Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2018 | Nov. 06, 2018 | |
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 | |
Entity Emerging Growth Company | false | |
Entity Small Business | false | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2018 | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 248,081,058 |
CONDENSED CONSOLIDATED BALANCE
CONDENSED CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
ASSETS | ||
Available-for-sale securities, at fair value | $ 25,938,916 | $ 21,220,819 |
Mortgage servicing rights, at fair value | 1,664,024 | 1,086,717 |
Residential mortgage loans held-for-sale, at fair value | 27,537 | 30,414 |
Cash and cash equivalents | 422,851 | 419,159 |
Restricted cash | 888,632 | 635,836 |
Accrued interest receivable | 85,257 | 68,309 |
Due from counterparties | 1,217,828 | 842,303 |
Derivative assets, at fair value | 403,231 | 309,918 |
Reverse repurchase agreements | 759,375 | 0 |
Other assets | 122,428 | 175,838 |
Total Assets | 31,530,079 | 24,789,313 |
Liabilities | ||
Repurchase agreements | 23,806,631 | 19,451,207 |
Federal Home Loan Bank advances | 865,024 | 1,215,024 |
Revolving credit facilities | 310,000 | 20,000 |
Convertible senior notes | 283,555 | 282,827 |
Derivative liabilities, at fair value | 797,504 | 31,903 |
Due to counterparties | 556,992 | 88,898 |
Dividends payable | 96,259 | 12,552 |
Accrued interest payable | 117,008 | 87,698 |
Other liabilities | 21,124 | 27,780 |
Total Liabilities | 26,854,097 | 21,217,889 |
Stockholders' Equity | ||
Preferred stock, par value $0.01 per share; 50,000,000 shares authorized and 40,050,000 and 29,050,000 shares issued and outstanding, respectively ($1,001,250 and $726,250 liquidation preference, respectively) | 977,550 | 702,537 |
Common stock, par value $0.01 per share; 450,000,000 shares authorized and 248,078,170 and 174,496,587 shares issued and outstanding, respectively | 2,481 | 1,745 |
Additional paid-in capital | 4,806,520 | 3,672,003 |
Accumulated other comprehensive (loss) income | (154,729) | 334,813 |
Cumulative earnings | 2,886,906 | 2,386,604 |
Cumulative distributions to stockholders | (3,842,746) | (3,526,278) |
Total Stockholders’ Equity | 4,675,982 | 3,571,424 |
Total Liabilities and Stockholders’ Equity | $ 31,530,079 | $ 24,789,313 |
CONDENSED CONSOLIDATED BALANC_2
CONDENSED CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
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 |
Preferred shares issued (in shares) | 40,050,000 | 29,050,000 |
Preferred shares outstanding (in shares) | 40,050,000 | 29,050,000 |
Preferred stock liquidation preference | $ 1,001,250 | $ 726,250 |
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) | 248,078,170 | 174,496,587 |
Common shares outstanding (in shares) | 248,078,170 | 174,496,587 |
CONDENSED CONSOLIDATED STATEMEN
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Interest income: | ||||
Available-for-sale securities | $ 230,607 | $ 163,904 | $ 604,790 | $ 449,141 |
Residential mortgage loans held-for-investment in securitization trusts | 0 | 29,865 | 0 | 92,319 |
Residential mortgage loans held-for-sale | 332 | 479 | 988 | 1,380 |
Other | 5,759 | 1,841 | 12,299 | 7,144 |
Total interest income | 236,698 | 196,089 | 618,077 | 549,984 |
Interest expense: | ||||
Repurchase agreements | 138,343 | 59,694 | 322,735 | 135,756 |
Collateralized borrowings in securitization trusts | 0 | 23,970 | 0 | 74,199 |
Federal Home Loan Bank advances | 5,301 | 10,317 | 14,655 | 30,554 |
Revolving credit facilities | 3,973 | 701 | 5,776 | 1,727 |
Convertible senior notes | 4,779 | 4,745 | 14,204 | 13,157 |
Total interest expense | 152,396 | 99,427 | 357,370 | 255,393 |
Net interest income | 84,302 | 96,662 | 260,707 | 294,591 |
Other-than-temporary impairments: | ||||
Total other-than-temporary impairment losses | (95) | 0 | (363) | (429) |
Other income (loss): | ||||
(Loss) gain on investment securities | (42,996) | 5,618 | (95,549) | (15,485) |
Servicing income | 89,618 | 57,387 | 238,473 | 148,468 |
Gain (loss) on servicing asset | 20,591 | (29,245) | 102,251 | (90,440) |
Gain (loss) on interest rate swap, cap and swaption agreements | 75,857 | (207) | 255,535 | (66,990) |
Loss on other derivative instruments | (31,463) | (18,924) | (15,735) | (66,328) |
Other income | 907 | 8,431 | 2,695 | 21,053 |
Total other income (loss) | 112,514 | 23,060 | 487,670 | (69,722) |
Expenses: | ||||
Management fees | (5,041) | 10,146 | 18,120 | 29,801 |
Servicing expenses | 16,433 | 8,560 | 42,526 | 25,154 |
Other operating expenses | 17,033 | 13,138 | 47,040 | 44,373 |
Acquisition transaction costs | 86,703 | 0 | 86,703 | 0 |
Restructuring charges | 8,238 | 0 | 8,238 | 0 |
Total expenses | 123,366 | 31,844 | 202,627 | 99,328 |
Income from continuing operations before income taxes | 73,355 | 87,878 | 545,387 | 125,112 |
Provision for (benefit from) income taxes | 37,409 | (5,342) | 35,142 | (21,100) |
Net income from continuing operations | 35,946 | 93,220 | 510,245 | 146,212 |
Income from discontinued operations, net of tax | 0 | 11,518 | 0 | 39,169 |
Net income | 35,946 | 104,738 | 510,245 | 185,381 |
Income from discontinued operations attributable to noncontrolling interest | 0 | 2,674 | 0 | 2,714 |
Net income attributable to Two Harbors Investment Corp. | 35,946 | 102,064 | 510,245 | 182,667 |
Dividends on preferred stock | 18,951 | 8,888 | 46,445 | 13,173 |
Net income attributable to common stockholders | $ 16,995 | $ 93,176 | $ 463,800 | $ 169,494 |
Basic earnings per weighted average common share: | ||||
Basic earnings from continuing operations per weighted average common share (in usd per share) | $ 0.08 | $ 0.48 | $ 2.42 | $ 0.76 |
Basic earnings from discontinued operations per weighted average common share (in usd per share) | 0 | 0.05 | 0 | 0.21 |
Basic earnings per weighted average common share (in usd per share) | 0.08 | 0.53 | 2.42 | 0.97 |
Diluted earnings per weighted average common share: | ||||
Diluted earnings from continuing operations per weighted average common share (in usd per share) | 0.08 | 0.47 | 2.28 | 0.76 |
Diluted earnings from discontinued operations per weighted average common share (in usd per share) | 0 | 0.05 | 0 | 0.21 |
Diluted earnings per weighted average common share (in usd per share) | 0.08 | 0.52 | 2.28 | 0.97 |
Dividends declared per common share (in usd per share) | $ 0.47 | $ 0.52 | $ 1.41 | $ 1.54 |
Weighted average basic common shares outstanding (in shares) | 224,399,436 | 174,488,296 | 191,846,212 | 174,415,232 |
Weighted average diluted common shares outstanding (in shares) | 224,399,436 | 188,907,356 | 209,607,146 | 174,415,232 |
Comprehensive income: | ||||
Net income | $ 35,946 | $ 104,738 | $ 510,245 | $ 185,381 |
Other comprehensive (loss) income, net of tax: | ||||
Unrealized (loss) gain on available-for-sale securities | (119,796) | 68,433 | (499,460) | 223,823 |
Other comprehensive (loss) income | (119,796) | 68,433 | (499,460) | 223,823 |
Comprehensive income | (83,850) | 173,171 | 10,785 | 409,204 |
Comprehensive income attributable to noncontrolling interest | 0 | 2,682 | 0 | 2,724 |
Comprehensive (loss) income attributable to Two Harbors Investment Corp. | (83,850) | 170,489 | 10,785 | 406,480 |
Dividends on preferred stock | 18,951 | 8,888 | 46,445 | 13,173 |
Comprehensive (loss) income attributable to common stockholders | $ (102,801) | $ 161,601 | $ (35,660) | $ 393,307 |
CONDENSED CONSOLIDATED STATEM_2
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands | Total | Preferred Stock | Common Stock | Additional Paid-in Capital | Accumulated Other Comprehensive Income (Loss) | Cumulative Earnings | Cumulative Distributions to Stockholders | Total Stockholders' Equity | Noncontrolling Interest | Preferred Stock | Preferred StockPreferred Stock | Preferred StockTotal Stockholders' Equity |
Stockholders’ equity at beginning of period at Dec. 31, 2016 | $ 0 | $ 1,738 | $ 3,661,712 | $ 199,227 | $ 2,038,033 | $ (2,499,599) | $ 3,401,111 | |||||
Noncontrolling interest at beginning of period at Dec. 31, 2016 | $ 0 | |||||||||||
Total 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 | |||||||||
Income from discontinued operations 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 (loss), net of tax | 223,823 | 223,809 | 223,809 | 10 | ||||||||
Other comprehensive income (loss), net of tax | 223,819 | |||||||||||
Contribution of TH Commercial Holdings LLC to Granite Point | (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 | 332 | 0 | 332 | 332 | $ 416,966 | $ 416,966 | $ 416,966 | |||||
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 | 12,389 | 7 | 12,382 | 12,389 | ||||||||
Stockholders’ equity at end of period at Sep. 30, 2017 | 416,966 | 1,745 | 3,660,580 | 423,042 | 2,220,700 | (2,781,469) | 3,941,564 | |||||
Noncontrolling interest at end of period at Sep. 30, 2017 | 189,817 | |||||||||||
Total equity at end of period at Sep. 30, 2017 | 4,131,381 | |||||||||||
Cumulative effect of adoption of new accounting principles | 0 | 25 | 9,918 | (9,943) | ||||||||
Stockholders’ equity at beginning of period at Dec. 31, 2017 | 3,571,424 | 702,537 | 1,745 | 3,672,003 | 334,813 | 2,386,604 | (3,526,278) | 3,571,424 | ||||
Noncontrolling interest at beginning of period at Dec. 31, 2017 | 0 | |||||||||||
Total equity at beginning of period at Dec. 31, 2017 | 3,571,424 | |||||||||||
Stockholders' equity at beginning of period, adjusted balance at Dec. 31, 2017 | 3,571,424 | 702,537 | 1,745 | 3,672,028 | 344,731 | 2,376,661 | (3,526,278) | 3,571,424 | 0 | |||
Net income attributable to Two Harbors Investment Corp. | 510,245 | 510,245 | 510,245 | |||||||||
Income from discontinued operations attributable to noncontrolling interest | 0 | |||||||||||
Net income | 510,245 | |||||||||||
Other comprehensive income (loss) before reclassifications, net of tax | (552,477) | (552,477) | (552,477) | |||||||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | 53,017 | 53,017 | 53,017 | |||||||||
Other comprehensive income (loss), net of tax | (499,460) | (499,460) | (499,460) | |||||||||
Acquisition of CYS Investments, Inc. | 1,400,114 | 726 | 1,124,388 | 1,400,114 | 275,000 | |||||||
Issuance of stock, net of offering costs | 329 | 0 | 329 | 329 | $ 13 | $ 13 | $ 13 | |||||
Preferred dividends declared | (46,445) | (46,445) | (46,445) | |||||||||
Common dividends declared | (270,023) | (270,023) | (270,023) | |||||||||
Non-cash equity award compensation | 9,785 | 10 | 9,775 | 9,785 | ||||||||
Stockholders’ equity at end of period at Sep. 30, 2018 | 4,675,982 | $ 977,550 | $ 2,481 | $ 4,806,520 | $ (154,729) | $ 2,886,906 | $ (3,842,746) | $ 4,675,982 | ||||
Noncontrolling interest at end of period at Sep. 30, 2018 | $ 0 | |||||||||||
Total equity at end of period at Sep. 30, 2018 | $ 4,675,982 |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Statement of Stockholders' Equity [Abstract] | ||
Tax benefit from (expense on) other comprehensive income before reclassifications | $ 14,890 | $ (35,708) |
Tax benefit from (expense on) on amounts reclassified from accumulated other comprehensive income | 0 | 2,722 |
Tax benefit from (expense on) other comprehensive income | $ 14,890 | $ (32,986) |
CONDENSED CONSOLIDATED STATEM_3
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | Dec. 31, 2016 | |
Cash Flows From Operating Activities: | ||||
Net income from continuing operations | $ 510,245 | $ 146,212 | ||
Adjustments to reconcile net income from continuing operations to net cash provided by operating activities: | ||||
Amortization of premiums and discounts on investment securities, net | 73,441 | 45,500 | ||
Amortization of deferred debt issuance costs on convertible senior notes | 728 | 429 | ||
Other-than-temporary impairment losses | 363 | 429 | ||
Realized and unrealized losses on investment securities | 96,842 | 15,485 | ||
(Gain) loss on servicing asset | (102,251) | 90,440 | ||
Gain on residential mortgage loans held-for-sale | (851) | (2,149) | ||
Gain on residential mortgage loans held-for-investment and collateralized borrowings in securitization trusts | 0 | (14,884) | ||
Realized and unrealized (gain) loss on interest rate swaps, caps and swaptions | (221,649) | 56,123 | ||
Unrealized loss on other derivative instruments | 27,457 | 37,586 | ||
Equity based compensation | 9,785 | 11,703 | ||
Depreciation of fixed assets | 504 | 776 | ||
Excess consideration in the acquisition of CYS Investments, Inc. | 77,602 | 0 | ||
Purchases of residential mortgage loans held-for-sale | 0 | (567) | ||
Proceeds from sales of residential mortgage loans held-for-sale | 0 | 3,708 | ||
Proceeds from repayment of residential mortgage loans held-for-sale | 3,325 | 5,019 | ||
Net change in assets and liabilities: | ||||
Decrease (increase) in accrued interest receivable | 13,698 | (20,653) | ||
Decrease (increase) in deferred income taxes, net | 35,094 | (21,505) | ||
(Increase) decrease in income taxes receivable | (460) | 1,411 | ||
Decrease (increase) in prepaid and fixed assets | 7,367 | (251) | ||
(Increase) decrease in other receivables | (9,136) | 10,244 | ||
Decrease in servicing advances | 4,916 | 5,489 | ||
Increase in accrued interest payable | 1,823 | 31,551 | ||
Increase in income taxes payable | 4 | 142 | ||
Decrease in accrued expenses and other liabilities | (7,481) | (11,753) | ||
Net cash provided by operating activities of discontinued operations | 0 | 28,280 | ||
Net cash provided by operating activities | 521,366 | 418,765 | ||
Cash Flows From Investing Activities: | ||||
Purchases of available-for-sale securities | (6,319,252) | (13,677,423) | ||
Proceeds from sales of available-for-sale securities | 9,156,686 | 5,726,616 | ||
Principal payments on available-for-sale securities | 1,792,168 | 1,075,961 | ||
Purchases of mortgage servicing rights, net of purchase price adjustments | (475,451) | (327,341) | ||
Proceeds from sales of mortgage servicing rights | 395 | 132 | ||
(Purchases) short sales of derivative instruments, net | (82,971) | (93,812) | ||
Proceeds from sales and settlement (payments for termination and settlement) of derivative instruments, net | 498,425 | 84,791 | ||
Proceeds from reverse repurchase agreements | 1,442,798 | 0 | ||
Repayments of reverse repurchase agreements | (1,440,713) | 0 | ||
Proceeds from repayment of residential mortgage loans held-for-investment in securitization trusts | 0 | 285,695 | ||
Net cash paid for the acquisition of CYS Investments, Inc. | (13,552) | 0 | ||
Purchases of equity securities | 0 | 5,445 | ||
Proceeds from sales of equity securities | 31,276 | 0 | ||
Redemptions of Federal Home Loan Bank stock | 12,981 | 82,681 | ||
Decrease in due to counterparties, net | (187,146) | (32,881) | ||
Net cash used in investing activities of discontinued operations | 0 | (753,021) | ||
Net cash provided by (used in) investing activities | 4,415,644 | (7,634,047) | ||
Cash Flows From Financing Activities: | ||||
Proceeds from repurchase agreements | 103,348,835 | 113,602,702 | ||
Principal payments on repurchase agreements | (107,736,938) | (105,645,758) | ||
Principal payments on collateralized borrowings in securitization trusts | 0 | (282,468) | ||
Principal payments on Federal Home Loan Bank advances | (350,000) | (2,001,238) | ||
Proceeds from revolving credit facilities | 377,400 | 123,000 | ||
Principal payments on revolving credit facilities | (87,400) | (153,000) | ||
Proceeds from convertible senior notes | 0 | 282,469 | ||
Proceeds from issuance of preferred stock, net of offering costs | 13 | 416,966 | ||
Proceeds from issuance of common stock, net of offering costs | 329 | 332 | ||
Dividends paid on preferred stock | (39,443) | (4,285) | ||
Dividends paid on common stock | (193,318) | (261,400) | ||
Net cash provided by financing activities of discontinued operations | 0 | 1,205,947 | ||
Net cash (used in) provided by financing activities | (4,680,522) | 7,283,267 | ||
Net increase in cash, cash equivalents and restricted cash | 256,488 | 67,985 | ||
Cash, cash equivalents and restricted cash of continuing operations at beginning of period | 1,054,995 | 758,916 | $ 758,916 | |
Cash, cash equivalents and restricted cash of discontinued operations at beginning of period | 0 | $ 56,279 | ||
Cash, cash equivalents and restricted cash at beginning of period | 1,054,995 | 815,195 | 815,195 | |
Cash, cash equivalents and restricted cash at end of period | 1,311,483 | 883,180 | 1,054,995 | |
Supplemental Disclosure of Cash Flow Information: | ||||
Cash paid for interest | 300,573 | 169,464 | ||
Cash paid (received) for taxes | 502 | (1,152) | ||
Acquisition of the assets and liabilities of CYS Investments, Inc. | ||||
Available-for-sale securities | 10,034,557 | 0 | ||
Cash and cash equivalents | 386 | 0 | ||
Restricted cash | 1,062 | 0 | ||
Accrued interest receivable | 30,646 | 0 | ||
Reverse repurchase agreements | 761,460 | 0 | ||
Other assets | 11,977 | 0 | ||
Repurchase agreements | (8,743,527) | 0 | ||
Derivative liabilities, net | (451,026) | 0 | ||
Due to counterparties, net | (279,715) | 0 | ||
Accrued interest payable | (27,487) | 0 | ||
Other liabilities | (821) | 0 | ||
Transfers of residential mortgage loans held-for-sale to other receivables for foreclosed government-guaranteed loans | (403) | (2,909) | ||
Transfer of fair value of mortgage servicing rights to fair value of Ginnie Mae residential mortgage loans held-for-sale upon buyout | 0 | (9) | ||
Additions to mortgage servicing rights due to sale of residential mortgage loans held-for-sale | 0 | 20 | ||
Cumulative-effect adjustment for adoption of new accounting principle | 9,918 | 0 | ||
Dividends declared but not paid at end of period | 96,259 | 102,799 | 12,552 | |
Reconciliation of residential mortgage loans held-for-sale: | ||||
Residential mortgage loans held-for-sale at beginning of period | 30,414 | 40,146 | 40,146 | |
Purchases of residential mortgage loans held-for-sale | 0 | 567 | ||
Transfers to other receivables for foreclosed government-guaranteed loans | (403) | (2,909) | ||
Transfer of fair value of mortgage servicing rights to fair value of Ginnie Mae residential mortgage loans held-for-sale upon buyout | 0 | (9) | ||
Proceeds from sales of residential mortgage loans held-for-sale | 0 | (3,708) | ||
Proceeds from repayment of residential mortgage loans held-for-sale | (3,325) | (5,019) | ||
Realized and unrealized gains on residential mortgage loans held-for-sale | 851 | 2,129 | ||
Residential mortgage loans held-for-sale at end of period | 27,537 | 31,197 | $ 30,414 | |
Preferred Stock | ||||
Acquisition of the assets and liabilities of CYS Investments, Inc. | ||||
Issuance of stock in connection with the acquisition of CYS Investments, Inc. | 275,000 | 0 | ||
Common Stock Including Additional Paid in Capital | ||||
Acquisition of the assets and liabilities of CYS Investments, Inc. | ||||
Issuance of stock in connection with the acquisition of CYS Investments, Inc. | $ 1,125,114 | $ 0 |
Organization and Operations
Organization and Operations | 9 Months Ended |
Sep. 30, 2018 | |
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, and other financial assets. 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. 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. 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. 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 formed 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 floating-rate 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. On November 1, 2017, the Company distributed, on a pro rata basis, the 33.1 million shares of Granite Point common stock that it 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. On April 26, 2018, the Company announced that it had entered into a definitive merger agreement pursuant to which the Company would acquire CYS Investments, Inc., or CYS, a Maryland corporation investing in primarily Agency RMBS and treated as a REIT for U.S. federal income tax purposes. The transaction was approved by the stockholders of both the Company and CYS on July 27, 2018, and the merger was completed on July 31, 2018, at which time CYS became a wholly owned subsidiary of the Company. In exchange for all of the shares of CYS common stock outstanding immediately prior to the effective time of the merger, the Company issued approximately 72.6 million new shares of common stock, as well as aggregate cash consideration of $15.0 million , to CYS common stockholders. In addition, the Company issued 3 million shares of newly classified Series D cumulative redeemable preferred stock and 8 million |
Basis of Presentation and Signi
Basis of Presentation and Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2018 | |
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. The condensed consolidated financial statements of the Company include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. Certain prior period amounts have been reclassified to conform to the current period presentation. All per share amounts, common shares outstanding and restricted shares for all prior periods presented have been adjusted on a retroactive basis to reflect the Company’s one-for-two reverse stock split effected on November 1, 2017 (refer to Note 18 - Stockholders’ 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, 2017 . In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at September 30, 2018 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2018 should not be construed as indicative of the results to be expected for future periods or the full year. Due to its controlling ownership interest in Granite Point through November 1, 2017, the Company consolidated Granite Point on its financial statements. 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 had a controlling interest in Granite Point and, therefore, deconsolidated Granite Point and its subsidiaries from its financial statements and reclassified all of Granite Point’s prior period assets, liabilities and results of operations to discontinued operations. The Company retains debt securities and excess servicing rights purchased from securitization trusts sponsored by either third parties or the Company’s subsidiaries. The securitization trusts are considered variable interest entities, or VIEs, for financial reporting purposes and, thus, are 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. During the majority of 2017, the Company retained the most subordinate security in each of the securitization trusts, which gave the Company the power to direct the activities of the trusts that most significantly impact the trusts’ performance and the obligation to absorb losses or the right to receive benefits of the securitization trusts that could be significant. As a result, the Company consolidated all of the securitization trusts on its condensed consolidated balance sheet. During the fourth quarter of 2017, the Company sold all of the retained subordinated securities thereby removing the Company’s power to direct the activities of the trusts and the obligation to absorb losses or the right to receive benefits of the securitization trusts. As a result, the securitization trusts are no longer consolidated on the Company’s condensed consolidated balance sheet and the remaining retained securities are included within non-Agency available-for-sale, or AFS, securities. Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates ( e.g. , valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. Significant Accounting Policies Included in Note 2 to the Consolidated Financial Statements of the Company’s 2017 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, 2018 . Asset Acquisition In accordance with U.S. GAAP, the acquirer in a merger transaction is to evaluate whether substantially all of the fair value of the gross assets acquired is concentrated in a single identifiable asset or a group of similar identifiable assets. If that threshold is met, the set of acquired assets and associated activities is not deemed a business and is required to be accounted for as an asset acquisition. Upon completion of the merger with CYS on July 31, 2018, approximately 89% of the CYS assets acquired were Agency RMBS. The Company concluded that they were similar identifiable assets to be grouped to evaluate whether the “substantially all” threshold was met as the Agency RMBS are financial assets with similar risk characteristics associated with managing these assets. Given the concentration of the fair value of the Agency RMBS of the gross assets acquired, the Company concluded that the fair value of the gross assets acquired was concentrated in a group of similar identifiable assets and, therefore, the merger was accounted for as an asset acquisition. The financial results of CYS since the closing date of the acquisition have been included in the Company’s condensed consolidated financial statements. Asset acquisitions are generally accounted for by allocating the cost of the acquisition plus direct transaction costs to the individual assets acquired, including identified intangible assets, and liabilities assumed on a relative fair value basis. This allocation may cause identified assets to be recognized at amounts that are greater than their fair values. However, “non-qualifying” assets, which include financial assets and other current assets, should not be assigned an amount greater than their fair value. The gross assets acquired in the merger consisted most significantly of financial assets and other current assets. The cost of the acquisition of CYS plus direct transaction costs exceeded gross assets acquired less liabilities assumed in the merger. As there were no meaningful nonfinancial assets and non-current assets in this transaction and no identified intangible assets to assign value, the excess consideration and transaction costs were recognized in the condensed consolidated statements of comprehensive (loss) income as an expense and an associated reduction in stockholders’ equity. Reverse Repurchase Agreements The Company may borrow U.S. Treasury securities through reverse repurchase transactions under its master repurchase agreements to cover short sales. The Company accounts for these reverse repurchase agreements as securities borrowing transactions and records them at amortized cost, which approximates fair value due to their short-term nature, on its condensed consolidated balance sheets. 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. 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. Additionally, the Company’s centrally cleared interest rate swaps require that the Company posts an “initial margin” amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap’s maximum estimated single-day price movement. The Company also exchanges “variation margin” based upon daily changes in fair value, as measured by the exchange. 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. As a result of amendments to rules governing certain central clearing activities, the exchange of variation margin is considered a settlement of the interest rate swap, as opposed to pledged collateral. Accordingly, beginning in the first quarter of 2018 and in subsequent periods, the Company accounts for the receipt or payment of variation margin as a direct reduction to the carrying value of the interest rate swap asset or liability. The receipt or payment of initial margin will continue to be accounted for separate from the interest rate swap asset or liability. As of December 31, 2017, variation margin pledged or received was 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. The Company presents repurchase agreements subject to master netting arrangements or similar agreements on a gross basis and derivative assets and liabilities (other than centrally cleared interest rate swaps) 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 (other than variation margin on centrally cleared interest rate swaps) on a net basis, based on counterparty, in its condensed consolidated balance sheets. However, the Company does not offset repurchase agreements or derivative assets and liabilities (other than centrally cleared interest rate swaps) 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, 2018 and December 31, 2017 : September 30, 2018 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 864,680 $ (461,449 ) $ 403,231 $ (44,643 ) $ — $ 358,588 Reverse repurchase agreements 759,375 — 759,375 (752,861 ) — 6,514 Total Assets $ 1,624,055 $ (461,449 ) $ 1,162,606 $ (797,504 ) $ — $ 365,102 Liabilities Repurchase agreements $ (23,806,631 ) $ — $ (23,806,631 ) $ 23,806,631 $ — $ — Derivative liabilities (1,258,953 ) 461,449 (797,504 ) 797,504 — — Total Liabilities $ (25,065,584 ) $ 461,449 $ (24,604,135 ) $ 24,604,135 $ — $ — December 31, 2017 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 340,576 $ (30,658 ) $ 309,918 $ (31,903 ) $ — $ 278,015 Total Assets $ 340,576 $ (30,658 ) $ 309,918 $ (31,903 ) $ — $ 278,015 Liabilities Repurchase agreements $ (19,451,207 ) $ — $ (19,451,207 ) $ 19,451,207 $ — $ — Derivative liabilities (62,561 ) 30,658 (31,903 ) 31,903 — — Total Liabilities $ (19,513,768 ) $ 30,658 $ (19,483,110 ) $ 19,483,110 $ — $ — ____________________ (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 , or ASC 606. 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 adoption of this ASU did not have a material 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. Valuation allowances for credit losses on AFS debt securities will be recognized, rather than direct reductions in the amortized cost of the investments, regardless of whether the impairment is considered to be other-than-temporary. 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, will establish an allowance for credit losses on AFS securities which will be derived from the current designated credit reserve with a resulting increase to amortized cost on the securities. The Company also expects adoption of this ASU to impact the recording for the purchase of certain non-Agency securities with purchased credit deterioration by recording an allowance for credit losses with an increase in amortized cost above the purchase price of the same amount. Subsequent changes in expected credit losses will be recognized immediately in earnings as a provision for credit losses until the allowance is reduced to zero. Further favorable changes will result in prospective yield adjustments. Clarifying the Definition of a Business In January 2017, the FASB issued ASU No. 2017-01, which changes the definition of a business to assist entities with evaluating when a set of transferred assets and activities is a business. The ASU requires an entity to evaluate if substantially all of the fair value of the gross assets acquired is concentrated in a single identifiable asset or a group of similar identifiable assets; if so, the set of transferred assets and activities is not a business. The guida nce also requires a business to include at least one substantive process and narrows the definition of outputs by more closely aligning it with how outputs are described in ASC 606. The ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2017, with early adoption permitted. The Company’s adoption of this ASU impacted how the Company accounted for the acquisition of CYS (see discussion above). Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income In February 2018, the FASB issued ASU No. 2018-02, which permits entities to reclassify tax effects stranded in accumulated other comprehensive income as a result of the Tax Cuts and Jobs Act, or TCJA, to retained earnings and requires entities to disclose whether or not they elected to reclassify the tax effects related to the TCJA as well as their policy for releasing income tax effects from accumulated other comprehensive income. 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. Early adoption of this ASU was elected and applied by recording a cumulative-effect adjustment of $9.9 million to retained earnings, with the offsetting impact to accumulated other comprehensive income as of January 1, 2018. Accounting for Share-Based Payments to Nonemployees In June 2018, the FASB issued ASU No. 2018-07 to simplify the accounting for share-based payments to nonemployees by aligning it with the accounting for share-based payments to employees, with certain exceptions. Under the guidance, equity-classified nonemployee awards will be measured on and fixed at the grant date, rather than measured at fair value at each reporting date until the date at which the nonemployee’s performance is complete. 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. Early adoption of this ASU was elected on July 1, 2018 and applied by recording a cumulative-effect adjustment to retained earnings as of January 1, 2018, which did not have a material impact on the Company’s financial condition, results of operations or financial statement disclosures. Fair Value Measurement Disclosure Requirements In August 2018, the FASB issued ASU No. 2018-13, which eliminates, adds and modifies certain disclosure requirements for fair value measurements. Under the guidance, entities are no longer required to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, but public companies are required to disclose (1) the changes in unrealized gains and losses for the period included in other comprehensive income for recurring Level 3 fair value measurements of instruments held at the end of the reporting period and (2) the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements. The ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2019, with early adoption permitted. Early adoption of this ASU did not have an impact on the Company’s financial condition or results of operations but resulted in some modified financial statement disclosures. SEC Disclosure Update and Simplification |
