Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2016 | Aug. 03, 2016 | |
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, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q2 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 347,626,803 |
CONDENSED CONSOLIDATED BALANCE
CONDENSED CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | |
ASSETS | |||
Available-for-sale securities, at fair value | $ 13,656,610 | $ 7,825,320 | |
Residential mortgage loans held-for-sale, at fair value | 609,060 | 811,431 | |
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 3,446,712 | 3,173,727 | |
Commercial real estate assets | 926,377 | 660,953 | |
Mortgage servicing rights, at fair value | 427,813 | 493,688 | |
Cash and cash equivalents | 692,188 | 737,831 | |
Restricted cash | 363,166 | 262,562 | |
Accrued interest receivable | 63,915 | 49,970 | |
Due from counterparties | 12,977 | 17,206 | |
Derivative assets, at fair value | 223,985 | 271,509 | |
Other assets | 317,635 | 271,575 | |
Total Assets | [1] | 20,740,438 | 14,575,772 |
Liabilities | |||
Repurchase agreements | 9,669,848 | 5,008,274 | |
Collateralized borrowings in securitization trusts, at fair value | 3,111,861 | 2,000,110 | |
Federal Home Loan Bank advances | 4,000,000 | 3,785,000 | |
Derivative liabilities, at fair value | 160,724 | 7,285 | |
Due to counterparties | 227,354 | 34,294 | |
Dividends payable | 79,953 | 92,016 | |
Other liabilities | 72,630 | 72,232 | |
Total liabilities | [1] | 17,322,370 | 10,999,211 |
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 347,621,385 and 353,906,807 shares issued and outstanding, respectively | 3,476 | 3,539 | |
Additional paid-in capital | 3,652,256 | 3,705,519 | |
Accumulated other comprehensive income | 519,697 | 359,061 | |
Cumulative earnings | 1,578,844 | 1,684,755 | |
Cumulative distributions to stockholders | (2,336,205) | (2,176,313) | |
Total stockholders’ equity | 3,418,068 | 3,576,561 | |
Total Liabilities and Stockholders’ Equity | 20,740,438 | 14,575,772 | |
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 3,512,101 | 3,237,918 | |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | $ 3,132,886 | $ 2,017,677 | |
[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, 2016 and December 31, 2015, assets of the VIEs totaled $3,512,101 and $3,237,918, and liabilities of the VIEs totaled $3,132,886 and $2,017,677, respectively. See Note 3 - Variable Interest Entities for additional information. |
Balance Sheet Paranthetical
Balance Sheet Paranthetical - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
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 | 347,621,385 | 353,906,807 |
Common Stock, Shares, Outstanding | 347,621,385 | 353,906,807 |
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 | $ 3,512,101 | $ 3,237,918 |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | $ 3,132,886 | $ 2,017,677 |
CONDENSED CONSOLIDATED STATEMEN
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Interest income: | ||||
Available-for-sale securities | $ 101,512 | $ 118,129 | $ 180,940 | $ 253,654 |
Trading securities | 0 | 3,981 | 0 | 8,676 |
Residential mortgage loans held-for-sale | 4,960 | 7,518 | 12,162 | 11,789 |
Residential mortgage loans held-for-investment in securitization trusts | 34,499 | 21,830 | 67,270 | 40,067 |
Commercial real estate assets | 13,300 | 850 | 24,372 | 894 |
Cash and cash equivalents | 505 | 221 | 795 | 418 |
Total interest income | 154,776 | 152,529 | 285,539 | 315,498 |
Interest expense: | ||||
Repurchase agreements | 22,697 | 19,398 | 38,726 | 39,963 |
Collateralized borrowings in securitization trusts | 25,184 | 13,131 | 44,543 | 23,839 |
Federal Home Loan Bank advances | 6,088 | 2,500 | 12,060 | 4,730 |
Total interest expense | 53,969 | 35,029 | 95,329 | 68,532 |
Net interest income | 100,807 | 117,500 | 190,210 | 246,966 |
Other-than-temporary impairments: | ||||
Total other-than-temporary impairment losses | (90) | (170) | (807) | (297) |
Non-credit portion of loss recognized in other comprehensive income (loss) | 0 | 0 | 0 | 0 |
Net other-than-temporary credit impairment losses | (90) | (170) | (807) | (297) |
Other (loss) income: | ||||
Gain on investment securities | 8,331 | 69,932 | 37,805 | 199,389 |
(Loss) gain on interest rate swap and swaption agreements | (12,708) | 44,952 | (138,192) | (81,491) |
Loss on other derivative instruments | (48,051) | (5,484) | (32,036) | (2,517) |
Gain (loss) on residential mortgage loans held-for-sale | 7,734 | (6,832) | 18,537 | 2,260 |
Servicing income | 35,816 | 30,516 | 69,949 | 62,603 |
(Loss) gain on servicing asset | (76,535) | 17,635 | (177,975) | (34,768) |
Other loss | (9,561) | (16,609) | (6,734) | (18,466) |
Total other (loss) income | (94,974) | 134,110 | (228,646) | 127,010 |
Expenses: | ||||
Management fees | 11,837 | 12,686 | 23,881 | 25,407 |
Securitization deal costs | 429 | 2,484 | 4,161 | 5,095 |
Servicing expenses | 7,576 | 5,899 | 15,437 | 12,615 |
Other operating expenses | 17,644 | 15,827 | 32,500 | 31,882 |
Total expenses | 37,486 | 36,896 | 75,979 | 74,999 |
(Loss) income before income taxes | (31,743) | 214,544 | (115,222) | 298,680 |
Benefit from income taxes | (14,762) | (6,957) | (9,311) | (17,614) |
Net (loss) income | $ (16,981) | $ 221,501 | $ (105,911) | $ 316,294 |
Basic and diluted (loss) earnings per weighted average common share | $ (0.05) | $ 0.60 | $ (0.30) | $ 0.86 |
Dividends declared per common share | $ 0.23 | $ 0.26 | $ 0.46 | $ 0.52 |
Basic and diluted weighted average number of shares of common stock outstanding | 347,597,955 | 367,074,131 | 348,516,985 | 366,792,459 |
Comprehensive income: | ||||
Net (loss) income | $ (16,981) | $ 221,501 | $ (105,911) | $ 316,294 |
Other comprehensive income (loss), net of tax: | ||||
Unrealized gain (loss) on available-for-sale securities | 139,291 | (218,826) | 160,636 | (224,757) |
Other comprehensive income (loss) | 139,291 | (218,826) | 160,636 | (224,757) |
Comprehensive income | $ 122,310 | $ 2,675 | $ 54,725 | $ 91,537 |
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, 2014 | 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 (loss) | 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 | |||||
Balance at Jun. 30, 2015 | $ 3,971,569 | $ 3,675 | 3,816,861 | 631,032 | 1,508,839 | (1,988,838) |
Balance, shares at Dec. 31, 2015 | 353,906,807 | 353,906,807 | ||||
Balance at Dec. 31, 2015 | $ 3,576,561 | $ 3,539 | 3,705,519 | 359,061 | 1,684,755 | (2,176,313) |
Net income (loss) | (105,911) | 0 | 0 | 0 | 0 | |
Other comprehensive income (loss) before reclassifications | 184,085 | 0 | 0 | 184,085 | 0 | 0 |
Amounts reclassified from accumulated other comprehensive income (loss) | (23,449) | 0 | 0 | (23,449) | 0 | 0 |
Net other comprehensive income (loss) | 160,636 | $ 0 | 0 | 160,636 | 0 | 0 |
Issuance of common stock, net of offering costs, shares | 29,143 | |||||
Issuance of common stock, net of offering costs | $ 227 | $ 0 | 227 | 0 | 0 | 0 |
Stock Repurchased and Retired During Period, Shares | (8,020,000) | (8,020,000) | ||||
Stock Repurchased and Retired During Period, Value | $ (61,307) | $ (80) | (61,227) | 0 | 0 | 0 |
Common dividends declared | (159,892) | $ 0 | 0 | 0 | 0 | (159,892) |
Non-cash equity award compensation, shares | 1,705,435 | |||||
Non-cash equity award compensation | $ 7,754 | $ 17 | 7,737 | 0 | 0 | 0 |
Balance, shares at Jun. 30, 2016 | 347,621,385 | 347,621,385 | ||||
Balance at Jun. 30, 2016 | $ 3,418,068 | $ 3,476 | $ 3,652,256 | $ 519,697 | $ 1,578,844 | $ (2,336,205) |
CONDENSED CONSOLIDATED STATEME6
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2016 | Jun. 30, 2015 | |
Cash Flows From Operating Activities: | ||
Net income (loss) | $ (105,911) | $ 316,294 |
Adjustments to reconcile net (loss) income to net cash used in operating activities: | ||
Amortization of premiums and discounts on investment securities and commercial real estate assets, net | 16,663 | 22,157 |
Other-than-temporary impairment losses | 807 | 297 |
Realized and unrealized gains on investment securities, net | (37,805) | (199,389) |
Gain on residential mortgage loans held-for-sale | (18,537) | (2,260) |
Loss on residential mortgage loans held-for-investment and collateralized borrowings in securitization trusts | 9,441 | 20,525 |
Loss on servicing asset | 177,975 | 34,768 |
Loss on termination and option expiration of interest rate swaps and swaptions | 24,487 | 63,076 |
Unrealized loss (gain) on interest rate swaps and swaptions | 99,859 | (35,258) |
Unrealized loss (gain) on other derivative instruments | 48,818 | (1,634) |
Equity based compensation | 7,754 | 5,619 |
Depreciation of fixed assets | 664 | 652 |
Purchases of residential mortgage loans held-for-sale | (580,932) | (1,393,417) |
Proceeds from sales of residential mortgage loans held-for-sale | 68,813 | 75,272 |
Proceeds from repayment of residential mortgage loans held-for-sale | 74,025 | 53,452 |
Net change in assets and liabilities: | ||
(Increase) decrease in accrued interest receivable | (13,945) | 8,518 |
Increase in deferred income taxes, net | (7,716) | (11,393) |
Decrease (increase) in income taxes receivable | 3,669 | (7,175) |
Decrease (increase) in prepaid and fixed assets | 102 | (228) |
Decrease in other receivables | 6,267 | 6,059 |
Increase in servicing advances | (19,328) | (3,338) |
Increase (decrease) in accrued interest payable | 6,544 | (4,788) |
Decrease in income taxes payable | (70) | (1,336) |
(Decrease) increase in accrued expenses and other liabilities | (6,076) | 2,253 |
Net cash used in operating activities | (244,432) | (1,051,274) |
Cash Flows From Investing Activities: | ||
Purchases of available-for-sale securities | (9,964,377) | (1,705,012) |
Proceeds from sales of available-for-sale securities | 3,776,295 | 2,572,015 |
Principal payments on available-for-sale securities | 527,958 | 611,850 |
(Purchases) short sales of derivative instruments, net | (15,475) | (69,085) |
Proceeds from sales (payments for termination) of derivative instruments, net | 44,364 | 4,825 |
Proceeds from sales of trading securities | 0 | 2,004,375 |
Proceeds from repayment of residential mortgage loans held-for-investment in securitization trusts | 407,861 | 335,346 |
Originations and purchases of commercial real estate assets, net of deferred fees | (276,438) | (45,556) |
Proceeds from repayment of commercial real estate assets | 14,387 | 0 |
Purchases of mortgage servicing rights, net of purchase price adjustments | (108,006) | (8,166) |
Purchases of Federal Home Loan Bank stock | (11,206) | (25,240) |
Increase in due to counterparties, net | 197,289 | 44,203 |
Increase in restricted cash | (100,604) | (74,132) |
Net cash (used in) provided by investing activities | (5,507,952) | 3,645,423 |
Cash Flows From Financing Activities: | ||
Proceeds from repurchase agreements | 30,339,583 | 28,285,657 |
Principal payments on repurchase agreements | (25,678,009) | (31,795,316) |
Proceeds from issuance of collateralized borrowings in securitization trusts | 1,394,312 | 771,271 |
Principal payments on collateralized borrowings in securitization trusts | (331,110) | (237,630) |
Proceeds from Federal Home Loan Bank advances | 215,000 | 500,000 |
Proceeds from issuance of common stock, net of offering costs | 227 | 226 |
Repurchase of common stock | (61,307) | 0 |
Dividends paid on common stock | (171,955) | (190,570) |
Net cash provided by (used in) financing activities | 5,706,741 | (2,666,362) |
Net decrease in cash and cash equivalents | (45,643) | (72,213) |
Cash and cash equivalents at beginning of period | 737,831 | 1,005,792 |
Cash and cash equivalents at end of period | 692,188 | 933,579 |
Supplemental Disclosure of Cash Flow Information: | ||
Cash paid for interest | 47,088 | 50,932 |
Cash (received) paid for taxes | (5,194) | 2,286 |
Noncash Activities: | ||
Transfers of residential mortgage loans held-for-sale to residential mortgage loans held-for-investment in securitization trusts | 641,738 | 1,091,884 |
Transfers of residential mortgage loans held-for-sale to other receivables for foreclosed government-guaranteed loans | 12,080 | 7,318 |
Additions to mortgage servicing rights due to sale of residential mortgage loans held-for-sale | 522 | 816 |
Transfer of fair value of mortgage servicing rights to fair value of Ginnie Mae residential mortgage loans held-for-sale upon buyout | 3,572 | 11,356 |
Cumulative-effect adjustment to equity for adoption of new accounting principle | 0 | (2,991) |
Dividends declared but not paid at end of period | 79,953 | 95,557 |
Reconciliation of residential mortgage loans held-for-sale: | ||
Residential mortgage loans held-for-sale at beginning of period | 811,431 | 535,712 |
Purchases of residential mortgage loans held-for-sale | 580,932 | 1,393,417 |
Transfers to residential mortgage loans held-for-investment in securitization trusts | (641,738) | (1,091,884) |
Transfers to other receivables for foreclosed government-guaranteed loans | (12,080) | (7,318) |
Transfer of fair value of mortgage servicing rights to fair value of Ginnie Mae residential mortgage loans held-for-sale upon buyout | (3,572) | (11,356) |
Proceeds from sales of residential mortgage loans held-for-sale | (68,813) | (75,272) |
Proceeds from repayment of residential mortgage loans held-for-sale | (74,025) | (53,452) |
Realized and unrealized gains on residential mortgage loans held-for-sale | 16,925 | 5,231 |
Residential mortgage loans held-for-sale at end of period | $ 609,060 | $ 695,078 |
Organization and Operations (No
Organization and Operations (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 | |
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, 2015 . In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at June 30, 2016 and results of operations for all periods presented have been made. The results of operations for the three and six months ended June 30, 2016 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. The Company’s Chief Investment Officer manages the investment portfolio as a whole and resources are allocated and financial performance is assessed on a consolidated basis. 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. Whenever the Company has both the power to direct the activities of a 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. Significant Accounting Policies Included in Note 2 to the Consolidated Financial Statements of the Company’s 2015 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, 2016 . 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, 2016 and December 31, 2015 : June 30, 2016 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 $ 366,681 $ (142,696 ) $ 223,985 $ (160,724 ) $ — $ 63,261 Total Assets $ 366,681 $ (142,696 ) $ 223,985 $ (160,724 ) $ — $ 63,261 Liabilities Repurchase agreements $ (9,669,848 ) $ — $ (9,669,848 ) $ 9,669,848 $ — $ — Derivative liabilities (303,420 ) 142,696 (160,724 ) 160,724 — — Total Liabilities $ (9,973,268 ) $ 142,696 $ (9,830,572 ) $ 9,830,572 $ — $ — December 31, 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 $ 325,755 $ (54,246 ) $ 271,509 $ (7,285 ) $ — $ 264,224 Total Assets $ 325,755 $ (54,246 ) $ 271,509 $ (7,285 ) $ — $ 264,224 Liabilities Repurchase agreements $ (5,008,274 ) $ — $ (5,008,274 ) $ 5,008,274 $ — $ — Derivative liabilities (61,531 ) 54,246 (7,285 ) 7,285 — — Total Liabilities $ (5,069,805 ) $ 54,246 $ (5,015,559 ) $ 5,015,559 $ — $ — ____________________ (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 Financial Accounting Standards Board, or 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. As a result of the issuance of ASU No. 2015-14 in August 2015 deferring the effective date of ASU No. 2014-09 by one year, the ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2017, 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. 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. Recognition and Measurement of Financial Assets and Financial Liabilities In January 2016, the FASB issued ASU No. 2016-01, which changes how entities measure certain equity investments and present changes in the fair value of financial liabilities measured under the fair value option that are attributable to their own credit. 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, 2017, with early adoption permitted. The Company has determined this ASU will not have a material impact on the Company’s financial condition or results of operations. Lease Classification and Accounting In February 2016, the FASB issued ASU No. 2016-02, which requires lessees to recognize on their balance sheets both a lease liability for the obligation to make lease payments and a right-of-use asset for the right to use the underlying asset for the lease term. The ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2018, with early adoption permitted. The Company has determined this ASU will not have a material impact on the Company’s financial condition or results of operations. Measurement of Credit Losses on Financial Instruments In June 2016, the FASB issued ASU No. 2016-13, which changes the impairment model for most financial assets and certain other instruments. Allowances for credit losses on AFS debt securities will be recognized, rather than direct reductions in the amortized cost of the investments. The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost. 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, 2019, with early adoption permitted for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2018. The Company is evaluating the adoption of this ASU. |
Variable Interest Entities (Not
Variable Interest Entities (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
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 as of June 30, 2016 and December 31, 2015 : (in thousands) June 30, December 31, Residential mortgage loans held-for-investment in securitization trusts $ 3,446,712 $ 3,173,727 Commercial real estate assets 45,790 45,698 Accrued interest receivable 19,599 18,493 Total Assets $ 3,512,101 $ 3,237,918 Collateralized borrowings in securitization trusts $ 3,111,861 $ 2,000,110 Accrued interest payable 8,791 5,943 Other liabilities 12,234 11,624 Total Liabilities $ 3,132,886 $ 2,017,677 The Company is not required to consolidate VIEs for which it has concluded it does not have both the power to direct the activities of the VIEs 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’s investments in these unconsolidated VIEs include non-Agency RMBS, which are classified within available-for-sale securities, at fair value on the consolidated balance sheets. As of June 30, 2016 and December 31, 2015 , the carrying value, which also represents the maximum exposure to loss, of all non-Agency RMBS in unconsolidated VIEs was $1.6 billion and $1.9 billion , respectively. |
Available-for-Sale Securities,
Available-for-Sale Securities, at Fair Value (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
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 AFS investment securities which are carried at fair value on the condensed consolidated balance sheets. 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, 2016 and December 31, 2015 : (in thousands) June 30, December 31, Agency Federal Home Loan Mortgage Corporation $ 1,537,138 $ 1,678,814 Federal National Mortgage Association 10,224,338 3,602,348 Government National Mortgage Association 247,893 691,728 Non-Agency 1,647,241 1,852,430 Total available-for-sale securities $ 13,656,610 $ 7,825,320 At June 30, 2016 and December 31, 2015 , the Company pledged AFS securities with a carrying value of $13.5 billion and $7.8 billion , respectively, as collateral for repurchase agreements and advances from the Federal Home Loan Bank of Des Moines, or the FHLB. See Note 15 - Repurchase Agreements and Note 17 - Federal Home Loan Bank of Des Moines Advances . At June 30, 2016 and December 31, 2015 , 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, 2016 and December 31, 2015 : June 30, 2016 (in thousands) Agency Non-Agency Total Face Value $ 13,919,683 $ 2,416,199 $ 16,335,882 Unamortized premium 567,877 — 567,877 Unamortized discount Designated credit reserve — (335,861 ) (335,861 ) Net, unamortized (2,686,818 ) (741,105 ) (3,427,923 ) Amortized Cost 11,800,742 1,339,233 13,139,975 Gross unrealized gains 234,394 315,891 550,285 Gross unrealized losses (25,767 ) (7,883 ) (33,650 ) Carrying Value $ 12,009,369 $ 1,647,241 $ 13,656,610 December 31, 2015 (in thousands) Agency Non-Agency Total Face Value $ 8,257,030 $ 2,655,381 $ 10,912,411 Unamortized premium 394,787 — 394,787 Unamortized discount Designated credit reserve — (409,077 ) (409,077 ) Net, unamortized (2,721,979 ) (707,021 ) (3,429,000 ) Amortized Cost 5,929,838 1,539,283 7,469,121 Gross unrealized gains 98,389 329,206 427,595 Gross unrealized losses (55,337 ) (16,059 ) (71,396 ) Carrying Value $ 5,972,890 $ 1,852,430 $ 7,825,320 The following tables present the carrying value of the Company’s AFS securities by rate type as of June 30, 2016 and December 31, 2015 : June 30, 2016 (in thousands) Agency Non-Agency Total Adjustable Rate $ 35,375 $ 1,415,979 $ 1,451,354 Fixed Rate 11,973,994 231,262 12,205,256 Total $ 12,009,369 $ 1,647,241 $ 13,656,610 December 31, 2015 (in thousands) Agency Non-Agency Total Adjustable Rate $ 108,596 $ 1,673,038 $ 1,781,634 Fixed Rate 5,864,294 179,392 6,043,686 Total $ 5,972,890 $ 1,852,430 $ 7,825,320 The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of June 30, 2016 : June 30, 2016 (in thousands) Agency Non-Agency Total ≤ 1 year $ 2,337 $ 91,698 $ 94,035 > 1 and ≤ 3 years 104,436 193,444 297,880 > 3 and ≤ 5 years 8,769,579 139,527 8,909,106 > 5 and ≤ 10 years 3,131,270 852,245 3,983,515 > 10 years 1,747 370,327 372,074 Total $ 12,009,369 $ 1,647,241 $ 13,656,610 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 the Company does not expect to collect the entire discount 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, 2016 and 2015 , of the unamortized net discount and designated credit reserves on non-Agency AFS securities. Six Months Ended June 30, 2016 2015 (in thousands) Designated Credit Reserve Unamortized Net Discount Total Designated Credit Reserve Unamortized Net Discount Total Beginning balance at January 1 $ (409,077 ) $ (707,021 ) $ (1,116,098 ) $ (927,605 ) $ (967,368 ) $ (1,894,973 ) Acquisitions (16,217 ) (74,039 ) (90,256 ) (1,284 ) (3,283 ) (4,567 ) Accretion of net discount — 32,287 32,287 — 52,759 52,759 Realized credit losses (2,371 ) — (2,371 ) 8,470 — 8,470 Reclassification adjustment for other-than-temporary impairments (211 ) — (211 ) 1,619 — 1,619 Transfers from (to) 59,453 (59,453 ) — 58,716 (58,716 ) — Sales, calls, other 32,562 67,121 99,683 202,458 156,584 359,042 Ending balance at June 30 $ (335,861 ) $ (741,105 ) $ (1,076,966 ) $ (657,626 ) $ (820,024 ) $ (1,477,650 ) 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, 2016 and December 31, 2015 . At June 30, 2016 , the Company held 1,183 AFS securities, of which 61 were in an unrealized loss position for less than twelve consecutive months and 129 were in an unrealized loss position for more than twelve consecutive months. At December 31, 2015 , the Company held 1,181 AFS securities, of which 121 were in an unrealized loss position for less than twelve consecutive months and 182 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, 2016 $ 454,416 $ (9,266 ) $ 632,865 $ (24,384 ) $ 1,087,281 $ (33,650 ) December 31, 2015 $ 1,503,939 $ (26,984 ) $ 1,141,839 $ (44,412 ) $ 2,645,778 $ (71,396 ) 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 either other comprehensive income (loss) , net of tax, or gain on investment securities , depending on the accounting treatment. 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 $0.1 million and $0.8 million in other-than-temporary credit impairments during the three and six months ended June 30, 2016 on one and three non-Agency RMBS, respectively, where the future expected cash flows for each security were less than its amortized cost. As of June 30, 2016 , impaired securities with a carrying value of $113.5 million had actual weighted average cumulative losses of 12.5% , weighted average three-month prepayment speed of 7.1% , weighted average 60+ day delinquency of 23.3% of the pool balance, and weighted average FICO score of 671 . At June 30, 2016 , the Company did not intend to sell the securities and determined that it was not more likely than not that the Company will be required to sell the securities; therefore, only the projected credit loss was recognized in earnings. During the three and six months ended June 30, 2015 , the Company recorded $0.2 million and $0.3 million in other-than-temporary credit impairments on one non-Agency RMBS where the future expected cash flows for the security were less than its amortized cost. The following table presents the changes in OTTI included in earnings for the three and six months ended June 30, 2016 and 2015 : Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2016 2015 2016 2015 Cumulative credit loss at beginning of period $ (6,620 ) $ (6,452 ) $ (6,499 ) $ (8,241 ) Additions: Other-than-temporary impairments not previously recognized — — (292 ) — Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments (90 ) (170 ) (515 ) (297 ) Reductions: Decreases related to other-than-temporary impairments on securities paid down — — — — Decreases related to other-than-temporary impairments on securities sold — — 596 1,916 Cumulative credit loss at end of period $ (6,710 ) $ (6,622 ) $ (6,710 ) $ (6,622 ) Cumulative credit losses related to OTTI may be reduced for securities sold as well as for securities that mature, are paid 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 on investment securities in the Company’s condensed consolidated statements of comprehensive income . For the three and six months ended June 30, 2016 , the Company sold AFS securities for $1.5 billion and $3.8 billion with an amortized cost of $1.5 billion and $3.7 billion for net realized gains of $9.9 million and $31.6 million , respectively. 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. The following table presents the gross realized gains and losses on sales of AFS securities for the three and six months ended June 30, 2016 and 2015 : Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2016 2015 2016 2015 Gross realized gains $ 10,700 $ 76,199 $ 45,894 $ 193,887 Gross realized losses (830 ) (336 ) (14,323 ) (556 ) Total realized gains on sales, net $ 9,870 $ 75,863 $ 31,571 $ 193,331 |
Residential Mortgage Loans Held
Residential Mortgage Loans Held-for-Sale, at Fair Value (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 and December 31, 2015 : (in thousands) June 30, December 31, Unpaid principal balance $ 602,854 $ 812,661 Fair value adjustment 6,206 (1,230 ) Carrying value $ 609,060 $ 811,431 At June 30, 2016 and December 31, 2015 , the Company pledged residential mortgage loans with a carrying value of $543.8 million and $745.5 million , respectively, as collateral for repurchase agreements and FHLB advances. See Note 15 - Repurchase Agreements and Note 17 - Federal Home Loan Bank of Des Moines Advances . |
