Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2017 | Nov. 07, 2017 | |
Document and Entity Information | ||
Entity Registrant Name | Western Asset Mortgage Capital Corp | |
Entity Central Index Key | 1,465,885 | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2017 | |
Amendment Flag | false | |
Current Fiscal Year End Date | --12-31 | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 41,919,801 | |
Document Fiscal Year Focus | 2,017 | |
Document Fiscal Period Focus | Q3 |
Consolidated Balance Sheets (Un
Consolidated Balance Sheets (Unaudited) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Assets: | |||
Cash and cash equivalents | $ 36,669 | $ 46,172 | |
Mortgage-backed securities and other securities, at fair value ($3,397,699 and $2,261,430 pledged as collateral, at fair value, respectively) | 3,696,580 | 2,576,517 | |
Residential Whole-Loans, at fair value ($191,439 and $192,136 pledged as collateral, at fair value, respectively) | 191,439 | 192,136 | |
Residential Bridge Loans ($54,912 and $0 pledged as collateral, respectively) | 54,912 | 0 | |
Securitized commercial loan, at fair value | 24,952 | 24,225 | |
Investment related receivable | 9,551 | 33,600 | |
Accrued interest receivable | 13,025 | 18,812 | |
Due from counterparties | 88,932 | 243,585 | |
Derivative assets, at fair value | 5,011 | 20,571 | |
Other assets | 4,134 | 398 | |
Total Assets | [1] | 4,125,205 | 3,156,016 |
Liabilities: | |||
Borrowings under repurchase agreements, net | 3,336,256 | 2,155,644 | |
Securitized debt, at fair value | 10,979 | 10,659 | |
Accrued interest payable | 4,859 | 16,041 | |
Investment related payables | 296,317 | 341,458 | |
Due to counterparties | 2,320 | 740 | |
Derivative liability, at fair value | 986 | 182,158 | |
Accounts payable and accrued expenses | 2,588 | 3,255 | |
Payable to affiliate | 1,920 | 2,584 | |
Dividend payable | 12,995 | 12,995 | |
Total Liabilities | [2] | 3,669,220 | 2,725,534 |
Commitments and contingencies | |||
Stockholders’ Equity: | |||
Common stock: $0.01 par value, 500,000,000 shares authorized, 41,919,801 shares issued and outstanding, respectively | 419 | 419 | |
Preferred stock, $0.01 par value, 100,000,000 shares authorized and no shares outstanding | 0 | 0 | |
Additional paid-in capital | 765,898 | 765,042 | |
Retained earnings (accumulated deficit) | (310,332) | (334,979) | |
Total Stockholders’ Equity | 455,985 | 430,482 | |
Total Liabilities and Stockholders’ Equity | $ 4,125,205 | $ 3,156,016 | |
[1] | Consolidated Balance Sheets (Parenthetical) - USD ($) $ in ThousandsSeptember 30, 2017December 31, 2016Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars)3,397,6992,261,430Fair value of residential whole-loans pledged as collateral191,439192,136Collateral pledged for residential bridge loans54,912—Collateral pledged for investment related receivable209,065— | ||
[2] | (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt at fair value10,97910,659 Accrued interest payable8285 Accounts payable and accrued expenses1572 Total Liabilities of consolidated VIEs11,21810,746 |
Consolidated Balance Sheets (U3
Consolidated Balance Sheets (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 | |
Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars) | $ 3,397,699 | $ 2,261,430 | |
Fair value of residential whole-loans pledged as collateral | 191,439 | 192,136 | |
Residential Bridge Loans ($54,912 and $0 pledged as collateral, respectively) | $ 54,912 | $ 0 | |
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |
Common stock, shares authorized (in shares) | 500,000,000 | 500,000,000 | |
Common stock, shares issued (in shares) | 41,919,801 | 41,919,801 | |
Common stock, shares outstanding (in shares) | 41,919,801 | 41,919,801 | |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 | |
Preferred stock, shares authorized (in shares) | 100,000,000 | 100,000,000 | |
Preferred stock, shares outstanding (in shares) | 0 | 0 | |
Assets and liabilities of the consolidated VIEs | |||
Residential Whole-Loans, at fair value ($191,439 and $192,136 pledged as collateral, at fair value, respectively) | $ 191,439 | $ 192,136 | |
Securitized commercial loan, at fair value | 24,952 | 24,225 | |
Investment related receivable | 9,551 | 33,600 | |
Accrued interest receivable | 13,025 | 18,812 | |
Total Assets | [1] | 4,125,205 | 3,156,016 |
Accrued interest payable | 4,859 | 16,041 | |
Accounts payable and accrued expenses | 2,588 | 3,255 | |
Total Liabilities | [2] | 3,669,220 | 2,725,534 |
VIE | |||
Assets and liabilities of the consolidated VIEs | |||
Residential Whole-Loans, at fair value ($191,439 and $192,136 pledged as collateral, at fair value, respectively) | 191,439 | 192,136 | |
Securities sold under agreements to repurchase, fair value of collateral | 54,912 | 0 | |
Securitized commercial loan, at fair value | 24,952 | 24,225 | |
Investment related receivable | 7,178 | 1,241 | |
Accrued interest receivable | 2,529 | 1,622 | |
Total Assets | 281,010 | 219,224 | |
Securitized debt | 10,979 | 10,659 | |
Accrued interest payable | 82 | 85 | |
Accounts payable and accrued expenses | 157 | 2 | |
Total Liabilities | $ 11,218 | $ 10,746 | |
[1] | Consolidated Balance Sheets (Parenthetical) - USD ($) $ in ThousandsSeptember 30, 2017December 31, 2016Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars)3,397,6992,261,430Fair value of residential whole-loans pledged as collateral191,439192,136Collateral pledged for residential bridge loans54,912—Collateral pledged for investment related receivable209,065— | ||
[2] | (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt at fair value10,97910,659 Accrued interest payable8285 Accounts payable and accrued expenses1572 Total Liabilities of consolidated VIEs11,21810,746 |
Consolidated Statements of Oper
Consolidated Statements of Operations (Unaudited) - USD ($) $ in Thousands | Sep. 21, 2017 | Jun. 20, 2017 | Mar. 23, 2017 | Dec. 22, 2016 | Sep. 22, 2016 | Jun. 23, 2016 | Mar. 24, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 |
Net Interest Income | |||||||||||
Interest income | $ 30,928 | $ 29,154 | $ 89,413 | $ 87,992 | |||||||
Interest expense | 12,363 | 7,685 | 31,507 | 23,391 | |||||||
Net Interest Income | 18,565 | 21,469 | 57,906 | 64,601 | |||||||
Other Income (Loss) | |||||||||||
Realized gain (loss) on sale of investments, net | 1,830 | 1,439 | 20,600 | (4,968) | |||||||
Other than temporary impairment | (7,225) | (4,978) | (19,901) | (22,131) | |||||||
Unrealized gain (loss), net | 5,249 | 15,292 | 35,126 | 47,571 | |||||||
Gain (loss) on derivative instruments, net | 7,217 | 6,121 | (16,035) | (53,214) | |||||||
Other, net | 216 | (60) | 841 | (158) | |||||||
Other Income (Loss) | 7,287 | 17,814 | 20,631 | (32,900) | |||||||
Expenses | |||||||||||
Management fee to affiliate | 1,853 | 2,604 | 6,159 | 7,945 | |||||||
Other operating expenses | 702 | 188 | 1,855 | 809 | |||||||
General and administrative expenses: | |||||||||||
Compensation expense | 660 | 868 | 2,064 | 2,254 | |||||||
Professional fees | 781 | 723 | 2,501 | 3,947 | |||||||
Other general and administrative expenses | 244 | 379 | 993 | 1,226 | |||||||
Total general and administrative expenses | 1,685 | 1,970 | 5,558 | 7,427 | |||||||
Total Expenses | 4,240 | 4,762 | 13,572 | 16,181 | |||||||
Income before income taxes | 21,612 | 34,521 | 64,965 | 15,520 | |||||||
Income tax provision (benefit) | (1,155) | 2,239 | 1,272 | 2,239 | |||||||
Net income | $ 22,767 | $ 32,282 | $ 63,693 | $ 13,281 | |||||||
Net income (loss) per Common Share — Basic (in dollars per share) | $ 0.54 | $ 0.77 | $ 1.52 | $ 0.31 | |||||||
Net income (loss) per Common Share — Diluted (in dollars per share) | 0.54 | 0.77 | 1.52 | 0.31 | |||||||
Dividends Declared per Share of Common Stock (in dollars per share) | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.45 | $ 0.31 | $ 0.31 | $ 0.93000 | $ 1.07000 |
Consolidated Statements of Chan
Consolidated Statements of Changes in Stockholders' Equity (Unaudited) - USD ($) $ in Thousands | Total | Common Stock | Additional Paid-In Capital | Retained Earnings (Accumulated Deficit) |
Balance at Dec. 31, 2015 | $ 511,648 | $ 419 | $ 763,283 | $ (252,054) |
Balance (in shares) at Dec. 31, 2015 | 41,919,801 | |||
Increase (Decrease) in Stockholders' Equity | ||||
Vesting of restricted stock | 1,699 | 1,699 | ||
Net income (loss) | (25,015) | (25,015) | ||
Dividends declared on common stock | (57,850) | 60 | (57,910) | |
Balance at Dec. 31, 2016 | $ 430,482 | $ 419 | 765,042 | (334,979) |
Balance (in shares) at Dec. 31, 2016 | 41,919,801 | 41,919,801 | ||
Increase (Decrease) in Stockholders' Equity | ||||
Vesting of restricted stock | $ 795 | 795 | ||
Net income (loss) | 63,693 | 63,693 | ||
Dividends declared on common stock | (38,985) | 61 | (39,046) | |
Balance at Sep. 30, 2017 | $ 455,985 | $ 419 | $ 765,898 | $ (310,332) |
Balance (in shares) at Sep. 30, 2017 | 41,919,801 | 41,919,801 |
Consolidated Statements of Cash
Consolidated Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Cash flows from operating activities: | |||||
Net income (loss) | $ 22,767 | $ 32,282 | $ 63,693 | $ 13,281 | $ (25,015) |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||||
Premium amortization and (discount accretion) on investments, net | (2,658) | 2,355 | |||
Interest income earned added to principal of securities | (46) | (300) | |||
Amortization of deferred financing costs | 0 | 135 | |||
Restricted stock amortization | 795 | 1,351 | |||
Interest payments and basis recovered on MAC interest rate swaps | 358 | 491 | |||
Premium on purchase of Residential Whole-Loans | (354) | (573) | |||
Premium on purchase of Residential Bridge Loans | (425) | 0 | |||
Unrealized (gain) loss, net | (5,249) | (15,292) | (35,126) | (47,571) | |
Unrealized (gain) loss on derivative instruments, net | (156,098) | 46,073 | |||
Other than temporary impairment | 7,225 | 4,978 | 19,901 | 22,131 | |
Realized (gain) loss on sale of securities, net | (1,830) | (1,439) | (20,600) | 4,968 | |
(Gain) loss on derivatives, net | 156,655 | (40,755) | |||
(Gain) loss on foreign currency transactions, net | 1 | 905 | |||
Changes in operating assets and liabilities: | |||||
Decrease (increase) in accrued interest receivable | 5,787 | (2,664) | |||
Increase in other assets | (3,736) | (374) | |||
Decrease in accrued interest payable | (11,182) | (2,120) | |||
Increase (decrease) in accounts payable and accrued expenses | (667) | 911 | |||
Decrease in payable to affiliate | (664) | (305) | |||
Net cash provided by (used in) operating activities | 15,634 | (2,061) | |||
Cash flows from investing activities: | |||||
Purchase of securities | (2,473,379) | (1,450,137) | |||
Proceeds from sale of securities | 1,189,824 | 1,295,969 | |||
Principal repayments and basis recovered on securities | 187,157 | 252,076 | |||
Purchase of Residential Whole-Loans | (35,323) | (28,825) | |||
Principal repayments on Residential Whole-Loans | 32,287 | 39,597 | |||
Principal repayments on securitized commercial loan | 59 | 0 | |||
Purchase of Residential Bridge Loans | (73,565) | 0 | |||
Principal repayments on Residential Bridge Loans | 16,251 | 0 | |||
Payment of premium for option derivatives | (14,995) | (17,951) | |||
Premium received from option derivatives | 13,721 | 22,707 | |||
Net settlements of TBAs | 3,135 | 12,166 | |||
Proceeds from (Payments on) termination of futures, net | (9,230) | 19,253 | |||
Proceeds from sale of interest rate swaptions | 0 | 2,075 | |||
Premium for MAC interest rate swaps, net | 0 | 465 | |||
Interest payments and basis recovered on MAC interest rate swaps | (358) | (491) | |||
Due from counterparties | 8,449 | (9,719) | |||
Proceeds from termination of foreign currency swaps | 0 | 5,351 | |||
Payments on total return swaps, net | (552) | 17 | |||
Premium for interest rate swaptions, net | (115) | 0 | |||
Net cash (used in) provided by investing activities | (1,156,634) | 142,553 | |||
Cash flows from financing activities: | |||||
Proceeds from repurchase agreement borrowings | 13,054,995 | 10,675,773 | |||
Repayments of repurchase agreement borrowings | (11,874,382) | (10,738,416) | |||
Proceeds from (repayment of) cash overdraft | 0 | (300) | |||
Repayments of securitized debt | (26) | 0 | |||
Proceeds from forward contracts | 6,875 | 82,020 | |||
Repayments of forward contracts | (6,850) | (82,110) | |||
Payments made for deferred financing costs | 0 | (58) | |||
Due from counterparties, net | (11,709) | (11,116) | |||
Due to counterparties, net | 1,580 | (3,903) | |||
Dividends paid on common stock | (38,985) | (56,173) | |||
Net cash provided by (used in) financing activities | 1,131,498 | (134,283) | |||
Effect of exchange rate changes on cash and cash equivalents | (1) | 45 | |||
Net increase (decrease) in cash and cash equivalents | (9,503) | 6,254 | |||
Cash and cash equivalents beginning of period | 46,172 | 24,711 | 24,711 | ||
Cash and cash equivalents end of period | 36,669 | 30,965 | 36,669 | 30,965 | 46,172 |
Supplemental disclosure of operating cash flow information: | |||||
Interest paid | 30,010 | 22,850 | |||
Income taxes paid | 4,966 | 1,567 | |||
Supplemental disclosure of non-cash financing/investing activities: | |||||
Principal payments of securities, not settled | 16 | 0 | |||
Securities sold, not settled | 0 | 8,893 | |||
Securities purchased, not settled | (293,959) | 0 | |||
Net unsettled TBAs | (2) | 0 | |||
Dividends and distributions declared, not paid | $ 12,995 | $ 12,995 | 12,995 | 12,995 | $ 12,995 |
Principal payments of Residential Whole-Loans, not settled | 4,580 | 3,230 | |||
Principal payments of Residential Bridge Loans, not settled | 2,598 | 0 | |||
Derivative collateral offset against derivatives | $ (157,913) | $ 0 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2017 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization Western Asset Mortgage Capital Corporation, a Delaware corporation, and its subsidiaries (the “Company”) commenced operations in May 2012. The Company invests in, finances and manages a diversified portfolio of real estate related securities, whole-loans and other financial assets. The Company’s portfolio is comprised of Agency RMBS (including TBAs), Agency CMBS, Non-Agency RMBS, Non-Agency CMBS and Whole-Loans. In addition, and to a significantly lesser extent, the Company has invested in other securities including certain Agency obligations that are not technically MBS as well as certain Non U.S. CMBS and in asset-backed securities (“ABS”) investments secured by a portfolio of private student loans. The Company’s investment strategy is based on Western Asset Management Company’s (the “Manager”) perspective of which mix of portfolio assets it believes provides the Company with the best risk-reward opportunities at any given time. The Manager will vary the allocation among various asset classes subject to maintaining the Company’s qualification as a REIT and maintaining its exemption from the Investment Company Act of 1940 (the “1940 Act”). These restrictions limit the Company’s ability to invest in non-qualifying MBS, non-real estate assets and/or assets which are not secured by real estate. Accordingly, the Company’s portfolio will continue to be principally invested in qualifying MBS, Whole-Loans and other real estate related assets. The Company is externally managed by the Manager, an investment advisor registered with the Securities and Exchange Commission (“SEC”). The Manager is a wholly-owned subsidiary of Legg Mason, Inc. The Company operates and has elected to be taxed as a real estate investment trust or “REIT” commencing with its taxable year ended December 31, 2012. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2017 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation and Consolidation The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. Certain prior period amounts have been reclassified to conform to the current period’s presentation. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended September 30, 2017 , are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s annual report on Form 10-K for the year ended December 31, 2016 , filed with the Securities and Exchange Commission (“SEC”) on March 7, 2017. The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiaries and variable interest entities (“VIEs”) in which we are considered the primary beneficiary. Refer to Note 5 - “Variable Interest Entities” for additional information regarding the impact of consolidating these VIEs. All intercompany amounts between the Company and its subsidiary and consolidated VIEs have been eliminated in consolidation. Variable Interest Entities VIEs are defined as entities that by design either lack sufficient equity for the entity to finance its activities without additional subordinated financial support or are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the 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 or the right to receive benefits of the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers is deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. In instances when a VIE is owned by both the Company and related parties, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed. If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group does as a whole meets these two criteria, the determination of primary beneficiary within the related party group is based upon an analysis of the facts and circumstances with the objective of determining which party is most closely associated with the VIE. Determining the primary beneficiary within the related party group requires significant judgment. In instances when the Company is required to consolidate a VIE that is determined to be a qualifying collateralized financing entity, under GAAP, the Company will measure both the financial assets and financial liabilities of the VIE using the fair value of either the VIE’s financial assets or financial liabilities, whichever is more observable. Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required. Use of Estimates The preparation of the consolidated financial statements requires management to 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. Earnings (Loss) Per Share GAAP requires use of the two-class method in computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company’s participating securities are not allocated a share of the net loss, as the participating securities do not have a contractual obligation to share in the net losses of the Company. The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of weighted average outstanding common shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes the weighted average outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares. Offering Costs Offering costs borne by the Company in connection with common stock offerings and private placements are reflected as a reduction of additional paid-in-capital. Offering costs borne by the Company in connection with its shelf registration will be deferred and recorded in "Other assets" until such time the Company completes a common stock offering where all or a portion will be reclassified and reflected as a reduction of additional paid-in-capital. The deferred offering costs will be expensed upon the expiration of the shelf if the Company does not complete an equity offering. Cash and Cash Equivalents The Company considers 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. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit. Valuation of Financial Instruments The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). ASC 820, "Fair Value Measurement and Disclosures" establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. ASC 820 further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: Level I — Quoted prices in active markets for identical assets or liabilities. Level II — Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. Level III — Prices 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 value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. Refer to Note 3 - "Fair Value of Financial Instruments". Mortgage-Backed Securities and Other Securities The Company's mortgage-backed securities and other securities portfolio primarily consists of Agency RMBS, Non-Agency RMBS, Agency CMBS, Non-Agency CMBS, ABS and other real estate related assets, these investments are recorded in accordance with ASC 320, “Investments - Debt and Equity Securities”, ASC 325-40, “Beneficial Interests in Securitized Financial Assets” or ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality”. The Company has chosen to make a fair value election pursuant to ASC 825, “Financial Instruments” for its mortgage-backed securities and other securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Operations as a component of “Unrealized gain (loss), net”. If the Company purchases securities with evidence of credit deterioration, it will analyze to determine if the guidance found in ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality” is applicable. The Company evaluates securities for other-than-temporary impairment (“OTTI”) on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments, estimates and assumptions based on subjective and objective factors. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. When the fair value of an investment security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” When a security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as OTTI and the cost basis of the security is adjusted to its fair value. Additionally for securities accounted for under ASC 325-40 an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a “market participant” would use and are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the “Other than temporary impairment” in the Consolidated Statements of Operations. The Company uses its estimated prepayment speed as the primary assumption used to determine other-than temporary-impairments for Interest-Only Strips, excluding Agency and Non-Agency Interest-Only Strips accounted for as derivatives. Increases in interest income may be recognized on a security on which the Company previously recorded an OTTI charge if the cash flow of such security subsequently improves. In addition, unrealized losses on the Company's Agency securities, with explicit guarantee of principal and interest by the governmental sponsored entity ("GSE"), are not credit losses but rather were due to changes in interest rates and prepayment expectations. These securities would not be considered other than temporarily impaired provided we did not intend to sell the security. Residential Whole-Loans Investments in Residential Whole-Loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs". The Company has chosen to make the fair value election pursuant to ASC 825 for its Residential Whole-Loan portfolio. Residential Whole-Loans are recorded at fair value in the Consolidated Balance Sheets with the periodic change in fair value being recorded in earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring Residential Whole-Loans or committing to purchase these loans are charged to expense as incurred. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as the Company has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged. Residential Bridge Loans Investments in Residential Bridge Loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs". These loans are recorded at their principal amount outstanding, net of any premium or discount in the Consolidated Balance Sheets. All other costs incurred in connection with acquiring the Residential Bridge Loans or committing to purchase these loans are charged to expense as incurred. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the impairment is then measured based on the present value of expected future cash flows discounted at the loan’s effective rate or the fair value of the collateral, if the loan is collateral dependent. Upon measurement of impairment, the Company records an allowance to reduce the carrying value of the loan with a corresponding charge to net income. Significant judgments are required in determining impairment, including assumptions regarding the value of the loan, the value of the underlying collateral and other provisions such as guarantees. Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or it is legally discharged. Interest Income Recognition Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. The Company records interest income in accordance with ASC subtopic 835-30 "Imputation of Interest", using the effective interest method. As such premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, are amortized into interest income over the estimated life of such securities. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and, as a result, if the projected prepayment speed increases, the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if projected prepayment speeds decrease, the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are also recognized in accordance with ASC 835, using the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company’s observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Where appropriate, the Company may include in its cash flow projections the U.S. Department of Justice’s settlements with the major residential mortgage originators, regarding certain lending practices. 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 underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. Based on the projected cash flow of such securities purchased at a discount to par value, the Company may designate a portion of such purchase discount as credit protection against future credit losses and, therefore, not accrete such amount into interest income. The amount designated as credit discount may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively. Residential Whole-Loans and Residential Bridge Loans Interest income on the Company's residential loan portfolio is recorded in accordance with ASC 835 using the effective interest method based on the contractual payment terms of the loan. Any premium amortization or discount accretion will be reflected as a component of "Interest income" in the Consolidated Statements of Operations. Purchases and Sales of Investments The Company accounts for a contract for the purchase or sale of securities, or other securities that do not yet exist on a trade date basis, which it intends to take possession and thus recognizes the acquisition or disposition of the securities at the inception of the contract. Sales of investments are driven by the Company’s portfolio management process. The Company seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities and/or other investments the Company’s Manager believes have more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of investments, including Agency Interest-Only Strips not characterized as derivatives, are a component of "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Operations, and are recorded at the time of disposition. Realized gains or losses on Interest-Only Strips which are characterized as derivatives are a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. Foreign Currency Transactions The Company has and expects to continue to enter into transactions denominated in foreign currency from time to time. At the date the transaction is recognized, the asset and/or liability will be measured and recorded using the exchange rate in effect at the date of the transaction. At each balance sheet date, such foreign currency assets and liabilities are re-measured using the exchange rate in effect at the date of the balance sheet, resulting in unrealized foreign currency gains or losses, which are recorded in "Other, net" in the Consolidated Statements of Operations. Due From Counterparties/Due To Counterparties "Due from counterparties" represents cash posted by the Company with its counterparties as collateral for the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. "Due to counterparties" represents cash posted with the Company by its counterparties as collateral under the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Included in "Due from counterparties" and/or "Due to counterparties" are daily variation margin settlement amounts with counterparties which are based on the price movement of the Company’s futures contracts. However, commencing in 2017, daily variation margin on only the Company's centrally cleared derivatives will be treated as a settlement and classified as either "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. In addition, as provided below, "Due to counterparties" may include non-cash collateral in which the Company has the obligation to return and which the Company has either sold or pledged. To the extent the Company receives collateral other than cash from its counterparties such assets are not included in the Company’s Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability are reflected in the Consolidated Balance Sheets. Derivatives and Hedging Activities Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company utilizes derivative financial instruments, including interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, TBAs and Agency and Non-Agency Interest-Only Strips to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company has also entered into a total return swap, which transfers the total return of the referenced security to the Company. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. The Company does not necessarily seek to hedge all such risks. In addition, if the Company’s hedging activities do not achieve the desired results, reported earnings may be adversely affected. GAAP requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative. The fair value adjustment will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a for hedge for accounting purposes and if so, the nature of the hedging activity. The Company elected not to apply hedge accounting for its derivative instruments. Accordingly, the Company records the change in fair value of its derivative instruments, which includes net interest rate swap payments/receipts (including accrued amounts) and net currency payments/receipts (including accrued amounts) related to interest rate swaps and currency swaps, respectively, in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. In January 2017, the CME amended its rulebooks to legally characterize variation margin payments and receipts for over-the-counter derivatives they clear as settlements of the derivatives' exposure rather than collateral against exposure. As a result of the change in legal characterization, effective January 1, 2017, variation margin is no longer classified as collateral in the Consolidated Balance Sheets in either "Due from counterparties" or "Due to counterparties", but rather a component of the respective "Derivative asset, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. The variation margin is now considered partial settlements of the derivative contract and will result in realized gains or losses which prior to January 1, 2017 were classified as unrealized gains or losses on derivatives. Prior to the CME rulebook change variation margin was included in financing activities in the Company's Consolidated Statement of Cash Flows in either "Due from counterparties, net" or "Due to counterparties, net". Commencing in January 2017, cash postings for variation margin are included in operating activities in the Consolidated Statements of Cash Flows. In the Company’s Consolidated Statements of Cash Flows, premiums received or paid on termination of its interest rate swaps are included in cash flows from operating activities. Notwithstanding the foregoing, proceeds and payments on settlement of swaptions, mortgage put options, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company’s Consolidated Statements of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis activity is included with MBS and other securities under cash flows from investing activities in the Company’s Consolidated Statements of Cash Flows. The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows have been altered from that of the underlying mortgage collateral. Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives. The carrying value of the Agency and Non-Agency Interest-Only Strips, accounted for as derivatives, is included in "Mortgage-backed securities and other securities, at fair value" in the Consolidated Balance Sheets. The carrying value of interest rate swaptions, currency forwards, futures contracts and TBAs is included in "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. Interest earned or paid along with the change in fair value of these instruments accounted for as derivatives is recorded in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embedded derivatives. An embedded derivative is separated from the host contact and accounted for separately when all of the guidance criteria are met. Hybrid instruments that are remeasured at fair value through earnings, including the fair value option are not bifurcated. Derivative instruments, including derivative instruments accounted for as liabilities, are recorded at fair value and are re-valued at each reporting date, with changes in the fair value together with interest earned or paid (including accrued amounts) reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. Repurchase Agreements and Reverse Repurchase Agreements Investments sold under repurchase agreements are treated as collateralized financing transactions, unless they meet all the criteria for sales treatment. Securities financed through a repurchase agreement remain in the Company's Consolidated Balance Sheets as assets and cash received from the lender is recorded in the Company's Consolidated Balance Sheets as a liability. Interest payable in accordance with repurchase agreements is recorded as "Accrued interest payable" in the Consolidated Balance Sheets. Interest paid (including accrued amounts) in accordance with repurchase agreements is recorded as interest expense. The Company may borrow securities under reverse repurchase agreements to deliver a security owned and sold by the Company but pledged to a different counterparty under a separate repurchase agreement when in the Manager’s view terminating the outstanding repurchase agreement is not in the Company’s best interest. Cash paid to the borrower is recorded in the Company’s Consolidated Balance Sheets as an asset. Interest receivable in accordance with reverse repurchase agreements is recorded as accrued interest receivable in the Consolidated Balance Sheets. The Company reflects all proceeds on reverse repurchase agreement and repayment of reverse repurchase agreement, on a net basis in the Consolidated Statements of Cash |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 9 Months Ended |