Acquisition of CYS Investments,
Acquisition of CYS Investments, Inc. | 9 Months Ended |
Sep. 30, 2018 | |
Acquisition of CYS Investments, Inc. [Abstract] | |
Acquisition of CYS Investments, Inc. | Acquisition of CYS Investments, Inc. On July 31, 2018, the Company completed the acquisition of CYS through a merger of CYS with and into a wholly owned subsidiary of Two Harbors, in exchange for approximately 72.6 million shares of Two Harbors common stock, as well as aggregate cash consideration of $15.0 million . In accordance with the merger agreement, the number of shares of Two Harbors common stock issued was based on an exchange ratio of 0.4680 and the cash consideration received by CYS common stockholders was $0.0965 per share. In addition, the Company issued 3 million shares of newly classified Series D cumulative redeemable preferred stock and 8 million shares of newly classified Series E cumulative redeemable preferred stock in exchange for all shares of CYS’s Series A and Series B cumulative redeemable preferred stock outstanding prior to the effective time of the merger. The total purchase price for the merger of $1.4 billion consists primarily of Two Harbors common stock issued in exchange for shares of CYS common stock and was calculated based on the closing price of Two Harbors common stock on July 31, 2018 of $15.50 . (dollars in thousands, except per share prices) July 31, Common Stock Exchange: CYS common stock outstanding 155,102,543 Common exchange ratio 0.4680 Two Harbors common stock to be issued 72,587,990 Less: fractional shares 218 Two Harbors common stock issued 72,587,772 Two Harbors share price $ 15.50 $ 1,125,114 Cash in Lieu of Common Stock: Fractional shares 218 Cash in lieu rate $ 15.59 $ 3 Per Share Cash Consideration: CYS common stock outstanding 155,102,543 Per share cash consideration 0.0965 $ 14,967 Preferred Stock Exchange: Shares Series D preferred stock 3,000,000 $ 75,000 Series E preferred stock 8,000,000 $ 200,000 Total Purchase Price $ 1,415,084 As discussed in Note 2 - Basis of Presentation and Significant Accounting Policies , the merger was accounted for as an asset acquisition. The total purchase price for the merger including direct transaction costs, which exceeded gross assets acquired less liabilities assumed in the merger, was allocated to the individual assets acquired and liabilities assumed on a relative fair value basis, as shown below: (in thousands) July 31, Assets: Available-for-sale securities, at fair value $ 10,034,557 Cash and cash equivalents 386 Restricted cash 1,062 Accrued interest receivable 30,646 Due from counterparties 21,572 Derivative assets, at fair value 314,811 Reverse repurchase agreements 761,460 Other assets 11,947 Total Assets $ 11,176,441 Liabilities: Repurchase agreements $ 8,743,527 Derivative liabilities, at fair value 765,837 Due to counterparties 301,287 Accrued interest payable 27,487 Other liabilities 821 Total Liabilities 9,838,959 Stockholders’ Equity Cumulative deficit (acquisition transaction costs) (77,602 ) Total Stockholders’ Equity $ (77,602 ) Total Purchase Price $ 1,415,084 As there were no meaningful nonfinancial assets and non-current assets in this transaction and no identified intangible assets to assign value, the excess consideration and transaction costs were recognized in the condensed consolidated statements of comprehensive (loss) income as an expense and an associated reduction in stockholders’ equity. The Company also incurred the following charges in connection with the acquisition of CYS, which are included within restructuring charges on the Company’s condensed consolidated statements of comprehensive (loss) income , for the three and nine months ended September 30, 2018 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2018 2018 Termination benefits $ 6,216 $ 6,216 Contract terminations 979 979 Other associated costs 1,043 1,043 Total $ 8,238 $ 8,238 The Company does not expect to incur additional restructuring costs related to the acquisition of CYS in 2018 |
Discontinued Operations
Discontinued Operations | 9 Months Ended |
Sep. 30, 2018 | |
Discontinued Operations and Disposal Groups [Abstract] | |
Discontinued Operations | Discontinued Operations 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. On November 1, 2017, the Company distributed, on a pro rata basis, the 33.1 million shares of Granite Point common stock that it 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. Due to the Company’s controlling ownership interest in Granite Point through November 1, 2017, its results of operations and financial condition through such date reflect Granite Point’s commercial strategy, which is focused on directly originating, investing in and managing senior floating-rate commercial mortgage loans and other debt and debt-like commercial real estate investments. As of November 1, 2017, the Company no longer had a controlling interest in Granite Point and, therefore, deconsolidated Granite Point and its subsidiaries from its financial statements and reclassified all of Granite Point’s prior period assets, liabilities and results of operations to discontinued operations. In accordance with ASC 845, Nonmonetary Transactions , the pro rata distribution of a consolidated subsidiary is recognized at carrying amount within stockholders’ equity. As a result, no gain or loss was recognized on the distribution. Summarized financial information for the discontinued operations are presented below. (in thousands) November 1, Assets: Commercial real estate assets $ 2,233,080 Available-for-sale securities, at fair value 12,814 Cash and cash equivalents 84,183 Restricted cash 2,838 Accrued interest receivable 6,588 Other assets 22,774 Total Assets $ 2,362,277 Liabilities: Repurchase agreements $ 1,516,294 Dividends payable 48 Other liabilities 10,337 Total Liabilities $ 1,526,679 Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2018 2017 2018 2017 Interest income: Commercial real estate assets $ — $ 30,595 $ — $ 80,005 Available-for-sale securities — 265 — 767 Other — 4 — 10 Total interest income — 30,864 — 80,782 Interest expense — 12,497 — 26,376 Net interest income — 18,367 — 54,406 Expenses: Management fees — 3,130 — 6,717 Servicing expenses — 333 — 962 Other operating expenses — 3,388 — 7,561 Total expenses — 6,851 — 15,240 Income from discontinued operations before income taxes — 11,516 — 39,166 Benefit from income taxes — (2 ) — (3 ) Income from discontinued operations — 11,518 — 39,169 Income from discontinued operations attributable to noncontrolling interest — 2,674 — 2,714 Income from discontinued operations attributable to common stockholders $ — $ 8,844 $ — $ 36,455 |
Available-for-Sale Securities,
Available-for-Sale Securities, at Fair Value | 9 Months Ended |
Sep. 30, 2018 | |
Debt Securities, Available-for-sale [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. The following table presents the Company’s AFS investment securities by collateral type as of September 30, 2018 and December 31, 2017 : (in thousands) September 30, December 31, Agency Federal National Mortgage Association $ 16,905,970 $ 13,920,721 Federal Home Loan Mortgage Corporation 4,138,060 3,616,967 Government National Mortgage Association 1,074,916 701,037 Non-Agency 3,819,970 2,982,094 Total available-for-sale securities $ 25,938,916 $ 21,220,819 At September 30, 2018 and December 31, 2017 , the Company pledged AFS securities with a carrying value of $24.6 billion and $21.0 billion , respectively, as collateral for repurchase agreements and advances from the Federal Home Loan Bank of Des Moines, or the FHLB. See Note 14 - Repurchase Agreements and Note 15 - Federal Home Loan Bank of Des Moines Advances . At September 30, 2018 and December 31, 2017 , 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 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 all non-Agency securities, which are classified within available-for-sale securities, at fair value on the condensed consolidated balance sheets. As of September 30, 2018 and December 31, 2017 , the carrying value, which also represents the maximum exposure to loss, of all non-Agency securities in unconsolidated VIEs was $3.8 billion and $3.0 billion , respectively. The following tables present the amortized cost and carrying value of AFS securities by collateral type as of September 30, 2018 and December 31, 2017 : September 30, 2018 (in thousands) Principal/ Current Face Un-amortized Premium Accretable Purchase Discount Credit Reserve Purchase Discount Amortized Cost Unrealized Gain Unrealized Loss Carrying Value Agency Principal and interest $ 21,566,476 $ 1,065,985 $ (38,957 ) $ — $ 22,593,504 $ 7,285 $ (665,408 ) $ 21,935,381 Interest-only 3,228,729 218,997 — — 218,997 14,812 (50,244 ) 183,565 Total Agency 24,795,205 1,284,982 (38,957 ) — 22,812,501 22,097 (715,652 ) 22,118,946 Non-Agency Principal and interest 5,076,875 6,566 (684,614 ) (1,194,749 ) 3,204,078 552,816 (9,093 ) 3,747,801 Interest-only 5,196,493 70,511 — — 70,511 4,264 (2,606 ) 72,169 Total Non-Agency 10,273,368 77,077 (684,614 ) (1,194,749 ) 3,274,589 557,080 (11,699 ) 3,819,970 Total $ 35,068,573 $ 1,362,059 $ (723,571 ) $ (1,194,749 ) $ 26,087,090 $ 579,177 $ (727,351 ) $ 25,938,916 December 31, 2017 (in thousands) Principal/ Current Face Un-amortized Premium Accretable Purchase Discount Credit Reserve Purchase Discount Amortized Cost Unrealized Gain Unrealized Loss Carrying Value Agency Principal and interest $ 17,081,849 $ 1,079,246 $ (24,638 ) $ — $ 18,136,457 $ 42,149 $ (134,969 ) $ 18,043,637 Interest-only 2,941,772 223,289 — — 223,289 10,955 (39,156 ) 195,088 Total Agency 20,023,621 1,302,535 (24,638 ) — 18,359,746 53,104 (174,125 ) 18,238,725 Non-Agency Principal and interest 3,758,134 2,757 (676,033 ) (653,613 ) 2,431,245 488,931 (3,166 ) 2,917,010 Interest-only 5,614,925 65,667 — — 65,667 2,163 (2,746 ) 65,084 Total Non-Agency 9,373,059 68,424 (676,033 ) (653,613 ) 2,496,912 491,094 (5,912 ) 2,982,094 Total $ 29,396,680 $ 1,370,959 $ (700,671 ) $ (653,613 ) $ 20,856,658 $ 544,198 $ (180,037 ) $ 21,220,819 The following tables present the carrying value of the Company’s AFS securities by rate type as of September 30, 2018 and December 31, 2017 : September 30, 2018 (in thousands) Agency Non-Agency Total Adjustable Rate $ 19,594 $ 3,446,632 $ 3,466,226 Fixed Rate 22,099,352 373,338 22,472,690 Total $ 22,118,946 $ 3,819,970 $ 25,938,916 December 31, 2017 (in thousands) Agency Non-Agency Total Adjustable Rate $ 23,220 $ 2,622,710 $ 2,645,930 Fixed Rate 18,215,505 359,384 18,574,889 Total $ 18,238,725 $ 2,982,094 $ 21,220,819 The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of September 30, 2018 : September 30, 2018 (in thousands) Agency Non-Agency Total ≤ 1 year $ 11,626 $ 89,957 $ 101,583 > 1 and ≤ 3 years 110,610 192,192 302,802 > 3 and ≤ 5 years 273,557 399,152 672,709 > 5 and ≤ 10 years 18,130,930 2,501,914 20,632,844 > 10 years 3,592,223 636,755 4,228,978 Total $ 22,118,946 $ 3,819,970 $ 25,938,916 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, 2018 and 2017 of the net unamortized discount/premium and designated credit reserves on non-Agency AFS securities. Nine Months Ended September 30, 2018 2017 (in thousands) Designated Credit Reserve Net Unamortized Discount/Premium Total Designated Credit Reserve Net Unamortized Discount/Premium Total Beginning balance at January 1 $ (653,613 ) $ (607,609 ) $ (1,261,222 ) $ (367,437 ) $ (623,440 ) $ (990,877 ) Acquisitions (606,728 ) (37,924 ) (644,652 ) (217,206 ) (111,938 ) (329,144 ) Accretion of net discount — 64,538 64,538 — 67,219 67,219 Realized credit losses 20,983 — 20,983 11,385 — 11,385 Reclassification adjustment for other-than-temporary impairments (363 ) — (363 ) (429 ) — (429 ) Transfers from (to) 44,972 (44,972 ) — 44,412 (44,412 ) — Sales, calls, other — 18,430 18,430 3,588 81,846 85,434 Ending balance at September 30 $ (1,194,749 ) $ (607,537 ) $ (1,802,286 ) $ (525,687 ) $ (630,725 ) $ (1,156,412 ) 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, 2018 and December 31, 2017 . At September 30, 2018 , the Company held 1,605 AFS securities, of which 522 were in an unrealized loss position for less than twelve consecutive months and 361 were in an unrealized loss position for more than twelve consecutive months. At December 31, 2017 , the Company held 1,435 AFS securities, of which 253 were in an unrealized loss position for less than twelve consecutive months and 234 were in an unrealized loss position for more than twelve consecutive months. Of the $15.4 billion and $12.2 billion of AFS securities in an unrealized loss position for less than twelve consecutive months as of September 30, 2018 and December 31, 2017 , $14.8 billion , or 96.6% , and $12.0 billion , or 98.5% , 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, 2018 $ 15,358,443 $ (309,999 ) $ 6,941,115 $ (417,352 ) $ 22,299,558 $ (727,351 ) December 31, 2017 $ 12,198,870 $ (65,313 ) $ 2,464,544 $ (114,724 ) $ 14,663,414 $ (180,037 ) 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 (loss) income , net of tax, or (loss) gain on investment securities , depending on the accounting treatment. If the Company intends to sell the security or will be more likely than not required to sell the security, the full unrealized loss is recognized in earnings. During the three and nine months ended September 30, 2018 , the Company recorded $0.1 million and $0.4 million in other-than-temporary credit impairments on a total of three non-Agency securities where the future expected cash flows for each security were less than its amortized cost. 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 its future expected cash flows 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 . As of September 30, 2018 , impaired securities with a carrying value of $140.3 million had actual weighted average cumulative losses of 8.3% , weighted average three-month prepayment speed of 7.0% , weighted average 60+ day delinquency of 19.0% of the pool balance, and weighted average FICO score of 668 . At September 30, 2018 , 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, 2018 and 2017 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2018 2017 2018 2017 Cumulative credit loss at beginning of period $ (6,663 ) $ (6,035 ) $ (6,395 ) $ (5,606 ) Additions: Other-than-temporary impairments not previously recognized (72 ) — (157 ) (429 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments (23 ) — (206 ) — Reductions: Decreases related to other-than-temporary impairments on securities paid down — — — — Decreases related to other-than-temporary impairments on securities sold — — — — Cumulative credit loss at end of period $ (6,758 ) $ (6,035 ) $ (6,758 ) $ (6,035 ) 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 (loss) gain on investment securities in the Company’s condensed consolidated statements of comprehensive (loss) income . For the three and nine months ended September 30, 2018 , the Company sold AFS securities for $5.4 billion and $9.2 billion with an amortized cost of $5.5 billion and $9.3 billion for net realized losses of $42.2 million and $100.7 million , respectively. 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. The following table presents the gross realized gains and losses on sales of AFS securities for the three and nine months ended September 30, 2018 and 2017 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2018 2017 2018 2017 Gross realized gains $ 6,603 $ 408 $ 16,357 $ 57,133 Gross realized losses (48,758 ) (4,342 ) (117,075 ) (78,125 ) Total realized losses on sales, net $ (42,155 ) $ (3,934 ) $ (100,718 ) $ (20,992 ) |
Servicing Activities
Servicing Activities | 9 Months Ended |
Sep. 30, 2018 | |
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 and Freddie Mac 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 in the name of the subservicer 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, 2018 and 2017 . Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2018 2017 2018 2017 Balance at beginning of period $ 1,450,261 $ 898,025 $ 1,086,717 $ 693,815 Additions from purchases of mortgage servicing rights 201,197 66,280 480,462 340,156 Additions from sales of residential mortgage loans — — — 20 Subtractions from sales of mortgage servicing rights — — — (946 ) Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model 62,680 (154 ) 209,610 (23,083 ) Other changes in fair value (1) (42,085 ) (28,595 ) (107,754 ) (66,543 ) Other changes (2) (8,029 ) (4,943 ) (5,011 ) (12,806 ) Balance at end of period $ 1,664,024 $ 930,613 $ 1,664,024 $ 930,613 ____________________ (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, 2018 and December 31, 2017 , the Company pledged MSR with a carrying value of $1.2 billion and $0.6 billion , respectively, as collateral for repurchase agreements and revolving credit facilities. See Note 14 - Repurchase Agreements and Note 16 - Revolving Credit Facilities . As of September 30, 2018 and December 31, 2017 , 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: 7.3 % 9.8 % Impact on fair value of 10% adverse change $ (45,151 ) $ (40,100 ) Impact on fair value of 20% adverse change $ (87,971 ) $ (77,483 ) Weighted average delinquency: 1.2 % 1.7 % Impact on fair value of 10% adverse change $ (5,824 ) $ (4,274 ) Impact on fair value of 20% adverse change $ (11,593 ) $ (8,875 ) Weighted average discount rate: 9.7 % 9.9 % Impact on fair value of 10% adverse change $ (55,024 ) $ (35,137 ) Impact on fair value of 20% adverse change $ (106,220 ) $ (68,246 ) 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 (loss) income for the three and nine months ended September 30, 2018 and 2017 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2018 2017 2018 2017 Servicing fee income $ 80,690 $ 53,989 $ 218,022 $ 141,923 Ancillary and other fee income 358 310 1,004 615 Float income 8,570 3,088 19,447 5,930 Total $ 89,618 $ 57,387 $ 238,473 $ 148,468 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 $26.1 million and $31.1 million and were included in other assets on the condensed consolidated balance sheets as of September 30, 2018 and December 31, 2017 , respectively. Serviced Mortgage Assets The Company’s total serviced mortgage assets consist of residential mortgage loans underlying MSR, residential mortgage loans held in previous on-balance sheet securitization trusts for which the Company is the named servicing administrator 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, 2018 and December 31, 2017 : September 30, 2018 December 31, 2017 (dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance Mortgage servicing rights 581,677 $ 131,114,538 454,028 $ 101,344,054 Residential mortgage loans in securitization trusts 3,663 2,443,368 3,845 2,618,016 Residential mortgage loans held-for-sale 206 33,448 236 37,632 Other assets 17 1,339 24 2,590 Total serviced mortgage assets 585,563 $ 133,592,693 458,133 $ 104,002,292 |
Residential Mortgage Loans Held
Residential Mortgage Loans Held-for-Sale, at Fair Value | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 and December 31, 2017 : (in thousands) September 30, December 31, Unpaid principal balance $ 33,448 $ 37,632 Fair value adjustment (5,911 ) (7,218 ) Carrying value $ 27,537 $ 30,414 |
Cash, Cash Equivalents and Rest
Cash, Cash Equivalents and Restricted Cash | 9 Months Ended |
Sep. 30, 2018 | |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents [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, 2018 and December 31, 2017 : (in thousands) September 30, December 31, Restricted cash balances held by trading counterparties: For securities and loan trading activity $ 47,450 $ 27,050 For derivatives trading activity 283,034 191,421 As restricted collateral for repurchase agreements and Federal Home Loan Bank advances 558,088 417,018 Total restricted cash balances held by trading counterparties 888,572 635,489 Restricted cash balance pursuant to letter of credit on office lease 60 347 Total $ 888,632 $ 635,836 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, 2018 and December 31, 2017 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 $ 422,851 $ 419,159 Restricted cash 888,632 635,836 Total cash, cash equivalents and restricted cash $ 1,311,483 $ 1,054,995 |
Accrued Interest Receivable
Accrued Interest Receivable | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 and December 31, 2017 : (in thousands) September 30, December 31, Available-for-sale securities: Agency Federal National Mortgage Association $ 56,484 $ 46,517 Federal Home Loan Mortgage Corporation 16,258 12,255 Government National Mortgage Association 5,987 4,635 Non-Agency 5,492 4,740 Total available-for-sale securities 84,221 68,147 Residential mortgage loans held-for-sale 155 162 Reverse repurchase agreements 881 — Total $ 85,257 $ 68,309 |
Derivative Instruments and Hedg
Derivative Instruments and Hedging Activities | 9 Months Ended |
Sep. 30, 2018 | |
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 borrowing agreement 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, cap and swaption agreements, TBAs, put and call options for TBAs 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 are designated or qualifying as hedge instruments. Due to the volatility of the credit markets and difficulty in effectively matching pricing or cash flows, the Company has not designated any current derivatives as hedging instruments. The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading derivatives as of September 30, 2018 and December 31, 2017 . September 30, 2018 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 67,665 $ 498,826 $ — $ — Interest rate swap agreements 238,116 28,128,766 — 2,375,000 Interest rate cap contracts 52,370 2,500,000 — — Swaptions, net 24,912 164,000 — — TBAs 15,212 1,108,000 (43,314 ) 8,216,000 Put and call options for TBAs, net 4,954 780,000 (1,329 ) 130,000 Markit IOS total return swaps 2 49,691 — — Short U.S. Treasuries — — (752,861 ) 800,000 Total $ 403,231 $ 33,229,283 $ (797,504 ) $ 11,521,000 December 31, 2017 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 91,827 $ 588,246 $ — $ — Interest rate swap agreements 206,773 21,516,125 (29,867 ) 6,966,000 Swaptions, net 10,405 2,666,000 — — TBAs 913 733,000 (1,930 ) 1,306,000 Markit IOS total return swaps — — (106 ) 63,507 Total $ 309,918 $ 25,503,371 $ (31,903 ) $ 8,335,507 Comprehensive (Loss) 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 (loss) income : Derivative Instruments Location of Gain (Loss) Recognized in Income on Derivatives Amount of Gain (Loss) Recognized in Income on Derivatives Three Months Ended Nine Months Ended (in thousands) September 30, September 30, 2018 2017 2018 2017 Interest rate risk management TBAs Loss on other derivative instruments $ (45,231 ) $ (16,891 ) $ (55,766 ) $ (45,671 ) Short U.S. Treasuries Loss on other derivative instruments 1,606 — 1,606 — Put and call options for TBAs Loss on other derivative instruments 13,489 (3,405 ) 43,328 (22,467 ) Interest rate swaps - Payers Gain (loss) on interest rate swap, cap and swaption agreements 105,195 17,422 412,291 (27,723 ) Interest rate swaps - Receivers Gain (loss) on interest rate swap, cap and swaption agreements (54,653 ) (5,280 ) (252,375 ) 22,813 Swaptions Gain (loss) on interest rate swap, cap and swaption agreements 24,629 (12,349 ) 94,933 (62,080 ) Interest rate caps Gain (loss) on interest rate swap, cap and swaption agreements 686 — 686 — Markit IOS total return swaps Loss on other derivative instruments (302 ) (134 ) 371 (821 ) Non-risk management Inverse interest-only securities Loss on other derivative instruments (1,025 ) 1,506 (5,274 ) 2,631 Total $ 44,394 $ (19,131 ) $ 239,800 $ (133,318 ) For the three and nine months ended September 30, 2018 , the Company recognized $16.2 million and $33.9 million , respectively, of income for the accrual and/or settlement of the net interest expense associated with its interest rate swaps and caps. The income results from receiving either LIBOR interest or a fixed interest rate and paying either a fixed interest rate or LIBOR interest on an average $31.8 billion and $26.2 billion notional, respectively. 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 and caps. 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. 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, 2018 and 2017 : Three Months Ended September 30, 2018 (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 $ 529,056 $ — $ (30,230 ) $ 498,826 $ 514,879 $ — Interest rate swap agreements 26,047,264 12,544,820 (8,088,318 ) 30,503,766 30,144,641 (50,240 ) Interest rate cap contracts — 2,500,000 — 2,500,000 1,684,783 — Swaptions, net (738,000 ) 1,164,000 (262,000 ) 164,000 (157,663 ) 10,374 TBAs, net 3,049,000 21,060,000 (14,785,000 ) 9,324,000 6,430,924 (23,067 ) Short U.S. Treasuries — (800,000 ) — (800,000 ) (539,130 ) — Put and call options for TBAs, net (320,000 ) (1,710,000 ) 1,120,000 (910,000 ) (1,106,120 ) 910 Markit IOS total return swaps 51,541 — (1,850 ) 49,691 50,296 (516 ) Total $ 28,618,861 $ 34,758,820 $ (22,047,398 ) $ 41,330,283 $ 37,022,610 $ (62,539 ) 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 Nine Months Ended September 30, 2018 (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 $ 588,246 $ — $ (89,420 ) $ 498,826 $ 544,691 $ — Interest rate swap agreements 28,482,125 37,894,452 (35,872,811 ) 30,503,766 25,588,646 (46,101 ) Interest rate cap contracts — 2,500,000 — 2,500,000 567,766 — Swaptions, net 2,666,000 (74,000 ) (2,428,000 ) 164,000 (2,015,260 ) 78,266 TBAs, net (573,000 ) 38,773,000 (28,876,000 ) 9,324,000 3,210,355 (28,681 ) Short U.S. Treasuries — (800,000 ) — (800,000 ) (181,685 ) — Put and call options for TBAs, net — 2,892,000 (3,802,000 ) (910,000 ) (590,168 ) 39,452 Markit IOS total return swaps 63,507 — (13,816 ) 49,691 57,303 (765 ) Total $ 31,226,878 $ 81,185,452 $ (71,082,047 ) $ 41,330,283 $ 27,181,648 $ 42,171 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 ____________________ (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. Realized gains and losses and derivative fair value adjustments are reflected within the realized and unrealized (gain) loss on interest rate swaps, caps and swaptions and unrealized loss on other derivative instruments line items 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 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, 2018 and December 31, 2017 , the Company had $139.5 million and $117.8 million , respectively, of interest-only securities, and $1.7 billion and $1.1 billion , 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, FHLB advances and revolving credit facilities, 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 borrowing agreement 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, 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, cap 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 or to take advantage of temporary displacements, funding advantages or valuation differentials 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. The Company may hold both long and short notional TBA positions, which are disclosed 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, 2018 and December 31, 2017 : September 30, 2018 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 11,916,000 $ 12,393,443 $ 12,351,423 $ 1,159 $ (43,179 ) Sale contracts (2,592,000 ) (2,564,838 ) (2,550,920 ) 14,053 (135 ) TBAs, net $ 9,324,000 $ 9,828,605 $ 9,800,503 $ 15,212 $ (43,314 ) December 31, 2017 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 733,000 $ 769,446 $ 770,359 $ 913 $ — Sale contracts (1,306,000 ) (1,316,367 ) (1,318,297 ) — (1,930 ) TBAs, net $ (573,000 ) $ (546,921 ) $ (547,938 ) $ 913 $ (1,930 ) ___________________ (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. Short U.S. Treasuries. The Company may use short U.S. Treasury securities independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. As of September 30, 2018 , the Company had short sold U.S. Treasuries with a notional amount of $800.0 million with a fair market value of $752.9 million included in derivative liabilities, at fair value, on the condensed consolidated balance sheet as of September 30, 2018 . The Company did not hold any short U.S. Treasuries as of December 31, 2017 . 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, 2018 , the Company had purchased put and call options for TBAs with a notional amount of $3.7 billion and short sold put and call options for TBAs with a notional amount of $4.6 billion . The put and call options had a fair market value of $5.0 million included in derivative assets, at fair value, and $1.3 million included in derivative liabilities, at fair value, on the condensed consolidated balance sheet as of September 30, 2018 . The Company did not hold any put and call options for TBAs as of December 31, 2017 . 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, 2018 and December 31, 2017 , 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, 2018 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate (2) Weighted Average Maturity (Years) (2) 2018 $ 1,000,000 1.008 % 2.336 % 0.01 2019 4,336,897 1.769 % 2.336 % 1.04 2020 5,140,000 1.705 % 2.334 % 2.07 2021 4,117,000 1.550 % 2.362 % 2.94 2022 and Thereafter 8,807,431 2.309 % 2.343 % 7.14 Total $ 23,401,328 1.876 % 2.343 % 3.77 (notional in thousands) December 31, 2017 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate (2) Weighted Average Maturity (Years) (2) 2018 $ 4,320,000 1.155 % 1.508 % 0.50 2019 5,448,135 1.767 % 1.386 % 1.79 2020 5,490,000 1.945 % 1.509 % 2.87 2021 2,417,000 1.788 % 1.628 % 3.92 2022 and Thereafter 5,245,000 1.764 % 1.516 % 6.44 Total $ 22,920,135 1.694 % 1.493 % 3.01 ____________________ (1) Notional amount includes $567.8 million and $570.0 million in forward starting interest rate swaps as of September 30, 2018 and December 31, 2017 , respectively. (2) Weighted averages exclude forward starting interest rate swaps. As of September 30, 2018 and December 31, 2017 , the weighted average fixed pay rate on forward starting interest rate swaps was 2.8% and 2.1% , respectively. Additionally, as of September 30, 2018 and December 31, 2017 , 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, 2018 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2020 $ 250,000 2.347 % 2.258 % 1.31 2021 2,477,438 2.338 % 2.736 % 2.49 2022 and Thereafter 4,375,000 2.333 % 2.696 % 7.32 Total $ 7,102,438 2.335 % 2.694 % 5.42 (notional in thousands) December 31, 2017 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2020 $ 200,000 1.391 % 1.642 % 2.60 2021 500,000 1.357 % 1.327 % 3.05 2022 and Thereafter 4,861,990 1.475 % 2.325 % 8.34 Total $ 5,561,990 1.462 % 2.211 % 7.66 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, 2018 and December 31, 2017 , the Company had the following outstanding interest rate swaptions that were utilized as macro-economic hedges: September 30, 2018 (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 $ 9,400 $ 30,608 3.64 $ 5,225,000 3.20 % 3M Libor 7.6 Sale contracts: Receiver < 6 Months $ (9,730 ) $ (5,696 ) 3.87 $ (5,061,000 ) 3M Libor 2.70 % 7.7 December 31, 2017 (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 $ 21,380 $ 17,736 4.03 $ 7,200,000 2.27 % 3M Libor 3.8 Receiver < 6 Months $ 4,660 $ 2,982 3.72 $ 2,300,000 3M Libor 2.10 % 10.0 Sale contracts: Payer < 6 Months $ (7,950 ) $ (5,619 ) 4.66 $ (1,693,000 ) 2.70 % 3M Libor 10.0 Receiver < 6 Months $ (16,260 ) $ (4,694 ) 5.17 $ (5,141,000 ) 3M Libor 1.89 % 5.6 Interest Rate Cap Contracts . The Company may use interest rate caps independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. As of September 30, 2018 , the Company held the following interest rate caps that were utilized as economic hedges of interest rate exposure (or duration) whereby the Company receives interest at a three-month LIBOR rate, net of a fixed cap rate: (notional in thousands) September 30, 2018 Caps Maturities Notional Amount Weighted Average Cap Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2019 $ 800,000 1.344 % 2.339 % 0.78 2020 1,700,000 1.250 % 2.364 % 1.54 Total $ 2,500,000 1.280 % 2.356 % 1.29 The Company did not hold any interest rate caps as of December 31, 2017 . 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, 2018 and December 31, 2017 : (notional and dollars in thousands) September 30, 2018 Maturity Date Current Notional Amount Fair Value Cost Basis Unrealized Gain (Loss) January 12, 2043 $ (22,010 ) $ (1 ) $ (30 ) $ 29 January 12, 2044 (27,681 ) 3 (29 ) 32 Total $ (49,691 ) $ 2 $ (59 ) $ 61 (notional and dollars in thousands) December 31, 2017 Maturity Date Current Notional Amount Fair Value Cost Basis Unrealized Gain (Loss) January 12, 2043 $ (24,362 ) $ (24 ) $ 201 $ (225 ) January 12, 2044 (39,145 ) (82 ) 366 (448 ) Total $ (63,507 ) $ (106 ) $ 567 $ (673 ) 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 and residential mortgage loans, the Company may enter into credit default swaps to hedge credit risk. In future periods, the Company could enhance its credit risk protection, enter into further paired derivative positions, including both long and short credit default swaps, and/or seek opportunistic trades in the event of a market disruption (see discussion under “Non-Risk Management Activities” below). The Company also has processes and controls in place to monitor, analyze, manage and mitigate its credit risk with respect to non-Agency securities and residential mortgage loans. 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, 2018 , the fair value of derivative financial instruments as an asset and liability position was $403.2 million and $797.5 million , respectively. The Company attempts to mitigate its credit risk exposure on derivative financial instruments by limiting its counterparties to banks and financial institutions that meet established credit guidelines. The Company also seeks 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. The Company’s centrally cleared interest rate swaps require that the Company posts an “initial margin” amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap’s maximum estimated single-day price movement. The Company also exchanges “variation margin” based upon daily changes in fair value, as measured by the exchange. As a result of amendments to rules governing certain central clearing activities, the exchange of variation margin is considered a settlement of the interest rate swap, as opposed to pledged collateral. Accordingly, beginning in the first quarter of 2018 and in subsequent periods, the Company accounts for the receipt or payment of variation margin as a direct reduction to the carrying value of the interest rate swap asset or liability. As of December 31, 2017, variation margin pledged or received was 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, 2018 and December 31, 2017 , inverse interest-only securities with a carrying value of $67.7 million and $91.8 million , including accrued interest receivable of $0.6 million and $0.9 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, 2018 and December 31, 2017 : (in thousands) September 30, December 31, Face Value $ 498,826 $ 588,246 Amortized Cost $ 73,098 $ 86,734 Gross unrealized gains 2,668 6,843 Gross unrealized losses (8,726 ) (2,602 ) Market Value $ 67,040 $ 90,975 |