Residential Mortgage Loans He12
Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
Residential Mortgage Loans Held-for-Investment [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, 2016 and December 31, 2015 : (in thousands) June 30, December 31, Unpaid principal balance $ 3,363,919 $ 3,143,515 Fair value adjustment 82,793 30,212 Carrying value $ 3,446,712 $ 3,173,727 |
Commercial Real Estate Assets C
Commercial Real Estate Assets Commercial Real Estate Assets (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
Commercial Real Estate Assets [Abstract] | |
Commercial Real Estate Assets [Text Block] | Commercial Real Estate Assets The Company originates and purchases commercial real estate debt and related instruments generally to be held as long-term investments. These assets are classified as commercial real estate assets on the condensed consolidated balance sheets. Additionally, 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 is consolidated on the Company’s condensed consolidated balance sheet and classified as commercial real estate assets. See Note 3 - Variable Interest Entities for additional information regarding consolidation of the trust. Commercial real estate assets are reported at cost, net of any unamortized acquisition premiums or discounts, loan fees and origination costs as applicable, unless the assets are deemed impaired. The following tables summarize the Company’s commercial real estate assets by asset type, property type and geographic location as of June 30, 2016 and December 31, 2015 : June 30, December 31, (in thousands) Mezzanine Loans First Mortgages Total Mezzanine Loans First Mortgages Total Unpaid principal balance $ 139,922 $ 793,683 $ 933,605 $ 153,913 $ 513,433 $ 667,346 Unamortized (discount) premium (101 ) (194 ) (295 ) (237 ) — (237 ) Unamortized net deferred origination fees (516 ) (6,417 ) (6,933 ) (830 ) (5,326 ) (6,156 ) Carrying value $ 139,305 $ 787,072 $ 926,377 $ 152,846 $ 508,107 $ 660,953 Unfunded commitments $ 1,900 $ 60,587 $ 62,487 $ 1,900 $ 50,334 $ 52,234 Number of loans 6 18 24 6 12 18 Weighted average coupon 8.3 % 4.7 % 5.3 % 8.1 % 4.5 % 5.4 % Weighted average years to maturity (1) 2.0 3.2 3.0 2.6 3.3 3.1 ____________________ (1) Based on contractual maturity date. Certain loans are subject to contractual extension options which may be subject to conditions as stipulated in the loan agreement. Actual maturities may differ from contractual maturities stated herein as certain borrowers may have the right to prepay with or without paying a prepayment penalty. The Company may also extend contractual maturities in connection with loan modifications. (in thousands) June 30, December 31, Property Type Carrying Value % of Commercial Portfolio Carrying Value % of Commercial Portfolio Retail $ 236,457 25.5 % $ 185,883 28.1 % Hotel 82,236 8.9 % 80,843 12.2 % Industrial 80,971 8.7 % — — % Multifamily 182,156 19.7 % 139,011 21.1 % Office 344,557 37.2 % 255,216 38.6 % Total $ 926,377 100.0 % $ 660,953 100.0 % (in thousands) June 30, December 31, Geographic Location Carrying Value % of Commercial Portfolio Carrying Value % of Commercial Portfolio West $ 180,644 19.5 % $ 131,488 19.9 % Southeast 81,353 8.8 % 79,118 12.0 % Southwest 202,134 21.8 % 161,721 24.4 % Northeast 396,728 42.8 % 238,913 36.2 % Midwest 65,518 7.1 % 49,713 7.5 % Total $ 926,377 100.0 % $ 660,953 100.0 % At June 30, 2016 and December 31, 2015 , the Company pledged commercial real estate assets with a carrying value of $799.4 million and $361.1 million , respectively, as collateral for repurchase agreements and FHLB advances. See Note 15 - Repurchase Agreements and Note 17 - Federal Home Loan Bank of Des Moines Advances . The following table summarizes activity related to commercial real estate assets for the three and six months ended June 30, 2016 and 2015 . Three Months Ended Six Months Ended (in thousands) 2016 2015 2016 2015 Balance at beginning of period $ 744,259 $ 45,556 $ 660,953 $ — Originations and purchases 193,181 — 280,447 45,556 Repayments (9,856 ) — (14,387 ) — Net discount accretion (premium amortization) 67 49 140 49 (Increase) decrease in net deferred origination fees (2,899 ) — (4,009 ) — Amortization of net deferred origination fees 1,625 — 3,233 — Allowance for loan losses — — — — Balance at end of period $ 926,377 $ 45,605 $ 926,377 $ 45,605 The Company evaluates each loan for impairment at least quarterly by assessing the risk factors of each loan and assigning a risk rating based on a variety of factors. Risk factors include property type, geographic and local market dynamics, physical condition, leasing and tenant profile, projected cash flow, loan structure and exit plan, loan-to-value ratio, project sponsorship, and other factors deemed necessary. Risk ratings are defined as follows: 1 – Lower Risk 2 – Average Risk 3 – Acceptable Risk 4 – Higher Risk: A loan that has exhibited material deterioration in cash flows and/or other credit factors, which, if negative trends continue, could be indicative of future loss. 5 – Impaired/Loss Likely: A loan that has a significantly increased probability of default or principal loss. The following table presents the number of loans, unpaid principal balance and carrying value (amortized cost) by risk rating for commercial real estate assets as of June 30, 2016 and December 31, 2015 : (dollars in thousands) June 30, December 31, Risk Rating Number of Loans Unpaid Principal Balance Carrying Value Number of Loans Unpaid Principal Balance Carrying Value 1 – 3 24 $ 933,605 $ 926,377 18 $ 667,346 $ 660,953 4 – 5 — — — — — — Total 24 $ 933,605 $ 926,377 18 $ 667,346 $ 660,953 The Company has not recorded any allowances for losses as no loans are past-due and it is not deemed probable that the Company will not be able to collect all amounts due pursuant to the contractual terms of the loans. |
Servicing Activities (Notes)
Servicing Activities (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
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 Fannie Mae, Freddie Mac, and Ginnie Mae, to own 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, 2016 and 2015 . Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2016 2015 2016 2015 Balance at beginning of period $ 446,170 $ 410,229 $ 493,688 $ 452,006 Additions from purchases of servicing rights 55,938 4,210 106,211 8,534 Additions from sales of residential mortgage loans 318 589 522 816 Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model (59,074 ) 24,045 (143,433 ) (14,124 ) Other changes in fair value (1) (17,461 ) (6,410 ) (34,542 ) (20,644 ) Other changes (2) 1,922 4,913 5,367 10,988 Balance at end of period $ 427,813 $ 437,576 $ 427,813 $ 437,576 ____________________ (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, 2016 and December 31, 2015 , 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: 18.3 % 11.8 % Impact on fair value of 10% adverse change $ (27,123 ) $ (20,093 ) Impact on fair value of 20% adverse change $ (51,359 ) $ (38,656 ) Weighted average delinquency: 2.8 % 4.0 % Impact on fair value of 10% adverse change $ (3,123 ) $ (3,826 ) Impact on fair value of 20% adverse change $ (6,246 ) $ (6,640 ) Weighted average discount rate: 8.5 % 10.1 % Impact on fair value of 10% adverse change $ (9,861 ) $ (16,316 ) Impact on fair value of 20% adverse change $ (19,145 ) $ (31,522 ) 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 associated with 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 11 - 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, 2016 and 2015 : Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2016 2015 2016 2015 Servicing fee income $ 34,431 $ 29,586 $ 67,540 $ 60,823 Ancillary fee income 488 551 973 1,115 Float income 897 379 1,436 665 Total $ 35,816 $ 30,516 $ 69,949 $ 62,603 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 $56.8 million and $37.5 million and were included in other assets on the condensed consolidated balance sheets as of June 30, 2016 and December 31, 2015 , 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, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 (dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance Residential mortgage loans held-for-sale 1,226 $ 602,854 1,415 $ 812,661 Residential mortgage loans held-for-investment in securitization trusts 4,684 3,318,888 4,329 3,117,219 Mortgage servicing rights 271,122 55,622,035 241,228 48,566,301 Total serviced mortgage assets 277,032 $ 59,543,777 246,972 $ 52,496,181 |
Restricted Cash (Notes)
Restricted Cash (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 and December 31, 2015 : (in thousands) June 30, December 31, Restricted cash balances held by trading counterparties: For securities and loan trading activity $ 30,800 $ 12,550 For derivatives trading activity 267,778 130,355 As restricted collateral for repurchase agreements and Federal Home Loan Bank advances 64,241 119,310 Total restricted cash balances held by trading counterparties 362,819 262,215 Restricted cash balance pursuant to letter of credit on office lease 347 347 Total $ 363,166 $ 262,562 |
Accrued Interest Receivable (No
Accrued Interest Receivable (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
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 as of June 30, 2016 and December 31, 2015 : (in thousands) June 30, December 31, Available-for-sale securities: Agency Federal Home Loan Mortgage Corporation $ 5,696 $ 6,235 Federal National Mortgage Association 28,587 12,407 Government National Mortgage Association 3,114 4,910 Non-Agency 2,179 2,339 Total available-for-sale securities 39,576 25,891 Residential mortgage loans held-for-sale 2,724 4,173 Residential mortgage loans held-for-investment in securitization trusts 19,453 18,339 Commercial real estate assets 2,162 1,567 Total $ 63,915 $ 49,970 |
Derivative Instruments and Hedg
Derivative Instruments and Hedging Activities (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
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 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. Any of the Company’s derivative and non-derivative instruments may be entered into in conjunction with one another in order to mitigate risks associated with the Company’s investment portfolio. As a result, the following discussions of each type of instrument should be read as a collective representation of the Company’s risk mitigation efforts and should not be considered independent of one another. While the Company uses derivative and non-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 , 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, 2016 and December 31, 2015 . (in thousands) June 30, 2016 Derivative Assets Derivative Liabilities Trading instruments Fair Value Notional Fair Value Notional Inverse interest-only securities $ 153,512 $ 834,866 $ — $ — Interest rate swap agreements 23,465 8,314,000 (99,366 ) 5,383,000 Credit default swaps — — (99 ) 25,000 Swaptions, net 27,559 2,600,000 (10,499 ) 800,000 TBAs 16,597 1,835,000 (21,707 ) 2,172,000 Put and call options for TBAs, net 2,042 2,835,000 (21,564 ) 6,062,000 Markit IOS total return swaps — — (7,419 ) 588,037 Forward purchase commitments 810 521,240 (70 ) 115,227 Total $ 223,985 $ 16,940,106 $ (160,724 ) $ 15,145,264 (in thousands) December 31, 2015 Derivative Assets Derivative Liabilities Trading instruments Fair Value Notional Fair Value Notional Inverse interest-only securities $ 159,582 $ 932,037 $ — $ — Interest rate swap agreements 91,757 14,268,806 — — Credit default swaps — — (703 ) 125,000 Swaptions, net 17,374 4,700,000 (4,831 ) 500,000 TBAs 1,074 847,000 (1,324 ) 550,000 Markit IOS total return swaps 1,645 889,418 — — Forward purchase commitments 77 98,736 (427 ) 187,384 Total $ 271,509 $ 21,735,997 $ (7,285 ) $ 1,362,384 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: Trading Instruments Location of Gain (Loss) Recognized in Income on Derivatives Amount of Gain (Loss) Recognized in Income on Derivatives (in thousands) Three Months Ended Six Months Ended 2016 2015 2016 2015 Interest rate risk management TBAs (1) Loss on other derivative instruments $ 1,562 $ 5,262 $ 26,891 $ (22,696 ) Short U.S. Treasuries (1) Loss on other derivative instruments — 125 — 125 Put and call options for TBAs (1) Loss on other derivative instruments (44,052 ) 5,671 (45,033 ) 8,206 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 — 6,164 Interest rate swap agreements - Receivers (1) (Loss) gain on interest rate swap and swaption agreements 37,172 (42,470 ) 149,846 (144 ) Interest rate swap agreements - Payers (1) (Loss) gain on interest rate swap and swaption agreements (30,932 ) 20,713 (112,016 ) (31,846 ) Swaptions (1) (Loss) gain on interest rate swap and swaption agreements 22,252 19,752 5,997 1,246 Markit IOS total return swaps (1) Loss on other derivative instruments (13,267 ) (20,658 ) (34,991 ) (17,526 ) Interest rate swap agreements - Payers (2) (Loss) gain on interest rate swap and swaption agreements (41,200 ) 46,957 (182,019 ) (50,747 ) Credit risk management Credit default swaps - Receive protection (3) Loss on other derivative instruments (27 ) (30 ) 382 (123 ) Non-risk management Inverse interest-only securities Loss on other derivative instruments 7,733 4,909 20,715 24,170 Forward purchase commitments Gain (loss) on residential mortgage loans held-for-sale 950 (5,130 ) 2,348 (4,160 ) Total $ (59,809 ) $ 34,338 $ (167,880 ) $ (88,168 ) ____________________ (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, 2016 , the Company recognized $7.7 million and $13.8 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 $14.8 billion and $14.9 billion notional, respectively, and receiving either LIBOR interest or a fixed interest rate. 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. 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, 2016 and 2015 : Three Months Ended June 30, 2016 (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 $ 882,726 $ — $ (47,860 ) $ 834,866 $ 860,864 $ — Interest rate swap agreements 15,425,513 5,264,513 (6,993,026 ) 13,697,000 14,806,049 (26,297 ) Credit default swaps 125,000 — (100,000 ) 25,000 112,912 — Swaptions, net 5,200,000 600,000 (4,000,000 ) 1,800,000 4,174,725 (28,819 ) TBAs, net 1,637,000 121,000 (2,095,000 ) (337,000 ) 189,231 12,901 Put and call options for TBAs, net 2,000,000 8,897,000 (2,000,000 ) 8,897,000 3,557,242 (1,348 ) Markit IOS total return swaps 868,145 — (280,108 ) 588,037 811,749 523 Forward purchase commitments 252,212 848,791 (464,536 ) 636,467 395,617 692 Total $ 26,390,596 $ 15,731,304 $ (15,980,530 ) $ 26,141,370 $ 24,908,389 $ (42,348 ) 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 ) Six Months Ended June 30, 2016 (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 $ 932,037 $ — $ (97,171 ) $ 834,866 $ 885,121 $ — Interest rate swap agreements 14,268,806 12,102,026 (12,673,832 ) 13,697,000 14,880,324 6,302 Credit default swaps 125,000 10,000 (110,000 ) 25,000 119,670 412 Swaptions, net 5,200,000 2,600,000 (6,000,000 ) 1,800,000 4,695,604 (30,789 ) TBAs, net 297,000 4,436,000 (5,070,000 ) (337,000 ) 171,220 31,751 Put and call options for TBAs, net — 10,897,000 (2,000,000 ) 8,897,000 1,819,830 (1,348 ) Markit IOS total return swaps 889,418 — (301,381 ) 588,037 843,242 523 Forward purchase commitments 286,120 1,232,240 (881,893 ) 636,467 326,671 1,258 Total $ 21,998,381 $ 31,277,266 $ (27,134,277 ) $ 26,141,370 $ 23,741,682 $ 8,109 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 ) ____________________ (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 loss (gain) on interest rate swaps and swaptions , unrealized loss (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 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, 2016 and December 31, 2015 , the Company had outstanding fair value of $53.1 million and $42.9 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. Additionally, the Company may use TBAs independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks associated with the Company’s investment portfolio. 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, 2016 , $1.8 billion of the Company’s long notional TBA positions and $2.2 billion of the Company’s short notional TBA positions were held in order to economically hedge portfolio risk. As of December 31, 2015 , $847.0 million of the Company’s long notional TBA positions and $550.0 million 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, 2016 and December 31, 2015 : As of June 30, 2016 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 1,835,000 $ 1,901,030 $ 1,917,627 $ 16,597 $ — Sale contracts (2,172,000 ) (2,252,889 ) (2,274,596 ) — (21,707 ) TBAs, net $ (337,000 ) $ (351,859 ) $ (356,969 ) $ 16,597 $ (21,707 ) As of December 31, 2015 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 847,000 $ 858,572 $ 859,646 $ 1,074 $ — Sale contracts (550,000 ) (568,813 ) (570,137 ) — (1,324 ) TBAs, net $ 297,000 $ 289,759 $ 289,509 $ 1,074 $ (1,324 ) ___________________ (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 . The Company may use put and call options for TBAs independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks associated with the Company’s investment portfolio. As of June 30, 2016 , the Company had purchased put options for TBAs with a notional amount of $12.2 billion and paid upfront premiums of approximately $44.6 million . The Company had also short sold call options for TBAs with a notional amount of $3.3 billion and received upfront premiums of approximately $20.4 million as of June 30, 2016 . The last of the options expires in November 2016 . The put and call options had a net fair market value of $2.0 million included in derivative assets, at fair value, and $21.6 million included in derivative liabilities, at fair value, on the condensed consolidated balance sheet as of June 30, 2016 . The Company did not hold any put and call options for TBAs as of December 31, 2015 . Interest Rate Swap Agreements . The Company may use interest rate swaps independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks associated with the Company’s investment portfolio. As of June 30, 2016 and December 31, 2015 , 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, 2016 Swaps Maturities Notional Amounts Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2018 $ 4,040,000 1.307 % 0.654 % 2.08 2020 and Thereafter 1,210,000 2.164 % 0.638 % 4.58 Total $ 5,250,000 1.504 % 0.651 % 2.66 (notional in thousands) December 31, 2015 Swaps Maturities Notional Amounts Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2018 $ 2,040,000 1.563 % 0.487 % 2.94 2020 and Thereafter 1,210,000 2.164 % 0.531 % 5.08 Total $ 3,250,000 1.787 % 0.503 % 3.74 Additionally, as of June 30, 2016 and December 31, 2015 , 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, 2016 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2018 $ 575,000 0.654 % 1.440 % 2.39 2019 500,000 0.635 % 1.042 % 2.56 2020 and Thereafter 1,989,000 0.646 % 2.070 % 6.06 Total $ 3,064,000 0.645 % 1.784 % 4.80 (notional in thousands) December 31, 2015 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2018 $ 575,000 0.329 % 1.440 % 2.89 2020 and Thereafter 2,589,000 0.453 % 2.301 % 7.00 Total $ 3,164,000 0.431 % 2.145 % 6.26 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, 2016 and December 31, 2015 , 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, 2016 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate (2) Weighted Average Maturity (Years) (2) 2016 $ 1,000,000 0.435 % 0.640 % 0.48 2017 2,375,000 0.765 % 0.638 % 1.09 2018 300,000 0.984 % 0.638 % 1.58 2019 350,000 1.283 % 0.642 % 2.94 2020 and Thereafter 1,358,000 1.919 % 0.631 % 8.11 Total $ 5,383,000 0.938 % 0.638 % 2.29 (notional in thousands) December 31, 2015 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate (2) Weighted Average Maturity (Years) (2) 2016 $ 1,700,000 0.462 % 0.481 % 0.73 2017 2,375,000 0.765 % 0.510 % 1.59 2018 800,000 0.944 % 0.384 % 2.14 2019 350,000 1.283 % 0.340 % 3.44 2020 and Thereafter 2,629,806 1.821 % 0.371 % 8.04 Total $ 7,854,806 1.094 % 0.437 % 3.71 ____________________ (1) Notional amount includes $563.0 million in forward starting interest rate swaps as of June 30, 2016 . The Company did not have any forward starting interest rate swaps as of December 31, 2015 . (2) Weighted averages exclude forward starting interest rate swaps. As of June 30, 2016 , the weighted average fixed pay rate on interest rate swaps starting in September 2016 was 2.3% . The Company did not have any forward starting interest rate swaps as of December 31, 2015 . Interest Rate Swaptions . The Company may use interest rate swaptions independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks associated with the Company’s investment portfolio. As of June 30, 2016 and December 31, 2015 , 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, 2016 (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 $ 56,758 $ — 1.97 $ 1,700,000 4.09 % 3M Libor 6.5 Payer ≥ 6 Months 43,015 366 11.88 1,800,000 3.27 % 3M Libor 5.6 Total Payer $ 99,773 $ 366 11.88 $ 3,500,000 3.67 % 3M Libor 6.0 Receiver < 6 Months $ 20,468 $ 27,362 1.93 $ 1,500,000 3M Libor 1.53 % 10.0 Total Receiver $ 20,468 $ 27,362 1.93 $ 1,500,000 3M Libor 1.53 % 10.0 Sale contracts: Payer < 6 Months $ (25,962 ) $ (10,237 ) 2.07 $ (2,400,000 ) 1.71 % 3M Libor 10.0 Payer ≥ 6 Months (81,248 ) (431 ) 12.01 (800,000 ) 3.44 % 3M Libor 10.0 Total Payer $ (107,210 ) $ (10,668 ) 2.21 $ (3,200,000 ) 2.14 % 3M Libor 10.0 December 31, 2015 (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 $ 375 $ 174 0.75 $ 2,000,000 2.23 % 3M Libor 6.3 Payer ≥ 6 Months 126,273 19,150 39.17 4,500,000 3.69 % 3M Libor 5.8 Total Payer $ 126,648 $ 19,324 38.51 $ 6,500,000 3.24 % 3M Libor 5.9 Sale contracts: Payer ≥ 6 Months $ (81,248 ) $ (6,738 ) 18.01 $ (800,000 ) 3.44 % 3M Libor 10.0 Total Payer $ (81,248 ) $ (6,738 ) 18.01 $ (800,000 ) 3.44 % 3M Libor 10.0 Receiver < 6 Months $ (100 ) $ (43 ) 0.73 $ (500,000 ) 3M Libor 1.75 % 10.0 Total Receiver $ (100 ) $ (43 ) 0.73 $ (500,000 ) 3M Libor 1.75 % 10.0 Markit IOS Total Return Swaps . The Company may use 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) independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks associated with the Company’s investment portfolio. The Company enters into total return swaps 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, 2016 and December 31, 2015 : (notional and dollars in thousands) June 30, 2016 Maturity Date Current Notional Amount Fair Value Upfront Payable Unrealized Gain (Loss) January 12, 2043 $ (275,900 ) $ (3,455 ) $ (1,818 ) $ (5,273 ) January 12, 2044 (257,720 ) (3,187 ) (2,346 ) (5,533 ) January 12, 2045 (54,417 ) (777 ) 625 (152 ) Total $ (588,037 ) $ (7,419 ) $ (3,539 ) $ (10,958 ) (notional and dollars in thousands) December 31, 2015 Maturity Date Current Notional Amount Fair Value Upfront Payable Unrealized Gain (Loss) January 12, 2043 $ (369,639 ) $ 456 $ (866 ) $ (410 ) January 12, 2044 (325,003 ) 350 (1,679 ) (1,329 ) January 12, 2045 (194,776 ) 839 1,162 2,001 Total $ (889,418 ) $ 1,645 $ (1,383 ) $ 262 Credit Risk The Company’s exposure to credit losses on its Agency RMBS portfolio is limited due to implicit or explicit backing from 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, residential mortgage loans and commercial real estate assets, 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, residential mortgage loans and commercial real estate assets. As of June 30, 2016 and December 31, 2015 , the Company held credit default swaps through which 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 through which the Company is receiving protection held as of June 30, 2016 and December 31, 2015 : (notional and dollars in thousands) June 30, 2016 Protection Maturity Date Average Implied Credit Spread Current Notional Amount Fair Value Upfront (Payable) Receivable Unrealized Gain (Loss) Receive December 20, 2016 496.00 $ (25,000 ) $ (99 ) $ (4,062 ) $ (4,161 ) Total 496.00 $ (25,000 ) $ (99 ) $ (4,062 ) $ (4,161 ) (notional and dollars in thousands) December 31, 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 ) $ (502 ) $ (260 ) $ (762 ) December 20, 2016 496.00 (25,000 ) (201 ) (4,062 ) (4,263 ) Total 183.60 $ (125,000 ) $ (703 ) $ (4,322 ) $ (5,025 ) 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, 2016 , the fair value of derivative financial instruments as an asset and liability position was $224.0 million and $160.7 million , respectively. The Company attempts to mitigate its credit risk exposure on derivative financial instruments by limiting its counterparties to banks and financial institutions that meet established credit guidelines. The Company also seeks to spread its credit risk exposure across multiple counterparties in order to reduce its 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 the 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, 2016 , the Company had received cash deposits from counterparties of $4.5 million and placed cash deposits of $269.4 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 sheets. 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 and in |
Other Assets (Notes)
Other Assets (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
Other Assets [Abstract] | |
Other Assets Disclosure [Text Block] | Other Assets Other assets as of June 30, 2016 and December 31, 2015 are summarized in the following table: (in thousands) June 30, December 31, Property and equipment at cost $ 6,460 $ 5,997 Accumulated depreciation (1) (3,946 ) (3,303 ) Net property and equipment 2,514 2,694 Prepaid expenses 986 1,572 Income taxes receivable 1,617 5,286 Deferred tax assets, net 58,466 44,318 Servicing advances 56,827 37,499 Federal Home Loan Bank stock 167,856 156,650 Equity investments 3,000 3,000 Other receivables 26,369 20,556 Total other assets $ 317,635 $ 271,575 ____________________ (1) Depreciation expense for the three and six months ended June 30, 2016 was $0.3 million and $0.7 million , respectively. |
Other Liabilities (Notes)
Other Liabilities (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
Other Liabilities [Abstract] | |
Other Liabilities Disclosure [Text Block] | Other Liabilities Other liabilities as of June 30, 2016 and December 31, 2015 are summarized in the following table: (in thousands) June 30, December 31, Accrued expenses $ 29,265 $ 37,052 Accrued interest payable 25,267 18,723 Income taxes payable — 70 Other 18,098 16,387 Total other liabilities $ 72,630 $ 72,232 |
Fair Value (Notes)
Fair Value (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
