Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2015 | Aug. 05, 2015 | |
Entity Information [Line Items] | ||
Entity Registrant Name | TWO HARBORS INVESTMENT CORP. | |
Entity Central Index Key | 1,465,740 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Jun. 30, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q2 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 367,539,843 |
CONDENSED CONSOLIDATED BALANCE
CONDENSED CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
ASSETS | |||
Available-for-sale securities, at fair value | $ 12,807,658 | $ 14,341,102 | |
Trading securities, at fair value | 0 | 1,997,656 | |
Residential mortgage loans held-for-sale, at fair value | 695,078 | 535,712 | |
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 2,449,199 | 1,744,746 | |
Commercial real estate loans held-for-investment | 45,605 | 0 | |
Mortgage servicing rights, at fair value | 437,576 | 452,006 | |
Cash and cash equivalents | 933,579 | 1,005,792 | |
Restricted cash | 410,903 | 336,771 | |
Accrued interest receivable | 57,011 | 65,529 | |
Due from counterparties | 27,230 | 35,625 | |
Derivative assets, at fair value | 347,322 | 380,791 | |
Other assets | 236,560 | 188,579 | |
Total Assets | [1] | 18,447,721 | 21,084,309 |
Liabilities | |||
Repurchase agreements | 9,422,803 | 12,932,463 | |
Collateralized borrowings in securitization trusts, at fair value | 1,714,735 | 1,209,663 | |
Federal Home Loan Bank advances | 3,000,000 | 2,500,000 | |
Derivative liabilities, at fair value | 22,475 | 90,233 | |
Due to counterparties | 160,014 | 124,206 | |
Dividends payable | 95,557 | 95,263 | |
Other liabilities | 60,568 | 64,439 | |
Total liabilities | [1] | 14,476,152 | 17,016,267 |
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 367,527,725 and 366,395,920 shares issued and outstanding, respectively | 3,675 | 3,664 | |
Additional paid-in capital | 3,816,861 | 3,811,027 | |
Accumulated other comprehensive income | 631,032 | 855,789 | |
Cumulative earnings | 1,508,839 | 1,195,536 | |
Cumulative distributions to stockholders | (1,988,838) | (1,797,974) | |
Total stockholders’ equity | 3,971,569 | 4,068,042 | |
Total Liabilities and Stockholders’ Equity | 18,447,721 | 21,084,309 | |
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 2,508,625 | 1,754,943 | |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | $ 1,727,995 | $ 1,219,821 | |
[1] | The condensed consolidated balance sheets include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations of these VIEs, and liabilities of the consolidated VIEs for which creditors do not have recourse to Two Harbors Investment Corp. At June 30, 2015 and December 31, 2014, assets of the VIEs totaled $2,508,625 and $1,754,943, and liabilities of the VIEs totaled $1,727,995 and $1,219,821, respectively. See Note 3 - Variable Interest Entities for additional information. |
Balance Sheet Paranthetical
Balance Sheet Paranthetical - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Stockholders' Equity | ||
Common Stock, Par or Stated Value Per Share | $ 0.01 | $ 0.01 |
Common Stock, Shares Authorized | 900,000,000 | 900,000,000 |
Common Stock, Shares, Issued | 367,527,725 | 366,395,920 |
Common Stock, Shares, Outstanding | 367,527,725 | 366,395,920 |
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 | $ 2,508,625 | $ 1,754,943 |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | $ 1,727,995 | $ 1,219,821 |
CONDENSED CONSOLIDATED STATEMEN
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Interest income: | ||||
Available-for-sale securities | $ 118,129 | $ 127,605 | $ 253,654 | $ 251,518 |
Trading securities | 3,981 | 1,940 | 8,676 | 3,866 |
Residential mortgage loans held-for-sale | 7,518 | 2,699 | 11,789 | 7,285 |
Residential mortgage loans held-for-investment in securitization trusts | 21,830 | 7,761 | 40,067 | 15,654 |
Commercial real estate loans held-for-investment | 850 | 0 | 894 | 0 |
Cash and cash equivalents | 221 | 144 | 418 | 361 |
Total interest income | 152,529 | 140,149 | 315,498 | 278,684 |
Interest expense: | ||||
Repurchase agreements | 19,398 | 18,603 | 39,963 | 39,175 |
Collateralized borrowings in securitization trusts | 13,131 | 5,592 | 23,839 | 10,945 |
Federal Home Loan Bank advances | 2,500 | 755 | 4,730 | 908 |
Total interest expense | 35,029 | 24,950 | 68,532 | 51,028 |
Net interest income | 117,500 | 115,199 | 246,966 | 227,656 |
Other-than-temporary impairments: | ||||
Total other-than-temporary impairment losses | (170) | 0 | (297) | (212) |
Non-credit portion of loss recognized in other comprehensive (loss) income | 0 | 0 | 0 | 0 |
Net other-than-temporary credit impairment losses | (170) | 0 | (297) | (212) |
Other income: | ||||
Gain (loss) on investment securities | 69,932 | 37,688 | 199,389 | (967) |
Gain (loss) on interest rate swap and swaption agreements | 44,952 | (116,019) | (81,491) | (221,547) |
Loss on other derivative instruments | (5,484) | (24,202) | (2,517) | (18,401) |
(Loss) gain on residential mortgage loans held-for-sale | (6,832) | 11,801 | 2,260 | 8,620 |
Servicing income | 30,516 | 33,868 | 62,603 | 64,309 |
Gain (loss) on servicing asset | 17,635 | (29,571) | (34,768) | (62,331) |
Other (loss) income | (16,609) | 21,003 | (18,466) | 21,463 |
Total other income (loss) | 134,110 | (65,432) | 127,010 | (208,854) |
Expenses: | ||||
Management fees | 12,686 | 12,190 | 25,407 | 24,301 |
Securitization deal costs | 2,484 | 0 | 5,095 | 0 |
Servicing expenses | 5,899 | 6,857 | 12,615 | 12,082 |
Other operating expenses | 15,827 | 14,323 | 31,882 | 28,857 |
Total expenses | 36,896 | 33,370 | 74,999 | 65,240 |
Income (loss) before income taxes | 214,544 | 16,397 | 298,680 | (46,650) |
Benefit from income taxes | (6,957) | (23,260) | (17,614) | (57,162) |
Net income | $ 221,501 | $ 39,657 | $ 316,294 | $ 10,512 |
Basic and diluted earnings per weighted average common share | $ 0.60 | $ 0.11 | $ 0.86 | $ 0.03 |
Dividends declared per common share | $ 0.26 | $ 0.26 | $ 0.52 | $ 0.52 |
Basic and diluted weighted average number of shares of common stock outstanding | 367,074,131 | 366,078,124 | 366,792,459 | 365,846,295 |
Comprehensive income: | ||||
Net income | $ 221,501 | $ 39,657 | $ 316,294 | $ 10,512 |
Other comprehensive (loss) income: | ||||
Unrealized (loss) gain on available-for-sale securities, net | (218,826) | 191,160 | (224,757) | 372,895 |
Other comprehensive (loss) income | (218,826) | 191,160 | (224,757) | 372,895 |
Comprehensive income | $ 2,675 | $ 230,817 | $ 91,537 | $ 383,407 |
CONDENSED CONSOLIDATED STATEME5
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Common Stock | Additional Paid-in Capital | Accumulated Other Comprehensive Income (Loss) | Cumulative Earnings | Cumulative Distributions to Stockholders |
Balance, shares at Dec. 31, 2013 | 364,935,168 | |||||
Balance at Dec. 31, 2013 | $ 3,854,995 | $ 3,649 | $ 3,795,372 | $ 444,735 | $ 1,028,397 | $ (1,417,158) |
Net income | 10,512 | 0 | 0 | 0 | 10,512 | 0 |
Other comprehensive income (loss) before reclassifications | 350,455 | 0 | 0 | 350,455 | 0 | 0 |
Amounts reclassified from accumulated other comprehensive income (loss) | 22,440 | 0 | 0 | 22,440 | 0 | 0 |
Net other comprehensive income (loss) | 372,895 | $ 0 | 0 | 372,895 | 0 | 0 |
Issuance of common stock, net of offering costs, shares | 23,474 | |||||
Issuance of common stock, net of offering costs | 240 | $ 0 | 240 | 0 | 0 | 0 |
Common dividends declared | (190,361) | $ 0 | 0 | 0 | 0 | (190,361) |
Non-cash equity award compensation, shares | 1,152,277 | |||||
Non-cash equity award compensation | 10,224 | $ 12 | 10,212 | 0 | 0 | 0 |
Balance, shares at Jun. 30, 2014 | 366,110,919 | |||||
Balance at Jun. 30, 2014 | $ 4,058,505 | $ 3,661 | 3,805,824 | 817,630 | 1,038,909 | (1,607,519) |
Balance, shares at Dec. 31, 2014 | 366,395,920 | 366,395,920 | ||||
Balance at Dec. 31, 2014 | $ 4,068,042 | $ 3,664 | 3,811,027 | 855,789 | 1,195,536 | (1,797,974) |
Cumulative effect of adoption of new accounting principle at Dec. 31, 2014 | (2,991) | 0 | 0 | 0 | (2,991) | 0 |
Adjusted balance at Dec. 31, 2014 | 4,065,051 | 3,664 | 3,811,027 | 855,789 | 1,192,545 | (1,797,974) |
Net income | 316,294 | 0 | 0 | 0 | 316,294 | 0 |
Other comprehensive income (loss) before reclassifications | (49,983) | 0 | 0 | (49,983) | 0 | 0 |
Amounts reclassified from accumulated other comprehensive income (loss) | (174,774) | 0 | 0 | (174,774) | 0 | 0 |
Net other comprehensive income (loss) | (224,757) | $ 0 | 0 | (224,757) | 0 | 0 |
Issuance of common stock, net of offering costs, shares | 36,184 | |||||
Issuance of common stock, net of offering costs | 226 | $ 0 | 226 | 0 | 0 | 0 |
Common dividends declared | (190,864) | $ 0 | 0 | 0 | 0 | (190,864) |
Non-cash equity award compensation, shares | 1,095,621 | |||||
Non-cash equity award compensation | $ 5,619 | $ 11 | 5,608 | 0 | 0 | 0 |
Balance, shares at Jun. 30, 2015 | 367,527,725 | 367,527,725 | ||||
Balance at Jun. 30, 2015 | $ 3,971,569 | $ 3,675 | $ 3,816,861 | $ 631,032 | $ 1,508,839 | $ (1,988,838) |
CONDENSED CONSOLIDATED STATEME6
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Cash Flows From Operating Activities: | ||
Net income | $ 316,294 | $ 10,512 |
Adjustments to reconcile net income to net cash (used in) provided by operating activities: | ||
Amortization of premiums and discounts on investment securities and commercial real estate loans held-for-investment, net | 22,157 | 1,840 |
Other-than-temporary impairment losses | 297 | 212 |
Realized and unrealized (gains) losses on investment securities, net | (199,389) | 967 |
Gain on residential mortgage loans held-for-sale | (2,260) | (8,620) |
Loss (gain) on residential mortgage loans held-for-investment and collateralized borrowings in securitization trusts | 20,525 | (21,142) |
Loss on servicing asset | 34,768 | 62,331 |
Loss on termination and option expiration of interest rate swaps and swaptions | 63,076 | 6,401 |
Unrealized (gain) loss on interest rate swaps and swaptions | (35,258) | 182,420 |
Unrealized gain on other derivative instruments | (1,634) | (51) |
Equity based compensation | 5,619 | 10,224 |
Depreciation of fixed assets | 652 | 463 |
Amortization of intangible assets | 0 | 533 |
Purchases of residential mortgage loans held-for-sale | (1,382,061) | (261,983) |
Proceeds from sales of residential mortgage loans held-for-sale | 75,272 | 400,739 |
Proceeds from repayment of residential mortgage loans held-for-sale | 53,452 | 11,160 |
Net change in assets and liabilities: | ||
Decrease in accrued interest receivable | 8,518 | 193 |
Increase in deferred income taxes, net | (11,393) | (60,310) |
Increase in income taxes receivable | (7,175) | (290) |
Increase in prepaid and fixed assets | (228) | (929) |
Decrease (increase) in other receivables | 6,059 | (11,396) |
Increase in servicing advances | (3,338) | (8,532) |
Decrease in accrued interest payable | (4,788) | (3,756) |
Decrease in income taxes payable | (1,336) | (465) |
Increase in accrued expenses and other liabilities | 2,253 | 5,673 |
Net cash (used in) provided by operating activities | (1,039,918) | 316,194 |
Cash Flows From Investing Activities: | ||
Purchases of available-for-sale securities | (1,705,012) | (2,232,865) |
Proceeds from sales of available-for-sale securities | 2,572,015 | 1,273,923 |
Principal payments on available-for-sale securities | 611,850 | 474,696 |
Short sales and purchases of other derivative instruments | 4,825 | 102,423 |
Proceeds from sales of other derivative instruments, net | (69,085) | (74,476) |
Purchases of trading securities | 0 | (143,022) |
Proceeds from sales of trading securities | 2,004,375 | 143,378 |
Proceeds from repayment of residential mortgage loans held-for-investment in securitization trusts | 335,346 | 26,330 |
Purchases of commercial real estate loans held-for-investment | (45,556) | 0 |
Purchases of mortgage servicing rights, net of purchase price adjustments | (19,522) | (48,419) |
Purchases of Federal Home Loan Bank stock | (25,240) | (60,000) |
Purchases of equity investments | 0 | (3,000) |
Increase (decrease) in due to counterparties, net | 44,203 | (183,167) |
(Increase) decrease in restricted cash | (74,132) | 114,682 |
Net cash provided by (used in) investing activities | 3,634,067 | (609,517) |
Cash Flows From Financing Activities: | ||
Proceeds from repurchase agreements | 28,285,657 | 140,931,599 |
Principal payments on repurchase agreements | (31,795,316) | (141,790,862) |
Proceeds from issuance of collateralized borrowings in securitization trusts | 771,271 | 33,483 |
Principal payments on collateralized borrowings in securitization trusts | (237,630) | (128,756) |
Proceeds from Federal Home Loan Bank advances | 500,000 | 3,793,911 |
Principal payments on Federal Home Loan Bank advances | 0 | (2,293,911) |
Proceeds from issuance of common stock, net of offering costs | 226 | 240 |
Dividends paid on common stock | (190,570) | (95,172) |
Net cash (used in) provided by financing activities | (2,666,362) | 450,532 |
Net (decrease) increase in cash and cash equivalents | (72,213) | 157,209 |
Cash and cash equivalents at beginning of period | 1,005,792 | 1,025,487 |
Cash and cash equivalents at end of period | 933,579 | 1,182,696 |
Supplemental Disclosure of Cash Flow Information: | ||
Cash paid for interest | 50,932 | 54,785 |
Cash paid for taxes | 2,286 | 3,903 |
Noncash Investing and Financing Activities: | ||
Transfers of residential mortgage loans held-for-sale to residential mortgage loans held-for-investment in securitization trusts | 1,091,884 | 0 |
Transfers of residential mortgage loans held-for-sale to other receivables for foreclosed government-guaranteed loans | 7,318 | 0 |
Additions to mortgage servicing rights due to sale of residential mortgage loans held-for-sale | 816 | 0 |
Cumulative-effect adjustment to equity for adoption of new accounting principle | (2,991) | 0 |
Cash dividends declared but not paid at end of period | 95,557 | 95,189 |
Reconciliation of residential mortgage loans held-for-sale: | ||
Residential mortgage loans held-for-sale at beginning of period | 535,712 | 544,581 |
Purchases of residential mortgage loans held-for-sale | 1,382,061 | 261,983 |
Transfers to residential mortgage loans held-for-investment in securitization trusts | (1,091,884) | 0 |
Transfers to other receivables for foreclosed government-guaranteed loans | (7,318) | 0 |
Proceeds from sales of residential mortgage loans held-for-sale | (75,272) | (400,739) |
Proceeds from repayment of residential mortgage loans held-for-sale | (53,452) | (11,160) |
Realized and unrealized gains on residential mortgage loans held-for-sale | 5,231 | 5,176 |
Residential mortgage loans held-for-sale at end of period | $ 695,078 | $ 399,841 |
Organization and Operations (No
Organization and Operations (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
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, commercial real estate and other financial assets. The Company is externally managed and advised by PRCM Advisers LLC, or PRCM Advisers, which is a subsidiary of Pine River Capital Management L.P., or Pine River, a global multi-strategy asset management firm. The Company’s common stock is listed on the NYSE 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 of the Company 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. 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. |
Basis of Presentation and Signi
Basis of Presentation and Significant Accounting Policies (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies [Text Block] | Basis of Presentation and Significant Accounting Policies Consolidation and Basis of Presentation The interim unaudited condensed consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission, or SEC. Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles, or U.S. GAAP, have been condensed or omitted according to such SEC rules and regulations. However, management believes that the disclosures included in these interim condensed consolidated financial statements are adequate to make the information presented not misleading. The accompanying condensed consolidated financial statements should be read in conjunction with the financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2014 . In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at June 30, 2015 and results of operations for all periods presented have been made. The results of operations for the three and six months ended June 30, 2015 should not be construed as indicative of the results to be expected for future periods or the full year. The condensed consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires us to make a number of significant estimates and assumptions. These estimates include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities and disclosure of contingent assets and liabilities as of the date of the condensed consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates ( e.g. , valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. The condensed consolidated financial statements of the Company include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. Certain prior period amounts have been reclassified to conform to the current period presentation. All trust entities in which the Company holds investments that are considered VIEs for financial reporting purposes were reviewed for consolidation under the applicable consolidation guidance. Because the Company has both the power to direct the activities of the 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. Significant Accounting Policies Included in Note 2 to the Consolidated Financial Statements of the Company’s 2014 Annual Report on Form 10-K is a summary of the Company’s significant accounting policies. Provided below is a summary of additional accounting policies that are significant to the Company’s consolidated financial condition and results of operations for the six months ended June 30, 2015 . Commercial Real Estate Loans Held-for-Investment The Company is the sole certificate holder of a trust entity that holds a commercial real estate loan. The trust is considered a VIE for financial reporting purposes and, thus, is reviewed for consolidation under the applicable consolidation guidance. As the Company has both the power to direct the activities of the trust that most significantly impact the entity’s performance, and the obligation to absorb losses or the right to receive benefits of the entity that could be significant, the Company consolidates the trust. The underlying loan is classified as commercial real estate loans held-for-investment on the condensed consolidated balance sheets. The loan is legally isolated from the Company and has been structured to be beyond the reach of creditors of the Company. Interest income on commercial real estate loans held-for-investment is recorded on the condensed consolidated statements of comprehensive income. Commercial real estate loans held-for-investment are reported at cost, net of any unamortized premiums or discounts, unless deemed impaired. The Company evaluates each loan for impairment at least quarterly. Impairment occurs when it is deemed probable that the Company will not be able to collect all amounts due according to the contractual terms of the loan. If a loan is considered to be impaired, the Company records an allowance to reduce the carrying value of the loan to the present value of expected future cash flows. The Company’s commercial real estate loans are collateralized either by real property or by equity interests in the commercial real estate borrower. As a result, the Company regularly evaluates the extent and impact of any credit deterioration associated with the performance and/or value of the underlying collateral property, as well as the financial and operating capability of the borrower, borrowing entity or loan sponsor. The Company also evaluates the financial wherewithal of any loan guarantors as well as the borrower’s competency in managing and operating the properties. In addition, the Company considers the overall economic environment, real estate sector, and geographic sub-market in which the borrower operates. Interest income on commercial real estate loans held-for-investment is recognized at the loan coupon rate. Any premiums or discounts are amortized or accreted into interest income using the effective interest method. Loans are considered past due when they are 30 days past their contractual due date. Interest income recognition is suspended when loans are placed on nonaccrual status. Generally, commercial real estate 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 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. Commercial real estate loans are restored to accrual status only when contractually current or the collection of future payments is reasonably assured. 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 condensed consolidated balance sheets. Separately, the Company presents cash collateral subject to such arrangements on a net basis, based on counterparty, in its condensed consolidated balance sheets. However, the Company does not offset financial assets and liabilities with the associated cash collateral on its condensed consolidated balance sheets. The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of June 30, 2015 and December 31, 2014 : June 30, 2015 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 414,958 $ (67,636 ) $ 347,322 $ (22,475 ) $ — $ 324,847 Total Assets $ 414,958 $ (67,636 ) $ 347,322 $ (22,475 ) $ — $ 324,847 Liabilities Repurchase agreements $ (9,422,803 ) $ — $ (9,422,803 ) $ 9,422,803 $ — $ — Derivative liabilities (90,111 ) 67,636 (22,475 ) 22,475 — — Total Liabilities $ (9,512,914 ) $ 67,636 $ (9,445,278 ) $ 9,445,278 $ — $ — December 31, 2014 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 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 $ — $ — ____________________ (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets. Recently Issued and/or Adopted Accounting Standards Revenue from Contracts with Customers In May 2014, the FASB issued ASU No. 2014-09, which is a comprehensive revenue recognition standard that supersedes virtually all existing revenue guidance under U.S. GAAP. The standard’s core principle is that an entity will recognize revenue when it transfers promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods and services. The ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2016, with early adoption prohibited. The Company has determined this ASU will not have a material impact on the Company’s financial condition or results of operations. Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures In June 2014, the FASB issued ASU No. 2014-11, which requires repurchase-to-maturity transactions to be accounted for as secured borrowings, eliminates the existing guidance for repurchase financings, and requires new disclosures for certain transactions accounted for as secured borrowings and sales. This ASU is effective for the first interim or annual period beginning after December 15, 2014, except for the disclosures related to transactions accounted for as secured borrowings, which are effective for periods beginning on or after March 15, 2015. Adoption of this ASU did not have any impact on the Company’s financial condition or results of operations, but did impact financial statement disclosures. 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 allows 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 requires 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. Early adoption of this ASU was applied using a modified retrospective approach by recording a cumulative-effect adjustment to equity as of January 1, 2015, which did not have a material impact on the Company’s 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 requires 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. Adoption of this ASU did not have a material impact on the Company’s 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 update requires certain disclosures if management concludes that substantial doubt exists and plans to alleviate that doubt. The ASU is effective for annual periods ending after December 15, 2016, and for both annual and interim periods thereafter, with early adoption permitted. Amendments to the Consolidation Analysis In February 2015, the FASB issued ASU No. 2015-02, which changes the guidance on the consolidation of certain investment funds as well as both the variable interest model and the voting model. The ASU requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2015, with early adoption permitted. Early adoption of this ASU did not have a material impact on the Company’s financial condition or results of operations. |
Variable Interest Entities (Not
Variable Interest Entities (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Variable Interest Entities [Abstract] | |
Variable Interest Entities [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. Additionally, the Company is the sole certificate holder of a trust entity that holds a commercial real estate loan. All of these trusts are considered VIEs for financial reporting purposes and, thus, were reviewed for consolidation under the applicable consolidation guidance. Because the Company has both the power to direct the activities of the 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 condensed consolidated financial statements during subsequent reporting periods. The following table presents a summary of the assets and liabilities of all consolidated trusts as reported on the condensed consolidated balance sheets: (in thousands) June 30, December 31, Residential mortgage loans held-for-investment in securitization trusts $ 2,449,199 $ 1,744,746 Commercial real estate loans held-for-investment 45,605 — Accrued interest receivable 13,821 10,197 Total Assets $ 2,508,625 $ 1,754,943 Collateralized borrowings in securitization trusts $ 1,714,735 $ 1,209,663 Accrued interest payable 5,128 3,678 Other liabilities 8,132 6,480 Total Liabilities $ 1,727,995 $ 1,219,821 |
Available-for-Sale Securities,
Available-for-Sale Securities, at Fair Value (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
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 June 30, 2015 and December 31, 2014 : (in thousands) June 30, December 31, Mortgage-backed securities: Agency Federal Home Loan Mortgage Corporation $ 2,279,632 $ 2,418,546 Federal National Mortgage Association 5,796,614 6,768,875 Government National Mortgage Association 2,024,567 2,104,896 Non-Agency 2,706,845 3,048,785 Total mortgage-backed securities $ 12,807,658 $ 14,341,102 At June 30, 2015 and December 31, 2014 , the Company pledged AFS securities with a carrying value of $12.6 billion and $14.2 billion , respectively, as collateral for repurchase agreements and advances from Federal Home Loan Bank of Des Moines, or the FHLB. See Note 16 - Repurchase Agreements and Note 18 - Federal Home Loan Bank of Des Moines Advances . At June 30, 2015 and December 31, 2014 , 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 June 30, 2015 and December 31, 2014 : June 30, 2015 (in thousands) Agency Non-Agency Total Face Value $ 12,222,579 $ 3,667,195 $ 15,889,774 Unamortized premium 612,534 — 612,534 Unamortized discount Designated credit reserve — (657,626 ) (657,626 ) Net, unamortized (2,848,032 ) (820,024 ) (3,668,056 ) Amortized Cost 9,987,081 2,189,545 12,176,626 Gross unrealized gains 189,522 522,291 711,813 Gross unrealized losses (75,790 ) (4,991 ) (80,781 ) Carrying Value $ 10,100,813 $ 2,706,845 $ 12,807,658 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 The following tables present the carrying value of the Company’s AFS investment securities by rate type as of June 30, 2015 and December 31, 2014 : June 30, 2015 (in thousands) Agency Non-Agency Total Adjustable Rate $ 119,710 $ 2,231,509 $ 2,351,219 Fixed Rate 9,981,103 475,336 10,456,439 Total $ 10,100,813 $ 2,706,845 $ 12,807,658 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 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 six months ended June 30, 2015 and 2014 , of the unamortized net discount and designated credit reserves on non-Agency AFS securities. Six Months Ended June 30, 2015 2014 (in thousands) Designated Credit Reserve Unamortized Net Discount Total Designated Credit Reserve Unamortized Net Discount Total Beginning balance at January 1 $ (927,605 ) $ (967,368 ) $ (1,894,973 ) $ (1,234,449 ) $ (1,071,559 ) $ (2,306,008 ) Acquisitions (1,284 ) (3,283 ) (4,567 ) (62,752 ) (46,581 ) (109,333 ) Accretion of net discount — 52,759 52,759 — 64,084 64,084 Realized credit losses 8,470 — 8,470 6,607 — 6,607 Reclassification adjustment for other-than-temporary impairments 1,619 — 1,619 (212 ) — (212 ) Transfers from (to) 58,716 (58,716 ) — 47,495 (47,495 ) — Sales, calls, other 202,458 156,584 359,042 80,854 45,251 126,105 Ending balance at June 30 $ (657,626 ) $ (820,024 ) $ (1,477,650 ) $ (1,162,457 ) $ (1,056,300 ) $ (2,218,757 ) 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 that the securities had an unrealized loss position as of June 30, 2015 and December 31, 2014 . At June 30, 2015 , the Company held 1,455 AFS securities, of which 198 were in an unrealized loss position for less than twelve consecutive months and 177 were in an unrealized loss position for more than twelve consecutive months. At December 31, 2014 , the Company held 1,452 AFS securities, of which 57 were in an unrealized loss position for less than twelve months and 172 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 June 30, 2015 $ 2,659,052 $ (40,295 ) $ 1,204,291 $ (40,486 ) $ 3,863,343 $ (80,781 ) December 31, 2014 $ 413,102 $ (3,146 ) $ 1,323,688 $ (32,885 ) $ 1,736,790 $ (36,031 ) 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 will not be 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 (loss) 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 $0.2 million and $0.3 million in other-than-temporary credit impairments during the three and six months ended June 30, 2015 , respectively, on one non-Agency RMBS where the future expected cash flows for each security were less than its amortized cost. As of June 30, 2015 , impaired securities with a carrying value of $141.2 million had actual weighted average cumulative losses of 10.4% , weighted average three-month prepayment speed of 4.3% , weighted average 60+ day delinquency of 27.2% of the pool balance, and weighted average FICO score of 664 . At June 30, 2015 , 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 six months ended June 30, 2014 , the Company recorded $0.2 million in other-than-temporary credit impairments on a total of three non-Agency RMBS 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 three and six months ended June 30, 2015 and 2014 : Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2015 2014 2015 2014 Cumulative credit loss at beginning of period $ (6,452 ) $ (9,215 ) $ (8,241 ) $ (9,467 ) Additions: Other-than-temporary impairments not previously recognized — — — (91 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments (170 ) — (297 ) (121 ) Reductions: Decreases related to other-than-temporary impairments on securities paid down — — — 464 Decreases related to other-than-temporary impairments on securities sold — 1,154 1,916 1,154 Cumulative credit loss at end of period $ (6,622 ) $ (8,061 ) $ (6,622 ) $ (8,061 ) 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 condensed consolidated statements of comprehensive income. For the three and six months ended June 30, 2015 , the Company sold AFS securities for $1.7 billion and $2.6 billion with an amortized cost of $1.6 billion and $2.4 billion for net realized gains of $75.9 million and $193.3 million , respectively. For the three and six months ended June 30, 2014 , the Company sold AFS securities for $459.4 million and $1.3 billion with an amortized cost of $423.4 million and $1.3 billion for net realized gains of $36.0 million and losses of $2.8 million , respectively. The following table presents the gross realized gains and losses on sales of AFS securities for the three and six months ended June 30, 2015 and 2014 : Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2015 2014 2015 2014 Gross realized gains $ 76,199 $ 35,954 $ 193,887 $ 43,163 Gross realized losses (336 ) — (556 ) (45,997 ) Total realized gains (losses) on sales, net $ 75,863 $ 35,954 $ 193,331 $ (2,834 ) |
