Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2017 | Nov. 07, 2017 | |
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 | Sep. 30, 2017 | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 174,489,081 |
CONDENSED CONSOLIDATED BALANCE
CONDENSED CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
ASSETS | |||
Available-for-sale securities, at fair value | $ 20,199,094 | $ 13,128,857 | |
Commercial real estate assets | 2,171,344 | 1,412,543 | |
Mortgage servicing rights, at fair value | 930,613 | 693,815 | |
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 3,031,191 | 3,271,317 | |
Residential mortgage loans held-for-sale, at fair value | 31,197 | 40,146 | |
Cash and cash equivalents | 539,367 | 406,883 | |
Restricted cash | 343,813 | 408,312 | |
Accrued interest receivable | 85,445 | 62,751 | |
Due from counterparties | 26,445 | 60,380 | |
Derivative assets, at fair value | 238,305 | 324,182 | |
Other assets | 206,960 | 302,870 | |
Total Assets | [1] | 27,803,774 | 20,112,056 |
Liabilities | |||
Repurchase agreements | 18,297,392 | 9,316,351 | |
Collateralized borrowings in securitization trusts, at fair value | 2,785,413 | 3,037,196 | |
Federal Home Loan Bank advances | 1,998,762 | 4,000,000 | |
Revolving credit facilities | 40,000 | 70,000 | |
Convertible senior notes | 282,543 | 0 | |
Derivative liabilities, at fair value | 11,312 | 12,501 | |
Due to counterparties | 45,297 | 111,884 | |
Dividends payable | 102,799 | 83,437 | |
Other liabilities | 108,875 | 79,576 | |
Total Liabilities | [1] | 23,672,393 | 16,710,945 |
Stockholders' Equity | |||
Common stock, par value $0.01 per share; 450,000,000 shares authorized and 174,489,356 and 173,826,163 shares issued and outstanding, respectively | 3,490 | 3,477 | |
Additional paid-in capital | 3,658,835 | 3,659,973 | |
Accumulated other comprehensive income | 423,042 | 199,227 | |
Cumulative earnings | 2,220,700 | 2,038,033 | |
Cumulative distributions to stockholders | (2,781,469) | (2,499,599) | |
Total Stockholders’ Equity | 3,941,564 | 3,401,111 | |
Noncontrolling interest | 189,817 | 0 | |
Total Equity | 4,131,381 | 3,401,111 | |
Total Liabilities and Equity | 27,803,774 | 20,112,056 | |
8.125% Series A cumulative redeemable: 5,750,000 and 0 shares issued and outstanding, respectively ($143,750 liquidation preference) | |||
Stockholders' Equity | |||
Preferred stock, par value $0.01 per share; 50,000,000 shares authorized: | 138,872 | 0 | |
7.625% Series B cumulative redeemable: 11,500,000 and 0 shares issued and outstanding, respectively ($287,500 liquidation preference) | |||
Stockholders' Equity | |||
Preferred stock, par value $0.01 per share; 50,000,000 shares authorized: | $ 278,094 | $ 0 | |
[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 September 30, 2017 and December 31, 2016, assets of the VIEs totaled $3,094,462 and $3,336,292, and liabilities of the VIEs totaled $2,804,685 and $3,058,278, respectively. See Note 3 - Variable Interest Entities for additional information. |
CONDENSED CONSOLIDATED BALANCE3
CONDENSED CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Stockholders' Equity | ||
Preferred stock par value per share (in usd per share) | $ 0.01 | $ 0.01 |
Preferred shares authorized (in shares) | 50,000,000 | 50,000,000 |
Common stock par value per share (in usd per share) | $ 0.01 | $ 0.01 |
Common shares authorized (in shares) | 450,000,000 | 450,000,000 |
Common shares issued (in shares) | 174,489,356 | 173,826,163 |
Common shares outstanding (in shares) | 174,489,356 | 173,826,163 |
Assets of consolidated Variable Interest Entities | $ 3,094,462 | $ 3,336,292 |
Liabilities of consolidated Variable Interest Entities | $ 2,804,685 | $ 3,058,278 |
Series A Preferred Stock [Member] | ||
Stockholders' Equity | ||
Preferred stock dividend rate | 8.125% | 0.00% |
Preferred shares issued (in shares) | 5,750,000 | 0 |
Preferred shares outstanding (in shares) | 5,750,000 | 0 |
Preferred stock liquidation preference | $ 143,750 | $ 0 |
Series B Preferred Stock [Member] | ||
Stockholders' Equity | ||
Preferred stock dividend rate | 7.625% | 0.00% |
Preferred shares issued (in shares) | 11,500,000 | 0 |
Preferred shares outstanding (in shares) | 11,500,000 | 0 |
Preferred stock liquidation preference | $ 287,500 | $ 0 |
CONDENSED CONSOLIDATED STATEMEN
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Interest income: | ||||
Available-for-sale securities | $ 164,169 | $ 111,393 | $ 449,908 | $ 292,333 |
Commercial real estate assets | 30,595 | 15,907 | 80,005 | 40,279 |
Residential mortgage loans held-for-investment in securitization trusts | 29,865 | 33,495 | 92,319 | 100,765 |
Residential mortgage loans held-for-sale | 479 | 7,627 | 1,380 | 19,789 |
Cash and cash equivalents | 1,408 | 440 | 3,087 | 1,235 |
Total interest income | 226,516 | 168,862 | 626,699 | 454,401 |
Interest expense: | ||||
Repurchase agreements | 71,754 | 27,056 | 158,065 | 65,782 |
Collateralized borrowings in securitization trusts | 23,970 | 26,422 | 74,199 | 70,965 |
Federal Home Loan Bank advances | 10,317 | 6,744 | 30,554 | 18,804 |
Revolving credit facilities | 701 | 128 | 1,727 | 128 |
Convertible senior notes | 4,745 | 0 | 13,157 | 0 |
Total interest expense | 111,487 | 60,350 | 277,702 | 155,679 |
Net interest income | 115,029 | 108,512 | 348,997 | 298,722 |
Other-than-temporary impairments: | ||||
Total other-than-temporary impairment losses | 0 | (1,015) | (429) | (1,822) |
Other income (loss): | ||||
Gain (loss) on investment securities | 5,618 | 28,290 | (15,485) | 66,095 |
(Loss) gain on interest rate swap and swaption agreements | (207) | 5,584 | (66,990) | (132,608) |
Loss on other derivative instruments | (18,924) | (12,028) | (66,328) | (44,064) |
Servicing income | 57,387 | 38,708 | 148,468 | 108,657 |
Loss on servicing asset | (29,245) | (33,451) | (90,440) | (211,426) |
Gain (loss) on residential mortgage loans held-for-sale | 355 | (889) | 2,149 | 17,648 |
Other income (loss) | 8,076 | 5,757 | 18,904 | (977) |
Total other income (loss) | 23,060 | 31,971 | (69,722) | (196,675) |
Expenses: | ||||
Management fees | 13,276 | 11,387 | 36,518 | 35,268 |
Servicing expenses | 8,893 | 9,073 | 26,116 | 24,510 |
Securitization deal costs | 0 | 2,080 | 0 | 6,241 |
Other operating expenses | 16,526 | 14,780 | 51,934 | 47,280 |
Restructuring charges | 0 | 1,189 | 0 | 1,189 |
Total expenses | 38,695 | 38,509 | 114,568 | 114,488 |
Income (loss) before income taxes | 99,394 | 100,959 | 164,278 | (14,263) |
Benefit from income taxes | (5,344) | (16,827) | (21,103) | (26,138) |
Net income | 104,738 | 117,786 | 185,381 | 11,875 |
Net income attributable to noncontrolling interest | 2,674 | 0 | 2,714 | 0 |
Net income attributable to Two Harbors Investment Corp. | 102,064 | 117,786 | 182,667 | 11,875 |
Dividends on preferred stock | 8,888 | 0 | 13,173 | 0 |
Net income attributable to common stockholders | $ 93,176 | $ 117,786 | $ 169,494 | $ 11,875 |
Basic earnings per weighted average common share (in usd per share) | $ 0.53 | $ 0.68 | $ 0.97 | $ 0.07 |
Diluted earnings per weighted average common share (in usd per share) | 0.52 | 0.68 | 0.97 | 0.07 |
Dividends declared per common share (in usd per share) | $ 0.52 | $ 0.46 | $ 1.54 | $ 1.38 |
Weighted average basic common shares outstanding (in shares) | 174,488,296 | 173,813,613 | 174,415,232 | 174,109,117 |
Weighted average diluted common shares outstanding (in shares) | 188,907,356 | 173,813,613 | 174,415,232 | 174,109,117 |
Comprehensive income: | ||||
Net income | $ 104,738 | $ 117,786 | $ 185,381 | $ 11,875 |
Other comprehensive income, net of tax: | ||||
Unrealized gain on available-for-sale securities | 68,433 | 18,746 | 223,823 | 179,382 |
Other comprehensive income | 68,433 | 18,746 | 223,823 | 179,382 |
Comprehensive income | 173,171 | 136,532 | 409,204 | 191,257 |
Comprehensive income attributable to noncontrolling interest | 2,682 | 0 | 2,724 | 0 |
Comprehensive income attributable to Two Harbors Investment Corp. | 170,489 | 136,532 | 406,480 | 191,257 |
Dividends on preferred stock | 8,888 | 0 | 13,173 | 0 |
Comprehensive income attributable to common stockholders | $ 161,601 | $ 136,532 | $ 393,307 | $ 191,257 |
CONDENSED CONSOLIDATED STATEME5
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Series B Preferred Stock | Preferred Stock | Preferred StockSeries A Preferred Stock | Preferred StockSeries B Preferred Stock | Common Stock | Additional Paid-in Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total Stockholders' Equity | Total Stockholders' EquityPreferred Stock | Noncontrolling Interest |
Number of preferred shares outstanding at beginning of period (in shares) at Dec. 31, 2015 | 0 | 0 | |||||||||||
Number of common shares outstanding at beginning of period (in shares) at Dec. 31, 2015 | 176,953,404 | ||||||||||||
Stockholders’ equity at beginning of period at Dec. 31, 2015 | $ 0 | $ 0 | $ 3,539 | $ 3,705,519 | $ 359,061 | $ 1,684,755 | $ (2,176,313) | $ 3,576,561 | |||||
Noncontrolling interest at beginning of period at Dec. 31, 2015 | $ 0 | ||||||||||||
Equity at beginning of period at Dec. 31, 2015 | $ 3,576,561 | ||||||||||||
Net income attributable to Two Harbors Investment Corp. | 11,875 | 11,875 | 11,875 | ||||||||||
Net income attributable to noncontrolling interest | 0 | ||||||||||||
Net income | 11,875 | ||||||||||||
Other comprehensive income (loss) before reclassifications, net of tax | 232,212 | 232,212 | 232,212 | ||||||||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | (52,830) | (52,830) | (52,830) | ||||||||||
Other comprehensive income, net of tax | 179,382 | 179,382 | 179,382 | ||||||||||
Issuance of stock, net of offering costs (in shares) | 21,882 | ||||||||||||
Issuance of stock, net of offering costs | $ 356 | $ 0 | 356 | 356 | |||||||||
Repurchase of common stock (in shares) | (4,010,000) | (4,010,000) | |||||||||||
Repurchase of common stock | $ (61,307) | $ (80) | (61,227) | ||||||||||
Common dividends declared | (239,849) | (239,849) | (239,849) | ||||||||||
Non-cash equity award compensation (in shares) | 852,458 | ||||||||||||
Non-cash equity award compensation | 11,223 | $ 17 | 11,206 | 11,223 | |||||||||
Number of preferred shares outstanding at end of period (in shares) at Sep. 30, 2016 | 0 | 0 | |||||||||||
Number of common shares outstanding at end of period (in shares) at Sep. 30, 2016 | 173,817,744 | ||||||||||||
Stockholders’ equity at end of period at Sep. 30, 2016 | $ 0 | $ 0 | $ 3,476 | 3,655,854 | 538,443 | 1,696,630 | (2,416,162) | 3,478,241 | |||||
Noncontrolling interest at end of period at Sep. 30, 2016 | 0 | ||||||||||||
Equity at end of period at Sep. 30, 2016 | $ 3,478,241 | ||||||||||||
Number of preferred shares outstanding at beginning of period (in shares) at Dec. 31, 2016 | 0 | 0 | |||||||||||
Number of common shares outstanding at beginning of period (in shares) at Dec. 31, 2016 | 173,826,163 | 173,826,163 | |||||||||||
Stockholders’ equity at beginning of period at Dec. 31, 2016 | $ 3,401,111 | $ 0 | $ 0 | $ 3,477 | 3,659,973 | 199,227 | 2,038,033 | (2,499,599) | 3,401,111 | ||||
Noncontrolling interest at beginning of period at Dec. 31, 2016 | 0 | 0 | |||||||||||
Equity at beginning of period at Dec. 31, 2016 | 3,401,111 | ||||||||||||
Net income attributable to Two Harbors Investment Corp. | 182,667 | 182,667 | 182,667 | ||||||||||
Net income attributable to noncontrolling interest | 2,714 | 2,714 | |||||||||||
Net income | 185,381 | ||||||||||||
Other comprehensive income (loss) before reclassifications, net of tax | 216,004 | 215,994 | 215,994 | 10 | |||||||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | 7,815 | 7,815 | 7,815 | 0 | |||||||||
Other comprehensive income, net of tax | 223,819 | 223,809 | 223,809 | 10 | |||||||||
Other comprehensive income, net of tax | 223,823 | ||||||||||||
Issuance of Granite Point Mortgage Trust Inc. stock, net of offering costs | 181,875 | (13,777) | 6 | (13,771) | 195,646 | ||||||||
Acquisition of noncontrolling interests | (5,445) | (69) | (69) | (5,376) | |||||||||
Issuance of stock, net of offering costs (in shares) | 11,500,000 | 5,750,000 | 11,500,000 | 19,688 | |||||||||
Issuance of stock, net of offering costs | $ 332 | $ 416,966 | $ 138,872 | $ 278,094 | $ 0 | 332 | 332 | $ 416,966 | |||||
Repurchase of common stock (in shares) | 0 | ||||||||||||
Repurchase of common stock | $ 0 | ||||||||||||
Preferred dividends declared | (13,173) | (13,173) | (13,173) | ||||||||||
Common dividends declared | (271,874) | (268,697) | (268,697) | (3,177) | |||||||||
Non-cash equity award compensation (in shares) | 643,505 | ||||||||||||
Non-cash equity award compensation | $ 12,389 | $ 13 | 12,376 | 12,389 | |||||||||
Number of preferred shares outstanding at end of period (in shares) at Sep. 30, 2017 | 5,750,000 | 11,500,000 | |||||||||||
Number of common shares outstanding at end of period (in shares) at Sep. 30, 2017 | 174,489,356 | 174,489,356 | |||||||||||
Stockholders’ equity at end of period at Sep. 30, 2017 | $ 3,941,564 | $ 138,872 | $ 278,094 | $ 3,490 | $ 3,658,835 | $ 423,042 | $ 2,220,700 | $ (2,781,469) | $ 3,941,564 | ||||
Noncontrolling interest at end of period at Sep. 30, 2017 | 189,817 | $ 189,817 | |||||||||||
Equity at end of period at Sep. 30, 2017 | $ 4,131,381 |
CONDENSED CONSOLIDATED STATEME6
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY (Parenthetical) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Statement of Stockholders' Equity [Abstract] | ||
Tax expense on other comprehensive income before reclassifications | $ (35,708) | $ (197) |
Tax benefit from amounts reclassified from accumulated other comprehensive income | 2,722 | 6,373 |
Tax (expense on) benefit from other comprehensive income | $ (32,986) | $ 6,176 |
CONDENSED CONSOLIDATED STATEME7
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Cash Flows From Operating Activities: | ||
Net income | $ 185,381 | $ 11,875 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||
Amortization of premiums and discounts on investment securities and commercial real estate assets, net | 39,949 | 29,469 |
Amortization of deferred debt issuance costs on convertible senior notes | 429 | 0 |
Other-than-temporary impairment losses | 429 | 1,822 |
Realized and unrealized losses (gains) on investment securities, net | 15,485 | (66,095) |
Loss on servicing asset | 90,440 | 211,426 |
Gain on residential mortgage loans held-for-sale | (2,149) | (17,648) |
(Gain) loss on residential mortgage loans held-for-investment and collateralized borrowings in securitization trusts | (14,884) | 5,173 |
(Gain) loss on termination and option expiration of interest rate swaps and swaptions | (68,855) | 119,548 |
Unrealized loss (gain) on interest rate swaps and swaptions | 124,978 | (5,080) |
Unrealized loss on other derivative instruments | 37,586 | 2,025 |
Equity based compensation | 12,389 | 11,223 |
Depreciation of fixed assets | 776 | 981 |
Purchases of residential mortgage loans held-for-sale | (567) | (1,159,782) |
Proceeds from sales of residential mortgage loans held-for-sale | 3,928 | 95,331 |
Proceeds from repayment of residential mortgage loans held-for-sale | 4,799 | 117,092 |
Net change in assets and liabilities: | ||
Increase in accrued interest receivable | (22,694) | (17,119) |
Increase in deferred income taxes, net | (21,505) | (24,581) |
Decrease in income taxes receivable | 1,412 | 3,667 |
Increase in prepaid and fixed assets | (950) | (62) |
(Increase) decrease in other receivables | (1,070) | 5,721 |
Decrease (increase) in servicing advances | 5,489 | (8,965) |
Increase in accrued interest payable | 33,227 | 11,084 |
Increase (decrease) in income taxes payable | 142 | (70) |
Decrease in accrued expenses and other liabilities | (5,425) | (2,923) |
Net cash provided by (used in) operating activities | 418,740 | (675,888) |
Cash Flows From Investing Activities: | ||
Purchases of available-for-sale securities | (13,677,423) | (13,734,884) |
Proceeds from sales of available-for-sale securities | 5,726,616 | 6,567,992 |
Principal payments on available-for-sale securities | 1,075,961 | 910,386 |
(Purchases) short sales of derivative instruments, net | (93,812) | (13,953) |
Proceeds from sales (payments for termination) of derivative instruments, net | 84,791 | 3,209 |
Proceeds from repayment of residential mortgage loans held-for-investment in securitization trusts | 285,695 | 649,134 |
Originations, acquisitions and additional fundings of commercial real estate assets, net of deferred fees | (759,905) | (463,680) |
Proceeds from repayment of commercial real estate assets | 6,655 | 15,296 |
Purchases of mortgage servicing rights, net of purchase price adjustments | (327,341) | (208,474) |
Proceeds from sales of mortgage servicing rights | 132 | 41,844 |
Purchases of Federal Home Loan Bank stock | 0 | (11,206) |
Redemptions of Federal Home Loan Bank stock | 82,681 | 0 |
(Decrease) increase in due to counterparties, net | (32,652) | 4,996 |
Net cash used in investing activities | (7,628,602) | (6,239,340) |
Cash Flows From Financing Activities: | ||
Proceeds from repurchase agreements | 115,034,068 | 70,805,165 |
Principal payments on repurchase agreements | (106,053,027) | (65,176,066) |
Proceeds from issuance of collateralized borrowings in securitization trusts | 0 | 1,875,371 |
Principal payments on collateralized borrowings in securitization trusts | (282,468) | (568,485) |
Proceeds from Federal Home Loan Bank advances | 0 | 215,000 |
Principal payments on Federal Home Loan Bank advances | (2,001,238) | 0 |
Proceeds from revolving credit facilities | 123,000 | 30,000 |
Principal payments on revolving credit facilities | (153,000) | 0 |
Proceeds from convertible senior notes | 282,469 | 0 |
Proceeds from issuance of preferred stock, net of offering costs | 416,966 | 0 |
Proceeds from issuance of common stock, net of offering costs | 332 | 356 |
Proceeds from issuance of Granite Point Mortgage Trust Inc. stock, net of offering costs | 181,875 | 0 |
Acquisition of noncontrolling interests | (5,445) | 0 |
Repurchase of common stock | 0 | (61,307) |
Dividends paid on preferred stock | (4,285) | 0 |
Dividends paid on common stock | (261,400) | (251,909) |
Net cash provided by financing activities | 7,277,847 | 6,868,125 |
Net increase (decrease) in cash, cash equivalents and restricted cash | 67,985 | (47,103) |
Cash, cash equivalents and restricted cash at beginning of period | 815,195 | 1,000,393 |
Cash, cash equivalents and restricted cash at end of period | 883,180 | 953,290 |
Supplemental Disclosure of Cash Flow Information: | ||
Cash paid for interest | (169,464) | (77,142) |
Cash received for taxes | 1,152 | 5,154 |
Noncash Activities: | ||
Transfers of residential mortgage loans held-for-sale to residential mortgage loans held-for-investment in securitization trusts | 0 | (1,031,707) |
Transfers of residential mortgage loans held-for-sale to other receivables for foreclosed government-guaranteed loans | (2,909) | (14,200) |
Transfer of fair value of mortgage servicing rights to fair value of Ginnie Mae residential mortgage loans held-for-sale upon buyout | (9) | (5,973) |
Additions to mortgage servicing rights due to sale of residential mortgage loans held-for-sale | 20 | 764 |
Dividends declared but not paid at end of period | (102,799) | (79,956) |
Reconciliation of residential mortgage loans held-for-sale: | ||
Residential mortgage loans held-for-sale at beginning of period | 40,146 | 811,431 |
Purchases of residential mortgage loans held-for-sale | 567 | 1,159,782 |
Transfers to residential mortgage loans held-for-investment in securitization trusts | 0 | (1,031,707) |
Transfers to other receivables for foreclosed government-guaranteed loans | (2,909) | (14,200) |
Transfer of fair value of mortgage servicing rights to fair value of Ginnie Mae residential mortgage loans held-for-sale upon buyout | (9) | (5,973) |
Proceeds from sales of residential mortgage loans held-for-sale | (3,928) | (95,331) |
Proceeds from repayment of residential mortgage loans held-for-sale | (4,799) | (117,092) |
Realized and unrealized gains on residential mortgage loans held-for-sale | 2,129 | 16,264 |
Residential mortgage loans held-for-sale at end of period | $ 31,197 | $ 723,174 |
Organization and Operations
Organization and Operations | 9 Months Ended |
Sep. 30, 2017 | |
Organization and Operations [Abstract] | |
Organization and Operations | Organization and Operations Two Harbors Investment Corp., or the Company, is a Maryland corporation investing in, financing and managing Agency residential mortgage-backed securities, or Agency RMBS, non-Agency securities, 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. On June 28, 2017, the Company completed the contribution of its portfolio of commercial real estate assets to Granite Point Mortgage Trust Inc., or Granite Point, a newly organized Maryland corporation intended to qualify as a REIT, externally managed and advised by Pine River, and focused on directly originating, investing in and managing senior commercial mortgage loans and other debt and debt-like commercial real estate investments. The Company contributed its equity interests in its wholly owned subsidiary, TH Commercial Holdings LLC, to Granite Point and, in exchange for its contribution, received approximately 33.1 million shares of common stock of Granite Point, which represented approximately 76.5% of the outstanding stock of Granite Point upon completion of the initial public offering, or IPO, of its common stock on June 28, 2017. Subsequent to the end of the third quarter of 2017, on November 1, 2017, the Company distributed, on a pro rata basis, the 33.1 million shares of Granite Point common stock acquired in connection with the contribution to stockholders holding shares of Two Harbors common stock outstanding as of the close of business on October 20, 2017. |
Basis of Presentation and Signi
Basis of Presentation and Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2017 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies | 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. Certain prior period amounts have been reclassified to conform to the current period presentation. All per share amounts, common shares outstanding and restricted shares for the three and nine months ended September 30, 2017 and all prior periods reflect the Company’s one-for-two reverse stock split, which was effected on November 1, 2017 at 5:01 p.m. Eastern Time (refer to Note 20 - Equity for additional information). 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, 2016 . In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at September 30, 2017 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2017 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. 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 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 trust. Due to its controlling ownership interest in Granite Point during the periods presented, the Company consolidates Granite Point on its financial statements and reflects noncontrolling interest for the portion of equity and comprehensive income not attributable to the Company. During this consolidation period, the Company’s financial condition and results of operations reflect all of Granite Point’s commercial real estate investments and financing. No other subsidiary of the Company invests in, finances or manages commercial real estate debt and related instruments. Effective November 1, 2017 (the date the 33.1 million shares of Granite Point common stock were distributed to the Company’s common stockholders), the Company no longer has a controlling interest in Granite Point and, therefore, will prospectively deconsolidate the financial condition and results of operations Granite Point and its subsidiaries from its financial statements. Significant Accounting Policies Included in Note 2 to the Consolidated Financial Statements of the Company’s 2016 Annual Report on Form 10-K is a summary of the Company’s significant accounting policies. Provided below is a summary of additional accounting policies that are significant to the Company’s consolidated financial condition and results of operations for the nine months ended September 30, 2017 . Convertible Senior Notes Convertible senior notes include unsecured convertible debt that are carried at their unpaid principal balance, net of any unamortized deferred issuance costs, on the Company’s condensed consolidated balance sheet. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. Noncontrolling Interest Due to its controlling ownership interest in Granite Point during the periods presented, the Company consolidates Granite Point on its financial statements and reflects noncontrolling interest for the portion of Granite Point equity and comprehensive income not attributable to the Company. Noncontrolling interest is presented as a separate component of equity on the condensed consolidated balance sheets. In addition, the presentation of both net income and comprehensive income on the condensed consolidated statements of comprehensive income attributes earnings (losses) to the Company’s stockholders (controlling interest) and noncontrolling interests. Pursuant to Accounting Standards Codification (ASC) 810, Consolidation , changes in a parent’s ownership interest (and transactions with noncontrolling interest stockholders in the subsidiary) while the parent retains its controlling interest in its subsidiary should be accounted for as equity transactions. The Company adjusts the carrying amount of noncontrolling interest to reflect (i) changes in its ownership interest in Granite Point and (ii) the portion of comprehensive income and dividends declared by Granite Point that are not attributable to the Company, with the offset to equity. Earnings Per Share Basic and diluted earnings per share are computed by dividing net income attributable to common stockholders by the weighted average number of common shares and potential common shares outstanding during the period. For both basic and diluted per share calculations, potential common shares represents issued and unvested shares of restricted stock, which have full rights to the common stock dividend declarations of the Company. If the assumed conversion of convertible notes into common shares is dilutive, diluted earnings per share is adjusted by adding back the periodic interest expense (net of any tax effects) associated with dilutive convertible notes to net income attributable to common stockholders and adding the shares issued in an assumed conversion to the diluted weighted average share count. All per share amounts, common shares outstanding and restricted shares for the three and nine months ended September 30, 2017 and all prior periods reflect the Company’s one-for-two reverse stock split, which was effected on November 1, 2017 at 5:01 p.m. Eastern Time (refer to Note 20 - Equity for additional information). 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 by 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 September 30, 2017 and December 31, 2016 : September 30, 2017 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 $ 279,300 $ (40,995 ) $ 238,305 $ (11,312 ) $ — $ 226,993 Total Assets $ 279,300 $ (40,995 ) $ 238,305 $ (11,312 ) $ — $ 226,993 Liabilities Repurchase agreements $ (18,297,392 ) $ — $ (18,297,392 ) $ 18,297,392 $ — $ — Derivative liabilities (52,307 ) 40,995 (11,312 ) 11,312 — — Total Liabilities $ (18,349,699 ) $ 40,995 $ (18,308,704 ) $ 18,308,704 $ — $ — December 31, 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 $ 388,522 $ (64,340 ) $ 324,182 $ (12,501 ) $ — $ 311,681 Total Assets $ 388,522 $ (64,340 ) $ 324,182 $ (12,501 ) $ — $ 311,681 Liabilities Repurchase agreements $ (9,316,351 ) $ — $ (9,316,351 ) $ 9,316,351 $ — $ — Derivative liabilities (76,841 ) 64,340 (12,501 ) 12,501 — — Total Liabilities $ (9,463,192 ) $ 64,340 $ (9,398,852 ) $ 9,398,852 $ — $ — ____________________ (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 evaluated the new guidance and determined that interest income, gains and losses on financial instruments and income from servicing residential mortgage loans are outside the scope of ASC 606, Revenues from Contracts with Customers . For income from servicing residential mortgage loans, the Company considered that the FASB Transition Resource Group members generally agreed that an entity should look to ASC 860, Transfers and Servicing , to determine the appropriate accounting for these fees and ASC 606 contains a scope exception for contracts that fall under ASC 860. As a result, the Company has determined that the adoption of this ASU will not have a material impact on the Company's financial condition, results of operations or financial statement disclosures. 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. Early adoption of this ASU did not have an impact on the Company’s financial condition, results of operations or financial statement disclosures. 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, results of operations or financial statement disclosures. 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 to determine the impact it may have on its condensed consolidated financial statements, which at the date of adoption, is expected to increase the allowance for credit losses with a resulting negative adjustment to retained earnings, with offsetting impacts to accumulated other comprehensive income. Classification of Certain Cash Receipts and Cash Payments and Restricted Cash In August 2016, the FASB issued ASU No. 2016-15, which clarifies how entities should classify certain cash receipts and cash payments and how the predominance principle should be applied on the statement of cash flows. Additionally, in November 2016, the FASB issued ASU No. 2016-18, which requires entities to show the changes in the total of cash, cash equivalents, restricted cash and restricted cash equivalents, but no longer present transfers between cash and cash equivalents and restricted cash and cash equivalents in the statement of cash flows. Both ASUs are effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2017, with early adoption permitted. Early adoption of these ASUs did not impact the Company’s financial condition or results of operations but impacted the presentation of the statements of cash flows and related footnote disclosures. The Company included restricted cash of $343.8 million , $408.3 million , $264.9 million and $262.6 million as of September 30, 2017 , December 31, 2016 , September 30, 2016 and December 31, 2015 , respectively, with cash and cash equivalents, as shown on the condensed consolidated statements of cash flows. |
Variable Interest Entities
Variable Interest Entities | 9 Months Ended |
Sep. 30, 2017 | |
Variable Interest Entities [Abstract] | |
Variable Interest Entities | Variable Interest Entities The Company retains subordinated debt and excess servicing rights purchased 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 September 30, 2017 and December 31, 2016 : (in thousands) September 30, December 31, Residential mortgage loans held-for-investment in securitization trusts $ 3,031,191 $ 3,271,317 Commercial real estate assets 45,889 45,885 Accrued interest receivable 17,382 19,090 Total Assets $ 3,094,462 $ 3,336,292 Collateralized borrowings in securitization trusts $ 2,785,413 $ 3,037,196 Accrued interest payable 7,894 8,708 Other liabilities 11,378 12,374 Total Liabilities $ 2,804,685 $ 3,058,278 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 securities, which are classified within available-for-sale securities, at fair value on the condensed consolidated balance sheets. As of September 30, 2017 and December 31, 2016 , the carrying value, which also represents the maximum exposure to loss, of all non-Agency securities in unconsolidated VIEs was $2.6 billion and $1.9 billion , respectively. |
Available-for-Sale Securities,
Available-for-Sale Securities, at Fair Value | 9 Months Ended |
Sep. 30, 2017 | |
Available-for-sale Securities [Abstract] | |
