Document and Entity Information
Document and Entity Information - shares | 6 Months Ended | |
Jun. 30, 2016 | Aug. 08, 2016 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q2 | |
Trading Symbol | AMTG | |
Entity Registrant Name | Apollo Residential Mortgage, Inc. | |
Entity Central Index Key | 1,515,980 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Entity Common Stock, Shares Outstanding (shares) | 31,895,226 |
Consolidated Balance Sheets
Consolidated Balance Sheets - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Assets: | ||
Cash and cash equivalents | $ 104,168 | $ 120,144 |
Restricted cash | 24,263 | 83,693 |
Residential mortgage-backed securities, at fair value ($2,368,893 and $2,981,085 pledged as collateral, respectively) | 2,478,448 | 3,061,582 |
Securitized mortgage loans (transferred to consolidated variable interest entities), at fair value | 160,206 | 167,624 |
Other investment securities, at fair value ($155,904 and $163,263 pledged as collateral, respectively) | 160,396 | 166,190 |
Other investments | 45,724 | 45,233 |
Investment related receivable | 6,071 | 2,692 |
Interest receivable | 8,065 | 9,849 |
Derivative instruments, at fair value | 0 | 4,347 |
Other assets | 1,337 | 1,616 |
Total Assets | 2,988,678 | 3,662,970 |
Liabilities: | ||
Borrowings under repurchase agreements (net of deferred financing costs of $3 and $55, respectively) | 2,269,850 | 2,898,292 |
Non-recourse securitized debt, at fair value | 13,407 | 18,951 |
Obligation to return cash held as collateral | 0 | 280 |
Accrued interest payable | 2,359 | 9,138 |
Derivative instruments, at fair value | 8,542 | 13,813 |
Payable to related party | 4,243 | 6,373 |
Dividends and dividend equivalents payable | 18,923 | 19,170 |
Investment related payable | 1,256 | 0 |
Accounts payable, accrued expenses and other liabilities | 5,297 | 2,090 |
Total Liabilities | 2,323,877 | 2,968,107 |
Commitments and Contingencies (Note 13) | ||
Stockholders’ Equity: | ||
Preferred stock, $0.01 par value, 50,000,000 shares authorized, 6,900,000 shares issued and outstanding ($172,500 aggregate liquidation preference) | 69 | 69 |
Common stock, $0.01 par value, 450,000,000 shares authorized, 31,894,717 and 31,853,025 shares issued and outstanding, respectively | 319 | 319 |
Additional paid-in capital | 789,767 | 789,465 |
Accumulated deficit | (125,354) | (94,990) |
Total Stockholders’ Equity | 664,801 | 694,863 |
Total Liabilities and Stockholders’ Equity | $ 2,988,678 | $ 3,662,970 |
Consolidated Balance Sheets (Pa
Consolidated Balance Sheets (Parenthetical) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Statement of Financial Position [Abstract] | ||
Residential mortgage-backed securities, at fair value, pledged as collateral | $ 2,368,893 | $ 2,981,085 |
Other investment securities, at fair value, pledged as collateral | 155,904 | 163,263 |
Deferred financing costs | $ 3 | $ 55 |
Preferred stock, par value (USD per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (shares) | 50,000,000 | 50,000,000 |
Preferred stock, shares issued (shares) | 6,900,000 | 6,900,000 |
Preferred stock, shares outstanding (shares) | 6,900,000 | 6,900,000 |
Preferred stock, aggregate liquidation preference | $ 172,500 | $ 172,500 |
Common stock, par value (USD per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (shares) | 450,000,000 | 450,000,000 |
Common stock, shares issued (shares) | 31,894,717 | 31,853,025 |
Common stock, shares outstanding (shares) | 31,894,717 | 31,853,025 |
Consolidated Statements of Oper
Consolidated Statements of Operations (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | ||
Interest Income: | |||||
Residential mortgage-backed securities | $ 25,303 | $ 35,818 | $ 53,880 | $ 71,432 | |
Securitized mortgage loans | 3,231 | 3,623 | 6,496 | 5,790 | |
Other | 3,083 | 2,177 | 6,102 | 3,691 | |
Total Interest Income | 31,617 | 41,618 | 66,478 | 80,913 | |
Interest Expense: | |||||
Repurchase agreements | (8,046) | (7,901) | (16,477) | (15,366) | |
Securitized debt | (197) | (333) | (447) | (699) | |
Total Interest Expense | (8,243) | (8,234) | (16,924) | (16,065) | |
Net Interest Income | 23,374 | 33,384 | 49,554 | 64,848 | |
Other Income/(Loss), net: | |||||
Realized gain/(loss) on sale of residential mortgage-backed securities, net | 273 | (4,530) | 595 | 4,008 | |
Other-than-temporary impairments recognized | (5,012) | (197) | (5,707) | (2,772) | |
Gain/(loss) on derivative instruments, net (includes $11,508, $23,553, $8,876 and $7,835 of unrealized gains, respectively) | (7,870) | 12,463 | (36,344) | (14,058) | |
Realized gain/(loss) on sale of other investment securities, net | 0 | 102 | (26) | 102 | |
Unrealized gain/(loss) on residential mortgage-backed securities, net | 7,599 | (41,266) | 11,280 | (26,486) | |
Unrealized gain on securitized debt | 20 | 1,001 | 22 | 1,014 | |
Unrealized gain/(loss) on securitized mortgage loans | 5,751 | (1,896) | 1,992 | 466 | |
Unrealized gain/(loss) on other investment securities | 3,726 | (2,540) | 3,418 | (2,569) | |
Other, net | (85) | (3) | (68) | 9 | |
Other Income/(Loss), net | 4,402 | (36,866) | (24,838) | (40,286) | |
Operating Expenses: | |||||
General and administrative (includes ($194), ($304), ($302) and ($797) of stock based compensation, respectively) | (3,664) | (3,655) | (7,238) | (7,505) | |
Merger related costs | (1,321) | 0 | (4,936) | 0 | |
Management fee - related party | (2,493) | (2,895) | (5,278) | (5,682) | |
Total Operating Expenses | (7,478) | (6,550) | (17,452) | (13,187) | |
Net Income/(Loss) | 20,298 | (10,032) | 7,264 | 11,375 | |
Preferred Stock Dividends Declared | (3,450) | (3,450) | (6,900) | (6,900) | |
Net Income/(Loss) Allocable to Common Stock and Participating Securities | [1] | $ 16,848 | $ (13,482) | $ 364 | $ 4,475 |
Earnings per common share - basic and diluted (USD per share) | $ 0.52 | $ (0.43) | $ 0 | $ 0.13 | |
Dividends declared per share of common stock (USD per share) | $ 0.48 | $ 0.48 | $ 0.96 | $ 0.96 | |
[1] | Losses are not allocated to participating securities. |
Consolidated Statements of Ope5
Consolidated Statements of Operations (Parenthetical) (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Income Statement [Abstract] | ||||
Unrealized gain (loss) on derivative instruments | $ 11,508 | $ 23,553 | $ 8,876 | $ 7,835 |
Stock based compensation | $ 194 | $ 304 | $ 302 | $ 797 |
Consolidated Statement of Chang
Consolidated Statement of Changes in Stockholders' Equity (Unaudited) - 6 months ended Jun. 30, 2016 - USD ($) $ in Thousands | Total | Preferred Stock | Common Stock | Additional Paid- In Capital | (Accumulated Deficit) |
Balance at December 31, 2015 (share) at Dec. 31, 2015 | 6,900,000 | 31,853,025 | |||
Balance at December 31, 2015 at Dec. 31, 2015 | $ 694,863 | $ 69 | $ 319 | $ 789,465 | $ (94,990) |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||
Settlement of vested restricted stock units in common stock (shares) | 41,692 | ||||
Capital increase related to equity compensation (shares) | 302 | 302 | |||
Net income | 7,264 | 7,264 | |||
Dividends declared on preferred stock | (6,900) | (6,900) | |||
Dividends declared on common stock, restricted stock and restricted stock units | (30,728) | (30,728) | |||
Balance at March 31, 2016 (shares) at Jun. 30, 2016 | 6,900,000 | 31,894,717 | |||
Balance at June 30, 2016 at Jun. 30, 2016 | $ 664,801 | $ 69 | $ 319 | $ 789,767 | $ (125,354) |
Consolidated Statement of Chan7
Consolidated Statement of Changes in Stockholders' Equity (Unaudited) (Parenthetical) $ in Thousands | 6 Months Ended |
Jun. 30, 2016USD ($) | |
Common Stock | |
Settlement of vested restricted stock units in common stock (less than) | $ 1 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2016 | Jun. 30, 2015 | |
Cash Flows from Operating Activities: | ||
Net income | $ 7,264 | $ 11,375 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Premium amortization/(discount accretion), net | (12,718) | (16,916) |
Amortization of deferred financing costs | 309 | 250 |
Equity based compensation expense | 302 | 797 |
Unrealized (gain)/loss on mortgage-backed securities, net | (11,280) | 26,486 |
Unrealized gain on securitized mortgage loans | (1,992) | (466) |
Unrealized (gain)/loss on other investment securities | (3,418) | 2,569 |
Unrealized gain on derivative instruments, net | (8,876) | (7,835) |
Unrealized (gain) on securitized debt | (22) | (1,014) |
Other-than-temporary impairments recognized | 5,707 | 2,772 |
Realized (gain) on sales of mortgage-backed securities | (3,999) | (13,763) |
Realized loss on sales of mortgage-backed securities | 3,404 | 9,755 |
Realized loss on derivative instruments | 46,476 | 12,009 |
Realized loss on real estate owned, net | 310 | 1,128 |
Realized (gain)/loss on sale of other investment securities, net | 26 | (102) |
Depreciation on real estate underlying bond for title contracts | 461 | 179 |
Changes in operating assets and liabilities: | ||
Increase/(decrease) in accrued interest receivable, less purchased interest | 1,784 | 195 |
Decrease in other assets | 513 | 456 |
Decrease in accrued interest payable | (6,779) | (4,475) |
Increase/(decrease) in accounts payable and accrued expenses | 3,087 | (226) |
Decrease in payable to related party | (2,128) | (440) |
Increase in other liabilities | 120 | 76 |
Net cash provided by operating activities | 18,551 | 22,810 |
Cash Flows from Investing Activities: | ||
Purchases of mortgage-backed securities | (251,630) | (1,353,785) |
Proceeds from sales of mortgage-backed securities | 647,044 | 1,581,047 |
Purchases of mortgage loans, simultaneously securitized | 0 | (67,357) |
Purchases of other investment securities | 0 | (142,383) |
Proceeds from sales of other investment securities | 2,900 | 17,679 |
Purchases of other investments | (7,863) | (11,223) |
Proceeds from other investments | 6,900 | 8,563 |
Proceeds from sales of real estate owned | 255 | 0 |
Decrease in restricted cash related to investing activities | 12,317 | 805 |
Increase in cash collateral held related to investing activities | (280) | 8,820 |
Principal payments received on mortgage-backed securities | 201,290 | 209,146 |
Principal payments received on securitized mortgage loans | 8,823 | 5,512 |
Principal payments received on other investment securities | 7,763 | 7,565 |
Payments made for termination of derivative instruments | (37,268) | (1,977) |
Purchase of interest rate swaptions | 0 | (8,385) |
Other, net | 14 | |
Net cash provided by investing activities | 590,251 | 254,041 |
Cash Flows from Financing Activities: | ||
Proceeds from repurchase agreement borrowings | 10,630,914 | 7,943,331 |
Repayments of repurchase agreement borrowings | (11,259,408) | (8,167,979) |
Decrease in restricted cash related to financing activities | 47,113 | (8,915) |
Principal payments on securitized debt | (5,522) | (7,269) |
Dividends paid on preferred stock | (6,900) | (6,900) |
Dividends paid on common stock and dividend equivalent rights | (30,975) | (30,186) |
Deferred financing costs/offering costs expensed/(incurred) net | 0 | (26) |
Net cash used by financing activities | (624,778) | (277,944) |
Net decrease in cash | (15,976) | (1,093) |
Cash and cash equivalents at beginning of period | 120,144 | 114,443 |
Cash and cash equivalents at end of period | 104,168 | 113,350 |
Supplemental Disclosure of Operating Cash Flow Information: | ||
Interest Paid | 20,970 | 19,936 |
Supplemental Disclosure of Non-cash Financing/Investing Activities: | ||
Dividends and dividend equivalent rights declared, not yet paid | 18,923 | 19,192 |
Residential mortgage-backed securities purchased not settled, net | 0 | 3,322 |
Due from broker | 6,071 | 4,559 |
Due to broker | $ 1,256 | $ 0 |
Organization
Organization | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Organization | Organization We were incorporated as a Maryland corporation on March 15, 2011 and commenced operations on July 27, 2011. We are externally managed and advised by ARM Manager, LLC (or, Manager), an indirect subsidiary of Apollo Global Management, LLC (together with its subsidiaries, “ Apollo ” ). We operate and have elected to qualify as a real estate investment trust (or, REIT) under the Internal Revenue Code of 1986, as amended (or, Internal Revenue Code), commencing with the taxable year ended December 31, 2011. We also operate our business in a manner that allows us not to register as an “Investment Company” as defined under the Investment Company Act of 1940 (or, 1940 Act). We invest on a levered basis in residential mortgage and mortgage-related assets in the U.S. At June 30, 2016 , our portfolio was comprised of: (i) Agency RMBS, (which include pass-through securities whose underlying collateral primarily includes 30 year fixed-rate mortgages) and Agency IO, (ii) non-Agency RMBS; (iii) securitized mortgage loans; (iv) other mortgage-related securities; (v) mortgage loans; and (vi) other real estate related investments associated with our Seller Financing Program. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies (a) Basis of Presentation and Consolidation The interim unaudited consolidated financial statements include our accounts and those of our consolidated subsidiaries and VIEs in which we are the primary beneficiary. All intercompany amounts have been eliminated in consolidation. We currently operate as one business segment. The preparation of financial statements in conformity with accounting principles generally accepted in the U.S. (or, GAAP) requires that we make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates. In the opinion of management, all adjustments have been made (which include only normal recurring adjustments) necessary to present fairly our financial position, results of operations and cash flows. Certain information and note disclosures normally included in financial statements prepared in accordance with GAAP have been condensed or omitted in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. These consolidated financial statements should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2015, which was filed with the Securities and Exchange Commission (or, the SEC) on March 4, 2016. Our results of operations for the quarterly period ended June 30, 2016 are not necessarily indicative of the results to be expected for the full year or any other future period. (b) Cash and Cash Equivalents We consider all highly liquid short term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. We deposit our cash with what we believe to be high credit quality institutions. From time to time, our cash may include amounts pledged to us by our counterparties as collateral for our derivative instruments. At June 30, 2016 and December 31, 2015 , our cash and cash equivalents were primarily comprised of cash on deposit with our prime broker (which is domiciled in the U.S.); substantially all of which was in excess of applicable insurance limits and, we had $40,051 and $40,012 invested in a money market fund at June 30, 2016 and December 31, 2015, respectively. Included in cash and cash equivalents was cash pledged by our counterparties to us of $280 at December 31, 2015; we had no cash pledged to us by counterparties at June 30, 2016. (c) Obligation to Return Cash Held as Collateral From time to time, we may hold cash pledged as collateral to us by certain of our derivative counterparties as a result of margin calls made by us. Cash pledged to us is unrestricted in use and, accordingly, is included as a component of cash on our consolidated balance sheets. In addition, a corresponding liability is reported as an obligation to return cash held as collateral. (d) Restricted Cash Restricted cash represents cash held by our counterparties as collateral against our repurchase agreement borrowings, Swaps or other derivative instruments. Restricted cash is not available for general corporate purposes, but may be applied against amounts due to counterparties under our repurchase agreement borrowings and Swaps, or returned to us when our collateral requirements are exceeded or at the maturity or termination of the derivative instrument or repurchase agreement. (e) Investment Securities and Securitized Mortgage Loans Our investment securities, which are comprised of RMBS and other investment securities, are designated as available for sale. Our RMBS portfolio may be comprised of mortgage pass-through certificates, CMOs, including Agency IO and Agency Inverse IO representing interests in or obligations backed by pools of mortgage loans. Our securitized mortgage loans, which are designated as held for investment, are presented on our balance sheet as “Securitized mortgage loans transferred to consolidated variable interest entities, at fair value.” These mortgage loans are comprised of pools of performing, re-performing and non-performing mortgage loans that we purchased at a discount to principal balance. At June 30, 2016 , our other investment securities were comprised of investments in Risk Sharing Securities issued by Freddie Mac and Fannie Mae and SBC-MBS. Our SBC-MBS generally include mortgage loans collateralized by a mix of residential multi-family (i.e., properties with five or more units), mixed use residential/commercial, small retail, office building, warehouse and other types of property. In some instances, certain of the mortgage loans underlying the SBC-MBS that we own may also be additionally secured by a personal guarantee from the primary principals of the related business and/or borrowing entity. Our investments in Risk Sharing Securities and SBC-MBS are included in “Other investment securities, at fair value” on our consolidated balance sheet. Interest income on our Risk Sharing Securities is included in “Interest Income - Other” and changes in the estimated fair value of such securities is included in “Unrealized gain/(loss) on other investment securities” on our consolidated statements of operations. Balance Sheet Presentation Purchases and sales of our investment securities are recorded on the trade date. Our RMBS and other investment securities pledged as collateral against borrowings under repurchase agreements are included in “Residential mortgage-backed securities, at fair value” and “Other investment securities, at fair value” on our consolidated balance sheet, respectively, with the fair value of securities pledged disclosed parenthetically. Amounts receivable/payable associated with sales/purchases of securities at the balance sheet date are reflected on our consolidated balance sheet as “Investment related receivable” and “Investment related payable,” respectively. For purposes of determining the applicable accounting policy with respect to our investment securities, we review credit ratings available from each of the three major credit rating agencies (i.e. Moody’s Investors Services, Inc., Standard & Poor’s Ratings Services and Fitch, Inc.) for each investment security at the time of purchase and apply the lowest rating. The aggregate fair value of the mortgage loans associated with our securitization transactions are presented on our consolidated balance sheet as “Securitized mortgage loans transferred to consolidated variable interest entities, at fair value.” (See Notes 5 and 14.) Impairments Investment Securities: We have elected the fair value option of accounting for our investment securities and, as such, all changes in the market value of our investment securities are recorded through earnings. When the fair value of an investment security is less than its amortized cost at the balance sheet date, the security is considered impaired. We assess our investment securities for impairment on at least a quarterly basis and designate such impairments as either “temporary” or “other-than-temporary.” If we intend to sell an impaired security, or it is more likely than not that we will be required to sell an impaired security before its anticipated recovery, then we recognize an other-than-temporary impairment (or, OTTI) through earnings. If we do not expect to sell an other-than-temporarily impaired security, only the portion of the OTTI that is related to credit losses will be recognized as an OTTI, with the remainder recognized through earnings as a component of unrealized gains/(losses) on our statement of operations. When an OTTI is recognized, a new cost basis is established for the security, which new cost basis may not be adjusted for subsequent recoveries in fair value through earnings. However, if the performance of a security on which an OTTI was previously recognized improves, future yields may increase on such securities, resulting in a reversal of all or a portion of previously recognized OTTI over time. The determination as to whether an OTTI exists and, if so, the amount of such impairment recognized is subjective, as such determinations are based on information available at the time of assessment, as well as our Manager’s estimates of the future performance and cash flow projections for the individual security. (See Notes 4 and 6.) Securitized Mortgage Loans: We have elected the fair value option of accounting for our securitized mortgage loans and, as such, all changes in the estimated fair value of our securitized mortgage loans are recorded through earnings, including a provision for loan losses, if any. Our securitized mortgage loans had evidence of deterioration of credit quality at the time of acquisition. We analyze our securitized mortgage loan pool at least quarterly to assess the actual performance compared to the expected performance. If the revised cash flow estimates on our securitized mortgage loans provide a lower yield than the previous yield, we recognize a provision to loan losses (i.e., a reduction in the amortized cost of the securitized mortgage loans that is recorded in earnings) in an amount such that the yield will remain unchanged. If cash flow estimates on our securitized mortgage loans increase subsequent to recording a provision to loan losses, we will reverse previously recognized provision for loan losses before any increase to the yield is made. (See Note 5.) (f) Designation and Fair Value Option Election To date, we have elected the fair value option of accounting for all of our investment securities, at the time of purchase, and our securitized debt, when initially incurred. As a result of the fair value election on such assets/liabilities, we record the change in the estimated fair value of such assets and liabilities in earnings as unrealized gains/(losses). We generally intend to hold our investment securities to generate interest income; however, we have and may continue to sell certain of our investment securities as part of the overall management of our assets and liabilities and operating our business. Realized gains/(losses) on the sale of investment securities are recorded in earnings using the specific identification method. Our securitized mortgage loans are considered held for investment purposes. Consistent with our investments in RMBS, we have elected the fair value option for our securitized mortgage loans and, as a result, we record changes in the estimated fair value of such assets in earnings as unrealized gains/(losses). We believe that our election of the fair value option for our investment securities, securitized mortgage loans and securitized debt improves financial reporting, as such treatment is consistent with how we present the changes in the fair value of our Swaps, Swaptions and TBA Contracts, all of which are derivative instruments, through earnings. (g) Interest Income Recognition Investment Securities Interest income on investment securities is accrued based on the outstanding principal balance and the current coupon interest rate on each security. In addition, premiums and discounts associated with Agency RMBS, non-Agency RMBS and other investment securities rated AA and higher by a nationally recognized statistical rating organization at the time of purchase are amortized into interest income over the life of such securities using the effective yield method. In order to determine the effective yield, we estimate prepayments for each security. For those securities, if prepayment levels differ, or are expected to differ in the future from our previous assessment, we adjust the amount of premium amortization recognized in the period that such change is made, applying the retrospective method, resulting in a cumulative catch-up reflecting such change. To the extent that prepayment activity varies significantly from our previous prepayment estimates, we may experience volatility in our interest income. For Agency pass-through RMBS that we acquired subsequent to June 30, 2013, we do not estimate prepayments to determine premium amortization or discount accretion on such securities. Instead, the amount of premium amortization/discount accretion on Agency pass-through RMBS acquired subsequent to June 30, 2013 is based upon actual prepayment experience, which may vary significantly over time. All Agency RMBS we held at June 30, 2016 were acquired subsequent to June 30, 2013. For Agency IO, Agency Inverse IO and Agency Inverse Floaters, income is accrued based on the amortized cost and the effective yield. Cash received on Agency IO and Agency Inverse IO is first applied to accrued interest and then to reduce the amortized cost. At each reporting date, the effective yield is adjusted prospectively based on the current cash flow projections, which reflect prepayment estimates and the contractual terms of the security. Interest income on non-Agency RMBS and other investment securities rated below AA or not rated by a nationally recognized statistical rating organization is recognized based on the effective yield method of accounting. The effective yield on these securities is based on the projected cash flows from each security, which are estimated based on our observation of current information and events and include assumptions related to the future path of interest rates, prepayment speeds and the timing and amount of credit losses. On at least a quarterly basis, we review and, if appropriate, make adjustments to our cash flow projections based on input and analysis received from external sources, internal models and our judgment about interest rates, prepayment speeds, the timing and amount of credit losses and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, prepayments of principal and the payment priority structure of the security; therefore, actual maturities are generally shorter than the stated contractual maturities of the underlying mortgages. Based on the projected cash flows for our non-Agency RMBS, we generally expect that a portion of the purchase discount on such securities will not be recognized as interest income and is instead viewed as a credit discount. The credit discount mitigates our risk of loss on our non-Agency securities. The amount considered to be credit discount may change over time, based on the actual performance of the underlying mortgage collateral, actual and projected cash flows from such collateral, economic conditions and other factors. If the performance of a non-Agency RMBS with a credit discount is more favorable than forecasted, we may accrete more discount into interest income than expected at the time of purchase or when performance was last assessed. Conversely, if the performance of a non-Agency RMBS with a credit discount is less favorable than forecasted, the amount of discount accreted into income may be less than expected at the time of purchase or when performance was last assessed and/or impairment and write-downs of such securities to a new lower cost basis could result. Securitized Mortgage Loans Application of the interest method of accounting for our pools of securitized mortgage loans requires the use of estimates to calculate a projected yield. We calculate the yield based on the projected cash flows for each pool of mortgage loans. To the extent the actual performance of a loan pool is better than last expected, the yield is adjusted upward prospectively to reflect the revised estimate of cash flows over the remaining life of such mortgage pool. However, if the revised cash flow estimates on a loan pool provides a lower yield than the original or the last calculated yield, we recognize an OTTI (i.e., a reduction in the amortized cost of the loan pool that is recorded in earnings) such that the yield will remain unchanged. Decreasing yields arising solely from a change in the contractual interest rate on variable rate loans are not treated as an OTTI. If future cash collections are materially different in amount or timing than projected cash collections, earnings could be affected, either positively or negatively. On at least a quarterly basis, our Manager reviews and, if appropriate, makes adjustments to cash flow projections based on input and analysis received from external sources, internal models and our Manager’s judgment about interest rates, prepayment speeds, home prices, the timing and amount of credit losses and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such loans and/or the recognition of an OTTI. Warehouse Line Receivable, BFT Contracts and Mortgage Loans Purchased Under Seller Financing Program We accrue interest income on our warehouse line receivable, which is included as a component of our “Interest income-other” and “Other investments,” on our consolidated financial statements, based on the contractual terms governing the warehouse line receivable agreement. We assess the collectability of the warehouse receivable and associated income on at least a quarterly basis. We record interest on a cash basis for our BFT Contracts and mortgage loans purchased under the Seller Financing Program. (h) Investment Consolidation and Transfers of Financial Assets We evaluate the underlying entity that issues securities we acquire or to which we make a loan to determine the appropriate accounting methods. In VIEs, an entity is subject to consolidation if the equity investors either do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. VIEs that meet certain scope characteristics are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analysis. We are required on an ongoing basis to assess whether we are the primary beneficiary of a VIE. In determining the accounting treatment to be applied to securitization transactions, we evaluate whether the entity used to facilitate the transactions was a VIE and, if so, whether it should be consolidated. Based on our evaluations, we have concluded since inception of our securitizations that each of the securitizations is a VIE and that the VIEs should be consolidated. If we determine in the future that consolidation is not required for a securitization, we would have to assess whether the transfer of the underlying assets qualify as a sale or should be accounted for as secured financings under GAAP. We may periodically enter into transactions in which we sell assets. Upon a transfer of financial assets, we may sometimes retain or acquire senior or subordinated interests in the related assets. In connection with such transactions, a determination must be made as to whether we, as the transferor, have surrendered control over transferred financial assets. That determination must consider our continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under applicable GAAP limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term “participating interest” to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale. From time to time, we have securitized mortgage loans. Depending upon the structure of the securitization transaction these transactions may be accounted for as either a “sale” and the loans will be removed from the consolidated balance sheet or, as a “financing” with the loans remaining on our consolidated balance sheet. Significant judgment may be exercised by us in determining whether a transaction should be recorded as a “sale” or a “financing.” (i) Deferred Financing Costs Costs incurred in connection with securing our financings are capitalized and amortized using the effective interest rate method over the respective financing term with such amortization reflected on our consolidated statements of operations as a component of interest expense. Deferred financing costs may include legal, accounting and other related fees. In connection with the adoption of accounting to simplify the presentation of debt issuance costs, on January 1, 2016, we reclassified deferred financing costs associated with our borrowings under repurchase agreements for prior periods as a component of the associated borrowings on our consolidated balance sheet. Previously, these deferred charges were included on our consolidated balance sheet as a component of “Other assets.” (j) Earnings Per Share Earnings per common share (or, EPS) is computed using the two-class method of accounting, which includes the weighted-average number of shares of common stock outstanding during the period and other securities that participate in dividends, such as our unvested restricted stock and restricted stock units (or, RSUs), to arrive at total common equivalent shares. In applying the two-class method, earnings are allocated to both shares of common stock and securities that participate in dividends based on their respective weighted-average shares outstanding for the period. During periods of net loss, losses are allocated only to the extent that the participating securities are required to absorb such losses. (See Note 17.) (k) Derivative Instruments Subject to maintaining our qualification as a REIT for U.S. Federal income tax purposes, we utilize derivative financial instruments, currently comprised of Swaps, Swaptions and, from time to time, TBA Contracts as part of our interest rate risk management. We view our derivative instruments as economic hedges, which we believe mitigate interest rate risk associated with our borrowings under repurchase agreements and/or the fair value of our RMBS portfolio. We do not enter into derivative instruments for speculative purposes. All derivatives are reported as either assets or liabilities on the balance sheet at estimated fair value. We have not elected hedge accounting for our derivative instruments and, as a result, changes in the fair value for our derivatives are recorded in earnings. The fair value adjustments, along with the related interest income or interest expense, are recognized in the consolidated statements of operations in the line item “Gain/(loss) on derivative instruments, net.” To-Be-Announced Securities TBA Contracts are forward contracts for the purchase or sale of Agency RMBS by a specified issuer and for a specified face amount, coupon and stated term, at a predetermined price on the date stated in the contract. The particular Agency RMBS as identified by a Committee on Uniform Securities Identification Procedures number (commonly known as a CUSIP) delivered into the contract upon the settlement date are not known at the time of the transaction. We recognize in earnings unrealized gains and losses associated with TBA Contracts that are not subject to the regular-way exception, which applies: (i) when there is no other way to purchase or sell that security; (ii) if delivery of that security and settlement will occur within the shortest period possible for that type of security and (iii) if it is probable at inception and throughout the term of the individual contract that physical delivery of the security will occur. Changes in the value of our TBA Contracts and realized gains or losses on settlement are recognized in our consolidated statements of operations in the line item “Gain/(loss) on derivative instruments, net.” (l) Repurchase Agreements Investment securities financed under repurchase agreements are treated as collateralized borrowings, unless they meet sale treatment or are deemed to be linked transactions. Through June 30, 2016 , none of our repurchase agreements had been accounted for as a linked transaction. As of June 30, 2016 , all securities financed through a repurchase agreement remained on our consolidated balance sheet as an asset (with the fair value of the securities pledged as collateral disclosed parenthetically) and cash received from the lender is recorded on our consolidated balance sheet as a liability. However, securities associated with our securitizations are eliminated in consolidation with VIEs. Interest paid and accrued in connection with our repurchase agreements is recorded as interest expense. (m) Stock-based Payments We account for stock-based awards granted to our independent directors, to our Manager and to employees of our Manager and its affiliates using the fair value based methodology prescribed by GAAP. Expense related to restricted common stock issued to our independent directors is based on the fair value of our common stock on the grant date, and amortized into expense over the award vesting period on a straight-line basis. Expense related to RSUs issued to our Manager and to employees of our Manager and its affiliates are based on the estimated fair value of such award at the grant date and are remeasured quarterly for unvested awards. We measure the fair value of our RSUs using the price of our common stock and other measurement assumptions, including implied volatility and discount rates. We use the graded vesting attribution method of accounting to amortize expense related to RSUs granted to our Manager and its affiliates. (n) Income Taxes (Dollar amounts in this Note 2(n) are not presented in thousands.) We elected to be taxed as a REIT for U.S. Federal income tax purposes, commencing with our taxable year ended December 31, 2011. Pursuant to the Internal Revenue Code, a REIT that distributes at least 90% of its net taxable income, excluding net capital gains, as a dividend to its stockholders each year and which meets certain other conditions, will not be taxed on the portion of its taxable income that is distributed to its stockholders. We expect to meet the conditions required to enable us to continue to