Sep. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments The following tables present the Company’s financial instruments carried at fair value as of September 30, 2017 and December 31, 2016 , based upon the valuation hierarchy (dollars in thousands): September 30, 2017 Fair Value Level I Level II Level III Total Assets Agency RMBS: 20-Year mortgage $ — $ 159,278 $ — $ 159,278 30-Year mortgage — 548,196 — 548,196 40-Year mortgage — 387,095 — 387,095 Agency RMBS Interest-Only Strips — 14,028 2,009 16,037 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — 11,219 — 11,219 Agency CMBS — 2,103,185 — 2,103,185 Agency CMBS Interest-Only Strips — 30 — 30 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 6,016 — 6,016 Subtotal Agency MBS — 3,229,047 2,009 3,231,056 Non-Agency RMBS — 50,100 14,262 64,362 Non-Agency CMBS — 278,511 — 278,511 Subtotal Non-Agency MBS — 328,611 14,262 342,873 Other securities — 113,181 9,470 122,651 Total mortgage-backed securities and other securities — 3,670,839 25,741 3,696,580 Residential Whole-Loans — — 191,439 191,439 Securitized commercial loan — — 24,952 24,952 Derivative assets 375 4,636 — 5,011 Total Assets $ 375 $ 3,675,475 $ 242,132 $ 3,917,982 Liabilities Derivative liabilities $ 128 $ 858 $ — $ 986 Securitized debt — — 10,979 10,979 Total Liabilities $ 128 $ 858 $ 10,979 $ 11,965 December 31, 2016 Fair Value Level I Level II Level III Total Assets Agency RMBS: 20-Year mortgage $ — $ 498,470 $ — $ 498,470 30-Year mortgage — 935,207 — 935,207 Agency RMBS Interest-Only Strips — 19,790 — 19,790 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — 16,503 — 16,503 Agency CMBS — 290,605 73,059 363,664 Agency CMBS Interest-Only Strips — 231 — 231 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 7,729 — 7,729 Subtotal Agency MBS — 1,768,535 73,059 1,841,594 Non-Agency RMBS — 240,422 619 241,041 Non-Agency RMBS Interest-Only Strips — — 64,116 64,116 Non-Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 3,085 3,085 Non-Agency CMBS — 351,163 7,756 358,919 Subtotal Non-Agency MBS — 591,585 75,576 667,161 Other securities — 36,406 31,356 67,762 Total mortgage-backed securities and other securities — 2,396,526 179,991 2,576,517 Residential Whole-Loans — — 192,136 192,136 Securitized commercial loan — — 24,225 24,225 Derivative assets 71 20,500 — 20,571 Total Assets $ 71 $ 2,417,026 $ 396,352 $ 2,813,449 Liabilities Derivative liabilities $ 2,487 $ 177,998 $ 1,673 $ 182,158 Securitized debt — — 10,659 10,659 Total Liabilities $ 2,487 $ 177,998 $ 12,332 $ 192,817 When available, the Company uses quoted market prices to determine the fair value of an asset or liability. If quoted market prices are not available, the Company will use independent pricing services and if the independent pricing service cannot price a particular asset or liability, the Company will obtain third party broker quotes. The Manager’s pricing group, which functions independently from its portfolio management personnel, reviews the third party broker quotes by comparing the broker quotes for reasonableness to alternate sources when available. If independent pricing service, or third party broker quotes are not available, the Company determines the 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 when applicable, estimates of prepayments and credit losses. Mortgage-backed securities and other securities In determining the proper fair value hierarchy or level, the Company considers the amount of available observable market data for each security. Agency RMBS given the amount of available observable market data are classified in Level II. For Non-Agency RMBS, CMBS and other securities, to determine whether a security should be a Level II, the securities are grouped by security type and the Manager reviews the internal trade history, for the quarter, for each security type. If there is sufficient trade data above a predetermined threshold of a security type, the Manager determines it has sufficient observable market data and the security will be categorized as a Level II. Values for the Company’s securities are based upon prices obtained from independent third party pricing services. The valuation methodology of the third party pricing services incorporates a commonly used market pricing method. Depending on the type of asset and the underlying collateral, the primary inputs to the model include yields for TBAs, Agency RMBS, the U.S. Treasury market and floating rate indices such as LIBOR, the Constant Maturity Treasury rate and the prime rate as a benchmark yield. In addition, the model may incorporate the current weighted average maturity and additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. When the third party pricing service cannot adequately price a particular security, the Company utilizes a broker’s quote which is reviewed for reasonableness by the Manager’s pricing group. Residential Whole-Loans Values for the Company’s residential whole-loans are based upon prices obtained from an independent third party pricing service that specializes in whole loans, utilizing a trade based valuation model. Their valuation methodology incorporates commonly used market pricing methods, including loan to value (“LTV”), debt to income, maturity, interest rates, collateral location, and unpaid principal balance, prepayment penalties, FICO scores, lien position and times late. Due to the inherent uncertainty of such valuation, the fair values established for residential loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Accordingly, the Company’s loans are classified as Level III. Securitized commercial loan and securitized debt Values for the Company’s securitized commercial loan and securitized debt are based on which fair value is more observable of the fair value of the securitized commercial loan or the securitized debt. Since there is an extremely limited market for the securitized commercial loan, the Company determined the fair value of the securitized debt was more observable. The fair value of the securitized debt was based upon a third party broker quote, which is validated by the Manager’s pricing group. Due to the inherent uncertainty of such valuation the Company classifies its securitized commercial loan and securitized debt as Level III. Derivatives Values for the Company's derivatives are based upon prices from third party pricing services, whose pricing is subject to review by the Manager’s pricing committee. In valuing its over-the-counter interest rate derivatives, such as swaps and swaptions, its currency derivatives, such as swaps and forwards and credit derivatives such as total return swaps, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. No credit valuation adjustment was made in determining the fair value of interest rate and/or currency derivatives for the periods ended September 30, 2017 and December 31, 2016 . The Company performs quarterly reviews of the independent third party pricing data. These reviews may consist of a review of the daily change in the prices provided by the independent pricing vendor which exceed established tolerances or comparisons to executed transaction prices, utilizing the Manager’s pricing group. The Manager’s pricing group, which functions independently from its portfolio management personnel, reviews the price differences or changes in price by comparing the vendor price to alternate sources including other independent pricing services or broker quotations. If the price change or difference cannot be corroborated, the Manager’s pricing group consults with the portfolio management team for market color in reviewing such pricing data as warranted. To the extent that the Manager has information, typically in the form of broker quotations that would indicate that a price received from the independent pricing service is outside of a tolerance range, the Manager generally challenges the independent pricing service price. The following tables present additional information about the Company’s financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Three months ended September 30, 2017 $ in thousands Mortgage-backed securities and other securities Residential Whole-Loans Securitized commercial loan Securitized debt Derivative liability Beginning balance $ 36,731 $ 203,540 $ 24,875 $ 10,945 $ 329 Transfers into Level III from Level II 9,470 — — — — Transfers from Level III into Level II (23,852 ) — — — — Purchases 2,009 — — — — Sales and settlements — — — — (53 ) Principal repayments (388 ) (11,264 ) (59 ) (26 ) — Total net gains / losses included in net income Realized (gains)/losses, net on liabilities — — — — 53 Other than temporary impairment (121 ) — — — — Unrealized gains/(losses), net on assets (1) 1,385 (575 ) 136 — — Unrealized (gains)/losses, net on liabilities (2) — — — 60 (329 ) Premium and discount amortization, net 507 (262 ) — — — Ending balance $ 25,741 $ 191,439 $ 24,952 $ 10,979 $ — Three months ended September 30, 2016 $ in thousands Mortgage-backed securities and other securities Residential Whole-Loans Securitized commercial loan Securitized debt Derivative liability Beginning balance $ 226,826 $ 189,696 $ 23,688 $ 10,423 $ 2,160 Transfers into Level III from Level II — — — — — Transfers from Level III into Level II — — — — — Purchases — 29,404 — — — Sales and settlements (9,194 ) — — — — Principal repayments (4,366 ) (14,493 ) — — — Total net gains / losses included in net income Realized gains/(losses), net on assets (1,696 ) — — — — Other than temporary impairment (251 ) — — — — Unrealized gains/(losses), net on assets (1) (996 ) 819 450 — — Unrealized (gains)/losses, net on liabilities (2) — — — 198 11 Premium and discount amortization, net (2,530 ) (544 ) — — — Ending balance $ 207,793 $ 204,882 $ 24,138 $ 10,621 $ 2,171 (1) For Mortgage-backed securities and other securities, Residential Whole-Loans and Securitized commercial loans classified as Level III at September 30, 2017 , the Company recorded gross unrealized gains of approximately $291 thousand , $42 thousand and $136 thousand , respectively, and gross unrealized losses of $0 , $398 thousand and $0 , respectively, for the three months ended September 30, 2017 . For Mortgage-backed securities and other securities, Residential Whole-Loans and Securitized commercial loans classified as Level III at September 30, 2016 , the Company recorded gross unrealized gains of approximately $3.0 million , $1.4 million and $450 thousand , respectively, and gross unrealized losses of approximately $4.2 million , $350 thousand and $0 , respectively, for the three months ended September 30, 2016 . These gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) For securitized debt and derivative liability classified as Level III at September 30, 2017 , the Company recorded gross unrealized gains of $0 and $0 , respectively, and gross unrealized losses of $60 thousand and $0 , respectively, for the three months ended September 30, 2017 . For securitized debt and derivative liability classified as Level III at September 30, 2016 , the Company recorded gross unrealized gains of $0 and $0 , respectively, and gross unrealized losses of $198 thousand and $11 thousand , respectively, for the three months ended September 30, 2016 . These gains and losses are included in "Unrealized gain (loss), net" and "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, respectively. Nine months ended September 30, 2017 $ in thousands Mortgage-backed securities and other securities Residential Whole-Loans Securitized commercial loan Securitized debt Derivative liability Beginning balance $ 179,991 $ 192,136 $ 24,225 $ 10,659 $ 1,673 Transfers into Level III from Level II 25,080 — — — — Transfers from Level III into Level II (114,229 ) — — — — Purchases 2,009 33,718 — — — Sales and settlements (60,132 ) — — — (552 ) Principal repayments (2,635 ) (33,718 ) (59 ) (26 ) — Total net gains / losses included in net income Realized gains/(losses), net on assets 2,623 — — — — Realized (gains)/losses, net on liabilities — — — — 552 Other than temporary impairment (1,823 ) — — — — Unrealized gains/(losses), net on assets (1) (6,529 ) 97 786 — — Unrealized (gains)/losses, net on liabilities (2) — — — 346 (1,673 ) Premium and discount amortization, net 1,386 (794 ) — — — Ending balance $ 25,741 $ 191,439 $ 24,952 $ 10,979 $ — Nine months ended September 30, 2016 $ in thousands Mortgage-backed securities and other securities Residential Whole-Loans Securitized commercial loan Securitized debt Derivative liability Beginning balance $ 466,336 $ 218,538 $ 25,000 $ 11,000 $ — Transfers into Level III from Level II — — — — — Transfers from Level III into Level II (158,566 ) — — — — Purchases 94 29,404 — — — Sales and settlements (78,104 ) — — — — Principal repayments (15,453 ) (42,828 ) — — — Total net gains / losses included in net income Realized gains/(losses), net on assets (8,131 ) — — — — Other than temporary impairment (5,306 ) — — — — Unrealized gains/(losses), net on assets (1) 14,862 1,403 (862 ) — — Unrealized (gains)/losses, net on liabilities (2) — — — (379 ) 2,171 Premium and discount amortization, net (7,939 ) (1,635 ) — — — Ending balance $ 207,793 $ 204,882 $ 24,138 $ 10,621 $ 2,171 (1) For Mortgage-backed securities and other securities, Residential Whole-Loans and Securitized commercial loans classified as Level III at September 30, 2017 , the Company recorded gross unrealized gains of approximately $756 thousand , $917 thousand and $786 thousand , respectively, and gross unrealized losses of approximately $0 , $570 thousand and $0 , respectively, for the nine months ended September 30, 2017 . For Mortgage-backed securities and other securities, Residential Whole-Loans and Securitized commercial loans classified as Level III at September 30, 2016 , the Company recorded gross unrealized gains of approximately $20.3 million , $2.2 million and $0 , respectively, and gross unrealized losses of approximately $2.2 million , $271 thousand and $862 thousand , respectively, for the nine months ended September 30, 2016 . These gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) For securitized debt and derivative liability classified as Level III at September 30, 2017 , the Company recorded gross unrealized gains of $0 and $0 , respectively, and gross unrealized losses of approximately $346 thousand and $0 , respectively, for the nine months ended September 30, 2017 . For securitized debt and derivative liability classified as Level III at September 30, 2016 , the Company recorded gross unrealized gains of approximately $379 thousand and $0 , respectively, and gross unrealized losses of $0 and $2.2 million , respectively, for the nine months ended September 30, 2016 . These gains and losses are included in "Unrealized gain (loss), net" and "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. Transfers between hierarchy levels for the nine months ended September 30, 2017 and September 30, 2016 were based on the availability of sufficient observable inputs to meet Level II versus Level III criteria. The leveling of these assets was based on information received from a third party pricing service which, along with the back-testing of historical sales transactions performed by the Manager provided the sufficient observable data for the movement from Level III to Level II. The Company did not have transfers between Level I and Level II for the nine months ended September 30, 2017 and September 30, 2016 . Other Fair Value Disclosures Residential Bridge Loans and repurchase agreement borrowings are not carried at fair value in the consolidated financial statements. The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value, as of September 30, 2017 , in the consolidated financial statements (dollars in thousands): Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 54,912 $ 56,077 Total $ 54,912 $ 56,077 Liabilities Borrowings under repurchase agreements $ 3,336,256 $ 3,340,801 Total $ 3,336,256 $ 3,340,801 "Due from counterparties" and "Due to counterparties" in the Company’s Consolidated Balance Sheets are reflected at cost which approximates fair value. Bridge Loans The fair values of the Residential Bridge Loans are based upon prices obtained from an independent third party pricing service that specializes in whole loans, utilizing a trade based valuation model. Their valuation methodology incorporates commonly used market pricing methods, including loan to value (“LTV”), debt to income, maturity, interest rates, collateral location, and unpaid principal balance, prepayment penalties, FICO scores, lien position and times late. Due to the inherent uncertainty of such valuation, the fair values established for residential bridge loans held by the Company may differ from the fair values that would have been established if a readily available market existed for these loans. Borrowings under repurchase agreements The fair values of the borrowings under repurchase agreements are based on a net present value technique. This method discounts future estimated cash flows using rates the Company determined best estimates current market interest rates that would be offered for loans with similar characteristics and credit quality. The use of different market assumptions or estimation methodologies could have a material effect on the fair value amounts. |
Mortgage-Backed Securities and
Mortgage-Backed Securities and other securities | 9 Months Ended |
Sep. 30, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities and other securities | 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS: 20-Year mortgage $ — $ 159,278 $ — $ — $ 159,278 30-Year mortgage — — 548,196 — 548,196 40-Year mortgage — — — 387,095 387,095 Agency RMBS Interest-Only Strips 4,203 6,201 5,633 — 16,037 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,798 5,398 4,023 — 11,219 Agency CMBS 1,571,850 531,335 — — 2,103,185 Agency CMBS Interest-Only Strips 30 — — — 30 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 6,016 6,016 Subtotal Agency 1,577,881 702,212 557,852 393,111 3,231,056 Non-Agency RMBS 13 52,530 4,343 7,476 64,362 Non-Agency CMBS 8,988 25,437 144,292 99,794 278,511 Subtotal Non-Agency 9,001 77,967 148,635 107,270 342,873 Other securities — 93,795 5,004 23,852 122,651 Total $ 1,586,882 $ 873,974 $ 711,491 $ 524,233 $ 3,696,580 December 31, 2016 < or equal to 10 years > 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS: 20-Year mortgage $ — $ 498,470 $ — $ — $ 498,470 30-Year mortgage — — 935,207 — 935,207 Agency RMBS Interest-Only Strips 499 10,434 8,857 — 19,790 Agency RMBS Interest-Only Strips, accounted for as derivatives 807 9,476 6,220 — 16,503 Agency CMBS 282,911 80,753 — — 363,664 Agency CMBS Interest-Only Strips 231 — — — 231 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 7,729 7,729 Subtotal Agency 284,448 599,133 950,284 7,729 1,841,594 Non-Agency RMBS 13 65,780 54,408 120,840 241,041 Non-Agency RMBS Interest- Only Strips — 4,955 10,724 48,437 64,116 Non-Agency RMBS Interest-Only Strips, accounted for as derivatives — — 1,043 2,042 3,085 Non-Agency CMBS 15,865 37,998 134,941 170,115 358,919 Subtotal Non-Agency 15,878 108,733 201,116 341,434 667,161 Other securities — 40,360 5,346 22,056 67,762 Total $ 300,326 $ 748,226 $ 1,156,746 $ 371,219 $ 2,576,517 The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 20-Year mortgage $ 2,729 $ (16 ) 4 $ — $ — — $ 2,729 $ (16 ) 4 30-Year mortgage 31,615 (57 ) 3 1,554 (113 ) 4 33,169 (170 ) 7 40-Year mortgage 290,834 (814 ) 1 — — — 290,834 (814 ) 1 Agency RMBS Interest-Only Strips 5,213 (189 ) 7 1,312 (45 ) 2 6,525 (234 ) 9 Agency CMBS 927,395 (7,141 ) 53 — — — 927,395 (7,141 ) 53 Subtotal Agency 1,257,786 (8,217 ) 68 2,866 (158 ) 6 1,260,652 (8,375 ) 74 Non-Agency CMBS 10,957 (184 ) 4 136,234 (13,885 ) 37 147,191 (14,069 ) 41 Subtotal Non-Agency 10,957 (184 ) 4 136,234 (13,885 ) 37 147,191 (14,069 ) 41 Total $ 1,268,743 $ (8,401 ) 72 $ 139,100 $ (14,043 ) 43 $ 1,407,843 $ (22,444 ) 115 December 31, 2016 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 20-Year mortgage $ 142,749 $ (1,935 ) 47 $ — $ — — $ 142,749 $ (1,935 ) 47 30-Year mortgage 432,949 (11,264 ) 54 22,586 (945 ) 13 455,535 (12,209 ) 67 Agency RMBS Interest-Only Strips 6,105 (227 ) 6 1,630 (94 ) 2 7,735 (321 ) 8 Agency CMBS 145,791 (260 ) 7 — — — 145,791 (260 ) 7 Subtotal Agency 727,594 (13,686 ) 114 24,216 (1,039 ) 15 751,810 (14,725 ) 129 Non-Agency RMBS 11,628 (50 ) 3 33,034 (2,185 ) 6 44,662 (2,235 ) 9 Non-Agency CMBS 59,529 (4,031 ) 17 208,288 (26,015 ) 47 267,817 (30,046 ) 64 Subtotal Non-Agency 71,157 (4,081 ) 20 241,322 (28,200 ) 53 312,479 (32,281 ) 73 Other securities 7,966 (415 ) 1 23,390 (1,179 ) 2 31,356 (1,594 ) 3 Total $ 806,717 $ (18,182 ) 135 $ 288,928 $ (30,418 ) 70 $ 1,095,645 $ (48,600 ) 205 The Company identified 47 securities with an unpaid principal balance of $322.2 million which it intended to sell that were in an unrealized loss position held at September 30, 2017 , and as a result, the Company recognized an impairment charge of approximately $4.7 million on Agency RMBS which is included in "Other than temporary impairment" in the Company's Consolidated Statements of Operations. Generally the Company’s records OTTI on security portfolio when the credit quality of the underlying collateral deteriorates and or the schedule payments are faster than previously projected. The credit deterioration could be as a result of, but not limited to, increased projected realized losses, foreclosures, delinquencies and the likelihood of the borrower being able to make payments in the future. Generally, a prepayment occurs when a loan has a higher interest rate relative to current interest rates and lenders are willing to extend credit at the lower current interest rate of the underlying collateral for the loan is sold or transferred. Refer to Note 2 "Summary of Significant Accounting Policies - Mortgage-Backed Securities and Other Securities" The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): Three months ended September 30, 2017 Three months ended September 30, 2016 Nine months ended September 30, 2017 Nine months ended September 30, 2016 Agency RMBS $ 4,760 $ 202 $ 5,420 $ 1,226 Non-Agency RMBS — 852 — 8,081 Non-Agency CMBS 2,344 3,674 12,658 9,213 Other securities 121 250 1,823 3,611 Total $ 7,225 $ 4,978 $ 19,901 $ 22,131 The following tables present components of interest income on the Company’s MBS and other securities (dollars in thousands) for the three and nine months ended September 30, 2017 and September 30, 2016 , respectively: For the three months ended September 30, 2017 For the three months ended September 30, 2016 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 8,886 $ (2,995 ) $ 5,891 $ 16,525 $ (6,255 ) $ 10,270 Agency CMBS 11,071 110 11,181 677 (505 ) 172 Non-Agency RMBS 571 372 943 8,575 (1,172 ) 7,403 Non-Agency CMBS 4,242 2,139 6,381 6,021 1,954 7,975 Other securities 2,160 464 2,624 464 732 1,196 Total $ 26,930 $ 90 $ 27,020 $ 32,262 $ (5,246 ) $ 27,016 For the nine months ended September 30, 2017 For the nine months ended September 30, 2016 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 30,513 $ (10,662 ) $ 19,851 $ 50,693 $ (22,220 ) $ 28,473 Agency CMBS 24,408 717 25,125 2,194 (1,358 ) 836 Non-Agency RMBS 4,482 303 4,785 27,098 (4,106 ) 22,992 Non-Agency CMBS 14,675 6,572 21,247 19,270 5,513 24,783 Other securities 5,300 2,112 7,412 1,656 2,284 3,940 Total $ 79,378 $ (958 ) $ 78,420 $ 100,911 $ (19,887 ) $ 81,024 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities (dollars in thousands) for the three and nine months ended September 30, 2017 and September 30, 2016 , respectively: For the three months ended September 30, 2017 For the three months ended September 30, 2016 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ (2,906 ) $ (3 ) $ 51 $ 48 $ 42,427 $ — $ (138 ) $ (138 ) Agency CMBS — — — — 8,216 45 — 45 Non-Agency RMBS — — — — 15,209 1,306 — 1,306 Non-Agency CMBS 10,597 1,641 (278 ) 1,363 9,194 — (1,452 ) (1,452 ) Other securities 10,419 419 — 419 14,485 1,678 — 1,678 Total $ 18,110 $ 2,057 $ (227 ) $ 1,830 $ 89,531 $ 3,029 $ (1,590 ) $ 1,439 (1) Reflects a reclassification of proceeds from a sale recorded on the trade date to reflect subsequent Agency RMBS paydowns. For the nine months ended September 30, 2017 For the nine months ended September 30, 2016 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 862,245 $ 4,376 $ (7,314 ) $ (2,938 ) $ 358,029 $ 5,250 $ (5,764 ) $ (514 ) Agency CMBS — — — — 18,637 54 (55 ) (1 ) Non-Agency RMBS (2) 243,811 24,389 (2,242 ) 22,147 120,649 3,100 (4,559 ) (1,459 ) Non-Agency CMBS 45,634 2,377 (1,351 ) 1,026 34,188 — (4,381 ) (4,381 ) Other securities 33,365 419 (54 ) 365 764,711 3,496 (2,109 ) 1,387 Total $ 1,185,055 $ 31,561 $ (10,961 ) $ 20,600 $ 1,296,214 $ 11,900 $ (16,868 ) $ (4,968 ) (1) For the nine months ended September 30, 2017 and September 30, 2016 , excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and $8.6 million , gross realized gains of $432 thousand and $300 thousand , and gross realized losses of $0 and $455 thousand , respectively. (2) For the nine months ended September 30, 2017 and September 30, 2016 , excludes proceeds for Non-Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.2 million and $0 , gross realized gains of $274 thousand and $0 , and gross realized losses of $180 thousand and $0 , respectively." id="sjs-B4">Mortgage-Backed Securities and other securities The following tables present certain information about the Company’s investment portfolio at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 Principal Balance Unamortized Premium (Discount), net Discount Designated as Credit Reserve and OTTI Amortized Cost Unrealized Gain Unrealized Loss Estimated Fair Value Net Weighted Average Coupon (1) Agency RMBS: 20-Year mortgage $ 149,970 $ 7,796 $ — $ 157,766 $ 1,528 $ (16 ) $ 159,278 3.9 % 30-Year mortgage 508,739 34,841 — 543,580 4,786 (170 ) 548,196 4.2 % 40-Year mortgage 374,844 11,062 — 385,906 2,003 (814 ) 387,095 3.5 % Agency RMBS Interest-Only Strips (2) N/A N/A N/A 15,416 855 (234 ) 16,037 3.0 % (2) Agency RMBS Interest-Only Strips, accounted for as derivatives (2) (3) N/A N/A N/A N/A N/A N/A 11,219 2.9 % (2) Agency CMBS 2,087,948 2,147 — 2,090,095 20,231 (7,141 ) 2,103,185 2.9 % Agency CMBS Interest-Only Strips (2) N/A N/A N/A — 30 — 30 3.2 % (2) Agency CMBS Interest-Only Strips accounted for as derivatives (2) (3) N/A N/A N/A N/A N/A N/A 6,016 0.5 % (2) Subtotal Agency MBS 3,121,501 55,846 — 3,192,763 29,433 (8,375 ) 3,231,056 3.1 % Non-Agency RMBS 81,504 (802 ) (22,262 ) 58,440 5,922 — 64,362 3.1 % Non-Agency CMBS 376,215 (60,850 ) (25,342 ) 290,023 2,557 (14,069 ) 278,511 4.8 % Subtotal Non-Agency MBS 457,719 (61,652 ) (47,604 ) 348,463 8,479 (14,069 ) 342,873 4.5 % Other securities (4) 92,302 5,340 (5,225 ) 115,845 6,806 — 122,651 7.3 % Total $ 3,671,522 $ (466 ) $ (52,829 ) $ 3,657,071 $ 44,718 $ (22,444 ) $ 3,696,580 3.3 % December 31, 2016 Principal Balance Unamortized Premium (Discount), net Discount Designated as Credit Reserve and OTTI Amortized Cost Unrealized Gain Unrealized Loss Estimated Fair Value Net Weighted Average Coupon (1) Agency RMBS: 20-Year mortgage $ 470,975 $ 25,741 $ — $ 496,716 $ 3,689 $ (1,935 ) $ 498,470 3.9 % 30-Year mortgage 878,599 63,608 — 942,207 5,209 (12,209 ) 935,207 4.1 % Agency RMBS Interest-Only Strips (2) N/A N/A N/A 18,810 1,301 (321 ) 19,790 3.0 % (2) Agency RMBS Interest-Only Strips, accounted for as derivatives (2) (3) N/A N/A N/A N/A N/A N/A 16,503 3.2 % (2) Agency CMBS 377,286 (15,383 ) — 361,903 2,021 (260 ) 363,664 2.6 % Agency CMBS Interest-Only Strips (2) N/A N/A N/A 210 21 — 231 4.3 % (2) Agency CMBS Interest-Only Strips accounted for as derivatives (2) (3) N/A N/A N/A N/A N/A N/A 7,729 0.6 % (2) Subtotal Agency MBS 1,726,860 73,966 — 1,819,846 12,241 (14,725 ) 1,841,594 3.3 % Non-Agency RMBS 340,759 (294 ) (108,399 ) 232,066 11,210 (2,235 ) 241,041 4.5 % Non-Agency RMBS Interest- Only Strips (2) N/A N/A N/A 55,754 8,362 — 64,116 5.6 % (2) Non-Agency RMBS Interest-Only Strips, accounted for as derivatives (2) (3) N/A N/A N/A N/A N/A N/A 3,085 4.6 % (2) Non-Agency CMBS 473,024 (69,436 ) (17,787 ) 385,801 3,164 (30,046 ) 358,919 5.0 % Subtotal Non-Agency MBS 813,783 (69,730 ) (126,186 ) 673,621 22,736 (32,281 ) 667,161 5.0 % Other securities (4) 44,838 4,435 (4,298 ) 68,085 1,271 (1,594 ) 67,762 8.2 % Total $ 2,585,481 $ 8,671 $ (130,484 ) $ 2,561,552 $ 36,248 $ (48,600 ) $ 2,576,517 3.9 % (1) Net weighted average coupon as of September 30, 2017 and December 31, 2016 is presented, net of servicing and other fees. (2) IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At September 30, 2017 , the notional balance for Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, and Agency CMBS IOs and IIOs, accounted for as derivatives was $166.2 million , $131.8 million , $5.3 million and $193.8 million , respectively. At December 31, 2016 , the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, Non-Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs was $201.6 million , $278.4 million , $188.1 million , $20.7 million , $221.8 million and $32.8 million , respectively. (3) Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. (4) Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $23.4 million and $23.1 million , as of September 30, 2017 and December 31, 2016 , respectively. As of September 30, 2017 and December 31, 2016 the weighted average expected remaining term of the MBS and other securities investment portfolio was 8.5 years and 7.1 years , respectively. The following tables present the changes in the components of the Company’s purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the three and nine months ended September 30, 2017 and September 30, 2016 (dollars in thousands): Three months ended September 30, 2017 Three months ended September 30, 2016 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (49,830 ) $ (76,778 ) $ 15,186 $ (129,162 ) $ (139,675 ) $ 43,402 Accretion of discount — 2,588 — — 4,151 — Amortization of premium — — (87 ) — — (1,132 ) Realized credit losses 25 — — 2,623 — — Purchases — — — (1,216 ) — 2,246 Sales 187 1,931 (18 ) 1,947 8,573 (1,323 ) Net impairment losses recognized in earnings (2,345 ) — — (4,526 ) — — Transfers/release of credit reserve (2) (866 ) 953 (87 ) 1,679 (254 ) (1,425 ) Balance at end of period $ (52,829 ) $ (71,306 ) $ 14,994 $ (128,655 ) $ (127,205 ) $ 41,768 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) Subsequent reductions of a security’s non-accretable discount results in a corresponding reduction in its amortizable premium. Nine months ended September 30, 2017 Nine months ended September 30, 2016 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (130,484 ) $ (109,822 ) $ 44,527 $ (152,750 ) $ (145,532 ) $ 56,163 Accretion of discount — 8,542 — — 13,381 — Amortization of premium — — (776 ) — — (4,242 ) Realized credit losses 1,854 — — 5,765 — — Purchases (1,724 ) (668 ) 1,522 (15,482 ) (2,265 ) 4,366 Sales 89,628 32,016 (31,060 ) 33,610 22,986 (11,752 ) Net impairment losses recognized in earnings (12,696 ) — — (18,340 ) — — Transfers/release of credit reserve (2) 593 (1,374 ) 781 18,542 (15,775 ) (2,767 ) Balance at end of period $ (52,829 ) $ (71,306 ) $ 14,994 $ (128,655 ) $ (127,205 ) $ 41,768 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) Subsequent reductions of a security’s non-accretable discount results in a corresponding reduction in its amortizable premium. The following tables present the fair value and contractual maturities of the Company’s investment securities at September 30, 2017 and December 31, 2016 (dollars in thousands) : September 30, 2017 < or equal to 10 years > 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS: 20-Year mortgage $ — $ 159,278 $ — $ — $ 159,278 30-Year mortgage — — 548,196 — 548,196 40-Year mortgage — — — 387,095 387,095 Agency RMBS Interest-Only Strips 4,203 6,201 5,633 — 16,037 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,798 5,398 4,023 — 11,219 Agency CMBS 1,571,850 531,335 — — 2,103,185 Agency CMBS Interest-Only Strips 30 — — — 30 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 6,016 6,016 Subtotal Agency 1,577,881 702,212 557,852 393,111 3,231,056 Non-Agency RMBS 13 52,530 4,343 7,476 64,362 Non-Agency CMBS 8,988 25,437 144,292 99,794 278,511 Subtotal Non-Agency 9,001 77,967 148,635 107,270 342,873 Other securities — 93,795 5,004 23,852 122,651 Total $ 1,586,882 $ 873,974 $ 711,491 $ 524,233 $ 3,696,580 December 31, 2016 < or equal to 10 years > 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS: 20-Year mortgage $ — $ 498,470 $ — $ — $ 498,470 30-Year mortgage — — 935,207 — 935,207 Agency RMBS Interest-Only Strips 499 10,434 8,857 — 19,790 Agency RMBS Interest-Only Strips, accounted for as derivatives 807 9,476 6,220 — 16,503 Agency CMBS 282,911 80,753 — — 363,664 Agency CMBS Interest-Only Strips 231 — — — 231 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 7,729 7,729 Subtotal Agency 284,448 599,133 950,284 7,729 1,841,594 Non-Agency RMBS 13 65,780 54,408 120,840 241,041 Non-Agency RMBS Interest- Only Strips — 4,955 10,724 48,437 64,116 Non-Agency RMBS Interest-Only Strips, accounted for as derivatives — — 1,043 2,042 3,085 Non-Agency CMBS 15,865 37,998 134,941 170,115 358,919 Subtotal Non-Agency 15,878 108,733 201,116 341,434 667,161 Other securities — 40,360 5,346 22,056 67,762 Total $ 300,326 $ 748,226 $ 1,156,746 $ 371,219 $ 2,576,517 The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 20-Year mortgage $ 2,729 $ (16 ) 4 $ — $ — — $ 2,729 $ (16 ) 4 30-Year mortgage 31,615 (57 ) 3 1,554 (113 ) 4 33,169 (170 ) 7 40-Year mortgage 290,834 (814 ) 1 — — — 290,834 (814 ) 1 Agency RMBS Interest-Only Strips 5,213 (189 ) 7 1,312 (45 ) 2 6,525 (234 ) 9 Agency CMBS 927,395 (7,141 ) 53 — — — 927,395 (7,141 ) 53 Subtotal Agency 1,257,786 (8,217 ) 68 2,866 (158 ) 6 1,260,652 (8,375 ) 74 Non-Agency CMBS 10,957 (184 ) 4 136,234 (13,885 ) 37 147,191 (14,069 ) 41 Subtotal Non-Agency 10,957 (184 ) 4 136,234 (13,885 ) 37 147,191 (14,069 ) 41 Total $ 1,268,743 $ (8,401 ) 72 $ 139,100 $ (14,043 ) 43 $ 1,407,843 $ (22,444 ) 115 December 31, 2016 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 20-Year mortgage $ 142,749 $ (1,935 ) 47 $ — $ — — $ 142,749 $ (1,935 ) 47 30-Year mortgage 432,949 (11,264 ) 54 22,586 (945 ) 13 455,535 (12,209 ) 67 Agency RMBS Interest-Only Strips 6,105 (227 ) 6 1,630 (94 ) 2 7,735 (321 ) 8 Agency CMBS 145,791 (260 ) 7 — — — 145,791 (260 ) 7 Subtotal Agency 727,594 (13,686 ) 114 24,216 (1,039 ) 15 751,810 (14,725 ) 129 Non-Agency RMBS 11,628 (50 ) 3 33,034 (2,185 ) 6 44,662 (2,235 ) 9 Non-Agency CMBS 59,529 (4,031 ) 17 208,288 (26,015 ) 47 267,817 (30,046 ) 64 Subtotal Non-Agency 71,157 (4,081 ) 20 241,322 (28,200 ) 53 312,479 (32,281 ) 73 Other securities 7,966 (415 ) 1 23,390 (1,179 ) 2 31,356 (1,594 ) 3 Total $ 806,717 $ (18,182 ) 135 $ 288,928 $ (30,418 ) 70 $ 1,095,645 $ (48,600 ) 205 The Company identified 47 securities with an unpaid principal balance of $322.2 million which it intended to sell that were in an unrealized loss position held at September 30, 2017 , and as a result, the Company recognized an impairment charge of approximately $4.7 million on Agency RMBS which is included in "Other than temporary impairment" in the Company's Consolidated Statements of Operations. Generally the Company’s records OTTI on security portfolio when the credit quality of the underlying collateral deteriorates and or the schedule payments are faster than previously projected. The credit deterioration could be as a result of, but not limited to, increased projected realized losses, foreclosures, delinquencies and the likelihood of the borrower being able to make payments in the future. Generally, a prepayment occurs when a loan has a higher interest rate relative to current interest rates and lenders are willing to extend credit at the lower current interest rate of the underlying collateral for the loan is sold or transferred. Refer to Note 2 "Summary of Significant Accounting Policies - Mortgage-Backed Securities and Other Securities" The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): Three months ended September 30, 2017 Three months ended September 30, 2016 Nine months ended September 30, 2017 Nine months ended September 30, 2016 Agency RMBS $ 4,760 $ 202 $ 5,420 $ 1,226 Non-Agency RMBS — 852 — 8,081 Non-Agency CMBS 2,344 3,674 12,658 9,213 Other securities 121 250 1,823 3,611 Total $ 7,225 $ 4,978 $ 19,901 $ 22,131 The following tables present components of interest income on the Company’s MBS and other securities (dollars in thousands) for the three and nine months ended September 30, 2017 and September 30, 2016 , respectively: For the three months ended September 30, 2017 For the three months ended September 30, 2016 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 8,886 $ (2,995 ) $ 5,891 $ 16,525 $ (6,255 ) $ 10,270 Agency CMBS 11,071 110 11,181 677 (505 ) 172 Non-Agency RMBS 571 372 943 8,575 (1,172 ) 7,403 Non-Agency CMBS 4,242 2,139 6,381 6,021 1,954 7,975 Other securities 2,160 464 2,624 464 732 1,196 Total $ 26,930 $ 90 $ 27,020 $ 32,262 $ (5,246 ) $ 27,016 For the nine months ended September 30, 2017 For the nine months ended September 30, 2016 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 30,513 $ (10,662 ) $ 19,851 $ 50,693 $ (22,220 ) $ 28,473 Agency CMBS 24,408 717 25,125 2,194 (1,358 ) 836 Non-Agency RMBS 4,482 303 4,785 27,098 (4,106 ) 22,992 Non-Agency CMBS 14,675 6,572 21,247 19,270 5,513 24,783 Other securities 5,300 2,112 7,412 1,656 2,284 3,940 Total $ 79,378 $ (958 ) $ 78,420 $ 100,911 $ (19,887 ) $ 81,024 The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities (dollars in thousands) for the three and nine months ended September 30, 2017 and September 30, 2016 , respectively: For the three months ended September 30, 2017 For the three months ended September 30, 2016 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ (2,906 ) $ (3 ) $ 51 $ 48 $ 42,427 $ — $ (138 ) $ (138 ) Agency CMBS — — — — 8,216 45 — 45 Non-Agency RMBS — — — — 15,209 1,306 — 1,306 Non-Agency CMBS 10,597 1,641 (278 ) 1,363 9,194 — (1,452 ) (1,452 ) Other securities 10,419 419 — 419 14,485 1,678 — 1,678 Total $ 18,110 $ 2,057 $ (227 ) $ 1,830 $ 89,531 $ 3,029 $ (1,590 ) $ 1,439 (1) Reflects a reclassification of proceeds from a sale recorded on the trade date to reflect subsequent Agency RMBS paydowns. For the nine months ended September 30, 2017 For the nine months ended September 30, 2016 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 862,245 $ 4,376 $ (7,314 ) $ (2,938 ) $ 358,029 $ 5,250 $ (5,764 ) $ (514 ) Agency CMBS — — — — 18,637 54 (55 ) (1 ) Non-Agency RMBS (2) 243,811 24,389 (2,242 ) 22,147 120,649 3,100 (4,559 ) (1,459 ) Non-Agency CMBS 45,634 2,377 (1,351 ) 1,026 34,188 — (4,381 ) (4,381 ) Other securities 33,365 419 (54 ) 365 764,711 3,496 (2,109 ) 1,387 Total $ 1,185,055 $ 31,561 $ (10,961 ) $ 20,600 $ 1,296,214 $ 11,900 $ (16,868 ) $ (4,968 ) (1) For the nine months ended September 30, 2017 and September 30, 2016 , excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and $8.6 million , gross realized gains of $432 thousand and $300 thousand , and gross realized losses of $0 and $455 thousand , respectively. (2) For the nine months ended September 30, 2017 and September 30, 2016 , excludes proceeds for Non-Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.2 million and $0 , gross realized gains of $274 thousand and $0 , and gross realized losses of $180 thousand and $0 , respectively. |