Trading Securities, at Fair Val
Trading Securities, at Fair Value (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Trading Securities [Abstract] | |
Trading Securities, at Fair Value | Trading Securities, at Fair Value At December 31, 2014 and during the three and six months ended June 30, 2015 , the Company held U.S. Treasuries in a TRS and classified these securities as trading instruments due to short-term investment objectives. The following table presents the carrying value of the Company’s trading securities as of June 30, 2015 and December 31, 2014 : (in thousands) June 30, December 31, Amortized cost $ — $ 1,996,289 Unrealized gains (losses), net — 1,367 Carrying value $ — $ 1,997,656 For both the three and six months ended June 30, 2015 , the Company sold trading securities for $2.0 billion with an amortized cost of $2.0 billion , resulting in realized gains of $7.4 million on the sale of these securities. For the three and six months ended June 30, 2014 , the Company sold trading securities for $44.8 million and $143.4 million with an amortized cost of $44.8 million and $143.0 million , resulting in realized losses of $7,031 and gains of $0.4 million , respectively, on the sale of these securities. For the three and six months ended June 30, 2015 , trading securities experienced changes in unrealized losses of $13.4 million and $1.4 million , respectively. For the three and six months ended June 30, 2014 , trading securities experienced changes in unrealized gains of $1.7 million and $1.5 million , respectively. Both realized and unrealized gains and losses are recorded as a component of gain (loss) on investment securities in the Company’s condensed consolidated statements of comprehensive income. At December 31, 2014 , the Company pledged trading securities with a carrying value of $2.0 billion as collateral for repurchase agreements. See Note 16 - Repurchase Agreements . |
Residential Mortgage Loans Held
Residential Mortgage Loans Held-for-Sale, at Fair Value (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Residential Mortgage Loans Held-for-Sale [Abstract] | |
Residential Mortgage Loans Held-for-Sale [Text Block] | Residential Mortgage Loans Held-for-Sale, at Fair Value Residential 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 residential mortgage loans held-for-sale as of June 30, 2015 and December 31, 2014 : (in thousands) June 30, December 31, Unpaid principal balance $ 703,966 $ 534,101 Fair value adjustment (8,888 ) 1,611 Carrying value $ 695,078 $ 535,712 At June 30, 2015 and December 31, 2014 , the Company pledged residential mortgage loans with a carrying value of $561.8 million and $416.8 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 . |
Residential Mortgage Loans He13
Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Residential Mortgage Loans Held-for-Investment, at Fair Value [Abstract] | |
Residential Mortgage Loans Held-for-Investment [Text Block] | Residential 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 condensed consolidated balance sheets, are classified as residential 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 residential mortgage loans held-for-investment in securitization trusts as of June 30, 2015 and December 31, 2014 : (in thousands) June 30, December 31, Unpaid principal balance $ 2,431,573 $ 1,699,748 Fair value adjustment 17,626 44,998 Carrying value $ 2,449,199 $ 1,744,746 |
Commercial Real Estate Loans He
Commercial Real Estate Loans Held-for-Investment Commercial Real Estate Loans Held-for-Investment (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Receivables [Abstract] | |
Commercial Real Estate Loans Held-for-Investment [Text Block] | Commercial Real Estate Loans Held-for-Investment The Company is the sole certificate holder of a trust entity that holds a commercial real estate loan. The underlying loan held by the trust, which is consolidated on the Company’s condensed consolidated balance sheet, is classified as commercial real estate loans held-for-investment and carried at cost, net of any unamortized premiums or discounts, unless deemed impaired. See Note 3 - Variable Interest Entities for additional information regarding consolidation of the trust. The following table presents the carrying value of the Company’s commercial real estate loans held-for-investment as of June 30, 2015 and December 31, 2014 : (in thousands) June 30, December 31, Unpaid principal balance $ 45,900 $ — Unamortized discount (295 ) — Carrying value $ 45,605 $ — As of June 30, 2015 , the Company’s commercial real estate loans held-for-investment were comprised of one newly-issued senior mezzanine commercial real estate loan with a two-year interest-only term. The Company evaluates each loan for impairment at least quarterly as described in Note 2 - Basis of Presentation and Significant Accounting Policies . As of June 30, 2015 , the properties collateralizing the Company’s one commercial real estate loan have continued to perform as originally underwritten, and as such, are considered to have very low risk. The Company has not recorded any allowances for losses as it is not deemed probable that the Company will not be able to collect all amounts due according to the contractual terms of the loan. The Company did not hold any commercial real estate loans held-for-investment as of December 31, 2014 . At June 30, 2015 , the Company pledged commercial real estate loans held-for-investment with a carrying value of $45.6 million as collateral for repurchase agreements. See Note 16 - Repurchase Agreements . |
Servicing Activities (Notes)
Servicing Activities (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
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 One of the Company’s wholly owned subsidiaries has 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, which represent the right to control the servicing of 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 three and six months ended June 30, 2015 and 2014 . Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2015 2014 2015 2014 Balance at beginning of period $ 410,229 $ 476,663 $ 452,006 $ 514,402 Additions from purchases of servicing rights 4,210 53,013 8,534 54,293 Additions from sales of residential mortgage loans 589 — 816 — Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model 25,440 (15,655 ) (17,649 ) (35,905 ) Other changes in fair value (1) (7,805 ) (13,916 ) (17,119 ) (26,427 ) Other changes (2) 4,913 385 10,988 (5,873 ) Balance at end of period $ 437,576 $ 500,490 $ 437,576 $ 500,490 ____________________ (1) Other changes in fair value primarily represents changes due to the realization of expected cash flows. (2) Other changes includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral. As of June 30, 2015 and December 31, 2014 , the key economic assumptions and sensitivity of the fair value of MSR to immediate 10% and 20% adverse changes in these assumptions were as follows: (in thousands) June 30, December 31, Weighted average prepayment speed: 11.2 % 11.9 % Impact on fair value of 10% adverse change $ (17,941 ) $ (14,012 ) Impact on fair value of 20% adverse change $ (34,131 ) $ (31,640 ) Weighted average delinquency: 4.6 % 5.6 % Impact on fair value of 10% adverse change $ (2,188 ) $ (3,616 ) Impact on fair value of 20% adverse change $ (4,376 ) $ (6,780 ) Weighted average discount rate: 9.4 % 9.5 % Impact on fair value of 10% adverse change $ (15,753 ) $ (16,272 ) Impact on fair value of 20% adverse change $ (30,630 ) $ (31,640 ) 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 condensed consolidated statements of comprehensive income for the three and six months ended June 30, 2015 and 2014 : Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2015 2014 2015 2014 Servicing fee income $ 29,586 $ 33,079 $ 60,823 $ 62,950 Ancillary fee income 551 581 1,115 1,044 Float income 379 208 665 315 Total $ 30,516 $ 33,868 $ 62,603 $ 64,309 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 $30.8 million and $27.5 million and were included in other assets on the condensed consolidated balance sheets as of June 30, 2015 and December 31, 2014 , respectively. Serviced Mortgage Assets The Company’s total serviced mortgage assets consist of loans owned and classified as residential mortgage loans held-for-sale, loans held in consolidated VIEs classified as residential 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 June 30, 2015 and December 31, 2014 : June 30, 2015 December 31, 2014 (dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance Residential mortgage loans held-for-sale 1,293 $ 703,966 1,008 $ 534,101 Residential mortgage loans held-for-investment in securitization trusts 441 322,335 487 358,458 Mortgage servicing rights (1) 214,745 42,811,294 224,073 44,949,061 Total serviced mortgage assets 216,479 $ 43,837,595 225,568 $ 45,841,620 ____________________ (1) Includes residential mortgage loans held-for-investment in securitization trusts for which the Company is the named servicing administrator. |
Restricted Cash (Notes)
Restricted Cash (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
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 June 30, 2015 and December 31, 2014 : (in thousands) June 30, December 31, Restricted cash balances held by trading counterparties: For securities and loan trading activity $ 17,250 $ 12,000 For derivatives trading activity 210,597 211,989 As restricted collateral for repurchase agreements and Federal Home Loan Bank advances 182,709 112,435 Total restricted cash balances held by trading counterparties 410,556 336,424 Restricted cash balance pursuant to letter of credit on office lease 347 347 Total $ 410,903 $ 336,771 |
Accrued Interest Receivable (No
Accrued Interest Receivable (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
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) June 30, December 31, Accrued Interest Receivable: U.S. Treasuries $ — $ 8,084 Mortgage-backed securities: Agency Federal Home Loan Mortgage Corporation 8,042 8,734 Federal National Mortgage Association 19,223 22,392 Government National Mortgage Association 9,901 10,290 Non-Agency 3,576 3,835 Total mortgage-backed securities 40,742 45,251 Residential mortgage loans held-for-sale 2,448 1,997 Residential mortgage loans held-for-investment in securitization trusts 13,680 10,197 Commercial real estate loans held-for-investment 141 — Total $ 57,011 $ 65,529 |
Derivative Instruments and Hedg
Derivative Instruments and Hedging Activities (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments and Hedging Activities | Derivative Instruments and Hedging Activities The Company enters into a variety of derivative and non-derivative instruments in connection with its risk management activities. The Company’s primary objective for executing these derivative and non-derivative instruments is to mitigate the Company’s economic exposure to future events that are outside its control. The Company’s derivative financial instruments are utilized principally to manage market risk and cash flow volatility associated with interest rate risk (including associated prepayment risk) related to certain assets and liabilities. As part of its risk management activities, the Company may, at times, enter into various forward contracts, including short securities, Agency to-be-announced securities, or TBAs, options, futures, swaps, caps, 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, short U.S. Treasuries, put and call options for TBAs and U.S. Treasuries, 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, Derivatives and Hedging , as amended and interpreted, or ASC 815, the Company records derivative financial instruments on its condensed consolidated balance sheets 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 June 30, 2015 and December 31, 2014 . (in thousands) June 30, 2015 Derivative Assets Derivative Liabilities Trading instruments Fair Value Notional Fair Value Notional Inverse interest-only securities $ 178,848 $ 1,049,743 $ — $ — Interest rate swap agreements 46,935 14,325,523 (1,402 ) 1,900,000 Credit default swaps — — (1,164 ) 125,000 Swaptions, net 120,707 10,050,000 (11,887 ) 640,000 TBAs — — (5,187 ) 1,434,000 Put and call options for TBAs, net — — (105 ) — Constant maturity swaps — — — — Markit IOS total return swaps 725 855,872 (134 ) 132,537 Forward purchase commitments 107 135,181 (2,596 ) 491,479 Total $ 347,322 $ 26,416,319 $ (22,475 ) $ 4,723,016 (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 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 condensed consolidated statements of comprehensive income on the Company’s 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 Three Months Ended June 30, Six Months Ended June 30, 2015 2014 2015 2014 Interest rate risk management TBAs (1) Loss on other derivative instruments $ 5,262 $ (29,877 ) $ (22,696 ) $ (47,780 ) Short U.S. Treasuries (1) Loss on other derivative instruments 125 (8 ) 125 (8 ) Put and call options for TBAs (1) Loss on other derivative instruments 5,671 (4,614 ) 8,206 (6,319 ) Put and call options for U.S. Treasuries (1) Loss on other derivative instruments (837 ) — (837 ) — Constant maturity swaps (1) Loss on other derivative instruments 74 (6,103 ) 6,164 5,428 Interest rate swap agreements - Receivers (1) Gain (loss) on interest rate swap and swaption agreements (42,470 ) 65,963 (144 ) 106,942 Interest rate swap agreements - Payers (1) Gain (loss) on interest rate swap and swaption agreements 20,713 (46,341 ) (31,846 ) (59,761 ) Swaptions (1) Gain (loss) on interest rate swap and swaption agreements 19,752 (57,250 ) 1,246 (169,808 ) Markit IOS total return swaps (1) Loss on other derivative instruments (20,658 ) 353 (17,526 ) (1,372 ) Interest rate swap agreements - Payers (2) Gain (loss) on interest rate swap and swaption agreements 46,957 (78,391 ) (50,747 ) (98,920 ) Credit risk management Credit default swaps - Receive protection (3) Loss on other derivative instruments (30 ) (5 ) (123 ) 1,976 Non-risk management TBAs Loss on other derivative instruments — — — (4,701 ) Inverse interest-only securities Loss on other derivative instruments 4,909 16,052 24,170 34,375 Forward purchase commitments (Loss) gain on residential mortgage loans held-for-sale (5,130 ) 4,163 (4,160 ) 3,746 Total $ 34,338 $ (136,058 ) $ (88,168 ) $ (236,202 ) ____________________ (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 residential mortgage loans held-for-sale. For the three and six months ended June 30, 2015 , the Company recognized $26.1 million and $53.7 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 $16.7 billion and $17.5 billion notional, respectively, and receiving either LIBOR interest or a fixed interest rate. For the three and six months ended June 30, 2014 , the Company recognized $18.9 million and $32.7 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 $23.5 billion and $21.3 billion notional, respectively, and receiving either LIBOR interest or a fixed interest rate. The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the three and six months ended June 30, 2015 and 2014 : Three Months Ended June 30, 2015 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 1,106,210 $ 12,563 $ (69,030 ) $ 1,049,743 $ 1,086,760 $ 64 Interest rate swap agreements 19,929,000 11,493,227 (15,196,704 ) 16,225,523 16,681,983 (66,799 ) Credit default swaps 125,000 — — 125,000 125,000 — Swaptions, net 12,960,000 1,500,000 (5,050,000 ) 9,410,000 10,292,418 (8,053 ) TBAs, net (2,496,000 ) (3,929,000 ) 5,401,000 (1,024,000 ) (1,362,451 ) (7,482 ) Short U.S. Treasuries — (50,000 ) 50,000 — — 125 Put and call options for TBAs, net (2,500,000 ) — 2,500,000 — (722,527 ) 10,843 Put and call options for U.S. Treasuries, net — 500,000 (500,000 ) — 2,747 (837 ) Constant maturity swaps 3,000,000 — (3,000,000 ) — 384,615 1,310 Markit IOS total return swaps 877,529 747,910 (637,030 ) 988,409 1,201,515 (13,130 ) Forward purchase commitments 707,304 978,297 (1,058,941 ) 626,660 679,266 (1,318 ) Total $ 33,709,043 $ 11,252,997 $ (17,560,705 ) $ 27,401,335 $ 28,369,326 $ (85,277 ) Three Months Ended June 30, 2014 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 1,412,374 $ — $ (88,724 ) $ 1,323,650 $ 1,372,535 $ — Interest rate swap agreements 21,663,148 8,465,000 (6,500,000 ) 23,628,148 23,467,489 (2,983 ) Credit default swaps 125,000 — — 125,000 125,000 — Swaptions, net 9,500,000 3,250,000 (1,300,000 ) 11,450,000 10,412,088 (2,178 ) TBAs, net (1,022,000 ) (2,032,000 ) 2,682,000 (372,000 ) 660,308 (26,530 ) Short U.S. Treasuries — (125,000 ) 125,000 — 1,374 2 Put and call options for TBAs, net 1,500,000 — (1,500,000 ) — 901,099 (5,332 ) Constant maturity swaps 10,000,000 4,000,000 (8,000,000 ) 6,000,000 5,571,429 (1,460 ) Markit IOS total return swaps 243,987 339,869 (7,378 ) 576,478 393,910 — Forward purchase commitments 153,637 872,756 (378,452 ) 647,941 367,940 332 Total $ 43,576,146 $ 14,770,625 $ (14,967,554 ) $ 43,379,217 $ 43,273,172 $ (38,149 ) Six Months Ended June 30, 2015 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 1,168,226 $ 12,563 $ (131,046 ) $ 1,049,743 $ 1,112,471 $ 64 Interest rate swap agreements 18,584,000 17,113,227 (19,471,704 ) 16,225,523 17,455,887 (67,869 ) Credit default swaps 125,000 — — 125,000 125,000 — Swaptions, net 12,410,000 7,050,000 (10,050,000 ) 9,410,000 11,564,972 4,793 TBAs, net (1,325,000 ) (10,862,000 ) 11,163,000 (1,024,000 ) (1,739,978 ) (24,846 ) Short U.S. Treasuries — (50,000 ) 50,000 — — 125 Put and call options for TBAs, net 2,000,000 250,000 (2,250,000 ) — (359,116 ) 7,796 Put and call options for U.S. Treasuries, net — 500,000 (500,000 ) — 1,381 (837 ) Constant maturity swaps 14,000,000 6,000,000 (20,000,000 ) — 4,552,486 7,694 Markit IOS total return swaps 598,459 1,424,543 (1,034,593 ) 988,409 1,039,332 (8,928 ) Forward purchase commitments 554,838 2,106,931 (2,035,109 ) 626,660 663,890 (374 ) Total $ 48,115,523 $ 23,545,264 $ (44,259,452 ) $ 27,401,335 $ 34,416,325 $ (82,382 ) Six Months Ended June 30, 2014 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 1,525,845 $ — $ (202,195 ) $ 1,323,650 $ 1,421,330 $ 193 Interest rate swap agreements 19,619,000 11,409,148 (7,400,000 ) 23,628,148 21,324,091 (3,005 ) Credit default swaps 427,073 — (302,073 ) 125,000 152,059 (13,705 ) Swaptions, net 5,130,000 7,150,000 (830,000 ) 11,450,000 9,699,558 (3,396 ) TBAs, net 603,000 (2,924,000 ) 1,949,000 (372,000 ) 593,746 (14,677 ) Short U.S. Treasuries — (125,000 ) 125,000 — 691 2 Put and call options for TBAs, net — 1,500,000 (1,500,000 ) — 580,110 (5,332 ) Constant maturity swaps 10,000,000 12,000,000 (16,000,000 ) 6,000,000 7,773,481 2,427 Markit IOS total return swaps 49,629 536,881 (10,032 ) 576,478 274,573 — Forward purchase commitments 12,063 1,058,706 (422,828 ) 647,941 204,336 302 Total $ 37,366,610 $ 30,605,735 $ (24,593,128 ) $ 43,379,217 $ 42,023,975 $ (37,191 ) ____________________ (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 condensed consolidated statements of cash flows. Derivative fair value adjustments are reflected within the unrealized (gain) loss on interest rate swaps and swaptions, unrealized gain on other derivative instruments, and gain on residential mortgage loans held-for-sale line items within the operating activities section of the condensed consolidated statements of cash flows. Realized gains and losses on interest rate swap and swaption agreements are reflected within the loss on termination and option expiration of interest rate swaps and swaptions line item within the operating activities section of the condensed consolidated statements of cash flows. The remaining cash flow activity related to derivative instruments is reflected within the short sales and purchases of other derivative instruments, proceeds from sales of other derivative instruments, net and increase (decrease) in due to counterparties, net line items within the investing activities section of the condensed consolidated statements of cash flows. Interest Rate Sensitive Assets/Liabilities 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 fixed-rate interest-only securities, which increase in value when interest rates increase, as well as TBA positions, short U.S. Treasuries, put and call options for TBAs and U.S. Treasuries, constant maturity swaps, interest rate swap and swaption agreements and Markit IOS total return swaps to further mitigate its exposure to higher interest rates, decreased prepayment speeds and widening mortgage spreads. As of June 30, 2015 and December 31, 2014 , the Company had outstanding fair value of $49.3 million and $55.7 million , respectively, of interest-only securities in place to economically hedge its investment securities. These interest-only securities are included in AFS securities, at fair value, in the condensed consolidated balance sheets. The Company is exposed to interest rate risk on residential 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 residential 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 residential mortgage loans and residential mortgage loans held-for-sale, such as interest rate swaps, swaptions, TBA positions, short U.S. Treasuries, put and call options for TBAs and U.S. Treasuries 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 June 30, 2015 , $0.2 billion of the Company’s long notional TBA positions and $1.2 billion of the Company’s short notional TBA positions were held in order to economically hedge portfolio risk. 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. 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 June 30, 2015 and December 31, 2014 : As of June 30, 2015 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 205,000 $ 219,441 $ 219,369 $ — $ (72 ) Sale contracts (1,229,000 ) (1,284,198 ) (1,289,313 ) — (5,115 ) TBAs, net $ (1,024,000 ) $ (1,064,757 ) $ (1,069,944 ) $ — $ (5,187 ) 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 ) ___________________ (1) Notional amount represents the face amount of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the TBA (or of the underlying Agency RMBS) as of period-end. (4) Net carrying value represents the difference between the market value of the TBA as of period-end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the condensed consolidated balance sheets. Put and Call Options for TBAs . As of June 30, 2015 , the Company had purchased put options for TBAs with a notional amount of $250.0 million and paid upfront premiums of approximately $0.9 million . The Company had also short sold call options for TBAs with a notional amount of $250.0 million and received upfront premiums of approximately $0.9 million as of June 30, 2015 . Each of the options will expire in August 2015 . The put and call options had a net fair market value of $0.1 million included in derivative liabilities, at fair value, in the condensed consolidated balance sheet as of June 30, 2015 . As of December 31, 2014 , the Company had purchased put options for TBAs with a notional amount of $2.0 billion and paid upfront premiums of approximately $0.6 million . The put options had a net fair market value of $0.1 million included in derivative assets, at fair value, in the condensed consolidated balance sheet as of December 31, 2014 . 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 swap agreements in place at December 31, 2014 : (notional and dollars in thousands) December 31, 2014 Determination Date Average Strike Swap Rate Notional Amount Fair Value Upfront Premium Paid Unrealized Gain (Loss) January 2015 0.538 % $ 7,000,000 $ 1,502 $ — $ 1,502 February 2015 0.572 % 2,000,000 (13 ) — (13 ) March 2015 0.552 % 5,000,000 41 — 41 Total 0.548 % $ 14,000,000 $ 1,530 $ — $ 1,530 The Company did not have any constant maturity swap agreements in place at June 30, 2015 . Interest Rate Swap Agreements . As of June 30, 2015 and December 31, 2014 , 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 three-month LIBOR rate: (notional in thousands) June 30, 2015 Swaps Maturities Notional Amounts Average Fixed Pay Rate Average Receive Rate Average Maturity (Years) 2018 $ 2,040,000 1.563 % 0.282 % 3.44 2020 and Thereafter 1,210,000 2.164 % 0.281 % 5.58 Total $ 3,250,000 1.787 % 0.282 % 4.24 (notional in thousands) December 31, 2014 Swaps Maturities Notional Amounts Average Fixed Pay Rate Average Receive Rate Average Maturity (Years) 2017 $ 2,000,000 1.070 % 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 % 3.80 Additionally, as of June 30, 2015 and December 31, 2014 , 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 three-month LIBOR rate: (notional in thousands) June 30, 2015 Swaps Maturities Notional Amounts Average Pay Rate Average Fixed Receive Rate Average Maturity (Years) 2018 $ 575,000 0.281 % 1.440 % 3.39 2020 and Thereafter 1,889,000 0.283 % 2.588 % 8.10 Total $ 2,464,000 0.282 % 2.320 % 7.00 (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 % 1.440 % 3.89 2019 and Thereafter 1,579,000 0.239 % 2.794 % 9.19 Total $ 2,154,000 0.237 % 2.433 % 7.77 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 June 30, 2015 and December 31, 2014 , the Company had the following outstanding interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) associated with the Company’s short-term repurchase agreements and FHLB advances: (notional in thousands) June 30, 2015 Swaps Maturities Notional Amount Average Fixed Pay Rate Average Receive Rate Average Maturity (Years) 2016 $ 4,200,000 0.583 % 0.282 % 1.10 2017 2,375,000 0.864 % 0.281 % 2.09 2018 800,000 1.165 % 0.280 % 2.65 2019 350,000 1.730 % 0.278 % 3.94 2020 and Thereafter 2,786,523 1.944 % 0.279 % 7.62 Total $ 10,511,523 1.090 % 0.281 % 3.26 (notional in thousands) December 31, 2014 Swaps Maturities Notional Amount 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 % 7.70 Total $ 11,490,000 1.089 % 0.246 % 2.92 Interest Rate Swaptions . As of June 30, 2015 and December 31, 2014 , 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: June 30, 2015 (notional and dollars in thousands) Option Underlying Swap Swaption Expiration Cost Fair Value Average Months to Expiration Notional Amount Average Pay Rate Average Receive Rate Average Term (Years) Purchase contracts: Payer < 6 Months $ 17,963 $ 14,444 4.36 $ 5,600,000 2.75 % 3M Libor 6.3 Payer ≥ 6 Months 259,328 134,633 50.71 9,210,000 4.01 % 3M Libor 6.9 Total Payer $ 277,291 $ 149,077 46.40 $ 14,810,000 3.53 % 3M Libor 6.7 Receiver < 6 Months $ 13,538 $ 298 1.04 $ 2,000,000 3M Libor 1.33 % 5.0 Total Receiver $ 13,538 $ 298 1.04 $ 2,000,000 3M Libor 1.33 % 5.0 Sale contracts: Payer ≥ 6 Months $ (81,248 ) $ (20,660 ) 24.02 $ (800,000 ) 3.44 % 3M Libor 10.0 Total Payer $ (81,248 ) $ (20,660 ) 24.02 $ (800,000 ) 3.44 % 3M Libor 10.0 Receiver < 6 Months $ (28,980 ) $ (19,895 ) 4.29 $ (6,600,000 ) 3M Libor 1.64 % 6.1 Total Receiver $ (28,980 ) $ (19,895 ) 4.29 $ (6,600,000 ) 3M Libor 1.64 % 6.1 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 % 5.0 Total Receiver $ 10,715 $ 6,462 3.38 $ 5,000,000 3M Libor 1.35 % 5.0 Sale contracts: Payer ≥ 6 Months $ (81,248 ) $ (19,990 ) 30.02 $ (800,000 ) 3.44 % 3M Libor 10.0 Total Payer $ (81,248 ) $ (19,990 ) 30.02 $ (800,000 ) 3.44 % 3M Libor 10.0 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 June 30, 2015 and December 31, 2014 : (notional and dollars in thousands) June 30, 2015 Maturity Date Current Notional Amount Fair Value Upfront Payable Unrealized Gain (Loss) January 12, 2043 $ (390,645 ) $ 641 $ (866 ) $ (225 ) January 12, 2044 (597,764 ) (50 ) (7,799 ) (7,849 ) Total $ (988,409 ) $ 591 $ (8,665 ) $ (8,074 ) (notional and dollars in thousands) December 31, 2014 Maturity Date Current Notional Amount Fair Value Upfront Payable Unrealized Gain (Loss) January 12, 2043 $ (411,281 ) $ 763 $ (1,457 ) $ (694 ) January 12, 2044 (187,178 ) 624 (275 ) 349 Total $ (598,459 ) $ 1,387 $ (1,732 ) $ (345 ) 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 residential 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 under “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 residential mortgage loans. As of June 30, 2015 and December 31, 2014 , 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 whereby the Company is receiving protection held as of June 30, 2015 and December 31, 2014 : (notional and dollars in thousands) June 30, 2015 Protection Maturity Date Average Implied Credit Spread Current Notional Amount Fair Value Upfront (Payable) Receivable Unrealized Gain (Loss) Receive June 20, 2016 105.50 $ (100,000 ) $ (901 ) $ (260 ) $ (1,161 ) December 20, 2016 496.00 (25,000 ) (263 ) (4,062 ) (4,325 ) Total 183.60 $ (125,000 ) $ (1,164 ) $ (4,322 ) $ (5,486 ) (notional and dollars in thousands) December 31, 2014 Protection Maturity Date Average Implied Credit Spread Current Notional Amount Fair Value Upfront (Payable) Receivable Unrealized Gain (Loss) Receive June 20, 2016 105.50 $ (100,000 ) $ (1,350 ) $ (260 ) $ (1,610 ) December 20, 2016 496.00 (25,000 ) (322 ) (4,062 ) (4,384 ) Total 183.60 $ (125,000 ) $ (1,672 ) $ (4,322 ) $ (5,994 ) 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 June 30, 2015 , the fair value of derivative financial instruments as an asset and liability position was $347.3 million and $22.5 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 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 June 30, 2015 , the Company has received cash deposits from counterparties of $75.9 million and placed cash deposits of $211.4 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 Company’s condensed 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 Residential 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 Company’s condensed consolidated balance sheets as assets or liabilities and measured at fair value. Subsequent changes in fair value are recorded on the Company’s cond |