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. Available-for-sale securities . The Company holds a portfolio of AFS securities that are carried at fair value in the condensed consolidated balance sheets and primarily comprised of Agency and non-Agency RMBS. The Company determines the fair value of its 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 principally to 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 RMBS AFS securities reported at fair value as Level 2 at June 30, 2016 . AFS securities account for 74.4% of all assets reported at fair value at June 30, 2016 . 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 89.1% and 10.9% of its residential mortgage loans held-for-sale as Level 2 and Level 3 fair value assets, respectively, at June 30, 2016 . 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, 2016 . 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, 2016 . 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, 2016 . The Company may also enter 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 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, 2016 . The Company reported 100% of its TBAs as Level 1 as of June 30, 2016 . The Company did not hold any short U.S. Treasuries at June 30, 2016 . 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, 2016 , the Company had outstanding commitments to purchase $636.5 million of mortgage loans, subject to fallout if the loans do not close, with a fair value asset of $0.8 million and a fair value liability of $0.1 million . The Company classified 100% of the forward purchase commitments reported at fair value as Level 2 at June 30, 2016 . 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 principally to 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, 2016 . 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, 2016 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 13,656,610 $ — $ 13,656,610 Residential mortgage loans held-for-sale — 542,691 66,369 609,060 Residential mortgage loans held-for-investment in securitization trusts — 3,446,712 — 3,446,712 Mortgage servicing rights — — 427,813 427,813 Derivative assets 16,597 207,388 — 223,985 Total assets $ 16,597 $ 17,853,401 $ 494,182 $ 18,364,180 Liabilities Collateralized borrowings in securitization trusts $ — $ 3,111,861 $ — $ 3,111,861 Derivative liabilities 21,707 139,017 — 160,724 Total liabilities $ 21,707 $ 3,250,878 $ — $ 3,272,585 Recurring Fair Value Measurements At December 31, 2015 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 7,825,320 $ — $ 7,825,320 Residential mortgage loans held-for-sale — 764,319 47,112 811,431 Residential mortgage loans held-for-investment in securitization trusts — 3,173,727 — 3,173,727 Mortgage servicing rights — — 493,688 493,688 Derivative assets 1,074 270,435 — 271,509 Total assets $ 1,074 $ 12,033,801 $ 540,800 $ 12,575,675 Liabilities Collateralized borrowings in securitization trusts $ — $ 2,000,110 $ — $ 2,000,110 Derivative liabilities 1,324 5,961 — 7,285 Total liabilities $ 1,324 $ 2,006,071 $ — $ 2,007,395 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, 2016 , 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 and swaption agreements, put and call options for TBAs and U.S. Treasuries, constant maturity swaps, 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, 2016 June 30, 2016 (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 $ 72,297 $ 446,170 $ 47,112 $ 493,688 Gains (losses) included in net (loss) income: Realized gains (losses) 3,264 (17,461 ) 4,485 (34,542 ) Unrealized gains (losses) 1,291 (1) (59,074 ) (3) (4 ) (1) (143,433 ) (3) Total gains (losses) included in net (loss) income 4,555 (76,535 ) 4,481 (177,975 ) Other comprehensive income (loss) — — — — Purchases 53,992 56,256 125,558 106,733 Sales (35,330 ) — (55,395 ) — Settlements (29,145 ) 1,922 (55,387 ) 5,367 Gross transfers into level 3 — — — — Gross transfers out of level 3 — — — — End of period level 3 fair value $ 66,369 $ 427,813 $ 66,369 $ 427,813 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ 1,035 (2) $ (59,074 ) (4) $ 60 (2) $ (143,433 ) (4) ___________________ (1) The change in unrealized gains or losses on residential mortgage loans held-for-sale was recorded in gain (loss) on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income . (2) 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 gain (loss) on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income . (3) The change in unrealized gains or losses on MSR was recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive income . (4) The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in (loss) gain 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, 2016 . 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, 2016 : As of June 30, 2016 Valuation Technique Unobservable Input (1) Range Weighted Average Discounted cash flow Constant prepayment speed 15.4 - 22.0 % 18.3% Delinquency 2.6 - 3.0 % 2.8% Discount rate 7.9 - 9.2 % 8.5% ___________________ (1) Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of delinquency and a directionally opposite change in the assumption used for prepayment rates. Fair Value Option for Financial Assets and Financial Liabilities On July 1, 2015, the Company elected the fair value option for Agency interest-only securities and GSE credit risk transfer securities acquired on or after such date. The fair value option was elected to simplify the reporting of changes in fair value. Agency interest-only securities and GSE credit risk transfer securities are carried within AFS securities on the condensed consolidated balance sheets. The Company’s policy is to separately record interest income, net of premium amortization or including discount accretion, on these fair value elected securities. Fair value adjustments are reported in gain on investment securities on the condensed consolidated statements of comprehensive income . 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 gain (loss) 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 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, 2016 (in thousands) Interest income (expense) Gain on investment securities Gain (loss) on residential mortgage loans held-for-sale Other loss Total included in net (loss) income Change in fair value due to credit risk Assets Available-for-sale securities $ 116 $ (1,290 ) $ — $ — $ (1,174 ) N/A Residential mortgage loans held-for-sale 4,960 (1) — 7,476 — 12,436 $ (46 ) (2) Residential mortgage loans held-for-investment in securitization trusts 34,499 (1) — — 15,553 50,052 — (3) Liabilities Collateralized borrowings in securitization trusts (25,184 ) — — (26,478 ) (51,662 ) — (3) Total $ 14,391 $ (1,290 ) $ 7,476 $ (10,925 ) $ 9,652 $ (46 ) Three Months Ended June 30, 2015 (in thousands) Interest income (expense) Gain on investment securities Gain (loss) on residential mortgage loans held-for-sale Other loss Total included in net (loss) income Change in fair value due to credit risk Assets Available-for-sale securities $ — $ — $ — $ — $ — N/A 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 Six Months Ended June 30, 2016 (in thousands) Interest income (expense) Gain on investment securities Gain (loss) on residential mortgage loans held-for-sale Other loss Total included in net (loss) income Change in fair value due to credit risk Assets Available-for-sale securities $ 117 $ (1,274 ) $ — $ — $ (1,157 ) N/A Residential mortgage loans held-for-sale 12,162 (1) — 17,447 — 29,609 $ 64 (2) Residential mortgage loans held-for-investment in securitization trusts 67,270 (1) — — 39,109 106,379 — (3) Liabilities Collateralized borrowings in securitization trusts (44,543 ) — — (48,550 ) (93,093 ) — (3) Total $ 35,006 $ (1,274 ) $ 17,447 $ (9,441 ) $ 41,738 $ 64 Six Months Ended June 30, 2015 (in thousands) Interest income (expense) Gain on investment securities Gain (loss) on residential mortgage loans held-for-sale Other loss Total included in net (loss) income Change in fair value due to credit risk Assets Available-for-sale securities $ — $ — $ — $ — $ — N/A 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 ____________________ (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, 2016 December 31, 2015 (in thousands) Unpaid Principal Balance Fair Value (1) Unpaid Principal Balance Fair Value (1) Residential mortgage loans held-for-sale Total loans $ 602,854 $ 609,060 $ 812,661 $ 811,431 Nonaccrual loans $ 51,480 $ 46,106 $ 30,438 $ 25,771 Loans 90+ days past due $ 46,695 $ 41,585 $ 26,702 $ 22,470 Residential mortgage loans held-for-investment in securitization trusts Total loans $ 3,363,919 $ 3,446,712 $ 3,143,515 $ 3,173,727 Nonaccrual loans $ 860 $ 879 $ 860 $ 868 Loans 90+ days past due $ 860 $ 879 $ 860 $ 868 Collateralized borrowings in securitization trusts Total borrowings $ 3,081,328 $ 3,111,861 $ 2,023,239 $ 2,000,110 ____________________ (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, 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 Note 14 . • Commercial real estate assets are carried at cost, net of any unamortized acquisition premiums or discounts, loan fees and origination costs as applicable, unless deemed impaired. Because the Company has not yet recorded any allowances for losses and the rates and terms of the commercial real estate assets held at June 30, 2016 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 3. • 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. As of June 30, 2016 , the Company held $207.0 million of repurchase agreements and $3.3 billion of FHLB advances that are considered long-term. The Company’s long-term repurchase agreements and FHLB advances have floating rates based on an index plus a spread and, 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, 2016 and December 31, 2015 . June 30, 2016 December 31, 2015 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets Available-for-sale securities $ 13,656,610 $ 13,656,610 $ 7,825,320 $ 7,825,320 Residential mortgage loans held-for-sale $ 609,060 $ 609,060 $ 811,431 $ 811,431 Residential mortgage loans held-for-investment in securitization trusts $ 3,446,712 $ 3,446,712 $ 3,173,727 $ 3,173,727 Commercial real estate assets $ 926,377 $ 926,377 $ 660,953 $ 660,953 Mortgage servicing rights $ 427,813 $ 427,813 $ 493,688 $ 493,688 Cash and cash equivalents $ 692,188 $ 692,188 $ 737,831 $ 737,831 Restricted cash $ 363,166 $ 363,166 $ 262,562 $ 262,562 Derivative assets $ 223,985 $ 223,985 $ 271,509 $ 271,509 Federal Home Loan Bank stock $ 167,856 $ 167,856 $ 156,650 $ 156,650 Equity investments $ 3,000 $ 3,000 $ 3,000 $ 3,000 Liabilities Repurchase agreements $ 9,669,848 $ 9,669,848 $ 5,008,274 $ 5,008,274 Collateralized borrowings in securitization trusts $ 3,111,861 $ 3,111,861 $ 2,000,110 $ 2,000,110 Federal Home Loan Bank advances $ 4,000,000 $ 4,000,000 $ 3,785,000 $ 3,785,000 Derivative liabilities $ 160,724 $ 160,724 $ 7,285 $ 7,285 |
Repurchase Agreements (Notes)
Repurchase Agreements (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | Repurchase Agreements As of June 30, 2016 and December 31, 2015 , the Company had outstanding $9.7 billion and $5.0 billion , respectively, of repurchase agreements. Excluding the effect of the Company’s interest rate swaps, the repurchase agreements had a weighted average borrowing rate of 1.01% and 1.10% and weighted average remaining maturities of 75 and 35 days as of June 30, 2016 and December 31, 2015 , respectively. At June 30, 2016 and December 31, 2015 , the repurchase agreement balances were as follows: (in thousands) June 30, December 31, Short-term $ 9,462,820 $ 5,008,274 Long-term 207,028 — Total $ 9,669,848 $ 5,008,274 At June 30, 2016 and December 31, 2015 , the repurchase agreements had the following characteristics and remaining maturities: June 30, 2016 Collateral Type (in thousands) Agency RMBS Non-Agency RMBS (1) Agency Derivatives Residential Mortgage Loans Held-for-Sale Commercial Real Estate Assets Total Amount Outstanding Within 30 days $ 3,180,536 $ 536,508 $ 52,221 $ — $ 55,471 $ 3,824,736 30 to 59 days 1,320,164 181,938 53,911 — — 1,556,013 60 to 89 days 1,452,639 76,908 3,844 — — 1,533,391 90 to 119 days 857,556 195,449 — 22,153 — 1,075,158 120 to 364 days 1,151,333 322,189 — — — 1,473,522 One year and over — — — — 207,028 207,028 Total $ 7,962,228 $ 1,312,992 $ 109,976 $ 22,153 $ 262,499 $ 9,669,848 Weighted average borrowing rate 0.72 % 2.31 % 1.51 % 2.72 % 2.88 % 1.01 % December 31, 2015 Collateral Type (in thousands) Agency RMBS Non-Agency RMBS (1) Agency Derivatives Residential Mortgage Loans Held-for-Sale Commercial Real Estate Assets Total Amount Outstanding Within 30 days $ 1,719,292 $ 852,436 $ 58,286 $ — $ 59,349 $ 2,689,363 30 to 59 days 1,407,353 271,819 60,065 — — 1,739,237 60 to 89 days 143,051 15,691 2,707 — — 161,449 90 to 119 days 68,014 106,007 1,465 — — 175,486 120 to 364 days — 234,229 — 8,510 — 242,739 Total $ 3,337,710 $ 1,480,182 $ 122,523 $ 8,510 $ 59,349 $ 5,008,274 Weighted average borrowing rate 0.65 % 2.03 % 1.18 % 2.87 % 2.62 % 1.10 % ____________________ (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. 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 $ 10,061,919 $ 5,354,104 Residential mortgage loans held-for-sale, at fair value 24,297 9,543 Commercial real estate assets 374,904 108,958 Net economic interests in consolidated securitization trusts (1) 227,820 274,949 Cash and cash equivalents 12,624 15,000 Restricted cash 64,241 119,310 Due from counterparties 9,362 10,211 Derivative assets, at fair value 152,017 157,879 Total $ 10,927,184 $ 6,049,954 ____________________ (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, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 (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 $ 977,474 $ 227,645 7 % 65.7 $ 799,527 $ 217,677 6 % 31.5 All other counterparties (2) 8,692,374 1,025,206 30 % 75.7 4,208,747 818,108 23 % 36.2 Total $ 9,669,848 $ 1,252,851 $ 5,008,274 $ 1,035,785 ____________________ (1) Represents the net carrying value of the securities, residential mortgage loans held-for-sale and commercial real estate assets 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 of $1.2 billion as of June 30, 2016 are not included in the amounts presented above. The Company did not have any such payables as of December 31, 2015 . (2) Represents amounts outstanding with 22 and 20 counterparties at June 30, 2016 and December 31, 2015 , 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, 2016 | |
Collateralized Borrowings in Securitization Trusts [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, 2016 and December 31, 2015 , collateralized borrowings in securitization trusts had a carrying value of $3.1 billion and $2.0 billion with a weighted average interest rate of 3.4% and 3.6% , respectively. The stated maturity dates for all collateralized borrowings were more than five years from both June 30, 2016 and December 31, 2015 . |
Federal Home Loan Bank Advances
Federal Home Loan Bank Advances (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
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 of 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, 2016 and December 31, 2015 , TH Insurance had $4.0 billion and $3.8 billion in outstanding secured advances with a weighted average borrowing rate of 0.63% and 0.58% , respectively, and had no additional uncommitted capacity to borrow as of June 30, 2016 . As of December 31, 2015 , TH Insurance had an additional $215.0 million of available uncommitted capacity for borrowings. 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. On January 11, 2016, the Federal Housing Finance Agency, or FHFA, released a final rule regarding membership in the Federal Home Loan Bank system. Among other effects, the final rule excludes captive insurers from membership eligibility, including the Company’s subsidiary member, TH Insurance. Since TH Insurance was admitted as a member in 2013, it is eligible for a five-year membership grace period, during which new advances or renewals that mature beyond the grace period will be prohibited; however, any existing advances that mature beyond this grace period will be permitted to remain in place subject to their terms insofar as the Company maintains good standing with the FHLB. If any new advances or renewals occur, TH Insurance’s outstanding advances will be limited to 40% of its total assets. At June 30, 2016 and December 31, 2015 , FHLB advances had the following remaining maturities: (in thousands) June 30, December 31, ≤ 1 year $ 651,238 $ — > 1 and ≤ 3 years 815,024 651,238 > 3 and ≤ 5 years — 815,024 > 5 and ≤ 10 years — — > 10 years 2,533,738 2,318,738 Total $ 4,000,000 $ 3,785,000 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 $ 3,391,613 $ 2,412,970 Residential mortgage loans held-for-sale, at fair value 519,482 735,911 Commercial real estate assets 424,464 252,172 Net economic interests in consolidated securitization trusts (1) 74,850 863,363 Total $ 4,410,409 $ 4,264,416 ____________________ (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, 2016 and December 31, 2015 , the Company had stock in the FHLB totaling $167.9 million and $156.7 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, 2016 and December 31, 2015 , the Company had not recognized an impairment charge related to its FHLB stock. |
Stockholders' Equity (Notes)
Stockholders' Equity (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 , and the four immediately preceding quarters: Declaration Date Record Date Payment Date Cash Dividend Per Share June 16, 2016 June 30, 2016 July 20, 2016 $ 0.23 March 15, 2016 March 31, 2016 April 21, 2016 $ 0.23 December 16, 2015 December 30, 2015 January 20, 2016 $ 0.26 September 16, 2015 September 30, 2015 October 22, 2015 $ 0.26 June 17, 2015 June 30, 2015 July 21, 2015 $ 0.26 Accumulated Other Comprehensive Income Accumulated other comprehensive income at June 30, 2016 and December 31, 2015 was as follows: (in thousands) June 30, December 31, Available-for-sale securities Unrealized gains $ 533,482 $ 405,177 Unrealized losses (13,785 ) (46,116 ) Accumulated other comprehensive income $ 519,697 $ 359,061 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, 2016 and 2015 : Affected Line Item in the Condensed Consolidated Statements of Comprehensive Income Amount Reclassified out of Accumulated Other Comprehensive Income (in thousands) Three Months Ended Six Months Ended 2016 2015 2016 2015 Other-than-temporary impairments on AFS securities Total other-than-temporary impairment losses $ 90 $ 170 $ 807 $ 297 Realized gains on sales of certain AFS securities, net of tax Gain on investment securities (5,130 ) (75,135 ) (24,256 ) (175,071 ) Total $ (5,040 ) $ (74,965 ) $ (23,449 ) $ (174,774 ) 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 limitations 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, 2016 , 312,435 shares have been issued under the plan for total proceeds of approximately $3.2 million , of which 14,495 and 29,143 shares were issued for total proceeds of $0.1 million and $0.2 million during the three and six months ended June 30, 2016 , respectively. During the three and six months ended June 30, 2015 , 16,772 and 36,184 shares were issued for total proceeds of $0.2 million and $0.4 million , respectively. Share Repurchase Program As of December 31, 2015 , the Company’s share repurchase program allowed the Company to repurchase up to 25,000,000 shares of its common stock. During the six months ended June 30, 2016 , the Company’s board of directors authorized an increase of 50,000,000 shares, for up to a total of 75,000,000 shares authorized under the program. 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 are 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. The share repurchase program does not have an expiration date. As of June 30, 2016 , a total of 24,135,000 shares had been repurchased by the Company under the program for an aggregate cost of $200.4 million ; of these, 8,020,000 shares were repurchased for a total cost of $61.3 million during the six months ended June 30, 2016 , respectively. No shares were repurchased during the three months ended June 30, 2016 , or the three and six months ended June 30, 2015 . 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, 2016 , 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, 2016 and 2015 . |
Equity Incentive Plan (Notes)
Equity Incentive Plan (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
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, to a total of 13,000,000 shares. During the three months ended June 30, 2016 and 2015 , the Company granted 68,612 and 45,109 shares of common stock, respectively, to its independent directors pursuant to the Plan. The estimated fair value of these awards was $8.43 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, during the six months ended June 30, 2016 and 2015 , the Company granted 1,677,998 and 1,115,574 shares of restricted common stock, respectively, to key employees of PRCM Advisers pursuant to the terms of the Plan and the associated award agreements. The estimated fair value of these awards was $7.33 and $10.49 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, 2016 was $8.56 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, 2016 and 2015 : Six Months Ended June 30, 2016 2015 (in thousands) Shares Weighted Average Grant Date Fair Market Value Shares Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 2,290,609 $ 10.36 2,002,406 $ 10.32 Granted 1,746,610 7.37 1,160,683 10.49 Vested (1,095,888 ) (10.35 ) (720,712 ) (10.46 ) Forfeited (41,175 ) (8.77 ) (55,474 ) (10.19 ) Outstanding at End of Period 2,900,156 $ 8.59 2,386,903 $ 10.36 For the three and six months ended June 30, 2016 , the Company recognized compensation costs related to restricted common stock of $4.9 million and $7.8 million , respectively. 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. |
Income Taxes (Notes)
Income Taxes (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
Income Tax Disclosure [Abstract] | |
Income Tax Disclosure [Text Block] | Income Taxes For the three and six months ended June 30, 2016 and 2015 , 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, 2016 , the Company’s TRSs recognized a benefit from income taxes of $14.8 million and $9.3 million , respectively, which was primarily due to losses incurred on MSR and derivative instruments held in the Company’s TRSs. 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. 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, 2016 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share The following table presents a reconciliation of the (loss) earnings and shares used in calculating basic and diluted (loss) earnings per share for the three and six months ended June 30, 2016 and 2015 : Three Months Ended Six Months Ended June 30, June 30, (in thousands, except share data) 2016 2015 2016 2015 Numerator: Net (loss) income $ (16,981 ) $ 221,501 $ (105,911 ) $ 316,294 Denominator: Weighted average common shares outstanding 344,336,995 364,919,352 345,267,094 364,775,066 Weighted average restricted stock shares 3,260,960 2,154,779 3,249,891 2,017,393 Basic and diluted weighted average shares outstanding 347,597,955 367,074,131 348,516,985 366,792,459 Basic and Diluted (Loss) Earnings Per Share $ (0.05 ) $ 0.60 $ (0.30 ) $ 0.86 |
Related Party Transactions (Not
Related Party Transactions (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
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 its management agreement with PRCM Advisers, the Company incurred $11.8 million and $23.9 million as a management fee to PRCM Advisers for the three and six months ended June 30, 2016 , respectively, and $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, 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 (loss) income , 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 $6.0 million and $12.8 million for the three and six months ended June 30, 2016 , respectively, and $5.4 million and $10.1 million for the three and six months ended June 30, 2015 , respectively. The Company has 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 $4.9 million and $7.8 million of compensation expense during the three and six months ended June 30, 2016 , respectively, and $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 issued to employees of PRCM Advisers and the Company’s independent directors pursuant to the Plan. See Note 19 - Equity Incentive Plan for additional information. |
Subsequent Events (Notes)
Subsequent Events (Notes) | 6 Months Ended |
Jun. 30, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | Subsequent Events On July 28, 2016, the Company announced that its board of directors had approved a plan to discontinue the Company’s mortgage loan conduit and securitization business. This decision was made due to the challenging market environment facing the business, combined with the intent to reduce operating complexity and costs, and will allow for the reallocation of capital to more attractive and efficient target assets. The wind down process is expected to be substantially completed by the end of 2016. Events subsequent to June 30, 2016 , 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 Sig30
Basis of Presentation and Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2015 . In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at June 30, 2016 and results of operations for all periods presented have been made. The results of operations for the three and six months ended June 30, 2016 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. The Company’s Chief Investment Officer manages the investment portfolio as a whole and resources are allocated and financial performance is assessed on a consolidated basis. 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. Whenever the Company has both the power to direct the activities of a 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. |
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, 2016 and December 31, 2015 : June 30, 2016 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 $ 366,681 $ (142,696 ) $ 223,985 $ (160,724 ) $ — $ 63,261 Total Assets $ 366,681 $ (142,696 ) $ 223,985 $ (160,724 ) $ — $ 63,261 Liabilities Repurchase agreements $ (9,669,848 ) $ — $ (9,669,848 ) $ 9,669,848 $ — $ — Derivative liabilities (303,420 ) 142,696 (160,724 ) 160,724 — — Total Liabilities $ (9,973,268 ) $ 142,696 $ (9,830,572 ) $ 9,830,572 $ — $ — December 31, 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 $ 325,755 $ (54,246 ) $ 271,509 $ (7,285 ) $ — $ 264,224 Total Assets $ 325,755 $ (54,246 ) $ 271,509 $ (7,285 ) $ — $ 264,224 Liabilities Repurchase agreements $ (5,008,274 ) $ — $ (5,008,274 ) $ 5,008,274 $ — $ — Derivative liabilities (61,531 ) 54,246 (7,285 ) 7,285 — — Total Liabilities $ (5,069,805 ) $ 54,246 $ (5,015,559 ) $ 5,015,559 $ — $ — ____________________ (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 Sig31