Variable Interest Entities
Variable Interest Entities | 9 Months Ended |
Sep. 30, 2017 | |
Variable Interest Entities | |
Variable Interest Entities | Variable Interest Entities Residential Whole-Loan Trust The consolidated financial statements also include the consolidation of a residential whole-loan trust that met the definition of a VIE related to the acquisition of Residential Whole-Loans in which the Company has determined itself to be the primary beneficiary of such trust. The Company determined that it was the primary beneficiary of the Residential Whole-Loan trust, because it was involved in certain aspects of the design of the trust, has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. The trust has issued a trust certificate to the Company, which represents the beneficial interest in pools of Residential Whole-Loans held by the trust. As of September 30, 2017 , the Company financed the trust certificate with $156.8 million of repurchase borrowings, which is a liability held outside the trust. The Company classifies the underlying Residential Whole-Loans owned by the trust in "Residential Whole-Loans, at fair value" in the Consolidated Balance Sheets and has eliminated the intercompany trust certificate in consolidation. Residential Bridge Loan Trust In February 2017, Revolving Mortgage Investment Trust 2017-BRQ1 ("RMI Trust") issued a trust certificate to the Company, which represents the beneficial interest in pools of Residential Bridge Loans held by the trust. Residential Bridge Loans are mortgage loans secured by non owner occupied single family or multifamily residences, typically short-term. The Company determined that RMI Trust was a VIE and itself the primary beneficiary because it was involved in certain aspects of the design of the trust, has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. As of September 30, 2017 , the Company financed the trust certificate with $51.1 million of repurchase borrowings, which is a liability held outside the trust. The Company classifies the underlying Residential Bridge Loans owned by the trust in "Residential Bridge Loans" which are carried at amortized cost in the Consolidated Balance Sheets and has eliminated the intercompany trust certificate in consolidation. Commercial Loan Trust In November 2015, the Company acquired a $14.0 million interest in the trust certificate issued by CMSC Trust 2015 - Longhouse MZ (“CMSC Trust”), with a fair value of $14.0 million at September 30, 2017 , which is financed with $6.8 million of repurchase borrowings. The Company determined that CMSC Trust was a VIE and itself the primary beneficiary because it was involved in certain aspects of the design of the trust, has certain oversight rights on defaulted assets and has other significant decision making powers. In addition, the Company has the obligation to absorb losses to the extent of its ownership interest and the right to receive benefits from the trust that could potentially be significant to the trust. The CMSC Trust holds a $24.9 million mezzanine loan collateralized by interests in commercial real estate. The mezzanine loan serves as collateral for the $24.9 million of trust certificates issued. As of September 30, 2017 , the Company classified the mezzanine loan at fair value in "Securitized commercial loan, at fair value" in the Consolidated Balance Sheets. The $24.9 million of trust certificates, of which $14.0 million was eliminated in consolidation and the remaining $11.0 million held by an affiliate is carried at a fair value of $11.0 million and classified as "Securitized debt, at fair value" in the Consolidated Balance Sheets. As of September 30, 2017 , the aggregate fair value of the securitized debt issued by the consolidated VIE was $11.0 million which is classified as Securitized debt, at fair value in the Company’s Consolidated Balance Sheets. The cost of financing the securitized debt is approximately 8.9% . Consolidated Loan Trusts The Company assesses modifications to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. The three consolidated trusts hold 483 Residential Whole-Loans , 156 Residential Bridge Loans and one commercial loan as of September 30, 2017 . The following table presents a summary of the assets and liabilities of the consolidated loan trusts included in the Consolidated Balance Sheets as of September 30, 2017 and December 31, 2016 (dollars in thousands). September 30, 2017 December 31, 2016 Residential Whole-Loans, at fair value $ 191,439 $ 192,136 Residential Bridge Loans 54,912 — Securitized commercial loan, at fair value 24,952 24,225 Investment related receivable 7,178 1,241 Accrued interest receivable 2,529 1,622 Total assets $ 281,010 $ 219,224 Securitized debt, at fair value $ 10,979 $ 10,659 Accrued interest payable 82 85 Accounts payable and accrued expenses 157 2 Total liabilities $ 11,218 $ 10,746 The Company’s risk with respect to its investment in each trust is limited to its direct ownership in the trust. The Residential Whole-Loans, Residential Bridge Loans and securitized commercial loan held by the consolidated trusts are held solely to satisfy the liabilities of the trust, and creditors of the trust have no recourse to the general credit of the Company. The assets of a consolidated trust can only be used to satisfy the obligations of that trust. The Company is not contractually required and has not provided any additional financial support to the trusts for the three and nine months ended September 30, 2017 and September 30, 2016 . The Company did not deconsolidate any trusts during the three and nine months ended September 30, 2017 and September 30, 2016 . The following table presents the components of the fair value of Residential Whole-Loans and securitized commercial loan as of September 30, 2017 and December 31, 2016 (dollars in thousands): Residential Whole-Loans Securitized Commercial Loan September 30, 2017 December 31, 2016 September 30, 2017 December 31, 2016 Principal balance $ 187,521 $ 187,765 $ 24,941 $ 25,000 Unamortized premium 1,255 1,311 — — Unamortized discount (998 ) (539 ) — — Gross unrealized gains 3,759 3,643 11 — Gross unrealized losses (98 ) (44 ) — (775 ) Fair value $ 191,439 $ 192,136 $ 24,952 $ 24,225 Residential Whole-Loans The Residential Whole-Loans are comprised of non-qualifying, mostly adjustable rate mortgages with low loan to values (or “LTV”). The following tables present certain information about the Company’s Residential Whole-Loan investment portfolio at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) Contractual Maturity (years) Coupon Rate 3.01 – 4.00% 94 $ 40,696 54.4 % 750 1.6 28.3 3.9 % 4.01– 5.00% 246 92,170 55.4 % 725 1.4 26.2 4.4 % 5.01 – 6.00% 138 51,635 57.4 % 723 1.5 26.6 5.2 % 6.01 – 7.00% 5 3,020 71.2 % 738 1.3 20.4 6.3 % Total 483 $ 187,521 56.0 % 731 1.4 26.6 4.5 % (1) The original FICO score is not available for 140 loans with a principal balance of approximately $56.6 million at September 30, 2017 . The Company has excluded these loans from the weighted average computations. December 31, 2016 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) Contractual Maturity (years) Coupon Rate 3.01 – 4.00% 59 $ 23,318 54.8 % 732 1.4 26.5 4.2 % 4.01– 5.00% 180 69,930 57.1 % 728 1.5 27.3 4.6 % 5.01 – 6.00% 231 91,440 55.5 % 723 1.6 27.1 5.0 % 6.01 – 7.00% 5 3,077 71.2 % 738 1.3 21.1 6.3 % Total 475 $ 187,765 56.3 % 726 1.5 27.0 4.8 % (1) The original FICO score is not available for 153 loans with a principal balance of approximately $66.7 million at December 31, 2016 . The Company has excluded these loans from the weighted average computations. The following table presents the U.S. states in which the collateral securing the Company’s Residential Whole-Loans at September 30, 2017 and December 31, 2016 , based on principal balance, is located (dollars in thousands): September 30, 2017 December 31, 2016 State Concentration Principal Balance State State Concentration Principal Balance California 70.0 % $ 131,403 California 85.2 % $ 159,955 New York 19.1 % 35,877 Washington 5.6 % 10,591 Washington 5.0 % 9,290 Massachusetts 5.4 % 10,161 Massachusetts 4.9 % 9,175 New York 2.4 % 4,454 Georgia 0.7 % 1,266 Georgia 0.8 % 1,492 Other 0.3 % 510 Other 0.6 % 1,112 Total 100.0 % $ 187,521 Total 100.0 % $ 187,765 Residential Bridge Loans The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following table presents certain information about the Company’s Residential Bridge Loan investment portfolio at September 30, 2017 . (dollars in thousands): September 30, 2017 Weighted Average Current Coupon Rate Number of Loans Principal Balance Unamortized Premium Carrying Value Original LTV Original FICO Score (1) Contractual Maturity (months) Coupon Rate 8.01 – 9.00% 37 $ 16,164 $ 78 $ 16,242 72.3 % 718 14.3 8.9 % 9.01 – 10.00% 75 27,011 110 27,121 73.8 % 669 7.7 9.6 % 10.01 – 11.00% 34 9,193 25 9,218 74.7 % 648 4.1 10.7 % 17.01 – 18.00% 10 2,348 (17 ) 2,331 72.0 % 630 7.7 18.0 % Total 156 $ 54,716 $ 196 $ 54,912 73.4 % 679 9.1 10.0 % (1) The original FICO score is not available for 20 loans with a principal balance of approximately $6.2 million at September 30, 2017 . The Company has excluded these loans from the weighted average computations. The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at September 30, 2017 , based on principal balance, is located (dollars in thousands): September 30, 2017 State Concentration Principal Balance California 49.8 % $ 27,311 Florida 27.4 % 14,988 Hawaii 7.7 % 4,225 Washington 4.9 % 2,664 Oregon 4.0 % 2,180 Other 6.2 % 3,348 Total 100.0 % $ 54,716 Non-performing Loans As of September 30, 2017 , there was one Residential Whole-Loan over 90-days past due with a current unpaid principal balance of $825 thousand and a fair value of $803 thousand and 6 Residential Bridge Loans over 90-days past due with an unpaid principal balance of approximately $1.6 million . These nonperforming Residential Whole Loans and Residential Bridge Loans represent approximately 0.4% and 2.9% of the total outstanding principal balance, respectively. No allowance and provision for credit losses was recorded for these loans as of and for the three months ended September 30, 2017 since the Company elected the fair value option for our Residential Whole-Loans and we are expecting full recovery of the principal and interest is expected for the non-performing Bridge Loans. The Company stopped accruing interest income for these loans when they became contractually 90 days delinquent. Unconsolidated VIEs The Company’s economic interests held in unconsolidated VIEs are limited in nature to those of a passive holder of RMBS and CMBS issued by securitization trusts; the Company was not involved in the design or creation of the securitization trusts which issued its investments in MBS. As of September 30, 2017 and December 31, 2016 , the Company had three investments in VIEs in which it was not the primary beneficiary, and accordingly, the VIEs were not consolidated in the Company’s consolidated financial statements. As of September 30, 2017 and December 31, 2016 , the Company’s maximum exposure to loss from these investments did not exceed the sum of the $62.5 million and $60.5 million carrying value of the investments, respectively, which are classified in "Mortgage-backed securities and other securities, at fair value" in the Company’s Consolidated Balance Sheets. Further, as of September 30, 2017 and December 31, 2016 , the Company had not guaranteed any obligations of unconsolidated entities or entered into any commitment or intent to provide funding to any such entities. |
Borrowings under Repurchase Agr
Borrowings under Repurchase Agreements | 9 Months Ended |
Sep. 30, 2017 | |
Debt Disclosure [Abstract] | |
Borrowings under Repurchase Agreements | Borrowings under Repurchase Agreements The Company mainly finances its investment acquisitions with repurchase agreements. The repurchase agreements bear interest at a contractually agreed-upon rate and typically have terms ranging from one month to three months . The Company’s repurchase agreement borrowings are accounted for as secured borrowings when the Company maintains effective control of the financed assets. Under the repurchase agreements, the respective counterparties retain the right to determine the fair value of the underlying collateral. A reduction in the value of pledged assets requires the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, and is referred to as a margin call. The inability of the Company to post adequate collateral for a margin call by a counterparty, in a timeframe as short as the close of the same business day, could result in a condition of default under the Company’s repurchase agreements, thereby enabling the counterparty to liquidate the collateral pledged by the Company, which may have a material adverse effect on the Company’s financial position, results of operations and cash flows. Under the terms of the repurchase agreements the Company may rehypothecate pledged U.S. Treasury securities it receives from its repurchase agreement as incremental collateral in order to increase the Company’s cash position. At September 30, 2017 and December 31, 2016 , the Company did not have any rehypothecated U.S. Treasury securities. Certain of the repurchase agreements provide the counterparty with the right to terminate the agreement if the Company does not maintain certain equity and leverage metrics, the most restrictive of which include a limit on leverage based on the composition of the Company’s portfolio. For all the repurchase agreements with outstanding borrowings, the Company was in compliance with the terms of such financial tests as of September 30, 2017 . As of September 30, 2017 , the Company had master repurchase agreements with 27 counterparties. As of September 30, 2017 , the Company had borrowings under repurchase agreements with 17 counterparties. The following table summarizes certain characteristics of the Company’s repurchase agreements at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 December 31, 2016 Securities Pledged Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Agency RMBS $ 792,520 1.39 % 61 $ 1,427,674 0.96 % 38 Agency CMBS 2,019,010 1.39 % 32 56,365 1.07 % 46 Non-Agency RMBS 48,443 2.85 % 41 218,712 2.53 % 28 Non-Agency CMBS 192,015 2.96 % 36 255,656 2.55 % 30 Whole-Loans (1) (2) 163,560 3.46 % 6 161,181 2.91 % 9 Residential Bridge Loans (1) 51,074 4.29 % 59 — — % 0 Other securities 69,634 3.36 % 22 36,056 2.32 % 17 Borrowings under repurchase agreements $ 3,336,256 1.69 % 38 $ 2,155,644 1.48 % 34 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated upon consolidation. (2) Whole-Loans consist of Residential Whole-Loans and a securitized commercial loan. For the nine months ended September 30, 2017 and the year ended December 31, 2016 , the Company had average borrowings under its repurchase agreements of approximately $2.5 billion and $2.5 billion , respectively, and had a maximum month-end balance during the periods of approximately $3.3 billion and $3.1 billion , respectively. The Company had accrued interest payable at September 30, 2017 and December 31, 2016 of approximately $4.7 million and $3.2 million , respectively. At September 30, 2017 and December 31, 2016 , repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) September 30, 2017 December 31, 2016 Overnight $ — $ — 1 to 29 days 1,582,898 1,386,971 30 to 59 days 710,723 167,642 60 to 89 days 1,042,635 601,031 90 to 119 days — — Greater than or equal to 120 days — — Total $ 3,336,256 $ 2,155,644 At September 30, 2017 , the following table presents the repurchase agreement counterparties for which the Company has greater than 10% of its equity at risk (dollars in thousands): September 30, 2017 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Credit Suisse Securities (USA) LLC $ 74,122 18 16.3 % Citigroup Global Markets Inc. 49,929 38 10.9 % Collateral for Borrowings under Repurchase Agreements The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 December 31, 2016 Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets Pledged (3) Accrued Interest Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 823,403 $ 3,133 $ 826,536 $ 1,465,384 $ 5,335 $ 1,470,719 Agency CMBS, at fair value 2,109,202 5,183 2,114,385 61,200 353 61,553 Non-Agency RMBS, at fair value 64,348 162 64,510 308,165 682 308,847 Non-Agency CMBS, at fair value 278,095 1,451 279,546 358,919 1,845 360,764 Whole-Loans, at fair value (1)(2) 205,412 1,523 206,935 205,702 1,518 207,220 Residential Bridge Loans (1) 54,912 905 55,817 — — — Other securities, at fair value 122,651 116 122,767 67,762 57 67,819 Cash (3) 24,950 — 24,950 36,986 — 36,986 Total $ 3,682,973 $ 12,473 $ 3,695,446 $ 2,504,118 $ 9,790 $ 2,513,908 (1) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (2) Whole-Loans consist of Residential Whole-Loans and a securitized commercial loan. (3) Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets. A reduction in the value of pledged assets typically results in the repurchase agreement counterparties initiating a margin call. At September 30, 2017 and December 31, 2016 , investments held by counterparties as security for repurchase agreements totaled approximately $3.7 billion and approximately $2.5 billion , respectively. Cash collateral held by counterparties at September 30, 2017 and December 31, 2016 was approximately $25.0 million and approximately $37.0 million , respectively. Cash posted by repurchase agreement counterparties at September 30, 2017 and December 31, 2016 , was approximately $2.3 million and approximately $270 thousand , respectively. In addition, at September 30, 2017 and December 31, 2016 , the Company held securities of $0 and $357 thousand , respectively, as collateral from its repurchase agreement counterparties to satisfy margin requirements. The Company has the ability to repledge collateral received from its repurchase counterparties. |
Derivative Instruments
Derivative Instruments | 9 Months Ended |
Sep. 30, 2017 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | Derivative Instruments The Company’s derivatives may include interest rate swaps, interest rate swaptions, futures contracts, currency swaps and forwards, TBAs, Agency and Non-Agency Interest-Only Strips, and total return swaps. The following table summarizes the Company’s derivative instruments at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 December 31, 2016 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value (1) Accrued Interest Payable (receivable) Notional Amount Fair Value (1) Accrued Interest Payable (receivable) Interest rate swaps Non-Hedge Derivative assets, at fair value $ 3,046,200 $ 2,852 $ 59 $ 2,298,300 $ 20,466 $ 1,145 Options Non-Hedge Derivative assets, at fair value 400,000 375 — — — — Futures contracts Non-Hedge Derivative assets, at fair value — — — 56,900 71 — Foreign currency forward contracts Non-Hedge Derivative assets, at fair value 697 10 — 784 34 — TBA securities Non-Hedge Derivative assets, at fair value 582,000 1,774 — — — — Total derivative instruments, assets 5,011 59 20,571 1,145 Interest rate swaps Non-Hedge Derivative liability, at fair value 32,000 (19 ) — 5,046,300 (177,929 ) 3,054 Options Non-Hedge Derivative liability, at fair value 400,000 (128 ) — — — — Futures contracts Non-Hedge Derivative liability, at fair value — — — 176,300 (2,487 ) — Total return swaps Non-Hedge Derivative liability, at fair value — — — 47,059 (1,673 ) (94 ) Foreign currency forward contracts Non-Hedge Derivative liability, at fair value 690 (3 ) — 1,532 (69 ) — TBA securities Non-Hedge Derivative liability, at fair value 200,000 (836 ) — — — — Total derivative instruments, liabilities (986 ) — (182,158 ) 2,960 Total derivative instruments, net $ 4,025 $ 59 $ (161,587 ) $ 4,105 (1) Fair value excludes accrued interest. The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the three and nine months ended September 30, 2017 and September 30, 2016 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Mark-to-Market Return (Recovery) of Basis Contractual interest income (expense), net (1) Total Three months ended September 30, 2017 Interest rate swaps $ (38 ) $ 9,564 $ (2,028 ) $ 92 $ (1,764 ) $ 5,826 Interest-Only Strips— accounted for as derivatives — — 351 (1,486 ) 1,816 681 Options (957 ) — 477 — — (480 ) Futures contracts (77 ) — — — — (77 ) Foreign currency forwards 45 — (15 ) — — 30 Total return swaps (52 ) — 329 — 95 372 TBAs 577 — 288 — — 865 Total $ (502 ) $ 9,564 $ (598 ) $ (1,394 ) $ 147 $ 7,217 Three months ended September 30, 2016 Interest rate swaps $ (25,179 ) $ — $ 35,878 $ 168 $ (6,904 ) $ 3,963 Interest rate swaptions — — — — — — Interest-Only Strips— accounted for as derivatives — — 446 (2,827 ) 3,503 1,122 Options — — — — — — Futures contracts 5,844 — (8,792 ) — — (2,948 ) Foreign currency forwards 103 — (62 ) — — 41 Foreign currency swaps 1,409 — (1,852 ) — 61 (382 ) Total return swaps 2 — (11 ) — 308 299 TBAs 3,579 — 447 — — 4,026 Total $ (14,242 ) $ — $ 26,054 $ (2,659 ) $ (3,032 ) $ 6,121 Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Mark-to-Market Return (Recovery) of Basis Contractual interest income (expense), net (1) Total Nine months ended September 30, 2017 Interest rate swaps $ (150,593 ) $ (7,966 ) $ 156,102 $ 378 $ (12,662 ) $ (14,741 ) Interest rate swaptions (115 ) — — — — (115 ) Interest-Only Strips— accounted for as derivatives 526 — (783 ) (5,055 ) 6,229 917 Options (892 ) — (134 ) — — (1,026 ) Futures contracts (9,230 ) — 2,416 — — (6,814 ) Foreign currency forwards 25 — 43 — — 68 Total return swaps (552 ) — 1,673 — 469 1,590 TBAs 3,148 — 938 — — 4,086 Total $ (157,683 ) $ (7,966 ) $ 160,255 $ (4,677 ) $ (5,964 ) $ (16,035 ) Nine months ended September 30, 2016 Interest rate swaps $ (28,784 ) $ — $ (35,393 ) $ 502 $ (22,409 ) $ (86,084 ) Interest rate swaptions (1,035 ) — 1,631 — — 596 Interest-Only Strips— accounted for as derivatives (155 ) — (4,480 ) (8,930 ) 11,113 (2,452 ) Options 4,756 — — — — 4,756 Futures contracts 19,253 — 704 — — 19,957 Foreign currency forwards (90 ) — 8 — — (82 ) Foreign currency swaps 5,351 — (5,883 ) — 268 (264 ) Total return swaps 17 — (2,171 ) — 836 (1,318 ) TBAs 12,166 — (489 ) — — 11,677 Total $ 11,479 $ — $ (46,073 ) $ (8,428 ) $ (10,192 ) $ (53,214 ) (1) Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. At September 30, 2017 and December 31, 2016 , the Company had cash pledged as collateral for derivatives of approximately $64.0 million and approximately $206.6 million , respectively, which is reported in "Due from counterparties" in the Consolidated Balance Sheets. Effective in January 2017, variation margin of CME cleared derivatives are treated as settlements of the derivative contract as opposed to cash collateral. The September 30, 2017 cash collateral balance of $64.0 million represents upfront cash collateral upon the Company entering into the derivative transaction and cash collateral for derivatives not cleared through the CME. As a result of the change in the CME rules, the $157.9 million of previously posted cash collateral is now recorded as a reduction in the derivative liability. The Company also held cash collateral against derivatives of $0 and $470 thousand as collateral against derivatives at September 30, 2017 and December 31, 2016 , respectively, which is reported in "Due to counterparties" in the Consolidated Balance Sheets. Interest rate swaps and interest rate swaptions The Company enters into interest rate swaps and interest rate swaptions to mitigate its exposure to higher short-term interest rates in connection with its repurchase agreements. Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. Notwithstanding the foregoing, in order to manage its hedge position with regard to its liabilities, the Company on occasion will enter into interest rate swaps which involve the receipt of fixed-rate amounts from a counterparty in exchange for the Company making variable-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. The Company also enters into forward starting swaps and interest rate swaptions to help mitigate the effects of changes in interest rates on a portion of its borrowings under repurchase agreements. Interest rate swaptions provide the Company the option to enter into an interest rate swap agreement for a predetermined notional amount, stated term and pay and receive interest rates in the future. On occasion the Company may enter into a MAC interest rate swap in which it may receive or make a payment at the time of entering such interest rate swap to compensate for the out of the market nature of such interest rate swap. Similar to all other interest rate swaps, these interest rate swaps are also subject to margin requirements as previously described. The Company has not elected to account for its interest rate swaps as “hedges” under GAAP, accordingly the change in fair value of the interest rate swaps not designated in hedging relationships are recorded together with periodic net interest settlement amounts in "Gain (loss) on derivatives instruments, net" in the Consolidated Statements of Operations. Interest Rate Swaps The following tables summarize the average fixed pay rate, average floating receive rate and average maturity for the Company’s interest rate swaps as of September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 Remaining Interest Rate Swap Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) Forward Starting 1 year or less $ 105,900 0.8 % 1.3 % 0.1 — % Greater than 1 year and less than 3 years 600,000 1.6 % 1.3 % 2.1 — % Greater than 3 years and less than 5 years 690,000 2.0 % 1.3 % 4.6 — % Greater than 5 years 1,682,300 2.5 % 0.1 % 10.7 95.3 % Total $ 3,078,200 2.2 % 0.6 % 7.3 52.1 % December 31, 2016 Remaining Interest Rate Swap Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) Forward Starting 1 year or less $ 105,900 0.8 % 0.8 % 0.8 — % Greater than 1 year and less than 3 years 993,000 1.2 % 0.9 % 1.4 88.1 % Greater than 3 years and less than 5 years 1,861,700 1.9 % 0.9 % 3.9 36.5 % Greater than 5 years 1,701,600 3.1 % 0.9 % 10.5 6.5 % Total $ 4,662,200 2.1 % 0.9 % 5.7 35.7 % As of September 30, 2017 and December 31, 2016 , the Company has entered into fixed-pay forward starting interest rate swaps of approximately $1.6 billion and $1.7 billion , respectively, which have weighted average forward starting dates of 7.0 months and 4.5 months, respectively. There were no variable pay rate interest rate swaps as of September 30, 2017 . The following table summarizes the average variable pay rate, average fixed receive rate and average maturity for the Company’s interest rate swaps as of December 31, 2016 (excludes interest rate swaptions) (dollars in thousands): December 31, 2016 Remaining Interest Rate swap Term Notional Amount Average Variable Pay Rate Average Fixed Receive Rate Average Maturity (Years) Forward Starting Greater than 3 years and less than 5 years $ 1,811,400 0.9 % 1.4 % 3.7 — % Greater than 5 years 871,000 0.9 % 2.2 % 12.3 — % Total $ 2,682,400 0.9 % 1.7 % 6.5 — % The Company’s agreements with certain of its bilateral interest rate swap counterparties may be terminated at the option of the counterparty, and settled at fair value, if the Company does not maintain certain equity and leverage metrics. The most restrictive of which contain provisions which become more restrictive based upon portfolio composition. As of September 30, 2017 , the Company was in compliance with the terms of such financial tests. Options The Company may enter into options on U.S. Treasuries. As of September 30, 2017 , the Company had long position options on U.S. Treasuries with a notional amount of $400.0 million and a fair value in an asset position of $375 thousand and short position options on U.S. Treasuries with a notional amount of $400.0 million and a fair value in a liability position of $128 thousand . As of December 31, 2016, the Company had no option contracts on U.S. Treasuries. Futures Contracts The Company may enter into Eurodollar, Volatility Index, and U.S. Treasury futures. As of September 30, 2017 , the Company had no open contracts in U.S. Treasuries futures. As of December 31, 2016 , the Company had entered into contracts to buy or long positions for U.S. Treasuries with a notional amount of $56.9 million , a fair value in an asset position of $71 thousand and an expiration date of March 2017 . In addition, as of December 31, 2016 , the Company had sale contracts or short positions for U.S. Treasuries with a notional amount of $176.3 million , a fair value in an liability position of $2.5 million and an expiration date of March 2017 . Currency Swaps and Forwards The Company has invested in and, in the future, may invest in additional securities which are denominated in a currency or currencies other than U.S. dollars. Similarly, it has and may in the future, finance such assets in a currency or currencies other than U.S. dollars. In order to mitigate the impact to the Company, the Company may enter into derivative financial instruments, including foreign currency swaps and foreign currency forwards, to manage fluctuations in the valuation between U.S. dollars and such foreign currencies. Foreign currency swaps involve the payment of a foreign currency at fixed interest rate on a fixed notional amount and the receipt of U.S. dollars at a fixed interest rate on a fixed notional amount. Foreign currency forwards provide for the payment of a fixed amount of a foreign currency in exchange for a fixed amount of U.S. dollars at a date certain in the future. The carrying value of foreign currency swaps and forwards is included in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets with changes in valuation included in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. The following is a summary of the Company’s foreign currency forwards at September 30, 2017 and December 31, 2016 (dollars and euros in thousands): September 30, 2017 Derivative Type Notional Amount Notional (USD Equivalent) Maturity Fair Value Buy USD/Sell EUR currency forward € 580 $ 697 November 2017 $ 10 Currency forwards, assets € 580 $ 697 n/a $ 10 Buy EUR/Sell USD currency forward € 311 $ 370 November 2017 $ (1 ) Buy EUR/Sell USD currency forward € 269 $ 320 November 2017 $ (2 ) Currency forwards, liabilities € 580 $ 690 n/a $ (3 ) Total currency forwards € 1,160 $ 1,387 n/a $ 7 December 31, 2016 Derivative Type Notional Amount Notional (USD Equivalent) Maturity Fair Value Buy USD/Sell EUR currency forward € 710 $ 784 January 2017 $ 34 Currency forwards, assets € 710 $ 784 n/a $ 34 Buy EUR/Sell USD currency forward € 673 $ 735 February 2017 $ (23 ) Buy EUR/Sell USD currency forward € 710 $ 797 January 2017 $ (46 ) Currency forwards, liabilities € 1,383 $ 1,532 n/a $ (69 ) Total currency forwards € 2,093 $ 2,316 n/a $ (35 ) To-Be-Announced Securities The Company purchased or sold TBAs during the nine months ended September 30, 2017 and the year ended December 31, 2016 . As of December 31, 2016 , the Company had no contracts to purchase (“long position”) and sell (“short position”) TBAs on a forward basis. The following is a summary of the Company's long and short TBA positions reported as of September 30, 2017 , in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): September 30, 2017 Notional Fair Sale contracts, asset $ (582,000 ) $ 1,774 TBA securities, asset (582,000 ) 1,774 Purchase contracts, liability 200,000 (836 ) TBA securities, liability 200,000 (836 ) TBA securities, net $ (382,000 ) $ 938 The following table presents additional information about the Company’s contracts to purchase and sell TBAs for the nine months ended September 30, 2017 (dollars in thousands): Notional Amount as of Additions Settlement, Termination, Expiration or Exercise Notional Amount as of December 31, 2016 September 30, 2017 Purchase of TBAs $ — $ 4,504,200 $ (4,304,200 ) $ 200,000 Sale of TBAs $ — $ 4,886,200 $ (4,304,200 ) $ 582,000 Interest-Only Strips The Company also invests in Interest-Only Strips. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows has been altered from that of the underlying mortgage collateral. Generally, Interest-Only Strips for which the security represents a strip off of a mortgage pass through security will be considered a hybrid instrument classified as a MBS investment in the Consolidated Balance Sheets utilizing the fair value option. Alternatively, those Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives at fair value with changes recognized in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, along with any interest received. The carrying value of these Interest-Only Strips is included in "Mortgage-backed securities and other securities, at fair value" in the Consolidated Balance Sheets. Total Return Swap In 2016, the Company entered into a total return swap and, in the future, it may continue to enter into these types of credit derivatives. This swap transfers the total return of the referenced asset, including interim cash flows and capital appreciation or depreciation from a specified price to the Company. The total return swap has a referenced asset which is a security collateralized by residential loans with a notional amount of €51.0 million . The Company receives interest from the referenced asset equal to EURIBOR plus 2.75% and is required to pay the counterparty EURIBOR plus 0.50% through June 23, 2019, with the spread decreasing to 0.25% through December 2019, with the spread further decreasing to 0% through the maturity date of the referenced asset in December 2020. In February 2017, the Company terminated approximately half of its position, realizing a loss of $514 thousand . In August 2017, the Company terminated its remaining position, realizing a loss of $55 thousand . |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 9 Months Ended |
Sep. 30, 2017 | |
Offsetting [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 17,235 $ — $ 17,235 $ (12,437 ) $ — $ 4,798 Derivative asset, at fair value (2) 5,011 — 5,011 (148 ) — 4,863 Total derivative assets $ 22,246 $ — $ 22,246 $ (12,585 ) $ — $ 9,661 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 986 $ — $ 986 $ (148 ) $ (830 ) $ 8 Repurchase Agreements (4) 3,336,256 — 3,336,256 (3,336,256 ) — — Total derivative liability $ 3,337,242 $ — $ 3,337,242 $ (3,336,404 ) $ (830 ) $ 8 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, foreign currency swaps, total return swaps and TBAs. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $64.0 million as of September 30, 2017 . (4) The carry value of investments pledged against the Company’s repurchase agreements was approximately $3.7 billion as of September 30, 2017 . December 31, 2016 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 27,317 $ — $ 27,317 $ (23,338 ) $ — $ 3,979 Derivative asset, at fair value (2) 20,571 — 20,571 (20,500 ) — 71 Total derivative assets $ 47,888 $ — $ 47,888 $ (43,838 ) $ — $ 4,050 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 182,158 $ — $ 182,158 $ (20,500 ) $ (161,588 ) $ 70 Repurchase Agreements (4) 2,155,644 — 2,155,644 (2,155,644 ) — — Total derivative liability $ 2,337,802 $ — $ 2,337,802 $ (2,176,144 ) $ (161,588 ) $ 70 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the tables above represents amounts pledged as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, foreign currency swaps and TBAs. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $206.6 million as of December 31, 2016 . (4) The fair value of investments pledged against the Company’s repurchase agreements was approximately $2.5 billion as of December 31, 2016 . Certain of the Company’s repurchase agreement 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. |
Related Party Transactions
Related Party Transactions | 9 Months Ended |