Other Assets (Notes)
Other Assets (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Other Assets [Abstract] | |
Other Assets Disclosure [Text Block] | Other Assets Other assets as of June 30, 2015 and December 31, 2014 are summarized in the following table: (in thousands) June 30, December 31, Property and equipment at cost $ 5,492 $ 4,849 Accumulated depreciation (1) (2,593 ) (1,941 ) Net property and equipment 2,899 2,908 Prepaid expenses 1,375 1,790 Income taxes receivable 7,175 — Deferred tax assets, net 52,240 40,847 Servicing advances 30,828 27,490 Federal Home Loan Bank stock 125,250 100,010 Equity investments 3,000 3,000 Other receivables 13,793 12,534 Total other assets $ 236,560 $ 188,579 ____________________ (1) Depreciation expense for the three and six months ended June 30, 2015 was $0.3 million and $0.7 million , respectively. |
Other Liabilities (Notes)
Other Liabilities (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Other Liabilities [Abstract] | |
Other Liabilities Disclosure [Text Block] | Other Liabilities Other liabilities as of June 30, 2015 and December 31, 2014 are summarized in the following table: (in thousands) June 30, December 31, Accrued expenses $ 30,724 $ 29,819 Accrued interest payable 18,984 23,772 Income taxes payable 39 1,375 Other 10,821 9,473 Total other liabilities $ 60,568 $ 64,439 |
Fair Value (Notes)
Fair Value (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Fair Value Fair Value Measurements ASC 820, Fair Value Measurements and Disclosures , or ASC 820, defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets ( i.e. , observable inputs) and the lowest priority to data lacking transparency ( i.e. , unobservable inputs). Additionally, ASC 820 requires an entity to consider all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability. ASC 820 establishes a three-level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels: Level 1 Inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity. Level 2 Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities. Level 3 Unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation. Following are descriptions of the valuation methodologies used to measure material assets and liabilities at fair value and details of the valuation models, key inputs to those models and significant assumptions utilized. Investment securities . The Company holds a portfolio of AFS and trading securities that are carried at fair value in the condensed consolidated balance sheets. 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 did not hold any U.S. Treasuries at June 30, 2015 . The Company classified 100% of its RMBS AFS securities reported at fair value as Level 2 at June 30, 2015 . AFS securities account for 76.5% of all assets reported at fair value at June 30, 2015 . Residential mortgage loans held-for-sale . The Company holds residential mortgage loans held-for-sale that are carried at fair value in the condensed consolidated balance sheets as a result of a fair value option election. The Company determines fair value of its residential 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 91.2% and 8.8% of its residential mortgage loans held-for-sale as Level 2 and Level 3 fair value assets, respectively, at June 30, 2015 . Residential mortgage loans held-for-investment in securitization trusts . The Company recognizes on its condensed consolidated balance sheets residential mortgage loans held-for-investment in securitization trusts that are carried at fair value as a result of a fair value option election. An entity is allowed 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. As the Company’s securitization trusts are considered qualifying CFEs, the Company determines the fair value of these residential mortgage loans based on the fair value of its collateralized borrowings in securitization trusts and its retained interests from the Company’s on-balance sheet securitizations (eliminated in consolidation in accordance with U.S. GAAP), as the fair value of these instruments is more observable. The Company classified 100% of its residential mortgage loans held-for-investment in securitization trusts as Level 2 fair value assets at June 30, 2015 . Mortgage servicing rights . The Company holds a portfolio of MSR that are carried at fair value on the condensed consolidated balance sheets. 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 June 30, 2015 . 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 and U.S. Treasuries, 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 and U.S. Treasuries, credit default swaps, constant maturity swaps and total returns swaps reported at fair value as Level 2 at June 30, 2015 . The Company also enters into certain other derivative financial instruments, such as TBAs, short U.S. Treasuries and inverse interest-only securities. These instruments are similar in form to the Company’s AFS and trading securities and the Company utilizes a pricing service to value TBAs and broker quotes to value short U.S. Treasuries and inverse interest-only securities. The Company classified 100% of its inverse interest-only securities at fair value as Level 2 at June 30, 2015 . The Company reported 100% of its TBAs as Level 1 as of June 30, 2015 . The Company did not hold any short U.S. Treasuries at June 30, 2015 . The Company may also enter into forward purchase commitments on residential 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 June 30, 2015 , the Company had outstanding commitments to purchase $626.7 million of mortgage loans, subject to fallout if the loans do not close, with a fair value asset of $0.1 million and a fair value liability of $2.6 million . The Company classified 100% of the forward purchase commitments reported at fair value as Level 2 at June 30, 2015 . 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 condensed consolidated balance sheets 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 June 30, 2015 . 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 June 30, 2015 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 12,807,658 $ — $ 12,807,658 Residential mortgage loans held-for-sale — 633,578 61,500 695,078 Residential mortgage loans held-for-investment in securitization trusts — 2,449,199 — 2,449,199 Mortgage servicing rights — — 437,576 437,576 Derivative assets — 347,322 — 347,322 Total assets $ — $ 16,237,757 $ 499,076 $ 16,736,833 Liabilities Collateralized borrowings in securitization trusts $ — $ 1,714,735 $ — $ 1,714,735 Derivative liabilities 5,187 17,288 — 22,475 Total liabilities $ 5,187 $ 1,732,023 $ — $ 1,737,210 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 Residential mortgage loans held-for-sale — 500,159 35,553 535,712 Residential 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 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 June 30, 2015 , 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 condensed consolidated 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 Three Months Ended Six Months Ended June 30, 2015 June 30, 2015 (in thousands) Residential Mortgage Loans Held-For-Sale Mortgage Servicing Rights Residential Mortgage Loans Held-For-Sale Mortgage Servicing Rights Beginning of period level 3 fair value $ 70,149 $ 410,229 $ 35,553 $ 452,006 Gains (losses) included in net income (loss): Realized gains (losses) 10,491 (7,805 ) 15,612 (17,119 ) Unrealized gains (losses) 30 (1) 25,440 (3) 777 (1) (17,649 ) (3) Total net gains (losses) included in net income (loss) 10,521 17,635 16,389 (34,768 ) Other comprehensive income — — — — Purchases 61,054 4,799 131,720 9,350 Sales (51,981 ) — (75,890 ) — Settlements (28,243 ) 4,913 (46,272 ) 10,988 Gross transfers into level 3 — — — — Gross transfers out of level 3 — — — — End of period level 3 fair value $ 61,500 $ 437,576 $ 61,500 $ 437,576 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ 370 (2) $ 25,440 (4) $ 352 (2) $ (17,649 ) (4) ___________________ (1) For the three and six months ended June 30, 2015 , the change in unrealized gains or losses on residential mortgage loans held-for-sale was recorded in (loss) gain on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income. (2) For the three and six months ended June 30, 2015 , the change in unrealized gains or losses on residential mortgage loans held-for-sale that were held at the end of the reporting period was recorded in (loss) gain on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income. (3) For the three and six months ended June 30, 2015 , the change in unrealized gains or losses on MSR was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive income. (4) For the three and six months ended June 30, 2015 , the change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive income. The Company did not incur transfers between Level 1, Level 2 or Level 3 during the six months ended June 30, 2015 . Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place. The Company used a third-party pricing provider in the fair value measurement of its Level 3 residential 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 June 30, 2015 : As of June 30, 2015 Valuation Technique Unobservable Input (1) Range Weighted Average Discounted cash flow Constant prepayment speed 9.5 - 12.8 % 11.2% Delinquency 4.3 - 4.9 % 4.6% Discount rate 8.1 - 10.7 % 9.4% ___________________ (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 mortgage loans are carried within residential mortgage loans held-for-sale on the condensed consolidated balance sheets. The Company’s policy is to separately record interest income on these fair value elected loans. Upfront fees and costs related to the fair value elected loans are not deferred or capitalized. Fair value adjustments are reported in (loss) gain on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income. The fair value option is irrevocable once the loan is acquired. The Company also elected the fair value option for both the residential mortgage loans held-for-investment in securitization trusts and the collateralized borrowings in securitization trusts carried on the condensed consolidated balance sheets. 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 (loss) income on the condensed consolidated statements of comprehensive income. The following tables summarize the fair value option elections and information regarding the line items and amounts recognized in the condensed consolidated statements of comprehensive income for each fair value option-elected item. Three Months Ended June 30, 2015 (in thousands) Interest income (expense) (Loss) gain on residential mortgage loans held-for-sale Other (loss) income Total included in net income Change in fair value due to credit risk Assets Residential mortgage loans held-for-sale $ 7,518 (1) $ (3,019 ) $ — $ 4,499 $ 272 (2) Residential mortgage loans held-for-investment in securitization trusts 21,830 (1) — (49,143 ) (27,313 ) — (3) Liabilities Collateralized borrowings in securitization trusts (13,131 ) — 31,536 18,405 — (3) Total $ 16,217 $ (3,019 ) $ (17,607 ) $ (4,409 ) $ 272 Three Months Ended June 30, 2014 (in thousands) Interest income (expense) (Loss) gain on residential mortgage loans held-for-sale Other (loss) income Total included in net income Change in fair value due to credit risk Assets Residential mortgage loans held-for-sale $ 2,699 (1) $ 7,638 $ — $ 10,337 $ 1,036 (2) Residential mortgage loans held-for-investment in securitization trusts 7,761 (1) — 36,631 44,392 — (3) Liabilities Collateralized borrowings in securitization trusts (5,592 ) — (15,802 ) (21,394 ) — (3) Total $ 4,868 $ 7,638 $ 20,829 $ 33,335 $ 1,036 Six Months Ended June 30, 2015 (in thousands) Interest income (expense) (Loss) gain on residential mortgage loans held-for-sale Other (loss) income Total included in net income Change in fair value due to credit risk Assets Residential mortgage loans held-for-sale $ 11,789 (1) $ 6,047 $ — $ 17,836 $ 30 (2) Residential mortgage loans held-for-investment in securitization trusts 40,067 (1) — (49,094 ) (9,027 ) — (3) Liabilities Collateralized borrowings in securitization trusts (23,839 ) — 28,569 4,730 — (3) Total $ 28,017 $ 6,047 $ (20,525 ) $ 13,539 $ 30 Six Months Ended June 30, 2014 (in thousands) Interest income (expense) (Loss) gain on residential mortgage loans held-for-sale Other (loss) income Total included in net income Change in fair value due to credit risk Assets Residential mortgage loans held-for-sale $ 7,285 (1) $ 4,874 $ — $ 12,159 $ 1,069 (2) Residential mortgage loans held-for-investment in securitization trusts 15,654 (1) — 38,606 54,260 — (3) Liabilities Collateralized borrowings in securitization trusts (10,945 ) — (17,463 ) (28,408 ) — (3) Total $ 11,994 $ 4,874 $ 21,143 $ 38,011 $ 1,069 ____________________ (1) Interest income on residential mortgage loans held-for-sale and residential mortgage loans held-for-investment in securitization trusts is measured by multiplying the unpaid principal balance on the loans by the coupon rate and the number of days of interest due. (2) The change in fair value due to credit risk on residential mortgage loans held-for-sale was quantified by holding yield constant in the cash flow model in order to isolate credit risk component. (3) The change in fair value on residential mortgage loans held-for-investment in securitization trusts and collateralized borrowings in securitization trusts was due entirely to changes in market interest rates. The table below provides the fair value and the unpaid principal balance for the Company’s fair value option-elected loans and collateralized borrowings. June 30, 2015 December 31, 2014 (in thousands) Unpaid Principal Balance Fair Value (1) Unpaid Principal Balance Fair Value (1) Residential mortgage loans held-for-sale Total loans $ 703,966 $ 695,078 $ 534,101 $ 535,712 Nonaccrual loans $ 48,379 $ 42,212 $ 26,405 $ 20,574 Loans 90+ days past due $ 45,547 $ 39,525 $ 25,263 $ 19,675 Residential mortgage loans held-for-investment in securitization trusts Total loans $ 2,431,573 $ 2,449,199 $ 1,699,748 $ 1,744,746 Nonaccrual loans $ 862 $ 865 $ — $ — Loans 90+ days past due $ — $ — $ — $ — Collateralized borrowings in securitization trusts Total borrowings $ 1,743,289 $ 1,714,735 $ 1,218,589 $ 1,209,663 ____________________ (1) Excludes accrued interest receivable. Fair Value of Financial Instruments In accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the condensed consolidated balance sheets, 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, residential mortgage loans held-for-sale, residential 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. • Commercial real estate loans held-for-investment are carried at cost, net of any unamortized premiums or discounts, unless deemed impaired. Because the Company has not yet recorded any allowances for losses and the rate and terms of the one newly-issued senior mezzanine commercial real estate loan held are similar to those observed in the market, carrying value, or amortized cost, approximates fair value. The Company categorizes the fair value measurement of these assets as Level 2. • 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 $3.0 billion of FHLB advances that are considered long-term. The Company’s long-term FHLB advances have floating rates based on an index plus a spread and, for members of the FHLB, 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 June 30, 2015 and December 31, 2014 . June 30, 2015 December 31, 2014 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets Available-for-sale securities $ 12,807,658 $ 12,807,658 $ 14,341,102 $ 14,341,102 Trading securities $ — $ — $ 1,997,656 $ 1,997,656 Residential mortgage loans held-for-sale $ 695,078 $ 695,078 $ 535,712 $ 535,712 Residential mortgage loans held-for-investment in securitization trusts $ 2,449,199 $ 2,449,199 $ 1,744,746 $ 1,744,746 Commercial real estate loans held-for-investment $ 45,605 $ 45,605 $ — $ — Mortgage servicing rights $ 437,576 $ 437,576 $ 452,006 $ 452,006 Cash and cash equivalents $ 933,579 $ 933,579 $ 1,005,792 $ 1,005,792 Restricted cash $ 410,903 $ 410,903 $ 336,771 $ 336,771 Derivative assets $ 347,322 $ 347,322 $ 380,791 $ 380,791 Federal Home Loan Bank stock $ 125,250 $ 125,250 $ 100,010 $ 100,010 Equity investments $ 3,000 $ 3,000 $ 3,000 $ 3,000 Liabilities Repurchase agreements $ 9,422,803 $ 9,422,803 $ 12,932,463 $ 12,932,463 Collateralized borrowings in securitization trusts $ 1,714,735 $ 1,714,735 $ 1,209,663 $ 1,209,663 Federal Home Loan Bank advances $ 3,000,000 $ 3,000,000 $ 2,500,000 $ 2,500,000 Derivative liabilities $ 22,475 $ 22,475 $ 90,233 $ 90,233 |
Repurchase Agreements (Notes)
Repurchase Agreements (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | Repurchase Agreements As of June 30, 2015 , the Company had outstanding $9.4 billion of repurchase agreements. Excluding 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 69 days as of June 30, 2015 . 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, 2014 , the debt associated with the Company’s U.S. Treasuries had a weighted average borrowing rate of 0.23% . The Company did not have any repurchase agreements collateralized by U.S. Treasuries as of June 30, 2015 . At June 30, 2015 and December 31, 2014 , the repurchase agreement balances were as follows: (in thousands) June 30, December 31, Short-term $ 9,422,803 $ 12,839,242 Long-term — 93,221 Total $ 9,422,803 $ 12,932,463 At June 30, 2015 and December 31, 2014 , the repurchase agreements had the following characteristics and remaining maturities: June 30, 2015 Collateral Type (in thousands) Agency RMBS Non-Agency RMBS (1) Agency Derivatives Residential Mortgage Loans Held-for-Sale Commercial Real Estate Loans Held-for-Investment Total Amount Outstanding Within 30 days $ 1,912,119 $ 471,133 $ 47,770 $ — $ 22,950 $ 2,453,972 30 to 59 days 3,077,003 461,904 85,097 — — 3,624,004 60 to 89 days 484,627 230,613 — — — 715,240 90 to 119 days 471,052 64,420 — — — 535,472 120 to 364 days 1,376,499 708,162 — 9,454 — 2,094,115 Total $ 7,321,300 $ 1,936,232 $ 132,867 $ 9,454 $ 22,950 $ 9,422,803 Weighted average borrowing rate 0.45 % 1.85 % 1.03 % 2.63 % 1.84 % 0.75 % December 31, 2014 Collateral Type (in thousands) U.S Treasuries Agency RMBS Non-Agency RMBS (1) Agency Derivatives Residential Mortgage Loans Held-for-Sale Total Amount Outstanding Within 30 days $ 998,750 $ 2,305,726 $ 630,118 $ 44,723 $ — $ 3,979,317 30 to 59 days — 3,568,049 945,032 82,344 — 4,595,425 60 to 89 days — 631,992 260,228 11,066 — 903,286 90 to 119 days — 317,155 117,395 — — 434,550 120 to 364 days — 1,635,650 278,401 — 15,113 1,929,164 Open maturity (2) 997,500 — — — — 997,500 One year and over — — 93,221 — — 93,221 Total $ 1,996,250 $ 8,458,572 $ 2,324,395 $ 138,133 $ 15,113 $ 12,932,463 Weighted average borrowing rate 0.23 % 0.42 % 1.79 % 0.99 % 3.03 % 0.64 % ____________________ (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. (2) 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. 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) June 30, December 31, Available-for-sale securities, at fair value $ 10,284,534 $ 11,874,783 Trading securities, at fair value — 1,997,656 Residential mortgage loans held-for-sale, at fair value 10,545 19,123 Commercial real estate loans held-for-investment 45,605 — Net economic interests in consolidated securitization trusts (1) 113,824 363,564 Cash and cash equivalents 15,000 14,117 Restricted cash 182,709 112,435 Due from counterparties 24,252 32,495 Derivative assets, at fair value 176,017 185,067 Total $ 10,852,486 $ 14,599,240 ____________________ (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 June 30, 2015 and December 31, 2014 : June 30, 2015 December 31, 2014 (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 $ 1,161,333 $ 316,965 8 % 119.6 $ 1,373,549 $ 401,194 10 % 83.8 Barclays Capital Inc. 789,908 265,129 7 % 59.5 1,346,085 365,879 9 % 50.5 All other counterparties (2) (3) 7,471,562 843,313 21 % 61.5 9,215,329 907,066 22 % 57.7 Total $ 9,422,803 $ 1,425,407 $ 11,934,963 $ 1,674,139 ____________________ (1) Represents the net carrying value of the securities, residential mortgage loans held-for-sale and commercial real estate loans held-for-investment 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. Payables due to broker counterparties for unsettled securities purchases are not included in the amounts presented above. However, at both June 30, 2015 and December 31, 2014 , the Company did not have any such payables. (2) Excludes $997.5 million of repurchase agreements collateralized by U.S. Treasuries with a rolling 1-day maturity as of December 31, 2014 . (3) Represents amounts outstanding with 21 and 23 counterparties at June 30, 2015 and December 31, 2014 , respectively. The Company does not anticipate any defaults by its repurchase agreement counterparties. There can be no assurance, however, that any such default or defaults will not occur. |
Collateralized Borrowings in Se
Collateralized Borrowings in Securitization Trusts, at Fair Value (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Collateralized Borrowings in Securitization Trust, 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 by the trusts, which are consolidated on the Company’s condensed consolidated balance sheets, 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 June 30, 2015 and December 31, 2014 , collateralized borrowings in securitization trusts had a carrying value of $1.7 billion and $1.2 billion with a weighted average interest rate of 3.6% for both period ends. The stated maturity dates for all collateralized borrowings were more than five years from both June 30, 2015 and December 31, 2014 . |
Federal Home Loan Bank Advances
Federal Home Loan Bank Advances (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Advances from Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank Advances, Disclosure [Text Block] | Federal Home Loan Bank of Des Moines Advances The Company’s wholly owned subsidiary, TH Insurance Holdings Company LLC, or TH Insurance, is a member 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 June 30, 2015 and December 31, 2014 , TH Insurance had $3.0 billion and $2.5 billion in outstanding secured advances with a weighted average borrowing rate of 0.35% and 0.34% , respectively, and had an additional $1.0 billion of available uncommitted capacity for borrowings as of June 30, 2015 . As of December 31, 2014 , TH Insurance had no additional uncommitted capacity to borrow. To the extent TH Insurance has uncommitted capacity, it may be adjusted at the sole discretion of the FHLB. 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 certain non-Agency RMBS with a rating of A and above. At June 30, 2015 and December 31, 2014 , FHLB advances had the following remaining maturities: (in thousands) June 30, December 31, ≤ 1 year $ — $ 33,738 > 1 and ≤ 3 years 651,238 651,238 > 3 and ≤ 5 years 815,024 815,024 > 5 and ≤ 10 years — — > 10 years 1,533,738 1,000,000 Total $ 3,000,000 $ 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) June 30, December 31, Available-for-sale securities, at fair value $ 2,268,550 $ 2,284,532 Residential mortgage loans held-for-sale, at fair value 551,257 397,656 Net economic interests in consolidated securitization trusts (1) 491,270 80,732 Total $ 3,311,077 $ 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 June 30, 2015 and December 31, 2014 , the Company had stock in the FHLB totaling $125.3 million and $103.0 million , respectively, which is included in other assets on the condensed consolidated balance sheets. 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 June 30, 2015 and December 31, 2014 , the Company had not recognized an impairment charge related to its FHLB stock. |
Stockholders' Equity (Notes)
Stockholders' Equity (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Stockholders' Equity Attributable to Parent [Abstract] | |
Stockholders' Equity | Stockholders’ Equity Distributions to Stockholders The following table presents cash dividends declared by the Company on its common stock during the three months ended June 30, 2015 , and the four immediately preceding quarters: Declaration Date Record Date Payment Date Cash Dividend Per Share June 17, 2015 June 30, 2015 July 21, 2015 $ 0.26 March 18, 2015 March 31, 2015 April 21, 2015 $ 0.26 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 Accumulated Other Comprehensive Income Accumulated other comprehensive income at June 30, 2015 and December 31, 2014 was as follows: (in thousands) June 30, December 31, Available-for-sale securities, at fair value Unrealized gains $ 711,813 $ 891,820 Unrealized losses (80,781 ) (36,031 ) Accumulated other comprehensive income $ 631,032 $ 855,789 Reclassifications out of Accumulated Other Comprehensive Income The following table summarizes reclassifications out of accumulated other comprehensive income for the three and six months ended June 30, 2015 and 2014 : (in thousands) Affected Line Item in the Condensed Consolidated Statements of Comprehensive Income Amount Reclassified out of Accumulated Other Comprehensive Income Three Months Ended June 30, Six Months Ended June 30, 2015 2014 2015 2014 Other-than-temporary-impairments on AFS securities Total other-than-temporary impairment losses $ 170 $ — $ 297 $ 212 Realized (gains) losses on sales of AFS securities Gain (loss) on investment securities (75,135 ) (20,952 ) (175,071 ) 22,228 $ (74,965 ) $ (20,952 ) $ (174,774 ) $ 22,440 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 June 30, 2015 , 249,650 shares have been issued under the plan for total proceeds of approximately $2.6 million , of which 16,772 and 36,184 shares were issued for total proceeds of $178,436 and $378,700 during the three and six months ended June 30, 2015 , respectively. During the three and six months ended June 30, 2014 , 12,694 and 23,474 shares were issued under the plan for total proceeds for $130,652 and $240,792 , 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 June 30, 2015 , 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 three and six months ended June 30, 2015 and 2014 . 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. On May 22, 2015, the Company entered into an amendment to the equity distribution agreement providing that any subsequent offers or sales of the Company’s common stock under the equity distribution agreement shall be made pursuant to a new prospectus supplement, which was filed on the same date. As of June 30, 2015 , 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 three and six months ended June 30, 2015 and 2014 . |
Equity Incentive Plan (Notes)