operate as a REIT and to distribute all of our taxable income, including net capital gains for the periods presented and therefore we have not recorded any provisions for income taxes on our consolidated statements of operations through June 30, 2016. As of December 31, 2015, we had estimated net capital loss carryforward amounts of $67.7 million which may be carried forward and applied against future net capital gains. Our capital loss carryforward amounts will reduce the amount of future capital gains, if any, that we would otherwise expect to distribute as capital gains, since capital gains would first be reduced by the capital loss carryforward. At December 31, 2015, we had estimated capital loss carryforward amounts of $47.3 million and $20.4 million which will expire in 2018 and 2019, respectively. We have elected to treat a wholly owned subsidiary as a taxable REIT subsidiary (or, TRS). A TRS may participate in activities that would otherwise not be allowed to be carried on in a REIT. A TRS is subject to U.S. Federal, state and local income tax at regular corporate tax rates. As of December 31, 2015 our TRS and its subsidiaries, which are not consolidated with the Company for income tax purposes, had an estimated net operating loss carryforward of $1.5 million . Given the limited operating history of our TRS and its subsidiaries, there can be no assurance that such entities will generate taxable income in the future. As a result, the deferred tax asset of approximately $0.6 million associated with our net operating loss carryforward has been offset by a valuation allowance, such that we had no net deferred tax asset or liability at December 31, 2015 and, had not recorded any tax benefits through June 30, 2016. Under GAAP, a tax benefit from an uncertain tax position may be recognized when it is more likely than not that the position will be sustained upon examination, including resolutions of any related appeals or litigation processes, based on the technical merits of the position. Based upon review of our federal, state and local income tax returns and tax filing positions, we determined that no unrecognized tax benefits for uncertain tax positions were required to be recorded. In addition, we do not believe that we have any tax positions for which it is reasonably possible that we will be required to record significant amounts of unrecognized tax benefits within the next twelve months. Our major tax jurisdictions are U.S. Federal, New York State and New York City. The statute of limitations is open for all jurisdictions for tax years beginning 2012. (o) Variable Interest Entities We consolidate a VIE when we have both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. We are required to reconsider our evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE. (See Note 2(h).) (p) Recent Accounting Pronouncements Accounting Standards Adopted In June 2015, the Financial Accounting Standard’s Board (or, FASB) issued guidance providing for technical corrections and improvements to existing accounting standards. The amendments in this update represent changes to clarify, correct unintended application of guidance, or make minor improvements to existing accounting standards that are not expected to have a significant effect on current accounting practice or create a significant administrative cost to most entities. Transition guidance varies based on the amendments in this guidance. The amendments that require transition guidance are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2015. The adoption of this accounting guidance during the three months ended March 31, 2016 did not have a material impact on our consolidated financial statements. In April 2015, the FASB issued guidance on the presentation of debt issuance costs. This guidance requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability. This guidance became effective for fiscal years and interim periods beginning after December 15, 2015, and requires retrospective application. As of June 30, 2016 and December 31, 2015, we had $ 3 and $55 of net deferred financing costs. Under the new guidance these net deferred financing costs have been reclassified such that they reduce the carrying value of the associated borrowings on our consolidated balance sheets for the periods presented. In August 2015, the FASB expanded its April 2015 guidance associated with the presentation of debt issue costs, to address costs related to line-of-credit arrangements. In this update, the FASB noted that the SEC staff would not object to an entity deferring and presenting debt issuance costs as an asset and subsequently amortizing the deferred debt issuance costs ratably over the term of the line-of-credit arrangement, regardless of whether there are any outstanding borrowing on the line-of-credit arrangement. The adoption of this accounting guidance during the three months ended March 31, 2016 did not have a material impact on our consolidated financial |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments (a) General We disclose the estimated fair value of our financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). We are required to provide enhanced disclosures regarding instruments in the Level III category, including a separate reconciliation of the beginning and ending balances for each major category of assets and liabilities. GAAP provides a framework for measuring estimated fair value and for providing financial statement disclosure requirements for fair value measurements. A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The three levels of valuation hierarchy are defined as follows: Level I - Inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities. Level II - Fair values are determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing a security. These inputs may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. Level III - Fair values are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. The level in the fair value hierarchy, within which a fair measurement falls in its entirety, is based on the lowest level input that is significant to the fair value measurement. When available, we use quoted market prices to determine the estimated fair value of an asset or liability. Fair value under GAAP represents an exit price in the normal course of business, not a forced liquidation price. If we were forced to sell assets in a short period to meet liquidity needs, the prices received for such assets could be substantially less than their recorded fair values. Furthermore, the analysis of whether it is more likely than not that we will be required to sell securities in an unrealized loss position prior to an expected recovery in value (if any), the amount of such expected required sales, and the projected identification of which securities would be sold are also subject to significant judgment, particularly in times of market illiquidity. We have controls over our valuation processes that are intended to ensure that the valuations for our financial instruments are fairly presented in accordance with GAAP on a consistent basis. Our Manager and our Chief Executive Officer oversee our valuation process, which is carried out by our Manager and Apollo’s pricing group. Our audit committee has final oversight for the valuation process for all of our financial instruments and, on a quarterly basis, reviews and provides final approval for such process. Any changes to our valuation methodology will be reviewed by our Manager and audit committee to ensure the changes are appropriate. We may refine our valuation methodologies as markets and products develop. The methods used by us may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while we anticipate that our valuation methods are appropriate and are believed to result in valuations consistent with other market participants, the use of different methodologies, or assumptions, to determine the estimated fair value of certain financial instruments could result in a different estimate of estimated fair value at the reporting date. We use inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. The following describes the valuation methodologies used for our financial instruments measured at fair value, as well as the general classification of such instruments pursuant to the valuation hierarchy. (b) Agency RMBS, non-Agency RMBS, TBA Contracts, Securitized Mortgage Loans, Non-Recourse Securitized Debt and Other Investment Securities To determine the fair value of our Agency RMBS, non-Agency RMBS, TBA Contracts, securitized mortgage loans, non-recourse securitized debt and other investment securities, we obtain third party broker quotes which, while non-binding, are indicative of fair value. To validate the reasonableness of the broker quotes, we obtain and compare the broker quotes to valuations received from a third party pricing service and review the range of quotes received for outliers, compare quotes to recent market activity observed for similar securities and review significant changes in quarterly price levels. We generally do not adjust the prices we obtain from brokers; however, adjustments to valuations may be made as deemed appropriate to capture observable market information at the valuation date. Further, broker quotes are used provided that there is not an ongoing material event that affects the issuer of the securities being valued or the market thereof. If there is such an ongoing event, we will determine the estimated fair value of the securities using valuation techniques that use, when possible, current market-based or independently-sourced market parameters, such as interest rates and prepayment rates and, with respect to non-Agency RMBS, default rates and loss severities. Valuation techniques for RMBS may be based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, assumptions related to prepayment speed, the frequency and severity of defaults and attributes of the collateral underlying such securities. To the extent the inputs are observable and timely, the values would be categorized in Level II of the fair value hierarchy; otherwise they would be categorized as Level III. There were no events that resulted in us using internal models to value our Agency and non-Agency RMBS or other investment securities in our consolidated financial statements for the periods presented. Given the high level of liquidity and price transparency for our Agency RMBS, Risk Sharing Securities and TBA Contracts prices obtained from brokers and pricing services are readily verifiable to observable market transactions; as such, we categorize Agency RMBS, TBA Contracts and Risk Sharing Securities as Level II valuations. While market liquidity exists for non-Agency RMBS, securities underlying our securitized mortgage loans, securitized debt and SBC-MBS, periods of less liquidity or even illiquidity may also occur periodically for certain of these assets. As a result of this market dynamic and that observable market transactions may or may not exist from time to time, such instruments are categorized as Level III. (c) Swaps and Swaptions We determine the estimated fair value of our Swaps and Swaptions based on market valuations obtained from a third party with expertise in valuing such instruments. With respect to Swap valuations, the expected future cash flows are determined for the fixed and floating rate leg of the Swap. To arrive at the expected cash flows for the fixed leg of a Swap, the coupon rate stated in the Swap agreement is used and to arrive at the expected cash flows for the floating leg, the forward rates derived from raw yield curve data are used. Finally, both the fixed and floating legs’ cash flows are discounted using the calculated discount factors and the fixed and floating leg valuations are netted to arrive at a single valuation for the Swap at the valuation date. Swaptions require the same market inputs as Swaps with the addition of implied Swaption volatilities quoted by the market. The valuation inputs for Swaps and Swaptions are observable and, as such, their valuations are categorized as Level II in the fair value hierarchy. (d) Fair Value Hierarchy The following tables present our financial instruments carried at estimated fair value as of June 30, 2016 and December 31, 2015 based upon our consolidated balance sheet by the valuation hierarchy: Estimated Fair Value at June 30, 2016 Level I Level II Level III Total Assets: RMBS $ — $ 1,397,947 $ 1,080,501 $ 2,478,448 Securitized mortgage loans (transferred to consolidated variable interest entities) — — 160,206 160,206 Other investment securities — 100,716 59,680 160,396 Total $ — $ 1,498,663 $ 1,300,387 $ 2,799,050 Liabilities: Swaps/Swaptions $ — $ 1,274 $ — $ 1,274 Non-recourse securitized debt — — 13,407 13,407 Short TBA Contracts — 7,268 — 7,268 Total $ — $ 8,542 $ 13,407 $ 21,949 Estimated Fair Value at December 31, 2015 Level I Level II Level III Total Assets: RMBS $ — $ 1,864,356 $ 1,197,226 $ 3,061,582 Securitized mortgage loans (transferred to consolidated variable interest entities) — — 167,624 167,624 Other investment securities — 98,656 67,534 166,190 Swaps/Swaptions — 4,347 — 4,347 Total $ — $ 1,967,359 $ 1,432,384 $ 3,399,743 Liabilities: Swaps $ — $ 13,618 $ — $ 13,618 Non-recourse securitized debt — — 18,951 18,951 Long TBA Contracts — 195 — 195 Total $ — $ 13,813 $ 18,951 $ 32,764 (e) Level III Fair Value Measurement Disclosures Our non-Agency RMBS, other investment securities, securitized mortgage loans and securitized debt are measured at fair value and are considered to be Level III measurements of fair value. The following table presents a summary of changes in the fair value of our non-Agency RMBS for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Beginning balance $ 1,126,720 $ 1,374,966 $ 1,197,226 $ 1,468,109 Purchases — 96,312 50,656 183,838 Sales — (29,056 ) (66,077 ) (172,931 ) Principal repayments (56,000 ) (66,129 ) (112,621 ) (119,384 ) Total net gains/(losses) included in net income: Realized gains/(losses), net — (254 ) 1,134 3,823 Unrealized gains/(losses), net 1,327 (11,634 ) (8,590 ) (10,750 ) OTTI recognized (1,395 ) (88 ) (1,850 ) (1,879 ) Discount accretion 9,849 14,148 20,623 27,439 Ending balance $ 1,080,501 $ 1,378,265 $ 1,080,501 $ 1,378,265 The following table presents a summary of the changes in the fair value of our securitized mortgage loan pools associated with our securitizations for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Beginning balance $ 159,301 $ 183,328 $ 167,624 $ 104,438 Mortgage loans securitized — — — 81,093 Principal repayments (4,447 ) (1,816 ) (8,823 ) (5,512 ) Discount accretion and other adjustments 236 (126 ) 471 (756 ) Unrealized gain/(loss) during the period, net 5,751 (1,866 ) 1,992 702 Loans transferred to REO (635 ) (616 ) (1,058 ) (1,061 ) Ending balance $ 160,206 $ 178,904 $ 160,206 $ 178,904 The following table presents a summary of the changes in fair value of our Level III other investment securities for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Beginning balance $ 60,887 $ 39,916 $ 67,534 $ 23,833 Purchases — 22,086 — 39,601 Sales — — (2,900 ) — Principal repayments (3,087 ) (3,046 ) (6,412 ) (4,552 ) Total net gains/(losses) included in net income: Realized (losses), net — — (26 ) — Unrealized gains/(losses), net 1,328 (591 ) 416 (808 ) OTTI recognized — — (116 ) — Discount accretion 552 525 1,184 816 Ending balance $ 59,680 $ 58,890 $ 59,680 $ 58,890 The following table presents a summary of the changes in fair value of our securitized debt for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Beginning balance $ 16,531 $ 30,306 $ 18,951 $ 34,176 Principal paid (3,104 ) (3,412 ) (5,522 ) (7,270 ) Unrealized losses, net (20 ) (1,001 ) (22 ) (1,013 ) Ending balance $ 13,407 $ 25,893 $ 13,407 $ 25,893 (f) Financial Instruments Not Carried at Fair Value The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on our consolidated balance sheet, at June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial assets: Investment related receivable (1) $ 6,071 $ 6,071 $ 2,692 $ 2,692 Warehouse line receivable (2) (3) $ 3,919 $ 3,919 $ 10,239 $ 10,239 Mortgage loans and real estate subject to BFT Contracts under Seller Financing Program (3) $ 41,805 $ 41,805 $ 34,994 $ 34,994 Financial liabilities: Repurchase agreements $ 2,269,850 $ 2,269,821 $ 2,898,347 $ 2,898,347 Investment related payable (1) $ 1,256 $ 1,256 $ — $ — (1) Carrying value approximates fair value due to the short-term nature of the item. (2) Carrying value approximates fair value as such investment has a variable interest rate and there has been no material change in the credit-worthiness of the borrower. (3) Carrying value approximates fair value based on the assessment that there has been no material change in value or impairment of the associated real estate. To determine the estimated fair value of our borrowings under repurchase agreements, contractual cash flows from such borrowings are discounted at estimated market interest rates, which rates may be based upon actual transactions executed by us or indicative rates quoted by brokers. The estimated fair values are not necessarily indicative of the amount we would realize on disposition of the financial instruments. Our borrowings under repurchase agreements had a weighted average remaining term to maturity of 38 and 51 days at June 30, 2016 and December 31, 2015 , respectively. Adjustments to valuations may be made as deemed appropriate to capture market information at the valuation date. Inputs used to arrive at the fair value of our repurchase agreement borrowings are generally observable and therefore the fair value of our repurchase agreement borrowings are classified as Level II valuations in the fair value hierarchy. |
Residential Mortgage-Backed Sec
Residential Mortgage-Backed Securities | 6 Months Ended |
Jun. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Residential Mortgage-Backed Securities | Residential Mortgage-Backed Securities (a) RMBS The following tables present certain information about our RMBS portfolio at June 30, 2016 and December 31, 2015 : June 30, 2016 Principal Balance Premium/ (Discount)and OTTI, Net (1) Amortized Cost (2) Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Weighted Average Coupon Agency pass-through RMBS - 30-Year Mortgages: ARMs $ 232,315 $ 16,439 $ 248,754 $ 243,929 $ — $ (4,825 ) 2.64 % 3.5% coupon 505,139 23,735 528,874 537,330 8,456 — 3.50 % 4.0% coupon 531,924 33,759 565,683 575,218 9,552 (17 ) 4.00 % 1,269,378 73,933 1,343,311 1,356,477 18,008 (4,842 ) 3.55 % Agency IO (2) — — 49,763 41,470 — (8,293 ) 2.31 % Total Agency securities 1,269,378 73,933 1,393,074 1,397,947 18,008 (13,135 ) 4.49 % Non-Agency RMBS 1,268,284 (209,621 ) 1,058,663 1,080,501 43,122 (21,284 ) 1.68 % Total RMBS $ 2,537,662 $ (135,688 ) $ 2,451,737 $ 2,478,448 $ 61,130 $ (34,419 ) 3.09 % December 31, 2015 Principal Balance Premium/ (Discount)and OTTI, Net (1) Amortized Cost (2) Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Weighted Average Coupon Agency pass-through RMBS - 30-Year Mortgages: ARMs $ 272,533 $ 19,247 $ 291,780 $ 289,057 $ — $ (2,723 ) 2.51 % 3.5% coupon 511,184 24,295 535,479 527,657 — (7,822 ) 3.50 % 4.0% coupon 925,929 61,523 987,452 983,536 1,307 (5,223 ) 4.00 % 1,709,646 105,065 1,814,711 1,800,250 1,307 (15,768 ) 3.61 % Agency IO (2) — — 57,778 57,354 1,175 (1,599 ) 2.33 % Agency Inverse IO (2) — — 6,864 6,752 — (112 ) 6.62 % Total Agency securities 1,709,646 105,065 1,879,353 1,864,356 2,482 (17,479 ) 4.53 % Non-Agency RMBS 1,395,873 (229,075 ) 1,166,798 1,197,226 47,857 (17,429 ) 1.67 % Total RMBS $ 3,105,519 $ (124,010 ) $ 3,046,151 $ 3,061,582 $ 50,339 $ (34,908 ) 3.24 % (1) A portion of the purchase discount on non-Agency RMBS is not expected to be recognized as interest income, and is instead viewed as a credit discount. See Notes 4(e) and 4(h). (2) At June 30, 2016 and December 31, 2015 , our Agency IO had a notional balance of $515,081 and $564,931 , respectively, and our Agency Inverse IO had a notional balance of $38,529 as December 31, 2015. (b) Agency Pass-through RMBS The following tables present certain information about our Agency pass-through RMBS by issuer at June 30, 2016 and December 31, 2015 : June 30, 2016 Principal Unamortized Premium/ Amortized Estimated Gross Gross Fannie Mae: ARMs $ 218,650 $ 15,508 $ 234,158 $ 229,551 $ — $ (4,607 ) 3.5% Coupon 91,388 3,907 95,295 97,111 1,816 — 4.0% Coupon 279,477 17,960 297,437 302,013 4,593 (17 ) 589,515 37,375 626,890 628,675 6,409 (4,624 ) Freddie Mac: ARMs 13,665 931 14,596 14,378 — (218 ) 3.5% Coupon 413,751 19,828 433,579 440,219 6,640 — 4.0% Coupon 252,447 15,799 268,246 273,205 4,959 — 679,863 36,558 716,421 727,802 11,599 (218 ) Total Agency pass-through RMBS $ 1,269,378 $ 73,933 $ 1,343,311 $ 1,356,477 $ 18,008 $ (4,842 ) December 31, 2015 Principal Unamortized Premium/ Amortized Estimated Gross Gross Fannie Mae: ARMs $ 256,983 $ 18,188 $ 275,171 $ 272,631 $ — $ (2,540 ) 3.5% Coupon 90,310 4,123 94,433 93,429 — (1,004 ) 4.0% Coupon 343,887 22,519 366,406 365,238 373 (1,541 ) 691,180 44,830 736,010 731,298 373 (5,085 ) Freddie Mac: ARMs 15,550 1,059 16,609 16,426 — (183 ) 3.5% Coupon 420,874 20,172 441,046 434,228 — (6,818 ) 4.0% Coupon 582,042 39,004 621,046 618,298 934 (3,682 ) 1,018,466 60,235 1,078,701 1,068,952 934 (10,683 ) Total Agency pass-through RMBS $ 1,709,646 $ 105,065 $ 1,814,711 $ 1,800,250 $ 1,307 $ (15,768 ) (c) Non-Agency RMBS The following tables present certain information about our non-Agency RMBS by type of underlying mortgage loan collateral type at June 30, 2016 and December 31, 2015 : June 30, 2016 Underlying Loan Characteristics: Principal Balance Unamortized Premium/ (Discount) and OTTI, Net Amortized Cost Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Subprime $ 812,460 $ (106,424 ) $ 706,036 $ 726,212 $ 29,845 $ (9,669 ) Alt-A 178,810 (43,995 ) 134,815 141,602 9,304 (2,517 ) Option ARMs 277,014 (59,202 ) 217,812 212,687 3,973 (9,098 ) Total Non-Agency RMBS $ 1,268,284 $ (209,621 ) $ 1,058,663 $ 1,080,501 $ 43,122 $ (21,284 ) December 31, 2015 Underlying Loan Characteristics: Principal Balance Unamortized Premium/ (Discount) and OTTI, Net Amortized Cost Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Subprime $ 939,161 $ (124,776 ) $ 814,385 $ 838,128 $ 33,503 $ (9,760 ) Alt-A 184,932 (45,194 ) 139,738 147,709 10,330 (2,359 ) Option ARMs 271,780 (59,105 ) 212,675 211,389 4,024 (5,310 ) Total Non-Agency RMBS $ 1,395,873 $ (229,075 ) $ 1,166,798 $ 1,197,226 $ 47,857 $ (17,429 ) (d) Unrealized Loss Positions on RMBS The following table presents information about our RMBS that were in an unrealized loss position at June 30, 2016 : Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Fair Value Unrealized (Losses) Number of Securities Fair Value Unrealized (Losses) Number of Securities Agency RMBS $ 50,738 $ (664 ) 6 $ 205,904 $ (4,178 ) 7 Agency IO 29,237 (4,854 ) 10 12,233 (3,439 ) 6 Total Agency Securities 79,975 (5,518 ) 16 218,137 (7,617 ) 13 Non-Agency RMBS 266,565 (10,094 ) 58 271,339 (11,190 ) 72 Total $ 346,540 $ (15,612 ) 74 $ 489,476 $ (18,807 ) 85 (e) Interest Income on RMBS The following tables present components of interest income on our Agency RMBS and non-Agency RMBS for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Agency RMBS $ 15,502 $ (5,439 ) $ 10,063 $ 32,457 $ (10,172 ) $ 22,285 Non-Agency RMBS 5,391 9,849 15,240 10,972 20,623 31,595 Total $ 20,893 $ 4,410 $ 25,303 $ 43,429 $ 10,451 $ 53,880 Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Agency RMBS $ 21,500 $ (5,670 ) $ 15,830 $ 44,039 $ (11,688 ) $ 32,351 Non-Agency RMBS 5,840 14,148 19,988 11,642 27,439 39,081 Total $ 27,340 $ 8,478 $ 35,818 $ 55,681 $ 15,751 $ 71,432 (f) Realized and Unrealized Gains and Losses and OTTI on RMBS The following tables present components of net realized gains/(losses), changes in net unrealized gains/(losses) and OTTI recognized on our RMBS for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 RMBS Type Net Realized Gains/(Losses) Net Unrealized Gains/(Losses) Other-Than-Temporary-Impairments Net Realized Gains/(Losses) Net Unrealized Gains/(Losses) (Other-Than-Temporary-Impairments) Agency fixed rate $ 486 $ 9,688 $ — $ (140 ) $ 29,729 $ — Agency adjustable rate (213 ) (669 ) — (263 ) (2,101 ) — Agency Inverse — — — — — — Agency IO — (2,745 ) (3,402 ) — (7,869 ) (3,527 ) Agency Inverse IO — — — (136 ) 112 — Non-Agency RMBS — 1,325 (1,396 ) 1,134 (8,591 ) (1,850 ) Total $ 273 $ 7,599 $ (4,798 ) $ 595 $ 11,280 $ (5,377 ) Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 RMBS Type Net Realized Gains/(Losses) Net Unrealized Gains/(Losses) Other-Than-Temporary-Impairment Net Realized Gains/(Losses) Net Unrealized Gains/(Losses) (Other-Than-Temporary-Impairment) Agency fixed rate $ (4,351 ) $ (30,137 ) $ — $ (57 ) $ (16,560 ) $ — Agency Inverse — (613 ) — 43 (758 ) — Agency IO (15 ) 1,458 — (127 ) 1,839 (173 ) Agency Inverse IO 74 199 — 311 568 (612 ) Agency adjustable rate 16 (539 ) — 15 (825 ) — Non-Agency RMBS (254 ) (11,634 ) (88 ) 3,823 (10,750 ) (1,878 ) Total $ (4,530 ) $ (41,266 ) $ (88 ) $ 4,008 $ (26,486 ) $ (2,663 ) (g) Contractual Maturities of RMBS The following table presents the maturities of our RMBS, based on the contractual maturities of the underlying mortgages at June 30, 2016 and December 31, 2015 : Contractual Maturities of RMBS (1) June 30, 2016 December 31, 2015 10 years or less $ 65,932 $ 112,087 > 10 years and < or equal to 20 years 674,939 667,595 > 20 years and < or equal to 30 years 1,626,790 2,155,087 > 30 years 110,787 126,813 Total $ 2,478,448 $ 3,061,582 (1) Actual maturities of the securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, prepayments of principal, and the payment priority structure of the security; therefore actual maturities are generally shorter than the stated contractual maturities of the underlying or referenced mortgages. (h) Non-Agency RMBS Discounts and OTTI The following tables present the changes in the components of our purchase discount on non-Agency RMBS between purchase discount designated as credit reserve and OTTI versus accretable purchase discount for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 Discount (1) Accretable Discount Discount (1) Accretable Discount Balance at beginning of period $ (81,354 ) $ (137,828 ) $ (81,217 ) $ (147,989 ) Accretion of discount — 9,828 — 20,574 Realized credit losses 949 — 1,682 — Purchases — — (2,726 ) (6,305 ) Sales and other 2 (2 ) 343 7,687 OTTI recognized in earnings (1,365 ) — (1,819 ) — Transfers/release of credit reserve 2,081 (2,081 ) 4,050 (4,050 ) Balance at end of period $ (79,687 ) $ (130,083 ) $ (79,687 ) $ (130,083 ) (1) At June 30, 2016, our non-Agency RMBS had gross discounts of $209,770 , which included credit discounts of $64,290 and OTTI of $15,397 . The following table presents a roll-forward of the credit loss component of OTTI on our Agency IO and Inverse IO securities for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 OTTI at beginning of period $ 1,048 $ 1,008 Additions to OTTI 3,403 3,527 Sale of securities with OTTI — (84 ) OTTI at end of period $ 4,451 $ 4,451 Other Investment Securities and Other Investments (a) Other Investment Securities The following table presents certain information about our other investment securities portfolio at June 30, 2016 and December 31, 2015 : Par or Reference Balance Unamortized Premium/ Amortized Cost (1) Estimated Fair Value Gross Unrealized Gain Gross Unrealized Losses Weighted Average Coupon June 30, 2016 Risk Sharing Securities - Freddie Mac $ 47,174 $ (220 ) $ 46,954 $ 46,900 $ 124 $ (178 ) 3.97 % Risk Sharing Securities - Fannie Mae 55,287 (1,240 ) 54,047 $ 53,816 308 (539 ) 4.02 SBC-MBS 69,863 (7,750 ) 62,113 $ 59,680 92 (2,525 ) 0.97 Total $ 172,324 $ (9,210 ) $ 163,114 $ 160,396 $ 524 $ (3,242 ) 2.77 % December 31, 2015 Risk Sharing Securities - Freddie Mac $ 48,526 $ (212 ) $ 48,314 $ 47,232 $ 189 $ (1,271 ) 3.92 % Risk Sharing Securities - Fannie Mae 55,287 (1,659 ) 53,628 51,424 — (2,204 ) 3.99 SBC-MBS 76,276 (8,811 ) 67,465 64,607 10 (2,868 ) 2.40 SBA-IO (2) — — 2,918 2,927 9 — 0.95 Total $ 180,089 $ (10,682 ) $ 172,325 $ 166,190 $ 208 $ (6,343 ) 2.63 % (1) Amortized cost is reduced by unrealized losses that are classified as OTTI, which was $1,853 and $1,523 at June 30, 2016 and December 31, 2015 , respectively. (2) SBA-IO have no principal balance and bear interest based on a notional balance. At December 31, 2015 our SBA-IO had a notional balance of $27,546 ; we held no investments in SBA-IO at June 30, 2016. (b) Income on Other Investment Securities The following tables present components of interest income on our other investment securities for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 Coupon Interest (Premium Amortization)/ Discount Accretion, net Interest Income Weighted Average Yield Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Weighted Average Yield Risk Sharing Securities - Freddie Mac $ 476 $ 83 $ 559 4.70 % $ 959 $ 204 $ 1,163 4.85 % Risk Sharing Securities - Fannie Mae 561 218 779 5.73 1,120 419 1,539 5.72 SBC-MBS 167 552 719 4.52 347 1,177 1,524 4.68 SBA-IO — — — — 42 8 50 6.99 Total $ 1,204 $ 853 $ 2,057 4.98 % $ 2,468 $ 1,808 $ 4,276 5.04 % Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 Coupon Interest (Premium Amortization)/ Discount Accretion, net Interest Income Weighted Average Yield Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Weighted Average Yield Risk Sharing Securities - Freddie Mac $ 376 $ 118 $ 494 3.36 % $ 537 $ 140 $ 677 3.45 % Risk Sharing Securities - Fannie Mae 239 78 317 4.61 287 89 376 3.54 SBC-MBS 93 490 583 5.09 161 781 942 5.05 Total $ 708 $ 686 $ 1,394 4.37 % $ 985 $ 1,010 $ 1,995 4.22 % (c) Other Investment Securities – Discounts and OTTI The following table presents the changes in the components of our purchase discount on other investment securities between purchase discount designated as credit reserve and OTTI versus accretable purchase discount for the periods presented. Three Months Ended June 30, Six Months Ended June 30, 2016 2016 Discount Accretable Discount Discount Accretable Discount Balance at beginning of period $ (1,113 ) $ (9,092 ) $ (672 ) $ (10,332 ) Accretion of discount — 856 — 1,771 Purchases — — — — OTTI recognized (182 ) — (298 ) — Transfers/release of credit reserve 814 (814 ) 489 (489 ) Balance at end of period $ (481 ) $ (9,050 ) $ (481 ) $ (9,050 ) Our SBC-MBS generally include mortgage loans collateralized by a mix of residential multi-family (i.e., properties with five or more units), mixed use residential/commercial, small retail, office building, warehouse and other types of property. In some instances, certain mortgage loans underlying the SBC-MBS that we own may also be additionally secured by a personal guarantee from the primary principal(s) of the related business and/or borrowing entity. As part of underwriting small balance commercial loans, real estate appraisals of the underlying real estate are generally obtained at origination of the mortgage assets underlying the SBC-MBS. (d) Other Investment Securities Unrealized Losses The following table presents information about our Other Investment Securities that were in an unrealized loss position at June 30, 2016 : Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Risk Sharing Securities - Freddie Mac $ 12,576 $ (113 ) 2 $ 7,019 $ (65 ) 4 Risk Sharing Securities - Fannie Mae 7,887 (25 ) 2 21,936 (514 ) 1 SBC-MBS 9,670 (157 ) 3 44,722 (2,368 ) 4 Total Other Investment Securities $ 30,133 $ (295 ) 7 $ 73,677 $ (2,947 ) 9 (e) Other Investments Our other investments are comprised of our warehouse line, real estate subject to BFT Contracts, and mortgage loans, all of which are associated with our Seller Financing Program. BFT Contracts are agreements to finance the purchase of real property in which the seller provides the buyer with financing to purchase the property for an agreed-upon purchase price, and the buyer repays the loan in installments over the ensuing 20 to 30 years, depending on the term of the financing agreement. Pursuant to a BFT Contract, unlike a mortgage loan, the seller retains the legal title to the property, granting the buyer complete use of the property and requiring the buyer to maintain the property and bear the cost of property taxes. Pursuant to a BFT Contract, the seller generally conveys legal title of the property to the buyer when the full purchase price set forth in the contract has been paid, including all interest incurred through the date of final payment. All BFT Contracts purchased by us through June 30, 2016 are designated as “real estate subject to BFT Contracts” which properties, excluding land, are depreciated until such time that the criteria for sale have been met. With respect to payments we receive under BFT Contracts, we record the principal component of the buyer’s monthly payment as a deposit liability and record the interest payments we receive as interest income. In connection with our Seller Financing Program we had $292 and $230 of deposit liabilities included as a component of other liabilities on our consolidated balance sheet at June 30, 2016 and December 31, 2015, respectively. Our warehouse line receivable is secured by a pledge of substantially all the assets of the third-party borrower that owns the homes, BFT Contracts and mortgage loans during the time they are pledged on the warehouse line. The following table presents components of the carrying value of our other investments at June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 Warehouse line receivable $ 3,919 $ 10,239 Real estate subject to BFT Contracts, net of accumulated depreciation (1) 31,045 26,525 Mortgage loans purchased through Seller Financing Program 10,760 8,469 Total $ 45,724 $ 45,233 (1) At June 30, 2016 , BFT Contracts had an aggregate principal balance of $31,986 with a weighted average contractual interest rate of 8.17% and BFT Contracts at December 31, 2015 had an aggregate principal balance of $27,140 with a weighted average stated interest rate of 8.20% . Amount is presented net of $ 941 and $545 of accumulated depreciation at June 30, 2016 and December 31, 2015, respectively. (f) Income on Other Investments The following table presents components of income on our other investments for the periods presented: Three Months Ended June 30, Six Months Ended June 31, 2016 2015 2016 2015 Warehouse line interest $ 76 $ 303 $ 190 $ 680 Real estate subject to BFT Contracts 946 367 1,439 644 Mortgage loans purchased through Seller Financing Program 4 114 197 189 Total $ 1,026 $ 784 $ 1,826 $ 1,513 |
Securitized Mortgage Loans
Securitized Mortgage Loans | 6 Months Ended |
Jun. 30, 2016 | |
Mortgage Loans on Real Estate [Abstract] | |
Securitized Mortgage Loans | Securitized Mortgage Loans In connection with our securitization transactions, we consolidate the associated securitization trusts. As such, we report on our consolidated balance sheet the residential mortgage loans held by the securitization trusts. (See Note 14.) The following table presents a summary of the changes in the carrying value of our securitized mortgage loans for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Beginning balance $ 159,301 $ 183,328 $ 167,624 $ 104,438 Securitization of March 2015 Pool — — — 81,093 Principal repayments (4,447 ) (1,816 ) (8,823 ) (5,512 ) Discount accretion and other adjustments 236 (126 ) 471 (756 ) Unrealized gain/(loss) during the period, net 5,751 (1,866 ) 1,992 702 Loans transferred to REO (635 ) (616 ) (1,058 ) (1,061 ) Ending balance $ 160,206 $ 178,904 $ 160,206 $ 178,904 The following table presents certain information about mortgage loans underlying our securitized mortgage loans at June 30, 2016 : Securitized Mortgage Loans June 30, 2016 Performing (1) $ 65,194 Re-performing (1) 106,828 Non-performing (1) 28,118 Purchase discount (46,121 ) Allowance for loan losses (OTTI) (2,699 ) Fair value adjustment 8,886 Total $ 160,206 (1) We consider loans that are no more than 60 days delinquent as “performing,” loans that have had their initial terms modified and are no more than 60 days delinquent as “re-performing” and loans that are more than 60 days past due as “non-performing.” At June 30, 2016 , $5,737 of our securitized mortgage loans were in the process of foreclosure and we held five properties with an estimated fair value of $713 as REO. The following table presents the five largest state concentrations, in the aggregate, for our securitized mortgage loans based on principal balance at June 30, 2016 : Property Location Principal Balance Total Concentration Florida $ 35,635 17.8 % California 35,355 17.7 Maryland 16,287 8.1 Texas 12,370 6.2 New Jersey 10,898 5.4 Other states and the District of Columbia 89,594 44.8 Total $ 200,139 100.0 % |
Other Investment Securities and
Other Investment Securities and Other Investments | 6 Months Ended |