Sep. 30, 2017 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Management Agreement In connection with the Company’s IPO in May 2012, the Company entered into a management agreement (the “Management Agreement”) with the Manager, which describes the services to be provided by the Manager and compensation for such services. The Manager is responsible for managing the Company’s operations, including: (i) performing all of its day-to-day functions; (ii) determining investment criteria in conjunction with the Board of Directors; (iii) sourcing, analyzing and executing investments, asset sales and financings; (iv) performing asset management duties; and (v) performing financial and accounting management, subject to the direction and oversight of the Company’s Board of Directors. Pursuant to the terms of the Management Agreement, the Manager is paid a management fee equal to 1.50% per annum of the Company’s stockholders’ equity (as defined in the Management Agreement), calculated and payable (in cash) quarterly in arrears. For purposes of calculating the management fee, “stockholders’ equity” means the sum of the net proceeds from any issuances of the Company’s equity securities since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance), plus retained earnings, calculated in accordance with GAAP, at the end of the most recently completed fiscal quarter (without taking into account any non-cash equity compensation expense incurred in current or prior periods), less any amount paid for repurchases of the Company’s shares of common stock, excluding any unrealized gains or losses on our investments and derivatives and other non-cash items (including OTTI charges prior to January 1, 2016) that have impacted stockholder’s equity as reported in the Company’s consolidated financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors. However, if the Company’s stockholders’ equity for any given quarter is negative based on the calculation described above, the Manager will not be entitled to receive any management fee for that quarter. On August 3, 2016, the Company and the Manager entered into an amendment to the Management Agreement that amended the definition of "Equity" in the Management Agreement. Under the new definition, for all periods beginning on January 1, 2016, OTTI will reduce the Company's "Equity" for any completed fiscal quarter that OTTI was recognized, which in turn will reduce the Company's management fee from what would have been payable before the amendment. In addition, the Company may be required to reimburse the Manager for certain expenses as described below, and shall reimburse the Manager for the compensation paid to the Company’s CFO, controller and their staff. Expense reimbursements to the Manager are made in cash on a regular basis. The Company’s reimbursement obligation is not subject to any dollar limitation. Because the Manager’s personnel perform certain legal, accounting, due diligence tasks and other services that outside professionals or outside consultants otherwise would perform, the Manager may be paid or reimbursed for the documented cost of performing such tasks, provided that such costs and reimbursements are in amounts which are no greater than those which would be payable to outside professionals or consultants engaged to perform such services pursuant to agreements negotiated on an arm’s-length basis. The Management Agreement may be amended, supplemented or modified by agreement between the Company and the Manager. The Management Agreement expires on May 16, 2018. It is automatically renewed for one -year terms on each May 15th unless previously terminated as described below. The Company’s independent directors review the Manager’s performance and any fees payable to the Manager annually and, the Management Agreement may be terminated annually upon the affirmative vote of at least two-thirds (2/3) of the Company’s independent directors, based upon: (i) the Manager’s unsatisfactory performance that is materially detrimental to the Company; or (ii) the Company’s determination that any fees payable to the Manager are not fair, subject to the Manager’s right to prevent such termination due to unfair fees by accepting a reduction of management fees agreed to by at least two-thirds (2/3) of the Company’s independent directors. The Company will provide the Manager 180 days prior notice of any such termination. Unless terminated for cause, the Company will pay the Manager a termination fee equal to three times the average annual management fee earned by the Manager during the prior 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. The Company may also terminate the Management Agreement at any time, without the payment of any termination fee, with 30 days prior written notice from the Company’s Board of Directors for cause, which will be determined by at least two-thirds (2/3) of the Company’s independent directors, which is defined as: (i) the Manager’s continued material breach of any provision of the Management Agreement (including the Manager’s failure to comply with the Company’s investment guidelines); (ii) the Manager’s fraud, misappropriation of funds, or embezzlement against the Company; (iii) the Manager’s gross negligence in the performance of its duties under the Management Agreement; (iv) the occurrence of certain events with respect to the bankruptcy or insolvency of the Manager, including an order for relief in an involuntary bankruptcy case or the Manager authorizing or filing a voluntary bankruptcy petition; (v) the Manager is convicted (including a plea of nolo contendere) of a felony; or (vi) the dissolution of the Manager. For the three months ended September 30, 2017 and September 30, 2016 , the Company incurred approximately $1.9 million and approximately $2.6 million in management fee, respectively. For the nine months ended September 30, 2017 and September 30, 2016 , the Company incurred approximately $6.2 million and approximately $7.9 million in management fees, respectively. In addition to the management fee, the Company is also responsible for reimbursing the Manager for certain expenses paid by the Manager on behalf of the Company as defined in the Management Agreement. For the three months ended September 30, 2017 and September 30, 2016 , the Company recorded expenses included in general and administrative expenses totaling approximately $202 thousand and approximately $186 thousand , respectively, related to reimbursable employee costs. For the nine months ended September 30, 2017 and September 30, 2016 , the Company recorded expenses included in general and administrative expenses totaling approximately $1.1 million and approximately $550 thousand , respectively, related to reimbursable employee costs. Any such expenses incurred by the Manager and reimbursed by the Company, including the employee compensation expense, are typically included in the Company’s general and administrative expenses in the Consolidated Statements of Operations, or may be reflected in the Consolidated Balance Sheets and associated Consolidated Statements of Changes in Stockholders’ Equity, based on the nature of the item. At September 30, 2017 and December 31, 2016 , approximately $1.9 million and approximately $2.5 million , respectively, for management fees incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets. In addition, at September 30, 2017 and December 31, 2016 , approximately $67 thousand and approximately $83 thousand , respectively, of reimbursable costs incurred but not yet paid was included in "Payable to affiliate" in the Consolidated Balance Sheets. Securitized Debt Held by Affiliate At September 30, 2017 and December 31, 2016 , the Company had securitized debt related to the consolidated VIEs, with a principal balance of $11.0 million and $11.0 million , respectively (and a fair value of $11.0 million and $10.7 million , respectively) which was held by an affiliate. The securitized debt of the VIEs can only be settled with the commercial loans that serve as collateral for the securitized debt of the VIE and is non-recourse to the Company. |
Share-Based Payments
Share-Based Payments | 9 Months Ended |
Sep. 30, 2017 | |
Share-based Compensation [Abstract] | |
Share-Based Payments | Share-Based Payments In conjunction with the Company’s IPO and concurrent private placement, the Company’s Board of Directors approved the Western Asset Mortgage Capital Corporation Equity Plan (the “Equity Plan”) and the Western Asset Manager Equity Plan (the “Manager Equity Plan” and collectively the “Equity Incentive Plans”). The Equity Incentive Plans include provisions for grants of restricted common stock and other equity-based awards to the Manager, its employees and employees of its affiliates and to the Company’s directors, officers and employees. The Company can issue up to 3.0% of the total number of issued and outstanding shares of its common stock (on a fully diluted basis) at the time of each award (other than any shares previously issued or subject to awards made pursuant to one of the Company’s Equity Incentive Plans) under these Equity Incentive Plans. At May 15, 2012, there were 308,335 shares of common stock initially reserved for issuance under the Equity Incentive Plans. Upon the completion of the follow on offerings, the number of shares of common stock available for issuance under the Equity Incentive Plans increased to 1,237,711 . Approximately 724,961 of shares have been issued under the Equity Plans with 512,750 shares available for issuance, as of September 30, 2017 . Under the Equity Plan, the Company made the following grants during the nine months ended September 30, 2017 and the year ended December 31, 2016 : On June 1, 2017, the Company granted a total of 15,536 ( 3,884 each) of restricted common stock under the Equity Plan to the Company’s four independent directors. These restricted shares will vest in full on June 1, 2018, the first anniversary of the grant date. Each of the independent directors has elected to defer the shares granted to him under the Company’s Director Deferred Fee Plan (the “Director Deferred Fee Plan”). The Director Deferred Fee Plan permits eligible members of the Company's board of directors to defer certain stock awards made under its director compensation programs. The Director Deferred Fee Plan allows directors to defer issuance of their stock awards and therefore defer payment of any tax liability until the deferral is terminated, pursuant to the election form executed each year by each eligible director. On June 2, 2016, the Company granted a total of 17,132 ( 4,283 each) of restricted common stock under the Equity Plan to the Company’s four independent directors. These restricted shares vested in full on June 2, 2017, the first anniversary of the grant date. Each of the independent directors has elected to defer the shares granted to him under the Director Deferred Fee Plan. During the nine months ended September 30, 2017 and September 30, 2016 , 152,630 and 200,983 restricted common shares vested, respectively, including shares whose issuance has been deferred under the Director Deferred Fee Plan. The Company recognized stock-based compensation expense of approximately $218 thousand and approximately $433 thousand for the three months ended September 30, 2017 and September 30, 2016 , respectively. The Company recognized stock-based compensation expense of approximately $795 thousand and approximately $1.4 million for the nine months ended September 30, 2017 and September 30, 2016 , respectively. In addition, the Company had unamortized compensation expense of $107 thousand for equity awards and approximately $291 thousand for liability awards and $67 thousand for equity awards and approximately $895 thousand for liability awards at September 30, 2017 and December 31, 2016 , respectively. All restricted common shares granted, other than those whose issuance has been deferred pursuant to the Director Deferred Fee Plan, possess all incidents of ownership, including the right to receive dividends and distributions currently, and the right to vote. Dividend equivalent payments otherwise allocable to restricted common shares under the Company's Deferred Compensation Plan are deemed to purchase additional phantom shares of the Company’s common stock that are credited to each participant’s deferral account. The award agreements include restrictions whereby the restricted shares cannot be sold, assigned, transferred, pledged, hypothecated or otherwise disposed of prior to the lapse of restrictions under the respective award agreement. The restrictions lapse on the unvested restricted shares awarded when vested, subject to the grantee’s continuing to provide services to the Company as of the vesting date. Unvested restricted shares and rights to dividends thereon are forfeited upon termination of the grantee. The following is a summary of restricted common stock vesting dates as of September 30, 2017 and December 31, 2016 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: September 30, 2017 December 31, 2016 Vesting Date Shares Vesting Shares Vesting March 2017 — 133,334 June 2017 — 18,196 March 2018 66,667 66,667 June 2018 16,000 — 82,667 218,197 The following table presents information with respect to the Company’s restricted stock for the nine months ended September 30, 2017 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: Shares of Restricted Stock Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 707,861 $ 17.17 Granted (2) 17,100 10.31 Cancelled/forfeited — — Outstanding at end of period 724,961 $ 17.01 Unvested at end of period 82,667 $ 14.09 (1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date. (2) Included 1,564 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan. |
Stockholders' Equity
Stockholders' Equity | 9 Months Ended |
Sep. 30, 2017 | |
Stockholders' Equity Note [Abstract] | |
Stockholders' Equity | Stockholders’ Equity Warrants On May 9, 2012, the Company entered into agreements with certain institutional investors to sell 2,231,787 warrant units. Each warrant unit consists of one share of the Company’s common stock and a warrant to purchase 0.5 of a share of the Company’s common stock, subject to adjustment. As of September 30, 2017 , the adjusted exercise price of the warrants was $16.70 and there were a total of 1,232,916 warrant shares purchasable. The warrants expire on May 15, 2019. Stock Repurchase Program On February 25, 2016, the Board of Directors of the Company reauthorized its repurchase program of up to 2,050,000 shares of its common stock through December 31, 2017. The original authorization expired on December 31, 2015. Purchases made pursuant to the program will be made in the open market, in privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rules 10b5-1 and 10b-18 of the Securities and Exchange Commission. The authorization does not obligate the Company to acquire any particular amount of common shares and the program may be suspended or discontinued at the Company’s discretion without prior notice. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. The Company has not repurchased any shares of common stock pursuant to the authorization as of September 30, 2017 . Dividends The following table presents cash dividends declared and paid by the Company on its common stock: Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2017 September 21, 2017 October 2, 2017 October 26, 2017 $ 0.31 Not yet determined June 20, 2017 June 30, 2017 July 26, 2017 $ 0.31 Not yet determined March 23, 2017 April 3, 2017 April 26, 2017 $ 0.31 Not yet determined 2016 December 22, 2016 January 3, 2017 January 26, 2017 $ 0.31 Ordinary income September 22, 2016 October 4, 2016 October 25, 2016 $ 0.31 Ordinary income June 23, 2016 July 5, 2016 July 26, 2016 $ 0.31 Ordinary income March 24, 2016 April 4, 2016 April 26, 2016 $ 0.45 Ordinary income |
Net Income per Common Share
Net Income per Common Share | 9 Months Ended |
Sep. 30, 2017 | |
Earnings Per Share [Abstract] | |
Net Income (Loss) per Common Share | Net Income per Common Share The table below presents basic and diluted net income per share of common stock using the two-class method for the three and nine months ended September 30, 2017 and September 30, 2016 (dollars, other than shares and per share amounts, in thousands): For the three months ended September 30, 2017 For the three months ended September 30, 2016 For the nine months ended September 30, 2017 For the nine months ended September 30, 2016 Numerator : Net income attributable to common stockholders and participating securities for basic and diluted earnings per share $ 22,767 $ 32,282 $ 63,693 $ 13,281 Less: Dividends and undistributed earnings allocated to participating securities 75 193 238 300 Net income allocable to common stockholders — basic and diluted $ 22,692 $ 32,089 $ 63,455 $ 12,981 Denominator : Weighted average common shares outstanding for basic earnings per share 41,853,134 41,719,800 41,824,318 41,678,592 Weighted average common shares outstanding for diluted earnings per share 41,853,134 41,719,800 41,824,318 41,678,592 Basic earnings per common share $ 0.54 $ 0.77 $ 1.52 $ 0.31 Diluted earnings per common share $ 0.54 $ 0.77 $ 1.52 $ 0.31 For the three and nine months ended September 30, 2017 and September 30, 2016 , the Company excluded the effects of the warrants from the computation of diluted earnings per share since the average market value per share of the Company’s common stock was below the exercise price of the warrants. |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2017 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders and satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income and stock ownership tests. Based on the Company’s analysis of any potential uncertain income tax positions, the Company concluded that it does not have any uncertain tax positions that meet the recognition or measurement criteria as of September 30, 2017 . The Company files U.S. federal and state income tax returns. As of September 30, 2017 , U.S. federal tax returns filed by the Company for 2015, 2014 and 2013 and state tax returns filed for 2015, 2014, 2013 and 2012 are open for examination pursuant to relevant statutes of limitation. In the event that the Company incurs income tax related interest and penalties, the Company’s policy is to classify them as a component of its provision for income taxes. Deferred Tax Asset As of September 30, 2017 , the Company recorded a deferred tax asset of approximately $8.5 million relating to capital loss carryforward and temporary differences as a result of the timing of income recognition of certain investments held in the TRS. The capital loss carryforwards and temporary differences may only be recognized to the extent of capital gains. There is uncertainty as to the TRS ability to recognize capital gains in the future, however, the Company can utilize a carryback to 2015. As a result, the Company has concluded it is more likely than not the deferred tax asset will not be realized and has recorded a valuation allowance of $8.5 million . In addition, the REIT generated net operating losses ("NOL's") related its interest rate swap terminations and for its California return a portion of the NOL's is apportioned to the TRS. The Company recording a deferred state tax asset of $10.4 million in the REIT and $899 thousand in the TRS. The TRS can carryback the NOL's to each of the two preceding years and receive a refund for taxes paid. As a result, the Company has concluded it is more likely than not the deferred tax asset will not be realized with the exception of the TRS carryback to 2015 and has recorded a combined valuation allowance of $10.9 million . Income Tax Provision Subject to the limitation under the REIT asset test rules, the Company is permitted to own up to 100% of the stock of one or more TRS. Currently, the Company owns one TRS that is taxable as a corporation and is subject to federal, state and local income tax on its net income at the applicable corporate rates. The TRS, which was formed in Delaware on July 28, 2014, is a limited liability company and a wholly-owned subsidiary of the Company. During the three and nine months ended September 30, 2017 , the Company recorded a federal and state tax benefit of approximately $1.2 million and a federal and state tax provision of approximately $1.3 million , respectively, which is recorded in "Income tax provision (benefit)" in the Consolidated Statements of Operations. Effective Tax Rate The Company's effective tax rate differs from its combined federal and state income tax rate primarily due to the deduction of dividends distributions to be paid under Code Section 857(a). |
Contingencies
Contingencies | 9 Months Ended |
Sep. 30, 2017 | |
Commitments and Contingencies Disclosure [Abstract] | |
Contingencies | Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any material contingencies at September 30, 2017 . |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2017 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events In October 2017, the Company issued $115 million aggregate principal amount of 6.75% convertible senior unsecured notes, including the underwriter’s overallotment option to purchase an additional $15 million aggregate principal of the notes. The notes pay interest semiannually in arrears. The Company received proceeds of $111.6 million from the offerings, net of underwriting discounts and commissions, which will be amortized through interest expense over the life of the notes. The notes mature on October 1, 2022, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms, and are not redeemable by the Company except during the final three months prior to maturity. The notes are convertible into, at the Company's election, cash, shares of the Company's common stock or a combination of both, subject to the satisfaction of certain conditions and during specified periods. The conversion rate is subject to adjustment upon the occurrence of certain specified events and the holders may require the Company to repurchase all or any portion of their notes for cash equal to 100% of the principal amount of the notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the agreement. The initial conversion rate was 83.1947 shares of common stock per $1,000 principal amount of notes and represented a conversion price of $12.02 per share of common stock. ASC 470-20 "Debt/Debt with Conversion and Other Options" requires that convertible debt instruments with cash settlement features, including partial cash settlement, account for the liability component and equity component (conversion feature) of the instrument separately. The initial value of the liability component will reflect the present value of the discounted cash flows using the nonconvertible debt borrowing rate at the time of issuance. The debt discount represents the difference between the proceeds received from the issuance and the initial carrying value of the liability component, which is accreted back to the notes principal amount through interest expense over the life of the notes. |
Summary of Significant Accoun22
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2017 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation The accompanying unaudited financial statements and related notes have been prepared in conformity with generally accepted accounting principles in the United States of America (“GAAP”) for interim financial reporting in accordance with Article 10 of Regulation S-X and the instructions to Form 10-Q. Certain prior period amounts have been reclassified to conform to the current period’s presentation. In the opinion of management, all adjustments (which include only normal recurring adjustments) necessary have been made to state fairly the Company’s financial position, results of operations and cash flows. The results of operations for the period ended September 30, 2017 , are not necessarily indicative of the results to be expected for the full year or any future period. These consolidated financial statements should be read in conjunction with the Company’s annual report on Form 10-K for the year ended December 31, 2016 , filed with the Securities and Exchange Commission (“SEC”) on March 7, 2017. The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiaries and variable interest entities (“VIEs”) in which we are considered the primary beneficiary. Refer to Note 5 - “Variable Interest Entities” for additional information regarding the impact of consolidating these VIEs. All intercompany amounts between the Company and its subsidiary and consolidated VIEs have been eliminated in consolidation. |
Variable Interest Entities | Variable Interest Entities VIEs are defined as entities that by design either lack sufficient equity for the entity to finance its activities without additional subordinated financial support or are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns. The Company evaluates all of its interests in VIEs for consolidation. When the interests are determined to be variable interests, the Company assesses whether it is deemed the 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 or the right to receive benefits of the VIE that could potentially be significant to the VIE. To assess whether the Company has the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance, it considers all facts and circumstances, including its role in establishing the VIE and its ongoing rights and responsibilities. This assessment includes first, identifying the activities that most significantly impact the VIE’s economic performance; and second, identifying which party, if any, has power over those activities. In general, the parties that make the most significant decisions affecting the VIE or have the right to unilaterally remove those decision makers is deemed to have the power to direct the activities of a VIE. To assess whether the Company has the obligation to absorb losses of the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE, it considers all of its economic interests. This assessment requires the Company to apply judgment in determining whether these interests, in the aggregate, are considered potentially significant to the VIE. Factors considered in assessing significance include: the design of the VIE, including its capitalization structure; subordination of interests; payment priority; relative share of interests held across various classes within the VIE’s capital structure; and the reasons why the interests are held by the Company. In instances when a VIE is owned by both the Company and related parties, the Company considers whether there is a single party in the related party group that meets both the power and losses or benefits criteria on its own as though no related party relationship existed. If one party within the related party group meets both these criteria, such reporting entity is the primary beneficiary of the VIE and no further analysis is needed. If no party within the related party group on its own meets both the power and losses or benefits criteria, but the related party group does as a whole meets these two criteria, the determination of primary beneficiary within the related party group is based upon an analysis of the facts and circumstances with the objective of determining which party is most closely associated with the VIE. Determining the primary beneficiary within the related party group requires significant judgment. In instances when the Company is required to consolidate a VIE that is determined to be a qualifying collateralized financing entity, under GAAP, the Company will measure both the financial assets and financial liabilities of the VIE using the fair value of either the VIE’s financial assets or financial liabilities, whichever is more observable. Ongoing assessments of whether an enterprise is the primary beneficiary of a VIE are required. |
Use of Estimates | Use of Estimates The preparation of the consolidated financial statements requires management to 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. |
Earnings (Loss) Per Share | Earnings (Loss) Per Share GAAP requires use of the two-class method in computing earnings per share for all periods presented for each class of common stock and participating securities as if all earnings for the period had been distributed. Under the two-class method, during periods of net income, the net income is first reduced for dividends declared on all classes of securities to arrive at undistributed earnings. During periods of net losses, the net loss is reduced for dividends declared on participating securities only if the security has the right to participate in the earnings of the entity and an objectively determinable contractual obligation to share in net losses of the entity. The Company’s participating securities are not allocated a share of the net loss, as the participating securities do not have a contractual obligation to share in the net losses of the Company. The remaining earnings are allocated to common stockholders and participating securities, to the extent that each security shares in earnings, as if all of the earnings for the period had been distributed. Each total is then divided by the applicable number of weighted average outstanding common shares to arrive at basic earnings per share. For the diluted earnings, the denominator includes the weighted average outstanding common shares and all potential common shares assumed issued if they are dilutive. The numerator is adjusted for any changes in income or loss that would result from the assumed conversion of these potential common shares. |
Offering Costs | Offering Costs Offering costs borne by the Company in connection with common stock offerings and private placements are reflected as a reduction of additional paid-in-capital. Offering costs borne by the Company in connection with its shelf registration will be deferred and recorded in "Other assets" until such time the Company completes a common stock offering where all or a portion will be reclassified and reflected as a reduction of additional paid-in-capital. The deferred offering costs will be expensed upon the expiration of the shelf if the Company does not complete an equity offering. |
Cash and Cash Equivalents | Cash and Cash Equivalents The Company considers 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. The Company places its cash and cash equivalents with what it believes to be high credit quality institutions. At times such investments may be in excess of the Federal Deposit Insurance Corporation insurance limit. |
Valuation of Financial Instruments | Valuation of Financial Instruments The Company discloses the fair value of its financial instruments according to a fair value hierarchy (Levels I, II, and III, as defined below). ASC 820, "Fair Value Measurement and Disclosures" establishes a framework for measuring fair value and expands financial statement disclosure requirements for fair value measurements. ASC 820 further specifies a hierarchy of valuation techniques, which is based on whether the inputs into the valuation technique are observable or unobservable. The hierarchy is as follows: Level I — Quoted prices in active markets for identical assets or liabilities. Level II — Quoted prices for similar assets and liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. Level III — Prices 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 value measurement in its entirety falls is based on the lowest level input that is significant to the fair value measurement in its entirety. Transfers between levels are determined by the Company at the end of the reporting period. Refer to Note 3 - "Fair Value of Financial Instruments". |
Mortgage-Backed Securities and Other Securities | Mortgage-Backed Securities and Other Securities The Company's mortgage-backed securities and other securities portfolio primarily consists of Agency RMBS, Non-Agency RMBS, Agency CMBS, Non-Agency CMBS, ABS and other real estate related assets, these investments are recorded in accordance with ASC 320, “Investments - Debt and Equity Securities”, ASC 325-40, “Beneficial Interests in Securitized Financial Assets” or ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality”. The Company has chosen to make a fair value election pursuant to ASC 825, “Financial Instruments” for its mortgage-backed securities and other securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statements of Operations as a component of “Unrealized gain (loss), net”. If the Company purchases securities with evidence of credit deterioration, it will analyze to determine if the guidance found in ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality” is applicable. The Company evaluates securities for other-than-temporary impairment (“OTTI”) on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments, estimates and assumptions based on subjective and objective factors. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time. When the fair value of an investment security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.” When a security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as OTTI and the cost basis of the security is adjusted to its fair value. Additionally for securities accounted for under ASC 325-40 an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a “market participant” would use and are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the “Other than temporary impairment” in the Consolidated Statements of Operations. The Company uses its estimated prepayment speed as the primary assumption used to determine other-than temporary-impairments for Interest-Only Strips, excluding Agency and Non-Agency Interest-Only Strips accounted for as derivatives. Increases in interest income may be recognized on a security on which the Company previously recorded an OTTI charge if the cash flow of such security subsequently improves. In addition, unrealized losses on the Company's Agency securities, with explicit guarantee of principal and interest by the governmental sponsored entity ("GSE"), are not credit losses but rather were due to changes in interest rates and prepayment expectations. These securities would not be considered other than temporarily impaired provided we did not intend to sell the security. |
Residential Whole-Loans | Residential Whole-Loans Investments in Residential Whole-Loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs". The Company has chosen to make the fair value election pursuant to ASC 825 for its Residential Whole-Loan portfolio. Residential Whole-Loans are recorded at fair value in the Consolidated Balance Sheets with the periodic change in fair value being recorded in earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net". All other costs incurred in connection with acquiring Residential Whole-Loans or committing to purchase these loans are charged to expense as incurred. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the Company does not record an allowance for loan loss as the Company has elected the fair value option. However, income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged. Residential Bridge Loans Investments in Residential Bridge Loans are recorded in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs". These loans are recorded at their principal amount outstanding, net of any premium or discount in the Consolidated Balance Sheets. All other costs incurred in connection with acquiring the Residential Bridge Loans or committing to purchase these loans are charged to expense as incurred. On a quarterly basis, the Company evaluates the collectability of both interest and principal of each loan, if circumstances warrant, to determine whether such loan is impaired. A loan is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan is impaired, the impairment is then measured based on the present value of expected future cash flows discounted at the loan’s effective rate or the fair value of the collateral, if the loan is collateral dependent. Upon measurement of impairment, the Company records an allowance to reduce the carrying value of the loan with a corresponding charge to net income. Significant judgments are required in determining impairment, including assumptions regarding the value of the loan, the value of the underlying collateral and other provisions such as guarantees. Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of management, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or it is legally discharged. |