Equity Incentive Plan (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Disclosure of Compensation Related Costs, Share-based Payments [Text Block] | Equity Incentive Plan On May 14, 2015, the Company’s stockholders approved the Company’s Second Restated 2009 Equity Incentive Plan, which replaced the previous Restated 2009 Equity Incentive Plan, both of which are referred to collectively as the Plan. This stockholder approval effectuated, among other changes, an increase in the number of shares of common stock available for issuance under the Plan by 10,000,000 shares. On May 20, 2014 and May 14, 2015, the Company granted 52,180 and 35,521 shares of common stock, respectively, to its independent directors pursuant to the Plan. The estimated fair value of these awards was $10.31 and $10.53 per share on grant date, based on the closing price of the Company’s common stock on the NYSE on such date. The grants vested immediately. Additionally, on February 5, 2014, February 12, 2015 and May 14, 2015, the Company granted 1,103,162 , 206,275 and 909,299 shares of restricted common stock, respectively, to key employees of PRCM Advisers pursuant to the Plan. The estimated fair value of these awards was $9.79 , $10.30 and $10.53 per share on grant date, based on the closing market 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, Equity , or ASC 505, the fair value of these awards as of June 30, 2015 was $9.74 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 equal annual installments commencing on the first anniversary of the grant date, 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 six months ended June 30, 2015 and 2014 : Six Months Ended June 30, 2015 2014 (in thousands) Shares Weighted Average Grant Date Fair Market Value Shares Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 2,002,406 $ 10.32 1,024,459 $ 11.22 Granted 1,151,095 10.49 1,155,342 9.81 Vested (711,124 ) (10.45 ) (395,986 ) (11.10 ) Forfeited (55,474 ) (10.19 ) (3,065 ) (9.79 ) Outstanding at End of Period 2,386,903 $ 10.36 1,780,750 $ 10.34 For the three and six months ended June 30, 2015 , the Company recognized compensation costs related to restricted common stock of $2.9 million and $5.6 million , respectively. For the three and six months ended June 30, 2014 , the Company recognized compensation costs related to restricted common stock of $3.7 million and $6.8 million , respectively. |
Income Taxes (Notes)
Income Taxes (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Income Tax Disclosure [Abstract] | |
Income Tax Disclosure [Text Block] | Income Taxes For the three and six months ended June 30, 2015 and 2014 , 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. It is assumed that the Company will retain its REIT status and will incur no REIT level taxation as it intends to comply with the REIT regulations and annual distribution requirements. During the three and six months ended June 30, 2015 , the Company’s TRSs recognized a benefit from income taxes of $7.0 million and $17.6 million , respectively, which was primarily due to losses incurred on derivative instruments held in the Company’s TRSs. During the three and six months ended June 30, 2014 , the Company’s TRSs recognized a benefit from income taxes of $23.3 million and $57.2 million , respectively, which was primarily due to losses incurred on derivative instruments held in the Company’s TRSs. Based on the Company’s evaluation, it has been concluded that there are no significant uncertain tax positions requiring recognition in the Company’s condensed consolidated financial statements of a contingent tax liability for uncertain tax positions. |
Earnings Per Share (Notes)
Earnings Per Share (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share, or EPS, for the three and six months ended June 30, 2015 and 2014 : Three Months Ended Six Months Ended June 30, June 30, (in thousands, except share data) 2015 2014 2015 2014 Numerator: Net income $ 221,501 $ 39,657 $ 316,294 $ 10,512 Denominator: Weighted average common shares outstanding 364,919,352 364,078,669 364,775,066 363,996,652 Weighted average restricted stock shares 2,154,779 1,999,455 2,017,393 1,849,643 Basic and diluted weighted average shares outstanding 367,074,131 366,078,124 366,792,459 365,846,295 Basic and Diluted Earnings Per Share: $ 0.60 $ 0.11 $ 0.86 $ 0.03 |
Related Party Transactions (Not
Related Party Transactions (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions The following summary provides disclosure of the material transactions with affiliates of the Company. In accordance with the Management Agreement with PRCM Advisers, the Company incurred $12.7 million and $25.4 million as a management fee to PRCM Advisers for the three and six months ended June 30, 2015 , respectively, and $12.2 million and $24.3 million as a management fee to PRCM Advisers for the three and six months ended June 30, 2014 , 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 (loss), among other adjustments, in accordance with the Management Agreement. 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 $5.4 million and $10.1 million for the three and six months ended June 30, 2015 , respectively, and $3.9 million and $7.2 million for the three and six months ended June 30, 2014 , 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 $2.9 million and $5.6 million of compensation expense during the three and six months ended June 30, 2015 , respectively, related to restricted common stock. The Company recognized $3.7 million and $6.8 million of compensation expense during the three and six months ended June 30, 2014 , respectively, related to restricted common stock. See Note 20 - Equity Incentive Plan for additional information. |
Subsequent Events (Notes)
Subsequent Events (Notes) | 6 Months Ended |
Jun. 30, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | Subsequent Events Events subsequent to June 30, 2015 , were evaluated through the date these financial statements were issued and no additional events were identified requiring further disclosure in these Condensed Consolidated Financial Statements. |
Basis of Presentation and Sig31
Basis of Presentation and Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2015 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Consolidation, Policy [Policy Text Block] | Consolidation and Basis of Presentation The interim unaudited condensed consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission, or SEC. Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles, or U.S. GAAP, have been condensed or omitted according to such SEC rules and regulations. However, management believes that the disclosures included in these interim condensed consolidated financial statements are adequate to make the information presented not misleading. The accompanying condensed consolidated financial statements should be read in conjunction with the financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2014 . In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at June 30, 2015 and results of operations for all periods presented have been made. The results of operations for the three and six months ended June 30, 2015 should not be construed as indicative of the results to be expected for future periods or the full year. The condensed consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires us to make a number of significant estimates and assumptions. These estimates include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities and disclosure of contingent assets and liabilities as of the date of the condensed consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates ( e.g. , valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. The condensed consolidated financial statements of the Company include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. Certain prior period amounts have been reclassified to conform to the current period presentation. All trust entities in which the Company holds investments that are considered VIEs for financial reporting purposes were reviewed for consolidation under the applicable consolidation guidance. Because the Company has both the power to direct the activities of the 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. |
Finance, Loan and Lease Receivables, Held-for-investment, Policy [Policy Text Block] | Commercial Real Estate Loans Held-for-Investment The Company is the sole certificate holder of a trust entity that holds a commercial real estate loan. The trust is considered a VIE for financial reporting purposes and, thus, is reviewed for consolidation under the applicable consolidation guidance. As the Company has both the power to direct the activities of the trust that most significantly impact the entity’s performance, and the obligation to absorb losses or the right to receive benefits of the entity that could be significant, the Company consolidates the trust. The underlying loan is classified as commercial real estate loans held-for-investment on the condensed consolidated balance sheets. The loan is legally isolated from the Company and has been structured to be beyond the reach of creditors of the Company. Interest income on commercial real estate loans held-for-investment is recorded on the condensed consolidated statements of comprehensive income. Commercial real estate loans held-for-investment are reported at cost, net of any unamortized premiums or discounts, unless deemed impaired. The Company evaluates each loan for impairment at least quarterly. Impairment occurs when it is deemed probable that the Company will not be able to collect all amounts due according to the contractual terms of the loan. If a loan is considered to be impaired, the Company records an allowance to reduce the carrying value of the loan to the present value of expected future cash flows. The Company’s commercial real estate loans are collateralized either by real property or by equity interests in the commercial real estate borrower. As a result, the Company regularly evaluates the extent and impact of any credit deterioration associated with the performance and/or value of the underlying collateral property, as well as the financial and operating capability of the borrower, borrowing entity or loan sponsor. The Company also evaluates the financial wherewithal of any loan guarantors as well as the borrower’s competency in managing and operating the properties. In addition, the Company considers the overall economic environment, real estate sector, and geographic sub-market in which the borrower operates. Interest income on commercial real estate loans held-for-investment is recognized at the loan coupon rate. Any premiums or discounts are amortized or accreted into interest income using the effective interest method. Loans are considered past due when they are 30 days past their contractual due date. Interest income recognition is suspended when loans are placed on nonaccrual status. Generally, commercial real estate 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 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. Commercial real estate loans are restored to accrual status only when contractually current or the collection of future payments is reasonably assured. |
Offsetting Assets and Liabilities, Policy [Policy Text Block] | Offsetting Assets and Liabilities Certain of the Company’s repurchase agreements are governed by underlying agreements that provide for a right of setoff in the event of default of either party to the agreement. The Company also has netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association, or ISDA, 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 condensed consolidated balance sheets. Separately, the Company presents cash collateral subject to such arrangements on a net basis, based on counterparty, in its condensed consolidated balance sheets. However, the Company does not offset financial assets and liabilities with the associated cash collateral on its condensed consolidated balance sheets. The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of June 30, 2015 and December 31, 2014 : June 30, 2015 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 414,958 $ (67,636 ) $ 347,322 $ (22,475 ) $ — $ 324,847 Total Assets $ 414,958 $ (67,636 ) $ 347,322 $ (22,475 ) $ — $ 324,847 Liabilities Repurchase agreements $ (9,422,803 ) $ — $ (9,422,803 ) $ 9,422,803 $ — $ — Derivative liabilities (90,111 ) 67,636 (22,475 ) 22,475 — — Total Liabilities $ (9,512,914 ) $ 67,636 $ (9,445,278 ) $ 9,445,278 $ — $ — December 31, 2014 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 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 $ — $ — ____________________ (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets. |
Basis of Presentation and Sig32
Basis of Presentation and Significant Accounting Policies Offsetting Assets and Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
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 condensed consolidated balance sheets as of June 30, 2015 and December 31, 2014 : June 30, 2015 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 414,958 $ (67,636 ) $ 347,322 $ (22,475 ) $ — $ 324,847 Total Assets $ 414,958 $ (67,636 ) $ 347,322 $ (22,475 ) $ — $ 324,847 Liabilities Repurchase agreements $ (9,422,803 ) $ — $ (9,422,803 ) $ 9,422,803 $ — $ — Derivative liabilities (90,111 ) 67,636 (22,475 ) 22,475 — — Total Liabilities $ (9,512,914 ) $ 67,636 $ (9,445,278 ) $ 9,445,278 $ — $ — December 31, 2014 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Condensed Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 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 $ — $ — ____________________ (1) Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets. |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Variable Interest Entities [Abstract] | |
Schedule of Variable Interest Entities [Table Text Block] | The following table presents a summary of the assets and liabilities of all consolidated trusts as reported on the condensed consolidated balance sheets: (in thousands) June 30, December 31, Residential mortgage loans held-for-investment in securitization trusts $ 2,449,199 $ 1,744,746 Commercial real estate loans held-for-investment 45,605 — Accrued interest receivable 13,821 10,197 Total Assets $ 2,508,625 $ 1,754,943 Collateralized borrowings in securitization trusts $ 1,714,735 $ 1,209,663 Accrued interest payable 5,128 3,678 Other liabilities 8,132 6,480 Total Liabilities $ 1,727,995 $ 1,219,821 |
Available-for-Sale Securities34
Available-for-Sale Securities, at Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
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 June 30, 2015 and December 31, 2014 : (in thousands) June 30, December 31, Mortgage-backed securities: Agency Federal Home Loan Mortgage Corporation $ 2,279,632 $ 2,418,546 Federal National Mortgage Association 5,796,614 6,768,875 Government National Mortgage Association 2,024,567 2,104,896 Non-Agency 2,706,845 3,048,785 Total mortgage-backed securities $ 12,807,658 $ 14,341,102 |
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 June 30, 2015 and December 31, 2014 : June 30, 2015 (in thousands) Agency Non-Agency Total Face Value $ 12,222,579 $ 3,667,195 $ 15,889,774 Unamortized premium 612,534 — 612,534 Unamortized discount Designated credit reserve — (657,626 ) (657,626 ) Net, unamortized (2,848,032 ) (820,024 ) (3,668,056 ) Amortized Cost 9,987,081 2,189,545 12,176,626 Gross unrealized gains 189,522 522,291 711,813 Gross unrealized losses (75,790 ) (4,991 ) (80,781 ) Carrying Value $ 10,100,813 $ 2,706,845 $ 12,807,658 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 |
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 June 30, 2015 and December 31, 2014 : June 30, 2015 (in thousands) Agency Non-Agency Total Adjustable Rate $ 119,710 $ 2,231,509 $ 2,351,219 Fixed Rate 9,981,103 475,336 10,456,439 Total $ 10,100,813 $ 2,706,845 $ 12,807,658 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 |
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 six months ended June 30, 2015 and 2014 , of the unamortized net discount and designated credit reserves on non-Agency AFS securities. Six Months Ended June 30, 2015 2014 (in thousands) Designated Credit Reserve Unamortized Net Discount Total Designated Credit Reserve Unamortized Net Discount Total Beginning balance at January 1 $ (927,605 ) $ (967,368 ) $ (1,894,973 ) $ (1,234,449 ) $ (1,071,559 ) $ (2,306,008 ) Acquisitions (1,284 ) (3,283 ) (4,567 ) (62,752 ) (46,581 ) (109,333 ) Accretion of net discount — 52,759 52,759 — 64,084 64,084 Realized credit losses 8,470 — 8,470 6,607 — 6,607 Reclassification adjustment for other-than-temporary impairments 1,619 — 1,619 (212 ) — (212 ) Transfers from (to) 58,716 (58,716 ) — 47,495 (47,495 ) — Sales, calls, other 202,458 156,584 359,042 80,854 45,251 126,105 Ending balance at June 30 $ (657,626 ) $ (820,024 ) $ (1,477,650 ) $ (1,162,457 ) $ (1,056,300 ) $ (2,218,757 ) |
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 that the securities had an unrealized loss position as of June 30, 2015 and December 31, 2014 . At June 30, 2015 , the Company held 1,455 AFS securities, of which 198 were in an unrealized loss position for less than twelve consecutive months and 177 were in an unrealized loss position for more than twelve consecutive months. At December 31, 2014 , the Company held 1,452 AFS securities, of which 57 were in an unrealized loss position for less than twelve months and 172 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 June 30, 2015 $ 2,659,052 $ (40,295 ) $ 1,204,291 $ (40,486 ) $ 3,863,343 $ (80,781 ) December 31, 2014 $ 413,102 $ (3,146 ) $ 1,323,688 $ (32,885 ) $ 1,736,790 $ (36,031 ) |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | The following table presents the changes in OTTI included in earnings for three and six months ended June 30, 2015 and 2014 : Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2015 2014 2015 2014 Cumulative credit loss at beginning of period $ (6,452 ) $ (9,215 ) $ (8,241 ) $ (9,467 ) Additions: Other-than-temporary impairments not previously recognized — — — (91 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments (170 ) — (297 ) (121 ) Reductions: Decreases related to other-than-temporary impairments on securities paid down — — — 464 Decreases related to other-than-temporary impairments on securities sold — 1,154 1,916 1,154 Cumulative credit loss at end of period $ (6,622 ) $ (8,061 ) $ (6,622 ) $ (8,061 ) |
Schedule of Realized Gain (Loss) [Table Text Block] | The following table presents the gross realized gains and losses on sales of AFS securities for the three and six months ended June 30, 2015 and 2014 : Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2015 2014 2015 2014 Gross realized gains $ 76,199 $ 35,954 $ 193,887 $ 43,163 Gross realized losses (336 ) — (556 ) (45,997 ) Total realized gains (losses) on sales, net $ 75,863 $ 35,954 $ 193,331 $ (2,834 ) |
Trading Securities, at Fair V35
Trading Securities, at Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Trading Securities [Abstract] | |
Trading Securities [Table Text Block] | The following table presents the carrying value of the Company’s trading securities as of June 30, 2015 and December 31, 2014 : (in thousands) June 30, December 31, Amortized cost $ — $ 1,996,289 Unrealized gains (losses), net — 1,367 Carrying value $ — $ 1,997,656 |
Residential Mortgage Loans He36
Residential Mortgage Loans Held-for-Sale, at Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Residential Mortgage Loans Held-for-Sale [Abstract] | |
Schedule of Residential Mortgage Loans Held-for-Sale Reconciliation [Table Text Block] | The following table presents the carrying value of the Company’s residential mortgage loans held-for-sale as of June 30, 2015 and December 31, 2014 : (in thousands) June 30, December 31, Unpaid principal balance $ 703,966 $ 534,101 Fair value adjustment (8,888 ) 1,611 Carrying value $ 695,078 $ 535,712 |
Residential Mortgage Loans He37
Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Residential Mortgage Loans Held-for-Investment, at Fair Value [Abstract] | |
Schedule of Residential Mortgage Loans Held-for-Investment Reconciliation [Table Text Block] | The following table presents the carrying value of the Company’s residential mortgage loans held-for-investment in securitization trusts as of June 30, 2015 and December 31, 2014 : (in thousands) June 30, December 31, Unpaid principal balance $ 2,431,573 $ 1,699,748 Fair value adjustment 17,626 44,998 Carrying value $ 2,449,199 $ 1,744,746 |
Commercial Real Estate Loans 38
Commercial Real Estate Loans Held-for-Investment (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Receivables [Abstract] | |
Schedule of Commercial Real Estate Loans Held-for-Investment Reconciliation [Table Text Block] | The following table presents the carrying value of the Company’s commercial real estate loans held-for-investment as of June 30, 2015 and December 31, 2014 : (in thousands) June 30, December 31, Unpaid principal balance $ 45,900 $ — Unamortized discount (295 ) — Carrying value $ 45,605 $ — |
Servicing Activities (Tables)
Servicing Activities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
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 three and six months ended June 30, 2015 and 2014 . Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2015 2014 2015 2014 Balance at beginning of period $ 410,229 $ 476,663 $ 452,006 $ 514,402 Additions from purchases of servicing rights 4,210 53,013 8,534 54,293 Additions from sales of residential mortgage loans 589 — 816 — Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model 25,440 (15,655 ) (17,649 ) (35,905 ) Other changes in fair value (1) (7,805 ) (13,916 ) (17,119 ) (26,427 ) Other changes (2) 4,913 385 10,988 (5,873 ) Balance at end of period $ 437,576 $ 500,490 $ 437,576 $ 500,490 ____________________ (1) Other changes in fair value primarily represents changes due to the realization of expected cash flows. (2) Other changes includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral. |
Schedule of Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets [Table Text Block] | As of June 30, 2015 and December 31, 2014 , the key economic assumptions and sensitivity of the fair value of MSR to immediate 10% and 20% adverse changes in these assumptions were as follows: (in thousands) June 30, December 31, Weighted average prepayment speed: 11.2 % 11.9 % Impact on fair value of 10% adverse change $ (17,941 ) $ (14,012 ) Impact on fair value of 20% adverse change $ (34,131 ) $ (31,640 ) Weighted average delinquency: 4.6 % 5.6 % Impact on fair value of 10% adverse change $ (2,188 ) $ (3,616 ) Impact on fair value of 20% adverse change $ (4,376 ) $ (6,780 ) Weighted average discount rate: 9.4 % 9.5 % Impact on fair value of 10% adverse change $ (15,753 ) $ (16,272 ) Impact on fair value of 20% adverse change $ (30,630 ) $ (31,640 ) |
Components of Servicing Revenue [Table Text Block] | The following table presents the components of servicing income recorded on the Company’s condensed consolidated statements of comprehensive income for the three and six months ended June 30, 2015 and 2014 : Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2015 2014 2015 2014 Servicing fee income $ 29,586 $ 33,079 $ 60,823 $ 62,950 Ancillary fee income 551 581 1,115 1,044 Float income 379 208 665 315 Total $ 30,516 $ 33,868 $ 62,603 $ 64,309 |
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 June 30, 2015 and December 31, 2014 : June 30, 2015 December 31, 2014 (dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance Residential mortgage loans held-for-sale 1,293 $ 703,966 1,008 $ 534,101 Residential mortgage loans held-for-investment in securitization trusts 441 322,335 487 358,458 Mortgage servicing rights (1) 214,745 42,811,294 224,073 44,949,061 Total serviced mortgage assets 216,479 $ 43,837,595 225,568 $ 45,841,620 ____________________ (1) Includes residential mortgage loans held-for-investment in securitization trusts for which the Company is the named servicing administrator. |
Restricted Cash (Tables)
Restricted Cash (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
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 June 30, 2015 and December 31, 2014 : (in thousands) June 30, December 31, Restricted cash balances held by trading counterparties: For securities and loan trading activity $ 17,250 $ 12,000 For derivatives trading activity 210,597 211,989 As restricted collateral for repurchase agreements and Federal Home Loan Bank advances 182,709 112,435 Total restricted cash balances held by trading counterparties 410,556 336,424 Restricted cash balance pursuant to letter of credit on office lease 347 347 Total $ 410,903 $ 336,771 |
Accrued Interest Receivable (Ta
Accrued Interest Receivable (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
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) June 30, December 31, Accrued Interest Receivable: U.S. Treasuries $ — $ 8,084 Mortgage-backed securities: Agency Federal Home Loan Mortgage Corporation 8,042 8,734 Federal National Mortgage Association 19,223 22,392 Government National Mortgage Association 9,901 10,290 Non-Agency 3,576 3,835 Total mortgage-backed securities 40,742 45,251 Residential mortgage loans held-for-sale 2,448 1,997 Residential mortgage loans held-for-investment in securitization trusts 13,680 10,197 Commercial real estate loans held-for-investment 141 — Total $ 57,011 $ 65,529 |
Derivative Instruments and He42
Derivative Instruments and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
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 June 30, 2015 and December 31, 2014 . (in thousands) June 30, 2015 Derivative Assets Derivative Liabilities Trading instruments Fair Value Notional Fair Value Notional Inverse interest-only securities $ 178,848 $ 1,049,743 $ — $ — Interest rate swap agreements 46,935 14,325,523 (1,402 ) 1,900,000 Credit default swaps — — (1,164 ) 125,000 Swaptions, net 120,707 10,050,000 (11,887 ) 640,000 TBAs — — (5,187 ) 1,434,000 Put and call options for TBAs, net — — (105 ) — Constant maturity swaps — — — — Markit IOS total return swaps 725 855,872 (134 ) 132,537 Forward purchase commitments 107 135,181 (2,596 ) 491,479 Total $ 347,322 $ 26,416,319 $ (22,475 ) $ 4,723,016 (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 |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | The following table summarizes the location and amount of gains and losses on derivative instruments reported in the condensed consolidated statements of comprehensive income on the Company’s 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 Three Months Ended June 30, Six Months Ended June 30, 2015 2014 2015 2014 Interest rate risk management TBAs (1) Loss on other derivative instruments $ 5,262 $ (29,877 ) $ (22,696 ) $ (47,780 ) Short U.S. Treasuries (1) Loss on other derivative instruments 125 (8 ) 125 (8 ) Put and call options for TBAs (1) Loss on other derivative instruments 5,671 (4,614 ) 8,206 (6,319 ) Put and call options for U.S. Treasuries (1) Loss on other derivative instruments (837 ) — (837 ) — Constant maturity swaps (1) Loss on other derivative instruments 74 (6,103 ) 6,164 5,428 Interest rate swap agreements - Receivers (1) Gain (loss) on interest rate swap and swaption agreements (42,470 ) 65,963 (144 ) 106,942 Interest rate swap agreements - Payers (1) Gain (loss) on interest rate swap and swaption agreements 20,713 (46,341 ) (31,846 ) (59,761 ) Swaptions (1) Gain (loss) on interest rate swap and swaption agreements 19,752 (57,250 ) 1,246 (169,808 ) Markit IOS total return swaps (1) Loss on other derivative instruments (20,658 ) 353 (17,526 ) (1,372 ) Interest rate swap agreements - Payers (2) Gain (loss) on interest rate swap and swaption agreements 46,957 (78,391 ) (50,747 ) (98,920 ) Credit risk management Credit default swaps - Receive protection (3) Loss on other derivative instruments (30 ) (5 ) (123 ) 1,976 Non-risk management TBAs Loss on other derivative instruments — — — (4,701 ) Inverse interest-only securities Loss on other derivative instruments 4,909 16,052 24,170 34,375 Forward purchase commitments (Loss) gain on residential mortgage loans held-for-sale (5,130 ) 4,163 (4,160 ) 3,746 Total $ 34,338 $ (136,058 ) $ (88,168 ) $ (236,202 ) ____________________ (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 residential mortgage loans held-for-sale. |