Jun. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Other Investment Securities and Other Investments | Residential Mortgage-Backed Securities (a) RMBS The following tables present certain information about our RMBS portfolio at June 30, 2016 and December 31, 2015 : June 30, 2016 Principal Balance Premium/ (Discount)and OTTI, Net (1) Amortized Cost (2) Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Weighted Average Coupon Agency pass-through RMBS - 30-Year Mortgages: ARMs $ 232,315 $ 16,439 $ 248,754 $ 243,929 $ — $ (4,825 ) 2.64 % 3.5% coupon 505,139 23,735 528,874 537,330 8,456 — 3.50 % 4.0% coupon 531,924 33,759 565,683 575,218 9,552 (17 ) 4.00 % 1,269,378 73,933 1,343,311 1,356,477 18,008 (4,842 ) 3.55 % Agency IO (2) — — 49,763 41,470 — (8,293 ) 2.31 % Total Agency securities 1,269,378 73,933 1,393,074 1,397,947 18,008 (13,135 ) 4.49 % Non-Agency RMBS 1,268,284 (209,621 ) 1,058,663 1,080,501 43,122 (21,284 ) 1.68 % Total RMBS $ 2,537,662 $ (135,688 ) $ 2,451,737 $ 2,478,448 $ 61,130 $ (34,419 ) 3.09 % December 31, 2015 Principal Balance Premium/ (Discount)and OTTI, Net (1) Amortized Cost (2) Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Weighted Average Coupon Agency pass-through RMBS - 30-Year Mortgages: ARMs $ 272,533 $ 19,247 $ 291,780 $ 289,057 $ — $ (2,723 ) 2.51 % 3.5% coupon 511,184 24,295 535,479 527,657 — (7,822 ) 3.50 % 4.0% coupon 925,929 61,523 987,452 983,536 1,307 (5,223 ) 4.00 % 1,709,646 105,065 1,814,711 1,800,250 1,307 (15,768 ) 3.61 % Agency IO (2) — — 57,778 57,354 1,175 (1,599 ) 2.33 % Agency Inverse IO (2) — — 6,864 6,752 — (112 ) 6.62 % Total Agency securities 1,709,646 105,065 1,879,353 1,864,356 2,482 (17,479 ) 4.53 % Non-Agency RMBS 1,395,873 (229,075 ) 1,166,798 1,197,226 47,857 (17,429 ) 1.67 % Total RMBS $ 3,105,519 $ (124,010 ) $ 3,046,151 $ 3,061,582 $ 50,339 $ (34,908 ) 3.24 % (1) A portion of the purchase discount on non-Agency RMBS is not expected to be recognized as interest income, and is instead viewed as a credit discount. See Notes 4(e) and 4(h). (2) At June 30, 2016 and December 31, 2015 , our Agency IO had a notional balance of $515,081 and $564,931 , respectively, and our Agency Inverse IO had a notional balance of $38,529 as December 31, 2015. (b) Agency Pass-through RMBS The following tables present certain information about our Agency pass-through RMBS by issuer at June 30, 2016 and December 31, 2015 : June 30, 2016 Principal Unamortized Premium/ Amortized Estimated Gross Gross Fannie Mae: ARMs $ 218,650 $ 15,508 $ 234,158 $ 229,551 $ — $ (4,607 ) 3.5% Coupon 91,388 3,907 95,295 97,111 1,816 — 4.0% Coupon 279,477 17,960 297,437 302,013 4,593 (17 ) 589,515 37,375 626,890 628,675 6,409 (4,624 ) Freddie Mac: ARMs 13,665 931 14,596 14,378 — (218 ) 3.5% Coupon 413,751 19,828 433,579 440,219 6,640 — 4.0% Coupon 252,447 15,799 268,246 273,205 4,959 — 679,863 36,558 716,421 727,802 11,599 (218 ) Total Agency pass-through RMBS $ 1,269,378 $ 73,933 $ 1,343,311 $ 1,356,477 $ 18,008 $ (4,842 ) December 31, 2015 Principal Unamortized Premium/ Amortized Estimated Gross Gross Fannie Mae: ARMs $ 256,983 $ 18,188 $ 275,171 $ 272,631 $ — $ (2,540 ) 3.5% Coupon 90,310 4,123 94,433 93,429 — (1,004 ) 4.0% Coupon 343,887 22,519 366,406 365,238 373 (1,541 ) 691,180 44,830 736,010 731,298 373 (5,085 ) Freddie Mac: ARMs 15,550 1,059 16,609 16,426 — (183 ) 3.5% Coupon 420,874 20,172 441,046 434,228 — (6,818 ) 4.0% Coupon 582,042 39,004 621,046 618,298 934 (3,682 ) 1,018,466 60,235 1,078,701 1,068,952 934 (10,683 ) Total Agency pass-through RMBS $ 1,709,646 $ 105,065 $ 1,814,711 $ 1,800,250 $ 1,307 $ (15,768 ) (c) Non-Agency RMBS The following tables present certain information about our non-Agency RMBS by type of underlying mortgage loan collateral type at June 30, 2016 and December 31, 2015 : June 30, 2016 Underlying Loan Characteristics: Principal Balance Unamortized Premium/ (Discount) and OTTI, Net Amortized Cost Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Subprime $ 812,460 $ (106,424 ) $ 706,036 $ 726,212 $ 29,845 $ (9,669 ) Alt-A 178,810 (43,995 ) 134,815 141,602 9,304 (2,517 ) Option ARMs 277,014 (59,202 ) 217,812 212,687 3,973 (9,098 ) Total Non-Agency RMBS $ 1,268,284 $ (209,621 ) $ 1,058,663 $ 1,080,501 $ 43,122 $ (21,284 ) December 31, 2015 Underlying Loan Characteristics: Principal Balance Unamortized Premium/ (Discount) and OTTI, Net Amortized Cost Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Subprime $ 939,161 $ (124,776 ) $ 814,385 $ 838,128 $ 33,503 $ (9,760 ) Alt-A 184,932 (45,194 ) 139,738 147,709 10,330 (2,359 ) Option ARMs 271,780 (59,105 ) 212,675 211,389 4,024 (5,310 ) Total Non-Agency RMBS $ 1,395,873 $ (229,075 ) $ 1,166,798 $ 1,197,226 $ 47,857 $ (17,429 ) (d) Unrealized Loss Positions on RMBS The following table presents information about our RMBS that were in an unrealized loss position at June 30, 2016 : Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Fair Value Unrealized (Losses) Number of Securities Fair Value Unrealized (Losses) Number of Securities Agency RMBS $ 50,738 $ (664 ) 6 $ 205,904 $ (4,178 ) 7 Agency IO 29,237 (4,854 ) 10 12,233 (3,439 ) 6 Total Agency Securities 79,975 (5,518 ) 16 218,137 (7,617 ) 13 Non-Agency RMBS 266,565 (10,094 ) 58 271,339 (11,190 ) 72 Total $ 346,540 $ (15,612 ) 74 $ 489,476 $ (18,807 ) 85 (e) Interest Income on RMBS The following tables present components of interest income on our Agency RMBS and non-Agency RMBS for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Agency RMBS $ 15,502 $ (5,439 ) $ 10,063 $ 32,457 $ (10,172 ) $ 22,285 Non-Agency RMBS 5,391 9,849 15,240 10,972 20,623 31,595 Total $ 20,893 $ 4,410 $ 25,303 $ 43,429 $ 10,451 $ 53,880 Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Agency RMBS $ 21,500 $ (5,670 ) $ 15,830 $ 44,039 $ (11,688 ) $ 32,351 Non-Agency RMBS 5,840 14,148 19,988 11,642 27,439 39,081 Total $ 27,340 $ 8,478 $ 35,818 $ 55,681 $ 15,751 $ 71,432 (f) Realized and Unrealized Gains and Losses and OTTI on RMBS The following tables present components of net realized gains/(losses), changes in net unrealized gains/(losses) and OTTI recognized on our RMBS for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 RMBS Type Net Realized Gains/(Losses) Net Unrealized Gains/(Losses) Other-Than-Temporary-Impairments Net Realized Gains/(Losses) Net Unrealized Gains/(Losses) (Other-Than-Temporary-Impairments) Agency fixed rate $ 486 $ 9,688 $ — $ (140 ) $ 29,729 $ — Agency adjustable rate (213 ) (669 ) — (263 ) (2,101 ) — Agency Inverse — — — — — — Agency IO — (2,745 ) (3,402 ) — (7,869 ) (3,527 ) Agency Inverse IO — — — (136 ) 112 — Non-Agency RMBS — 1,325 (1,396 ) 1,134 (8,591 ) (1,850 ) Total $ 273 $ 7,599 $ (4,798 ) $ 595 $ 11,280 $ (5,377 ) Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 RMBS Type Net Realized Gains/(Losses) Net Unrealized Gains/(Losses) Other-Than-Temporary-Impairment Net Realized Gains/(Losses) Net Unrealized Gains/(Losses) (Other-Than-Temporary-Impairment) Agency fixed rate $ (4,351 ) $ (30,137 ) $ — $ (57 ) $ (16,560 ) $ — Agency Inverse — (613 ) — 43 (758 ) — Agency IO (15 ) 1,458 — (127 ) 1,839 (173 ) Agency Inverse IO 74 199 — 311 568 (612 ) Agency adjustable rate 16 (539 ) — 15 (825 ) — Non-Agency RMBS (254 ) (11,634 ) (88 ) 3,823 (10,750 ) (1,878 ) Total $ (4,530 ) $ (41,266 ) $ (88 ) $ 4,008 $ (26,486 ) $ (2,663 ) (g) Contractual Maturities of RMBS The following table presents the maturities of our RMBS, based on the contractual maturities of the underlying mortgages at June 30, 2016 and December 31, 2015 : Contractual Maturities of RMBS (1) June 30, 2016 December 31, 2015 10 years or less $ 65,932 $ 112,087 > 10 years and < or equal to 20 years 674,939 667,595 > 20 years and < or equal to 30 years 1,626,790 2,155,087 > 30 years 110,787 126,813 Total $ 2,478,448 $ 3,061,582 (1) Actual maturities of the securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, prepayments of principal, and the payment priority structure of the security; therefore actual maturities are generally shorter than the stated contractual maturities of the underlying or referenced mortgages. (h) Non-Agency RMBS Discounts and OTTI The following tables present the changes in the components of our purchase discount on non-Agency RMBS between purchase discount designated as credit reserve and OTTI versus accretable purchase discount for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 Discount (1) Accretable Discount Discount (1) Accretable Discount Balance at beginning of period $ (81,354 ) $ (137,828 ) $ (81,217 ) $ (147,989 ) Accretion of discount — 9,828 — 20,574 Realized credit losses 949 — 1,682 — Purchases — — (2,726 ) (6,305 ) Sales and other 2 (2 ) 343 7,687 OTTI recognized in earnings (1,365 ) — (1,819 ) — Transfers/release of credit reserve 2,081 (2,081 ) 4,050 (4,050 ) Balance at end of period $ (79,687 ) $ (130,083 ) $ (79,687 ) $ (130,083 ) (1) At June 30, 2016, our non-Agency RMBS had gross discounts of $209,770 , which included credit discounts of $64,290 and OTTI of $15,397 . The following table presents a roll-forward of the credit loss component of OTTI on our Agency IO and Inverse IO securities for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 OTTI at beginning of period $ 1,048 $ 1,008 Additions to OTTI 3,403 3,527 Sale of securities with OTTI — (84 ) OTTI at end of period $ 4,451 $ 4,451 Other Investment Securities and Other Investments (a) Other Investment Securities The following table presents certain information about our other investment securities portfolio at June 30, 2016 and December 31, 2015 : Par or Reference Balance Unamortized Premium/ Amortized Cost (1) Estimated Fair Value Gross Unrealized Gain Gross Unrealized Losses Weighted Average Coupon June 30, 2016 Risk Sharing Securities - Freddie Mac $ 47,174 $ (220 ) $ 46,954 $ 46,900 $ 124 $ (178 ) 3.97 % Risk Sharing Securities - Fannie Mae 55,287 (1,240 ) 54,047 $ 53,816 308 (539 ) 4.02 SBC-MBS 69,863 (7,750 ) 62,113 $ 59,680 92 (2,525 ) 0.97 Total $ 172,324 $ (9,210 ) $ 163,114 $ 160,396 $ 524 $ (3,242 ) 2.77 % December 31, 2015 Risk Sharing Securities - Freddie Mac $ 48,526 $ (212 ) $ 48,314 $ 47,232 $ 189 $ (1,271 ) 3.92 % Risk Sharing Securities - Fannie Mae 55,287 (1,659 ) 53,628 51,424 — (2,204 ) 3.99 SBC-MBS 76,276 (8,811 ) 67,465 64,607 10 (2,868 ) 2.40 SBA-IO (2) — — 2,918 2,927 9 — 0.95 Total $ 180,089 $ (10,682 ) $ 172,325 $ 166,190 $ 208 $ (6,343 ) 2.63 % (1) Amortized cost is reduced by unrealized losses that are classified as OTTI, which was $1,853 and $1,523 at June 30, 2016 and December 31, 2015 , respectively. (2) SBA-IO have no principal balance and bear interest based on a notional balance. At December 31, 2015 our SBA-IO had a notional balance of $27,546 ; we held no investments in SBA-IO at June 30, 2016. (b) Income on Other Investment Securities The following tables present components of interest income on our other investment securities for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 Coupon Interest (Premium Amortization)/ Discount Accretion, net Interest Income Weighted Average Yield Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Weighted Average Yield Risk Sharing Securities - Freddie Mac $ 476 $ 83 $ 559 4.70 % $ 959 $ 204 $ 1,163 4.85 % Risk Sharing Securities - Fannie Mae 561 218 779 5.73 1,120 419 1,539 5.72 SBC-MBS 167 552 719 4.52 347 1,177 1,524 4.68 SBA-IO — — — — 42 8 50 6.99 Total $ 1,204 $ 853 $ 2,057 4.98 % $ 2,468 $ 1,808 $ 4,276 5.04 % Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 Coupon Interest (Premium Amortization)/ Discount Accretion, net Interest Income Weighted Average Yield Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Weighted Average Yield Risk Sharing Securities - Freddie Mac $ 376 $ 118 $ 494 3.36 % $ 537 $ 140 $ 677 3.45 % Risk Sharing Securities - Fannie Mae 239 78 317 4.61 287 89 376 3.54 SBC-MBS 93 490 583 5.09 161 781 942 5.05 Total $ 708 $ 686 $ 1,394 4.37 % $ 985 $ 1,010 $ 1,995 4.22 % (c) Other Investment Securities – Discounts and OTTI The following table presents the changes in the components of our purchase discount on other investment securities between purchase discount designated as credit reserve and OTTI versus accretable purchase discount for the periods presented. Three Months Ended June 30, Six Months Ended June 30, 2016 2016 Discount Accretable Discount Discount Accretable Discount Balance at beginning of period $ (1,113 ) $ (9,092 ) $ (672 ) $ (10,332 ) Accretion of discount — 856 — 1,771 Purchases — — — — OTTI recognized (182 ) — (298 ) — Transfers/release of credit reserve 814 (814 ) 489 (489 ) Balance at end of period $ (481 ) $ (9,050 ) $ (481 ) $ (9,050 ) Our SBC-MBS generally include mortgage loans collateralized by a mix of residential multi-family (i.e., properties with five or more units), mixed use residential/commercial, small retail, office building, warehouse and other types of property. In some instances, certain mortgage loans underlying the SBC-MBS that we own may also be additionally secured by a personal guarantee from the primary principal(s) of the related business and/or borrowing entity. As part of underwriting small balance commercial loans, real estate appraisals of the underlying real estate are generally obtained at origination of the mortgage assets underlying the SBC-MBS. (d) Other Investment Securities Unrealized Losses The following table presents information about our Other Investment Securities that were in an unrealized loss position at June 30, 2016 : Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Risk Sharing Securities - Freddie Mac $ 12,576 $ (113 ) 2 $ 7,019 $ (65 ) 4 Risk Sharing Securities - Fannie Mae 7,887 (25 ) 2 21,936 (514 ) 1 SBC-MBS 9,670 (157 ) 3 44,722 (2,368 ) 4 Total Other Investment Securities $ 30,133 $ (295 ) 7 $ 73,677 $ (2,947 ) 9 (e) Other Investments Our other investments are comprised of our warehouse line, real estate subject to BFT Contracts, and mortgage loans, all of which are associated with our Seller Financing Program. BFT Contracts are agreements to finance the purchase of real property in which the seller provides the buyer with financing to purchase the property for an agreed-upon purchase price, and the buyer repays the loan in installments over the ensuing 20 to 30 years, depending on the term of the financing agreement. Pursuant to a BFT Contract, unlike a mortgage loan, the seller retains the legal title to the property, granting the buyer complete use of the property and requiring the buyer to maintain the property and bear the cost of property taxes. Pursuant to a BFT Contract, the seller generally conveys legal title of the property to the buyer when the full purchase price set forth in the contract has been paid, including all interest incurred through the date of final payment. All BFT Contracts purchased by us through June 30, 2016 are designated as “real estate subject to BFT Contracts” which properties, excluding land, are depreciated until such time that the criteria for sale have been met. With respect to payments we receive under BFT Contracts, we record the principal component of the buyer’s monthly payment as a deposit liability and record the interest payments we receive as interest income. In connection with our Seller Financing Program we had $292 and $230 of deposit liabilities included as a component of other liabilities on our consolidated balance sheet at June 30, 2016 and December 31, 2015, respectively. Our warehouse line receivable is secured by a pledge of substantially all the assets of the third-party borrower that owns the homes, BFT Contracts and mortgage loans during the time they are pledged on the warehouse line. The following table presents components of the carrying value of our other investments at June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 Warehouse line receivable $ 3,919 $ 10,239 Real estate subject to BFT Contracts, net of accumulated depreciation (1) 31,045 26,525 Mortgage loans purchased through Seller Financing Program 10,760 8,469 Total $ 45,724 $ 45,233 (1) At June 30, 2016 , BFT Contracts had an aggregate principal balance of $31,986 with a weighted average contractual interest rate of 8.17% and BFT Contracts at December 31, 2015 had an aggregate principal balance of $27,140 with a weighted average stated interest rate of 8.20% . Amount is presented net of $ 941 and $545 of accumulated depreciation at June 30, 2016 and December 31, 2015, respectively. (f) Income on Other Investments The following table presents components of income on our other investments for the periods presented: Three Months Ended June 30, Six Months Ended June 31, 2016 2015 2016 2015 Warehouse line interest $ 76 $ 303 $ 190 $ 680 Real estate subject to BFT Contracts 946 367 1,439 644 Mortgage loans purchased through Seller Financing Program 4 114 197 189 Total $ 1,026 $ 784 $ 1,826 $ 1,513 |
Receivables
Receivables | 6 Months Ended |
Jun. 30, 2016 | |
Investments Schedule [Abstract] | |
Receivables | Receivables (a) Interest Receivable The following table presents our interest receivable by investment category at June 30, 2016 and December 31, 2015 : Investment Category June 30, 2016 December 31, 2015 Agency RMBS - Fannie Mae (1) $ 2,333 $ 2,697 Agency RMBS - Freddie Mac (1) 2,601 3,834 Agency RMBS - Ginnie Mae (1) 86 110 Non-Agency RMBS 1,146 1,076 Securitized mortgage loans 947 936 Other investment securities 341 262 Other investments 611 934 Total $ 8,065 $ 9,849 (1) Includes interest income receivable on pass-through, IO, Inverse IO and Inverse Floater securities issued by an Agency, as applicable. (b) Investment Related Receivables Investment related receivables at June 30, 2016 and December 31, 2015 were comprised of principal payments on our investment securities that are due from brokers. |
Borrowings Under Repurchase Agr
Borrowings Under Repurchase Agreements | 6 Months Ended |
Jun. 30, 2016 | |
Disclosure of Repurchase Agreements [Abstract] | |
Borrowings Under Repurchase Agreements | Borrowings Under Repurchase Agreements As of June 30, 2016 , we had master repurchase agreements with 24 counterparties and had outstanding borrowings of $2,269,853 with 16 counterparties. Our repurchase agreements bear interest at a contractually agreed-upon rate and typically have initial terms up to one to three months, but in some cases may have initial terms that are shorter or longer, up to 24 months. The following table presents certain characteristics of our repurchase agreements for the periods presented: June 30, 2016 December 31, 2015 Repurchase Agreement Borrowings Weighted Average Borrowing Rate Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Borrowing Rate Weighted Average Remaining Maturity (days) Securities Financed: Agency RMBS $ 1,253,520 0.67 % 19 $ 1,719,479 0.49 % 15 Non-Agency RMBS (1) 901,219 2.12 59 1,052,231 1.94 101 Other investment securities 115,114 2.14 81 126,637 1.91 116 Total $ 2,269,853 1.32 % 38 $ 2,898,347 1.08 % 51 (1) Includes $82,814 and $90,281 of repurchase borrowings collateralized by non-Agency RMBS of $118,443 and $125,125 at June 30, 2016 and December 31, 2015 , respectively, that were eliminated from our balance sheet in consolidation with the VIEs associated with securitization transactions. Amounts presented do not reflect associated deferred financing costs. The following table presents repricing information about our borrowings under repurchase agreements at June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 Time Until Interest Rate Reset: Balance Weighted Average Interest Rate Balance Weighted Average Interest Rate Within 30 days $ 1,942,822 1.29 % $ 2,422,224 1.00 % Over 30 days to 60 days 319,918 1.49 403,226 1.38 Over 60 days to 90 days — — 32,552 2.05 Over 90 days to 120 days — — 38,956 1.89 Over 120 days to 360 days 7,113 2.45 1,389 2.00 Total $ 2,269,853 1.32 % $ 2,898,347 1.08 % The following table presents the contractual maturity of our repurchase agreements at June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 Time Until Contractual Maturity: Balance Weighted Average Interest Rate Balance Weighted Average Interest Rate Within 30 days $ 1,624,594 1.08 % $ 2,165,418 0.88 % Over 30 days to 60 days 319,918 1.49 288,487 0.88 Over 60 days to 90 days 50,201 2.95 90,220 2.61 Over 90 days to 120 days — — 38,956 1.89 Over 120 days to 360 days 275,140 2.21 315,266 2.06 Total $ 2,269,853 1.32 % $ 2,898,347 1.08 % |
Collateral Positions
Collateral Positions | 6 Months Ended |
Jun. 30, 2016 | |
Transfers and Servicing [Abstract] | |
Collateral Positions | Collateral Positions (a) Collateral Pledged and Collateral Held The following table presents the fair value of our collateral positions, reflecting assets pledged and collateral we held, with respect to our borrowings under repurchase agreements, derivatives and clearing margin account at June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 Assets Pledged as Collateral Collateral Held Assets Pledged as Collateral Collateral Held Derivatives: Restricted cash/cash (1) $ 9,605 $ — $ 21,921 $ 280 Repurchase agreement borrowings: Agency RMBS 1,312,753 — 1,769,351 — Non-Agency RMBS (2) 1,171,200 — 1,333,337 — Other investment securities 155,904 — 163,263 — Mortgage loans — — Restricted cash 14,658 — 61,772 — 2,654,515 — 3,327,723 — Clearing margin: Agency RMBS 3,383 — 3,522 — Total $ 2,667,503 $ — $ 3,353,166 $ 280 (1) Cash pledged as collateral is reported as “Restricted cash” on our consolidated balance sheet. Cash held by us as collateral is unrestricted in use and therefore is included with “Cash and cash equivalents” with a corresponding liability, “Obligation to return cash held as collateral” on our consolidated balance sheet. (2) Includes non-Agency RMBS of $118,443 and $125,125 at June 30, 2016 and December 31, 2015 , respectively, that were eliminated from our balance sheet in consolidation with the VIEs associated with our securitizations. Our securitized mortgage loans collateralize the securities we have pledged as collateral. (b) Collateral Pledged Components The following tables present our collateral positions, reflecting assets pledged with respect to our borrowings under repurchase agreements, derivatives and clearing margin account at June 30, 2016 and December 31, 2015 : June 30, 2016 Assets Pledged at Fair Value Amortized Cost Accrued Interest Fair Value of Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS $ 1,312,753 $ 1,306,153 $ 3,664 $ 1,316,417 Non-Agency RMBS (1) 1,171,200 1,156,816 1,718 1,172,918 Other investment securities 155,904 158,542 338 156,242 Cash 14,658 — — 14,658 2,654,515 2,621,511 5,720 2,660,235 Cash pledged for derivatives contracts 9,605 — — 9,605 Agency RMBS pledged for clearing margin 3,383 3,280 10 3,393 Total $ 2,667,503 $ 2,624,791 $ 5,730 $ 2,673,233 December 31, 2015 Assets Pledged- Fair Value Amortized Cost Accrued Interest Fair Value of Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS $ 1,769,351 $ 1,784,557 $ 5,081 $ 1,774,432 Non-Agency RMBS (2) 1,333,337 1,301,167 1,479 1,334,816 Other investment securities 163,263 169,409 251 163,514 Cash 61,772 — — 61,772 3,327,723 3,255,133 6,811 3,334,534 Cash pledged for derivative contracts 21,921 — — 21,921 Agency RMBS pledged for clearing margin 3,522 3,657 12 3,534 Total $ 3,353,166 $ 3,258,790 $ 6,823 $ 3,359,989 (1) Includes a non-Agency RMBS with a fair value of $118,443 , an amortized cost of $122,357 and the associated interest receivable of $579 , all of which were eliminated in consolidation with VIEs at June 30, 2016 . (2) Includes non-Agency RMBS with a fair value of $125,125 , an amortized cost of $123,552 and the associated interest receivable of $599 , all of which were eliminated in consolidation with VIEs at December 31, 2015 . We consolidate the securitization trusts associated with our securitizations, each of which is a VIE, that were created to facilitate our securitization transactions. As part of the February 2013 Securitization, the most senior security created was sold to a third-party investor and as such, when we consolidate this securitization trust, this senior security is presented on our consolidated balance sheet as “Non-recourse securitized debt, at fair value.” Our securitized mortgage loans are restricted in that they can only be used to fulfill the obligations of their associated securitization trust. (See Note 14.) A reduction in the value of pledged assets may result in the repurchase agreement counterparty initiating a margin call. If a margin call is made, we are required to provide additional collateral or repay a portion of the borrowing. Certain repurchase agreements, Swaps and other financial instruments are subject to financial covenants, which if breached could cause an event of default or early termination event to occur under such agreements. If an event of default or trigger of an early termination event occurs pursuant to one of these agreements, the counterparty to such agreement may have the option to terminate all of its outstanding agreements with us and, if applicable, any close-out amount due to the counterparty upon termination of such agreements would be immediately payable by us. Through June 30, 2016 , we remained in compliance with all of our financial covenants. (See Notes 9 and 10.) |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 6 Months Ended |
Jun. 30, 2016 | |
Offsetting Derivative Assets And Liabilities [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities All balances associated with the repurchase agreements and derivatives transactions are presented on a gross basis in our consolidated balance sheets. Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of set-off in the event of default or in the event of a bankruptcy of either party to the transaction. We do not generally take delivery of or deliver securities pursuant to our TBA Contracts; rather we settle the associated receivable/payable with our trading counterparty on a net basis. Transactions with the same counterparty for the same TBA Contract that results in a reduction or elimination of the position are treated as extinguished. The following tables present information about certain assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our consolidated balance sheet at June 30, 2016 and December 31, 2015 : Offsetting of Financial Assets and Derivative Assets Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheet Net Amounts of Assets Presented in the Consolidated Balance Sheet Financial Instruments (1) Cash Collateral Received Net Amount June 30, 2016 Swaps and Swaptions, at fair value $ — $ — $ — $ — $ — $ — Long TBA Contracts, at fair value — — — — — Total $ — $ — $ — $ — $ — $ — December 31, 2015 Swaps and Swaptions, at fair value $ 4,347 $ — $ 4,347 $ (3,577 ) $ (280 ) $ 490 Long TBA Contracts, at fair value — — — — — — Total $ 4,347 $ — $ 4,347 $ (3,577 ) $ (280 ) $ 490 Offsetting of Financial Liabilities and Derivative Liabilities Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Net Amounts of Liabilities Presented in the Consolidated Balance Sheet Financial Instruments (2) (3) Cash Collateral Pledged (2) (4) Net Amount June 30, 2016 Swaps and Swaptions, at fair value $ 1,274 $ — $ 1,274 $ — $ (1,660 ) $ (386 ) Short TBA Contracts, at fair value 7,268 — 7,268 — (7,945 ) (677 ) Repurchase agreements (5) 2,269,853 — 2,269,853 (2,269,853 ) (14,658 ) (14,658 ) Total $ 2,278,395 $ — $ 2,278,395 $ (2,269,853 ) $ (24,263 ) $ (15,721 ) December 31, 2015 Swaps and Swaptions, at fair value $ 13,618 $ — $ 13,618 $ (3,577 ) $ (10,041 ) $ — Long TBA Contracts, at fair value 195 — 195 — 74 269 Repurchase agreements (5) 2,898,347 — 2,898,347 (2,898,347 ) — — Total $ 2,912,160 $ — $ 2,912,160 $ (2,901,924 ) $ (9,967 ) $ 269 (1) Amounts represent derivative instruments in an asset position which could potentially be offset against interest rate derivatives in a liability position at June 30, 2016 and December 31, 2015 , subject to a netting arrangement. (2) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, and interest rate derivatives. (3) The fair value of securities pledged against our borrowings under repurchase agreements was $2,639,857 and $2,877,663 at June 30, 2016 and December 31, 2015 , respectively. The amounts pledged include $118,443 and $125,125 of RMBS that are not included in our consolidated balance sheet at June 30, 2016 and December 31, 2015 , respectively, as such securities were eliminated in consolidation with VIEs. (4) Total cash pledged against our derivative instruments was $9,605 and $21,921 at June 30, 2016 and December 31, 2015 , respectively. Total cash collateral pledged against our borrowings under repurchase agreements was $14,658 and $61,772 at June 30, 2016 and December 31, 2015 , respectively. (5) Amount does not include deferred financing costs. |
Derivative Instruments
Derivative Instruments | 6 Months Ended |
Jun. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | Derivative Instruments We enter into derivative contracts, which through June 30, 2016 have from time to time been comprised of Swaps, Swaptions, and TBA Contracts. We use derivative instruments to manage interest rate risk and, as such, view them as economic hedges. We have not elected hedge accounting under GAAP for any of our derivative instruments and, as a result, the fair value adjustments on such instruments are recorded in earnings. The fair value adjustments for our derivatives, along with the related interest income, interest expense and gains/(losses) on termination of such instruments, are reported as “ Realized and unrealized gain/(loss) on derivative instruments, net ” on our consolidated statements of operations. (a) Derivative Instruments Summary Information with respect to our derivative instruments as presented on our consolidated balance sheets at June 30, 2016 and December 31, 2015 was as follows: June 30, 2016 December 31, 2015 Notional Amount Estimated Fair Value Notional Amount Estimated Fair Value Swaps - assets $ — $ — $ 693,000 $ 3,103 Swaptions - assets — — 875,000 1,244 Swaps - (liabilities) 42,000 (1,274 ) 994,000 (10,237 ) Swaptions - (liabilities) — — 300,000 (3,381 ) Long TBA Contracts - assets — — 100,000 (195 ) Short TBA Contracts - (liabilities) 868,000 (7,268 ) — — Total $ 910,000 $ (8,542 ) $ 2,962,000 $ (9,466 ) (b) Swaps The variable amount of interest that we receive from our Swap counterparties is typically based on three-month LIBOR. The following table summarizes the average fixed-pay rate and average maturity for our Swaps as of June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 Term to Maturity Notional Amount Weighted Average Fixed-Pay Rate Weighted Average Maturity (Years) Notional Amount Weighted Average Fixed-Pay Rate Weighted Average Maturity (Years) Less than one year $ — — % — 110,000 1.38 % 0.8 More than one year up to and including three years 14,000 1.04 1.7 999,000 1.02 1.6 More than three years up to and including five years 14,000 1.51 3.7 64,000 2.28 4.5 More than five years 14,000 2.05 6.7 514,000 2.11 7.2 Total $ 42,000 1.53 % 4.0 $ 1,687,000 1.43 % 3.4 (c) Swaptions We terminated all Swaptions during the three months ended June 30, 2016 and, as a result, had no remaining Swaptions at June 30, 2016. (d) Gains/(Losses) on Derivatives The following table summarizes the amounts recognized on our consolidated statements of operations related to our derivative instruments for the periods presented: Three Months Ended June 30, Six Months Ended June 30, Character of Gain/(Loss) on Derivative Instruments 2016 2015 2016 2015 Net interest payments/accruals on Swaps (1) $ (807 ) $ (4,920 ) $ (3,361 ) $ (9,884 ) Losses on the termination of Swaps, net (1) (5,871 ) — (24,797 ) — Losses on terminations and expirations of Swaptions, net (1) (12,100 ) (6,170 ) (18,126 ) (10,032 ) Gain/(losses) on settlement of TBA Contracts, net (1) (600 ) — 1,064 (1,977 ) Change in fair value of Swaps (2) 6,493 14,769 5,859 (707 ) Change in fair value of Swaptions, net (2) 12,661 8,879 10,090 9,181 Change in fair value of TBA Contracts (2) (7,646 ) (95 ) (7,073 ) (639 ) Total $ (7,870 ) $ 12,463 $ (36,344 ) $ (14,058 ) Note: Each of the items presented is included as a component of “Realized and unrealized gain/(loss) on derivative instruments, net” on our consolidated statements of operations for the periods presented. (1) Amounts are realized. (2) Amounts are unrealized and reflect the net change in fair value. (e) Derivative Activity The following table provides information with respect to our use of derivative instruments during the periods presented: Three Months Ended June 30, 2016 Short TBA Contracts Long TBA Contracts Swaps Swaption Purchase Contracts Swaption Sale Contracts Beginning Notional Balance $ — $ 100,000 $ 1,287,000 $ 425,000 $ 300,000 Notional amount of contracts entered (1,118,000 ) — — — — Notional amount of contracts terminated 250,000 (100,000 ) (1,245,000 ) (425,000 ) (300,000 ) Ending Notional Balance $ (868,000 ) $ — $ 42,000 $ — $ — Three Months Ended June 30, 2015 Short TBA Contracts Long TBA Contracts Swaps Swaption Purchase Contracts Swaption Sale Contracts Beginning Notional Balance $ — $ — $ 1,687,000 $ 1,425,000 $ — Notional amount of contracts entered (200,000 ) — — 200,000 — Notional amount of contracts terminated — — — (560,000 ) — Ending Notional Balance $ (200,000 ) $ — $ 1,687,000 $ 1,065,000 $ — Six Months Ended June 30, 2016 Short TBA Contracts Long TBA Contracts Swaps Swaption Purchase Contracts Swaption Sale Contracts Beginning Notional Balance $ — $ 100,000 $ 1,687,000 $ 875,000 $ 300,000 Notional amount of contracts entered (1,118,000 ) — — — — Notional amount of contracts terminated 250,000 (100,000 ) (1,645,000 ) (875,000 ) (300,000 ) Ending Notional Balance $ (868,000 ) $ — $ 42,000 $ — $ — Six Months Ended June 30, 2015 Short TBA Contracts Long TBA Contracts Swaps Swaption Purchase Contracts Swaption Sale Contracts Beginning Notional Balance $ — $ 100,000 $ 1,687,000 $ 1,250,000 $ — Notional amount of contracts entered (200,000 ) 500,000 — 650,000 — Notional amount of contracts terminated — (600,000 ) — (835,000 ) — Ending Notional Balance $ (200,000 ) $ — $ 1,687,000 $ 1,065,000 $ — (f) Financial Covenants Our agreements with certain of our derivative counterparties contain financial covenants; through June 30, 2016 we were in compliance with the terms of all such covenants. We have minimum collateral posting thresholds with certain of our derivative counterparties, for which we typically pledge cash. (See Notes 9, 10 and 11.) If we breach any of these financial covenants, we could be required to settle our obligations under our derivative contracts at their termination value. At June 30, 2016, the estimated termination value of our derivative contracts was $8,580 , which reflects the estimated fair value of such derivatives, plus net accrued interest payable. |
Interest Payable
Interest Payable | 6 Months Ended |
Jun. 30, 2016 | |
Payables and Accruals [Abstract] | |
Interest Payable | Interest Payable The following table presents the components of our interest payable at June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 Repurchase borrowings collateralized by Agency RMBS $ 656 $ 1,687 Repurchase borrowings collateralized by non-Agency RMBS (1) 1,460 4,268 Repurchase borrowings collateralized by other investment securities 161 350 Securitized debt 45 63 Swaps 37 2,770 Total $ 2,359 $ 9,138 (1) Includes $136 and $125 of interest payable on repurchase borrowings collateralized by non-Agency RMBS issued by consolidated VIEs at June 30, 2016 and December 31, 2015 , respectively, which securities were eliminated from our balance sheet in consolidation. |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies (a) Management Agreement – Related Party Transactions In connection with our initial public offering in July 2011, we entered into a management agreement with our Manager (or, Management Agreement), which describes the services to be provided for us by our Manager and compensation for such services. Our Manager is responsible for managing our day-to-day operations, subject to the direction and oversight of our board of directors (or, the Board). Pursuant to the terms of the Management Agreement, our Manager is paid a management fee equal to 1.5% per annum of adjusted stockholders’ equity (as defined in the Management Agreement), calculated and payable quarterly in arrears. The term of our Management Agreement currently runs through July 27, 2017. Absent certain action by the independent directors of the Board, as described below, the Management Agreement will automatically renew on each anniversary for a one year term. The Management Agreement may be terminated upon the affirmative vote of at least two-thirds of our independent directors, based upon (1) unsatisfactory performance by our Manager that is materially detrimental to us; or (2) a determination that the management fee payable to our Manager is not fair, subject to our Manager’s right to prevent such a termination based on unfair fees by accepting a mutually acceptable reduction of management fees agreed to by at least two-thirds of our independent directors. Our Manager must be provided with written notice of any such termination at least 180 days prior to the expiration of the then existing term and will be paid a termination fee equal to three times the sum of the average annual management fee during the 24-month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. (See Note 13(a), 13(c) and 18 below.) We incurred management fees of $2,493 and $2,895 for the three months ended June 30, 2016 and 2015 . In addition to the management fee, we are responsible for reimbursing our Manager for certain expenses paid by our Manager on behalf of us and for certain services provided by our Manager to us. Expenses incurred by our Manager and reimbursed by us are typically included in our general and administrative expense on the consolidated statement of operations, or may be reflected on the consolidated balance sheet and associated consolidated statement of changes in stockholders’ equity, based on the nature of the item. Included in “Payable to related party” on our consolidated balance sheet at June 30, 2016 and December 31, 2015 , was $2,493 and $5,388 , respectively, for management fees payable to our Manager, with the remainder of such payable reflecting reimbursements due to Apollo for our general and administrative expenses paid or incurred by them on our behalf. (b) Representations and Warranties in Connection with Securitization In connection with our February 2013 Securitization, we have the obligation under certain circumstances to repurchase assets from the VIE upon breach of certain representations and warranties. In February 2014, the substantial majority of these obligations expired, with only the representations and warranties surviving such obligations, which may expose us to losses, being that the loans transferred to the VIE are qualified mortgages under Section 860G(a)(3) of the Internal Revenue Code. Through June 30, 2016 , no repurchase claims had been made against us, and we do not believe that the amount of any future potential liability with respect to such item (the maximum of which would be the current unpaid principal balance of any such loan plus accrued interest, unreimbursed advances and any expenses) is material to us. Through June 30, 2016 , we had no reserve established for repurchases of loans and were not aware of any repurchase claims that would require the establishment of such a reserve. (See Note 14.) (c) Merger Agreement Contingent Fees See Note 18 for information with respect to certain contingent fees associated with the Merger Agreement. Pending Litigation After the announcement of the execution of the Merger Agreement, two putative class action lawsuits challenging the proposed First Merger (as defined in the Merger Agreement), captioned Aivasian v. Apollo Residential Mortgage, Inc., et al., No. 24-C-16-001532 and Wiener v. Apollo Residential Mortgage, Inc., et al., No. 24-C-16-001837, were filed in the Circuit Court for Baltimore City (or, the Court). A putative class and derivative lawsuit was later filed in the Court captioned Crago v. Apollo Residential Mortgage, Inc., No. 24-C-16-002610. Following a hearing on May 6, 2016, the Court entered orders among other things, consolidating the three actions under the caption In Re Apollo Residential Mortgage, Inc. Shareholder Litigation, Case No.: 24-C-16-002610 . The plaintiffs have designated the Crago complaint as the operative complaint. The operative complaint includes both direct and derivative claims, names as defendants the Company, the Board, Apollo Commercial Real Estate Finance, Inc. (or, ARI), Arrow Merger Sub, Inc. (or, Merger Sub), Apollo and Athene Holdings LTD. (or, Athene) and alleges, among other things, that the members of the Board breached their fiduciary duties to the Company’s stockholders and that the other corporate defendants aided and abetted such fiduciary breaches. The operative complaint further alleges, among other things, that the proposed First Merger involves inadequate consideration, was the result of an inadequate and conflicted sales process, and includes unreasonable deal protection devices that purportedly preclude competing offers. It also alleges that the transactions with Athene are unfair and that the registration statement on Form S-4 filed with the SEC on April 6, 2016 contains materially misleading disclosures and omits certain material information. The operative complaint seeks, among other things, certification of the proposed class, declaratory relief, preliminary and permanent injunctive relief, including enjoining or rescinding the First Merger, unspecified damages, and an award of other unspecified attorneys’ and other fees and costs. On May 6, 2016, counsel for the plaintiffs filed with the Court a stipulation seeking the appointment of interim co-lead counsel, which stipulation was approved by the Court on June 9, 2016. The defendants believe that the claims asserted in the complaints are without merit and intend to vigorously defend the lawsuits. |