Other Assets
Other Assets | 9 Months Ended |
Sep. 30, 2018 | |
Other Assets [Abstract] | |
Other Assets | Other Assets Other assets as of September 30, 2018 and December 31, 2017 are summarized in the following table: (in thousands) September 30, December 31, Property and equipment at cost $ 6,970 $ 6,776 Accumulated depreciation (1) (6,107 ) (5,550 ) Net property and equipment 863 1,226 Equity securities, at fair value — 29,413 Prepaid expenses 2,592 1,755 Income taxes receivable 590 130 Deferred tax assets, net (2) 5,751 25,956 Servicing advances 26,134 31,050 Federal Home Loan Bank stock 40,848 53,826 Equity investments 6,529 3,000 Other receivables 39,121 29,482 Total other assets $ 122,428 $ 175,838 ____________________ (1) Depreciation expense for the three and nine months ended September 30, 2018 was $0.2 million and $0.5 million , respectively. (2) Net of valuation allowance of $2.4 million and $2.7 million |
Other Liabilities
Other Liabilities | 9 Months Ended |
Sep. 30, 2018 | |
Other Liabilities [Abstract] | |
Other Liabilities | Other Liabilities Other liabilities as of September 30, 2018 and December 31, 2017 are summarized in the following table: (in thousands) September 30, December 31, Accrued expenses $ 14,979 $ 24,737 Income taxes payable 4 — Other 6,141 3,043 Total other liabilities $ 21,124 $ 27,780 |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2018 | |
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. The 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 99.8% and 0.2% of its AFS securities as Level 2 and Level 3 fair value assets, respectively, at September 30, 2018 . AFS securities account for 92.5% of all assets reported at fair value at September 30, 2018 . 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, 2018 . 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 1.7% and 98.3% of its residential mortgage loans held-for-sale as Level 2 and Level 3 fair value assets, respectively, at September 30, 2018 . 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, caps, swaptions, put and call options for TBAs 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, caps, swaptions, put and call options for TBAs and Markit IOS total return swaps reported at fair value as Level 2 at September 30, 2018 . 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 short U.S. Treasuries and inverse interest-only securities at fair value as Level 2 at September 30, 2018 . The Company reported 100% of its TBAs as Level 1 as of September 30, 2018 . 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. Equity securities. The Company’s equity securities are carried at fair value and reported in other assets on the condensed consolidated balance sheets. Changes in fair value are recorded as a component of (loss) gain on investment securities in the condensed consolidated statements of comprehensive (loss) income . The Company determines fair value of its equity securities based on the closing market price of the securities at period end. The Company did not hold any equity securities at September 30, 2018 . 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, 2018 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 25,898,916 $ 40,000 $ 25,938,916 Mortgage servicing rights — — 1,664,024 1,664,024 Residential mortgage loans held-for-sale — 456 27,081 27,537 Derivative assets 15,212 388,019 — 403,231 Total assets $ 15,212 $ 26,287,391 $ 1,731,105 $ 28,033,708 Liabilities Derivative liabilities $ 43,314 $ 754,190 $ — $ 797,504 Total liabilities $ 43,314 $ 754,190 $ — $ 797,504 Recurring Fair Value Measurements December 31, 2017 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 21,067,678 $ 153,141 $ 21,220,819 Mortgage servicing rights — — 1,086,717 1,086,717 Residential mortgage loans held-for-sale — 474 29,940 30,414 Derivative assets 913 309,005 — 309,918 Equity securities 29,413 — — 29,413 Total assets $ 30,326 $ 21,377,157 $ 1,269,798 $ 22,677,281 Liabilities Derivative liabilities 1,930 29,973 — 31,903 Total liabilities $ 1,930 $ 29,973 $ — $ 31,903 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, 2018 , 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, caps 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, 2018 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Residential Mortgage Loans Held-For-Sale Beginning of period level 3 fair value $ 153,424 $ 1,450,261 $ 28,351 Gains (losses) included in net income: Realized (losses) gains — (42,089 ) 167 Unrealized gains — 62,680 (1) 129 (3) Net gains (losses) included in net income — 20,591 296 Other comprehensive (loss) income (424 ) — — Purchases — 201,197 — Sales — 4 — Settlements (113,000 ) (8,029 ) (1,566 ) Gross transfers into level 3 — — — Gross transfers out of level 3 — — — End of period level 3 fair value $ 40,000 $ 1,664,024 $ 27,081 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ — $ 62,275 (2) $ 127 (4) Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period $ — $ — $ — Nine Months Ended September 30, 2018 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Residential Mortgage Loans Held-For-Sale Beginning of period level 3 fair value $ 153,141 $ 1,086,717 $ 29,940 Gains (losses) included in net income: Realized losses — (107,359 ) (41 ) Unrealized gains — 209,610 (1) 901 (3) Net gains (losses) included in net income — 102,251 860 Other comprehensive (loss) income (141 ) — — Purchases — 480,462 — Sales — (395 ) — Settlements (113,000 ) (5,011 ) (3,719 ) Gross transfers into level 3 — — — Gross transfers out of level 3 — — — End of period level 3 fair value $ 40,000 $ 1,664,024 $ 27,081 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ — $ 201,666 (2) $ 806 (4) Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period $ — $ — $ — ___________________ (1) The change in unrealized gains or losses on MSR was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive (loss) income . (2) The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive (loss) income . (3) The change in unrealized gains or losses on residential mortgage loans held-for-sale was recorded in other income on the condensed consolidated statements of comprehensive (loss) 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 other income on the condensed consolidated statements of comprehensive (loss) income . The Company did not incur transfers between Level 1, Level 2 or Level 3 during the three and nine months ended September 30, 2018 and 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 expected default, severity and discount rate. Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. The Company also used multiple third-party pricing providers 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, 2018 : September 30, 2018 Valuation Technique Unobservable Input (1) Range Weighted Average (2) Discounted cash flow Constant prepayment speed 6.4 - 8.1 % 7.3% Delinquency 0.9 - 1.4 % 1.2% Discount rate 8.6 - 10.8 % 9.7% December 31, 2017 Valuation Technique Unobservable Input (1) Range Weighted Average (2) Discounted cash flow Constant prepayment speed 8.2 - 11.2 % 9.8% Delinquency 1.3 - 2.0 % 1.7% Discount rate 8.3 - 11.2 % 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. (2) Calculated by averaging the weighted average significant unobservable inputs used by the multiple third-party pricing providers in the fair value measurement of MSR. 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 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 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 (loss) gain on investment securities on the condensed consolidated statements of comprehensive (loss) income . The Company elected the fair value option for its previously held residential mortgage loans held-for-investment in securitization trusts and the collateralized borrowings in securitization trusts. The fair value option was elected to better reflect the economics of the Company’s retained interests. The Company’s policy was to separately record interest income on the fair value elected loans and interest expense on the fair value elected borrowings. Upfront fees and costs were not deferred or capitalized. Fair value adjustments were reported in other income on the condensed consolidated statements of comprehensive (loss) income . During the fourth quarter of 2017, the Company sold all of these retained subordinated securities thereby causing the deconsolidation of the securitization trusts from the Company’s consolidated balance sheet. The remaining retained securities are included within non-Agency AFS securities. The Company has 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 other income on the condensed consolidated statements of comprehensive (loss) income . The following tables summarize the fair value option elections and information regarding the line items and amounts recognized in the condensed consolidated statements of comprehensive (loss) income for each fair value option-elected item. Three Months Ended September 30, 2018 (in thousands) Interest income (expense) (Loss) gain on investment securities Other income Total included in net income Change in fair value due to credit risk Assets Available-for-sale securities $ (121 ) $ (469 ) $ — $ (590 ) N/A Residential mortgage loans held-for-investment in securitization trusts — (1) — — — $ — (2) Residential mortgage loans held-for-sale 332 (1) — 295 627 (251 ) (3) Liabilities Collateralized borrowings in securitization trusts — — — — — (2) Total $ 211 $ (469 ) $ 295 $ 37 $ (251 ) Three Months Ended September 30, 2017 (in thousands) Interest income (expense) (Loss) gain on investment securities Other income 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 $ 7,162 $ 16,010 $ (400 ) Nine Months Ended September 30, 2018 (in thousands) Interest income (expense) (Loss) gain on investment securities Other income Total included in net income Change in fair value due to credit risk Assets Available-for-sale securities $ (3,438 ) $ 8,848 $ — $ 5,410 N/A Residential mortgage loans held-for-investment in securitization trusts — (1) — — — $ — (2) Residential mortgage loans held-for-sale 988 (1) — 851 1,839 $ (220 ) (3) Liabilities Collateralized borrowings in securitization trusts — — — — — (2) Total $ (2,450 ) $ 8,848 $ 851 $ 7,249 $ (220 ) Nine Months Ended September 30, 2017 (in thousands) Interest income (expense) (Loss) gain on investment securities Other income 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 $ 17,033 $ 40,092 $ (1,281 ) ____________________ (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. September 30, 2018 December 31, 2017 (in thousands) Unpaid Principal Balance Fair Value (1) Unpaid Principal Balance Fair Value (1) Residential mortgage loans held-for-sale Total loans $ 33,448 $ 27,537 $ 37,632 $ 30,414 Nonaccrual loans $ 10,129 $ 8,357 $ 13,511 $ 10,963 Loans 90+ days past due $ 8,932 $ 7,270 $ 12,136 $ 9,857 ____________________ (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. • AFS securities, MSR, residential mortgage loans held-for-sale, derivative assets and liabilities and equity securities 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 13 . • 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. • Reverse repurchase agreements have a carrying value which approximates fair value due to their short-term nature. The Company categorizes the fair value measurement of these assets as Level 2. • 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, 2018 , the Company held $200.0 million of repurchase agreements, $50.0 million of FHLB advances and $290.0 million of revolving credit facilities that are considered long-term. The Company’s long-term repurchase agreements, FHLB advances and revolving credit facilities 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 nearest to September 30, 2018 . 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, 2018 and December 31, 2017 . September 30, 2018 December 31, 2017 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets Available-for-sale securities $ 25,938,916 $ 25,938,916 $ 21,220,819 $ 21,220,819 Mortgage servicing rights $ 1,664,024 $ 1,664,024 $ 1,086,717 $ 1,086,717 Residential mortgage loans held-for-sale $ 27,537 $ 27,537 $ 30,414 $ 30,414 Cash and cash equivalents $ 422,851 $ 422,851 $ 419,159 $ 419,159 Restricted cash $ 888,632 $ 888,632 $ 635,836 $ 635,836 Derivative assets $ 403,231 $ 403,231 $ 309,918 $ 309,918 Reverse repurchase agreements $ 759,375 $ 759,375 $ — $ — Equity securities $ — $ — $ 29,413 $ 29,413 Federal Home Loan Bank stock $ 40,848 $ 40,848 $ 53,826 $ 53,826 Equity investments $ 6,529 $ 6,529 $ 3,000 $ 3,000 Liabilities Repurchase agreements $ 23,806,631 $ 23,806,631 $ 19,451,207 $ 19,451,207 Federal Home Loan Bank advances $ 865,024 $ 865,024 $ 1,215,024 $ 1,215,024 Revolving credit facilities $ 310,000 $ 310,000 $ 20,000 $ 20,000 Convertible senior notes $ 283,555 $ 296,312 $ 282,827 $ 306,351 Derivative liabilities $ 797,504 $ 797,504 $ 31,903 $ 31,903 |
Repurchase Agreements
Repurchase Agreements | 9 Months Ended |
Sep. 30, 2018 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements | Repurchase Agreements As of September 30, 2018 and December 31, 2017 , the Company had outstanding $23.8 billion and $19.5 billion , respectively, of repurchase agreements. Excluding the effect of the Company’s interest rate swaps and caps, the repurchase agreements had a weighted average borrowing rate of 2.45% and 1.69% and weighted average remaining maturities of 92 and 83 days as of September 30, 2018 and December 31, 2017 , respectively. At September 30, 2018 and December 31, 2017 , the repurchase agreement balances were as follows: (in thousands) September 30, December 31, Short-term $ 23,606,631 $ 19,338,707 Long-term 200,000 112,500 Total $ 23,806,631 $ 19,451,207 At September 30, 2018 and December 31, 2017 , the repurchase agreements had the following characteristics and remaining maturities: September 30, 2018 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 6,408,843 $ 485,289 $ 16,494 $ — $ 6,910,626 30 to 59 days 1,956,414 494,990 13,884 — 2,465,288 60 to 89 days 5,041 — — — 5,041 90 to 119 days 5,034,622 501,372 — — 5,535,994 120 to 364 days 8,099,969 568,631 21,082 — 8,689,682 One year and over — — — 200,000 200,000 Total $ 21,504,889 $ 2,050,282 $ 51,460 $ 200,000 $ 23,806,631 Weighted average borrowing rate 2.32 % 3.59 % 3.20 % 4.37 % 2.45 % December 31, 2017 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 3,634,541 $ 613,500 $ 21,423 $ — $ 4,269,464 30 to 59 days 3,522,256 261,835 47,020 — 3,831,111 60 to 89 days 3,165,834 290,628 2,478 — 3,458,940 90 to 119 days 2,119,490 332,614 322 — 2,452,426 120 to 364 days 4,883,432 443,334 — — 5,326,766 One year and over — — — 112,500 112,500 Total $ 17,325,553 $ 1,941,911 $ 71,243 $ 112,500 $ 19,451,207 Weighted average borrowing rate 1.53 % 2.98 % 2.15 % 3.78 % 1.69 % 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 $ 23,636,891 $ 19,780,175 Mortgage servicing rights, at fair value 733,206 424,740 Cash and cash equivalents — 15,000 Restricted cash 558,088 417,018 Due from counterparties 1,219,860 773,422 Derivative assets, at fair value 66,980 90,895 Total $ 26,215,025 $ 21,501,250 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, 2018 and December 31, 2017 : September 30, 2018 December 31, 2017 (dollars in thousands) Amount Outstanding Net Counterparty Exposure (1) Percent of Equity Weighted Average Days to Maturity Amount Outstanding Net Counterparty Exposure (1) Percent of Equity Weighted Average Days to Maturity Royal Bank of Canada $ 1,898,455 $ 316,471 7 % 146 $ 1,261,956 $ 223,347 6 % 75 All other counterparties (2) 21,908,176 1,590,085 34 % 87 18,189,251 1,519,776 43 % 84 Total $ 23,806,631 $ 1,906,556 $ 19,451,207 $ 1,743,123 ____________________ (1) Represents the net carrying value of the 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 $421.1 million are not included in the September 30, 2018 amounts presented above. The Company did not have any such payables at December 31, 2017 . (2) Represents amounts outstanding with 34 and 26 counterparties at September 30, 2018 and December 31, 2017 , respectively. |
Federal Home Loan Bank of Des M
Federal Home Loan Bank of Des Moines Advances | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 and December 31, 2017 , TH Insurance had $0.9 billion and $1.2 billion in outstanding secured advances with a weighted average borrowing rate of 2.48% and 1.79% , respectively. As of September 30, 2018 and December 31, 2017 , TH Insurance had an additional $2.7 billion and $2.2 billion of available uncommitted capacity for borrowings, respectively, insofar as TH Insurance holds adequate total assets to support a new advance. 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, 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 runs 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, 2018 and December 31, 2017 , FHLB advances had the following remaining maturities: (in thousands) September 30, December 31, ≤ 1 year $ 815,024 $ — > 1 and ≤ 3 years — 815,024 > 3 and ≤ 5 years — — > 5 and ≤ 10 years — — > 10 years 50,000 400,000 Total $ 865,024 $ 1,215,024 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 $ 913,608 $ 1,210,715 Due from counterparties — 62,959 Total $ 913,608 $ 1,273,674 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, 2018 and December 31, 2017 , the Company had stock in the FHLB totaling $40.8 million and $53.8 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, 2018 and December 31, 2017 |
Revolving Credit Facilities
Revolving Credit Facilities | 9 Months Ended |
Sep. 30, 2018 | |
Revolving Credit Facilities [Abstract] | |
Revolving Credit Facilities | Revolving Credit Facilities To finance MSR, the Company has entered into revolving credit facilities collateralized by the value of the MSR pledged. As of September 30, 2018 and December 31, 2017 , the Company had outstanding short- and long-term borrowings under revolving credit facilities of $310.0 million and $20.0 million with a weighted average borrowing rate of 5.36% and 5.14% and weighted average remaining maturities of 4.44 and 0.96 years, respectively. At September 30, 2018 and December 31, 2017 , borrowings under revolving credit facilities had the following remaining maturities: (in thousands) September 30, December 31, Within 30 days $ — $ — 30 to 59 days — — 60 to 89 days 20,000 — 90 to 119 days — — 120 to 364 days — 20,000 One year and over 290,000 — Total $ 310,000 $ 20,000 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, 2018 and December 31, 2017 , MSR with a carrying value of $488.5 million and $159.5 million |
Convertible Senior Notes
Convertible Senior Notes | 9 Months Ended |
Sep. 30, 2018 | |
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. 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, 2018 and December 31, 2017 , the notes had a conversion rate of 62.0780 and 61.4698 shares of common stock per $1,000 principal amount of the notes, respectively . The outstanding amount due on the convertible senior notes as of September 30, 2018 and December 31, 2017 was $283.6 million and $282.8 million |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2018 | |
Equity [Abstract] | |
Stockholders' Equity | Equity Redeemable 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 the Company’s 7.625% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 7.25% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 7.75% Series D Cumulative Redeemable Preferred Stock and 7.50% Series E 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, 7.25% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 7.75% Series D Cumulative Redeemable Preferred Stock and 7.50% Series E 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. On November 27, 2017, the Company issued 11,000,000 shares of 7.25% Series C 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 December 1, 2017, an additional 800,000 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 7.25% per annum of the $25.00 liquidation preference. On and after January 27, 2025, dividends will accumulate and be payable at a floating rate of three-month LIBOR plus a spread of 5.011% 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, 7.625% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 7.75% Series D Cumulative Redeemable Preferred Stock and 7.50% Series E 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 January 27, 2025, except under certain limited circumstances. On or after January 27, 2025, 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 $285.6 million , after deducting underwriting discounts and estimated offering expenses payable by the Company. On July 31, 2018, upon the closing of the merger with CYS, the Company issued 3,000,000 shares of newly classified 7.75% Series D Cumulative Redeemable Preferred Stock, par value $0.01 per share, and 8,000,000 shares of newly classified 7.50% Series E Cumulative Redeemable Preferred Stock, par value $0.01 per share, in exchange for all shares of CYS’s Series A and Series B cumulative redeemable preferred stock outstanding prior to the effective time of the merger. Pursuant to the terms of the merger agreement with CYS, the terms of the Company’s Series D and Series E Cumulative Redeemable Preferred Stock are substantially similar to the terms of CYS’s Series A and Series B Cumulative Redeemable Preferred Stock. Holders of the 7.75% Series D Cumulative Redeemable Preferred Stock are entitled to receive, when and as declared, a dividend at a fixed rate of 7.75% 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, 7.625% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 7.25% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 7.50% Series E 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 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. Holders of the 7.50% Series E Cumulative Redeemable Preferred Stock are entitled to receive, when and as declared, a dividend at a fixed rate of 7.50% 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, 7.625% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 7.25% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock and 7.75% Series D 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 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. Distributions to Preferred Stockholders The following table presents cash dividends declared by the Company on its preferred stock since their issuances: Declaration Date Record Date Payment Date Cash Dividend Per Preferred Share Series A Preferred Stock: September 20, 2018 October 12, 2018 October 29, 2018 $ 0.507810 June 19, 2018 July 12, 2018 July 27, 2018 $ 0.507810 March 20, 2018 April 12, 2018 April 27, 2018 $ 0.507810 December 14, 2017 January 12, 2018 January 29, 2018 $ 0.507810 September 14, 2017 October 12, 2017 October 27, 2017 $ 0.507810 June 15, 2017 July 12, 2017 July 27, 2017 $ 0.750430 Series B Preferred Stock: September 20, 2018 October 12, 2018 October 29, 2018 $ 0.476560 June 19, 2018 July 12, 2018 July 27, 2018 $ 0.476560 March 20, 2018 April 12, 2018 April 27, 2018 $ 0.476560 December 14, 2017 January 12, 2018 January 29, 2018 $ 0.476560 September 14, 2017 October 12, 2017 October 27, 2017 $ 0.518920 Series C Preferred Stock: September 20, 2018 October 12, 2018 October 29, 2018 $ 0.453130 June 19, 2018 July 12, 2018 July 27, 2018 $ 0.453130 March 20, 2018 April 12, 2018 April 27, 2018 $ 0.453130 December 14, 2017 January 12, 2018 January 29, 2018 $ 0.302080 Series D Preferred Stock: September 20, 2018 October 1, 2018 October 15, 2018 $ 0.484375 Series E Preferred Stock: September 20, 2018 October 1, 2018 October 15, 2018 $ 0.468750 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. Issuance of Common Stock in Connection with Acquisition of CYS Investments, Inc. On July 31, 2018, in exchange for all of the shares of CYS common stock outstanding immediately prior to the effective time of the merger, the Company issued approximately 72.6 million new shares of common stock, as well as aggregate cash consideration of $15.0 million , to CYS common stockholders. As of September 30, 2018 , the Company had 248,078,170 shares of common stock outstanding. The following table presents a reconciliation of the common shares outstanding for the nine months ended September 30, 2018 and 2017 : Number of common shares Common shares outstanding, December 31, 2016 173,826,163 Issuance of common stock 19,688 Issuance of restricted stock (1) 643,505 Common shares outstanding, September 30, 2017 174,489,356 Common shares outstanding, December 31, 2017 174,496,587 Issuance of common stock 72,608,932 Issuance of restricted stock (1) 972,651 Common shares outstanding, September 30, 2018 248,078,170 ____________________ (1) Represents shares of restricted stock granted under the Second Restated 2009 Equity Incentive Plan, net of forfeitures, of which 1,593,701 restricted shares remained subject to vesting requirements at September 30, 2018 . Distributions to Common Stockholders The following table presents cash dividends declared by the Company on its common stock from December 31, 2016 through September 30, 2018 : Declaration Date Record Date Payment Date Cash Dividend Per Common Share September 20, 2018 October 1, 2018 October 29, 2018 $ 0.311630 July 13, 2018 July 25, 2018 July 30, 2018 $ 0.158370 June 19, 2018 June 29, 2018 July 27, 2018 $ 0.470000 March 20, 2018 April 2, 2018 April 27, 2018 $ 0.470000 December 14, 2017 December 26, 2017 December 29, 2017 $ 0.470000 September 14, 2017 September 29, 2017 October 27, 2017 $ 0.520000 June 15, 2017 June 30, 2017 July 27, 2017 $ 0.520000 March 14, 2017 March 31, 2017 April 27, 2017 $ 0.500000 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 through November 1, 2017, the Company consolidated Granite Point on its financial statements. 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 had a controlling interest in Granite Point and, therefore, deconsolidated Granite Point and its subsidiaries from its financial statements and reclassified all of Granite Point’s prior period assets, liabilities and results of operations to discontinued operations. 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, 2018 , 220,301 shares have been issued under the plan for total proceeds of approximately $4.3 million , of which 8,692 and 21,160 shares were issued for total proceeds of $0.1 million and $0.3 million during the three and nine months ended September 30, 2018 , respectively. During the three and nine months ended September 30, 2017 , 6,469 and 19,688 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, 2018 , a total of 12,067,500 shares had been repurchased by the Company under the program for an aggregate cost of $200.4 million . No shares were repurchased during the three and nine months ended September 30, 2018 and 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, 2018 , 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 . No shares were sold during the three and nine months ended September 30, 2018 and 2017 . Accumulated Other Comprehensive (Loss) Income Accumulated other comprehensive (loss) income at September 30, 2018 and December 31, 2017 was as follows: (in thousands) September 30, December 31, Available-for-sale securities Unrealized gains $ 522,365 $ 475,694 Unrealized losses (677,094 ) (140,881 ) Accumulated other comprehensive (loss) income $ (154,729 ) $ 334,813 Reclassifications out of Accumulated Other Comprehensive (Loss) Income The Company reclassifies unrealized gains and losses on AFS securities in accumulated other comprehensive income to net income upon the recognition of any other-than-temporary impairments and realized gains and losses on sales, net of income tax effects, as individual securities are impaired or sold. The following table summarizes reclassifications out of accumulated other comprehensive income for the three and nine months ended September 30, 2018 and 2017 : Affected Line Item in the Condensed Consolidated Statements of Comprehensive (Loss) Income Amount Reclassified out of Accumulated Other Comprehensive (Loss) Income Three Months Ended Nine Months Ended (in thousands) September 30, September 30, 2018 2017 2018 2017 Other-than-temporary impairments on AFS securities Total other-than-temporary impairment losses $ 95 $ — $ 363 $ 429 Realized losses (gains) on sales of certain AFS securities, net of tax (Loss) gain on investment securities 30,368 4,220 52,654 7,386 Total $ 30,463 $ 4,220 $ 53,017 $ 7,815 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 . Due to its controlling ownership interest in Granite Point through 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 consolidated Granite Point on its financial statements and reflected noncontrolling interest for the portion of equity and comprehensive income not attributable to the Company. During the period from June 28, 2017 through November 1, 2017, in accordance with ASC 810, Consolidation |
Equity Incentive Plan
Equity Incentive Plan | 9 Months Ended |