Schedule of Notional Amounts of Outstanding Derivative Positions [Table Text Block] | The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the three and six months ended June 30, 2015 and 2014 : Three Months Ended June 30, 2015 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 1,106,210 $ 12,563 $ (69,030 ) $ 1,049,743 $ 1,086,760 $ 64 Interest rate swap agreements 19,929,000 11,493,227 (15,196,704 ) 16,225,523 16,681,983 (66,799 ) Credit default swaps 125,000 — — 125,000 125,000 — Swaptions, net 12,960,000 1,500,000 (5,050,000 ) 9,410,000 10,292,418 (8,053 ) TBAs, net (2,496,000 ) (3,929,000 ) 5,401,000 (1,024,000 ) (1,362,451 ) (7,482 ) Short U.S. Treasuries — (50,000 ) 50,000 — — 125 Put and call options for TBAs, net (2,500,000 ) — 2,500,000 — (722,527 ) 10,843 Put and call options for U.S. Treasuries, net — 500,000 (500,000 ) — 2,747 (837 ) Constant maturity swaps 3,000,000 — (3,000,000 ) — 384,615 1,310 Markit IOS total return swaps 877,529 747,910 (637,030 ) 988,409 1,201,515 (13,130 ) Forward purchase commitments 707,304 978,297 (1,058,941 ) 626,660 679,266 (1,318 ) Total $ 33,709,043 $ 11,252,997 $ (17,560,705 ) $ 27,401,335 $ 28,369,326 $ (85,277 ) Three Months Ended June 30, 2014 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 1,412,374 $ — $ (88,724 ) $ 1,323,650 $ 1,372,535 $ — Interest rate swap agreements 21,663,148 8,465,000 (6,500,000 ) 23,628,148 23,467,489 (2,983 ) Credit default swaps 125,000 — — 125,000 125,000 — Swaptions, net 9,500,000 3,250,000 (1,300,000 ) 11,450,000 10,412,088 (2,178 ) TBAs, net (1,022,000 ) (2,032,000 ) 2,682,000 (372,000 ) 660,308 (26,530 ) Short U.S. Treasuries — (125,000 ) 125,000 — 1,374 2 Put and call options for TBAs, net 1,500,000 — (1,500,000 ) — 901,099 (5,332 ) Constant maturity swaps 10,000,000 4,000,000 (8,000,000 ) 6,000,000 5,571,429 (1,460 ) Markit IOS total return swaps 243,987 339,869 (7,378 ) 576,478 393,910 — Forward purchase commitments 153,637 872,756 (378,452 ) 647,941 367,940 332 Total $ 43,576,146 $ 14,770,625 $ (14,967,554 ) $ 43,379,217 $ 43,273,172 $ (38,149 ) Six Months Ended June 30, 2015 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 1,168,226 $ 12,563 $ (131,046 ) $ 1,049,743 $ 1,112,471 $ 64 Interest rate swap agreements 18,584,000 17,113,227 (19,471,704 ) 16,225,523 17,455,887 (67,869 ) Credit default swaps 125,000 — — 125,000 125,000 — Swaptions, net 12,410,000 7,050,000 (10,050,000 ) 9,410,000 11,564,972 4,793 TBAs, net (1,325,000 ) (10,862,000 ) 11,163,000 (1,024,000 ) (1,739,978 ) (24,846 ) Short U.S. Treasuries — (50,000 ) 50,000 — — 125 Put and call options for TBAs, net 2,000,000 250,000 (2,250,000 ) — (359,116 ) 7,796 Put and call options for U.S. Treasuries, net — 500,000 (500,000 ) — 1,381 (837 ) Constant maturity swaps 14,000,000 6,000,000 (20,000,000 ) — 4,552,486 7,694 Markit IOS total return swaps 598,459 1,424,543 (1,034,593 ) 988,409 1,039,332 (8,928 ) Forward purchase commitments 554,838 2,106,931 (2,035,109 ) 626,660 663,890 (374 ) Total $ 48,115,523 $ 23,545,264 $ (44,259,452 ) $ 27,401,335 $ 34,416,325 $ (82,382 ) Six Months Ended June 30, 2014 (in thousands) Beginning of Period Notional Amount Additions Settlement, Termination, Expiration or Exercise End of Period Notional Amount Average Notional Amount Realized Gain (Loss), net (1) Inverse interest-only securities $ 1,525,845 $ — $ (202,195 ) $ 1,323,650 $ 1,421,330 $ 193 Interest rate swap agreements 19,619,000 11,409,148 (7,400,000 ) 23,628,148 21,324,091 (3,005 ) Credit default swaps 427,073 — (302,073 ) 125,000 152,059 (13,705 ) Swaptions, net 5,130,000 7,150,000 (830,000 ) 11,450,000 9,699,558 (3,396 ) TBAs, net 603,000 (2,924,000 ) 1,949,000 (372,000 ) 593,746 (14,677 ) Short U.S. Treasuries — (125,000 ) 125,000 — 691 2 Put and call options for TBAs, net — 1,500,000 (1,500,000 ) — 580,110 (5,332 ) Constant maturity swaps 10,000,000 12,000,000 (16,000,000 ) 6,000,000 7,773,481 2,427 Markit IOS total return swaps 49,629 536,881 (10,032 ) 576,478 274,573 — Forward purchase commitments 12,063 1,058,706 (422,828 ) 647,941 204,336 302 Total $ 37,366,610 $ 30,605,735 $ (24,593,128 ) $ 43,379,217 $ 42,023,975 $ (37,191 ) ____________________ (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 June 30, 2015 and December 31, 2014 : As of June 30, 2015 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 205,000 $ 219,441 $ 219,369 $ — $ (72 ) Sale contracts (1,229,000 ) (1,284,198 ) (1,289,313 ) — (5,115 ) TBAs, net $ (1,024,000 ) $ (1,064,757 ) $ (1,069,944 ) $ — $ (5,187 ) 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 ) ___________________ (1) Notional amount represents the face amount of the underlying Agency RMBS. (2) Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. (3) Market value represents the current market value of the TBA (or of the underlying Agency RMBS) as of period-end. (4) Net carrying value represents the difference between the market value of the TBA as of period-end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the condensed consolidated balance sheets. |
Schedule of Constant Maturity Swaps [Table Text Block] | The Company had the following constant maturity swap agreements in place at December 31, 2014 : (notional and dollars in thousands) December 31, 2014 Determination Date Average Strike Swap Rate Notional Amount Fair Value Upfront Premium Paid Unrealized Gain (Loss) January 2015 0.538 % $ 7,000,000 $ 1,502 $ — $ 1,502 February 2015 0.572 % 2,000,000 (13 ) — (13 ) March 2015 0.552 % 5,000,000 41 — 41 Total 0.548 % $ 14,000,000 $ 1,530 $ — $ 1,530 The Company did not have any constant maturity swap agreements in place at June 30, 2015 . |
Schedule of Interest Rate Swap Payers Associated with the Investment Portfolio [Table Text Block] | As of June 30, 2015 and December 31, 2014 , 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 three-month LIBOR rate: (notional in thousands) June 30, 2015 Swaps Maturities Notional Amounts Average Fixed Pay Rate Average Receive Rate Average Maturity (Years) 2018 $ 2,040,000 1.563 % 0.282 % 3.44 2020 and Thereafter 1,210,000 2.164 % 0.281 % 5.58 Total $ 3,250,000 1.787 % 0.282 % 4.24 (notional in thousands) December 31, 2014 Swaps Maturities Notional Amounts Average Fixed Pay Rate Average Receive Rate Average Maturity (Years) 2017 $ 2,000,000 1.070 % 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 % 3.80 |
Schedule of Interest Rate Swap Receivers Associated with the Investment Portfolio [Table Text Block] | Additionally, as of June 30, 2015 and December 31, 2014 , 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 three-month LIBOR rate: (notional in thousands) June 30, 2015 Swaps Maturities Notional Amounts Average Pay Rate Average Fixed Receive Rate Average Maturity (Years) 2018 $ 575,000 0.281 % 1.440 % 3.39 2020 and Thereafter 1,889,000 0.283 % 2.588 % 8.10 Total $ 2,464,000 0.282 % 2.320 % 7.00 (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 % 1.440 % 3.89 2019 and Thereafter 1,579,000 0.239 % 2.794 % 9.19 Total $ 2,154,000 0.237 % 2.433 % 7.77 |
Schedule of Interest Rate Swaps Associated with Borrowings [Table Text Block] | As of June 30, 2015 and December 31, 2014 , the Company had the following outstanding interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) associated with the Company’s short-term repurchase agreements and FHLB advances: (notional in thousands) June 30, 2015 Swaps Maturities Notional Amount Average Fixed Pay Rate Average Receive Rate Average Maturity (Years) 2016 $ 4,200,000 0.583 % 0.282 % 1.10 2017 2,375,000 0.864 % 0.281 % 2.09 2018 800,000 1.165 % 0.280 % 2.65 2019 350,000 1.730 % 0.278 % 3.94 2020 and Thereafter 2,786,523 1.944 % 0.279 % 7.62 Total $ 10,511,523 1.090 % 0.281 % 3.26 (notional in thousands) December 31, 2014 Swaps Maturities Notional Amount 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 % 7.70 Total $ 11,490,000 1.089 % 0.246 % 2.92 |
Schedule of Interest Rate Swaptions [Table Text Block] | As of June 30, 2015 and December 31, 2014 , 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: June 30, 2015 (notional and dollars in thousands) Option Underlying Swap Swaption Expiration Cost Fair Value Average Months to Expiration Notional Amount Average Pay Rate Average Receive Rate Average Term (Years) Purchase contracts: Payer < 6 Months $ 17,963 $ 14,444 4.36 $ 5,600,000 2.75 % 3M Libor 6.3 Payer ≥ 6 Months 259,328 134,633 50.71 9,210,000 4.01 % 3M Libor 6.9 Total Payer $ 277,291 $ 149,077 46.40 $ 14,810,000 3.53 % 3M Libor 6.7 Receiver < 6 Months $ 13,538 $ 298 1.04 $ 2,000,000 3M Libor 1.33 % 5.0 Total Receiver $ 13,538 $ 298 1.04 $ 2,000,000 3M Libor 1.33 % 5.0 Sale contracts: Payer ≥ 6 Months $ (81,248 ) $ (20,660 ) 24.02 $ (800,000 ) 3.44 % 3M Libor 10.0 Total Payer $ (81,248 ) $ (20,660 ) 24.02 $ (800,000 ) 3.44 % 3M Libor 10.0 Receiver < 6 Months $ (28,980 ) $ (19,895 ) 4.29 $ (6,600,000 ) 3M Libor 1.64 % 6.1 Total Receiver $ (28,980 ) $ (19,895 ) 4.29 $ (6,600,000 ) 3M Libor 1.64 % 6.1 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 % 5.0 Total Receiver $ 10,715 $ 6,462 3.38 $ 5,000,000 3M Libor 1.35 % 5.0 Sale contracts: Payer ≥ 6 Months $ (81,248 ) $ (19,990 ) 30.02 $ (800,000 ) 3.44 % 3M Libor 10.0 Total Payer $ (81,248 ) $ (19,990 ) 30.02 $ (800,000 ) 3.44 % 3M Libor 10.0 |
Schedule of Credit Default Swaps, Receive Protection [Table Text Block] | The following tables present credit default swaps whereby the Company is receiving protection held as of June 30, 2015 and December 31, 2014 : (notional and dollars in thousands) June 30, 2015 Protection Maturity Date Average Implied Credit Spread Current Notional Amount Fair Value Upfront (Payable) Receivable Unrealized Gain (Loss) Receive June 20, 2016 105.50 $ (100,000 ) $ (901 ) $ (260 ) $ (1,161 ) December 20, 2016 496.00 (25,000 ) (263 ) (4,062 ) (4,325 ) Total 183.60 $ (125,000 ) $ (1,164 ) $ (4,322 ) $ (5,486 ) (notional and dollars in thousands) December 31, 2014 Protection Maturity Date Average Implied Credit Spread Current Notional Amount Fair Value Upfront (Payable) Receivable Unrealized Gain (Loss) Receive June 20, 2016 105.50 $ (100,000 ) $ (1,350 ) $ (260 ) $ (1,610 ) December 20, 2016 496.00 (25,000 ) (322 ) (4,062 ) (4,384 ) Total 183.60 $ (125,000 ) $ (1,672 ) $ (4,322 ) $ (5,994 ) |
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 June 30, 2015 and December 31, 2014 : (in thousands) June 30, December 31, Face Value $ 1,049,743 $ 1,168,226 Unamortized premium — — Unamortized discount Designated credit reserve — — Net, unamortized (891,752 ) (991,715 ) Amortized Cost 157,991 176,511 Gross unrealized gains 21,068 14,162 Gross unrealized losses (2,156 ) (4,269 ) Carrying Value $ 176,903 $ 186,404 |
Schedule of Total Return Swaps [Table Text Block] | The Company had the following total return swap agreements in place at June 30, 2015 and December 31, 2014 : (notional and dollars in thousands) June 30, 2015 Maturity Date Current Notional Amount Fair Value Upfront Payable Unrealized Gain (Loss) January 12, 2043 $ (390,645 ) $ 641 $ (866 ) $ (225 ) January 12, 2044 (597,764 ) (50 ) (7,799 ) (7,849 ) Total $ (988,409 ) $ 591 $ (8,665 ) $ (8,074 ) (notional and dollars in thousands) December 31, 2014 Maturity Date Current Notional Amount Fair Value Upfront Payable Unrealized Gain (Loss) January 12, 2043 $ (411,281 ) $ 763 $ (1,457 ) $ (694 ) January 12, 2044 (187,178 ) 624 (275 ) 349 Total $ (598,459 ) $ 1,387 $ (1,732 ) $ (345 ) |
Other Assets (Tables)
Other Assets (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Other Assets [Abstract] | |
Schedule of Other Assets [Table Text Block] | Other assets as of June 30, 2015 and December 31, 2014 are summarized in the following table: (in thousands) June 30, December 31, Property and equipment at cost $ 5,492 $ 4,849 Accumulated depreciation (1) (2,593 ) (1,941 ) Net property and equipment 2,899 2,908 Prepaid expenses 1,375 1,790 Income taxes receivable 7,175 — Deferred tax assets, net 52,240 40,847 Servicing advances 30,828 27,490 Federal Home Loan Bank stock 125,250 100,010 Equity investments 3,000 3,000 Other receivables 13,793 12,534 Total other assets $ 236,560 $ 188,579 ____________________ (1) Depreciation expense for the three and six months ended June 30, 2015 was $0.3 million and $0.7 million , respectively. |
Other Liabilities (Tables)
Other Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Other Liabilities [Abstract] | |
Other Liabilities [Table Text Block] | Other liabilities as of June 30, 2015 and December 31, 2014 are summarized in the following table: (in thousands) June 30, December 31, Accrued expenses $ 30,724 $ 29,819 Accrued interest payable 18,984 23,772 Income taxes payable 39 1,375 Other 10,821 9,473 Total other liabilities $ 60,568 $ 64,439 |
Fair Value (Tables)
Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
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 June 30, 2015 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 12,807,658 $ — $ 12,807,658 Residential mortgage loans held-for-sale — 633,578 61,500 695,078 Residential mortgage loans held-for-investment in securitization trusts — 2,449,199 — 2,449,199 Mortgage servicing rights — — 437,576 437,576 Derivative assets — 347,322 — 347,322 Total assets $ — $ 16,237,757 $ 499,076 $ 16,736,833 Liabilities Collateralized borrowings in securitization trusts $ — $ 1,714,735 $ — $ 1,714,735 Derivative liabilities 5,187 17,288 — 22,475 Total liabilities $ 5,187 $ 1,732,023 $ — $ 1,737,210 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 Residential mortgage loans held-for-sale — 500,159 35,553 535,712 Residential 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 |
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 Three Months Ended Six Months Ended June 30, 2015 June 30, 2015 (in thousands) Residential Mortgage Loans Held-For-Sale Mortgage Servicing Rights Residential Mortgage Loans Held-For-Sale Mortgage Servicing Rights Beginning of period level 3 fair value $ 70,149 $ 410,229 $ 35,553 $ 452,006 Gains (losses) included in net income (loss): Realized gains (losses) 10,491 (7,805 ) 15,612 (17,119 ) Unrealized gains (losses) 30 (1) 25,440 (3) 777 (1) (17,649 ) (3) Total net gains (losses) included in net income (loss) 10,521 17,635 16,389 (34,768 ) Other comprehensive income — — — — Purchases 61,054 4,799 131,720 9,350 Sales (51,981 ) — (75,890 ) — Settlements (28,243 ) 4,913 (46,272 ) 10,988 Gross transfers into level 3 — — — — Gross transfers out of level 3 — — — — End of period level 3 fair value $ 61,500 $ 437,576 $ 61,500 $ 437,576 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ 370 (2) $ 25,440 (4) $ 352 (2) $ (17,649 ) (4) ___________________ (1) For the three and six months ended June 30, 2015 , the change in unrealized gains or losses on residential mortgage loans held-for-sale was recorded in (loss) gain on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income. (2) For the three and six months ended June 30, 2015 , the change in unrealized gains or losses on residential mortgage loans held-for-sale that were held at the end of the reporting period was recorded in (loss) gain on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income. (3) For the three and six months ended June 30, 2015 , the change in unrealized gains or losses on MSR was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive income. (4) For the three and six months ended June 30, 2015 , the change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive income. The Company did not incur transfers between Level 1, Level 2 or Level 3 during the six months ended June 30, 2015 . Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place. |
Fair Value 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 June 30, 2015 : As of June 30, 2015 Valuation Technique Unobservable Input (1) Range Weighted Average Discounted cash flow Constant prepayment speed 9.5 - 12.8 % 11.2% Delinquency 4.3 - 4.9 % 4.6% Discount rate 8.1 - 10.7 % 9.4% ___________________ (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 tables summarize the fair value option elections and information regarding the line items and amounts recognized in the condensed consolidated statements of comprehensive income for each fair value option-elected item. Three Months Ended June 30, 2015 (in thousands) Interest income (expense) (Loss) gain on residential mortgage loans held-for-sale Other (loss) income Total included in net income Change in fair value due to credit risk Assets Residential mortgage loans held-for-sale $ 7,518 (1) $ (3,019 ) $ — $ 4,499 $ 272 (2) Residential mortgage loans held-for-investment in securitization trusts 21,830 (1) — (49,143 ) (27,313 ) — (3) Liabilities Collateralized borrowings in securitization trusts (13,131 ) — 31,536 18,405 — (3) Total $ 16,217 $ (3,019 ) $ (17,607 ) $ (4,409 ) $ 272 Three Months Ended June 30, 2014 (in thousands) Interest income (expense) (Loss) gain on residential mortgage loans held-for-sale Other (loss) income Total included in net income Change in fair value due to credit risk Assets Residential mortgage loans held-for-sale $ 2,699 (1) $ 7,638 $ — $ 10,337 $ 1,036 (2) Residential mortgage loans held-for-investment in securitization trusts 7,761 (1) — 36,631 44,392 — (3) Liabilities Collateralized borrowings in securitization trusts (5,592 ) — (15,802 ) (21,394 ) — (3) Total $ 4,868 $ 7,638 $ 20,829 $ 33,335 $ 1,036 Six Months Ended June 30, 2015 (in thousands) Interest income (expense) (Loss) gain on residential mortgage loans held-for-sale Other (loss) income Total included in net income Change in fair value due to credit risk Assets Residential mortgage loans held-for-sale $ 11,789 (1) $ 6,047 $ — $ 17,836 $ 30 (2) Residential mortgage loans held-for-investment in securitization trusts 40,067 (1) — (49,094 ) (9,027 ) — (3) Liabilities Collateralized borrowings in securitization trusts (23,839 ) — 28,569 4,730 — (3) Total $ 28,017 $ 6,047 $ (20,525 ) $ 13,539 $ 30 Six Months Ended June 30, 2014 (in thousands) Interest income (expense) (Loss) gain on residential mortgage loans held-for-sale Other (loss) income Total included in net income Change in fair value due to credit risk Assets Residential mortgage loans held-for-sale $ 7,285 (1) $ 4,874 $ — $ 12,159 $ 1,069 (2) Residential mortgage loans held-for-investment in securitization trusts 15,654 (1) — 38,606 54,260 — (3) Liabilities Collateralized borrowings in securitization trusts (10,945 ) — (17,463 ) (28,408 ) — (3) Total $ 11,994 $ 4,874 $ 21,143 $ 38,011 $ 1,069 ____________________ (1) Interest income on residential mortgage loans held-for-sale and residential mortgage loans held-for-investment in securitization trusts is measured by multiplying the unpaid principal balance on the loans by the coupon rate and the number of days of interest due. (2) The change in fair value due to credit risk on residential mortgage loans held-for-sale was quantified by holding yield constant in the cash flow model in order to isolate credit risk component. (3) The change in fair value on residential mortgage loans held-for-investment in securitization trusts and collateralized borrowings in securitization trusts was due entirely to changes in market interest rates. |
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. June 30, 2015 December 31, 2014 (in thousands) Unpaid Principal Balance Fair Value (1) Unpaid Principal Balance Fair Value (1) Residential mortgage loans held-for-sale Total loans $ 703,966 $ 695,078 $ 534,101 $ 535,712 Nonaccrual loans $ 48,379 $ 42,212 $ 26,405 $ 20,574 Loans 90+ days past due $ 45,547 $ 39,525 $ 25,263 $ 19,675 Residential mortgage loans held-for-investment in securitization trusts Total loans $ 2,431,573 $ 2,449,199 $ 1,699,748 $ 1,744,746 Nonaccrual loans $ 862 $ 865 $ — $ — Loans 90+ days past due $ — $ — $ — $ — Collateralized borrowings in securitization trusts Total borrowings $ 1,743,289 $ 1,714,735 $ 1,218,589 $ 1,209,663 ____________________ (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 June 30, 2015 and December 31, 2014 . June 30, 2015 December 31, 2014 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets Available-for-sale securities $ 12,807,658 $ 12,807,658 $ 14,341,102 $ 14,341,102 Trading securities $ — $ — $ 1,997,656 $ 1,997,656 Residential mortgage loans held-for-sale $ 695,078 $ 695,078 $ 535,712 $ 535,712 Residential mortgage loans held-for-investment in securitization trusts $ 2,449,199 $ 2,449,199 $ 1,744,746 $ 1,744,746 Commercial real estate loans held-for-investment $ 45,605 $ 45,605 $ — $ — Mortgage servicing rights $ 437,576 $ 437,576 $ 452,006 $ 452,006 Cash and cash equivalents $ 933,579 $ 933,579 $ 1,005,792 $ 1,005,792 Restricted cash $ 410,903 $ 410,903 $ 336,771 $ 336,771 Derivative assets $ 347,322 $ 347,322 $ 380,791 $ 380,791 Federal Home Loan Bank stock $ 125,250 $ 125,250 $ 100,010 $ 100,010 Equity investments $ 3,000 $ 3,000 $ 3,000 $ 3,000 Liabilities Repurchase agreements $ 9,422,803 $ 9,422,803 $ 12,932,463 $ 12,932,463 Collateralized borrowings in securitization trusts $ 1,714,735 $ 1,714,735 $ 1,209,663 $ 1,209,663 Federal Home Loan Bank advances $ 3,000,000 $ 3,000,000 $ 2,500,000 $ 2,500,000 Derivative liabilities $ 22,475 $ 22,475 $ 90,233 $ 90,233 |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Repurchase Agreements by Term, Short or Long [Table Text Block] | At June 30, 2015 and December 31, 2014 , the repurchase agreement balances were as follows: (in thousands) June 30, December 31, Short-term $ 9,422,803 $ 12,839,242 Long-term — 93,221 Total $ 9,422,803 $ 12,932,463 |
Schedule of Repurchase Agreements by Maturity [Table Text Block] | At June 30, 2015 and December 31, 2014 , the repurchase agreements had the following characteristics and remaining maturities: June 30, 2015 Collateral Type (in thousands) Agency RMBS Non-Agency RMBS (1) Agency Derivatives Residential Mortgage Loans Held-for-Sale Commercial Real Estate Loans Held-for-Investment Total Amount Outstanding Within 30 days $ 1,912,119 $ 471,133 $ 47,770 $ — $ 22,950 $ 2,453,972 30 to 59 days 3,077,003 461,904 85,097 — — 3,624,004 60 to 89 days 484,627 230,613 — — — 715,240 90 to 119 days 471,052 64,420 — — — 535,472 120 to 364 days 1,376,499 708,162 — 9,454 — 2,094,115 Total $ 7,321,300 $ 1,936,232 $ 132,867 $ 9,454 $ 22,950 $ 9,422,803 Weighted average borrowing rate 0.45 % 1.85 % 1.03 % 2.63 % 1.84 % 0.75 % December 31, 2014 Collateral Type (in thousands) U.S Treasuries Agency RMBS Non-Agency RMBS (1) Agency Derivatives Residential Mortgage Loans Held-for-Sale Total Amount Outstanding Within 30 days $ 998,750 $ 2,305,726 $ 630,118 $ 44,723 $ — $ 3,979,317 30 to 59 days — 3,568,049 945,032 82,344 — 4,595,425 60 to 89 days — 631,992 260,228 11,066 — 903,286 90 to 119 days — 317,155 117,395 — — 434,550 120 to 364 days — 1,635,650 278,401 — 15,113 1,929,164 Open maturity (2) 997,500 — — — — 997,500 One year and over — — 93,221 — — 93,221 Total $ 1,996,250 $ 8,458,572 $ 2,324,395 $ 138,133 $ 15,113 $ 12,932,463 Weighted average borrowing rate 0.23 % 0.42 % 1.79 % 0.99 % 3.03 % 0.64 % ____________________ (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. (2) 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. |
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) June 30, December 31, Available-for-sale securities, at fair value $ 10,284,534 $ 11,874,783 Trading securities, at fair value — 1,997,656 Residential mortgage loans held-for-sale, at fair value 10,545 19,123 Commercial real estate loans held-for-investment 45,605 — Net economic interests in consolidated securitization trusts (1) 113,824 363,564 Cash and cash equivalents 15,000 14,117 Restricted cash 182,709 112,435 Due from counterparties 24,252 32,495 Derivative assets, at fair value 176,017 185,067 Total $ 10,852,486 $ 14,599,240 ____________________ (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 June 30, 2015 and December 31, 2014 : June 30, 2015 December 31, 2014 (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 $ 1,161,333 $ 316,965 8 % 119.6 $ 1,373,549 $ 401,194 10 % 83.8 Barclays Capital Inc. 789,908 265,129 7 % 59.5 1,346,085 365,879 9 % 50.5 All other counterparties (2) (3) 7,471,562 843,313 21 % 61.5 9,215,329 907,066 22 % 57.7 Total $ 9,422,803 $ 1,425,407 $ 11,934,963 $ 1,674,139 ____________________ (1) Represents the net carrying value of the securities, residential mortgage loans held-for-sale and commercial real estate loans held-for-investment 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. Payables due to broker counterparties for unsettled securities purchases are not included in the amounts presented above. However, at both June 30, 2015 and December 31, 2014 , the Company did not have any such payables. (2) Excludes $997.5 million of repurchase agreements collateralized by U.S. Treasuries with a rolling 1-day maturity as of December 31, 2014 . (3) Represents amounts outstanding with 21 and 23 counterparties at June 30, 2015 and December 31, 2014 , respectively. |
Federal Home Loan Bank Advanc47
Federal Home Loan Bank Advances (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Advances from Federal Home Loan Banks [Abstract] | |
Schedule of Maturities of Federal Home Loan Bank Advances [Table Text Block] | At June 30, 2015 and December 31, 2014 , FHLB advances had the following remaining maturities: (in thousands) June 30, December 31, ≤ 1 year $ — $ 33,738 > 1 and ≤ 3 years 651,238 651,238 > 3 and ≤ 5 years 815,024 815,024 > 5 and ≤ 10 years — — > 10 years 1,533,738 1,000,000 Total $ 3,000,000 $ 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) June 30, December 31, Available-for-sale securities, at fair value $ 2,268,550 $ 2,284,532 Residential mortgage loans held-for-sale, at fair value 551,257 397,656 Net economic interests in consolidated securitization trusts (1) 491,270 80,732 Total $ 3,311,077 $ 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. |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Stockholders' Equity Attributable to Parent [Abstract] | |
Schedule of Dividends Declared [Table Text Block] | The following table presents cash dividends declared by the Company on its common stock during the three months ended June 30, 2015 , and the four immediately preceding quarters: Declaration Date Record Date Payment Date Cash Dividend Per Share June 17, 2015 June 30, 2015 July 21, 2015 $ 0.26 March 18, 2015 March 31, 2015 April 21, 2015 $ 0.26 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 |
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | Accumulated other comprehensive income at June 30, 2015 and December 31, 2014 was as follows: (in thousands) June 30, December 31, Available-for-sale securities, at fair value Unrealized gains $ 711,813 $ 891,820 Unrealized losses (80,781 ) (36,031 ) Accumulated other comprehensive income $ 631,032 $ 855,789 |
Reclassification out of Accumulated Other Comprehensive Income [Table Text Block] | The following table summarizes reclassifications out of accumulated other comprehensive income for the three and six months ended June 30, 2015 and 2014 : (in thousands) Affected Line Item in the Condensed Consolidated Statements of Comprehensive Income Amount Reclassified out of Accumulated Other Comprehensive Income Three Months Ended June 30, Six Months Ended June 30, 2015 2014 2015 2014 Other-than-temporary-impairments on AFS securities Total other-than-temporary impairment losses $ 170 $ — $ 297 $ 212 Realized (gains) losses on sales of AFS securities Gain (loss) on investment securities (75,135 ) (20,952 ) (175,071 ) 22,228 $ (74,965 ) $ (20,952 ) $ (174,774 ) $ 22,440 |
Equity Incentive Plan Equity In
Equity Incentive Plan Equity Incentive Plan (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity [Table Text Block] | The following table summarizes the activity related to restricted common stock for the six months ended June 30, 2015 and 2014 : Six Months Ended June 30, 2015 2014 (in thousands) Shares Weighted Average Grant Date Fair Market Value Shares Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 2,002,406 $ 10.32 1,024,459 $ 11.22 Granted 1,151,095 10.49 1,155,342 9.81 Vested (711,124 ) (10.45 ) (395,986 ) (11.10 ) Forfeited (55,474 ) (10.19 ) (3,065 ) (9.79 ) Outstanding at End of Period 2,386,903 $ 10.36 1,780,750 $ 10.34 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share, or EPS, for the three and six months ended June 30, 2015 and 2014 : Three Months Ended Six Months Ended June 30, June 30, (in thousands, except share data) 2015 2014 2015 2014 Numerator: Net income $ 221,501 $ 39,657 $ 316,294 $ 10,512 Denominator: Weighted average common shares outstanding 364,919,352 364,078,669 364,775,066 363,996,652 Weighted average restricted stock shares 2,154,779 1,999,455 2,017,393 1,849,643 Basic and diluted weighted average shares outstanding 367,074,131 366,078,124 366,792,459 365,846,295 Basic and Diluted Earnings Per Share: $ 0.60 $ 0.11 $ 0.86 $ 0.03 |
Basis of Presentation and Sig51
Basis of Presentation and Significant Accounting Policies Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Derivative Financial Instruments, Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amount of Recognized Assets (Liabilities) | $ 414,958 | $ 443,490 |
Gross Amounts Offset on the Balance Sheet | (67,636) | (62,699) |
Net Amount of Assets (Liabilities) Presented on the Balance Sheet | 347,322 | 380,791 |
Gross Amounts of Financial Instruments Not Offset on the Balance Sheet | (22,475) | (90,233) |
Gross Amounts of Cash Collateral Not Offset on the Balance Sheet | 0 | 0 |
Net Amount After Deducting Gross Amounts Not Offset on the Balance Sheet From Net Amount of Assets (Liabilities) Presented on the Balance Sheet | 324,847 | 290,558 |
Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amount of Recognized Assets (Liabilities) | 414,958 | 443,490 |
Gross Amounts Offset on the Balance Sheet | (67,636) | (62,699) |
Net Amount of Assets (Liabilities) Presented on the Balance Sheet | 347,322 | 380,791 |
Gross Amounts of Financial Instruments Not Offset on the Balance Sheet | (22,475) | (90,233) |
Gross Amounts of Cash Collateral Not Offset on the Balance Sheet | 0 | 0 |
Net Amount After Deducting Gross Amounts Not Offset on the Balance Sheet From Net Amount of Assets (Liabilities) Presented on the Balance Sheet | 324,847 | 290,558 |
Securities Loaned or Sold under Agreements to Repurchase [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amount of Recognized Assets (Liabilities) | (9,422,803) | (12,932,463) |
Gross Amounts Offset on the Balance Sheet | 0 | 0 |
Net Amount of Assets (Liabilities) Presented on the Balance Sheet | (9,422,803) | (12,932,463) |
Gross Amounts of Financial Instruments Not Offset on the Balance Sheet | 9,422,803 | 12,932,463 |
Gross Amounts of Cash Collateral Not Offset on the Balance Sheet | 0 | 0 |
Net Amount After Deducting Gross Amounts Not Offset on the Balance Sheet From Net Amount of Assets (Liabilities) Presented on the Balance Sheet | 0 | 0 |
Derivative Financial Instruments, Liabilities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amount of Recognized Assets (Liabilities) | (90,111) | (152,932) |
Gross Amounts Offset on the Balance Sheet | 67,636 | 62,699 |
Net Amount of Assets (Liabilities) Presented on the Balance Sheet | (22,475) | (90,233) |
Gross Amounts of Financial Instruments Not Offset on the Balance Sheet | 22,475 | 90,233 |
Gross Amounts of Cash Collateral Not Offset on the Balance Sheet | 0 | 0 |
Net Amount After Deducting Gross Amounts Not Offset on the Balance Sheet From Net Amount of Assets (Liabilities) Presented on the Balance Sheet | 0 | 0 |
Liability [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amount of Recognized Assets (Liabilities) | (9,512,914) | (13,085,395) |
Gross Amounts Offset on the Balance Sheet | 67,636 | 62,699 |
Net Amount of Assets (Liabilities) Presented on the Balance Sheet | (9,445,278) | (13,022,696) |
Gross Amounts of Financial Instruments Not Offset on the Balance Sheet | 9,445,278 | 13,022,696 |
Gross Amounts of Cash Collateral Not Offset on the Balance Sheet | 0 | 0 |
Net Amount After Deducting Gross Amounts Not Offset on the Balance Sheet From Net Amount of Assets (Liabilities) Presented on the Balance Sheet | $ 0 | $ 0 |
Variable Interest Entities (Det