Use of Special Purpose Entities
Use of Special Purpose Entities and Variable Interest Entities | 6 Months Ended |
Jun. 30, 2016 | |
Special Purpose Entities and Variable Interest Entities [Abstract] | |
Use of Special Purpose Entities and Variable Interest Entities | Use of Special Purpose Entities and Variable Interest Entities Special purpose entities (or, SPEs) are entities designed to fulfill a specific limited need of the entity that organizes it. SPEs are often used to facilitate transactions that involve securitizing financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on more favorable terms than available on such assets on an unsecuritized basis. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business, through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and, depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. (a) Securitization Transactions Through June 30, 2016, we had completed two securitization transactions. We consolidate the trusts, as VIEs, that were created to facilitate the transactions and to which the underlying assets in connection with the securitizations were transferred. (See Note 2(o) for a discussion of the accounting policies applied to the consolidation of VIEs and transfers of financial assets in connection with securitization transactions.) As of June 30, 2016 and December 31, 2015 , the aggregate fair value of securitized mortgage loans underlying our securitizations was $160,206 and $167,624 , respectively, and are included in “Securitized mortgage loans (transferred to consolidated variable interest entities), at fair value,” on our consolidated balance sheet. The mortgage loans in our securitizations are comprised of performing, re-performing and non-performing mortgage loans with characteristics similar to the mortgage loans underlying our non-Agency RMBS. The following table summarizes the key details of our securitization transactions as of June 30, 2016 : March 2015 Securitization February 2013 Securitization Total Name of securitization trust consolidated as a VIE AMST 2015-1 AMST 2013-1 Principal value of mortgage loans sold into the securitization trust $ 90,802 $ 155,001 $ 245,803 Current principal value of mortgage loans in securitization trust $ 80,938 $ 119,201 $ 200,139 Face amount of senior security issued by the VIE and sold to a third-party investor $ — $ 50,375 $ 50,375 Outstanding balance of senior security at June 30, 2016 (1) $ 72,598 $ 13,382 $ 85,980 Year of final contractual maturity of senior debt 2058 2047 Face/Par value of certificates received by us (2) $ 82,287 $ 104,426 $ 186,713 Cash received upon sale of the senior security sold to third-party investor $ — $ 50,375 $ 50,375 Gross securitization expenses incurred $ 174 $ 829 $ 1,003 Stated interest rate for senior security issued 5.75 % 4.00 % (1) With respect to the March 2015 Securitization, amount reflects 100% of the single security issued, which we retained. The stated rate is presented for informational purposes only, as such certificate is eliminated in consolidation with the associated trust. (2) With respect to our February 2013 Securitization, the certificates we received are subordinate to and provide credit support for the sequential senior security sold to a third-party investor. While the RMBS that we retained in connection with February 2013 Securitization do not appear on our balance sheet, as they are eliminated in consolidation with the VIE/securitization trust, we legally own such securities and we, as legally permitted, pledge such securities as collateral against associated borrowings under repurchase agreements. (b) Consolidation Assessment On a quarterly basis, we complete an analysis to determine whether the VIEs associated with our securitizations should be consolidated by us. As part of this analysis, we consider our involvement in the creation of the VIE, including the design and purpose of the VIE and whether our involvement reflects a controlling financial interest that results in us being deemed the primary beneficiary of the VIE. In determining whether we would be considered the primary beneficiary, we consider: (i) whether we have both the power to direct the activities that most significantly impact the economic performance of the VIE; and (ii) whether we have a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. Based on our evaluation of these factors, including our involvement in the design of the VIE, we determined that we were required to consolidate the VIE created to facilitate the March 2015 Securitization and February 2013 Securitization for each reporting period from inception through June 30, 2016 . (c) Activities of Securitization Trusts The securitization trusts receive principal and interest on the underlying mortgage loans and distribute those payments to the certificate holders. The assets and other instruments held by the securitization trusts are restricted in that they can only be used to fulfill the obligations of their respective securitization trust. The risks associated with our involvement with the VIEs are limited to the risks and rights as a certificate holder of the securities we retained. The activities of the securitization trusts are substantially set forth in the securitization transaction documents, primarily the mortgage loan trust agreements, the trust agreements, the indenture and the securitization servicing agreements (or collectively, the Securitization Agreements). Neither the trusts nor any other entity may sell or replace any assets of the trust except in connection with: (i) certain loan defects or breaches of certain representations and warranties which have a material adverse effect on the value of the related assets; (ii) loan defaults; (iii) certain trust events of default or (iv) an optional termination of the trust, each as specifically permitted under the Securitization Agreements. (d) Securitized Debt We consolidate the underlying trust associated with our February 2013 Securitization. As a result, the senior security that was sold to a third-party investor is presented on our consolidated balance sheet as “Non-recourse securitized debt, at fair value” and the residential mortgage loans held by the trust that collateralize the securities issued by the trust are included as a component of “Securitized mortgage loans (transferred to consolidated variable interest entities), at fair value” on our consolidated balance sheet. The third-party beneficial interest holders in the VIE have no recourse against us, except that we may have an obligation to repurchase assets from the VIE in the event that we breach certain representations and warranties in relation to the mortgage loans sold to the VIE. Other than the foregoing, we have no obligation to provide, nor have we provided, any other explicit or implicit support to this or any other VIE that we consolidate. Our securitized debt is carried at fair value, which is based on the fair value of the senior security held by third parties. The following table presents the estimated principal repayment schedule of the par value of the securitized debt at June 30, 2016 , based on expected cash flows of the securitized residential mortgage loans, as adjusted for projected losses on such loans. Estimated Maturity June 30, 2016 One year or less $ 9,913 More than one year, up to and including three years 3,469 Total $ 13,382 Repayment of our securitized debt will be dependent upon the cash flows generated by the mortgage loans in the February 2013 Securitization trust that collateralize such debt. The actual cash flows from the securitized mortgage loans are comprised of coupon interest, scheduled principal payments, prepayments and liquidations of the underlying mortgage loans. The actual term of the securitized debt may differ significantly from our estimate given that actual interest collections, mortgage prepayments and/or losses on liquidation of mortgages may differ significantly from those expected. (See Note 5 for more information about the mortgage loans collateralizing our securitized debt.) (e) VIEs - Impact on the Consolidated Financial Statements The following table reflects the assets and liabilities recorded in our consolidated balance sheet related to our consolidated VIEs as of the dates presented: June 30, 2016 December 31, 2015 Assets: Securitized mortgage loans, at fair value $ 160,206 $ 167,624 Interest receivable $ 947 $ 936 Other assets $ 838 $ 220 Liabilities: Non-recourse securitized debt, at fair value $ 13,407 $ 18,951 Accrued interest payable $ 45 $ 63 The following table reflects the income and expense amounts recorded in our consolidated statements of operations related to our consolidated VIEs for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Interest income - securitized mortgage loans $ 3,231 $ 3,623 $ 6,496 $ 5,790 Interest expense - securitized debt $ (197 ) $ (333 ) $ (447 ) $ (699 ) Unrealized gain/(loss) on securitized mortgage loans, net $ 5,751 $ (1,896 ) $ 1,992 $ 466 Unrealized gain on securitized debt $ 20 $ 1,001 $ 22 $ 1,014 Other, net $ (97 ) $ — $ (246 ) $ — General and administrative expenses $ (338 ) $ — $ (404 ) $ — The following table reflects the amounts included on our consolidated statements of cash flows related to our consolidated VIEs for the periods presented: Six Months Ended June 30, 2016 2015 Cash Flows from Operating Activities: Net income $ 7,413 $ 6,557 Reversal of discount accretion/(discount accretion), net $ (471 ) $ 214 Amortization of deferred financing costs $ 134 $ 163 Unrealized gain on securitized mortgage loans, net $ (1,992 ) $ (466 ) Unrealized (gain) on securitized debt $ (22 ) $ (1,014 ) Realized loss on real estate owned, net $ 310 $ 133 Changes in operating assets and liabilities: (Increase) in accrued interest receivable, less purchased interest $ (11 ) $ (287 ) (Decrease) in accrued interest payable $ (18 ) $ (24 ) Cash Flows from Investing Activities: (Purchase) of mortgage loans, simultaneously securitized $ — $ (67,357 ) Proceeds from sales of real estate owned $ 255 $ 351 Principal payments received on securitized mortgage loans $ 8,823 $ 5,512 Cash Flows from Financing Activities: Principal (payments) on securitized debt $ (5,522 ) $ (7,269 ) |
Equity Award Plan
Equity Award Plan | 6 Months Ended |
Jun. 30, 2016 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Equity Award Plan | Equity Award Plan On July 21, 2011, the Board approved the Apollo Residential Mortgage, Inc. 2011 Equity Incentive Plan (or, LTIP). The LTIP provides for grants of restricted common stock, RSUs and other equity-based awards up to an aggregate of 5% of the issued and outstanding shares of our common stock (on a fully diluted basis). The LTIP is administered by the compensation committee of the Board, which also must approve grants made under the LTIP. At June 30, 2016 , 1,183,081 awards were available for grant under the LTIP. The following table presents expenses related to our equity-based compensation awards for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Restricted Common Stock $ 71 $ 105 $ 130 $ 211 RSUs 123 198 172 586 Total $ 194 $ 303 $ 302 $ 797 At June 30, 2016 , we had estimated unrecognized compensation expense of $1,898 and $498 related to RSUs and restricted common stock, respectively. The unrecognized compensation expense at June 30, 2016 is expected to be recognized over a weighted average period of twelve months, which does not include awards that have performance based vesting requirements. However, pursuant to the Merger Agreement, all outstanding unvested RSUs and restricted stock awards will vest upon consummation of the pending Merger. As of June 30, 2016 , we had an expected average forfeiture rate of 0% with respect to restricted common stock and 5% with respect to RSUs. Through June 30, 2016 , we had not settled any RSUs in cash. However, the LTIP provides that we may allow RSU recipients to elect to settle their tax liabilities with a reduction of their share delivery from the originally granted and vested RSUs, which is referred to herein as “net share settlement.” Net share settlement results in us making a cash payment to an affiliate of our Manager related to this tax liability and a corresponding adjustment to additional paid-in-capital. The following table presents information about our equity awards for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Number of Awards (1) Weighted Average Grant Date Fair Value (1) Number of Awards (1) Number of Awards (1) Weighted Average Grant Date Fair Value (1) Number of Awards (1) RSUs outstanding at beginning of period 196,920 $ 14.29 291,777 148,549 $ 15.88 292,088 RSUs granted (2) — — — 91,427 12.53 RSUs canceled upon delivery of common stock (3) (1,000 ) 22.22 (5,000 ) (44,056 ) 16.16 (5,000 ) RSUs canceled or forfeited (208 ) 16.02 (2,289 ) (208 ) 16.02 (2,600 ) RSUs outstanding at end of period 195,712 $ 14.25 284,488 195,712 $ 14.25 284,488 Vested RSUs at end of period 23,443 $ 15.12 98,916 23,443 $ 15.12 98,916 Unvested RSUs at end of period 172,269 $ 14.13 185,572 172,269 $ 14.13 185,572 Unvested restricted common stock awards outstanding at beginning of period 28,008 $ 17.54 41,980 30,120 $ 16.31 43,992 Restricted common stock granted 11,276 13.30 9,332 11,276 13.30 9,332 Restricted common stock vested (2,108 ) 17.80 (2,008 ) (4,220 ) 17.79 (4,020 ) Unvested restricted common stock awards outstanding at end of period 37,176 $ 15.23 49,304 37,176 $ 15.23 49,304 (1) Amounts are not in thousands. (2) On March 17, 2016, 91,427 RSUs were granted in connection with the Merger, which will fully vest only upon the achievement of certain conditions. (3) Includes amounts deemed issued in connection with payment of grantee’s tax liability. |
Stockholders' Equity
Stockholders' Equity | 6 Months Ended |
Jun. 30, 2016 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders’ Equity (a) Common Stock Dividends The following table presents cash dividends declared by the Board on our common stock from January 1, 2015 through June 30, 2016 : Declaration Date Record Date Payment Date Dividend Per Share June 17, 2016 June 30, 2016 July 29, 2016 $ 0.48 March 17, 2016 March 31, 2016 April 29, 2016 $ 0.48 December 17, 2015 December 31, 2015 January 29, 2015 $ 0.48 September 17, 2015 September 30, 2015 October 30, 2015 $ 0.48 June 17, 2015 June 30, 2015 July 31, 2015 $ 0.48 March 19, 2015 March 31, 2015 April 30, 2015 $ 0.48 (b) Preferred Stock At June 30, 2016 and December 31, 2015 , we had outstanding 6,900,000 shares of 8.0% Series A Cumulative Redeemable Perpetual Preferred Stock (or, Preferred Stock) with a liquidation preference of $25.00 per share and a par value $0.01 per share. Holders of our Preferred Stock are entitled to receive dividends at an annual rate of 8.0% of the liquidation preference of $25.00 per share, or $2.00 per share per annum. These dividends are cumulative and payable quarterly in arrears. Generally, we may not redeem the Preferred Stock until September 20, 2017 , except under certain limited circumstances intended to preserve our qualification as a REIT and upon the occurrence of a change in control as defined in the final prospectus supplement related to the Preferred Stock filed with the SEC on September 17, 2012. After September 20, 2017, we may, at our option, redeem the shares at a redemption price of $25.00 , plus any accrued unpaid distribution through the date of the redemption. Based upon the characteristics of the Preferred Stock, such instruments are characterized as equity instruments. The Preferred Stock generally has no voting rights. However, if dividends on the Preferred Stock are in arrears for six quarterly dividend periods, whether or not consecutive, the holders of the Preferred Stock (voting together as a single class with the holders of any other class or series of parity preferred stock upon which like voting rights have been conferred and are exercisable) will have the right to elect two additional directors to the Board until we pay (or declare and set aside for payment) all dividends that are then in arrears. In addition, the affirmative vote of at least two-thirds of the votes entitled to be cast by holders of outstanding shares of Preferred Stock (voting together as a single class with the holders of any other class or series of parity preferred stock upon which like voting rights have been conferred and are exercisable) is required for us to authorize, create or increase the number of any class or series of senior equity securities or to amend our charter (including the Articles Supplementary designating the Preferred Stock, or the Articles Supplementary) in a manner that materially and adversely affects the rights of the Preferred Stock. (c) Direct Stock Purchase and Dividend Reinvestment Plan On November 25, 2015, we filed a shelf registration statement on Form S-3 with the SEC under the Securities Act of 1933 (or, the Securities Act), for the purpose of registering additional common stock for sale through our Direct Stock Purchase and Dividend Reinvestment Plan (or, Stock Purchase Plan). This shelf registration statement, which was declared effective by the SEC on December 18, 2015, when combined with the unused portion of our previous Stock Purchase Plan shelf registration statement, registered an aggregate of 2,000,000 shares of common stock. At June 30, 2016, 2,000,000 shares of common stock remained available for issuance pursuant to the Stock Purchase Plan registration statement. Under the Stock Purchase Plan, stockholders who participate may purchase shares of our common stock directly from us. Stockholders may also automatically reinvest all or a portion of their dividends for additional shares of our stock. Through June 30, 2016, all shares issued pursuant to the Stock Purchase Plan were issued from shares purchased on the open market. (d) Stock Repurchase Program On November 6, 2013 , the Board authorized a stock repurchase program (or, the Repurchase Program), to repurchase up to $50,000 of our outstanding common stock. Such authorization does not have an expiration date. Subject to applicable securities laws, repurchases of common stock under the Repurchase Program may be made at times and in amounts as we deem appropriate, using available cash resources. Shares of common stock repurchased by us under the Repurchase Program, if any, will be canceled and, until reissued by us, will be deemed to be authorized but unissued shares of our common stock. The Repurchase Program may be suspended or discontinued by us at any time and without prior notice. We repurchased 360,800 shares of common stock at an average cost per share of $13.86 , all of which were purchased during the three months ended September 30, 2015. At June 30, 2016, $45,000 of common stock remained authorized for future share repurchase under the Repurchase Program. |
Earnings per Common Share
Earnings per Common Share | 6 Months Ended |
Jun. 30, 2016 | |
Earnings Per Share [Abstract] | |
Earnings per Common Share | Earnings per Common Share The following table presents basic and diluted net EPS of common stock using the two-class method for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Numerator : Net Income/(Loss) $ 20,298 $ (10,032 ) $ 7,264 $ 11,375 Less: Dividends declared on Preferred Stock 3,450 3,450 6,900 6,900 Dividends, dividend equivalents and undistributed earnings allocated to participating securities (1) 122 153 220 307 Net income/(loss) allocable to common stock – basic and diluted $ 16,726 $ (13,635 ) $ 144 $ 4,168 Denominator : Weighted average common shares - basic 31,857 32,048 31,846 32,047 Weighted average common shares - diluted (1) 31,882 32,048 31,846 32,047 Earnings per common share - basic and diluted $ 0.52 $ (0.43 ) $ — $ 0.13 (1) For the six months ended June 30, 2016, all outstanding RSUs and unvested restricted stock were not included in the calculation of diluted earnings per common share, as their inclusion would have been anti-dilutive. These instruments may have dilutive impact on future EPS. |
Merger Agreement
Merger Agreement | 6 Months Ended |
Jun. 30, 2016 | |
Business Combinations [Abstract] | |
Merger Agreement | Merger Agreement (a) Merger Agreement On February 26, 2016, we entered into a Merger Agreement, under which we will be acquired by ARI for an aggregate purchase price equal to 89.25% of AMTG’s book value as determined in accordance with the Merger Agreement (or, Book Value) as of July 22, 2016 (or, the Pricing Date Book Value), plus the assumption of $172,500 of AMTG’s Preferred Stock. AMTG’s Pricing Date Book Value, and therefore the actual purchase price payable, was determined as of the July 22, 2016 pricing date and will be subject to adjustment in the event that the closing of the transactions contemplated by the Merger Agreement does not occur by September 5, 2016. The aggregate number of shares of ARI common stock issuable under the Merger Agreement is limited to 13,400,000 shares at a value of $16.75 per share, and the remainder of the consideration will be paid in cash. Based upon the Pricing Date Book Value of $15.52 per share, upon closing of the merger transaction, each outstanding share of AMTG common stock will be converted into the right to receive (i) $6.86 in cash, without interest and (ii) 0.417571 shares of ARI common stock, reflecting an aggregate purchase price value of $616,151 , based upon the closing price of ARI common stock on the New York Stock Exchange (or, NYSE) on July 22, 2016, including the assumption of the $172,500 (liquidation preference) of our Preferred Stock; provided, however that the cash portion of the merger consideration may be subject to certain adjustments, as discussed above. In addition, each share of AMTG Preferred Stock will be converted into one share of preferred stock, par value $0.01 per share, of a newly-designated series of ARI preferred stock, which is expected to be designated as 8.00% Series C Cumulative Redeemable Perpetual Preferred Stock . The Merger Agreement and related transactions were approved by all of the members of the Board (with the exception of Mark Biderman, who recused himself) upon the unanimous recommendation of a special committee of independent directors of our Board. Consummation of the merger transaction is subject to the satisfaction of customary closing conditions, including the registration and listing of the shares of ARI stock that will be issued in the merger transaction and the approval and adoption of the Merger Agreement by the holders of a majority of the shares of AMTG common stock entitled to vote on the transaction, including a majority of the votes entitled to be cast by persons unaffiliated with Apollo. ARI stockholder approval is not required in connection with the Merger. On July 27, 2016, we filed a definitive proxy statement/prospectus with the SEC and mailed such statement to our stockholders and ARI filed a definitive proxy statement/prospectus relating to the proposed transaction. The proxy statement/prospectus contains additional information regarding the proposed transaction, including risks associated with the proposed transaction. (b) Letter Agreement with Manager Concurrently with the execution of the Merger Agreement, we entered into a side letter agreement with our Manager (or, the Side Letter), pursuant to which the Manager agreed to perform such services and activities as may be necessary to enable us to consummate the Merger and other transactions contemplated by the Merger Agreement. In addition, our Manager acknowledged that, as a result of the transactions contemplated by the Merger Agreement, the Management Agreement will be assigned to ARI and such assignment will not give rise to a termination fee under the Management Agreement. |
Summary of Significant Accoun27
Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation The interim unaudited consolidated financial statements include our accounts and those of our consolidated subsidiaries and VIEs in which we are the primary beneficiary. All intercompany amounts have been eliminated in consolidation. We currently operate as one business segment. The preparation of financial statements in conformity with accounting principles generally accepted in the U.S. (or, GAAP) requires that we make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting periods. Actual results could differ from those estimates. In the opinion of management, all adjustments have been made (which include only normal recurring adjustments) necessary to present fairly our financial position, results of operations and cash flows. Certain information and note disclosures normally included in financial statements prepared in accordance with GAAP have been condensed or omitted in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. These consolidated financial statements should be read in conjunction with our Annual Report on Form 10-K for the year ended December 31, 2015, which was filed with the Securities and Exchange Commission (or, the SEC) on March 4, 2016. Our results of operations for the quarterly period ended June 30, 2016 are not necessarily indicative of the results to be expected for the full year or any other future period. |
Cash and Cash Equivalents | Cash and Cash Equivalents We consider all highly liquid short term investments with original maturities of 90 days or less when purchased to be cash equivalents. Cash and cash equivalents are exposed to concentrations of credit risk. We deposit our cash with what we believe to be high credit quality institutions. From time to time, our cash may include amounts pledged to us by our counterparties as collateral for our derivative instruments. |
Obligation to Return Cash Held as Collateral | Obligation to Return Cash Held as Collateral From time to time, we may hold cash pledged as collateral to us by certain of our derivative counterparties as a result of margin calls made by us. Cash pledged to us is unrestricted in use and, accordingly, is included as a component of cash on our consolidated balance sheets. In addition, a corresponding liability is reported as an obligation to return cash held as collateral. |
Restricted Cash | Restricted Cash Restricted cash represents cash held by our counterparties as collateral against our repurchase agreement borrowings, Swaps or other derivative instruments. Restricted cash is not available for general corporate purposes, but may be applied against amounts due to counterparties under our repurchase agreement borrowings and Swaps, or returned to us when our collateral requirements are exceeded or at the maturity or termination of the derivative instrument or repurchase agreement. |
Investment Securities and Securitized Mortgage Loans | Investment Securities and Securitized Mortgage Loans Our investment securities, which are comprised of RMBS and other investment securities, are designated as available for sale. Our RMBS portfolio may be comprised of mortgage pass-through certificates, CMOs, including Agency IO and Agency Inverse IO representing interests in or obligations backed by pools of mortgage loans. Our securitized mortgage loans, which are designated as held for investment, are presented on our balance sheet as “Securitized mortgage loans transferred to consolidated variable interest entities, at fair value.” These mortgage loans are comprised of pools of performing, re-performing and non-performing mortgage loans that we purchased at a discount to principal balance. At June 30, 2016 , our other investment securities were comprised of investments in Risk Sharing Securities issued by Freddie Mac and Fannie Mae and SBC-MBS. Our SBC-MBS generally include mortgage loans collateralized by a mix of residential multi-family (i.e., properties with five or more units), mixed use residential/commercial, small retail, office building, warehouse and other types of property. In some instances, certain of the mortgage loans underlying the SBC-MBS that we own may also be additionally secured by a personal guarantee from the primary principals of the related business and/or borrowing entity. Our investments in Risk Sharing Securities and SBC-MBS are included in “Other investment securities, at fair value” on our consolidated balance sheet. Interest income on our Risk Sharing Securities is included in “Interest Income - Other” and changes in the estimated fair value of such securities is included in “Unrealized gain/(loss) on other investment securities” on our consolidated statements of operations. Balance Sheet Presentation Purchases and sales of our investment securities are recorded on the trade date. Our RMBS and other investment securities pledged as collateral against borrowings under repurchase agreements are included in “Residential mortgage-backed securities, at fair value” and “Other investment securities, at fair value” on our consolidated balance sheet, respectively, with the fair value of securities pledged disclosed parenthetically. Amounts receivable/payable associated with sales/purchases of securities at the balance sheet date are reflected on our consolidated balance sheet as “Investment related receivable” and “Investment related payable,” respectively. For purposes of determining the applicable accounting policy with respect to our investment securities, we review credit ratings available from each of the three major credit rating agencies (i.e. Moody’s Investors Services, Inc., Standard & Poor’s Ratings Services and Fitch, Inc.) for each investment security at the time of purchase and apply the lowest rating. The aggregate fair value of the mortgage loans associated with our securitization transactions are presented on our consolidated balance sheet as “Securitized mortgage loans transferred to consolidated variable interest entities, at fair value.” (See Notes 5 and 14.) Impairments Investment Securities: We have elected the fair value option of accounting for our investment securities and, as such, all changes in the market value of our investment securities are recorded through earnings. When the fair value of an investment security is less than its amortized cost at the balance sheet date, the security is considered impaired. We assess our investment securities for impairment on at least a quarterly basis and designate such impairments as either “temporary” or “other-than-temporary.” If we intend to sell an impaired security, or it is more likely than not that we will be required to sell an impaired security before its anticipated recovery, then we recognize an other-than-temporary impairment (or, OTTI) through earnings. If we do not expect to sell an other-than-temporarily impaired security, only the portion of the OTTI that is related to credit losses will be recognized as an OTTI, with the remainder recognized through earnings as a component of unrealized gains/(losses) on our statement of operations. When an OTTI is recognized, a new cost basis is established for the security, which new cost basis may not be adjusted for subsequent recoveries in fair value through earnings. However, if the performance of a security on which an OTTI was previously recognized improves, future yields may increase on such securities, resulting in a reversal of all or a portion of previously recognized OTTI over time. The determination as to whether an OTTI exists and, if so, the amount of such impairment recognized is subjective, as such determinations are based on information available at the time of assessment, as well as our Manager’s estimates of the future performance and cash flow projections for the individual security. (See Notes 4 and 6.) Securitized Mortgage Loans: We have elected the fair value option of accounting for our securitized mortgage loans and, as such, all changes in the estimated fair value of our securitized mortgage loans are recorded through earnings, including a provision for loan losses, if any. Our securitized mortgage loans had evidence of deterioration of credit quality at the time of acquisition. We analyze our securitized mortgage loan pool at least quarterly to assess the actual performance compared to the expected performance. If the revised cash flow estimates on our securitized mortgage loans provide a lower yield than the previous yield, we recognize a provision to loan losses (i.e., a reduction in the amortized cost of the securitized mortgage loans that is recorded in earnings) in an amount such that the yield will remain unchanged. If cash flow estimates on our securitized mortgage loans increase subsequent to recording a provision to loan losses, we will reverse previously recognized provision for loan losses before any increase to the yield is made. (See Note 5.) |
Designation and Fair Value Option Election | Designation and Fair Value Option Election To date, we have elected the fair value option of accounting for all of our investment securities, at the time of purchase, and our securitized debt, when initially incurred. As a result of the fair value election on such assets/liabilities, we record the change in the estimated fair value of such assets and liabilities in earnings as unrealized gains/(losses). We generally intend to hold our investment securities to generate interest income; however, we have and may continue to sell certain of our investment securities as part of the overall management of our assets and liabilities and operating our business. Realized gains/(losses) on the sale of investment securities are recorded in earnings using the specific identification method. Our securitized mortgage loans are considered held for investment purposes. Consistent with our investments in RMBS, we have elected the fair value option for our securitized mortgage loans and, as a result, we record changes in the estimated fair value of such assets in earnings as unrealized gains/(losses). We believe that our election of the fair value option for our investment securities, securitized mortgage loans and securitized debt improves financial reporting, as such treatment is consistent with how we present the changes in the fair value of our Swaps, Swaptions and TBA Contracts, all of which are derivative instruments, through earnings. |