Basis of Presentation and Significant Accounting Policies Offsetting Assets and Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 and December 31, 2015 : June 30, 2016 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 $ 366,681 $ (142,696 ) $ 223,985 $ (160,724 ) $ — $ 63,261 Total Assets $ 366,681 $ (142,696 ) $ 223,985 $ (160,724 ) $ — $ 63,261 Liabilities Repurchase agreements $ (9,669,848 ) $ — $ (9,669,848 ) $ 9,669,848 $ — $ — Derivative liabilities (303,420 ) 142,696 (160,724 ) 160,724 — — Total Liabilities $ (9,973,268 ) $ 142,696 $ (9,830,572 ) $ 9,830,572 $ — $ — December 31, 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 $ 325,755 $ (54,246 ) $ 271,509 $ (7,285 ) $ — $ 264,224 Total Assets $ 325,755 $ (54,246 ) $ 271,509 $ (7,285 ) $ — $ 264,224 Liabilities Repurchase agreements $ (5,008,274 ) $ — $ (5,008,274 ) $ 5,008,274 $ — $ — Derivative liabilities (61,531 ) 54,246 (7,285 ) 7,285 — — Total Liabilities $ (5,069,805 ) $ 54,246 $ (5,015,559 ) $ 5,015,559 $ — $ — ____________________ (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, 2016 | |
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 as of June 30, 2016 and December 31, 2015 : (in thousands) June 30, December 31, Residential mortgage loans held-for-investment in securitization trusts $ 3,446,712 $ 3,173,727 Commercial real estate assets 45,790 45,698 Accrued interest receivable 19,599 18,493 Total Assets $ 3,512,101 $ 3,237,918 Collateralized borrowings in securitization trusts $ 3,111,861 $ 2,000,110 Accrued interest payable 8,791 5,943 Other liabilities 12,234 11,624 Total Liabilities $ 3,132,886 $ 2,017,677 |
Available-for-Sale Securities33
Available-for-Sale Securities, at Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 and December 31, 2015 : (in thousands) June 30, December 31, Agency Federal Home Loan Mortgage Corporation $ 1,537,138 $ 1,678,814 Federal National Mortgage Association 10,224,338 3,602,348 Government National Mortgage Association 247,893 691,728 Non-Agency 1,647,241 1,852,430 Total available-for-sale securities $ 13,656,610 $ 7,825,320 |
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, 2016 and December 31, 2015 : June 30, 2016 (in thousands) Agency Non-Agency Total Face Value $ 13,919,683 $ 2,416,199 $ 16,335,882 Unamortized premium 567,877 — 567,877 Unamortized discount Designated credit reserve — (335,861 ) (335,861 ) Net, unamortized (2,686,818 ) (741,105 ) (3,427,923 ) Amortized Cost 11,800,742 1,339,233 13,139,975 Gross unrealized gains 234,394 315,891 550,285 Gross unrealized losses (25,767 ) (7,883 ) (33,650 ) Carrying Value $ 12,009,369 $ 1,647,241 $ 13,656,610 December 31, 2015 (in thousands) Agency Non-Agency Total Face Value $ 8,257,030 $ 2,655,381 $ 10,912,411 Unamortized premium 394,787 — 394,787 Unamortized discount Designated credit reserve — (409,077 ) (409,077 ) Net, unamortized (2,721,979 ) (707,021 ) (3,429,000 ) Amortized Cost 5,929,838 1,539,283 7,469,121 Gross unrealized gains 98,389 329,206 427,595 Gross unrealized losses (55,337 ) (16,059 ) (71,396 ) Carrying Value $ 5,972,890 $ 1,852,430 $ 7,825,320 |
Available-for-sale Securities Classified by Rate Type [Table Text Block] | The following tables present the carrying value of the Company’s AFS securities by rate type as of June 30, 2016 and December 31, 2015 : June 30, 2016 (in thousands) Agency Non-Agency Total Adjustable Rate $ 35,375 $ 1,415,979 $ 1,451,354 Fixed Rate 11,973,994 231,262 12,205,256 Total $ 12,009,369 $ 1,647,241 $ 13,656,610 December 31, 2015 (in thousands) Agency Non-Agency Total Adjustable Rate $ 108,596 $ 1,673,038 $ 1,781,634 Fixed Rate 5,864,294 179,392 6,043,686 Total $ 5,972,890 $ 1,852,430 $ 7,825,320 |
Available-for-sale Securities, Weighted Average Life Classifications [Table Text Block] | The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of June 30, 2016 : June 30, 2016 (in thousands) Agency Non-Agency Total ≤ 1 year $ 2,337 $ 91,698 $ 94,035 > 1 and ≤ 3 years 104,436 193,444 297,880 > 3 and ≤ 5 years 8,769,579 139,527 8,909,106 > 5 and ≤ 10 years 3,131,270 852,245 3,983,515 > 10 years 1,747 370,327 372,074 Total $ 12,009,369 $ 1,647,241 $ 13,656,610 |
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, 2016 and 2015 , of the unamortized net discount and designated credit reserves on non-Agency AFS securities. Six Months Ended June 30, 2016 2015 (in thousands) Designated Credit Reserve Unamortized Net Discount Total Designated Credit Reserve Unamortized Net Discount Total Beginning balance at January 1 $ (409,077 ) $ (707,021 ) $ (1,116,098 ) $ (927,605 ) $ (967,368 ) $ (1,894,973 ) Acquisitions (16,217 ) (74,039 ) (90,256 ) (1,284 ) (3,283 ) (4,567 ) Accretion of net discount — 32,287 32,287 — 52,759 52,759 Realized credit losses (2,371 ) — (2,371 ) 8,470 — 8,470 Reclassification adjustment for other-than-temporary impairments (211 ) — (211 ) 1,619 — 1,619 Transfers from (to) 59,453 (59,453 ) — 58,716 (58,716 ) — Sales, calls, other 32,562 67,121 99,683 202,458 156,584 359,042 Ending balance at June 30 $ (335,861 ) $ (741,105 ) $ (1,076,966 ) $ (657,626 ) $ (820,024 ) $ (1,477,650 ) |
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, 2016 and December 31, 2015 . At June 30, 2016 , the Company held 1,183 AFS securities, of which 61 were in an unrealized loss position for less than twelve consecutive months and 129 were in an unrealized loss position for more than twelve consecutive months. At December 31, 2015 , the Company held 1,181 AFS securities, of which 121 were in an unrealized loss position for less than twelve consecutive months and 182 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, 2016 $ 454,416 $ (9,266 ) $ 632,865 $ (24,384 ) $ 1,087,281 $ (33,650 ) December 31, 2015 $ 1,503,939 $ (26,984 ) $ 1,141,839 $ (44,412 ) $ 2,645,778 $ (71,396 ) |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | The following table presents the changes in OTTI included in earnings for the three and six months ended June 30, 2016 and 2015 : Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2016 2015 2016 2015 Cumulative credit loss at beginning of period $ (6,620 ) $ (6,452 ) $ (6,499 ) $ (8,241 ) Additions: Other-than-temporary impairments not previously recognized — — (292 ) — Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments (90 ) (170 ) (515 ) (297 ) Reductions: Decreases related to other-than-temporary impairments on securities paid down — — — — Decreases related to other-than-temporary impairments on securities sold — — 596 1,916 Cumulative credit loss at end of period $ (6,710 ) $ (6,622 ) $ (6,710 ) $ (6,622 ) |
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, 2016 and 2015 : Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2016 2015 2016 2015 Gross realized gains $ 10,700 $ 76,199 $ 45,894 $ 193,887 Gross realized losses (830 ) (336 ) (14,323 ) (556 ) Total realized gains on sales, net $ 9,870 $ 75,863 $ 31,571 $ 193,331 |
Residential Mortgage Loans He34
Residential Mortgage Loans Held-for-Sale, at Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 and December 31, 2015 : (in thousands) June 30, December 31, Unpaid principal balance $ 602,854 $ 812,661 Fair value adjustment 6,206 (1,230 ) Carrying value $ 609,060 $ 811,431 |
Residential Mortgage Loans He35
Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Residential Mortgage Loans Held-for-Investment [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, 2016 and December 31, 2015 : (in thousands) June 30, December 31, Unpaid principal balance $ 3,363,919 $ 3,143,515 Fair value adjustment 82,793 30,212 Carrying value $ 3,446,712 $ 3,173,727 |
Commercial Real Estate Assets (
Commercial Real Estate Assets (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Commercial Real Estate Assets [Abstract] | |
Schedule of Commercial Real Estate Assets Reconciliation [Table Text Block] | The following tables summarize the Company’s commercial real estate assets by asset type, property type and geographic location as of June 30, 2016 and December 31, 2015 : June 30, December 31, (in thousands) Mezzanine Loans First Mortgages Total Mezzanine Loans First Mortgages Total Unpaid principal balance $ 139,922 $ 793,683 $ 933,605 $ 153,913 $ 513,433 $ 667,346 Unamortized (discount) premium (101 ) (194 ) (295 ) (237 ) — (237 ) Unamortized net deferred origination fees (516 ) (6,417 ) (6,933 ) (830 ) (5,326 ) (6,156 ) Carrying value $ 139,305 $ 787,072 $ 926,377 $ 152,846 $ 508,107 $ 660,953 Unfunded commitments $ 1,900 $ 60,587 $ 62,487 $ 1,900 $ 50,334 $ 52,234 Number of loans 6 18 24 6 12 18 Weighted average coupon 8.3 % 4.7 % 5.3 % 8.1 % 4.5 % 5.4 % Weighted average years to maturity (1) 2.0 3.2 3.0 2.6 3.3 3.1 ____________________ (1) Based on contractual maturity date. Certain loans are subject to contractual extension options which may be subject to conditions as stipulated in the loan agreement. Actual maturities may differ from contractual maturities stated herein as certain borrowers may have the right to prepay with or without paying a prepayment penalty. The Company may also extend contractual maturities in connection with loan modifications. |
Schedule of Commercial Real Estate Assets by Property Type [Table Text Block] | (in thousands) June 30, December 31, Property Type Carrying Value % of Commercial Portfolio Carrying Value % of Commercial Portfolio Retail $ 236,457 25.5 % $ 185,883 28.1 % Hotel 82,236 8.9 % 80,843 12.2 % Industrial 80,971 8.7 % — — % Multifamily 182,156 19.7 % 139,011 21.1 % Office 344,557 37.2 % 255,216 38.6 % Total $ 926,377 100.0 % $ 660,953 100.0 % |
Schedule of Commercial Real Estate Assets by Geographic Location [Table Text Block] | (in thousands) June 30, December 31, Geographic Location Carrying Value % of Commercial Portfolio Carrying Value % of Commercial Portfolio West $ 180,644 19.5 % $ 131,488 19.9 % Southeast 81,353 8.8 % 79,118 12.0 % Southwest 202,134 21.8 % 161,721 24.4 % Northeast 396,728 42.8 % 238,913 36.2 % Midwest 65,518 7.1 % 49,713 7.5 % Total $ 926,377 100.0 % $ 660,953 100.0 % |
Rollforward of Commercial Real Estate Loans Held-for-Investment [Table Text Block] | The following table summarizes activity related to commercial real estate assets for the three and six months ended June 30, 2016 and 2015 . Three Months Ended Six Months Ended (in thousands) 2016 2015 2016 2015 Balance at beginning of period $ 744,259 $ 45,556 $ 660,953 $ — Originations and purchases 193,181 — 280,447 45,556 Repayments (9,856 ) — (14,387 ) — Net discount accretion (premium amortization) 67 49 140 49 (Increase) decrease in net deferred origination fees (2,899 ) — (4,009 ) — Amortization of net deferred origination fees 1,625 — 3,233 — Allowance for loan losses — — — — Balance at end of period $ 926,377 $ 45,605 $ 926,377 $ 45,605 |
Schedule of Commercial Real Estate Loans Held-for-Investment by Internal Risk Rating [Table Text Block] | The following table presents the number of loans, unpaid principal balance and carrying value (amortized cost) by risk rating for commercial real estate assets as of June 30, 2016 and December 31, 2015 : (dollars in thousands) June 30, December 31, Risk Rating Number of Loans Unpaid Principal Balance Carrying Value Number of Loans Unpaid Principal Balance Carrying Value 1 – 3 24 $ 933,605 $ 926,377 18 $ 667,346 $ 660,953 4 – 5 — — — — — — Total 24 $ 933,605 $ 926,377 18 $ 667,346 $ 660,953 |
Servicing Activities (Tables)
Servicing Activities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 and 2015 . Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2016 2015 2016 2015 Balance at beginning of period $ 446,170 $ 410,229 $ 493,688 $ 452,006 Additions from purchases of servicing rights 55,938 4,210 106,211 8,534 Additions from sales of residential mortgage loans 318 589 522 816 Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model (59,074 ) 24,045 (143,433 ) (14,124 ) Other changes in fair value (1) (17,461 ) (6,410 ) (34,542 ) (20,644 ) Other changes (2) 1,922 4,913 5,367 10,988 Balance at end of period $ 427,813 $ 437,576 $ 427,813 $ 437,576 ____________________ (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, 2016 and December 31, 2015 , 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: 18.3 % 11.8 % Impact on fair value of 10% adverse change $ (27,123 ) $ (20,093 ) Impact on fair value of 20% adverse change $ (51,359 ) $ (38,656 ) Weighted average delinquency: 2.8 % 4.0 % Impact on fair value of 10% adverse change $ (3,123 ) $ (3,826 ) Impact on fair value of 20% adverse change $ (6,246 ) $ (6,640 ) Weighted average discount rate: 8.5 % 10.1 % Impact on fair value of 10% adverse change $ (9,861 ) $ (16,316 ) Impact on fair value of 20% adverse change $ (19,145 ) $ (31,522 ) |
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, 2016 and 2015 : Three Months Ended Six Months Ended June 30, June 30, (in thousands) 2016 2015 2016 2015 Servicing fee income $ 34,431 $ 29,586 $ 67,540 $ 60,823 Ancillary fee income 488 551 973 1,115 Float income 897 379 1,436 665 Total $ 35,816 $ 30,516 $ 69,949 $ 62,603 |
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, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 (dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance Residential mortgage loans held-for-sale 1,226 $ 602,854 1,415 $ 812,661 Residential mortgage loans held-for-investment in securitization trusts 4,684 3,318,888 4,329 3,117,219 Mortgage servicing rights 271,122 55,622,035 241,228 48,566,301 Total serviced mortgage assets 277,032 $ 59,543,777 246,972 $ 52,496,181 |
Restricted Cash (Tables)
Restricted Cash (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 and December 31, 2015 : (in thousands) June 30, December 31, Restricted cash balances held by trading counterparties: For securities and loan trading activity $ 30,800 $ 12,550 For derivatives trading activity 267,778 130,355 As restricted collateral for repurchase agreements and Federal Home Loan Bank advances 64,241 119,310 Total restricted cash balances held by trading counterparties 362,819 262,215 Restricted cash balance pursuant to letter of credit on office lease 347 347 Total $ 363,166 $ 262,562 |
Accrued Interest Receivable (Ta
Accrued Interest Receivable (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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 as of June 30, 2016 and December 31, 2015 : (in thousands) June 30, December 31, Available-for-sale securities: Agency Federal Home Loan Mortgage Corporation $ 5,696 $ 6,235 Federal National Mortgage Association 28,587 12,407 Government National Mortgage Association 3,114 4,910 Non-Agency 2,179 2,339 Total available-for-sale securities 39,576 25,891 Residential mortgage loans held-for-sale 2,724 4,173 Residential mortgage loans held-for-investment in securitization trusts 19,453 18,339 Commercial real estate assets 2,162 1,567 Total $ 63,915 $ 49,970 |
Derivative Instruments and He40
Derivative Instruments and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 and December 31, 2015 . (in thousands) June 30, 2016 Derivative Assets Derivative Liabilities Trading instruments Fair Value Notional Fair Value Notional Inverse interest-only securities $ 153,512 $ 834,866 $ — $ — Interest rate swap agreements 23,465 8,314,000 (99,366 ) 5,383,000 Credit default swaps — — (99 ) 25,000 Swaptions, net 27,559 2,600,000 (10,499 ) 800,000 TBAs 16,597 1,835,000 (21,707 ) 2,172,000 Put and call options for TBAs, net 2,042 2,835,000 (21,564 ) 6,062,000 Markit IOS total return swaps — — (7,419 ) 588,037 Forward purchase commitments 810 521,240 (70 ) 115,227 Total $ 223,985 $ 16,940,106 $ (160,724 ) $ 15,145,264 (in thousands) December 31, 2015 Derivative Assets Derivative Liabilities Trading instruments Fair Value Notional Fair Value Notional Inverse interest-only securities $ 159,582 $ 932,037 $ — $ — Interest rate swap agreements 91,757 14,268,806 — — Credit default swaps — — (703 ) 125,000 Swaptions, net 17,374 4,700,000 (4,831 ) 500,000 TBAs 1,074 847,000 (1,324 ) 550,000 Markit IOS total return swaps 1,645 889,418 — — Forward purchase commitments 77 98,736 (427 ) 187,384 Total $ 271,509 $ 21,735,997 $ (7,285 ) $ 1,362,384 |
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: Trading Instruments Location of Gain (Loss) Recognized in Income on Derivatives Amount of Gain (Loss) Recognized in Income on Derivatives (in thousands) Three Months Ended Six Months Ended 2016 2015 2016 2015 Interest rate risk management TBAs (1) Loss on other derivative instruments $ 1,562 $ 5,262 $ 26,891 $ (22,696 ) Short U.S. Treasuries (1) Loss on other derivative instruments — 125 — 125 Put and call options for TBAs (1) Loss on other derivative instruments (44,052 ) 5,671 (45,033 ) 8,206 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 — 6,164 Interest rate swap agreements - Receivers (1) (Loss) gain on interest rate swap and swaption agreements 37,172 (42,470 ) 149,846 (144 ) Interest rate swap agreements - Payers (1) (Loss) gain on interest rate swap and swaption agreements (30,932 ) 20,713 (112,016 ) (31,846 ) Swaptions (1) (Loss) gain on interest rate swap and swaption agreements 22,252 19,752 5,997 1,246 Markit IOS total return swaps (1) Loss on other derivative instruments (13,267 ) (20,658 ) (34,991 ) (17,526 ) Interest rate swap agreements - Payers (2) (Loss) gain on interest rate swap and swaption agreements (41,200 ) 46,957 (182,019 ) (50,747 ) Credit risk management Credit default swaps - Receive protection (3) Loss on other derivative instruments (27 ) (30 ) 382 (123 ) Non-risk management Inverse interest-only securities Loss on other derivative instruments 7,733 4,909 20,715 24,170 Forward purchase commitments Gain (loss) on residential mortgage loans held-for-sale 950 (5,130 ) 2,348 (4,160 ) Total $ (59,809 ) $ 34,338 $ (167,880 ) $ (88,168 ) ____________________ (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, 2016 and 2015 : Three Months Ended June 30, 2016 (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 $ 882,726 $ — $ (47,860 ) $ 834,866 $ 860,864 $ — Interest rate swap agreements 15,425,513 5,264,513 (6,993,026 ) 13,697,000 14,806,049 (26,297 ) Credit default swaps 125,000 — (100,000 ) 25,000 112,912 — Swaptions, net 5,200,000 600,000 (4,000,000 ) 1,800,000 4,174,725 (28,819 ) TBAs, net 1,637,000 121,000 (2,095,000 ) (337,000 ) 189,231 12,901 Put and call options for TBAs, net 2,000,000 8,897,000 (2,000,000 ) 8,897,000 3,557,242 (1,348 ) Markit IOS total return swaps 868,145 — (280,108 ) 588,037 811,749 523 Forward purchase commitments 252,212 848,791 (464,536 ) 636,467 395,617 692 Total $ 26,390,596 $ 15,731,304 $ (15,980,530 ) $ 26,141,370 $ 24,908,389 $ (42,348 ) 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 ) Six Months Ended June 30, 2016 (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 $ 932,037 $ — $ (97,171 ) $ 834,866 $ 885,121 $ — Interest rate swap agreements 14,268,806 12,102,026 (12,673,832 ) 13,697,000 14,880,324 6,302 Credit default swaps 125,000 10,000 (110,000 ) 25,000 119,670 412 Swaptions, net 5,200,000 2,600,000 (6,000,000 ) 1,800,000 4,695,604 (30,789 ) TBAs, net 297,000 4,436,000 (5,070,000 ) (337,000 ) 171,220 31,751 Put and call options for TBAs, net — 10,897,000 (2,000,000 ) 8,897,000 1,819,830 (1,348 ) Markit IOS total return swaps 889,418 — (301,381 ) 588,037 843,242 523 Forward purchase commitments 286,120 1,232,240 (881,893 ) 636,467 326,671 1,258 Total $ 21,998,381 $ 31,277,266 $ (27,134,277 ) $ 26,141,370 $ 23,741,682 $ 8,109 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 ) ____________________ (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, 2016 and December 31, 2015 : As of June 30, 2016 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 1,835,000 $ 1,901,030 $ 1,917,627 $ 16,597 $ — Sale contracts (2,172,000 ) (2,252,889 ) (2,274,596 ) — (21,707 ) TBAs, net $ (337,000 ) $ (351,859 ) $ (356,969 ) $ 16,597 $ (21,707 ) As of December 31, 2015 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 847,000 $ 858,572 $ 859,646 $ 1,074 $ — Sale contracts (550,000 ) (568,813 ) (570,137 ) — (1,324 ) TBAs, net $ 297,000 $ 289,759 $ 289,509 $ 1,074 $ (1,324 ) ___________________ (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 Interest Rate Swap Payers Associated with the Investment Portfolio [Table Text Block] | As of June 30, 2016 and December 31, 2015 , 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, 2016 Swaps Maturities Notional Amounts Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2018 $ 4,040,000 1.307 % 0.654 % 2.08 2020 and Thereafter 1,210,000 2.164 % 0.638 % 4.58 Total $ 5,250,000 1.504 % 0.651 % 2.66 (notional in thousands) December 31, 2015 Swaps Maturities Notional Amounts Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2018 $ 2,040,000 1.563 % 0.487 % 2.94 2020 and Thereafter 1,210,000 2.164 % 0.531 % 5.08 Total $ 3,250,000 1.787 % 0.503 % 3.74 |
Schedule of Interest Rate Swap Receivers Associated with the Investment Portfolio [Table Text Block] | Additionally, as of June 30, 2016 and December 31, 2015 , 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, 2016 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2018 $ 575,000 0.654 % 1.440 % 2.39 2019 500,000 0.635 % 1.042 % 2.56 2020 and Thereafter 1,989,000 0.646 % 2.070 % 6.06 Total $ 3,064,000 0.645 % 1.784 % 4.80 (notional in thousands) December 31, 2015 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2018 $ 575,000 0.329 % 1.440 % 2.89 2020 and Thereafter 2,589,000 0.453 % 2.301 % 7.00 Total $ 3,164,000 0.431 % 2.145 % 6.26 |
Schedule of Interest Rate Swaps Associated with Borrowings [Table Text Block] | As of June 30, 2016 and December 31, 2015 , 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, 2016 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate (2) Weighted Average Maturity (Years) (2) 2016 $ 1,000,000 0.435 % 0.640 % 0.48 2017 2,375,000 0.765 % 0.638 % 1.09 2018 300,000 0.984 % 0.638 % 1.58 2019 350,000 1.283 % 0.642 % 2.94 2020 and Thereafter 1,358,000 1.919 % 0.631 % 8.11 Total $ 5,383,000 0.938 % 0.638 % 2.29 (notional in thousands) December 31, 2015 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate (2) Weighted Average Maturity (Years) (2) 2016 $ 1,700,000 0.462 % 0.481 % 0.73 2017 2,375,000 0.765 % 0.510 % 1.59 2018 800,000 0.944 % 0.384 % 2.14 2019 350,000 1.283 % 0.340 % 3.44 2020 and Thereafter 2,629,806 1.821 % 0.371 % 8.04 Total $ 7,854,806 1.094 % 0.437 % 3.71 |
Schedule of Interest Rate Swaptions [Table Text Block] | As of June 30, 2016 and December 31, 2015 , 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, 2016 (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 $ 56,758 $ — 1.97 $ 1,700,000 4.09 % 3M Libor 6.5 Payer ≥ 6 Months 43,015 366 11.88 1,800,000 3.27 % 3M Libor 5.6 Total Payer $ 99,773 $ 366 11.88 $ 3,500,000 3.67 % 3M Libor 6.0 Receiver < 6 Months $ 20,468 $ 27,362 1.93 $ 1,500,000 3M Libor 1.53 % 10.0 Total Receiver $ 20,468 $ 27,362 1.93 $ 1,500,000 3M Libor 1.53 % 10.0 Sale contracts: Payer < 6 Months $ (25,962 ) $ (10,237 ) 2.07 $ (2,400,000 ) 1.71 % 3M Libor 10.0 Payer ≥ 6 Months (81,248 ) (431 ) 12.01 (800,000 ) 3.44 % 3M Libor 10.0 Total Payer $ (107,210 ) $ (10,668 ) 2.21 $ (3,200,000 ) 2.14 % 3M Libor 10.0 December 31, 2015 (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 $ 375 $ 174 0.75 $ 2,000,000 2.23 % 3M Libor 6.3 Payer ≥ 6 Months 126,273 19,150 39.17 4,500,000 3.69 % 3M Libor 5.8 Total Payer $ 126,648 $ 19,324 38.51 $ 6,500,000 3.24 % 3M Libor 5.9 Sale contracts: Payer ≥ 6 Months $ (81,248 ) $ (6,738 ) 18.01 $ (800,000 ) 3.44 % 3M Libor 10.0 Total Payer $ (81,248 ) $ (6,738 ) 18.01 $ (800,000 ) 3.44 % 3M Libor 10.0 Receiver < 6 Months $ (100 ) $ (43 ) 0.73 $ (500,000 ) 3M Libor 1.75 % 10.0 Total Receiver $ (100 ) $ (43 ) 0.73 $ (500,000 ) 3M Libor 1.75 % 10.0 |
Schedule of Credit Default Swaps, Receive Protection [Table Text Block] | The following tables present credit default swaps through which the Company is receiving protection held as of June 30, 2016 and December 31, 2015 : (notional and dollars in thousands) June 30, 2016 Protection Maturity Date Average Implied Credit Spread Current Notional Amount Fair Value Upfront (Payable) Receivable Unrealized Gain (Loss) Receive December 20, 2016 496.00 $ (25,000 ) $ (99 ) $ (4,062 ) $ (4,161 ) Total 496.00 $ (25,000 ) $ (99 ) $ (4,062 ) $ (4,161 ) (notional and dollars in thousands) December 31, 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 ) $ (502 ) $ (260 ) $ (762 ) December 20, 2016 496.00 (25,000 ) (201 ) (4,062 ) (4,263 ) Total 183.60 $ (125,000 ) $ (703 ) $ (4,322 ) $ (5,025 ) |
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, 2016 and December 31, 2015 : (in thousands) June 30, December 31, Face Value $ 834,866 $ 932,037 Unamortized premium — — Unamortized discount Designated credit reserve — — Net, unamortized (710,204 ) (792,178 ) Amortized Cost 124,662 139,859 Gross unrealized gains 27,866 19,655 Gross unrealized losses (496 ) (1,608 ) Carrying Value $ 152,032 $ 157,906 |
Schedule of Total Return Swaps [Table Text Block] | The Company had the following total return swap agreements in place at June 30, 2016 and December 31, 2015 : (notional and dollars in thousands) June 30, 2016 Maturity Date Current Notional Amount Fair Value Upfront Payable Unrealized Gain (Loss) January 12, 2043 $ (275,900 ) $ (3,455 ) $ (1,818 ) $ (5,273 ) January 12, 2044 (257,720 ) (3,187 ) (2,346 ) (5,533 ) January 12, 2045 (54,417 ) (777 ) 625 (152 ) Total $ (588,037 ) $ (7,419 ) $ (3,539 ) $ (10,958 ) (notional and dollars in thousands) December 31, 2015 Maturity Date Current Notional Amount Fair Value Upfront Payable Unrealized Gain (Loss) January 12, 2043 $ (369,639 ) $ 456 $ (866 ) $ (410 ) January 12, 2044 (325,003 ) 350 (1,679 ) (1,329 ) January 12, 2045 (194,776 ) 839 1,162 2,001 Total $ (889,418 ) $ 1,645 $ (1,383 ) $ 262 |
Other Assets (Tables)
Other Assets (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Other Assets [Abstract] | |
Schedule of Other Assets [Table Text Block] | Other assets as of June 30, 2016 and December 31, 2015 are summarized in the following table: (in thousands) June 30, December 31, Property and equipment at cost $ 6,460 $ 5,997 Accumulated depreciation (1) (3,946 ) (3,303 ) Net property and equipment 2,514 2,694 Prepaid expenses 986 1,572 Income taxes receivable 1,617 5,286 Deferred tax assets, net 58,466 44,318 Servicing advances 56,827 37,499 Federal Home Loan Bank stock 167,856 156,650 Equity investments 3,000 3,000 Other receivables 26,369 20,556 Total other assets $ 317,635 $ 271,575 ____________________ (1) Depreciation expense for the three and six months ended June 30, 2016 was $0.3 million and $0.7 million , respectively. |
Other Liabilities (Tables)
Other Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Other Liabilities [Abstract] | |
Other Liabilities [Table Text Block] | Other liabilities as of June 30, 2016 and December 31, 2015 are summarized in the following table: (in thousands) June 30, December 31, Accrued expenses $ 29,265 $ 37,052 Accrued interest payable 25,267 18,723 Income taxes payable — 70 Other 18,098 16,387 Total other liabilities $ 72,630 $ 72,232 |