Available-for-Sale Securities, at Fair Value | 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 September 30, 2017 and December 31, 2016 : (in thousands) September 30, December 31, Agency Federal National Mortgage Association $ 13,057,102 $ 8,274,507 Federal Home Loan Mortgage Corporation 3,972,963 2,742,630 Government National Mortgage Association 524,306 209,337 Non-Agency 2,644,723 1,902,383 Total available-for-sale securities $ 20,199,094 $ 13,128,857 At September 30, 2017 and December 31, 2016 , the Company pledged AFS securities with a carrying value of $20.0 billion and $13.1 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 September 30, 2017 and December 31, 2016 , the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of 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 September 30, 2017 and December 31, 2016 : September 30, 2017 (in thousands) Agency Non-Agency Total Face Value $ 19,303,065 $ 3,538,252 $ 22,841,317 Unamortized premium 1,038,789 — 1,038,789 Unamortized discount Designated credit reserve — (525,687 ) (525,687 ) Net, unamortized (2,789,785 ) (816,260 ) (3,606,045 ) Amortized Cost 17,552,069 2,196,305 19,748,374 Gross unrealized gains 120,236 451,182 571,418 Gross unrealized losses (117,934 ) (2,764 ) (120,698 ) Carrying Value $ 17,554,371 $ 2,644,723 $ 20,199,094 December 31, 2016 (in thousands) Agency Non-Agency Total Face Value $ 13,571,417 $ 2,732,139 $ 16,303,556 Unamortized premium 571,749 — 571,749 Unamortized discount Designated credit reserve — (367,437 ) (367,437 ) Net, unamortized (2,758,445 ) (808,975 ) (3,567,420 ) Amortized Cost 11,384,721 1,555,727 12,940,448 Gross unrealized gains 79,040 353,358 432,398 Gross unrealized losses (237,287 ) (6,702 ) (243,989 ) Carrying Value $ 11,226,474 $ 1,902,383 $ 13,128,857 The following tables present the carrying value of the Company’s AFS securities by rate type as of September 30, 2017 and December 31, 2016 : September 30, 2017 (in thousands) Agency Non-Agency Total Adjustable Rate $ 24,960 $ 2,300,247 $ 2,325,207 Fixed Rate 17,529,411 344,476 17,873,887 Total $ 17,554,371 $ 2,644,723 $ 20,199,094 December 31, 2016 (in thousands) Agency Non-Agency Total Adjustable Rate $ 30,463 $ 1,574,850 $ 1,605,313 Fixed Rate 11,196,011 327,533 11,523,544 Total $ 11,226,474 $ 1,902,383 $ 13,128,857 The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of September 30, 2017 : September 30, 2017 (in thousands) Agency Non-Agency Total ≤ 1 year $ 15,632 $ 165,060 $ 180,692 > 1 and ≤ 3 years 38,357 249,220 287,577 > 3 and ≤ 5 years 1,192,719 435,531 1,628,250 > 5 and ≤ 10 years 16,285,575 1,043,103 17,328,678 > 10 years 22,088 751,809 773,897 Total $ 17,554,371 $ 2,644,723 $ 20,199,094 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 three and nine months ended September 30, 2017 and 2016 of the unamortized net discount and designated credit reserves on non-Agency AFS securities. Nine Months Ended September 30, 2017 2016 (in thousands) Designated Credit Reserve Unamortized Net Discount Total Designated Credit Reserve Unamortized Net Discount Total Beginning balance at January 1 $ (367,437 ) $ (808,975 ) $ (1,176,412 ) $ (409,077 ) $ (707,021 ) $ (1,116,098 ) Acquisitions (217,206 ) (111,938 ) (329,144 ) (45,398 ) (140,318 ) (185,716 ) Accretion of net discount — 67,219 67,219 — 50,596 50,596 Realized credit losses 11,385 — 11,385 279 — 279 Reclassification adjustment for other-than-temporary impairments (429 ) — (429 ) (1,226 ) — (1,226 ) Transfers from (to) 44,412 (44,412 ) — 70,371 (70,371 ) — Sales, calls, other 3,588 81,846 85,434 32,562 77,689 110,251 Ending balance at September 30 $ (525,687 ) $ (816,260 ) $ (1,341,947 ) $ (352,489 ) $ (789,425 ) $ (1,141,914 ) 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 September 30, 2017 and December 31, 2016 . At September 30, 2017 , the Company held 1,380 AFS securities, of which 152 were in an unrealized loss position for less than twelve consecutive months and 164 were in an unrealized loss position for more than twelve consecutive months. At December 31, 2016 , the Company held 1,239 AFS securities, of which 252 were in an unrealized loss position for less than twelve consecutive months and 125 were in an unrealized loss position for more than twelve consecutive months. Of the $4.1 billion and $6.4 billion of AFS securities in an unrealized loss position for less than twelve consecutive months as of September 30, 2017 and December 31, 2016 , $3.9 billion , or 95.1% , and $6.1 billion , or 95.8% , respectively, were Agency AFS securities, whose principal and interest are guaranteed by the GSEs. Unrealized Loss Position for Less than 12 Months 12 Months or More Total (in thousands) Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses September 30, 2017 $ 4,136,362 $ (22,669 ) $ 2,341,707 $ (98,029 ) $ 6,478,069 $ (120,698 ) December 31, 2016 $ 6,416,820 $ (204,034 ) $ 504,978 $ (39,955 ) $ 6,921,798 $ (243,989 ) 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 , net of tax, or gain (loss) 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. During the nine months ended September 30, 2017 , the Company recorded $0.4 million in other-than-temporary credit impairments on one non-Agency security where the future expected cash flows for the security were less than its amortized cost. The Company did not record any other-than-temporary credit impairments during the three months ended September 30, 2017 . During the three and nine months ended September 30, 2016 , the Company recorded $1.0 million and $1.8 million , respectively, in other-than-temporary credit impairments on a total of four non-Agency securities where the future expected cash flows for each security were less than its amortized cost. As of September 30, 2017 , impaired securities with a carrying value of $117.6 million had actual weighted average cumulative losses of 5.3% , weighted average three-month prepayment speed of 7.3% , weighted average 60+ day delinquency of 21.8% of the pool balance, and weighted average FICO score of 659 . At September 30, 2017 , 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. The following table presents the changes in OTTI included in earnings for the three and nine months ended September 30, 2017 and 2016 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2017 2016 2017 2016 Cumulative credit loss at beginning of period $ (6,035 ) $ (6,710 ) $ (5,606 ) $ (6,499 ) Additions: Other-than-temporary impairments not previously recognized — (1,015 ) (429 ) (1,307 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments — — — (515 ) Reductions: Decreases related to other-than-temporary impairments on securities paid down — — — — Decreases related to other-than-temporary impairments on securities sold — — — 596 Cumulative credit loss at end of period $ (6,035 ) $ (7,725 ) $ (6,035 ) $ (7,725 ) 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 (loss) on investment securities in the Company’s condensed consolidated statements of comprehensive income . For the three and nine months ended September 30, 2017 , the Company sold AFS securities for $0.6 billion and $5.7 billion with an amortized cost of $0.6 billion and $5.7 billion for net realized losses of $3.9 million and $21.0 million , respectively. For the three and nine months ended September 30, 2016 , the Company sold AFS securities for $2.8 billion and $6.6 billion with an amortized cost of $2.8 billion and $6.5 billion for net realized gains of $31.8 million and $63.3 million , respectively. The following table presents the gross realized gains and losses on sales of AFS securities for the three and nine months ended September 30, 2017 and 2016 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2017 2016 2017 2016 Gross realized gains $ 408 $ 31,942 $ 57,133 $ 77,836 Gross realized losses (4,342 ) (164 ) (78,125 ) (14,487 ) Total realized (losses) gains on sales, net $ (3,934 ) $ 31,778 $ (20,992 ) $ 63,349 |
Commercial Real Estate Assets
Commercial Real Estate Assets | 9 Months Ended |
Sep. 30, 2017 | |
Commercial Real Estate Assets [Abstract] | |
Commercial Real Estate Assets | 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 September 30, 2017 and December 31, 2016 : September 30, (dollars in thousands) First Mortgages Mezzanine Loans B-Notes Total Unpaid principal balance $ 2,041,767 $ 132,605 $ 14,892 $ 2,189,264 Unamortized (discount) premium (174 ) (11 ) — (185 ) Unamortized net deferred origination fees (17,695 ) (40 ) — (17,735 ) Carrying value $ 2,023,898 $ 132,554 $ 14,892 $ 2,171,344 Unfunded commitments $ 270,654 $ 1,580 $ — $ 272,234 Number of loans 50 6 1 57 Weighted average coupon 5.6 % 9.1 % 8.0 % 5.9 % Weighted average years to maturity (1) 2.5 1.9 9.3 2.5 December 31, (dollars in thousands) First Mortgages Mezzanine Loans B-Notes Total Unpaid principal balance $ 1,286,200 $ 138,245 $ — $ 1,424,445 Unamortized (discount) premium (185 ) (15 ) — (200 ) Unamortized net deferred origination fees (11,481 ) (221 ) — (11,702 ) Carrying value $ 1,274,534 $ 138,009 $ — $ 1,412,543 Unfunded commitments $ 170,890 1,580 $ — $ 172,470 Number of loans 30 6 — 36 Weighted average coupon 5.1 % 8.6 % — % 5.4 % Weighted average years to maturity (1) 2.9 1.5 0.0 2.8 ____________________ (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) September 30, December 31, Property Type Carrying Value % of Commercial Portfolio Carrying Value % of Commercial Portfolio Office $ 1,133,866 52.2 % $ 718,780 50.9 % Multifamily 385,222 17.7 % 260,683 18.5 % Retail 247,196 11.4 % 237,414 16.8 % Hotel 209,874 9.7 % 90,585 6.4 % Industrial 195,186 9.0 % 105,081 7.4 % Total $ 2,171,344 100.0 % $ 1,412,543 100.0 % (in thousands) September 30, December 31, Geographic Location Carrying Value % of Commercial Portfolio Carrying Value % of Commercial Portfolio Northeast $ 924,383 42.6 % $ 578,762 41.0 % West 414,612 19.1 % 250,044 17.7 % Southwest 363,907 16.8 % 267,944 19.0 % Southeast 350,407 16.1 % 239,194 16.9 % Midwest 118,035 5.4 % 76,599 5.4 % Total $ 2,171,344 100.0 % $ 1,412,543 100.0 % At September 30, 2017 and December 31, 2016 , the Company pledged commercial real estate assets with a carrying value of $2.0 billion and $1.4 billion , 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 nine months ended September 30, 2017 and 2016 . Three Months Ended Nine Months Ended (in thousands) 2017 2016 2017 2016 Balance at beginning of period $ 1,782,749 $ 926,377 $ 1,412,543 $ 660,953 Originations, acquisitions and additional fundings 393,425 190,100 771,473 470,547 Repayments (409 ) (908 ) (6,655 ) (15,295 ) Net (premium amortization) discount accretion 6 64 (11 ) 204 Increase in net deferred origination fees (5,858 ) (2,858 ) (11,568 ) (6,867 ) Amortization of net deferred origination fees 1,431 1,773 5,562 5,006 Allowance for loan losses — — — — Balance at end of period $ 2,171,344 $ 1,114,548 $ 2,171,344 $ 1,114,548 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 September 30, 2017 and December 31, 2016 : (dollars in thousands) September 30, December 31, Risk Rating Number of Loans Unpaid Principal Balance Carrying Value Number of Loans Unpaid Principal Balance Carrying Value 1 – 3 57 $ 2,189,264 $ 2,171,344 36 $ 1,424,445 $ 1,412,543 4 – 5 — — — — — — Total 57 $ 2,189,264 $ 2,171,344 36 $ 1,424,445 $ 1,412,543 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
Servicing Activities | 9 Months Ended |
Sep. 30, 2017 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |
Servicing Activities | 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 appropriately 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 nine months ended September 30, 2017 and 2016 . Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2017 2016 2017 2016 Balance at beginning of period $ 898,025 $ 427,813 $ 693,815 $ 493,688 Additions from purchases of mortgage servicing rights 66,280 98,224 340,156 204,435 Additions from sales of residential mortgage loans — 242 20 764 Subtractions from sales of mortgage servicing rights — (60,910 ) (946 ) (60,910 ) Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model (154 ) 3,846 (23,083 ) (139,587 ) Other changes in fair value (1) (28,595 ) (18,231 ) (66,543 ) (52,773 ) Other changes (2) (4,943 ) 4,645 (12,806 ) 10,012 Balance at end of period $ 930,613 $ 455,629 $ 930,613 $ 455,629 ____________________ (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. At September 30, 2017 and December 31, 2016 , the Company pledged MSR with a carrying value of $160.6 million and $180.9 million , respectively, as collateral for revolving credit facilities. See Note 18 - Revolving Credit Facilities . As of September 30, 2017 and December 31, 2016 , 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: (dollars in thousands) September 30, December 31, Weighted average prepayment speed: 10.8 % 9.2 % Impact on fair value of 10% adverse change $ (36,170 ) $ (25,012 ) Impact on fair value of 20% adverse change $ (69,455 ) $ (48,602 ) Weighted average delinquency: 1.7 % 1.9 % Impact on fair value of 10% adverse change $ (4,002 ) $ (1,908 ) Impact on fair value of 20% adverse change $ (8,065 ) $ (3,816 ) Weighted average discount rate: 9.9 % 9.4 % Impact on fair value of 10% adverse change $ (29,873 ) $ (23,590 ) Impact on fair value of 20% adverse change $ (57,481 ) $ (45,861 ) 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 its Agency RMBS portfolio. 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 nine months ended September 30, 2017 and 2016 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2017 2016 2017 2016 Servicing fee income $ 53,989 $ 37,226 $ 141,923 $ 104,765 Ancillary and other fee income 310 449 615 1,423 Float income 3,088 1,033 5,930 2,469 Total $ 57,387 $ 38,708 $ 148,468 $ 108,657 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 $20.7 million and $26.1 million and were included in other assets on the condensed consolidated balance sheets as of September 30, 2017 and December 31, 2016 , respectively. Serviced Mortgage Assets The Company’s total serviced mortgage assets consist of loans underlying MSR, loans held in consolidated VIEs classified as residential mortgage loans held-for-investment in securitization trusts and loans owned and classified as residential mortgage loans held-for-sale. 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 September 30, 2017 and December 31, 2016 : September 30, 2017 December 31, 2016 (dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance Mortgage servicing rights 398,580 $ 88,789,765 280,185 $ 62,827,975 Residential mortgage loans held-for-investment in securitization trusts 4,288 2,948,349 4,604 3,234,044 Residential mortgage loans held-for-sale 245 38,765 333 49,986 Total serviced mortgage assets 403,113 $ 91,776,879 285,122 $ 66,112,005 |
Residential Mortgage Loans Held
Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value | 9 Months Ended |
Sep. 30, 2017 | |
Residential Mortgage Loans Held-for-Investment [Abstract] | |
Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value | Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value The Company retains subordinated debt and excess servicing rights purchased 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 September 30, 2017 and December 31, 2016 : (in thousands) September 30, December 31, Unpaid principal balance $ 2,948,349 $ 3,234,044 Fair value adjustment 82,842 37,273 Carrying value $ 3,031,191 $ 3,271,317 |
Residential Mortgage Loans He15
Residential Mortgage Loans Held-for-Sale, at Fair Value | 9 Months Ended |
Sep. 30, 2017 | |
Residential Mortgage Loans Held-for-Sale [Abstract] | |
Residential Mortgage Loans Held-for-Sale, at Fair Value | 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 September 30, 2017 and December 31, 2016 : (in thousands) September 30, December 31, Unpaid principal balance $ 38,765 $ 49,986 Fair value adjustment (7,568 ) (9,840 ) Carrying value $ 31,197 $ 40,146 |
Cash, Cash Equivalents and Rest
Cash, Cash Equivalents and Restricted Cash | 9 Months Ended |
Sep. 30, 2017 | |
Cash, Cash Equivalents and Restricted Cash [Abstract] | |
Cash, Cash Equivalents and Restricted Cash | Cash, Cash Equivalents and Restricted Cash Cash and cash equivalents include cash held in bank accounts and cash held in money market funds on an overnight basis. 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 September 30, 2017 and December 31, 2016 : (in thousands) September 30, December 31, Restricted cash balances held by trading counterparties: For securities and loan trading activity $ 27,823 $ 26,310 For derivatives trading activity 165,799 218,896 As restricted collateral for repurchase agreements and Federal Home Loan Bank advances 149,844 162,759 Total restricted cash balances held by trading counterparties 343,466 407,965 Restricted cash balance pursuant to letter of credit on office lease 347 347 Total $ 343,813 $ 408,312 The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on the Company’s condensed consolidated balance sheets as of September 30, 2017 and December 31, 2016 that sum to the total of the same such amounts shown in the statements of cash flows: (in thousands) September 30, December 31, Cash and cash equivalents $ 539,367 $ 406,883 Restricted cash 343,813 408,312 Total cash, cash equivalents and restricted cash $ 883,180 $ 815,195 |
Accrued Interest Receivable
Accrued Interest Receivable | 9 Months Ended |
Sep. 30, 2017 | |
Accrued Interest Receivable [Abstract] | |
Accrued Interest Receivable | Accrued Interest Receivable The following table presents the Company’s accrued interest receivable by collateral type as of September 30, 2017 and December 31, 2016 : (in thousands) September 30, December 31, Available-for-sale securities: Agency Federal National Mortgage Association $ 42,087 $ 25,273 Federal Home Loan Mortgage Corporation 13,039 8,914 Government National Mortgage Association 4,036 3,068 Non-Agency 3,165 2,705 Total available-for-sale securities 62,327 39,960 Commercial real estate assets 5,740 3,699 Residential mortgage loans held-for-investment in securitization trusts 17,219 18,928 Residential mortgage loans held-for-sale 159 164 Total $ 85,445 $ 62,751 |
Derivative Instruments and Hedg
Derivative Instruments and Hedging Activities | 9 Months Ended |
Sep. 30, 2017 | |
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 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, principally market risk and cash flow volatility associated with interest rate risk (including associated prepayment risk). Specifically, the Company enters into derivative and non-derivative instruments to economically hedge interest rate risk or “duration mismatch (or gap)” by adjusting the duration of its floating-rate borrowings into fixed-rate borrowings to more closely match the duration of its assets. This particularly applies to floating-rate borrowing agreements with maturities or interest rate resets of less than six months. Typically, the interest receivable terms ( i.e. , LIBOR) of certain derivatives 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. The objective is to manage the cash flows associated with current and anticipated interest payments on borrowings, as well as the ability to roll or refinance borrowings at the desired amount by adjusting the duration. To help manage the adverse impact of interest rate changes on the value of the Company’s portfolio as well as its cash flows, the Company may, at times, enter into various forward contracts, including short securities, Agency to-be-announced securities, or TBAs, options, futures, swaps, caps and total return swaps. In executing on the Company’s current risk management strategy, the Company has entered into interest rate swap and swaption agreements, TBAs, put and call options for TBAs, 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 MSR and Agency interest-only securities (see discussion below). 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 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. 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 September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 Derivative Assets Derivative Liabilities Trading instruments Fair Value Notional Fair Value Notional Inverse interest-only securities $ 102,235 $ 621,549 $ — $ — Interest rate swap agreements 120,423 13,216,448 (11,312 ) 6,800,429 Swaptions, net 9,395 2,814,000 — — TBAs 5,703 1,405,000 — — Put and call options for TBAs, net 156 2,000,000 — — Markit IOS total return swaps 393 65,895 — — Total $ 238,305 $ 20,122,892 $ (11,312 ) $ 6,800,429 (in thousands) December 31, 2016 Derivative Assets Derivative Liabilities Trading instruments Fair Value Notional Fair Value Notional Inverse interest-only securities $ 127,843 $ 740,844 $ — $ — Interest rate swap agreements 109,531 18,471,063 (495 ) 1,900,000 Swaptions, net 39,881 825,000 (1,645 ) 600,000 TBAs 4,294 536,000 (10,344 ) 953,000 Put and call options for TBAs, net 42,633 1,136,000 — — Markit IOS total return swaps — — (17 ) 90,593 Total $ 324,182 $ 21,708,907 $ (12,501 ) $ 3,543,593 Comprehensive Income Statement Presentation The Company has not applied hedge accounting to its current derivative portfolio held to mitigate interest rate risk and credit risk. As a result, the Company is subject to volatility in its earnings due to movement in the unrealized gains and losses associated with its 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 : 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 Nine Months Ended 2017 2016 2017 2016 Interest rate risk management TBAs Loss on other derivative instruments $ (16,891 ) $ (522 ) $ (45,671 ) $ 26,369 Put and call options for TBAs Loss on other derivative instruments (3,405 ) (6,226 ) (22,467 ) (51,259 ) Interest rate swap agreements - Payers (Loss) gain on interest rate swap and swaption agreements 17,422 48,359 (27,723 ) (245,676 ) Interest rate swap agreements - Receivers (Loss) gain on interest rate swap and swaption agreements (5,280 ) (18,381 ) 22,813 131,465 Swaptions (Loss) gain on interest rate swap and swaption agreements (12,349 ) (24,394 ) (62,080 ) (18,397 ) Markit IOS total return swaps Loss on other derivative instruments (134 ) (6,550 ) (821 ) (41,541 ) Credit risk management Credit default swaps - Receive protection Loss on other derivative instruments — (18 ) — 364 Non-risk management Inverse interest-only securities Loss on other derivative instruments 1,506 1,288 2,631 22,003 Forward purchase commitments Gain (loss) on residential mortgage loans held-for-sale — 107 — 2,455 Total $ (19,131 ) $ (6,337 ) $ (133,318 ) $ (174,217 ) For the three and nine months ended September 30, 2017 , the Company recognized $0.4 million and $10.9 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 and receiving either LIBOR interest or a fixed interest rate on an average $16.7 billion and $17.6 billion notional, respectively. For the three and nine months ended September 30, 2016 , the Company recognized $4.3 million and $18.1 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 and receiving either LIBOR interest or a fixed interest rate on an average $14.5 billion and $14.8 billion notional, respectively. The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the three and nine months ended September 30, 2017 and 2016 : Three Months Ended September 30, 2017 (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 $ 659,768 $ — $ (38,219 ) $ 621,549 $ 642,143 $ (40 ) Interest rate swap agreements 14,764,719 9,878,549 (4,626,391 ) 20,016,877 16,710,894 36,171 Swaptions, net 1,350,000 5,364,000 (3,900,000 ) 2,814,000 2,213,533 (3,264 ) TBAs, net (1,140,000 ) (1,585,000 ) 1,320,000 (1,405,000 ) (1,370,043 ) (14,997 ) Put and call options for TBAs, net 1,285,000 1,905,000 (1,190,000 ) 2,000,000 54,402 (3,980 ) Markit IOS total return swaps 68,629 — (2,734 ) 65,895 66,802 — Total $ 16,988,116 $ 15,562,549 $ (8,437,344 ) $ 24,113,321 $ 18,317,731 $ 13,890 Three Months Ended September 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 $ 834,866 $ — $ (50,043 ) $ 784,823 $ 813,045 $ — Interest rate swap agreements 13,697,000 4,451,430 (1,203,000 ) 16,945,430 14,497,913 (39,369 ) Credit default swaps 25,000 — — 25,000 25,000 — Swaptions, net 1,800,000 (1,537,000 ) 7,000 270,000 219,315 (55,692 ) TBAs, net (337,000 ) (5,622,000 ) 5,370,000 (589,000 ) (1,051,989 ) (18,819 ) Put and call options for TBAs, net 8,897,000 2,269,000 (6,697,000 ) 4,469,000 5,607,728 (26,955 ) Markit IOS total return swaps 588,037 99,911 (591,700 ) 96,248 113,334 (13,897 ) Forward purchase commitments 636,467 315,787 (890,851 ) 61,403 418,333 577 Total $ 26,141,370 $ (22,872 ) $ (4,055,594 ) $ 22,062,904 $ 20,642,679 $ (154,155 ) Nine Months Ended September 30, 2017 (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 $ 740,844 $ — $ (119,295 ) $ 621,549 $ 681,126 $ (40 ) Interest rate swap agreements 20,371,063 23,408,358 (23,762,544 ) 20,016,877 17,617,836 47,691 Swaptions, net 225,000 1,109,000 1,480,000 2,814,000 669,377 21,164 TBAs, net (1,489,000 ) (5,710,400 ) 5,794,400 (1,405,000 ) (1,231,793 ) (57,424 ) Put and call options for TBAs, net (1,136,000 ) 4,460,000 (1,324,000 ) 2,000,000 (13,289 ) 20,166 Markit IOS total return swaps 90,593 — (24,698 ) 65,895 76,670 (181 ) Total $ 18,802,500 $ 23,266,958 $ (17,956,137 ) $ 24,113,321 $ 17,799,927 $ 31,376 Nine Months Ended September 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 $ — $ (147,214 ) $ 784,823 $ 860,920 $ — Interest rate swap agreements 14,268,806 16,553,456 (13,876,832 ) 16,945,430 14,751,923 (33,067 ) Credit default swaps 125,000 10,000 (110,000 ) 25,000 87,883 412 Swaptions, net 5,200,000 1,063,000 (5,993,000 ) 270,000 3,192,617 (86,481 ) TBAs, net 297,000 (1,186,000 ) 300,000 (589,000 ) (239,493 ) 12,932 Put and call options for TBAs, net — 13,166,000 (8,697,000 ) 4,469,000 3,091,679 (28,303 ) Markit IOS total return swaps 889,418 99,911 (893,081 ) 96,248 598,163 (13,374 ) Forward purchase commitments 286,120 1,548,027 (1,772,744 ) 61,403 357,448 1,835 Total $ 21,998,381 $ 31,254,394 $ (31,189,871 ) $ 22,062,904 $ 22,701,140 $ (146,046 ) ____________________ (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 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 (gain) 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 (purchases) short sales of other derivative instruments, proceeds from sales (payments for termination) of other derivative instruments, net and (decrease) increase in due to counterparties, net line items within the investing activities section of the condensed consolidated statements of cash flows. Interest Rate Sensitive Assets/Liabilities The Company’s Agency RMBS portfolio is generally subject to change in value when mortgage rates decline or increase, depending on the type of investment. Rising mortgage rates generally result in a slowing of refinancing activity, which slows prepayments and results in a decline in the value of the Company’s fixed-rate Agency pools. To mitigate the impact of this risk on the Company’s fixed-rate Agency pool portfolio, the Company maintains a portfolio of fixed-rate interest-only securities and MSR, which increase in value when interest rates increase. As of September 30, 2017 and December 31, 2016 , the Company had $60.4 million and $71.1 million , respectively, of interest-only securities, and $930.6 million and $693.8 million , respectively, of MSR in place to economically hedge its Agency RMBS. Interest-only securities are included in AFS securities, at fair value, in the condensed consolidated balance sheets. 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 portfolio. In connection with its risk management activities, the Company enters into a variety of derivative and non-derivative instruments to economically hedge interest rate risk or “duration mismatch (or gap)” by adjusting the duration of its floating-rate borrowings into fixed-rate borrowings to more closely match the duration of its assets. 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 certain derivatives 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. The objective is to manage the cash flows associated with current and anticipated interest payments on borrowings, as well as the ability to roll or refinance borrowings at the desired amount by adjusting the duration. To help manage the adverse impact of interest rate changes on the value of the Company’s portfolio as well as its cash flows, 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 interest rate risk management strategy, the Company has entered into TBAs, put and call options for TBAs, interest rate swap and swaption agreements and Markit IOS total return swaps. TBAs. At times, the Company may use TBAs 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. 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 September 30, 2017 , $1.4 billion of the Company’s short notional TBA positions were held in order to economically hedge portfolio risk. As of December 31, 2016 , $1.5 billion of the Company’s long notional TBA positions and $3.0 billion of the Company’s short notional TBA positions were held in order to economically hedge portfolio risk. The Company discloses these positions on a gross basis according to the unrealized gain or loss position of each TBA contract regardless of long or short notional position. The following tables present the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of September 30, 2017 and December 31, 2016 : September 30, 2017 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ — $ — $ — $ — $ — Sale contracts (1,405,000 ) (1,447,566 ) (1,441,863 ) 5,703 — TBAs, net $ (1,405,000 ) $ (1,447,566 ) $ (1,441,863 ) $ 5,703 $ — December 31, 2016 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 1,500,000 $ 1,576,270 $ 1,576,875 $ 605 $ — Sale contracts (2,989,000 ) (3,028,470 ) (3,035,125 ) 3,689 (10,344 ) TBAs, net $ (1,489,000 ) $ (1,452,200 ) $ (1,458,250 ) $ 4,294 $ (10,344 ) ___________________ (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. As of September 30, 2017 and December 31, 2016 , the Company had purchased put and call options for TBAs with a notional amount of $2.0 billion and $2.5 billion , respectively. As of December 31, 2016 , the Company had also short sold put and call options for TBAs with a notional amount of $3.6 billion . The last of the options held at September 30, 2017 expired in October 2017 . The put and call options had a fair market value of $0.2 million included in derivative assets, at fair value, on the condensed consolidated balance sheet as of September 30, 2017 . As of December 31, 2016 , put and call options for TBAs had a fair market value of $42.6 million included in derivative assets, at fair value, on the condensed consolidated balance sheet. 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. As of September 30, 2017 and December 31, 2016 , the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) whereby the Company receives interest at a three-month LIBOR rate: (notional in thousands) September 30, 2017 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate (2) Weighted Average Maturity (Years) (2) 2017 $ 875,000 0.721 % 1.322 % 0.18 2018 4,320,000 1.155 % 1.314 % 0.75 2019 1,020,000 1.524 % 1.313 % 1.81 2020 1,590,000 1.542 % 1.311 % 2.96 2021 and Thereafter 7,806,201 1.793 % 1.321 % 5.93 Total $ 15,611,201 1.509 % 1.317 % 3.57 (notional in thousands) December 31, 2016 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate (2) Weighted Average Maturity (Years) (2) 2017 $ 2,375,000 0.765 % 0.934 % 0.59 2018 5,340,000 1.232 % 0.945 % 1.59 2019 350,000 1.283 % 0.895 % 2.44 2020 1,460,000 1.481 % 0.920 % 3.74 2021 and Thereafter 5,782,063 1.984 % 0.955 % 6.17 Total $ 15,307,063 1.441 % 0.943 % 3.24 ____________________ (1) Notional amount includes $200.0 million and $777.1 million in forward starting interest rate swaps as of September 30, 2017 and December 31, 2016 , respectively. (2) Weighted averages exclude forward starting interest rate swaps. As of September 30, 2017 and December 31, 2016 , the weighted average fixed pay rate on forward starting interest rate swaps was 2.7% and 2.0% , respectively. Additionally, as of September 30, 2017 and December 31, 2016 , the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk whereby the Company pays interest at a three-month LIBOR rate: (notional in thousands) September 30, 2017 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2019 $ 508,273 1.314 % 1.582 % 1.88 2020 200,000 1.312 % 1.642 % 2.85 2021 and Thereafter 3,697,403 1.316 % 2.187 % 7.21 Total $ 4,405,676 1.316 % 2.093 % 6.39 (notional in thousands) December 31, 2016 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2018 $ 575,000 0.911 % 1.440 % 1.89 2019 500,000 0.882 % 1.042 % 2.06 2020 510,000 0.881 % 1.580 % 3.59 2021 and Thereafter 3,479,000 0.963 % 2.137 % 5.52 Total $ 5,064,000 0.941 % 1.894 % 4.57 Interest Rate Swaptions . The Company may use 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) independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. As of September 30, 2017 and December 31, 2016 , the Company had the following outstanding interest rate swaptions that were utilized as macro-economic hedges: September 30, 2017 (notional and dollars in thousands) Option Underlying Swap Swaption Expiration Cost Basis Fair Value Average Months to Expiration Notional Amount Average Pay Rate Average Receive Rate Average Term (Years) Purchase contracts: Payer < 6 Months $ 9,260 $ 6,295 3.86 $ 3,225,000 2.25 % 3M Libor 5.0 Total Payer $ 9,260 $ 6,295 3.86 $ 3,225,000 2.25 % 3M Libor 5.0 Receiver < 6 Months $ 17,570 $ 7,716 2.32 $ 4,570,000 3M Libor 1.96 % 8.0 Receiver ≥ 6 Months — 4,490 7.80 250,000 3M Libor 2.35 % 10.0 Total Receiver $ 17,570 $ 12,206 3.05 $ 4,820,000 3M Libor 1.98 % 8.1 Sale contracts: Payer < 6 Months $ — $ — 0.37 $ (600,000 ) 2.42 % 3M Libor 5.0 Total Payer $ — $ — 0.37 $ (600,000 ) 2.42 % 3M Libor 5.0 Receiver < 6 Months $ (9,260 ) $ (5,257 ) 3.77 $ (4,006,000 ) 3M Libor 1.72 % 5.0 Receiver ≥ 6 Months (1,400 ) (3,849 ) 7.80 (625,000 ) 3M Libor 1.95 % 10.0 Total Receiver $ (10,660 ) $ (9,106 ) 4.29 $ (4,631,000 ) 3M Libor 1.75 % 5.7 December 31, 2016 (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 $ 29,360 $ 42,149 1.22 $ 4,500,000 2.16 % 3M Libor 4.8 Payer ≥ 6 Months 13,655 792 6.70 300,000 3.50 % 3M Libor 10.0 Total Payer $ 43,015 $ 42,941 1.23 $ 4,800,000 2.24 % 3M Libor 5.1 Sale contracts: Payer < 6 Months $ (51,355 ) $ (1,414 ) 5.81 $ (500,000 ) 3.40 % 3M Libor 10.0 Payer ≥ 6 Months (29,893 ) (938 ) 6.77 (300,000 ) 3.50 % 3M Libor 10.0 Total Payer $ (81,248 ) $ (2,352 ) 6.05 $ (800,000 ) 3.44 % 3M Libor 10.0 Receiver < 6 Months $ — $ (2,353 ) 2.30 $ (3,775,000 ) 3M Libor 1.19 % 4.9 Total Receiver $ — $ (2,353 ) 2.30 $ (3,775,000 ) 3M Libor 1.19 % 4.9 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. 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 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 September 30, 2017 and December 31, 2016 : (notional and dollars in thousands) September 30, 2017 Maturity Date Current Notional Amount Fair Value Cost Basis Unrealized Gain (Loss) January 12, 2043 $ (25,262 ) $ 124 $ (201 ) $ (77 ) January 12, 2044 (40,633 ) 269 (366 ) (97 ) Total $ (65,895 ) $ 393 $ (567 ) $ (174 ) (notional and dollars in thousands) December 31, 2016 Maturity Date Current Notional Amount Fair Value Cost Basis Unrealized Gain (Loss) January 12, 2043 $ (45,083 ) $ (5 ) $ (320 ) $ (325 ) January 12, 2044 (45,510 ) (12 ) (366 ) (378 ) Total $ (90,593 ) $ (17 ) $ (686 ) $ (703 ) 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. 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 securities, residential mortgage loans and commercial real estate assets. Derivative financial instruments contain an element of credit risk if counterparties are unable to meet the terms of the agreements. Credit risk associated with derivative financial instruments is measured as the net replacement cost should the counterparties that owe the Company under such contracts completely fail to perform under the terms of these contracts, assuming there are no recoveries of underlying collateral, as measured by the market value of the derivative financial instruments. As of September 30, 2017 , the fair value of derivative financial instruments as an asset and liability position was $238.3 million and $11.3 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 September 30, 2017 , the Company had received cash deposits from counterparties of $2.8 million and placed cash deposits of $167.6 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 inverse interest-only Agency RMBS. Inverse Interest-Only Securities . As of September 30, 2017 and December 31, 2016 , inverse interest-only securities with a carrying value of $102.2 million and $127.8 million , including accrued interest receivable of $1.0 million and $1.2 million , respectively, are accounted for as derivative financial instruments in the condensed consolidated financial statements. The following table presents the amortized cost and carrying value (which approximates fair value) of inverse interest-only securities as of September 30, 2017 and December 31, 2016 : (in thousands) September 30, December 31, Face Value $ 621,549 $ 740,844 Unamortized premium — — Unamortized discount Designated credit reserve — — Net, unamortized (529,809 ) (631,082 ) Amortized Cost 91,740 109,762 Gross unrealized gains 11,121 18,389 Gross unrealized losses (1,577 ) (1,552 ) Market Value $ 101,284 $ 126,599 |