Sep. 30, 2018 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Equity Incentive Plan | Equity Incentive Plan The Company’s Second Restated 2009 Equity Incentive Plan, or the Plan, provides incentive compensation to attract and retain qualified directors, officers, advisors, consultants and other personnel, including PRCM Advisers and affiliates and employees of PRCM Advisers and its affiliates, and any joint venture affiliates of the Company. The Plan is administered by the compensation committee of the Company’s board of directors. The compensation committee has the full authority to administer and interpret the Plan, to authorize the granting of awards, to determine the eligibility of directors, officers, advisors, consultants and other personnel, including PRCM Advisers and affiliates and personnel of PRCM Advisers and its affiliates, and any joint venture affiliates of the Company, to receive an award, to determine the number of shares of common stock to be covered by each award (subject to the individual participant limitations provided in the Plan), to determine the terms, provisions and conditions of each award (which may not be inconsistent with the terms of the Plan), to prescribe the form of instruments evidencing awards and to take any other actions and make all other determinations that it deems necessary or appropriate in connection with the Plan or the administration or interpretation thereof. In connection with this authority, the compensation committee may, among other things, establish performance goals that must be met in order for awards to be granted or to vest, or for the restrictions on any such awards to lapse. The Company’s Plan provides for grants of restricted common stock, phantom shares, dividend equivalent rights and other equity-based awards, subject to a ceiling of 6,500,000 shares available for issuance under the Plan. The Plan allows for the Company’s board of directors to expand the types of awards available under the Plan to include long-term incentive plan units in the future. If an award granted under the Plan expires or terminates, the shares subject to any portion of the award that expires or terminates without having been exercised or paid, as the case may be, will again become available for the issuance of additional awards. Unless earlier terminated by the Company’s board of directors, no new award may be granted under the Plan after the tenth anniversary of the date that such Plan was initially approved by the Company’s board of directors. No award may be granted under the Plan to any person who, assuming payment of all awards held by such person, would own or be deemed to own more than 9.8% of the outstanding shares of the Company’s common stock. All per share amounts, common shares outstanding and restricted shares for all periods presented reflect the Company’s one-for-two reverse stock split effected on November 1, 2017 (refer to Note 18 - Stockholders’ Equity for additional information). During the nine months ended September 30, 2018 and 2017 , the Company granted 55,553 and 34,559 shares of common stock, respectively, to its independent directors pursuant to the Plan. The estimated fair value of these awards was $15.48 and $19.82 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, 2018 and 2017 , the Company granted 941,371 and 637,286 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 $15.12 and $17.48 per share on grant date, 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, 2018 and 2017 : Nine Months Ended September 30, 2018 2017 Shares Weighted Average Grant Date Fair Market Value Shares Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 1,284,010 $ 17.15 1,319,712 $ 17.10 Granted 996,924 14.96 671,845 17.60 Vested (673,118 ) (17.12 ) (645,325 ) (17.90 ) Forfeited (14,115 ) (15.59 ) (22,789 ) (17.90 ) Outstanding at End of Period 1,593,701 $ 15.81 1,323,443 $ 16.95 For the three and nine months ended September 30, 2018 , the Company recognized compensation related to restricted common stock granted pursuant to the Plan of $3.4 million and $9.8 million , respectively. 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 |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2018 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes The TCJA significantly revises the U.S. corporate income tax laws by, among other things, lowering the federal income tax rate applicable to corporations from 35% to 21% and repealing the corporate alternative minimum tax. The Company has not completed its determination of the accounting implications of the TCJA on its tax accruals. However, the Company reasonably estimated the effects of the TCJA and recognized a tax provision of $17.5 million in its financial statements as of December 31, 2017. This amount represents the remeasurement of federal net deferred tax assets resulting from the permanent reduction in the U.S. statutory corporate tax rate from 35% to 21% . The TCJA requires complex computations to be performed that were not previously required in U.S. tax law, significant judgments to be made in interpretation of the provisions of the TCJA and significant estimates in calculations, and the preparation and analysis of information not previously relevant or regularly produced. The U.S. Treasury, the IRS, and other standard-setting bodies could interpret or issue guidance on how provisions of the TCJA will be applied or otherwise administered that is different from the Company’s interpretation. As the Company completes its analysis of the TCJA, collects and prepares necessary data, and interprets any additional guidance, it may make adjustments to the provisional amounts. Those adjustments may materially impact the Company’s provision for income taxes in the period in which the adjustments are made. For the three and nine months ended September 30, 2018 and 2017 , 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, 2018 , the Company’s TRSs recognized a provision for income taxes of $37.4 million and $35.1 million , respectively, which was primarily due to realized gains on sales of AFS securities and gains recognized on MSR held in the TRSs as well as the write-down of net deferred tax assets resulting from the deemed liquidation of one of the Company’s TRSs due to its TRS election revocation, offset by net losses incurred on derivative instruments held in the TRSs. 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 TRSs. As of September 30, 2018 and December 31, 2017 , a $2.4 million and a $2.7 million valuation allowance was recorded, respectively, because the Company determined that it is more likely than not that the associated deferred tax asset will 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 |
Earnings Per Share
Earnings Per Share | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 and 2017 . All per share amounts, common shares outstanding and restricted shares for all periods presented reflect the Company’s one-for-two reverse stock split effected on November 1, 2017 (refer to Note 18 - Stockholders’ Equity for additional information). Three Months Ended Nine Months Ended September 30, September 30, (in thousands, except share data) 2018 2017 2018 2017 Numerator: Net income from continuing operations $ 35,946 $ 93,220 $ 510,245 $ 146,212 Income from discontinued operations, net of tax — 11,518 — 39,169 Net income 35,946 104,738 510,245 185,381 Income from discontinued operations attributable to noncontrolling interest — 2,674 — 2,714 Net income attributable to Two Harbors Investment Corp. 35,946 102,064 510,245 182,667 Dividends on preferred stock 18,951 8,888 46,445 13,173 Net income attributable to common stockholders - basic 16,995 93,176 463,800 169,494 Interest expense attributable to convertible notes (1) — 4,727 14,151 — Net income attributable to common stockholders - diluted $ 16,995 $ 97,903 $ 477,951 $ 169,494 Denominator: Weighted average common shares outstanding 222,805,735 173,162,988 190,229,850 173,022,717 Weighted average restricted stock shares 1,593,701 1,325,308 1,616,362 1,392,515 Basic weighted average shares outstanding 224,399,436 174,488,296 191,846,212 174,415,232 Effect of dilutive shares issued in an assumed conversion — 14,419,060 17,760,934 — Diluted weighted average shares outstanding 224,399,436 188,907,356 209,607,146 174,415,232 Basic Earnings Per Share: Continuing operations $ 0.08 $ 0.48 $ 2.42 $ 0.76 Discontinued operations — 0.05 — 0.21 Net income $ 0.08 $ 0.53 $ 2.42 $ 0.97 Diluted Earnings Per Share: Continuing operations $ 0.08 $ 0.47 $ 2.28 $ 0.76 Discontinued operations — 0.05 — 0.21 Net income $ 0.08 $ 0.52 $ 2.28 $ 0.97 ___________________ (1) Includes a nondiscretionary adjustment for the assumed change in the management fee calculation. For the three months ended September 30, 2018 , excluded from the calculation of diluted earnings per share is the effect of adding back $4.8 million of interest expense, net of a nondiscretionary adjustment for the assumed change in the management fee calculation, and 17,847,425 weighted average common share equivalents related to the assumed conversion of the Company’s convertible senior notes, as their inclusion would be antidilutive. 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 |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2018 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions The following summary provides disclosure of the material transactions with affiliates of the Company. In accordance with the Management Agreement between the Company and PRCM Advisers dated as of October 28, 2009 and subsequently amended, the Company incurred $12.4 million and $35.6 million as a management fee to PRCM Advisers for the three and nine months ended September 30, 2018 , respectively, and $10.1 million and $29.8 million as a management fee to PRCM Advisers for the three and nine months ended September 30, 2017 , 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 as discussed below, and to exclude the consolidated stockholders’ equity of Granite Point and its subsidiaries previously 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 connection with the acquisition of CYS, the Management Agreement was amended to (i) reduce PRCM Advisers’ base management fee with respect to the additional equity under management resulting from the merger to 0.75% from the effective time through the first anniversary of the effective time and (ii) for the fiscal quarter in which closing of the merger occurs, to make a one-time downward adjustment of Pine River’s management fees payable by Two Harbors for such quarter by $15.0 million to offset the cash consideration payable to stockholders of CYS, plus an additional downward adjustment of up to $3.3 million for certain transaction-related expenses. For both the three and nine months ended September 30, 2018 , the total downward adjustment to management fees was $17.5 million . The Company does not anticipate any further downward adjustments to management fees for transaction-related expenses. In addition, the Company reimbursed PRCM Advisers for direct and allocated costs incurred by PRCM Advisers on behalf of the Company. These direct and allocated costs totaled approximately $5.3 million and $16.1 million for the three and nine months ended September 30, 2018 , respectively, and $4.8 million and $13.1 million for the three and nine months ended September 30, 2017 , respectively. The Company has direct relationships with the majority of its third-party vendors. The Company will continue to have certain costs allocated to it by PRCM Advisers for compensation, data services, technology and certain office lease payments, but most direct expenses with third-party vendors are paid directly by the Company. The Company recognized $3.4 million and $9.8 million of compensation during the three and nine months ended September 30, 2018 , respectively, and $3.5 million and $11.7 million of compensation during the three and nine months ended September 30, 2017 , respectively, related to restricted common stock issued to employees of PRCM Advisers and the Company’s independent directors pursuant to the Plan. During the year ended December 31, 2017, the Company purchased 1,658,008 shares of Granite Point common stock in the open market for a cost of $30.0 million . These equity securities were carried at fair value and reported in other assets on the condensed consolidated balance sheets. As of December 31, 2017 , the carrying value of the equity securities was $29.4 million , which included $0.6 million in unrealized losses. During the three months ended September 30, 2018 , the Company sold all of the Granite Point common stock it held for $31.2 million , resulting in a realized gain of $1.2 million for both the three and nine months ended September 30, 2018 |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2018 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Events subsequent to September 30, 2018 , were evaluated through the date these financial statements were issued and no additional events were identified requiring further disclosure in these condensed consolidated |
Basis of Presentation and Sig_2
Basis of Presentation and Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2018 | |
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. The condensed consolidated financial statements of the Company include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. Certain prior period amounts have been reclassified to conform to the current period presentation. All per share amounts, common shares outstanding and restricted shares for all prior periods presented have been adjusted on a retroactive basis to reflect the Company’s one-for-two reverse stock split effected on November 1, 2017 (refer to Note 18 - Stockholders’ 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, 2017 . In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at September 30, 2018 and results of operations for all periods presented have been made. The results of operations for the three and nine months ended September 30, 2018 should not be construed as indicative of the results to be expected for future periods or the full year. Due to its controlling ownership interest in Granite Point through November 1, 2017, the Company consolidated Granite Point on its financial statements. 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 had a controlling interest in Granite Point and, therefore, deconsolidated Granite Point and its subsidiaries from its financial statements and reclassified all of Granite Point’s prior period assets, liabilities and results of operations to discontinued operations. The Company retains debt securities and excess servicing rights purchased from securitization trusts sponsored by either third parties or the Company’s subsidiaries. The securitization trusts are considered variable interest entities, or VIEs, for financial reporting purposes and, thus, are 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. During the majority of 2017, the Company retained the most subordinate security in each of the securitization trusts, which gave the Company the power to direct the activities of the trusts that most significantly impact the trusts’ performance and the obligation to absorb losses or the right to receive benefits of the securitization trusts that could be significant. As a result, the Company consolidated all of the securitization trusts on its condensed consolidated balance sheet. During the fourth quarter of 2017, the Company sold all of the retained subordinated securities thereby removing the Company’s power to direct the activities of the trusts and the obligation to absorb losses or the right to receive benefits of the securitization trusts. As a result, the securitization trusts are no longer consolidated on the Company’s condensed consolidated |
Use of Estimates | Use of Estimates The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates ( e.g. |
Asset Acquisition | Asset Acquisition In accordance with U.S. GAAP, the acquirer in a merger transaction is to evaluate whether substantially all of the fair value of the gross assets acquired is concentrated in a single identifiable asset or a group of similar identifiable assets. If that threshold is met, the set of acquired assets and associated activities is not deemed a business and is required to be accounted for as an asset acquisition. Upon completion of the merger with CYS on July 31, 2018, approximately 89% of the CYS assets acquired were Agency RMBS. The Company concluded that they were similar identifiable assets to be grouped to evaluate whether the “substantially all” threshold was met as the Agency RMBS are financial assets with similar risk characteristics associated with managing these assets. Given the concentration of the fair value of the Agency RMBS of the gross assets acquired, the Company concluded that the fair value of the gross assets acquired was concentrated in a group of similar identifiable assets and, therefore, the merger was accounted for as an asset acquisition. The financial results of CYS since the closing date of the acquisition have been included in the Company’s condensed consolidated financial statements. Asset acquisitions are generally accounted for by allocating the cost of the acquisition plus direct transaction costs to the individual assets acquired, including identified intangible assets, and liabilities assumed on a relative fair value basis. This allocation may cause identified assets to be recognized at amounts that are greater than their fair values. However, “non-qualifying” assets, which include financial assets and other current assets, should not be assigned an amount greater than their fair value. The gross assets acquired in the merger consisted most significantly of financial assets and other current assets. The cost of the acquisition of CYS plus direct transaction costs exceeded gross assets acquired less liabilities assumed in the merger. As there were no meaningful nonfinancial assets and non-current assets in this transaction and no identified intangible assets to assign value, the excess consideration and transaction costs were recognized in the condensed consolidated statements of comprehensive (loss) income |
Reverse Repurchase Agreements | Reverse Repurchase Agreements The Company may borrow U.S. Treasury securities through reverse repurchase transactions under its master repurchase agreements to cover short sales. The Company accounts for these reverse repurchase agreements as securities borrowing transactions and records them at amortized cost, which approximates fair value due to their short-term nature, on its condensed consolidated |
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. 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. Additionally, the Company’s centrally cleared interest rate swaps require that the Company posts an “initial margin” amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the interest rate swap’s maximum estimated single-day price movement. The Company also exchanges “variation margin” based upon daily changes in fair value, as measured by the exchange. 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. As a result of amendments to rules governing certain central clearing activities, the exchange of variation margin is considered a settlement of the interest rate swap, as opposed to pledged collateral. Accordingly, beginning in the first quarter of 2018 and in subsequent periods, the Company accounts for the receipt or payment of variation margin as a direct reduction to the carrying value of the interest rate swap asset or liability. The receipt or payment of initial margin will continue to be accounted for separate from the interest rate swap asset or liability. As of December 31, 2017, variation margin pledged or received was 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. The Company presents repurchase agreements subject to master netting arrangements or similar agreements on a gross basis and derivative assets and liabilities (other than centrally cleared interest rate swaps) 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 (other than variation margin on centrally cleared interest rate swaps) on a net basis, based on counterparty, in its condensed consolidated balance sheets. However, the Company does not offset repurchase agreements or derivative assets and liabilities (other than centrally cleared interest rate swaps) 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, 2018 and December 31, 2017 : September 30, 2018 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 864,680 $ (461,449 ) $ 403,231 $ (44,643 ) $ — $ 358,588 Reverse repurchase agreements 759,375 — 759,375 (752,861 ) — 6,514 Total Assets $ 1,624,055 $ (461,449 ) $ 1,162,606 $ (797,504 ) $ — $ 365,102 Liabilities Repurchase agreements $ (23,806,631 ) $ — $ (23,806,631 ) $ 23,806,631 $ — $ — Derivative liabilities (1,258,953 ) 461,449 (797,504 ) 797,504 — — Total Liabilities $ (25,065,584 ) $ 461,449 $ (24,604,135 ) $ 24,604,135 $ — $ — December 31, 2017 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 340,576 $ (30,658 ) $ 309,918 $ (31,903 ) $ — $ 278,015 Total Assets $ 340,576 $ (30,658 ) $ 309,918 $ (31,903 ) $ — $ 278,015 Liabilities Repurchase agreements $ (19,451,207 ) $ — $ (19,451,207 ) $ 19,451,207 $ — $ — Derivative liabilities (62,561 ) 30,658 (31,903 ) 31,903 — — Total Liabilities $ (19,513,768 ) $ 30,658 $ (19,483,110 ) $ 19,483,110 $ — $ — ____________________ (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 |
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 , or ASC 606. 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 adoption of this ASU did not have a material 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. Valuation allowances for credit losses on AFS debt securities will be recognized, rather than direct reductions in the amortized cost of the investments, regardless of whether the impairment is considered to be other-than-temporary. 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, will establish an allowance for credit losses on AFS securities which will be derived from the current designated credit reserve with a resulting increase to amortized cost on the securities. The Company also expects adoption of this ASU to impact the recording for the purchase of certain non-Agency securities with purchased credit deterioration by recording an allowance for credit losses with an increase in amortized cost above the purchase price of the same amount. Subsequent changes in expected credit losses will be recognized immediately in earnings as a provision for credit losses until the allowance is reduced to zero. Further favorable changes will result in prospective yield adjustments. Clarifying the Definition of a Business In January 2017, the FASB issued ASU No. 2017-01, which changes the definition of a business to assist entities with evaluating when a set of transferred assets and activities is a business. The ASU requires an entity to evaluate if substantially all of the fair value of the gross assets acquired is concentrated in a single identifiable asset or a group of similar identifiable assets; if so, the set of transferred assets and activities is not a business. The guida nce also requires a business to include at least one substantive process and narrows the definition of outputs by more closely aligning it with how outputs are described in ASC 606. The ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2017, with early adoption permitted. The Company’s adoption of this ASU impacted how the Company accounted for the acquisition of CYS (see discussion above). Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income In February 2018, the FASB issued ASU No. 2018-02, which permits entities to reclassify tax effects stranded in accumulated other comprehensive income as a result of the Tax Cuts and Jobs Act, or TCJA, to retained earnings and requires entities to disclose whether or not they elected to reclassify the tax effects related to the TCJA as well as their policy for releasing income tax effects from accumulated other comprehensive income. 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. Early adoption of this ASU was elected and applied by recording a cumulative-effect adjustment of $9.9 million to retained earnings, with the offsetting impact to accumulated other comprehensive income as of January 1, 2018. Accounting for Share-Based Payments to Nonemployees In June 2018, the FASB issued ASU No. 2018-07 to simplify the accounting for share-based payments to nonemployees by aligning it with the accounting for share-based payments to employees, with certain exceptions. Under the guidance, equity-classified nonemployee awards will be measured on and fixed at the grant date, rather than measured at fair value at each reporting date until the date at which the nonemployee’s performance is complete. 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. Early adoption of this ASU was elected on July 1, 2018 and applied by recording a cumulative-effect adjustment to retained earnings as of January 1, 2018, which did not have a material impact on the Company’s financial condition, results of operations or financial statement disclosures. Fair Value Measurement Disclosure Requirements In August 2018, the FASB issued ASU No. 2018-13, which eliminates, adds and modifies certain disclosure requirements for fair value measurements. Under the guidance, entities are no longer required to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, but public companies are required to disclose (1) the changes in unrealized gains and losses for the period included in other comprehensive income for recurring Level 3 fair value measurements of instruments held at the end of the reporting period and (2) the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements. The ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2019, with early adoption permitted. Early adoption of this ASU did not have an impact on the Company’s financial condition or results of operations but resulted in some modified financial statement disclosures. SEC Disclosure Update and Simplification |
Basis of Presentation and Sig_3
Basis of Presentation and Significant Accounting Policies Offsetting Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 and December 31, 2017 : September 30, 2018 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 864,680 $ (461,449 ) $ 403,231 $ (44,643 ) $ — $ 358,588 Reverse repurchase agreements 759,375 — 759,375 (752,861 ) — 6,514 Total Assets $ 1,624,055 $ (461,449 ) $ 1,162,606 $ (797,504 ) $ — $ 365,102 Liabilities Repurchase agreements $ (23,806,631 ) $ — $ (23,806,631 ) $ 23,806,631 $ — $ — Derivative liabilities (1,258,953 ) 461,449 (797,504 ) 797,504 — — Total Liabilities $ (25,065,584 ) $ 461,449 $ (24,604,135 ) $ 24,604,135 $ — $ — December 31, 2017 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 340,576 $ (30,658 ) $ 309,918 $ (31,903 ) $ — $ 278,015 Total Assets $ 340,576 $ (30,658 ) $ 309,918 $ (31,903 ) $ — $ 278,015 Liabilities Repurchase agreements $ (19,451,207 ) $ — $ (19,451,207 ) $ 19,451,207 $ — $ — Derivative liabilities (62,561 ) 30,658 (31,903 ) 31,903 — — Total Liabilities $ (19,513,768 ) $ 30,658 $ (19,483,110 ) $ 19,483,110 $ — $ — ____________________ (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 |
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, 2018 and December 31, 2017 : September 30, 2018 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 864,680 $ (461,449 ) $ 403,231 $ (44,643 ) $ — $ 358,588 Reverse repurchase agreements 759,375 — 759,375 (752,861 ) — 6,514 Total Assets $ 1,624,055 $ (461,449 ) $ 1,162,606 $ (797,504 ) $ — $ 365,102 Liabilities Repurchase agreements $ (23,806,631 ) $ — $ (23,806,631 ) $ 23,806,631 $ — $ — Derivative liabilities (1,258,953 ) 461,449 (797,504 ) 797,504 — — Total Liabilities $ (25,065,584 ) $ 461,449 $ (24,604,135 ) $ 24,604,135 $ — $ — December 31, 2017 Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Balance Sheets (1) (in thousands) Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets (Liabilities) Presented in the Consolidated Balance Sheets Financial Instruments Cash Collateral (Received) Pledged Net Amount Assets Derivative assets $ 340,576 $ (30,658 ) $ 309,918 $ (31,903 ) $ — $ 278,015 Total Assets $ 340,576 $ (30,658 ) $ 309,918 $ (31,903 ) $ — $ 278,015 Liabilities Repurchase agreements $ (19,451,207 ) $ — $ (19,451,207 ) $ 19,451,207 $ — $ — Derivative liabilities (62,561 ) 30,658 (31,903 ) 31,903 — — Total Liabilities $ (19,513,768 ) $ 30,658 $ (19,483,110 ) $ 19,483,110 $ — $ — ____________________ (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 |
Acquisition of CYS Investment_2
Acquisition of CYS Investments, Inc. (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Acquisition of CYS Investments, Inc. [Abstract] | |
Schedule of the calculation of the purchase price of CYS Investments, Inc. | The total purchase price for the merger of $1.4 billion consists primarily of Two Harbors common stock issued in exchange for shares of CYS common stock and was calculated based on the closing price of Two Harbors common stock on July 31, 2018 of $15.50 . (dollars in thousands, except per share prices) July 31, Common Stock Exchange: CYS common stock outstanding 155,102,543 Common exchange ratio 0.4680 Two Harbors common stock to be issued 72,587,990 Less: fractional shares 218 Two Harbors common stock issued 72,587,772 Two Harbors share price $ 15.50 $ 1,125,114 Cash in Lieu of Common Stock: Fractional shares 218 Cash in lieu rate $ 15.59 $ 3 Per Share Cash Consideration: CYS common stock outstanding 155,102,543 Per share cash consideration 0.0965 $ 14,967 Preferred Stock Exchange: Shares Series D preferred stock 3,000,000 $ 75,000 Series E preferred stock 8,000,000 $ 200,000 Total Purchase Price $ 1,415,084 |
Schedule of recognized identified assets acquired and liabilities assumed in acquisition of CYS Investments, Inc. | The total purchase price for the merger including direct transaction costs, which exceeded gross assets acquired less liabilities assumed in the merger, was allocated to the individual assets acquired and liabilities assumed on a relative fair value basis, as shown below: (in thousands) July 31, Assets: Available-for-sale securities, at fair value $ 10,034,557 Cash and cash equivalents 386 Restricted cash 1,062 Accrued interest receivable 30,646 Due from counterparties 21,572 Derivative assets, at fair value 314,811 Reverse repurchase agreements 761,460 Other assets 11,947 Total Assets $ 11,176,441 Liabilities: Repurchase agreements $ 8,743,527 Derivative liabilities, at fair value 765,837 Due to counterparties 301,287 Accrued interest payable 27,487 Other liabilities 821 Total Liabilities 9,838,959 Stockholders’ Equity Cumulative deficit (acquisition transaction costs) (77,602 ) Total Stockholders’ Equity $ (77,602 ) Total Purchase Price $ 1,415,084 |
Schedule of restructuring charges incurred in connection with the acquisition of CYS Investments, Inc. | The Company also incurred the following charges in connection with the acquisition of CYS, which are included within restructuring charges on the Company’s condensed consolidated statements of comprehensive (loss) income , for the three and nine months ended September 30, 2018 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2018 2018 Termination benefits $ 6,216 $ 6,216 Contract terminations 979 979 Other associated costs 1,043 1,043 Total $ 8,238 $ 8,238 The Company does not expect to incur additional restructuring costs related to the acquisition of CYS in 2018 |
Discontinued Operations (Tables
Discontinued Operations (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Discontinued Operations and Disposal Groups [Abstract] | |
Discontinued Operations | Summarized financial information for the discontinued operations are presented below. (in thousands) November 1, Assets: Commercial real estate assets $ 2,233,080 Available-for-sale securities, at fair value 12,814 Cash and cash equivalents 84,183 Restricted cash 2,838 Accrued interest receivable 6,588 Other assets 22,774 Total Assets $ 2,362,277 Liabilities: Repurchase agreements $ 1,516,294 Dividends payable 48 Other liabilities 10,337 Total Liabilities $ 1,526,679 Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2018 2017 2018 2017 Interest income: Commercial real estate assets $ — $ 30,595 $ — $ 80,005 Available-for-sale securities — 265 — 767 Other — 4 — 10 Total interest income — 30,864 — 80,782 Interest expense — 12,497 — 26,376 Net interest income — 18,367 — 54,406 Expenses: Management fees — 3,130 — 6,717 Servicing expenses — 333 — 962 Other operating expenses — 3,388 — 7,561 Total expenses — 6,851 — 15,240 Income from discontinued operations before income taxes — 11,516 — 39,166 Benefit from income taxes — (2 ) — (3 ) Income from discontinued operations — 11,518 — 39,169 Income from discontinued operations attributable to noncontrolling interest — 2,674 — 2,714 Income from discontinued operations attributable to common stockholders $ — $ 8,844 $ — $ 36,455 |
Available-for-Sale Securities_2
Available-for-Sale Securities, at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Debt Securities, Available-for-sale [Abstract] | |
Debt Securities, Available-for-sale | The following table presents the Company’s AFS investment securities by collateral type as of September 30, 2018 and December 31, 2017 : (in thousands) September 30, December 31, Agency Federal National Mortgage Association $ 16,905,970 $ 13,920,721 Federal Home Loan Mortgage Corporation 4,138,060 3,616,967 Government National Mortgage Association 1,074,916 701,037 Non-Agency 3,819,970 2,982,094 Total available-for-sale securities $ 25,938,916 $ 21,220,819 |
Schedule of Available-for-sale Securities Reconciliation | The following tables present the amortized cost and carrying value of AFS securities by collateral type as of September 30, 2018 and December 31, 2017 : September 30, 2018 (in thousands) Principal/ Current Face Un-amortized Premium Accretable Purchase Discount Credit Reserve Purchase Discount Amortized Cost Unrealized Gain Unrealized Loss Carrying Value Agency Principal and interest $ 21,566,476 $ 1,065,985 $ (38,957 ) $ — $ 22,593,504 $ 7,285 $ (665,408 ) $ 21,935,381 Interest-only 3,228,729 218,997 — — 218,997 14,812 (50,244 ) 183,565 Total Agency 24,795,205 1,284,982 (38,957 ) — 22,812,501 22,097 (715,652 ) 22,118,946 Non-Agency Principal and interest 5,076,875 6,566 (684,614 ) (1,194,749 ) 3,204,078 552,816 (9,093 ) 3,747,801 Interest-only 5,196,493 70,511 — — 70,511 4,264 (2,606 ) 72,169 Total Non-Agency 10,273,368 77,077 (684,614 ) (1,194,749 ) 3,274,589 557,080 (11,699 ) 3,819,970 Total $ 35,068,573 $ 1,362,059 $ (723,571 ) $ (1,194,749 ) $ 26,087,090 $ 579,177 $ (727,351 ) $ 25,938,916 December 31, 2017 (in thousands) Principal/ Current Face Un-amortized Premium Accretable Purchase Discount Credit Reserve Purchase Discount Amortized Cost Unrealized Gain Unrealized Loss Carrying Value Agency Principal and interest $ 17,081,849 $ 1,079,246 $ (24,638 ) $ — $ 18,136,457 $ 42,149 $ (134,969 ) $ 18,043,637 Interest-only 2,941,772 223,289 — — 223,289 10,955 (39,156 ) 195,088 Total Agency 20,023,621 1,302,535 (24,638 ) — 18,359,746 53,104 (174,125 ) 18,238,725 Non-Agency Principal and interest 3,758,134 2,757 (676,033 ) (653,613 ) 2,431,245 488,931 (3,166 ) 2,917,010 Interest-only 5,614,925 65,667 — — 65,667 2,163 (2,746 ) 65,084 Total Non-Agency 9,373,059 68,424 (676,033 ) (653,613 ) 2,496,912 491,094 (5,912 ) 2,982,094 Total $ 29,396,680 $ 1,370,959 $ (700,671 ) $ (653,613 ) $ 20,856,658 $ 544,198 $ (180,037 ) $ 21,220,819 |