Interest Income Recognition | Interest Income Recognition Investment Securities Interest income on investment securities is accrued based on the outstanding principal balance and the current coupon interest rate on each security. In addition, premiums and discounts associated with Agency RMBS, non-Agency RMBS and other investment securities rated AA and higher by a nationally recognized statistical rating organization at the time of purchase are amortized into interest income over the life of such securities using the effective yield method. In order to determine the effective yield, we estimate prepayments for each security. For those securities, if prepayment levels differ, or are expected to differ in the future from our previous assessment, we adjust the amount of premium amortization recognized in the period that such change is made, applying the retrospective method, resulting in a cumulative catch-up reflecting such change. To the extent that prepayment activity varies significantly from our previous prepayment estimates, we may experience volatility in our interest income. For Agency pass-through RMBS that we acquired subsequent to June 30, 2013, we do not estimate prepayments to determine premium amortization or discount accretion on such securities. Instead, the amount of premium amortization/discount accretion on Agency pass-through RMBS acquired subsequent to June 30, 2013 is based upon actual prepayment experience, which may vary significantly over time. All Agency RMBS we held at June 30, 2016 were acquired subsequent to June 30, 2013. For Agency IO, Agency Inverse IO and Agency Inverse Floaters, income is accrued based on the amortized cost and the effective yield. Cash received on Agency IO and Agency Inverse IO is first applied to accrued interest and then to reduce the amortized cost. At each reporting date, the effective yield is adjusted prospectively based on the current cash flow projections, which reflect prepayment estimates and the contractual terms of the security. Interest income on non-Agency RMBS and other investment securities rated below AA or not rated by a nationally recognized statistical rating organization is recognized based on the effective yield method of accounting. The effective yield on these securities is based on the projected cash flows from each security, which are estimated based on our observation of current information and events and include assumptions related to the future path of interest rates, prepayment speeds and the timing and amount of credit losses. On at least a quarterly basis, we review and, if appropriate, make adjustments to our cash flow projections based on input and analysis received from external sources, internal models and our judgment about interest rates, prepayment speeds, the timing and amount of credit losses and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, prepayments of principal and the payment priority structure of the security; therefore, actual maturities are generally shorter than the stated contractual maturities of the underlying mortgages. Based on the projected cash flows for our non-Agency RMBS, we generally expect that a portion of the purchase discount on such securities will not be recognized as interest income and is instead viewed as a credit discount. The credit discount mitigates our risk of loss on our non-Agency securities. The amount considered to be credit discount may change over time, based on the actual performance of the underlying mortgage collateral, actual and projected cash flows from such collateral, economic conditions and other factors. If the performance of a non-Agency RMBS with a credit discount is more favorable than forecasted, we may accrete more discount into interest income than expected at the time of purchase or when performance was last assessed. Conversely, if the performance of a non-Agency RMBS with a credit discount is less favorable than forecasted, the amount of discount accreted into income may be less than expected at the time of purchase or when performance was last assessed and/or impairment and write-downs of such securities to a new lower cost basis could result. Securitized Mortgage Loans Application of the interest method of accounting for our pools of securitized mortgage loans requires the use of estimates to calculate a projected yield. We calculate the yield based on the projected cash flows for each pool of mortgage loans. To the extent the actual performance of a loan pool is better than last expected, the yield is adjusted upward prospectively to reflect the revised estimate of cash flows over the remaining life of such mortgage pool. However, if the revised cash flow estimates on a loan pool provides a lower yield than the original or the last calculated yield, we recognize an OTTI (i.e., a reduction in the amortized cost of the loan pool that is recorded in earnings) such that the yield will remain unchanged. Decreasing yields arising solely from a change in the contractual interest rate on variable rate loans are not treated as an OTTI. If future cash collections are materially different in amount or timing than projected cash collections, earnings could be affected, either positively or negatively. On at least a quarterly basis, our Manager reviews and, if appropriate, makes adjustments to cash flow projections based on input and analysis received from external sources, internal models and our Manager’s judgment about interest rates, prepayment speeds, home prices, the timing and amount of credit losses and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such loans and/or the recognition of an OTTI. Warehouse Line Receivable, BFT Contracts and Mortgage Loans Purchased Under Seller Financing Program We accrue interest income on our warehouse line receivable, which is included as a component of our “Interest income-other” and “Other investments,” on our consolidated financial statements, based on the contractual terms governing the warehouse line receivable agreement. We assess the collectability of the warehouse receivable and associated income on at least a quarterly basis. |
Investment Consolidation and Transfers of Financial Assets | Investment Consolidation and Transfers of Financial Assets We evaluate the underlying entity that issues securities we acquire or to which we make a loan to determine the appropriate accounting methods. In VIEs, an entity is subject to consolidation if the equity investors either do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. VIEs that meet certain scope characteristics are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analysis. We are required on an ongoing basis to assess whether we are the primary beneficiary of a VIE. In determining the accounting treatment to be applied to securitization transactions, we evaluate whether the entity used to facilitate the transactions was a VIE and, if so, whether it should be consolidated. Based on our evaluations, we have concluded since inception of our securitizations that each of the securitizations is a VIE and that the VIEs should be consolidated. If we determine in the future that consolidation is not required for a securitization, we would have to assess whether the transfer of the underlying assets qualify as a sale or should be accounted for as secured financings under GAAP. We may periodically enter into transactions in which we sell assets. Upon a transfer of financial assets, we may sometimes retain or acquire senior or subordinated interests in the related assets. In connection with such transactions, a determination must be made as to whether we, as the transferor, have surrendered control over transferred financial assets. That determination must consider our continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under applicable GAAP limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term “participating interest” to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale. From time to time, we have securitized mortgage loans. Depending upon the structure of the securitization transaction these transactions may be accounted for as either a “sale” and the loans will be removed from the consolidated balance sheet or, as a “financing” with the loans remaining on our consolidated balance sheet. Significant judgment may be exercised by us in determining whether a transaction should be recorded as a “sale” or a “financing.” |
Deferred Financing Costs | Deferred Financing Costs Costs incurred in connection with securing our financings are capitalized and amortized using the effective interest rate method over the respective financing term with such amortization reflected on our consolidated statements of operations as a component of interest expense. Deferred financing costs may include legal, accounting and other related fees. In connection with the adoption of accounting to simplify the presentation of debt issuance costs, on January 1, 2016, we reclassified deferred financing costs associated with our borrowings under repurchase agreements for prior periods as a component of the associated borrowings on our consolidated balance sheet. Previously, these deferred charges were included on our consolidated balance sheet as a component of “Other assets.” |
Earnings Per Share | Earnings Per Share Earnings per common share (or, EPS) is computed using the two-class method of accounting, which includes the weighted-average number of shares of common stock outstanding during the period and other securities that participate in dividends, such as our unvested restricted stock and restricted stock units (or, RSUs), to arrive at total common equivalent shares. In applying the two-class method, earnings are allocated to both shares of common stock and securities that participate in dividends based on their respective weighted-average shares outstanding for the period. During periods of net loss, losses are allocated only to the extent that the participating securities are required to absorb such losses. (See Note 17.) |
Derivative Instruments | Derivative Instruments Subject to maintaining our qualification as a REIT for U.S. Federal income tax purposes, we utilize derivative financial instruments, currently comprised of Swaps, Swaptions and, from time to time, TBA Contracts as part of our interest rate risk management. We view our derivative instruments as economic hedges, which we believe mitigate interest rate risk associated with our borrowings under repurchase agreements and/or the fair value of our RMBS portfolio. We do not enter into derivative instruments for speculative purposes. All derivatives are reported as either assets or liabilities on the balance sheet at estimated fair value. We have not elected hedge accounting for our derivative instruments and, as a result, changes in the fair value for our derivatives are recorded in earnings. The fair value adjustments, along with the related interest income or interest expense, are recognized in the consolidated statements of operations in the line item “Gain/(loss) on derivative instruments, net.” To-Be-Announced Securities TBA Contracts are forward contracts for the purchase or sale of Agency RMBS by a specified issuer and for a specified face amount, coupon and stated term, at a predetermined price on the date stated in the contract. The particular Agency RMBS as identified by a Committee on Uniform Securities Identification Procedures number (commonly known as a CUSIP) delivered into the contract upon the settlement date are not known at the time of the transaction. We recognize in earnings unrealized gains and losses associated with TBA Contracts that are not subject to the regular-way exception, which applies: (i) when there is no other way to purchase or sell that security; (ii) if delivery of that security and settlement will occur within the shortest period possible for that type of security and (iii) if it is probable at inception and throughout the term of the individual contract that physical delivery of the security will occur. Changes in the value of our TBA Contracts and realized gains or losses on settlement are recognized in our consolidated statements of operations in the line item “Gain/(loss) on derivative instruments, net.” |
Repurchase Agreements | Repurchase Agreements Investment securities financed under repurchase agreements are treated as collateralized borrowings, unless they meet sale treatment or are deemed to be linked transactions. Through June 30, 2016 , none of our repurchase agreements had been accounted for as a linked transaction. As of June 30, 2016 , all securities financed through a repurchase agreement remained on our consolidated balance sheet as an asset (with the fair value of the securities pledged as collateral disclosed parenthetically) and cash received from the lender is recorded on our consolidated balance sheet as a liability. However, securities associated with our securitizations are eliminated in consolidation with VIEs. Interest paid and accrued in connection with our repurchase agreements is recorded as interest expense. |
Stock-based Payments | Stock-based Payments We account for stock-based awards granted to our independent directors, to our Manager and to employees of our Manager and its affiliates using the fair value based methodology prescribed by GAAP. Expense related to restricted common stock issued to our independent directors is based on the fair value of our common stock on the grant date, and amortized into expense over the award vesting period on a straight-line basis. Expense related to RSUs issued to our Manager and to employees of our Manager and its affiliates are based on the estimated fair value of such award at the grant date and are remeasured quarterly for unvested awards. We measure the fair value of our RSUs using the price of our common stock and other measurement assumptions, including implied volatility and discount rates. We use the graded vesting attribution method of accounting to amortize expense related to RSUs granted to our Manager and its affiliates. |
Income Taxes | Income Taxes (Dollar amounts in this Note 2(n) are not presented in thousands.) We elected to be taxed as a REIT for U.S. Federal income tax purposes, commencing with our taxable year ended December 31, 2011. Pursuant to the Internal Revenue Code, a REIT that distributes at least 90% of its net taxable income, excluding net capital gains, as a dividend to its stockholders each year and which meets certain other conditions, will not be taxed on the portion of its taxable income that is distributed to its stockholders. We expect to meet the conditions required to enable us to continue to operate as a REIT and to distribute all of our taxable income, including net capital gains for the periods presented and therefore we have not recorded any provisions for income taxes on our consolidated statements of operations through June 30, 2016. As of December 31, 2015, we had estimated net capital loss carryforward amounts of $67.7 million which may be carried forward and applied against future net capital gains. Our capital loss carryforward amounts will reduce the amount of future capital gains, if any, that we would otherwise expect to distribute as capital gains, since capital gains would first be reduced by the capital loss carryforward. At December 31, 2015, we had estimated capital loss carryforward amounts of $47.3 million and $20.4 million which will expire in 2018 and 2019, respectively. We have elected to treat a wholly owned subsidiary as a taxable REIT subsidiary (or, TRS). A TRS may participate in activities that would otherwise not be allowed to be carried on in a REIT. A TRS is subject to U.S. Federal, state and local income tax at regular corporate tax rates. As of December 31, 2015 our TRS and its subsidiaries, which are not consolidated with the Company for income tax purposes, had an estimated net operating loss carryforward of $1.5 million . Given the limited operating history of our TRS and its subsidiaries, there can be no assurance that such entities will generate taxable income in the future. As a result, the deferred tax asset of approximately $0.6 million associated with our net operating loss carryforward has been offset by a valuation allowance, such that we had no net deferred tax asset or liability at December 31, 2015 and, had not recorded any tax benefits through June 30, 2016. Under GAAP, a tax benefit from an uncertain tax position may be recognized when it is more likely than not that the position will be sustained upon examination, including resolutions of any related appeals or litigation processes, based on the technical merits of the position. Based upon review of our federal, state and local income tax returns and tax filing positions, we determined that no unrecognized tax benefits for uncertain tax positions were required to be recorded. In addition, we do not believe that we have any tax positions for which it is reasonably possible that we will be required to record significant amounts of unrecognized tax benefits within the next twelve months. Our major tax jurisdictions are U.S. Federal, New York State and New York City. The statute of limitations is open for all jurisdictions for tax years beginning 2012. |
Variable Interest Entity | Variable Interest Entities We consolidate a VIE when we have both the power to direct the activities that most significantly impact the economic performance of the VIE and a right to receive benefits or absorb losses of the entity that could be potentially significant to the VIE. We are required to reconsider our evaluation of whether to consolidate a VIE each reporting period, based upon changes in the facts and circumstances pertaining to the VIE. (See Note 2(h).) |
Recent Accounting Pronouncements | Recent Accounting Pronouncements Accounting Standards Adopted In June 2015, the Financial Accounting Standard’s Board (or, FASB) issued guidance providing for technical corrections and improvements to existing accounting standards. The amendments in this update represent changes to clarify, correct unintended application of guidance, or make minor improvements to existing accounting standards that are not expected to have a significant effect on current accounting practice or create a significant administrative cost to most entities. Transition guidance varies based on the amendments in this guidance. The amendments that require transition guidance are effective for all entities for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2015. The adoption of this accounting guidance during the three months ended March 31, 2016 did not have a material impact on our consolidated financial statements. In April 2015, the FASB issued guidance on the presentation of debt issuance costs. This guidance requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability. This guidance became effective for fiscal years and interim periods beginning after December 15, 2015, and requires retrospective application. As of June 30, 2016 and December 31, 2015, we had $ 3 and $55 of net deferred financing costs. Under the new guidance these net deferred financing costs have been reclassified such that they reduce the carrying value of the associated borrowings on our consolidated balance sheets for the periods presented. In August 2015, the FASB expanded its April 2015 guidance associated with the presentation of debt issue costs, to address costs related to line-of-credit arrangements. In this update, the FASB noted that the SEC staff would not object to an entity deferring and presenting debt issuance costs as an asset and subsequently amortizing the deferred debt issuance costs ratably over the term of the line-of-credit arrangement, regardless of whether there are any outstanding borrowing on the line-of-credit arrangement. The adoption of this accounting guidance during the three months ended March 31, 2016 did not have a material impact on our consolidated financial statements. Accounting Standards Issued but Not Yet Adopted In May 2014, the FASB issued guidance to establish a comprehensive and converged standard on revenue recognition to enable financial statement users to better understand and consistently analyze an entity’s revenue across industries, transactions, and geographies. The core principle of the new guidance is that an entity should recognize revenue to depict the transfer of 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 or services. To achieve that core principle, an entity should apply the following steps: (1) identify the contract(s) with a customer, (2) identify the performance obligations in the contract, (3) determine the transaction price, (4) allocate the transaction price to the performance obligations in the contract, and (5) recognize revenue when (or as) the entity satisfies a performance obligation. The new guidance also specifies the accounting for certain costs to obtain or fulfill a contract with a customer. The new guidance requires improved disclosures to help users of financial statements better understand the nature, amount, timing, and uncertainty of revenue that is recognized. Qualitative and quantitative information is required to be disclosed about: (1) contracts with customers, (2) significant judgments and changes in judgments, and (3) assets recognized from costs to obtain or fulfill a contract. The new guidance will apply to all entities. The guidance is effective for interim and annual reporting periods in fiscal years beginning after December 15, 2017. We are currently assessing the impact that this accounting guidance will have on our consolidated financial statements when adopted. In August 2014, the FASB issued guidance regarding management’s responsibility to evaluate whether there is substantial doubt about an entity’s ability to continue as a going concern and to provide related financial statement note disclosures. The new guidance requires that management evaluate each annual and interim reporting period whether conditions exist that give rise to substantial doubt about the entity’s ability to continue as a going concern within one year from the financial statement issuance date, and if so, provide related disclosures. Disclosures are only required if conditions give rise to substantial doubt, whether or not the substantial doubt is alleviated by management’s plans. No disclosures are required specific to going concern uncertainties if an assessment of the conditions does not give rise to substantial doubt. Substantial doubt exists when conditions and events, considered in the aggregate, indicate that it is probable that a company will be unable to meet its obligations as they become due within one year after the financial statement issuance date. If substantial doubt is alleviated as a result of the consideration of management’s plans, a company should disclose information that enables users of financial statements to understand all of the following (or refer to similar information disclosed elsewhere in the financial statement notes): (1) principal conditions that initially give rise to substantial doubt, (2) management’s evaluation of the significance of those conditions in relation to the company’s ability to meet its obligations, and (3) management’s plans that alleviated substantial doubt. If substantial doubt is not alleviated after considering management’s plans, disclosures should enable investors to understand the underlying conditions, and include the following: (1) a statement indicating that there is substantial doubt about the company’s ability to continue as a going concern within one year after the issuance date, (2) the principal conditions that give rise to substantial doubt, (3) management’s evaluation of the significance of those conditions in relation to the company’s ability to meet its obligations, and (4) management’s plans that are intended to mitigate the adverse conditions. The new guidance applies to all companies. The guidance is effective for interim and annual reporting periods in fiscal years beginning after December 15, 2016, with early adoption permitted. Based on our current financial condition, we do not expect this guidance will have a material impact on our consolidated financial statements. In January 2016, the FASB issued ASU 2016-01, “Financial Instruments - Overall: Recognition and Measurement of Financial Assets and Financial Liabilities,” (“ASU 2016-01”), which significantly revises an entity’s accounting related to the classification and measurement of investments in equity securities and requires the presentation of certain fair value changes for financial liabilities measured at fair value. ASU 2016-01 is effective for financial statements issued for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years. We are currently evaluating the potential impact that this accounting guidance will have on our consolidated financial statements |
Reclassifications | Reclassifications Certain prior period amounts have been reclassified to conform to the current presentation. |
Fair Value of Financial Instr28
Fair Value of Financial Instruments (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Summary of Company's Financial Instruments Carried at Fair Value on Consolidated Balance Sheet | The following tables present our financial instruments carried at estimated fair value as of June 30, 2016 and December 31, 2015 based upon our consolidated balance sheet by the valuation hierarchy: Estimated Fair Value at June 30, 2016 Level I Level II Level III Total Assets: RMBS $ — $ 1,397,947 $ 1,080,501 $ 2,478,448 Securitized mortgage loans (transferred to consolidated variable interest entities) — — 160,206 160,206 Other investment securities — 100,716 59,680 160,396 Total $ — $ 1,498,663 $ 1,300,387 $ 2,799,050 Liabilities: Swaps/Swaptions $ — $ 1,274 $ — $ 1,274 Non-recourse securitized debt — — 13,407 13,407 Short TBA Contracts — 7,268 — 7,268 Total $ — $ 8,542 $ 13,407 $ 21,949 Estimated Fair Value at December 31, 2015 Level I Level II Level III Total Assets: RMBS $ — $ 1,864,356 $ 1,197,226 $ 3,061,582 Securitized mortgage loans (transferred to consolidated variable interest entities) — — 167,624 167,624 Other investment securities — 98,656 67,534 166,190 Swaps/Swaptions — 4,347 — 4,347 Total $ — $ 1,967,359 $ 1,432,384 $ 3,399,743 Liabilities: Swaps $ — $ 13,618 $ — $ 13,618 Non-recourse securitized debt — — 18,951 18,951 Long TBA Contracts — 195 — 195 Total $ — $ 13,813 $ 18,951 $ 32,764 The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on our consolidated balance sheet, at June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial assets: Investment related receivable (1) $ 6,071 $ 6,071 $ 2,692 $ 2,692 Warehouse line receivable (2) (3) $ 3,919 $ 3,919 $ 10,239 $ 10,239 Mortgage loans and real estate subject to BFT Contracts under Seller Financing Program (3) $ 41,805 $ 41,805 $ 34,994 $ 34,994 Financial liabilities: Repurchase agreements $ 2,269,850 $ 2,269,821 $ 2,898,347 $ 2,898,347 Investment related payable (1) $ 1,256 $ 1,256 $ — $ — (1) Carrying value approximates fair value due to the short-term nature of the item. (2) Carrying value approximates fair value as such investment has a variable interest rate and there has been no material change in the credit-worthiness of the borrower. (3) Carrying value approximates fair value based on the assessment that there has been no material change in value or impairment of the associated real estate. |
Summary of Additional Information about Company's Non-Agency RMBS, Securitized Mortgage Loans and Securitized Debt | Our non-Agency RMBS, other investment securities, securitized mortgage loans and securitized debt are measured at fair value and are considered to be Level III measurements of fair value. The following table presents a summary of changes in the fair value of our non-Agency RMBS for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Beginning balance $ 1,126,720 $ 1,374,966 $ 1,197,226 $ 1,468,109 Purchases — 96,312 50,656 183,838 Sales — (29,056 ) (66,077 ) (172,931 ) Principal repayments (56,000 ) (66,129 ) (112,621 ) (119,384 ) Total net gains/(losses) included in net income: Realized gains/(losses), net — (254 ) 1,134 3,823 Unrealized gains/(losses), net 1,327 (11,634 ) (8,590 ) (10,750 ) OTTI recognized (1,395 ) (88 ) (1,850 ) (1,879 ) Discount accretion 9,849 14,148 20,623 27,439 Ending balance $ 1,080,501 $ 1,378,265 $ 1,080,501 $ 1,378,265 The following table presents a summary of the changes in the fair value of our securitized mortgage loan pools associated with our securitizations for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Beginning balance $ 159,301 $ 183,328 $ 167,624 $ 104,438 Mortgage loans securitized — — — 81,093 Principal repayments (4,447 ) (1,816 ) (8,823 ) (5,512 ) Discount accretion and other adjustments 236 (126 ) 471 (756 ) Unrealized gain/(loss) during the period, net 5,751 (1,866 ) 1,992 702 Loans transferred to REO (635 ) (616 ) (1,058 ) (1,061 ) Ending balance $ 160,206 $ 178,904 $ 160,206 $ 178,904 The following table presents a summary of the changes in fair value of our securitized debt for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Beginning balance $ 16,531 $ 30,306 $ 18,951 $ 34,176 Principal paid (3,104 ) (3,412 ) (5,522 ) (7,270 ) Unrealized losses, net (20 ) (1,001 ) (22 ) (1,013 ) Ending balance $ 13,407 $ 25,893 $ 13,407 $ 25,893 The following table presents a summary of the changes in fair value of our Level III other investment securities for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Beginning balance $ 60,887 $ 39,916 $ 67,534 $ 23,833 Purchases — 22,086 — 39,601 Sales — — (2,900 ) — Principal repayments (3,087 ) (3,046 ) (6,412 ) (4,552 ) Total net gains/(losses) included in net income: Realized (losses), net — — (26 ) — Unrealized gains/(losses), net 1,328 (591 ) 416 (808 ) OTTI recognized — — (116 ) — Discount accretion 552 525 1,184 816 Ending balance $ 59,680 $ 58,890 $ 59,680 $ 58,890 |
Residential Mortgage-Backed S29
Residential Mortgage-Backed Securities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Company's Investment Portfolio - Residential Mortgage-Backed Securities | (a) RMBS The following tables present certain information about our RMBS portfolio at June 30, 2016 and December 31, 2015 : June 30, 2016 Principal Balance Premium/ (Discount)and OTTI, Net (1) Amortized Cost (2) Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Weighted Average Coupon Agency pass-through RMBS - 30-Year Mortgages: ARMs $ 232,315 $ 16,439 $ 248,754 $ 243,929 $ — $ (4,825 ) 2.64 % 3.5% coupon 505,139 23,735 528,874 537,330 8,456 — 3.50 % 4.0% coupon 531,924 33,759 565,683 575,218 9,552 (17 ) 4.00 % 1,269,378 73,933 1,343,311 1,356,477 18,008 (4,842 ) 3.55 % Agency IO (2) — — 49,763 41,470 — (8,293 ) 2.31 % Total Agency securities 1,269,378 73,933 1,393,074 1,397,947 18,008 (13,135 ) 4.49 % Non-Agency RMBS 1,268,284 (209,621 ) 1,058,663 1,080,501 43,122 (21,284 ) 1.68 % Total RMBS $ 2,537,662 $ (135,688 ) $ 2,451,737 $ 2,478,448 $ 61,130 $ (34,419 ) 3.09 % December 31, 2015 Principal Balance Premium/ (Discount)and OTTI, Net (1) Amortized Cost (2) Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Weighted Average Coupon Agency pass-through RMBS - 30-Year Mortgages: ARMs $ 272,533 $ 19,247 $ 291,780 $ 289,057 $ — $ (2,723 ) 2.51 % 3.5% coupon 511,184 24,295 535,479 527,657 — (7,822 ) 3.50 % 4.0% coupon 925,929 61,523 987,452 983,536 1,307 (5,223 ) 4.00 % 1,709,646 105,065 1,814,711 1,800,250 1,307 (15,768 ) 3.61 % Agency IO (2) — — 57,778 57,354 1,175 (1,599 ) 2.33 % Agency Inverse IO (2) — — 6,864 6,752 — (112 ) 6.62 % Total Agency securities 1,709,646 105,065 1,879,353 1,864,356 2,482 (17,479 ) 4.53 % Non-Agency RMBS 1,395,873 (229,075 ) 1,166,798 1,197,226 47,857 (17,429 ) 1.67 % Total RMBS $ 3,105,519 $ (124,010 ) $ 3,046,151 $ 3,061,582 $ 50,339 $ (34,908 ) 3.24 % (1) A portion of the purchase discount on non-Agency RMBS is not expected to be recognized as interest income, and is instead viewed as a credit discount. See Notes 4(e) and 4(h). (2) At June 30, 2016 and December 31, 2015 , our Agency IO had a notional balance of $515,081 and $564,931 , respectively, and our Agency Inverse IO had a notional balance of $38,529 as December 31, 2015. (b) Agency Pass-through RMBS The following tables present certain information about our Agency pass-through RMBS by issuer at June 30, 2016 and December 31, 2015 : June 30, 2016 Principal Unamortized Premium/ Amortized Estimated Gross Gross Fannie Mae: ARMs $ 218,650 $ 15,508 $ 234,158 $ 229,551 $ — $ (4,607 ) 3.5% Coupon 91,388 3,907 95,295 97,111 1,816 — 4.0% Coupon 279,477 17,960 297,437 302,013 4,593 (17 ) 589,515 37,375 626,890 628,675 6,409 (4,624 ) Freddie Mac: ARMs 13,665 931 14,596 14,378 — (218 ) 3.5% Coupon 413,751 19,828 433,579 440,219 6,640 — 4.0% Coupon 252,447 15,799 268,246 273,205 4,959 — 679,863 36,558 716,421 727,802 11,599 (218 ) Total Agency pass-through RMBS $ 1,269,378 $ 73,933 $ 1,343,311 $ 1,356,477 $ 18,008 $ (4,842 ) December 31, 2015 Principal Unamortized Premium/ Amortized Estimated Gross Gross Fannie Mae: ARMs $ 256,983 $ 18,188 $ 275,171 $ 272,631 $ — $ (2,540 ) 3.5% Coupon 90,310 4,123 94,433 93,429 — (1,004 ) 4.0% Coupon 343,887 22,519 366,406 365,238 373 (1,541 ) 691,180 44,830 736,010 731,298 373 (5,085 ) Freddie Mac: ARMs 15,550 1,059 16,609 16,426 — (183 ) 3.5% Coupon 420,874 20,172 441,046 434,228 — (6,818 ) 4.0% Coupon 582,042 39,004 621,046 618,298 934 (3,682 ) 1,018,466 60,235 1,078,701 1,068,952 934 (10,683 ) Total Agency pass-through RMBS $ 1,709,646 $ 105,065 $ 1,814,711 $ 1,800,250 $ 1,307 $ (15,768 ) (c) Non-Agency RMBS The following tables present certain information about our non-Agency RMBS by type of underlying mortgage loan collateral type at June 30, 2016 and December 31, 2015 : June 30, 2016 Underlying Loan Characteristics: Principal Balance Unamortized Premium/ (Discount) and OTTI, Net Amortized Cost Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Subprime $ 812,460 $ (106,424 ) $ 706,036 $ 726,212 $ 29,845 $ (9,669 ) Alt-A 178,810 (43,995 ) 134,815 141,602 9,304 (2,517 ) Option ARMs 277,014 (59,202 ) 217,812 212,687 3,973 (9,098 ) Total Non-Agency RMBS $ 1,268,284 $ (209,621 ) $ 1,058,663 $ 1,080,501 $ 43,122 $ (21,284 ) December 31, 2015 Underlying Loan Characteristics: Principal Balance Unamortized Premium/ (Discount) and OTTI, Net Amortized Cost Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Subprime $ 939,161 $ (124,776 ) $ 814,385 $ 838,128 $ 33,503 $ (9,760 ) Alt-A 184,932 (45,194 ) 139,738 147,709 10,330 (2,359 ) Option ARMs 271,780 (59,105 ) 212,675 211,389 4,024 (5,310 ) Total Non-Agency RMBS $ 1,395,873 $ (229,075 ) $ 1,166,798 $ 1,197,226 $ 47,857 $ (17,429 ) The following table presents certain information about our other investment securities portfolio at June 30, 2016 and December 31, 2015 : Par or Reference Balance Unamortized Premium/ Amortized Cost (1) Estimated Fair Value Gross Unrealized Gain Gross Unrealized Losses Weighted Average Coupon June 30, 2016 Risk Sharing Securities - Freddie Mac $ 47,174 $ (220 ) $ 46,954 $ 46,900 $ 124 $ (178 ) 3.97 % Risk Sharing Securities - Fannie Mae 55,287 (1,240 ) 54,047 $ 53,816 308 (539 ) 4.02 SBC-MBS 69,863 (7,750 ) 62,113 $ 59,680 92 (2,525 ) 0.97 Total $ 172,324 $ (9,210 ) $ 163,114 $ 160,396 $ 524 $ (3,242 ) 2.77 % December 31, 2015 Risk Sharing Securities - Freddie Mac $ 48,526 $ (212 ) $ 48,314 $ 47,232 $ 189 $ (1,271 ) 3.92 % Risk Sharing Securities - Fannie Mae 55,287 (1,659 ) 53,628 51,424 — (2,204 ) 3.99 SBC-MBS 76,276 (8,811 ) 67,465 64,607 10 (2,868 ) 2.40 SBA-IO (2) — — 2,918 2,927 9 — 0.95 Total $ 180,089 $ (10,682 ) $ 172,325 $ 166,190 $ 208 $ (6,343 ) 2.63 % (1) Amortized cost is reduced by unrealized losses that are classified as OTTI, which was $1,853 and $1,523 at June 30, 2016 and December 31, 2015 , respectively. (2) SBA-IO have no principal balance and bear interest based on a notional balance. At December 31, 2015 our SBA-IO had a notional balance of $27,546 ; we held no investments in SBA-IO |
Unrealized Loss Position of Fair Value | The following table presents information about our RMBS that were in an unrealized loss position at June 30, 2016 : Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Fair Value Unrealized (Losses) Number of Securities Fair Value Unrealized (Losses) Number of Securities Agency RMBS $ 50,738 $ (664 ) 6 $ 205,904 $ (4,178 ) 7 Agency IO 29,237 (4,854 ) 10 12,233 (3,439 ) 6 Total Agency Securities 79,975 (5,518 ) 16 218,137 (7,617 ) 13 Non-Agency RMBS 266,565 (10,094 ) 58 271,339 (11,190 ) 72 Total $ 346,540 $ (15,612 ) 74 $ 489,476 $ (18,807 ) 85 The following table presents information about our Other Investment Securities that were in an unrealized loss position at June 30, 2016 : Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Risk Sharing Securities - Freddie Mac $ 12,576 $ (113 ) 2 $ 7,019 $ (65 ) 4 Risk Sharing Securities - Fannie Mae 7,887 (25 ) 2 21,936 (514 ) 1 SBC-MBS 9,670 (157 ) 3 44,722 (2,368 ) 4 Total Other Investment Securities $ 30,133 $ (295 ) 7 $ 73,677 $ (2,947 ) 9 |
Components of Agency and Non-Agency RMBS Interest Income | The following tables present components of interest income on our Agency RMBS and non-Agency RMBS for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Agency RMBS $ 15,502 $ (5,439 ) $ 10,063 $ 32,457 $ (10,172 ) $ 22,285 Non-Agency RMBS 5,391 9,849 15,240 10,972 20,623 31,595 Total $ 20,893 $ 4,410 $ 25,303 $ 43,429 $ 10,451 $ 53,880 Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Agency RMBS $ 21,500 $ (5,670 ) $ 15,830 $ 44,039 $ (11,688 ) $ 32,351 Non-Agency RMBS 5,840 14,148 19,988 11,642 27,439 39,081 Total $ 27,340 $ 8,478 $ 35,818 $ 55,681 $ 15,751 $ 71,432 The following tables present components of interest income on our other investment securities for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 Coupon Interest (Premium Amortization)/ Discount Accretion, net Interest Income Weighted Average Yield Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Weighted Average Yield Risk Sharing Securities - Freddie Mac $ 476 $ 83 $ 559 4.70 % $ 959 $ 204 $ 1,163 4.85 % Risk Sharing Securities - Fannie Mae 561 218 779 5.73 1,120 419 1,539 5.72 SBC-MBS 167 552 719 4.52 347 1,177 1,524 4.68 SBA-IO — — — — 42 8 50 6.99 Total $ 1,204 $ 853 $ 2,057 4.98 % $ 2,468 $ 1,808 $ 4,276 5.04 % Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 Coupon Interest (Premium Amortization)/ Discount Accretion, net Interest Income Weighted Average Yield Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Weighted Average Yield Risk Sharing Securities - Freddie Mac $ 376 $ 118 $ 494 3.36 % $ 537 $ 140 $ 677 3.45 % Risk Sharing Securities - Fannie Mae 239 78 317 4.61 287 89 376 3.54 SBC-MBS 93 490 583 5.09 161 781 942 5.05 Total $ 708 $ 686 $ 1,394 4.37 % $ 985 $ 1,010 $ 1,995 4.22 % |