Other Assets
Other Assets | 9 Months Ended |
Sep. 30, 2017 | |
Other Assets [Abstract] | |
Other Assets | Other Assets Other assets as of September 30, 2017 and December 31, 2016 are summarized in the following table: (in thousands) September 30, December 31, Property and equipment at cost $ 6,754 $ 6,481 Accumulated depreciation (1) (5,342 ) (4,566 ) Net property and equipment 1,412 1,915 Prepaid expenses 2,083 1,406 Income taxes receivable 120 1,532 Deferred tax assets, net 45,880 (2) 57,361 Servicing advances 20,658 26,147 Federal Home Loan Bank stock 85,175 167,856 Equity investments 3,000 3,000 Other receivables 48,632 43,653 Total other assets $ 206,960 $ 302,870 ____________________ (1) Depreciation expense for the three and nine months ended September 30, 2017 was $0.2 million and $0.8 million , respectively. (2) Net of valuation allowance of $4.3 million . |
Other Liabilities
Other Liabilities | 9 Months Ended |
Sep. 30, 2017 | |
Other Liabilities [Abstract] | |
Other Liabilities | Other Liabilities Other liabilities as of September 30, 2017 and December 31, 2016 are summarized in the following table: (in thousands) September 30, December 31, Accrued expenses $ 28,392 $ 28,944 Accrued interest payable 62,732 29,505 Income taxes payable 142 — Other 17,609 21,127 Total other liabilities $ 108,875 $ 79,576 |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Fair Value Fair Value Measurements ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets ( i.e. , observable inputs) and the lowest priority to data lacking transparency ( i.e. , unobservable inputs). Additionally, ASC 820 requires an entity to consider all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability. ASC 820 establishes a three-level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels: Level 1 Inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity. Level 2 Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities. Level 3 Unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation. Following are descriptions of the valuation methodologies used to measure material assets and liabilities at fair value and details of the valuation models, key inputs to those models and significant assumptions utilized. 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 RMBS and non-Agency securities. 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 securities, 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 99.4% and 0.6% of its AFS securities as Level 2 and Level 3 fair value assets, respectively, at September 30, 2017 . AFS securities account for 82.7% of all assets reported at fair value at September 30, 2017 . 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 September 30, 2017 . 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 collateralized financing entity, or 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 September 30, 2017 . 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 1.5% and 98.5% of its residential mortgage loans held-for-sale as Level 2 and Level 3 fair value assets, respectively, at September 30, 2017 . 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 Markit IOS total returns swaps reported at fair value as Level 2 at September 30, 2017 . 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 September 30, 2017 . The Company reported 100% of its TBAs as Level 1 as of September 30, 2017 . The Company did not hold any short U.S. Treasuries at September 30, 2017 . 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 September 30, 2017 . 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 September 30, 2017 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 20,085,812 $ 113,282 $ 20,199,094 Mortgage servicing rights — — 930,613 930,613 Residential mortgage loans held-for-investment in securitization trusts — 3,031,191 — 3,031,191 Residential mortgage loans held-for-sale — 470 30,727 31,197 Derivative assets 5,703 232,602 — 238,305 Total assets $ 5,703 $ 23,350,075 $ 1,074,622 $ 24,430,400 Liabilities Collateralized borrowings in securitization trusts $ — $ 2,785,413 $ — $ 2,785,413 Derivative liabilities — 11,312 — 11,312 Total liabilities $ — $ 2,796,725 $ — $ 2,796,725 Recurring Fair Value Measurements December 31, 2016 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 13,128,857 $ — $ 13,128,857 Mortgage servicing rights — — 693,815 693,815 Residential mortgage loans held-for-investment in securitization trusts — 3,271,317 — 3,271,317 Residential mortgage loans held-for-sale — 925 39,221 40,146 Derivative assets 4,294 319,888 — 324,182 Total assets $ 4,294 $ 16,720,987 $ 733,036 $ 17,458,317 Liabilities Collateralized borrowings in securitization trusts $ — $ 3,037,196 $ — $ 3,037,196 Derivative liabilities 10,344 2,157 — 12,501 Total liabilities $ 10,344 $ 3,039,353 $ — $ 3,049,697 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 September 30, 2017 , 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 tables present the reconciliation for all of the Company’s Level 3 assets measured at fair value on a recurring basis: Three Months Ended September 30, 2017 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Residential Mortgage Loans Held-For-Sale Beginning of period level 3 fair value $ — $ 898,025 $ 31,460 Gains (losses) included in net income: Realized (losses) gains — (29,092 ) 145 Unrealized (losses) gains — (154 ) (1) 284 (3) Total gains (losses) included in net income — (29,246 ) 429 Other comprehensive income 282 — — Purchases 113,000 66,280 — Sales — 497 — Settlements — (4,943 ) (1,162 ) Gross transfers into level 3 — — — Gross transfers out of level 3 — — — End of period level 3 fair value $ 113,282 $ 930,613 $ 30,727 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ 282 $ (154 ) (2) $ 295 (4) Nine Months Ended September 30, 2017 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Residential Mortgage Loans Held-For-Sale Beginning of period level 3 fair value $ — $ 693,815 $ 39,221 Gains (losses) included in net income: Realized (losses) gains — (67,357 ) 1,833 Unrealized (losses) gains — (23,083 ) (1) 446 (3) Total gains (losses) included in net income — (90,440 ) 2,279 Other comprehensive income 282 — — Purchases 113,000 340,176 569 Sales — (132 ) (3,717 ) Settlements — (12,806 ) (7,625 ) Gross transfers into level 3 — — — Gross transfers out of level 3 — — — End of period level 3 fair value $ 113,282 $ 930,613 $ 30,727 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ 282 $ (23,551 ) (2) $ 750 (4) ___________________ (1) The change in unrealized gains or losses on MSR was recorded in loss on servicing asset on the condensed consolidated statements of comprehensive income . (2) The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in loss on servicing asset on the condensed consolidated statements of comprehensive income . (3) 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 . (4) 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 . The Company did not incur transfers between Level 1, Level 2 or Level 3 during the nine months ended September 30, 2017 . 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 broker quotes in the fair value measurement of its Level 3 available-for-sale securities. The significant unobservable inputs used by the broker included prepayment rate, probability of delinquency 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 providers in the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at September 30, 2017 : September 30, 2017 Valuation Technique Unobservable Input (1) Range Weighted Average Discounted cash flow Constant prepayment speed 9.2 - 12.2 % 10.8% Delinquency 1.4 - 2.0 % 1.7% Discount rate 8.6 - 11.0 % 9.9% ___________________ (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. 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. 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 (loss) on investment securities on the condensed consolidated statements of comprehensive income . 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 income (loss) on the condensed consolidated statements of comprehensive income . The Company elected the fair value option for its residential mortgage loans held-for-sale. 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 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 September 30, 2017 (in thousands) Interest income (expense) Gain (loss) on investment securities Gain (loss) on residential mortgage loans held-for-sale Other income (loss) Total included in net income Change in fair value due to credit risk Assets Available-for-sale securities $ (2,283 ) $ 4,757 $ — $ — $ 2,474 N/A Residential mortgage loans held-for-investment in securitization trusts 29,865 (1) — — 14,670 44,535 $ — (2) Residential mortgage loans held-for-sale 479 (1) — 355 — 834 (400 ) (3) Liabilities Collateralized borrowings in securitization trusts (23,970 ) — — (7,863 ) (31,833 ) — (2) Total $ 4,091 $ 4,757 $ 355 $ 6,807 $ 16,010 $ (400 ) Three Months Ended September 30, 2016 (in thousands) Interest income (expense) Gain (loss) on investment securities Gain (loss) on residential mortgage loans held-for-sale Other income (loss) Total included in net income Change in fair value due to credit risk Assets Available-for-sale securities $ (249 ) $ 12 $ — $ — $ (237 ) N/A Residential mortgage loans held-for-investment in securitization trusts 33,495 (1) — — 24,628 58,123 $ — (2) Residential mortgage loans held-for-sale 7,627 (1) — (419 ) — 7,208 145 (3) Liabilities Collateralized borrowings in securitization trusts (26,422 ) — — (20,360 ) (46,782 ) — (2) Total $ 14,451 $ 12 $ (419 ) $ 4,268 $ 18,312 $ 145 Nine Months Ended September 30, 2017 (in thousands) Interest income (expense) Gain (loss) on investment securities Gain (loss) on residential mortgage loans held-for-sale Other income (loss) Total included in net income Change in fair value due to credit risk Assets Available-for-sale securities $ (5,565 ) $ 9,124 $ — $ — $ 3,559 N/A Residential mortgage loans held-for-investment in securitization trusts 92,319 (1) — — 45,569 137,888 $ — (2) Residential mortgage loans held-for-sale 1,380 (1) — 2,149 — 3,529 $ (1,281 ) (3) Liabilities Collateralized borrowings in securitization trusts (74,199 ) — — (30,685 ) (104,884 ) — (2) Total $ 13,935 $ 9,124 $ 2,149 $ 14,884 $ 40,092 $ (1,281 ) Nine Months Ended September 30, 2016 (in thousands) Interest income (expense) Gain (loss) on investment securities Gain (loss) on residential mortgage loans held-for-sale Other income (loss) Total included in net income Change in fair value due to credit risk Assets Available-for-sale securities $ (132 ) $ (1,262 ) $ — $ — $ (1,394 ) N/A Residential mortgage loans held-for-investment in securitization trusts 100,765 (1) — — 63,737 164,502 $ — (2) Residential mortgage loans held-for-sale 19,789 (1) — 17,028 — 36,817 209 (3) Liabilities Collateralized borrowings in securitization trusts (70,965 ) — — (68,910 ) (139,875 ) — (2) Total $ 49,457 $ (1,262 ) $ 17,028 $ (5,173 ) $ 60,050 $ 209 ____________________ (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 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. (3) 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. The table below provides the fair value and the unpaid principal balance for the Company’s fair value option-elected loans and collateralized borrowings. September 30, 2017 December 31, 2016 (in thousands) Unpaid Principal Balance Fair Value (1) Unpaid Principal Balance Fair Value (1) Residential mortgage loans held-for-investment in securitization trusts Total loans $ 2,948,349 $ 3,031,191 $ 3,234,044 $ 3,271,317 Nonaccrual loans $ 2,812 $ 2,892 $ 2,373 $ 2,408 Loans 90+ days past due $ 1,618 $ 1,666 $ 1,401 $ 1,419 Residential mortgage loans held-for-sale Total loans $ 38,765 $ 31,197 $ 49,986 $ 40,146 Nonaccrual loans $ 14,257 $ 11,775 $ 25,445 $ 21,162 Loans 90+ days past due $ 11,180 $ 9,047 $ 21,759 $ 18,203 Collateralized borrowings in securitization trusts Total borrowings $ 2,732,694 $ 2,785,413 $ 3,015,162 $ 3,037,196 ____________________ (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. The Company estimates the fair value of its commercial real estate assets by assessing any changes in market interest rates, shifts in credit profiles and actual operating results for mezzanine commercial real estate loans and commercial real estate first mortgages, taking into consideration such factors as underlying property type, property competitive position within its market, market and submarket fundamentals, tenant mix, nature of business plan, sponsorship, extent of leverage and other loan terms. 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, FHLB advances and revolving credit facilities that mature in less than one year generally approximates fair value due to the short maturities. As of September 30, 2017 , the Company held $1.4 billion of repurchase agreements and $2.0 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. • Convertible senior notes are carried at their unpaid principal balance, net of any unamortized deferred issuance costs. The Company estimates the fair value of its convertible senior notes using the market transaction price on September 30, 2017 . The Company categorizes the fair value measurement of these assets 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 September 30, 2017 and December 31, 2016 . September 30, 2017 December 31, 2016 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets Available-for-sale securities $ 20,199,094 $ 20,199,094 $ 13,128,857 $ 13,128,857 Commercial real estate assets $ 2,171,344 $ 2,187,721 $ 1,412,543 $ 1,411,733 Mortgage servicing rights $ 930,613 $ 930,613 $ 693,815 $ 693,815 Residential mortgage loans held-for-investment in securitization trusts $ 3,031,191 $ 3,031,191 $ 3,271,317 $ 3,271,317 Residential mortgage loans held-for-sale $ 31,197 $ 31,197 $ 40,146 $ 40,146 Cash and cash equivalents $ 539,367 $ 539,367 $ 406,883 $ 406,883 Restricted cash $ 343,813 $ 343,813 $ 408,312 $ 408,312 Derivative assets $ 238,305 $ 238,305 $ 324,182 $ 324,182 Federal Home Loan Bank stock $ 85,175 $ 85,175 $ 167,856 $ 167,856 Equity investments $ 3,000 $ 3,000 $ 3,000 $ 3,000 Liabilities Repurchase agreements $ 18,297,392 $ 18,297,392 $ 9,316,351 $ 9,316,351 Collateralized borrowings in securitization trusts $ 2,785,413 $ 2,785,413 $ 3,037,196 $ 3,037,196 Federal Home Loan Bank advances $ 1,998,762 $ 1,998,762 $ 4,000,000 $ 4,000,000 Revolving credit facilities $ 40,000 $ 40,000 $ 70,000 $ 70,000 Convertible senior notes $ 282,543 $ 306,906 $ — $ — Derivative liabilities $ 11,312 $ 11,312 $ 12,501 $ 12,501 |
Repurchase Agreements
Repurchase Agreements | 9 Months Ended |
Sep. 30, 2017 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | Repurchase Agreements As of September 30, 2017 and December 31, 2016 , the Company had outstanding $18.3 billion and $9.3 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 1.76% and 1.31% and weighted average remaining maturities of 154 and 77 days as of September 30, 2017 and December 31, 2016 , respectively. At September 30, 2017 and December 31, 2016 , the repurchase agreement balances were as follows: (in thousands) September 30, December 31, Short-term $ 16,856,537 $ 9,130,717 Long-term 1,440,855 185,634 Total $ 18,297,392 $ 9,316,351 At September 30, 2017 and December 31, 2016 , the repurchase agreements had the following characteristics and remaining maturities: September 30, 2017 Collateral Type (in thousands) Agency RMBS Non-Agency Securities (1) Agency Derivatives Commercial Real Estate Assets Total Amount Outstanding Within 30 days $ 2,398,041 $ 746,438 $ 23,038 $ — $ 3,167,517 30 to 59 days 2,583,705 250,472 51,718 25,934 2,911,829 60 to 89 days — — — — — 90 to 119 days 2,994,737 303,896 — — 3,298,633 120 to 364 days 6,913,298 562,782 2,478 — 7,478,558 One year and over — — — 1,440,855 1,440,855 Total $ 14,889,781 $ 1,863,588 $ 77,234 $ 1,466,789 $ 18,297,392 Weighted average borrowing rate 1.43 % 2.93 % 2.10 % 3.56 % 1.76 % December 31, 2016 Collateral Type (in thousands) Agency RMBS Non-Agency Securities (1) Agency Derivatives Commercial Real Estate Assets Total Amount Outstanding Within 30 days $ 2,511,773 $ 688,667 $ 30,672 $ 21,933 $ 3,253,045 30 to 59 days 1,786,664 334,590 68,257 28,991 2,218,502 60 to 89 days 1,035,806 89,281 3,307 — 1,128,394 90 to 119 days 1,192,127 251,929 — — 1,444,056 120 to 364 days 810,552 69,678 — 206,490 1,086,720 One year and over — — — 185,634 185,634 Total $ 7,336,922 $ 1,434,145 $ 102,236 $ 443,048 $ 9,316,351 Weighted average borrowing rate 0.94 % 2.60 % 1.69 % 3.16 % 1.31 % ____________________ (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) September 30, December 31, Available-for-sale securities, at fair value $ 17,940,144 $ 9,540,849 Commercial real estate assets 1,997,077 648,885 Net economic interests in consolidated securitization trusts (1) 224,394 211,095 Cash and cash equivalents 14,796 15,000 Restricted cash 149,845 162,759 Due from counterparties 23,602 48,939 Derivative assets, at fair value 101,187 126,341 Total $ 20,451,045 $ 10,753,868 ____________________ (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 September 30, 2017 and December 31, 2016 : September 30, 2017 December 31, 2016 (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 JP Morgan Chase $ 1,950,484 $ 264,974 6 % 219 $ 605,768 $ 174,197 5 % 110 All other counterparties (2) 16,346,908 1,887,168 46 % 147 8,710,583 1,261,204 37 % 75 Total $ 18,297,392 $ 2,152,142 $ 9,316,351 $ 1,435,401 ____________________ (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 $17.9 million are not included in the September 30, 2017 amounts presented above. The Company did not have any such payables at December 31, 2016 . (2) Represents amounts outstanding with 24 and 22 counterparties at September 30, 2017 and December 31, 2016 , 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 | 9 Months Ended |
Sep. 30, 2017 | |
Collateralized Borrowings in Securitization Trusts [Abstract] | |
Collateralized Borrowings in Securitization Trusts, at Fair Value | Collateralized Borrowings in Securitization Trusts, at Fair Value The Company retains subordinated debt and excess servicing rights purchased 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 September 30, 2017 and December 31, 2016 , collateralized borrowings in securitization trusts had a carrying value of $2.8 billion and $3.0 billion , respectively, with a weighted average interest rate of 3.4% for both periods. The stated maturity dates for all collateralized borrowings were more than five years from both September 30, 2017 and December 31, 2016 . |
Federal Home Loan Bank of Des M
Federal Home Loan Bank of Des Moines Advances | 9 Months Ended |
Sep. 30, 2017 | |
Advances from Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank of Des Moines Advances | 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 September 30, 2017 and December 31, 2016 , TH Insurance had $2.0 billion and $4.0 billion in outstanding secured advances with a weighted average borrowing rate of 1.56% and 0.85% , respectively. As of September 30, 2017 , TH Insurance had an additional $1.4 billion of available uncommitted capacity for borrowings. TH Insurance had no additional uncommitted capacity to borrow as of December 31, 2016 . 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 securities 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 membership grace period that shall run through February 19, 2021, 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 September 30, 2017 and December 31, 2016 , FHLB advances had the following remaining maturities: (in thousands) September 30, December 31, ≤ 1 year $ — $ 651,238 > 1 and ≤ 3 years 815,024 815,024 > 3 and ≤ 5 years — — > 5 and ≤ 10 years — — > 10 years 1,183,738 2,533,738 Total $ 1,998,762 $ 4,000,000 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) September 30, December 31, Available-for-sale securities, at fair value $ 2,048,924 $ 3,576,481 Commercial real estate assets 33,626 708,989 Net economic interests in consolidated securitization trusts (1) 2,040 2,015 Total $ 2,084,590 $ 4,287,485 ____________________ (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 September 30, 2017 and December 31, 2016 , the Company had stock in the FHLB totaling $85.2 million and $167.9 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 September 30, 2017 and December 31, 2016 , the Company had not recognized an impairment charge related to its FHLB stock. |
Revolving Credit Facilities
Revolving Credit Facilities | 9 Months Ended |
Sep. 30, 2017 | |
Revolving Credit Facilities [Abstract] | |
Revolving Credit Facilities | Revolving Credit Facilities To finance MSR, the Company enters into revolving credit facilities collateralized by the value of the MSR pledged. As of September 30, 2017 and December 31, 2016 , the Company had outstanding short-term borrowings under revolving credit facilities of $40.0 million and $70.0 million with a weighted average borrowing rate of 4.98% and 4.53% and weighted average remaining maturities of 208 and 306 days, respectively. Although the transactions under revolving credit facilities represent committed borrowings from the time of funding until maturity, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets below a designated threshold would require the Company to provide additional collateral or pay down the facility. As of September 30, 2017 and December 31, 2016 , MSR with a carrying value of $160.6 million and $180.9 million , respectively, was pledged as collateral for the Company’s future payment obligations under its revolving credit facilities. The Company does not anticipate any defaults by its revolving credit facility counterparties, although there can be no assurance that any such default or defaults will not occur. |
Convertible Senior Notes
Convertible Senior Notes | 9 Months Ended |
Sep. 30, 2017 | |
Debt Disclosure [Abstract] | |
Convertible Senior Notes | Convertible Senior Notes On January 19, 2017, the Company closed an underwritten public offering of $287.5 million aggregate principal amount of convertible senior notes due 2022, which included $37.5 million aggregate principal amount sold by the Company to the underwriter of the offering pursuant to an overallotment option. The net proceeds from the offering were approximately $282.2 million after deducting underwriting discounts and estimated offering expenses payable by the Company. The notes are unsecured, pay interest semiannually at a rate of 6.25% per annum and are convertible at the option of the holder into shares of the Company’s common stock. The notes will mature in January 2022 , unless earlier converted or repurchased in accordance with their terms. The Company does not have the right to redeem the notes prior to maturity, but may be required to repurchase the notes from holders under certain circumstances. As of September 30, 2017 , the notes had a conversion rate of 50.2537 shares of common stock per $1,000 principal amount of the notes (based on the retroactive adjustment due to the Company’s one-for-two reverse stock split described in Note 20 - Equity ) . The outstanding amount due on the convertible senior notes as of September 30, 2017 was $282.5 million , net of deferred issuance costs. |
Equity
Equity | 9 Months Ended |
Sep. 30, 2017 | |
Equity [Abstract] | |
Equity | Equity Preferred Stock On March 14, 2017, the Company issued 5,000,000 shares of 8.125% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share, in a public offering at a price of $25.00 per share. On March 21, 2017, an additional 750,000 shares were sold by the Company to the underwriters of the offering pursuant to an overallotment option. Holders of the preferred stock are entitled to receive, when and as declared, a dividend at a fixed rate of 8.125% per annum of the $25.00 liquidation preference. On and after April 27, 2027, dividends will accumulate and be payable at a floating rate of three-month LIBOR plus a spread of 5.66% per annum of the $25.00 liquidation preference. The preferred stock ranks senior to the Company’s common stock and on parity with our 7.625% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock with respect to the payment of dividends and the distribution of assets upon the voluntary or involuntary liquidation, dissolution or winding up of the Company. Under certain circumstances upon a change of control, the preferred stock is convertible into shares of the Company’s common stock. The preferred stock will not be redeemable before April 27, 2027, except under certain limited circumstances. On or after April 27, 2027, the Company may, at its option, redeem, in whole or in part, at any time or from time to time, the preferred stock at a redemption price of $25.00 per share, plus any accumulated and unpaid dividends thereon (whether or not authorized or declared) up to, but excluding, the redemption date. The net proceeds from the offering were approximately $138.9 million , after deducting underwriting discounts and estimated offering expenses payable by the Company. On July 19, 2017, the Company issued 11,500,000 shares of 7.625% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share, in a public offering at a price of $25.00 per share, which included 1,500,000 shares sold to the underwriters of the offering pursuant to an overallotment option. Holders of the preferred stock are entitled to receive, when and as declared, a dividend at a fixed rate of 7.625% per annum of the $25.00 liquidation preference. On and after July 27, 2027, dividends will accumulate and be payable at a floating rate of three-month LIBOR plus a spread of 5.352% per annum of the $25.00 liquidation preference. The preferred stock ranks senior to the Company’s common stock and on parity with the Company’s 8.125% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock with respect to the payment of dividends and the distribution of assets upon the voluntary or involuntary liquidation, dissolution or winding up of the Company. Under certain circumstances upon a change of control, the preferred stock is convertible into shares of the Company’s common stock. The preferred stock will not be redeemable before July 27, 2027, except under certain limited circumstances. On or after July 27, 2027, the Company may, at its option, redeem, in whole or in part, at any time or from time to time, the preferred stock at a redemption price of $25.00 per share, plus any accumulated and unpaid dividends thereon (whether or not authorized or declared) up to, but excluding, the redemption date. The net proceeds from the offering were approximately $278.1 million , after deducting underwriting discounts and estimated offering expenses payable by the Company. Distributions to Preferred Stockholders The following table presents cash dividends declared by the Company on its preferred stock during the three and nine months ended September 30, 2017 : Declaration Date Record Date Payment Date Cash Dividend Per Preferred Share Series A Preferred Stock: September 14, 2017 October 12, 2017 October 27, 2017 $ 0.50781 June 15, 2017 July 12, 2017 July 27, 2017 $ 0.75043 Series B Preferred Stock: September 14, 2017 October 12, 2017 October 27, 2017 $ 0.51892 Common Stock Reverse Stock Split On September 14, 2017, the Company’s board of directors approved a one-for-two reverse stock split of its outstanding shares of common stock. The reverse stock split was effected on November 1, 2017 at 5:01 p.m. Eastern Time, following the special dividend of Granite Point common stock. At the effective time, every two issued and outstanding shares of the Company’s common stock were converted into one share of common stock. No fractional shares were issued in connection with the reverse stock split; instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined on the basis of the volume weighted average price of the Company’s common stock on the NYSE on November 1, 2017. In connection with the reverse stock split, the number of authorized shares of the Company’s common stock was also reduced on a one-for-two basis, from 900 million to 450 million . The par value of each share of common stock remained unchanged. All per share amounts, common shares outstanding and restricted shares for all periods presented have been adjusted on a retroactive basis to reflect the reverse stock split. Distributions to Common Stockholders The following table presents cash dividends declared by the Company on its common stock during the three months ended September 30, 2017 , and the four immediately preceding quarters: Declaration Date Record Date Payment Date Cash Dividend Per Common Share September 14, 2017 September 29, 2017 October 27, 2017 $ 0.52 June 15, 2017 June 30, 2017 July 27, 2017 $ 0.52 March 14, 2017 March 31, 2017 April 27, 2017 $ 0.50 December 15, 2016 December 30, 2016 January 27, 2017 $ 0.48 September 15, 2016 September 30, 2016 October 20, 2016 $ 0.46 On September 14, 2017, the Company’s board of directors declared a special dividend pursuant to which the 33.1 million shares of Granite Point common stock acquired by the Company in exchange for the contribution of its equity interests in TH Commercial Holdings LLC to Granite Point on June 28, 2017 would be distributed, on a pro rata basis, to the holders of Two Harbors common stock outstanding at the close of business on October 20, 2017. The Granite Point common stock was distributed on November 1, 2017. Due to its controlling ownership interest in Granite Point during the periods presented, the Company consolidates Granite Point on its financial statements and does not recognize the dividend declaration until November 1, 2017, the date the Company no longer held a controlling interest in Granite Point. On September 18, 2017, Granite Point’s board of directors declared a quarterly cash dividend on its common stock of $0.32 per share. The dividend was payable on October 18, 2017 to common stockholders of record at the close of business on September 29, 2017. 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. The plan allows for the issuance of up to an aggregate of 3,750,000 shares of the Company’s common stock. As of September 30, 2017 , 191,635 shares have been issued under the plan for total proceeds of approximately $3.8 million , of which 6,469 and 19,688 shares were issued for total proceeds of $0.1 million and $0.4 million during the three and nine months ended September 30, 2017 , respectively. During the three and nine months ended September 30, 2016 , 7,310 and 21,882 shares were issued for total proceeds of $0.1 million and $0.4 million , respectively. Share Repurchase Program The Company’s share repurchase program allows for the repurchase of up to an aggregate of 37,500,000 shares of the Company’s common stock. 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, subject to SEC rules, purchases may be commenced or suspended at any time without prior notice. The share repurchase program does not have an expiration date. As of September 30, 2017 , a total of 12,067,500 shares had been repurchased by the Company under the program for an aggregate cost of $200.4 million ; of these, 4,010,000 shares were repurchased for a total cost of $61.3 million during the nine months ended September 30, 2016 . No shares were repurchased during the three months ended September 30, 2016 , or the three and nine months ended September 30, 2017 . At-the-Market Offering The Company has entered into an equity distribution agreement under which the Company may sell up to an aggregate of 10,000,000 shares of its common stock from time to time in any method permitted by law deemed to be an “at the market” offering as defined in Rule 415 under the Securities Act of 1933, as amended, or the Securities Act. As of September 30, 2017 , 3,792,935 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 nine months ended September 30, 2017 and 2016 . Accumulated Other Comprehensive Income Accumulated other comprehensive income at September 30, 2017 and December 31, 2016 was as follows: (in thousands) September 30, December 31, Available-for-sale securities Unrealized gains $ 508,607 $ 393,555 Unrealized losses (85,565 ) (194,328 ) Accumulated other comprehensive income $ 423,042 $ 199,227 Reclassifications out of Accumulated Other Comprehensive Income The following table summarizes reclassifications out of accumulated other comprehensive income for the three and nine months ended September 30, 2017 and 2016 : Affected Line Item in the Condensed Consolidated Statements of Comprehensive Income Amount Reclassified out of Accumulated Other Comprehensive Income (in thousands) Three Months Ended Nine Months Ended 2017 2016 2017 2016 Other-than-temporary impairments on AFS securities Total other-than-temporary impairment losses $ — $ 1,015 $ 429 $ 1,822 Realized gains on sales of certain AFS securities, net of tax Gain (loss) on investment securities 4,220 (30,396 ) 7,386 (54,652 ) Total $ 4,220 $ (29,381 ) $ 7,815 $ (52,830 ) Noncontrolling Interest On June 28, 2017, the Company contributed its equity interests in its wholly owned subsidiary, TH Commercial Holdings LLC, to Granite Point and, in exchange for its contribution, received approximately 33.1 million shares of common stock of Granite Point, representing approximately 76.5% of the outstanding stock of Granite Point upon completion of the IPO of its common stock on June 28, 2017. Granite Point issued 10,000,000 shares of its common stock in the IPO at a price of $19.50 per share, for gross proceeds of $195.0 million . Net proceeds were approximately $181.9 million , net of issuance costs of approximately $13.1 million . In connection with the Granite Point IPO, the Company agreed, subject to certain conditions, to purchase up to $20 million of Granite Point common stock in the open market at designated prices below Granite Point’s publicly reported book value pursuant to a share purchase program that ended on November 1, 2017. During the three and nine months ended September 30, 2017 , the Company purchased 285,662 shares of Granite Point common stock under the program for a total cost of $5.4 million . Due to its controlling ownership interest in Granite Point during the periods presented, the Company consolidates Granite Point on its financial statements and reflects noncontrolling interest for the portion of equity and comprehensive income not attributable to the Company. During the three and nine months ended September 30, 2017 , in accordance with ASC 810, Consolidation, the carrying amount of noncontrolling interest was adjusted to reflect (i) changes in its ownership interest in Granite Point as a result of the purchases of Granite Point common stock discussed above and (ii) the portion of comprehensive income and dividends declared by Granite Point that are not attributable to the Company, with the offset to equity. |