Debt Securities, Available-for-sale, Classified by Rate Type | The following tables present the carrying value of the Company’s AFS securities by rate type as of September 30, 2018 and December 31, 2017 : September 30, 2018 (in thousands) Agency Non-Agency Total Adjustable Rate $ 19,594 $ 3,446,632 $ 3,466,226 Fixed Rate 22,099,352 373,338 22,472,690 Total $ 22,118,946 $ 3,819,970 $ 25,938,916 December 31, 2017 (in thousands) Agency Non-Agency Total Adjustable Rate $ 23,220 $ 2,622,710 $ 2,645,930 Fixed Rate 18,215,505 359,384 18,574,889 Total $ 18,238,725 $ 2,982,094 $ 21,220,819 |
Debt Securities, Available-for-sale, 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, 2018 : September 30, 2018 (in thousands) Agency Non-Agency Total ≤ 1 year $ 11,626 $ 89,957 $ 101,583 > 1 and ≤ 3 years 110,610 192,192 302,802 > 3 and ≤ 5 years 273,557 399,152 672,709 > 5 and ≤ 10 years 18,130,930 2,501,914 20,632,844 > 10 years 3,592,223 636,755 4,228,978 Total $ 22,118,946 $ 3,819,970 $ 25,938,916 |
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, 2018 and 2017 of the net unamortized discount/premium and designated credit reserves on non-Agency AFS securities. Nine Months Ended September 30, 2018 2017 (in thousands) Designated Credit Reserve Net Unamortized Discount/Premium Total Designated Credit Reserve Net Unamortized Discount/Premium Total Beginning balance at January 1 $ (653,613 ) $ (607,609 ) $ (1,261,222 ) $ (367,437 ) $ (623,440 ) $ (990,877 ) Acquisitions (606,728 ) (37,924 ) (644,652 ) (217,206 ) (111,938 ) (329,144 ) Accretion of net discount — 64,538 64,538 — 67,219 67,219 Realized credit losses 20,983 — 20,983 11,385 — 11,385 Reclassification adjustment for other-than-temporary impairments (363 ) — (363 ) (429 ) — (429 ) Transfers from (to) 44,972 (44,972 ) — 44,412 (44,412 ) — Sales, calls, other — 18,430 18,430 3,588 81,846 85,434 Ending balance at September 30 $ (1,194,749 ) $ (607,537 ) $ (1,802,286 ) $ (525,687 ) $ (630,725 ) $ (1,156,412 ) |
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, 2018 and December 31, 2017 . At September 30, 2018 , the Company held 1,605 AFS securities, of which 522 were in an unrealized loss position for less than twelve consecutive months and 361 were in an unrealized loss position for more than twelve consecutive months. At December 31, 2017 , the Company held 1,435 AFS securities, of which 253 were in an unrealized loss position for less than twelve consecutive months and 234 were in an unrealized loss position for more than twelve consecutive months. Of the $15.4 billion and $12.2 billion of AFS securities in an unrealized loss position for less than twelve consecutive months as of September 30, 2018 and December 31, 2017 , $14.8 billion , or 96.6% , and $12.0 billion , or 98.5% , 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, 2018 $ 15,358,443 $ (309,999 ) $ 6,941,115 $ (417,352 ) $ 22,299,558 $ (727,351 ) December 31, 2017 $ 12,198,870 $ (65,313 ) $ 2,464,544 $ (114,724 ) $ 14,663,414 $ (180,037 ) |
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, 2018 and 2017 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2018 2017 2018 2017 Cumulative credit loss at beginning of period $ (6,663 ) $ (6,035 ) $ (6,395 ) $ (5,606 ) Additions: Other-than-temporary impairments not previously recognized (72 ) — (157 ) (429 ) Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments (23 ) — (206 ) — Reductions: Decreases related to other-than-temporary impairments on securities paid down — — — — Decreases related to other-than-temporary impairments on securities sold — — — — Cumulative credit loss at end of period $ (6,758 ) $ (6,035 ) $ (6,758 ) $ (6,035 ) |
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, 2018 and 2017 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2018 2017 2018 2017 Gross realized gains $ 6,603 $ 408 $ 16,357 $ 57,133 Gross realized losses (48,758 ) (4,342 ) (117,075 ) (78,125 ) Total realized losses on sales, net $ (42,155 ) $ (3,934 ) $ (100,718 ) $ (20,992 ) |
Servicing Activities (Tables)
Servicing Activities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 and 2017 . Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2018 2017 2018 2017 Balance at beginning of period $ 1,450,261 $ 898,025 $ 1,086,717 $ 693,815 Additions from purchases of mortgage servicing rights 201,197 66,280 480,462 340,156 Additions from sales of residential mortgage loans — — — 20 Subtractions from sales of mortgage servicing rights — — — (946 ) Changes in fair value due to: Changes in valuation inputs or assumptions used in the valuation model 62,680 (154 ) 209,610 (23,083 ) Other changes in fair value (1) (42,085 ) (28,595 ) (107,754 ) (66,543 ) Other changes (2) (8,029 ) (4,943 ) (5,011 ) (12,806 ) Balance at end of period $ 1,664,024 $ 930,613 $ 1,664,024 $ 930,613 ____________________ (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, 2018 and December 31, 2017 , 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: 7.3 % 9.8 % Impact on fair value of 10% adverse change $ (45,151 ) $ (40,100 ) Impact on fair value of 20% adverse change $ (87,971 ) $ (77,483 ) Weighted average delinquency: 1.2 % 1.7 % Impact on fair value of 10% adverse change $ (5,824 ) $ (4,274 ) Impact on fair value of 20% adverse change $ (11,593 ) $ (8,875 ) Weighted average discount rate: 9.7 % 9.9 % Impact on fair value of 10% adverse change $ (55,024 ) $ (35,137 ) Impact on fair value of 20% adverse change $ (106,220 ) $ (68,246 ) |
Components of Servicing Revenue | The following table presents the components of servicing income recorded on the Company’s condensed consolidated statements of comprehensive (loss) income for the three and nine months ended September 30, 2018 and 2017 : Three Months Ended Nine Months Ended September 30, September 30, (in thousands) 2018 2017 2018 2017 Servicing fee income $ 80,690 $ 53,989 $ 218,022 $ 141,923 Ancillary and other fee income 358 310 1,004 615 Float income 8,570 3,088 19,447 5,930 Total $ 89,618 $ 57,387 $ 238,473 $ 148,468 |
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, 2018 and December 31, 2017 : September 30, 2018 December 31, 2017 (dollars in thousands) Number of Loans Unpaid Principal Balance Number of Loans Unpaid Principal Balance Mortgage servicing rights 581,677 $ 131,114,538 454,028 $ 101,344,054 Residential mortgage loans in securitization trusts 3,663 2,443,368 3,845 2,618,016 Residential mortgage loans held-for-sale 206 33,448 236 37,632 Other assets 17 1,339 24 2,590 Total serviced mortgage assets 585,563 $ 133,592,693 458,133 $ 104,002,292 |
Residential Mortgage Loans He_2
Residential Mortgage Loans Held-for-Sale, at Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 and December 31, 2017 : (in thousands) September 30, December 31, Unpaid principal balance $ 33,448 $ 37,632 Fair value adjustment (5,911 ) (7,218 ) Carrying value $ 27,537 $ 30,414 |
Cash, Cash Equivalents and Re_2
Cash, Cash Equivalents and Restricted Cash (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents [Abstract] | |
Schedule of Restricted Cash and Cash Equivalents | The following table presents the Company’s restricted cash balances as of September 30, 2018 and December 31, 2017 : (in thousands) September 30, December 31, Restricted cash balances held by trading counterparties: For securities and loan trading activity $ 47,450 $ 27,050 For derivatives trading activity 283,034 191,421 As restricted collateral for repurchase agreements and Federal Home Loan Bank advances 558,088 417,018 Total restricted cash balances held by trading counterparties 888,572 635,489 Restricted cash balance pursuant to letter of credit on office lease 60 347 Total $ 888,632 $ 635,836 |
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, 2018 and December 31, 2017 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 $ 422,851 $ 419,159 Restricted cash 888,632 635,836 Total cash, cash equivalents and restricted cash $ 1,311,483 $ 1,054,995 |
Accrued Interest Receivable (Ta
Accrued Interest Receivable (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 and December 31, 2017 : (in thousands) September 30, December 31, Available-for-sale securities: Agency Federal National Mortgage Association $ 56,484 $ 46,517 Federal Home Loan Mortgage Corporation 16,258 12,255 Government National Mortgage Association 5,987 4,635 Non-Agency 5,492 4,740 Total available-for-sale securities 84,221 68,147 Residential mortgage loans held-for-sale 155 162 Reverse repurchase agreements 881 — Total $ 85,257 $ 68,309 |
Derivative Instruments and He_2
Derivative Instruments and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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 derivatives as of September 30, 2018 and December 31, 2017 . September 30, 2018 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 67,665 $ 498,826 $ — $ — Interest rate swap agreements 238,116 28,128,766 — 2,375,000 Interest rate cap contracts 52,370 2,500,000 — — Swaptions, net 24,912 164,000 — — TBAs 15,212 1,108,000 (43,314 ) 8,216,000 Put and call options for TBAs, net 4,954 780,000 (1,329 ) 130,000 Markit IOS total return swaps 2 49,691 — — Short U.S. Treasuries — — (752,861 ) 800,000 Total $ 403,231 $ 33,229,283 $ (797,504 ) $ 11,521,000 December 31, 2017 Derivative Assets Derivative Liabilities (in thousands) Fair Value Notional Fair Value Notional Inverse interest-only securities $ 91,827 $ 588,246 $ — $ — Interest rate swap agreements 206,773 21,516,125 (29,867 ) 6,966,000 Swaptions, net 10,405 2,666,000 — — TBAs 913 733,000 (1,930 ) 1,306,000 Markit IOS total return swaps — — (106 ) 63,507 Total $ 309,918 $ 25,503,371 $ (31,903 ) $ 8,335,507 |
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 (loss) income : Derivative Instruments Location of Gain (Loss) Recognized in Income on Derivatives Amount of Gain (Loss) Recognized in Income on Derivatives Three Months Ended Nine Months Ended (in thousands) September 30, September 30, 2018 2017 2018 2017 Interest rate risk management TBAs Loss on other derivative instruments $ (45,231 ) $ (16,891 ) $ (55,766 ) $ (45,671 ) Short U.S. Treasuries Loss on other derivative instruments 1,606 — 1,606 — Put and call options for TBAs Loss on other derivative instruments 13,489 (3,405 ) 43,328 (22,467 ) Interest rate swaps - Payers Gain (loss) on interest rate swap, cap and swaption agreements 105,195 17,422 412,291 (27,723 ) Interest rate swaps - Receivers Gain (loss) on interest rate swap, cap and swaption agreements (54,653 ) (5,280 ) (252,375 ) 22,813 Swaptions Gain (loss) on interest rate swap, cap and swaption agreements 24,629 (12,349 ) 94,933 (62,080 ) Interest rate caps Gain (loss) on interest rate swap, cap and swaption agreements 686 — 686 — Markit IOS total return swaps Loss on other derivative instruments (302 ) (134 ) 371 (821 ) Non-risk management Inverse interest-only securities Loss on other derivative instruments (1,025 ) 1,506 (5,274 ) 2,631 Total $ 44,394 $ (19,131 ) $ 239,800 $ (133,318 ) |
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, 2018 and 2017 : Three Months Ended September 30, 2018 (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 $ 529,056 $ — $ (30,230 ) $ 498,826 $ 514,879 $ — Interest rate swap agreements 26,047,264 12,544,820 (8,088,318 ) 30,503,766 30,144,641 (50,240 ) Interest rate cap contracts — 2,500,000 — 2,500,000 1,684,783 — Swaptions, net (738,000 ) 1,164,000 (262,000 ) 164,000 (157,663 ) 10,374 TBAs, net 3,049,000 21,060,000 (14,785,000 ) 9,324,000 6,430,924 (23,067 ) Short U.S. Treasuries — (800,000 ) — (800,000 ) (539,130 ) — Put and call options for TBAs, net (320,000 ) (1,710,000 ) 1,120,000 (910,000 ) (1,106,120 ) 910 Markit IOS total return swaps 51,541 — (1,850 ) 49,691 50,296 (516 ) Total $ 28,618,861 $ 34,758,820 $ (22,047,398 ) $ 41,330,283 $ 37,022,610 $ (62,539 ) 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 Nine Months Ended September 30, 2018 (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 $ 588,246 $ — $ (89,420 ) $ 498,826 $ 544,691 $ — Interest rate swap agreements 28,482,125 37,894,452 (35,872,811 ) 30,503,766 25,588,646 (46,101 ) Interest rate cap contracts — 2,500,000 — 2,500,000 567,766 — Swaptions, net 2,666,000 (74,000 ) (2,428,000 ) 164,000 (2,015,260 ) 78,266 TBAs, net (573,000 ) 38,773,000 (28,876,000 ) 9,324,000 3,210,355 (28,681 ) Short U.S. Treasuries — (800,000 ) — (800,000 ) (181,685 ) — Put and call options for TBAs, net — 2,892,000 (3,802,000 ) (910,000 ) (590,168 ) 39,452 Markit IOS total return swaps 63,507 — (13,816 ) 49,691 57,303 (765 ) Total $ 31,226,878 $ 81,185,452 $ (71,082,047 ) $ 41,330,283 $ 27,181,648 $ 42,171 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 ____________________ (1) |
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, 2018 and December 31, 2017 : September 30, 2018 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 11,916,000 $ 12,393,443 $ 12,351,423 $ 1,159 $ (43,179 ) Sale contracts (2,592,000 ) (2,564,838 ) (2,550,920 ) 14,053 (135 ) TBAs, net $ 9,324,000 $ 9,828,605 $ 9,800,503 $ 15,212 $ (43,314 ) December 31, 2017 Net Carrying Value (4) (in thousands) Notional Amount (1) Cost Basis (2) Market Value (3) Derivative Assets Derivative Liabilities Purchase contracts $ 733,000 $ 769,446 $ 770,359 $ 913 $ — Sale contracts (1,306,000 ) (1,316,367 ) (1,318,297 ) — (1,930 ) TBAs, net $ (573,000 ) $ (546,921 ) $ (547,938 ) $ 913 $ (1,930 ) ___________________ (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 |
Schedule of Interest Rate Swap Payers | As of September 30, 2018 and December 31, 2017 , 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, 2018 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate (2) Weighted Average Maturity (Years) (2) 2018 $ 1,000,000 1.008 % 2.336 % 0.01 2019 4,336,897 1.769 % 2.336 % 1.04 2020 5,140,000 1.705 % 2.334 % 2.07 2021 4,117,000 1.550 % 2.362 % 2.94 2022 and Thereafter 8,807,431 2.309 % 2.343 % 7.14 Total $ 23,401,328 1.876 % 2.343 % 3.77 (notional in thousands) December 31, 2017 Swaps Maturities Notional Amount (1) Weighted Average Fixed Pay Rate (2) Weighted Average Receive Rate (2) Weighted Average Maturity (Years) (2) 2018 $ 4,320,000 1.155 % 1.508 % 0.50 2019 5,448,135 1.767 % 1.386 % 1.79 2020 5,490,000 1.945 % 1.509 % 2.87 2021 2,417,000 1.788 % 1.628 % 3.92 2022 and Thereafter 5,245,000 1.764 % 1.516 % 6.44 Total $ 22,920,135 1.694 % 1.493 % 3.01 ____________________ (1) Notional amount includes $567.8 million and $570.0 million in forward starting interest rate swaps as of September 30, 2018 and December 31, 2017 , respectively. (2) Weighted averages exclude forward starting interest rate swaps. As of September 30, 2018 and December 31, 2017 , the weighted average fixed pay rate on forward starting interest rate swaps was 2.8% and 2.1% , respectively. |
Schedule of Interest Rate Swap Receivers | Additionally, as of September 30, 2018 and December 31, 2017 , 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, 2018 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2020 $ 250,000 2.347 % 2.258 % 1.31 2021 2,477,438 2.338 % 2.736 % 2.49 2022 and Thereafter 4,375,000 2.333 % 2.696 % 7.32 Total $ 7,102,438 2.335 % 2.694 % 5.42 (notional in thousands) December 31, 2017 Swaps Maturities Notional Amounts Weighted Average Pay Rate Weighted Average Fixed Receive Rate Weighted Average Maturity (Years) 2020 $ 200,000 1.391 % 1.642 % 2.60 2021 500,000 1.357 % 1.327 % 3.05 2022 and Thereafter 4,861,990 1.475 % 2.325 % 8.34 Total $ 5,561,990 1.462 % 2.211 % 7.66 |
Schedule of Interest Rate Swaptions | As of September 30, 2018 and December 31, 2017 , the Company had the following outstanding interest rate swaptions that were utilized as macro-economic hedges: September 30, 2018 (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 $ 9,400 $ 30,608 3.64 $ 5,225,000 3.20 % 3M Libor 7.6 Sale contracts: Receiver < 6 Months $ (9,730 ) $ (5,696 ) 3.87 $ (5,061,000 ) 3M Libor 2.70 % 7.7 December 31, 2017 (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 $ 21,380 $ 17,736 4.03 $ 7,200,000 2.27 % 3M Libor 3.8 Receiver < 6 Months $ 4,660 $ 2,982 3.72 $ 2,300,000 3M Libor 2.10 % 10.0 Sale contracts: Payer < 6 Months $ (7,950 ) $ (5,619 ) 4.66 $ (1,693,000 ) 2.70 % 3M Libor 10.0 Receiver < 6 Months $ (16,260 ) $ (4,694 ) 5.17 $ (5,141,000 ) 3M Libor 1.89 % 5.6 |
Schedule of Interest Rate Caps [Table Text Block] | As of September 30, 2018 , the Company held the following interest rate caps that were utilized as economic hedges of interest rate exposure (or duration) whereby the Company receives interest at a three-month LIBOR rate, net of a fixed cap rate: (notional in thousands) September 30, 2018 Caps Maturities Notional Amount Weighted Average Cap Rate Weighted Average Receive Rate Weighted Average Maturity (Years) 2019 $ 800,000 1.344 % 2.339 % 0.78 2020 1,700,000 1.250 % 2.364 % 1.54 Total $ 2,500,000 1.280 % 2.356 % 1.29 The Company did not hold any interest rate caps as of December 31, 2017 |
Schedule of Total Return Swaps | The Company had the following total return swap agreements in place at September 30, 2018 and December 31, 2017 : (notional and dollars in thousands) September 30, 2018 Maturity Date Current Notional Amount Fair Value Cost Basis Unrealized Gain (Loss) January 12, 2043 $ (22,010 ) $ (1 ) $ (30 ) $ 29 January 12, 2044 (27,681 ) 3 (29 ) 32 Total $ (49,691 ) $ 2 $ (59 ) $ 61 (notional and dollars in thousands) December 31, 2017 Maturity Date Current Notional Amount Fair Value Cost Basis Unrealized Gain (Loss) January 12, 2043 $ (24,362 ) $ (24 ) $ 201 $ (225 ) January 12, 2044 (39,145 ) (82 ) 366 (448 ) Total $ (63,507 ) $ (106 ) $ 567 $ (673 ) |
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, 2018 and December 31, 2017 : (in thousands) September 30, December 31, Face Value $ 498,826 $ 588,246 Amortized Cost $ 73,098 $ 86,734 Gross unrealized gains 2,668 6,843 Gross unrealized losses (8,726 ) (2,602 ) Market Value $ 67,040 $ 90,975 |
Other Assets (Tables)
Other Assets (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Other Assets [Abstract] | |
Schedule of Other Assets | Other assets as of September 30, 2018 and December 31, 2017 are summarized in the following table: (in thousands) September 30, December 31, Property and equipment at cost $ 6,970 $ 6,776 Accumulated depreciation (1) (6,107 ) (5,550 ) Net property and equipment 863 1,226 Equity securities, at fair value — 29,413 Prepaid expenses 2,592 1,755 Income taxes receivable 590 130 Deferred tax assets, net (2) 5,751 25,956 Servicing advances 26,134 31,050 Federal Home Loan Bank stock 40,848 53,826 Equity investments 6,529 3,000 Other receivables 39,121 29,482 Total other assets $ 122,428 $ 175,838 ____________________ (1) Depreciation expense for the three and nine months ended September 30, 2018 was $0.2 million and $0.5 million , respectively. (2) Net of valuation allowance of $2.4 million and $2.7 million |
Other Liabilities (Tables)
Other Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Other Liabilities [Abstract] | |
Other Liabilities | Other liabilities as of September 30, 2018 and December 31, 2017 are summarized in the following table: (in thousands) September 30, December 31, Accrued expenses $ 14,979 $ 24,737 Income taxes payable 4 — Other 6,141 3,043 Total other liabilities $ 21,124 $ 27,780 |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 25,898,916 $ 40,000 $ 25,938,916 Mortgage servicing rights — — 1,664,024 1,664,024 Residential mortgage loans held-for-sale — 456 27,081 27,537 Derivative assets 15,212 388,019 — 403,231 Total assets $ 15,212 $ 26,287,391 $ 1,731,105 $ 28,033,708 Liabilities Derivative liabilities $ 43,314 $ 754,190 $ — $ 797,504 Total liabilities $ 43,314 $ 754,190 $ — $ 797,504 Recurring Fair Value Measurements December 31, 2017 (in thousands) Level 1 Level 2 Level 3 Total Assets Available-for-sale securities $ — $ 21,067,678 $ 153,141 $ 21,220,819 Mortgage servicing rights — — 1,086,717 1,086,717 Residential mortgage loans held-for-sale — 474 29,940 30,414 Derivative assets 913 309,005 — 309,918 Equity securities 29,413 — — 29,413 Total assets $ 30,326 $ 21,377,157 $ 1,269,798 $ 22,677,281 Liabilities Derivative liabilities 1,930 29,973 — 31,903 Total liabilities $ 1,930 $ 29,973 $ — $ 31,903 |
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, 2018 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Residential Mortgage Loans Held-For-Sale Beginning of period level 3 fair value $ 153,424 $ 1,450,261 $ 28,351 Gains (losses) included in net income: Realized (losses) gains — (42,089 ) 167 Unrealized gains — 62,680 (1) 129 (3) Net gains (losses) included in net income — 20,591 296 Other comprehensive (loss) income (424 ) — — Purchases — 201,197 — Sales — 4 — Settlements (113,000 ) (8,029 ) (1,566 ) Gross transfers into level 3 — — — Gross transfers out of level 3 — — — End of period level 3 fair value $ 40,000 $ 1,664,024 $ 27,081 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ — $ 62,275 (2) $ 127 (4) Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period $ — $ — $ — Nine Months Ended September 30, 2018 (in thousands) Available-For-Sale Securities Mortgage Servicing Rights Residential Mortgage Loans Held-For-Sale Beginning of period level 3 fair value $ 153,141 $ 1,086,717 $ 29,940 Gains (losses) included in net income: Realized losses — (107,359 ) (41 ) Unrealized gains — 209,610 (1) 901 (3) Net gains (losses) included in net income — 102,251 860 Other comprehensive (loss) income (141 ) — — Purchases — 480,462 — Sales — (395 ) — Settlements (113,000 ) (5,011 ) (3,719 ) Gross transfers into level 3 — — — Gross transfers out of level 3 — — — End of period level 3 fair value $ 40,000 $ 1,664,024 $ 27,081 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period $ — $ 201,666 (2) $ 806 (4) Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period $ — $ — $ — ___________________ (1) The change in unrealized gains or losses on MSR was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive (loss) income . (2) The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in gain (loss) on servicing asset on the condensed consolidated statements of comprehensive (loss) income . (3) The change in unrealized gains or losses on residential mortgage loans held-for-sale was recorded in other income on the condensed consolidated statements of comprehensive (loss) 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 other income on the condensed consolidated statements of comprehensive (loss) 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, 2018 : September 30, 2018 Valuation Technique Unobservable Input (1) Range Weighted Average (2) Discounted cash flow Constant prepayment speed 6.4 - 8.1 % 7.3% Delinquency 0.9 - 1.4 % 1.2% Discount rate 8.6 - 10.8 % 9.7% December 31, 2017 Valuation Technique Unobservable Input (1) Range Weighted Average (2) Discounted cash flow Constant prepayment speed 8.2 - 11.2 % 9.8% Delinquency 1.3 - 2.0 % 1.7% Discount rate 8.3 - 11.2 % 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. (2) |
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 (loss) income for each fair value option-elected item. Three Months Ended September 30, 2018 (in thousands) Interest income (expense) (Loss) gain on investment securities Other income Total included in net income Change in fair value due to credit risk Assets Available-for-sale securities $ (121 ) $ (469 ) $ — $ (590 ) N/A Residential mortgage loans held-for-investment in securitization trusts — (1) — — — $ — (2) Residential mortgage loans held-for-sale 332 (1) — 295 627 (251 ) (3) Liabilities Collateralized borrowings in securitization trusts — — — — — (2) Total $ 211 $ (469 ) $ 295 $ 37 $ (251 ) Three Months Ended September 30, 2017 (in thousands) Interest income (expense) (Loss) gain on investment securities Other income 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 $ 7,162 $ 16,010 $ (400 ) Nine Months Ended September 30, 2018 (in thousands) Interest income (expense) (Loss) gain on investment securities Other income Total included in net income Change in fair value due to credit risk Assets Available-for-sale securities $ (3,438 ) $ 8,848 $ — $ 5,410 N/A Residential mortgage loans held-for-investment in securitization trusts — (1) — — — $ — (2) Residential mortgage loans held-for-sale 988 (1) — 851 1,839 $ (220 ) (3) Liabilities Collateralized borrowings in securitization trusts — — — — — (2) Total $ (2,450 ) $ 8,848 $ 851 $ 7,249 $ (220 ) Nine Months Ended September 30, 2017 (in thousands) Interest income (expense) (Loss) gain on investment securities Other income 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 $ 17,033 $ 40,092 $ (1,281 ) ____________________ (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. September 30, 2018 December 31, 2017 (in thousands) Unpaid Principal Balance Fair Value (1) Unpaid Principal Balance Fair Value (1) Residential mortgage loans held-for-sale Total loans $ 33,448 $ 27,537 $ 37,632 $ 30,414 Nonaccrual loans $ 10,129 $ 8,357 $ 13,511 $ 10,963 Loans 90+ days past due $ 8,932 $ 7,270 $ 12,136 $ 9,857 ____________________ (1) |
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, 2018 and December 31, 2017 . September 30, 2018 December 31, 2017 (in thousands) Carrying Value Fair Value Carrying Value Fair Value Assets Available-for-sale securities $ 25,938,916 $ 25,938,916 $ 21,220,819 $ 21,220,819 Mortgage servicing rights $ 1,664,024 $ 1,664,024 $ 1,086,717 $ 1,086,717 Residential mortgage loans held-for-sale $ 27,537 $ 27,537 $ 30,414 $ 30,414 Cash and cash equivalents $ 422,851 $ 422,851 $ 419,159 $ 419,159 Restricted cash $ 888,632 $ 888,632 $ 635,836 $ 635,836 Derivative assets $ 403,231 $ 403,231 $ 309,918 $ 309,918 Reverse repurchase agreements $ 759,375 $ 759,375 $ — $ — Equity securities $ — $ — $ 29,413 $ 29,413 Federal Home Loan Bank stock $ 40,848 $ 40,848 $ 53,826 $ 53,826 Equity investments $ 6,529 $ 6,529 $ 3,000 $ 3,000 Liabilities Repurchase agreements $ 23,806,631 $ 23,806,631 $ 19,451,207 $ 19,451,207 Federal Home Loan Bank advances $ 865,024 $ 865,024 $ 1,215,024 $ 1,215,024 Revolving credit facilities $ 310,000 $ 310,000 $ 20,000 $ 20,000 Convertible senior notes $ 283,555 $ 296,312 $ 282,827 $ 306,351 Derivative liabilities $ 797,504 $ 797,504 $ 31,903 $ 31,903 |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of Repurchase Agreements By Term, Short or Long | At September 30, 2018 and December 31, 2017 , the repurchase agreement balances were as follows: (in thousands) September 30, December 31, Short-term $ 23,606,631 $ 19,338,707 Long-term 200,000 112,500 Total $ 23,806,631 $ 19,451,207 |
Schedule of Repurchase Agreements by Maturity | At September 30, 2018 and December 31, 2017 , the repurchase agreements had the following characteristics and remaining maturities: September 30, 2018 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 6,408,843 $ 485,289 $ 16,494 $ — $ 6,910,626 30 to 59 days 1,956,414 494,990 13,884 — 2,465,288 60 to 89 days 5,041 — — — 5,041 90 to 119 days 5,034,622 501,372 — — 5,535,994 120 to 364 days 8,099,969 568,631 21,082 — 8,689,682 One year and over — — — 200,000 200,000 Total $ 21,504,889 $ 2,050,282 $ 51,460 $ 200,000 $ 23,806,631 Weighted average borrowing rate 2.32 % 3.59 % 3.20 % 4.37 % 2.45 % December 31, 2017 Collateral Type (in thousands) Agency RMBS Non-Agency Securities Agency Derivatives Mortgage Servicing Rights Total Amount Outstanding Within 30 days $ 3,634,541 $ 613,500 $ 21,423 $ — $ 4,269,464 30 to 59 days 3,522,256 261,835 47,020 — 3,831,111 60 to 89 days 3,165,834 290,628 2,478 — 3,458,940 90 to 119 days 2,119,490 332,614 322 — 2,452,426 120 to 364 days 4,883,432 443,334 — — 5,326,766 One year and over — — — 112,500 112,500 Total $ 17,325,553 $ 1,941,911 $ 71,243 $ 112,500 $ 19,451,207 Weighted average borrowing rate 1.53 % 2.98 % 2.15 % 3.78 % 1.69 % |
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 $ 23,636,891 $ 19,780,175 Mortgage servicing rights, at fair value 733,206 424,740 Cash and cash equivalents — 15,000 Restricted cash 558,088 417,018 Due from counterparties 1,219,860 773,422 Derivative assets, at fair value 66,980 90,895 Total $ 26,215,025 $ 21,501,250 |
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, 2018 and December 31, 2017 : September 30, 2018 December 31, 2017 (dollars in thousands) Amount Outstanding Net Counterparty Exposure (1) Percent of Equity Weighted Average Days to Maturity Amount Outstanding Net Counterparty Exposure (1) Percent of Equity Weighted Average Days to Maturity Royal Bank of Canada $ 1,898,455 $ 316,471 7 % 146 $ 1,261,956 $ 223,347 6 % 75 All other counterparties (2) 21,908,176 1,590,085 34 % 87 18,189,251 1,519,776 43 % 84 Total $ 23,806,631 $ 1,906,556 $ 19,451,207 $ 1,743,123 ____________________ (1) Represents the net carrying value of the 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 $421.1 million are not included in the September 30, 2018 amounts presented above. The Company did not have any such payables at December 31, 2017 . (2) Represents amounts outstanding with 34 and 26 counterparties at September 30, 2018 and December 31, 2017 |
Federal Home Loan Bank of Des_2
Federal Home Loan Bank of Des Moines Advances (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Advances from Federal Home Loan Banks [Abstract] | |
Schedule of Maturities of Federal Home Loan Bank Advances | At September 30, 2018 and December 31, 2017 , FHLB advances had the following remaining maturities: (in thousands) September 30, December 31, ≤ 1 year $ 815,024 $ — > 1 and ≤ 3 years — 815,024 > 3 and ≤ 5 years — — > 5 and ≤ 10 years — — > 10 years 50,000 400,000 Total $ 865,024 $ 1,215,024 |
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 $ 913,608 $ 1,210,715 Due from counterparties — 62,959 Total $ 913,608 $ 1,273,674 |
Revolving Credit Facilities (Ta
Revolving Credit Facilities (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Revolving Credit Facilities [Abstract] | |
Schedule of Line of Credit Facilities | At September 30, 2018 and December 31, 2017 , borrowings under revolving credit facilities had the following remaining maturities: (in thousands) September 30, December 31, Within 30 days $ — $ — 30 to 59 days — — 60 to 89 days 20,000 — 90 to 119 days — — 120 to 364 days — 20,000 One year and over 290,000 — Total $ 310,000 $ 20,000 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Equity [Abstract] | |
Preferred Stock | The following table presents cash dividends declared by the Company on its preferred stock since their issuances: Declaration Date Record Date Payment Date Cash Dividend Per Preferred Share Series A Preferred Stock: September 20, 2018 October 12, 2018 October 29, 2018 $ 0.507810 June 19, 2018 July 12, 2018 July 27, 2018 $ 0.507810 March 20, 2018 April 12, 2018 April 27, 2018 $ 0.507810 December 14, 2017 January 12, 2018 January 29, 2018 $ 0.507810 September 14, 2017 October 12, 2017 October 27, 2017 $ 0.507810 June 15, 2017 July 12, 2017 July 27, 2017 $ 0.750430 Series B Preferred Stock: September 20, 2018 October 12, 2018 October 29, 2018 $ 0.476560 June 19, 2018 July 12, 2018 July 27, 2018 $ 0.476560 March 20, 2018 April 12, 2018 April 27, 2018 $ 0.476560 December 14, 2017 January 12, 2018 January 29, 2018 $ 0.476560 September 14, 2017 October 12, 2017 October 27, 2017 $ 0.518920 Series C Preferred Stock: September 20, 2018 October 12, 2018 October 29, 2018 $ 0.453130 June 19, 2018 July 12, 2018 July 27, 2018 $ 0.453130 March 20, 2018 April 12, 2018 April 27, 2018 $ 0.453130 December 14, 2017 January 12, 2018 January 29, 2018 $ 0.302080 Series D Preferred Stock: September 20, 2018 October 1, 2018 October 15, 2018 $ 0.484375 Series E Preferred Stock: September 20, 2018 October 1, 2018 October 15, 2018 $ 0.468750 |
Schedule of Stock by Class | The following table presents a reconciliation of the common shares outstanding for the nine months ended September 30, 2018 and 2017 : Number of common shares Common shares outstanding, December 31, 2016 173,826,163 Issuance of common stock 19,688 Issuance of restricted stock (1) 643,505 Common shares outstanding, September 30, 2017 174,489,356 Common shares outstanding, December 31, 2017 174,496,587 Issuance of common stock 72,608,932 Issuance of restricted stock (1) 972,651 Common shares outstanding, September 30, 2018 248,078,170 ____________________ (1) Represents shares of restricted stock granted under the Second Restated 2009 Equity Incentive Plan, net of forfeitures, of which 1,593,701 restricted shares remained subject to vesting requirements at September 30, 2018 |