Interest Income Recognition | Interest Income Recognition Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, rated AA and higher at the time of purchase Interest income on mortgage-backed and other securities is accrued based on the respective outstanding principal balances and corresponding contractual terms. The Company records interest income in accordance with ASC subtopic 835-30 "Imputation of Interest", using the effective interest method. As such premiums and discounts associated with Agency MBS, Non-Agency MBS and other securities, excluding Interest-Only Strips, are amortized into interest income over the estimated life of such securities. Adjustments to premium and discount amortization are made for actual prepayment activity. The Company estimates prepayments at least quarterly for its securities and, as a result, if the projected prepayment speed increases, the Company will accelerate the rate of amortization on premiums or discounts and make a retrospective adjustment to historical amortization. Alternatively, if projected prepayment speeds decrease, the Company will reduce the rate of amortization on the premiums or discounts and make a retrospective adjustment to historical amortization. Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives Interest income on Non-Agency MBS and other securities that are rated below AA at the time of purchase and Interest-Only Strips that are not classified as derivatives are also recognized in accordance with ASC 835, using the effective yield method. The effective yield on these securities is based on the projected cash flows from each security, which is estimated based on the Company’s observation of the then current information and events, where applicable, and will include assumptions related to interest rates, prepayment rates and the timing and amount of credit losses. On at least a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on input and analysis received from external sources, internal models, and its judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Where appropriate, the Company may include in its cash flow projections the U.S. Department of Justice’s settlements with the major residential mortgage originators, regarding certain lending practices. 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 underlying collateral, periodic payments of scheduled principal, and prepayments of principal. Therefore, actual maturities of the securities will generally be shorter than stated contractual maturities. Based on the projected cash flow of such securities purchased at a discount to par value, the Company may designate a portion of such purchase discount as credit protection against future credit losses and, therefore, not accrete such amount into interest income. The amount designated as credit discount may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions and other factors. If the performance of a security with a credit discount is more favorable than forecasted, a portion of the amount designated as credit discount may be accreted into interest income prospectively. Residential Whole-Loans and Residential Bridge Loans Interest income on the Company's residential loan portfolio is recorded in accordance with ASC 835 using the effective interest method based on the contractual payment terms of the loan. Any premium amortization or discount accretion will be reflected as a component of "Interest income" in the Consolidated Statements of Operations. |
Purchases and Sales of Investments | Purchases and Sales of Investments The Company accounts for a contract for the purchase or sale of securities, or other securities that do not yet exist on a trade date basis, which it intends to take possession and thus recognizes the acquisition or disposition of the securities at the inception of the contract. Sales of investments are driven by the Company’s portfolio management process. The Company seeks to mitigate risks including those associated with prepayments and will opportunistically rotate the portfolio into securities and/or other investments the Company’s Manager believes have more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes. Realized gains or losses on sales of investments, including Agency Interest-Only Strips not characterized as derivatives, are a component of "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Operations, and are recorded at the time of disposition. Realized gains or losses on Interest-Only Strips which are characterized as derivatives are a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. |
Foreign Currency Transactions | Foreign Currency Transactions The Company has and expects to continue to enter into transactions denominated in foreign currency from time to time. At the date the transaction is recognized, the asset and/or liability will be measured and recorded using the exchange rate in effect at the date of the transaction. At each balance sheet date, such foreign currency assets and liabilities are re-measured using the exchange rate in effect at the date of the balance sheet, resulting in unrealized foreign currency gains or losses, which are recorded in "Other, net" in the Consolidated Statements of Operations. |
Due From Counterparties/Due To Counterparties | Due From Counterparties/Due To Counterparties "Due from counterparties" represents cash posted by the Company with its counterparties as collateral for the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. "Due to counterparties" represents cash posted with the Company by its counterparties as collateral under the Company’s interest rate and/or currency derivative financial instruments, repurchase agreements, and TBAs. Included in "Due from counterparties" and/or "Due to counterparties" are daily variation margin settlement amounts with counterparties which are based on the price movement of the Company’s futures contracts. However, commencing in 2017, daily variation margin on only the Company's centrally cleared derivatives will be treated as a settlement and classified as either "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. In addition, as provided below, "Due to counterparties" may include non-cash collateral in which the Company has the obligation to return and which the Company has either sold or pledged. To the extent the Company receives collateral other than cash from its counterparties such assets are not included in the Company’s Consolidated Balance Sheets. Notwithstanding the foregoing, if the Company either rehypothecates such assets or pledges the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability are reflected in the Consolidated Balance Sheets. |
Derivatives and Hedging Activities | Derivatives and Hedging Activities Subject to maintaining its qualification as a REIT for U.S. federal income tax purposes, the Company utilizes derivative financial instruments, including interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, TBAs and Agency and Non-Agency Interest-Only Strips to hedge the interest rate and currency risk associated with its portfolio and related borrowings. Derivatives, subject to REIT requirements, are used for hedging purposes rather than speculation. The Company has also entered into a total return swap, which transfers the total return of the referenced security to the Company. The Company determines the fair value of its derivative positions and obtains quotations from third parties, including the Chicago Mercantile Exchange or CME, to facilitate the process of determining such fair values. The Company does not necessarily seek to hedge all such risks. In addition, if the Company’s hedging activities do not achieve the desired results, reported earnings may be adversely affected. GAAP requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. The accounting for changes in the fair value of derivatives depends on the intended use of the derivative. The fair value adjustment will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a for hedge for accounting purposes and if so, the nature of the hedging activity. The Company elected not to apply hedge accounting for its derivative instruments. Accordingly, the Company records the change in fair value of its derivative instruments, which includes net interest rate swap payments/receipts (including accrued amounts) and net currency payments/receipts (including accrued amounts) related to interest rate swaps and currency swaps, respectively, in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. In January 2017, the CME amended its rulebooks to legally characterize variation margin payments and receipts for over-the-counter derivatives they clear as settlements of the derivatives' exposure rather than collateral against exposure. As a result of the change in legal characterization, effective January 1, 2017, variation margin is no longer classified as collateral in the Consolidated Balance Sheets in either "Due from counterparties" or "Due to counterparties", but rather a component of the respective "Derivative asset, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. The variation margin is now considered partial settlements of the derivative contract and will result in realized gains or losses which prior to January 1, 2017 were classified as unrealized gains or losses on derivatives. Prior to the CME rulebook change variation margin was included in financing activities in the Company's Consolidated Statement of Cash Flows in either "Due from counterparties, net" or "Due to counterparties, net". Commencing in January 2017, cash postings for variation margin are included in operating activities in the Consolidated Statements of Cash Flows. In the Company’s Consolidated Statements of Cash Flows, premiums received or paid on termination of its interest rate swaps are included in cash flows from operating activities. Notwithstanding the foregoing, proceeds and payments on settlement of swaptions, mortgage put options, futures contracts and TBAs are included in cash flows from investing activities. Proceeds and payments on settlement of forward contracts are reflected in cash flows from financing activities in the Company’s Consolidated Statements of Cash Flows. For Agency and Non-Agency Interest-Only Strips accounted for as derivatives, the purchase, sale and recovery of basis activity is included with MBS and other securities under cash flows from investing activities in the Company’s Consolidated Statements of Cash Flows. The Company evaluates the terms and conditions of its holdings of Agency and Non-Agency Interest-Only Strips, interest rate swaptions, currency forwards, futures contracts and TBAs to determine if these instruments have the characteristics of an investment or should be considered a derivative under GAAP. In determining the classification of its holdings of Interest-Only Strips, the Company evaluates the securities to determine if the nature of the cash flows have been altered from that of the underlying mortgage collateral. Interest-Only Strips, for which the underlying mortgage collateral has been included into a structured security that alters the cash flows from the underlying mortgage collateral, are accounted for as derivatives. The carrying value of the Agency and Non-Agency Interest-Only Strips, accounted for as derivatives, is included in "Mortgage-backed securities and other securities, at fair value" in the Consolidated Balance Sheets. The carrying value of interest rate swaptions, currency forwards, futures contracts and TBAs is included in "Derivative assets, at fair value" or "Derivative liability, at fair value" in the Consolidated Balance Sheets. Interest earned or paid along with the change in fair value of these instruments accounted for as derivatives is recorded in "Gain (loss) on derivative instruments, net" in its Consolidated Statements of Operations. The Company evaluates all of its financial instruments to determine if such instruments are derivatives or contain features that qualify as embedded derivatives. An embedded derivative is separated from the host contact and accounted for separately when all of the guidance criteria are met. Hybrid instruments that are remeasured at fair value through earnings, including the fair value option are not bifurcated. Derivative instruments, including derivative instruments accounted for as liabilities, are recorded at fair value and are re-valued at each reporting date, with changes in the fair value together with interest earned or paid (including accrued amounts) reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. |
Repurchase Agreements and Reverse Repurchase Agreements | Repurchase Agreements and Reverse Repurchase Agreements Investments sold under repurchase agreements are treated as collateralized financing transactions, unless they meet all the criteria for sales treatment. Securities financed through a repurchase agreement remain in the Company's Consolidated Balance Sheets as assets and cash received from the lender is recorded in the Company's Consolidated Balance Sheets as a liability. Interest payable in accordance with repurchase agreements is recorded as "Accrued interest payable" in the Consolidated Balance Sheets. Interest paid (including accrued amounts) in accordance with repurchase agreements is recorded as interest expense. The Company may borrow securities under reverse repurchase agreements to deliver a security owned and sold by the Company but pledged to a different counterparty under a separate repurchase agreement when in the Manager’s view terminating the outstanding repurchase agreement is not in the Company’s best interest. Cash paid to the borrower is recorded in the Company’s Consolidated Balance Sheets as an asset. Interest receivable in accordance with reverse repurchase agreements is recorded as accrued interest receivable in the Consolidated Balance Sheets. The Company reflects all proceeds on reverse repurchase agreement and repayment of reverse repurchase agreement, on a net basis in the Consolidated Statements of Cash Flows. Upon sale of a pledged security, the Company recognizes an obligation to return the borrowed security in the Consolidated Balance Sheet in "Due to counterparties". The Company establishes haircuts to ensure the market value of the underlying asset remains sufficient to protect the Company in the event of default by the counterparty. Realized gains and losses associated with the sale of the security are recognized in "Realized gain (loss) on sale of investments, net" in the Consolidated Statements of Cash Flows. |
Securitized Debt | Securitized Debt Securitized debt was issued at par by a consolidated securitization trust. The Company has chosen to make the fair value election pursuant to ASC 825 for the debt. The debt is recorded at fair value in the Consolidated Balance Sheets with the periodic change in fair value recorded in current period earnings in the Consolidated Statements of Operations as a component of "Unrealized gain (loss), net". |
Share-based Compensation | Share-based Compensation The Company accounts for share-based compensation to its independent directors, its Manager and to employees of its Manager and its affiliates using the fair value based methodology prescribed by GAAP. Compensation cost related to restricted common stock issued to the Company’s independent directors and any employee of the Company including any such restricted stock which is subject to a deferred compensation program, and any employee of the Company is measured at its fair value at the grant date, and amortized into expense over the service period on a straight-line basis. Compensation cost related to restricted common stock issued to the Manager and to employees of the Manager, including officers and certain directors, of the Company who are employees of the Manager and its affiliates is initially measured at fair value at the grant date, and amortized into expense over the vesting period on a straight-line basis and re-measured on subsequent dates to the extent the awards are unvested. |
Warrants | Warrants For the Company’s warrants, the Company uses a variation of the adjusted Black-Scholes option valuation model to record the financial instruments at their relative fair values at issuance. The warrants issued with the Company’s common stock in the private placement to certain accredited institutional investors on May 15, 2012, were evaluated by the Company and were recorded at their relative fair value as a component of equity at the date of issuance. |
Income Taxes | Income Taxes The Company operates and has elected to be taxed as a REIT commencing with its taxable year ended December 31, 2012. Accordingly, the Company will generally not be subject to corporate U.S. federal or state income tax to the extent that the Company makes qualifying distributions to stockholders, and provided that the Company satisfies, on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, the Company will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the Company lost its REIT qualification. Accordingly, the failure to qualify as a REIT could have a material adverse impact in the Company’s results of operations and amounts available for distribution to stockholders. The dividends paid deduction for qualifying dividends paid to stockholders is computed using the Company’s taxable income as opposed to net income reported in the Consolidated Statements of Operations. Taxable income, generally, will differ from net income reported in the Consolidated Statements of Operations because the determination of taxable income is based on tax regulations and not GAAP. The Company may create and elect to treat certain subsidiaries as Taxable REIT Subsidiaries ("TRS"). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A domestic TRS is subject to U.S. federal, state and local corporate income taxes, and for 2017 its value may not exceed 25% of the value of the Company; however, commencing in taxable year 2018 its value may not exceed 20% of the value of the Company. If the TRS generates net income it may declare dividends to the Company, which will be included in the Company’s taxable income and necessitate a distribution to its stockholders. Conversely, if the Company retains earnings at the TRS level, no distribution is required and it can increase book equity of the consolidated entity. As of September 30, 2017 , the Company has a single wholly-owned subsidiary which it has elected to treat as a domestic TRS. Current and deferred taxes are recorded on earnings (losses) recognized by the Company's TRS. Deferred income tax assets and liabilities are calculated based upon temporary differences between the Company's U.S. GAAP consolidated financial statements and the federal and state basis of assets and liabilities as of the Consolidated Balance Sheet date. The Company evaluates the realizability of its deferred tax assets and recognizes a valuation allowance if, based on available evidence, it is more likely than not that some or all of its deferred tax assets will not be realized. In evaluating the realizability of the deferred tax asset, the Company will consider the expected future taxable income, existing and projected book to tax differences as well as tax planning strategies. This analysis is inherently subjective, as it is based on forecasted earning and business and economic activity. Changes in estimates of deferred tax asset realizability, if any, are included in "Income tax provision (benefit)" in the Consolidated Statements of Operations. As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax. Comprehensive Income (Loss) The Company has none of the components of comprehensive income (loss) and therefore comprehensive income (loss) is not presented. |
Accounting standards applicable to emerging growth companies | Accounting standards applicable to emerging growth companies The JOBS Act contains provisions that relax certain requirements for “emerging growth companies”, which includes the Company. For as long as the Company is an emerging growth company, which may be up to five full fiscal years, unlike other public companies, the Company will not be required to: (i) comply with any new or revised financial accounting standards applicable to public companies until such standards are also applicable to private companies under Section 102(b)(1) of the JOBS Act; (ii) provide an auditor’s attestation report on management’s assessment of the effectiveness of the Company’s system of internal control over financial reporting pursuant to Section 404 of the Sarbanes-Oxley Act; (iii) comply with any new requirements adopted by the PCAOB requiring mandatory audit firm rotation or a supplement to the auditor’s report in which the auditor would be required to provide additional information about the audit and the financial statements of the issuer; or (iv) comply with any new audit rules adopted by the PCAOB after April 5, 2012, unless the SEC determines otherwise. The Company currently takes advantage of some of these exemptions. The Company’s qualification for remaining an emerging growth company under the five full fiscal years expires on December 31, 2017. However, the Company will no longer qualify for such exemption earlier than that date if its gross revenue for any year equals or exceeds $1.0 billion, the Company issues more than $1.0 billion in non-convertible debt during the three previous years, or if the Company is deemed to be a large accelerated filer. The Company has not elected to use the extended transition period for complying with any new or revised financial accounting standards. |
Recent accounting pronouncements | Recently adopted accounting pronouncements Description Adoption Date Effect on Financial Statements In March 2016, the FASB issued ASU 2016-9, “Compensation - Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting.” This ASU is intended to simplify several aspects of accounting for share-based payments, including income tax consequences, classification of awards as either equity or liabilities and classification on the statement of cash flows. First quarter 2017. The adoption of this guidance did not have a material impact on the Company's consolidated financial statements. Recently issued accounting pronouncements Description Effective Date Effect on Financial Statements In May 2014, the FASB issued ASU 2014-9, “Revenue from Contracts with Customers (Topic 606).” The guidance changes an entity’s recognition of revenue from contracts with customers. The core principle of the 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. In addition, the new guidance requires improved disclosures to enable users of financial statements to understand the nature, amount, timing, and uncertainty of revenue and cash flows arising from contracts with customers. In March 2016, the FASB issued implementation guidance which clarifies principal versus agent considerations in reporting revenue gross versus net (ASU 2016-8). In April 2016, the FASB issued implementation guidance which clarifies the identification of performance obligations (ASU 2016-10). In May 2016, the FASB issued amendments that affect only the narrow aspects of Topic 606 (ASU2016-12). First quarter 2018 and permits the use of either the full retrospective or modified retrospective method. The Company's revenue is mainly derived from interest income on our investments and to a lesser extent gains on sales of investments, which are not impacted by this standard. Therefore, the adoption of this standard is not expected to have a material impact on the Company's consolidated financial statements. In January 2016, the FASB issued ASU 2016-1, “Financial Instruments - Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities.” The guidance improves certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. First quarter 2018. The standard does not change the guidance for classifying and measuring investments in debt securities and loans as well nonrecourse liabilities of consolidated collateralized financing entities. Therefore, the adoption of this standard is not expected to have a material impact on the Company's consolidated financial statements when adopted. In June 2016, the FASB issued ASU 2016-13, “Financial Instruments - Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This standard significantly changes how an entity will measure credit losses for most financial assets and certain other instruments that aren't measured at fair value through the income statement. The standard will replace the current "incurred loss" approach with an "expected loss" model for instruments measured at amortized cost. For available for sale debt securities, entities will be required to record an allowance rather than reduce the carrying amount, as is currently done under the other than temporary impairment model. It also simplifies the accounting model for purchased credit impaired debt securities and loans. First quarter 2020. The Company is currently evaluating the impact the standard may have on its consolidated financial statements when adopted. In August 2016, the FASB issued ASU 2016-15, "Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments (Topic 230)." The guidance is intended to reduce diversity in practice in how certain transactions are classified on the statement of cash flows. First quarter 2018 and requires retrospective adoption. The Company is evaluating the impact the standard may have on its Consolidated Statements of Cash Flows. In November 2016, the FASB issued ASU 2016-18 "Statement of Cash Flows (Topic 230): Restricted Cash, a consensus of the FASB's Emerging Issues Task Force." The guidance requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents as well as disclose information about the nature of the restrictions on its cash and cash equivalents. First quarter 2018 and requires retrospective adoption. The Company currently does not have restricted cash. Therefore, the adoption of this standard is not expected to have a material impact on its Consolidated Statements of Cash Flows. In January 2017, the FASB issued ASU 2017-01 "Business Combinations (Topic 805): Clarifying the Definition of a Business." This ASU provides a more robust framework to use in determining when a set of assets and activities constitutes a business. First quarter 2020. The guidance should be applied prospectively on or after the effective date. The Company does not believe the adoption of this standard will have a material impact on its consolidated financial statements. In May 2017, the FASB issued ASU 2017-09 "Compensation-Stock Compensation (Topic 718): Scope of Modification Accounting." The amendments in this update provide guidance about which changes to the terms or conditions of a shared-based payment award require an entity to apply modification accounting in Topic 718. First quarter 2018. The Company does not believe the adoption of this standard will have a material impact on its consolidated financial statements. In July 2017, the FASB issued ASU 2017-11 "Earnings Per Share (Topic 260), Distinguishing Liabilities from Equity (Topic 480), Derivative and Hedges (Topic 815): Part I - Accounting for Certain Financial Instruments with Down Round Features and Part II - Replacement of the Indefinite Deferral for Mandatory Redeemable Financial Instruments of Certain Nonpublic Entities and Certain Mandatory Redeemable Noncontrolling Interest with a Scope Exception". Part I of this update changes the classification analysis of certain financial instruments (such as warrants and convertible instruments) with down round features. Down round features are features of certain equity-linked financial instruments (or embedded features) that result in the strike price being reduced on the basis of the pricing of future equity offerings. When determining whether certain financial instruments should be classified as liabilities or equity instruments, a down round feature no longer precludes equity classification when assessing whether the instrument is indexed to an entity’s own stock. Entities that present earnings per share are required to recognize the effect of the down round feature when it is triggered. The amendments in Part II of this update recharacterize the indefinite deferral of certain provisions of Topic 480 that now are presented as pending content in the Codification, to a scope exception. Those amendments do not have an accounting effect. First quarter 2019. The Company is evaluating the impact this standard may have on its consolidated financial statements. |
Fair Value of Financial Instr23
Fair Value of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping [Table Text Block] | The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value, as of September 30, 2017 , in the consolidated financial statements (dollars in thousands): Carrying Value Estimated Fair Value Assets Residential Bridge Loans $ 54,912 $ 56,077 Total $ 54,912 $ 56,077 Liabilities Borrowings under repurchase agreements $ 3,336,256 $ 3,340,801 Total $ 3,336,256 $ 3,340,801 |
Schedule of the entity's financial instruments carried at fair value based upon the valuation hierarchy | The following tables present the Company’s financial instruments carried at fair value as of September 30, 2017 and December 31, 2016 , based upon the valuation hierarchy (dollars in thousands): September 30, 2017 Fair Value Level I Level II Level III Total Assets Agency RMBS: 20-Year mortgage $ — $ 159,278 $ — $ 159,278 30-Year mortgage — 548,196 — 548,196 40-Year mortgage — 387,095 — 387,095 Agency RMBS Interest-Only Strips — 14,028 2,009 16,037 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — 11,219 — 11,219 Agency CMBS — 2,103,185 — 2,103,185 Agency CMBS Interest-Only Strips — 30 — 30 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 6,016 — 6,016 Subtotal Agency MBS — 3,229,047 2,009 3,231,056 Non-Agency RMBS — 50,100 14,262 64,362 Non-Agency CMBS — 278,511 — 278,511 Subtotal Non-Agency MBS — 328,611 14,262 342,873 Other securities — 113,181 9,470 122,651 Total mortgage-backed securities and other securities — 3,670,839 25,741 3,696,580 Residential Whole-Loans — — 191,439 191,439 Securitized commercial loan — — 24,952 24,952 Derivative assets 375 4,636 — 5,011 Total Assets $ 375 $ 3,675,475 $ 242,132 $ 3,917,982 Liabilities Derivative liabilities $ 128 $ 858 $ — $ 986 Securitized debt — — 10,979 10,979 Total Liabilities $ 128 $ 858 $ 10,979 $ 11,965 December 31, 2016 Fair Value Level I Level II Level III Total Assets Agency RMBS: 20-Year mortgage $ — $ 498,470 $ — $ 498,470 30-Year mortgage — 935,207 — 935,207 Agency RMBS Interest-Only Strips — 19,790 — 19,790 Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — 16,503 — 16,503 Agency CMBS — 290,605 73,059 363,664 Agency CMBS Interest-Only Strips — 231 — 231 Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS — 7,729 — 7,729 Subtotal Agency MBS — 1,768,535 73,059 1,841,594 Non-Agency RMBS — 240,422 619 241,041 Non-Agency RMBS Interest-Only Strips — — 64,116 64,116 Non-Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS — — 3,085 3,085 Non-Agency CMBS — 351,163 7,756 358,919 Subtotal Non-Agency MBS — 591,585 75,576 667,161 Other securities — 36,406 31,356 67,762 Total mortgage-backed securities and other securities — 2,396,526 179,991 2,576,517 Residential Whole-Loans — — 192,136 192,136 Securitized commercial loan — — 24,225 24,225 Derivative assets 71 20,500 — 20,571 Total Assets $ 71 $ 2,417,026 $ 396,352 $ 2,813,449 Liabilities Derivative liabilities $ 2,487 $ 177,998 $ 1,673 $ 182,158 Securitized debt — — 10,659 10,659 Total Liabilities $ 2,487 $ 177,998 $ 12,332 $ 192,817 |
Schedule of additional information about the entity's financial instruments, which are measured at fair value on a recurring basis for which the entity has utilized Level III inputs to determine fair value | The following tables present additional information about the Company’s financial instruments which are measured at fair value on a recurring basis for which the Company has utilized Level III inputs to determine fair value: Three months ended September 30, 2017 $ in thousands Mortgage-backed securities and other securities Residential Whole-Loans Securitized commercial loan Securitized debt Derivative liability Beginning balance $ 36,731 $ 203,540 $ 24,875 $ 10,945 $ 329 Transfers into Level III from Level II 9,470 — — — — Transfers from Level III into Level II (23,852 ) — — — — Purchases 2,009 — — — — Sales and settlements — — — — (53 ) Principal repayments (388 ) (11,264 ) (59 ) (26 ) — Total net gains / losses included in net income Realized (gains)/losses, net on liabilities — — — — 53 Other than temporary impairment (121 ) — — — — Unrealized gains/(losses), net on assets (1) 1,385 (575 ) 136 — — Unrealized (gains)/losses, net on liabilities (2) — — — 60 (329 ) Premium and discount amortization, net 507 (262 ) — — — Ending balance $ 25,741 $ 191,439 $ 24,952 $ 10,979 $ — Three months ended September 30, 2016 $ in thousands Mortgage-backed securities and other securities Residential Whole-Loans Securitized commercial loan Securitized debt Derivative liability Beginning balance $ 226,826 $ 189,696 $ 23,688 $ 10,423 $ 2,160 Transfers into Level III from Level II — — — — — Transfers from Level III into Level II — — — — — Purchases — 29,404 — — — Sales and settlements (9,194 ) — — — — Principal repayments (4,366 ) (14,493 ) — — — Total net gains / losses included in net income Realized gains/(losses), net on assets (1,696 ) — — — — Other than temporary impairment (251 ) — — — — Unrealized gains/(losses), net on assets (1) (996 ) 819 450 — — Unrealized (gains)/losses, net on liabilities (2) — — — 198 11 Premium and discount amortization, net (2,530 ) (544 ) — — — Ending balance $ 207,793 $ 204,882 $ 24,138 $ 10,621 $ 2,171 (1) For Mortgage-backed securities and other securities, Residential Whole-Loans and Securitized commercial loans classified as Level III at September 30, 2017 , the Company recorded gross unrealized gains of approximately $291 thousand , $42 thousand and $136 thousand , respectively, and gross unrealized losses of $0 , $398 thousand and $0 , respectively, for the three months ended September 30, 2017 . For Mortgage-backed securities and other securities, Residential Whole-Loans and Securitized commercial loans classified as Level III at September 30, 2016 , the Company recorded gross unrealized gains of approximately $3.0 million , $1.4 million and $450 thousand , respectively, and gross unrealized losses of approximately $4.2 million , $350 thousand and $0 , respectively, for the three months ended September 30, 2016 . These gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) For securitized debt and derivative liability classified as Level III at September 30, 2017 , the Company recorded gross unrealized gains of $0 and $0 , respectively, and gross unrealized losses of $60 thousand and $0 , respectively, for the three months ended September 30, 2017 . For securitized debt and derivative liability classified as Level III at September 30, 2016 , the Company recorded gross unrealized gains of $0 and $0 , respectively, and gross unrealized losses of $198 thousand and $11 thousand , respectively, for the three months ended September 30, 2016 . These gains and losses are included in "Unrealized gain (loss), net" and "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations, respectively. Nine months ended September 30, 2017 $ in thousands Mortgage-backed securities and other securities Residential Whole-Loans Securitized commercial loan Securitized debt Derivative liability Beginning balance $ 179,991 $ 192,136 $ 24,225 $ 10,659 $ 1,673 Transfers into Level III from Level II 25,080 — — — — Transfers from Level III into Level II (114,229 ) — — — — Purchases 2,009 33,718 — — — Sales and settlements (60,132 ) — — — (552 ) Principal repayments (2,635 ) (33,718 ) (59 ) (26 ) — Total net gains / losses included in net income Realized gains/(losses), net on assets 2,623 — — — — Realized (gains)/losses, net on liabilities — — — — 552 Other than temporary impairment (1,823 ) — — — — Unrealized gains/(losses), net on assets (1) (6,529 ) 97 786 — — Unrealized (gains)/losses, net on liabilities (2) — — — 346 (1,673 ) Premium and discount amortization, net 1,386 (794 ) — — — Ending balance $ 25,741 $ 191,439 $ 24,952 $ 10,979 $ — Nine months ended September 30, 2016 $ in thousands Mortgage-backed securities and other securities Residential Whole-Loans Securitized commercial loan Securitized debt Derivative liability Beginning balance $ 466,336 $ 218,538 $ 25,000 $ 11,000 $ — Transfers into Level III from Level II — — — — — Transfers from Level III into Level II (158,566 ) — — — — Purchases 94 29,404 — — — Sales and settlements (78,104 ) — — — — Principal repayments (15,453 ) (42,828 ) — — — Total net gains / losses included in net income Realized gains/(losses), net on assets (8,131 ) — — — — Other than temporary impairment (5,306 ) — — — — Unrealized gains/(losses), net on assets (1) 14,862 1,403 (862 ) — — Unrealized (gains)/losses, net on liabilities (2) — — — (379 ) 2,171 Premium and discount amortization, net (7,939 ) (1,635 ) — — — Ending balance $ 207,793 $ 204,882 $ 24,138 $ 10,621 $ 2,171 (1) For Mortgage-backed securities and other securities, Residential Whole-Loans and Securitized commercial loans classified as Level III at September 30, 2017 , the Company recorded gross unrealized gains of approximately $756 thousand , $917 thousand and $786 thousand , respectively, and gross unrealized losses of approximately $0 , $570 thousand and $0 , respectively, for the nine months ended September 30, 2017 . For Mortgage-backed securities and other securities, Residential Whole-Loans and Securitized commercial loans classified as Level III at September 30, 2016 , the Company recorded gross unrealized gains of approximately $20.3 million , $2.2 million and $0 , respectively, and gross unrealized losses of approximately $2.2 million , $271 thousand and $862 thousand , respectively, for the nine months ended September 30, 2016 . These gains and losses are included in "Unrealized gain (loss), net" in the Consolidated Statements of Operations. (2) For securitized debt and derivative liability classified as Level III at September 30, 2017 , the Company recorded gross unrealized gains of $0 and $0 , respectively, and gross unrealized losses of approximately $346 thousand and $0 , respectively, for the nine months ended September 30, 2017 . For securitized debt and derivative liability classified as Level III at September 30, 2016 , the Company recorded gross unrealized gains of approximately $379 thousand and $0 , respectively, and gross unrealized losses of $0 and $2.2 million , respectively, for the nine months ended September 30, 2016 . These gains and losses are included in "Unrealized gain (loss), net" and "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. |
