $54,608 | ($122,466) |
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 | 392 | 1,662 | 10,952 |
Gain (Loss) on Investments, Excluding Other than Temporary Impairments | -52,931 | 44,780 | -123,534 |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | ($52,539) | $46,442 | ($112,582) |
Stockholders_Equity_Public_Off
Stockholders' Equity Public Offerings (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Mar. 22, 2013 |
Class of Stock [Line Items] | |||||
Common Stock, Shares, Issued | 366,395,920 | 364,935,168 | 50,000,000 | ||
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 | $588 | $763,557 | $1,362,747 | |
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 $) | 12 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Class of Stock [Line Items] | |||
Common Stock, Capital Shares Reserved for Future Issuance | 7,500,000 | ||
Stock Issued and Outstanding, Shares, Dividend Reinvestment Plan | 213,466 | ||
Stock Issued and Outstanding, Value, Dividend Reinvestment Plan | $2,268 | ||
Stock Issued During Period, Shares, Dividend Reinvestment Plan | 57,218 | 71,961 | 84,287 |
Stock Issued During Period, Value, Dividend Reinvestment Plan | $587 | $801 | $880 |
Stockholders_Equity_Share_Repu
Stockholders' Equity Share Repurchase Program (Details) (USD $) | 12 Months Ended | |
In Thousands, except Share data, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 |
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 | |
Stock Repurchase Program, Number of Shares Repurchased to Date | 2,450,700 | |
Stock Repurchase Program, Value of Shares Repurchased to Date | $23,894 | |
Stock Repurchased During Period, Shares | 2,450,700 | |
Stock Repurchased During Period, Value | $23,894 |
Stockholders_Equity_AttheMarke
Stockholders' Equity At-the-Market Offering (Details) (USD $) | 12 Months Ended | |
In Thousands, except Share data, unless otherwise specified | Dec. 31, 2012 | Dec. 31, 2014 |
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 | |
Stock Issued During Period, Shares, At The Market Offering | 7,585,869 | |
Stock Issued During Period, Value, At The Market Offering | $77,603 |
Stockholders_Equity_Warrants_D
Stockholders' Equity Warrants (Details) (USD $) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||||
In Thousands, except Share data, unless otherwise specified | Dec. 31, 2013 | Apr. 02, 2013 | Dec. 31, 2013 | Dec. 31, 2013 | Dec. 31, 2012 | Dec. 31, 2014 | Mar. 31, 2013 |
Class of Warrant or Right [Line Items] | |||||||
Warrants Exercised During Period | 8,720,690 | 1,130,460 | 19,417,571 | ||||
Stock Issued During Period, Shares, Conversion of Convertible Securities | 8,720,690 | 1,212,607 | 19,417,571 | ||||
Class of Warrant or Right, Exercise Price of Warrants or Rights | $10.25 | $11 | $10.25 | $11 | |||
Class of Warrant or Right, Number of Securities Called by Warrants or Rights | 1.0727 | ||||||
Stock Issued During Period, Value, Conversion of Convertible Securities | $107,514 | $213,593 | |||||
Cashless Warrants Exercised During Period | 100,000 | 300,000 | |||||
Stock Issued During Period, Shares, Cashless Exercise of Warrants, Forfeited | 93,649 | 277,452 | |||||
Stock Issued During Period, Shares, Cashless Exercise of Warrant | 6,351 | 22,548 | |||||
Warrants Expired During Period | 3,580,279 |
Equity_Incentive_Plan_Details
Equity Incentive Plan (Details) (USD $) | 3 Months Ended | 12 Months Ended | ||
In Thousands, except Share data, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Allocated Share-based Compensation Expense | $11,704 | $3,888 | $488 | |