Equity Incentive Plan
Equity Incentive Plan | 9 Months Ended |
Sep. 30, 2017 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Equity Incentive Plan | Equity Incentive Plan All per share amounts, common shares outstanding and restricted shares for all periods presented have been adjusted on a retroactive basis to reflect the reverse stock split. During the nine months ended September 30, 2017 and 2016 , the Company granted 34,559 and 40,869 shares of common stock, respectively, to its independent directors pursuant to the Company’s Second Restated 2009 Equity Incentive Plan, or the Plan. The estimated fair value of these awards was $19.82 and $16.86 per share on grant date, based on the adjusted closing price of the Company’s common stock on the NYSE on such date. The grants vested immediately. Additionally, during the nine months ended September 30, 2017 and 2016 , the Company granted 637,286 and 968,761 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 $17.48 and $15.04 per share on grant date, based on the adjusted 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 September 30, 2017 was $20.16 per share based on the adjusted 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 nine months ended September 30, 2017 and 2016 : Nine Months Ended September 30, 2017 2016 Shares Weighted Average Grant Date Fair Market Value Shares Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 1,319,712 $ 17.10 1,145,305 $ 20.73 Granted 671,845 17.60 1,009,630 15.11 Vested (645,325 ) (17.90 ) (604,557 ) (20.39 ) Forfeited (22,789 ) (17.90 ) (150,609 ) (17.01 ) Outstanding at End of Period 1,323,443 $ 16.95 1,399,769 $ 17.23 For the three and nine months ended September 30, 2017 , the Company recognized compensation related to restricted common stock granted pursuant to the Plan of $3.5 million and $11.7 million , respectively. For the three and nine months ended September 30, 2016 , the Company recognized compensation related to restricted common stock granted pursuant to the Plan of $3.5 million and $11.2 million , respectively. Granite Point has adopted a 2017 Equity Incentive Plan, or the Granite Point Plan, to provide incentive compensation to attract and retain qualified directors, officers, advisors, consultants and other personnel. The Granite Point Plan permits the granting of stock options, restricted shares of common stock, phantom shares, dividend equivalent rights, and other equity-based awards. During the nine months ended September 30, 2017 , Granite Point granted 14,103 shares of its restricted common stock to its independent directors and 150,000 shares of its restricted common stock to its executive officers and certain other personnel of an affiliate of its manager pursuant to the Granite Point Plan. The grants to Granite Point’s independent directors vested immediately, while the grants to its executive officers and certain other personnel will 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. For both the three and nine months ended September 30, 2017 , Granite Point recognized compensation related to restricted common stock granted pursuant to the Granite Point Plan of $0.7 million . |
Restructuring Charges
Restructuring Charges | 9 Months Ended |
Sep. 30, 2017 | |
Restructuring and Related Activities [Abstract] | |
Restructuring Charges | Restructuring Charges 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. In connection with the closure, the Company incurred the following charges, which are included within restructuring charges on the Company’s condensed consolidated statements of comprehensive income , for the three and nine months ended September 30, 2016 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2017 2016 2017 2016 Termination benefits $ — $ 652 $ — $ 652 Contract terminations — 519 — 519 Other associated costs — 18 — 18 Total $ — $ 1,189 $ — $ 1,189 The mortgage loan conduit and securitization business wind down process was completed at the end of 2016. The Company did not incur any additional restructuring costs in 2017. |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2017 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes For the three and nine months ended September 30, 2017 and 2016 , 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 nine months ended September 30, 2017 , the Company’s TRSs recognized a benefit from income taxes of $5.3 million and $21.1 million , respectively, which was primarily due to realized losses on sales of AFS securities and net losses incurred on derivative instruments held in the Company’s TRSs. During the three and nine months ended September 30, 2016 , the Company’s TRSs recognized a benefit from income taxes of $16.8 million and $26.1 million , respectively, which was primarily due to losses incurred on MSR and derivative instruments held in the Company’s TRSs. As of September 30, 2017 , a $4.3 million valuation allowance was recorded because the Company determined that it is more likely than not that the associated deferred tax asset will not be realized. At December 31, 2016 , the Company had not recorded a valuation allowance for any portion of its deferred tax assets as it did not believe, at a more likely than not level, that any portion of its deferred tax assets would not be realized. 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
Earnings Per Share | 9 Months Ended |
Sep. 30, 2017 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Earnings Per Share The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three and nine months ended September 30, 2017 and 2016 . All per share amounts, common shares outstanding and restricted shares for all periods presented have been adjusted on a retroactive basis to reflect the reverse stock split. Three Months Ended Nine Months Ended September 30, September 30, (in thousands, except share data) 2017 2016 2017 2016 Numerator: Net income $ 104,738 $ 117,786 $ 185,381 $ 11,875 Net income attributable to noncontrolling interest 2,674 — 2,714 — Net income attributable to Two Harbors Investment Corp. 102,064 117,786 182,667 11,875 Dividends on preferred stock 8,888 — 13,173 — Net income attributable to common stockholders - basic 93,176 117,786 169,494 11,875 Interest expense attributable to convertible notes (1) 4,727 — — — Net income attributable to common stockholders - diluted 97,903 117,786 169,494 11,875 Denominator: Weighted average common shares outstanding 173,162,988 172,372,459 173,022,717 172,545,883 Weighted average restricted stock shares 1,325,308 1,441,154 1,392,515 1,563,234 Basic weighted average shares outstanding 174,488,296 173,813,613 174,415,232 174,109,117 Effect of dilutive shares issued in an assumed conversion 14,419,060 — — — Diluted weighted average shares outstanding 188,907,356 173,813,613 174,415,232 174,109,117 Earnings Per Share Basic $ 0.53 $ 0.68 $ 0.97 $ 0.07 Diluted $ 0.52 $ 0.68 $ 0.97 $ 0.07 ___________________ (1) Includes a nondiscretionary adjustment for the assumed change in the management fee calculation. For the nine months ended September 30, 2017 , excluded from the calculation of diluted earnings per share is the effect of adding back $13.1 million of interest expense, net of a nondiscretionary adjustment for the assumed change in the management fee calculation, and 13,447,072 weighted average common share equivalents related to the assumed conversion of the Company’s convertible senior notes, as their inclusion would be antidilutive. |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2017 | |
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 $10.2 million and $33.3 million as a management fee to PRCM Advisers for the three and nine months ended September 30, 2017 , respectively, and $11.4 million and $35.3 million as a management fee to PRCM Advisers for the three and nine months ended September 30, 2016 , 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 the consolidated stockholders’ equity of Granite Point and its subsidiaries included in the Company’s condensed consolidated balance sheet and any common stock repurchases, as well as any unrealized gains, losses or other items that do not affect realized net income , among other adjustments, in accordance with the management agreement. 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 $4.8 million and $18.8 million for the three and nine months ended September 30, 2017 , respectively, and $6.3 million and $19.1 million for the three and nine months ended September 30, 2016 , respectively. Upon the closing of its IPO on June 28, 2017, Granite Point entered into a management agreement with Pine River. In accordance with Granite Point’s management agreement with Pine River, the Company incurred $3.1 million and $3.2 million as a management fee to Pine River for the three and nine months ended September 30, 2017 , respectively, which represents approximately 1.5% of Granite Point’s equity on an annualized basis as defined by the management agreement. For purposes of calculating the management fee, equity is adjusted to exclude any common stock repurchases as well as any unrealized gains, losses or other items that do not affect realized net income , among other adjustments, in accordance with the management agreement. 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, technology and certain office lease payments, but most direct expenses with third-party vendors are paid directly by the Company. The Company recognized $3.5 million and $11.7 million of compensation during the three and nine months ended September 30, 2017 , respectively, and $3.5 million and $11.2 million of compensation during the three and nine months ended September 30, 2016 , respectively, related to restricted common stock issued to employees of PRCM Advisers and the Company’s independent directors pursuant to the Plan. In addition, Granite Point recognized $0.7 million of compensation during both the three and nine months ended September 30, 2017 related to restricted common stock issued to its independent directors, executive officers and certain other personnel of an affiliate of its manager pursuant to the Granite Point Plan. See Note 21 - Equity Incentive Plan for additional information. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2017 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On September 14, 2017, the Company’s board of directors declared a special dividend pursuant to which the 33.1 million shares of Granite Point common stock acquired by the Company in exchange for the contribution of its equity interests in TH Commercial Holdings LLC to Granite Point on June 28, 2017 would be distributed, on a pro rata basis, to the holders of Two Harbors common stock outstanding as of the close of business on October 20, 2017. The special dividend was distributed on November 1, 2017. Also on September 14, 2017, the Company’s board of directors approved a one-for-two reverse stock split of its outstanding shares of common stock. The reverse stock split was effected on November 1, 2017 at 5:01 p.m. Eastern Time, following the special dividend of Granite Point common stock. At the effective time, every two issued and outstanding shares of the Company’s common stock were converted into one share of common stock. No fractional shares were issued in connection with the reverse stock split; instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined on the basis of the volume weighted average price of the Company’s common stock on the NYSE on November 1, 2017. In connection with the reverse stock split, the number of authorized shares of the Company’s common stock was also reduced on a one-for-two basis, from 900 million to 450 million . The par value of each share of common stock remained unchanged. Events subsequent to September 30, 2017 , 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 Sig34
Basis of Presentation and Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2017 | |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Consolidation and Basis of Presentation | 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. Certain prior period amounts have been reclassified to conform to the current period presentation. All per share amounts, common shares outstanding and restricted shares for the three and nine months ended September 30, 2017 and all prior periods reflect the Company’s one-for-two reverse stock split, which was effected on November 1, 2017 at 5:01 p.m. Eastern Time (refer to Note 20 - Equity for additional information). 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, 2016 . In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at September 30, 2017 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2017 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. 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 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 trust. Due to its controlling ownership interest in Granite Point during the periods presented, the Company consolidates Granite Point on its financial statements and reflects noncontrolling interest for the portion of equity and comprehensive income not attributable to the Company. During this consolidation period, the Company’s financial condition and results of operations reflect all of Granite Point’s commercial real estate investments and financing. No other subsidiary of the Company invests in, finances or manages commercial real estate debt and related instruments. Effective November 1, 2017 (the date the 33.1 million shares of Granite Point common stock were distributed to the Company’s common stockholders), the Company no longer has a controlling interest in Granite Point and, therefore, will prospectively deconsolidate the financial condition and results of operations Granite Point and its subsidiaries from its financial statements. |
Convertible Senior Notes | Convertible Senior Notes Convertible senior notes include unsecured convertible debt that are carried at their unpaid principal balance, net of any unamortized deferred issuance costs, on the Company’s condensed consolidated balance sheet. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. |
Noncontrolling Interest | Noncontrolling Interest Due to its controlling ownership interest in Granite Point during the periods presented, the Company consolidates Granite Point on its financial statements and reflects noncontrolling interest for the portion of Granite Point equity and comprehensive income not attributable to the Company. Noncontrolling interest is presented as a separate component of equity on the condensed consolidated balance sheets. In addition, the presentation of both net income and comprehensive income on the condensed consolidated statements of comprehensive income attributes earnings (losses) to the Company’s stockholders (controlling interest) and noncontrolling interests. Pursuant to Accounting Standards Codification (ASC) 810, Consolidation , changes in a parent’s ownership interest (and transactions with noncontrolling interest stockholders in the subsidiary) while the parent retains its controlling interest in its subsidiary should be accounted for as equity transactions. The Company adjusts the carrying amount of noncontrolling interest to reflect (i) changes in its ownership interest in Granite Point and (ii) the portion of comprehensive income and dividends declared by Granite Point that are not attributable to the Company, with the offset to equity |
Earnings Per Share | Earnings Per Share Basic and diluted earnings per share are computed by dividing net income attributable to common stockholders by the weighted average number of common shares and potential common shares outstanding during the period. For both basic and diluted per share calculations, potential common shares represents issued and unvested shares of restricted stock, which have full rights to the common stock dividend declarations of the Company. If the assumed conversion of convertible notes into common shares is dilutive, diluted earnings per share is adjusted by adding back the periodic interest expense (net of any tax effects) associated with dilutive convertible notes to net income attributable to common stockholders and adding the shares issued in an assumed conversion to the diluted weighted average share count. All per share amounts, common shares outstanding and restricted shares for the three and nine months ended September 30, 2017 and all prior periods reflect the Company’s one-for-two reverse stock split, which was effected on November 1, 2017 at 5:01 p.m. Eastern Time (refer to Note 20 - Equity for additional information). |
Offsetting Assets and Liabilities | 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 by 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 September 30, 2017 and December 31, 2016 : September 30, 2017 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 $ 279,300 $ (40,995 ) $ 238,305 $ (11,312 ) $ — $ 226,993 Total Assets $ 279,300 $ (40,995 ) $ 238,305 $ (11,312 ) $ — $ 226,993 Liabilities Repurchase agreements $ (18,297,392 ) $ — $ (18,297,392 ) $ 18,297,392 $ — $ — Derivative liabilities (52,307 ) 40,995 (11,312 ) 11,312 — — Total Liabilities $ (18,349,699 ) $ 40,995 $ (18,308,704 ) $ 18,308,704 $ — $ — December 31, 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 $ 388,522 $ (64,340 ) $ 324,182 $ (12,501 ) $ — $ 311,681 Total Assets $ 388,522 $ (64,340 ) $ 324,182 $ (12,501 ) $ — $ 311,681 Liabilities Repurchase agreements $ (9,316,351 ) $ — $ (9,316,351 ) $ 9,316,351 $ — $ — Derivative liabilities (76,841 ) 64,340 (12,501 ) 12,501 — — Total Liabilities $ (9,463,192 ) $ 64,340 $ (9,398,852 ) $ 9,398,852 $ — $ — ____________________ (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 | 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 evaluated the new guidance and determined that interest income, gains and losses on financial instruments and income from servicing residential mortgage loans are outside the scope of ASC 606, Revenues from Contracts with Customers . For income from servicing residential mortgage loans, the Company considered that the FASB Transition Resource Group members generally agreed that an entity should look to ASC 860, Transfers and Servicing , to determine the appropriate accounting for these fees and ASC 606 contains a scope exception for contracts that fall under ASC 860. As a result, the Company has determined that the adoption of this ASU will not have a material impact on the Company's financial condition, results of operations or financial statement disclosures. 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. Early adoption of this ASU did not have an impact on the Company’s financial condition, results of operations or financial statement disclosures. 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, results of operations or financial statement disclosures. 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 to determine the impact it may have on its condensed consolidated financial statements, which at the date of adoption, is expected to increase the allowance for credit losses with a resulting negative adjustment to retained earnings, with offsetting impacts to accumulated other comprehensive income. Classification of Certain Cash Receipts and Cash Payments and Restricted Cash In August 2016, the FASB issued ASU No. 2016-15, which clarifies how entities should classify certain cash receipts and cash payments and how the predominance principle should be applied on the statement of cash flows. Additionally, in November 2016, the FASB issued ASU No. 2016-18, which requires entities to show the changes in the total of cash, cash equivalents, restricted cash and restricted cash equivalents, but no longer present transfers between cash and cash equivalents and restricted cash and cash equivalents in the statement of cash flows. Both ASUs are effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2017, with early adoption permitted. Early adoption of these ASUs did not impact the Company’s financial condition or results of operations but impacted the presentation of the statements of cash flows and related footnote disclosures. The Company included restricted cash of $343.8 million , $408.3 million , $264.9 million and $262.6 million as of September 30, 2017 , December 31, 2016 , September 30, 2016 and December 31, 2015 , respectively, with cash and cash equivalents, as shown on the condensed consolidated statements of cash flows. |
Basis of Presentation and Sig35
Basis of Presentation and Significant Accounting Policies Offsetting Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Offsetting [Abstract] | |
Offsetting Assets | The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of September 30, 2017 and December 31, 2016 : September 30, 2017 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 $ 279,300 $ (40,995 ) $ 238,305 $ (11,312 ) $ — $ 226,993 Total Assets $ 279,300 $ (40,995 ) $ 238,305 $ (11,312 ) $ — $ 226,993 Liabilities Repurchase agreements $ (18,297,392 ) $ — $ (18,297,392 ) $ 18,297,392 $ — $ — Derivative liabilities (52,307 ) 40,995 (11,312 ) 11,312 — — Total Liabilities $ (18,349,699 ) $ 40,995 $ (18,308,704 ) $ 18,308,704 $ — $ — December 31, 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 $ 388,522 $ (64,340 ) $ 324,182 $ (12,501 ) $ — $ 311,681 Total Assets $ 388,522 $ (64,340 ) $ 324,182 $ (12,501 ) $ — $ 311,681 Liabilities Repurchase agreements $ (9,316,351 ) $ — $ (9,316,351 ) $ 9,316,351 $ — $ — Derivative liabilities (76,841 ) 64,340 (12,501 ) 12,501 — — Total Liabilities $ (9,463,192 ) $ 64,340 $ (9,398,852 ) $ 9,398,852 $ — $ — ____________________ (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. |
Offsetting Liabilities | The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of September 30, 2017 and December 31, 2016 : September 30, 2017 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 $ 279,300 $ (40,995 ) $ 238,305 $ (11,312 ) $ — $ 226,993 Total Assets $ 279,300 $ (40,995 ) $ 238,305 $ (11,312 ) $ — $ 226,993 Liabilities Repurchase agreements $ (18,297,392 ) $ — $ (18,297,392 ) $ 18,297,392 $ — $ — Derivative liabilities (52,307 ) 40,995 (11,312 ) 11,312 — — Total Liabilities $ (18,349,699 ) $ 40,995 $ (18,308,704 ) $ 18,308,704 $ — $ — December 31, 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 $ 388,522 $ (64,340 ) $ 324,182 $ (12,501 ) $ — $ 311,681 Total Assets $ 388,522 $ (64,340 ) $ 324,182 $ (12,501 ) $ — $ 311,681 Liabilities Repurchase agreements $ (9,316,351 ) $ — $ (9,316,351 ) $ 9,316,351 $ — $ — Derivative liabilities (76,841 ) 64,340 (12,501 ) 12,501 — — Total Liabilities $ (9,463,192 ) $ 64,340 $ (9,398,852 ) $ 9,398,852 $ — $ — ____________________ (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) | 9 Months Ended |
Sep. 30, 2017 | |
Variable Interest Entities [Abstract] | |
Schedule of Variable Interest Entities | 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 September 30, 2017 and December 31, 2016 : (in thousands) September 30, December 31, Residential mortgage loans held-for-investment in securitization trusts $ 3,031,191 $ 3,271,317 Commercial real estate assets 45,889 45,885 Accrued interest receivable 17,382 19,090 Total Assets $ 3,094,462 $ 3,336,292 Collateralized borrowings in securitization trusts $ 2,785,413 $ 3,037,196 Accrued interest payable 7,894 8,708 Other liabilities 11,378 12,374 Total Liabilities $ 2,804,685 $ 3,058,278 |
Available-for-Sale Securities37
Available-for-Sale Securities, at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Available-for-sale Securities [Abstract] | |
Available-for-sale Securities | The following table presents the Company’s AFS investment securities by collateral type as of September 30, 2017 and December 31, 2016 : (in thousands) September 30, December 31, Agency Federal National Mortgage Association $ 13,057,102 $ 8,274,507 Federal Home Loan Mortgage Corporation 3,972,963 2,742,630 Government National Mortgage Association 524,306 209,337 Non-Agency 2,644,723 1,902,383 Total available-for-sale securities $ 20,199,094 $ 13,128,857 |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the amortized cost and carrying value (which approximates fair value) of AFS securities by collateral type as of September 30, 2017 and December 31, 2016 : September 30, 2017 (in thousands) Agency Non-Agency Total Face Value $ 19,303,065 $ 3,538,252 $ 22,841,317 Unamortized premium 1,038,789 — 1,038,789 Unamortized discount Designated credit reserve — (525,687 ) (525,687 ) Net, unamortized (2,789,785 ) (816,260 ) (3,606,045 ) Amortized Cost 17,552,069 2,196,305 19,748,374 Gross unrealized gains 120,236 451,182 571,418 Gross unrealized losses (117,934 ) (2,764 ) (120,698 ) Carrying Value $ 17,554,371 $ 2,644,723 $ 20,199,094 December 31, 2016 (in thousands) Agency Non-Agency Total Face Value $ 13,571,417 $ 2,732,139 $ 16,303,556 Unamortized premium 571,749 — 571,749 Unamortized discount Designated credit reserve — (367,437 ) (367,437 ) Net, unamortized (2,758,445 ) (808,975 ) (3,567,420 ) Amortized Cost 11,384,721 1,555,727 12,940,448 Gross unrealized gains 79,040 353,358 432,398 Gross unrealized losses (237,287 ) (6,702 ) (243,989 ) Carrying Value $ 11,226,474 $ 1,902,383 $ 13,128,857 |
Available-for-sale Securities Classified by Rate Type | The following tables present the carrying value of the Company’s AFS securities by rate type as of September 30, 2017 and December 31, 2016 : September 30, 2017 (in thousands) Agency Non-Agency Total Adjustable Rate $ 24,960 $ 2,300,247 $ 2,325,207 Fixed Rate 17,529,411 344,476 17,873,887 Total $ 17,554,371 $ 2,644,723 $ 20,199,094 December 31, 2016 (in thousands) Agency Non-Agency Total Adjustable Rate $ 30,463 $ 1,574,850 $ 1,605,313 Fixed Rate 11,196,011 327,533 11,523,544 Total $ 11,226,474 $ 1,902,383 $ 13,128,857 |
Available-for-sale Securities, Weighted Average Life Classifications | The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of September 30, 2017 : September 30, 2017 (in thousands) Agency Non-Agency Total ≤ 1 year $ 15,632 $ 165,060 $ 180,692 > 1 and ≤ 3 years 38,357 249,220 287,577 > 3 and ≤ 5 years 1,192,719 435,531 1,628,250 > 5 and ≤ 10 years 16,285,575 1,043,103 17,328,678 > 10 years 22,088 751,809 773,897 Total $ 17,554,371 $ 2,644,723 $ 20,199,094 |
Schedule of Available-for-sale Securities Reconciliation, Non-Agency Unamortized Net Discount and Designated Credit Reserves | The following table presents the changes for the three and nine months ended September 30, 2017 and 2016 of the unamortized net discount and designated credit reserves on non-Agency AFS securities. Nine Months Ended September 30, 2017 2016 (in thousands) Designated Credit Reserve Unamortized Net Discount Total Designated Credit Reserve Unamortized Net Discount Total Beginning balance at January 1 $ (367,437 ) $ (808,975 ) $ (1,176,412 ) $ (409,077 ) $ (707,021 ) $ (1,116,098 ) Acquisitions (217,206 ) (111,938 ) (329,144 ) (45,398 ) (140,318 ) (185,716 ) Accretion of net discount — 67,219 67,219 — 50,596 50,596 Realized credit losses 11,385 — 11,385 279 — 279 Reclassification adjustment for other-than-temporary impairments (429 ) — (429 ) (1,226 ) — (1,226 ) Transfers from (to) 44,412 (44,412 ) — 70,371 (70,371 ) — Sales, calls, other 3,588 81,846 85,434 32,562 77,689 110,251 Ending balance at September 30 $ (525,687 ) $ (816,260 ) $ (1,341,947 ) $ (352,489 ) $ (789,425 ) $ (1,141,914 ) |
Schedule of Unrealized Loss on Investments | 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 September 30, 2017 and December 31, 2016 . At September 30, 2017 , the Company held 1,380 AFS securities, of which 152 were in an unrealized loss position for less than twelve consecutive months and 164 were in an unrealized loss position for more than twelve consecutive months. At December 31, 2016 , the Company held 1,239 AFS securities, of which 252 were in an unrealized loss position for less than twelve consecutive months and 125 were in an unrealized loss position for more than twelve consecutive months. Of the $4.1 billion and $6.4 billion of AFS securities in an unrealized loss position for less than twelve consecutive months as of September 30, 2017 and December 31, 2016 , $3.9 billion , or 95.1% , and $6.1 billion , or 95.8% , respectively, were Agency AFS securities, whose principal and interest are guaranteed by the GSEs. Unrealized Loss Position for Less than 12 Months 12 Months or More Total (in thousands) Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses Estimated Fair Value Gross Unrealized Losses September 30, 2017 $ 4,136,362 $ (22,669 ) $ 2,341,707 $ (98,029 ) $ 6,478,069 $ (120,698 ) December 31, 2016 $ 6,416,820 $ (204,034 ) $ 504,978 $ (39,955 ) $ 6,921,798 $ (243,989 ) |
Other than Temporary Impairment, Credit Losses Recognized in Earnings | The following table presents the changes in OTTI included in earnings for the three and nine months ended September 30, 2017 and 2016 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2017 2016 2017 2016 Cumulative credit loss at beginning of period $ (6,035 ) $ (6,710 ) $ (5,606 ) $ (6,499 ) Additions: Other-than-temporary impairments not previously recognized — (1,015 ) (429 ) (1,307 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments — — — (515 ) Reductions: Decreases related to other-than-temporary impairments on securities paid down — — — — Decreases related to other-than-temporary impairments on securities sold — — — 596 Cumulative credit loss at end of period $ (6,035 ) $ (7,725 ) $ (6,035 ) $ (7,725 ) |
Schedule of Realized Gain (Loss) | The following table presents the gross realized gains and losses on sales of AFS securities for the three and nine months ended September 30, 2017 and 2016 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2017 2016 2017 2016 Gross realized gains $ 408 $ 31,942 $ 57,133 $ 77,836 Gross realized losses (4,342 ) (164 ) (78,125 ) (14,487 ) Total realized (losses) gains on sales, net $ (3,934 ) $ 31,778 $ (20,992 ) $ 63,349 |
Commercial Real Estate Assets (
Commercial Real Estate Assets (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Commercial Real Estate Assets [Abstract] | |
Schedule of Commercial Real Estate Assets Reconciliation | The following tables summarize the Company’s commercial real estate assets by asset type, property type and geographic location as of September 30, 2017 and December 31, 2016 : September 30, (dollars in thousands) First Mortgages Mezzanine Loans B-Notes Total Unpaid principal balance $ 2,041,767 $ 132,605 $ 14,892 $ 2,189,264 Unamortized (discount) premium (174 ) (11 ) — (185 ) Unamortized net deferred origination fees (17,695 ) (40 ) — (17,735 ) Carrying value $ 2,023,898 $ 132,554 $ 14,892 $ 2,171,344 Unfunded commitments $ 270,654 $ 1,580 $ — $ 272,234 Number of loans 50 6 1 57 Weighted average coupon 5.6 % 9.1 % 8.0 % 5.9 % Weighted average years to maturity (1) 2.5 1.9 9.3 2.5 December 31, (dollars in thousands) First Mortgages Mezzanine Loans B-Notes Total Unpaid principal balance $ 1,286,200 $ 138,245 $ — $ 1,424,445 Unamortized (discount) premium (185 ) (15 ) — (200 ) Unamortized net deferred origination fees (11,481 ) (221 ) — (11,702 ) Carrying value $ 1,274,534 $ 138,009 $ — $ 1,412,543 Unfunded commitments $ 170,890 1,580 $ — $ 172,470 Number of loans 30 6 — 36 Weighted average coupon 5.1 % 8.6 % — % 5.4 % Weighted average years to maturity (1) 2.9 1.5 0.0 2.8 ____________________ (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 | (in thousands) September 30, December 31, Property Type Carrying Value % of Commercial Portfolio Carrying Value % of Commercial Portfolio Office $ 1,133,866 52.2 % $ 718,780 50.9 % Multifamily 385,222 17.7 % 260,683 18.5 % Retail 247,196 11.4 % 237,414 16.8 % Hotel 209,874 9.7 % 90,585 6.4 % Industrial 195,186 9.0 % 105,081 7.4 % Total $ 2,171,344 100.0 % $ 1,412,543 100.0 % |