Mortgage-Backed Securities an24
Mortgage-Backed Securities and other securities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Investments, Debt and Equity Securities [Abstract] | |
Summary of certain information about the Company's investment portfolio | The following tables present certain information about the Company’s investment portfolio at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 Principal Balance Unamortized Premium (Discount), net Discount Designated as Credit Reserve and OTTI Amortized Cost Unrealized Gain Unrealized Loss Estimated Fair Value Net Weighted Average Coupon (1) Agency RMBS: 20-Year mortgage $ 149,970 $ 7,796 $ — $ 157,766 $ 1,528 $ (16 ) $ 159,278 3.9 % 30-Year mortgage 508,739 34,841 — 543,580 4,786 (170 ) 548,196 4.2 % 40-Year mortgage 374,844 11,062 — 385,906 2,003 (814 ) 387,095 3.5 % Agency RMBS Interest-Only Strips (2) N/A N/A N/A 15,416 855 (234 ) 16,037 3.0 % (2) Agency RMBS Interest-Only Strips, accounted for as derivatives (2) (3) N/A N/A N/A N/A N/A N/A 11,219 2.9 % (2) Agency CMBS 2,087,948 2,147 — 2,090,095 20,231 (7,141 ) 2,103,185 2.9 % Agency CMBS Interest-Only Strips (2) N/A N/A N/A — 30 — 30 3.2 % (2) Agency CMBS Interest-Only Strips accounted for as derivatives (2) (3) N/A N/A N/A N/A N/A N/A 6,016 0.5 % (2) Subtotal Agency MBS 3,121,501 55,846 — 3,192,763 29,433 (8,375 ) 3,231,056 3.1 % Non-Agency RMBS 81,504 (802 ) (22,262 ) 58,440 5,922 — 64,362 3.1 % Non-Agency CMBS 376,215 (60,850 ) (25,342 ) 290,023 2,557 (14,069 ) 278,511 4.8 % Subtotal Non-Agency MBS 457,719 (61,652 ) (47,604 ) 348,463 8,479 (14,069 ) 342,873 4.5 % Other securities (4) 92,302 5,340 (5,225 ) 115,845 6,806 — 122,651 7.3 % Total $ 3,671,522 $ (466 ) $ (52,829 ) $ 3,657,071 $ 44,718 $ (22,444 ) $ 3,696,580 3.3 % December 31, 2016 Principal Balance Unamortized Premium (Discount), net Discount Designated as Credit Reserve and OTTI Amortized Cost Unrealized Gain Unrealized Loss Estimated Fair Value Net Weighted Average Coupon (1) Agency RMBS: 20-Year mortgage $ 470,975 $ 25,741 $ — $ 496,716 $ 3,689 $ (1,935 ) $ 498,470 3.9 % 30-Year mortgage 878,599 63,608 — 942,207 5,209 (12,209 ) 935,207 4.1 % Agency RMBS Interest-Only Strips (2) N/A N/A N/A 18,810 1,301 (321 ) 19,790 3.0 % (2) Agency RMBS Interest-Only Strips, accounted for as derivatives (2) (3) N/A N/A N/A N/A N/A N/A 16,503 3.2 % (2) Agency CMBS 377,286 (15,383 ) — 361,903 2,021 (260 ) 363,664 2.6 % Agency CMBS Interest-Only Strips (2) N/A N/A N/A 210 21 — 231 4.3 % (2) Agency CMBS Interest-Only Strips accounted for as derivatives (2) (3) N/A N/A N/A N/A N/A N/A 7,729 0.6 % (2) Subtotal Agency MBS 1,726,860 73,966 — 1,819,846 12,241 (14,725 ) 1,841,594 3.3 % Non-Agency RMBS 340,759 (294 ) (108,399 ) 232,066 11,210 (2,235 ) 241,041 4.5 % Non-Agency RMBS Interest- Only Strips (2) N/A N/A N/A 55,754 8,362 — 64,116 5.6 % (2) Non-Agency RMBS Interest-Only Strips, accounted for as derivatives (2) (3) N/A N/A N/A N/A N/A N/A 3,085 4.6 % (2) Non-Agency CMBS 473,024 (69,436 ) (17,787 ) 385,801 3,164 (30,046 ) 358,919 5.0 % Subtotal Non-Agency MBS 813,783 (69,730 ) (126,186 ) 673,621 22,736 (32,281 ) 667,161 5.0 % Other securities (4) 44,838 4,435 (4,298 ) 68,085 1,271 (1,594 ) 67,762 8.2 % Total $ 2,585,481 $ 8,671 $ (130,484 ) $ 2,561,552 $ 36,248 $ (48,600 ) $ 2,576,517 3.9 % (1) Net weighted average coupon as of September 30, 2017 and December 31, 2016 is presented, net of servicing and other fees. (2) IOs and IIOs have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on interest-only class of securities. At September 30, 2017 , the notional balance for Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, and Agency CMBS IOs and IIOs, accounted for as derivatives was $166.2 million , $131.8 million , $5.3 million and $193.8 million , respectively. At December 31, 2016 , the notional balance for Agency RMBS IOs and IIOs, Non-Agency RMBS IOs and IIOs, Agency RMBS IOs and IIOs, accounted for as derivatives, Non-Agency RMBS IOs and IIOs, accounted for as derivatives, Agency CMBS IOs and IIOs, accounted for as derivatives and Agency CMBS IOs and IIOs was $201.6 million , $278.4 million , $188.1 million , $20.7 million , $221.8 million and $32.8 million , respectively. (3) Interest on these securities is reported as a component of "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations. (4) Other securities include residual interests in asset-backed securities which have no principal balance and an amortized cost of approximately $23.4 million and $23.1 million , as of September 30, 2017 and December 31, 2016 , respectively. |
Schedule of changes in the components of purchase discount and amortizable premium on Non-Agency RMBS, Non-Agency CMBS and other securities | The following tables present the changes in the components of the Company’s purchase discount and amortizable premium on its Non-Agency RMBS, Non-Agency CMBS and other securities for the three and nine months ended September 30, 2017 and September 30, 2016 (dollars in thousands): Three months ended September 30, 2017 Three months ended September 30, 2016 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (49,830 ) $ (76,778 ) $ 15,186 $ (129,162 ) $ (139,675 ) $ 43,402 Accretion of discount — 2,588 — — 4,151 — Amortization of premium — — (87 ) — — (1,132 ) Realized credit losses 25 — — 2,623 — — Purchases — — — (1,216 ) — 2,246 Sales 187 1,931 (18 ) 1,947 8,573 (1,323 ) Net impairment losses recognized in earnings (2,345 ) — — (4,526 ) — — Transfers/release of credit reserve (2) (866 ) 953 (87 ) 1,679 (254 ) (1,425 ) Balance at end of period $ (52,829 ) $ (71,306 ) $ 14,994 $ (128,655 ) $ (127,205 ) $ 41,768 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) Subsequent reductions of a security’s non-accretable discount results in a corresponding reduction in its amortizable premium. Nine months ended September 30, 2017 Nine months ended September 30, 2016 Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Discount Designated as Credit Reserve and OTTI Accretable Discount (1) Amortizable Premium (1) Balance at beginning of period $ (130,484 ) $ (109,822 ) $ 44,527 $ (152,750 ) $ (145,532 ) $ 56,163 Accretion of discount — 8,542 — — 13,381 — Amortization of premium — — (776 ) — — (4,242 ) Realized credit losses 1,854 — — 5,765 — — Purchases (1,724 ) (668 ) 1,522 (15,482 ) (2,265 ) 4,366 Sales 89,628 32,016 (31,060 ) 33,610 22,986 (11,752 ) Net impairment losses recognized in earnings (12,696 ) — — (18,340 ) — — Transfers/release of credit reserve (2) 593 (1,374 ) 781 18,542 (15,775 ) (2,767 ) Balance at end of period $ (52,829 ) $ (71,306 ) $ 14,994 $ (128,655 ) $ (127,205 ) $ 41,768 (1) Together with coupon interest, accretable purchase discount and amortizable premium is recognized as interest income over the life of the security. (2) Subsequent reductions of a security’s non-accretable discount results in a corresponding reduction in its amortizable premium. |
Schedule of the fair value and contractual maturities of the Company's investment securities | The following tables present the fair value and contractual maturities of the Company’s investment securities at September 30, 2017 and December 31, 2016 (dollars in thousands) : September 30, 2017 < or equal to 10 years > 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS: 20-Year mortgage $ — $ 159,278 $ — $ — $ 159,278 30-Year mortgage — — 548,196 — 548,196 40-Year mortgage — — — 387,095 387,095 Agency RMBS Interest-Only Strips 4,203 6,201 5,633 — 16,037 Agency RMBS Interest-Only Strips, accounted for as derivatives 1,798 5,398 4,023 — 11,219 Agency CMBS 1,571,850 531,335 — — 2,103,185 Agency CMBS Interest-Only Strips 30 — — — 30 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 6,016 6,016 Subtotal Agency 1,577,881 702,212 557,852 393,111 3,231,056 Non-Agency RMBS 13 52,530 4,343 7,476 64,362 Non-Agency CMBS 8,988 25,437 144,292 99,794 278,511 Subtotal Non-Agency 9,001 77,967 148,635 107,270 342,873 Other securities — 93,795 5,004 23,852 122,651 Total $ 1,586,882 $ 873,974 $ 711,491 $ 524,233 $ 3,696,580 December 31, 2016 < or equal to 10 years > 10 years and < or equal to 20 years > 20 years and < or equal to 30 years > 30 years Total Agency RMBS: 20-Year mortgage $ — $ 498,470 $ — $ — $ 498,470 30-Year mortgage — — 935,207 — 935,207 Agency RMBS Interest-Only Strips 499 10,434 8,857 — 19,790 Agency RMBS Interest-Only Strips, accounted for as derivatives 807 9,476 6,220 — 16,503 Agency CMBS 282,911 80,753 — — 363,664 Agency CMBS Interest-Only Strips 231 — — — 231 Agency CMBS Interest-Only Strips accounted for as derivatives — — — 7,729 7,729 Subtotal Agency 284,448 599,133 950,284 7,729 1,841,594 Non-Agency RMBS 13 65,780 54,408 120,840 241,041 Non-Agency RMBS Interest- Only Strips — 4,955 10,724 48,437 64,116 Non-Agency RMBS Interest-Only Strips, accounted for as derivatives — — 1,043 2,042 3,085 Non-Agency CMBS 15,865 37,998 134,941 170,115 358,919 Subtotal Non-Agency 15,878 108,733 201,116 341,434 667,161 Other securities — 40,360 5,346 22,056 67,762 Total $ 300,326 $ 748,226 $ 1,156,746 $ 371,219 $ 2,576,517 |
Schedule of gross unrealized losses and estimated fair value of the Company's MBS and other securities by length of time that such securities have been in a continuous unrealized loss position | The following tables present the gross unrealized losses and estimated fair value of the Company’s MBS and other securities by length of time that such securities have been in a continuous unrealized loss position at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 20-Year mortgage $ 2,729 $ (16 ) 4 $ — $ — — $ 2,729 $ (16 ) 4 30-Year mortgage 31,615 (57 ) 3 1,554 (113 ) 4 33,169 (170 ) 7 40-Year mortgage 290,834 (814 ) 1 — — — 290,834 (814 ) 1 Agency RMBS Interest-Only Strips 5,213 (189 ) 7 1,312 (45 ) 2 6,525 (234 ) 9 Agency CMBS 927,395 (7,141 ) 53 — — — 927,395 (7,141 ) 53 Subtotal Agency 1,257,786 (8,217 ) 68 2,866 (158 ) 6 1,260,652 (8,375 ) 74 Non-Agency CMBS 10,957 (184 ) 4 136,234 (13,885 ) 37 147,191 (14,069 ) 41 Subtotal Non-Agency 10,957 (184 ) 4 136,234 (13,885 ) 37 147,191 (14,069 ) 41 Total $ 1,268,743 $ (8,401 ) 72 $ 139,100 $ (14,043 ) 43 $ 1,407,843 $ (22,444 ) 115 December 31, 2016 Less than 12 Months 12 Months or More Total Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Agency RMBS: 20-Year mortgage $ 142,749 $ (1,935 ) 47 $ — $ — — $ 142,749 $ (1,935 ) 47 30-Year mortgage 432,949 (11,264 ) 54 22,586 (945 ) 13 455,535 (12,209 ) 67 Agency RMBS Interest-Only Strips 6,105 (227 ) 6 1,630 (94 ) 2 7,735 (321 ) 8 Agency CMBS 145,791 (260 ) 7 — — — 145,791 (260 ) 7 Subtotal Agency 727,594 (13,686 ) 114 24,216 (1,039 ) 15 751,810 (14,725 ) 129 Non-Agency RMBS 11,628 (50 ) 3 33,034 (2,185 ) 6 44,662 (2,235 ) 9 Non-Agency CMBS 59,529 (4,031 ) 17 208,288 (26,015 ) 47 267,817 (30,046 ) 64 Subtotal Non-Agency 71,157 (4,081 ) 20 241,322 (28,200 ) 53 312,479 (32,281 ) 73 Other securities 7,966 (415 ) 1 23,390 (1,179 ) 2 31,356 (1,594 ) 3 Total $ 806,717 $ (18,182 ) 135 $ 288,928 $ (30,418 ) 70 $ 1,095,645 $ (48,600 ) 205 |
Schedule of other-than-temporary impairments the Company recorded on its securities portfolio | The following table presents the OTTI the Company recorded on its securities portfolio (dollars in thousands): Three months ended September 30, 2017 Three months ended September 30, 2016 Nine months ended September 30, 2017 Nine months ended September 30, 2016 Agency RMBS $ 4,760 $ 202 $ 5,420 $ 1,226 Non-Agency RMBS — 852 — 8,081 Non-Agency CMBS 2,344 3,674 12,658 9,213 Other securities 121 250 1,823 3,611 Total $ 7,225 $ 4,978 $ 19,901 $ 22,131 |
Summary of the components of interest income on the Company's MBS and other securities | The following tables present components of interest income on the Company’s MBS and other securities (dollars in thousands) for the three and nine months ended September 30, 2017 and September 30, 2016 , respectively: For the three months ended September 30, 2017 For the three months ended September 30, 2016 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 8,886 $ (2,995 ) $ 5,891 $ 16,525 $ (6,255 ) $ 10,270 Agency CMBS 11,071 110 11,181 677 (505 ) 172 Non-Agency RMBS 571 372 943 8,575 (1,172 ) 7,403 Non-Agency CMBS 4,242 2,139 6,381 6,021 1,954 7,975 Other securities 2,160 464 2,624 464 732 1,196 Total $ 26,930 $ 90 $ 27,020 $ 32,262 $ (5,246 ) $ 27,016 For the nine months ended September 30, 2017 For the nine months ended September 30, 2016 Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Coupon Interest Net (Premium Amortization/Amortization Basis) Discount Amortization Interest Income Agency RMBS $ 30,513 $ (10,662 ) $ 19,851 $ 50,693 $ (22,220 ) $ 28,473 Agency CMBS 24,408 717 25,125 2,194 (1,358 ) 836 Non-Agency RMBS 4,482 303 4,785 27,098 (4,106 ) 22,992 Non-Agency CMBS 14,675 6,572 21,247 19,270 5,513 24,783 Other securities 5,300 2,112 7,412 1,656 2,284 3,940 Total $ 79,378 $ (958 ) $ 78,420 $ 100,911 $ (19,887 ) $ 81,024 |
Schedule of sales and realized gain (loss) of the Company's MBS and other securities | The following tables present the sales and realized gain (loss) of the Company’s MBS and other securities (dollars in thousands) for the three and nine months ended September 30, 2017 and September 30, 2016 , respectively: For the three months ended September 30, 2017 For the three months ended September 30, 2016 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ (2,906 ) $ (3 ) $ 51 $ 48 $ 42,427 $ — $ (138 ) $ (138 ) Agency CMBS — — — — 8,216 45 — 45 Non-Agency RMBS — — — — 15,209 1,306 — 1,306 Non-Agency CMBS 10,597 1,641 (278 ) 1,363 9,194 — (1,452 ) (1,452 ) Other securities 10,419 419 — 419 14,485 1,678 — 1,678 Total $ 18,110 $ 2,057 $ (227 ) $ 1,830 $ 89,531 $ 3,029 $ (1,590 ) $ 1,439 (1) Reflects a reclassification of proceeds from a sale recorded on the trade date to reflect subsequent Agency RMBS paydowns. For the nine months ended September 30, 2017 For the nine months ended September 30, 2016 Proceeds Gross Gains Gross Losses Net Gain (Loss) Proceeds Gross Gains Gross Losses Net Gain (Loss) Agency RMBS (1) $ 862,245 $ 4,376 $ (7,314 ) $ (2,938 ) $ 358,029 $ 5,250 $ (5,764 ) $ (514 ) Agency CMBS — — — — 18,637 54 (55 ) (1 ) Non-Agency RMBS (2) 243,811 24,389 (2,242 ) 22,147 120,649 3,100 (4,559 ) (1,459 ) Non-Agency CMBS 45,634 2,377 (1,351 ) 1,026 34,188 — (4,381 ) (4,381 ) Other securities 33,365 419 (54 ) 365 764,711 3,496 (2,109 ) 1,387 Total $ 1,185,055 $ 31,561 $ (10,961 ) $ 20,600 $ 1,296,214 $ 11,900 $ (16,868 ) $ (4,968 ) (1) For the nine months ended September 30, 2017 and September 30, 2016 , excludes proceeds for Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.6 million and $8.6 million , gross realized gains of $432 thousand and $300 thousand , and gross realized losses of $0 and $455 thousand , respectively. (2) For the nine months ended September 30, 2017 and September 30, 2016 , excludes proceeds for Non-Agency RMBS Interest-Only Strips, accounted for as derivatives, of approximately $2.2 million and $0 , gross realized gains of $274 thousand and $0 , and gross realized losses of $180 thousand and $0 , respectively. |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Variable Interest Entities | |
Schedule of the assets and liabilities of the VIE included in the Consolidated Balance Sheets | The following table presents a summary of the assets and liabilities of the consolidated loan trusts included in the Consolidated Balance Sheets as of September 30, 2017 and December 31, 2016 (dollars in thousands). September 30, 2017 December 31, 2016 Residential Whole-Loans, at fair value $ 191,439 $ 192,136 Residential Bridge Loans 54,912 — Securitized commercial loan, at fair value 24,952 24,225 Investment related receivable 7,178 1,241 Accrued interest receivable 2,529 1,622 Total assets $ 281,010 $ 219,224 Securitized debt, at fair value $ 10,979 $ 10,659 Accrued interest payable 82 85 Accounts payable and accrued expenses 157 2 Total liabilities $ 11,218 $ 10,746 |
Schedule of components of the carrying value of Residential Whole-Loans and securitized commercial loan | The following table presents the components of the fair value of Residential Whole-Loans and securitized commercial loan as of September 30, 2017 and December 31, 2016 (dollars in thousands): Residential Whole-Loans Securitized Commercial Loan September 30, 2017 December 31, 2016 September 30, 2017 December 31, 2016 Principal balance $ 187,521 $ 187,765 $ 24,941 $ 25,000 Unamortized premium 1,255 1,311 — — Unamortized discount (998 ) (539 ) — — Gross unrealized gains 3,759 3,643 11 — Gross unrealized losses (98 ) (44 ) — (775 ) Fair value $ 191,439 $ 192,136 $ 24,952 $ 24,225 |
Schedule of certain information about the Residential Whole-Loans investment portfolio | The following tables present certain information about the Company’s Residential Whole-Loan investment portfolio at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) Contractual Maturity (years) Coupon Rate 3.01 – 4.00% 94 $ 40,696 54.4 % 750 1.6 28.3 3.9 % 4.01– 5.00% 246 92,170 55.4 % 725 1.4 26.2 4.4 % 5.01 – 6.00% 138 51,635 57.4 % 723 1.5 26.6 5.2 % 6.01 – 7.00% 5 3,020 71.2 % 738 1.3 20.4 6.3 % Total 483 $ 187,521 56.0 % 731 1.4 26.6 4.5 % (1) The original FICO score is not available for 140 loans with a principal balance of approximately $56.6 million at September 30, 2017 . The Company has excluded these loans from the weighted average computations. December 31, 2016 Weighted Average Current Coupon Rate Number of Loans Principal Balance Original LTV Original FICO Score (1) Expected Life (years) Contractual Maturity (years) Coupon Rate 3.01 – 4.00% 59 $ 23,318 54.8 % 732 1.4 26.5 4.2 % 4.01– 5.00% 180 69,930 57.1 % 728 1.5 27.3 4.6 % 5.01 – 6.00% 231 91,440 55.5 % 723 1.6 27.1 5.0 % 6.01 – 7.00% 5 3,077 71.2 % 738 1.3 21.1 6.3 % Total 475 $ 187,765 56.3 % 726 1.5 27.0 4.8 % (1) The original FICO score is not available for 153 loans with a principal balance of approximately $66.7 million at December 31, 2016 . The Company has excluded these loans from the weighted average computations. |
Schedule of residential bridge loans | The Residential Bridge Loans are comprised of short-term non-owner occupied fixed rate loans secured by single or multi-unit residential properties, with LTVs generally not to exceed 85%. The following table presents certain information about the Company’s Residential Bridge Loan investment portfolio at September 30, 2017 . (dollars in thousands): September 30, 2017 Weighted Average Current Coupon Rate Number of Loans Principal Balance Unamortized Premium Carrying Value Original LTV Original FICO Score (1) Contractual Maturity (months) Coupon Rate 8.01 – 9.00% 37 $ 16,164 $ 78 $ 16,242 72.3 % 718 14.3 8.9 % 9.01 – 10.00% 75 27,011 110 27,121 73.8 % 669 7.7 9.6 % 10.01 – 11.00% 34 9,193 25 9,218 74.7 % 648 4.1 10.7 % 17.01 – 18.00% 10 2,348 (17 ) 2,331 72.0 % 630 7.7 18.0 % Total 156 $ 54,716 $ 196 $ 54,912 73.4 % 679 9.1 10.0 % (1) The original FICO score is not available for 20 loans with a principal balance of approximately $6.2 million at September 30, 2017 . The Company has excluded these loans from the weighted average computations. |
Schedule of the U.S. states concentration and principal balance of collateral securing residential whole-loans | The following table presents the U.S. states in which the collateral securing the Company’s Residential Whole-Loans at September 30, 2017 and December 31, 2016 , based on principal balance, is located (dollars in thousands): September 30, 2017 December 31, 2016 State Concentration Principal Balance State State Concentration Principal Balance California 70.0 % $ 131,403 California 85.2 % $ 159,955 New York 19.1 % 35,877 Washington 5.6 % 10,591 Washington 5.0 % 9,290 Massachusetts 5.4 % 10,161 Massachusetts 4.9 % 9,175 New York 2.4 % 4,454 Georgia 0.7 % 1,266 Georgia 0.8 % 1,492 Other 0.3 % 510 Other 0.6 % 1,112 Total 100.0 % $ 187,521 Total 100.0 % $ 187,765 |
Schedule of the U.S. states concentration and principal balance of collateral securing residential bridge-loans | The following table presents the U.S. states in which the collateral securing the Company’s Residential Bridge Loans at September 30, 2017 , based on principal balance, is located (dollars in thousands): September 30, 2017 State Concentration Principal Balance California 49.8 % $ 27,311 Florida 27.4 % 14,988 Hawaii 7.7 % 4,225 Washington 4.9 % 2,664 Oregon 4.0 % 2,180 Other 6.2 % 3,348 Total 100.0 % $ 54,716 |
Borrowings under Repurchase A26
Borrowings under Repurchase Agreements (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Debt Disclosure [Abstract] | |
Summary of certain characteristics of the Company's repurchase agreements | The following table summarizes certain characteristics of the Company’s repurchase agreements at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 December 31, 2016 Securities Pledged Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Repurchase Agreement Borrowings Weighted Average Interest Rate on Borrowings Outstanding at end of period Weighted Average Remaining Maturity (days) Agency RMBS $ 792,520 1.39 % 61 $ 1,427,674 0.96 % 38 Agency CMBS 2,019,010 1.39 % 32 56,365 1.07 % 46 Non-Agency RMBS 48,443 2.85 % 41 218,712 2.53 % 28 Non-Agency CMBS 192,015 2.96 % 36 255,656 2.55 % 30 Whole-Loans (1) (2) 163,560 3.46 % 6 161,181 2.91 % 9 Residential Bridge Loans (1) 51,074 4.29 % 59 — — % 0 Other securities 69,634 3.36 % 22 36,056 2.32 % 17 Borrowings under repurchase agreements $ 3,336,256 1.69 % 38 $ 2,155,644 1.48 % 34 (1) Repurchase agreement borrowings on loans owned are through trust certificates. The trust certificates are eliminated upon consolidation. |
Schedule of repurchase agreements collateralized by investments | At September 30, 2017 and December 31, 2016 , repurchase agreements collateralized by investments had the following remaining maturities: (dollars in thousands) September 30, 2017 December 31, 2016 Overnight $ — $ — 1 to 29 days 1,582,898 1,386,971 30 to 59 days 710,723 167,642 60 to 89 days 1,042,635 601,031 90 to 119 days — — Greater than or equal to 120 days — — Total $ 3,336,256 $ 2,155,644 |
Schedule of amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | At September 30, 2017 , the following table presents the repurchase agreement counterparties for which the Company has greater than 10% of its equity at risk (dollars in thousands): September 30, 2017 Counterparty Amount of Collateral at Risk, at fair value Weighted Average Remaining Maturity (days) Percentage of Stockholders’ Equity Credit Suisse Securities (USA) LLC $ 74,122 18 16.3 % Citigroup Global Markets Inc. 49,929 38 10.9 % |
Summary of collateral positions, with respect to borrowings under repurchase agreements, securitized debt, derivatives and clearing margin account | The following table summarizes the Company’s collateral positions, with respect to its borrowings under repurchase agreements at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 December 31, 2016 Assets Pledged Accrued Interest Assets Pledged and Accrued Interest Assets Pledged (3) Accrued Interest Assets Pledged and Accrued Interest Assets pledged for borrowings under repurchase agreements: Agency RMBS, at fair value $ 823,403 $ 3,133 $ 826,536 $ 1,465,384 $ 5,335 $ 1,470,719 Agency CMBS, at fair value 2,109,202 5,183 2,114,385 61,200 353 61,553 Non-Agency RMBS, at fair value 64,348 162 64,510 308,165 682 308,847 Non-Agency CMBS, at fair value 278,095 1,451 279,546 358,919 1,845 360,764 Whole-Loans, at fair value (1)(2) 205,412 1,523 206,935 205,702 1,518 207,220 Residential Bridge Loans (1) 54,912 905 55,817 — — — Other securities, at fair value 122,651 116 122,767 67,762 57 67,819 Cash (3) 24,950 — 24,950 36,986 — 36,986 Total $ 3,682,973 $ 12,473 $ 3,695,446 $ 2,504,118 $ 9,790 $ 2,513,908 (1) Loans owned through trust certificates are pledged as collateral. The trust certificates are eliminated upon consolidation. (2) Whole-Loans consist of Residential Whole-Loans and a securitized commercial loan. (3) Cash posted as collateral is included in "Due from counterparties" in the Company’s Consolidated Balance Sheets. |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Derivative Instruments | |
Summary of the entity's derivative instruments | The following table summarizes the Company’s derivative instruments at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 December 31, 2016 Derivative Instrument Accounting Designation Consolidated Balance Sheets Location Notional Amount Fair Value (1) Accrued Interest Payable (receivable) Notional Amount Fair Value (1) Accrued Interest Payable (receivable) Interest rate swaps Non-Hedge Derivative assets, at fair value $ 3,046,200 $ 2,852 $ 59 $ 2,298,300 $ 20,466 $ 1,145 Options Non-Hedge Derivative assets, at fair value 400,000 375 — — — — Futures contracts Non-Hedge Derivative assets, at fair value — — — 56,900 71 — Foreign currency forward contracts Non-Hedge Derivative assets, at fair value 697 10 — 784 34 — TBA securities Non-Hedge Derivative assets, at fair value 582,000 1,774 — — — — Total derivative instruments, assets 5,011 59 20,571 1,145 Interest rate swaps Non-Hedge Derivative liability, at fair value 32,000 (19 ) — 5,046,300 (177,929 ) 3,054 Options Non-Hedge Derivative liability, at fair value 400,000 (128 ) — — — — Futures contracts Non-Hedge Derivative liability, at fair value — — — 176,300 (2,487 ) — Total return swaps Non-Hedge Derivative liability, at fair value — — — 47,059 (1,673 ) (94 ) Foreign currency forward contracts Non-Hedge Derivative liability, at fair value 690 (3 ) — 1,532 (69 ) — TBA securities Non-Hedge Derivative liability, at fair value 200,000 (836 ) — — — — Total derivative instruments, liabilities (986 ) — (182,158 ) 2,960 Total derivative instruments, net $ 4,025 $ 59 $ (161,587 ) $ 4,105 (1) Fair value excludes accrued interest. |
Summary of the effect of entity's derivative instruments reported in Gain (loss) on derivative instruments, net on the Statements of Operations | The following tables summarize the effects of the Company’s derivative positions, including Interest-Only Strips characterized as derivatives and TBAs, which are reported in "Gain (loss) on derivative instruments, net" in the Consolidated Statements of Operations for the three and nine months ended September 30, 2017 and September 30, 2016 (dollars in thousands): Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Mark-to-Market Return (Recovery) of Basis Contractual interest income (expense), net (1) Total Three months ended September 30, 2017 Interest rate swaps $ (38 ) $ 9,564 $ (2,028 ) $ 92 $ (1,764 ) $ 5,826 Interest-Only Strips— accounted for as derivatives — — 351 (1,486 ) 1,816 681 Options (957 ) — 477 — — (480 ) Futures contracts (77 ) — — — — (77 ) Foreign currency forwards 45 — (15 ) — — 30 Total return swaps (52 ) — 329 — 95 372 TBAs 577 — 288 — — 865 Total $ (502 ) $ 9,564 $ (598 ) $ (1,394 ) $ 147 $ 7,217 Three months ended September 30, 2016 Interest rate swaps $ (25,179 ) $ — $ 35,878 $ 168 $ (6,904 ) $ 3,963 Interest rate swaptions — — — — — — Interest-Only Strips— accounted for as derivatives — — 446 (2,827 ) 3,503 1,122 Options — — — — — — Futures contracts 5,844 — (8,792 ) — — (2,948 ) Foreign currency forwards 103 — (62 ) — — 41 Foreign currency swaps 1,409 — (1,852 ) — 61 (382 ) Total return swaps 2 — (11 ) — 308 299 TBAs 3,579 — 447 — — 4,026 Total $ (14,242 ) $ — $ 26,054 $ (2,659 ) $ (3,032 ) $ 6,121 Realized Gain (Loss), net Description Other Settlements / Expirations Variation Margin Settlement Mark-to-Market Return (Recovery) of Basis Contractual interest income (expense), net (1) Total Nine months ended September 30, 2017 Interest rate swaps $ (150,593 ) $ (7,966 ) $ 156,102 $ 378 $ (12,662 ) $ (14,741 ) Interest rate swaptions (115 ) — — — — (115 ) Interest-Only Strips— accounted for as derivatives 526 — (783 ) (5,055 ) 6,229 917 Options (892 ) — (134 ) — — (1,026 ) Futures contracts (9,230 ) — 2,416 — — (6,814 ) Foreign currency forwards 25 — 43 — — 68 Total return swaps (552 ) — 1,673 — 469 1,590 TBAs 3,148 — 938 — — 4,086 Total $ (157,683 ) $ (7,966 ) $ 160,255 $ (4,677 ) $ (5,964 ) $ (16,035 ) Nine months ended September 30, 2016 Interest rate swaps $ (28,784 ) $ — $ (35,393 ) $ 502 $ (22,409 ) $ (86,084 ) Interest rate swaptions (1,035 ) — 1,631 — — 596 Interest-Only Strips— accounted for as derivatives (155 ) — (4,480 ) (8,930 ) 11,113 (2,452 ) Options 4,756 — — — — 4,756 Futures contracts 19,253 — 704 — — 19,957 Foreign currency forwards (90 ) — 8 — — (82 ) Foreign currency swaps 5,351 — (5,883 ) — 268 (264 ) Total return swaps 17 — (2,171 ) — 836 (1,318 ) TBAs 12,166 — (489 ) — — 11,677 Total $ 11,479 $ — $ (46,073 ) $ (8,428 ) $ (10,192 ) $ (53,214 ) (1) Contractual interest income (expense), net on derivative instruments includes interest settlement paid or received. |
Schedule of to be announced securities | The following is a summary of the Company's long and short TBA positions reported as of September 30, 2017 , in "Derivative assets, at fair value" and "Derivative liability, at fair value" in the Consolidated Balance Sheets (dollars in thousands): September 30, 2017 Notional Fair Sale contracts, asset $ (582,000 ) $ 1,774 TBA securities, asset (582,000 ) 1,774 Purchase contracts, liability 200,000 (836 ) TBA securities, liability 200,000 (836 ) TBA securities, net $ (382,000 ) $ 938 |
Schedule of additional information about the contracts to purchase and sell TBAs | The following table presents additional information about the Company’s contracts to purchase and sell TBAs for the nine months ended September 30, 2017 (dollars in thousands): Notional Amount as of Additions Settlement, Termination, Expiration or Exercise Notional Amount as of December 31, 2016 September 30, 2017 Purchase of TBAs $ — $ 4,504,200 $ (4,304,200 ) $ 200,000 Sale of TBAs $ — $ 4,886,200 $ (4,304,200 ) $ 582,000 |
Foreign currency forwards | |
Derivative Instruments | |
Summary of foreign currency forwards or foreign currency swaps | The following is a summary of the Company’s foreign currency forwards at September 30, 2017 and December 31, 2016 (dollars and euros in thousands): September 30, 2017 Derivative Type Notional Amount Notional (USD Equivalent) Maturity Fair Value Buy USD/Sell EUR currency forward € 580 $ 697 November 2017 $ 10 Currency forwards, assets € 580 $ 697 n/a $ 10 Buy EUR/Sell USD currency forward € 311 $ 370 November 2017 $ (1 ) Buy EUR/Sell USD currency forward € 269 $ 320 November 2017 $ (2 ) Currency forwards, liabilities € 580 $ 690 n/a $ (3 ) Total currency forwards € 1,160 $ 1,387 n/a $ 7 December 31, 2016 Derivative Type Notional Amount Notional (USD Equivalent) Maturity Fair Value Buy USD/Sell EUR currency forward € 710 $ 784 January 2017 $ 34 Currency forwards, assets € 710 $ 784 n/a $ 34 Buy EUR/Sell USD currency forward € 673 $ 735 February 2017 $ (23 ) Buy EUR/Sell USD currency forward € 710 $ 797 January 2017 $ (46 ) Currency forwards, liabilities € 1,383 $ 1,532 n/a $ (69 ) Total currency forwards € 2,093 $ 2,316 n/a $ (35 ) |
Variable Pay Rate | Interest rate swaps | |
Derivative Instruments | |
Summary of interest rate swaps or interest rate swaptions | The following table summarizes the average variable pay rate, average fixed receive rate and average maturity for the Company’s interest rate swaps as of December 31, 2016 (excludes interest rate swaptions) (dollars in thousands): December 31, 2016 Remaining Interest Rate swap Term Notional Amount Average Variable Pay Rate Average Fixed Receive Rate Average Maturity (Years) Forward Starting Greater than 3 years and less than 5 years $ 1,811,400 0.9 % 1.4 % 3.7 — % Greater than 5 years 871,000 0.9 % 2.2 % 12.3 — % Total $ 2,682,400 0.9 % 1.7 % 6.5 — % |
Fixed Pay Rate | Interest rate swaps | |
Derivative Instruments | |
Summary of interest rate swaps or interest rate swaptions | The following tables summarize the average fixed pay rate, average floating receive rate and average maturity for the Company’s interest rate swaps as of September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 Remaining Interest Rate Swap Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) Forward Starting 1 year or less $ 105,900 0.8 % 1.3 % 0.1 — % Greater than 1 year and less than 3 years 600,000 1.6 % 1.3 % 2.1 — % Greater than 3 years and less than 5 years 690,000 2.0 % 1.3 % 4.6 — % Greater than 5 years 1,682,300 2.5 % 0.1 % 10.7 95.3 % Total $ 3,078,200 2.2 % 0.6 % 7.3 52.1 % December 31, 2016 Remaining Interest Rate Swap Term Notional Amount Average Fixed Pay Rate Average Floating Receive Rate Average Maturity (Years) Forward Starting 1 year or less $ 105,900 0.8 % 0.8 % 0.8 — % Greater than 1 year and less than 3 years 993,000 1.2 % 0.9 % 1.4 88.1 % Greater than 3 years and less than 5 years 1,861,700 1.9 % 0.9 % 3.9 36.5 % Greater than 5 years 1,701,600 3.1 % 0.9 % 10.5 6.5 % Total $ 4,662,200 2.1 % 0.9 % 5.7 35.7 % |
Offsetting Assets and Liabili28
Offsetting Assets and Liabilities (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Offsetting [Abstract] | |
Schedule of gross and net information about the Company's assets subject to master netting arrangements | The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 17,235 $ — $ 17,235 $ (12,437 ) $ — $ 4,798 Derivative asset, at fair value (2) 5,011 — 5,011 (148 ) — 4,863 Total derivative assets $ 22,246 $ — $ 22,246 $ (12,585 ) $ — $ 9,661 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 986 $ — $ 986 $ (148 ) $ (830 ) $ 8 Repurchase Agreements (4) 3,336,256 — 3,336,256 (3,336,256 ) — — Total derivative liability $ 3,337,242 $ — $ 3,337,242 $ (3,336,404 ) $ (830 ) $ 8 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, foreign currency swaps, total return swaps and TBAs. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $64.0 million as of September 30, 2017 . (4) The carry value of investments pledged against the Company’s repurchase agreements was approximately $3.7 billion as of September 30, 2017 . December 31, 2016 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 27,317 $ — $ 27,317 $ (23,338 ) $ — $ 3,979 Derivative asset, at fair value (2) 20,571 — 20,571 (20,500 ) — 71 Total derivative assets $ 47,888 $ — $ 47,888 $ (43,838 ) $ — $ 4,050 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 182,158 $ — $ 182,158 $ (20,500 ) $ (161,588 ) $ 70 Repurchase Agreements (4) 2,155,644 — 2,155,644 (2,155,644 ) — — Total derivative liability $ 2,337,802 $ — $ 2,337,802 $ (2,176,144 ) $ (161,588 ) $ 70 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the tables above represents amounts pledged as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, foreign currency swaps and TBAs. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $206.6 million as of December 31, 2016 . (4) The fair value of investments pledged against the Company’s repurchase agreements was approximately $2.5 billion as of December 31, 2016 . |