Schedule of Net Realized Gains and Changes in Unrealized Investment Gains Losses | The following tables present components of net realized gains/(losses), changes in net unrealized gains/(losses) and OTTI recognized on our RMBS for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 RMBS Type Net Realized Gains/(Losses) Net Unrealized Gains/(Losses) Other-Than-Temporary-Impairments Net Realized Gains/(Losses) Net Unrealized Gains/(Losses) (Other-Than-Temporary-Impairments) Agency fixed rate $ 486 $ 9,688 $ — $ (140 ) $ 29,729 $ — Agency adjustable rate (213 ) (669 ) — (263 ) (2,101 ) — Agency Inverse — — — — — — Agency IO — (2,745 ) (3,402 ) — (7,869 ) (3,527 ) Agency Inverse IO — — — (136 ) 112 — Non-Agency RMBS — 1,325 (1,396 ) 1,134 (8,591 ) (1,850 ) Total $ 273 $ 7,599 $ (4,798 ) $ 595 $ 11,280 $ (5,377 ) Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 RMBS Type Net Realized Gains/(Losses) Net Unrealized Gains/(Losses) Other-Than-Temporary-Impairment Net Realized Gains/(Losses) Net Unrealized Gains/(Losses) (Other-Than-Temporary-Impairment) Agency fixed rate $ (4,351 ) $ (30,137 ) $ — $ (57 ) $ (16,560 ) $ — Agency Inverse — (613 ) — 43 (758 ) — Agency IO (15 ) 1,458 — (127 ) 1,839 (173 ) Agency Inverse IO 74 199 — 311 568 (612 ) Agency adjustable rate 16 (539 ) — 15 (825 ) — Non-Agency RMBS (254 ) (11,634 ) (88 ) 3,823 (10,750 ) (1,878 ) Total $ (4,530 ) $ (41,266 ) $ (88 ) $ 4,008 $ (26,486 ) $ (2,663 ) |
Investment Portfolio, Fair value | The following table presents the maturities of our RMBS, based on the contractual maturities of the underlying mortgages at June 30, 2016 and December 31, 2015 : Contractual Maturities of RMBS (1) June 30, 2016 December 31, 2015 10 years or less $ 65,932 $ 112,087 > 10 years and < or equal to 20 years 674,939 667,595 > 20 years and < or equal to 30 years 1,626,790 2,155,087 > 30 years 110,787 126,813 Total $ 2,478,448 $ 3,061,582 (1) Actual maturities of the securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, prepayments of principal, and the payment priority structure of the security; therefore actual maturities are generally shorter than the stated contractual maturities of the underlying or referenced mortgages. |
Other-than-Temporary Impairment Roll-forward | The following tables present the changes in the components of our purchase discount on non-Agency RMBS between purchase discount designated as credit reserve and OTTI versus accretable purchase discount for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 Discount (1) Accretable Discount Discount (1) Accretable Discount Balance at beginning of period $ (81,354 ) $ (137,828 ) $ (81,217 ) $ (147,989 ) Accretion of discount — 9,828 — 20,574 Realized credit losses 949 — 1,682 — Purchases — — (2,726 ) (6,305 ) Sales and other 2 (2 ) 343 7,687 OTTI recognized in earnings (1,365 ) — (1,819 ) — Transfers/release of credit reserve 2,081 (2,081 ) 4,050 (4,050 ) Balance at end of period $ (79,687 ) $ (130,083 ) $ (79,687 ) $ (130,083 ) (1) At June 30, 2016, our non-Agency RMBS had gross discounts of $209,770 , which included credit discounts of $64,290 and OTTI of $15,397 . The following table presents a roll-forward of the credit loss component of OTTI on our Agency IO and Inverse IO securities for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 OTTI at beginning of period $ 1,048 $ 1,008 Additions to OTTI 3,403 3,527 Sale of securities with OTTI — (84 ) OTTI at end of period $ 4,451 $ 4,451 |
Securitized Mortgage Loans (Tab
Securitized Mortgage Loans (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Mortgage Loans on Real Estate [Abstract] | |
Changes in Carrying Value of Securitized Loans Held for Investment | The following table presents a summary of the changes in the carrying value of our securitized mortgage loans for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Beginning balance $ 159,301 $ 183,328 $ 167,624 $ 104,438 Securitization of March 2015 Pool — — — 81,093 Principal repayments (4,447 ) (1,816 ) (8,823 ) (5,512 ) Discount accretion and other adjustments 236 (126 ) 471 (756 ) Unrealized gain/(loss) during the period, net 5,751 (1,866 ) 1,992 702 Loans transferred to REO (635 ) (616 ) (1,058 ) (1,061 ) Ending balance $ 160,206 $ 178,904 $ 160,206 $ 178,904 |
Qualitative and Quantitative Information, Transferor's Continuing Involvement | The following table presents certain information about mortgage loans underlying our securitized mortgage loans at June 30, 2016 : Securitized Mortgage Loans June 30, 2016 Performing (1) $ 65,194 Re-performing (1) 106,828 Non-performing (1) 28,118 Purchase discount (46,121 ) Allowance for loan losses (OTTI) (2,699 ) Fair value adjustment 8,886 Total $ 160,206 (1) We consider loans that are no more than 60 days delinquent as “performing,” loans that have had their initial terms modified and are no more than 60 days delinquent as “re-performing” and loans that are more than 60 days past due as “non-performing.” |
States Represented in Our Securitized Mortgage Loans | The following table presents the five largest state concentrations, in the aggregate, for our securitized mortgage loans based on principal balance at June 30, 2016 : Property Location Principal Balance Total Concentration Florida $ 35,635 17.8 % California 35,355 17.7 Maryland 16,287 8.1 Texas 12,370 6.2 New Jersey 10,898 5.4 Other states and the District of Columbia 89,594 44.8 Total $ 200,139 100.0 % |
Other Investment Securities a31
Other Investment Securities and Other Investments (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Investments, Debt and Equity Securities [Abstract] | |
Available-for-sale Securities | (a) RMBS The following tables present certain information about our RMBS portfolio at June 30, 2016 and December 31, 2015 : June 30, 2016 Principal Balance Premium/ (Discount)and OTTI, Net (1) Amortized Cost (2) Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Weighted Average Coupon Agency pass-through RMBS - 30-Year Mortgages: ARMs $ 232,315 $ 16,439 $ 248,754 $ 243,929 $ — $ (4,825 ) 2.64 % 3.5% coupon 505,139 23,735 528,874 537,330 8,456 — 3.50 % 4.0% coupon 531,924 33,759 565,683 575,218 9,552 (17 ) 4.00 % 1,269,378 73,933 1,343,311 1,356,477 18,008 (4,842 ) 3.55 % Agency IO (2) — — 49,763 41,470 — (8,293 ) 2.31 % Total Agency securities 1,269,378 73,933 1,393,074 1,397,947 18,008 (13,135 ) 4.49 % Non-Agency RMBS 1,268,284 (209,621 ) 1,058,663 1,080,501 43,122 (21,284 ) 1.68 % Total RMBS $ 2,537,662 $ (135,688 ) $ 2,451,737 $ 2,478,448 $ 61,130 $ (34,419 ) 3.09 % December 31, 2015 Principal Balance Premium/ (Discount)and OTTI, Net (1) Amortized Cost (2) Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Weighted Average Coupon Agency pass-through RMBS - 30-Year Mortgages: ARMs $ 272,533 $ 19,247 $ 291,780 $ 289,057 $ — $ (2,723 ) 2.51 % 3.5% coupon 511,184 24,295 535,479 527,657 — (7,822 ) 3.50 % 4.0% coupon 925,929 61,523 987,452 983,536 1,307 (5,223 ) 4.00 % 1,709,646 105,065 1,814,711 1,800,250 1,307 (15,768 ) 3.61 % Agency IO (2) — — 57,778 57,354 1,175 (1,599 ) 2.33 % Agency Inverse IO (2) — — 6,864 6,752 — (112 ) 6.62 % Total Agency securities 1,709,646 105,065 1,879,353 1,864,356 2,482 (17,479 ) 4.53 % Non-Agency RMBS 1,395,873 (229,075 ) 1,166,798 1,197,226 47,857 (17,429 ) 1.67 % Total RMBS $ 3,105,519 $ (124,010 ) $ 3,046,151 $ 3,061,582 $ 50,339 $ (34,908 ) 3.24 % (1) A portion of the purchase discount on non-Agency RMBS is not expected to be recognized as interest income, and is instead viewed as a credit discount. See Notes 4(e) and 4(h). (2) At June 30, 2016 and December 31, 2015 , our Agency IO had a notional balance of $515,081 and $564,931 , respectively, and our Agency Inverse IO had a notional balance of $38,529 as December 31, 2015. (b) Agency Pass-through RMBS The following tables present certain information about our Agency pass-through RMBS by issuer at June 30, 2016 and December 31, 2015 : June 30, 2016 Principal Unamortized Premium/ Amortized Estimated Gross Gross Fannie Mae: ARMs $ 218,650 $ 15,508 $ 234,158 $ 229,551 $ — $ (4,607 ) 3.5% Coupon 91,388 3,907 95,295 97,111 1,816 — 4.0% Coupon 279,477 17,960 297,437 302,013 4,593 (17 ) 589,515 37,375 626,890 628,675 6,409 (4,624 ) Freddie Mac: ARMs 13,665 931 14,596 14,378 — (218 ) 3.5% Coupon 413,751 19,828 433,579 440,219 6,640 — 4.0% Coupon 252,447 15,799 268,246 273,205 4,959 — 679,863 36,558 716,421 727,802 11,599 (218 ) Total Agency pass-through RMBS $ 1,269,378 $ 73,933 $ 1,343,311 $ 1,356,477 $ 18,008 $ (4,842 ) December 31, 2015 Principal Unamortized Premium/ Amortized Estimated Gross Gross Fannie Mae: ARMs $ 256,983 $ 18,188 $ 275,171 $ 272,631 $ — $ (2,540 ) 3.5% Coupon 90,310 4,123 94,433 93,429 — (1,004 ) 4.0% Coupon 343,887 22,519 366,406 365,238 373 (1,541 ) 691,180 44,830 736,010 731,298 373 (5,085 ) Freddie Mac: ARMs 15,550 1,059 16,609 16,426 — (183 ) 3.5% Coupon 420,874 20,172 441,046 434,228 — (6,818 ) 4.0% Coupon 582,042 39,004 621,046 618,298 934 (3,682 ) 1,018,466 60,235 1,078,701 1,068,952 934 (10,683 ) Total Agency pass-through RMBS $ 1,709,646 $ 105,065 $ 1,814,711 $ 1,800,250 $ 1,307 $ (15,768 ) (c) Non-Agency RMBS The following tables present certain information about our non-Agency RMBS by type of underlying mortgage loan collateral type at June 30, 2016 and December 31, 2015 : June 30, 2016 Underlying Loan Characteristics: Principal Balance Unamortized Premium/ (Discount) and OTTI, Net Amortized Cost Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Subprime $ 812,460 $ (106,424 ) $ 706,036 $ 726,212 $ 29,845 $ (9,669 ) Alt-A 178,810 (43,995 ) 134,815 141,602 9,304 (2,517 ) Option ARMs 277,014 (59,202 ) 217,812 212,687 3,973 (9,098 ) Total Non-Agency RMBS $ 1,268,284 $ (209,621 ) $ 1,058,663 $ 1,080,501 $ 43,122 $ (21,284 ) December 31, 2015 Underlying Loan Characteristics: Principal Balance Unamortized Premium/ (Discount) and OTTI, Net Amortized Cost Estimated Fair Value Gross Unrealized Gains Gross Unrealized (Losses) Subprime $ 939,161 $ (124,776 ) $ 814,385 $ 838,128 $ 33,503 $ (9,760 ) Alt-A 184,932 (45,194 ) 139,738 147,709 10,330 (2,359 ) Option ARMs 271,780 (59,105 ) 212,675 211,389 4,024 (5,310 ) Total Non-Agency RMBS $ 1,395,873 $ (229,075 ) $ 1,166,798 $ 1,197,226 $ 47,857 $ (17,429 ) The following table presents certain information about our other investment securities portfolio at June 30, 2016 and December 31, 2015 : Par or Reference Balance Unamortized Premium/ Amortized Cost (1) Estimated Fair Value Gross Unrealized Gain Gross Unrealized Losses Weighted Average Coupon June 30, 2016 Risk Sharing Securities - Freddie Mac $ 47,174 $ (220 ) $ 46,954 $ 46,900 $ 124 $ (178 ) 3.97 % Risk Sharing Securities - Fannie Mae 55,287 (1,240 ) 54,047 $ 53,816 308 (539 ) 4.02 SBC-MBS 69,863 (7,750 ) 62,113 $ 59,680 92 (2,525 ) 0.97 Total $ 172,324 $ (9,210 ) $ 163,114 $ 160,396 $ 524 $ (3,242 ) 2.77 % December 31, 2015 Risk Sharing Securities - Freddie Mac $ 48,526 $ (212 ) $ 48,314 $ 47,232 $ 189 $ (1,271 ) 3.92 % Risk Sharing Securities - Fannie Mae 55,287 (1,659 ) 53,628 51,424 — (2,204 ) 3.99 SBC-MBS 76,276 (8,811 ) 67,465 64,607 10 (2,868 ) 2.40 SBA-IO (2) — — 2,918 2,927 9 — 0.95 Total $ 180,089 $ (10,682 ) $ 172,325 $ 166,190 $ 208 $ (6,343 ) 2.63 % (1) Amortized cost is reduced by unrealized losses that are classified as OTTI, which was $1,853 and $1,523 at June 30, 2016 and December 31, 2015 , respectively. (2) SBA-IO have no principal balance and bear interest based on a notional balance. At December 31, 2015 our SBA-IO had a notional balance of $27,546 ; we held no investments in SBA-IO |
Investment Income | The following tables present components of interest income on our Agency RMBS and non-Agency RMBS for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Agency RMBS $ 15,502 $ (5,439 ) $ 10,063 $ 32,457 $ (10,172 ) $ 22,285 Non-Agency RMBS 5,391 9,849 15,240 10,972 20,623 31,595 Total $ 20,893 $ 4,410 $ 25,303 $ 43,429 $ 10,451 $ 53,880 Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Agency RMBS $ 21,500 $ (5,670 ) $ 15,830 $ 44,039 $ (11,688 ) $ 32,351 Non-Agency RMBS 5,840 14,148 19,988 11,642 27,439 39,081 Total $ 27,340 $ 8,478 $ 35,818 $ 55,681 $ 15,751 $ 71,432 The following tables present components of interest income on our other investment securities for the periods presented: Three Months Ended June 30, 2016 Six Months Ended June 30, 2016 Coupon Interest (Premium Amortization)/ Discount Accretion, net Interest Income Weighted Average Yield Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Weighted Average Yield Risk Sharing Securities - Freddie Mac $ 476 $ 83 $ 559 4.70 % $ 959 $ 204 $ 1,163 4.85 % Risk Sharing Securities - Fannie Mae 561 218 779 5.73 1,120 419 1,539 5.72 SBC-MBS 167 552 719 4.52 347 1,177 1,524 4.68 SBA-IO — — — — 42 8 50 6.99 Total $ 1,204 $ 853 $ 2,057 4.98 % $ 2,468 $ 1,808 $ 4,276 5.04 % Three Months Ended June 30, 2015 Six Months Ended June 30, 2015 Coupon Interest (Premium Amortization)/ Discount Accretion, net Interest Income Weighted Average Yield Coupon Interest (Premium Amortization)/ Discount Accretion, Net Interest Income Weighted Average Yield Risk Sharing Securities - Freddie Mac $ 376 $ 118 $ 494 3.36 % $ 537 $ 140 $ 677 3.45 % Risk Sharing Securities - Fannie Mae 239 78 317 4.61 287 89 376 3.54 SBC-MBS 93 490 583 5.09 161 781 942 5.05 Total $ 708 $ 686 $ 1,394 4.37 % $ 985 $ 1,010 $ 1,995 4.22 % |
Schedule of Components of Purchase Discounts Rollforward | The following table presents the changes in the components of our purchase discount on other investment securities between purchase discount designated as credit reserve and OTTI versus accretable purchase discount for the periods presented. Three Months Ended June 30, Six Months Ended June 30, 2016 2016 Discount Accretable Discount Discount Accretable Discount Balance at beginning of period $ (1,113 ) $ (9,092 ) $ (672 ) $ (10,332 ) Accretion of discount — 856 — 1,771 Purchases — — — — OTTI recognized (182 ) — (298 ) — Transfers/release of credit reserve 814 (814 ) 489 (489 ) Balance at end of period $ (481 ) $ (9,050 ) $ (481 ) $ (9,050 ) |
Unrealized Loss Position on Other Investment Securities | The following table presents information about our RMBS that were in an unrealized loss position at June 30, 2016 : Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Fair Value Unrealized (Losses) Number of Securities Fair Value Unrealized (Losses) Number of Securities Agency RMBS $ 50,738 $ (664 ) 6 $ 205,904 $ (4,178 ) 7 Agency IO 29,237 (4,854 ) 10 12,233 (3,439 ) 6 Total Agency Securities 79,975 (5,518 ) 16 218,137 (7,617 ) 13 Non-Agency RMBS 266,565 (10,094 ) 58 271,339 (11,190 ) 72 Total $ 346,540 $ (15,612 ) 74 $ 489,476 $ (18,807 ) 85 The following table presents information about our Other Investment Securities that were in an unrealized loss position at June 30, 2016 : Unrealized Loss Position for Less than 12 Months Unrealized Loss Position for 12 Months or More Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Risk Sharing Securities - Freddie Mac $ 12,576 $ (113 ) 2 $ 7,019 $ (65 ) 4 Risk Sharing Securities - Fannie Mae 7,887 (25 ) 2 21,936 (514 ) 1 SBC-MBS 9,670 (157 ) 3 44,722 (2,368 ) 4 Total Other Investment Securities $ 30,133 $ (295 ) 7 $ 73,677 $ (2,947 ) 9 |
Schedule of Carrying Amount of Other Investments | The following table presents components of the carrying value of our other investments at June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 Warehouse line receivable $ 3,919 $ 10,239 Real estate subject to BFT Contracts, net of accumulated depreciation (1) 31,045 26,525 Mortgage loans purchased through Seller Financing Program 10,760 8,469 Total $ 45,724 $ 45,233 (1) At June 30, 2016 , BFT Contracts had an aggregate principal balance of $31,986 with a weighted average contractual interest rate of 8.17% and BFT Contracts at December 31, 2015 had an aggregate principal balance of $27,140 with a weighted average stated interest rate of 8.20% . Amount is presented net of $ 941 and $545 of accumulated depreciation at June 30, 2016 and December 31, 2015, respectively. |
Other Investment Income | The following table presents components of income on our other investments for the periods presented: Three Months Ended June 30, Six Months Ended June 31, 2016 2015 2016 2015 Warehouse line interest $ 76 $ 303 $ 190 $ 680 Real estate subject to BFT Contracts 946 367 1,439 644 Mortgage loans purchased through Seller Financing Program 4 114 197 189 Total $ 1,026 $ 784 $ 1,826 $ 1,513 |
Receivables (Tables)
Receivables (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Investments Schedule [Abstract] | |
Summary of Interest Receivable by Investment Category | The following table presents our interest receivable by investment category at June 30, 2016 and December 31, 2015 : Investment Category June 30, 2016 December 31, 2015 Agency RMBS - Fannie Mae (1) $ 2,333 $ 2,697 Agency RMBS - Freddie Mac (1) 2,601 3,834 Agency RMBS - Ginnie Mae (1) 86 110 Non-Agency RMBS 1,146 1,076 Securitized mortgage loans 947 936 Other investment securities 341 262 Other investments 611 934 Total $ 8,065 $ 9,849 (1) Includes interest income receivable on pass-through, IO, Inverse IO and Inverse Floater securities issued by an Agency, as applicable. |
Borrowings Under Repurchase A33
Borrowings Under Repurchase Agreements (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Disclosure of Repurchase Agreements [Abstract] | |
Company's Repurchase Agreements | The following table presents certain characteristics of our repurchase agreements for the periods presented: June 30, 2016 December 31, 2015 Repurchase Agreement Borrowings Weighted Average Borrowing Rate Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Borrowing Rate Weighted Average Remaining Maturity (days) Securities Financed: Agency RMBS $ 1,253,520 0.67 % 19 $ 1,719,479 0.49 % 15 Non-Agency RMBS (1) 901,219 2.12 59 1,052,231 1.94 101 Other investment securities 115,114 2.14 81 126,637 1.91 116 Total $ 2,269,853 1.32 % 38 $ 2,898,347 1.08 % 51 (1) Includes $82,814 and $90,281 of repurchase borrowings collateralized by non-Agency RMBS of $118,443 and $125,125 at June 30, 2016 and December 31, 2015 , respectively, that were eliminated from our balance sheet in consolidation with the VIEs associated with securitization transactions. Amounts presented do not reflect associated deferred financing costs. |
Schedule of Repricing Information of Borrowings under Repurchase Agreements | The following table presents repricing information about our borrowings under repurchase agreements at June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 Time Until Interest Rate Reset: Balance Weighted Average Interest Rate Balance Weighted Average Interest Rate Within 30 days $ 1,942,822 1.29 % $ 2,422,224 1.00 % Over 30 days to 60 days 319,918 1.49 403,226 1.38 Over 60 days to 90 days — — 32,552 2.05 Over 90 days to 120 days — — 38,956 1.89 Over 120 days to 360 days 7,113 2.45 1,389 2.00 Total $ 2,269,853 1.32 % $ 2,898,347 1.08 % |
Schedule of Contractual Maturity under Repurchase Agreements | The following table presents the contractual maturity of our repurchase agreements at June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 Time Until Contractual Maturity: Balance Weighted Average Interest Rate Balance Weighted Average Interest Rate Within 30 days $ 1,624,594 1.08 % $ 2,165,418 0.88 % Over 30 days to 60 days 319,918 1.49 288,487 0.88 Over 60 days to 90 days 50,201 2.95 90,220 2.61 Over 90 days to 120 days — — 38,956 1.89 Over 120 days to 360 days 275,140 2.21 315,266 2.06 Total $ 2,269,853 1.32 % $ 2,898,347 1.08 % |
Collateral Positions (Tables)
Collateral Positions (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Transfers and Servicing [Abstract] | |
Company's Collateral Positions | The following table presents the fair value of our collateral positions, reflecting assets pledged and collateral we held, with respect to our borrowings under repurchase agreements, derivatives and clearing margin account at June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 Assets Pledged as Collateral Collateral Held Assets Pledged as Collateral Collateral Held Derivatives: Restricted cash/cash (1) $ 9,605 $ — $ 21,921 $ 280 Repurchase agreement borrowings: Agency RMBS 1,312,753 — 1,769,351 — Non-Agency RMBS (2) 1,171,200 — 1,333,337 — Other investment securities 155,904 — 163,263 — Mortgage loans — — Restricted cash 14,658 — 61,772 — 2,654,515 — 3,327,723 — Clearing margin: Agency RMBS 3,383 — 3,522 — Total $ 2,667,503 $ — $ 3,353,166 $ 280 (1) Cash pledged as collateral is reported as “Restricted cash” on our consolidated balance sheet. Cash held by us as collateral is unrestricted in use and therefore is included with “Cash and cash equivalents” with a corresponding liability, “Obligation to return cash held as collateral” on our consolidated balance sheet. (2) Includes non-Agency RMBS of $118,443 and $125,125 at June 30, 2016 and December 31, 2015 , respectively, that were eliminated from our balance sheet in consolidation with the VIEs associated with our securitizations. Our securitized mortgage loans collateralize the securities we have pledged as collateral. (b) Collateral Pledged Components The following tables present our collateral positions, reflecting assets pledged with respect to our borrowings under repurchase agreements, derivatives and clearing margin account at June 30, 2016 and December 31, 2015 : June 30, 2016 Assets Pledged at Fair Value Amortized Cost Accrued Interest Fair Value of Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS $ 1,312,753 $ 1,306,153 $ 3,664 $ 1,316,417 Non-Agency RMBS (1) 1,171,200 1,156,816 1,718 1,172,918 Other investment securities 155,904 158,542 338 156,242 Cash 14,658 — — 14,658 2,654,515 2,621,511 5,720 2,660,235 Cash pledged for derivatives contracts 9,605 — — 9,605 Agency RMBS pledged for clearing margin 3,383 3,280 10 3,393 Total $ 2,667,503 $ 2,624,791 $ 5,730 $ 2,673,233 December 31, 2015 Assets Pledged- Fair Value Amortized Cost Accrued Interest Fair Value of Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS $ 1,769,351 $ 1,784,557 $ 5,081 $ 1,774,432 Non-Agency RMBS (2) 1,333,337 1,301,167 1,479 1,334,816 Other investment securities 163,263 169,409 251 163,514 Cash 61,772 — — 61,772 3,327,723 3,255,133 6,811 3,334,534 Cash pledged for derivative contracts 21,921 — — 21,921 Agency RMBS pledged for clearing margin 3,522 3,657 12 3,534 Total $ 3,353,166 $ 3,258,790 $ 6,823 $ 3,359,989 (1) Includes a non-Agency RMBS with a fair value of $118,443 , an amortized cost of $122,357 and the associated interest receivable of $579 , all of which were eliminated in consolidation with VIEs at June 30, 2016 . (2) Includes non-Agency RMBS with a fair value of $125,125 , an amortized cost of $123,552 and the associated interest receivable of $599 , all of which were eliminated in consolidation with VIEs at December 31, 2015 . |
Offsetting Assets and Liabili35
Offsetting Assets and Liabilities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Offsetting Derivative Assets And Liabilities [Abstract] | |
Offsetting of Financial Assets and Derivative Assets | The following tables present information about certain assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our consolidated balance sheet at June 30, 2016 and December 31, 2015 : Offsetting of Financial Assets and Derivative Assets Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts of Recognized Assets Gross Amounts Offset in the Consolidated Balance Sheet Net Amounts of Assets Presented in the Consolidated Balance Sheet Financial Instruments (1) Cash Collateral Received Net Amount June 30, 2016 Swaps and Swaptions, at fair value $ — $ — $ — $ — $ — $ — Long TBA Contracts, at fair value — — — — — Total $ — $ — $ — $ — $ — $ — December 31, 2015 Swaps and Swaptions, at fair value $ 4,347 $ — $ 4,347 $ (3,577 ) $ (280 ) $ 490 Long TBA Contracts, at fair value — — — — — — Total $ 4,347 $ — $ 4,347 $ (3,577 ) $ (280 ) $ 490 |
Offsetting of Financial Liabilities and Derivative Liabilities | Offsetting of Financial Liabilities and Derivative Liabilities Gross Amounts Not Offset in the Consolidated Balance Sheet Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Consolidated Balance Sheet Net Amounts of Liabilities Presented in the Consolidated Balance Sheet Financial Instruments (2) (3) Cash Collateral Pledged (2) (4) Net Amount June 30, 2016 Swaps and Swaptions, at fair value $ 1,274 $ — $ 1,274 $ — $ (1,660 ) $ (386 ) Short TBA Contracts, at fair value 7,268 — 7,268 — (7,945 ) (677 ) Repurchase agreements (5) 2,269,853 — 2,269,853 (2,269,853 ) (14,658 ) (14,658 ) Total $ 2,278,395 $ — $ 2,278,395 $ (2,269,853 ) $ (24,263 ) $ (15,721 ) December 31, 2015 Swaps and Swaptions, at fair value $ 13,618 $ — $ 13,618 $ (3,577 ) $ (10,041 ) $ — Long TBA Contracts, at fair value 195 — 195 — 74 269 Repurchase agreements (5) 2,898,347 — 2,898,347 (2,898,347 ) — — Total $ 2,912,160 $ — $ 2,912,160 $ (2,901,924 ) $ (9,967 ) $ 269 (1) Amounts represent derivative instruments in an asset position which could potentially be offset against interest rate derivatives in a liability position at June 30, 2016 and December 31, 2015 , subject to a netting arrangement. (2) Amounts represent collateral pledged that is available to be offset against liability balances associated with repurchase agreements, and interest rate derivatives. (3) The fair value of securities pledged against our borrowings under repurchase agreements was $2,639,857 and $2,877,663 at June 30, 2016 and December 31, 2015 , respectively. The amounts pledged include $118,443 and $125,125 of RMBS that are not included in our consolidated balance sheet at June 30, 2016 and December 31, 2015 , respectively, as such securities were eliminated in consolidation with VIEs. (4) Total cash pledged against our derivative instruments was $9,605 and $21,921 at June 30, 2016 and December 31, 2015 , respectively. Total cash collateral pledged against our borrowings under repurchase agreements was $14,658 and $61,772 at June 30, 2016 and December 31, 2015 , respectively. (5) Amount does not include deferred financing costs. |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | The following table provides information with respect to our use of derivative instruments during the periods presented: Three Months Ended June 30, 2016 Short TBA Contracts Long TBA Contracts Swaps Swaption Purchase Contracts Swaption Sale Contracts Beginning Notional Balance $ — $ 100,000 $ 1,287,000 $ 425,000 $ 300,000 Notional amount of contracts entered (1,118,000 ) — — — — Notional amount of contracts terminated 250,000 (100,000 ) (1,245,000 ) (425,000 ) (300,000 ) Ending Notional Balance $ (868,000 ) $ — $ 42,000 $ — $ — Three Months Ended June 30, 2015 Short TBA Contracts Long TBA Contracts Swaps Swaption Purchase Contracts Swaption Sale Contracts Beginning Notional Balance $ — $ — $ 1,687,000 $ 1,425,000 $ — Notional amount of contracts entered (200,000 ) — — 200,000 — Notional amount of contracts terminated — — — (560,000 ) — Ending Notional Balance $ (200,000 ) $ — $ 1,687,000 $ 1,065,000 $ — Six Months Ended June 30, 2016 Short TBA Contracts Long TBA Contracts Swaps Swaption Purchase Contracts Swaption Sale Contracts Beginning Notional Balance $ — $ 100,000 $ 1,687,000 $ 875,000 $ 300,000 Notional amount of contracts entered (1,118,000 ) — — — — Notional amount of contracts terminated 250,000 (100,000 ) (1,645,000 ) (875,000 ) (300,000 ) Ending Notional Balance $ (868,000 ) $ — $ 42,000 $ — $ — Six Months Ended June 30, 2015 Short TBA Contracts Long TBA Contracts Swaps Swaption Purchase Contracts Swaption Sale Contracts Beginning Notional Balance $ — $ 100,000 $ 1,687,000 $ 1,250,000 $ — Notional amount of contracts entered (200,000 ) 500,000 — 650,000 — Notional amount of contracts terminated — (600,000 ) — (835,000 ) — Ending Notional Balance $ (200,000 ) $ — $ 1,687,000 $ 1,065,000 $ — Information with respect to our derivative instruments as presented on our consolidated balance sheets at June 30, 2016 and December 31, 2015 was as follows: June 30, 2016 December 31, 2015 Notional Amount Estimated Fair Value Notional Amount Estimated Fair Value Swaps - assets $ — $ — $ 693,000 $ 3,103 Swaptions - assets — — 875,000 1,244 Swaps - (liabilities) 42,000 (1,274 ) 994,000 (10,237 ) Swaptions - (liabilities) — — 300,000 (3,381 ) Long TBA Contracts - assets — — 100,000 (195 ) Short TBA Contracts - (liabilities) 868,000 (7,268 ) — — Total $ 910,000 $ (8,542 ) $ 2,962,000 $ (9,466 ) |
Schedule of Information About Derivative Instruments | The following table summarizes the average fixed-pay rate and average maturity for our Swaps as of June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 Term to Maturity Notional Amount Weighted Average Fixed-Pay Rate Weighted Average Maturity (Years) Notional Amount Weighted Average Fixed-Pay Rate Weighted Average Maturity (Years) Less than one year $ — — % — 110,000 1.38 % 0.8 More than one year up to and including three years 14,000 1.04 1.7 999,000 1.02 1.6 More than three years up to and including five years 14,000 1.51 3.7 64,000 2.28 4.5 More than five years 14,000 2.05 6.7 514,000 2.11 7.2 Total $ 42,000 1.53 % 4.0 $ 1,687,000 1.43 % 3.4 |
Amounts Recognized on Consolidated Statements of Operations Related to Derivatives | The following table summarizes the amounts recognized on our consolidated statements of operations related to our derivative instruments for the periods presented: Three Months Ended June 30, Six Months Ended June 30, Character of Gain/(Loss) on Derivative Instruments 2016 2015 2016 2015 Net interest payments/accruals on Swaps (1) $ (807 ) $ (4,920 ) $ (3,361 ) $ (9,884 ) Losses on the termination of Swaps, net (1) (5,871 ) — (24,797 ) — Losses on terminations and expirations of Swaptions, net (1) (12,100 ) (6,170 ) (18,126 ) (10,032 ) Gain/(losses) on settlement of TBA Contracts, net (1) (600 ) — 1,064 (1,977 ) Change in fair value of Swaps (2) 6,493 14,769 5,859 (707 ) Change in fair value of Swaptions, net (2) 12,661 8,879 10,090 9,181 Change in fair value of TBA Contracts (2) (7,646 ) (95 ) (7,073 ) (639 ) Total $ (7,870 ) $ 12,463 $ (36,344 ) $ (14,058 ) Note: Each of the items presented is included as a component of “Realized and unrealized gain/(loss) on derivative instruments, net” on our consolidated statements of operations for the periods presented. (1) Amounts are realized. (2) Amounts are unrealized and reflect the net change in fair value. |
Interest Payable (Tables)
Interest Payable (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Payables and Accruals [Abstract] | |
Components of Interest Payable | The following table presents the components of our interest payable at June 30, 2016 and December 31, 2015 : June 30, 2016 December 31, 2015 Repurchase borrowings collateralized by Agency RMBS $ 656 $ 1,687 Repurchase borrowings collateralized by non-Agency RMBS (1) 1,460 4,268 Repurchase borrowings collateralized by other investment securities 161 350 Securitized debt 45 63 Swaps 37 2,770 Total $ 2,359 $ 9,138 (1) Includes $136 and $125 of interest payable on repurchase borrowings collateralized by non-Agency RMBS issued by consolidated VIEs at June 30, 2016 and December 31, 2015 , respectively, which securities were eliminated from our balance sheet in consolidation. |
Use of Special Purpose Entiti38
Use of Special Purpose Entities and Variable Interest Entities (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Special Purpose Entities and Variable Interest Entities [Abstract] | |
Summary of Securitization Transaction | The following table summarizes the key details of our securitization transactions as of June 30, 2016 : March 2015 Securitization February 2013 Securitization Total Name of securitization trust consolidated as a VIE AMST 2015-1 AMST 2013-1 Principal value of mortgage loans sold into the securitization trust $ 90,802 $ 155,001 $ 245,803 Current principal value of mortgage loans in securitization trust $ 80,938 $ 119,201 $ 200,139 Face amount of senior security issued by the VIE and sold to a third-party investor $ — $ 50,375 $ 50,375 Outstanding balance of senior security at June 30, 2016 (1) $ 72,598 $ 13,382 $ 85,980 Year of final contractual maturity of senior debt 2058 2047 Face/Par value of certificates received by us (2) $ 82,287 $ 104,426 $ 186,713 Cash received upon sale of the senior security sold to third-party investor $ — $ 50,375 $ 50,375 Gross securitization expenses incurred $ 174 $ 829 $ 1,003 Stated interest rate for senior security issued 5.75 % 4.00 % (1) With respect to the March 2015 Securitization, amount reflects 100% of the single security issued, which we retained. The stated rate is presented for informational purposes only, as such certificate is eliminated in consolidation with the associated trust. (2) With respect to our February 2013 Securitization, the certificates we received are subordinate to and provide credit support for the sequential senior security sold to a third-party investor. While the RMBS that we retained in connection with February 2013 Securitization do not appear on our balance sheet, as they are eliminated in consolidation with the VIE/securitization trust, we legally own such securities and we, as legally permitted, pledge such securities as collateral against associated borrowings under repurchase agreements. |
Estimated Principal Repayment Schedule of Par Value of Securitized Debt | The following table presents the estimated principal repayment schedule of the par value of the securitized debt at June 30, 2016 , based on expected cash flows of the securitized residential mortgage loans, as adjusted for projected losses on such loans. Estimated Maturity June 30, 2016 One year or less $ 9,913 More than one year, up to and including three years 3,469 Total $ 13,382 |
Schedule of Assets and Liabilities of Consolidated Variable Interest Entities | The following table reflects the assets and liabilities recorded in our consolidated balance sheet related to our consolidated VIEs as of the dates presented: June 30, 2016 December 31, 2015 Assets: Securitized mortgage loans, at fair value $ 160,206 $ 167,624 Interest receivable $ 947 $ 936 Other assets $ 838 $ 220 Liabilities: Non-recourse securitized debt, at fair value $ 13,407 $ 18,951 Accrued interest payable $ 45 $ 63 |
Schedule of Operating Results Relating to Consolidated Variable Interest Entities | The following table reflects the income and expense amounts recorded in our consolidated statements of operations related to our consolidated VIEs for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Interest income - securitized mortgage loans $ 3,231 $ 3,623 $ 6,496 $ 5,790 Interest expense - securitized debt $ (197 ) $ (333 ) $ (447 ) $ (699 ) Unrealized gain/(loss) on securitized mortgage loans, net $ 5,751 $ (1,896 ) $ 1,992 $ 466 Unrealized gain on securitized debt $ 20 $ 1,001 $ 22 $ 1,014 Other, net $ (97 ) $ — $ (246 ) $ — General and administrative expenses $ (338 ) $ — $ (404 ) $ — |
Schedule of Cash Flow Relating to Consolidated Variable Interest Entities | The following table reflects the amounts included on our consolidated statements of cash flows related to our consolidated VIEs for the periods presented: Six Months Ended June 30, 2016 2015 Cash Flows from Operating Activities: Net income $ 7,413 $ 6,557 Reversal of discount accretion/(discount accretion), net $ (471 ) $ 214 Amortization of deferred financing costs $ 134 $ 163 Unrealized gain on securitized mortgage loans, net $ (1,992 ) $ (466 ) Unrealized (gain) on securitized debt $ (22 ) $ (1,014 ) Realized loss on real estate owned, net $ 310 $ 133 Changes in operating assets and liabilities: (Increase) in accrued interest receivable, less purchased interest $ (11 ) $ (287 ) (Decrease) in accrued interest payable $ (18 ) $ (24 ) Cash Flows from Investing Activities: (Purchase) of mortgage loans, simultaneously securitized $ — $ (67,357 ) Proceeds from sales of real estate owned $ 255 $ 351 Principal payments received on securitized mortgage loans $ 8,823 $ 5,512 Cash Flows from Financing Activities: Principal (payments) on securitized debt $ (5,522 ) $ (7,269 ) |
Equity Award Plan Equity Award
Equity Award Plan Equity Award Plan (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Schedule of Compensation Awards | The following table presents expenses related to our equity-based compensation awards for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Restricted Common Stock $ 71 $ 105 $ 130 $ 211 RSUs 123 198 172 586 Total $ 194 $ 303 $ 302 $ 797 |
Schedule of Restricted Stock and Restricted Stock Units Activity | The following table presents information about our equity awards for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Number of Awards (1) Weighted Average Grant Date Fair Value (1) Number of Awards (1) Number of Awards (1) Weighted Average Grant Date Fair Value (1) Number of Awards (1) RSUs outstanding at beginning of period 196,920 $ 14.29 291,777 148,549 $ 15.88 292,088 RSUs granted (2) — — — 91,427 12.53 RSUs canceled upon delivery of common stock (3) (1,000 ) 22.22 (5,000 ) (44,056 ) 16.16 (5,000 ) RSUs canceled or forfeited (208 ) 16.02 (2,289 ) (208 ) 16.02 (2,600 ) RSUs outstanding at end of period 195,712 $ 14.25 284,488 195,712 $ 14.25 284,488 Vested RSUs at end of period 23,443 $ 15.12 98,916 23,443 $ 15.12 98,916 Unvested RSUs at end of period 172,269 $ 14.13 185,572 172,269 $ 14.13 185,572 Unvested restricted common stock awards outstanding at beginning of period 28,008 $ 17.54 41,980 30,120 $ 16.31 43,992 Restricted common stock granted 11,276 13.30 9,332 11,276 13.30 9,332 Restricted common stock vested (2,108 ) 17.80 (2,008 ) (4,220 ) 17.79 (4,020 ) Unvested restricted common stock awards outstanding at end of period 37,176 $ 15.23 49,304 37,176 $ 15.23 49,304 (1) Amounts are not in thousands. (2) On March 17, 2016, 91,427 RSUs were granted in connection with the Merger, which will fully vest only upon the achievement of certain conditions. (3) Includes amounts deemed issued in connection with payment of grantee’s tax liability. |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Equity [Abstract] | |
Dividends Declared | The following table presents cash dividends declared by the Board on our common stock from January 1, 2015 through June 30, 2016 : Declaration Date Record Date Payment Date Dividend Per Share June 17, 2016 June 30, 2016 July 29, 2016 $ 0.48 March 17, 2016 March 31, 2016 April 29, 2016 $ 0.48 December 17, 2015 December 31, 2015 January 29, 2015 $ 0.48 September 17, 2015 September 30, 2015 October 30, 2015 $ 0.48 June 17, 2015 June 30, 2015 July 31, 2015 $ 0.48 March 19, 2015 March 31, 2015 April 30, 2015 $ 0.48 |