Variable Interest Entities (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Assets | $ 2,508,625 | $ 1,754,943 |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 1,727,995 | 1,219,821 |
Loans Held-for-investment, Mortgages [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 2,449,199 | 1,744,746 |
Loans Held-for-investment, Commercial Real Estate [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 45,605 | 0 |
Accrued Income Receivable [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 13,821 | 10,197 |
Assets, Total [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 2,508,625 | 1,754,943 |
Borrowings [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 1,714,735 | 1,209,663 |
Accrued Liabilities [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 5,128 | 3,678 |
Accounts Payable [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 8,132 | 6,480 |
Liabilities, Total [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | $ 1,727,995 | $ 1,219,821 |
Available-for-Sale Securities53
Available-for-Sale Securities, at Fair Value (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | $ 12,807,658 | $ 14,341,102 |
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 | 2,279,632 | 2,418,546 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | 5,796,614 | 6,768,875 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | 2,024,567 | 2,104,896 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | $ 2,706,845 | $ 3,048,785 |
Available-for-Sale Securities P
Available-for-Sale Securities Pledged as Collateral (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Available-for-sale Securities [Abstract] | ||
Available-for-sale Securities Pledged as Collateral | $ 12,553,084 | $ 14,159,315 |
Schedule of Available-for-sale
Schedule of Available-for-sale Securities Reconciliation (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Face Value | $ 15,889,774 | $ 17,713,427 |
Available-for-sale Securities, Unamortized Premium | 612,534 | 676,641 |
Available-for-sale Securities, Designated Credit Reserve | (657,626) | (927,605) |
Available-for-sale Securities, Net, Unamortized | (3,668,056) | (3,977,150) |
Available-for-sale Securities, Amortized Cost Basis | 12,176,626 | 13,485,313 |
Available-for-sale Securities, Gross Unrealized Gains | 711,813 | 891,820 |
Available-for-sale Securities, Gross Unrealized Losses | (80,781) | (36,031) |
Available-for-sale securities, at fair value | 12,807,658 | 14,341,102 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Face Value | 12,222,579 | 13,421,555 |
Available-for-sale Securities, Unamortized Premium | 612,534 | 676,641 |
Available-for-sale Securities, Designated Credit Reserve | 0 | 0 |
Available-for-sale Securities, Net, Unamortized | (2,848,032) | (3,009,782) |
Available-for-sale Securities, Amortized Cost Basis | 9,987,081 | 11,088,414 |
Available-for-sale Securities, Gross Unrealized Gains | 189,522 | 238,291 |
Available-for-sale Securities, Gross Unrealized Losses | (75,790) | (34,388) |
Available-for-sale securities, at fair value | 10,100,813 | 11,292,317 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Face Value | 3,667,195 | 4,291,872 |
Available-for-sale Securities, Unamortized Premium | 0 | 0 |
Available-for-sale Securities, Designated Credit Reserve | (657,626) | (927,605) |
Available-for-sale Securities, Net, Unamortized | (820,024) | (967,368) |
Available-for-sale Securities, Amortized Cost Basis | 2,189,545 | 2,396,899 |
Available-for-sale Securities, Gross Unrealized Gains | 522,291 | 653,529 |
Available-for-sale Securities, Gross Unrealized Losses | (4,991) | (1,643) |
Available-for-sale securities, at fair value | $ 2,706,845 | $ 3,048,785 |
Available-for-sale Securities C
Available-for-sale Securities Classified by Rate Type (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Adjustable Rate | $ 2,351,219 | $ 2,687,117 |
Available-for-sale Securities, Fixed Rate | 10,456,439 | 11,653,985 |
Available-for-sale securities, at fair value | 12,807,658 | 14,341,102 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Adjustable Rate | 119,710 | 128,285 |
Available-for-sale Securities, Fixed Rate | 9,981,103 | 11,164,032 |
Available-for-sale securities, at fair value | 10,100,813 | 11,292,317 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Adjustable Rate | 2,231,509 | 2,558,832 |
Available-for-sale Securities, Fixed Rate | 475,336 | 489,953 |
Available-for-sale securities, at fair value | $ 2,706,845 | $ 3,048,785 |
Schedule of Available-for-sal57
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 ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Available-for-sale Securities, Designated Credit Reserve [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Unamortized Discount, Beginning Balance | $ (927,605) | $ (1,234,449) |
Available-for-sale Securities, Unamortized Discount, Acquisitions | (1,284) | (62,752) |
Available-for-sale Securities, Unamortized Discount, Accretion | 0 | 0 |
Available-for-sale Securities, Unamortized Discount, Credit Losses | 8,470 | 6,607 |
Available-for-sale Securities, Unamortized Discount, Other-than-temporary Impairment Adjustment | 1,619 | (212) |
Available-for-sale Securities, Unamortized Discount, Transfers | 58,716 | 47,495 |
Available-for-sale Securities, Unamortized Discount, Sales, Calls and Other | 202,458 | 80,854 |
Available-for-sale Securities, Unamortized Discount, Ending Balance | (657,626) | (1,162,457) |
Available-for-sale Securities, Net, Unamortized [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Unamortized Discount, Beginning Balance | (967,368) | (1,071,559) |
Available-for-sale Securities, Unamortized Discount, Acquisitions | 3,283 | (46,581) |
Available-for-sale Securities, Unamortized Discount, Accretion | 52,759 | 64,084 |
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 | (58,716) | (47,495) |
Available-for-sale Securities, Unamortized Discount, Sales, Calls and Other | 156,584 | 45,251 |
Available-for-sale Securities, Unamortized Discount, Ending Balance | (820,024) | (1,056,300) |
Available-for-sale Securities, Unamortized Discount [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Unamortized Discount, Beginning Balance | (1,894,973) | (2,306,008) |
Available-for-sale Securities, Unamortized Discount, Acquisitions | (4,567) | (109,333) |
Available-for-sale Securities, Unamortized Discount, Accretion | 52,759 | 64,084 |
Available-for-sale Securities, Unamortized Discount, Credit Losses | 8,470 | 6,607 |
Available-for-sale Securities, Unamortized Discount, Other-than-temporary Impairment Adjustment | 1,619 | (212) |
Available-for-sale Securities, Unamortized Discount, Transfers | 0 | 0 |
Available-for-sale Securities, Unamortized Discount, Sales, Calls and Other | 359,042 | 126,105 |
Available-for-sale Securities, Unamortized Discount, Ending Balance | $ (1,477,650) | $ (2,218,757) |
Available-for-Sale Securities58
Available-for-Sale Securities, at Fair Value Schedule of Unrealized Loss on Investments (Details) $ in Thousands | Jun. 30, 2015USD ($) | Dec. 31, 2014USD ($) |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-Sale Securities, Number of Positions | 1,455 | 1,452 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | 198 | 57 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | 177 | 172 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 2,659,052 | $ 413,102 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Aggregate Losses | (40,295) | (3,146) |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 1,204,291 | 1,323,688 |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Aggregate Losses | (40,486) | (32,885) |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 3,863,343 | 1,736,790 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Aggregate Losses | $ (80,781) | $ (36,031) |
Available-for-Sale Securities59
Available-for-Sale Securities, at Fair Value Other than Temporary Impairment, Credit Losses Recognized in Earnings (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015USD ($) | Jun. 30, 2014USD ($) | Jun. 30, 2015USD ($) | Jun. 30, 2014USD ($) | |
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 | $ (170) | $ 0 | $ (297) | $ (212) |
Other than Temporary Impairment Losses, Investments, Number, Available-for-sale Securities | 1 | 3 | ||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Market Value | 141,238 | $ 141,238 | ||
Available-for-sale Securities, Weighted Average Cumulative Losses | 10.40% | |||
Available-for-sale Securities, Weighted Average Three-Month Prepayment Speed | 0.043 | |||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures, Delinquency Rate | 27.20% | |||
Available-for-sale Securities, Weighted Average FICO Score | 664 | |||
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Credit Losses on Debt Securities Held, Beginning Balance | (6,452) | (9,215) | $ 8,241 | $ 9,467 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Additions, No Previous Impairment | 0 | 0 | 0 | (91) |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Additions, Additional Credit Losses | 170 | 0 | (297) | (121) |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Cash Flows | 0 | 0 | 0 | 464 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Securities Sold | 0 | 1,154 | 1,916 | 1,154 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Credit Losses on Debt Securities Held, Ending Balance | $ (6,622) | $ (8,061) | $ (6,622) | $ (8,061) |
Available-for-Sale Securities60
Available-for-Sale Securities, at Fair Value Schedule of Realized Gain (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
Available-for-sale Securities, Gross Realized Gains (Losses), Sale Proceeds | $ 1,671,909 | $ 459,388 | $ 2,572,016 | $ 1,274,260 |
Available-for-sale Securities, Gross Realized Gains (Losses), Amortized Cost Sold | 1,596,046 | 423,433 | 2,378,685 | 1,277,094 |
Available-for-sale Securities, Gross Realized Gains | 76,199 | 35,954 | 193,887 | 43,163 |
Available-for-sale Securities, Gross Realized Losses | (336) | 0 | (556) | (45,997) |
Available-for-sale Securities, Gross Realized Gain (Loss) | $ 75,863 | $ 35,954 | $ 193,331 | $ (2,834) |
Trading Securities, at Fair V61
Trading Securities, at Fair Value (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||||
Trading Securities, Cost | $ 0 | $ 0 | $ 1,996,289 | ||
Trading securities, at fair value | 0 | 0 | 1,997,656 | ||
Trading Securities, Gross Unrealized Gain (Loss) | 0 | 0 | 1,367 | ||
Proceeds from sales of trading securities | 2,004,375 | $ 44,796 | 2,004,375 | $ 143,378 | |
Trading Securities, Amortized Cost Sold | 1,996,951 | 44,803 | 1,996,951 | 143,023 | |
Trading Securities, Realized Gain (Loss) | 7,424 | (7) | 7,424 | 355 | |
Trading Securities, Change in Unrealized Holding Gain (Loss) | (13,356) | $ 1,741 | (1,367) | $ 1,512 | |
Assets Sold under Agreements to Repurchase, Market Value | 10,852,486 | 10,852,486 | 14,599,240 | ||
US Treasury Securities [Member] | |||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||||
Assets Sold under Agreements to Repurchase, Market Value | $ 0 | $ 0 | $ 1,997,656 |
Schedule of Residential Mortgag
Schedule of Residential Mortgage Loans Held-for-Sale Reconciliation (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Dec. 31, 2013 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Loans Held-for-sale, Mortgages, Unpaid Principal | $ 703,966 | $ 534,101 | ||
Loans Held-for-sale, Mortgages, Fair Value Adjustment | (8,888) | 1,611 | ||
Residential mortgage loans held-for-sale, at fair value | 695,078 | 535,712 | $ 399,841 | $ 544,581 |
Loans Pledged as Collateral | $ 561,802 | $ 416,779 |
Residential Mortgage Loans He63
Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Residential Mortgage Loans Held-for-Invesment, Unpaid Principal | $ 2,431,573 | $ 1,699,748 |
Residential Mortgage Loans Held-for-Investment, Fair Value Adjustment | 17,626 | 44,998 |
Residential mortgage loans held-for-investment in securitization trusts, at fair value | $ 2,449,199 | $ 1,744,746 |
Commercial Real Estate Loans 64
Commercial Real Estate Loans Held-for-Investment (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | $ 10,852,486 | $ 14,599,240 |
Commercial Real Estate Loans Held-for-Investment, Unpaid Principal | 45,900 | 0 |
Unamortized Loan Commitment and Origination Fees and Unamortized Discounts or Premiums, Commercial | (295) | 0 |
Mortgage Loans on Real Estate, Commercial and Consumer, Net | 45,605 | 0 |
Loans Held-for-investment, Commercial Real Estate [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | $ 45,605 | $ 0 |
Rollforward of Mortgage Servici
Rollforward of Mortgage Servicing Rights, at Fair Value (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Servicing Assets at Fair Value [Line Items] | ||||
Mortgage servicing rights, at fair value, Beginning Balance | $ 410,229 | $ 476,663 | $ 452,006 | $ 514,402 |
Servicing Asset at Fair Value, Additions | 4,210 | 53,013 | 8,534 | 54,293 |
Servicing Asset at Fair Value, Additions from Sale of Mortgage Loans | 589 | 0 | 816 | 0 |
Servicing Asset at Fair Value, Changes in Fair Value Resulting from Changes in Valuation Inputs or Changes in Assumptions | 25,440 | (15,655) | (17,649) | (35,905) |
Servicing Asset at Fair Value, Other Changes in Fair Value | (7,805) | (13,916) | (17,119) | (26,427) |
Servicing Asset at Fair Value, Other Changes that Affect Balance | 4,913 | 385 | 10,988 | (5,873) |
Mortgage servicing rights, at fair value, Ending Balance | $ 437,576 | $ 500,490 | $ 437,576 | $ 500,490 |
Schedule of Mortgage Servicing
Schedule of Mortgage Servicing Rights Sensitivity Analysis of Fair Value (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
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 | 11.20% | 11.90% |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 10 Percent Adverse Change in Prepayment Speed | $ (17,941) | $ (14,012) |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 20 Percent Adverse Change in Prepayment Speed | $ (34,131) | $ (31,640) |
Fair Value Inputs, Probability of Default | 4.60% | 5.60% |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 10 Percent Adverse Change in Other Assumption | $ (2,188) | $ (3,616) |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 20 Percent Adverse Change in Other Assumption | $ (4,376) | $ (6,780) |
Fair Value Inputs, Discount Rate | 9.40% | 9.50% |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 10 Percent Adverse Change in Discount Rate | $ (15,753) | $ (16,272) |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 20 Percent Adverse Change in Discount Rate | $ (30,630) | $ (31,640) |
Components of Servicing Revenue
Components of Servicing Revenue (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Components of Servicing Revenue [Line Items] | |||||
Contractually Specified Servicing Fees, Amount | $ 29,586 | $ 33,079 | $ 60,823 | $ 62,950 | |
Ancillary Fee Income Generated by Servicing Financial Assets, Amount | 551 | 581 | 1,115 | 1,044 | |
Float Income Generated by Servicing Financial Assets, Amount | 379 | 208 | 665 | 315 | |
Contractually Specified Servicing Fees, Late Fees, and Ancillary Fees Earned in Exchange for Servicing Financial Assets | 30,516 | $ 33,868 | 62,603 | $ 64,309 | |
Servicing advances | $ 30,828 | $ 30,828 | $ 27,490 |
Serviced Mortgage Assets (Detai
Serviced Mortgage Assets (Details) $ in Thousands | Jun. 30, 2015USD ($) | Dec. 31, 2014USD ($) |
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together, Number of Loans | 216,479 | 225,568 |
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together, Principal Amount Outstanding | $ 43,837,595 | $ 45,841,620 |
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] | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together, Number of Loans | 1,293 | 1,008 |
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together, Principal Amount Outstanding | $ 703,966 | $ 534,101 |
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] | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together, Number of Loans | 441 | 487 |
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together, Principal Amount Outstanding | $ 322,335 | $ 358,458 |
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] | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together, Number of Loans | 214,745 | 224,073 |
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together, Principal Amount Outstanding | $ 42,811,294 | $ 44,949,061 |
Schedule of Restricted Cash and
Schedule of Restricted Cash and Cash Equivalents (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted Cash and Cash Equivalents Held By Broker Counterparties For Securities Trading Activity | $ 17,250 | $ 12,000 |
Restricted Cash and Cash equivalents Held by Broker Counterparties For Derivatives Trading Activity | 210,597 | 211,989 |
Restricted Cash and Cash Equivalents Held By Repurchase Counterparties as Restricted Collateral | 182,709 | 112,435 |
Restricted Cash and Cash Equivalents Held by Broker and Repurchase Counterparties | 410,556 | 336,424 |
Restricted Cash and Cash Equivalents, Noncurrent | 347 | 347 |
Restricted Cash and Cash Equivalents | $ 410,903 | $ 336,771 |
Accrued Interest Receivable Sch
Accrued Interest Receivable Schedule of Accounts, Notes, Loans and Financing Receivable (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | $ 57,011 | $ 65,529 |
Loans Held-for-sale, Mortgages [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 2,448 | 1,997 |
Loans Held-for-investment, Mortgages [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 13,680 | 10,197 |
Loans Held-for-investment, Commercial Real Estate [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 141 | 0 |
US Treasury Securities [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 0 | 8,084 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 8,042 | 8,734 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 19,223 | 22,392 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 9,901 | 10,290 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 3,576 | 3,835 |
Available-for-sale Securities [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | $ 40,742 | $ 45,251 |
Schedule of Derivative Instrume
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | $ 27,401,335 | $ 33,709,043 | $ 48,115,523 | $ 43,379,217 | $ 43,576,146 | $ 37,366,610 |
Inverse Interest-Only Securities [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 1,049,743 | 1,106,210 | 1,168,226 | 1,323,650 | 1,412,374 | 1,525,845 |
Interest Rate Swap [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 16,225,523 | 19,929,000 | 18,584,000 | 23,628,148 | 21,663,148 | 19,619,000 |
Credit Default Swap [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 125,000 | 125,000 | 125,000 | 125,000 | 125,000 | 427,073 |
Interest Rate Swaption [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 9,410,000 | 12,960,000 | 12,410,000 | 11,450,000 | 9,500,000 | 5,130,000 |
Forward Contracts [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 1,024,000 | 2,496,000 | 1,325,000 | 372,000 | (1,022,000) | 603,000 |
Options Held [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | (2,500,000) | 2,000,000 | 0 | 1,500,000 | 0 |
Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 1,530 | |||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | 3,000,000 | 14,000,000 | 6,000,000 | 10,000,000 | 10,000,000 |
Total Return Swap [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 988,409 | 877,529 | 598,459 | 576,478 | 243,987 | 49,629 |
Forward Purchase Commitments [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 626,660 | $ 707,304 | 554,838 | $ 647,941 | $ 153,637 | $ 12,063 |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 347,322 | 380,791 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 26,416,319 | 36,315,523 | ||||
Derivative Financial Instruments, Assets [Member] | Inverse Interest-Only Securities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 178,848 | 188,592 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 1,049,743 | 1,168,226 | ||||
Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 46,935 | 55,471 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 14,325,523 | 9,569,000 | ||||
Derivative Financial Instruments, Assets [Member] | Credit Default Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 0 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | 0 | ||||
Derivative Financial Instruments, Assets [Member] | Interest Rate Swaption [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 120,707 | 121,591 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 10,050,000 | 9,550,000 | ||||
Derivative Financial Instruments, Assets [Member] | Forward Contracts [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 0 | 10,350 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | 875,000 | ||||
Derivative Financial Instruments, Assets [Member] | Options Held [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 0 | 90 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | 2,000,000 | ||||
Derivative Financial Instruments, Assets [Member] | Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 0 | 2,013 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | 12,000,000 | ||||
Derivative Financial Instruments, Assets [Member] | Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 725 | 1,387 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 855,872 | 598,459 | ||||
Derivative Financial Instruments, Assets [Member] | Forward Purchase Commitments [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 107 | 1,297 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 135,181 | |||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (22,475) | (90,233) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 4,723,016 | 16,200,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Inverse Interest-Only Securities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 0 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (1,402) | (65,392) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 1,900,000 | 9,015,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Credit Default Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (1,164) | (1,672) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 125,000 | 125,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swaption [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (11,887) | (4,999) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 640,000 | 2,860,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Forward Contracts [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (5,187) | (17,687) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 1,434,000 | 2,200,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Options Held [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (105) | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 0 | (483) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | 2,000,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (134) | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 132,537 | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | Forward Purchase Commitments [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (2,596) | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | $ 491,479 | $ 0 |
Schedule of Derivative Instru72
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments | $ 44,952 | $ (116,019) | $ (81,491) | $ (221,547) |
Derivative Instruments, Gain (Loss) Recognized in Income, Net | (5,484) | (24,202) | (2,517) | (18,401) |
Gain (Loss) on Interest Rate Swap and Swaption Agreements | 35,258 | (182,420) | ||
Gain (Loss) on Mortgage Loans Held-for-Sale | (6,832) | 11,801 | 2,260 | 8,620 |
Trading Activity, Gains and Losses, Net | 34,338 | (136,058) | (88,168) | (236,202) |
Agency To-be-Announced Securities, Non-Risk Management [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments, Gain (Loss) Recognized in Income, Net | 0 | 0 | 0 | (4,701) |
Inverse Interest-Only Securities [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments, Gain (Loss) Recognized in Income, Net | 4,909 | 16,052 | 24,170 | 34,375 |
Forward Purchase Commitments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Mortgage Loans Held-for-Sale | (5,130) | 4,163 | (4,160) | 3,746 |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Forward Contracts [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments, Gain (Loss) Recognized in Income, Net | 5,262 | (29,877) | (22,696) | (47,780) |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Short US Treasury Securities [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments, Gain (Loss) Recognized in Income, Net | 125 | (8) | 125 | (8) |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Options Held [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments, Gain (Loss) Recognized in Income, Net | 5,671 | (4,614) | 8,206 | (6,319) |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Treasury Lock [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments, Gain (Loss) Recognized in Income, Net | (837) | 0 | (837) | 0 |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Swap [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments, Gain (Loss) Recognized in Income, Net | 74 | (6,103) | 6,164 | 5,428 |
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 | 19,752 | (57,250) | 1,246 | (169,808) |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Total Return Swap [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments, Gain (Loss) Recognized in Income, Net | (20,658) | 353 | (17,526) | (1,372) |
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 | (42,470) | 65,963 | (144) | 106,942 |
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 | 20,713 | (46,341) | (31,846) | (59,761) |
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 | 46,957 | (78,391) | (50,747) | (98,920) |
Credit Risk Associated with Non-Agency RMBS and Mortgage Loans Held-for-Sale [Member] | Credit Default Swap, Selling Protection [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments, Gain (Loss) Recognized in Income, Net | $ (30) | $ (5) | $ (123) | $ 1,976 |
Derivative Instruments and He73
Derivative Instruments and Hedging Activities Interest Spread on Interest Rate Swaps (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative, Average Notional Amount | $ 28,369,326 | $ 43,273,172 | $ 34,416,325 | $ 42,023,975 |
Interest Rate Swap [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Interest Expense on Interest Rate Swap and Swaption Agreements | (26,147) | (18,891) | (53,673) | (32,727) |
Derivative, Average Notional Amount | $ 16,681,983 | $ 23,467,489 | $ 17,455,887 | $ 21,324,091 |
Schedule of Notional Amounts of
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | $ (33,709,043) | $ (43,576,146) | $ (48,115,523) | $ (37,366,610) |
Derivative, Notional Amount, Additions | (11,252,997) | (14,770,625) | (23,545,264) | (30,605,735) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (17,560,705) | (14,967,554) | (44,259,452) | (24,593,128) |
Derivative, Notional Amount, Ending Balance | (27,401,335) | (43,379,217) | (27,401,335) | (43,379,217) |
Derivative, Average Notional Amount | (28,369,326) | (43,273,172) | (34,416,325) | (42,023,975) |
Gain (Loss) on Sale of Derivatives | (85,277) | (38,149) | (82,382) | (37,191) |
Inverse Interest-Only Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (1,106,210) | (1,412,374) | (1,168,226) | (1,525,845) |
Derivative, Notional Amount, Additions | (12,563) | 0 | (12,563) | 0 |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (69,030) | (88,724) | (131,046) | (202,195) |
Derivative, Notional Amount, Ending Balance | (1,049,743) | (1,323,650) | (1,049,743) | (1,323,650) |
Derivative, Average Notional Amount | (1,086,760) | (1,372,535) | (1,112,471) | (1,421,330) |
Gain (Loss) on Sale of Derivatives | 64 | 0 | 64 | 193 |
Interest Rate Swap [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (19,929,000) | (21,663,148) | (18,584,000) | (19,619,000) |
Derivative, Notional Amount, Additions | (11,493,227) | (8,465,000) | (17,113,227) | (11,409,148) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (15,196,704) | (6,500,000) | (19,471,704) | (7,400,000) |
Derivative, Notional Amount, Ending Balance | (16,225,523) | (23,628,148) | (16,225,523) | (23,628,148) |
Derivative, Average Notional Amount | (16,681,983) | (23,467,489) | (17,455,887) | (21,324,091) |
Gain (Loss) on Sale of Derivatives | (66,799) | (2,983) | (67,869) | (3,005) |
Credit Default Swap [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (125,000) | (125,000) | (125,000) | (427,073) |
Derivative, Notional Amount, Additions | 0 | 0 | 0 | 0 |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | 0 | 0 | 0 | (302,073) |
Derivative, Notional Amount, Ending Balance | (125,000) | (125,000) | (125,000) | (125,000) |
Derivative, Average Notional Amount | (125,000) | (125,000) | (125,000) | (152,059) |
Gain (Loss) on Sale of Derivatives | 0 | 0 | 0 | (13,705) |
Interest Rate Swaption [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (12,960,000) | (9,500,000) | (12,410,000) | (5,130,000) |
Derivative, Notional Amount, Additions | (1,500,000) | (3,250,000) | (7,050,000) | (7,150,000) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (5,050,000) | 1,300,000 | (10,050,000) | 830,000 |
Derivative, Notional Amount, Ending Balance | (9,410,000) | (11,450,000) | (9,410,000) | (11,450,000) |
Derivative, Average Notional Amount | (10,292,418) | (10,412,088) | (11,564,972) | (9,699,558) |
Gain (Loss) on Sale of Derivatives | (8,053) | (2,178) | 4,793 | (3,396) |
Forward Contracts [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (2,496,000) | 1,022,000 | (1,325,000) | (603,000) |
Derivative, Notional Amount, Additions | (3,929,000) | (2,032,000) | (10,862,000) | (2,924,000) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (5,401,000) | 2,682,000 | (11,163,000) | 1,949,000 |
Derivative, Notional Amount, Ending Balance | (1,024,000) | (372,000) | (1,024,000) | (372,000) |