Dividends Declared | The following table presents cash dividends declared by the Company on its common stock from December 31, 2016 through September 30, 2018 : Declaration Date Record Date Payment Date Cash Dividend Per Common Share September 20, 2018 October 1, 2018 October 29, 2018 $ 0.311630 July 13, 2018 July 25, 2018 July 30, 2018 $ 0.158370 June 19, 2018 June 29, 2018 July 27, 2018 $ 0.470000 March 20, 2018 April 2, 2018 April 27, 2018 $ 0.470000 December 14, 2017 December 26, 2017 December 29, 2017 $ 0.470000 September 14, 2017 September 29, 2017 October 27, 2017 $ 0.520000 June 15, 2017 June 30, 2017 July 27, 2017 $ 0.520000 March 14, 2017 March 31, 2017 April 27, 2017 $ 0.500000 |
Schedule of Accumulated Other Comprehensive Income (Loss) | Accumulated other comprehensive (loss) income at September 30, 2018 and December 31, 2017 was as follows: (in thousands) September 30, December 31, Available-for-sale securities Unrealized gains $ 522,365 $ 475,694 Unrealized losses (677,094 ) (140,881 ) Accumulated other comprehensive (loss) income $ (154,729 ) $ 334,813 |
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, 2018 and 2017 : Affected Line Item in the Condensed Consolidated Statements of Comprehensive (Loss) Income Amount Reclassified out of Accumulated Other Comprehensive (Loss) Income Three Months Ended Nine Months Ended (in thousands) September 30, September 30, 2018 2017 2018 2017 Other-than-temporary impairments on AFS securities Total other-than-temporary impairment losses $ 95 $ — $ 363 $ 429 Realized losses (gains) on sales of certain AFS securities, net of tax (Loss) gain on investment securities 30,368 4,220 52,654 7,386 Total $ 30,463 $ 4,220 $ 53,017 $ 7,815 |
Equity Incentive Plan (Tables)
Equity Incentive Plan (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 and 2017 : Nine Months Ended September 30, 2018 2017 Shares Weighted Average Grant Date Fair Market Value Shares Weighted Average Grant Date Fair Market Value Outstanding at Beginning of Period 1,284,010 $ 17.15 1,319,712 $ 17.10 Granted 996,924 14.96 671,845 17.60 Vested (673,118 ) (17.12 ) (645,325 ) (17.90 ) Forfeited (14,115 ) (15.59 ) (22,789 ) (17.90 ) Outstanding at End of Period 1,593,701 $ 15.81 1,323,443 $ 16.95 |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
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, 2018 and 2017 . All per share amounts, common shares outstanding and restricted shares for all periods presented reflect the Company’s one-for-two reverse stock split effected on November 1, 2017 (refer to Note 18 - Stockholders’ Equity for additional information). Three Months Ended Nine Months Ended September 30, September 30, (in thousands, except share data) 2018 2017 2018 2017 Numerator: Net income from continuing operations $ 35,946 $ 93,220 $ 510,245 $ 146,212 Income from discontinued operations, net of tax — 11,518 — 39,169 Net income 35,946 104,738 510,245 185,381 Income from discontinued operations attributable to noncontrolling interest — 2,674 — 2,714 Net income attributable to Two Harbors Investment Corp. 35,946 102,064 510,245 182,667 Dividends on preferred stock 18,951 8,888 46,445 13,173 Net income attributable to common stockholders - basic 16,995 93,176 463,800 169,494 Interest expense attributable to convertible notes (1) — 4,727 14,151 — Net income attributable to common stockholders - diluted $ 16,995 $ 97,903 $ 477,951 $ 169,494 Denominator: Weighted average common shares outstanding 222,805,735 173,162,988 190,229,850 173,022,717 Weighted average restricted stock shares 1,593,701 1,325,308 1,616,362 1,392,515 Basic weighted average shares outstanding 224,399,436 174,488,296 191,846,212 174,415,232 Effect of dilutive shares issued in an assumed conversion — 14,419,060 17,760,934 — Diluted weighted average shares outstanding 224,399,436 188,907,356 209,607,146 174,415,232 Basic Earnings Per Share: Continuing operations $ 0.08 $ 0.48 $ 2.42 $ 0.76 Discontinued operations — 0.05 — 0.21 Net income $ 0.08 $ 0.53 $ 2.42 $ 0.97 Diluted Earnings Per Share: Continuing operations $ 0.08 $ 0.47 $ 2.28 $ 0.76 Discontinued operations — 0.05 — 0.21 Net income $ 0.08 $ 0.52 $ 2.28 $ 0.97 ___________________ (1) |
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 |
Organization and Operations [Abstract] | |
Number of shares of common stock of Granite Point Mortgage Trust Inc distributed via special dividend (in shares) | 33,100,000 |
Organization and Operations Acq
Organization and Operations Acquisition of CYS Investments, Inc. (Details) - USD ($) $ in Thousands | 1 Months Ended | 9 Months Ended | |
Jul. 31, 2018 | Sep. 30, 2018 | Sep. 30, 2017 | |
Class of Stock [Line Items] | |||
Aggregate cash consideration exchanged for shares of CYS common stock | $ 14,967 | ||
Common Stock [Member] | |||
Class of Stock [Line Items] | |||
Number of shares of stock issued during period (in shares) | 72,587,772 | 72,608,932 | 19,688 |
Series D Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Number of shares of stock issued during period (in shares) | 3,000,000 | ||
Series E Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Number of shares of stock issued during period (in shares) | 8,000,000 |
Basis of Presentation and Sig_4
Basis of Presentation and Significant Accounting Policies Consolidation and Basis of Presentation (Details) | Nov. 01, 2017shares |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
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 Sig_5
Basis of Presentation and Significant Accounting Policies Asset Acquisition (Details) | Jul. 31, 2018 |
Basis of Presentation and Significant Accounting Policies [Abstract] | |
Agency RMBS, as a percentage of gross assets, acquired in connection with the acquisition of CYS Investments, Inc. | 89.00% |
Basis of Presentation and Sig_6
Basis of Presentation and Significant Accounting Policies Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Offsetting [Abstract] | ||
Gross amount of recognized derivative assets | $ 864,680 | $ 340,576 |
Gross amount of derivative liabilities offset against derivative assets in the balance sheet | (461,449) | (30,658) |
Net amount of derivative assets presented in the balance sheet | 403,231 | 309,918 |
Gross amount of derivative liabilities not offset against derivative assets in the balance sheet | (44,643) | (31,903) |
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 | 358,588 | 278,015 |
Gross amount of recognized reverse repurchase agreements | 759,375 | |
Gross amount of financial liabilities offset against reverse repurchase agreements in the balance sheet | 0 | |
Net amount of reverse repurchase agreements presented in the balance sheet | 759,375 | |
Gross amount of financial liabilities not offset against reverse repurchase agreements in the balance sheet | (752,861) | |
Gross amount of cash collateral received not offset against reverse repurchase agreements in the balance sheet | 0 | |
Securities Purchased under Agreements to Resell, Offset Against Collateral, Net of Not Subject to Master Netting Arrangement, Policy Election | 6,514 | |
Gross amount of recognized assets subject to master netting arrangements or similar agreements | 1,624,055 | 340,576 |
Gross amount of liabilities offset against assets subject to master netting arrangements or similar agreements in the balance sheet | (461,449) | (30,658) |
Net amount of assets subject to master netting arrangements or similar agreements presented in the balance sheet | 1,162,606 | 309,918 |
Gross amount of liabilities not offset against assets subject to master netting arrangements or similar agreements in the balance sheet | (797,504) | (31,903) |
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 | 365,102 | 278,015 |
Gross amount of recognized repurchase agreements | (23,806,631) | (19,451,207) |
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 | (23,806,631) | (19,451,207) |
Gross amount of financial assets not offset against repurchase agreements in the balance sheet | 23,806,631 | 19,451,207 |
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 | (1,258,953) | (62,561) |
Gross amount of derivative assets offset against derivative liabilities in the balance sheet | 461,449 | 30,658 |
Net amount of derivative liabilities presented in the balance sheet | (797,504) | (31,903) |
Gross amount of derivatives assets not offset against derivative liabilities in the balance sheet | 797,504 | 31,903 |
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 | (25,065,584) | (19,513,768) |
Gross amount of assets offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 461,449 | 30,658 |
Net amount of liabilities subject to master netting arrangements or similar agreements presented in the balance sheet | (24,604,135) | (19,483,110) |
Gross amount of assets not offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 24,604,135 | 19,483,110 |
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 Sig_7
Basis of Presentation and Significant Accounting Policies Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income (Details) $ in Thousands | Dec. 31, 2017USD ($) |
Cumulative effect of adoption of new accounting principles | $ 0 |
Cumulative Earnings | |
Cumulative effect of adoption of new accounting principles | $ (9,943) |
Acquisition of CYS Investment_3
Acquisition of CYS Investments, Inc. (Details) $ / shares in Units, $ in Thousands | 1 Months Ended | 9 Months Ended | |
Jul. 31, 2018USD ($)$ / sharesshares | Sep. 30, 2018shares | Sep. 30, 2017shares | |
Class of Stock [Line Items] | |||
Aggregate cash consideration exchanged for shares of CYS common stock | $ | $ 14,967 | ||
Cash consideration provided to CYS common stockholders (in usd per share) | $ / shares | $ 0.0965 | ||
Exchange ratio for number of shares of Two Harbors common stock issued | 0.4680 | ||
Common Stock [Member] | |||
Class of Stock [Line Items] | |||
Number of shares of stock issued during period (in shares) | 72,587,772 | 72,608,932 | 19,688 |
Series D Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Number of shares of stock issued during period (in shares) | 3,000,000 | ||
Series E Preferred Stock [Member] | |||
Class of Stock [Line Items] | |||
Number of shares of stock issued during period (in shares) | 8,000,000 |
Acquisition of CYS Investment_4
Acquisition of CYS Investments, Inc. Calculation of the Purchase Price of CYS Investments, Inc. (Details) | 1 Months Ended | 9 Months Ended | |||
Jul. 31, 2018USD ($)$ / sharesshares | Sep. 30, 2018USD ($)shares | Sep. 30, 2017shares | Dec. 31, 2017USD ($)shares | Dec. 31, 2016shares | |
Business Acquisition, Equity Interests Issued or Issuable [Line Items] | |||||
Total Purchase Price | $ | $ 1,415,084,000 | ||||
Common stock share price (in usd per share) | $ / shares | $ 15.50 | ||||
CYS common shares outstanding (in shares) | shares | 248,078,170 | 174,496,587 | |||
Exchange ratio for number of shares of Two Harbors common stock issued | 0.4680 | ||||
Number of shares of common stock issuable in connection with the acquisition of CYS Investments, Inc. (in shares) | shares | 72,587,990 | ||||
Number of fractional shares of common stock not issued in connection with the acquisition of CYS Investments, Inc. (in shares) | shares | 218 | ||||
Value of common stock issued in connection with the acquisition of CYS Investments, Inc. | $ | $ 1,400,114,000 | ||||
Price per share paid to CYS common stockholders for fractional shares not issued in connection with the acquisition (in usd per share) | $ / shares | $ 15.59 | ||||
Total cash paid to CYS common stockholders for fractional shares not issued in connection with the acquisition | $ | $ 3,000 | ||||
Cash consideration provided to CYS common stockholders (in usd per share) | $ / shares | $ 0.0965 | ||||
Aggregate cash consideration exchanged for shares of CYS common stock | $ | $ 14,967,000 | ||||
Preferred stock liquidation preference | $ | $ 1,001,250,000 | $ 726,250,000 | |||
CYS Investments, Inc. [Member] | |||||
Business Acquisition, Equity Interests Issued or Issuable [Line Items] | |||||
CYS common shares outstanding (in shares) | shares | 155,102,543 | ||||
Common Stock [Member] | |||||
Business Acquisition, Equity Interests Issued or Issuable [Line Items] | |||||
CYS common shares outstanding (in shares) | shares | 248,078,170 | 174,489,356 | 174,496,587 | 173,826,163 | |
Number of shares of stock issued during period (in shares) | shares | 72,587,772 | 72,608,932 | 19,688 | ||
Series D Preferred Stock [Member] | |||||
Business Acquisition, Equity Interests Issued or Issuable [Line Items] | |||||
Number of shares of stock issued during period (in shares) | shares | 3,000,000 | ||||
Preferred stock liquidation preference | $ | $ 75,000,000 | ||||
Series E Preferred Stock [Member] | |||||
Business Acquisition, Equity Interests Issued or Issuable [Line Items] | |||||
Number of shares of stock issued during period (in shares) | shares | 8,000,000 | ||||
Preferred stock liquidation preference | $ | $ 200,000,000 | ||||
Common Stock Including Additional Paid in Capital | |||||
Business Acquisition, Equity Interests Issued or Issuable [Line Items] | |||||
Value of common stock issued in connection with the acquisition of CYS Investments, Inc. | $ | $ 1,125,114,000 |
Acquisition of CYS Investment_5
Acquisition of CYS Investments, Inc. Allocation of Purchase Price to Assets Acquired and LIabilities Assumed (Details) $ in Thousands | Jul. 31, 2018USD ($) |
Acquisition of CYS Investments, Inc. [Abstract] | |
Available-for-sale securities, at fair value | $ 10,034,557 |
Cash and cash equivalents | 386 |
Restricted cash | 1,062 |
Accrued interest receivable | 30,646 |
Due from counterparties | 21,572 |
Derivative assets, at fair value | 314,811 |
Reverse repurchase agreements | 761,460 |
Other assets | 11,947 |
Total Assets | 11,176,441 |
Repurchase agreements | 8,743,527 |
Derivative liabilities, at fair value | 765,837 |
Due to counterparties | 301,287 |
Accrued interest payable | 27,487 |
Other liabilities | 821 |
Total Liabilities | 9,838,959 |
Cumulative deficit (acquisition transaction costs) | (77,602) |
Total Purchase Price | $ 1,415,084 |
Acquisition of CYS Investment_6
Acquisition of CYS Investments, Inc. Restructuring Charges (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Acquisition of CYS Investments, Inc. [Abstract] | ||||
Termination benefits | $ 6,216 | $ 6,216 | ||
Contract terminations | 979 | 979 | ||
Other associated costs | 1,043 | 1,043 | ||
Restructuring charges | $ 8,238 | $ 0 | $ 8,238 | $ 0 |
Discontinued Operations (Detail
Discontinued Operations (Details) - USD ($) $ in Thousands | Nov. 01, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Jun. 28, 2017 |
Discontinued Operations and Disposal Groups [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% | |||||
Number of shares of common stock of Granite Point Mortgage Trust Inc distributed via special dividend (in shares) | 33,100,000 | |||||
Disposal Group, Including Discontinued Operation, Balance Sheet Disclosures [Abstract] | ||||||
Commercial real estate assets | $ 2,233,080 | |||||
Available-for-sale securities, at fair value | 12,814 | |||||
Cash and cash equivalents | 84,183 | |||||
Restricted cash | 2,838 | |||||
Accrued interest receivable | 6,588 | |||||
Other assets | 22,774 | |||||
Total Assets | 2,362,277 | |||||
Repurchase agreements | 1,516,294 | |||||
Dividends payable | 48 | |||||
Other liabilities | 10,337 | |||||
Total Liabilities | $ 1,526,679 | |||||
Disposal Group, Including Discontinued Operation, Income Statement Disclosures [Abstract] | ||||||
Commercial real estate assets | $ 0 | $ 30,595 | $ 0 | $ 80,005 | ||
Available-for-sale securities | 0 | 265 | 0 | 767 | ||
Other | 0 | 4 | 0 | 10 | ||
Total interest income | 0 | 30,864 | 0 | 80,782 | ||
Interest expense | 0 | 12,497 | 0 | 26,376 | ||
Net interest income | 0 | 18,367 | 0 | 54,406 | ||
Management fees | 0 | 3,130 | 0 | 6,717 | ||
Servicing expenses | 0 | 333 | 0 | 962 | ||
Other operating expenses | 0 | 3,388 | 0 | 7,561 | ||
Total expenses | 0 | 6,851 | 0 | 15,240 | ||
Income from discontinued operations before income taxes | 0 | 11,516 | 0 | 39,166 | ||
Benefit from income taxes | 0 | (2) | 0 | (3) | ||
Income from discontinued operations, net of tax | 0 | 11,518 | 0 | 39,169 | ||
Income from discontinued operations attributable to noncontrolling interest | 0 | 2,674 | 0 | 2,714 | ||
Income from discontinued operations attributable to common stockholders | $ 0 | $ 8,844 | $ 0 | $ 36,455 |
Available-for-Sale Securities_3
Available-for-Sale Securities, at Fair Value (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | $ 25,938,916 | $ 21,220,819 |
Available-for-sale securities, at fair value, pledged as collateral for borrowings | 24,600,000 | 21,000,000 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 16,905,970 | 13,920,721 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 4,138,060 | 3,616,967 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | 1,074,916 | 701,037 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale securities, at fair value | $ 3,819,970 | $ 2,982,094 |
Available-for-Sale Securities_4
Available-for-Sale Securities, at Fair Value Nonconsolidated Variable Interest Entities (Details) - Mortgage-backed Securities, Issued by Private Enterprises [Member] - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Variable Interest Entity [Line Items] | ||
Assets of nonconsolidated Variable Interest Entities | $ 3,800,000 | $ 3,000,000 |
Maximum exposure to loss of nonconsolidated Variable Interest Entities | $ 3,819,970 | $ 2,982,094 |
Schedule of Available-for-sale
Schedule of Available-for-sale Securities Reconciliation (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Debt Securities, Available-for-sale [Line Items] | ||
Principal/Current Face | $ 35,068,573 | $ 29,396,680 |
Unamortized Premium | 1,362,059 | 1,370,959 |
Accretable Purchase Discount | 723,571 | 700,671 |
Credit Reserve Purchase Discount | 1,194,749 | 653,613 |
Amortized Cost | 26,087,090 | 20,856,658 |
Unrealized Gain | 579,177 | 544,198 |
Unrealized Loss | 727,351 | 180,037 |
Available-for-sale securities, at fair value | 25,938,916 | 21,220,819 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/Current Face | 24,795,205 | 20,023,621 |
Unamortized Premium | 1,284,982 | 1,302,535 |
Accretable Purchase Discount | 38,957 | 24,638 |
Credit Reserve Purchase Discount | 0 | 0 |
Amortized Cost | 22,812,501 | 18,359,746 |
Unrealized Gain | 22,097 | 53,104 |
Unrealized Loss | 715,652 | 174,125 |
Available-for-sale securities, at fair value | 22,118,946 | 18,238,725 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/Current Face | 10,273,368 | 9,373,059 |
Unamortized Premium | 77,077 | 68,424 |
Accretable Purchase Discount | 684,614 | 676,033 |
Credit Reserve Purchase Discount | 1,194,749 | 653,613 |
Amortized Cost | 3,274,589 | 2,496,912 |
Unrealized Gain | 557,080 | 491,094 |
Unrealized Loss | 11,699 | 5,912 |
Available-for-sale securities, at fair value | 3,819,970 | 2,982,094 |
Interest-Only-Strip [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/Current Face | 3,228,729 | 2,941,772 |
Unamortized Premium | 218,997 | 223,289 |
Accretable Purchase Discount | 0 | 0 |
Credit Reserve Purchase Discount | 0 | 0 |
Amortized Cost | 218,997 | 223,289 |
Unrealized Gain | 14,812 | 10,955 |
Unrealized Loss | 50,244 | 39,156 |
Available-for-sale securities, at fair value | 183,565 | 195,088 |
Interest-Only-Strip [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/Current Face | 5,196,493 | 5,614,925 |
Unamortized Premium | 70,511 | 65,667 |
Accretable Purchase Discount | 0 | 0 |
Credit Reserve Purchase Discount | 0 | 0 |
Amortized Cost | 70,511 | 65,667 |
Unrealized Gain | 4,264 | 2,163 |
Unrealized Loss | 2,606 | 2,746 |
Available-for-sale securities, at fair value | 72,169 | 65,084 |
Fixed Income Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/Current Face | 21,566,476 | 17,081,849 |
Unamortized Premium | 1,065,985 | 1,079,246 |
Accretable Purchase Discount | 38,957 | 24,638 |
Credit Reserve Purchase Discount | 0 | 0 |
Amortized Cost | 22,593,504 | 18,136,457 |
Unrealized Gain | 7,285 | 42,149 |
Unrealized Loss | 665,408 | 134,969 |
Available-for-sale securities, at fair value | 21,935,381 | 18,043,637 |
Fixed Income Securities [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/Current Face | 5,076,875 | 3,758,134 |
Unamortized Premium | 6,566 | 2,757 |
Accretable Purchase Discount | 684,614 | 676,033 |
Credit Reserve Purchase Discount | 1,194,749 | 653,613 |
Amortized Cost | 3,204,078 | 2,431,245 |
Unrealized Gain | 552,816 | 488,931 |
Unrealized Loss | 9,093 | 3,166 |
Available-for-sale securities, at fair value | $ 3,747,801 | $ 2,917,010 |
Available-for-sale Securities C
Available-for-sale Securities Classified by Rate Type (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Debt Securities, Available-for-sale [Line Items] | ||
Adjustable Rate | $ 3,466,226 | $ 2,645,930 |
Fixed Rate | 22,472,690 | 18,574,889 |
Available-for-sale securities, at fair value | 25,938,916 | 21,220,819 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Adjustable Rate | 19,594 | 23,220 |
Fixed Rate | 22,099,352 | 18,215,505 |
Available-for-sale securities, at fair value | 22,118,946 | 18,238,725 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Adjustable Rate | 3,446,632 | 2,622,710 |
Fixed Rate | 373,338 | 359,384 |
Available-for-sale securities, at fair value | $ 3,819,970 | $ 2,982,094 |
Available-for-Sale Securities_5
Available-for-Sale Securities, Weighted Average Life Classifications (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | $ 101,583 | |
Greater than 1 year and less than or equal to 3 years | 302,802 | |
Greater than 3 years and less than or equal to 5 years | 672,709 | |
Greater than 5 years and less than or equal to 10 years | 20,632,844 | |
Greater than 10 years | 4,228,978 | |
Available-for-sale securities, at fair value | 25,938,916 | $ 21,220,819 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | 11,626 | |
Greater than 1 year and less than or equal to 3 years | 110,610 | |
Greater than 3 years and less than or equal to 5 years | 273,557 | |
Greater than 5 years and less than or equal to 10 years | 18,130,930 | |
Greater than 10 years | 3,592,223 | |
Available-for-sale securities, at fair value | 22,118,946 | 18,238,725 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than or equal to 1 year | 89,957 | |
Greater than 1 year and less than or equal to 3 years | 192,192 | |
Greater than 3 years and less than or equal to 5 years | 399,152 | |
Greater than 5 years and less than or equal to 10 years | 2,501,914 | |
Greater than 10 years | 636,755 | |
Available-for-sale securities, at fair value | $ 3,819,970 | $ 2,982,094 |
Schedule of Available-for-sal_2
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, 2018 | Sep. 30, 2017 | |
Debt Securities, Available-for-sale, Designated Credit Reserve [Member] | ||
Debt Securities, Available-for-sale, Unamortized Discount [Roll Forward] | ||
Total discount/premium on available-for-sale securities, beginning balance | $ 653,613 | $ 367,437 |
Acquisitions | 606,728 | 217,206 |
Accretion of net discount | 0 | 0 |
Realized credit losses | 20,983 | 11,385 |
Reclassification adjustment for other-than-temporary impairments | 363 | 429 |
Transfers from (to) | (44,972) | (44,412) |
Sales, calls, other | 0 | 3,588 |
Total discount/premium on available-for-sale securities, ending balance | 1,194,749 | 525,687 |
Debt Securities, Available-for-sale, Net Unamortized Discount/Premium [Member] | ||
Debt Securities, Available-for-sale, Unamortized Discount [Roll Forward] | ||
Total discount/premium on available-for-sale securities, beginning balance | 607,609 | 623,440 |
Acquisitions | 37,924 | 111,938 |
Accretion of net discount | (64,538) | (67,219) |
Realized credit losses | 0 | 0 |
Reclassification adjustment for other-than-temporary impairments | 0 | 0 |
Transfers from (to) | 44,972 | 44,412 |
Sales, calls, other | 18,430 | 81,846 |
Total discount/premium on available-for-sale securities, ending balance | 607,537 | 630,725 |
Debt Securities, Available-for-sale, Total Discount/Premium [Member] | ||
Debt Securities, Available-for-sale, Unamortized Discount [Roll Forward] | ||
Total discount/premium on available-for-sale securities, beginning balance | 1,261,222 | 990,877 |
Acquisitions | 644,652 | 329,144 |
Accretion of net discount | (64,538) | (67,219) |
Realized credit losses | 20,983 | 11,385 |
Reclassification adjustment for other-than-temporary impairments | 363 | 429 |
Transfers from (to) | 0 | 0 |
Sales, calls, other | 18,430 | 85,434 |
Total discount/premium on available-for-sale securities, ending balance | $ 1,802,286 | $ 1,156,412 |
Available-for-Sale Securities_6
Available-for-Sale Securities, at Fair Value Schedule of Unrealized Loss on Investments (Details) $ in Thousands | Sep. 30, 2018USD ($)position | Dec. 31, 2017USD ($)position |
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Number of Positions | position | 1,605 | 1,435 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Number of Positions | position | 522 | 253 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Number of Positions | position | 361 | 234 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | $ 15,358,443 | $ 12,198,870 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Percent Agency | 96.60% | 98.50% |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | $ (309,999) | $ (65,313) |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 6,941,115 | 2,464,544 |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (417,352) | (114,724) |
Debt Securities, Available-for-sale, Unrealized Loss Position | 22,299,558 | 14,663,414 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (727,351) | (180,037) |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months | $ 14,800,000 | $ 12,000,000 |
Available-for-Sale Securities_7
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, 2018USD ($) | Sep. 30, 2017USD ($)position | Sep. 30, 2018USD ($)position | Sep. 30, 2017USD ($) | |
Debt Securities, Available-for-sale [Abstract] | ||||
Other-than-temporary impairment losses | $ (95) | $ 0 | $ (363) | $ (429) |
Other than Temporary Impairment Losses, Investments, Number, Available-for-sale Securities | position | 1 | 3 | ||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Market Value | $ 140,300 | $ 140,300 | ||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Weighted Average Cumulative Losses | 8.30% | |||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Weighted Average Three-Month Prepayment Speed | 0.070 | |||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Delinquency Rate | 19.00% | |||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Weighted Average FICO Score | 668 | |||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||||
Cumulative credit loss at beginning of period | $ (6,663) | $ (6,035) | (6,395) | (5,606) |
Other-than-temporary impairments not previously recognized | (72) | 0 | (157) | (429) |
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | (23) | 0 | (206) | 0 |
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 | 0 |
Cumulative credit loss at end of period | $ (6,758) | $ (6,035) | $ (6,758) | $ (6,035) |
Available-for-Sale Securities_8
Available-for-Sale Securities, at Fair Value Schedule of Realized Gain (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Debt Securities, Available-for-sale [Abstract] | ||||
Proceeds from sales of available-for-sale securities | $ 5,400,000 | $ 600,000 | $ 9,156,686 | $ 5,726,616 |
Amortized cost of available-for-sale securities sold | 5,500,000 | 600,000 | 9,300,000 | 5,700,000 |
Gross realized gains | 6,603 | 408 | 16,357 | 57,133 |
Gross realized losses | (48,758) | (4,342) | (117,075) | (78,125) |
Total realized losses on sales, net | $ (42,155) | $ (3,934) | $ (100,718) | $ (20,992) |
Rollforward of Mortgage Servici
Rollforward of Mortgage Servicing Rights, at Fair Value (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Servicing Asset at Fair Value, Amount [Roll Forward] | |||||
Mortgage servicing rights, at fair value, at beginning of period | $ 1,450,261 | $ 898,025 | $ 1,086,717 | $ 693,815 | |
Additions from purchases of mortgage servicing rights | 201,197 | 66,280 | 480,462 | 340,156 | |
Additions from sales of residential mortgage loans | 0 | 0 | 0 | 20 | |
Subtractions from sales of mortgage servicing rights | 0 | 0 | 0 | 946 | |
Changes in valuation inputs or assumptions used in the valuation model | 62,680 | (154) | 209,610 | (23,083) | |
Other changes in fair value | (42,085) | (28,595) | (107,754) | (66,543) | |
Other changes | (8,029) | (4,943) | (5,011) | (12,806) | |
Mortgage servicing rights, at fair value, at end of period | 1,664,024 | $ 930,613 | 1,664,024 | $ 930,613 | |
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 1,200,000 | $ 1,200,000 | $ 600,000 |
Schedule of Mortgage Servicing
Schedule of Mortgage Servicing Rights Sensitivity Analysis of Fair Value (Details) $ in Thousands | Sep. 30, 2018USD ($) | Dec. 31, 2017USD ($) |
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Impact on fair value of 10% adverse change in prepayment speed | $ (45,151) | $ (40,100) |
Impact on fair value of 20% adverse change in prepayment speed | (87,971) | (77,483) |
Impact on fair value of 10% adverse change in delinquency | (5,824) | (4,274) |
Impact on fair value of 20% adverse change in delinquency | (11,593) | (8,875) |
Impact on fair value of 10% adverse change in discount rate | (55,024) | (35,137) |
Impact on fair value of 20% adverse change in discount rate | $ (106,220) | $ (68,246) |
Measurement Input, Constant Prepayment Rate [Member] | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Weighted average assumption | 0.073 | 0.098 |
Measurement Input, Default Rate [Member] | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Weighted average assumption | 0.012 | 0.017 |
Measurement Input, Discount Rate [Member] | ||
Sensitivity Analysis of Fair Value of Interests Continued to be Held by Transferor, Servicing Assets or Liabilities, Impact of Adverse Change in Assumption [Line Items] | ||
Weighted average assumption | 0.097 | 0.099 |
Components of Servicing Revenue
Components of Servicing Revenue (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |||||
Servicing fee income | $ 80,690 | $ 53,989 | $ 218,022 | $ 141,923 | |
Ancillary and other fee income | 358 | 310 | 1,004 | 615 | |
Float income | 8,570 | 3,088 | 19,447 | 5,930 | |
Servicing income | 89,618 | $ 57,387 | 238,473 | $ 148,468 | |
Servicing advances | $ 26,134 | $ 26,134 | $ 31,050 |
Serviced Mortgage Assets (Detai
Serviced Mortgage Assets (Details) $ in Thousands | Sep. 30, 2018USD ($)loan | Dec. 31, 2017USD ($)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 | 585,563 | 458,133 |
Unpaid Principal Balance | $ | $ 133,592,693 | $ 104,002,292 |
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 | 581,677 | 454,028 |
Unpaid Principal Balance | $ | $ 131,114,538 | $ 101,344,054 |
Loans in Securitization Trusts, 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 | 3,663 | 3,845 |
Unpaid Principal Balance | $ | $ 2,443,368 | $ 2,618,016 |
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 | 206 | 236 |
Unpaid Principal Balance | $ | $ 33,448 | $ 37,632 |
Other Assets [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 | 17 | 24 |
Unpaid Principal Balance | $ | $ 1,339 | $ 2,590 |
Schedule of Residential Mortgag
Schedule of Residential Mortgage Loans Held-for-Sale Reconciliation (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Dec. 31, 2016 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid principal balance | $ 33,448 | $ 37,632 | ||
Fair value adjustment | (5,911) | (7,218) | ||
Residential mortgage loans held-for-sale, at fair value | $ 27,537 | $ 30,414 | $ 31,197 | $ 40,146 |
Schedule of Restricted Cash and
Schedule of Restricted Cash and Cash Equivalents (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 888,632 | $ 635,836 |
Restricted Cash and Cash Equivalents Held for Securities Trading Activity [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 47,450 | 27,050 |
Restricted Cash and Cash Equivalents Held for Derivatives Trading Activity [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 283,034 | 191,421 |
Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 558,088 | 417,018 |
Restricted Cash and Cash Equivalents Held by Counterparties [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | 888,572 | 635,489 |
Restricted Cash and Cash Equivalents for Lease [Member] | ||
Restricted Cash and Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 60 | $ 347 |
Schedule of Total Cash, Cash Eq
Schedule of Total Cash, Cash Equivalents and Restricted Cash (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Dec. 31, 2016 |
Cash, Cash Equivalents, Restricted Cash and Restricted Cash Equivalents [Abstract] | ||||
Cash and cash equivalents | $ 422,851 | $ 419,159 | ||
Restricted cash | 888,632 | 635,836 | ||
Total cash, cash equivalents and restricted cash | $ 1,311,483 | $ 1,054,995 | $ 883,180 | $ 815,195 |