Fair Value (Tables)
Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 13,656,610 $ — $ 13,656,610 Residential mortgage loans held-for-sale — 542,691 66,369 609,060 Residential mortgage loans held-for-investment in securitization trusts — 3,446,712 — 3,446,712 Mortgage servicing rights — — 427,813 427,813 Derivative assets 16,597 207,388 — 223,985 Total assets $ 16,597 $ 17,853,401 $ 494,182 $ 18,364,180 Liabilities Collateralized borrowings in securitization trusts $ — $ 3,111,861 $ — $ 3,111,861 Derivative liabilities 21,707 139,017 — 160,724 Total liabilities $ 21,707 $ 3,250,878 $ — $ 3,272,585 Recurring Fair Value Measurements At December 31, 2015 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 7,825,320 $ — $ 7,825,320 Residential mortgage loans held-for-sale — 764,319 47,112 811,431 Residential mortgage loans held-for-investment in securitization trusts — 3,173,727 — 3,173,727 Mortgage servicing rights — — 493,688 493,688 Derivative assets 1,074 270,435 — 271,509 Total assets $ 1,074 $ 12,033,801 $ 540,800 $ 12,575,675 Liabilities Collateralized borrowings in securitization trusts $ — $ 2,000,110 $ — $ 2,000,110 Derivative liabilities 1,324 5,961 — 7,285 Total liabilities $ 1,324 $ 2,006,071 $ — $ 2,007,395 |
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, 2016 June 30, 2016 (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 $ 72,297 $ 446,170 $ 47,112 $ 493,688 Gains (losses) included in net (loss) income: Realized gains (losses) 3,264 (17,461 ) 4,485 (34,542 ) Unrealized gains (losses) 1,291 (1) (59,074 ) (3) (4 ) (1) (143,433 ) (3) Total gains (losses) included in net (loss) income 4,555 (76,535 ) 4,481 (177,975 ) Other comprehensive income (loss) — — — — Purchases 53,992 56,256 125,558 106,733 Sales (35,330 ) — (55,395 ) — Settlements (29,145 ) 1,922 (55,387 ) 5,367 Gross transfers into level 3 — — — — Gross transfers out of level 3 — — — — End of period level 3 fair value $ 66,369 $ 427,813 $ 66,369 $ 427,813 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ 1,035 (2) $ (59,074 ) (4) $ 60 (2) $ (143,433 ) (4) ___________________ (1) The change in unrealized gains or losses on residential mortgage loans held-for-sale was recorded in gain (loss) on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income . (2) 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 gain (loss) on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income . (3) The change in unrealized gains or losses on MSR was recorded in (loss) gain on servicing asset on the condensed consolidated statements of comprehensive income . (4) The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in (loss) gain 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, 2016 . 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, 2016 : As of June 30, 2016 Valuation Technique Unobservable Input (1) Range Weighted Average Discounted cash flow Constant prepayment speed 15.4 - 22.0 % 18.3% Delinquency 2.6 - 3.0 % 2.8% Discount rate 7.9 - 9.2 % 8.5% ___________________ (1) Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of delinquency and a directionally opposite change in the assumption used for prepayment rates. |
Fair Value, Option, Quantitative Disclosures [Table Text Block] | The following 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, 2016 (in thousands) Interest income (expense) Gain on investment securities Gain (loss) on residential mortgage loans held-for-sale Other loss Total included in net (loss) income Change in fair value due to credit risk Assets Available-for-sale securities $ 116 $ (1,290 ) $ — $ — $ (1,174 ) N/A Residential mortgage loans held-for-sale 4,960 (1) — 7,476 — 12,436 $ (46 ) (2) Residential mortgage loans held-for-investment in securitization trusts 34,499 (1) — — 15,553 50,052 — (3) Liabilities Collateralized borrowings in securitization trusts (25,184 ) — — (26,478 ) (51,662 ) — (3) Total $ 14,391 $ (1,290 ) $ 7,476 $ (10,925 ) $ 9,652 $ (46 ) Three Months Ended June 30, 2015 (in thousands) Interest income (expense) Gain on investment securities Gain (loss) on residential mortgage loans held-for-sale Other loss Total included in net (loss) income Change in fair value due to credit risk Assets Available-for-sale securities $ — $ — $ — $ — $ — N/A 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 Six Months Ended June 30, 2016 (in thousands) Interest income (expense) Gain on investment securities Gain (loss) on residential mortgage loans held-for-sale Other loss Total included in net (loss) income Change in fair value due to credit risk Assets Available-for-sale securities $ 117 $ (1,274 ) $ — $ — $ (1,157 ) N/A Residential mortgage loans held-for-sale 12,162 (1) — 17,447 — 29,609 $ 64 (2) Residential mortgage loans held-for-investment in securitization trusts 67,270 (1) — — 39,109 106,379 — (3) Liabilities Collateralized borrowings in securitization trusts (44,543 ) — — (48,550 ) (93,093 ) — (3) Total $ 35,006 $ (1,274 ) $ 17,447 $ (9,441 ) $ 41,738 $ 64 Six Months Ended June 30, 2015 (in thousands) Interest income (expense) Gain on investment securities Gain (loss) on residential mortgage loans held-for-sale Other loss Total included in net (loss) income Change in fair value due to credit risk Assets Available-for-sale securities $ — $ — $ — $ — $ — N/A 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 ____________________ (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, 2016 December 31, 2015 (in thousands) Unpaid Principal Balance Fair Value (1) Unpaid Principal Balance Fair Value (1) Residential mortgage loans held-for-sale Total loans $ 602,854 $ 609,060 $ 812,661 $ 811,431 Nonaccrual loans $ 51,480 $ 46,106 $ 30,438 $ 25,771 Loans 90+ days past due $ 46,695 $ 41,585 $ 26,702 $ 22,470 Residential mortgage loans held-for-investment in securitization trusts Total loans $ 3,363,919 $ 3,446,712 $ 3,143,515 $ 3,173,727 Nonaccrual loans $ 860 $ 879 $ 860 $ 868 Loans 90+ days past due $ 860 $ 879 $ 860 $ 868 Collateralized borrowings in securitization trusts Total borrowings $ 3,081,328 $ 3,111,861 $ 2,023,239 $ 2,000,110 ____________________ (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, 2016 and December 31, 2015 . June 30, 2016 December 31, 2015 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets Available-for-sale securities $ 13,656,610 $ 13,656,610 $ 7,825,320 $ 7,825,320 Residential mortgage loans held-for-sale $ 609,060 $ 609,060 $ 811,431 $ 811,431 Residential mortgage loans held-for-investment in securitization trusts $ 3,446,712 $ 3,446,712 $ 3,173,727 $ 3,173,727 Commercial real estate assets $ 926,377 $ 926,377 $ 660,953 $ 660,953 Mortgage servicing rights $ 427,813 $ 427,813 $ 493,688 $ 493,688 Cash and cash equivalents $ 692,188 $ 692,188 $ 737,831 $ 737,831 Restricted cash $ 363,166 $ 363,166 $ 262,562 $ 262,562 Derivative assets $ 223,985 $ 223,985 $ 271,509 $ 271,509 Federal Home Loan Bank stock $ 167,856 $ 167,856 $ 156,650 $ 156,650 Equity investments $ 3,000 $ 3,000 $ 3,000 $ 3,000 Liabilities Repurchase agreements $ 9,669,848 $ 9,669,848 $ 5,008,274 $ 5,008,274 Collateralized borrowings in securitization trusts $ 3,111,861 $ 3,111,861 $ 2,000,110 $ 2,000,110 Federal Home Loan Bank advances $ 4,000,000 $ 4,000,000 $ 3,785,000 $ 3,785,000 Derivative liabilities $ 160,724 $ 160,724 $ 7,285 $ 7,285 |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule Of Repurchase Agreements By Term, Short Or Long [Table Text Block] | At June 30, 2016 and December 31, 2015 , the repurchase agreement balances were as follows: (in thousands) June 30, December 31, Short-term $ 9,462,820 $ 5,008,274 Long-term 207,028 — Total $ 9,669,848 $ 5,008,274 |
Schedule of Repurchase Agreements by Maturity [Table Text Block] | At June 30, 2016 and December 31, 2015 , the repurchase agreements had the following characteristics and remaining maturities: June 30, 2016 Collateral Type (in thousands) Agency RMBS Non-Agency RMBS (1) Agency Derivatives Residential Mortgage Loans Held-for-Sale Commercial Real Estate Assets Total Amount Outstanding Within 30 days $ 3,180,536 $ 536,508 $ 52,221 $ — $ 55,471 $ 3,824,736 30 to 59 days 1,320,164 181,938 53,911 — — 1,556,013 60 to 89 days 1,452,639 76,908 3,844 — — 1,533,391 90 to 119 days 857,556 195,449 — 22,153 — 1,075,158 120 to 364 days 1,151,333 322,189 — — — 1,473,522 One year and over — — — — 207,028 207,028 Total $ 7,962,228 $ 1,312,992 $ 109,976 $ 22,153 $ 262,499 $ 9,669,848 Weighted average borrowing rate 0.72 % 2.31 % 1.51 % 2.72 % 2.88 % 1.01 % December 31, 2015 Collateral Type (in thousands) Agency RMBS Non-Agency RMBS (1) Agency Derivatives Residential Mortgage Loans Held-for-Sale Commercial Real Estate Assets Total Amount Outstanding Within 30 days $ 1,719,292 $ 852,436 $ 58,286 $ — $ 59,349 $ 2,689,363 30 to 59 days 1,407,353 271,819 60,065 — — 1,739,237 60 to 89 days 143,051 15,691 2,707 — — 161,449 90 to 119 days 68,014 106,007 1,465 — — 175,486 120 to 364 days — 234,229 — 8,510 — 242,739 Total $ 3,337,710 $ 1,480,182 $ 122,523 $ 8,510 $ 59,349 $ 5,008,274 Weighted average borrowing rate 0.65 % 2.03 % 1.18 % 2.87 % 2.62 % 1.10 % ____________________ (1) Includes repurchase agreements collateralized by retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. |
Schedule of 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 $ 10,061,919 $ 5,354,104 Residential mortgage loans held-for-sale, at fair value 24,297 9,543 Commercial real estate assets 374,904 108,958 Net economic interests in consolidated securitization trusts (1) 227,820 274,949 Cash and cash equivalents 12,624 15,000 Restricted cash 64,241 119,310 Due from counterparties 9,362 10,211 Derivative assets, at fair value 152,017 157,879 Total $ 10,927,184 $ 6,049,954 ____________________ (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, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 (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 $ 977,474 $ 227,645 7 % 65.7 $ 799,527 $ 217,677 6 % 31.5 All other counterparties (2) 8,692,374 1,025,206 30 % 75.7 4,208,747 818,108 23 % 36.2 Total $ 9,669,848 $ 1,252,851 $ 5,008,274 $ 1,035,785 ____________________ (1) Represents the net carrying value of the securities, residential mortgage loans held-for-sale and commercial real estate assets 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 of $1.2 billion as of June 30, 2016 are not included in the amounts presented above. The Company did not have any such payables as of December 31, 2015 . (2) Represents amounts outstanding with 22 and 20 counterparties at June 30, 2016 and December 31, 2015 , respectively. |
Federal Home Loan Bank Advanc45
Federal Home Loan Bank Advances (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Advances from Federal Home Loan Banks [Abstract] | |
Schedule of Maturities of Federal Home Loan Bank Advances [Table Text Block] | At June 30, 2016 and December 31, 2015 , FHLB advances had the following remaining maturities: (in thousands) June 30, December 31, ≤ 1 year $ 651,238 $ — > 1 and ≤ 3 years 815,024 651,238 > 3 and ≤ 5 years — 815,024 > 5 and ≤ 10 years — — > 10 years 2,533,738 2,318,738 Total $ 4,000,000 $ 3,785,000 |
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 $ 3,391,613 $ 2,412,970 Residential mortgage loans held-for-sale, at fair value 519,482 735,911 Commercial real estate assets 424,464 252,172 Net economic interests in consolidated securitization trusts (1) 74,850 863,363 Total $ 4,410,409 $ 4,264,416 ____________________ (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, 2016 | |
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, 2016 , and the four immediately preceding quarters: Declaration Date Record Date Payment Date Cash Dividend Per Share June 16, 2016 June 30, 2016 July 20, 2016 $ 0.23 March 15, 2016 March 31, 2016 April 21, 2016 $ 0.23 December 16, 2015 December 30, 2015 January 20, 2016 $ 0.26 September 16, 2015 September 30, 2015 October 22, 2015 $ 0.26 June 17, 2015 June 30, 2015 July 21, 2015 $ 0.26 |
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | Accumulated other comprehensive income at June 30, 2016 and December 31, 2015 was as follows: (in thousands) June 30, December 31, Available-for-sale securities Unrealized gains $ 533,482 $ 405,177 Unrealized losses (13,785 ) (46,116 ) Accumulated other comprehensive income $ 519,697 $ 359,061 |
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, 2016 and 2015 : Affected Line Item in the Condensed Consolidated Statements of Comprehensive Income Amount Reclassified out of Accumulated Other Comprehensive Income (in thousands) Three Months Ended Six Months Ended 2016 2015 2016 2015 Other-than-temporary impairments on AFS securities Total other-than-temporary impairment losses $ 90 $ 170 $ 807 $ 297 Realized gains on sales of certain AFS securities, net of tax Gain on investment securities (5,130 ) (75,135 ) (24,256 ) (175,071 ) Total $ (5,040 ) $ (74,965 ) $ (23,449 ) $ (174,774 ) |
Equity Incentive Plan Equity In
Equity Incentive Plan Equity Incentive Plan (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
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, 2016 and 2015 : Six Months Ended June 30, 2016 2015 (in thousands) Shares Weighted Average Grant Date Fair Market Value Shares Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 2,290,609 $ 10.36 2,002,406 $ 10.32 Granted 1,746,610 7.37 1,160,683 10.49 Vested (1,095,888 ) (10.35 ) (720,712 ) (10.46 ) Forfeited (41,175 ) (8.77 ) (55,474 ) (10.19 ) Outstanding at End of Period 2,900,156 $ 8.59 2,386,903 $ 10.36 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | The following table presents a reconciliation of the (loss) earnings and shares used in calculating basic and diluted (loss) earnings per share for the three and six months ended June 30, 2016 and 2015 : Three Months Ended Six Months Ended June 30, June 30, (in thousands, except share data) 2016 2015 2016 2015 Numerator: Net (loss) income $ (16,981 ) $ 221,501 $ (105,911 ) $ 316,294 Denominator: Weighted average common shares outstanding 344,336,995 364,919,352 345,267,094 364,775,066 Weighted average restricted stock shares 3,260,960 2,154,779 3,249,891 2,017,393 Basic and diluted weighted average shares outstanding 347,597,955 367,074,131 348,516,985 366,792,459 Basic and Diluted (Loss) Earnings Per Share $ (0.05 ) $ 0.60 $ (0.30 ) $ 0.86 |
Basis of Presentation and Sig49
Basis of Presentation and Significant Accounting Policies Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Derivative Financial Instruments, Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amount of Recognized Assets (Liabilities) | $ 366,681 | $ 325,755 |
Gross Amounts Offset on the Balance Sheet | (142,696) | (54,246) |
Net Amount of Assets (Liabilities) Presented on the Balance Sheet | 223,985 | 271,509 |
Gross Amounts of Financial Instruments Not Offset on the Balance Sheet | (160,724) | (7,285) |
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 | 63,261 | 264,224 |
Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amount of Recognized Assets (Liabilities) | 366,681 | 325,755 |
Gross Amounts Offset on the Balance Sheet | (142,696) | (54,246) |
Net Amount of Assets (Liabilities) Presented on the Balance Sheet | 223,985 | 271,509 |
Gross Amounts of Financial Instruments Not Offset on the Balance Sheet | (160,724) | (7,285) |
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 | 63,261 | 264,224 |
Securities Loaned or Sold under Agreements to Repurchase [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Gross Amount of Recognized Assets (Liabilities) | (9,669,848) | (5,008,274) |
Gross Amounts Offset on the Balance Sheet | 0 | 0 |
Net Amount of Assets (Liabilities) Presented on the Balance Sheet | (9,669,848) | (5,008,274) |
Gross Amounts of Financial Instruments Not Offset on the Balance Sheet | 9,669,848 | 5,008,274 |
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) | (303,420) | (61,531) |
Gross Amounts Offset on the Balance Sheet | 142,696 | 54,246 |
Net Amount of Assets (Liabilities) Presented on the Balance Sheet | (160,724) | (7,285) |
Gross Amounts of Financial Instruments Not Offset on the Balance Sheet | 160,724 | 7,285 |
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) | (9,973,268) | (5,069,805) |
Gross Amounts Offset on the Balance Sheet | 142,696 | 54,246 |
Net Amount of Assets (Liabilities) Presented on the Balance Sheet | (9,830,572) | (5,015,559) |
Gross Amounts of Financial Instruments Not Offset on the Balance Sheet | 9,830,572 | 5,015,559 |
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, 2016 | Dec. 31, 2015 |
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Assets | $ 3,512,101 | $ 3,237,918 |
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 3,132,886 | 2,017,677 |
Variable Interest Entity, Nonconsolidated, Carrying Amount, Assets | 1,647,241 | 1,852,430 |
Variable Interest Entity, Reporting Entity Involvement, Maximum Loss Exposure, Amount | 1,647,241 | 1,852,430 |
Loans Held-for-investment, Residential Mortgages [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 3,446,712 | 3,173,727 |
Commercial Real Estate Assets [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 45,790 | 45,698 |
Accrued Income Receivable [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 19,599 | 18,493 |
Assets, Total [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Assets | 3,512,101 | 3,237,918 |
Borrowings [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 3,111,861 | 2,000,110 |
Accrued Liabilities [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 8,791 | 5,943 |
Accounts Payable [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | 12,234 | 11,624 |
Liabilities, Total [Member] | ||
Variable Interest Entity [Line Items] | ||
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities | $ 3,132,886 | $ 2,017,677 |
Available-for-Sale Securities51
Available-for-Sale Securities, at Fair Value (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | $ 13,656,610 | $ 7,825,320 |
Available-for-sale Securities Pledged as Collateral | 13,453,532 | 7,767,074 |
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 | 1,537,138 | 1,678,814 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | 10,224,338 | 3,602,348 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | 247,893 | 691,728 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | $ 1,647,241 | $ 1,852,430 |
Schedule of Available-for-sale
Schedule of Available-for-sale Securities Reconciliation (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Face Value | $ 16,335,882 | $ 10,912,411 |
Available-for-sale Securities, Unamortized Premium | 567,877 | 394,787 |
Available-for-sale Securities, Designated Credit Reserve | (335,861) | (409,077) |
Available-for-sale Securities, Net, Unamortized | (3,427,923) | (3,429,000) |
Available-for-sale Securities, Amortized Cost Basis | 13,139,975 | 7,469,121 |
Available-for-sale Securities, Gross Unrealized Gains | 550,285 | 427,595 |
Available-for-sale Securities, Gross Unrealized Losses | (33,650) | (71,396) |
Available-for-sale securities, at fair value | 13,656,610 | 7,825,320 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Face Value | 13,919,683 | 8,257,030 |
Available-for-sale Securities, Unamortized Premium | 567,877 | 394,787 |
Available-for-sale Securities, Designated Credit Reserve | 0 | 0 |
Available-for-sale Securities, Net, Unamortized | (2,686,818) | (2,721,979) |
Available-for-sale Securities, Amortized Cost Basis | 11,800,742 | 5,929,838 |
Available-for-sale Securities, Gross Unrealized Gains | 234,394 | 98,389 |
Available-for-sale Securities, Gross Unrealized Losses | (25,767) | (55,337) |
Available-for-sale securities, at fair value | 12,009,369 | 5,972,890 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Face Value | 2,416,199 | 2,655,381 |
Available-for-sale Securities, Unamortized Premium | 0 | 0 |
Available-for-sale Securities, Designated Credit Reserve | (335,861) | (409,077) |
Available-for-sale Securities, Net, Unamortized | (741,105) | (707,021) |
Available-for-sale Securities, Amortized Cost Basis | 1,339,233 | 1,539,283 |
Available-for-sale Securities, Gross Unrealized Gains | 315,891 | 329,206 |
Available-for-sale Securities, Gross Unrealized Losses | (7,883) | (16,059) |
Available-for-sale securities, at fair value | $ 1,647,241 | $ 1,852,430 |
Available-for-sale Securities C
Available-for-sale Securities Classified by Rate Type (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Adjustable Rate | $ 1,451,354 | $ 1,781,634 |
Available-for-sale Securities, Fixed Rate | 12,205,256 | 6,043,686 |
Available-for-sale Securities | 13,656,610 | 7,825,320 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Adjustable Rate | 35,375 | 108,596 |
Available-for-sale Securities, Fixed Rate | 11,973,994 | 5,864,294 |
Available-for-sale Securities | 12,009,369 | 5,972,890 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Adjustable Rate | 1,415,979 | 1,673,038 |
Available-for-sale Securities, Fixed Rate | 231,262 | 179,392 |
Available-for-sale Securities | $ 1,647,241 | $ 1,852,430 |
Available-for-Sale Securities54
Available-for-Sale Securities, Weighted Average Life Classifications (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Debt Maturities, Next Twelve Months, Fair Value | $ 94,035 | |
Available-for-sale Securities, Debt Maturities, Year Two Through Three, Fair Value | 297,880 | |
Available-for-sale Securities, Debt Maturities, Year Four Through Five, Fair Value | 8,909,106 | |
Available-for-sale Securities, Debt Maturities, Year Six Through Ten, Fair Value | 3,983,515 | |
Available-for-sale Securities, Debt Maturities, after Ten Years, Fair Value | 372,074 | |
Available-for-sale Securities | 13,656,610 | $ 7,825,320 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Debt Maturities, Next Twelve Months, Fair Value | 2,337 | |
Available-for-sale Securities, Debt Maturities, Year Two Through Three, Fair Value | 104,436 | |
Available-for-sale Securities, Debt Maturities, Year Four Through Five, Fair Value | 8,769,579 | |
Available-for-sale Securities, Debt Maturities, Year Six Through Ten, Fair Value | 3,131,270 | |
Available-for-sale Securities, Debt Maturities, after Ten Years, Fair Value | 1,747 | |
Available-for-sale Securities | 12,009,369 | 5,972,890 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Debt Maturities, Next Twelve Months, Fair Value | 91,698 | |
Available-for-sale Securities, Debt Maturities, Year Two Through Three, Fair Value | 193,444 | |
Available-for-sale Securities, Debt Maturities, Year Four Through Five, Fair Value | 139,527 | |
Available-for-sale Securities, Debt Maturities, Year Six Through Ten, Fair Value | 852,245 | |
Available-for-sale Securities, Debt Maturities, after Ten Years, Fair Value | 370,327 | |
Available-for-sale Securities | $ 1,647,241 | $ 1,852,430 |
Schedule of Available-for-sal55
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, 2016 | Jun. 30, 2015 | |
Available-for-sale Securities, Designated Credit Reserve [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Unamortized Discount, Beginning Balance | $ (409,077) | $ (927,605) |
Available-for-sale Securities, Unamortized Discount, Acquisitions | (16,217) | (1,284) |
Available-for-sale Securities, Unamortized Discount, Accretion | 0 | 0 |
Available-for-sale Securities, Unamortized Discount, Credit Losses | (2,371) | 8,470 |
Available-for-sale Securities, Unamortized Discount, Other-than-temporary Impairment Adjustment | (211) | 1,619 |
Available-for-sale Securities, Unamortized Discount, Transfers | 59,453 | 58,716 |
Available-for-sale Securities, Unamortized Discount, Sales, Calls and Other | 32,562 | 202,458 |
Available-for-sale Securities, Unamortized Discount, Ending Balance | (335,861) | (657,626) |
Available-for-sale Securities, Net, Unamortized [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Unamortized Discount, Beginning Balance | (707,021) | (967,368) |
Available-for-sale Securities, Unamortized Discount, Acquisitions | (74,039) | (3,283) |
Available-for-sale Securities, Unamortized Discount, Accretion | 32,287 | 52,759 |
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 | (59,453) | (58,716) |
Available-for-sale Securities, Unamortized Discount, Sales, Calls and Other | 67,121 | 156,584 |
Available-for-sale Securities, Unamortized Discount, Ending Balance | (741,105) | (820,024) |
Available-for-sale Securities, Unamortized Discount [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Unamortized Discount, Beginning Balance | (1,116,098) | (1,894,973) |
Available-for-sale Securities, Unamortized Discount, Acquisitions | (90,256) | (4,567) |
Available-for-sale Securities, Unamortized Discount, Accretion | 32,287 | 52,759 |
Available-for-sale Securities, Unamortized Discount, Credit Losses | (2,371) | 8,470 |
Available-for-sale Securities, Unamortized Discount, Other-than-temporary Impairment Adjustment | (211) | 1,619 |
Available-for-sale Securities, Unamortized Discount, Transfers | 0 | 0 |
Available-for-sale Securities, Unamortized Discount, Sales, Calls and Other | 99,683 | 359,042 |
Available-for-sale Securities, Unamortized Discount, Ending Balance | $ (1,076,966) | $ (1,477,650) |
Available-for-Sale Securities56
Available-for-Sale Securities, at Fair Value Schedule of Unrealized Loss on Investments (Details) $ in Thousands | Jun. 30, 2016USD ($) | Dec. 31, 2015USD ($) |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-Sale Securities, Number of Positions | 1,183 | 1,181 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | 61 | 121 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | 129 | 182 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 454,416 | $ 1,503,939 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Aggregate Losses | (9,266) | (26,984) |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 632,865 | 1,141,839 |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Aggregate Losses | (24,384) | (44,412) |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 1,087,281 | 2,645,778 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Aggregate Losses | $ (33,650) | $ (71,396) |
Available-for-Sale Securities57
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, 2016USD ($) | Jun. 30, 2015USD ($) | Jun. 30, 2016USD ($) | Jun. 30, 2015USD ($) | |
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 | $ (90) | $ (170) | $ (807) | $ (297) |
Other than Temporary Impairment Losses, Investments, Number, Available-for-sale Securities | 3 | 1 | ||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Market Value | 113,530 | $ 113,530 | ||
Available-for-sale Securities, Weighted Average Cumulative Losses | 12.50% | |||
Available-for-sale Securities, Weighted Average Three-Month Prepayment Speed | 0.071 | |||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Portion Recognized in Earnings, Net, Qualitative Disclosures, Delinquency Rate | 23.30% | |||