Restricted Stock [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number, Beginning Balance | 1,024,459 | 25,325 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value, Beginning Value | $11.22 | $9.69 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 1,427,169 | 1,061,001 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $9.91 | $11.23 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | -443,093 | -61,867 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Grant Date Fair Value | ($11.12) | ($10.71) | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeited in Period | -6,129 | 0 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeitures, Weighted Average Grant Date Fair Value | ($9.79) | $0 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number, Ending Balance | 2,002,406 | 2,002,406 | 1,024,459 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value, Ending Value | $10.32 | $10.32 | $11.22 | |
Restricted Stock [Member] | Director [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 3,697 | 52,180 | 36,335 | 32,021 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $9.19 | $10.31 | $11.56 | $10.15 |
Restricted Stock [Member] | Key Employees [Member] | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 1,374,989 | 1,020,969 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $9.90 | $11.23 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value, Ending Value | $10.02 | $10.02 |
Schedule_of_Components_of_Inco
Schedule of Components of Income Tax Expense (Benefit) (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Income Tax Expense (Benefit) Components [Line Items] | |||||||||||
Current Federal Tax Expense (Benefit) | $6,507 | $808 | ($4,586) | ||||||||
Current State and Local Tax Expense (Benefit) | 16 | 5 | 3 | ||||||||
Current Income Tax Expense (Benefit) | 6,523 | 813 | -4,583 | ||||||||
Deferred Income Tax Expense (Benefit) | -80,261 | 83,598 | -37,636 | ||||||||
Income Tax Expense (Benefit) | ($11,718) | ($4,858) | ($23,260) | ($33,902) | $6,602 | $23,726 | $49,119 | $4,964 | ($73,738) | $84,411 | ($42,219) |
Schedule_of_Effective_Income_T
Schedule of Effective Income Tax Rate Reconciliation (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Effective Income Tax Rate Reconciliaton [Line Items] | |||||||||||
Income Tax Expense (Benefit) | ($11,718) | ($4,858) | ($23,260) | ($33,902) | $6,602 | $23,726 | $49,119 | $4,964 | ($73,738) | $84,411 | ($42,219) |
Effective Income Tax [Member] | |||||||||||
Effective Income Tax Rate Reconciliaton [Line Items] | |||||||||||
Income Tax Reconciliation, Income Tax Expense (Benefit), at Federal Statutory Income Tax Rate | 32,691 | 225,573 | 84,894 | ||||||||
Income Tax Reconciliation, State and Local Income Taxes | 10 | 4 | 2 | ||||||||
Income Tax Reconciliation, Nondeductible Expense | 1,636 | 17,681 | 118 | ||||||||
Income Tax Reconciliation, Deductions, Dividends | -108,075 | -158,847 | -127,233 | ||||||||
Income Tax Expense (Benefit) | ($73,738) | $84,411 | ($42,219) | ||||||||
Effective Income Tax Rate [Member] | |||||||||||
Effective Income Tax Rate Reconciliaton [Line Items] | |||||||||||
Effective Income Tax Rate Reconciliation, at Federal Statutory Income Tax Rate | 35.00% | 34.00% | 34.00% | ||||||||
Effective Income Tax Rate Reconciliation, State and Local Income Taxes | 0.00% | 0.00% | 0.00% | ||||||||
Effective Income Tax Rate Reconciliation, Nondeductible Expense | 2.00% | 3.00% | 0.00% | ||||||||
Effective Income Tax Rate Reconciliation, Deductions, Dividends | -116.00% | -24.00% | -51.00% | ||||||||
Effective Income Tax Rate Reconciliation, Percent | -79.00% | 13.00% | -17.00% |