Schedule of Commercial Real Estate Assets by Geographic Location | (in thousands) September 30, December 31, Geographic Location Carrying Value % of Commercial Portfolio Carrying Value % of Commercial Portfolio Northeast $ 924,383 42.6 % $ 578,762 41.0 % West 414,612 19.1 % 250,044 17.7 % Southwest 363,907 16.8 % 267,944 19.0 % Southeast 350,407 16.1 % 239,194 16.9 % Midwest 118,035 5.4 % 76,599 5.4 % Total $ 2,171,344 100.0 % $ 1,412,543 100.0 % |
Rollforward of Commercial Real Estate Loans Held-for-Investment | The following table summarizes activity related to commercial real estate assets for the three and nine months ended September 30, 2017 and 2016 . Three Months Ended Nine Months Ended (in thousands) 2017 2016 2017 2016 Balance at beginning of period $ 1,782,749 $ 926,377 $ 1,412,543 $ 660,953 Originations, acquisitions and additional fundings 393,425 190,100 771,473 470,547 Repayments (409 ) (908 ) (6,655 ) (15,295 ) Net (premium amortization) discount accretion 6 64 (11 ) 204 Increase in net deferred origination fees (5,858 ) (2,858 ) (11,568 ) (6,867 ) Amortization of net deferred origination fees 1,431 1,773 5,562 5,006 Allowance for loan losses — — — — Balance at end of period $ 2,171,344 $ 1,114,548 $ 2,171,344 $ 1,114,548 |
Schedule of Commercial Real Estate Loans Held-for-Investment by Internal Risk Rating | 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 September 30, 2017 and December 31, 2016 : (dollars in thousands) September 30, December 31, Risk Rating Number of Loans Unpaid Principal Balance Carrying Value Number of Loans Unpaid Principal Balance Carrying Value 1 – 3 57 $ 2,189,264 $ 2,171,344 36 $ 1,424,445 $ 1,412,543 4 – 5 — — — — — — Total 57 $ 2,189,264 $ 2,171,344 36 $ 1,424,445 $ 1,412,543 |
Servicing Activities (Tables)
Servicing Activities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |
Schedule of Servicing Assets at Fair Value | The following table summarizes activity related to MSR for the three and nine months ended September 30, 2017 and 2016 . Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2017 2016 2017 2016 Balance at beginning of period $ 898,025 $ 427,813 $ 693,815 $ 493,688 Additions from purchases of mortgage servicing rights 66,280 98,224 340,156 204,435 Additions from sales of residential mortgage loans — 242 20 764 Subtractions from sales of mortgage servicing rights — (60,910 ) (946 ) (60,910 ) Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model (154 ) 3,846 (23,083 ) (139,587 ) Other changes in fair value (1) (28,595 ) (18,231 ) (66,543 ) (52,773 ) Other changes (2) (4,943 ) 4,645 (12,806 ) 10,012 Balance at end of period $ 930,613 $ 455,629 $ 930,613 $ 455,629 ____________________ (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 | As of September 30, 2017 and December 31, 2016 , 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: (dollars in thousands) September 30, December 31, Weighted average prepayment speed: 10.8 % 9.2 % Impact on fair value of 10% adverse change $ (36,170 ) $ (25,012 ) Impact on fair value of 20% adverse change $ (69,455 ) $ (48,602 ) Weighted average delinquency: 1.7 % 1.9 % Impact on fair value of 10% adverse change $ (4,002 ) $ (1,908 ) Impact on fair value of 20% adverse change $ (8,065 ) $ (3,816 ) Weighted average discount rate: 9.9 % 9.4 % Impact on fair value of 10% adverse change $ (29,873 ) $ (23,590 ) Impact on fair value of 20% adverse change $ (57,481 ) $ (45,861 ) |
Components of Servicing Revenue | The following table presents the components of servicing income recorded on the Company’s condensed consolidated statements of comprehensive income for the three and nine months ended September 30, 2017 and 2016 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2017 2016 2017 2016 Servicing fee income $ 53,989 $ 37,226 $ 141,923 $ 104,765 Ancillary and other fee income 310 449 615 1,423 Float income 3,088 1,033 5,930 2,469 Total $ 57,387 $ 38,708 $ 148,468 $ 108,657 |
Schedule of Total Serviced Mortgage Assets | 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 September 30, 2017 and December 31, 2016 : September 30, 2017 December 31, 2016 (dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance Mortgage servicing rights 398,580 $ 88,789,765 280,185 $ 62,827,975 Residential mortgage loans held-for-investment in securitization trusts 4,288 2,948,349 4,604 3,234,044 Residential mortgage loans held-for-sale 245 38,765 333 49,986 Total serviced mortgage assets 403,113 $ 91,776,879 285,122 $ 66,112,005 |
Residential Mortgage Loans He40
Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Residential Mortgage Loans Held-for-Investment [Abstract] | |
Schedule of Residential Mortgage Loans Held-for-Investment Reconciliation | The following table presents the carrying value of the Company’s residential mortgage loans held-for-investment in securitization trusts as of September 30, 2017 and December 31, 2016 : (in thousands) September 30, December 31, Unpaid principal balance $ 2,948,349 $ 3,234,044 Fair value adjustment 82,842 37,273 Carrying value $ 3,031,191 $ 3,271,317 |
Residential Mortgage Loans He41
Residential Mortgage Loans Held-for-Sale, at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Residential Mortgage Loans Held-for-Sale [Abstract] | |
Schedule of Residential Mortgage Loans Held-for-Sale Reconciliation | The following table presents the carrying value of the Company’s residential mortgage loans held-for-sale as of September 30, 2017 and December 31, 2016 : (in thousands) September 30, December 31, Unpaid principal balance $ 38,765 $ 49,986 Fair value adjustment (7,568 ) (9,840 ) Carrying value $ 31,197 $ 40,146 |
Cash, Cash Equivalents and Re42
Cash, Cash Equivalents and Restricted Cash (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Cash, Cash Equivalents and Restricted Cash [Abstract] | |
Schedule of Restricted Cash and Cash Equivalents | The following table presents the Company’s restricted cash balances as of September 30, 2017 and December 31, 2016 : (in thousands) September 30, December 31, Restricted cash balances held by trading counterparties: For securities and loan trading activity $ 27,823 $ 26,310 For derivatives trading activity 165,799 218,896 As restricted collateral for repurchase agreements and Federal Home Loan Bank advances 149,844 162,759 Total restricted cash balances held by trading counterparties 343,466 407,965 Restricted cash balance pursuant to letter of credit on office lease 347 347 Total $ 343,813 $ 408,312 |
Schedule of Cash, Cash Equivalents and Restricted Cash | The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on the Company’s condensed consolidated balance sheets as of September 30, 2017 and December 31, 2016 that sum to the total of the same such amounts shown in the statements of cash flows: (in thousands) September 30, December 31, Cash and cash equivalents $ 539,367 $ 406,883 Restricted cash 343,813 408,312 Total cash, cash equivalents and restricted cash $ 883,180 $ 815,195 |
Accrued Interest Receivable (Ta
Accrued Interest Receivable (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Accrued Interest Receivable [Abstract] | |
Schedule of Accrued Interest Receivable | The following table presents the Company’s accrued interest receivable by collateral type as of September 30, 2017 and December 31, 2016 : (in thousands) September 30, December 31, Available-for-sale securities: Agency Federal National Mortgage Association $ 42,087 $ 25,273 Federal Home Loan Mortgage Corporation 13,039 8,914 Government National Mortgage Association 4,036 3,068 Non-Agency 3,165 2,705 Total available-for-sale securities 62,327 39,960 Commercial real estate assets 5,740 3,699 Residential mortgage loans held-for-investment in securitization trusts 17,219 18,928 Residential mortgage loans held-for-sale 159 164 Total $ 85,445 $ 62,751 |
Derivative Instruments and He44
Derivative Instruments and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading instruments as of September 30, 2017 and December 31, 2016 . (in thousands) September 30, 2017 Derivative Assets Derivative Liabilities Trading instruments Fair Value Notional Fair Value Notional Inverse interest-only securities $ 102,235 $ 621,549 $ — $ — Interest rate swap agreements 120,423 13,216,448 (11,312 ) 6,800,429 Swaptions, net 9,395 2,814,000 — — TBAs 5,703 1,405,000 — — Put and call options for TBAs, net 156 2,000,000 — — Markit IOS total return swaps 393 65,895 — — Total $ 238,305 $ 20,122,892 $ (11,312 ) $ 6,800,429 (in thousands) December 31, 2016 Derivative Assets Derivative Liabilities Trading instruments Fair Value Notional Fair Value Notional Inverse interest-only securities $ 127,843 $ 740,844 $ — $ — Interest rate swap agreements 109,531 18,471,063 (495 ) 1,900,000 Swaptions, net 39,881 825,000 (1,645 ) 600,000 TBAs 4,294 536,000 (10,344 ) 953,000 Put and call options for TBAs, net 42,633 1,136,000 — — Markit IOS total return swaps — — (17 ) 90,593 Total $ 324,182 $ 21,708,907 $ (12,501 ) $ 3,543,593 |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance | The following table summarizes the location and amount of gains and losses on derivative instruments reported in the condensed consolidated statements of comprehensive income : 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 Nine Months Ended 2017 2016 2017 2016 Interest rate risk management TBAs Loss on other derivative instruments $ (16,891 ) $ (522 ) $ (45,671 ) $ 26,369 Put and call options for TBAs Loss on other derivative instruments (3,405 ) (6,226 ) (22,467 ) (51,259 ) Interest rate swap agreements - Payers (Loss) gain on interest rate swap and swaption agreements 17,422 48,359 (27,723 ) (245,676 ) Interest rate swap agreements - Receivers (Loss) gain on interest rate swap and swaption agreements (5,280 ) (18,381 ) 22,813 131,465 Swaptions (Loss) gain on interest rate swap and swaption agreements (12,349 ) (24,394 ) (62,080 ) (18,397 ) Markit IOS total return swaps Loss on other derivative instruments (134 ) (6,550 ) (821 ) (41,541 ) Credit risk management Credit default swaps - Receive protection Loss on other derivative instruments — (18 ) — 364 Non-risk management Inverse interest-only securities Loss on other derivative instruments 1,506 1,288 2,631 22,003 Forward purchase commitments Gain (loss) on residential mortgage loans held-for-sale — 107 — 2,455 Total $ (19,131 ) $ (6,337 ) $ (133,318 ) $ (174,217 ) |
Schedule of Notional Amounts of Outstanding Derivative Positions | The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the three and nine months ended September 30, 2017 and 2016 : Three Months Ended September 30, 2017 (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 $ 659,768 $ — $ (38,219 ) $ 621,549 $ 642,143 $ (40 ) Interest rate swap agreements 14,764,719 9,878,549 (4,626,391 ) 20,016,877 16,710,894 36,171 Swaptions, net 1,350,000 5,364,000 (3,900,000 ) 2,814,000 2,213,533 (3,264 ) TBAs, net (1,140,000 ) (1,585,000 ) 1,320,000 (1,405,000 ) (1,370,043 ) (14,997 ) Put and call options for TBAs, net 1,285,000 1,905,000 (1,190,000 ) 2,000,000 54,402 (3,980 ) Markit IOS total return swaps 68,629 — (2,734 ) 65,895 66,802 — Total $ 16,988,116 $ 15,562,549 $ (8,437,344 ) $ 24,113,321 $ 18,317,731 $ 13,890 Three Months Ended September 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 $ 834,866 $ — $ (50,043 ) $ 784,823 $ 813,045 $ — Interest rate swap agreements 13,697,000 4,451,430 (1,203,000 ) 16,945,430 14,497,913 (39,369 ) Credit default swaps 25,000 — — 25,000 25,000 — Swaptions, net 1,800,000 (1,537,000 ) 7,000 270,000 219,315 (55,692 ) TBAs, net (337,000 ) (5,622,000 ) 5,370,000 (589,000 ) (1,051,989 ) (18,819 ) Put and call options for TBAs, net 8,897,000 2,269,000 (6,697,000 ) 4,469,000 5,607,728 (26,955 ) Markit IOS total return swaps 588,037 99,911 (591,700 ) 96,248 113,334 (13,897 ) Forward purchase commitments 636,467 315,787 (890,851 ) 61,403 418,333 577 Total $ 26,141,370 $ (22,872 ) $ (4,055,594 ) $ 22,062,904 $ 20,642,679 $ (154,155 ) Nine Months Ended September 30, 2017 (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 $ 740,844 $ — $ (119,295 ) $ 621,549 $ 681,126 $ (40 ) Interest rate swap agreements 20,371,063 23,408,358 (23,762,544 ) 20,016,877 17,617,836 47,691 Swaptions, net 225,000 1,109,000 1,480,000 2,814,000 669,377 21,164 TBAs, net (1,489,000 ) (5,710,400 ) 5,794,400 (1,405,000 ) (1,231,793 ) (57,424 ) Put and call options for TBAs, net (1,136,000 ) 4,460,000 (1,324,000 ) 2,000,000 (13,289 ) 20,166 Markit IOS total return swaps 90,593 — (24,698 ) 65,895 76,670 (181 ) Total $ 18,802,500 $ 23,266,958 $ (17,956,137 ) $ 24,113,321 $ 17,799,927 $ 31,376 Nine Months Ended September 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 $ — $ (147,214 ) $ 784,823 $ 860,920 $ — Interest rate swap agreements 14,268,806 16,553,456 (13,876,832 ) 16,945,430 14,751,923 (33,067 ) Credit default swaps 125,000 10,000 (110,000 ) 25,000 87,883 412 Swaptions, net 5,200,000 1,063,000 (5,993,000 ) 270,000 3,192,617 (86,481 ) TBAs, net 297,000 (1,186,000 ) 300,000 (589,000 ) (239,493 ) 12,932 Put and call options for TBAs, net — 13,166,000 (8,697,000 ) 4,469,000 3,091,679 (28,303 ) Markit IOS total return swaps 889,418 99,911 (893,081 ) 96,248 598,163 (13,374 ) Forward purchase commitments 286,120 1,548,027 (1,772,744 ) 61,403 357,448 1,835 Total $ 21,998,381 $ 31,254,394 $ (31,189,871 ) $ 22,062,904 $ 22,701,140 $ (146,046 ) ____________________ (1) Excludes net interest paid or received in full settlement of the net interest spread liability. |
Schedule of TBA Positions | 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 September 30, 2017 and December 31, 2016 : September 30, 2017 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ — $ — $ — $ — $ — Sale contracts (1,405,000 ) (1,447,566 ) (1,441,863 ) 5,703 — TBAs, net $ (1,405,000 ) $ (1,447,566 ) $ (1,441,863 ) $ 5,703 $ — December 31, 2016 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 1,500,000 $ 1,576,270 $ 1,576,875 $ 605 $ — Sale contracts (2,989,000 ) (3,028,470 ) (3,035,125 ) 3,689 (10,344 ) TBAs, net $ (1,489,000 ) $ (1,452,200 ) $ (1,458,250 ) $ 4,294 $ (10,344 ) ___________________ (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 | As of September 30, 2017 and December 31, 2016 , the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) whereby the Company receives interest at a three-month LIBOR rate: (notional in thousands) September 30, 2017 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate (2) Weighted Average Maturity (Years) (2) 2017 $ 875,000 0.721 % 1.322 % 0.18 2018 4,320,000 1.155 % 1.314 % 0.75 2019 1,020,000 1.524 % 1.313 % 1.81 2020 1,590,000 1.542 % 1.311 % 2.96 2021 and Thereafter 7,806,201 1.793 % 1.321 % 5.93 Total $ 15,611,201 1.509 % 1.317 % 3.57 (notional in thousands) December 31, 2016 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate (2) Weighted Average Maturity (Years) (2) 2017 $ 2,375,000 0.765 % 0.934 % 0.59 2018 5,340,000 1.232 % 0.945 % 1.59 2019 350,000 1.283 % 0.895 % 2.44 2020 1,460,000 1.481 % 0.920 % 3.74 2021 and Thereafter 5,782,063 1.984 % 0.955 % 6.17 Total $ 15,307,063 1.441 % 0.943 % 3.24 ____________________ (1) Notional amount includes $200.0 million and $777.1 million in forward starting interest rate swaps as of September 30, 2017 and December 31, 2016 , respectively. (2) Weighted averages exclude forward starting interest rate swaps. As of September 30, 2017 and December 31, 2016 , the weighted average fixed pay rate on forward starting interest rate swaps was 2.7% and 2.0% , respectively. |
Schedule of Interest Rate Swap Receivers | Additionally, as of September 30, 2017 and December 31, 2016 , the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk whereby the Company pays interest at a three-month LIBOR rate: (notional in thousands) September 30, 2017 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2019 $ 508,273 1.314 % 1.582 % 1.88 2020 200,000 1.312 % 1.642 % 2.85 2021 and Thereafter 3,697,403 1.316 % 2.187 % 7.21 Total $ 4,405,676 1.316 % 2.093 % 6.39 (notional in thousands) December 31, 2016 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2018 $ 575,000 0.911 % 1.440 % 1.89 2019 500,000 0.882 % 1.042 % 2.06 2020 510,000 0.881 % 1.580 % 3.59 2021 and Thereafter 3,479,000 0.963 % 2.137 % 5.52 Total $ 5,064,000 0.941 % 1.894 % 4.57 |
Schedule of Interest Rate Swaptions | As of September 30, 2017 and December 31, 2016 , the Company had the following outstanding interest rate swaptions that were utilized as macro-economic hedges: September 30, 2017 (notional and dollars in thousands) Option Underlying Swap Swaption Expiration Cost Basis Fair Value Average Months to Expiration Notional Amount Average Pay Rate Average Receive Rate Average Term (Years) Purchase contracts: Payer < 6 Months $ 9,260 $ 6,295 3.86 $ 3,225,000 2.25 % 3M Libor 5.0 Total Payer $ 9,260 $ 6,295 3.86 $ 3,225,000 2.25 % 3M Libor 5.0 Receiver < 6 Months $ 17,570 $ 7,716 2.32 $ 4,570,000 3M Libor 1.96 % 8.0 Receiver ≥ 6 Months — 4,490 7.80 250,000 3M Libor 2.35 % 10.0 Total Receiver $ 17,570 $ 12,206 3.05 $ 4,820,000 3M Libor 1.98 % 8.1 Sale contracts: Payer < 6 Months $ — $ — 0.37 $ (600,000 ) 2.42 % 3M Libor 5.0 Total Payer $ — $ — 0.37 $ (600,000 ) 2.42 % 3M Libor 5.0 Receiver < 6 Months $ (9,260 ) $ (5,257 ) 3.77 $ (4,006,000 ) 3M Libor 1.72 % 5.0 Receiver ≥ 6 Months (1,400 ) (3,849 ) 7.80 (625,000 ) 3M Libor 1.95 % 10.0 Total Receiver $ (10,660 ) $ (9,106 ) 4.29 $ (4,631,000 ) 3M Libor 1.75 % 5.7 December 31, 2016 (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 $ 29,360 $ 42,149 1.22 $ 4,500,000 2.16 % 3M Libor 4.8 Payer ≥ 6 Months 13,655 792 6.70 300,000 3.50 % 3M Libor 10.0 Total Payer $ 43,015 $ 42,941 1.23 $ 4,800,000 2.24 % 3M Libor 5.1 Sale contracts: Payer < 6 Months $ (51,355 ) $ (1,414 ) 5.81 $ (500,000 ) 3.40 % 3M Libor 10.0 Payer ≥ 6 Months (29,893 ) (938 ) 6.77 (300,000 ) 3.50 % 3M Libor 10.0 Total Payer $ (81,248 ) $ (2,352 ) 6.05 $ (800,000 ) 3.44 % 3M Libor 10.0 Receiver < 6 Months $ — $ (2,353 ) 2.30 $ (3,775,000 ) 3M Libor 1.19 % 4.9 Total Receiver $ — $ (2,353 ) 2.30 $ (3,775,000 ) 3M Libor 1.19 % 4.9 |
Schedule of Inverse Interest-Only Securities Reconciliation | The following table presents the amortized cost and carrying value (which approximates fair value) of inverse interest-only securities as of September 30, 2017 and December 31, 2016 : (in thousands) September 30, December 31, Face Value $ 621,549 $ 740,844 Unamortized premium — — Unamortized discount Designated credit reserve — — Net, unamortized (529,809 ) (631,082 ) Amortized Cost 91,740 109,762 Gross unrealized gains 11,121 18,389 Gross unrealized losses (1,577 ) (1,552 ) Market Value $ 101,284 $ 126,599 |
Schedule of Total Return Swaps | The Company had the following total return swap agreements in place at September 30, 2017 and December 31, 2016 : (notional and dollars in thousands) September 30, 2017 Maturity Date Current Notional Amount Fair Value Cost Basis Unrealized Gain (Loss) January 12, 2043 $ (25,262 ) $ 124 $ (201 ) $ (77 ) January 12, 2044 (40,633 ) 269 (366 ) (97 ) Total $ (65,895 ) $ 393 $ (567 ) $ (174 ) (notional and dollars in thousands) December 31, 2016 Maturity Date Current Notional Amount Fair Value Cost Basis Unrealized Gain (Loss) January 12, 2043 $ (45,083 ) $ (5 ) $ (320 ) $ (325 ) January 12, 2044 (45,510 ) (12 ) (366 ) (378 ) Total $ (90,593 ) $ (17 ) $ (686 ) $ (703 ) |
Other Assets (Tables)
Other Assets (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Other Assets [Abstract] | |
Schedule of Other Assets | Other assets as of September 30, 2017 and December 31, 2016 are summarized in the following table: (in thousands) September 30, December 31, Property and equipment at cost $ 6,754 $ 6,481 Accumulated depreciation (1) (5,342 ) (4,566 ) Net property and equipment 1,412 1,915 Prepaid expenses 2,083 1,406 Income taxes receivable 120 1,532 Deferred tax assets, net 45,880 (2) 57,361 Servicing advances 20,658 26,147 Federal Home Loan Bank stock 85,175 167,856 Equity investments 3,000 3,000 Other receivables 48,632 43,653 Total other assets $ 206,960 $ 302,870 ____________________ (1) Depreciation expense for the three and nine months ended September 30, 2017 was $0.2 million and $0.8 million , respectively. (2) Net of valuation allowance of $4.3 million . |
Other Liabilities (Tables)
Other Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Other Liabilities [Abstract] | |
Other Liabilities | Other liabilities as of September 30, 2017 and December 31, 2016 are summarized in the following table: (in thousands) September 30, December 31, Accrued expenses $ 28,392 $ 28,944 Accrued interest payable 62,732 29,505 Income taxes payable 142 — Other 17,609 21,127 Total other liabilities $ 108,875 $ 79,576 |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | 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 September 30, 2017 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 20,085,812 $ 113,282 $ 20,199,094 Mortgage servicing rights — — 930,613 930,613 Residential mortgage loans held-for-investment in securitization trusts — 3,031,191 — 3,031,191 Residential mortgage loans held-for-sale — 470 30,727 31,197 Derivative assets 5,703 232,602 — 238,305 Total assets $ 5,703 $ 23,350,075 $ 1,074,622 $ 24,430,400 Liabilities Collateralized borrowings in securitization trusts $ — $ 2,785,413 $ — $ 2,785,413 Derivative liabilities — 11,312 — 11,312 Total liabilities $ — $ 2,796,725 $ — $ 2,796,725 Recurring Fair Value Measurements December 31, 2016 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 13,128,857 $ — $ 13,128,857 Mortgage servicing rights — — 693,815 693,815 Residential mortgage loans held-for-investment in securitization trusts — 3,271,317 — 3,271,317 Residential mortgage loans held-for-sale — 925 39,221 40,146 Derivative assets 4,294 319,888 — 324,182 Total assets $ 4,294 $ 16,720,987 $ 733,036 $ 17,458,317 Liabilities Collateralized borrowings in securitization trusts $ — $ 3,037,196 $ — $ 3,037,196 Derivative liabilities 10,344 2,157 — 12,501 Total liabilities $ 10,344 $ 3,039,353 $ — $ 3,049,697 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following tables present the reconciliation for all of the Company’s Level 3 assets measured at fair value on a recurring basis: Three Months Ended September 30, 2017 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Residential Mortgage Loans Held-For-Sale Beginning of period level 3 fair value $ — $ 898,025 $ 31,460 Gains (losses) included in net income: Realized (losses) gains — (29,092 ) 145 Unrealized (losses) gains — (154 ) (1) 284 (3) Total gains (losses) included in net income — (29,246 ) 429 Other comprehensive income 282 — — Purchases 113,000 66,280 — Sales — 497 — Settlements — (4,943 ) (1,162 ) Gross transfers into level 3 — — — Gross transfers out of level 3 — — — End of period level 3 fair value $ 113,282 $ 930,613 $ 30,727 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ 282 $ (154 ) (2) $ 295 (4) Nine Months Ended September 30, 2017 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Residential Mortgage Loans Held-For-Sale Beginning of period level 3 fair value $ — $ 693,815 $ 39,221 Gains (losses) included in net income: Realized (losses) gains — (67,357 ) 1,833 Unrealized (losses) gains — (23,083 ) (1) 446 (3) Total gains (losses) included in net income — (90,440 ) 2,279 Other comprehensive income 282 — — Purchases 113,000 340,176 569 Sales — (132 ) (3,717 ) Settlements — (12,806 ) (7,625 ) Gross transfers into level 3 — — — Gross transfers out of level 3 — — — End of period level 3 fair value $ 113,282 $ 930,613 $ 30,727 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ 282 $ (23,551 ) (2) $ 750 (4) ___________________ (1) The change in unrealized gains or losses on MSR was recorded in loss on servicing asset on the condensed consolidated statements of comprehensive income . (2) The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in loss on servicing asset on the condensed consolidated statements of comprehensive income . (3) 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 . (4) 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 . |
Fair Value Inputs, Assets, Quantitative Information | The table below presents information about the significant unobservable inputs used by the third-party pricing providers in the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at September 30, 2017 : September 30, 2017 Valuation Technique Unobservable Input (1) Range Weighted Average Discounted cash flow Constant prepayment speed 9.2 - 12.2 % 10.8% Delinquency 1.4 - 2.0 % 1.7% Discount rate 8.6 - 11.0 % 9.9% ___________________ (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 | 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 September 30, 2017 (in thousands) Interest income (expense) Gain (loss) on investment securities Gain (loss) on residential mortgage loans held-for-sale Other income (loss) Total included in net income Change in fair value due to credit risk Assets Available-for-sale securities $ (2,283 ) $ 4,757 $ — $ — $ 2,474 N/A Residential mortgage loans held-for-investment in securitization trusts 29,865 (1) — — 14,670 44,535 $ — (2) Residential mortgage loans held-for-sale 479 (1) — 355 — 834 (400 ) (3) Liabilities Collateralized borrowings in securitization trusts (23,970 ) — — (7,863 ) (31,833 ) — (2) Total $ 4,091 $ 4,757 $ 355 $ 6,807 $ 16,010 $ (400 ) Three Months Ended September 30, 2016 (in thousands) Interest income (expense) Gain (loss) on investment securities Gain (loss) on residential mortgage loans held-for-sale Other income (loss) Total included in net income Change in fair value due to credit risk Assets Available-for-sale securities $ (249 ) $ 12 $ — $ — $ (237 ) N/A Residential mortgage loans held-for-investment in securitization trusts 33,495 (1) — — 24,628 58,123 $ — (2) Residential mortgage loans held-for-sale 7,627 (1) — (419 ) — 7,208 145 (3) Liabilities Collateralized borrowings in securitization trusts (26,422 ) — — (20,360 ) (46,782 ) — (2) Total $ 14,451 $ 12 $ (419 ) $ 4,268 $ 18,312 $ 145 Nine Months Ended September 30, 2017 (in thousands) Interest income (expense) Gain (loss) on investment securities Gain (loss) on residential mortgage loans held-for-sale Other income (loss) Total included in net income Change in fair value due to credit risk Assets Available-for-sale securities $ (5,565 ) $ 9,124 $ — $ — $ 3,559 N/A Residential mortgage loans held-for-investment in securitization trusts 92,319 (1) — — 45,569 137,888 $ — (2) Residential mortgage loans held-for-sale 1,380 (1) — 2,149 — 3,529 $ (1,281 ) (3) Liabilities Collateralized borrowings in securitization trusts (74,199 ) — — (30,685 ) (104,884 ) — (2) Total $ 13,935 $ 9,124 $ 2,149 $ 14,884 $ 40,092 $ (1,281 ) Nine Months Ended September 30, 2016 (in thousands) Interest income (expense) Gain (loss) on investment securities Gain (loss) on residential mortgage loans held-for-sale Other income (loss) Total included in net income Change in fair value due to credit risk Assets Available-for-sale securities $ (132 ) $ (1,262 ) $ — $ — $ (1,394 ) N/A Residential mortgage loans held-for-investment in securitization trusts 100,765 (1) — — 63,737 164,502 $ — (2) Residential mortgage loans held-for-sale 19,789 (1) — 17,028 — 36,817 209 (3) Liabilities Collateralized borrowings in securitization trusts (70,965 ) — — (68,910 ) (139,875 ) — (2) Total $ 49,457 $ (1,262 ) $ 17,028 $ (5,173 ) $ 60,050 $ 209 ____________________ (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 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. (3) 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. |
Schedule of Financing Receivables, Non Accrual Status | The table below provides the fair value and the unpaid principal balance for the Company’s fair value option-elected loans and collateralized borrowings. September 30, 2017 December 31, 2016 (in thousands) Unpaid Principal Balance Fair Value (1) Unpaid Principal Balance Fair Value (1) Residential mortgage loans held-for-investment in securitization trusts Total loans $ 2,948,349 $ 3,031,191 $ 3,234,044 $ 3,271,317 Nonaccrual loans $ 2,812 $ 2,892 $ 2,373 $ 2,408 Loans 90+ days past due $ 1,618 $ 1,666 $ 1,401 $ 1,419 Residential mortgage loans held-for-sale Total loans $ 38,765 $ 31,197 $ 49,986 $ 40,146 Nonaccrual loans $ 14,257 $ 11,775 $ 25,445 $ 21,162 Loans 90+ days past due $ 11,180 $ 9,047 $ 21,759 $ 18,203 Collateralized borrowings in securitization trusts Total borrowings $ 2,732,694 $ 2,785,413 $ 3,015,162 $ 3,037,196 ____________________ (1) Excludes accrued interest receivable. |
Fair Value, by Balance Sheet Grouping | The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at September 30, 2017 and December 31, 2016 . September 30, 2017 December 31, 2016 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets Available-for-sale securities $ 20,199,094 $ 20,199,094 $ 13,128,857 $ 13,128,857 Commercial real estate assets $ 2,171,344 $ 2,187,721 $ 1,412,543 $ 1,411,733 Mortgage servicing rights $ 930,613 $ 930,613 $ 693,815 $ 693,815 Residential mortgage loans held-for-investment in securitization trusts $ 3,031,191 $ 3,031,191 $ 3,271,317 $ 3,271,317 Residential mortgage loans held-for-sale $ 31,197 $ 31,197 $ 40,146 $ 40,146 Cash and cash equivalents $ 539,367 $ 539,367 $ 406,883 $ 406,883 Restricted cash $ 343,813 $ 343,813 $ 408,312 $ 408,312 Derivative assets $ 238,305 $ 238,305 $ 324,182 $ 324,182 Federal Home Loan Bank stock $ 85,175 $ 85,175 $ 167,856 $ 167,856 Equity investments $ 3,000 $ 3,000 $ 3,000 $ 3,000 Liabilities Repurchase agreements $ 18,297,392 $ 18,297,392 $ 9,316,351 $ 9,316,351 Collateralized borrowings in securitization trusts $ 2,785,413 $ 2,785,413 $ 3,037,196 $ 3,037,196 Federal Home Loan Bank advances $ 1,998,762 $ 1,998,762 $ 4,000,000 $ 4,000,000 Revolving credit facilities $ 40,000 $ 40,000 $ 70,000 $ 70,000 Convertible senior notes $ 282,543 $ 306,906 $ — $ — Derivative liabilities $ 11,312 $ 11,312 $ 12,501 $ 12,501 |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule Of Repurchase Agreements By Term, Short Or Long | At September 30, 2017 and December 31, 2016 , the repurchase agreement balances were as follows: (in thousands) September 30, December 31, Short-term $ 16,856,537 $ 9,130,717 Long-term 1,440,855 185,634 Total $ 18,297,392 $ 9,316,351 |
Schedule of Repurchase Agreements by Maturity | At September 30, 2017 and December 31, 2016 , the repurchase agreements had the following characteristics and remaining maturities: September 30, 2017 Collateral Type (in thousands) Agency RMBS Non-Agency Securities (1) Agency Derivatives Commercial Real Estate Assets Total Amount Outstanding Within 30 days $ 2,398,041 $ 746,438 $ 23,038 $ — $ 3,167,517 30 to 59 days 2,583,705 250,472 51,718 25,934 2,911,829 60 to 89 days — — — — — 90 to 119 days 2,994,737 303,896 — — 3,298,633 120 to 364 days 6,913,298 562,782 2,478 — 7,478,558 One year and over — — — 1,440,855 1,440,855 Total $ 14,889,781 $ 1,863,588 $ 77,234 $ 1,466,789 $ 18,297,392 Weighted average borrowing rate 1.43 % 2.93 % 2.10 % 3.56 % 1.76 % December 31, 2016 Collateral Type (in thousands) Agency RMBS Non-Agency Securities (1) Agency Derivatives Commercial Real Estate Assets Total Amount Outstanding Within 30 days $ 2,511,773 $ 688,667 $ 30,672 $ 21,933 $ 3,253,045 30 to 59 days 1,786,664 334,590 68,257 28,991 2,218,502 60 to 89 days 1,035,806 89,281 3,307 — 1,128,394 90 to 119 days 1,192,127 251,929 — — 1,444,056 120 to 364 days 810,552 69,678 — 206,490 1,086,720 One year and over — — — 185,634 185,634 Total $ 7,336,922 $ 1,434,145 $ 102,236 $ 443,048 $ 9,316,351 Weighted average borrowing rate 0.94 % 2.60 % 1.69 % 3.16 % 1.31 % ____________________ (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 | The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of repurchase agreements: (in thousands) September 30, December 31, Available-for-sale securities, at fair value $ 17,940,144 $ 9,540,849 Commercial real estate assets 1,997,077 648,885 Net economic interests in consolidated securitization trusts (1) 224,394 211,095 Cash and cash equivalents 14,796 15,000 Restricted cash 149,845 162,759 Due from counterparties 23,602 48,939 Derivative assets, at fair value 101,187 126,341 Total $ 20,451,045 $ 10,753,868 ____________________ (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 | The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at September 30, 2017 and December 31, 2016 : September 30, 2017 December 31, 2016 (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 JP Morgan Chase $ 1,950,484 $ 264,974 6 % 219 $ 605,768 $ 174,197 5 % 110 All other counterparties (2) 16,346,908 1,887,168 46 % 147 8,710,583 1,261,204 37 % 75 Total $ 18,297,392 $ 2,152,142 $ 9,316,351 $ 1,435,401 ____________________ (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 $17.9 million are not included in the September 30, 2017 amounts presented above. The Company did not have any such payables at December 31, 2016 . (2) Represents amounts outstanding with 24 and 22 counterparties at September 30, 2017 and December 31, 2016 , respectively. |
Federal Home Loan Bank of Des49
Federal Home Loan Bank of Des Moines Advances (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Advances from Federal Home Loan Banks [Abstract] | |
Schedule of Maturities of Federal Home Loan Bank Advances | At September 30, 2017 and December 31, 2016 , FHLB advances had the following remaining maturities: (in thousands) September 30, December 31, ≤ 1 year $ — $ 651,238 > 1 and ≤ 3 years 815,024 815,024 > 3 and ≤ 5 years — — > 5 and ≤ 10 years — — > 10 years 1,183,738 2,533,738 Total $ 1,998,762 $ 4,000,000 |