Available-for-sale Securities, Weighted Average FICO Score | 671 | |||
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Credit Losses on Debt Securities Held, Beginning Balance | (6,620) | (6,452) | $ (6,499) | $ (8,241) |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Additions, No Previous Impairment | 0 | 0 | (292) | 0 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Additions, Additional Credit Losses | (90) | (170) | (515) | (297) |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Cash Flows | 0 | 0 | 0 | 0 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Securities Sold | 0 | 0 | 596 | 1,916 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Credit Losses on Debt Securities Held, Ending Balance | $ (6,710) | $ (6,622) | $ (6,710) | $ (6,622) |
Available-for-Sale Securities58
Available-for-Sale Securities, at Fair Value Schedule of Realized Gain (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
Available-for-sale Securities, Gross Realized Gains (Losses), Sale Proceeds | $ 1,505,840 | $ 1,671,909 | $ 3,776,294 | $ 2,572,016 |
Available-for-sale Securities, Gross Realized Gains (Losses), Amortized Cost Sold | 1,495,970 | 1,596,046 | 3,744,723 | 2,378,685 |
Available-for-sale Securities, Gross Realized Gains | 10,700 | 76,199 | 45,894 | 193,887 |
Available-for-sale Securities, Gross Realized Losses | (830) | (336) | (14,323) | (556) |
Available-for-sale Securities, Gross Realized Gain (Loss) | $ 9,870 | $ 75,863 | $ 31,571 | $ 193,331 |
Schedule of Residential Mortgag
Schedule of Residential Mortgage Loans Held-for-Sale Reconciliation (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans Held-for-sale, Mortgages, Unpaid Principal | $ 602,854 | $ 812,661 |
Loans Held-for-sale, Mortgages, Fair Value Adjustment | 6,206 | (1,230) |
Residential mortgage loans held-for-sale, at fair value | 609,060 | 811,431 |
Residential Real Estate [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Loans Pledged as Collateral | $ 543,779 | $ 745,454 |
Residential Mortgage Loans He60
Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Residential Mortgage Loans Held-for-Invesment, Unpaid Principal | $ 3,363,919 | $ 3,143,515 |
Residential Mortgage Loans Held-for-Investment, Fair Value Adjustment | 82,793 | 30,212 |
Residential mortgage loans held-for-investment in securitization trusts, at fair value | $ 3,446,712 | $ 3,173,727 |
Commercial Real Estate Assets61
Commercial Real Estate Assets (Details) $ in Thousands | Jun. 30, 2016USD ($)unit | Mar. 31, 2016USD ($) | Dec. 31, 2015USD ($)unit | Jun. 30, 2015USD ($) | Mar. 31, 2015USD ($) | Dec. 31, 2014USD ($) |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial Real Estate Assets, Gross | $ 933,605 | $ 667,346 | ||||
Unamortized Discounts or Premiums, Commercial Real Estate Assets | (295) | (237) | ||||
Unamortized Net Deferred Origination Fees, Commercial Real Estate Assets | (6,933) | (6,156) | ||||
Commercial real estate assets | 926,377 | $ 744,259 | 660,953 | $ 45,605 | $ 45,556 | $ 0 |
Unfunded Commitments, Commercial Real Estate Assets | $ 62,487 | $ 52,234 | ||||
Number of Instruments, Commercial Real Estate Assets | unit | 24 | 18 | ||||
Weighted Average Coupon Rate, Commercial Real Estate Assets | 5.30% | 5.40% | ||||
Weighted Average Life, Commercial Real Estate Assets | 3 | 3.1 | ||||
Second Mortgage [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial Real Estate Assets, Gross | $ 139,922 | $ 153,913 | ||||
Unamortized Discounts or Premiums, Commercial Real Estate Assets | (101) | (237) | ||||
Unamortized Net Deferred Origination Fees, Commercial Real Estate Assets | (516) | (830) | ||||
Commercial real estate assets | 139,305 | 152,846 | ||||
Unfunded Commitments, Commercial Real Estate Assets | $ 1,900 | $ 1,900 | ||||
Number of Instruments, Commercial Real Estate Assets | unit | 6 | 6 | ||||
Weighted Average Coupon Rate, Commercial Real Estate Assets | 8.30% | 8.10% | ||||
Weighted Average Life, Commercial Real Estate Assets | 2 | 2.6 | ||||
First Mortgage [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial Real Estate Assets, Gross | $ 793,683 | $ 513,433 | ||||
Unamortized Discounts or Premiums, Commercial Real Estate Assets | (194) | 0 | ||||
Unamortized Net Deferred Origination Fees, Commercial Real Estate Assets | (6,417) | (5,326) | ||||
Commercial real estate assets | 787,072 | 508,107 | ||||
Unfunded Commitments, Commercial Real Estate Assets | $ 60,587 | $ 50,334 | ||||
Number of Instruments, Commercial Real Estate Assets | unit | 18 | 12 | ||||
Weighted Average Coupon Rate, Commercial Real Estate Assets | 4.70% | 4.50% | ||||
Weighted Average Life, Commercial Real Estate Assets | 3.2 | 3.3 |
Commercial Real Estate Assets b
Commercial Real Estate Assets by Property Type (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 926,377 | $ 744,259 | $ 660,953 | $ 45,605 | $ 45,556 | $ 0 |
Loans and Leases Receivable, Percentage of Total, Commercial | 100.00% | 100.00% | ||||
Retail Site [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 236,457 | $ 185,883 | ||||
Loans and Leases Receivable, Percentage of Total, Commercial | 25.50% | 28.10% | ||||
Hotel [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 82,236 | $ 80,843 | ||||
Loans and Leases Receivable, Percentage of Total, Commercial | 8.90% | 12.20% | ||||
Industrial Property [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 80,971 | $ 0 | ||||
Loans and Leases Receivable, Percentage of Total, Commercial | 8.70% | 0.00% | ||||
Multifamily [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 182,156 | $ 139,011 | ||||
Loans and Leases Receivable, Percentage of Total, Commercial | 19.70% | 21.10% | ||||
Office Building [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 344,557 | $ 255,216 | ||||
Loans and Leases Receivable, Percentage of Total, Commercial | 37.20% | 38.60% |
Commercial Real Estate Assets63
Commercial Real Estate Assets by Geographic Location (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 926,377 | $ 744,259 | $ 660,953 | $ 45,605 | $ 45,556 | $ 0 |
Loans and Leases Receivable, Percentage of Total, Commercial | 100.00% | 100.00% | ||||
United States, Western Region [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 180,644 | $ 131,488 | ||||
Loans and Leases Receivable, Percentage of Total, Commercial | 19.50% | 19.90% | ||||
United States, Southeastern Region [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 81,353 | $ 79,118 | ||||
Loans and Leases Receivable, Percentage of Total, Commercial | 8.80% | 12.00% | ||||
United States, Southwestern Region [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 202,134 | $ 161,721 | ||||
Loans and Leases Receivable, Percentage of Total, Commercial | 21.80% | 24.40% | ||||
United States, Northeastern Region [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 396,728 | $ 238,913 | ||||
Loans and Leases Receivable, Percentage of Total, Commercial | 42.80% | 36.20% | ||||
United States, Midwestern Region [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 65,518 | $ 49,713 | ||||
Loans and Leases Receivable, Percentage of Total, Commercial | 7.10% | 7.50% |
Rollforward of Commercial Real
Rollforward of Commercial Real Estate Assets (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Commercial real estate assets at beginning of period | $ 744,259 | $ 45,556 | $ 660,953 | $ 0 | |
Commercial Real Estate Loans Held-for-Investment, Additions | 193,181 | 0 | 280,447 | 45,556 | |
Commercial Real Estate Loans Held-for-Investment, Repayments | (9,856) | 0 | (14,387) | 0 | |
Commercial Real Estate Loans Held-for-Investment, Accretion (Amortization) of Discounts and Premiums | 67 | 49 | 140 | 49 | |
Increase (Decrease) in Loans, Deferred Income | (2,899) | 0 | (4,009) | 0 | |
Amortization of Deferred Loan Origination Fees, Net | 1,625 | 0 | 3,233 | 0 | |
Provision for Loan and Lease Losses | 0 | 0 | 0 | 0 | |
Commercial real estate assets at end of period | 926,377 | $ 45,605 | 926,377 | $ 45,605 | |
Commercial Real Estate [Member] | |||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||||
Loans Pledged as Collateral | $ 799,368 | $ 799,368 | $ 361,130 |
Commercial Real Estate Loans As
Commercial Real Estate Loans Assets by Internal Risk Rating (Details) $ in Thousands | Jun. 30, 2016USD ($)unit | Dec. 31, 2015USD ($)unit |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Instruments, Commercial Real Estate Assets | unit | 24 | 18 |
Commercial Real Estate Assets [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Instruments, Commercial Real Estate Assets | unit | 24 | 18 |
Commercial Real Estate Loans Held-for-Investment, Unpaid Principal | $ 933,605 | $ 667,346 |
Commercial real estate assets | $ 926,377 | $ 660,953 |
Commercial Real Estate Assets [Member] | Internal Investment Grade [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Instruments, Commercial Real Estate Assets | unit | 24 | 18 |
Commercial Real Estate Loans Held-for-Investment, Unpaid Principal | $ 933,605 | $ 667,346 |
Commercial real estate assets | $ 926,377 | $ 660,953 |
Commercial Real Estate Assets [Member] | Internal Noninvestment Grade [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of Instruments, Commercial Real Estate Assets | unit | 0 | 0 |
Commercial Real Estate Loans Held-for-Investment, Unpaid Principal | $ 0 | $ 0 |
Commercial real estate assets | $ 0 | $ 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, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Servicing Assets at Fair Value [Line Items] | ||||
Mortgage servicing rights, at fair value, Beginning Balance | $ 446,170 | $ 410,229 | $ 493,688 | $ 452,006 |
Servicing Asset at Fair Value, Additions | 55,938 | 4,210 | 106,211 | 8,534 |
Servicing Asset at Fair Value, Additions from Sale of Mortgage Loans | 318 | 589 | 522 | 816 |
Servicing Asset at Fair Value, Changes in Fair Value Resulting from Changes in Valuation Inputs or Changes in Assumptions | (59,074) | 24,045 | (143,433) | (14,124) |
Servicing Asset at Fair Value, Other Changes in Fair Value | (17,461) | (6,410) | (34,542) | (20,644) |
Servicing Asset at Fair Value, Other Changes that Affect Balance | 1,922 | 4,913 | 5,367 | 10,988 |
Mortgage servicing rights, at fair value, Ending Balance | $ 427,813 | $ 437,576 | $ 427,813 | $ 437,576 |
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, 2016 | Dec. 31, 2015 | |
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 | 18.30% | 11.80% |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 10 Percent Adverse Change in Prepayment Speed | $ (27,123) | $ (20,093) |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 20 Percent Adverse Change in Prepayment Speed | $ (51,359) | $ (38,656) |
Fair Value Inputs, Probability of Default | 2.80% | 4.00% |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 10 Percent Adverse Change in Other Assumption | $ (3,123) | $ (3,826) |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 20 Percent Adverse Change in Other Assumption | $ (6,246) | $ (6,640) |
Fair Value Inputs, Discount Rate | 8.50% | 10.10% |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 10 Percent Adverse Change in Discount Rate | $ (9,861) | $ (16,316) |
Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets, Impact of 20 Percent Adverse Change in Discount Rate | $ (19,145) | $ (31,522) |
Components of Servicing Revenue
Components of Servicing Revenue (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Components of Servicing Revenue [Line Items] | |||||
Contractually Specified Servicing Fees, Amount | $ 34,431 | $ 29,586 | $ 67,540 | $ 60,823 | |
Ancillary Fee Income Generated by Servicing Financial Assets, Amount | 488 | 551 | 973 | 1,115 | |
Float Income Generated by Servicing Financial Assets, Amount | 897 | 379 | 1,436 | 665 | |
Contractually Specified Servicing Fees, Late Fees, and Ancillary Fees Earned in Exchange for Servicing Financial Assets | 35,816 | $ 30,516 | 69,949 | $ 62,603 | |
Servicing advances | $ 56,827 | $ 56,827 | $ 37,499 |
Serviced Mortgage Assets (Detai
Serviced Mortgage Assets (Details) $ in Thousands | Jun. 30, 2016USD ($) | Dec. 31, 2015USD ($) |
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 | 277,032 | 246,972 |
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together, Principal Amount Outstanding | $ 59,543,777 | $ 52,496,181 |
Loans Held-for-sale, Residential 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 | 1,226 | 1,415 |
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together, Principal Amount Outstanding | $ 602,854 | $ 812,661 |
Loans Held-for-investment, Residential 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 | 4,684 | 4,329 |
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together, Principal Amount Outstanding | $ 3,318,888 | $ 3,117,219 |
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 | 271,122 | 241,228 |
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together, Principal Amount Outstanding | $ 55,622,035 | $ 48,566,301 |
Schedule of Restricted Cash and
Schedule of Restricted Cash and Cash Equivalents (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 363,166 | $ 262,562 |
Restricted Cash and Cash Equivalents Held for Securities Trading Activity [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 30,800 | 12,550 |
Restricted Cash and Cash Equivalents Held for Derivatives Trading Activity [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 267,778 | 130,355 |
Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 64,241 | 119,310 |
Restricted Cash and Cash Equivalents Held by Counterparties [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 362,819 | 262,215 |
Restricted Cash and Cash Equivalents for Lease [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 347 | $ 347 |
Accrued Interest Receivable Sch
Accrued Interest Receivable Schedule of Accounts, Notes, Loans and Financing Receivable (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | $ 63,915 | $ 49,970 |
Loans Held-for-sale, Residential Mortgages [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 2,724 | 4,173 |
Loans Held-for-investment, Residential Mortgages [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 19,453 | 18,339 |
Commercial Real Estate Assets [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 2,162 | 1,567 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 5,696 | 6,235 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 28,587 | 12,407 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 3,114 | 4,910 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | 2,179 | 2,339 |
Available-for-sale Securities [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Interest Receivable | $ 39,576 | $ 25,891 |
Schedule of Derivative Instrume
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | $ 26,141,370 | $ 26,390,596 | $ 21,998,381 | $ 27,401,335 | $ 33,709,043 | $ 48,115,523 |
Inverse Interest-Only Securities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 153,512 | 159,582 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 834,866 | 882,726 | 932,037 | 1,049,743 | 1,106,210 | 1,168,226 |
Interest Rate Swap [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 13,697,000 | 15,425,513 | 14,268,806 | 16,225,523 | 19,929,000 | 18,584,000 |
Credit Default Swap [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 25,000 | 125,000 | 125,000 | 125,000 | 125,000 | 125,000 |
Interest Rate Swaption [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 1,800,000 | 5,200,000 | 5,200,000 | 9,410,000 | 12,960,000 | 12,410,000 |
Forward Contracts [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 337,000 | 1,637,000 | 297,000 | 1,024,000 | 2,496,000 | 1,325,000 |
Options Held [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 8,897,000 | 2,000,000 | 0 | 0 | 2,500,000 | 2,000,000 |
Swap [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | 3,000,000 | 14,000,000 | |||
Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (7,419) | 1,645 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 588,037 | 868,145 | 889,418 | 988,409 | 877,529 | 598,459 |
Loan Purchase Commitments [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 636,467 | $ 252,212 | 286,120 | $ 626,660 | $ 707,304 | $ 554,838 |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 223,985 | 271,509 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 16,940,106 | 21,735,997 | ||||
Derivative Financial Instruments, Assets [Member] | Inverse Interest-Only Securities [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 834,866 | 932,037 | ||||
Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 23,465 | 91,757 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 8,314,000 | 14,268,806 | ||||
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 | 27,559 | 17,374 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 2,600,000 | 4,700,000 | ||||
Derivative Financial Instruments, Assets [Member] | Forward Contracts [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 16,597 | 1,074 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 1,835,000 | 847,000 | ||||
Derivative Financial Instruments, Assets [Member] | Options Held [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 2,042 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 2,835,000 | |||||
Derivative Financial Instruments, Assets [Member] | Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 0 | 1,645 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 0 | 889,418 | ||||
Derivative Financial Instruments, Assets [Member] | Loan Purchase Commitments [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | 810 | 77 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 521,240 | 98,736 | ||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (160,724) | (7,285) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 15,145,264 | 1,362,384 | ||||
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 | (99,366) | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 5,383,000 | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | Credit Default Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (99) | (703) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 25,000 | 125,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swaption [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (10,499) | (4,831) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 800,000 | 500,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Forward Contracts [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (21,707) | (1,324) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 2,172,000 | 550,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Options Held [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (21,564) | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 6,062,000 | |||||
Derivative Financial Instruments, Liabilities [Member] | Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (7,419) | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | 588,037 | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | Loan Purchase Commitments [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Derivative, Fair Value, Net | (70) | (427) | ||||
Notional Disclosures [Abstract] | ||||||
Derivative, Notional Amount | $ 115,227 | $ 187,384 |
Schedule of Derivative Instru73
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Interest Rate Derivative Instruments Not Designated as Hedging Instruments | $ (12,708) | $ 44,952 | $ (138,192) | $ (81,491) |
Derivative Instruments, Gain (Loss) Recognized in Income, Net | (48,051) | (5,484) | (32,036) | (2,517) |
Gain (Loss) on Mortgage Loans Held-for-Sale | 7,734 | (6,832) | 18,537 | 2,260 |
Trading Activity, Gains and Losses, Net | (59,809) | 34,338 | (167,880) | (88,168) |
Inverse Interest-Only Securities [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments, Gain (Loss) Recognized in Income, Net | 7,733 | 4,909 | 20,715 | 24,170 |
Loan Purchase Commitments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Mortgage Loans Held-for-Sale | 950 | (5,130) | 2,348 | (4,160) |
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 | 1,562 | 5,262 | 26,891 | (22,696) |
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 | 0 | 125 | 0 | 125 |
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 | (44,052) | 5,671 | (45,033) | 8,206 |
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 | 0 | (837) | 0 | (837) |
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 | 0 | 74 | 0 | 6,164 |
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 | 22,252 | 19,752 | 5,997 | 1,246 |
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 | (13,267) | (20,658) | (34,991) | (17,526) |
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 | 37,172 | (42,470) | 149,846 | (144) |
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 | (30,932) | 20,713 | (112,016) | (31,846) |
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 | (41,200) | 46,957 | (182,019) | (50,747) |
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 | $ (27) | $ (30) | $ 382 | $ (123) |
Derivative Instruments and He74
Derivative Instruments and Hedging Activities Interest Spread on Interest Rate Swaps (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative, Average Notional Amount | $ 24,908,389 | $ 28,369,326 | $ 23,741,682 | $ 34,416,325 |
Interest Rate Swap [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Interest Expense on Interest Rate Swap and Swaption Agreements | (7,656) | (26,147) | (13,846) | (53,673) |
Derivative, Average Notional Amount | $ 14,806,049 | $ 16,681,983 | $ 14,880,324 | $ 17,455,887 |
Schedule of Notional Amounts of
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | $ (26,390,596) | $ (33,709,043) | $ (21,998,381) | $ (48,115,523) |
Derivative, Notional Amount, Additions | (15,731,304) | (11,252,997) | (31,277,266) | (23,545,264) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (15,980,530) | (17,560,705) | (27,134,277) | (44,259,452) |
Derivative, Notional Amount, Ending Balance | (26,141,370) | (27,401,335) | (26,141,370) | (27,401,335) |
Derivative, Average Notional Amount | (24,908,389) | (28,369,326) | (23,741,682) | (34,416,325) |
Gain (Loss) on Sale of Derivatives | (42,348) | (85,277) | 8,109 | (82,382) |
Inverse Interest-Only Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (882,726) | (1,106,210) | (932,037) | (1,168,226) |
Derivative, Notional Amount, Additions | 0 | (12,563) | 0 | (12,563) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (47,860) | (69,030) | (97,171) | (131,046) |
Derivative, Notional Amount, Ending Balance | (834,866) | (1,049,743) | (834,866) | (1,049,743) |
Derivative, Average Notional Amount | (860,864) | (1,086,760) | (885,121) | (1,112,471) |
Gain (Loss) on Sale of Derivatives | 0 | 64 | 0 | 64 |
Interest Rate Swap [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (15,425,513) | (19,929,000) | (14,268,806) | (18,584,000) |
Derivative, Notional Amount, Additions | (5,264,513) | (11,493,227) | (12,102,026) | (17,113,227) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (6,993,026) | (15,196,704) | (12,673,832) | (19,471,704) |
Derivative, Notional Amount, Ending Balance | (13,697,000) | (16,225,523) | (13,697,000) | (16,225,523) |
Derivative, Average Notional Amount | (14,806,049) | (16,681,983) | (14,880,324) | (17,455,887) |
Gain (Loss) on Sale of Derivatives | (26,297) | (66,799) | 6,302 | (67,869) |
Credit Default Swap [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (125,000) | (125,000) | (125,000) | (125,000) |
Derivative, Notional Amount, Additions | 0 | 0 | (10,000) | 0 |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (100,000) | 0 | (110,000) | 0 |
Derivative, Notional Amount, Ending Balance | (25,000) | (125,000) | (25,000) | (125,000) |
Derivative, Average Notional Amount | (112,912) | (125,000) | (119,670) | (125,000) |
Gain (Loss) on Sale of Derivatives | 0 | 0 | 412 | 0 |
Interest Rate Swaption [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (5,200,000) | (12,960,000) | (5,200,000) | (12,410,000) |
Derivative, Notional Amount, Additions | (600,000) | (1,500,000) | (2,600,000) | (7,050,000) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (4,000,000) | (5,050,000) | (6,000,000) | (10,050,000) |
Derivative, Notional Amount, Ending Balance | (1,800,000) | (9,410,000) | (1,800,000) | (9,410,000) |
Derivative, Average Notional Amount | (4,174,725) | (10,292,418) | (4,695,604) | (11,564,972) |
Gain (Loss) on Sale of Derivatives | (28,819) | (8,053) | (30,789) | 4,793 |
Forward Contracts [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (1,637,000) | (2,496,000) | (297,000) | (1,325,000) |
Derivative, Notional Amount, Additions | (121,000) | (3,929,000) | (4,436,000) | (10,862,000) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (2,095,000) | (5,401,000) | (5,070,000) | (11,163,000) |
Derivative, Notional Amount, Ending Balance | (337,000) | (1,024,000) | (337,000) | (1,024,000) |
Derivative, Average Notional Amount | (189,231) | (1,362,451) | (171,220) | (1,739,978) |
Gain (Loss) on Sale of Derivatives | 12,901 | (7,482) | 31,751 | (24,846) |
Options Held [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (2,000,000) | (2,500,000) | 0 | (2,000,000) |
Derivative, Notional Amount, Additions | (8,897,000) | 0 | (10,897,000) | (250,000) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (2,000,000) | (2,500,000) | (2,000,000) | (2,250,000) |
Derivative, Notional Amount, Ending Balance | (8,897,000) | 0 | (8,897,000) | 0 |
Derivative, Average Notional Amount | (3,557,242) | (722,527) | (1,819,830) | (359,116) |
Gain (Loss) on Sale of Derivatives | (1,348) | 10,843 | (1,348) | 7,796 |
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) | (14,000,000) | ||
Derivative, Notional Amount, Additions | 0 | (6,000,000) | ||
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (3,000,000) | (20,000,000) | ||
Derivative, Notional Amount, Ending Balance | 0 | 0 | ||
Derivative, Average Notional Amount | (384,615) | (4,552,486) | ||
Gain (Loss) on Sale of Derivatives | 1,310 | 7,694 | ||
Total Return Swap [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (868,145) | (877,529) | (889,418) | (598,459) |
Derivative, Notional Amount, Additions | 0 | (747,910) | 0 | (1,424,543) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (280,108) | (637,030) | (301,381) | (1,034,593) |
Derivative, Notional Amount, Ending Balance | (588,037) | (988,409) | (588,037) | (988,409) |
Derivative, Average Notional Amount | (811,749) | (1,201,515) | (843,242) | (1,039,332) |
Gain (Loss) on Sale of Derivatives | 523 | (13,130) | 523 | (8,928) |
Loan Purchase Commitments [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | (252,212) | (707,304) | (286,120) | (554,838) |
Derivative, Notional Amount, Additions | (848,791) | (978,297) | (1,232,240) | (2,106,931) |
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (464,536) | (1,058,941) | (881,893) | (2,035,109) |
Derivative, Notional Amount, Ending Balance | (636,467) | (626,660) | (636,467) | (626,660) |