Derivative, Average Notional Amount | 1,362,451 | 660,308 | 1,739,978 | 593,746 |
Gain (Loss) on Sale of Derivatives | (7,482) | (26,530) | (24,846) | (14,677) |
Options Held [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | 2,500,000 | (1,500,000) | (2,000,000) | 0 |
Derivative, Notional Amount, Additions | 0 | 0 | (250,000) | (1,500,000) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | 2,500,000 | 1,500,000 | (2,250,000) | 1,500,000 |
Derivative, Notional Amount, Ending Balance | 0 | 0 | 0 | 0 |
Derivative, Average Notional Amount | 722,527 | (901,099) | 359,116 | (580,110) |
Gain (Loss) on Sale of Derivatives | 10,843 | (5,332) | 7,796 | (5,332) |
Treasury Lock [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | 0 | 0 | ||
Derivative, Notional Amount, Additions | (500,000) | (500,000) | ||
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (500,000) | (500,000) | ||
Derivative, Notional Amount, Ending Balance | 0 | 0 | ||
Derivative, Average Notional Amount | (2,747) | (1,381) | ||
Gain (Loss) on Sale of Derivatives | (837) | (837) | ||
Swap [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (3,000,000) | (10,000,000) | (14,000,000) | (10,000,000) |
Derivative, Notional Amount, Additions | 0 | (4,000,000) | (6,000,000) | (12,000,000) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (3,000,000) | (8,000,000) | (20,000,000) | (16,000,000) |
Derivative, Notional Amount, Ending Balance | 0 | (6,000,000) | 0 | (6,000,000) |
Derivative, Average Notional Amount | (384,615) | (5,571,429) | (4,552,486) | (7,773,481) |
Gain (Loss) on Sale of Derivatives | 1,310 | (1,460) | 7,694 | 2,427 |
Total Return Swap [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (877,529) | (243,987) | (598,459) | (49,629) |
Derivative, Notional Amount, Additions | (747,910) | (339,869) | (1,424,543) | (536,881) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (637,030) | (7,378) | (1,034,593) | (10,032) |
Derivative, Notional Amount, Ending Balance | (988,409) | (576,478) | (988,409) | (576,478) |
Derivative, Average Notional Amount | (1,201,515) | (393,910) | (1,039,332) | (274,573) |
Gain (Loss) on Sale of Derivatives | (13,130) | 0 | (8,928) | 0 |
Short US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | 0 | 0 | 0 | 0 |
Derivative, Notional Amount, Additions | 50,000 | 125,000 | 50,000 | 125,000 |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (50,000) | (125,000) | (50,000) | (125,000) |
Derivative, Notional Amount, Ending Balance | 0 | 0 | 0 | 0 |
Derivative, Average Notional Amount | 0 | (1,374) | 0 | (691) |
Gain (Loss) on Sale of Derivatives | 125 | 2 | 125 | 2 |
Forward Purchase Commitments [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (707,304) | (153,637) | (554,838) | (12,063) |
Derivative, Notional Amount, Additions | (978,297) | (872,756) | (2,106,931) | (1,058,706) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (1,058,941) | (378,452) | (2,035,109) | (422,828) |
Derivative, Notional Amount, Ending Balance | (626,660) | (647,941) | (626,660) | (647,941) |
Derivative, Average Notional Amount | (679,266) | (367,940) | (663,890) | (204,336) |
Gain (Loss) on Sale of Derivatives | $ (1,318) | $ 332 | $ (374) | $ 302 |
Derivative Instruments and He75
Derivative Instruments and Hedging Activities Interest Rate Sensitive Assets/Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Derivatives, Fair Value [Line Items] | ||
Available-for-sale securities, at fair value | $ 12,807,658 | $ 14,341,102 |
Interest-Only-Strip [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Available-for-sale securities, at fair value | $ 49,278 | $ 55,686 |
Derivative Instruments and He76
Derivative Instruments and Hedging Activities Schedule of TBA Contracts (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ (27,401,335) | $ (33,709,043) | $ (48,115,523) | $ (43,379,217) | $ (43,576,146) | $ (37,366,610) |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (26,416,319) | (36,315,523) | ||||
Derivative, Fair Value, Net | 347,322 | 380,791 | ||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (4,723,016) | (16,200,000) | ||||
Derivative, Fair Value, Net | (22,475) | (90,233) | ||||
Forward Contracts [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (1,024,000) | $ (2,496,000) | (1,325,000) | $ (372,000) | $ 1,022,000 | $ (603,000) |
Derivative, Cost | (1,064,757) | (1,431,945) | ||||
Derivative, Market Value | (1,069,944) | (1,439,282) | ||||
Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 0 | (875,000) | ||||
Derivative, Fair Value, Net | 0 | 10,350 | ||||
Forward Contracts [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (1,434,000) | (2,200,000) | ||||
Derivative, Fair Value, Net | (5,187) | (17,687) | ||||
Forward Contracts [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (205,000) | (875,000) | ||||
Derivative, Cost | (219,441) | (862,868) | ||||
Derivative, Market Value | (219,369) | (873,218) | ||||
Forward Contracts [Member] | Long [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Fair Value, Net | 0 | 10,350 | ||||
Forward Contracts [Member] | Long [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Fair Value, Net | (72) | 0 | ||||
Forward Contracts [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (1,229,000) | (2,200,000) | ||||
Derivative, Cost | (1,284,198) | (2,294,813) | ||||
Derivative, Market Value | (1,289,313) | (2,312,500) | ||||
Forward Contracts [Member] | Short [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Fair Value, Net | 0 | 0 | ||||
Forward Contracts [Member] | Short [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Fair Value, Net | (5,115) | (17,687) | ||||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Forward Contracts [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (205,000) | (875,000) | ||||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Forward Contracts [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ (1,229,000) | $ (2,200,000) |
Derivative Instruments and He77
Derivative Instruments and Hedging Activities Put and Call Options for TBAs (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ (27,401,335) | $ (33,709,043) | $ (48,115,523) | $ (43,379,217) | $ (43,576,146) | $ (37,366,610) |
Options Held [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 0 | $ 2,500,000 | (2,000,000) | $ 0 | $ (1,500,000) | $ 0 |
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (4,723,016) | (16,200,000) | ||||
Derivative, Fair Value, Net | (22,475) | (90,233) | ||||
Derivative Financial Instruments, Liabilities [Member] | Options Held [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 0 | 0 | ||||
Derivative, Fair Value, Net | (105) | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | Options Held [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (250,000) | |||||
Derivative, Cost | 900 | |||||
Derivative Financial Instruments, Liabilities [Member] | Options Held [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 250,000 | |||||
Derivative, Cost | (900) | |||||
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (26,416,319) | (36,315,523) | ||||
Derivative, Fair Value, Net | 347,322 | 380,791 | ||||
Derivative Financial Instruments, Assets [Member] | Options Held [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 0 | (2,000,000) | ||||
Derivative, Cost | (605) | |||||
Derivative, Fair Value, Net | $ 0 | $ 90 |
Derivative Instruments and He78
Derivative Instruments and Hedging Activities Schedule of Constant Maturity Swaps (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 27,401,335 | $ 33,709,043 | $ 48,115,523 | $ 43,379,217 | $ 43,576,146 | $ 37,366,610 |
Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 0 | $ 3,000,000 | 14,000,000 | $ 6,000,000 | $ 10,000,000 | $ 10,000,000 |
Derivative, Fair Value, Net | 1,530 | |||||
Derivative, Cost | 0 | |||||
Derivative, Unrealized Gains (Losses) | $ 1,530 | |||||
Derivative, Average Strike Swap Rate | 0.548% | |||||
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 26,416,319 | $ 36,315,523 | ||||
Derivative, Fair Value, Net | 347,322 | 380,791 | ||||
Derivative Financial Instruments, Assets [Member] | Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 0 | 12,000,000 | ||||
Derivative, Fair Value, Net | $ 0 | 2,013 | ||||
Determination Date, January 2015 [Member] | Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 7,000,000 | |||||
Derivative, Fair Value, Net | 1,502 | |||||
Derivative, Cost | 0 | |||||
Derivative, Unrealized Gains (Losses) | $ 1,502 | |||||
Derivative, Average Strike Swap Rate | 0.538% | |||||
Determination Date, February 2015 [Member] | Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 2,000,000 | |||||
Derivative, Fair Value, Net | (13) | |||||
Derivative, Cost | 0 | |||||
Derivative, Unrealized Gains (Losses) | $ (13) | |||||
Derivative, Average Strike Swap Rate | 0.572% | |||||
Determination Date, March 2015 [Member] | Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 5,000,000 | |||||
Derivative, Fair Value, Net | 41 | |||||
Derivative, Cost | 0 | |||||
Derivative, Unrealized Gains (Losses) | $ 41 | |||||
Derivative, Average Strike Swap Rate | 0.552% |
Derivative Instruments and He79
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Payers Associated with the Investment Portfolio (Details) $ in Thousands | Jun. 30, 2015USD ($) | Mar. 31, 2015USD ($) | Dec. 31, 2014USD ($) | Jun. 30, 2014USD ($) | Mar. 31, 2014USD ($) | Dec. 31, 2013USD ($) |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 27,401,335 | $ 33,709,043 | $ 48,115,523 | $ 43,379,217 | $ 43,576,146 | $ 37,366,610 |
Interest Rate Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 16,225,523 | $ 19,929,000 | 18,584,000 | $ 23,628,148 | $ 21,663,148 | $ 19,619,000 |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Interest Rate Swap [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 3,250,000 | $ 4,940,000 | ||||
Derivative, Average Fixed Interest Rate | 1.787% | 1.512% | ||||
Derivative, Average Variable Interest Rate | 0.282% | 0.237% | ||||
Derivative, Average Remaining Period Until Maturity | 4.24 | 3.80 | ||||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | Interest Rate Swap [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 2,040,000 | $ 2,000,000 | ||||
Derivative, Average Fixed Interest Rate | 1.563% | 1.07% | ||||
Derivative, Average Variable Interest Rate | 0.282% | 0.229% | ||||
Derivative, Average Remaining Period Until Maturity | 3.44 | 2.54 | ||||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | Interest Rate Swap [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 2,040,000 | |||||
Derivative, Average Fixed Interest Rate | 1.563% | |||||
Derivative, Average Variable Interest Rate | 0.238% | |||||
Derivative, Average Remaining Period Until Maturity | 3.94 | |||||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | Interest Rate Swap [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 1,210,000 | $ 900,000 | ||||
Derivative, Average Fixed Interest Rate | 2.164% | 2.378% | ||||
Derivative, Average Variable Interest Rate | 0.281% | 0.255% | ||||
Derivative, Average Remaining Period Until Maturity | 5.58 | 6.24 |
Derivative Instruments and He80
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Receivers Associated with the Investment Portfolio (Details) $ in Thousands | Jun. 30, 2015USD ($) | Mar. 31, 2015USD ($) | Dec. 31, 2014USD ($) | Jun. 30, 2014USD ($) | Mar. 31, 2014USD ($) | Dec. 31, 2013USD ($) |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 27,401,335 | $ 33,709,043 | $ 48,115,523 | $ 43,379,217 | $ 43,576,146 | $ 37,366,610 |
Interest Rate Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 16,225,523 | $ 19,929,000 | 18,584,000 | $ 23,628,148 | $ 21,663,148 | $ 19,619,000 |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Interest Rate Swap [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 2,464,000 | $ 2,154,000 | ||||
Derivative, Average Variable Interest Rate | 2.32% | 2.433% | ||||
Derivative, Average Fixed Interest Rate | 0.282% | 0.237% | ||||
Derivative, Average Remaining Period Until Maturity | 7 | 7.77 | ||||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | Interest Rate Swap [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 575,000 | |||||
Derivative, Average Variable Interest Rate | 1.44% | |||||
Derivative, Average Fixed Interest Rate | 0.281% | |||||
Derivative, Average Remaining Period Until Maturity | 3.39 | |||||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | Interest Rate Swap [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 575,000 | |||||
Derivative, Average Variable Interest Rate | 1.44% | |||||
Derivative, Average Fixed Interest Rate | 0.231% | |||||
Derivative, Average Remaining Period Until Maturity | 3.89 | |||||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | Interest Rate Swap [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 1,889,000 | $ 1,579,000 | ||||
Derivative, Average Variable Interest Rate | 2.588% | 2.794% | ||||
Derivative, Average Fixed Interest Rate | 0.283% | 0.239% | ||||
Derivative, Average Remaining Period Until Maturity | 8.10 | 9.19 |
Derivative Instruments and He81
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaps Associated with Borrowings (Details) $ in Thousands | Jun. 30, 2015USD ($) | Mar. 31, 2015USD ($) | Dec. 31, 2014USD ($) | Jun. 30, 2014USD ($) | Mar. 31, 2014USD ($) | Dec. 31, 2013USD ($) |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 27,401,335 | $ 33,709,043 | $ 48,115,523 | $ 43,379,217 | $ 43,576,146 | $ 37,366,610 |
Interest Rate Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 16,225,523 | $ 19,929,000 | 18,584,000 | $ 23,628,148 | $ 21,663,148 | $ 19,619,000 |
Interest Rate Swap [Member] | Interest Rate Risk Associated with Borrowings [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 10,511,523 | $ 11,490,000 | ||||
Derivative, Average Fixed Interest Rate | 1.09% | 1.089% | ||||
Derivative, Average Variable Interest Rate | 0.281% | 0.246% | ||||
Derivative, Average Remaining Period Until Maturity | 3.26 | 2.92 | ||||
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 | $ 4,200,000 | |||||
Derivative, Average Fixed Interest Rate | 0.583% | |||||
Derivative, Average Variable Interest Rate | 0.282% | |||||
Derivative, Average Remaining Period Until Maturity | 1.10 | |||||
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 | $ 2,375,000 | $ 4,100,000 | ||||
Derivative, Average Fixed Interest Rate | 0.864% | 0.667% | ||||
Derivative, Average Variable Interest Rate | 0.281% | 0.249% | ||||
Derivative, Average Remaining Period Until Maturity | 2.09 | 1.65 | ||||
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 | $ 800,000 | $ 5,285,000 | ||||
Derivative, Average Fixed Interest Rate | 1.165% | 1.063% | ||||
Derivative, Average Variable Interest Rate | 0.28% | 0.248% | ||||
Derivative, Average Remaining Period Until Maturity | 2.65 | 2.55 | ||||
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 | $ 350,000 | $ 625,000 | ||||
Derivative, Average Fixed Interest Rate | 1.73% | 0.945% | ||||
Derivative, Average Variable Interest Rate | 0.278% | 0.233% | ||||
Derivative, Average Remaining Period Until Maturity | 3.94 | 3.08 | ||||
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 | $ 2,786,523 | $ 1,480,000 | ||||
Derivative, Average Fixed Interest Rate | 1.944% | 2.408% | ||||
Derivative, Average Variable Interest Rate | 0.279% | 0.235% | ||||
Derivative, Average Remaining Period Until Maturity | 7.62 | 7.70 |
Derivative Instruments and He82
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaptions (Details) - Derivative, Name [Domain] $ in Thousands | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2015USD ($) | Dec. 31, 2014USD ($) | Mar. 31, 2015USD ($) | Jun. 30, 2014USD ($) | Mar. 31, 2014USD ($) | Dec. 31, 2013USD ($) | |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ (27,401,335) | $ (48,115,523) | $ (33,709,043) | $ (43,379,217) | $ (43,576,146) | $ (37,366,610) |
Interest Rate Swaption [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (9,410,000) | (12,410,000) | $ (12,960,000) | $ (11,450,000) | $ (9,500,000) | $ (5,130,000) |
Variable Income Interest Rate [Member] | Long [Member] | Interest Rate Swaption [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | (277,291) | (255,358) | ||||
Derivative, Fair Value, Net | $ (149,077) | $ (130,120) | ||||
Derivative, Average Remaining Period Until Maturity | 46.40 | 56.62 | ||||
Variable Income Interest Rate [Member] | Long [Member] | Underlying Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 6.7 | 7.4 | ||||
Derivative, Notional Amount | $ (14,810,000) | $ (8,210,000) | ||||
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | ||||
Derivative, Average Fixed Interest Rate | 3.532% | 4.116% | ||||
Variable Income Interest Rate [Member] | Long [Member] | Less Than Six Months Remaining Maturity [Member] | Interest Rate Swaption [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ (17,963) | |||||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | $ 14,444 | |||||
Derivative, Average Remaining Period Until Maturity | 4.36 | |||||
Variable Income Interest Rate [Member] | Long [Member] | Less Than Six Months Remaining Maturity [Member] | Underlying Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 6.3 | |||||
Derivative, Notional Amount | $ (5,600,000) | |||||
Derivative, Description of Variable Reference Rate | 3M Libor | |||||
Derivative, Average Fixed Interest Rate | 2.746% | |||||
Variable Income Interest Rate [Member] | Long [Member] | Six Months or Longer Remaining Maturity [Member] | Interest Rate Swaption [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ (259,328) | $ (255,358) | ||||
Derivative, Fair Value, Net | $ (134,633) | $ (130,120) | ||||
Derivative, Average Remaining Period Until Maturity | 50.71 | 56.62 | ||||
Variable Income Interest Rate [Member] | Long [Member] | Six Months or Longer Remaining Maturity [Member] | Underlying Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 6.9 | 7.4 | ||||
Derivative, Notional Amount | $ (9,210,000) | $ (8,210,000) | ||||
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | ||||
Derivative, Average Fixed Interest Rate | 4.01% | 4.116% | ||||
Variable Income Interest Rate [Member] | Short [Member] | Interest Rate Swaption [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ (81,248) | $ (81,248) | ||||
Derivative, Fair Value, Net | $ (20,660) | $ (19,990) | ||||
Derivative, Average Remaining Period Until Maturity | 24.02 | 30.02 | ||||
Variable Income Interest Rate [Member] | Short [Member] | Underlying Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 10 | 10 | ||||
Derivative, Notional Amount | $ (800,000) | $ (800,000) | ||||
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | ||||
Derivative, Average Fixed Interest Rate | 3.438% | 3.438% | ||||
Variable Income Interest Rate [Member] | Short [Member] | Six Months or Longer Remaining Maturity [Member] | Interest Rate Swaption [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ (81,248) | $ (81,248) | ||||
Derivative, Fair Value, Net | $ (20,660) | $ (19,990) | ||||
Derivative, Average Remaining Period Until Maturity | 24.02 | 30.02 | ||||
Variable Income Interest Rate [Member] | Short [Member] | Six Months or Longer Remaining Maturity [Member] | Underlying Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 10 | 10 | ||||
Derivative, Notional Amount | $ (800,000) | $ (800,000) | ||||
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | ||||
Derivative, Average Fixed Interest Rate | 3.438% | 3.438% | ||||
Fixed Income Interest Rate [Member] | Long [Member] | Interest Rate Swaption [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ (13,538) | $ (10,715) | ||||
Derivative, Fair Value, Net | $ (298) | $ (6,462) | ||||
Derivative, Average Remaining Period Until Maturity | 1.04 | 3.38 | ||||
Fixed Income Interest Rate [Member] | Long [Member] | Underlying Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 5 | 5 | ||||
Derivative, Notional Amount | $ (2,000,000) | $ (5,000,000) | ||||
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | ||||
Derivative, Average Fixed Interest Rate | 1.325% | 1.352% | ||||
Fixed Income Interest Rate [Member] | Long [Member] | Less Than Six Months Remaining Maturity [Member] | Interest Rate Swaption [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ (13,538) | $ (10,715) | ||||
Derivative, Fair Value, Net | $ (298) | $ (6,462) | ||||
Derivative, Average Remaining Period Until Maturity | 1.04 | 3.38 | ||||
Fixed Income Interest Rate [Member] | Long [Member] | Less Than Six Months Remaining Maturity [Member] | Underlying Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 5 | 5 | ||||
Derivative, Notional Amount | $ (2,000,000) | $ (5,000,000) | ||||
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | ||||
Derivative, Average Fixed Interest Rate | 1.325% | 1.352% | ||||
Fixed Income Interest Rate [Member] | Short [Member] | Interest Rate Swaption [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ 28,980 | |||||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | $ (19,895) | |||||
Derivative, Average Remaining Period Until Maturity | 4.29 | |||||
Fixed Income Interest Rate [Member] | Short [Member] | Underlying Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 6.1 | |||||
Derivative, Notional Amount | $ 6,600,000 | |||||
Derivative, Description of Variable Reference Rate | 3M Libor | |||||
Derivative, Average Fixed Interest Rate | 1.642% | |||||
Fixed Income Interest Rate [Member] | Short [Member] | Less Than Six Months Remaining Maturity [Member] | Interest Rate Swaption [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ 28,980 | |||||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | $ (19,895) | |||||
Derivative, Average Remaining Period Until Maturity | 4.29 | |||||
Fixed Income Interest Rate [Member] | Short [Member] | Less Than Six Months Remaining Maturity [Member] | Underlying Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 6.1 | |||||
Derivative, Notional Amount | $ 6,600,000 | |||||
Derivative, Description of Variable Reference Rate | 3M Libor | |||||
Derivative, Average Fixed Interest Rate | 1.642% |
Derivative Instruments and He83
Derivative Instruments and Hedging Activities Schedule of Total Return Swaps (Details) - Position [Domain] - USD ($) $ in Thousands | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ (27,401,335) | $ (33,709,043) | $ (48,115,523) | $ (43,379,217) | $ (43,576,146) | $ (37,366,610) |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (26,416,319) | (36,315,523) | ||||
Derivative, Fair Value, Net | 347,322 | 380,791 | ||||
Derivative Financial Instruments, Assets [Member] | Total Return Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (988,409) | (598,459) | ||||
Derivative, Fair Value, Net | 591 | 1,387 | ||||
Derivative, Cost | (8,665) | (1,732) | ||||
Derivative, Unrealized Gains (Losses) | (8,074) | (345) | ||||
Derivative Financial Instruments, Assets [Member] | Maturity Date, 1/12/2043 [Member] | Total Return Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (390,645) | (411,281) | ||||
Derivative, Fair Value, Net | 641 | 763 | ||||
Derivative, Cost | (866) | (1,457) | ||||
Derivative, Unrealized Gains (Losses) | (225) | (694) | ||||
Derivative Financial Instruments, Assets [Member] | Maturity Date, 1/12/2044 [Member] | Total Return Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (597,764) | (187,178) | ||||
Derivative, Fair Value, Net | (50) | 624 | ||||
Derivative, Cost | (7,799) | (275) | ||||
Derivative, Unrealized Gains (Losses) | $ (7,849) | $ 349 |
Derivative Instruments and He84
Derivative Instruments and Hedging Activities Schedule of Credit Default Swaps, Receive Protection (Details) $ in Thousands | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2015USD ($) | Dec. 31, 2014USD ($) | Mar. 31, 2015USD ($) | Jun. 30, 2014USD ($) | Mar. 31, 2014USD ($) | Dec. 31, 2013USD ($) | |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ (27,401,335) | $ (48,115,523) | $ (33,709,043) | $ (43,379,217) | $ (43,576,146) | $ (37,366,610) |
Credit Default Swap, Buying Protection [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Implied Credit Spread | 183.60 | 183.60 | ||||
Maturity Date, 06/20/2016 [Member] | Credit Default Swap, Buying Protection [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Maturity Date | Jun. 20, 2016 | Jun. 20, 2016 | ||||
Derivative, Average Implied Credit Spread | 105.50 | 105.50 | ||||
Maturity Date, 12/20/2016 [Member] | Credit Default Swap, Buying Protection [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Maturity Date | Dec. 20, 2016 | Dec. 20, 2016 | ||||
Derivative, Average Implied Credit Spread | 496 | 496 | ||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ (4,723,016) | $ (16,200,000) | ||||
Derivative, Fair Value, Net | 22,475 | 90,233 | ||||
Derivative Financial Instruments, Liabilities [Member] | Credit Default Swap, Buying Protection [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (125,000) | (125,000) | ||||
Derivative, Fair Value, Net | (1,164) | (1,672) | ||||
Derivative, Cost | (4,322) | (4,322) | ||||
Derivative, Unrealized Gains (Losses) | (5,486) | (5,994) | ||||
Derivative Financial Instruments, Liabilities [Member] | Maturity Date, 06/20/2016 [Member] | Credit Default Swap, Buying Protection [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (100,000) | (100,000) | ||||
Derivative, Fair Value, Net | (901) | (1,350) | ||||
Derivative, Cost | (260) | (260) | ||||
Derivative, Unrealized Gains (Losses) | (1,161) | (1,610) | ||||
Derivative Financial Instruments, Liabilities [Member] | Maturity Date, 12/20/2016 [Member] | Credit Default Swap, Buying Protection [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (25,000) | (25,000) | ||||
Derivative, Fair Value, Net | (263) | (322) | ||||
Derivative, Cost | (4,062) | (4,062) | ||||
Derivative, Unrealized Gains (Losses) | $ (4,325) | $ (4,384) |
Derivative Instruments and He85
Derivative Instruments and Hedging Activities Credit Risk - Counterparty Exposure (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Credit Derivatives [Line Items] | ||
Derivative Asset, Fair Value, Gross Asset | $ 347,322 | $ 380,791 |
Derivative Liability, Fair Value, Gross Liability | 22,475 | $ 90,233 |
Collateral Securities Repledged, Delivered, or Used | (75,948) | |
Collateral Already Posted, Aggregate Fair Value | $ 211,418 |
Derivative Instruments and He86
Derivative Instruments and Hedging Activities Schedule of Inverse Interest-Only Securities Reconciliation (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
Derivatives, Fair Value [Line Items] | ||||||
Interest Receivable | $ 57,011 | $ 65,529 | ||||
Derivative, Notional Amount | 27,401,335 | $ 33,709,043 | 48,115,523 | $ 43,379,217 | $ 43,576,146 | $ 37,366,610 |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Derivative, Fair Value, Net | 347,322 | 380,791 | ||||
Derivative, Notional Amount | 26,416,319 | 36,315,523 | ||||
Inverse Interest-Only Securities [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Interest Receivable | 1,945 | 2,188 | ||||
Derivative, Notional Amount | 1,049,743 | $ 1,106,210 | 1,168,226 | $ 1,323,650 | $ 1,412,374 | $ 1,525,845 |
Derivative, Unamortized Premium | 0 | 0 | ||||
Derivative, Designated Credit Reserve | 0 | 0 | ||||
Derivative, Net, Unamortized | (891,752) | (991,715) | ||||
Derivative, Amortized Cost Basis | 157,991 | 176,511 | ||||
Derivative, Gross Unrealized Gains | 21,068 | 14,162 | ||||
Derivative, Gross Unrealized Losses | (2,156) | (4,269) | ||||
Derivative, Carrying Value | 176,903 | 186,404 | ||||
Inverse Interest-Only Securities [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Derivative, Fair Value, Net | 178,848 | 188,592 | ||||
Derivative, Notional Amount | $ 1,049,743 | $ 1,168,226 |
Other Assets (Details)
Other Assets (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Other Assets [Line Items] | ||
Property, Plant and Equipment, Gross | $ 5,492 | $ 4,849 |
Accumulated Depreciation, Depletion and Amortization, Property, Plant, and Equipment | (2,593) | (1,941) |
Property, Plant and Equipment, Net | 2,899 | 2,908 |
Prepaid Expense | 1,375 | 1,790 |
Income Taxes Receivable, Current | 7,175 | 0 |
Deferred Tax Assets, Net | 52,240 | 40,847 |
Servicing advances | 30,828 | 27,490 |
Federal Home Loan Bank stock | 125,250 | 100,010 |
Cost Method Investments | 3,000 | 3,000 |
Other Receivables | 13,793 | 12,534 |
Other Assets | 236,560 | 188,579 |
Federal Home Loan Bank of Des Moines [Member] | ||
Other Assets [Line Items] | ||
Federal Home Loan Bank stock | $ 125,250 | $ 103,010 |
Other Assets Depreciation Expen
Other Assets Depreciation Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2015 | Jun. 30, 2014 | |
Property, Plant and Equipment [Line Items] | |||
Depreciation of fixed assets | $ 333 | $ 652 | $ 463 |
Other Liabilities (Details)
Other Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Other Liabilities [Abstract] | ||
Accrued Liabilities, Current | $ 30,724 | $ 29,819 |
Interest Payable | 18,984 | 23,772 |
Taxes Payable | 39 | 1,375 |
Other Accounts Payable and Accrued Liabilities | 10,821 | 9,473 |
Other liabilities | $ 60,568 | $ 64,439 |
Fair Value, Measurement Inputs,
Fair Value, Measurement Inputs, Disclosure (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale Securities Categorized as Level 2 Assets | 100.00% | |||||
Assets Reported at Fair Value, Available-for-sale Securities | 76.50% | |||||
Mortgage Loans Held-for-sale Categorized as Level 2 Assets | 91.20% | |||||
Mortgage Loans Held-for-sale Categorized as Level 3 Assets | 8.80% | |||||
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 | $ 27,401,335 | $ 33,709,043 | $ 48,115,523 | $ 43,379,217 | $ 43,576,146 | $ 37,366,610 |
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 | $ 12,807,658 | 14,341,102 | ||||
Trading Securities | 0 | 1,997,656 | ||||
Mortgage servicing rights | 437,576 | 410,229 | 452,006 | 500,490 | 476,663 | 514,402 |