Schedule of gross and net information about the Company's liabilities subject to master netting arrangements | The following tables present information about certain assets and liabilities that are subject to master netting agreements (or similar agreements) and can potentially be offset in the Company’s Consolidated Balance Sheets at September 30, 2017 and December 31, 2016 (dollars in thousands): September 30, 2017 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Description Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 17,235 $ — $ 17,235 $ (12,437 ) $ — $ 4,798 Derivative asset, at fair value (2) 5,011 — 5,011 (148 ) — 4,863 Total derivative assets $ 22,246 $ — $ 22,246 $ (12,585 ) $ — $ 9,661 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 986 $ — $ 986 $ (148 ) $ (830 ) $ 8 Repurchase Agreements (4) 3,336,256 — 3,336,256 (3,336,256 ) — — Total derivative liability $ 3,337,242 $ — $ 3,337,242 $ (3,336,404 ) $ (830 ) $ 8 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral column of the tables above represents amounts pledged or received as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, foreign currency swaps, total return swaps and TBAs. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $64.0 million as of September 30, 2017 . (4) The carry value of investments pledged against the Company’s repurchase agreements was approximately $3.7 billion as of September 30, 2017 . December 31, 2016 Gross Amounts Gross Amounts Offset in the Consolidated Balance Sheets Net Amounts of Assets presented in the Consolidated Balance Sheets Gross Amounts Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (1) Derivative Assets Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS $ 27,317 $ — $ 27,317 $ (23,338 ) $ — $ 3,979 Derivative asset, at fair value (2) 20,571 — 20,571 (20,500 ) — 71 Total derivative assets $ 47,888 $ — $ 47,888 $ (43,838 ) $ — $ 4,050 Derivative Liabilities and Repurchase Agreements Derivative liability, at fair value (2)(3) $ 182,158 $ — $ 182,158 $ (20,500 ) $ (161,588 ) $ 70 Repurchase Agreements (4) 2,155,644 — 2,155,644 (2,155,644 ) — — Total derivative liability $ 2,337,802 $ — $ 2,337,802 $ (2,176,144 ) $ (161,588 ) $ 70 (1) Amounts disclosed in the Financial Instruments column of the tables above represent securities, Whole-Loans and securitized commercial loan collateral pledged and derivative assets that are available to be offset against liability balances associated with repurchase agreement and derivative liabilities. Amounts disclosed in the Cash Collateral Pledged column of the tables above represents amounts pledged as collateral against derivative transactions. (2) Derivative asset, at fair value and Derivative liability, at fair value includes interest rate swaps, interest rate swaptions, mortgage put options, currency forwards, futures contracts, foreign currency swaps and TBAs. (3) Cash collateral pledged against the Company’s derivative counterparties was approximately $206.6 million as of December 31, 2016 . (4) The fair value of investments pledged against the Company’s repurchase agreements was approximately $2.5 billion as of December 31, 2016 . |
Share-Based Payments (Tables)
Share-Based Payments (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Share-based Compensation [Abstract] | |
Summary of restricted common stock vesting dates | The following is a summary of restricted common stock vesting dates as of September 30, 2017 and December 31, 2016 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: September 30, 2017 December 31, 2016 Vesting Date Shares Vesting Shares Vesting March 2017 — 133,334 June 2017 — 18,196 March 2018 66,667 66,667 June 2018 16,000 — 82,667 218,197 |
Schedule of restricted stock activity | The following table presents information with respect to the Company’s restricted stock for the nine months ended September 30, 2017 , including shares whose issuance has been deferred under the Director Deferred Fee Plan: Shares of Restricted Stock Weighted Average Grant Date Fair Value (1) Outstanding at beginning of period 707,861 $ 17.17 Granted (2) 17,100 10.31 Cancelled/forfeited — — Outstanding at end of period 724,961 $ 17.01 Unvested at end of period 82,667 $ 14.09 (1) The grant date fair value of restricted stock awards is based on the closing market price of the Company’s common stock at the grant date. (2) Included 1,564 shares of restricted stock attributed to dividends on restricted stock under the Director Deferred Fee Plan. |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Stockholders' Equity Note [Abstract] | |
Schedule of cash dividends declared and paid on common stock | The following table presents cash dividends declared and paid by the Company on its common stock: Declaration Date Record Date Payment Date Amount per Share Tax Characterization 2017 September 21, 2017 October 2, 2017 October 26, 2017 $ 0.31 Not yet determined June 20, 2017 June 30, 2017 July 26, 2017 $ 0.31 Not yet determined March 23, 2017 April 3, 2017 April 26, 2017 $ 0.31 Not yet determined 2016 December 22, 2016 January 3, 2017 January 26, 2017 $ 0.31 Ordinary income September 22, 2016 October 4, 2016 October 25, 2016 $ 0.31 Ordinary income June 23, 2016 July 5, 2016 July 26, 2016 $ 0.31 Ordinary income March 24, 2016 April 4, 2016 April 26, 2016 $ 0.45 Ordinary income |
Net Income per Common Share (Ta
Net Income per Common Share (Tables) | 9 Months Ended |
Sep. 30, 2017 | |
Earnings Per Share [Abstract] | |
Schedule of basic and diluted net income (loss) per share of common stock | The table below presents basic and diluted net income per share of common stock using the two-class method for the three and nine months ended September 30, 2017 and September 30, 2016 (dollars, other than shares and per share amounts, in thousands): For the three months ended September 30, 2017 For the three months ended September 30, 2016 For the nine months ended September 30, 2017 For the nine months ended September 30, 2016 Numerator : Net income attributable to common stockholders and participating securities for basic and diluted earnings per share $ 22,767 $ 32,282 $ 63,693 $ 13,281 Less: Dividends and undistributed earnings allocated to participating securities 75 193 238 300 Net income allocable to common stockholders — basic and diluted $ 22,692 $ 32,089 $ 63,455 $ 12,981 Denominator : Weighted average common shares outstanding for basic earnings per share 41,853,134 41,719,800 41,824,318 41,678,592 Weighted average common shares outstanding for diluted earnings per share 41,853,134 41,719,800 41,824,318 41,678,592 Basic earnings per common share $ 0.54 $ 0.77 $ 1.52 $ 0.31 Diluted earnings per common share $ 0.54 $ 0.77 $ 1.52 $ 0.31 |
Fair Value of Financial Instr32
Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Assets | |||||
Estimated Fair Value | $ 3,696,580 | $ 3,696,580 | $ 2,576,517 | ||
Derivative assets | 22,246 | 22,246 | 47,888 | ||
Liabilities | |||||
Derivative liabilities | 986 | 986 | 182,158 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Other than temporary impairment | (7,225) | $ (4,978) | (19,901) | $ (22,131) | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Premium and discount amortization, net | 2,658 | (2,355) | |||
Residential Whole-Loans | |||||
Assets | |||||
Fair value | 191,439 | 191,439 | 192,136 | ||
Securitized commercial loan | |||||
Assets | |||||
Fair value | 24,952 | 24,952 | 24,225 | ||
Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 3,231,056 | 3,231,056 | 1,841,594 | ||
20-Year mortgage | |||||
Assets | |||||
Estimated Fair Value | 159,278 | 159,278 | 498,470 | ||
30-Year mortgage | |||||
Assets | |||||
Estimated Fair Value | 548,196 | 548,196 | 935,207 | ||
40-Year mortgage | |||||
Assets | |||||
Estimated Fair Value | 387,095 | 387,095 | |||
Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 16,037 | 16,037 | 19,790 | ||
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 11,219 | 11,219 | 16,503 | ||
Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 2,103,185 | 2,103,185 | 363,664 | ||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Premium and discount amortization, net | 110 | (505) | 717 | (1,358) | |
Agency CMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 30 | 30 | 231 | ||
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 6,016 | 6,016 | 7,729 | ||
Non-Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 342,873 | 342,873 | 667,161 | ||
Non-Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 64,362 | 64,362 | 241,041 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Other than temporary impairment | 0 | (852) | 0 | (8,081) | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Premium and discount amortization, net | 372 | (1,172) | 303 | (4,106) | |
Non-Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 64,116 | ||||
Non-Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 278,511 | 278,511 | 358,919 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Other than temporary impairment | (2,344) | (3,674) | (12,658) | (9,213) | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Premium and discount amortization, net | 2,139 | 1,954 | 6,572 | 5,513 | |
Other securities | |||||
Assets | |||||
Estimated Fair Value | 122,651 | 122,651 | 67,762 | ||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Other than temporary impairment | (121) | (250) | (1,823) | (3,611) | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Premium and discount amortization, net | 464 | 732 | 2,112 | 2,284 | |
Mortgage-backed securities and other securities | |||||
Assets | |||||
Estimated Fair Value | 3,696,580 | 3,696,580 | 2,576,517 | ||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Premium and discount amortization, net | 90 | (5,246) | (958) | (19,887) | |
Level I | |||||
Assets | |||||
Derivative assets | 375 | 375 | 71 | ||
Total Assets | 375 | 375 | 71 | ||
Liabilities | |||||
Derivative liabilities | 128 | 128 | 2,487 | ||
Total Liabilities | 128 | 128 | 2,487 | ||
Level II | |||||
Assets | |||||
Estimated Fair Value | 3,670,839 | 3,670,839 | 2,396,526 | ||
Derivative assets | 4,636 | 4,636 | 20,500 | ||
Total Assets | 3,675,475 | 3,675,475 | 2,417,026 | ||
Liabilities | |||||
Derivative liabilities | 858 | 858 | 177,998 | ||
Total Liabilities | 858 | 858 | 177,998 | ||
Level II | Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 3,229,047 | 3,229,047 | 1,768,535 | ||
Level II | 20-Year mortgage | |||||
Assets | |||||
Estimated Fair Value | 159,278 | 159,278 | 498,470 | ||
Level II | 30-Year mortgage | |||||
Assets | |||||
Estimated Fair Value | 548,196 | 548,196 | 935,207 | ||
Level II | 40-Year mortgage | |||||
Assets | |||||
Estimated Fair Value | 387,095 | 387,095 | |||
Level II | Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 14,028 | 14,028 | 19,790 | ||
Level II | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 11,219 | 11,219 | 16,503 | ||
Level II | Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 2,103,185 | 2,103,185 | 290,605 | ||
Level II | Agency CMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 30 | 30 | 231 | ||
Level II | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 6,016 | 6,016 | 7,729 | ||
Level II | Non-Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 328,611 | 328,611 | 591,585 | ||
Level II | Non-Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 50,100 | 50,100 | 240,422 | ||
Level II | Non-Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 278,511 | 278,511 | 351,163 | ||
Level II | Other securities | |||||
Assets | |||||
Estimated Fair Value | 113,181 | 113,181 | 36,406 | ||
Level III | |||||
Assets | |||||
Estimated Fair Value | 25,741 | 25,741 | 179,991 | ||
Total Assets | 242,132 | 242,132 | 396,352 | ||
Liabilities | |||||
Derivative liabilities | 0 | 0 | 1,673 | ||
Securitized debt | 10,979 | 10,979 | 10,659 | ||
Total Liabilities | 10,979 | 10,979 | 12,332 | ||
Level III | Residential Whole-Loans | |||||
Assets | |||||
Fair value | 191,439 | 191,439 | 192,136 | ||
Level III | Securitized commercial loan | |||||
Assets | |||||
Fair value | 24,952 | 24,952 | 24,225 | ||
Level III | Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 2,009 | 2,009 | 73,059 | ||
Level III | Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 2,009 | 2,009 | |||
Level III | Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 73,059 | ||
Level III | Non-Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 14,262 | 14,262 | 75,576 | ||
Level III | Non-Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 14,262 | 14,262 | 619 | ||
Level III | Non-Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 64,116 | ||||
Level III | Non-Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 3,085 | ||||
Level III | Non-Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 0 | 0 | 7,756 | ||
Level III | Other securities | |||||
Assets | |||||
Estimated Fair Value | 9,470 | 9,470 | 31,356 | ||
Fair Value, Measurements, Recurring | Level III | Securitized debt | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Principal repayments | (26) | (26) | |||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 10,945 | 10,423 | 10,659 | 11,000 | |
Unrealized (gains)/losses, net on liabilities | 60 | 198 | 346 | (379) | |
Ending balance | 10,979 | 10,621 | 10,979 | 10,621 | |
Unrealized gain on securities | 0 | 0 | 0 | 379 | |
Unrealized loss on securities | (60) | (198) | (346) | 0 | |
Fair Value, Measurements, Recurring | Level III | Derivative liability | |||||
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 329 | 2,160 | 1,673 | 0 | |
Sales and settlements | (53) | (552) | |||
Realized (gains)/losses, net on liabilities | 53 | 552 | |||
Unrealized (gains)/losses, net on liabilities | (329) | 11 | (1,673) | 2,171 | |
Ending balance | 0 | 2,171 | 0 | 2,171 | |
Unrealized gain on securities | 0 | 0 | 0 | 0 | |
Unrealized loss on securities | 0 | (11) | 0 | (2,171) | |
Fair Value, Measurements, Recurring | Level III | Residential Whole-Loans | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 203,540 | 189,696 | 192,136 | 218,538 | |
Purchases | 29,404 | 33,718 | 29,404 | ||
Principal repayments | (11,264) | (14,493) | (33,718) | (42,828) | |
Unrealized gains/(losses), net on assets(1) | (575) | 819 | 97 | 1,403 | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Premium and discount amortization, net | (262) | (544) | (794) | (1,635) | |
Ending balance | 191,439 | 204,882 | 191,439 | 204,882 | |
Unrealized gain on securities | 42 | 1,400 | 917 | 2,200 | |
Unrealized loss on securities | (398) | (350) | (570) | (271) | |
Fair Value, Measurements, Recurring | Level III | Securitized commercial loan | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 24,875 | 23,688 | 24,225 | 25,000 | |
Principal repayments | (59) | (59) | |||
Unrealized gains/(losses), net on assets(1) | 136 | 450 | 786 | (862) | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Ending balance | 24,952 | 24,138 | 24,952 | 24,138 | |
Unrealized gain on securities | 136 | 450 | 786 | 0 | |
Unrealized loss on securities | 0 | 0 | 0 | (862) | |
Fair Value, Measurements, Recurring | Level III | Mortgage-backed securities and other securities | |||||
Investment assets measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Beginning balance | 36,731 | 226,826 | 179,991 | 466,336 | |
Transfers into Level III from Level II | 9,470 | 25,080 | |||
Transfers from Level III into Level II | (23,852) | (114,229) | (158,566) | ||
Purchases | 2,009 | 2,009 | 94 | ||
Principal repayments | (388) | (4,366) | (2,635) | (15,453) | |
Realized (gains)/losses, net on liabilities | 0 | (1,696) | 2,623 | (8,131) | |
Other than temporary impairment | (121) | (251) | (1,823) | (5,306) | |
Unrealized gains/(losses), net on assets(1) | 1,385 | (996) | (6,529) | 14,862 | |
Investment liabilities measured at fair value on recurring basis for which the entity has utilized Level III inputs to determine fair value | |||||
Sales and settlements | (9,194) | (60,132) | (78,104) | ||
Premium and discount amortization, net | 507 | (2,530) | 1,386 | (7,939) | |
Ending balance | 25,741 | 207,793 | 25,741 | 207,793 | |
Unrealized gain on securities | 291 | 3,000 | 756 | 20,300 | |
Unrealized loss on securities | 0 | $ (4,200) | 0 | $ (2,200) | |
Estimated Fair Value | |||||
Assets | |||||
Estimated Fair Value | 3,696,580 | 3,696,580 | 2,576,517 | ||
Derivative assets | 5,011 | 5,011 | 20,571 | ||
Total Assets | 3,917,982 | 3,917,982 | 2,813,449 | ||
Liabilities | |||||
Derivative liabilities | 986 | 986 | 182,158 | ||
Securitized debt | 10,979 | 10,979 | 10,659 | ||
Total Liabilities | 11,965 | 11,965 | 192,817 | ||
Estimated Fair Value | Residential Whole-Loans | |||||
Assets | |||||
Fair value | 191,439 | 191,439 | 192,136 | ||
Estimated Fair Value | Securitized commercial loan | |||||
Assets | |||||
Fair value | 24,952 | 24,952 | 24,225 | ||
Estimated Fair Value | Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 3,231,056 | 3,231,056 | 1,841,594 | ||
Estimated Fair Value | 20-Year mortgage | |||||
Assets | |||||
Estimated Fair Value | 159,278 | 159,278 | 498,470 | ||
Estimated Fair Value | 30-Year mortgage | |||||
Assets | |||||
Estimated Fair Value | 548,196 | 548,196 | 935,207 | ||
Estimated Fair Value | 40-Year mortgage | |||||
Assets | |||||
Estimated Fair Value | 387,095 | 387,095 | |||
Estimated Fair Value | Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 16,037 | 16,037 | 19,790 | ||
Estimated Fair Value | Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 11,219 | 11,219 | 16,503 | ||
Estimated Fair Value | Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 2,103,185 | 2,103,185 | 363,664 | ||
Estimated Fair Value | Agency CMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 30 | 30 | 231 | ||
Estimated Fair Value | Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 6,016 | 6,016 | 7,729 | ||
Estimated Fair Value | Non-Agency MBS | |||||
Assets | |||||
Estimated Fair Value | 342,873 | 342,873 | 667,161 | ||
Estimated Fair Value | Non-Agency RMBS | |||||
Assets | |||||
Estimated Fair Value | 64,362 | 64,362 | 241,041 | ||
Estimated Fair Value | Non-Agency RMBS Interest-Only Strips | |||||
Assets | |||||
Estimated Fair Value | 64,116 | ||||
Estimated Fair Value | Non-Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | |||||
Assets | |||||
Estimated Fair Value | 3,085 | ||||
Estimated Fair Value | Non-Agency CMBS | |||||
Assets | |||||
Estimated Fair Value | 278,511 | 278,511 | 358,919 | ||
Estimated Fair Value | Other securities | |||||
Assets | |||||
Estimated Fair Value | $ 122,651 | $ 122,651 | $ 67,762 |
Fair Value of Financial Instr33
Fair Value of Financial Instruments Narrative (Details) - USD ($) | Sep. 30, 2017 | Dec. 31, 2016 |
Fair Value Disclosures [Abstract] | ||
Derivative credit risk valuation adjustment, derivative assets | $ 0 | $ 0 |
Fair Value of Financial Instr34
Fair Value of Financial Instruments Carrying Value and Estimated Fair Value of Financial Instruments (Details) $ in Thousands | Sep. 30, 2017USD ($) |
Carrying Value | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Carrying Value | $ 54,912 |
Securities loaned or sold under agreements to repurchase, fair value | 3,336,256 |
Estimated Fair Value | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Carrying Value | 56,077 |
Securities loaned or sold under agreements to repurchase, fair value | 3,340,801 |
Residential Bridge Loans | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Carrying Value | 54,912 |
Residential Bridge Loans | Estimated Fair Value | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Carrying Value | $ 56,077 |
Mortgage-Backed Securities an35
Mortgage-Backed Securities and other securities (Details) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | $ 3,696,580,000 | $ 2,576,517,000 |
Mortgage-backed securities and other securities | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | 3,671,522,000 | 2,585,481,000 |
Unamortized Premium (Discount), net | (466,000) | 8,671,000 |
Discount Designated as Credit Reserve and OTTI | (52,829,000) | (130,484,000) |
Amortized Cost | 3,657,071,000 | 2,561,552,000 |
Unrealized Gain | 44,718,000 | 36,248,000 |
Unrealized Loss | (22,444,000) | (48,600,000) |
Estimated Fair Value | $ 3,696,580,000 | $ 2,576,517,000 |
Net Weighted Average Coupon (as a percent) | 3.30% | 3.90% |
Weighted average expected remaining term to the expected maturity of investment portfolio | 8 years 6 months 1 day | 7 years 1 month 6 days |
Agency MBS | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 3,121,501,000 | $ 1,726,860,000 |
Unamortized Premium (Discount), net | 55,846,000 | 73,966,000 |
Amortized Cost | 3,192,763,000 | 1,819,846,000 |
Unrealized Gain | 29,433,000 | 12,241,000 |
Unrealized Loss | (8,375,000) | (14,725,000) |
Estimated Fair Value | $ 3,231,056,000 | $ 1,841,594,000 |
Net Weighted Average Coupon (as a percent) | 3.10% | 3.30% |
20-Year mortgage | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 149,970,000 | $ 470,975,000 |
Unamortized Premium (Discount), net | 7,796,000 | 25,741,000 |
Amortized Cost | 157,766,000 | 496,716,000 |
Unrealized Gain | 1,528,000 | 3,689,000 |
Unrealized Loss | (16,000) | (1,935,000) |
Estimated Fair Value | $ 159,278,000 | $ 498,470,000 |
Net Weighted Average Coupon (as a percent) | 3.90% | 3.90% |
30-Year mortgage | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 508,739,000 | $ 878,599,000 |
Unamortized Premium (Discount), net | 34,841,000 | 63,608,000 |
Amortized Cost | 543,580,000 | 942,207,000 |
Unrealized Gain | 4,786,000 | 5,209,000 |
Unrealized Loss | (170,000) | (12,209,000) |
Estimated Fair Value | $ 548,196,000 | $ 935,207,000 |
Net Weighted Average Coupon (as a percent) | 4.20% | 4.10% |
40-Year mortgage | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 374,844,000 | |
Unamortized Premium (Discount), net | 11,062,000 | |
Amortized Cost | 385,906,000 | |
Unrealized Gain | 2,003,000 | |
Unrealized Loss | (814,000) | |
Estimated Fair Value | $ 387,095,000 | |
Net Weighted Average Coupon (as a percent) | 3.50% | |
Agency RMBS Interest-Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Amortized Cost | $ 15,416,000 | $ 18,810,000 |
Unrealized Gain | 855,000 | 1,301,000 |
Unrealized Loss | (234,000) | (321,000) |
Estimated Fair Value | $ 16,037,000 | $ 19,790,000 |
Net Weighted Average Coupon (as a percent) | 3.00% | 3.00% |
Notional balance | $ 166,200,000 | $ 201,600,000 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | $ 11,219,000 | $ 16,503,000 |
Net Weighted Average Coupon (as a percent) | 2.90% | 3.20% |
Notional balance | $ 131,800,000 | $ 188,100,000 |
Agency CMBS | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | 2,087,948,000 | 377,286,000 |
Unamortized Premium (Discount), net | 2,147,000 | (15,383,000) |
Amortized Cost | 2,090,095,000 | 361,903,000 |
Unrealized Gain | 20,231,000 | 2,021,000 |
Unrealized Loss | (7,141,000) | (260,000) |
Estimated Fair Value | $ 2,103,185,000 | $ 363,664,000 |
Net Weighted Average Coupon (as a percent) | 2.90% | 2.60% |
Agency CMBS Interest-Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Amortized Cost | $ 0 | $ 210,000 |
Unrealized Gain | 30,000 | 21,000 |
Estimated Fair Value | $ 30,000 | $ 231,000 |
Net Weighted Average Coupon (as a percent) | 3.20% | 4.30% |
Notional balance | $ 5,300,000 | |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | $ 6,016,000 | $ 7,729,000 |
Net Weighted Average Coupon (as a percent) | 0.50% | 0.60% |
Notional balance | $ 193,800,000 | |
Non-Agency MBS | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | 457,719,000 | $ 813,783,000 |
Unamortized Premium (Discount), net | (61,652,000) | (69,730,000) |
Discount Designated as Credit Reserve and OTTI | (47,604,000) | (126,186,000) |
Amortized Cost | 348,463,000 | 673,621,000 |
Unrealized Gain | 8,479,000 | 22,736,000 |
Unrealized Loss | (14,069,000) | (32,281,000) |
Estimated Fair Value | $ 342,873,000 | $ 667,161,000 |
Net Weighted Average Coupon (as a percent) | 4.50% | 5.00% |
Non-Agency RMBS | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 81,504,000 | $ 340,759,000 |
Unamortized Premium (Discount), net | (802,000) | (294,000) |
Discount Designated as Credit Reserve and OTTI | (22,262,000) | (108,399,000) |
Amortized Cost | 58,440,000 | 232,066,000 |
Unrealized Gain | 5,922,000 | 11,210,000 |
Unrealized Loss | 0 | (2,235,000) |
Estimated Fair Value | $ 64,362,000 | $ 241,041,000 |
Net Weighted Average Coupon (as a percent) | 3.10% | 4.50% |
Non-Agency RMBS Interest-Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Amortized Cost | $ 55,754,000 | |
Unrealized Gain | 8,362,000 | |
Estimated Fair Value | $ 64,116,000 | |
Net Weighted Average Coupon (as a percent) | 5.60% | |
Notional balance | $ 278,400,000 | |
Non-Agency RMBS Interest-Only Strips, accounted for as derivatives | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | $ 3,085,000 | |
Net Weighted Average Coupon (as a percent) | 4.60% | |
Notional balance | $ 20,700,000 | |
Non-Agency CMBS | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 376,215,000 | 473,024,000 |
Unamortized Premium (Discount), net | (60,850,000) | (69,436,000) |
Discount Designated as Credit Reserve and OTTI | (25,342,000) | (17,787,000) |
Amortized Cost | 290,023,000 | 385,801,000 |
Unrealized Gain | 2,557,000 | 3,164,000 |
Unrealized Loss | (14,069,000) | (30,046,000) |
Estimated Fair Value | $ 278,511,000 | $ 358,919,000 |
Net Weighted Average Coupon (as a percent) | 4.80% | 5.00% |
Other securities | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 92,302,000 | $ 44,838,000 |
Unamortized Premium (Discount), net | 5,340,000 | 4,435,000 |
Discount Designated as Credit Reserve and OTTI | (5,225,000) | (4,298,000) |
Amortized Cost | 115,845,000 | 68,085,000 |
Unrealized Gain | 6,806,000 | 1,271,000 |
Unrealized Loss | 0 | (1,594,000) |
Estimated Fair Value | $ 122,651,000 | $ 67,762,000 |
Net Weighted Average Coupon (as a percent) | 7.30% | 8.20% |
Residual interests in asset-backed securities | ||
Mortgage-Backed Securities and other securities | ||
Principal Balance | $ 0 | $ 0 |
Amortized Cost | $ 23,400,000 | 23,100,000 |
Agency interest only strips accounted for as derivatives | ||
Mortgage-Backed Securities and other securities | ||
Notional balance | 221,800,000 | |
CMBS Interest Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Notional balance | $ 32,800,000 |
Mortgage-Backed Securities an36
Mortgage-Backed Securities and other securities- Purchase discount and premium (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Discount Designated as Credit Reserve and OTTI | ||||
Net impairment losses recognized in earnings | $ (7,225) | $ (4,978) | $ (19,901) | $ (22,131) |
Non-Agency RMBS and Non-Agency CMBS and other securities | ||||
Discount Designated as Credit Reserve and OTTI | ||||
Balance at beginning of period | (49,830) | (129,162) | (130,484) | (152,750) |
Realized credit losses | 25 | 2,623 | 1,854 | 5,765 |
Purchases | (1,216) | (1,724) | (15,482) | |
Sales | 187 | 1,947 | 89,628 | 33,610 |
Net impairment losses recognized in earnings | (2,345) | (4,526) | (12,696) | (18,340) |
Transfers/release of credit reserve | (866) | 1,679 | 593 | 18,542 |
Balance at end of period | (52,829) | (128,655) | (52,829) | (128,655) |
Accretable Discount | ||||
Balance at beginning of period | (76,778) | (139,675) | (109,822) | (145,532) |
Accretion of discount | 2,588 | 4,151 | 8,542 | 13,381 |
Purchases | (668) | (2,265) | ||
Sales | 1,931 | 8,573 | 32,016 | 22,986 |
Transfers/release of credit reserve | 953 | (254) | (1,374) | (15,775) |
Balance at end of period | (71,306) | (127,205) | (71,306) | (127,205) |
Amortizable Premium | ||||
Balance at beginning of period | 15,186 | 43,402 | 44,527 | 56,163 |
Amortization of premium | (87) | (1,132) | (776) | (4,242) |
Purchases | 2,246 | 1,522 | 4,366 | |
Sales | (18) | (1,323) | (31,060) | (11,752) |
Transfers/release of credit reserve | (87) | (1,425) | 781 | (2,767) |
Balance at end of period | $ 14,994 | $ 41,768 | $ 14,994 | $ 41,768 |
Mortgage-Backed Securities an37
Mortgage-Backed Securities and other securities- Type of security (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | $ 3,696,580 | $ 2,576,517 |
Mortgage-backed securities and other securities | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 3,696,580 | 2,576,517 |
Mortgage-backed securities and other securities | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 1,586,882 | 300,326 |
Mortgage-backed securities and other securities | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 873,974 | 748,226 |
Mortgage-backed securities and other securities | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 711,491 | 1,156,746 |
Mortgage-backed securities and other securities | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 524,233 | 371,219 |
Agency MBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 3,231,056 | 1,841,594 |
Agency MBS | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 1,577,881 | 284,448 |
Agency MBS | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 702,212 | 599,133 |
Agency MBS | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 557,852 | 950,284 |
Agency MBS | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 393,111 | 7,729 |
20-Year mortgage | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 159,278 | 498,470 |
20-Year mortgage | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 159,278 | 498,470 |
30-Year mortgage | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 548,196 | 935,207 |
30-Year mortgage | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 548,196 | 935,207 |
40-Year mortgage | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 387,095 | |
40-Year mortgage | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 387,095 | |
Agency RMBS Interest-Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 16,037 | 19,790 |
Agency RMBS Interest-Only Strips | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 4,203 | 499 |
Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 6,201 | 10,434 |
Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 5,633 | 8,857 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 11,219 | 16,503 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 1,798 | 807 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 5,398 | 9,476 |
Agency RMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 4,023 | 6,220 |
Agency CMBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 2,103,185 | 363,664 |
Agency CMBS | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 1,571,850 | 282,911 |
Agency CMBS | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 531,335 | 80,753 |
Agency CMBS Interest-Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 30 | 231 |
Agency CMBS Interest-Only Strips | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 30 | 231 |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 6,016 | 7,729 |
Agency CMBS Interest-Only Strips accounted for as derivatives, included in MBS | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 6,016 | 7,729 |
Non-Agency MBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 342,873 | 667,161 |
Non-Agency MBS | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 9,001 | 15,878 |
Non-Agency MBS | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 77,967 | 108,733 |
Non-Agency MBS | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 148,635 | 201,116 |
Non-Agency MBS | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 107,270 | 341,434 |
Non-Agency RMBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 64,362 | 241,041 |
Non-Agency RMBS | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 13 | 13 |
Non-Agency RMBS | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 52,530 | 65,780 |
Non-Agency RMBS | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 4,343 | 54,408 |
Non-Agency RMBS | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 7,476 | 120,840 |
Non-Agency RMBS Interest-Only Strips | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 64,116 | |
Non-Agency RMBS Interest-Only Strips | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 4,955 | |
Non-Agency RMBS Interest-Only Strips | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 10,724 | |
Non-Agency RMBS Interest-Only Strips | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 48,437 | |
Non-Agency RMBS Interest-Only Strips, accounted for as derivatives | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 3,085 | |
Non-Agency RMBS Interest-Only Strips, accounted for as derivatives | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 1,043 | |
Non-Agency RMBS Interest-Only Strips, accounted for as derivatives | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 2,042 | |
Non-Agency CMBS | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 278,511 | 358,919 |
Non-Agency CMBS | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 8,988 | 15,865 |
Non-Agency CMBS | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 25,437 | 37,998 |
Non-Agency CMBS | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 144,292 | 134,941 |
Non-Agency CMBS | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 99,794 | 170,115 |
Other securities | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 122,651 | 67,762 |
Other securities | Less than or equal to 10 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 0 | 0 |
Other securities | More than 10 years and less than or equal to 20 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 93,795 | 40,360 |
Other securities | More than 20 years and less than or equal to 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | 5,004 | 5,346 |
Other securities | More than 30 years | ||
Mortgage-Backed Securities and other securities | ||
Estimated Fair Value | $ 23,852 | $ 22,056 |
Mortgage-Backed Securities an38
Mortgage-Backed Securities and other securities- FV and unrealized loss (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017USD ($)itemsecurity | Sep. 30, 2016USD ($) | Sep. 30, 2017USD ($)itemsecurity | Sep. 30, 2016USD ($) | Dec. 31, 2016USD ($)security | |
Fair Value | |||||
Fair value - Less than 12 months | $ 1,268,743 | $ 1,268,743 | $ 806,717 | ||
12 Months or More Fair Value | 139,100 | 139,100 | 288,928 | ||
Total Fair Value | 1,407,843 | 1,407,843 | 1,095,645 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (8,401) | (8,401) | (18,182) | ||
12 Months or More Unrealized Losses | (14,043) | (14,043) | (30,418) | ||
Total Unrealized Losses | $ (22,444) | $ (22,444) | $ (48,600) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 72 | 72 | 135 | ||
12 Months or More Number of Securities | security | 43 | 43 | 70 | ||
Total Number of Securities | security | 115 | 115 | 205 | ||
Available-for-sale Securities, Noncurrent | $ 322,200 | $ 322,200 | |||
Other than temporary impairment | 7,225 | $ 4,978 | 19,901 | $ 22,131 | |
Agency RMBS | |||||
Fair Value | |||||
Fair value - Less than 12 months | 1,257,786 | 1,257,786 | $ 727,594 | ||
12 Months or More Fair Value | 2,866 | 2,866 | 24,216 | ||
Total Fair Value | 1,260,652 | 1,260,652 | 751,810 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (8,217) | (8,217) | (13,686) | ||
12 Months or More Unrealized Losses | (158) | (158) | (1,039) | ||
Total Unrealized Losses | $ (8,375) | $ (8,375) | $ (14,725) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 68 | 68 | 114 | ||
12 Months or More Number of Securities | security | 6 | 6 | 15 | ||
Total Number of Securities | 74 | 74 | 129 | ||
Other than temporary impairment | $ 4,760 | 202 | $ 5,420 | 1,226 | |
20-Year mortgage | |||||
Fair Value | |||||
Fair value - Less than 12 months | 2,729 | 2,729 | $ 142,749 | ||
12 Months or More Fair Value | 0 | 0 | 0 | ||
Total Fair Value | 2,729 | 2,729 | 142,749 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (16) | (16) | (1,935) | ||
12 Months or More Unrealized Losses | 0 | 0 | 0 | ||
Total Unrealized Losses | $ (16) | $ (16) | $ (1,935) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 4 | 4 | 47 | ||
12 Months or More Number of Securities | security | 0 | 0 | 0 | ||
Total Number of Securities | 4 | 4 | 47 | ||
30-Year mortgage | |||||
Fair Value | |||||
Fair value - Less than 12 months | $ 31,615 | $ 31,615 | $ 432,949 | ||
12 Months or More Fair Value | 1,554 | 1,554 | 22,586 | ||
Total Fair Value | 33,169 | 33,169 | 455,535 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (57) | (57) | (11,264) | ||
12 Months or More Unrealized Losses | (113) | (113) | (945) | ||
Total Unrealized Losses | $ (170) | $ (170) | $ (12,209) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 3 | 3 | 54 | ||
12 Months or More Number of Securities | security | 4 | 4 | 13 | ||
Total Number of Securities | 7 | 7 | 67 | ||
40-Year mortgage | |||||
Fair Value | |||||
Fair value - Less than 12 months | $ 290,834 | $ 290,834 | |||
12 Months or More Fair Value | 0 | 0 | |||
Total Fair Value | 290,834 | 290,834 | |||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (814) | (814) | |||
12 Months or More Unrealized Losses | 0 | 0 | |||
Total Unrealized Losses | $ (814) | $ (814) | |||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 1 | 1 | |||
12 Months or More Number of Securities | security | 0 | 0 | |||
Total Number of Securities | item | 1 | 1 | |||
Agency RMBS Interest-Only Strips | |||||
Fair Value | |||||
Fair value - Less than 12 months | $ 5,213 | $ 5,213 | $ 6,105 | ||
12 Months or More Fair Value | 1,312 | 1,312 | 1,630 | ||
Total Fair Value | 6,525 | 6,525 | 7,735 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (189) | (189) | (227) | ||
12 Months or More Unrealized Losses | (45) | (45) | (94) | ||
Total Unrealized Losses | $ (234) | $ (234) | $ (321) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 7 | 7 | 6 | ||
12 Months or More Number of Securities | security | 2 | 2 | 2 | ||
Total Number of Securities | 9 | 9 | 8 | ||
Agency CMBS | |||||
Fair Value | |||||
Fair value - Less than 12 months | $ 927,395 | $ 927,395 | $ 145,791 | ||
12 Months or More Fair Value | 0 | 0 | 0 | ||