Schedule of Underlying Assets of Federal Home Loan Bank Advances | 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) September 30, December 31, Available-for-sale securities, at fair value $ 2,048,924 $ 3,576,481 Commercial real estate assets 33,626 708,989 Net economic interests in consolidated securitization trusts (1) 2,040 2,015 Total $ 2,084,590 $ 4,287,485 ____________________ (1) Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. |
Equity (Tables)
Equity (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Equity [Abstract] | |
Dividends Declared | Distributions to Preferred Stockholders The following table presents cash dividends declared by the Company on its preferred stock during the three and nine months ended September 30, 2017 : Declaration Date Record Date Payment Date Cash Dividend Per Preferred Share Series A Preferred Stock: September 14, 2017 October 12, 2017 October 27, 2017 $ 0.50781 June 15, 2017 July 12, 2017 July 27, 2017 $ 0.75043 Series B Preferred Stock: September 14, 2017 October 12, 2017 October 27, 2017 $ 0.51892 Common Stock Reverse Stock Split On September 14, 2017, the Company’s board of directors approved a one-for-two reverse stock split of its outstanding shares of common stock. The reverse stock split was effected on November 1, 2017 at 5:01 p.m. Eastern Time, following the special dividend of Granite Point common stock. At the effective time, every two issued and outstanding shares of the Company’s common stock were converted into one share of common stock. No fractional shares were issued in connection with the reverse stock split; instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined on the basis of the volume weighted average price of the Company’s common stock on the NYSE on November 1, 2017. In connection with the reverse stock split, the number of authorized shares of the Company’s common stock was also reduced on a one-for-two basis, from 900 million to 450 million . The par value of each share of common stock remained unchanged. All per share amounts, common shares outstanding and restricted shares for all periods presented have been adjusted on a retroactive basis to reflect the reverse stock split. Distributions to Common Stockholders The following table presents cash dividends declared by the Company on its common stock during the three months ended September 30, 2017 , and the four immediately preceding quarters: Declaration Date Record Date Payment Date Cash Dividend Per Common Share September 14, 2017 September 29, 2017 October 27, 2017 $ 0.52 June 15, 2017 June 30, 2017 July 27, 2017 $ 0.52 March 14, 2017 March 31, 2017 April 27, 2017 $ 0.50 December 15, 2016 December 30, 2016 January 27, 2017 $ 0.48 September 15, 2016 September 30, 2016 October 20, 2016 $ 0.46 |
Schedule of Accumulated Other Comprehensive Income (Loss) | Accumulated other comprehensive income at September 30, 2017 and December 31, 2016 was as follows: (in thousands) September 30, December 31, Available-for-sale securities Unrealized gains $ 508,607 $ 393,555 Unrealized losses (85,565 ) (194,328 ) Accumulated other comprehensive income $ 423,042 $ 199,227 |
Reclassification out of Accumulated Other Comprehensive Income | The following table summarizes reclassifications out of accumulated other comprehensive income for the three and nine months ended September 30, 2017 and 2016 : Affected Line Item in the Condensed Consolidated Statements of Comprehensive Income Amount Reclassified out of Accumulated Other Comprehensive Income (in thousands) Three Months Ended Nine Months Ended 2017 2016 2017 2016 Other-than-temporary impairments on AFS securities Total other-than-temporary impairment losses $ — $ 1,015 $ 429 $ 1,822 Realized gains on sales of certain AFS securities, net of tax Gain (loss) on investment securities 4,220 (30,396 ) 7,386 (54,652 ) Total $ 4,220 $ (29,381 ) $ 7,815 $ (52,830 ) |
Equity Incentive Plan (Tables)
Equity Incentive Plan (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity | The following table summarizes the activity related to restricted common stock for the nine months ended September 30, 2017 and 2016 : Nine Months Ended September 30, 2017 2016 Shares Weighted Average Grant Date Fair Market Value Shares Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 1,319,712 $ 17.10 1,145,305 $ 20.73 Granted 671,845 17.60 1,009,630 15.11 Vested (645,325 ) (17.90 ) (604,557 ) (20.39 ) Forfeited (22,789 ) (17.90 ) (150,609 ) (17.01 ) Outstanding at End of Period 1,323,443 $ 16.95 1,399,769 $ 17.23 |
Restructuring Charges (Tables)
Restructuring Charges (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Restructuring and Related Activities [Abstract] | |
Restructuring and Related Costs | 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. In connection with the closure, the Company incurred the following charges, which are included within restructuring charges on the Company’s condensed consolidated statements of comprehensive income , for the three and nine months ended September 30, 2016 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2017 2016 2017 2016 Termination benefits $ — $ 652 $ — $ 652 Contract terminations — 519 — 519 Other associated costs — 18 — 18 Total $ — $ 1,189 $ — $ 1,189 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted | The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three and nine months ended September 30, 2017 and 2016 . All per share amounts, common shares outstanding and restricted shares for all periods presented have been adjusted on a retroactive basis to reflect the reverse stock split. Three Months Ended Nine Months Ended September 30, September 30, (in thousands, except share data) 2017 2016 2017 2016 Numerator: Net income $ 104,738 $ 117,786 $ 185,381 $ 11,875 Net income attributable to noncontrolling interest 2,674 — 2,714 — Net income attributable to Two Harbors Investment Corp. 102,064 117,786 182,667 11,875 Dividends on preferred stock 8,888 — 13,173 — Net income attributable to common stockholders - basic 93,176 117,786 169,494 11,875 Interest expense attributable to convertible notes (1) 4,727 — — — Net income attributable to common stockholders - diluted 97,903 117,786 169,494 11,875 Denominator: Weighted average common shares outstanding 173,162,988 172,372,459 173,022,717 172,545,883 Weighted average restricted stock shares 1,325,308 1,441,154 1,392,515 1,563,234 Basic weighted average shares outstanding 174,488,296 173,813,613 174,415,232 174,109,117 Effect of dilutive shares issued in an assumed conversion 14,419,060 — — — Diluted weighted average shares outstanding 188,907,356 173,813,613 174,415,232 174,109,117 Earnings Per Share Basic $ 0.53 $ 0.68 $ 0.97 $ 0.07 Diluted $ 0.52 $ 0.68 $ 0.97 $ 0.07 ___________________ (1) Includes a nondiscretionary adjustment for the assumed change in the management fee calculation. |
Organization and Operations (De
Organization and Operations (Details) | Jun. 28, 2017shares |
Organization and Operations [Abstract] | |
Shares of Granite Point Mortgage Trust Inc. common stock received in exchange for contribution (in shares) | 33,100,000 |
Ownership percentage in Granite Point Mortgage Trust Inc. | 76.50% |
Organization and Operations Spe
Organization and Operations Special Dividend (Details) | Nov. 01, 2017shares |
Subsequent Event [Member] | |
Subsequent Event [Line Items] | |
Number of shares of common stock of Granite Point Mortgage Trust Inc distributed via special dividend (in shares) | 33,100,000 |
Basis of Presentation and Sig56
Basis of Presentation and Significant Accounting Policies Consolidation and Basis of Presentation (Details) - Subsequent Event [Member] | Nov. 01, 2017shares |
Subsequent Event [Line Items] | |
Reverse stock split, conversion ratio | 0.50 |
Number of shares of common stock of Granite Point Mortgage Trust Inc distributed via special dividend (in shares) | 33,100,000 |
Basis of Presentation and Sig57
Basis of Presentation and Significant Accounting Policies Earnings Per Share (Details) | Nov. 01, 2017 |
Subsequent Event [Member] | |
Subsequent Event [Line Items] | |
Reverse stock split, conversion ratio | 0.50 |
Basis of Presentation and Sig58
Basis of Presentation and Significant Accounting Policies Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Offsetting [Abstract] | ||
Gross amount of recognized derivative assets | $ 279,300 | $ 388,522 |
Gross amount of derivative liabilities offset against derivative assets in the balance sheet | (40,995) | (64,340) |
Net amount of derivative assets presented in the balance sheet | 238,305 | 324,182 |
Gross amount of derivative liabilities not offset against derivative assets in the balance sheet | (11,312) | (12,501) |
Gross amount of cash collateral received not offset against derivative assets in the balance sheet | 0 | 0 |
Net amount of derivative assets after effects of amounts offset and not offset in the balance sheet | 226,993 | 311,681 |
Gross amount of recognized assets subject to master netting arrangements or similar agreements | 279,300 | 388,522 |
Gross amount of liabilities offset against assets subject to master netting arrangements or similar agreements in the balance sheet | (40,995) | (64,340) |
Net amount of assets subject to master netting arrangements or similar agreements presented in the balance sheet | 238,305 | 324,182 |
Gross amount of liabilities not offset against assets subject to master netting arrangements or similar agreements in the balance sheet | (11,312) | (12,501) |
Gross amount of cash collateral received not offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 0 | 0 |
Net amount of assets subject to master netting arrangements or similar agreements after effects of amounts offset and not offset in the balance sheet | 226,993 | 311,681 |
Gross amount of recognized repurchase agreements | (18,297,392) | (9,316,351) |
Gross amount of financial assets offset against repurchase agreements in the balance sheet | 0 | 0 |
Net amount of repurchase agreements presented in the balance sheet | (18,297,392) | (9,316,351) |
Gross amount of financial assets not offset against repurchase agreements in the balance sheet | 18,297,392 | 9,316,351 |
Gross amount of cash collateral pledged not offset against repurchase agreements in the balance sheet | 0 | 0 |
Net amount of repurchase agreements after effects of amounts offset and not offset in the balance sheet | 0 | 0 |
Gross amount of recognized derivative liabilities | (52,307) | (76,841) |
Gross amount of derivative assets offset against derivative liabilities in the balance sheet | 40,995 | 64,340 |
Net amount of derivative liabilities presented in the balance sheet | (11,312) | (12,501) |
Gross amount of derivatives assets not offset against derivative liabilities in the balance sheet | 11,312 | 12,501 |
Gross amount of cash collateral pledged not offset against derivative liabilities in the balance sheet | 0 | 0 |
Net amount of derivative liabilities after effects of amounts offset and not offset in the balance sheet | 0 | 0 |
Gross amount of recognized liabilities subject to master netting arrangements or similar agreements | (18,349,699) | (9,463,192) |
Gross amount of assets offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 40,995 | 64,340 |
Net amount of liabilities subject to master netting arrangements or similar agreements presented in the balance sheet | (18,308,704) | (9,398,852) |
Gross amount of assets not offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 18,308,704 | 9,398,852 |
Gross amount of cash collateral pledged not offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 0 | 0 |
Net amount of liabilities subject to master netting arrangements or similar agreements after effects of amounts offset and not offset in the balance sheet | $ 0 | $ 0 |
Basis of Presentation and Sig59
Basis of Presentation and Significant Accounting Policies Classification of Certain Cash Receipts and Cash Payments and Restricted Cash (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Dec. 31, 2015 |
Basis of Presentation and Significant Accounting Policies [Abstract] | ||||
Restricted cash | $ 343,813 | $ 408,312 | $ 264,872 | $ 262,562 |
Variable Interest Entities (Det
Variable Interest Entities (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Variable Interest Entity [Line Items] | ||
Assets of consolidated Variable Interest Entities | $ 3,094,462 | $ 3,336,292 |
Liabilities of consolidated Variable Interest Entities | 2,804,685 | 3,058,278 |
Assets of nonconsolidated Variable Interest Entities | 2,644,723 | 1,902,384 |
Maximum exposure to loss of nonconsolidated Variable Interest Entities | 2,644,723 | 1,902,384 |
Loans Held-for-Investment, Residential Mortgages [Member] | ||
Variable Interest Entity [Line Items] | ||
Assets of consolidated Variable Interest Entities | 3,031,191 | 3,271,317 |
Commercial Real Estate Assets [Member] | ||
Variable Interest Entity [Line Items] | ||
Assets of consolidated Variable Interest Entities | 45,889 | 45,885 |
Accrued Income Receivable [Member] | ||
Variable Interest Entity [Line Items] | ||
Assets of consolidated Variable Interest Entities | 17,382 | 19,090 |
Assets, Total [Member] | ||
Variable Interest Entity [Line Items] | ||
Assets of consolidated Variable Interest Entities | 3,094,462 | 3,336,292 |
Borrowings [Member] | ||
Variable Interest Entity [Line Items] | ||
Liabilities of consolidated Variable Interest Entities | 2,785,413 | 3,037,196 |
Accrued Liabilities [Member] | ||
Variable Interest Entity [Line Items] | ||
Liabilities of consolidated Variable Interest Entities | 7,894 | 8,708 |
Other Liabilities [Member] | ||
Variable Interest Entity [Line Items] | ||
Liabilities of consolidated Variable Interest Entities | 11,378 | 12,374 |
Liabilities, Total [Member] | ||
Variable Interest Entity [Line Items] | ||
Liabilities of consolidated Variable Interest Entities | $ 2,804,685 | $ 3,058,278 |
Available-for-Sale Securities61
Available-for-Sale Securities, at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | $ 20,199,094 | $ 13,128,857 |
Available-for-sale securities, at fair value, pledged as collateral for borrowings | 19,989,068 | 13,117,329 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | 13,057,102 | 8,274,507 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | 3,972,963 | 2,742,630 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | 524,306 | 209,337 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | $ 2,644,723 | $ 1,902,383 |
Schedule of Available-for-sale
Schedule of Available-for-sale Securities Reconciliation (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities [Line Items] | ||
Face Value | $ 22,841,317 | $ 16,303,556 |
Unamortized premium | 1,038,789 | 571,749 |
Designated credit reserve | (525,687) | (367,437) |
Net, unamortized | (3,606,045) | (3,567,420) |
Amortized Cost | 19,748,374 | 12,940,448 |
Gross unrealized gains | 571,418 | 432,398 |
Gross unrealized losses | (120,698) | (243,989) |
Available-for-sale securities, at fair value | 20,199,094 | 13,128,857 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Face Value | 19,303,065 | 13,571,417 |
Unamortized premium | 1,038,789 | 571,749 |
Designated credit reserve | 0 | 0 |
Net, unamortized | (2,789,785) | (2,758,445) |
Amortized Cost | 17,552,069 | 11,384,721 |
Gross unrealized gains | 120,236 | 79,040 |
Gross unrealized losses | (117,934) | (237,287) |
Available-for-sale securities, at fair value | 17,554,371 | 11,226,474 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Face Value | 3,538,252 | 2,732,139 |
Unamortized premium | 0 | 0 |
Designated credit reserve | (525,687) | (367,437) |
Net, unamortized | (816,260) | (808,975) |
Amortized Cost | 2,196,305 | 1,555,727 |
Gross unrealized gains | 451,182 | 353,358 |
Gross unrealized losses | (2,764) | (6,702) |
Available-for-sale securities, at fair value | $ 2,644,723 | $ 1,902,383 |
Available-for-sale Securities C
Available-for-sale Securities Classified by Rate Type (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities [Line Items] | ||
Adjustable Rate | $ 2,325,207 | $ 1,605,313 |
Fixed Rate | 17,873,887 | 11,523,544 |
Available-for-sale securities, at fair value | 20,199,094 | 13,128,857 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Adjustable Rate | 24,960 | 30,463 |
Fixed Rate | 17,529,411 | 11,196,011 |
Available-for-sale securities, at fair value | 17,554,371 | 11,226,474 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Adjustable Rate | 2,300,247 | 1,574,850 |
Fixed Rate | 344,476 | 327,533 |
Available-for-sale securities, at fair value | $ 2,644,723 | $ 1,902,383 |
Available-for-Sale Securities64
Available-for-Sale Securities, Weighted Average Life Classifications (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities [Line Items] | ||
Less than or equal to 1 year | $ 180,692 | |
Greater than 1 year and less than or equal to 3 years | 287,577 | |
Greater than 3 years and less than or equal to 5 years | 1,628,250 | |
Greater than 5 years and less than or equal to 10 years | 17,328,678 | |
Greater than 10 years | 773,897 | |
Available-for-sale securities, at fair value | 20,199,094 | $ 13,128,857 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than or equal to 1 year | 15,632 | |
Greater than 1 year and less than or equal to 3 years | 38,357 | |
Greater than 3 years and less than or equal to 5 years | 1,192,719 | |
Greater than 5 years and less than or equal to 10 years | 16,285,575 | |
Greater than 10 years | 22,088 | |
Available-for-sale securities, at fair value | 17,554,371 | 11,226,474 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than or equal to 1 year | 165,060 | |
Greater than 1 year and less than or equal to 3 years | 249,220 | |
Greater than 3 years and less than or equal to 5 years | 435,531 | |
Greater than 5 years and less than or equal to 10 years | 1,043,103 | |
Greater than 10 years | 751,809 | |
Available-for-sale securities, at fair value | $ 2,644,723 | $ 1,902,383 |
Schedule of Available-for-sal65
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 | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Available-for-sale Securities, Designated Credit Reserve [Member] | ||
Available-for-sale Securities, Unamortized Discount [Roll Forward] | ||
Unamortized discount on available-for-sale securities, beginning balance | $ (367,437) | $ (409,077) |
Acquisitions | (217,206) | (45,398) |
Accretion of net discount | 0 | 0 |
Realized credit losses | 11,385 | 279 |
Reclassification adjustment for other-than-temporary impairments | (429) | (1,226) |
Transfers from (to) | 44,412 | 70,371 |
Sales, calls, other | 3,588 | 32,562 |
Unamortized discount on available-for-sale securities, ending balance | (525,687) | (352,489) |
Available-for-sale Securities, Net, Unamortized [Member] | ||
Available-for-sale Securities, Unamortized Discount [Roll Forward] | ||
Unamortized discount on available-for-sale securities, beginning balance | (808,975) | (707,021) |
Acquisitions | (111,938) | (140,318) |
Accretion of net discount | 67,219 | 50,596 |
Realized credit losses | 0 | 0 |
Reclassification adjustment for other-than-temporary impairments | 0 | 0 |
Transfers from (to) | (44,412) | (70,371) |
Sales, calls, other | 81,846 | 77,689 |
Unamortized discount on available-for-sale securities, ending balance | (816,260) | (789,425) |
Available-for-sale Securities, Unamortized Discount [Member] | ||
Available-for-sale Securities, Unamortized Discount [Roll Forward] | ||
Unamortized discount on available-for-sale securities, beginning balance | (1,176,412) | (1,116,098) |
Acquisitions | (329,144) | (185,716) |
Accretion of net discount | 67,219 | 50,596 |
Realized credit losses | 11,385 | 279 |
Reclassification adjustment for other-than-temporary impairments | (429) | (1,226) |
Transfers from (to) | 0 | 0 |
Sales, calls, other | 85,434 | 110,251 |
Unamortized discount on available-for-sale securities, ending balance | $ (1,341,947) | $ (1,141,914) |
Available-for-Sale Securities66
Available-for-Sale Securities, at Fair Value Schedule of Unrealized Loss on Investments (Details) $ in Thousands | Sep. 30, 2017USD ($)position | Dec. 31, 2016USD ($)position |
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-Sale Securities, Number of Positions | position | 1,380 | 1,239 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | position | 152 | 252 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | position | 164 | 125 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Percent Agency | 95.10% | 95.80% |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 4,136,362 | $ 6,416,820 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Aggregate Losses | (22,669) | (204,034) |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 2,341,707 | 504,978 |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Aggregate Losses | (98,029) | (39,955) |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 6,478,069 | 6,921,798 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Aggregate Losses | (120,698) | (243,989) |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 3,934,443 | $ 6,147,713 |
Available-for-Sale Securities67
Available-for-Sale Securities, at Fair Value Other than Temporary Impairment, Credit Losses Recognized in Earnings (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017USD ($) | Sep. 30, 2016USD ($) | Sep. 30, 2017USD ($)position | Sep. 30, 2016USD ($)position | |
Available-for-sale Securities [Abstract] | ||||
Other-than-temporary impairment losses | $ 0 | $ (1,015) | $ (429) | $ (1,822) |
Other than Temporary Impairment Losses, Investments, Number, Available-for-sale Securities | position | 1 | 4 | ||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Market Value | $ 117,620 | $ 117,620 | ||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Weighted Average Cumulative Losses | 5.30% | |||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Weighted Average Three-Month Prepayment Speed | 0.073 | |||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Delinquency Rate | 21.80% | |||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Weighted Average FICO Score | 659 | |||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||||
Cumulative credit loss at beginning of period | $ (6,035) | (6,710) | (5,606) | $ (6,499) |
Other-than-temporary impairments not previously recognized | 0 | (1,015) | (429) | (1,307) |
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | 0 | 0 | 0 | (515) |
Decreases related to other-than-temporary impairments on securities paid down | 0 | 0 | 0 | 0 |
Decreases related to other-than-temporary impairments on securities sold | 0 | 0 | 0 | 596 |
Cumulative credit loss at end of period | $ (6,035) | $ (7,725) | $ (6,035) | $ (7,725) |
Available-for-Sale Securities68
Available-for-Sale Securities, at Fair Value Schedule of Realized Gain (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
Available-for-sale Securities, Gross Realized Gains (Losses), Sale Proceeds | $ 634,299 | $ 2,791,697 | $ 5,727,024 | $ 6,567,991 |
Available-for-sale Securities, Gross Realized Gains (Losses), Amortized Cost Sold | 638,233 | 2,759,919 | 5,748,016 | 6,504,642 |
Gross realized gains | 408 | 31,942 | 57,133 | 77,836 |
Gross realized losses | (4,342) | (164) | (78,125) | (14,487) |
Total realized (losses) gains on sales, net | $ (3,934) | $ 31,778 | $ (20,992) | $ 63,349 |
Commercial Real Estate Assets69
Commercial Real Estate Assets (Details) $ in Thousands | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2017USD ($)unit | Dec. 31, 2016USD ($)unit | Jun. 30, 2017USD ($) | Sep. 30, 2016USD ($) | Jun. 30, 2016USD ($) | Dec. 31, 2015USD ($) | |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid principal balance | $ 2,189,264 | $ 1,424,445 | ||||
Unamortized (discount) premium | (185) | (200) | ||||
Unamortized net deferred origination fees | (17,735) | (11,702) | ||||
Commercial real estate assets | 2,171,344 | 1,412,543 | $ 1,782,749 | $ 1,114,548 | $ 926,377 | $ 660,953 |
Unfunded commitments | $ 272,234 | $ 172,470 | ||||
Number of loans | unit | 57 | 36 | ||||
Weighted average coupon | 5.90% | 5.40% | ||||
Weighted average years to maturity | 2 years 5 months 18 days | 2 years 9 months 18 days | ||||
First Mortgage [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid principal balance | $ 2,041,767 | $ 1,286,200 | ||||
Unamortized (discount) premium | (174) | (185) | ||||
Unamortized net deferred origination fees | (17,695) | (11,481) | ||||
Commercial real estate assets | 2,023,898 | 1,274,534 | ||||
Unfunded commitments | $ 270,654 | $ 170,890 | ||||
Number of loans | unit | 50 | 30 | ||||
Weighted average coupon | 5.60% | 5.10% | ||||
Weighted average years to maturity | 2 years 5 months 14 days | 2 years 10 months 24 days | ||||
Second Mortgage [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid principal balance | $ 132,605 | $ 138,245 | ||||
Unamortized (discount) premium | (11) | (15) | ||||
Unamortized net deferred origination fees | (40) | (221) | ||||
Commercial real estate assets | 132,554 | 138,009 | ||||
Unfunded commitments | $ 1,580 | $ 1,580 | ||||
Number of loans | unit | 6 | 6 | ||||
Weighted average coupon | 9.10% | 8.60% | ||||
Weighted average years to maturity | 1 year 10 months 9 days | 1 year 6 months | ||||
Junior Loans [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid principal balance | $ 14,892 | $ 0 | ||||
Unamortized (discount) premium | 0 | 0 | ||||
Unamortized net deferred origination fees | 0 | 0 | ||||
Commercial real estate assets | 14,892 | 0 | ||||
Unfunded commitments | $ 0 | $ 0 | ||||
Number of loans | unit | 1 | 0 | ||||
Weighted average coupon | 8.00% | 0.00% | ||||
Weighted average years to maturity | 9 years 4 months 4 days | 0 days |
Commercial Real Estate Assets b
Commercial Real Estate Assets by Property Type (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 2,171,344 | $ 1,782,749 | $ 1,412,543 | $ 1,114,548 | $ 926,377 | $ 660,953 |
Percentage of Commercial Portfolio | 100.00% | 100.00% | ||||
Office Building [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 1,133,866 | $ 718,780 | ||||
Percentage of Commercial Portfolio | 52.20% | 50.90% | ||||
Multifamily [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 385,222 | $ 260,683 | ||||
Percentage of Commercial Portfolio | 17.70% | 18.50% | ||||
Retail Site [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 247,196 | $ 237,414 | ||||
Percentage of Commercial Portfolio | 11.40% | 16.80% | ||||
Hotel [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 209,874 | $ 90,585 | ||||
Percentage of Commercial Portfolio | 9.70% | 6.40% | ||||
Industrial Property [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 195,186 | $ 105,081 | ||||
Percentage of Commercial Portfolio | 9.00% | 7.40% |
Commercial Real Estate Assets71
Commercial Real Estate Assets by Geographic Location (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 2,171,344 | $ 1,782,749 | $ 1,412,543 | $ 1,114,548 | $ 926,377 | $ 660,953 |
Percentage of Commercial Portfolio | 100.00% | 100.00% | ||||
United States, Northeastern Region [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 924,383 | $ 578,762 | ||||
Percentage of Commercial Portfolio | 42.60% | 41.00% | ||||
United States, Western Region [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 414,612 | $ 250,044 | ||||
Percentage of Commercial Portfolio | 19.10% | 17.70% | ||||
United States, Southwestern Region [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 363,907 | $ 267,944 | ||||
Percentage of Commercial Portfolio | 16.80% | 19.00% | ||||
United States, Southeastern Region [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 350,407 | $ 239,194 | ||||
Percentage of Commercial Portfolio | 16.10% | 16.90% | ||||
United States, Midwestern Region [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 118,035 | $ 76,599 | ||||
Percentage of Commercial Portfolio | 5.40% | 5.40% |
Rollforward of Commercial Real
Rollforward of Commercial Real Estate Assets (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Commercial Real Estate Assets [Abstract] | |||||
Commercial real estate assets pledged as collateral for borrowings | $ 2,030,703 | $ 2,030,703 | $ 1,357,874 | ||
Commercial Real Estate Assets [Roll Forward] | |||||
Commercial real estate assets at beginning of period | 1,782,749 | $ 926,377 | 1,412,543 | $ 660,953 | |
Originations, acquisitions and additional fundings | 393,425 | 190,100 | 771,473 | 470,547 | |
Repayments | (409) | (908) | (6,655) | (15,295) | |
Net (premium amortization) discount accretion | 6 | 64 | (11) | 204 | |
Increase in net deferred origination fees | (5,858) | (2,858) | (11,568) | (6,867) | |
Amortization of net deferred origination fees | 1,431 | 1,773 | 5,562 | 5,006 | |
Allowance for loan losses | 0 | 0 | 0 | 0 | |
Commercial real estate assets at end of period | $ 2,171,344 | $ 1,114,548 | $ 2,171,344 | $ 1,114,548 |
Commercial Real Estate Loans As
Commercial Real Estate Loans Assets by Internal Risk Rating (Details) $ in Thousands | Sep. 30, 2017USD ($)loanunit | Dec. 31, 2016USD ($)loanunit |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of loans | unit | 57 | 36 |
Commercial Real Estate Assets [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of loans | loan | 57 | 36 |
Unpaid Principal Balance | $ 2,189,264 | $ 1,424,445 |
Commercial real estate assets | $ 2,171,344 | $ 1,412,543 |
Commercial Real Estate Assets [Member] | Internal Investment Grade [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of loans | loan | 57 | 36 |
Unpaid Principal Balance | $ 2,189,264 | $ 1,424,445 |
Commercial real estate assets | $ 2,171,344 | $ 1,412,543 |
Commercial Real Estate Assets [Member] | Internal Noninvestment Grade [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of loans | loan | 0 | 0 |
Unpaid Principal Balance | $ 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 | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | |||||
Mortgage servicing rights, at fair value, at beginning of period | $ 898,025 | $ 427,813 | $ 693,815 | $ 493,688 | |
Additions from purchases of mortgage servicing rights | 66,280 | 98,224 | 340,156 | 204,435 | |
Additions from sales of residential mortgage loans | 0 | 242 | 20 | 764 | |
Subtractions from sales of mortgage servicing rights | 0 | (60,910) | (946) | (60,910) | |
Changes in valuation inputs or assumptions used in the valuation model | (154) | 3,846 | (23,083) | (139,587) | |
Other changes in fair value | (28,595) | (18,231) | (66,543) | (52,773) | |
Other changes | (4,943) | 4,645 | (12,806) | 10,012 | |
Mortgage servicing rights, at fair value, at end of period | 930,613 | $ 455,629 | 930,613 | $ 455,629 | |
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 160,635 | $ 160,635 | $ 180,948 |
Schedule of Mortgage Servicing
Schedule of Mortgage Servicing Rights Sensitivity Analysis of Fair Value (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | ||
Weighted average prepayment speed: | 10.80% | 9.20% |
Impact on fair value of 10% adverse change | $ (36,170) | $ (25,012) |
Impact on fair value of 20% adverse change | $ (69,455) | $ (48,602) |
Weighted average delinquency: | 1.70% | 1.90% |
Impact on fair value of 10% adverse change | $ (4,002) | $ (1,908) |
Impact on fair value of 20% adverse change | $ (8,065) | $ (3,816) |
Weighted average discount rate: | 9.90% | 9.40% |
Impact on fair value of 10% adverse change | $ (29,873) | $ (23,590) |
Impact on fair value of 20% adverse change | $ (57,481) | $ (45,861) |
Components of Servicing Revenue
Components of Servicing Revenue (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |||||
Servicing fee income | $ 53,989 | $ 37,226 | $ 141,923 | $ 104,765 | |
Ancillary and other fee income | 310 | 449 | 615 | 1,423 | |
Float income | 3,088 | 1,033 | 5,930 | 2,469 | |
Servicing income | 57,387 | $ 38,708 | 148,468 | $ 108,657 | |
Servicing advances | $ 20,658 | $ 20,658 | $ 26,147 |
Serviced Mortgage Assets (Detai
Serviced Mortgage Assets (Details) $ in Thousands | Sep. 30, 2017USD ($)loan | Dec. 31, 2016USD ($)loan |
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Number of Loans | loan | 403,113 | 285,122 |
Unpaid Principal Balance | $ | $ 91,776,879 | $ 66,112,005 |
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] | ||
Number of Loans | loan | 398,580 | 280,185 |
Unpaid Principal Balance | $ | $ 88,789,765 | $ 62,827,975 |
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] | ||
Number of Loans | loan | 4,288 | 4,604 |
Unpaid Principal Balance | $ | $ 2,948,349 | $ 3,234,044 |
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] | ||
Number of Loans | loan | 245 | 333 |
Unpaid Principal Balance | $ | $ 38,765 | $ 49,986 |
Residential Mortgage Loans He78
Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Residential Mortgage Loans Held-for-Investment [Abstract] | ||
Unpaid principal balance | $ 2,948,349 | $ 3,234,044 |
Fair value adjustment | 82,842 | 37,273 |
Residential mortgage loans held-for-investment in securitization trusts, at fair value | $ 3,031,191 | $ 3,271,317 |
Schedule of Residential Mortgag
Schedule of Residential Mortgage Loans Held-for-Sale Reconciliation (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Dec. 31, 2015 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid principal balance | $ 38,765 | $ 49,986 | ||
Fair value adjustment | (7,568) | (9,840) | ||
Residential mortgage loans held-for-sale, at fair value | $ 31,197 | $ 40,146 | $ 723,174 | $ 811,431 |
Schedule of Restricted Cash and
Schedule of Restricted Cash and Cash Equivalents (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Dec. 31, 2015 |
Restricted Cash and Cash Equivalents Items [Line Items] | ||||
Restricted cash | $ 343,813 | $ 408,312 | $ 264,872 | $ 262,562 |
Restricted Cash and Cash Equivalents Held for Securities Trading Activity [Member] | ||||
Restricted Cash and Cash Equivalents Items [Line Items] | ||||
Restricted cash | 27,823 | 26,310 | ||
Restricted Cash and Cash Equivalents Held for Derivatives Trading Activity [Member] | ||||
Restricted Cash and Cash Equivalents Items [Line Items] | ||||
Restricted cash | 165,799 | 218,896 | ||
Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | ||||