Accrued Interest Receivable (De
Accrued Interest Receivable (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | $ 85,257 | $ 68,309 |
Loans Held-for-Sale, Residential Mortgages [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 155 | 162 |
Reverse Repurchase Agreements [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 881 | 0 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 56,484 | 46,517 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 16,258 | 12,255 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 5,987 | 4,635 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 5,492 | 4,740 |
Available-for-sale Securities [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | $ 84,221 | $ 68,147 |
Schedule of Derivative Instrume
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value (Details) - USD ($) | Sep. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 |
Notional Disclosures [Abstract] | ||||||
Notional | $ 41,330,283,000 | $ 28,618,861,000 | $ 31,226,878,000 | $ 24,113,321,000 | $ 16,988,116,000 | $ 18,802,500,000 |
Inverse Interest-Only Securities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 67,665,000 | 91,827,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 498,826,000 | 588,246,000 | ||||
Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 2,000 | (106,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 49,691,000 | 63,507,000 | ||||
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 403,231,000 | 309,918,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 33,229,283,000 | 25,503,371,000 | ||||
Derivative Financial Instruments, Assets [Member] | Inverse Interest-Only Securities [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Notional | 498,826,000 | 588,246,000 | ||||
Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 238,116,000 | 206,773,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 28,128,766,000 | 21,516,125,000 | ||||
Derivative Financial Instruments, Assets [Member] | Interest Rate Swaption [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 24,912,000 | 10,405,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 164,000,000 | 2,666,000,000 | ||||
Derivative Financial Instruments, Assets [Member] | Interest Rate Cap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 52,370,000 | |||||
Notional Disclosures [Abstract] | ||||||
Notional | 2,500,000,000 | |||||
Derivative Financial Instruments, Assets [Member] | Forward Contracts [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 15,212,000 | 913,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 1,108,000,000 | 733,000,000 | ||||
Derivative Financial Instruments, Assets [Member] | Options Held [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 4,954,000 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 780,000,000 | |||||
Derivative Financial Instruments, Assets [Member] | Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 2,000 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 49,691,000 | 0 | ||||
Derivative Financial Instruments, Assets [Member] | Short US Treasury Securities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | |||||
Notional Disclosures [Abstract] | ||||||
Notional | 0 | |||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (797,504,000) | (31,903,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 11,521,000,000 | 8,335,507,000 | ||||
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 | 0 | (29,867,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 2,375,000,000 | 6,966,000,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swaption [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 0 | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Cap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | |||||
Notional Disclosures [Abstract] | ||||||
Notional | 0 | |||||
Derivative Financial Instruments, Liabilities [Member] | Forward Contracts [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (43,314,000) | (1,930,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 8,216,000,000 | 1,306,000,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Options Held [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (1,329,000) | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 130,000,000 | |||||
Derivative Financial Instruments, Liabilities [Member] | Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | (106,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 0 | 63,507,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Short US Treasury Securities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | $ (752,861,000) | $ 0 |
Schedule of Derivative Instru_2
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | $ 44,394 | $ (19,131) | $ 239,800 | $ (133,318) |
Forward Contracts [Member] | Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | (45,231) | (16,891) | (55,766) | (45,671) |
Short US Treasury Securities [Member] | Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | 1,606 | 0 | 1,606 | 0 |
Options Held [Member] | Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | 13,489 | (3,405) | 43,328 | (22,467) |
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 | 24,629 | (12,349) | 94,933 | (62,080) |
Interest Rate Cap [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 | 686 | 0 | 686 | 0 |
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 | (302) | (134) | 371 | (821) |
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 | (1,025) | 1,506 | (5,274) | 2,631 |
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 | (54,653) | (5,280) | (252,375) | 22,813 |
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 | $ 105,195 | $ 17,422 | $ 412,291 | $ (27,723) |
Derivative Instruments and He_3
Derivative Instruments and Hedging Activities Interest Spread on Interest Rate Swaps and Caps (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Average Notional Amount | $ 37,022,610,000 | $ 18,317,731,000 | $ 27,181,648,000 | $ 17,799,927,000 |
Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net interest expense (income) on interest rate swaps and caps | 16,200,000 | (400,000) | 33,900,000 | (10,900,000) |
Net Long Position [Member] | Interest Rate Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Average Notional Amount | $ 31,800,000,000 | $ 16,700,000,000 | $ 26,200,000,000 | $ 17,600,000,000 |
Schedule of Notional Amounts of
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | $ 28,618,861,000 | $ 16,988,116,000 | $ 31,226,878,000 | $ 18,802,500,000 |
Additions | 34,758,820,000 | 15,562,549,000 | 81,185,452,000 | 23,266,958,000 |
Settlement, Termination, Expiration or Exercise | (22,047,398,000) | (8,437,344,000) | (71,082,047,000) | (17,956,137,000) |
End of Period Notional Amount | 41,330,283,000 | 24,113,321,000 | 41,330,283,000 | 24,113,321,000 |
Average Notional Amount | 37,022,610,000 | 18,317,731,000 | 27,181,648,000 | 17,799,927,000 |
Realized Gain (Loss), net | (62,539,000) | 13,890,000 | 42,171,000 | 31,376,000 |
Inverse Interest-Only Securities [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 588,246,000 | |||
Additions | 0 | 0 | 0 | 0 |
Settlement, Termination, Expiration or Exercise | (30,230,000) | (38,219,000) | (89,420,000) | (119,295,000) |
End of Period Notional Amount | 498,826,000 | 498,826,000 | ||
Realized Gain (Loss), net | 0 | (40,000) | 0 | (40,000) |
Interest Rate Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 12,544,820,000 | 9,878,549,000 | 37,894,452,000 | 23,408,358,000 |
Settlement, Termination, Expiration or Exercise | (8,088,318,000) | (4,626,391,000) | (35,872,811,000) | (23,762,544,000) |
Realized Gain (Loss), net | (50,240,000) | 36,171,000 | (46,101,000) | 47,691,000 |
Interest Rate Cap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 2,500,000,000 | 2,500,000,000 | ||
Settlement, Termination, Expiration or Exercise | 0 | 0 | ||
Realized Gain (Loss), net | 0 | 0 | ||
Interest Rate Swaption [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 1,164,000,000 | 5,364,000,000 | (74,000,000) | 1,109,000,000 |
Settlement, Termination, Expiration or Exercise | (262,000,000) | (3,900,000,000) | (2,428,000,000) | 1,480,000,000 |
Realized Gain (Loss), net | 10,374,000 | (3,264,000) | 78,266,000 | 21,164,000 |
Forward Contracts [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 21,060,000,000 | (1,585,000,000) | 38,773,000,000 | (5,710,400,000) |
Settlement, Termination, Expiration or Exercise | (14,785,000,000) | 1,320,000,000 | (28,876,000,000) | 5,794,400,000 |
Realized Gain (Loss), net | (23,067,000) | (14,997,000) | (28,681,000) | (57,424,000) |
Short US Treasury Securities [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | (800,000,000) | (800,000,000) | ||
Settlement, Termination, Expiration or Exercise | 0 | 0 | ||
Realized Gain (Loss), net | 0 | 0 | ||
Options Held [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | (1,710,000,000) | 1,905,000,000 | 2,892,000,000 | 4,460,000,000 |
Settlement, Termination, Expiration or Exercise | 1,120,000,000 | (1,190,000,000) | (3,802,000,000) | (1,324,000,000) |
Realized Gain (Loss), net | 910,000 | (3,980,000) | 39,452,000 | 20,166,000 |
Total Return Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 63,507,000 | |||
Additions | 0 | 0 | 0 | 0 |
Settlement, Termination, Expiration or Exercise | (1,850,000) | (2,734,000) | (13,816,000) | (24,698,000) |
End of Period Notional Amount | 49,691,000 | 49,691,000 | ||
Realized Gain (Loss), net | (516,000) | 0 | (765,000) | (181,000) |
Net Long Position [Member] | Inverse Interest-Only Securities [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 529,056,000 | 659,768,000 | 588,246,000 | 740,844,000 |
End of Period Notional Amount | 498,826,000 | 621,549,000 | 498,826,000 | 621,549,000 |
Average Notional Amount | 514,879,000 | 642,143,000 | 544,691,000 | 681,126,000 |
Net Long Position [Member] | Interest Rate Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 26,047,264,000 | 14,764,719,000 | 28,482,125,000 | 20,371,063,000 |
End of Period Notional Amount | 30,503,766,000 | 20,016,877,000 | 30,503,766,000 | 20,016,877,000 |
Average Notional Amount | 30,144,641,000 | 16,710,894,000 | 25,588,646,000 | 17,617,836,000 |
Net Long Position [Member] | Interest Rate Cap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 0 | 0 | ||
End of Period Notional Amount | 2,500,000,000 | 2,500,000,000 | ||
Average Notional Amount | 1,684,783,000 | 567,766,000 | ||
Net Long Position [Member] | Interest Rate Swaption [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 1,350,000,000 | 2,666,000,000 | 225,000,000 | |
End of Period Notional Amount | 164,000,000 | 2,814,000,000 | 164,000,000 | 2,814,000,000 |
Average Notional Amount | 2,213,533,000 | 669,377,000 | ||
Net Long Position [Member] | Forward Contracts [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 3,049,000,000 | |||
End of Period Notional Amount | 9,324,000,000 | 9,324,000,000 | ||
Average Notional Amount | 6,430,924,000 | 3,210,355,000 | ||
Net Long Position [Member] | Short US Treasury Securities [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 0 | 0 | ||
Net Long Position [Member] | Options Held [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 1,285,000,000 | |||
End of Period Notional Amount | 2,000,000,000 | 2,000,000,000 | ||
Average Notional Amount | 54,402,000 | |||
Net Long Position [Member] | Total Return Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 51,541,000 | 68,629,000 | 63,507,000 | 90,593,000 |
End of Period Notional Amount | 49,691,000 | 65,895,000 | 49,691,000 | 65,895,000 |
Average Notional Amount | 50,296,000 | 66,802,000 | 57,303,000 | 76,670,000 |
Net Short Position [Member] | Interest Rate Swaption [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 738,000,000 | |||
Average Notional Amount | 157,663,000 | 2,015,260,000 | ||
Net Short Position [Member] | Forward Contracts [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 1,140,000,000 | 573,000,000 | 1,489,000,000 | |
End of Period Notional Amount | 1,405,000,000 | 1,405,000,000 | ||
Average Notional Amount | $ 1,370,043,000 | 1,231,793,000 | ||
Net Short Position [Member] | Short US Treasury Securities [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
End of Period Notional Amount | 800,000,000 | 800,000,000 | ||
Average Notional Amount | 539,130,000 | 181,685,000 | ||
Net Short Position [Member] | Options Held [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 320,000,000 | 0 | 1,136,000,000 | |
End of Period Notional Amount | 910,000,000 | 910,000,000 | ||
Average Notional Amount | $ 1,106,120,000 | $ 590,168,000 | $ 13,289,000 |
Derivative Instruments and He_4
Derivative Instruments and Hedging Activities Interest Rate Sensitive Assets/Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 |
Derivatives, Fair Value [Line Items] | ||||||
Available-for-sale securities, at fair value | $ 25,938,916 | $ 21,220,819 | ||||
Mortgage servicing rights, at fair value | 1,664,024 | $ 1,450,261 | 1,086,717 | $ 930,613 | $ 898,025 | $ 693,815 |
Interest-Only-Strip [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Available-for-sale securities, at fair value | $ 139,500 | $ 117,800 |
Derivative Instruments and He_5
Derivative Instruments and Hedging Activities Schedule of TBA Contracts (Details) - USD ($) | Sep. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 |
Derivative [Line Items] | ||||||
Notional | $ 41,330,283,000 | $ 28,618,861,000 | $ 31,226,878,000 | $ 24,113,321,000 | $ 16,988,116,000 | $ 18,802,500,000 |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 33,229,283,000 | 25,503,371,000 | ||||
Fair Value | 403,231,000 | 309,918,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 11,521,000,000 | 8,335,507,000 | ||||
Fair Value | (797,504,000) | (31,903,000) | ||||
Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 1,108,000,000 | 733,000,000 | ||||
Fair Value | 15,212,000 | 913,000 | ||||
Forward Contracts [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 8,216,000,000 | 1,306,000,000 | ||||
Fair Value | (43,314,000) | (1,930,000) | ||||
Forward Contracts [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 11,916,000,000 | 733,000,000 | ||||
Cost Basis | 12,393,443,000 | 769,446,000 | ||||
Market Value | 12,351,423,000 | 770,359,000 | ||||
Forward Contracts [Member] | Long [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 1,159,000 | 913,000 | ||||
Forward Contracts [Member] | Long [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | (43,179,000) | 0 | ||||
Forward Contracts [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 2,592,000,000 | 1,306,000,000 | ||||
Cost Basis | 2,564,838,000 | 1,316,367,000 | ||||
Market Value | 2,550,920,000 | 1,318,297,000 | ||||
Forward Contracts [Member] | Short [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 14,053,000 | 0 | ||||
Forward Contracts [Member] | Short [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | (135,000) | (1,930,000) | ||||
Forward Contracts [Member] | Net Long Position [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 9,324,000,000 | $ 3,049,000,000 | ||||
Cost Basis | 9,828,605,000 | |||||
Market Value | 9,800,503,000 | |||||
Forward Contracts [Member] | Net Long Position [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 15,212,000 | |||||
Forward Contracts [Member] | Net Long Position [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | $ (43,314,000) | |||||
Forward Contracts [Member] | Net Short Position [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 573,000,000 | $ 1,405,000,000 | $ 1,140,000,000 | $ 1,489,000,000 | ||
Cost Basis | 546,921,000 | |||||
Market Value | 547,938,000 | |||||
Forward Contracts [Member] | Net Short Position [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 913,000 | |||||
Forward Contracts [Member] | Net Short Position [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | $ (1,930,000) |
Derivative Instruments and He_6
Derivative Instruments and Hedging Activities Short U.S. Treasury Securities (Details) - USD ($) | Sep. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 |
Derivative [Line Items] | ||||||
Notional | $ 41,330,283,000 | $ 28,618,861,000 | $ 31,226,878,000 | $ 24,113,321,000 | $ 16,988,116,000 | $ 18,802,500,000 |
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 11,521,000,000 | 8,335,507,000 | ||||
Fair Value | (797,504,000) | (31,903,000) | ||||
Short US Treasury Securities [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | (752,861,000) | 0 | ||||
Short US Treasury Securities [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 800,000,000 | $ 0 |
Derivative Instruments and He_7
Derivative Instruments and Hedging Activities Put and Call Options for TBAs (Details) - USD ($) | Sep. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 |
Derivative [Line Items] | ||||||
Notional | $ 41,330,283,000 | $ 28,618,861,000 | $ 31,226,878,000 | $ 24,113,321,000 | $ 16,988,116,000 | $ 18,802,500,000 |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 33,229,283,000 | 25,503,371,000 | ||||
Fair Value | 403,231,000 | 309,918,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 11,521,000,000 | 8,335,507,000 | ||||
Fair Value | (797,504,000) | (31,903,000) | ||||
Options Held [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 780,000,000 | |||||
Fair Value | 4,954,000 | 0 | ||||
Options Held [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 130,000,000 | |||||
Fair Value | (1,329,000) | 0 | ||||
Options Held [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 3,700,000,000 | 0 | ||||
Options Held [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 4,600,000,000 | $ 0 |
Derivative Instruments and He_8
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Payers (Details) - USD ($) | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2018 | Dec. 31, 2017 | Jun. 30, 2018 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | |
Derivative [Line Items] | ||||||
Notional | $ 41,330,283,000 | $ 31,226,878,000 | $ 28,618,861,000 | $ 24,113,321,000 | $ 16,988,116,000 | $ 18,802,500,000 |
Interest Rate Swap [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 23,401,328,000 | $ 22,920,135,000 | ||||
Weighted Average Fixed Interest Rate | 1.876% | 1.694% | ||||
Weighted Average Variable Interest Rate | 2.343% | 1.493% | ||||
Weighted Average Remaining Maturity | 3 years 9 months 7 days | 3 years 3 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Within One Year From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 1,000,000,000 | $ 4,320,000,000 | ||||
Weighted Average Fixed Interest Rate | 1.008% | 1.155% | ||||
Weighted Average Variable Interest Rate | 2.336% | 1.508% | ||||
Weighted Average Remaining Maturity | 0 days | 15 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 4,336,897,000 | $ 5,448,135,000 | ||||
Weighted Average Fixed Interest Rate | 1.769% | 1.767% | ||||
Weighted Average Variable Interest Rate | 2.336% | 1.386% | ||||
Weighted Average Remaining Maturity | 1 year 14 days | 1 year 9 months 14 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 5,140,000,000 | $ 5,490,000,000 | ||||
Weighted Average Fixed Interest Rate | 1.705% | 1.945% | ||||
Weighted Average Variable Interest Rate | 2.334% | 1.509% | ||||
Weighted Average Remaining Maturity | 2 years 25 days | 2 years 10 months 13 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 4,117,000,000 | $ 2,417,000,000 | ||||
Weighted Average Fixed Interest Rate | 1.55% | 1.788% | ||||
Weighted Average Variable Interest Rate | 2.362% | 1.628% | ||||
Weighted Average Remaining Maturity | 2 years 11 months 8 days | 3 years 11 months 1 day | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 8,807,431,000 | $ 5,245,000,000 | ||||
Weighted Average Fixed Interest Rate | 2.309% | 1.764% | ||||
Weighted Average Variable Interest Rate | 2.343% | 1.516% | ||||
Weighted Average Remaining Maturity | 7 years 1 month 20 days | 6 years 5 months 8 days | ||||
Forward Starting Interest Rate Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 567,800,000 | $ 570,000,000 | ||||
Weighted Average Fixed Interest Rate | 2.80% | 2.10% |
Derivative Instruments and He_9
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Receivers (Details) - USD ($) | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2018 | Dec. 31, 2017 | Jun. 30, 2018 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | |
Derivative [Line Items] | ||||||
Notional | $ 41,330,283,000 | $ 31,226,878,000 | $ 28,618,861,000 | $ 24,113,321,000 | $ 16,988,116,000 | $ 18,802,500,000 |
Interest Rate Swap [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 7,102,438,000 | $ 5,561,990,000 | ||||
Weighted Average Variable Interest Rate | 2.335% | 1.462% | ||||
Weighted Average Fixed Interest Rate | 2.694% | 2.211% | ||||
Weighted Average Remaining Maturity | 5 years 5 months 1 day | 7 years 7 months 28 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 250,000,000 | $ 200,000,000 | ||||
Weighted Average Variable Interest Rate | 2.347% | 1.391% | ||||
Weighted Average Fixed Interest Rate | 2.258% | 1.642% | ||||
Weighted Average Remaining Maturity | 1 year 3 months 21 days | 2 years 7 months 6 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 2,477,438,000 | $ 500,000,000 | ||||
Weighted Average Variable Interest Rate | 2.338% | 1.357% | ||||
Weighted Average Fixed Interest Rate | 2.736% | 1.327% | ||||
Weighted Average Remaining Maturity | 2 years 5 months 26 days | 3 years 18 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 4,375,000,000 | $ 4,861,990,000 | ||||
Weighted Average Variable Interest Rate | 2.333% | 1.475% | ||||
Weighted Average Fixed Interest Rate | 2.696% | 2.325% | ||||
Weighted Average Remaining Maturity | 7 years 3 months 25 days | 8 years 4 months 2 days |
Derivative Instruments and H_10
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaptions (Details) - USD ($) | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2018 | Dec. 31, 2017 | Jun. 30, 2018 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | |
Derivative [Line Items] | ||||||
Notional | $ (41,330,283,000) | $ (31,226,878,000) | $ (28,618,861,000) | $ (24,113,321,000) | $ (16,988,116,000) | $ (18,802,500,000) |
Interest Rate Swaption [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | (9,400,000) | (21,380,000) | ||||
Fair Value | $ 30,608,000 | $ 17,736,000 | ||||
Weighted Average Remaining Maturity | 3 months 19 days | 4 months 1 day | ||||
Interest Rate Swaption [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ (4,660,000) | |||||
Fair Value | $ 2,982,000 | |||||
Weighted Average Remaining Maturity | 3 months 22 days | |||||
Interest Rate Swaption [Member] | Short [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ (7,950,000) | |||||
Fair Value | $ 5,619,000 | |||||
Weighted Average Remaining Maturity | 4 months 20 days | |||||
Interest Rate Swaption [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ (9,730,000) | $ (16,260,000) | ||||
Fair Value | $ (5,696,000) | $ 4,694,000 | ||||
Weighted Average Remaining Maturity | 3 months 27 days | 5 months 5 days | ||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 7 years 7 months 6 days | 3 years 9 months 18 days | ||||
Notional | $ (5,225,000,000) | $ (7,200,000,000) | ||||
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 | 3.20% | 2.27% | ||||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 10 years | |||||
Notional | $ (2,300,000,000) | |||||
Weighted Average Fixed Interest Rate | 2.10% | |||||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 10 years | |||||
Notional | $ (1,693,000,000) | |||||
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 | 2.70% | |||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 7 years 8 months 12 days | 5 years 7 months 6 days | ||||
Notional | $ (5,061,000,000) | $ (5,141,000,000) | ||||
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 | 2.70% | 1.89% |
Derivative Instruments and H_11
Derivative Instruments and Hedging Activities Schedule of Interest Rate Caps (Details) - USD ($) | 9 Months Ended | |||||
Sep. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 | |
Derivative [Line Items] | ||||||
Notional | $ 41,330,283,000 | $ 28,618,861,000 | $ 31,226,878,000 | $ 24,113,321,000 | $ 16,988,116,000 | $ 18,802,500,000 |
Interest Rate Cap [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 2,500,000,000 | |||||
Derivative, Average Cap Interest Rate | 1.28% | |||||
Weighted Average Variable Interest Rate | 2.356% | |||||
Weighted Average Remaining Maturity | 1 year 3 months 14 days | |||||
Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | Interest Rate Cap [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 800,000,000 | |||||
Derivative, Average Cap Interest Rate | 1.344% | |||||
Weighted Average Variable Interest Rate | 2.339% | |||||
Weighted Average Remaining Maturity | 23 days | |||||
Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | Interest Rate Cap [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 1,700,000,000 | |||||
Derivative, Average Cap Interest Rate | 1.25% | |||||
Weighted Average Variable Interest Rate | 2.364% | |||||
Weighted Average Remaining Maturity | 1 year 6 months 14 days |
Derivative Instruments and H_12
Derivative Instruments and Hedging Activities Schedule of Total Return Swaps (Details) - USD ($) | Sep. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 |
Derivative [Line Items] | ||||||
Notional | $ 41,330,283,000 | $ 28,618,861,000 | $ 31,226,878,000 | $ 24,113,321,000 | $ 16,988,116,000 | $ 18,802,500,000 |
Total Return Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 49,691,000 | 63,507,000 | ||||
Fair Value | 2,000 | (106,000) | ||||
Cost Basis | (59,000) | 567,000 | ||||
Derivative, Unrealized Gains (Losses) | 61,000 | (673,000) | ||||
Total Return Swap [Member] | Maturity Date, 1/12/2043 [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 22,010,000 | 24,362,000 | ||||
Fair Value | (1,000) | (24,000) | ||||
Cost Basis | (30,000) | 201,000 | ||||
Derivative, Unrealized Gains (Losses) | 29,000 | (225,000) | ||||
Total Return Swap [Member] | Maturity Date, 1/12/2044 [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 27,681,000 | 39,145,000 | ||||
Fair Value | 3,000 | (82,000) | ||||
Cost Basis | (29,000) | 366,000 | ||||
Derivative, Unrealized Gains (Losses) | $ 32,000 | $ (448,000) |
Derivative Instruments and H_13
Derivative Instruments and Hedging Activities Credit Risk - Counterparty Exposure (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Derivative assets, at fair value | $ 403,231 | $ 309,918 |
Derivative liabilities, at fair value | $ (797,504) | $ (31,903) |
Derivative Instruments and H_14
Derivative Instruments and Hedging Activities Schedule of Inverse Interest-Only Securities Reconciliation (Details) - USD ($) | Sep. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 |
Derivatives, Fair Value [Line Items] | ||||||
Accrued interest receivable | $ 85,257,000 | $ 68,309,000 | ||||
Face Value | 41,330,283,000 | $ 28,618,861,000 | 31,226,878,000 | $ 24,113,321,000 | $ 16,988,116,000 | $ 18,802,500,000 |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Fair Value | 403,231,000 | 309,918,000 | ||||
Face Value | 33,229,283,000 | 25,503,371,000 | ||||
Inverse Interest-Only Securities [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Fair Value | 67,665,000 | 91,827,000 | ||||
Accrued interest receivable | 600,000 | 900,000 | ||||
Face Value | 498,826,000 | 588,246,000 | ||||
Amortized Cost | 73,098,000 | 86,734,000 | ||||
Gross unrealized gains | 2,668,000 | 6,843,000 | ||||
Gross unrealized losses | (8,726,000) | (2,602,000) | ||||
Market Value | 67,040,000 | 90,975,000 | ||||
Inverse Interest-Only Securities [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Face Value | $ 498,826,000 | $ 588,246,000 |
Other Assets (Details)
Other Assets (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Other Assets [Abstract] | ||||
Property and equipment at cost | $ 6,970 | $ 6,970 | $ 6,776 | |
Accumulated depreciation | (6,107) | (6,107) | (5,550) | |
Net property and equipment | 863 | 863 | 1,226 | |
Equity securities, at fair value | 0 | 0 | 29,413 | |
Prepaid expenses | 2,592 | 2,592 | 1,755 | |
Income taxes receivable | 590 | 590 | 130 | |
Deferred tax assets, net | 5,751 | 5,751 | 25,956 | |
Servicing advances | 26,134 | 26,134 | 31,050 | |
Federal Home Loan Bank stock | 40,848 | 40,848 | 53,826 | |
Equity investments | 6,529 | 6,529 | 3,000 | |
Other receivables | 39,121 | 39,121 | 29,482 | |
Other assets | 122,428 | 122,428 | 175,838 | |
Depreciation of fixed assets | 200 | 504 | $ 776 | |
Valuation allowance on deferred tax assets | $ 2,400 | $ 2,400 | $ 2,700 |
Other Liabilities (Details)
Other Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Other Liabilities [Abstract] | ||
Accrued expenses | $ 14,979 | $ 24,737 |
Income taxes payable | 4 | 0 |
Other | 6,141 | 3,043 |
Other liabilities | $ 21,124 | $ 27,780 |
Fair Value, Measurement Inputs,
Fair Value, Measurement Inputs, Disclosure (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Debt Securities, Available-for-sale, Categorized as Level 2 Assets | 99.80% | |||||
Debt Securities, Available-for-sale, Categorized as Level 3 Assets | 0.20% | |||||
Assets Reported at Fair Value, Debt Securities, Available-for-sale | 92.50% | |||||
Mortgage Servicing Rights Categorized as Level 3 Assets | 100.00% | |||||
Mortgage Loans Held-for-sale Categorized as Level 2 Assets | 1.70% | |||||
Mortgage Loans Held-for-sale Categorized as Level 3 Assets | 98.30% | |||||
Interest Rate Swaps, Swaptions and Credit Default Swaps Categorized as Level 2 Assets (Liabilities) | 100.00% | |||||
Short U.S. Treasury and Inverse Interest-only Securities Categorized as Level 2 Assets | 100.00% | |||||
Agency To-be-Announced Securities Categorized as Level 1 Assets (Liabilities) | 100.00% | |||||
Mortgage servicing rights | $ 1,664,024 | $ 1,450,261 | $ 1,086,717 | $ 930,613 | $ 898,025 | $ 693,815 |
Derivative assets, at fair value | 403,231 | 309,918 | ||||
Equity securities | 0 | 29,413 | ||||
Derivative liabilities, at fair value | 797,504 | 31,903 | ||||
Fair Value, Measurements, Recurring [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale securities | 25,938,916 | 21,220,819 | ||||
Mortgage servicing rights | 1,664,024 | 1,086,717 | ||||
Residential mortgage loans held-for-sale | 27,537 | 30,414 | ||||
Derivative assets, at fair value | 403,231 | 309,918 | ||||
Equity securities | 29,413 | |||||
Total assets | 28,033,708 | 22,677,281 | ||||
Derivative liabilities, at fair value | 797,504 | 31,903 | ||||
Total liabilities | 797,504 | 31,903 | ||||
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-sale | 0 | 0 | ||||
Derivative assets, at fair value | 15,212 | 913 | ||||
Equity securities | 29,413 | |||||
Total assets | 15,212 | 30,326 | ||||
Derivative liabilities, at fair value | 43,314 | 1,930 | ||||
Total liabilities | 43,314 | 1,930 | ||||
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 | 25,898,916 | 21,067,678 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Residential mortgage loans held-for-sale | 456 | 474 | ||||
Derivative assets, at fair value | 388,019 | 309,005 | ||||
Equity securities | 0 | |||||
Total assets | 26,287,391 | 21,377,157 | ||||
Derivative liabilities, at fair value | 754,190 | 29,973 | ||||
Total liabilities | 754,190 | 29,973 | ||||
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 | 40,000 | 153,141 | ||||
Mortgage servicing rights | 1,664,024 | 1,086,717 | ||||
Residential mortgage loans held-for-sale | 27,081 | 29,940 | ||||
Derivative assets, at fair value | 0 | 0 | ||||
Equity securities | 0 | |||||
Total assets | 1,731,105 | 1,269,798 | ||||
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, 2018 | Sep. 30, 2018 | |
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 | $ 153,424 | $ 153,141 |
Realized (losses) gains | 0 | 0 |
Unrealized (losses) gains | 0 | 0 |
Total gains (losses) included in net income | 0 | 0 |
Other comprehensive (loss) income | (424) | (141) |
Purchases | 0 | 0 |
Sales | 0 | 0 |
Settlements | (113,000) | (113,000) |
Gross transfers into level 3 | 0 | 0 |
Gross transfers out of level 3 | 0 | 0 |
End of period level 3 fair value | 40,000 | 40,000 |
Servicing Contracts [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning of period level 3 fair value | 1,450,261 | 1,086,717 |
Realized (losses) gains | (42,089) | (107,359) |
Unrealized (losses) gains | 62,680 | 209,610 |
Total gains (losses) included in net income | 20,591 | 102,251 |
Other comprehensive (loss) income | 0 | 0 |
Purchases | 201,197 | 480,462 |
Sales | 4 | (395) |
Settlements | (8,029) | (5,011) |
Gross transfers into level 3 | 0 | 0 |
Gross transfers out of level 3 | 0 | 0 |
End of period level 3 fair value | 1,664,024 | 1,664,024 |
Loans Receivable [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning of period level 3 fair value | 28,351 | 29,940 |
Realized (losses) gains | 167 | (41) |
Unrealized (losses) gains | 129 | 901 |
Total gains (losses) included in net income | 296 | 860 |
Other comprehensive (loss) income | 0 | 0 |
Purchases | 0 | 0 |
Sales | 0 | 0 |
Settlements | (1,566) | (3,719) |
Gross transfers into level 3 | 0 | 0 |
Gross transfers out of level 3 | 0 | 0 |
End of period level 3 fair value | 27,081 | 27,081 |