Derivative, Average Notional Amount | (395,617) | (679,266) | (326,671) | (663,890) |
Gain (Loss) on Sale of Derivatives | $ 692 | (1,318) | $ 1,258 | (374) |
Short US Treasury Securities [Member] | ||||
Derivative [Line Items] | ||||
Derivative, Notional Amount, Beginning Balance | 0 | 0 | ||
Derivative, Notional Amount, Additions | (50,000) | (50,000) | ||
Derivative, Notional Amount, Settlement Termination Expiration or Exercise | (50,000) | (50,000) | ||
Derivative, Notional Amount, Ending Balance | 0 | 0 | ||
Derivative, Average Notional Amount | 0 | 0 | ||
Gain (Loss) on Sale of Derivatives | $ 125 | $ 125 |
Derivative Instruments and He76
Derivative Instruments and Hedging Activities Interest Rate Sensitive Assets/Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Derivatives, Fair Value [Line Items] | ||
Available-for-sale securities, at fair value | $ 13,656,610 | $ 7,825,320 |
Interest-Only-Strip [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Available-for-sale securities, at fair value | $ 53,120 | $ 42,931 |
Derivative Instruments and He77
Derivative Instruments and Hedging Activities Schedule of TBA Contracts (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ (26,141,370) | $ (26,390,596) | $ (21,998,381) | $ (27,401,335) | $ (33,709,043) | $ (48,115,523) |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (16,940,106) | (21,735,997) | ||||
Derivative, Fair Value, Net | 223,985 | 271,509 | ||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (15,145,264) | (1,362,384) | ||||
Derivative, Fair Value, Net | (160,724) | (7,285) | ||||
Forward Contracts [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (337,000) | $ (1,637,000) | (297,000) | $ (1,024,000) | $ (2,496,000) | $ (1,325,000) |
Derivative, Cost | 351,859 | 289,759 | ||||
Derivative, Market Value | 356,969 | 289,509 | ||||
Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (1,835,000) | (847,000) | ||||
Derivative, Fair Value, Net | 16,597 | 1,074 | ||||
Forward Contracts [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (2,172,000) | (550,000) | ||||
Derivative, Fair Value, Net | (21,707) | (1,324) | ||||
Forward Contracts [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (1,835,000) | (847,000) | ||||
Derivative, Cost | 1,901,030 | 858,572 | ||||
Derivative, Market Value | 1,917,627 | 859,646 | ||||
Forward Contracts [Member] | Long [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Fair Value, Net | 16,597 | 1,074 | ||||
Forward Contracts [Member] | Long [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Fair Value, Net | 0 | 0 | ||||
Forward Contracts [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (2,172,000) | (550,000) | ||||
Derivative, Cost | 2,252,889 | 568,813 | ||||
Derivative, Market Value | 2,274,596 | 570,137 | ||||
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 | (21,707) | (1,324) | ||||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Forward Contracts [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (1,835,000) | (847,000) | ||||
Interest Rate Risk Associated with the Investment Portfolio [Member] | Forward Contracts [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ (2,172,000) | $ (550,000) |
Derivative Instruments and He78
Derivative Instruments and Hedging Activities Put and Call Options for TBAs (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ (26,141,370) | $ (26,390,596) | $ (21,998,381) | $ (27,401,335) | $ (33,709,043) | $ (48,115,523) |
Options Held [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (8,897,000) | $ (2,000,000) | 0 | $ 0 | $ (2,500,000) | $ (2,000,000) |
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (15,145,264) | (1,362,384) | ||||
Derivative, Fair Value, Net | (160,724) | (7,285) | ||||
Derivative Financial Instruments, Liabilities [Member] | Options Held [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (6,062,000) | |||||
Derivative, Fair Value, Net | (21,564) | 0 | ||||
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (16,940,106) | (21,735,997) | ||||
Derivative, Fair Value, Net | 223,985 | 271,509 | ||||
Derivative Financial Instruments, Assets [Member] | Options Held [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (2,835,000) | |||||
Derivative, Fair Value, Net | 2,042 | 0 | ||||
Long [Member] | Options Held [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (12,212,000) | 0 | ||||
Derivative, Cost | (44,572) | 0 | ||||
Short [Member] | Options Held [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (3,315,000) | 0 | ||||
Derivative, Cost | $ (20,409) | $ 0 |
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, 2016USD ($) | Mar. 31, 2016USD ($) | Dec. 31, 2015USD ($) | Jun. 30, 2015USD ($) | Mar. 31, 2015USD ($) | Dec. 31, 2014USD ($) |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 26,141,370 | $ 26,390,596 | $ 21,998,381 | $ 27,401,335 | $ 33,709,043 | $ 48,115,523 |
Interest Rate Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 13,697,000 | $ 15,425,513 | 14,268,806 | $ 16,225,523 | $ 19,929,000 | $ 18,584,000 |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Interest Rate Swap [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 5,250,000 | $ 3,250,000 | ||||
Derivative, Average Fixed Interest Rate | 1.504% | 1.787% | ||||
Derivative, Average Variable Interest Rate | 0.651% | 0.503% | ||||
Derivative, Average Remaining Period Until Maturity | 2.66 | 3.74 | ||||
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 | $ 4,040,000 | $ 2,040,000 | ||||
Derivative, Average Fixed Interest Rate | 1.307% | 1.563% | ||||
Derivative, Average Variable Interest Rate | 0.654% | 0.487% | ||||
Derivative, Average Remaining Period Until Maturity | 2.08 | 2.94 | ||||
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 | $ 1,210,000 | ||||
Derivative, Average Fixed Interest Rate | 2.164% | 2.164% | ||||
Derivative, Average Variable Interest Rate | 0.638% | 0.531% | ||||
Derivative, Average Remaining Period Until Maturity | 4.58 | 5.08 |
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, 2016USD ($) | Mar. 31, 2016USD ($) | Dec. 31, 2015USD ($) | Jun. 30, 2015USD ($) | Mar. 31, 2015USD ($) | Dec. 31, 2014USD ($) |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 26,141,370 | $ 26,390,596 | $ 21,998,381 | $ 27,401,335 | $ 33,709,043 | $ 48,115,523 |
Interest Rate Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 13,697,000 | $ 15,425,513 | 14,268,806 | $ 16,225,523 | $ 19,929,000 | $ 18,584,000 |
Interest Rate Risk Associated with the Investment Portfolio [Member] | Interest Rate Swap [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 3,064,000 | $ 3,164,000 | ||||
Derivative, Average Variable Interest Rate | 1.784% | 2.145% | ||||
Derivative, Average Fixed Interest Rate | 0.645% | 0.431% | ||||
Derivative, Average Remaining Period Until Maturity | 4.80 | 6.26 | ||||
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 | $ 575,000 | ||||
Derivative, Average Variable Interest Rate | 1.44% | 1.44% | ||||
Derivative, Average Fixed Interest Rate | 0.654% | 0.329% | ||||
Derivative, Average Remaining Period Until Maturity | 2.39 | 2.89 | ||||
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 | $ 500,000 | |||||
Derivative, Average Variable Interest Rate | 1.042% | |||||
Derivative, Average Fixed Interest Rate | 0.635% | |||||
Derivative, Average Remaining Period Until Maturity | 2.56 | |||||
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 | $ 1,989,000 | $ 2,589,000 | ||||
Derivative, Average Variable Interest Rate | 2.07% | 2.301% | ||||
Derivative, Average Fixed Interest Rate | 0.646% | 0.453% | ||||
Derivative, Average Remaining Period Until Maturity | 6.06 | 7 |
Derivative Instruments and He81
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaps Associated with Borrowings (Details) $ in Thousands | Jun. 30, 2016USD ($) | Mar. 31, 2016USD ($) | Dec. 31, 2015USD ($) | Jun. 30, 2015USD ($) | Mar. 31, 2015USD ($) | Dec. 31, 2014USD ($) |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 26,141,370 | $ 26,390,596 | $ 21,998,381 | $ 27,401,335 | $ 33,709,043 | $ 48,115,523 |
Forward Starting Interest Rate Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 563,000 | |||||
Derivative, Average Fixed Interest Rate | 2.30% | |||||
Interest Rate Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 13,697,000 | $ 15,425,513 | 14,268,806 | $ 16,225,523 | $ 19,929,000 | $ 18,584,000 |
Interest Rate Swap [Member] | Interest Rate Risk Associated with Borrowings [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 5,383,000 | $ 7,854,806 | ||||
Derivative, Average Fixed Interest Rate | 0.938% | 1.094% | ||||
Derivative, Average Variable Interest Rate | 0.638% | 0.437% | ||||
Derivative, Average Remaining Period Until Maturity | 2.29 | 3.71 | ||||
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 | $ 1,000,000 | $ 1,700,000 | ||||
Derivative, Average Fixed Interest Rate | 0.435% | 0.462% | ||||
Derivative, Average Variable Interest Rate | 0.64% | 0.481% | ||||
Derivative, Average Remaining Period Until Maturity | 0.48 | 0.73 | ||||
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 | $ 2,375,000 | ||||
Derivative, Average Fixed Interest Rate | 0.765% | 0.765% | ||||
Derivative, Average Variable Interest Rate | 0.638% | 0.51% | ||||
Derivative, Average Remaining Period Until Maturity | 1.09 | 1.59 | ||||
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 | $ 300,000 | $ 800,000 | ||||
Derivative, Average Fixed Interest Rate | 0.984% | 0.944% | ||||
Derivative, Average Variable Interest Rate | 0.638% | 0.384% | ||||
Derivative, Average Remaining Period Until Maturity | 1.58 | 2.14 | ||||
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 | $ 350,000 | ||||
Derivative, Average Fixed Interest Rate | 1.283% | 1.283% | ||||
Derivative, Average Variable Interest Rate | 0.642% | 0.34% | ||||
Derivative, Average Remaining Period Until Maturity | 2.94 | 3.44 | ||||
Interest Rate Swap [Member] | Interest Rate Risk Associated with Borrowings [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 1,358,000 | $ 2,629,806 | ||||
Derivative, Average Fixed Interest Rate | 1.919% | 1.821% | ||||
Derivative, Average Variable Interest Rate | 0.631% | 0.371% | ||||
Derivative, Average Remaining Period Until Maturity | 8.11 | 8.04 |
Derivative Instruments and He82
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaptions (Details) $ in Thousands | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2016USD ($) | Dec. 31, 2015USD ($) | Mar. 31, 2016USD ($) | Jun. 30, 2015USD ($) | Mar. 31, 2015USD ($) | Dec. 31, 2014USD ($) | |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ (26,141,370) | $ (21,998,381) | $ (26,390,596) | $ (27,401,335) | $ (33,709,043) | $ (48,115,523) |
Underlying Swap [Member] | Variable Income Interest Rate [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 6 | 5.9 | ||||
Derivative, Notional Amount | $ (3,500,000) | $ (6,500,000) | ||||
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | ||||
Derivative, Average Fixed Interest Rate | 3.67% | 3.24% | ||||
Underlying Swap [Member] | Variable Income Interest Rate [Member] | Long [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 6.5 | 6.3 | ||||
Derivative, Notional Amount | $ (1,700,000) | $ (2,000,000) | ||||
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | ||||
Derivative, Average Fixed Interest Rate | 4.09% | 2.23% | ||||
Underlying Swap [Member] | Variable Income Interest Rate [Member] | Long [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 5.6 | 5.8 | ||||
Derivative, Notional Amount | $ (1,800,000) | $ (4,500,000) | ||||
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | ||||
Derivative, Average Fixed Interest Rate | 3.27% | 3.69% | ||||
Underlying Swap [Member] | Variable Income Interest Rate [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 10 | 10 | ||||
Derivative, Notional Amount | $ (3,200,000) | $ (800,000) | ||||
Derivative, Description of Variable Reference Rate | 3M Libor | 3M Libor | ||||
Derivative, Average Fixed Interest Rate | 2.14% | 3.44% | ||||
Underlying Swap [Member] | Variable Income Interest Rate [Member] | Short [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 10 | |||||
Derivative, Notional Amount | $ (2,400,000) | |||||
Derivative, Description of Variable Reference Rate | 3M Libor | |||||
Derivative, Average Fixed Interest Rate | 1.71% | |||||
Underlying Swap [Member] | Variable Income Interest Rate [Member] | Short [Member] | Six Months or Longer Remaining Maturity [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 | 3.44% | 3.44% | ||||
Underlying Swap [Member] | Fixed Income Interest Rate [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 10 | |||||
Derivative, Notional Amount | $ (1,500,000) | |||||
Derivative, Description of Variable Reference Rate | 3M Libor | |||||
Derivative, Average Fixed Interest Rate | 1.53% | |||||
Underlying Swap [Member] | Fixed Income Interest Rate [Member] | Long [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 10 | |||||
Derivative, Notional Amount | $ (1,500,000) | |||||
Derivative, Description of Variable Reference Rate | 3M Libor | |||||
Derivative, Average Fixed Interest Rate | 1.53% | |||||
Underlying Swap [Member] | Fixed Income Interest Rate [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 10 | |||||
Derivative, Notional Amount | $ (500,000) | |||||
Derivative, Description of Variable Reference Rate | 3M Libor | |||||
Derivative, Average Fixed Interest Rate | 1.75% | |||||
Underlying Swap [Member] | Fixed Income Interest Rate [Member] | Short [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Remaining Period Until Maturity | 10 | |||||
Derivative, Notional Amount | $ (500,000) | |||||
Derivative, Description of Variable Reference Rate | 3M Libor | |||||
Derivative, Average Fixed Interest Rate | 1.75% | |||||
Interest Rate Swaption [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ (1,800,000) | $ (5,200,000) | $ (5,200,000) | $ (9,410,000) | $ (12,960,000) | $ (12,410,000) |
Interest Rate Swaption [Member] | Variable Income Interest Rate [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | (99,773) | (126,648) | ||||
Derivative, Fair Value, Net | $ (366) | $ (19,324) | ||||
Derivative, Average Remaining Period Until Maturity | 11.88 | 38.51 | ||||
Interest Rate Swaption [Member] | Variable Income Interest Rate [Member] | Long [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ (56,758) | $ (375) | ||||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | $ (174) | |||||
Derivative, Fair Value, Net | $ 0 | |||||
Derivative, Average Remaining Period Until Maturity | 1.97 | 0.75 | ||||
Interest Rate Swaption [Member] | Variable Income Interest Rate [Member] | Long [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ (43,015) | $ (126,273) | ||||
Derivative, Fair Value, Net | $ (366) | $ (19,150) | ||||
Derivative, Average Remaining Period Until Maturity | 11.88 | 39.17 | ||||
Interest Rate Swaption [Member] | Variable Income Interest Rate [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ (107,210) | $ (81,248) | ||||
Derivative, Fair Value, Net | $ (10,668) | $ (6,738) | ||||
Derivative, Average Remaining Period Until Maturity | 2.21 | 18.01 | ||||
Interest Rate Swaption [Member] | Variable Income Interest Rate [Member] | Short [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ (25,962) | |||||
Derivative, Fair Value, Net | $ (10,237) | |||||
Derivative, Average Remaining Period Until Maturity | 2.07 | |||||
Interest Rate Swaption [Member] | Variable Income Interest Rate [Member] | Short [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ (81,248) | $ (81,248) | ||||
Derivative, Fair Value, Net | $ (431) | $ (6,738) | ||||
Derivative, Average Remaining Period Until Maturity | 12.01 | 18.01 | ||||
Interest Rate Swaption [Member] | Fixed Income Interest Rate [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ (20,468) | |||||
Derivative, Fair Value, Net | $ (27,362) | |||||
Derivative, Average Remaining Period Until Maturity | 1.93 | |||||
Interest Rate Swaption [Member] | Fixed Income Interest Rate [Member] | Long [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ (20,468) | |||||
Derivative, Fair Value, Net | $ (27,362) | |||||
Derivative, Average Remaining Period Until Maturity | 1.93 | |||||
Interest Rate Swaption [Member] | Fixed Income Interest Rate [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ (100) | |||||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | $ (43) | |||||
Derivative, Average Remaining Period Until Maturity | 0.73 | |||||
Interest Rate Swaption [Member] | Fixed Income Interest Rate [Member] | Short [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Cost | $ (100) | |||||
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | $ (43) | |||||
Derivative, Average Remaining Period Until Maturity | 0.73 |
Derivative Instruments and He83
Derivative Instruments and Hedging Activities Schedule of Total Return Swaps (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ (26,141,370) | $ (26,390,596) | $ (21,998,381) | $ (27,401,335) | $ (33,709,043) | $ (48,115,523) |
Total Return Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (588,037) | $ (868,145) | (889,418) | $ (988,409) | $ (877,529) | $ (598,459) |
Derivative, Fair Value, Net | (7,419) | 1,645 | ||||
Derivative, Cost | 3,539 | 1,383 | ||||
Derivative, Unrealized Gains (Losses) | (10,958) | 262 | ||||
Maturity Date, 1/12/2043 [Member] | Total Return Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (275,900) | (369,639) | ||||
Derivative, Fair Value, Net | (3,455) | 456 | ||||
Derivative, Cost | 1,818 | 866 | ||||
Derivative, Unrealized Gains (Losses) | (5,273) | (410) | ||||
Maturity Date, 1/12/2044 [Member] | Total Return Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (257,720) | (325,003) | ||||
Derivative, Fair Value, Net | (3,187) | 350 | ||||
Derivative, Cost | 2,346 | 1,679 | ||||
Derivative, Unrealized Gains (Losses) | (5,533) | (1,329) | ||||
Maturity Date, 1/12/2045 [Member] | Total Return Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (54,417) | (194,776) | ||||
Derivative, Fair Value, Net | (777) | 839 | ||||
Derivative, Cost | (625) | 1,162 | ||||
Derivative, Unrealized Gains (Losses) | (152) | 2,001 | ||||
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (16,940,106) | (21,735,997) | ||||
Derivative, Fair Value, Net | 223,985 | 271,509 | ||||
Derivative Financial Instruments, Assets [Member] | Total Return Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 0 | (889,418) | ||||
Derivative, Fair Value, Net | $ 0 | $ 1,645 |
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, 2016USD ($) | Dec. 31, 2015USD ($) | Mar. 31, 2016USD ($) | Jun. 30, 2015USD ($) | Mar. 31, 2015USD ($) | Dec. 31, 2014USD ($) | |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ (26,141,370) | $ (21,998,381) | $ (26,390,596) | $ (27,401,335) | $ (33,709,043) | $ (48,115,523) |
Credit Default Swap, Buying Protection [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Average Implied Credit Spread | 496 | 183.60 | ||||
Derivative, Notional Amount | $ (25,000) | $ (125,000) | ||||
Derivative, Fair Value, Net | (99) | (703) | ||||
Derivative, Cost | (4,062) | (4,322) | ||||
Derivative, Unrealized Gains (Losses) | $ (4,161) | $ (5,025) | ||||
Maturity Date, 06/20/2016 [Member] | Credit Default Swap, Buying Protection [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Maturity Date | Jun. 20, 2016 | |||||
Derivative, Average Implied Credit Spread | 105.50 | |||||
Derivative, Notional Amount | $ (100,000) | |||||
Derivative, Fair Value, Net | (502) | |||||
Derivative, Cost | (260) | |||||
Derivative, Unrealized Gains (Losses) | $ (762) | |||||
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, Notional Amount | $ (25,000) | $ (25,000) | ||||
Derivative, Fair Value, Net | (99) | (201) | ||||
Derivative, Cost | (4,062) | (4,062) | ||||
Derivative, Unrealized Gains (Losses) | (4,161) | (4,263) | ||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | (15,145,264) | (1,362,384) | ||||
Derivative, Fair Value, Net | $ 160,724 | $ 7,285 |
Derivative Instruments and He85
Derivative Instruments and Hedging Activities Credit Risk - Counterparty Exposure (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Offsetting Assets and Liabilities [Line Items] | ||
Derivative, Collateral, Obligation to Return Cash | $ 4,500 | |
Derivative, Collateral, Right to Reclaim Cash | 269,358 | |
Derivative Financial Instruments, Assets [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Derivative, Fair Value, Net | 223,985 | $ 271,509 |
Derivative Financial Instruments, Liabilities [Member] | ||
Offsetting Assets and Liabilities [Line Items] | ||
Derivative, Fair Value, Net | $ (160,724) | $ (7,285) |
Derivative Instruments and He86
Derivative Instruments and Hedging Activities Commitments to Purchase Residential Mortgage Loans Held-for-Sale (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Derivative [Line Items] | ||||||
Derivative, Notional Amount | $ 26,141,370 | $ 26,390,596 | $ 21,998,381 | $ 27,401,335 | $ 33,709,043 | $ 48,115,523 |
Loan Purchase Commitments [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 636,467 | $ 252,212 | 286,120 | $ 626,660 | $ 707,304 | $ 554,838 |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 16,940,106 | 21,735,997 | ||||
Derivative, Fair Value, Net | 223,985 | 271,509 | ||||
Derivative Financial Instruments, Assets [Member] | Loan Purchase Commitments [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 521,240 | 98,736 | ||||
Derivative, Fair Value, Net | 810 | 77 | ||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 15,145,264 | 1,362,384 | ||||
Derivative, Fair Value, Net | (160,724) | (7,285) | ||||
Derivative Financial Instruments, Liabilities [Member] | Loan Purchase Commitments [Member] | ||||||
Derivative [Line Items] | ||||||
Derivative, Notional Amount | 115,227 | 187,384 | ||||
Derivative, Fair Value, Net | $ (70) | $ (427) |
Derivative Instruments and He87
Derivative Instruments and Hedging Activities Schedule of Inverse Interest-Only Securities Reconciliation (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Derivatives, Fair Value [Line Items] | ||||||
Interest Receivable | $ 63,915 | $ 49,970 | ||||
Derivative, Notional Amount | 26,141,370 | $ 26,390,596 | 21,998,381 | $ 27,401,335 | $ 33,709,043 | $ 48,115,523 |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Derivative, Fair Value, Net | 223,985 | 271,509 | ||||
Derivative, Notional Amount | 16,940,106 | 21,735,997 | ||||
Inverse Interest-Only Securities [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Derivative, Fair Value, Net | 153,512 | 159,582 | ||||
Interest Receivable | 1,481 | 1,676 | ||||
Derivative, Notional Amount | 834,866 | $ 882,726 | 932,037 | $ 1,049,743 | $ 1,106,210 | $ 1,168,226 |
Derivative, Unamortized Premium | 0 | 0 | ||||
Derivative, Designated Credit Reserve | 0 | 0 | ||||
Derivative, Net, Unamortized | (710,204) | (792,178) | ||||
Derivative, Amortized Cost Basis | 124,662 | 139,859 | ||||
Derivative, Gross Unrealized Gains | 27,866 | 19,655 | ||||
Derivative, Gross Unrealized Losses | (496) | (1,608) | ||||
Derivative, Carrying Value | 152,032 | 157,906 | ||||
Inverse Interest-Only Securities [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Derivative, Notional Amount | $ 834,866 | $ 932,037 |
Other Assets (Details)
Other Assets (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Other Assets [Line Items] | ||
Property, Plant and Equipment, Gross | $ 6,460 | $ 5,997 |
Accumulated Depreciation, Depletion and Amortization, Property, Plant, and Equipment | (3,946) | (3,303) |
Property, Plant and Equipment, Net | 2,514 | 2,694 |
Prepaid Expense | 986 | 1,572 |
Income Taxes Receivable, Current | 1,617 | 5,286 |
Deferred Tax Assets, Net | 58,466 | 44,318 |
Servicing advances | 56,827 | 37,499 |
Federal Home Loan Bank stock | 167,856 | 156,650 |
Cost Method Investments | 3,000 | 3,000 |
Other Receivables | 26,369 | 20,556 |
Other Assets | 317,635 | 271,575 |
Federal Home Loan Bank of Des Moines [Member] | ||
Other Assets [Line Items] | ||
Federal Home Loan Bank stock | $ 167,856 | $ 156,650 |
Other Assets Depreciation Expen
Other Assets Depreciation Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2016 | Jun. 30, 2016 | Jun. 30, 2015 | |
Property, Plant and Equipment [Line Items] | |||
Depreciation of fixed assets | $ 335 | $ 664 | $ 652 |
Other Liabilities (Details)
Other Liabilities (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Other Liabilities [Abstract] | ||
Accrued Liabilities, Current | $ 29,265 | $ 37,052 |
Interest Payable | 25,267 | 18,723 |
Taxes Payable | 0 | 70 |
Other Accounts Payable and Accrued Liabilities | 18,098 | 16,387 |
Other liabilities | $ 72,630 | $ 72,232 |
Fair Value, Measurement Inputs,
Fair Value, Measurement Inputs, Disclosure (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
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 | 74.40% | |||||
Mortgage Loans Held-for-sale Categorized as Level 2 Assets | 89.10% | |||||
Mortgage Loans Held-for-sale Categorized as Level 3 Assets | 10.90% | |||||
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 | $ 26,141,370 | $ 26,390,596 | $ 21,998,381 | $ 27,401,335 | $ 33,709,043 | $ 48,115,523 |
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 | $ 13,656,610 | 7,825,320 | ||||
Mortgage servicing rights | 427,813 | 446,170 | 493,688 | 437,576 | 410,229 | 452,006 |
Loan Purchase Commitments [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Derivative, Notional Amount | 636,467 | $ 252,212 | 286,120 | $ 626,660 | $ 707,304 | $ 554,838 |
Derivative Financial Instruments, Liabilities [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Derivative, Notional Amount | 15,145,264 | 1,362,384 | ||||
Derivative, Fair Value, Net | (160,724) | (7,285) | ||||
Derivative Financial Instruments, Liabilities [Member] | Loan Purchase Commitments [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Derivative, Notional Amount | 115,227 | 187,384 | ||||
Derivative, Fair Value, Net | (70) | (427) | ||||
Fair Value, Measurements, Recurring [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale Securities | 13,656,610 | 7,825,320 | ||||
Residential mortgage loans held-for-sale | 609,060 | 811,431 | ||||
Residential mortgage loans held-for-investment in securitization trust | 3,446,712 | 3,173,727 | ||||
Mortgage servicing rights | 427,813 | 493,688 | ||||
Derivative assets | 223,985 | 271,509 | ||||
Assets, Fair Value Disclosure | 18,364,180 | 12,575,675 | ||||
Collateralized borrowings in securitization trust | 3,111,861 | 2,000,110 | ||||
Derivative liabilities | 160,724 | 7,285 | ||||
Liabilities, Fair Value Disclosure | 3,272,585 | 2,007,395 | ||||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale Securities | 0 | 0 | ||||
Residential mortgage loans held-for-sale | 0 | 0 | ||||
Residential mortgage loans held-for-investment in securitization trust | 0 | 0 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Derivative assets | 16,597 | 1,074 | ||||