Restricted Cash and Cash Equivalents Items [Line Items] | ||||
Restricted cash | 149,844 | 162,759 | ||
Restricted Cash and Cash Equivalents Held by Counterparties [Member] | ||||
Restricted Cash and Cash Equivalents Items [Line Items] | ||||
Restricted cash | 343,466 | 407,965 | ||
Restricted Cash and Cash Equivalents for Lease [Member] | ||||
Restricted Cash and Cash Equivalents Items [Line Items] | ||||
Restricted cash | $ 347 | $ 347 |
Schedule of Total Cash, Cash Eq
Schedule of Total Cash, Cash Equivalents and Restricted Cash (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Dec. 31, 2015 |
Cash, Cash Equivalents and Restricted Cash [Abstract] | ||||
Cash and cash equivalents | $ 539,367 | $ 406,883 | ||
Restricted cash | 343,813 | 408,312 | $ 264,872 | $ 262,562 |
Total cash, cash equivalents and restricted cash | $ 883,180 | $ 815,195 | $ 953,290 | $ 1,000,393 |
Accrued Interest Receivable Sch
Accrued Interest Receivable Schedule of Accounts, Notes, Loans and Financing Receivable (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | $ 85,445 | $ 62,751 |
Commercial Real Estate Assets [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 5,740 | 3,699 |
Loans Held-for-Investment, Residential Mortgages [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 17,219 | 18,928 |
Loans Held-for-Sale, Residential Mortgages [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 159 | 164 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 42,087 | 25,273 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 13,039 | 8,914 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 4,036 | 3,068 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 3,165 | 2,705 |
Available-for-sale Securities [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | $ 62,327 | $ 39,960 |
Schedule of Derivative Instrume
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value (Details) - USD ($) | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Notional Disclosures [Abstract] | ||||||
Notional | $ 24,113,321,000 | $ 16,988,116,000 | $ 18,802,500,000 | $ 22,062,904,000 | $ 26,141,370,000 | $ 21,998,381,000 |
Inverse Interest-Only Securities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 102,235,000 | 127,843,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 621,548,978 | 740,844,023 | ||||
Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 393,000 | (17,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 65,895,000 | 90,593,000 | ||||
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 238,305,000 | 324,182,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 20,122,892,000 | 21,708,907,000 | ||||
Derivative Financial Instruments, Assets [Member] | Inverse Interest-Only Securities [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Notional | 621,548,978 | 740,844,023 | ||||
Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 120,423,000 | 109,531,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 13,216,448,000 | 18,471,063,000 | ||||
Derivative Financial Instruments, Assets [Member] | Interest Rate Swaption [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 9,395,000 | 39,881,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 2,814,000,000 | 825,000,000 | ||||
Derivative Financial Instruments, Assets [Member] | Forward Contracts [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 5,703,000 | 4,294,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 1,405,000,000 | 536,000,000 | ||||
Derivative Financial Instruments, Assets [Member] | Options Held [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 156,000 | 42,633,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 2,000,000,000 | 1,136,000,000 | ||||
Derivative Financial Instruments, Assets [Member] | Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 393,000 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 65,895,208 | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (11,312,000) | (12,501,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 6,800,429,000 | 3,543,593,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Inverse Interest-Only Securities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 0 | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (11,312,000) | (495,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 6,800,429,000 | 1,900,000,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swaption [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | (1,645,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 0 | 600,000,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Forward Contracts [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | (10,344,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 0 | 953,000,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Options Held [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 0 | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | (17,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | $ 0 | $ 90,592,668 |
Schedule of Derivative Instru84
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | $ (19,131) | $ (6,337) | $ (133,318) | $ (174,217) |
Forward Contracts [Member] | Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | (16,891) | (522) | (45,671) | 26,369 |
Options Held [Member] | Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | (3,405) | (6,226) | (22,467) | (51,259) |
Interest Rate Swaption [Member] | Gain (Loss) on Interest Rate Swap and Swaption Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | (12,349) | (24,394) | (62,080) | (18,397) |
Total Return Swap [Member] | Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | (134) | (6,550) | (821) | (41,541) |
Credit Default Swap, Selling Protection [Member] | Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | 0 | (18) | 0 | 364 |
Inverse Interest-Only Securities [Member] | Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | 1,506 | 1,288 | 2,631 | 22,003 |
Loan Purchase Commitments [Member] | Gain (Loss) on Residential Mortgage Loans Held-for-Sale [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | 0 | 107 | 0 | 2,455 |
Short [Member] | Interest Rate Swap [Member] | Gain (Loss) on Interest Rate Swap and Swaption Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | (5,280) | (18,381) | 22,813 | 131,465 |
Long [Member] | Interest Rate Swap [Member] | Gain (Loss) on Interest Rate Swap and Swaption Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | $ 17,422 | $ 48,359 | $ (27,723) | $ (245,676) |
Derivative Instruments and He85
Derivative Instruments and Hedging Activities Interest Spread on Interest Rate Swaps (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Average Notional Amount | $ 18,317,731,000 | $ 20,642,679,000 | $ 17,799,927,000 | $ 22,701,140,000 |
Interest Rate Swap [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Interest Expense on Interest Rate Swap and Swaption Agreements | $ 389,000 | $ 4,294,000 | $ 10,867,000 | $ 18,140,000 |
Schedule of Notional Amounts of
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | $ (16,988,116,000) | $ (26,141,370,000) | $ (18,802,500,000) | $ (21,998,381,000) |
Additions | 15,562,549,000 | (22,872,000) | 23,266,958,000 | 31,254,394,000 |
Settlement, Termination, Expiration or Exercise | (8,437,344,000) | (4,055,594,000) | (17,956,137,000) | (31,189,871,000) |
End of Period Notional Amount | (24,113,321,000) | (22,062,904,000) | (24,113,321,000) | (22,062,904,000) |
Average Notional Amount | (18,317,731,000) | (20,642,679,000) | (17,799,927,000) | (22,701,140,000) |
Realized Gain (Loss), net | 13,890,000 | (154,155,000) | 31,376,000 | (146,046,000) |
Inverse Interest-Only Securities [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | (740,844,023) | |||
Additions | 0 | 0 | 0 | 0 |
Settlement, Termination, Expiration or Exercise | (38,219,074) | (50,042,756) | (119,295,045) | (147,213,799) |
End of Period Notional Amount | (621,548,978) | (621,548,978) | ||
Realized Gain (Loss), net | (40,000) | 0 | (40,000) | 0 |
Interest Rate Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 9,878,549,000 | 4,451,430,000 | 23,408,358,000 | 16,553,456,000 |
Settlement, Termination, Expiration or Exercise | (4,626,391,000) | (1,203,000,000) | (23,762,544,000) | (13,876,832,000) |
Realized Gain (Loss), net | 36,171,000 | (39,369,000) | 47,691,000 | (33,067,000) |
Credit Default Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 0 | 10,000,000 | ||
Settlement, Termination, Expiration or Exercise | 0 | (110,000,000) | ||
Realized Gain (Loss), net | 0 | 412,000 | ||
Interest Rate Swaption [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 5,364,000,000 | (1,537,000,000) | 1,109,000,000 | 1,063,000,000 |
Settlement, Termination, Expiration or Exercise | (3,900,000,000) | 7,000,000 | 1,480,000,000 | (5,993,000,000) |
Realized Gain (Loss), net | (3,264,000) | (55,692,000) | 21,164,000 | (86,481,000) |
Forward Contracts [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | (1,585,000,000) | (5,622,000,000) | (5,710,400,000) | (1,186,000,000) |
Settlement, Termination, Expiration or Exercise | 1,320,000,000 | 5,370,000,000 | 5,794,400,000 | 300,000,000 |
Realized Gain (Loss), net | (14,997,000) | (18,819,000) | (57,424,000) | 12,932,000 |
Options Held [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 1,905,000,000 | 2,269,000,000 | 4,460,000,000 | 13,166,000,000 |
Settlement, Termination, Expiration or Exercise | (1,190,000,000) | (6,697,000,000) | (1,324,000,000) | (8,697,000,000) |
Realized Gain (Loss), net | (3,980,000) | (26,955,000) | 20,166,000 | (28,303,000) |
Total Return Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | (90,593,000) | |||
Additions | 0 | 99,911,325 | 0 | 99,911,325 |
Settlement, Termination, Expiration or Exercise | (2,734,012) | (591,699,771) | (24,697,460) | (893,081,281) |
End of Period Notional Amount | (65,895,000) | (65,895,000) | ||
Realized Gain (Loss), net | 0 | (13,897,000) | (181,000) | (13,374,000) |
Loan Purchase Commitments [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 315,787,375 | 1,548,027,172 | ||
Settlement, Termination, Expiration or Exercise | (890,851,336) | (1,772,744,188) | ||
Realized Gain (Loss), net | 577,000 | 1,835,000 | ||
Net Long [Member] | Inverse Interest-Only Securities [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | (659,768,050) | (834,865,629) | (740,844,021) | (932,036,672) |
End of Period Notional Amount | (621,549,000) | (784,823,000) | (621,549,000) | (784,823,000) |
Average Notional Amount | (642,143,000) | (813,045,291) | (681,126,400) | (860,920,247) |
Net Long [Member] | Interest Rate Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | (14,764,719,000) | (13,697,000,000) | (20,371,063,000) | (14,268,806,000) |
End of Period Notional Amount | (20,016,877,000) | (16,945,430,000) | (20,016,877,000) | (16,945,430,000) |
Average Notional Amount | (16,710,893,652) | (14,497,912,978) | (17,617,836,293) | (14,751,923,277) |
Net Long [Member] | Credit Default Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | (25,000,000) | (125,000,000) | ||
End of Period Notional Amount | (25,000,000) | (25,000,000) | ||
Average Notional Amount | (25,000,000) | (87,883,212) | ||
Net Long [Member] | Interest Rate Swaption [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | (1,350,000,000) | (1,800,000,000) | (225,000,000) | (5,200,000,000) |
End of Period Notional Amount | (2,814,000,000) | (270,000,000) | (2,814,000,000) | (270,000,000) |
Average Notional Amount | (2,213,532,609) | (219,315,217) | (669,377,289) | (3,192,616,788) |
Net Long [Member] | Forward Contracts [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | (297,000,000) | |||
Net Long [Member] | Options Held [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | (1,285,000,000) | (8,897,000,000) | 0 | |
End of Period Notional Amount | (2,000,000,000) | (4,469,000,000) | (2,000,000,000) | (4,469,000,000) |
Average Notional Amount | (54,402,174) | (5,607,728,261) | (3,091,678,832) | |
Net Long [Member] | Total Return Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | (68,629,219) | (588,036,503) | (90,592,667) | (889,418,013) |
End of Period Notional Amount | (65,895,000) | (96,248,000) | (65,895,000) | (96,248,000) |
Average Notional Amount | (66,801,750) | (113,333,925) | (76,670,043) | (598,163,424) |
Net Long [Member] | Loan Purchase Commitments [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | (636,467,453) | (286,120,508) | ||
End of Period Notional Amount | (61,403,000) | (61,403,000) | ||
Average Notional Amount | (418,333,145) | (357,448,318) | ||
Net Short Positions [Member] | Forward Contracts [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | (1,140,000,000) | (337,000,000) | (1,489,000,000) | |
End of Period Notional Amount | (1,405,000,000) | (589,000,000) | (1,405,000,000) | (589,000,000) |
Average Notional Amount | $ (1,370,043,478) | $ (1,051,989,130) | (1,231,793,407) | $ (239,492,701) |
Net Short Positions [Member] | Options Held [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | (1,136,000,000) | |||
Average Notional Amount | $ (13,289,377) |
Derivative Instruments and He87
Derivative Instruments and Hedging Activities Interest Rate Sensitive Assets/Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Derivatives, Fair Value [Line Items] | ||||||
Available-for-sale securities, at fair value | $ 20,199,094 | $ 13,128,857 | ||||
Mortgage servicing rights, at fair value | 930,613 | $ 898,025 | 693,815 | $ 455,629 | $ 427,813 | $ 493,688 |
Interest-Only-Strip [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Available-for-sale securities, at fair value | $ 60,354 | $ 71,084 |
Derivative Instruments and He88
Derivative Instruments and Hedging Activities Schedule of TBA Contracts (Details) - USD ($) | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||||||
Notional | $ 24,113,321,000 | $ 16,988,116,000 | $ 18,802,500,000 | $ 22,062,904,000 | $ 26,141,370,000 | $ 21,998,381,000 |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 20,122,892,000 | 21,708,907,000 | ||||
Fair Value | 238,305,000 | 324,182,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 6,800,429,000 | 3,543,593,000 | ||||
Fair Value | (11,312,000) | (12,501,000) | ||||
Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 1,405,000,000 | 536,000,000 | ||||
Fair Value | 5,703,000 | 4,294,000 | ||||
Forward Contracts [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 0 | 953,000,000 | ||||
Fair Value | 0 | (10,344,000) | ||||
Forward Contracts [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 0 | 1,500,000,000 | ||||
Cost Basis | 0 | 1,576,270,000 | ||||
Market Value | 0 | 1,576,875,000 | ||||
Forward Contracts [Member] | Long [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 0 | 605,000 | ||||
Forward Contracts [Member] | Long [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 0 | 0 | ||||
Forward Contracts [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 1,405,000,000 | 2,989,000,000 | ||||
Cost Basis | 1,447,566,000 | 3,028,470,000 | ||||
Market Value | 1,441,863,000 | 3,035,125,000 | ||||
Forward Contracts [Member] | Short [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 5,703,000 | 3,689,000 | ||||
Forward Contracts [Member] | Short [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 0 | (10,344,000) | ||||
Forward Contracts [Member] | Net Short Positions [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 1,405,000,000 | $ 1,140,000,000 | 1,489,000,000 | $ 589,000,000 | $ 337,000,000 | |
Cost Basis | 1,447,566,000 | 1,452,200,000 | ||||
Market Value | 1,441,863,000 | 1,458,250,000 | ||||
Forward Contracts [Member] | Net Short Positions [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 5,703,000 | 4,294,000 | ||||
Forward Contracts [Member] | Net Short Positions [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | $ 0 | $ (10,344,000) |
Derivative Instruments and He89
Derivative Instruments and Hedging Activities Put and Call Options for TBAs (Details) - USD ($) | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||||||
Notional | $ 24,113,321,000 | $ 16,988,116,000 | $ 18,802,500,000 | $ 22,062,904,000 | $ 26,141,370,000 | $ 21,998,381,000 |
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 6,800,429,000 | 3,543,593,000 | ||||
Fair Value | (11,312,000) | (12,501,000) | ||||
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 20,122,892,000 | 21,708,907,000 | ||||
Fair Value | 238,305,000 | 324,182,000 | ||||
Options Held [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 0 | 0 | ||||
Fair Value | 0 | 0 | ||||
Options Held [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 2,000,000,000 | 1,136,000,000 | ||||
Fair Value | 156,000 | 42,633,000 | ||||
Options Held [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 2,000,000,000 | 2,500,000,000 | ||||
Options Held [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 3,636,000,000 |
Derivative Instruments and He90
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Payers (Details) - USD ($) | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2017 | Dec. 31, 2016 | Jun. 30, 2017 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | ||||||
Notional | $ 24,113,321,000 | $ 18,802,500,000 | $ 16,988,116,000 | $ 22,062,904,000 | $ 26,141,370,000 | $ 21,998,381,000 |
Interest Rate Swap [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 15,611,201,000 | $ 15,307,063,000 | ||||
Weighted Average Fixed Interest Rate | 1.509% | 1.441% | ||||
Weighted Average Variable Interest Rate | 1.317% | 0.943% | ||||
Weighted Average Remaining Maturity | 3 years 6 months 27 days | 3 years 2 months 26 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Within One Year From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 875,000,000 | $ 2,375,000,000 | ||||
Weighted Average Fixed Interest Rate | 0.721% | 0.765% | ||||
Weighted Average Variable Interest Rate | 1.322% | 0.934% | ||||
Weighted Average Remaining Maturity | 2 months 4 days | 7 months 3 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 4,320,000,000 | $ 5,340,000,000 | ||||
Weighted Average Fixed Interest Rate | 1.155% | 1.232% | ||||
Weighted Average Variable Interest Rate | 1.314% | 0.945% | ||||
Weighted Average Remaining Maturity | 9 months 1 day | 1 year 7 months 2 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 1,020,000,000 | $ 350,000,000 | ||||
Weighted Average Fixed Interest Rate | 1.524% | 1.283% | ||||
Weighted Average Variable Interest Rate | 1.313% | 0.895% | ||||
Weighted Average Remaining Maturity | 1 year 9 months 22 days | 2 years 5 months 9 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 1,590,000,000 | $ 1,460,000,000 | ||||
Weighted Average Fixed Interest Rate | 1.542% | 1.481% | ||||
Weighted Average Variable Interest Rate | 1.311% | 0.92% | ||||
Weighted Average Remaining Maturity | 2 years 11 months 17 days | 3 years 8 months 26 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 7,806,201,000 | $ 5,782,063,000 | ||||
Weighted Average Fixed Interest Rate | 1.793% | 1.984% | ||||
Weighted Average Variable Interest Rate | 1.321% | 0.955% | ||||
Weighted Average Remaining Maturity | 5 years 11 months 5 days | 6 years 2 months | ||||
Forward Starting Interest Rate Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 200,000,000 | $ 777,063,000 | ||||
Weighted Average Fixed Interest Rate | 2.70% | 2.00% |
Derivative Instruments and He91
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Receivers (Details) - USD ($) | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2017 | Dec. 31, 2016 | Jun. 30, 2017 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | ||||||
Notional | $ 24,113,321,000 | $ 18,802,500,000 | $ 16,988,116,000 | $ 22,062,904,000 | $ 26,141,370,000 | $ 21,998,381,000 |
Interest Rate Swap [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 4,405,676,000 | $ 5,064,000,000 | ||||
Weighted Average Variable Interest Rate | 1.316% | 0.941% | ||||
Weighted Average Fixed Interest Rate | 2.093% | 1.894% | ||||
Weighted Average Remaining Maturity | 6 years 4 months 22 days | 4 years 6 months 27 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 575,000,000 | |||||
Weighted Average Variable Interest Rate | 0.911% | |||||
Weighted Average Fixed Interest Rate | 1.44% | |||||
Weighted Average Remaining Maturity | 1 year 10 months 21 days | |||||
Interest Rate Swap [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 508,273,000 | $ 500,000,000 | ||||
Weighted Average Variable Interest Rate | 1.314% | 0.882% | ||||
Weighted Average Fixed Interest Rate | 1.582% | 1.042% | ||||
Weighted Average Remaining Maturity | 1 year 10 months 16 days | 2 years 22 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 200,000,000 | $ 510,000,000 | ||||
Weighted Average Variable Interest Rate | 1.312% | 0.881% | ||||
Weighted Average Fixed Interest Rate | 1.642% | 1.58% | ||||
Weighted Average Remaining Maturity | 2 years 10 months 5 days | 3 years 7 months 4 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 3,697,403,000 | $ 3,479,000,000 | ||||
Weighted Average Variable Interest Rate | 1.316% | 0.963% | ||||
Weighted Average Fixed Interest Rate | 2.187% | 2.137% | ||||
Weighted Average Remaining Maturity | 7 years 2 months 14 days | 5 years 6 months 8 days |
Derivative Instruments and He92
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaptions (Details) - USD ($) | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2017 | Dec. 31, 2016 | Jun. 30, 2017 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | ||||||
Notional | $ 24,113,321,000 | $ 18,802,500,000 | $ 16,988,116,000 | $ 22,062,904,000 | $ 26,141,370,000 | $ 21,998,381,000 |
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 5 years | 5 years 1 month 8 days | ||||
Notional | $ 3,225,000,000 | $ 4,800,000,000 | ||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 2.25% | 2.24% | ||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 5 years | 4 years 9 months 10 days | ||||
Notional | $ 3,225,000,000 | $ 4,500,000,000 | ||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 2.25% | 2.16% | ||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 10 years | |||||
Notional | $ 300,000,000 | |||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 3.50% | |||||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 8 years 1 month 10 days | |||||
Notional | $ 4,820,000,000 | |||||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 1.98% | |||||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 8 years 3 days | |||||
Notional | $ 4,570,000,000 | |||||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 1.96% | |||||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 10 years | |||||
Notional | $ 250,000,000 | |||||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 2.35% | |||||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 5 years | 10 years | ||||
Notional | $ 600,000,000 | $ 800,000,000 | ||||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 2.42% | 3.44% | ||||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 5 years | 10 years | ||||
Notional | $ 600,000,000 | $ 500,000,000 | ||||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 2.42% | 3.40% | ||||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 10 years | |||||
Notional | $ 300,000,000 | |||||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 3.50% | |||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 5 years 8 months 3 days | 4 years 11 months 8 days | ||||
Notional | $ 4,631,000,000 | $ 3,775,000,000 | ||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 1.75% | 1.19% | ||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 5 years | 4 years 11 months 8 days | ||||
Notional | $ 4,006,000,000 | $ 3,775,000,000 | ||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 1.72% | 1.19% | ||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 10 years | |||||
Notional | $ 625,000,000 | |||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 1.95% | |||||
Interest Rate Swaption [Member] | Long [Member] | Variable Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 9,260,000 | $ 43,015,000 | ||||
Fair Value | $ 6,295,000 | $ 42,941,000 | ||||
Weighted Average Remaining Maturity | 3 months 26 days | 1 month 7 days | ||||
Interest Rate Swaption [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 9,260,000 | $ 29,360,000 | ||||
Fair Value | $ 6,295,000 | $ 42,149,000 | ||||
Weighted Average Remaining Maturity | 3 months 26 days | 1 month 7 days | ||||
Interest Rate Swaption [Member] | Long [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 13,655,000 | |||||
Fair Value | $ 792,000 | |||||
Weighted Average Remaining Maturity | 6 months 21 days | |||||
Interest Rate Swaption [Member] | Long [Member] | Fixed Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 17,570,000 | |||||
Fair Value | $ 12,206,000 | |||||
Weighted Average Remaining Maturity | 3 months 2 days | |||||
Interest Rate Swaption [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 17,570,000 | |||||
Fair Value | $ 7,716,000 | |||||
Weighted Average Remaining Maturity | 2 months 10 days | |||||
Interest Rate Swaption [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 0 | |||||
Fair Value | $ 4,490,000 | |||||
Weighted Average Remaining Maturity | 7 months 24 days | |||||
Interest Rate Swaption [Member] | Short [Member] | Variable Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 0 | $ 81,248,000 | ||||
Fair Value | $ 0 | $ 2,352,000 | ||||
Weighted Average Remaining Maturity | 11 days | 6 months 1 day | ||||
Interest Rate Swaption [Member] | Short [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 0 | $ 51,355,000 | ||||
Fair Value | $ 0 | $ 1,414,000 | ||||
Weighted Average Remaining Maturity | 11 days | 5 months 25 days | ||||
Interest Rate Swaption [Member] | Short [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 29,893,000 | |||||
Fair Value | $ 938,000 | |||||
Weighted Average Remaining Maturity | 6 months 23 days | |||||
Interest Rate Swaption [Member] | Short [Member] | Fixed Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 10,660,000 | $ 0 | ||||
Fair Value | $ (9,106,000) | $ 2,353,000 | ||||
Weighted Average Remaining Maturity | 4 months 9 days | 2 months 9 days | ||||
Interest Rate Swaption [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 9,260,000 | $ 0 | ||||
Fair Value | $ (5,257,000) | $ 2,353,000 | ||||
Weighted Average Remaining Maturity | 3 years 9 months 9 days | 2 months 9 days | ||||
Interest Rate Swaption [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 1,400,000 | |||||
Fair Value | $ (3,849,000) | |||||
Weighted Average Remaining Maturity | 7 months 24 days |
Derivative Instruments and He93
Derivative Instruments and Hedging Activities Schedule of Total Return Swaps (Details) - USD ($) | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||||||
Notional | $ 24,113,321,000 | $ 16,988,116,000 | $ 18,802,500,000 | $ 22,062,904,000 | $ 26,141,370,000 | $ 21,998,381,000 |
Total Return Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 65,895,000 | 90,593,000 | ||||
Fair Value | 393,000 | (17,000) | ||||
Cost Basis | 567,000 | 686,000 | ||||
Derivative, Unrealized Gains (Losses) | (174,000) | (703,000) | ||||
Total Return Swap [Member] | Maturity Date, 1/12/2043 [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 25,262,150 | 45,083,136 | ||||
Fair Value | 124,000 | (5,000) | ||||
Cost Basis | 201,000 | 320,000 | ||||
Derivative, Unrealized Gains (Losses) | (77,000) | (325,000) | ||||
Total Return Swap [Member] | Maturity Date, 1/12/2044 [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 40,633,058 | 45,509,532 | ||||
Fair Value | 269,000 | (12,000) | ||||
Cost Basis | 366,000 | 366,000 | ||||
Derivative, Unrealized Gains (Losses) | $ (97,000) | $ (378,000) |
Derivative Instruments and He94
Derivative Instruments and Hedging Activities Credit Risk - Counterparty Exposure (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Offsetting Assets and Liabilities [Line Items] | ||
Derivative assets, at fair value | $ 238,305 | $ 324,182 |
Derivative liabilities, at fair value | 11,312 | $ 12,501 |
Collateral cash deposits received from counterparties | (2,789) | |
Collateral cash deposits placed in accounts maintained by counterparties | $ 167,629 |
Derivative Instruments and He95
Derivative Instruments and Hedging Activities Schedule of Inverse Interest-Only Securities Reconciliation (Details) - USD ($) | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Derivatives, Fair Value [Line Items] | ||||||
Accrued interest receivable | $ 85,445,000 | $ 62,751,000 | ||||
Face Value | 24,113,321,000 | $ 16,988,116,000 | 18,802,500,000 | $ 22,062,904,000 | $ 26,141,370,000 | $ 21,998,381,000 |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Fair Value | 238,305,000 | 324,182,000 | ||||
Face Value | 20,122,892,000 | 21,708,907,000 | ||||
Inverse Interest-Only Securities [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Fair Value | 102,235,000 | 127,843,000 | ||||
Accrued interest receivable | 950,000 | 1,244,000 | ||||
Face Value | 621,548,978 | 740,844,023 | ||||
Unamortized premium | 0 | 0 | ||||
Designated credit reserve | 0 | 0 | ||||
Net, unamortized | (529,809,000) | (631,082,000) | ||||
Amortized Cost | 91,740,000 | 109,762,000 | ||||
Gross unrealized gains | 11,121,000 | 18,389,000 | ||||
Gross unrealized losses | (1,577,000) | (1,552,000) | ||||
Market Value | 101,284,000 | 126,599,000 | ||||
Inverse Interest-Only Securities [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Face Value | $ 621,548,978 | $ 740,844,023 |
Other Assets (Details)
Other Assets (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Other Assets [Abstract] | ||||
Property and equipment at cost | $ 6,754 | $ 6,754 | $ 6,481 | |
Accumulated depreciation | (5,342) | (5,342) | (4,566) | |
Net property and equipment | 1,412 | 1,412 | 1,915 | |
Prepaid expenses | 2,083 | 2,083 | 1,406 | |
Income taxes receivable | 120 | 120 | 1,532 | |
Deferred tax assets, net | 45,880 | 45,880 | 57,361 | |
Servicing advances | 20,658 | 20,658 | 26,147 | |
Federal Home Loan Bank stock | 85,175 | 85,175 | 167,856 | |
Equity investments | 3,000 | 3,000 | 3,000 | |
Other receivables | 48,632 | 48,632 | 43,653 | |
Other assets | 206,960 | 206,960 | 302,870 | |
Depreciation of fixed assets | 226 | 776 | $ 981 | |
Valuation allowance on deferred tax assets | $ 4,300 | $ 4,300 | $ 0 |
Other Liabilities (Details)
Other Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Other Liabilities [Abstract] | ||
Accrued expenses | $ 28,392 | $ 28,944 |
Accrued interest payable | 62,732 | 29,505 |
Income taxes payable | 142 | 0 |
Other | 17,609 | 21,127 |
Other liabilities | $ 108,875 | $ 79,576 |
Fair Value, Measurement Inputs,
Fair Value, Measurement Inputs, Disclosure (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale Securities Categorized as Level 2 Assets | 99.43917% | |||||
Available-for-sale Securities Categorized as Level 3 Assets | 0.60% | |||||
Assets Reported at Fair Value, Available-for-sale Securities | 82.70% | |||||
Mortgage Servicing Rights Categorized as Level 3 Assets | 100.00% | |||||
Mortgage Loans Held-for-investment Categorized as Level 2 Assets | 100.00% | |||||
Mortgage Loans Held-for-sale Categorized as Level 2 Assets | 1.50% | |||||
Mortgage Loans Held-for-sale Categorized as Level 3 Assets | 98.50% | |||||
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% | |||||
Collateralized Borrowings in Securitization Trusts Categorized as Level 2 Liabilities | 100.00% | |||||
Mortgage servicing rights | $ 930,613 | $ 898,025 | $ 693,815 | $ 455,629 | $ 427,813 | $ 493,688 |
Derivative assets, at fair value | 238,305 | 324,182 | ||||
Derivative liabilities, at fair value | 11,312 | 12,501 | ||||
Fair Value, Measurements, Recurring [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale securities | 20,199,094 | 13,128,857 | ||||
Mortgage servicing rights | 930,613 | 693,815 | ||||
Residential mortgage loans held-for-investment in securitization trusts | 3,031,191 | 3,271,317 | ||||
Residential mortgage loans held-for-sale | 31,197 | 40,146 | ||||
Derivative assets, at fair value | 238,305 | 324,182 | ||||
Total assets | 24,430,400 | 17,458,317 | ||||
Collateralized borrowings in securitization trusts | 2,785,413 | 3,037,196 | ||||
Derivative liabilities, at fair value | 11,312 | 12,501 | ||||
Total liabilities | 2,796,725 | 3,049,697 | ||||
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 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Residential mortgage loans held-for-investment in securitization trusts | 0 | 0 | ||||
Residential mortgage loans held-for-sale | 0 | 0 | ||||
Derivative assets, at fair value | 5,703 | 4,294 | ||||
Total assets | 5,703 | 4,294 | ||||
Collateralized borrowings in securitization trusts | 0 | 0 | ||||
Derivative liabilities, at fair value | 0 | 10,344 | ||||
Total liabilities | 0 | 10,344 | ||||
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 | 20,085,812 | 13,128,857 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Residential mortgage loans held-for-investment in securitization trusts | 3,031,191 | 3,271,317 | ||||
Residential mortgage loans held-for-sale | 470 | 925 | ||||
Derivative assets, at fair value | 232,602 | 319,888 | ||||
Total assets | 23,350,075 | 16,720,987 | ||||
Collateralized borrowings in securitization trusts | 2,785,413 | 3,037,196 | ||||
Derivative liabilities, at fair value | 11,312 | 2,157 | ||||
Total liabilities | 2,796,725 | 3,039,353 | ||||
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 | 113,282 | 0 | ||||
Mortgage servicing rights | 930,613 | 693,815 | ||||
Residential mortgage loans held-for-investment in securitization trusts | 0 | 0 | ||||
Residential mortgage loans held-for-sale | 30,727 | 39,221 | ||||
Derivative assets, at fair value | 0 | 0 | ||||
Total assets | 1,074,622 | 733,036 | ||||
Collateralized borrowings in securitization trusts | 0 | 0 | ||||
Derivative liabilities, at fair value | 0 | 0 | ||||
Total liabilities | $ 0 | $ 0 |
Fair Value, Assets Measured on
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2017 | Sep. 30, 2017 | |