Other Comprehensive Income (Loss) [Member] | Available-for-sale Securities [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | 0 | 0 |
Other Comprehensive Income (Loss) [Member] | Servicing Contracts [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | 0 | 0 |
Other Comprehensive Income (Loss) [Member] | Loans Receivable [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | 0 | 0 |
Other Income (Loss) [Member] | Available-for-sale Securities [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | 0 | 0 |
Other Income (Loss) [Member] | Servicing Contracts [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | 62,275 | 201,666 |
Other Income (Loss) [Member] | Loans Receivable [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | $ 127 | $ 806 |
Fair Value, Quantitative Inform
Fair Value, Quantitative Information about Level 3 Fair Value Measurements (Details) | Sep. 30, 2018 | Dec. 31, 2017 |
Measurement Input, Constant Prepayment Rate [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.073 | 0.098 |
Measurement Input, Constant Prepayment Rate [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.064 | 0.082 |
Measurement Input, Constant Prepayment Rate [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.081 | 0.112 |
Measurement Input, Default Rate [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.012 | 0.017 |
Measurement Input, Default Rate [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.009 | 0.013 |
Measurement Input, Default Rate [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.014 | 0.020 |
Measurement Input, Discount Rate [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.097 | 0.099 |
Measurement Input, Discount Rate [Member] | Minimum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.086 | 0.083 |
Measurement Input, Discount Rate [Member] | Maximum [Member] | ||
Fair Value Measurement Inputs and Valuation Techniques [Line Items] | ||
Fair value measurement input | 0.108 | 0.112 |
Fair Value, Option, Quantitativ
Fair Value, Option, Quantitative Disclosures (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | $ 37 | $ 16,010 | $ 7,249 | $ 40,092 |
Change in fair value due to credit risk | (251) | (400) | (220) | (1,281) |
Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | (590) | 2,474 | 5,410 | 3,559 |
Loans Held-for-Investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 0 | 44,535 | 0 | 137,888 |
Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 627 | 834 | 1,839 | 3,529 |
Change in fair value due to credit risk | (251) | (400) | (220) | (1,281) |
Collateralized Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 0 | (31,833) | 0 | (104,884) |
Interest Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 211 | 4,091 | (2,450) | 13,935 |
Interest Income [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | (121) | (2,283) | (3,438) | (5,565) |
Interest Income [Member] | Loans Held-for-Investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 0 | 29,865 | 0 | 92,319 |
Interest Income [Member] | Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 332 | 479 | 988 | 1,380 |
Interest Expense [Member] | Collateralized Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 0 | (23,970) | 0 | (74,199) |
Gain (Loss) on Investment Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | (469) | 4,757 | 8,848 | 9,124 |
Gain (Loss) on Investment Securities [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | (469) | 4,757 | 8,848 | 9,124 |
Gain (Loss) on Investment Securities [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 Investment Securities [Member] | Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 0 | 0 | 0 | 0 |
Gain (Loss) on Investment Securities [Member] | Collateralized Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 0 | 0 | 0 | 0 |
Other Income (Loss) [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 295 | 7,162 | 851 | 17,033 |
Other Income (Loss) [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 0 | 0 | 0 | 0 |
Other Income (Loss) [Member] | Loans Held-for-Investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 0 | 14,670 | 0 | 45,569 |
Other Income (Loss) [Member] | Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | 295 | 355 | 851 | 2,149 |
Other Income (Loss) [Member] | Collateralized Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income | $ 0 | $ (7,863) | $ 0 | $ (30,685) |
Fair Value Schedule of Financin
Fair Value Schedule of Financing Receivables, Non Accrual Status (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Dec. 31, 2016 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-sale, at fair value | $ 27,537 | $ 30,414 | $ 31,197 | $ 40,146 |
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 | 33,448 | 37,632 | ||
Nonaccrual loans | 10,129 | 13,511 | ||
Loans 90 days past due | 8,932 | 12,136 | ||
Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-sale, at fair value | 27,537 | 30,414 | ||
Nonaccrual loans | 8,357 | 10,963 | ||
Loans 90 days past due | $ 7,270 | $ 9,857 |
Fair Value of Financial Instrum
Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | $ 23,806,631 | $ 19,451,207 |
Long-term Federal Home Loan Bank Advances | 50,000 | |
Revolving credit facilities | 310,000 | 20,000 |
Maturity Over One Year [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Revolving credit facilities | 290,000 | 0 |
Maturity Over One Year [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | $ 200,000 | $ 112,500 |
Fair Value by Balance Sheet Gro
Fair Value by Balance Sheet Grouping (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Jun. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Dec. 31, 2016 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Available-for-sale securities, at fair value | $ 25,938,916 | $ 21,220,819 | ||||
Mortgage servicing rights, at fair value | 1,664,024 | $ 1,450,261 | 1,086,717 | $ 930,613 | $ 898,025 | $ 693,815 |
Residential mortgage loans held-for-sale, at fair value | 27,537 | 30,414 | $ 31,197 | $ 40,146 | ||
Cash and cash equivalents | 422,851 | 419,159 | ||||
Restricted cash | 888,632 | 635,836 | ||||
Derivative assets, at fair value | 403,231 | 309,918 | ||||
Reverse repurchase agreements | 759,375 | 0 | ||||
Equity securities, at fair value | 0 | 29,413 | ||||
Federal Home Loan Bank stock | 40,848 | 53,826 | ||||
Equity investments | 6,529 | 3,000 | ||||
Repurchase agreements | 23,806,631 | 19,451,207 | ||||
Federal Home Loan Bank advances | 865,024 | 1,215,024 | ||||
Revolving credit facilities | 310,000 | 20,000 | ||||
Convertible senior notes | 283,555 | 282,827 | ||||
Convertible senior notes, at fair value | 296,312 | 306,351 | ||||
Derivative liabilities, at fair value | 797,504 | 31,903 | ||||
Federal Home Loan Bank of Des Moines [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Federal Home Loan Bank stock | 40,800 | 53,800 | ||||
Federal Home Loan Bank advances | $ 900,000 | $ 1,200,000 |
Repurchase Agreements (Details)
Repurchase Agreements (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Disclosure of Repurchase Agreements [Abstract] | ||
Repurchase agreements | $ 23,806,631 | $ 19,451,207 |
Weighted average borrowing rate | 2.45% | 1.69% |
Weighted average remaining maturity | 92 days | 83 days |
Schedule of Repurchase Agreemen
Schedule of Repurchase Agreements by Term, Short or Long (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 23,806,631 | $ 19,451,207 |
Maturity up to One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 23,606,631 | 19,338,707 |
Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 200,000 | $ 112,500 |
Schedule of Repurchase Agreem_2
Schedule of Repurchase Agreements by Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 23,806,631 | $ 19,451,207 |
Weighted average borrowing rate | 2.45% | 1.69% |
US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 21,504,889 | $ 17,325,553 |
Weighted average borrowing rate | 2.32% | 1.53% |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 2,050,282 | $ 1,941,911 |
Weighted average borrowing rate | 3.59% | 2.98% |
Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 51,460 | $ 71,243 |
Weighted average borrowing rate | 3.20% | 2.15% |
Servicing Contracts [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 200,000 | $ 112,500 |
Weighted average borrowing rate | 4.37% | 3.78% |
Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 6,910,626 | $ 4,269,464 |
Maturity up to 30 days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 6,408,843 | 3,634,541 |
Maturity up to 30 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 485,289 | 613,500 |
Maturity up to 30 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 16,494 | 21,423 |
Maturity up to 30 days [Member] | Servicing Contracts [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,465,288 | 3,831,111 |
Maturity 30 to 59 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,956,414 | 3,522,256 |
Maturity 30 to 59 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 494,990 | 261,835 |
Maturity 30 to 59 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 13,884 | 47,020 |
Maturity 30 to 59 Days [Member] | Servicing Contracts [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 5,041 | 3,458,940 |
Maturity 60 to 89 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 5,041 | 3,165,834 |
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 | 290,628 |
Maturity 60 to 89 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 2,478 |
Maturity 60 to 89 Days [Member] | Servicing Contracts [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 | 5,535,994 | 2,452,426 |
Maturity 90 to 119 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 5,034,622 | 2,119,490 |
Maturity 90 to 119 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 501,372 | 332,614 |
Maturity 90 to 119 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 322 |
Maturity 90 to 119 Days [Member] | Servicing Contracts [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 | 8,689,682 | 5,326,766 |
Maturity 120 to 364 days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 8,099,969 | 4,883,432 |
Maturity 120 to 364 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 568,631 | 443,334 |
Maturity 120 to 364 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 21,082 | 0 |
Maturity 120 to 364 days [Member] | Servicing Contracts [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 200,000 | 112,500 |
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] | Servicing Contracts [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 200,000 | $ 112,500 |
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, 2018 | Dec. 31, 2017 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | $ 26,215,025 | $ 21,501,250 |
Available-for-sale Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 23,636,891 | 19,780,175 |
Servicing Contracts [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 733,206 | 424,740 |
Cash and Cash Equivalents [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 0 | 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 | 558,088 | 417,018 |
Due From Correspondent Brokers [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 1,219,860 | 773,422 |
Derivative Financial Instruments, Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | $ 66,980 | $ 90,895 |
Schedule of Repurchase Agreem_3
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, 2018USD ($)counterparty | Dec. 31, 2017USD ($)counterparty | |
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | $ 23,806,631 | $ 19,451,207 |
Net Counterparty Exposure | $ 1,906,556 | $ 1,743,123 |
Weighted Average Days to Maturity | 92 days | 83 days |
Payables due to counterparties for unsettled securities purchases | $ 421,100 | $ 0 |
Repurchase Agreement Counterparty, Royal Bank of Canada [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | 1,898,455 | 1,261,956 |
Net Counterparty Exposure | $ 316,471 | $ 223,347 |
Percent of Equity | 7.00% | 6.00% |
Weighted Average Days to Maturity | 146 days | 75 days |
Repurchase Agreement Counterparty, All Other Counterparties [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | $ 21,908,176 | $ 18,189,251 |
Net Counterparty Exposure | $ 1,590,085 | $ 1,519,776 |
Percent of Equity | 34.00% | 43.00% |
Weighted Average Days to Maturity | 87 days | 84 days |
Number of repurchase agreement counterparties with whom amount at risk is less than 10 percent of stockholders' equity | counterparty | 34 | 26 |
Federal Home Loan Bank of Des_3
Federal Home Loan Bank of Des Moines Advances (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
Federal Home Loan Bank advances | $ 865,024 | $ 1,215,024 |
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 | $ 900,000 | $ 1,200,000 |
Weighted average borrowing rate | 2.48% | 1.79% |
Available uncommitted capacity for borrowings | $ 2,700,000 | $ 2,200,000 |
Schedule of Maturities of Feder
Schedule of Maturities of Federal Home Loan Bank Advances (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | $ 865,024 | $ 1,215,024 |
Maturity Within One Year [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 815,024 | 0 |
Maturity One to Three Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 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 Five to Ten Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 0 |
Maturity Over Ten Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | $ 50,000 | $ 400,000 |
Schedule of Underlying Assets_2
Schedule of Underlying Assets of Federal Home Loan Bank Advances (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Assets pledged as collateral for Federal Home Loan Bank advances | $ 913,608 | $ 1,273,674 |
Federal Home Loan Bank stock | 40,848 | 53,826 |
Federal Home Loan Bank of Des Moines [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank stock | 40,800 | 53,800 |
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 | 913,608 | 1,210,715 |
Due From Correspondent Brokers [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Assets pledged as collateral for Federal Home Loan Bank advances | $ 0 | $ 62,959 |
Revolving Credit Facilities (De
Revolving Credit Facilities (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Short-term Debt [Line Items] | ||
Revolving credit facilities | $ 310,000 | $ 20,000 |
Weighted average borrowing rate | 5.36% | 5.14% |
Weighted average remaining maturity | 4 years 5 months 8 days | 11 months 15 days |
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 1,200,000 | $ 600,000 |
Short-term Debt [Member] | ||
Short-term Debt [Line Items] | ||
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 488,500 | $ 159,500 |
Schedule of Revolving Credit Fa
Schedule of Revolving Credit Facilities by Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | $ 310,000 | $ 20,000 |
Maturity up to 30 days [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 0 | 0 |
Maturity 30 to 59 Days [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 0 | 0 |
Maturity 60 to 89 Days [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 20,000 | 0 |
Maturity 90 to 119 Days [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 0 | 0 |
Maturity 120 to 364 days [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | 0 | 20,000 |
Maturity Over One Year [Member] | ||
Line of Credit Facility [Line Items] | ||
Revolving credit facilities | $ 290,000 | $ 0 |
Convertible Senior Notes (Detai
Convertible Senior Notes (Details) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018USD ($) | Dec. 31, 2017USD ($) | |
Debt Instrument, Redemption [Line Items] | ||
Proceeds from convertible senior notes | $ 282,200 | |
Convertible senior notes conversion ratio | 0.062078 | 0.0614698 |
Convertible senior notes | $ 283,555 | $ 282,827 |
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% |
Stockholders' Equity Preferred
Stockholders' Equity Preferred Stock Issuances (Details) - USD ($) $ / shares in Units, $ in Thousands | 1 Months Ended | 9 Months Ended | 12 Months Ended | |
Jul. 31, 2018 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
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 | $ 13 | $ 416,966 | ||
Aggregate cash consideration exchanged for shares of CYS common stock | $ 14,967 | |||
Series A Preferred Stock [Member] | ||||
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 | $ 138,900 | |||
Series A Preferred Stock [Member] | Public Offering [Member] | ||||
Class of Stock [Line Items] | ||||
Number of shares of stock issued during period (in shares) | 5,000,000 | |||
Series A Preferred Stock [Member] | Over-Allotment Option [Member] | ||||
Class of Stock [Line Items] | ||||
Number of shares of stock issued during period (in shares) | 750,000 | |||
Series B Preferred Stock [Member] | ||||
Class of Stock [Line Items] | ||||
Number of shares of 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 | $ 278,100 | |||
Series B Preferred Stock [Member] | Over-Allotment Option [Member] | ||||
Class of Stock [Line Items] | ||||
Number of shares of stock issued during period (in shares) | 1,500,000 | |||
Series C Preferred Stock [Member] | ||||
Class of Stock [Line Items] | ||||
Preferred stock dividend rate | 7.25% | |||
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 | 5.011% | |||
Preferred stock redemption price per share (in usd per share) | $ 25 | |||
Proceeds from issuance of preferred stock, net of offering costs | $ 285,600 | |||
Series C Preferred Stock [Member] | Public Offering [Member] | ||||
Class of Stock [Line Items] | ||||
Number of shares of stock issued during period (in shares) | 11,000,000 | |||
Series C Preferred Stock [Member] | Over-Allotment Option [Member] | ||||
Class of Stock [Line Items] | ||||
Number of shares of stock issued during period (in shares) | 800,000 | |||
Series D Preferred Stock [Member] | ||||
Class of Stock [Line Items] | ||||
Number of shares of stock issued during period (in shares) | 3,000,000 | |||
Preferred stock dividend rate | 7.75% | |||
Preferred stock par value per share (in usd per share) | $ 0.01 | |||
Preferred stock liquidation preference per share (in usd per share) | 25 | |||
Preferred stock redemption price per share (in usd per share) | $ 25 | |||
Series E Preferred Stock [Member] | ||||
Class of Stock [Line Items] | ||||
Number of shares of stock issued during period (in shares) | 8,000,000 | |||
Preferred stock dividend rate | 7.50% | |||
Preferred stock par value per share (in usd per share) | $ 0.01 | |||
Preferred stock liquidation preference per share (in usd per share) | 25 | |||
Preferred stock redemption price per share (in usd per share) | $ 25 |
Stockholders' Equity Schedule o
Stockholders' Equity Schedule of Preferred Dividends Declared (Details) - $ / shares | 3 Months Ended | |||||
Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | |
Series A Preferred Stock [Member] | ||||||
Class of Stock [Line Items] | ||||||
Declaration Date | Sep. 20, 2018 | Jun. 19, 2018 | Mar. 20, 2018 | Dec. 14, 2017 | Sep. 14, 2017 | Jun. 15, 2017 |
Record Date | Oct. 12, 2018 | Jul. 12, 2018 | Apr. 12, 2018 | Jan. 12, 2018 | Oct. 12, 2017 | Jul. 12, 2017 |
Payment Date | Oct. 29, 2018 | Jul. 27, 2018 | Apr. 27, 2018 | Jan. 29, 2018 | Oct. 27, 2017 | Jul. 27, 2017 |
Dividends declared per preferred share (in usd per share) | $ 0.507810 | $ 0.507810 | $ 0.507810 | $ 0.507810 | $ 0.507810 | $ 0.750430 |
Series B Preferred Stock [Member] | ||||||
Class of Stock [Line Items] | ||||||
Declaration Date | Sep. 20, 2018 | Jun. 19, 2018 | Mar. 20, 2018 | Dec. 14, 2017 | Sep. 14, 2017 | |
Record Date | Oct. 12, 2018 | Jul. 12, 2018 | Apr. 12, 2018 | Jan. 12, 2018 | Oct. 12, 2017 | |
Payment Date | Oct. 29, 2018 | Jul. 27, 2018 | Apr. 27, 2018 | Jan. 29, 2018 | Oct. 27, 2017 | |
Dividends declared per preferred share (in usd per share) | $ 0.476560 | $ 0.476560 | $ 0.476560 | $ 0.476560 | $ 0.518920 | |
Series C Preferred Stock [Member] | ||||||
Class of Stock [Line Items] | ||||||
Declaration Date | Sep. 20, 2018 | Jun. 19, 2018 | Mar. 20, 2018 | Dec. 14, 2017 | ||
Record Date | Oct. 12, 2018 | Jul. 12, 2018 | Apr. 12, 2018 | Jan. 12, 2018 | ||
Payment Date | Oct. 29, 2018 | Jul. 27, 2018 | Apr. 27, 2018 | Jan. 29, 2018 | ||
Dividends declared per preferred share (in usd per share) | $ 0.453130 | $ 0.453130 | $ 0.453130 | $ 0.302080 | ||
Series D Preferred Stock [Member] | ||||||
Class of Stock [Line Items] | ||||||
Declaration Date | Sep. 20, 2018 | |||||
Record Date | Oct. 1, 2018 | |||||
Payment Date | Oct. 15, 2018 | |||||
Dividends declared per preferred share (in usd per share) | $ 0.484375 | |||||
Series E Preferred Stock [Member] | ||||||
Class of Stock [Line Items] | ||||||
Declaration Date | Sep. 20, 2018 | |||||
Record Date | Oct. 1, 2018 | |||||
Payment Date | Oct. 15, 2018 | |||||
Dividends declared per preferred share (in usd per share) | $ 0.468750 |
Stockholders' Equity Common Sto
Stockholders' Equity Common Stock Rollforward (Details) $ in Thousands | Nov. 01, 2017shares | Jul. 31, 2018USD ($)shares | Sep. 30, 2018shares | Sep. 30, 2017shares | Dec. 31, 2017shares | Oct. 31, 2017shares | Dec. 31, 2016shares |
Increase (Decrease) in Common Stock Outstanding [Roll Forward] | |||||||
Common shares outstanding at beginning of period (in shares) | 174,496,587 | ||||||
Common shares outstanding at end of period (in shares) | 248,078,170 | 174,496,587 | |||||
Reverse stock split, conversion ratio | 0.50 | ||||||
Common shares authorized (in shares) | 450,000,000 | 450,000,000 | 450,000,000 | 900,000,000 | |||
Aggregate cash consideration exchanged for shares of CYS common stock | $ | $ 14,967 | ||||||
Number of nonvested restricted common shares outstanding (in shares) | 1,593,701 | 1,323,443 | 1,284,010 | 1,319,712 | |||
Common Stock [Member] | |||||||
Increase (Decrease) in Common Stock Outstanding [Roll Forward] | |||||||
Common shares outstanding at beginning of period (in shares) | 174,496,587 | 173,826,163 | 173,826,163 | ||||
Number of shares of stock issued during period (in shares) | 72,587,772 | 72,608,932 | 19,688 | ||||
Number of shares of restricted common stock issued during period (in shares) | 972,651 | 643,505 | |||||
Common shares outstanding at end of period (in shares) | 248,078,170 | 174,489,356 | 174,496,587 |
Stockholders' Equity Schedule_2
Stockholders' Equity Schedule of Common Dividends Declared (Details) - $ / shares | Nov. 01, 2017 | Jul. 31, 2018 | Sep. 30, 2018 | Sep. 30, 2018 | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Sep. 30, 2018 | Sep. 30, 2017 |
Class of Stock [Line Items] | ||||||||||||
Dividends declared per common share (in usd per share) | $ 0.47 | $ 0.52 | $ 1.41 | $ 1.54 | ||||||||
Number of shares of common stock of Granite Point Mortgage Trust Inc distributed via special dividend (in shares) | 33,100,000 | |||||||||||
Common Stock [Member] | ||||||||||||
Class of Stock [Line Items] | ||||||||||||
Declaration Date | Jul. 13, 2018 | Sep. 20, 2018 | Jun. 19, 2018 | Mar. 20, 2018 | Dec. 14, 2017 | Sep. 14, 2017 | Jun. 15, 2017 | Mar. 14, 2017 | ||||
Record Date | Jul. 25, 2018 | Oct. 1, 2018 | Jun. 29, 2018 | Apr. 2, 2018 | Dec. 26, 2017 | Sep. 29, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | ||||
Payment Date | Jul. 30, 2018 | Oct. 29, 2018 | Jul. 27, 2018 | Apr. 27, 2018 | Dec. 29, 2017 | Oct. 27, 2017 | Jul. 27, 2017 | Apr. 27, 2017 | ||||
Dividends declared per common share (in usd per share) | $ 0.158370 | $ 0.311630 | $ 0.470000 | $ 0.470000 | $ 0.470000 | $ 0.520000 | $ 0.520000 | $ 0.500000 |
Stockholders' Equity Dividend R
Stockholders' Equity Dividend Reinvestment and Direct Stock Purchase Plan (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
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) | 220,301 | 220,301 | ||
Accumulated proceeds from issuance of common shares from dividend reinvestment plan | $ 4,300 | $ 4,300 | ||
Number of common shares issued during period from dividend reinvestment plan (in shares) | 8,692 | 6,469 | 21,160 | 19,688 |
Proceeds from issuance of common shares during period from dividend reinvestment plan | $ 100 | $ 100 | $ 300 | $ 400 |
Stockholders' Equity Share Repu
Stockholders' Equity Share Repurchase Program (Details) $ in Thousands | Sep. 30, 2018USD ($)shares |
Equity [Abstract] | |
Number of shares authorized to be repurchased under stock repurchase program (in shares) | 37,500,000 |
Number of shares repurchased and retired to date (in shares) | 12,067,500 |
Cost of shares repurchased and retired to date | $ | $ 200,400 |
Stockholders' Equity At-the-Mar
Stockholders' Equity At-the-Market Offering (Details) $ in Thousands | Sep. 30, 2018USD ($)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 | $ | $ 77,600 |
Stockholders' Equity Schedule_3
Stockholders' Equity Schedule of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Equity [Abstract] | ||
Unrealized gains | $ 522,365 | $ 475,694 |
Unrealized losses | (677,094) | (140,881) |
Accumulated other comprehensive (loss) income | $ (154,729) | $ 334,813 |
Stockholders' Equity Reclassifi
Stockholders' Equity Reclassifications out of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Realized losses (gains) on sales of certain AFS securities, net of tax | $ 42,996 | $ (5,618) | $ 95,549 | $ 15,485 |
Amounts reclassified from accumulated other comprehensive income (loss) | 30,463 | 4,220 | (53,017) | 7,815 |
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 | 95 | 0 | 363 | 429 |
Realized losses (gains) on sales of certain AFS securities, net of tax | $ 30,368 | $ 4,220 | $ 52,654 | $ 7,386 |
Stockholders' Equity Noncontrol
Stockholders' Equity Noncontrolling Interest (Details) - USD ($) $ / shares in Units, $ in Thousands | Nov. 01, 2017 | Dec. 31, 2017 | 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 | ||
Net proceeds received by Granite Point Mortgage Trust Inc. in initial public offering | $ 195,000 | ||
Gross proceeds received by Granite Point Mortgage Trust Inc. in initial public offering | 181,900 | ||
Issuance costs incurred by Granite Point Mortgage Trust Inc. in initial public offering | $ 13,100 | ||
Number of shares of common stock of Granite Point Mortgage Trust Inc distributed via special dividend (in shares) | 33,100,000 |
Equity Incentive Plan (Details)
Equity Incentive Plan (Details) | Nov. 01, 2017 | Sep. 30, 2018$ / sharesshares | Sep. 30, 2017$ / sharesshares |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Number of restricted common shares reserved for issuance under equity incentive plan (in shares) | 6,500,000 | ||
Reverse stock split, conversion ratio | 0.50 | ||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 996,924 | 671,845 | |
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ / shares | $ 14.96 | $ 17.60 | |
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) | 55,553 | 34,559 | |
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ / shares | $ 15.48 | $ 19.82 | |
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) | 941,371 | 637,286 | |
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ / shares | $ 15.12 | $ 17.48 | |
Award vesting period of restricted common shares granted during period under equity incentive plan | 3 years |
Equity Incentive Plan Schedule
Equity Incentive Plan Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity (Details) - USD ($) $ / shares in Units, $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
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) | 1,284,010 | 1,319,712 | ||
Weighted average grant date fair value of nonvested restricted common shares outstanding at beginning of period (in usd per share) | $ 17.15 | $ 17.10 | ||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 996,924 | 671,845 | ||
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ 14.96 | $ 17.60 | ||
Number of restricted common shares vested during period (in shares) | (673,118) | (645,325) | ||
Weighted average grant date fair value of restricted common shares vested during period (in usd per share) | $ (17.12) | $ (17.90) | ||
Number of restricted common shares forfeited during period (in shares) | (14,115) | (22,789) | ||
Weighted average grant date fair value of restricted common shares forfeited during period (in usd per share) | $ (15.59) | $ (17.90) | ||
Number of nonvested restricted common shares outstanding at end of period (in shares) | 1,593,701 | 1,323,443 | 1,593,701 | 1,323,443 |
Weighted average grant date fair value of nonvested restricted common shares outstanding at end of period (in usd per share) | $ 15.81 | $ 16.95 | $ 15.81 | $ 16.95 |
Compensation costs related to restricted common stock | $ 3.4 | $ 3.5 | $ 9.8 | $ 11.7 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Income Tax Disclosure [Abstract] | |||||
Federal income tax rate applicable to corporations | 21.00% | 35.00% | |||
Tax provision related to the decrease in the federal income tax rate applicable to corporations | $ 17,500 | ||||
Percent of REIT taxable income the entity intends to distribute | 100.00% | 100.00% | |||
Provision for (benefit from) income taxes | $ 37,409 | $ (5,342) | $ 35,142 | $ (21,100) | |
Valuation allowance on deferred tax assets | $ 2,400 | $ 2,400 | $ 2,700 |
Earnings Per Share (Details)
Earnings Per Share (Details) $ / shares in Units, $ in Thousands | Nov. 01, 2017 | Sep. 30, 2018USD ($)$ / sharesshares | Sep. 30, 2017USD ($)$ / sharesshares | Sep. 30, 2018USD ($)$ / sharesshares | Sep. 30, 2017USD ($)$ / sharesshares |
Earnings Per Share [Abstract] | |||||
Reverse stock split, conversion ratio | 0.50 | ||||
Net income from continuing operations | $ 35,946 | $ 93,220 | $ 510,245 | $ 146,212 | |
Income from discontinued operations, net of tax | 0 | 11,518 | 0 | 39,169 | |
Net income | 35,946 | 104,738 | 510,245 | 185,381 | |
Income from discontinued operations attributable to noncontrolling interest | 0 | 2,674 | 0 | 2,714 | |
Net income attributable to Two Harbors Investment Corp. | 35,946 | 102,064 | 510,245 | 182,667 | |
Dividends on preferred stock | 18,951 | 8,888 | 46,445 | 13,173 | |
Net income attributable to common stockholders | 16,995 | 93,176 | 463,800 | 169,494 | |
Interest expense attributable to convertible notes | 0 | 4,727 | 14,151 | 0 | |
Net income attributable to common stockholders - diluted | $ 16,995 | $ 97,903 | $ 477,951 | $ 169,494 | |
Weighted average common shares outstanding (in shares) | shares | 222,805,735 | 173,162,988 | 190,229,850 | 173,022,717 | |
Weighted average restricted stock shares (in shares) | shares | 1,593,701 | 1,325,308 | 1,616,362 | 1,392,515 | |
Weighted average basic common shares outstanding (in shares) | shares | 224,399,436 | 174,488,296 | 191,846,212 | 174,415,232 | |
Effect of dilutive shares issued in an assumed conversion (in shares) | shares | 0 | 14,419,060 | 17,760,934 | 0 | |
Weighted average diluted common shares outstanding (in shares) | shares | 224,399,436 | 188,907,356 | 209,607,146 | 174,415,232 | |
Basic earnings from continuing operations per weighted average common share (in usd per share) | $ / shares | $ 0.08 | $ 0.48 | $ 2.42 | $ 0.76 | |
Basic earnings from discontinued operations per weighted average common share (in usd per share) | $ / shares | 0 | 0.05 | 0 | 0.21 | |
Basic earnings per weighted average common share (in usd per share) | $ / shares | 0.08 | 0.53 | 2.42 | 0.97 | |
Diluted earnings from continuing operations per weighted average common share (in usd per share) | $ / shares | 0.08 | 0.47 | 2.28 | 0.76 | |
Diluted earnings from discontinued operations per weighted average common share (in usd per share) | $ / shares | 0 | 0.05 | 0 | 0.21 | |
Diluted earnings per weighted average common share (in usd per share) | $ / shares | $ 0.08 | $ 0.52 | $ 2.28 | $ 0.97 | |
Interest expense attributable to antidilutive convertible notes excluded from computation of earnings per share | $ 4,800 | $ 13,100 | |||
Antidilutive convertible notes excluded from computation of earnings per share (in shares) | shares | 17,847,425 | 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, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Related Party Transaction [Line Items] | |||||
Management fees | $ (5,041) | $ 10,146 | $ 18,120 | $ 29,801 | |
Compensation costs related to restricted common stock | 3,400 | 3,500 | 9,800 | 11,700 | |
Equity securities, at fair value | 0 | 0 | $ 29,413 | ||
PRCM Advisers LLC [Member] | |||||
Related Party Transaction [Line Items] | |||||
Management fees | 12,400 | 10,100 | $ 35,600 | 29,800 | |
Percent per annum of equity used to calculate management fees | 1.50% | ||||
Percent per annum of additional equity used to calculate management fees | 0.75% | ||||
One Time Downward Adjustment of Management Fees Payable | $ 15,000 | ||||
Maximum Additional One Time Downward Adjustment of Management Fees Payable | 3,300 | ||||
Total One Time Downward Adjustment of Management Fees Payable | 17,500 | ||||
Direct and allocated costs incurred by manager | $ 5,300 | $ 4,800 | $ 16,100 | $ 13,100 | |
Granite Point Mortgage Trust Inc. [Member] | |||||
Related Party Transaction [Line Items] | |||||
Purchases of equity securities of related party (in shares) | 1,658,008 | ||||
Purchases of equity securities of related party | $ 30,000 | ||||
Equity securities, at fair value | 29,400 | ||||
Equity securities, unrealized gain (loss) | $ (600) | ||||
Proceeds from sales of equity securities of related party | 31,200 | ||||
Realized gain on sales of equity securities of related party | $ 1,200 |