Fair Value, Measurements, Recurring [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale Securities | 12,807,658 | 14,341,102 | ||||
Trading Securities | 1,997,656 | |||||
Mortgage loans held-for-sale | 695,078 | 535,712 | ||||
Mortgage loans held-for-investment in securitization trust | 2,449,199 | 1,744,746 | ||||
Derivative assets | 347,322 | 380,791 | ||||
Mortgage servicing rights | 437,576 | 452,006 | ||||
Assets, Fair Value Disclosure | 16,736,833 | 19,452,013 | ||||
Collateralized borrowings in securitization trust | 1,714,735 | 1,209,663 | ||||
Derivative liabilities | 22,475 | 90,233 | ||||
Liabilities, Fair Value Disclosure | 1,737,210 | 1,299,896 | ||||
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 | |||||
Mortgage loans held-for-sale | 0 | 0 | ||||
Mortgage loans held-for-investment in securitization trust | 0 | 0 | ||||
Derivative assets | 0 | 10,350 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Assets, Fair Value Disclosure | 0 | 2,008,006 | ||||
Collateralized borrowings in securitization trust | 0 | 0 | ||||
Derivative liabilities | 5,187 | 17,687 | ||||
Liabilities, Fair Value Disclosure | 5,187 | 17,687 | ||||
Fair Value, Inputs, Level 2 [Member] | Fair Value, Measurements, Recurring [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale Securities | 12,807,658 | 14,341,102 | ||||
Trading Securities | 0 | |||||
Mortgage loans held-for-sale | 633,578 | 500,159 | ||||
Mortgage loans held-for-investment in securitization trust | 2,449,199 | 1,744,746 | ||||
Derivative assets | 347,322 | 370,441 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Assets, Fair Value Disclosure | 16,237,757 | 16,956,448 | ||||
Collateralized borrowings in securitization trust | 1,714,735 | 1,209,663 | ||||
Derivative liabilities | 17,288 | 72,546 | ||||
Liabilities, Fair Value Disclosure | 1,732,023 | 1,282,209 | ||||
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 | |||||
Mortgage loans held-for-sale | 61,500 | 35,553 | ||||
Mortgage loans held-for-investment in securitization trust | 0 | 0 | ||||
Derivative assets | 0 | 0 | ||||
Mortgage servicing rights | 437,576 | 452,006 | ||||
Assets, Fair Value Disclosure | 499,076 | 487,559 | ||||
Collateralized borrowings in securitization trust | 0 | 0 | ||||
Derivative liabilities | 0 | 0 | ||||
Liabilities, Fair Value Disclosure | 0 | 0 | ||||
Forward Purchase Commitments [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Derivative, Notional Amount | 626,660 | $ 707,304 | 554,838 | $ 647,941 | $ 153,637 | $ 12,063 |
Derivative Financial Instruments, Liabilities [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Derivative, Notional Amount | 4,723,016 | 16,200,000 | ||||
Derivative, Fair Value, Net | (22,475) | (90,233) | ||||
Derivative Financial Instruments, Liabilities [Member] | Forward Purchase Commitments [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Derivative, Notional Amount | 491,479 | 0 | ||||
Derivative, Fair Value, Net | $ (2,596) | $ 0 |
Fair Value, Assets Measured on
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation (Details) - Jun. 30, 2015 - USD ($) $ in Thousands | Total | Total |
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 | $ 70,149 | $ 35,553 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Realized Gain (Loss) Included in Earnings | 10,491 | 15,612 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Unrealized Gain (Loss) Included in Earnings | 30 | 777 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | 10,521 | 16,389 |
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 | 61,054 | 131,720 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Sales | (51,981) | (75,890) |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | 28,243 | 46,272 |
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 | 61,500 | 61,500 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) Included in Other Income | 370 | 352 |
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 | 410,229 | 452,006 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Realized Gain (Loss) Included in Earnings | (7,805) | (17,119) |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Unrealized Gain (Loss) Included in Earnings | 25,440 | (17,649) |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | 17,635 | (34,768) |
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 | 4,799 | 9,350 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Sales | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | (4,913) | 10,988 |
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 | 437,576 | 437,576 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) Included in Other Income | $ 25,440 | $ (17,649) |
Fair Value, Quantitative Inform
Fair Value, Quantitative Information about Level 3 Fair Value Measurements (Details) - Fair Value Hierarchy [Domain] - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2015 | Dec. 31, 2014 | Mar. 31, 2015 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||
Mortgage servicing rights | $ 437,576 | $ 452,006 | $ 410,229 | $ 500,490 | $ 476,663 | $ 514,402 |
Fair Value Measurements, Valuation Processes, Description | Discounted cash flow | |||||
Fair Value Inputs, Prepayment Rate | 11.20% | 11.90% | ||||
Fair Value Inputs, Probability of Default | 4.60% | 5.60% | ||||
Fair Value Inputs, Discount Rate | 9.40% | 9.50% | ||||
Minimum [Member] | ||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||
Fair Value Inputs, Prepayment Rate | 9.50% | |||||
Fair Value Inputs, Probability of Default | 4.30% | |||||
Fair Value Inputs, Discount Rate | 8.10% | |||||
Maximum [Member] | ||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||
Fair Value Inputs, Prepayment Rate | 12.80% | |||||
Fair Value Inputs, Probability of Default | 4.90% | |||||
Fair Value Inputs, Discount Rate | 10.70% |
Fair Value, Option, Quantitativ
Fair Value, Option, Quantitative Disclosures - changes included in net income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ (4,409) | $ 33,335 | $ 13,539 | $ 38,011 |
Fair Value, Option, Credit Risk, Gains (Losses) on Assets | 272 | 1,036 | 30 | 1,069 |
Loans Held-for-sale, Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 4,499 | 10,337 | 17,836 | 12,159 |
Fair Value, Option, Credit Risk, Gains (Losses) on Assets | 272 | 1,036 | 30 | 1,069 |
Loans Held-for-investment, Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | (27,313) | 44,392 | (9,027) | 54,260 |
Fair Value, Option, Credit Risk, Gains (Losses) on Assets | 0 | 0 | 0 | 0 |
Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 18,405 | (21,394) | 4,730 | (28,408) |
Fair Value, Option, Credit Risk, Gains (Losses) on Liabilities | 0 | 0 | 0 | 0 |
Interest Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 16,217 | 4,868 | 28,017 | 11,994 |
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) | 7,518 | 2,699 | 11,789 | 7,285 |
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) | 21,830 | 7,761 | 40,067 | 15,654 |
Interest Expense [Member] | Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | (13,131) | (5,592) | (23,839) | (10,945) |
Gain (Loss) on Mortgage Loans [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | (3,019) | 7,638 | 6,047 | 4,874 |
Gain (Loss) on Mortgage Loans [Member] | Loans Held-for-sale, Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | (3,019) | 7,638 | 6,047 | 4,874 |
Gain (Loss) on Mortgage Loans [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 | 0 |
Gain (Loss) on Mortgage Loans [Member] | Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | 0 | 0 | 0 |
Other Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | (17,607) | 20,829 | (20,525) | 21,143 |
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 | 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) | (49,143) | 36,631 | (49,094) | 38,606 |
Other Income [Member] | Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ 31,536 | $ (15,802) | $ 28,569 | $ (17,463) |
Fair Value, Option, Quantitat94
Fair Value, Option, Quantitative Disclosures - change in balance (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Dec. 31, 2013 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-sale, at fair value | $ 695,078 | $ 535,712 | $ 399,841 | $ 544,581 |
Collateralized borrowings in securitization trust, at fair value | 1,714,735 | 1,209,663 | ||
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 2,449,199 | 1,744,746 | ||
Loan Held-for-Sale, Mortgages, Unpaid Principal [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-sale, at fair value | 703,966 | 534,101 | ||
Fair Value, Option, Loans Held as Assets, Aggregate Amount in Nonaccrual Status | 48,379 | 26,405 | ||
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | 45,547 | 25,263 | ||
Loans Held-for-sale, Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-sale, at fair value | 695,078 | 535,712 | ||
Fair Value, Option, Loans Held as Assets, Aggregate Amount in Nonaccrual Status | 42,212 | 20,574 | ||
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | 39,525 | 19,675 | ||
Loan Held-for-Investment, Mortgages, Unpaid Principal [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Loans Held as Assets, Aggregate Amount in Nonaccrual Status | 862 | 0 | ||
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | 0 | 0 | ||
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 2,431,573 | 1,699,748 | ||
Loans Held-for-investment, Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Loans Held as Assets, Aggregate Amount in Nonaccrual Status | 865 | 0 | ||
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | 0 | 0 | ||
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 2,449,199 | 1,744,746 | ||
Collateralized Borrowings, Unpaid Principal [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Collateralized borrowings in securitization trust, at fair value | 1,743,289 | 1,218,589 | ||
Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Collateralized borrowings in securitization trust, at fair value | $ 1,714,735 | $ 1,209,663 |
Fair Value of Financial Instrum
Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securities Sold under Agreements to Repuchase, Long-term | $ 0 | $ 93,221 |
Assets Sold under Agreements to Repurchase, Repurchase Liability | 9,422,803 | 12,932,463 |
Long-term Federal Home Loan Bank Advances | $ 3,000,000 | |
Maturity Over One Year [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 93,221 |
Fair Value by Balance Sheet Gro
Fair Value by Balance Sheet Grouping (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2013 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Available-for-sale Securities | $ 12,807,658 | $ 14,341,102 | ||||
Trading Securities | 0 | 1,997,656 | ||||
Residential mortgage loans held-for-sale, at fair value | 695,078 | 535,712 | $ 399,841 | $ 544,581 | ||
Residential mortgage loans held-for-investment in securitization trusts | 2,449,199 | 1,744,746 | ||||
Commercial real estate loans held-for-investment | 45,605 | 0 | ||||
Mortgage servicing rights | 437,576 | $ 410,229 | 452,006 | 500,490 | $ 476,663 | 514,402 |
Cash and Cash Equivalents, at Carrying Value | 933,579 | 1,005,792 | $ 1,182,696 | $ 1,025,487 | ||
Restricted Cash and Cash Equivalents | 410,903 | 336,771 | ||||
Derivative Asset, Fair Value, Gross Asset | 347,322 | 380,791 | ||||
Federal Home Loan Bank stock | 125,250 | 100,010 | ||||
Cost Method Investments | 3,000 | 3,000 | ||||
Securities Sold under Agreements to Repurchase | 9,422,803 | 12,932,463 | ||||
Collateralized borrowings in securitization trust, at fair value | 1,714,735 | 1,209,663 | ||||
Federal Home Loan Bank advances | 3,000,000 | 2,500,000 | ||||
Derivative Liability, Fair Value, Gross Liability | 22,475 | 90,233 | ||||
Federal Home Loan Bank of Des Moines [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Federal Home Loan Bank stock | 125,250 | 103,010 | ||||
Federal Home Loan Bank advances | $ 3,000,000 | $ 2,500,000 |
Schedule of Repurchase Agreemen
Schedule of Repurchase Agreements by Term, Short or Long (Details) - Assets Sold under Agreements to Repurchase, Type [Domain] - Repurchase Agreements and Similar Transactions, Maturity Periods [Domain] - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Securities Sold under Agreements to Repurchase, Short-term | $ 9,422,803 | $ 12,839,242 |
Securities Sold under Agreements to Repuchase, Long-term | 0 | 93,221 |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 9,422,803 | $ 12,932,463 |
Schedule of Repurchase Agreem98
Schedule of Repurchase Agreements by Maturity (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Interest Rate | 0.75% | 0.64% |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 9,422,803 | $ 12,932,463 |
Assets Sold under Agreements to Repurchase, Weighted Average Borrowing Rate, Excluding U.S. Treasuries and Interest Rate Swaps | 0.75% | 0.72% |
Assets Sold under Agreements to Repurchase, Weighted Average Remaining Maturity, Excluding U.S. Treasuries and Interest Rate Swaps | 69 | 64 |
Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 2,453,972 | $ 3,979,317 |
Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 3,624,004 | 4,595,425 |
Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 715,240 | 903,286 |
Maturity 90 to 119 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 535,472 | 434,550 |
Maturity 120 to 364 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 2,094,115 | 1,929,164 |
Maturity on Demand [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 997,500 | |
Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 93,221 | |
US Treasury Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Interest Rate | 0.23% | |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 1,996,250 | |
US Treasury Securities [Member] | Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 998,750 | |
US Treasury Securities [Member] | Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | |
US Treasury Securities [Member] | Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | |
US Treasury Securities [Member] | Maturity 90 to 119 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | |
US Treasury Securities [Member] | Maturity 120 to 364 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | |
US Treasury Securities [Member] | Maturity on Demand [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 997,500 | |
US Treasury Securities [Member] | Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 0 | |
US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Interest Rate | 0.45% | 0.42% |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 7,321,300 | $ 8,458,572 |
US Government Agencies Debt Securities [Member] | Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 1,912,119 | 2,305,726 |
US Government Agencies Debt Securities [Member] | Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 3,077,003 | 3,568,049 |
US Government Agencies Debt Securities [Member] | Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 484,627 | 631,992 |
US Government Agencies Debt Securities [Member] | Maturity 90 to 119 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 471,052 | 317,155 |
US Government Agencies Debt Securities [Member] | Maturity 120 to 364 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 1,376,499 | 1,635,650 |
US Government Agencies Debt Securities [Member] | Maturity on Demand [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | |
US Government Agencies Debt Securities [Member] | Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 0 | |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Interest Rate | 1.85% | 1.79% |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 1,936,232 | $ 2,324,395 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 471,133 | 630,118 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 461,904 | 945,032 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 230,613 | 260,228 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Maturity 90 to 119 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 64,420 | 117,395 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Maturity 120 to 364 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 708,162 | 278,401 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Maturity on Demand [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 93,221 | |
Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Interest Rate | 1.03% | 0.99% |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 132,867 | $ 138,133 |
Inverse Interest-Only Securities [Member] | Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 47,770 | 44,723 |
Inverse Interest-Only Securities [Member] | Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 85,097 | 82,344 |
Inverse Interest-Only Securities [Member] | Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 11,066 |
Inverse Interest-Only Securities [Member] | Maturity 90 to 119 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 0 |
Inverse Interest-Only Securities [Member] | Maturity 120 to 364 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 0 | 0 |
Inverse Interest-Only Securities [Member] | Maturity on Demand [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | |
Inverse Interest-Only Securities [Member] | Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 0 | |
Loans Held-for-sale, Mortgages [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Interest Rate | 2.63% | 3.03% |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 9,454 | $ 15,113 |
Loans Held-for-sale, Mortgages [Member] | Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 0 |
Loans Held-for-sale, Mortgages [Member] | Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 0 |
Loans Held-for-sale, Mortgages [Member] | Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 0 |
Loans Held-for-sale, Mortgages [Member] | Maturity 90 to 119 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 0 |
Loans Held-for-sale, Mortgages [Member] | Maturity 120 to 364 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 9,454 | 15,113 |
Loans Held-for-sale, Mortgages [Member] | Maturity on Demand [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | |
Loans Held-for-sale, Mortgages [Member] | Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 0 | |
Loans Held-for-investment, Commercial Real Estate [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Interest Rate | 1.84% | |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 22,950 | |
Loans Held-for-investment, Commercial Real Estate [Member] | Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 22,950 | |
Loans Held-for-investment, Commercial Real Estate [Member] | Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | |
Loans Held-for-investment, Commercial Real Estate [Member] | Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | |
Loans Held-for-investment, Commercial Real Estate [Member] | Maturity 90 to 119 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | |
Loans Held-for-investment, Commercial Real Estate [Member] | Maturity 120 to 364 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 0 |
Schedule of Underlying Assets o
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | $ 10,852,486 | $ 14,599,240 |
Available-for-sale Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 10,284,534 | 11,874,783 |
US Treasury Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 0 | 1,997,656 |
Loans Held-for-sale, Mortgages [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 10,545 | 19,123 |
Loans Held-for-investment, Commercial Real Estate [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 45,605 | 0 |
Retained Interest [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 113,824 | 363,564 |
Cash and Cash Equivalents [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 15,000 | 14,117 |
Restricted Cash and Cash Equivalents [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 182,709 | 112,435 |
Due From Correspondent Brokers [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 24,252 | 32,495 |
Derivative Financial Instruments, Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | $ 176,017 | $ 185,067 |
Schedule of Repurchase Agree100
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity (Details) $ in Thousands | Jun. 30, 2015USD ($) | Dec. 31, 2014USD ($) |
Repurchase Agreement Counterparty [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 9,422,803 | $ 12,932,463 |
Repurchase Agreement Counterparty, Royal Bank of Canada [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 1,161,333 | 1,373,549 |
Repurchase Agreement Counterparty, Amount at Risk | $ 316,965 | $ 401,194 |
Repurchase Agreement Counterparty, Percent of Equity at Risk | 8.00% | 10.00% |
Repurchase Agreement Counterparty, Weighted Average Days to Maturity | 119.6 | 83.8 |
Repurchase Agreement Counterparty, Barclays Capital [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 789,908 | $ 1,346,085 |
Repurchase Agreement Counterparty, Amount at Risk | $ 265,129 | $ 365,879 |
Repurchase Agreement Counterparty, Percent of Equity at Risk | 7.00% | 9.00% |
Repurchase Agreement Counterparty, Weighted Average Days to Maturity | 59.5 | 50.5 |
Repurchase Agreement Counterparty, All Other Counterparties [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 7,471,562 | $ 9,215,329 |
Repurchase Agreement Counterparty, Amount at Risk | $ 843,313 | $ 907,066 |
Repurchase Agreement Counterparty, Percent of Equity at Risk | 21.00% | 22.00% |
Repurchase Agreement Counterparty, Weighted Average Days to Maturity | 61.5 | 57.7 |
Number of Repurchase Agreement Counterparties with Whom Repurchase Agreements Are Less Than 10 Percent of Stockholders' Equity | 21 | 23 |
Repurchase Agreement Counterparty, Excluding Repurchase Agreements Collateralized by U.S. Treasuries [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 9,422,803 | $ 11,934,963 |
Repurchase Agreement Counterparty, Amount at Risk | $ 1,425,407 | 1,674,139 |
US Treasury Securities [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 1,996,250 | |
Maturity on Demand [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 997,500 | |
Maturity on Demand [Member] | US Treasury Securities [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 997,500 |
Collateralized Borrowings in101
Collateralized Borrowings in Securitization Trusts, at Fair Value (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Debt Instrument [Line Items] | ||
Collateralized borrowings in securitization trust, at fair value | $ 1,714,735 | $ 1,209,663 |
Debt, Weighted Average Interest Rate | 3.60% | 3.60% |
Federal Home Loan Bank Advan102
Federal Home Loan Bank Advances (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
Federal Home Loan Bank advances | $ 3,000,000 | $ 2,500,000 |
Federal Home Loan Bank, Advances, General Debt Obligations, Amount of Available, Unused Funds | 1,000,000 | |
Federal Home Loan Bank stock | 125,250 | 100,010 |
Federal Home Loan Bank of Des Moines [Member] | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
Federal Home Loan Bank advances | $ 3,000,000 | $ 2,500,000 |
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Weighted Average Interest Rate | 0.35% | 0.34% |
Federal Home Loan Bank stock | $ 125,250 | $ 103,010 |
Schedule of Maturities of Feder
Schedule of Maturities of Federal Home Loan Bank Advances (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | $ 3,000,000 | $ 2,500,000 |
Maturity Within One Year [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 33,738 |
Maturity One to Three Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 651,238 | 651,238 |
Maturity Three to Five Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 815,024 | 815,024 |
Maturity One to Two Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 0 |
Maturity Over Two Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | $ 1,533,738 | $ 1,000,000 |
Schedule of Underlying Asset104
Schedule of Underlying Assets of Federal Home Loan Bank Advances (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Collateral Pledged | $ 3,311,077 | $ 2,762,920 |
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 | 2,268,550 | 2,284,532 |
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 | 551,257 | 397,656 |
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 | $ 491,270 | $ 80,732 |
Stockholders' Equity Schedule o
Stockholders' Equity Schedule of Dividends Declared (Details) - $ / shares | 3 Months Ended | 6 Months Ended | |||||
Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Dividends Payable [Line Items] | |||||||
Dividends Payable, Date Declared | Jun. 17, 2015 | Mar. 18, 2015 | Dec. 16, 2014 | Sep. 16, 2014 | Jun. 17, 2014 | ||
Dividends Payable, Date of Record | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 30, 2014 | Sep. 30, 2014 | Jul. 2, 2014 | ||
Dividends Payable, Date to be Paid | Jul. 21, 2015 | Apr. 21, 2015 | Jan. 20, 2015 | Oct. 21, 2014 | Jul. 22, 2014 | ||
Common Stock, Dividends, Per Share, Declared | $ 0.26 | $ 0.26 | $ 0.26 | $ 0.26 | $ 0.26 | $ 0.52 | $ 0.52 |
Stockholders' Equity Schedul106
Stockholders' Equity Schedule of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Accumulated Other Comprehensive Income (Loss), Net of Tax | $ 631,032 | $ 855,789 |
Collateralized Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Unrealized Gains | 711,813 | 891,820 |
Available-for-sale Securities, Gross Unrealized Losses | $ (80,781) | $ (36,031) |
Stockholders' Equity Reclassifi
Stockholders' Equity Reclassifications out of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Gain (Loss) on Investments, Excluding Other than Temporary Impairments | $ (199,389) | $ 967 | ||
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 | $ (170) | $ 0 | 297 | 212 |
Gain (Loss) on Investments, Excluding Other than Temporary Impairments | 75,135 | 20,952 | (175,071) | 22,228 |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $ 74,965 | $ 20,952 | $ (174,774) | $ 22,440 |
Stockholders' Equity Dividend R
Stockholders' Equity Dividend Reinvestment and Direct Stock Purchase Plan (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Class of Stock [Line Items] | ||||
Common Stock, Capital Shares Reserved for Future Issuance | 7,500,000 | 7,500,000 | ||
Stock Issued During Period, Shares, Dividend Reinvestment Plan | 249,650 | 249,650 | ||
Stock Issued and Outstanding, Value, Dividend Reinvestment Plan | $ 2,647 | $ 2,647 | ||
Stock Issued During Period, Shares, Dividend Reinvestment Plan | 16,772 | 12,694 | 36,184 | 23,474 |
Stock Issued During Period, Value, Dividend Reinvestment Plan | $ 178 | $ 131 | $ 379 | $ 241 |
Stockholders' Equity Share Repu
Stockholders' Equity Share Repurchase Program (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2014 | Jun. 30, 2015 | Dec. 31, 2012 | |
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 Shares Repurchased to Date | 2,450,700 | ||
Stock Repurchase Program, Value of Shares Repurchased to Date | $ 23,894 | ||
Stock Repurchase Program, Number of Additional Shares Authorized to be Repurchased | 15,000,000 |
Stockholders' Equity At-the-Mar
Stockholders' Equity At-the-Market Offering (Details) - Jun. 30, 2015 - USD ($) $ in Thousands | Total |
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 |
Equity Incentive Plan (Details)
Equity Incentive Plan (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2015 | Mar. 31, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
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 | 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 at Beginning of Period | $ 10.32 | $ 10.32 | $ 11.22 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 1,151,095 | 1,155,342 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 10.49 | $ 9.81 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | (711,124) | (395,986) | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Grant Date Fair Value | $ (10.45) | $ 11.10 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeited in Period | (55,474) | (3,065) | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeitures, Weighted Average Grant Date Fair Value | $ (10.19) | $ (9.79) | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number, Ending Balance | 2,386,903 | 1,780,750 | 2,386,903 | 1,780,750 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value at End of Period | $ 10.36 | $ 10.34 | $ 10.36 | $ 10.34 | |
Allocated Share-based Compensation Expense | $ 2,930 | $ 3,742 | $ 5,619 | $ 6,845 | |
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 | 35,521 | 52,180 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 10.53 | $ 10.31 | |||
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 | 909,299 | 206,275 | 1,103,162 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 10.53 | $ 10.30 | $ 9.79 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value at End of Period | $ 9.74 | $ 9.74 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Income Tax Disclosure [Abstract] | ||||
Income Tax Expense (Benefit) | $ (6,957) | $ (23,260) | $ (17,614) | $ (57,162) |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ||||
Net income | $ 221,501 | $ 39,657 | $ 316,294 | $ 10,512 |
Weighted average number of shares of common shares outstanding | 364,919,352 | 364,078,669 | 364,775,066 | 363,996,652 |
Weighted average restricted stock shares | 2,154,779 | 1,999,455 | 2,017,393 | 1,849,643 |
Basic and diluted weighted average shares outstanding | 367,074,131 | 366,078,124 | 366,792,459 | 365,846,295 |
Basic and diluted earnings per weighted average common share | $ 0.60 | $ 0.11 | $ 0.86 | $ 0.03 |
Schedule of Related Party Trans
Schedule of Related Party Transactions, by Related Party (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Related Party Transaction [Line Items] | ||||
Gross Asset Management Costs, before Reduction | $ 12,686 | $ 12,190 | $ 25,407 | $ 24,301 |
Management Fee, Percent | 1.50% | |||
Costs and Expenses, Related Party | 5,359 | 3,918 | $ 10,130 | 7,165 |
Allocated Share-based Compensation Expense | $ 2,930 | $ 3,742 | 5,619 | 6,845 |
Equity based compensation | $ 5,619 | $ 10,224 |