Available-for-sale Securities [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning of period level 3 fair value | $ 0 | $ 0 |
Realized (losses) gains | 0 | 0 |
Unrealized (losses) gains | 0 | 0 |
Total gains (losses) included in net income | 0 | 0 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Other Comprehensive Income (Loss) | 282 | 282 |
Purchases | 113,000 | 113,000 |
Sales | 0 | 0 |
Settlements | 0 | 0 |
Gross transfers into level 3 | 0 | 0 |
Gross transfers out of level 3 | 0 | 0 |
End of period level 3 fair value | 113,282 | 113,282 |
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | 282 | 282 |
Servicing Contracts [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning of period level 3 fair value | 898,025 | 693,815 |
Realized (losses) gains | (29,092) | (67,357) |
Unrealized (losses) gains | (154) | (23,083) |
Total gains (losses) included in net income | (29,246) | (90,440) |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Other Comprehensive Income (Loss) | 0 | 0 |
Purchases | 66,280 | 340,176 |
Sales | (497) | (132) |
Settlements | (4,943) | (12,806) |
Gross transfers into level 3 | 0 | 0 |
Gross transfers out of level 3 | 0 | 0 |
End of period level 3 fair value | 930,613 | 930,613 |
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | (154) | (23,551) |
Loans Receivable [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning of period level 3 fair value | 31,460 | 39,221 |
Realized (losses) gains | 145 | 1,833 |
Unrealized (losses) gains | 284 | 446 |
Total gains (losses) included in net income | 429 | 2,279 |
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Other Comprehensive Income (Loss) | 0 | 0 |
Purchases | 0 | 569 |
Sales | 0 | (3,717) |
Settlements | (1,162) | (7,625) |
Gross transfers into level 3 | 0 | 0 |
Gross transfers out of level 3 | 0 | 0 |
End of period level 3 fair value | 30,727 | 30,727 |
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | $ 295 | $ 750 |
Fair Value, Quantitative Inform
Fair Value, Quantitative Information about Level 3 Fair Value Measurements (Details) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Constant prepayment speed | 10.80% | 9.20% |
Delinquency | 1.70% | 1.90% |
Discount rate | 9.90% | 9.40% |
Minimum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Constant prepayment speed | 9.20% | |
Delinquency | 1.40% | |
Discount rate | 8.60% | |
Maximum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Constant prepayment speed | 12.20% | |
Delinquency | 2.00% | |
Discount rate | 11.00% |
Fair Value, Option, Quantitativ
Fair Value, Option, Quantitative Disclosures (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | $ 16,010 | $ 18,312 | $ 40,092 | $ 60,050 |
Change in fair value due to credit risk | (400) | 145 | (1,281) | 209 |
Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 2,474 | (237) | 3,559 | (1,394) |
Loans Held-for-Investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 44,535 | 58,123 | 137,888 | 164,502 |
Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 834 | 7,208 | 3,529 | 36,817 |
Change in fair value due to credit risk | (400) | 145 | (1,281) | 209 |
Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | (31,833) | (46,782) | (104,884) | (139,875) |
Interest Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 4,091 | 14,451 | 13,935 | 49,457 |
Interest Income [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | (2,283) | (249) | (5,565) | (132) |
Interest Income [Member] | Loans Held-for-Investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 29,865 | 33,495 | 92,319 | 100,765 |
Interest Income [Member] | Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 479 | 7,627 | 1,380 | 19,789 |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 4,757 | 12 | 9,124 | (1,262) |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 4,757 | 12 | 9,124 | (1,262) |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Loans Held-for-Investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 0 | 0 | 0 | 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] | ||||
Total included in net income | 0 | 0 | 0 | 0 |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 0 | 0 | 0 | 0 |
Interest Expense [Member] | Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | (23,970) | (26,422) | (74,199) | (70,965) |
Gain (Loss) on Residential Mortgage Loans Held-for-Sale [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 355 | (419) | 2,149 | 17,028 |
Gain (Loss) on Residential Mortgage Loans Held-for-Sale [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 0 | 0 | 0 | 0 |
Gain (Loss) on Residential Mortgage Loans Held-for-Sale [Member] | Loans Held-for-Investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 0 | 0 | 0 | 0 |
Gain (Loss) on Residential Mortgage Loans Held-for-Sale [Member] | Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 355 | (419) | 2,149 | 17,028 |
Gain (Loss) on Residential Mortgage Loans Held-for-Sale [Member] | Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 0 | 0 | 0 | 0 |
Other Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 6,807 | 4,268 | 14,884 | (5,173) |
Other Income [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 0 | 0 | 0 | 0 |
Other Income [Member] | Loans Held-for-Investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 14,670 | 24,628 | 45,569 | 63,737 |
Other Income [Member] | Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 0 | 0 | 0 | 0 |
Other Income [Member] | Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | $ (7,863) | $ (20,360) | $ (30,685) | $ (68,910) |
Fair Value Schedule of Financin
Fair Value Schedule of Financing Receivables, Non Accrual Status (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Dec. 31, 2015 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-investment in securitization trusts, at fair value | $ 3,031,191 | $ 3,271,317 | ||
Residential mortgage loans held-for-sale, at fair value | 31,197 | 40,146 | $ 723,174 | $ 811,431 |
Collateralized borrowings in securitization trusts, at fair value | 2,785,413 | 3,037,196 | ||
Loans Held-for-Investment, Residential Mortgages, Unpaid Principal [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 2,948,349 | 3,234,044 | ||
Nonaccrual loans | 2,812 | 2,373 | ||
Loans 90 days past due | 1,618 | 1,401 | ||
Loans Held-for-Investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 3,031,191 | 3,271,317 | ||
Nonaccrual loans | 2,892 | 2,408 | ||
Loans 90 days past due | 1,666 | 1,419 | ||
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 | 38,765 | 49,986 | ||
Nonaccrual loans | 14,257 | 25,445 | ||
Loans 90 days past due | 11,180 | 21,759 | ||
Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-sale, at fair value | 31,197 | 40,146 | ||
Nonaccrual loans | 11,775 | 21,162 | ||
Loans 90 days past due | 9,047 | 18,203 | ||
Collateralized Borrowings, Unpaid Principal [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Collateralized borrowings in securitization trusts, at fair value | 2,732,694 | 3,015,162 | ||
Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Collateralized borrowings in securitization trusts, at fair value | $ 2,785,413 | $ 3,037,196 |
Fair Value of Financial Instrum
Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | $ 18,297,392 | $ 9,316,351 |
Long-term Federal Home Loan Bank Advances | 1,998,762 | |
Maturity Over One Year [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | $ 1,440,855 | $ 185,634 |
Fair Value by Balance Sheet Gro
Fair Value by Balance Sheet Grouping (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Available-for-sale securities, at fair value | $ 20,199,094 | $ 13,128,857 | ||||
Commercial real estate assets | 2,171,344 | $ 1,782,749 | 1,412,543 | $ 1,114,548 | $ 926,377 | $ 660,953 |
Commercial real estate assets, at fair value | 2,187,721 | 1,411,733 | ||||
Mortgage servicing rights, at fair value | 930,613 | $ 898,025 | 693,815 | 455,629 | $ 427,813 | 493,688 |
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 3,031,191 | 3,271,317 | ||||
Residential mortgage loans held-for-sale, at fair value | 31,197 | 40,146 | 723,174 | 811,431 | ||
Cash and cash equivalents | 539,367 | 406,883 | ||||
Restricted cash | 343,813 | 408,312 | $ 264,872 | $ 262,562 | ||
Derivative assets, at fair value | 238,305 | 324,182 | ||||
Federal Home Loan Bank stock | 85,175 | 167,856 | ||||
Equity investments | 3,000 | 3,000 | ||||
Repurchase agreements | 18,297,392 | 9,316,351 | ||||
Collateralized borrowings in securitization trusts, at fair value | 2,785,413 | 3,037,196 | ||||
Federal Home Loan Bank advances | 1,998,762 | 4,000,000 | ||||
Revolving credit facilities | 40,000 | 70,000 | ||||
Convertible senior notes | 282,543 | 0 | ||||
Convertible senior notes, at fair value | 306,906 | 0 | ||||
Derivative liabilities, at fair value | 11,312 | 12,501 | ||||
Federal Home Loan Bank of Des Moines [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Federal Home Loan Bank stock | 85,176 | 167,856 | ||||
Federal Home Loan Bank advances | $ 1,998,762 | $ 4,000,000 |
Repurchase Agreements (Details)
Repurchase Agreements (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Disclosure of Repurchase Agreements [Abstract] | ||
Repurchase agreements | $ 18,297,392 | $ 9,316,351 |
Weighted average borrowing rate | 1.76% | 1.31% |
Weighted average remaining maturity | 154 days | 77 days |
Schedule of Repurchase Agreemen
Schedule of Repurchase Agreements by Term, Short or Long (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 18,297,392 | $ 9,316,351 |
Maturity up to One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 16,856,537 | 9,130,717 |
Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 1,440,855 | $ 185,634 |
Schedule of Repurchase Agree107
Schedule of Repurchase Agreements by Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 18,297,392 | $ 9,316,351 |
Weighted average borrowing rate | 1.76% | 1.31% |
US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 14,889,781 | $ 7,336,922 |
Weighted average borrowing rate | 1.43% | 0.94% |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 1,863,588 | $ 1,434,145 |
Weighted average borrowing rate | 2.93% | 2.60% |
Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 77,234 | $ 102,236 |
Weighted average borrowing rate | 2.10% | 1.69% |
Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 1,466,789 | $ 443,048 |
Weighted average borrowing rate | 3.56% | 3.16% |
Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 3,167,517 | $ 3,253,045 |
Maturity up to 30 days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,398,041 | 2,511,773 |
Maturity up to 30 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 746,438 | 688,667 |
Maturity up to 30 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 23,038 | 30,672 |
Maturity up to 30 days [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 21,933 |
Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,911,829 | 2,218,502 |
Maturity 30 to 59 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,583,705 | 1,786,664 |
Maturity 30 to 59 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 250,472 | 334,590 |
Maturity 30 to 59 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 51,718 | 68,257 |
Maturity 30 to 59 Days [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 25,934 | 28,991 |
Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 1,128,394 |
Maturity 60 to 89 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 1,035,806 |
Maturity 60 to 89 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 89,281 |
Maturity 60 to 89 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 3,307 |
Maturity 60 to 89 Days [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 90 to 119 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 3,298,633 | 1,444,056 |
Maturity 90 to 119 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,994,737 | 1,192,127 |
Maturity 90 to 119 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 303,896 | 251,929 |
Maturity 90 to 119 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 90 to 119 Days [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 120 to 364 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 7,478,558 | 1,086,720 |
Maturity 120 to 364 days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 6,913,298 | 810,552 |
Maturity 120 to 364 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 562,782 | 69,678 |
Maturity 120 to 364 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,478 | 0 |
Maturity 120 to 364 days [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 206,490 |
Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,440,855 | 185,634 |
Maturity Over One Year [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity Over One Year [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity Over One Year [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity Over One Year [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 1,440,855 | $ 185,634 |
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 | Sep. 30, 2017 | Dec. 31, 2016 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | $ 20,451,045 | $ 10,753,868 |
Available-for-sale Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 17,940,144 | 9,540,849 |
Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 1,997,077 | 648,885 |
Retained Interest [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 224,394 | 211,095 |
Cash and Cash Equivalents [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 14,796 | 15,000 |
Restricted Cash and Cash Equivalents [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 149,845 | 162,759 |
Due From Correspondent Brokers [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 23,602 | 48,939 |
Derivative Financial Instruments, Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | $ 101,187 | $ 126,341 |
Schedule of Repurchase Agree109
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity (Details) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017USD ($) | Dec. 31, 2016USD ($) | |
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | $ 18,297,392 | $ 9,316,351 |
Net Counterparty Exposure | 2,152,142 | 1,435,401 |
Payables due to broker counterparties for unsettled securities purchases | 17,900 | 0 |
Repurchase Agreement Counterparty, JPMorgan Chase Bank [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | 1,950,484 | 605,768 |
Net Counterparty Exposure | $ 264,974 | $ 174,197 |
Percent of Equity | 6.00% | 5.00% |
Weighted Average Days to Maturity | 219 days | 110 days |
Repurchase Agreement Counterparty, All Other Counterparties [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | $ 16,346,908 | $ 8,710,583 |
Net Counterparty Exposure | $ 1,887,168 | $ 1,261,204 |
Percent of Equity | 46.00% | 37.00% |
Weighted Average Days to Maturity | 147 days | 75 days |
Number of repurchase agreement counterparties with whom amount at risk is less than 10 percent of stockholders' equity | 24 | 22 |
Collateralized Borrowings in110
Collateralized Borrowings in Securitization Trusts, at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Collateralized Borrowings in Securitization Trusts [Abstract] | ||
Collateralized borrowings in securitization trusts, at fair value | $ 2,785,413 | $ 3,037,196 |
Weighted average interest rate | 3.40% | 3.40% |
Federal Home Loan Bank of De111
Federal Home Loan Bank of Des Moines Advances (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
Federal Home Loan Bank advances | $ 1,998,762 | $ 4,000,000 |
Available uncommitted capacity for borrowings | $ 1,402,350 | 0 |
Maximum percent of FHLB advances to total assets | 40.00% | |
Federal Home Loan Bank of Des Moines [Member] | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
Federal Home Loan Bank advances | $ 1,998,762 | $ 4,000,000 |
Weighted average borrowing rate | 1.56% | 0.85% |
Schedule of Maturities of Feder
Schedule of Maturities of Federal Home Loan Bank Advances (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | $ 1,998,762 | $ 4,000,000 |
Maturity Within One Year [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 651,238 |
Maturity One to Three Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 815,024 | 815,024 |
Maturity Three to Five Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 0 |
Maturity One to Two Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 0 |
Maturity Over Two Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | $ 1,183,738 | $ 2,533,738 |
Schedule of Underlying Asset113
Schedule of Underlying Assets of Federal Home Loan Bank Advances (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Assets pledged as collateral for Federal Home Loan Bank advances | $ 2,084,590 | $ 4,287,485 |
Federal Home Loan Bank stock | 85,175 | 167,856 |
Federal Home Loan Bank of Des Moines [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank stock | 85,176 | 167,856 |
Available-for-sale Securities [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Assets pledged as collateral for Federal Home Loan Bank advances | 2,048,924 | 3,576,481 |
Commercial Real Estate Assets [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Assets pledged as collateral for Federal Home Loan Bank advances | 33,626 | 708,989 |
Retained Interest [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Assets pledged as collateral for Federal Home Loan Bank advances | $ 2,040 | $ 2,015 |
Revolving Credit Facilities (De
Revolving Credit Facilities (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Revolving Credit Facilities [Abstract] | ||
Revolving credit facilities | $ 40,000 | $ 70,000 |
Weighted average borrowing rate | 4.98% | 4.53% |
Weighted average remaining maturity | 208 days | 306 days |
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 160,635 | $ 180,948 |
Convertible Senior Notes (Detai
Convertible Senior Notes (Details) $ in Thousands | Nov. 01, 2017 | Sep. 30, 2017USD ($) | Dec. 31, 2016USD ($) |
Debt Instrument, Redemption [Line Items] | |||
Proceeds from convertible senior notes | $ 282,185 | ||
Convertible senior notes maturity date | Jan. 15, 2022 | ||
Convertible senior notes conversion ratio | 0.0502537 | ||
Convertible senior notes | $ 282,543 | $ 0 | |
Convertible Debt [Member] | |||
Debt Instrument, Redemption [Line Items] | |||
Convertible senior notes aggregate principal amount | $ 287,500 | ||
Convertible senior notes interest rate per annum | 6.25% | ||
Over-Allotment Option [Member] | Convertible Debt [Member] | |||
Debt Instrument, Redemption [Line Items] | |||
Convertible senior notes aggregate principal amount | $ 37,500 | ||
Subsequent Event [Member] | |||
Debt Instrument, Redemption [Line Items] | |||
Reverse stock split, conversion ratio | 0.50 |
Equity Preferred Stock (Details
Equity Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands | 1 Months Ended | 9 Months Ended | ||
Jul. 19, 2017 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Class of Stock [Line Items] | ||||
Preferred stock par value per share (in usd per share) | $ 0.01 | $ 0.01 | ||
Proceeds from issuance of preferred stock, net of offering costs | $ 416,966 | $ 0 | ||
Series A Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Preferred stock dividend rate | 8.125% | |||
Preferred stock par value per share (in usd per share) | $ 0.01 | |||
Preferred stock public offering price per share (in usd per share) | 25 | |||
Preferred stock liquidation preference per share (in usd per share) | $ 25 | |||
Preferred stock dividend variable rate spread | 5.66% | |||
Preferred stock redemption price per share (in usd per share) | $ 25 | |||
Proceeds from issuance of preferred stock, net of offering costs | $ 138,872 | |||
Series A Preferred Stock | Public Offering [Member] | ||||
Class of Stock [Line Items] | ||||
Number of shares of preferred stock issued during period (in shares) | 5,000,000 | |||
Series A Preferred Stock | Over-Allotment Option [Member] | ||||
Class of Stock [Line Items] | ||||
Number of shares of preferred stock issued during period (in shares) | 750,000 | |||
Series B Preferred Stock | ||||
Class of Stock [Line Items] | ||||
Number of shares of preferred stock issued during period (in shares) | 11,500,000 | |||
Preferred stock dividend rate | 7.625% | |||
Preferred stock par value per share (in usd per share) | $ 0.01 | |||
Preferred stock public offering price per share (in usd per share) | 25 | |||
Preferred stock liquidation preference per share (in usd per share) | $ 25 | |||
Preferred stock dividend variable rate spread | 5.352% | |||
Preferred stock redemption price per share (in usd per share) | $ 25 | |||
Proceeds from issuance of preferred stock, net of offering costs | $ 278,094 | |||
Series B Preferred Stock | Over-Allotment Option [Member] | ||||
Class of Stock [Line Items] | ||||
Number of shares of preferred stock issued during period (in shares) | 1,500,000 |
Equity Reverse Stock Split (Det
Equity Reverse Stock Split (Details) | Nov. 01, 2017shares | Oct. 31, 2017shares | Sep. 30, 2017shares | Dec. 31, 2016shares |
Subsequent Event [Line Items] | ||||
Common shares authorized (in shares) | 450,000,000 | 450,000,000 | ||
Subsequent Event [Member] | ||||
Subsequent Event [Line Items] | ||||
Reverse stock split, conversion ratio | 0.50 | |||
Common shares authorized (in shares) | 450,000,000 | 900,000,000 |
Equity Schedule of Dividends De
Equity Schedule of Dividends Declared (Details) - $ / shares | Nov. 01, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 |
Class of Stock [Line Items] | ||||||||
Dividends declared per common share (in usd per share) | $ 0.52 | $ 0.46 | $ 1.54 | $ 1.38 | ||||
Granite Point Mortgage Trust Inc. [Member] | ||||||||
Class of Stock [Line Items] | ||||||||
Dividends declared per common share (in usd per share) | $ 0.32 | |||||||
Series A Preferred Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Declaration Date | Sep. 14, 2017 | Jun. 15, 2017 | ||||||
Record Date | Oct. 12, 2017 | Jul. 12, 2017 | ||||||
Payment Date | Oct. 27, 2017 | Jul. 27, 2017 | ||||||
Dividends declared per preferred share (in usd per share) | $ 0.50781 | $ 0.75043 | ||||||
Series B Preferred Stock | ||||||||
Class of Stock [Line Items] | ||||||||
Declaration Date | Sep. 14, 2017 | |||||||
Record Date | Oct. 12, 2017 | |||||||
Payment Date | Oct. 27, 2017 | |||||||
Dividends declared per preferred share (in usd per share) | $ 0.51892 | |||||||
Common Stock [Member] | ||||||||
Class of Stock [Line Items] | ||||||||
Declaration Date | Sep. 14, 2017 | Jun. 15, 2017 | Mar. 14, 2017 | Dec. 15, 2016 | Sep. 15, 2016 | |||
Record Date | Sep. 29, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 30, 2016 | Sep. 30, 2016 | |||
Payment Date | Oct. 27, 2017 | Jul. 27, 2017 | Apr. 27, 2017 | Jan. 27, 2017 | Oct. 20, 2016 | |||
Dividends declared per common share (in usd per share) | $ 0.52 | $ 0.52 | $ 0.5 | $ 0.48 | $ 0.46 | |||
Subsequent Event [Member] | ||||||||
Class of Stock [Line Items] | ||||||||
Number of shares of common stock of Granite Point Mortgage Trust Inc distributed via special dividend (in shares) | 33,100,000 |
Equity Dividend Reinvestment an
Equity Dividend Reinvestment and Direct Stock Purchase Plan (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Equity [Abstract] | ||||
Number of common shares reserved for issuance under dividend reinvestment plan (in shares) | 3,750,000 | 3,750,000 | ||
Number of common shares issued from dividend reinvestment plan and outstanding as of period-end (in shares) | 191,635 | 191,635 | ||
Accumulated proceeds from issuance of common shares from dividend reinvestment plan | $ 3,845 | $ 3,845 | ||
Number of common shares issued during period from dividend reinvestment plan (in shares) | 6,469 | 7,310 | 19,688 | 21,882 |
Proceeds from issuance of common shares during period from dividend reinvestment plan | $ 129 | $ 129 | $ 384 | $ 356 |
Equity Share Repurchase Program
Equity Share Repurchase Program (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Equity [Abstract] | ||||
Number of shares authorized to be repurchased under stock repurchase program (in shares) | 37,500,000 | 37,500,000 | ||
Number of shares repurchased and retired to date (in shares) | 12,067,500 | 12,067,500 | ||
Cost of shares repurchased and retired to date | $ 200,375 | $ 200,375 | ||
Repurchase of common stock (in shares) | 0 | 0 | 0 | (4,010,000) |
Repurchase of common stock | $ 0 | $ 0 | $ 0 | $ (61,307) |
Equity At-the-Market Offering (
Equity At-the-Market Offering (Details) $ in Thousands | Sep. 30, 2017USD ($)shares |
Equity [Abstract] | |
Number of shares authorized to be sold under equity distribution agreement (in shares) | 10,000,000 |
Number of common shares issued under equity distribution agreement and outstanding as of period-end (in shares) | 3,792,935 |
Accumulated proceeds from issuance of common shares under equity distribution agreement | $ | $ 77,603 |
Equity Schedule of Accumulated
Equity Schedule of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Schedule of Available-for-sale Securities [Line Items] | ||
Accumulated other comprehensive income | $ 423,042 | $ 199,227 |
Collateralized Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Unrealized gains | 508,607 | 393,555 |
Unrealized losses | $ (85,565) | $ (194,328) |
Equity Reclassifications out of
Equity Reclassifications out of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Realized gains on sales of certain AFS securities, net of tax | $ (5,618) | $ (28,290) | $ 15,485 | $ (66,095) |
Amounts reclassified from accumulated other comprehensive income (loss) | 4,220 | (29,381) | (7,815) | (52,830) |
Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Other-than-temporary impairments on AFS securities | 0 | 1,015 | 429 | 1,822 |
Realized gains on sales of certain AFS securities, net of tax | $ 4,220 | $ (30,396) | $ 7,386 | $ (54,652) |
Equity Noncontrolling Interest
Equity Noncontrolling Interest (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Jun. 30, 2017 | Sep. 30, 2017 | Sep. 30, 2016 | Jun. 28, 2017 | |
Equity [Abstract] | |||||
Shares of Granite Point Mortgage Trust Inc. common stock received in exchange for contribution (in shares) | 33,100,000 | ||||
Ownership percentage in Granite Point Mortgage Trust Inc. | 76.50% | ||||
Shares issued by Granite Point Mortgage Trust Inc. in initial public offering (in shares) | 10,000,000 | ||||
Price per share issued by Granite Point Mortgage Trust Inc. in initial public offering (in usd per share) | $ 19.50 | ||||
Gross proceeds received by Granite Point Mortgage Trust Inc. in initial public offering | $ 181,900 | ||||
Net proceeds received by Granite Point Mortgage Trust Inc. in initial public offering | 195,000 | ||||
Issuance costs incurred by Granite Point Mortgage Trust Inc. in initial public offering | 13,100 | ||||
Maximum amount of Granite Point Mortgage Trust Inc. share value that may be purchased by Two Harbors Investment Corp. | $ 20,000 | ||||
Acquisition of noncontrolling interests (in shares) | 285,662 | ||||
Acquisition of noncontrolling interests | $ 5,445 | $ 5,445 | $ 0 |
Equity Incentive Plan (Details)
Equity Incentive Plan (Details) - Second Restated 2009 Equity Incentive Plan [Member] - $ / shares | 9 Months Ended | |
Sep. 30, 2017 | Sep. 30, 2016 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 671,845 | 1,009,630 |
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ 17.60 | $ 15.11 |
Award vesting period of restricted common shares granted during period under equity incentive plan | 3 years | |
Director [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 34,559 | 40,869 |
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ 19.82 | $ 16.86 |
Key Employees [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 637,286 | 968,761 |
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ 17.48 | $ 15.04 |
Common stock share price (in usd per share) | $ 20.16 |
Equity Incentive Plan Schedule
Equity Incentive Plan Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity (Details) - Second Restated 2009 Equity Incentive Plan [Member] - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||||
Number of nonvested restricted common shares outstanding at beginning of period (in shares) | 1,319,712 | 1,145,305 | ||
Weighted average grant date fair value of nonvested restricted common shares outstanding at beginning of period (in usd per share) | $ 17.10 | $ 20.73 | ||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 671,845 | 1,009,630 | ||
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ 17.60 | $ 15.11 | ||
Number of restricted common shares vested during period (in shares) | (645,325) | (604,557) | ||
Weighted average grant date fair value of restricted common shares vested during period (in usd per share) | $ (17.90) | $ (20.39) | ||
Number of restricted common shares forfeited during period (in shares) | (22,789) | (150,609) | ||
Weighted average grant date fair value of restricted common shares forfeited during period (in usd per share) | $ (17.90) | $ (17.01) | ||
Number of nonvested restricted common shares outstanding at end of period (in shares) | 1,323,443 | 1,399,769 | 1,323,443 | 1,399,769 |
Weighted average grant date fair value of nonvested restricted common shares outstanding at end of period (in usd per share) | $ 16.95 | $ 17.23 | $ 16.95 | $ 17.23 |
Compensation costs related to restricted common stock | $ 3,488 | $ 3,468 | $ 11,700 | $ 11,223 |
Equity Incentive Plan Granite P
Equity Incentive Plan Granite Point Mortgage Trust Inc. Equity Incentive Plan (Details) - Granite Point Mortgage Trust Inc. 2017 Equity Incentive Plan [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2017 | Sep. 30, 2017 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Compensation costs related to restricted common stock | $ 687 | $ 687 |
Director [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 14,103 | |
Key Employees [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 150,000 |
Restructuring Charges (Details)
Restructuring Charges (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Restructuring and Related Activities [Abstract] | ||||
Severance Costs | $ 0 | $ 652 | $ 0 | $ 652 |
Business Exit Costs | 0 | 519 | 0 | 519 |
Other Restructuring Costs | 0 | 18 | 0 | 18 |
Restructuring charges | $ 0 | $ 1,189 | $ 0 | $ 1,189 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |||||
Percent of REIT Taxable Income to Distribute | 100.00% | 100.00% | |||
Provision for (benefit from) income taxes | $ (5,344) | $ (16,827) | $ (21,103) | $ (26,138) | |
Valuation allowance on deferred tax assets | $ 4,300 | $ 4,300 | $ 0 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Earnings Per Share [Abstract] | ||||
Net income | $ 104,738 | $ 117,786 | $ 185,381 | $ 11,875 |
Net income attributable to noncontrolling interest | 2,674 | 0 | 2,714 | 0 |
Net income attributable to Two Harbors Investment Corp. | 102,064 | 117,786 | 182,667 | 11,875 |
Dividends on preferred stock | 8,888 | 0 | 13,173 | 0 |
Net income attributable to common stockholders - basic | 93,176 | 117,786 | 169,494 | 11,875 |
Interest expense attributable to convertible notes | 4,727 | 0 | 0 | 0 |
Net income attributable to common stockholders - diluted | $ 97,903 | $ 117,786 | $ 169,494 | $ 11,875 |
Weighted average common shares outstanding (in shares) | 173,162,988 | 172,372,459 | 173,022,717 | 172,545,883 |
Weighted average restricted stock shares (in shares) | 1,325,308 | 1,441,154 | 1,392,515 | 1,563,234 |
Weighted average basic common shares outstanding (in shares) | 174,488,296 | 173,813,613 | 174,415,232 | 174,109,117 |
Effect of dilutive shares issued in an assumed conversion (in shares) | 14,419,060 | 0 | 0 | 0 |
Weighted average diluted common shares outstanding (in shares) | 188,907,356 | 173,813,613 | 174,415,232 | 174,109,117 |
Basic earnings per weighted average common share (in usd per share) | $ 0.53 | $ 0.68 | $ 0.97 | $ 0.07 |
Diluted earnings per weighted average common share (in usd per share) | $ 0.52 | $ 0.68 | $ 0.97 | $ 0.07 |
Interest expense attributable to antidilutive convertible notes excluded from computation of earnings per share | $ 13,100 | |||
Antidilutive convertible notes excluded from computation of earnings per share (in shares) | 13,447,072 |
Schedule of Related Party Trans
Schedule of Related Party Transactions, by Related Party (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Related Party Transaction [Line Items] | ||||
Management fees | $ 13,276 | $ 11,387 | $ 36,518 | $ 35,268 |
PRCM Advisers LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Management fees | 10,147 | 11,387 | $ 33,284 | 35,268 |
Percent per annum of equity used to calculate management fees | 1.50% | |||
Direct and allocated costs incurred by manager | 4,790 | 6,259 | $ 18,775 | 19,086 |
Pine River Capital Management L.P. [Member] | ||||
Related Party Transaction [Line Items] | ||||
Management fees | 3,234 | |||
Percent per annum of equity used to calculate management fees | 1.50% | |||
Second Restated 2009 Equity Incentive Plan [Member] | ||||
Related Party Transaction [Line Items] | ||||
Compensation costs related to restricted common stock | 3,488 | $ 3,468 | $ 11,700 | $ 11,223 |
Granite Point Mortgage Trust Inc. 2017 Equity Incentive Plan [Member] | ||||
Related Party Transaction [Line Items] | ||||
Compensation costs related to restricted common stock | $ 687 | $ 687 |
Subsequent Events Distribution
Subsequent Events Distribution of Special Dividend (Details) | Nov. 01, 2017shares |
Subsequent Event [Member] | |
Subsequent Event [Line Items] | |
Number of shares of common stock of Granite Point Mortgage Trust Inc distributed via special dividend (in shares) | 33,100,000 |
Subsequent Events Reverse Stock
Subsequent Events Reverse Stock Split (Details) | Nov. 01, 2017shares | Oct. 31, 2017shares | Sep. 30, 2017shares | Dec. 31, 2016shares |
Subsequent Event [Line Items] | ||||
Common shares authorized (in shares) | 450,000,000 | 450,000,000 | ||
Subsequent Event [Member] | ||||
Subsequent Event [Line Items] | ||||
Reverse stock split, conversion ratio | 0.50 | |||
Common shares authorized (in shares) | 450,000,000 | 900,000,000 |