Earnings per Common Share (Tabl
Earnings per Common Share (Tables) | 6 Months Ended |
Jun. 30, 2016 | |
Earnings Per Share [Abstract] | |
Basic and Diluted Net Earnings Per Share of Common Stock | The following table presents basic and diluted net EPS of common stock using the two-class method for the periods presented: Three Months Ended June 30, Six Months Ended June 30, 2016 2015 2016 2015 Numerator : Net Income/(Loss) $ 20,298 $ (10,032 ) $ 7,264 $ 11,375 Less: Dividends declared on Preferred Stock 3,450 3,450 6,900 6,900 Dividends, dividend equivalents and undistributed earnings allocated to participating securities (1) 122 153 220 307 Net income/(loss) allocable to common stock – basic and diluted $ 16,726 $ (13,635 ) $ 144 $ 4,168 Denominator : Weighted average common shares - basic 31,857 32,048 31,846 32,047 Weighted average common shares - diluted (1) 31,882 32,048 31,846 32,047 Earnings per common share - basic and diluted $ 0.52 $ (0.43 ) $ — $ 0.13 (1) For the six months ended June 30, 2016, all outstanding RSUs and unvested restricted stock were not included in the calculation of diluted earnings per common share, as their inclusion would have been anti-dilutive. These instruments may have dilutive impact on future EPS. |
Summary of Significant Accoun42
Summary of Significant Accounting Policies - Additional Information (Details) | 6 Months Ended | |
Jun. 30, 2016USD ($)segment | Dec. 31, 2015USD ($) | |
Accounting Policy [Line Items] | ||
Number of business segment (segment) | segment | 1 | |
Maturity period of short term investments | 90 days or less | |
Net capital loss carryforwards | $ 67,700,000 | |
Deferred financing costs | $ 3,000 | 55,000 |
Subsidiaries | ||
Accounting Policy [Line Items] | ||
Net capital loss carryforwards | 1,500,000 | |
Subsidiaries | Net Operating Loss Carryforward | ||
Accounting Policy [Line Items] | ||
Deferred tax assets, valuation allowance | 600,000 | |
Capital Loss Carryforward Expiring in 2018 | ||
Accounting Policy [Line Items] | ||
Net capital loss carryforwards | 47,300,000 | |
Capital Loss Carryforward Expiring in 2019 | ||
Accounting Policy [Line Items] | ||
Net capital loss carryforwards | 20,400,000 | |
Cash and Cash Equivalents | ||
Accounting Policy [Line Items] | ||
Investment in money market fund | 40,051,000 | 40,012,000 |
Cash pledged by counterparties | $ 0 | $ 280,000 |
Fair Value of Financial Instr43
Fair Value of Financial Instruments - Summary of Company's Financial Instruments Carried at Fair Value on Consolidated Balance Sheet (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | $ 2,799,050 | $ 3,399,743 |
Liabilities | 21,949 | 32,764 |
RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 2,478,448 | 3,061,582 |
Securitized mortgage loans | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 160,206 | 167,624 |
Other investment securities | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 160,396 | 166,190 |
Swaps/Swaptions | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 4,347 | |
Liabilities | 1,274 | 13,618 |
Long TBA Contract | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 195 | |
Non-recourse securitized debt | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 13,407 | 18,951 |
Short TBA Contracts | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 7,268 | |
Level I | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 0 | 0 |
Liabilities | 0 | 0 |
Level I | RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 0 | 0 |
Level I | Securitized mortgage loans | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 0 | 0 |
Level I | Other investment securities | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 0 | 0 |
Level I | Swaps/Swaptions | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 0 | |
Liabilities | 0 | 0 |
Level I | Long TBA Contract | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 0 | |
Level I | Non-recourse securitized debt | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 0 | 0 |
Level I | Short TBA Contracts | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 0 | |
Level II | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 1,498,663 | 1,967,359 |
Liabilities | 8,542 | 13,813 |
Level II | RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 1,397,947 | 1,864,356 |
Level II | Securitized mortgage loans | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 0 | 0 |
Level II | Other investment securities | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 100,716 | 98,656 |
Level II | Swaps/Swaptions | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 4,347 | |
Liabilities | 1,274 | 13,618 |
Level II | Long TBA Contract | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 195 | |
Level II | Non-recourse securitized debt | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 0 | 0 |
Level II | Short TBA Contracts | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 7,268 | |
Level III | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 1,300,387 | 1,432,384 |
Liabilities | 13,407 | 18,951 |
Level III | RMBS | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 1,080,501 | 1,197,226 |
Level III | Securitized mortgage loans | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 160,206 | 167,624 |
Level III | Other investment securities | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 59,680 | 67,534 |
Level III | Swaps/Swaptions | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Assets | 0 | |
Liabilities | 0 | 0 |
Level III | Long TBA Contract | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 0 | |
Level III | Non-recourse securitized debt | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | 13,407 | $ 18,951 |
Level III | Short TBA Contracts | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Liabilities | $ 0 |
Fair Value of Financial Instr44
Fair Value of Financial Instruments - Summary of Changes in Fair Value of Non-Agency RMBS (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Other-Than-Temporary-Impairments | $ (5,012) | $ (197) | $ (5,707) | $ (2,772) |
Non-Agency RMBS | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 1,126,720 | 1,374,966 | 1,197,226 | 1,468,109 |
Purchases | 0 | 96,312 | 50,656 | 183,838 |
Sales | 0 | (29,056) | (66,077) | (172,931) |
Principal repayments | (56,000) | (66,129) | (112,621) | (119,384) |
Realized gains/(losses), net | 0 | (254) | 1,134 | 3,823 |
Unrealized gains/(losses), net | 1,327 | (11,634) | (8,590) | (10,750) |
Other-Than-Temporary-Impairments | (1,395) | (88) | (1,850) | (1,879) |
Discount accretion | 9,849 | 14,148 | 20,623 | 27,439 |
Ending balance | $ 1,080,501 | $ 1,378,265 | $ 1,080,501 | $ 1,378,265 |
Fair Value of Financial Instr45
Fair Value of Financial Instruments - Summary of Changes in Fair Value of Company's Securitized Mortgage Loans (Details) - Securities And Mortgage Loans - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 159,301 | $ 183,328 | $ 167,624 | $ 104,438 |
Purchases | 0 | 0 | 0 | 81,093 |
Principal repayments | (4,447) | (1,816) | (8,823) | (5,512) |
Discount accretion and other adjustments | 236 | (126) | 471 | (756) |
Unrealized gain/(loss) during the period, net | 5,751 | (1,866) | 1,992 | 702 |
Loans transferred to REO | (635) | (616) | (1,058) | (1,061) |
Ending balance | $ 160,206 | $ 178,904 | $ 160,206 | $ 178,904 |
Fair Value of Financial Instr46
Fair Value of Financial Instruments - Summary of Changes in Carrying Value of Other Investment Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Other-than-temporary impairments recognized | $ (5,012) | $ (197) | $ (5,707) | $ (2,772) |
Other investment securities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 60,887 | 39,916 | 67,534 | 23,833 |
Purchases | 0 | 22,086 | 0 | 39,601 |
Sales | 0 | 0 | (2,900) | 0 |
Principal repayments | (3,087) | (3,046) | (6,412) | (4,552) |
Realized gains/(losses), net | 0 | 0 | (26) | 0 |
Unrealized gains/(losses), net | 1,328 | (591) | 416 | (808) |
Other-than-temporary impairments recognized | 0 | 0 | (116) | 0 |
Discount accretion | 552 | 525 | 1,184 | 816 |
Ending balance | $ 59,680 | $ 58,890 | $ 59,680 | $ 58,890 |
Fair Value of Financial Instr47
Fair Value of Financial Instruments - Summary of Changes in Carrying Value of Securitized Debt (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Unrealized losses, net | $ 20 | $ 1,001 | $ 22 | $ 1,014 |
Securitized Debt | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | 16,531 | 30,306 | 18,951 | 34,176 |
Principal paid | (3,104) | (3,412) | (5,522) | (7,270) |
Unrealized losses, net | (20) | (1,001) | (22) | (1,013) |
Ending balance | $ 13,407 | $ 25,893 | $ 13,407 | $ 25,893 |
Fair Value of Financial Instr48
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Company's Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Carrying Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investment related receivable | $ 6,071 | $ 2,692 |
Warehouse line receivable | 3,919 | 10,239 |
Mortgage loans | 41,805 | 34,994 |
Repurchase agreements | 2,269,850 | 2,898,347 |
Investment related payable | 1,256 | 0 |
Estimated Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Investment related receivable | 6,071 | 2,692 |
Warehouse line receivable | 3,919 | 10,239 |
Mortgage loans | 41,805 | 34,994 |
Repurchase agreements | 2,269,821 | 2,898,347 |
Investment related payable | $ 1,256 | $ 0 |
Fair Value of Financial Instr49
Fair Value of Financial Instruments - Additional Information (Details) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
Fair Value Disclosures [Abstract] | ||
Weighted average remaining maturity | 38 days | 51 days |
Residential Mortgage-Backed S50
Residential Mortgage-Backed Securities - Company's Investment Portfolio (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
3.5% coupon | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Coupon Interest Rate | 3.50% | 3.50% |
4.0% coupon | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Coupon Interest Rate | 4.00% | 4.00% |
Agency pass-through RMBS - 30-Year Mortgages: | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | $ 1,269,378 | $ 1,709,646 |
Unamortized Premium/ (Discount) and OTTI, Net | 73,933 | 105,065 |
Amortized Cost | 1,343,311 | 1,814,711 |
Estimated Fair Value | 1,356,477 | 1,800,250 |
Gross Unrealized Gains | 18,008 | 1,307 |
Gross Unrealized (Losses) | $ (4,842) | $ (15,768) |
Weighted Average Coupon | 3.55% | 3.61% |
Agency pass-through RMBS - 30-Year Mortgages: | Risk Sharing Securities - Fannie Mae | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | $ 589,515 | $ 691,180 |
Unamortized Premium/ (Discount) and OTTI, Net | 37,375 | 44,830 |
Amortized Cost | 626,890 | 736,010 |
Estimated Fair Value | 628,675 | 731,298 |
Gross Unrealized Gains | 6,409 | 373 |
Gross Unrealized (Losses) | (4,624) | (5,085) |
Agency pass-through RMBS - 30-Year Mortgages: | Risk Sharing Securities - Freddie Mac | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | 679,863 | 1,018,466 |
Unamortized Premium/ (Discount) and OTTI, Net | 36,558 | 60,235 |
Amortized Cost | 716,421 | 1,078,701 |
Estimated Fair Value | 727,802 | 1,068,952 |
Gross Unrealized Gains | 11,599 | 934 |
Gross Unrealized (Losses) | (218) | (10,683) |
Agency pass-through RMBS - 30-Year Mortgages: | ARMs | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | 232,315 | 272,533 |
Unamortized Premium/ (Discount) and OTTI, Net | 16,439 | 19,247 |
Amortized Cost | 248,754 | 291,780 |
Estimated Fair Value | 243,929 | 289,057 |
Gross Unrealized Gains | 0 | 0 |
Gross Unrealized (Losses) | $ (4,825) | $ (2,723) |
Weighted Average Coupon | 2.64% | 2.51% |
Agency pass-through RMBS - 30-Year Mortgages: | ARMs | Risk Sharing Securities - Fannie Mae | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | $ 218,650 | $ 256,983 |
Unamortized Premium/ (Discount) and OTTI, Net | 15,508 | 18,188 |
Amortized Cost | 234,158 | 275,171 |
Estimated Fair Value | 229,551 | 272,631 |
Gross Unrealized Gains | 0 | 0 |
Gross Unrealized (Losses) | (4,607) | (2,540) |
Agency pass-through RMBS - 30-Year Mortgages: | ARMs | Risk Sharing Securities - Freddie Mac | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | 13,665 | 15,550 |
Unamortized Premium/ (Discount) and OTTI, Net | 931 | 1,059 |
Amortized Cost | 14,596 | 16,609 |
Estimated Fair Value | 14,378 | 16,426 |
Gross Unrealized Gains | 0 | 0 |
Gross Unrealized (Losses) | $ (218) | $ (183) |
Agency pass-through RMBS - 30-Year Mortgages: | 3.5% coupon | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Coupon Interest Rate | 3.50% | 3.50% |
Principal Balance | $ 505,139 | $ 511,184 |
Unamortized Premium/ (Discount) and OTTI, Net | 23,735 | 24,295 |
Amortized Cost | 528,874 | 535,479 |
Estimated Fair Value | 537,330 | 527,657 |
Gross Unrealized Gains | 8,456 | 0 |
Gross Unrealized (Losses) | $ 0 | $ (7,822) |
Weighted Average Coupon | 3.50% | 3.50% |
Agency pass-through RMBS - 30-Year Mortgages: | 3.5% coupon | Risk Sharing Securities - Fannie Mae | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | $ 91,388 | $ 90,310 |
Unamortized Premium/ (Discount) and OTTI, Net | 3,907 | 4,123 |
Amortized Cost | 95,295 | 94,433 |
Estimated Fair Value | 97,111 | 93,429 |
Gross Unrealized Gains | 1,816 | 0 |
Gross Unrealized (Losses) | 0 | (1,004) |
Agency pass-through RMBS - 30-Year Mortgages: | 3.5% coupon | Risk Sharing Securities - Freddie Mac | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | 413,751 | 420,874 |
Unamortized Premium/ (Discount) and OTTI, Net | 19,828 | 20,172 |
Amortized Cost | 433,579 | 441,046 |
Estimated Fair Value | 440,219 | 434,228 |
Gross Unrealized Gains | 6,640 | 0 |
Gross Unrealized (Losses) | $ 0 | $ (6,818) |
Agency pass-through RMBS - 30-Year Mortgages: | 4.0% coupon | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Coupon Interest Rate | 4.00% | 4.00% |
Principal Balance | $ 531,924 | $ 925,929 |
Unamortized Premium/ (Discount) and OTTI, Net | 33,759 | 61,523 |
Amortized Cost | 565,683 | 987,452 |
Estimated Fair Value | 575,218 | 983,536 |
Gross Unrealized Gains | 9,552 | 1,307 |
Gross Unrealized (Losses) | $ (17) | $ (5,223) |
Weighted Average Coupon | 4.00% | 4.00% |
Agency pass-through RMBS - 30-Year Mortgages: | 4.0% coupon | Risk Sharing Securities - Fannie Mae | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | $ 279,477 | $ 343,887 |
Unamortized Premium/ (Discount) and OTTI, Net | 17,960 | 22,519 |
Amortized Cost | 297,437 | 366,406 |
Estimated Fair Value | 302,013 | 365,238 |
Gross Unrealized Gains | 4,593 | 373 |
Gross Unrealized (Losses) | (17) | (1,541) |
Agency pass-through RMBS - 30-Year Mortgages: | 4.0% coupon | Risk Sharing Securities - Freddie Mac | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | 252,447 | 582,042 |
Unamortized Premium/ (Discount) and OTTI, Net | 15,799 | 39,004 |
Amortized Cost | 268,246 | 621,046 |
Estimated Fair Value | 273,205 | 618,298 |
Gross Unrealized Gains | 4,959 | 934 |
Gross Unrealized (Losses) | 0 | (3,682) |
Agency IOs | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | 0 | 0 |
Unamortized Premium/ (Discount) and OTTI, Net | 0 | 0 |
Amortized Cost | 49,763 | 57,778 |
Estimated Fair Value | 41,470 | 57,354 |
Gross Unrealized Gains | 0 | 1,175 |
Gross Unrealized (Losses) | $ (8,293) | $ (1,599) |
Weighted Average Coupon | 2.31% | 2.33% |
Agency Inverse IO | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | $ 0 | |
Unamortized Premium/ (Discount) and OTTI, Net | 0 | |
Amortized Cost | 6,864 | |
Estimated Fair Value | 6,752 | |
Gross Unrealized Gains | 0 | |
Gross Unrealized (Losses) | $ (112) | |
Weighted Average Coupon | 6.62% | |
Total Agency securities | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | $ 1,269,378 | $ 1,709,646 |
Unamortized Premium/ (Discount) and OTTI, Net | 73,933 | 105,065 |
Amortized Cost | 1,393,074 | 1,879,353 |
Estimated Fair Value | 1,397,947 | 1,864,356 |
Gross Unrealized Gains | 18,008 | 2,482 |
Gross Unrealized (Losses) | $ (13,135) | $ (17,479) |
Weighted Average Coupon | 4.49% | 4.53% |
Non-Agency RMBS | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | $ 1,268,284 | $ 1,395,873 |
Unamortized Premium/ (Discount) and OTTI, Net | (209,621) | (229,075) |
Amortized Cost | 1,058,663 | 1,166,798 |
Estimated Fair Value | 1,080,501 | 1,197,226 |
Gross Unrealized Gains | 43,122 | 47,857 |
Gross Unrealized (Losses) | $ (21,284) | $ (17,429) |
Weighted Average Coupon | 1.68% | 1.67% |
RMBS | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | $ 2,537,662 | $ 3,105,519 |
Unamortized Premium/ (Discount) and OTTI, Net | (135,688) | (124,010) |
Amortized Cost | 2,451,737 | 3,046,151 |
Estimated Fair Value | 2,478,448 | 3,061,582 |
Gross Unrealized Gains | 61,130 | 50,339 |
Gross Unrealized (Losses) | $ (34,419) | $ (34,908) |
Weighted Average Coupon | 3.09% | 3.24% |
Residential Mortgage-Backed S51
Residential Mortgage-Backed Securities - Company's Investment Portfolio Narrative (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Agency IOs | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Notional amount | $ 515,081 | $ 564,931 |
Agency Inverse IO | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Notional amount | $ 38,529 |
Residential Mortgage-Backed S52
Residential Mortgage-Backed Securities - Non-Agency Investment Portfolio (Details) - Non-Agency RMBS - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | $ 1,268,284 | $ 1,395,873 |
Unamortized Premium/ (Discount) and OTTI, Net | (209,621) | (229,075) |
Amortized Cost | 1,058,663 | 1,166,798 |
Estimated Fair Value | 1,080,501 | 1,197,226 |
Gross Unrealized Gains | 43,122 | 47,857 |
Gross Unrealized (Losses) | (21,284) | (17,429) |
Subprime | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | 812,460 | 939,161 |
Unamortized Premium/ (Discount) and OTTI, Net | (106,424) | (124,776) |
Amortized Cost | 706,036 | 814,385 |
Estimated Fair Value | 726,212 | 838,128 |
Gross Unrealized Gains | 29,845 | 33,503 |
Gross Unrealized (Losses) | (9,669) | (9,760) |
Alt-A | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | 178,810 | 184,932 |
Unamortized Premium/ (Discount) and OTTI, Net | (43,995) | (45,194) |
Amortized Cost | 134,815 | 139,738 |
Estimated Fair Value | 141,602 | 147,709 |
Gross Unrealized Gains | 9,304 | 10,330 |
Gross Unrealized (Losses) | (2,517) | (2,359) |
Option ARMs | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Principal Balance | 277,014 | 271,780 |
Unamortized Premium/ (Discount) and OTTI, Net | (59,202) | (59,105) |
Amortized Cost | 217,812 | 212,675 |
Estimated Fair Value | 212,687 | 211,389 |
Gross Unrealized Gains | 3,973 | 4,024 |
Gross Unrealized (Losses) | $ (9,098) | $ (5,310) |
Residential Mortgage-Backed S53
Residential Mortgage-Backed Securities - Unrealized Loss Position of Fair Value (Details) - RMBS $ in Thousands | Jun. 30, 2016USD ($)security |
Fair Value | |
Unrealized Loss Position for Less than 12 Months | $ 346,540 |
Unrealized Loss Position for 12 Months or More | 489,476 |
Unrealized (Losses) | |
Unrealized Loss Position for Less than 12 Months | (15,612) |
Unrealized Loss Position for 12 Months or More | $ (18,807) |
Number of Securities | |
Unrealized loss position for less than 12 months, Number of Securities | security | 74 |
Unrealized loss position for 12 months or more, Number of Securities | security | 85 |
Agency RMBS | |
Fair Value | |
Unrealized Loss Position for Less than 12 Months | $ 50,738 |
Unrealized Loss Position for 12 Months or More | 205,904 |
Unrealized (Losses) | |
Unrealized Loss Position for Less than 12 Months | (664) |
Unrealized Loss Position for 12 Months or More | $ (4,178) |
Number of Securities | |
Unrealized loss position for less than 12 months, Number of Securities | security | 6 |
Unrealized loss position for 12 months or more, Number of Securities | security | 7 |
Agency IO | |
Fair Value | |
Unrealized Loss Position for Less than 12 Months | $ 29,237 |
Unrealized Loss Position for 12 Months or More | 12,233 |
Unrealized (Losses) | |
Unrealized Loss Position for Less than 12 Months | (4,854) |
Unrealized Loss Position for 12 Months or More | $ (3,439) |
Number of Securities | |
Unrealized loss position for less than 12 months, Number of Securities | security | 10 |
Unrealized loss position for 12 months or more, Number of Securities | security | 6 |
Total Agency Securities | |
Fair Value | |
Unrealized Loss Position for Less than 12 Months | $ 79,975 |
Unrealized Loss Position for 12 Months or More | 218,137 |
Unrealized (Losses) | |
Unrealized Loss Position for Less than 12 Months | (5,518) |
Unrealized Loss Position for 12 Months or More | $ (7,617) |
Number of Securities | |
Unrealized loss position for less than 12 months, Number of Securities | security | 16 |
Unrealized loss position for 12 months or more, Number of Securities | security | 13 |
Non-Agency RMBS | |
Fair Value | |
Unrealized Loss Position for Less than 12 Months | $ 266,565 |
Unrealized Loss Position for 12 Months or More | 271,339 |
Unrealized (Losses) | |
Unrealized Loss Position for Less than 12 Months | (10,094) |
Unrealized Loss Position for 12 Months or More | $ (11,190) |
Number of Securities | |
Unrealized loss position for less than 12 months, Number of Securities | security | 58 |
Unrealized loss position for 12 months or more, Number of Securities | security | 72 |
Residential Mortgage-Backed S54
Residential Mortgage-Backed Securities - Components of Agency and Non-Agency RMBS Interest Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
(Premium Amortization)/ Discount Accretion, Net | $ 12,718 | $ 16,916 | ||
RMBS | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Coupon Interest | $ 20,893 | $ 27,340 | 43,429 | 55,681 |
(Premium Amortization)/ Discount Accretion, Net | 4,410 | 8,478 | 10,451 | 15,751 |
Interest Income | 25,303 | 35,818 | 53,880 | 71,432 |
Agency RMBS | RMBS | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Coupon Interest | 15,502 | 21,500 | 32,457 | 44,039 |
(Premium Amortization)/ Discount Accretion, Net | (5,439) | (5,670) | (10,172) | (11,688) |
Interest Income | 10,063 | 15,830 | 22,285 | 32,351 |
Non-Agency RMBS | RMBS | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Coupon Interest | 5,391 | 5,840 | 10,972 | 11,642 |
(Premium Amortization)/ Discount Accretion, Net | 9,849 | 14,148 | 20,623 | 27,439 |
Interest Income | $ 15,240 | $ 19,988 | $ 31,595 | $ 39,081 |
Residential Mortgage-Backed S55
Residential Mortgage-Backed Securities - Schedule of Net Realized Gains and Changes in Unrealized Investment Gains Losses (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
Net Realized Gains/(Losses) | $ 273 | $ (4,530) | $ 595 | $ 4,008 |
Other-Than-Temporary-Impairments | (5,012) | (197) | (5,707) | (2,772) |
RMBS | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Net Realized Gains/(Losses) | 273 | (4,530) | 595 | 4,008 |
Net Unrealized Gains/(Losses) | 7,599 | (41,266) | 11,280 | (26,486) |
Other-Than-Temporary-Impairments | (4,798) | (88) | (5,377) | (2,663) |
RMBS | Agency fixed rate | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Net Realized Gains/(Losses) | 486 | (4,351) | (140) | (57) |
Net Unrealized Gains/(Losses) | 9,688 | (30,137) | 29,729 | (16,560) |
Other-Than-Temporary-Impairments | 0 | 0 | 0 | 0 |
RMBS | Agency adjustable rate | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Net Realized Gains/(Losses) | (213) | 16 | (263) | 15 |
Net Unrealized Gains/(Losses) | (669) | (539) | (2,101) | (825) |
Other-Than-Temporary-Impairments | 0 | 0 | 0 | 0 |
RMBS | Agency Inverse | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Net Realized Gains/(Losses) | 0 | 0 | 0 | 43 |
Net Unrealized Gains/(Losses) | 0 | (613) | 0 | (758) |
Other-Than-Temporary-Impairments | 0 | 0 | 0 | 0 |
RMBS | Agency IO | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Net Realized Gains/(Losses) | 0 | (15) | 0 | (127) |
Net Unrealized Gains/(Losses) | (2,745) | 1,458 | (7,869) | 1,839 |
Other-Than-Temporary-Impairments | (3,402) | 0 | (3,527) | (173) |
RMBS | Agency Inverse IO | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Net Realized Gains/(Losses) | 0 | 74 | (136) | 311 |
Net Unrealized Gains/(Losses) | 0 | 199 | 112 | 568 |
Other-Than-Temporary-Impairments | 0 | 0 | 0 | (612) |
RMBS | Non-Agency RMBS | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Net Realized Gains/(Losses) | 0 | (254) | 1,134 | 3,823 |
Net Unrealized Gains/(Losses) | 1,325 | (11,634) | (8,591) | (10,750) |
Other-Than-Temporary-Impairments | $ (1,396) | $ (88) | $ (1,850) | $ (1,878) |
Residential Mortgage-Backed S56
Residential Mortgage-Backed Securities - Investment Portfolio, Fair Value (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Contractual maturities of RMBS | $ 2,478,448 | $ 3,061,582 |
10 years or less | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Contractual maturities of RMBS | 65,932 | 112,087 |
10 years and or equal to 20 years | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Contractual maturities of RMBS | 674,939 | 667,595 |
20 years and or equal to 30 years | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Contractual maturities of RMBS | 1,626,790 | 2,155,087 |
30 years | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Contractual maturities of RMBS | $ 110,787 | $ 126,813 |
Residential Mortgage-Backed S57
Residential Mortgage-Backed Securities - OTTI Credit Losses Recognized in Earnings (Details) - Non-Agency RMBS - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended |
Jun. 30, 2016 | Jun. 30, 2016 | |
Discount Designated as Credit Reserve and OTTI | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||
Balance at beginning of period | $ (81,354) | $ (81,217) |
Accretion of discount | 0 | 0 |
Realized credit losses | 949 | 1,682 |
Purchases | 0 | (2,726) |
Sales and other | 2 | 343 |
OTTI recognized in earnings | (1,365) | (1,819) |
Transfers/release of credit reserve | 2,081 | 4,050 |
Balance at end of period | (79,687) | (79,687) |
Accretable Discount | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||
Balance at beginning of period | (137,828) | (147,989) |
Accretion of discount | 9,828 | 20,574 |
Realized credit losses | 0 | 0 |
Purchases | 0 | (6,305) |
Sales and other | (2) | 7,687 |
OTTI recognized in earnings | 0 | 0 |
Transfers/release of credit reserve | (2,081) | (4,050) |
Balance at end of period | $ (130,083) | $ (130,083) |
Residential Mortgage-Backed S58
Residential Mortgage-Backed Securities - OTTI Credit Losses Recognized in Earnings Narrative (Details) - Non-Agency RMBS $ in Thousands | 6 Months Ended |
Jun. 30, 2016USD ($) | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | |
Purchase accounting discount | $ 209,770 |
Credit discounts | 64,290 |
OTTI credit losses recognized in earnings, credit losses on debt securities held | $ 15,397 |
Residential Mortgage-Backed S59
Residential Mortgage-Backed Securities - OTTI Rollforward (Details) - RMBS - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended |
Jun. 30, 2016 | Jun. 30, 2016 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||
OTTI at beginning of period | $ 1,048 | $ 1,008 |
Additions to OTTI | 3,403 | 3,527 |
Sale of securities with OTTI | 0 | (84) |
OTTI at end of period | $ 4,451 | $ 4,451 |
Securitized Mortgage Loans - Ch
Securitized Mortgage Loans - Changes in Carrying Value (Details) - Securitized mortgage loans - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Beginning balance | $ 159,301 | $ 183,328 | $ 167,624 | $ 104,438 |
Securitization of March 2015 Pool | 0 | 0 | 0 | 81,093 |
Principal repayments | (4,447) | (1,816) | (8,823) | (5,512) |
Discount accretion | 236 | (126) | 471 | (756) |
Unrealized gains/(losses), net | 5,751 | (1,866) | 1,992 | 702 |
Loans transferred to REO | (635) | (616) | (1,058) | (1,061) |
Ending balance | $ 160,206 | $ 178,904 | $ 160,206 | $ 178,904 |
Securitized Mortgage Loans - Mo
Securitized Mortgage Loans - Mortgage Loans Underlying Securitized Mortgage Loans (Details) - Securitized Mortgage Loans $ in Thousands | Jun. 30, 2016USD ($) |
Qualitative and Quantitative Information, Transferor's Continuing Involvement [Line Items] | |
Purchase discount | $ (46,121) |
Allowance for loan losses (OTTI) | (2,699) |
Fair value adjustment | 8,886 |
Total | 160,206 |
Performing | |
Qualitative and Quantitative Information, Transferor's Continuing Involvement [Line Items] | |
Mortgage loans underlying securitized mortgage loans | 65,194 |
Re-performing | |
Qualitative and Quantitative Information, Transferor's Continuing Involvement [Line Items] | |
Mortgage loans underlying securitized mortgage loans | 106,828 |
Non-performing | |
Qualitative and Quantitative Information, Transferor's Continuing Involvement [Line Items] | |
Mortgage loans underlying securitized mortgage loans | $ 28,118 |
Securitized Mortgage Loans - St
Securitized Mortgage Loans - States Represented (Details) $ in Thousands | 6 Months Ended |
Jun. 30, 2016USD ($)property | |
Mortgage Loan Activity [Line Items] | |
Properties held as real estate owned (property) | property | 5 |
Real Estate Owned, Transfer to Real Estate Owned | $ 713 |
Total Concentration | 100.00% |
Florida | |
Mortgage Loan Activity [Line Items] | |
Total Concentration | 17.80% |
California | |
Mortgage Loan Activity [Line Items] | |
Total Concentration | 17.70% |
Maryland | |
Mortgage Loan Activity [Line Items] | |
Total Concentration | 8.10% |
Texas | |
Mortgage Loan Activity [Line Items] | |
Total Concentration | 6.20% |
New Jersey | |
Mortgage Loan Activity [Line Items] | |
Total Concentration | 5.40% |
Other states and the District of Columbia | |
Mortgage Loan Activity [Line Items] | |
Total Concentration | 44.80% |
Securitized Mortgage Loan | |
Mortgage Loan Activity [Line Items] | |
Mortgage loans in process of foreclosure, amount | $ 5,737 |
Principal Balance | 200,139 |
Securitized Mortgage Loan | Florida | |
Mortgage Loan Activity [Line Items] | |
Principal Balance | 35,635 |
Securitized Mortgage Loan | California | |
Mortgage Loan Activity [Line Items] | |
Principal Balance | 35,355 |
Securitized Mortgage Loan | Maryland | |
Mortgage Loan Activity [Line Items] | |
Principal Balance | 16,287 |
Securitized Mortgage Loan | Texas | |
Mortgage Loan Activity [Line Items] | |
Principal Balance | 12,370 |
Securitized Mortgage Loan | New Jersey | |
Mortgage Loan Activity [Line Items] | |
Principal Balance | 10,898 |
Securitized Mortgage Loan | Other states and the District of Columbia | |
Mortgage Loan Activity [Line Items] | |
Principal Balance | $ 89,594 |
Other Investment Securities a63
Other Investment Securities and Other Investments - Summary of Investment Securities Portfolio (Details) - Other Investment Securities - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Par or Reference Balance | $ 172,324 | $ 180,089 |
Unamortized Premium/ (Discount) and OTTI, Net | (9,210) | (10,682) |
Amortized Cost | 163,114 | 172,325 |
Estimated Fair Value | 160,396 | 166,190 |
Gross Unrealized Gains | 524 | 208 |
Gross Unrealized (Losses) | $ (3,242) | $ (6,343) |
Weighted Average Coupon (percent) | 2.77% | 2.63% |
Realized credit losses | $ 1,853 | $ 1,523 |
Risk Sharing Securities - Freddie Mac | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Par or Reference Balance | 47,174 | 48,526 |
Unamortized Premium/ (Discount) and OTTI, Net | (220) | (212) |
Amortized Cost | 46,954 | 48,314 |
Estimated Fair Value | 46,900 | 47,232 |
Gross Unrealized Gains | 124 | 189 |
Gross Unrealized (Losses) | $ (178) | $ (1,271) |
Weighted Average Coupon (percent) | 3.97% | 3.92% |
Risk Sharing Securities - Fannie Mae | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Par or Reference Balance | $ 55,287 | $ 55,287 |
Unamortized Premium/ (Discount) and OTTI, Net | (1,240) | (1,659) |
Amortized Cost | 54,047 | 53,628 |
Estimated Fair Value | 53,816 | 51,424 |
Gross Unrealized Gains | 308 | 0 |
Gross Unrealized (Losses) | $ (539) | $ (2,204) |
Weighted Average Coupon (percent) | 4.02% | 3.99% |
SBC-MBS | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Par or Reference Balance | $ 69,863 | $ 76,276 |
Unamortized Premium/ (Discount) and OTTI, Net | (7,750) | (8,811) |
Amortized Cost | 62,113 | 67,465 |
Estimated Fair Value | 59,680 | 64,607 |
Gross Unrealized Gains | 92 | 10 |
Gross Unrealized (Losses) | $ (2,525) | $ (2,868) |
Weighted Average Coupon (percent) | 0.97% | 2.40% |
SBA-IO | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Par or Reference Balance | $ 0 | |
Unamortized Premium/ (Discount) and OTTI, Net | 0 | |
Amortized Cost | 2,918 | |
Estimated Fair Value | 2,927 | |
Gross Unrealized Gains | 9 | |
Gross Unrealized (Losses) | $ 0 | |
Weighted Average Coupon (percent) | 0.95% | |
Notional amount | $ 27,546 |
Other Investment Securities a64
Other Investment Securities and Other Investments - Investment Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Net Investment Income [Line Items] | ||||
(Premium Amortization)/ Discount Accretion, Net | $ 12,718 | $ 16,916 | ||
Other Investment Securities | ||||
Net Investment Income [Line Items] | ||||
Coupon Interest | $ 1,204 | 2,468 | 985 | |
(Premium Amortization)/ Discount Accretion, Net | 853 | 1,808 | 1,010 | |
Interest Income | $ 2,057 | $ 4,276 | $ 1,995 | |
Weighted Average Yield | 4.98% | 5.04% | 4.22% | |
Other Investment Securities | Risk Sharing Securities - Freddie Mac | ||||
Net Investment Income [Line Items] | ||||
Coupon Interest | $ 476 | $ 376 | $ 959 | $ 537 |
(Premium Amortization)/ Discount Accretion, Net | 83 | 118 | 204 | 140 |
Interest Income | $ 559 | $ 494 | $ 1,163 | $ 677 |
Weighted Average Yield | 4.70% | 3.36% | 4.85% | 3.45% |
Other Investment Securities | Risk Sharing Securities - Fannie Mae | ||||
Net Investment Income [Line Items] | ||||
Coupon Interest | $ 561 | $ 239 | $ 1,120 | $ 287 |
(Premium Amortization)/ Discount Accretion, Net | 218 | 78 | 419 | 89 |
Interest Income | $ 779 | $ 317 | $ 1,539 | $ 376 |
Weighted Average Yield | 5.73% | 4.61% | 5.72% | 3.54% |
Other Investment Securities | SBC-MBS | ||||
Net Investment Income [Line Items] | ||||
Coupon Interest | $ 167 | $ 93 | $ 347 | $ 161 |
(Premium Amortization)/ Discount Accretion, Net | 552 | 490 | 1,177 | 781 |
Interest Income | $ 719 | $ 583 | $ 1,524 | $ 942 |
Weighted Average Yield | 4.52% | 5.09% | 4.68% | 5.05% |
Other Investment Securities | SBA-IO | ||||
Net Investment Income [Line Items] | ||||
Coupon Interest | $ 0 | $ 708 | $ 42 | |
(Premium Amortization)/ Discount Accretion, Net | 0 | 686 | 8 | |
Interest Income | $ 0 | $ 1,394 | $ 50 | |
Weighted Average Yield | 0.00% | 4.37% | 6.99% |
Other Investment Securities a65
Other Investment Securities and Other Investments - Discounts (Details) - Other Investment Securities - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended |
Jun. 30, 2016 | Jun. 30, 2016 | |
Discount Designated as Credit Reserve and OTTI | ||
Balance at beginning of period | $ (1,113) | $ (672) |
Purchases | 0 | 0 |
OTTI recognized | (182) | (298) |
Transfers/release of credit reserve | 814 | 489 |
Balance at end of period | (481) | (481) |
Accretable Discount | ||
Balance at beginning of period | (9,092) | (10,332) |
Accretion of discount | 856 | 1,771 |
Purchases | 0 | 0 |
Transfers/release of credit reserve | (814) | (489) |
Balance at end of period | $ (9,050) | $ (9,050) |
Other Investment Securities a66
Other Investment Securities and Other Investments - Unrealized Loss Position on Other Investment Securities (Details) - Other Investment Securities $ in Thousands | Jun. 30, 2016USD ($)security |
Unrealized Loss Position for Less than 12 Months | |
Fair Value | $ 30,133 |
Unrealized Losses | $ (295) |
Number of Securities | security | 7 |
Unrealized Loss Position for 12 Months or More | |
Fair Value | $ 73,677 |
Unrealized Losses | $ (2,947) |
Number of Securities | security | 9 |
Risk Sharing Securities - Freddie Mac | |
Unrealized Loss Position for Less than 12 Months | |
Fair Value | $ 12,576 |
Unrealized Losses | $ (113) |
Number of Securities | security | 2 |
Unrealized Loss Position for 12 Months or More | |
Fair Value | $ 7,019 |
Unrealized Losses | $ (65) |
Number of Securities | security | 4 |
Risk Sharing Securities - Fannie Mae | |
Unrealized Loss Position for Less than 12 Months | |
Fair Value | $ 7,887 |
Unrealized Losses | $ (25) |
Number of Securities | security | 2 |
Unrealized Loss Position for 12 Months or More | |
Fair Value | $ 21,936 |
Unrealized Losses | $ (514) |
Number of Securities | security | 1 |
SBC-MBS | |
Unrealized Loss Position for Less than 12 Months | |
Fair Value | $ 9,670 |
Unrealized Losses | $ (157) |
Number of Securities | security | 3 |
Unrealized Loss Position for 12 Months or More | |
Fair Value | $ 44,722 |
Unrealized Losses | $ (2,368) |
Number of Securities | security | 4 |
Other Investment Securities a67
Other Investment Securities and Other Investments - Other Investments (Details) $ in Thousands | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2016USD ($) | Jun. 30, 2015USD ($) | Jun. 30, 2016USD ($) | Jun. 30, 2015USD ($) | Dec. 31, 2015USD ($) | |
Real Estate Subject to BFT Contracts | |||||
Investment Holdings [Line Items] | |||||
Warehouse line receivable | $ 3,919 | $ 3,919 | $ 10,239 | ||
Real estate subject to BFT Contracts, net of accumulated depreciation | 31,045 | 31,045 | 26,525 | ||
Mortgage loans purchased through Seller Financing Program | 10,760 | 10,760 | 8,469 | ||
Total | 45,724 | 45,724 | 45,233 | ||
Par or Reference Balance | $ 31,986 | $ 27,140 | $ 31,986 | $ 27,140 | |
Weighted average stated interest rate | 0.0817 | 0.0820 | 0.0817 | 0.0820 | |
Accumulated depreciation | $ 941 | $ 941 | 545 | ||
Warehouse line interest | 76 | $ 303 | 190 | $ 680 | |
Real estate subject to BFT Contracts | 946 | 367 | 1,439 | 644 | |
Mortgage loans purchased through Seller Financing Program | 4 | 114 | 197 | 189 | |
Total | 1,026 | $ 784 | 1,826 | $ 1,513 | |
Other Liabilities | |||||
Investment Holdings [Line Items] | |||||
Deposits | $ 292 | $ 292 | $ 230 |
Receivables - Summary of Intere
Receivables - Summary of Interest Receivable by Investment Category (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Investment [Line Items] | ||