Income_Taxes_Schedule_of_Curre
Income Taxes Schedule of Current and Deferred Tax Assets and Liabilities (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Deferred Tax Assets and Liabilities [Line Items] | ||
Deferred Tax Assets, Valuation Allowance | $132 | |
Federal Income Tax Payable | -1,375 | -757 |
State and Local Income Tax Payable | 0 | 0 |
Taxes Payable, Current | -1,375 | -757 |
Deferred Tax Assets, Net of Valuation Allowance | 60,575 | 14,927 |
Deferred Tax Liabilities, Net | -19,728 | -54,341 |
Deferred Tax Assets, Net | 40,847 | 0 |
Deferred Tax Liabilities, Net | 0 | -39,414 |
Income Taxes Receivable | 39,472 | |
Taxes Payable | ($40,171) |
Income_Taxes_Schedule_of_Defer
Income Taxes Schedule of Deferred Tax Assets and Liabilities (Details) (USD $) | Dec. 31, 2014 | Dec. 31, 2013 |
In Thousands, unless otherwise specified | ||
Deferred Tax Assets and Liabilities [Line Items] | ||
Deferred Tax Assets, Derivative Instruments | $5,978 | |
Deferred Tax Assets, Derivative Instruments | -45,740 | |
Deferred Tax Assets, Unrealized Losses on Trading Securities | -478 | -1,380 |
Deferred Tax Assets, Mortgage Servicing Rights | 4,494 | |
Deferred Tax Assets, Other | 846 | |
Deferred Tax Assets, Other | 16 | 0 |
Deferred Tax Liabilities, Other | 859 | 0 |
Deferred Tax Assets, Goodwill and Intangible Assets | 277 | 515 |
Deferred Tax Assets, Tax Credit Carryforwards, Alternative Minimum Tax | 98 | 0 |
Deferred Tax Assets, Operating Loss Carryforwards | 9,448 | 7,986 |
Deferred Tax Assets, Capital Loss Carryforwards | 20,155 | 51 |
Deferred Tax Assets, Net | 40,847 | 0 |
Deferred Tax Liabilities, Net | 0 | -39,414 |
Tax Year 2013 [Member] | ||
Deferred Tax Assets and Liabilities [Line Items] | ||
Deferred Tax Assets, Operating Loss Carryforwards | 6,958 | |
Latest Tax Year [Member] | ||
Deferred Tax Assets and Liabilities [Line Items] | ||
Deferred Tax Assets, Operating Loss Carryforwards | $2,490 |
Earnings_Per_Share_Details
Earnings Per Share (Details) (USD $) | 3 Months Ended | 12 Months Ended | ||||||||||
In Thousands, except Share data, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | Apr. 02, 2013 |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ||||||||||||
Net income from continuing operations | ($36,963) | $193,590 | $39,657 | ($29,145) | $238,679 | ($193,599) | $387,621 | $142,339 | $167,139 | $575,040 | $287,416 | |
Income (loss) from discontinued operations | 0 | 0 | 0 | 0 | 735 | 871 | 1,016 | 1,377 | 0 | 3,999 | 4,490 | |
Net income | ($36,963) | $193,590 | $39,657 | ($29,145) | $239,414 | ($192,728) | $388,637 | $143,716 | $167,139 | $579,039 | $291,906 | |
Weighted Average Number of Shares Outstanding | 364,181,059 | 349,741,902 | 241,975,433 | |||||||||
Weighted Average Number of Shares, Restricted Stock | 1,830,796 | 619,925 | 39,318 | |||||||||
Basic weighted average number of shares of common stock | 366,011,855 | 350,361,827 | 242,014,751 | |||||||||
Dilutive weighted average warrants | 0 | 630,560 | 417,405 | |||||||||
Diluted weighted average number of shares of common stock | 366,011,855 | 350,992,387 | 242,432,156 | |||||||||
Earnings Per Share, Basic [Abstract] | ||||||||||||
Continuing operations | ($0.10) | $0.53 | $0.11 | ($0.08) | $0.66 | ($0.53) | $1.06 | $0.47 | $0.46 | $1.64 | $1.19 | |
Discontinued operations | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0.01 | $0.02 | |
Net income | ($0.10) | $0.53 | $0.11 | ($0.08) | $0.66 | ($0.53) | $1.06 | $0.47 | $0.46 | $1.65 | $1.21 | |
Earnings Per Share, Diluted [Abstract] | ||||||||||||