Assets, Fair Value Disclosure | 16,597 | 1,074 | ||||
Collateralized borrowings in securitization trust | 0 | 0 | ||||
Derivative liabilities | 21,707 | 1,324 | ||||
Liabilities, Fair Value Disclosure | 21,707 | 1,324 | ||||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale Securities | 13,656,610 | 7,825,320 | ||||
Residential mortgage loans held-for-sale | 542,691 | 764,319 | ||||
Residential mortgage loans held-for-investment in securitization trust | 3,446,712 | 3,173,727 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Derivative assets | 207,388 | 270,435 | ||||
Assets, Fair Value Disclosure | 17,853,401 | 12,033,801 | ||||
Collateralized borrowings in securitization trust | 3,111,861 | 2,000,110 | ||||
Derivative liabilities | 139,017 | 5,961 | ||||
Liabilities, Fair Value Disclosure | 3,250,878 | 2,006,071 | ||||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale Securities | 0 | 0 | ||||
Residential mortgage loans held-for-sale | 66,369 | 47,112 | ||||
Residential mortgage loans held-for-investment in securitization trust | 0 | 0 | ||||
Mortgage servicing rights | 427,813 | 493,688 | ||||
Derivative assets | 0 | 0 | ||||
Assets, Fair Value Disclosure | 494,182 | 540,800 | ||||
Collateralized borrowings in securitization trust | 0 | 0 | ||||
Derivative liabilities | 0 | 0 | ||||
Liabilities, Fair Value Disclosure | $ 0 | $ 0 |
Fair Value, Assets Measured on
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended |
Jun. 30, 2016 | Jun. 30, 2016 | |
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 | $ 72,297 | $ 47,112 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Realized Gain (Loss) Included in Earnings | 3,264 | 4,485 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Unrealized Gain (Loss) Included in Earnings | 1,291 | (4) |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | 4,555 | 4,481 |
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 | 53,992 | 125,558 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Sales | (35,330) | (55,395) |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | 29,145 | 55,387 |
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 | 66,369 | 66,369 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | 1,035 | 60 |
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 | 446,170 | 493,688 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Realized Gain (Loss) Included in Earnings | (17,461) | (34,542) |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Unrealized Gain (Loss) Included in Earnings | (59,074) | (143,433) |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Earnings | (76,535) | (177,975) |
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 | 56,256 | 106,733 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Sales | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Settlements | 1,922 | 5,367 |
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 | 427,813 | 427,813 |
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) | $ (59,074) | $ (143,433) |
Fair Value, Quantitative Inform
Fair Value, Quantitative Information about Level 3 Fair Value Measurements (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||||
Jun. 30, 2016 | Dec. 31, 2015 | Mar. 31, 2016 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||
Mortgage servicing rights | $ 427,813 | $ 493,688 | $ 446,170 | $ 437,576 | $ 410,229 | $ 452,006 |
Fair Value Measurements, Valuation Processes, Description | Discounted cash flow | |||||
Fair Value Inputs, Prepayment Rate | 18.30% | 11.80% | ||||
Fair Value Inputs, Probability of Default | 2.80% | 4.00% | ||||
Fair Value Inputs, Discount Rate | 8.50% | 10.10% | ||||
Minimum [Member] | ||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||
Fair Value Inputs, Prepayment Rate | 15.40% | |||||
Fair Value Inputs, Probability of Default | 2.60% | |||||
Fair Value Inputs, Discount Rate | 7.90% | |||||
Maximum [Member] | ||||||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||||||
Fair Value Inputs, Prepayment Rate | 22.00% | |||||
Fair Value Inputs, Probability of Default | 3.00% | |||||
Fair Value Inputs, Discount Rate | 9.20% |
Fair Value, Option, Quantitativ
Fair Value, Option, Quantitative Disclosures (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ 9,652 | $ (4,409) | $ 41,738 | $ 13,539 |
Fair Value, Option, Credit Risk, Gains (Losses) on Assets | (46) | 272 | 64 | 30 |
Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | (1,174) | 0 | (1,157) | 0 |
Loans Held-for-sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 12,436 | 4,499 | 29,609 | 17,836 |
Fair Value, Option, Credit Risk, Gains (Losses) on Assets | (46) | 272 | 64 | 30 |
Loans Held-for-investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 50,052 | (27,313) | 106,379 | (9,027) |
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) | (51,662) | 18,405 | (93,093) | 4,730 |
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) | 14,391 | 16,217 | 35,006 | 28,017 |
Interest Income [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 116 | 0 | 117 | 0 |
Interest Income [Member] | Loans Held-for-sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 4,960 | 7,518 | 12,162 | 11,789 |
Interest Income [Member] | Loans Held-for-investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 34,499 | 21,830 | 67,270 | 40,067 |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | (1,290) | 0 | (1,274) | 0 |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | (1,290) | 0 | (1,274) | 0 |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Loans Held-for-sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | 0 | 0 | 0 |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Loans Held-for-investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | 0 | 0 | 0 |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 0 | 0 | 0 | 0 |
Interest Expense [Member] | Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | (25,184) | (13,131) | (44,543) | (23,839) |
Gain (Loss) on Mortgage Loans [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 7,476 | (3,019) | 17,447 | 6,047 |
Gain (Loss) on Mortgage Loans [Member] | Available-for-sale Securities [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] | Loans Held-for-sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 7,476 | (3,019) | 17,447 | 6,047 |
Gain (Loss) on Mortgage Loans [Member] | Loans Held-for-investment, Residential 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) | (10,925) | (17,607) | (9,441) | (20,525) |
Other Income [Member] | Available-for-sale Securities [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-sale, Residential 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, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | 15,553 | (49,143) | 39,109 | (49,094) |
Other Income [Member] | Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Changes in Fair Value, Gain (Loss) | $ (26,478) | $ 31,536 | $ (48,550) | $ 28,569 |
Fair Value Schedule of Financin
Fair Value Schedule of Financing Receivables, Non Accrual Status (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Dec. 31, 2014 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-sale, at fair value | $ 609,060 | $ 811,431 | $ 695,078 | $ 535,712 |
Collateralized borrowings in securitization trust, at fair value | 3,111,861 | 2,000,110 | ||
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 3,446,712 | 3,173,727 | ||
Loan Held-for-Sale, Residential Mortgages, Unpaid Principal [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-sale, at fair value | 602,854 | 812,661 | ||
Fair Value, Option, Loans Held as Assets, Aggregate Amount in Nonaccrual Status | 51,480 | 30,438 | ||
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | 46,695 | 26,702 | ||
Loans Held-for-sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-sale, at fair value | 609,060 | 811,431 | ||
Fair Value, Option, Loans Held as Assets, Aggregate Amount in Nonaccrual Status | 46,106 | 25,771 | ||
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | 41,585 | 22,470 | ||
Loans Held-for-investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Loans Held as Assets, Aggregate Amount in Nonaccrual Status | 879 | 868 | ||
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | 879 | 868 | ||
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 3,446,712 | 3,173,727 | ||
Loans Held-for-Investment, Residential Mortgages, Unpaid Principal [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value, Option, Loans Held as Assets, Aggregate Amount in Nonaccrual Status | 860 | 860 | ||
Fair Value, Option, Loans Held as Assets, 90 Days or More Past Due | 860 | 860 | ||
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 3,363,919 | 3,143,515 | ||
Collateralized Borrowings, Unpaid Principal [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Collateralized borrowings in securitization trust, at fair value | 3,081,328 | 2,023,239 | ||
Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Collateralized borrowings in securitization trust, at fair value | $ 3,111,861 | $ 2,000,110 |
Fair Value of Financial Instrum
Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 9,669,848 | $ 5,008,274 |
Long-term Federal Home Loan Bank Advances | 3,348,762 | |
Maturity Over One Year [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 207,028 | $ 0 |
Fair Value by Balance Sheet Gro
Fair Value by Balance Sheet Grouping (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Available-for-sale Securities | $ 13,656,610 | $ 7,825,320 | ||||
Residential mortgage loans held-for-sale, at fair value | 609,060 | 811,431 | ||||
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 3,446,712 | 3,173,727 | ||||
Commercial real estate assets | 926,377 | $ 744,259 | 660,953 | $ 45,605 | $ 45,556 | $ 0 |
Mortgage servicing rights | 427,813 | $ 446,170 | 493,688 | 437,576 | $ 410,229 | 452,006 |
Cash and Cash Equivalents, at Carrying Value | 692,188 | 737,831 | $ 933,579 | $ 1,005,792 | ||
Restricted Cash and Cash Equivalents | 363,166 | 262,562 | ||||
Derivative Asset, Fair Value, Gross Asset | 223,985 | 271,509 | ||||
Federal Home Loan Bank stock | 167,856 | 156,650 | ||||
Cost Method Investments | 3,000 | 3,000 | ||||
Securities Sold under Agreements to Repurchase | 9,669,848 | 5,008,274 | ||||
Collateralized borrowings in securitization trust, at fair value | 3,111,861 | 2,000,110 | ||||
Federal Home Loan Bank advances | 4,000,000 | 3,785,000 | ||||
Derivative Liability, Fair Value, Gross Liability | 160,724 | 7,285 | ||||
Federal Home Loan Bank of Des Moines [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Federal Home Loan Bank stock | 167,856 | 156,650 | ||||
Federal Home Loan Bank advances | $ 4,000,000 | $ 3,785,000 |
Repurchase Agreements Schedule
Repurchase Agreements Schedule of Repurchase Agreements by Term, Short or Long (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 9,669,848 | $ 5,008,274 |
Maturity up to One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 9,462,820 | 5,008,274 |
Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 207,028 | $ 0 |
Schedule of Repurchase Agreemen
Schedule of Repurchase Agreements by Maturity (Details) $ in Thousands | Jun. 30, 2016USD ($) | Dec. 31, 2015USD ($) |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Interest Rate | 1.01% | 1.10% |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 9,669,848 | $ 5,008,274 |
Assets Sold under Agreements to Repurchase, Weighted Average Remaining Maturity | 75 | 35 |
US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Interest Rate | 0.72% | 0.65% |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 7,962,228 | $ 3,337,710 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Interest Rate | 2.31% | 2.03% |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 1,312,992 | $ 1,480,182 |
Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Interest Rate | 1.51% | 1.18% |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 109,976 | $ 122,523 |
Loans Held-for-sale, Residential Mortgages [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Interest Rate | 2.72% | 2.87% |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 22,153 | $ 8,510 |
Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Interest Rate | 2.88% | 2.62% |
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 262,499 | $ 59,349 |
Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 3,824,736 | 2,689,363 |
Maturity up to 30 days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 3,180,536 | 1,719,292 |
Maturity up to 30 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 536,508 | 852,436 |
Maturity up to 30 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 52,221 | 58,286 |
Maturity up to 30 days [Member] | Loans Held-for-sale, Residential Mortgages [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 0 |
Maturity up to 30 days [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 55,471 | 59,349 |
Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 1,556,013 | 1,739,237 |
Maturity 30 to 59 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 1,320,164 | 1,407,353 |
Maturity 30 to 59 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 181,938 | 271,819 |
Maturity 30 to 59 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 53,911 | 60,065 |
Maturity 30 to 59 Days [Member] | Loans Held-for-sale, Residential Mortgages [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 0 |
Maturity 30 to 59 Days [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 0 |
Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 1,533,391 | 161,449 |
Maturity 60 to 89 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 1,452,639 | 143,051 |
Maturity 60 to 89 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 76,908 | 15,691 |
Maturity 60 to 89 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 3,844 | 2,707 |
Maturity 60 to 89 Days [Member] | Loans Held-for-sale, Residential Mortgages [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 0 |
Maturity 60 to 89 Days [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 0 |
Maturity 90 to 119 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 1,075,158 | 175,486 |
Maturity 90 to 119 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 857,556 | 68,014 |
Maturity 90 to 119 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 195,449 | 106,007 |
Maturity 90 to 119 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 1,465 |
Maturity 90 to 119 Days [Member] | Loans Held-for-sale, Residential Mortgages [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 22,153 | 0 |
Maturity 90 to 119 Days [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 0 |
Maturity 120 to 364 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 1,473,522 | 242,739 |
Maturity 120 to 364 days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 1,151,333 | 0 |
Maturity 120 to 364 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 322,189 | 234,229 |
Maturity 120 to 364 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 0 |
Maturity 120 to 364 days [Member] | Loans Held-for-sale, Residential Mortgages [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 8,510 |
Maturity 120 to 364 days [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | 0 |
Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 207,028 | $ 0 |
Maturity Over One Year [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | |
Maturity Over One Year [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | |
Maturity Over One Year [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | |
Maturity Over One Year [Member] | Loans Held-for-sale, Residential Mortgages [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 0 | |
Maturity Over One Year [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 207,028 |
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, 2016 | Dec. 31, 2015 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | $ 10,927,184 | $ 6,049,954 |
Available-for-sale Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 10,061,919 | 5,354,104 |
Loans Held-for-sale, Residential Mortgages [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 24,297 | 9,543 |
Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 374,904 | 108,958 |
Retained Interest [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 227,820 | 274,949 |
Cash and Cash Equivalents [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 12,624 | 15,000 |
Restricted Cash and Cash Equivalents [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 64,241 | 119,310 |
Due From Correspondent Brokers [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | 9,362 | 10,211 |
Derivative Financial Instruments, Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets Sold under Agreements to Repurchase, Market Value | $ 152,017 | $ 157,879 |
Schedule of Repurchase Agree101
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity (Details) $ in Thousands | Jun. 30, 2016USD ($) | Dec. 31, 2015USD ($) |
Repurchase Agreement Counterparty [Line Items] | ||
Payables to Broker-Dealers and Clearing Organizations | $ 1,235,189 | |
Assets Sold under Agreements to Repurchase, Repurchase Liability | 9,669,848 | $ 5,008,274 |
Repurchase Agreement Counterparty, Amount at Risk | 1,252,851 | 1,035,785 |
Repurchase Agreement Counterparty, Royal Bank of Canada [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | 977,474 | 799,527 |
Repurchase Agreement Counterparty, Amount at Risk | $ 227,645 | $ 217,677 |
Repurchase Agreement Counterparty, Percent of Equity at Risk | 7.00% | 6.00% |
Repurchase Agreement Counterparty, Weighted Average Days to Maturity | 65.7 | 31.5 |
Repurchase Agreement Counterparty, All Other Counterparties [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Assets Sold under Agreements to Repurchase, Repurchase Liability | $ 8,692,374 | $ 4,208,747 |
Repurchase Agreement Counterparty, Amount at Risk | $ 1,025,206 | $ 818,108 |
Repurchase Agreement Counterparty, Percent of Equity at Risk | 30.00% | 23.00% |
Repurchase Agreement Counterparty, Weighted Average Days to Maturity | 75.7 | 36.2 |
Number of Repurchase Agreement Counterparties with Whom Repurchase Agreements Are Less Than 10 Percent of Stockholders' Equity | 22 | 20 |
Collateralized Borrowings in102
Collateralized Borrowings in Securitization Trusts, at Fair Value (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Debt Instrument [Line Items] | ||
Collateralized borrowings in securitization trust, at fair value | $ 3,111,861 | $ 2,000,110 |
Debt, Weighted Average Interest Rate | 3.40% | 3.60% |
Federal Home Loan Bank Advan103
Federal Home Loan Bank Advances (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
Federal Home Loan Bank advances | $ 4,000,000 | $ 3,785,000 |
Federal Home Loan Bank, Advances, General Debt Obligations, Amount of Available, Unused Funds | 0 | 215,000 |
Federal Home Loan Bank stock | 167,856 | 156,650 |
Federal Home Loan Bank of Des Moines [Member] | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
Federal Home Loan Bank advances | $ 4,000,000 | $ 3,785,000 |
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Interest Rate at Period End | 0.63% | 0.58% |
Federal Home Loan Bank stock | $ 167,856 | $ 156,650 |
Schedule of Maturities of Feder
Schedule of Maturities of Federal Home Loan Bank Advances (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | $ 4,000,000 | $ 3,785,000 |
Maturity Within One Year [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 651,238 | 0 |
Maturity One to Three Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 815,024 | 651,238 |
Maturity Three to Five Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 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 | $ 2,533,738 | $ 2,318,738 |
Schedule of Underlying Asset105
Schedule of Underlying Assets of Federal Home Loan Bank Advances (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Collateral Pledged | $ 4,410,409 | $ 4,264,416 |
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 | 3,391,613 | 2,412,970 |
Loans Held-for-sale, Residential Mortgages [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Collateral Pledged | 519,482 | 735,911 |
Commercial Real Estate Assets [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank, Advances, General Debt Obligations, Disclosures, Collateral Pledged | 424,464 | 252,172 |
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 | $ 74,850 | $ 863,363 |
Stockholders' Equity Schedule o
Stockholders' Equity Schedule of Dividends Declared (Details) - $ / shares | 3 Months Ended | 6 Months Ended | |||||
Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Dividends Payable [Line Items] | |||||||
Dividends Payable, Date Declared | Jun. 16, 2016 | Mar. 15, 2016 | Dec. 16, 2015 | Sep. 16, 2015 | Jun. 17, 2015 | ||
Dividends Payable, Date of Record | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 30, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | ||
Dividends Payable, Date to be Paid | Jul. 20, 2016 | Apr. 21, 2016 | Jan. 20, 2016 | Oct. 22, 2015 | Jul. 21, 2015 | ||
Common Stock, Dividends, Per Share, Declared | $ 0.23 | $ 0.23 | $ 0.26 | $ 0.26 | $ 0.26 | $ 0.46 | $ 0.52 |
Stockholders' Equity Schedul107
Stockholders' Equity Schedule of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Accumulated Other Comprehensive Income (Loss), Net of Tax | $ 519,697 | $ 359,061 |
Collateralized Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Unrealized Gains | 533,482 | 405,177 |
Available-for-sale Securities, Gross Unrealized Losses | $ (13,785) | $ (46,116) |
Stockholders' Equity Reclassifi
Stockholders' Equity Reclassifications out of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Gain (Loss) on Investments, Excluding Other than Temporary Impairments | $ (37,805) | $ (199,389) | ||
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 | $ 90 | $ 170 | 807 | 297 |
Gain (Loss) on Investments, Excluding Other than Temporary Impairments | (5,130) | (75,135) | (24,256) | (175,071) |
Net Income (Loss), Including Portion Attributable to Noncontrolling Interest | $ (5,040) | $ (74,965) | $ (23,449) | $ (174,774) |
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, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Class of Stock [Line Items] | ||||
Common Stock, Capital Shares Reserved for Future Issuance | 7,500,000 | 7,500,000 | ||
Stock Issued and Outstanding, Shares, Dividend Reinvestment Plan | 312,435 | 312,435 | ||
Stock Issued and Outstanding, Value, Dividend Reinvestment Plan | $ 3,186 | $ 3,186 | ||
Stock Issued During Period, Shares, Dividend Reinvestment Plan | 14,495 | 16,772 | 29,143 | 36,184 |
Stock Issued During Period, Value, Dividend Reinvestment Plan | $ 118 | $ 178 | $ 228 | $ 379 |
Stockholders' Equity Share Repu
Stockholders' Equity Share Repurchase Program (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | |
Class of Stock [Line Items] | |||
Stock Repurchase Program, Number of Shares Authorized to be Repurchased | 75,000,000 | 75,000,000 | 25,000,000 |
Stock Repurchase Program, Number of Additional Shares Authorized to be Repurchased | 50,000,000 | ||
Stock Repurchase Program, Number of Shares Repurchased and Retired to Date | 24,135,000 | 24,135,000 | |
Stock Repurchase Program, Value of Shares Repurchased and Retired to Date | $ 200,375 | $ 200,375 | |
Stock Repurchased and Retired During Period, Shares | 8,020,000 | ||
Stock Repurchased and Retired During Period, Value | $ 61,307 | ||
Common Stock [Member] | |||
Class of Stock [Line Items] | |||
Stock Repurchased and Retired During Period, Shares | 8,020,000 | ||
Stock Repurchased and Retired During Period, Value | $ 80 |
Stockholders' Equity At-the-Mar
Stockholders' Equity At-the-Market Offering (Details) $ in Thousands | Jun. 30, 2016USD ($)shares |
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 | 12 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Additional Shares Authorized | 10,000,000 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Authorized | 13,000,000 | 13,000,000 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 1,746,610 | 1,160,683 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 7.37 | $ 10.49 | |||
Allocated Share-based Compensation Expense | $ 4,904 | $ 2,930 | $ 7,755 | $ 5,619 | |
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 | 68,612 | 45,109 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 8.43 | $ 10.53 | |||
Key Employees [Member] | |||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period | 1,677,998 | 1,115,574 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 7.33 | $ 10.49 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Fair Value Assumptions, Exercise Price | $ 8.56 | $ 8.56 |
Equity Incentive Plan Schedule
Equity Incentive Plan Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity (Details) - $ / shares | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Dec. 31, 2015 | Dec. 31, 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, Grants in Period | 1,746,610 | 1,160,683 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Grants in Period, Weighted Average Grant Date Fair Value | $ 7.37 | $ 10.49 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number | 2,900,156 | 2,386,903 | 2,290,609 | 2,002,406 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period | 1,095,888 | 720,712 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Vested in Period, Weighted Average Grant Date Fair Value | $ 10.35 | $ 10.46 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeited in Period | 41,175 | 55,474 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Forfeitures, Weighted Average Grant Date Fair Value | $ 8.77 | $ 10.19 | ||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value | $ 8.59 | $ 10.36 | $ 10.36 | $ 10.32 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Income Tax Disclosure [Abstract] | ||||
Income Tax Expense (Benefit) | $ (14,762) | $ (6,957) | $ (9,311) | $ (17,614) |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Earnings Per Share, Diluted, by Common Class, Including Two Class Method [Line Items] | ||||
Net income (loss) | $ (16,981) | $ 221,501 | $ (105,911) | $ 316,294 |
Weighted average number of shares of common shares outstanding | 344,336,995 | 364,919,352 | 345,267,094 | 364,775,066 |
Weighted average restricted stock shares | 3,260,960 | 2,154,779 | 3,249,891 | 2,017,393 |
Basic and diluted weighted average shares outstanding | 347,597,955 | 367,074,131 | 348,516,985 | 366,792,459 |
Basic and diluted (loss) earnings per weighted average common share | $ (0.05) | $ 0.60 | $ (0.30) | $ 0.86 |
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, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Related Party Transaction [Line Items] | ||||
Asset Management Costs | $ 11,837 | $ 12,686 | $ 23,881 | $ 25,407 |
Management Fee, Percent | 1.50% | |||
Costs and Expenses, Related Party | 6,033 | 5,359 | $ 12,827 | 10,130 |
Allocated Share-based Compensation Expense | $ 4,904 | $ 2,930 | $ 7,755 | $ 5,619 |