Interest receivable | $ 8,065 | $ 9,849 |
Unsettled sales of Agency RMBS | Risk Sharing Securities - Fannie Mae | ||
Investment [Line Items] | ||
Interest receivable | 2,333 | 2,697 |
Unsettled sales of Agency RMBS | Risk Sharing Securities - Freddie Mac | ||
Investment [Line Items] | ||
Interest receivable | 2,601 | 3,834 |
Unsettled sales of Agency RMBS | Ginnie Mae | ||
Investment [Line Items] | ||
Interest receivable | 86 | 110 |
Non-Agency RMBS | ||
Investment [Line Items] | ||
Interest receivable | 1,146 | 1,076 |
Securitized mortgage loans | ||
Investment [Line Items] | ||
Interest receivable | 947 | 936 |
Other investment securities | ||
Investment [Line Items] | ||
Interest receivable | 341 | 262 |
Other investments | ||
Investment [Line Items] | ||
Interest receivable | $ 611 | $ 934 |
Borrowings Under Repurchase A69
Borrowings Under Repurchase Agreements - Additional Information (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2016USD ($)counterparty | Dec. 31, 2015USD ($) | |
Disclosure of Repurchase Agreements [Abstract] | ||
Number of counterparties with master repurchase agreements (counterparty) | 24 | |
Borrowings under repurchase agreements (net of deferred financing cost of $7 and $55, respectively) | $ | $ 2,269,853 | $ 2,898,347 |
Number of counterparties with borrowings under repurchase agreements (counterparty) | 16 | |
Repurchase agreement term, minimum | 1 month | |
Repurchase agreements initial term for some cases | 24 months |
Borrowings Under Repurchase A70
Borrowings Under Repurchase Agreements - Company's Repurchase Agreements (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreement Borrowings | $ 2,269,853 | $ 2,898,347 |
Weighted Average Borrowing Rate | 1.32% | 1.08% |
Weighted Average Remaining Maturity (days) | 38 days | 51 days |
Agency RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreement Borrowings | $ 1,253,520 | $ 1,719,479 |
Weighted Average Borrowing Rate | 0.67% | 0.49% |
Weighted Average Remaining Maturity (days) | 19 days | 15 days |
Non-Agency RMBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreement Borrowings | $ 901,219 | $ 1,052,231 |
Weighted Average Borrowing Rate | 2.12% | 1.94% |
Weighted Average Remaining Maturity (days) | 59 days | 101 days |
Repurchase borrowings | $ 82,814 | $ 90,281 |
Collateralized amount | 118,443 | 125,125 |
Other investment securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase Agreement Borrowings | $ 115,114 | $ 126,637 |
Weighted Average Borrowing Rate | 2.14% | 1.91% |
Weighted Average Remaining Maturity (days) | 81 days | 116 days |
Borrowings Under Repurchase A71
Borrowings Under Repurchase Agreements - Schedule of Repricing Information of Borrowings under Repurchase Agreements (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Assets Sold [Line Items] | ||
Borrowings under repurchase agreements (net of deferred financing cost of $7 and $55, respectively) | $ 2,269,853 | $ 2,898,347 |
Time Until Interest Rate Reset: | ||
Assets Sold [Line Items] | ||
Borrowings under repurchase agreements (net of deferred financing cost of $7 and $55, respectively) | $ 2,269,853 | $ 2,898,347 |
Weighted Average Interest Rate | 1.32% | 1.08% |
Time Until Interest Rate Reset: | Within 30 days | ||
Assets Sold [Line Items] | ||
Borrowings under repurchase agreements (net of deferred financing cost of $7 and $55, respectively) | $ 1,942,822 | $ 2,422,224 |
Weighted Average Interest Rate | 1.29% | 1.00% |
Time Until Interest Rate Reset: | Over 30 days to 60 days | ||
Assets Sold [Line Items] | ||
Borrowings under repurchase agreements (net of deferred financing cost of $7 and $55, respectively) | $ 319,918 | $ 403,226 |
Weighted Average Interest Rate | 1.49% | 1.38% |
Time Until Interest Rate Reset: | Over 60 days to 90 days | ||
Assets Sold [Line Items] | ||
Borrowings under repurchase agreements (net of deferred financing cost of $7 and $55, respectively) | $ 0 | $ 32,552 |
Weighted Average Interest Rate | 0.00% | 2.05% |
Time Until Interest Rate Reset: | Over 90 days to 120 days | ||
Assets Sold [Line Items] | ||
Borrowings under repurchase agreements (net of deferred financing cost of $7 and $55, respectively) | $ 0 | $ 38,956 |
Weighted Average Interest Rate | 0.00% | 1.89% |
Time Until Interest Rate Reset: | Over 120 days to 360 days | ||
Assets Sold [Line Items] | ||
Borrowings under repurchase agreements (net of deferred financing cost of $7 and $55, respectively) | $ 7,113 | $ 1,389 |
Weighted Average Interest Rate | 2.45% | 2.00% |
Borrowings Under Repurchase A72
Borrowings Under Repurchase Agreements - Schedule of Contractual Maturity under Repurchase Agreements (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Assets Sold [Line Items] | ||
Repurchase Agreement Borrowings | $ 2,269,853 | $ 2,898,347 |
Time Until Contractual Maturity: | ||
Assets Sold [Line Items] | ||
Repurchase Agreement Borrowings | $ 2,269,853 | $ 2,898,347 |
Weighted Average Interest Rate | 1.32% | 1.08% |
Time Until Contractual Maturity: | Within 30 days | ||
Assets Sold [Line Items] | ||
Repurchase Agreement Borrowings | $ 1,624,594 | $ 2,165,418 |
Weighted Average Interest Rate | 1.08% | 0.88% |
Time Until Contractual Maturity: | Over 30 days to 60 days | ||
Assets Sold [Line Items] | ||
Repurchase Agreement Borrowings | $ 319,918 | $ 288,487 |
Weighted Average Interest Rate | 1.49% | 0.88% |
Time Until Contractual Maturity: | Over 60 days to 90 days | ||
Assets Sold [Line Items] | ||
Repurchase Agreement Borrowings | $ 50,201 | $ 90,220 |
Weighted Average Interest Rate | 2.95% | 2.61% |
Time Until Contractual Maturity: | Over 90 days to 120 days | ||
Assets Sold [Line Items] | ||
Repurchase Agreement Borrowings | $ 0 | $ 38,956 |
Weighted Average Interest Rate | 0.00% | 1.89% |
Time Until Contractual Maturity: | Over 120 days to 360 days | ||
Assets Sold [Line Items] | ||
Repurchase Agreement Borrowings | $ 275,140 | $ 315,266 |
Weighted Average Interest Rate | 2.21% | 2.06% |
Collateral Positions - Pledged
Collateral Positions - Pledged and Held (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged as Collateral | $ 2,667,503 | $ 3,353,166 |
Collateral Held | 0 | 280 |
Restricted cash/cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged as Collateral | 9,605 | 21,921 |
Collateral Held | 0 | 280 |
Repurchase agreement borrowings: | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged as Collateral | 2,654,515 | 3,327,723 |
Collateral Held | 0 | 0 |
Repurchase agreement borrowings: | Agency RMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged as Collateral | 1,312,753 | 1,769,351 |
Collateral Held | 0 | 0 |
Repurchase agreement borrowings: | Non-Agency RMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged as Collateral | 1,171,200 | 1,333,337 |
Collateral Held | 0 | 0 |
Non-Agency RMBS from consolidated VIE, collateralized amount | 118,443 | 125,125 |
Repurchase agreement borrowings: | Other investment securities | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged as Collateral | 155,904 | 163,263 |
Collateral Held | 0 | 0 |
Repurchase agreement borrowings: | Mortgage Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged as Collateral | 0 | 0 |
Repurchase agreement borrowings: | Restricted cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged as Collateral | 14,658 | 61,772 |
Collateral Held | 0 | 0 |
Agency RMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged as Collateral | 3,383 | 3,522 |
Collateral Held | $ 0 | $ 0 |
Collateral Positions - Company'
Collateral Positions - Company's Positions (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged at Fair Value | $ 2,667,503 | $ 3,353,166 |
Amortized Cost | 2,624,791 | 3,258,790 |
Accrued Interest | 5,730 | 6,823 |
Fair Value of Assets Pledged and Accrued Interest | 2,673,233 | 3,359,989 |
Cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged at Fair Value | 14,658 | 61,772 |
Fair Value of Assets Pledged and Accrued Interest | 14,658 | 61,772 |
Assets pledged for borrowings under repurchase agreements: | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged at Fair Value | 2,654,515 | 3,327,723 |
Amortized Cost | 2,621,511 | 3,255,133 |
Accrued Interest | 5,720 | 6,811 |
Fair Value of Assets Pledged and Accrued Interest | 2,660,235 | 3,334,534 |
Cash pledged for derivative contracts | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged at Fair Value | 9,605 | 21,921 |
Fair Value of Assets Pledged and Accrued Interest | 9,605 | 21,921 |
Agency RMBS pledged for clearing margin | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged at Fair Value | 3,383 | 3,522 |
Amortized Cost | 3,280 | 3,657 |
Accrued Interest | 10 | 12 |
Fair Value of Assets Pledged and Accrued Interest | 3,393 | 3,534 |
Agency RMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged at Fair Value | 1,312,753 | 1,769,351 |
Amortized Cost | 1,306,153 | 1,784,557 |
Accrued Interest | 3,664 | 5,081 |
Fair Value of Assets Pledged and Accrued Interest | 1,316,417 | 1,774,432 |
Non-Agency RMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged at Fair Value | 1,171,200 | 1,333,337 |
Amortized Cost | 1,156,816 | 1,301,167 |
Accrued Interest | 1,718 | 1,479 |
Fair Value of Assets Pledged and Accrued Interest | 1,172,918 | 1,334,816 |
Non-Agency RMBS from a consolidated VIE amortized cost | 122,357 | 123,552 |
Non-Agency RMBS from a consolidated VIE interest receivable | 579 | 599 |
Other investment securities | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged at Fair Value | 155,904 | 163,263 |
Amortized Cost | 158,542 | 169,409 |
Accrued Interest | 338 | 251 |
Fair Value of Assets Pledged and Accrued Interest | $ 156,242 | $ 163,514 |
Offsetting Assets and Liabili75
Offsetting Assets and Liabilities - Certain Assets and Liabilities Subject to Master Netting Arrangements (or Similar Agreements) (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Derivative Asset [Abstract] | ||
Gross Amounts of Recognized Assets | $ 0 | $ 4,347 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Cash Collateral Received | 0 | (280) |
Gross Amounts of Recognized Assets, Total | 0 | 4,347 |
Gross Amounts Offset in the Consolidated Balance Sheet, Total | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet, Total | 0 | 4,347 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments, Total | 0 | (3,577) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Cash Collateral Received, Total | 0 | (280) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Amount, Total | 0 | 490 |
Derivative Liability [Abstract] | ||
Gross Amounts of Recognized Liabilities | 8,542 | 13,813 |
Gross Amounts of Recognized Liabilities, Repurchase agreements | 2,269,853 | 2,898,347 |
Gross Amounts Offset in the Consolidated Balance Sheet, Repurchase agreements | 0 | 0 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Repurchase agreements | 2,269,853 | 2,898,347 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments, Repurchase agreements | (2,269,853) | (2,898,347) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Cash Collateral Pledged, Repurchase agreements | (14,658) | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Amount, Repurchase agreements | (14,658) | 0 |
Gross Amounts of Recognized Liabilities, Total | 2,278,395 | 2,912,160 |
Gross Amounts Offset in the Consolidated Balance Sheet, Total | 0 | 0 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet, Total | 2,278,395 | 2,912,160 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments, Total | (2,269,853) | (2,901,924) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Cash Collateral Pledged, Total | (24,263) | (9,967) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Amount, Total | (15,721) | 269 |
Interest Rate Swap | ||
Derivative Asset [Abstract] | ||
Gross Amounts of Recognized Assets | 0 | 4,347 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 0 | 4,347 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | 0 | (3,577) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Cash Collateral Received | 0 | (280) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Amount | 0 | 490 |
Derivative Liability [Abstract] | ||
Gross Amounts of Recognized Liabilities | 1,274 | 13,618 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet | 1,274 | 13,618 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | 0 | (3,577) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Cash Collateral Pledged | (1,660) | (10,041) |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Amount | (386) | 0 |
Short TBA Contracts | ||
Derivative Liability [Abstract] | ||
Gross Amounts of Recognized Liabilities | 7,268 | |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet | 7,268 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | 0 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Cash Collateral Pledged | (7,945) | |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Amount | (677) | |
Long TBA Contract | ||
Derivative Asset [Abstract] | ||
Gross Amounts of Recognized Assets | 0 | 0 |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | 0 |
Net Amounts of Assets Presented in the Consolidated Balance Sheet | 0 | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Cash Collateral Received | 0 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Amount | $ 0 | 0 |
Derivative Liability [Abstract] | ||
Gross Amounts of Recognized Liabilities | 195 | |
Gross Amounts Offset in the Consolidated Balance Sheet | 0 | |
Net Amounts of Liabilities Presented in the Consolidated Balance Sheet | 195 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Financial Instruments | 0 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Cash Collateral Pledged | 74 | |
Gross Amounts Not Offset in the Consolidated Balance Sheet, Net Amount | $ 269 |
Offsetting Assets and Liabili76
Offsetting Assets and Liabilities - Certain Assets and Liabilities Subject to Master Netting Arrangements (or Similar Agreements) Narrative (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Offsetting Derivative Assets And Liabilities [Line Items] | ||
The fair value of securities pledged against our borrowing under repurchase | $ 2,639,857 | $ 2,877,663 |
Assets Pledged at Fair Value | 2,667,503 | 3,353,166 |
RMBS | ||
Offsetting Derivative Assets And Liabilities [Line Items] | ||
The fair value of securities pledged against our borrowing under repurchase | 118,443 | 125,125 |
Cash pledged for derivative contracts | ||
Offsetting Derivative Assets And Liabilities [Line Items] | ||
Assets Pledged at Fair Value | 9,605 | 21,921 |
Cash | ||
Offsetting Derivative Assets And Liabilities [Line Items] | ||
Assets Pledged at Fair Value | $ 14,658 | $ 61,772 |
Derivative Instruments - Summar
Derivative Instruments - Summary (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Estimated Fair Value, assets | $ 0 | $ (4,347) |
Estimated Fair Value, liabilities | (8,542) | (13,813) |
Total Derivative Instruments, Notional Amount | 910,000 | 2,962,000 |
Total Derivative Instruments, Estimated Fair Value | (8,542) | (9,466) |
Swaps | ||
Derivative [Line Items] | ||
Notional Amount, assets | 0 | 693,000 |
Notional Amount, liabilities | 42,000 | 994,000 |
Estimated Fair Value, assets | 0 | (3,103) |
Estimated Fair Value, liabilities | (1,274) | (10,237) |
Swaptions | ||
Derivative [Line Items] | ||
Notional Amount, assets | 0 | 875,000 |
Notional Amount, liabilities | 0 | 300,000 |
Estimated Fair Value, assets | 0 | (1,244) |
Estimated Fair Value, liabilities | 0 | (3,381) |
Long TBA Contracts | ||
Derivative [Line Items] | ||
Notional Amount, assets | 0 | 100,000 |
Estimated Fair Value, assets | 0 | (195) |
Short TBA Contracts | ||
Derivative [Line Items] | ||
Notional Amount, liabilities | 868,000 | 0 |
Estimated Fair Value, liabilities | $ (7,268) | $ 0 |
Derivative Instruments - Schedu
Derivative Instruments - Schedule of Instruments (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2016 | Dec. 31, 2015 | |
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 910,000 | $ 2,962,000 |
Swaps | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 42,000 | $ 1,687,000 |
Weighted Average Fixed-Pay Rate | 1.53% | 1.43% |
Weighted Average Maturity (Years) | 4 years | 3 years 5 months |
Less than one year | Swaps | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 0 | $ 110,000 |
Weighted Average Fixed-Pay Rate | 0.00% | 1.38% |
Weighted Average Maturity (Years) | 10 months | |
More than one year up to and including three years | Swaps | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 14,000 | $ 999,000 |
Weighted Average Fixed-Pay Rate | 1.04% | 1.02% |
Weighted Average Maturity (Years) | 1 year 8 months 12 days | 1 year 7 months |
More than three years up to and including five years | Swaps | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 14,000 | $ 64,000 |
Weighted Average Fixed-Pay Rate | 1.51% | 2.28% |
Weighted Average Maturity (Years) | 3 years 8 months 12 days | 4 years 6 months |
More than five years | Swaps | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 14,000 | $ 514,000 |
Weighted Average Fixed-Pay Rate | 2.05% | 2.11% |
Weighted Average Maturity (Years) | 6 years 8 months 12 days | 7 years 2 months |
Derivative Instruments - Amount
Derivative Instruments - Amounts Recognized on Consolidated Statements of Operations (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Derivative [Line Items] | ||||
Gain (loss) recognized in income | $ (7,870) | $ 12,463 | $ (36,344) | $ (14,058) |
Gain (loss) on derivative instruments (realized) | Swaps | ||||
Derivative [Line Items] | ||||
Gain (loss) recognized in income | (5,871) | 0 | (24,797) | 0 |
Gain (loss) on derivative instruments (realized) | Swaptions | ||||
Derivative [Line Items] | ||||
Gain (loss) recognized in income | (12,100) | (6,170) | (18,126) | (10,032) |
Gain (loss) on derivative instruments (realized) | TBA Contracts | ||||
Derivative [Line Items] | ||||
Gain (loss) recognized in income | (600) | 0 | 1,064 | (1,977) |
Gain (loss) on derivative instruments (realized) | Net Interest Payments | Swaps | ||||
Derivative [Line Items] | ||||
Gain (loss) recognized in income | (807) | (4,920) | (3,361) | (9,884) |
Gain (loss) on derivative instruments (unrealized) | Swaps | ||||
Derivative [Line Items] | ||||
Gain (loss) recognized in income | 6,493 | 14,769 | 5,859 | (707) |
Gain (loss) on derivative instruments (unrealized) | Swaptions | ||||
Derivative [Line Items] | ||||
Gain (loss) recognized in income | 12,661 | 8,879 | 10,090 | 9,181 |
Gain (loss) on derivative instruments (unrealized) | TBA Contracts | ||||
Derivative [Line Items] | ||||
Gain (loss) recognized in income | $ (7,646) | $ (95) | $ (7,073) | $ (639) |
Derivative Instruments - Deriva
Derivative Instruments - Derivative Activity (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Derivative Instruments Notional Amounts Outstanding [Roll Forward] | ||||
Notional amount, Beginning balance | $ 2,962,000 | |||
Notional amount, Ending balance | $ 910,000 | 910,000 | ||
Swaps | ||||
Derivative Instruments Notional Amounts Outstanding [Roll Forward] | ||||
Notional amount, Beginning balance | 1,287,000 | $ 1,687,000 | 1,687,000 | $ 1,687,000 |
Notional amount of contracts entered | 0 | 0 | 0 | 0 |
Notional amount of contracts terminated | (1,245,000) | 0 | (1,645,000) | 0 |
Notional amount, Ending balance | 42,000 | 1,687,000 | 42,000 | 1,687,000 |
Swaption Purchase Contracts | ||||
Derivative Instruments Notional Amounts Outstanding [Roll Forward] | ||||
Notional amount, Beginning balance | 425,000 | 1,425,000 | 875,000 | 1,250,000 |
Notional amount of contracts entered | 0 | 200,000 | 0 | 650,000 |
Notional amount of contracts terminated | (425,000) | (560,000) | (875,000) | (835,000) |
Notional amount, Ending balance | 0 | 1,065,000 | 0 | 1,065,000 |
Swaptions Sale Contracts | ||||
Derivative Instruments Notional Amounts Outstanding [Roll Forward] | ||||
Notional amount, Beginning balance | 300,000 | 0 | 300,000 | 0 |
Notional amount of contracts entered | 0 | 0 | 0 | 0 |
Notional amount of contracts terminated | (300,000) | 0 | (300,000) | 0 |
Notional amount, Ending balance | 0 | 0 | 0 | 0 |
Short | Short TBA Contracts | ||||
Derivative Instruments Notional Amounts Outstanding [Roll Forward] | ||||
Notional amount, Beginning balance | 0 | 0 | 0 | 0 |
Notional amount of contracts entered | 1,118,000 | 200,000 | 1,118,000 | 200,000 |
Notional amount of contracts terminated | (250,000) | 0 | (250,000) | 0 |
Notional amount, Ending balance | 868,000 | 200,000 | 868,000 | 200,000 |
Long | Long TBA Contracts | ||||
Derivative Instruments Notional Amounts Outstanding [Roll Forward] | ||||
Notional amount, Beginning balance | 100,000 | 0 | 100,000 | 100,000 |
Notional amount of contracts entered | 0 | 0 | 0 | 500,000 |
Notional amount of contracts terminated | (100,000) | 0 | (100,000) | (600,000) |
Notional amount, Ending balance | $ 0 | $ 0 | $ 0 | $ 0 |
Derivative Instruments - Narrat
Derivative Instruments - Narrative (Details) $ in Thousands | Jun. 30, 2016USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Termination value | $ 8,580 |
Interest Payable (Details)
Interest Payable (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Accounts Payable And Accrued Liabilities [Line Items] | ||
Total interest payable | $ 2,359 | $ 9,138 |
Repurchase borrowings collateraized by Agency RMBS | ||
Accounts Payable And Accrued Liabilities [Line Items] | ||
Total interest payable | 656 | 1,687 |
Repurchase borrowings collateralized by non-Agency RMBS | ||
Accounts Payable And Accrued Liabilities [Line Items] | ||
Total interest payable | 1,460 | 4,268 |
Interest payable form VIE | 136 | 125 |
Repurchase borrowings collateralized by securitization security | ||
Accounts Payable And Accrued Liabilities [Line Items] | ||
Total interest payable | 161 | 350 |
Securitized Debt | ||
Accounts Payable And Accrued Liabilities [Line Items] | ||
Total interest payable | 45 | 63 |
Swaps | ||
Accounts Payable And Accrued Liabilities [Line Items] | ||
Total interest payable | $ 37 | $ 2,770 |
Commitments and Contingencies (
Commitments and Contingencies (Details) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016USD ($) | Jun. 30, 2015USD ($) | Jun. 30, 2016USD ($)lawsuit | Dec. 31, 2015USD ($) | |
Loss Contingencies [Line Items] | ||||
Percentage of management fee | 1.50% | |||
Management agreement renewal period | 1 year | |||
Multiplier, times the sum of the average annual management fee during the period | 300.00% | |||
Notice period for termination of Management Agreement | 180 days | |||
Period immediately preceding the date of termination | 24 months | |||
Percentage of vote | 66.67% | |||
Termination fees description | termination fee equal to three times the sum of the average annual management fee during the 24-month period immediately preceding the date of termination, calculated as of the end of the most recently completed fiscal quarter prior to the date of termination. | |||
Management fees | $ 2,493,000 | $ 2,895,000 | ||
Management fees incurred but not yet paid | 2,493,000 | $ 2,493,000 | $ 5,388,000 | |
February 2013 Securitization | ||||
Loss Contingencies [Line Items] | ||||
Number of lawsuits | lawsuit | 0 | |||
Reserve established | $ 0 | $ 0 | ||
Aivasian v. Apollo Residential Mortgage, Inc., et al., No. 24-C-16-001532 and Wiener v. Apollo Residential Mortgage, Inc., et al., No. 24-C-16-001837 | ||||
Loss Contingencies [Line Items] | ||||
Number of lawsuits | lawsuit | 2 |
Use of Special Purpose Entiti84
Use of Special Purpose Entities and Variable Interest Entities - Narrative (Details) $ in Thousands | 6 Months Ended | |
Jun. 30, 2016USD ($)transaction | Dec. 31, 2015USD ($) | |
Special Purpose Entities and Variable Interest Entities [Abstract] | ||
Securitization transaction (transaction) | transaction | 2 | |
Aggregate fair value of the mortgage loans | $ | $ 160,206 | $ 167,624 |
Use of Special Purpose Entiti85
Use of Special Purpose Entities and Variable Interest Entities - Summary of Securitization Transaction (Details) - Variable Interest Entity, Primary Beneficiary | 6 Months Ended |
Jun. 30, 2016USD ($) | |
Schedule of Investments [Line Items] | |
Principal value of mortgage loans sold into the securitization trust | $ 245,803,000 |
Current principal value of mortgage loans in securitization trust | 200,139,000 |
Face amount of senior security issued by the VIE and sold to a third-party investor | 50,375,000 |
Outstanding balance of senior security at September 30, 2015 | 85,980,000 |
Face/Par value of certificates received by us | 186,713,000 |
Cash received upon sale of the senior security sold to third-party investor | 50,375,000 |
Gross securitization expenses incurred | 1,003,000 |
AMST 2015-1 | |
Schedule of Investments [Line Items] | |
Principal value of mortgage loans sold into the securitization trust | 90,802,000 |
Current principal value of mortgage loans in securitization trust | 80,938,000 |
Face amount of senior security issued by the VIE and sold to a third-party investor | 0 |
Outstanding balance of senior security at September 30, 2015 | 72,598,000 |
Face/Par value of certificates received by us | 82,287,000 |
Cash received upon sale of the senior security sold to third-party investor | 0 |
Gross securitization expenses incurred | $ 174,000 |
Stated interest rate for senior security issued | 5.75% |
AMST 2013-1 | |
Schedule of Investments [Line Items] | |
Principal value of mortgage loans sold into the securitization trust | $ 155,001,000 |
Current principal value of mortgage loans in securitization trust | 119,201,000 |
Face amount of senior security issued by the VIE and sold to a third-party investor | 50,375,000 |
Outstanding balance of senior security at September 30, 2015 | 13,382,000 |
Face/Par value of certificates received by us | 104,426,000 |
Cash received upon sale of the senior security sold to third-party investor | 50,375,000 |
Gross securitization expenses incurred | $ 829,000 |
Stated interest rate for senior security issued | 4.00% |
Use of Special Purpose Entiti86
Use of Special Purpose Entities and Variable Interest Entities - Principal Repayment Schedule of Par Value of Securitized Debt (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Debt Instrument [Line Items] | ||
Total | $ 2,269,850 | $ 2,898,292 |
February 2013 Securitization | Senior Notes | ||
Debt Instrument [Line Items] | ||
One year or less | 9,913 | |
More than one year, up to and including three years | 3,469 | |
Total | $ 13,382 |
Use of Special Purpose Entiti87
Use of Special Purpose Entities and Variable Interest Entities - Assets and Liabilities of Consolidated Variable Interest Entities (Details) - USD ($) $ in Thousands | Jun. 30, 2016 | Dec. 31, 2015 |
Assets: | ||
Securitized mortgage loans, at fair value | $ 160,206 | $ 167,624 |
Other assets | 838 | 220 |
Liabilities: | ||
Non-recourse securitized debt, at fair value | 13,407 | 18,951 |
Variable Interest Entity, Primary Beneficiary | ||
Assets: | ||
Securitized mortgage loans, at fair value | 160,206 | 167,624 |
Interest receivable | 947 | 936 |
Liabilities: | ||
Non-recourse securitized debt, at fair value | 18,951 | |
Accrued interest payable | $ 45 | $ 63 |
Use of Special Purpose Entiti88
Use of Special Purpose Entities and Variable Interest Entities - Operating Results Relating to Consolidated Variable Interest Entities (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Condensed Financial Statements, Captions [Line Items] | ||||
Interest income - securitized mortgage loans | $ 3,231 | $ 3,623 | $ 6,496 | $ 5,790 |
Interest expense - securitized debt | (197) | (333) | (447) | (699) |
Unrealized gain/(loss) on securitized mortgage loans, net | 5,751 | (1,896) | 1,992 | 466 |
Unrealized gain on securitized debt | 20 | 1,001 | 22 | 1,014 |
Other, net | (310) | (1,128) | ||
General and administrative expenses | (3,664) | (3,655) | (7,238) | (7,505) |
Variable Interest Entity, Primary Beneficiary | ||||
Condensed Financial Statements, Captions [Line Items] | ||||
Interest income - securitized mortgage loans | 3,231 | 3,623 | 6,496 | 5,790 |
Interest expense - securitized debt | (197) | (333) | (447) | (699) |
Unrealized gain/(loss) on securitized mortgage loans, net | 5,751 | (1,896) | 1,992 | 466 |
Unrealized gain on securitized debt | 20 | 1,001 | 22 | 1,014 |
Other, net | (97) | 0 | (246) | 0 |
General and administrative expenses | $ (338) | $ 0 | $ (404) | $ 0 |
Use of Special Purpose Entiti89
Use of Special Purpose Entities and Variable Interest Entities - Cash Flow Relating to Consolidated Variable Interest Entities (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Condensed Financial Statements, Captions [Line Items] | ||||
Unrealized gain on securitized mortgage loans, net | $ (5,751) | $ 1,896 | $ (1,992) | $ (466) |
Unrealized (gain) on securitized debt | (20) | (1,001) | (22) | (1,014) |
Realized loss on real estate owned, net | 310 | 1,128 | ||
(Purchase) of mortgage loans, simultaneously securitized | 0 | (67,357) | ||
Proceeds from sales of real estate owned | 255 | 0 | ||
Principal payments received on securitized mortgage loans | 8,823 | 5,512 | ||
Variable Interest Entity, Primary Beneficiary | ||||
Condensed Financial Statements, Captions [Line Items] | ||||
Net income | 7,413 | 6,557 | ||
Reversal of discount accretion/(discount accretion), net | (471) | 214 | ||
Amortization of deferred financing costs | 134 | 163 | ||
Unrealized gain on securitized mortgage loans, net | (5,751) | 1,896 | (1,992) | (466) |
Unrealized (gain) on securitized debt | (20) | (1,001) | (22) | (1,014) |
Realized loss on real estate owned, net | $ 97 | $ 0 | 246 | 0 |
(Increase) in accrued interest receivable, less purchased interest | (11) | (287) | ||
(Decrease) in accrued interest payable | (18) | (24) | ||
(Purchase) of mortgage loans, simultaneously securitized | 0 | (67,357) | ||
Proceeds from sales of real estate owned | 255 | 351 | ||
Principal payments received on securitized mortgage loans | 8,823 | 5,512 | ||
Principal (payments) on securitized debt | (5,522) | (7,269) | ||
Mortgage Loans | Variable Interest Entity, Primary Beneficiary | ||||
Condensed Financial Statements, Captions [Line Items] | ||||
Realized loss on real estate owned, net | $ 310 | $ 133 |
Equity Award Plan - Narrative (
Equity Award Plan - Narrative (Details) - USD ($) $ in Thousands | Jul. 21, 2011 | Jun. 30, 2016 |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Percentage of share reserved for share based compensation | 5.00% | |
Shares available for grant (shares) | 1,183,081 | |
Unrecognized compensation expense is expected to be recognized over a weighted average period | 12 days | |
RSUs | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unrecognized compensation expense | $ 1,898 | |
Average forfeiture rate | 5.00% | |
Restricted common stock | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Unrecognized compensation expense | $ 498 | |
Average forfeiture rate | 0.00% |
Equity Award Plan - Compensatio
Equity Award Plan - Compensation Awards (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation | $ 194 | $ 303 | $ 302 | $ 797 |
Restricted Common Stock | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation | 71 | 105 | 130 | 211 |
RSUs | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation | $ 123 | $ 198 | $ 172 | $ 586 |
Equity Award Plan - Restricted
Equity Award Plan - Restricted Stock and Restricted Stock Units Activity (Details) - $ / shares | Mar. 17, 2016 | Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract] | |||||
Vested (USD per share) | $ 15.12 | $ 15.12 | |||
Unvested (USD per share) | $ 14.13 | $ 14.13 | |||
RSUs | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | |||||
Beginning balance (shares) | 196,920 | 291,777 | 148,549 | 292,088 | |
Granted (shares) | 0 | 0 | 91,427 | ||
Canceled upon delivery of common stock (shares) | (1,000) | (5,000) | (44,056) | (5,000) | |
RSUs canceled or forfeited (shares) | (208) | (2,289) | (208) | (2,600) | |
Ending balance (shares) | 195,712 | 284,488 | 195,712 | 284,488 | |
Vested (shares) | 23,443 | 98,916 | 23,443 | 98,916 | |
Unvested (shares) | 172,269 | 185,572 | 172,269 | 185,572 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract] | |||||
Beginning balance (USD per share) | $ 14.29 | $ 15.88 | |||
Granted (USD per share) | 0 | 12.53 | |||
Canceled upon delivery of common stock (USD per share) | 22.22 | 16.16 | |||
Canceled or forfeited (USD per share) | 16.02 | 16.02 | |||
Ending balance (USD per share) | 14.25 | 14.25 | |||
Vested (USD per share) | 15.12 | 15.12 | |||
Unvested (USD per share) | $ 14.13 | $ 14.13 | |||
Restricted common stock | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | |||||
Beginning balance (shares) | 28,008 | 41,980 | 30,120 | 43,992 | |
Granted (shares) | 11,276 | 9,332 | 11,276 | 9,332 | |
Vested (shares) | (2,108) | (2,008) | (4,220) | (4,020) | |
Ending balance (shares) | 37,176 | 49,304 | 37,176 | 49,304 | |
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Weighted Average Grant Date Fair Value [Abstract] | |||||
Beginning balance (USD per share) | $ 17.54 | $ 16.31 | |||
Granted (USD per share) | 13.30 | 13.30 | |||
Vested (USD per share) | 17.80 | 17.79 | |||
Ending balance (USD per share) | $ 15.23 | $ 15.23 | |||
Apollo Residential Mortgage | Apollo Commercial Real Estate Finance, Inc. | RSUs | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Non-Option Equity Instruments, Outstanding [Roll Forward] | |||||
Granted (shares) | 91,427 |
Stockholders' Equity - Dividend
Stockholders' Equity - Dividends Declared (Details) - $ / shares | Jun. 17, 2016 | Mar. 17, 2016 | Dec. 17, 2015 | Sep. 17, 2015 | Jun. 17, 2015 | Mar. 19, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 |
Equity [Abstract] | ||||||||||
Declaration Date | Jun. 17, 2016 | Mar. 17, 2016 | Dec. 17, 2015 | Sep. 17, 2015 | Jun. 17, 2015 | Mar. 19, 2015 | ||||
Record Date | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | ||||
Payment Date | Jul. 29, 2016 | Apr. 29, 2016 | Jan. 29, 2015 | Oct. 30, 2015 | Jul. 31, 2015 | Apr. 30, 2015 | ||||
Dividend Per Share (USD per share) | $ 0.48 | $ 0.48 | $ 0.48 | $ 0.48 | $ 0.48 | $ 0.48 | $ 0.48 | $ 0.48 | $ 0.96 | $ 0.96 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Details) | Dec. 18, 2015shares | Jun. 30, 2016dividend_perioddirector$ / sharesshares | Dec. 31, 2015$ / sharesshares |
Stockholders Equity [Line Items] | |||
Preferred stock outstanding (shares) | shares | 6,900,000 | 6,900,000 | |
Preferred stock, par value (USD per share) | $ 0.01 | $ 0.01 | |
Redemption date | Sep. 20, 2017 | ||
Redemption price (USD per share) | $ 25 | ||
Number of quarterly dividend periods | dividend_period | 6 | ||
Number of additional directors (director) | director | 2 | ||
Percentage of vote | 66.67% | ||
Shares reserved under dividend reinvestment and direct stock purchase plan (shares) | shares | 2,000,000 | 2,000,000 | |
Series A Cumulative Redeemable Perpetual Preferred Stock | |||
Stockholders Equity [Line Items] | |||
Preferred stock outstanding (shares) | shares | 6,900,000 | 6,900,000 | |
Dividend rate | 8.00% | 8.00% | |
Liquidation preference per share (USD per share) | $ 25 | $ 25 | |
Preferred stock, par value (USD per share) | 0.01 | 0.01 | |
Annual dividend per share (USD per share) | $ 2 | $ 2 | |
Percentage of vote | 66.67% |
Stockholders' Equity - Stock Re
Stockholders' Equity - Stock Repurchase Program (Details) - USD ($) | 3 Months Ended | ||
Sep. 30, 2015 | Jun. 30, 2016 | Nov. 06, 2013 | |
Equity [Abstract] | |||
Repurchase program authorized amount | $ 50,000,000 | ||
Total Number of shares repurchased (shares) | 360,800 | ||
Weighted average price paid (USD per share) | $ 13.86 | ||
Remaining authorized repurchase amount | $ 45,000,000 |
Earnings per Common Share (Deta
Earnings per Common Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2016 | Jun. 30, 2015 | Jun. 30, 2016 | Jun. 30, 2015 | |
Numerator: | ||||
Net Income/(Loss) | $ 20,298 | $ (10,032) | $ 7,264 | $ 11,375 |
Dividends declared on Preferred Stock | 3,450 | 3,450 | 6,900 | 6,900 |
Dividends, dividend equivalents and undistributed earnings allocated to participating securities (1) | 122 | 153 | 220 | 307 |
Net income/(loss) allocable to common stock – basic and diluted | $ 16,726 | $ (13,635) | $ 144 | $ 4,168 |
Weighted Average Number of Shares Outstanding Reconciliation [Abstract] | ||||
Weighted average common shares - basic (shares) | 31,857 | 32,048 | 31,846 | 32,047 |
Weighted average common shares - diluted (shares) | 31,882 | 32,048 | 31,846 | 32,047 |
Earnings per common share - basic and diluted (USD per share) | $ 0.52 | $ (0.43) | $ 0 | $ 0.13 |
Merger Agreement (Details)
Merger Agreement (Details) - USD ($) $ / shares in Units, $ in Thousands | Jul. 21, 2016 | Feb. 26, 2016 | Jul. 22, 2016 | Jun. 30, 2016 | Feb. 25, 2016 | Dec. 31, 2015 |
Business Acquisition [Line Items] | ||||||
Preferred stock, par value (USD per share) | $ 0.01 | $ 0.01 | ||||
Apollo Commercial Real Estate Finance, Inc. | Apollo Residential Mortgage | ||||||
Business Acquisition [Line Items] | ||||||
Consideration transferred as a percentage of book value | 89.25% | |||||
Aggregate number of shares issuable (shares) | 13,400,000 | |||||
Business acquisition, share price (USD per share) | $ 16.75 | |||||
Cash | $ 6.86 | |||||
Common stock converted (shares) | 0.417571 | |||||
Apollo Commercial Real Estate Finance, Inc. | Apollo Residential Mortgage | Preferred Stock | ||||||
Business Acquisition [Line Items] | ||||||
Business acquisition, equity interest issued, value | $ 172,500 | |||||
Apollo Commercial Real Estate Finance, Inc. | Apollo Residential Mortgage | Series C Preferred Stock | ||||||
Business Acquisition [Line Items] | ||||||
Preferred stock, par value (USD per share) | $ 0.01 | |||||
Preferred stock dividend rate | 8.00% | |||||
Apollo Commercial Real Estate Finance, Inc. | Apollo Residential Mortgage | Subsequent Event | ||||||
Business Acquisition [Line Items] | ||||||
Business acquisition, share price (USD per share) | $ 15.52 | |||||
Business combination, consideration transferred | $ 616,151 |