Continuing operations | ($0.10) | $0.53 | $0.11 | ($0.08) | $0.66 | ($0.53) | $1.06 | $0.47 | $0.46 | $1.64 | $1.18 | |
Discontinued operations | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0.01 | $0.02 | |
Net income | ($0.10) | $0.53 | $0.11 | ($0.08) | $0.66 | ($0.53) | $1.06 | $0.47 | $0.46 | $1.65 | $1.20 | |
Class of Warrant or Right, Number of Securities Called by Warrants or Rights | 1.0727 |
Related_Party_Transactions_Det
Related Party Transactions (Details) (USD $) | 12 Months Ended | ||
In Thousands, unless otherwise specified | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Related Party Transaction [Line Items] | |||
Gross Asset Management Costs, before Reduction | $48,803 | $46,047 | $33,168 |
Management Fee, Percent | 1.50% | ||
Reduction of Mangement Fees | 4,300 | ||
Costs and Expenses, Related Party | 15,501 | 9,946 | 11,773 |
Allocated Share-based Compensation Expense | 11,704 | 3,888 | 488 |
Discontinued Operation, Future Gain (Loss) on Disposal of Discontinued Operation, Net of Tax | 4,000 | ||
Reduction of Future Management Fees | 4,300 | ||
Discontinued Operation, Amount of Adjustment to Prior Period Gain (Loss) on Disposal, Net of Tax | $0 | $3,861 |
Quarterly_Financial_Data_Detai
Quarterly Financial Data (Details) (USD $) | 3 Months Ended | 12 Months Ended | |||||||||
In Thousands, except Per Share data, unless otherwise specified | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Jun. 30, 2013 | Mar. 31, 2013 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Total interest income | $156,220 | $142,303 | $140,149 | $138,535 | $137,457 | $137,974 | $145,325 | $134,835 | $577,207 | $555,591 | $455,046 |
Total interest expense | 31,704 | 24,718 | 24,950 | 26,078 | 26,922 | 24,927 | 24,722 | 23,836 | 107,450 | 100,407 | 72,106 |
Net interest income | 124,516 | 117,585 | 115,199 | 112,457 | 110,535 | 113,047 | 120,603 | 110,999 | 469,757 | 455,184 | 382,940 |
Other-than-temporary impairment losses | -180 | 0 | 0 | -212 | 0 | 0 | -1,426 | -236 | -392 | -1,662 | -10,952 |
Total other income (loss) | -143,210 | 111,697 | -65,432 | -143,422 | 162,021 | -258,742 | 339,640 | 49,890 | -240,367 | 292,809 | -75,945 |
Total expenses | 29,807 | 40,550 | 33,370 | 31,870 | 27,275 | 24,178 | 22,077 | 13,350 | 135,597 | 86,880 | 50,846 |
(Benefit from) provision for income taxes | -11,718 | -4,858 | -23,260 | -33,902 | 6,602 | 23,726 | 49,119 | 4,964 | -73,738 | 84,411 | -42,219 |
Net income from continuing operations | -36,963 | 193,590 | 39,657 | -29,145 | 238,679 | -193,599 | 387,621 | 142,339 | 167,139 | 575,040 | 287,416 |
Income from discontinued operations | 0 | 0 | 0 | 0 | 735 | 871 | 1,016 | 1,377 | 0 | 3,999 | 4,490 |
Net income | ($36,963) | $193,590 | $39,657 | ($29,145) | $239,414 | ($192,728) | $388,637 | $143,716 | $167,139 | $579,039 | $291,906 |
Basic earnings per weighted average common share: | |||||||||||
Continuing operations | ($0.10) | $0.53 | $0.11 | ($0.08) | $0.66 | ($0.53) | $1.06 | $0.47 | $0.46 | $1.64 | $1.19 |
Discontinued operations | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0.01 | $0.02 |
Net income | ($0.10) | $0.53 | $0.11 | ($0.08) | $0.66 | ($0.53) | $1.06 | $0.47 | $0.46 | $1.65 | $1.21 |
Diluted earnings per weighted average common share: | |||||||||||
Continuing operations | ($0.10) | $0.53 | $0.11 | ($0.08) | $0.66 | ($0.53) | $1.06 | $0.47 | $0.46 | $1.64 | $1.18 |
Discontinued operations | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0 | $0.01 | $0.02 |
Net income | ($0.10) | $0.53 | $0.11 | ($0.08) | $0.66 | ($0.53) | $1.06 | $0.47 | $0.46 | $1.65 | $1.20 |