Total Fair Value | 927,395 | 927,395 | 145,791 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (7,141) | (7,141) | (260) | ||
12 Months or More Unrealized Losses | 0 | 0 | 0 | ||
Total Unrealized Losses | $ (7,141) | $ (7,141) | $ (260) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 53 | 53 | 7 | ||
12 Months or More Number of Securities | security | 0 | 0 | 0 | ||
Total Number of Securities | 53 | 53 | 7 | ||
Non-Agency MBS | |||||
Fair Value | |||||
Fair value - Less than 12 months | $ 10,957 | $ 10,957 | $ 71,157 | ||
12 Months or More Fair Value | 136,234 | 136,234 | 241,322 | ||
Total Fair Value | 147,191 | 147,191 | 312,479 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (184) | (184) | (4,081) | ||
12 Months or More Unrealized Losses | (13,885) | (13,885) | (28,200) | ||
Total Unrealized Losses | $ (14,069) | $ (14,069) | $ (32,281) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 4 | 4 | 20 | ||
12 Months or More Number of Securities | security | 37 | 37 | 53 | ||
Total Number of Securities | security | 41 | 41 | 73 | ||
Non-Agency RMBS | |||||
Fair Value | |||||
Fair value - Less than 12 months | $ 11,628 | ||||
12 Months or More Fair Value | 33,034 | ||||
Total Fair Value | 44,662 | ||||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (50) | ||||
12 Months or More Unrealized Losses | (2,185) | ||||
Total Unrealized Losses | $ (2,235) | ||||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 3 | ||||
12 Months or More Number of Securities | security | 6 | ||||
Total Number of Securities | security | 9 | ||||
Other than temporary impairment | $ 0 | 852 | $ 0 | 8,081 | |
Non-Agency CMBS | |||||
Fair Value | |||||
Fair value - Less than 12 months | 10,957 | 10,957 | $ 59,529 | ||
12 Months or More Fair Value | 136,234 | 136,234 | 208,288 | ||
Total Fair Value | 147,191 | 147,191 | 267,817 | ||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (184) | (184) | (4,031) | ||
12 Months or More Unrealized Losses | (13,885) | (13,885) | (26,015) | ||
Total Unrealized Losses | $ (14,069) | $ (14,069) | $ (30,046) | ||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 4 | 4 | 17 | ||
12 Months or More Number of Securities | security | 37 | 37 | 47 | ||
Total Number of Securities | security | 41 | 41 | 64 | ||
Other than temporary impairment | $ 2,344 | 3,674 | $ 12,658 | 9,213 | |
Other securities | |||||
Fair Value | |||||
Fair value - Less than 12 months | $ 7,966 | ||||
12 Months or More Fair Value | 23,390 | ||||
Total Fair Value | 31,356 | ||||
Unrealized Losses | |||||
Less than 12 Months Unrealized Losses | (415) | ||||
12 Months or More Unrealized Losses | (1,179) | ||||
Total Unrealized Losses | $ (1,594) | ||||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 1 | ||||
12 Months or More Number of Securities | security | 2 | ||||
Total Number of Securities | security | 3 | ||||
Other than temporary impairment | $ 121 | $ 250 | $ 1,823 | $ 3,611 | |
Unpaid Securities [Member] | |||||
Number of Securities | |||||
Less than 12 Months Number of Securities | security | 47 | 47 | |||
Unpaid Securities [Member] | Agency RMBS | |||||
Number of Securities | |||||
Other than temporary impairment | $ 4,700 |
Mortgage-Backed Securities an39
Mortgage-Backed Securities and other securities- Financing receivables (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Mortgage-Backed Securities and other securities | ||||
Other loss on securities | $ 7,225 | $ 4,978 | $ 19,901 | $ 22,131 |
Components of interest income | ||||
Net (Premium Amortization/Amortization Basis) Discount Amortization | 2,658 | (2,355) | ||
Interest Income | 30,928 | 29,154 | 89,413 | 87,992 |
Mortgage-backed securities and other securities | ||||
Components of interest income | ||||
Coupon Interest | 26,930 | 32,262 | 79,378 | 100,911 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | 90 | (5,246) | (958) | (19,887) |
Interest Income | 27,020 | 27,016 | 78,420 | 81,024 |
Agency RMBS | ||||
Mortgage-Backed Securities and other securities | ||||
Other loss on securities | 4,760 | 202 | 5,420 | 1,226 |
Components of interest income | ||||
Coupon Interest | 8,886 | 16,525 | 30,513 | 50,693 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | (2,995) | (6,255) | (10,662) | (22,220) |
Interest Income | 5,891 | 10,270 | 19,851 | 28,473 |
Agency CMBS | ||||
Components of interest income | ||||
Coupon Interest | 11,071 | 677 | 24,408 | 2,194 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | 110 | (505) | 717 | (1,358) |
Interest Income | 11,181 | 172 | 25,125 | 836 |
Non-Agency RMBS | ||||
Mortgage-Backed Securities and other securities | ||||
Other loss on securities | 0 | 852 | 0 | 8,081 |
Components of interest income | ||||
Coupon Interest | 571 | 8,575 | 4,482 | 27,098 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | 372 | (1,172) | 303 | (4,106) |
Interest Income | 943 | 7,403 | 4,785 | 22,992 |
Non-Agency CMBS | ||||
Mortgage-Backed Securities and other securities | ||||
Other loss on securities | 2,344 | 3,674 | 12,658 | 9,213 |
Components of interest income | ||||
Coupon Interest | 4,242 | 6,021 | 14,675 | 19,270 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | 2,139 | 1,954 | 6,572 | 5,513 |
Interest Income | 6,381 | 7,975 | 21,247 | 24,783 |
Other securities | ||||
Mortgage-Backed Securities and other securities | ||||
Other loss on securities | 121 | 250 | 1,823 | 3,611 |
Components of interest income | ||||
Coupon Interest | 2,160 | 464 | 5,300 | 1,656 |
Net (Premium Amortization/Amortization Basis) Discount Amortization | 464 | 732 | 2,112 | 2,284 |
Interest Income | $ 2,624 | $ 1,196 | $ 7,412 | $ 3,940 |
Mortgage-Backed Securities an40
Mortgage-Backed Securities and other securities- Gross gains and losses (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | |
Mortgage-Backed Securities and other securities | ||||
Net Gain (Loss) | $ 1,830,000 | $ 1,439,000 | $ 20,600,000 | $ (4,968,000) |
Mortgage-backed securities and other securities | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | 18,110,000 | 89,531,000 | 1,185,055,000 | 1,296,214,000 |
Gross Gains | 2,057,000 | 3,029,000 | 31,561,000 | 11,900,000 |
Gross Losses | (227,000) | (1,590,000) | (10,961,000) | (16,868,000) |
Net Gain (Loss) | 1,830,000 | 1,439,000 | 20,600,000 | (4,968,000) |
Agency RMBS | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | (2,906,000) | 42,427,000 | 862,245,000 | 358,029,000 |
Gross Gains | 3,000 | 0 | 4,376,000 | 5,250,000 |
Gross Losses | (51,000) | (138,000) | (7,314,000) | (5,764,000) |
Net Gain (Loss) | 48,000 | (138,000) | (2,938,000) | (514,000) |
Agency RMBS | Agency interest only strips accounted for as derivatives | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | 2,600,000 | 8,600,000 | ||
Gross Gains | 432,000 | 300,000 | ||
Gross Losses | 0 | (455,000) | ||
Agency CMBS | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | 0 | 8,216,000 | 0 | 18,637,000 |
Gross Gains | 0 | 45,000 | 0 | 54,000 |
Gross Losses | 0 | 0 | 0 | (55,000) |
Net Gain (Loss) | 0 | 45,000 | 0 | (1,000) |
Non-Agency RMBS | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | 0 | 15,209,000 | 243,811,000 | 120,649,000 |
Gross Gains | 0 | 1,306,000 | 24,389,000 | 3,100,000 |
Gross Losses | 0 | 0 | (2,242,000) | (4,559,000) |
Net Gain (Loss) | 0 | 1,306,000 | 22,147,000 | (1,459,000) |
Non-Agency CMBS | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | 10,597,000 | 9,194,000 | 45,634,000 | 34,188,000 |
Gross Gains | 1,641,000 | 0 | 2,377,000 | 0 |
Gross Losses | (278,000) | (1,452,000) | (1,351,000) | (4,381,000) |
Net Gain (Loss) | 1,363,000 | (1,452,000) | 1,026,000 | (4,381,000) |
Other securities | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | 10,419,000 | 14,485,000 | 33,365,000 | 764,711,000 |
Gross Gains | 419,000 | 1,678,000 | 419,000 | 3,496,000 |
Gross Losses | 0 | 0 | (54,000) | (2,109,000) |
Net Gain (Loss) | $ 419,000 | $ 1,678,000 | 365,000 | 1,387,000 |
Non Agency RMBS Interest Only Strips Accounted For As Derivatives | Agency interest only strips accounted for as derivatives | ||||
Mortgage-Backed Securities and other securities | ||||
Proceeds | 2,200,000 | 0 | ||
Gross Gains | 274,000 | 0 | ||
Gross Losses | $ (180,000) | $ 0 |
Variable Interest Entities (Det
Variable Interest Entities (Details) $ in Thousands | 1 Months Ended | 9 Months Ended | 12 Months Ended |
Nov. 30, 2015USD ($) | Sep. 30, 2017USD ($)entityloantrust | Dec. 31, 2016USD ($)entityloan | |
Variable Interest Entity [Line Items] | |||
Borrowings under repurchase agreements, net | $ 3,336,256 | $ 2,155,644 | |
Securitized commercial loan, at fair value | 24,952 | 24,225 | |
Securitized debt, at fair value | $ 10,979 | $ 10,659 | |
Number of trusts | trust | 3 | ||
Variable interest entity, not primary beneficiary, aggregated disclosure | |||
Variable Interest Entity [Line Items] | |||
Variable interest entity, nonconsolidated, number of entity | entity | 3 | 3 | |
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | $ 62,500 | $ 60,500 | |
VIE | |||
Variable Interest Entity [Line Items] | |||
Securitized commercial loan, at fair value | $ 24,952 | $ 24,225 | |
Debt instrument, interest rate, effective percentage | 8.90% | ||
Residential Whole-Loans | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | loan | 483 | 475 | |
Residential Whole-Loans | VIE | |||
Variable Interest Entity [Line Items] | |||
Borrowings under repurchase agreements, net | $ 156,800 | ||
Number of Loans | loan | 483 | ||
Mortgage loans on real estate, number of loans, nonperforming | loan | 1 | ||
Mortgage loans on real estate, principal amount of delinquent loans | $ 825 | ||
Mortgage loans on real estate, fair value amount of delinquent loans | $ 803 | ||
Mortgage loans on real estate, number of loans, nonperforming, percentage | 0.40% | ||
Residential Bridge Loans | |||
Variable Interest Entity [Line Items] | |||
Carrying Value | $ 54,912 | ||
Number of Loans | loan | 156 | ||
Residential Bridge Loans | VIE | |||
Variable Interest Entity [Line Items] | |||
Borrowings under repurchase agreements, net | $ 51,100 | ||
Number of Loans | loan | 156 | ||
Mortgage loans on real estate, number of loans, nonperforming | loan | 6 | ||
Mortgage loans on real estate, principal amount of delinquent loans | $ 1,600 | ||
Mortgage loans on real estate, number of loans, nonperforming, percentage | 2.90% | ||
Securitized commercial loan | VIE | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | loan | 1 | ||
Securitized commercial loan | Cmsc Trust | |||
Variable Interest Entity [Line Items] | |||
Borrowings under repurchase agreements, net | $ 6,800 | ||
Variable interest entity, amount acquired | $ 14,000 | $ 14,000 | |
Variable interest entity, fair value | 14,000 | ||
Securitized debt, at fair value | 11,000 | ||
Cmsc Trust | |||
Variable Interest Entity [Line Items] | |||
Securitized commercial loan, at fair value | 24,900 | ||
Trust certificates issued amount | 24,900 | ||
Securitized debt | VIE | Securitized commercial loan | |||
Variable Interest Entity [Line Items] | |||
Securitized debt, at fair value | $ 11,000 |
Variable Interest Entities Summ
Variable Interest Entities Summary of the assets and liabilities of the residential and commercial loan trusts (Details) $ in Thousands | 9 Months Ended | 12 Months Ended | |
Sep. 30, 2017USD ($)loan | Dec. 31, 2016USD ($) | ||
Variable Interest Entity [Line Items] | |||
Residential Whole-Loans, at fair value | $ 191,439 | $ 192,136 | |
Securitized commercial loan, at fair value | 24,952 | 24,225 | |
Investment related receivable | 9,551 | 33,600 | |
Accrued interest receivable | 13,025 | 18,812 | |
Total assets | [1] | 4,125,205 | 3,156,016 |
Accrued interest payable | 4,859 | 16,041 | |
Accounts payable and accrued expenses | 2,588 | 3,255 | |
Total Liabilities | [2] | 3,669,220 | 2,725,534 |
VIE | |||
Variable Interest Entity [Line Items] | |||
Residential Whole-Loans, at fair value | 191,439 | 192,136 | |
Residential Bridge Loans | 54,912 | 0 | |
Securitized commercial loan, at fair value | 24,952 | 24,225 | |
Investment related receivable | 7,178 | 1,241 | |
Accrued interest receivable | 2,529 | 1,622 | |
Total assets | 281,010 | 219,224 | |
Securitized debt | 10,979 | 10,659 | |
Accrued interest payable | 82 | 85 | |
Accounts payable and accrued expenses | 157 | 2 | |
Total Liabilities | $ 11,218 | $ 10,746 | |
Securitized commercial loan | VIE | |||
Variable Interest Entity [Line Items] | |||
Number of Loans | loan | 1 | ||
[1] | Consolidated Balance Sheets (Parenthetical) - USD ($) $ in ThousandsSeptember 30, 2017December 31, 2016Fair value of mortgage-backed securities and other securities pledged as collateral (in dollars)3,397,6992,261,430Fair value of residential whole-loans pledged as collateral191,439192,136Collateral pledged for residential bridge loans54,912—Collateral pledged for investment related receivable209,065— | ||
[2] | (2) Liabilities of consolidated VIEs included in the total liabilities above: Securitized debt at fair value10,97910,659 Accrued interest payable8285 Accounts payable and accrued expenses1572 Total Liabilities of consolidated VIEs11,21810,746 |
Variable Interest Entities Comp
Variable Interest Entities Components of the fair value of Residential Whole-Loans (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | $ 187,521 | $ 187,765 |
Unamortized premium | 1,255 | 1,311 |
Unamortized discount | (998) | (539) |
Gross unrealized gains | 3,759 | 3,643 |
Gross unrealized losses | (98) | (44) |
Fair value | 191,439 | 192,136 |
Securitized commercial loan | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | 24,941 | 25,000 |
Gross unrealized gains | 11 | |
Gross unrealized losses | 0 | (775) |
Fair value | $ 24,952 | $ 24,225 |
Variable Interest Entities Resi
Variable Interest Entities Residential Whole-Loan investment portfolio (Details) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017USD ($)loanscore | Dec. 31, 2016USD ($)loanscore | |
3.01 – 4.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 94 | 59 |
Principal Balance | $ 40,696 | $ 23,318 |
Original LTV | 54.40% | 54.80% |
Original FICO Score | score | 750 | 732 |
Expected Life (years) | 1 year 7 months 6 days | 1 year 4 months 24 days |
Contractual Maturity (years) | 28 years 3 months 18 days | 26 years 6 months |
Coupon Rate | 3.90% | 4.20% |
4.01– 5.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 246 | 180 |
Principal Balance | $ 92,170 | $ 69,930 |
Original LTV | 55.40% | 57.10% |
Original FICO Score | score | 725 | 728 |
Expected Life (years) | 1 year 4 months 24 days | 1 year 6 months |
Contractual Maturity (years) | 26 years 2 months 12 days | 27 years 3 months 18 days |
Coupon Rate | 4.40% | 4.60% |
5.01 – 6.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 138 | 231 |
Principal Balance | $ 51,635 | $ 91,440 |
Original LTV | 57.40% | 55.50% |
Original FICO Score | score | 723 | 723 |
Expected Life (years) | 1 year 6 months | 1 year 7 months 6 days |
Contractual Maturity (years) | 26 years 7 months 6 days | 27 years 1 month 6 days |
Coupon Rate | 5.20% | 5.00% |
6.01 – 7.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 5 | 5 |
Principal Balance | $ 3,020 | $ 3,077 |
Original LTV | 71.20% | 71.20% |
Original FICO Score | score | 738 | 738 |
Expected Life (years) | 1 year 3 months 18 days | 1 year 3 months 18 days |
Contractual Maturity (years) | 20 years 4 months 24 days | 21 years 1 month 6 days |
Coupon Rate | 6.30% | 6.30% |
Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 483 | 475 |
Principal Balance | $ 187,521 | $ 187,765 |
Original LTV | 56.00% | 56.30% |
Original FICO Score | score | 731 | 726 |
Expected Life (years) | 1 year 4 months 24 days | 1 year 6 months |
Contractual Maturity (years) | 26 years 7 months 6 days | 27 years |
Coupon Rate | 4.50% | 4.80% |
Residential portfolio segment with no FICO score | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 140 | 153 |
Principal Balance | $ 56,600 | $ 66,700 |
8.01 – 9.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 37 | |
Principal Balance | $ 16,164 | |
Unamortized Premium | 78 | |
Carrying Value | $ 16,242 | |
Original LTV | 72.30% | |
Original FICO Score | score | 718 | |
Expected Life (years) | 14 months 9 days | |
Coupon Rate | 8.90% | |
9.01 – 10.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 75 | |
Principal Balance | $ 27,011 | |
Unamortized Premium | 110 | |
Carrying Value | $ 27,121 | |
Original LTV | 73.80% | |
Original FICO Score | score | 669 | |
Expected Life (years) | 7 months 21 days | |
Coupon Rate | 9.60% | |
10.01 – 11.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 34 | |
Principal Balance | $ 9,193 | |
Unamortized Premium | 25 | |
Carrying Value | $ 9,218 | |
Original LTV | 74.70% | |
Original FICO Score | score | 648 | |
Expected Life (years) | 4 months 3 days | |
Coupon Rate | 10.70% | |
17.01 – 18.00% | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 10 | |
Principal Balance | $ 2,348 | |
Unamortized Premium | (17) | |
Carrying Value | $ 2,331 | |
Original LTV | 72.00% | |
Original FICO Score | score | 630 | |
Expected Life (years) | 7 months 21 days | |
Coupon Rate | 18.00% | |
Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 156 | |
Principal Balance | $ 54,716 | |
Unamortized Premium | 196 | |
Carrying Value | $ 54,912 | |
Original LTV | 73.40% | |
Original FICO Score | score | 679 | |
Expected Life (years) | 9 months 3 days | |
Coupon Rate | 10.00% | |
Residential Bridge-Loans with no FICO score | ||
Variable Interest Entity [Line Items] | ||
Number of Loans | loan | 20 | |
Principal Balance | $ 6,200 | |
Minimum | 3.01 – 4.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 3.01% | 3.01% |
Minimum | 4.01– 5.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 4.01% | 4.01% |
Minimum | 5.01 – 6.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 5.01% | 5.01% |
Minimum | 6.01 – 7.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 6.01% | 6.01% |
Minimum | 8.01 – 9.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 8.01% | |
Minimum | 9.01 – 10.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 9.01% | |
Minimum | 10.01 – 11.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 10.01% | |
Minimum | 17.01 – 18.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 17.01% | |
Maximum | 3.01 – 4.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 4.00% | 4.00% |
Maximum | 4.01– 5.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 5.00% | 5.00% |
Maximum | 5.01 – 6.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 6.00% | 6.00% |
Maximum | 6.01 – 7.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 7.00% | 7.00% |
Maximum | 8.01 – 9.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 9.00% | |
Maximum | 9.01 – 10.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 10.00% | |
Maximum | 10.01 – 11.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 11.00% | |
Maximum | 17.01 – 18.00% | ||
Variable Interest Entity [Line Items] | ||
Coupon Rate | 18.00% |
Variable Interest Entities Coll
Variable Interest Entities Collateral Securing (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | $ 187,521 | $ 187,765 |
Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Principal Balance | $ 54,716 | |
Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 100.00% | 100.00% |
Principal Balance | $ 187,521 | $ 187,765 |
Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 100.00% | |
Principal Balance | $ 54,716 | |
California | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 70.00% | 85.20% |
Principal Balance | $ 131,403 | $ 159,955 |
California | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 49.80% | |
Principal Balance | $ 27,311 | |
New York | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 19.10% | 5.60% |
Principal Balance | $ 35,877 | $ 10,591 |
Florida | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 27.40% | |
Principal Balance | $ 14,988 | |
HAWAII | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 7.70% | |
Principal Balance | $ 4,225 | |
Washington | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 5.00% | 5.40% |
Principal Balance | $ 9,290 | $ 10,161 |
Washington | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 4.90% | |
Principal Balance | $ 2,664 | |
OREGON | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 4.00% | |
Principal Balance | $ 2,180 | |
Massachusetts | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 4.90% | 2.40% |
Principal Balance | $ 9,175 | $ 4,454 |
Georgia | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 0.70% | 0.80% |
Principal Balance | $ 1,266 | $ 1,492 |
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Whole-Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 0.30% | 0.60% |
Principal Balance | $ 510 | $ 1,112 |
Other | Geographic Concentration Risk | Financing Receivables Total | Residential Bridge Loans | ||
Variable Interest Entity [Line Items] | ||
Concentration | 6.20% | |
Principal Balance | $ 3,348 |
Borrowings under Repurchase A46
Borrowings under Repurchase Agreements Narrative (Details) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017USD ($)Counterparty | Dec. 31, 2016USD ($) | |
Short-term Debt [Line Items] | ||
Number of counterparties to master repurchase agreement | Counterparty | 27 | |
Number of counterparties from whom entity borrowed under repurchase agreement | Counterparty | 17 | |
Interest payable | $ 4,859 | $ 16,041 |
Borrowings under repurchase agreements, net | $ 3,336,256 | $ 2,155,644 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 1.69% | 1.48% |
Weighted Average Remaining Maturity (days) | 38 days | 34 days |
Securities purchased under agreements to resell, fair value of collateral | $ 0 | $ 357 |
Securities loaned, collateral, right to reclaim cash | 25,000 | 37,000 |
Securities purchased under agreements to resell, collateral, obligation to return cash | 2,300 | 270 |
Repurchase agreements | ||
Short-term Debt [Line Items] | ||
Short-term debt, average Outstanding amount | 2,500,000 | 2,500,000 |
Short-term debt, maximum amount outstanding during period | 3,300,000 | 3,100,000 |
Interest payable | 4,700 | 3,200 |
Securities sold under agreements to repurchase, fair value of collateral | $ 3,700,000 | $ 2,500,000 |
Minimum | Repurchase agreements | ||
Short-term Debt [Line Items] | ||
Debt instrument, term | 1 month | |
Maximum | Repurchase agreements | ||
Short-term Debt [Line Items] | ||
Debt instrument, term | 3 months |
Borrowings under Repurchase A47
Borrowings under Repurchase Agreements (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 3,336,256 | $ 2,155,644 |
Borrowings under repurchase agreements, net | $ 3,336,256 | $ 2,155,644 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 1.69% | 1.48% |
Weighted Average Remaining Maturity (days) | 38 days | 34 days |
Repurchase agreements | Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 792,520 | $ 1,427,674 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 1.39% | 0.96% |
Weighted Average Remaining Maturity (days) | 61 days | 38 days |
Repurchase agreements | Agency CMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 2,019,010 | $ 56,365 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 1.39% | 1.07% |
Weighted Average Remaining Maturity (days) | 32 days | 46 days |
Repurchase agreements | Non-Agency RMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 48,443 | $ 218,712 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 2.85% | 2.53% |
Weighted Average Remaining Maturity (days) | 41 days | 28 days |
Repurchase agreements | Non-Agency CMBS | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 192,015 | $ 255,656 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 2.96% | 2.55% |
Weighted Average Remaining Maturity (days) | 36 days | 30 days |
Repurchase agreements | Whole-Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 163,560 | $ 161,181 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 3.46% | 2.91% |
Weighted Average Remaining Maturity (days) | 6 days | 9 days |
Repurchase agreements | Residential Bridge Loans | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 51,074 | $ 0 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 4.29% | 0.00% |
Weighted Average Remaining Maturity (days) | 59 days | 0 days |
Repurchase agreements | Other securities | ||
Certain characteristics of the Company's repurchase agreements | ||
Repurchase Agreement Borrowings | $ 69,634 | $ 36,056 |
Weighted Average Interest Rate on Borrowings Outstanding at end of period (as a percent) | 3.36% | 2.32% |
Weighted Average Remaining Maturity (days) | 22 days | 17 days |
Borrowings under Repurchase A48
Borrowings under Repurchase Agreements-Maturity dates (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Certain characteristics of the Company's repurchase agreements | ||
Borrowings under repurchase agreements, net | $ 3,336,256 | $ 2,155,644 |
Overnight | ||
Certain characteristics of the Company's repurchase agreements | ||
Borrowings under repurchase agreements, net | 0 | 0 |
1 to 29 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Borrowings under repurchase agreements, net | 1,582,898 | 1,386,971 |
30 to 59 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Borrowings under repurchase agreements, net | 710,723 | 167,642 |
60 to 89 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Borrowings under repurchase agreements, net | 1,042,635 | 601,031 |
90 to 119 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Borrowings under repurchase agreements, net | 0 | 0 |
Greater than or equal to 120 days | ||
Certain characteristics of the Company's repurchase agreements | ||
Borrowings under repurchase agreements, net | $ 0 | $ 0 |
Borrowings under Repurchase A49
Borrowings under Repurchase Agreements-Risk by Counterparty (Details) $ in Thousands | 9 Months Ended |
Sep. 30, 2017USD ($) | |
Credit Suisse Securities (USA) LLC | |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | |
Amount of Collateral at Risk, at fair value | $ 74,122 |
Weighted Average Remaining Maturity (days) | 18 days |
Percentage of Stockholders’ Equity | 16.30% |
Citigroup Global Markets Inc. | |
Amounts of collateral at risk under its repurchase agreements greater than 10% of the Company's equity with any counterparty | |
Amount of Collateral at Risk, at fair value | $ 49,929 |
Weighted Average Remaining Maturity (days) | 38 days |
Percentage of Stockholders’ Equity | 10.90% |
Borrowings under Repurchase A50
Borrowings under Repurchase Agreements Collateral Positions (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Accrued Interest | $ 12,473 | $ 9,790 |
Assets Pledged and Accrued Interest | 3,695,446 | 2,513,908 |
Assets Pledged- Fair Value | 3,682,973 | 2,504,118 |
Repurchase agreements | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 3,700,000 | 2,500,000 |
Repurchase agreements | Agency RMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 823,403 | 1,465,384 |
Accrued Interest | 3,133 | 5,335 |
Assets Pledged and Accrued Interest | 826,536 | 1,470,719 |
Repurchase agreements | Non-Agency RMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 64,348 | 308,165 |
Accrued Interest | 162 | 682 |
Assets Pledged and Accrued Interest | 64,510 | 308,847 |
Repurchase agreements | Non-Agency CMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 278,095 | 358,919 |
Accrued Interest | 1,451 | 1,845 |
Assets Pledged and Accrued Interest | 279,546 | 360,764 |
Repurchase agreements | Whole-Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 205,412 | 205,702 |
Accrued Interest | 1,523 | 1,518 |
Assets Pledged and Accrued Interest | 206,935 | 207,220 |
Repurchase agreements | Residential Bridge Loans | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 54,912 | 0 |
Accrued Interest | 905 | 0 |
Assets Pledged and Accrued Interest | 55,817 | 0 |
Repurchase agreements | Other securities | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 122,651 | 67,762 |
Accrued Interest | 116 | 57 |
Assets Pledged and Accrued Interest | 122,767 | 67,819 |
Repurchase agreements | Cash | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
Assets Pledged and Accrued Interest | 24,950 | 36,986 |
Assets Pledged- Fair Value | 24,950 | 36,986 |
VIE | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 54,912 | 0 |
VIE | Agency CMBS | ||
Financial Instruments Owned and Pledged as Collateral [Line Items] | ||
MBS pledged for borrowings under repurchase agreements | 2,109,202 | 61,200 |
Accrued Interest | 5,183 | 353 |
Assets Pledged and Accrued Interest | $ 2,114,385 | $ 61,553 |
Derivative Instruments (Details
Derivative Instruments (Details) $ in Thousands, € in Millions | 1 Months Ended | 9 Months Ended | |||
Aug. 31, 2017USD ($) | Feb. 28, 2017USD ($) | Sep. 30, 2017USD ($) | Sep. 30, 2017EUR (€) | Dec. 31, 2016USD ($) | |
Estimated Fair Value | |||||
Estimated Fair value, assets | $ 22,246 | $ 47,888 | |||
Derivative liability, at fair value | (986) | (182,158) | |||
Accrued Interest Payable | |||||
Total derivative instruments, net | 4,859 | 16,041 | |||
Derivative instruments not accounted as hedges under GAAP | |||||
Estimated Fair Value | |||||
Estimated Fair value, assets | 5,011 | 20,571 | |||
Derivative liability, at fair value | (986) | (182,158) | |||
Total derivative instruments | 4,025 | (161,587) | |||
Accrued Interest Payable | |||||
Accrued Interest, assets | 59 | 1,145 | |||
Accrued Interest, liabilities | 0 | 2,960 | |||
Total derivative instruments, net | 59 | 4,105 | |||
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | |||||
Notional Amount | |||||
Notional Amount, assets | 3,046,200 | 2,298,300 | |||
Notional Amount, liabilities | 32,000 | 5,046,300 | |||
Estimated Fair Value | |||||
Estimated Fair value, assets | 2,852 | 20,466 | |||
Derivative liability, at fair value | (19) | (177,929) | |||
Accrued Interest Payable | |||||
Accrued Interest, assets | 59 | 1,145 | |||
Accrued Interest, liabilities | 0 | 3,054 | |||
U.S. Treasury option | Derivative instruments not accounted as hedges under GAAP | |||||
Notional Amount | |||||
Notional Amount, assets | 0 | ||||
Notional Amount, liabilities | 0 | ||||
Estimated Fair Value | |||||
Estimated Fair value, assets | 0 | ||||
Derivative liability, at fair value | 0 | ||||
Accrued Interest Payable | |||||
Accrued Interest, assets | 0 | 0 | |||
Accrued Interest, liabilities | 0 | 0 | |||
Futures contracts | Derivative instruments not accounted as hedges under GAAP | |||||
Notional Amount | |||||
Notional Amount, assets | 0 | 56,900 | |||
Notional Amount, liabilities | 0 | 176,300 | |||
Estimated Fair Value | |||||
Estimated Fair value, assets | 0 | 71 | |||
Derivative liability, at fair value | 0 | (2,487) | |||
Accrued Interest Payable | |||||
Accrued Interest, assets | 0 | 0 | |||
Accrued Interest, liabilities | 0 | 0 | |||
Total return swaps | |||||
Notional Amount | |||||
Notional Amount, assets | € | € 51 | ||||
Accrued Interest Payable | |||||
Loss on derivative | $ 55 | $ 514 | |||
Total return swaps | Derivative instruments not accounted as hedges under GAAP | |||||
Notional Amount | |||||
Notional Amount, liabilities | 0 | 47,059 | |||
Estimated Fair Value | |||||
Derivative liability, at fair value | 0 | (1,673) | |||
Accrued Interest Payable | |||||
Accrued Interest, liabilities | $ 0 | (94) | |||
Total return swaps | EURIBOR | |||||
Accrued Interest Payable | |||||
Variable rate spread (as a percent) | 2.75% | 2.75% | |||
Variable rate spread for payment to counterparty (as a percent) | 0.50% | ||||
Total return swaps | Through December 2019 | EURIBOR | |||||
Accrued Interest Payable | |||||
Variable rate spread for payment to counterparty (as a percent) | 0.25% | ||||
Total return swaps | In December 2020 | EURIBOR | |||||
Accrued Interest Payable | |||||
Variable rate spread for payment to counterparty (as a percent) | 0.00% | ||||
Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP | |||||
Notional Amount | |||||
Notional Amount, assets | $ 697 | 784 | |||
Notional Amount, liabilities | 690 | 1,532 | |||
Estimated Fair Value | |||||
Estimated Fair value, assets | 10 | 34 | |||
Derivative liability, at fair value | (3) | (69) | |||
Accrued Interest Payable | |||||
Accrued Interest, assets | 0 | 0 | |||
Accrued Interest, liabilities | 0 | 0 | |||
TBAs | Derivative instruments not accounted as hedges under GAAP | |||||
Notional Amount | |||||
Notional Amount, assets | 582,000 | 0 | |||
Notional Amount, liabilities | 200,000 | 0 | |||
Estimated Fair Value | |||||
Estimated Fair value, assets | 1,774 | 0 | |||
Derivative liability, at fair value | (836) | 0 | |||
Total derivative instruments | 938 | ||||
Accrued Interest Payable | |||||
Accrued Interest, assets | 0 | 0 | |||
Accrued Interest, liabilities | 0 | 0 | |||
Long | Us Treasury Futures | |||||
Estimated Fair Value | |||||
Estimated Fair value, assets | 71 | ||||
Long | U.S. Treasury option | |||||
Notional Amount | |||||
Notional Amount, assets | 400,000 | ||||
Estimated Fair Value | |||||
Estimated Fair value, assets | 375 | ||||
Long | TBAs | Derivative instruments not accounted as hedges under GAAP | |||||
Notional Amount | |||||
Notional Amount, assets | 582,000 | ||||
Estimated Fair Value | |||||
Estimated Fair value, assets | 1,774 | ||||
Short | Us Treasury Futures | |||||
Estimated Fair Value | |||||
Derivative liability, at fair value | $ (2,500) | ||||
Short | U.S. Treasury option | |||||
Notional Amount | |||||
Notional Amount, liabilities | 400,000 | ||||
Estimated Fair Value | |||||
Derivative liability, at fair value | (128) | ||||
Short | TBAs | Derivative instruments not accounted as hedges under GAAP | |||||
Notional Amount | |||||
Notional Amount, liabilities | 200,000 | ||||
Estimated Fair Value | |||||
Derivative liability, at fair value | $ 836 |
Derivative Instruments- Gain or
Derivative Instruments- Gain or loss (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | $ (156,655) | $ 40,755 | |||
Mark-to-Market | 156,098 | (46,073) | |||
Total | $ 7,217 | $ 6,121 | (16,035) | (53,214) | |
Collateral already posted, aggregate fair value | 64,000 | 64,000 | $ 206,600 | ||
Derivative collateral offset against derivatives | (157,913) | 0 | |||
Cash pledged as collateral | 0 | 0 | $ 470 | ||
Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | (502) | (14,242) | (157,683) | 11,479 | |
Variation Margin Settlement | 9,564 | 0 | (7,966) | 0 | |
Mark-to-Market | (598) | 26,054 | 160,255 | (46,073) | |
Return (Recovery) of Basis | (1,394) | (2,659) | (4,677) | (8,428) | |
Contractual interest income (expense), net | 147 | (3,032) | (5,964) | (10,192) | |
Total | 7,217 | 6,121 | (16,035) | (53,214) | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | (38) | (25,179) | (150,593) | (28,784) | |
Variation Margin Settlement | 9,564 | 0 | (7,966) | 0 | |
Mark-to-Market | (2,028) | 35,878 | 156,102 | (35,393) | |
Return (Recovery) of Basis | 92 | 168 | 378 | 502 | |
Contractual interest income (expense), net | (1,764) | (6,904) | (12,662) | (22,409) | |
Total | 5,826 | 3,963 | (14,741) | (86,084) | |
Interest rate swaption | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | 0 | (115) | (1,035) | ||
Mark-to-Market | 0 | 0 | 1,631 | ||
Return (Recovery) of Basis | 0 | 0 | 0 | ||
Contractual interest income (expense), net | 0 | 0 | 0 | ||
Total | 0 | (115) | 596 | ||
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | 0 | 0 | 526 | (155) | |
Mark-to-Market | 351 | 446 | (783) | (4,480) | |
Return (Recovery) of Basis | (1,486) | (2,827) | (5,055) | (8,930) | |
Contractual interest income (expense), net | 1,816 | 3,503 | 6,229 | 11,113 | |
Total | 681 | 1,122 | 917 | (2,452) | |
Option | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | (957) | 0 | (892) | 4,756 | |
Mark-to-Market | 477 | 0 | (134) | 0 | |
Return (Recovery) of Basis | 0 | 0 | 0 | 0 | |
Contractual interest income (expense), net | 0 | 0 | 0 | 0 | |
Total | (480) | 0 | (1,026) | 4,756 | |
Futures contracts | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | (77) | 5,844 | (9,230) | 19,253 | |
Mark-to-Market | 0 | (8,792) | 2,416 | 704 | |
Return (Recovery) of Basis | 0 | 0 | 0 | 0 | |
Contractual interest income (expense), net | 0 | 0 | 0 | 0 | |
Total | (77) | (2,948) | (6,814) | 19,957 | |
Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | 45 | 103 | 25 | (90) | |
Mark-to-Market | (15) | (62) | 43 | 8 | |
Return (Recovery) of Basis | 0 | 0 | 0 | 0 | |
Contractual interest income (expense), net | 0 | 0 | 0 | 0 | |
Total | 30 | 41 | 68 | (82) | |
Foreign currency swaps | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | 1,409 | 5,351 | |||
Mark-to-Market | (1,852) | (5,883) | |||
Return (Recovery) of Basis | 0 | 0 | |||
Contractual interest income (expense), net | 61 | 268 | |||
Total | (382) | (264) | |||
Total return swaps | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | (52) | 2 | (552) | 17 | |
Mark-to-Market | 329 | (11) | 1,673 | (2,171) | |
Return (Recovery) of Basis | 0 | 0 | 0 | 0 | |
Contractual interest income (expense), net | 95 | 308 | 469 | 836 | |
Total | 372 | 299 | 1,590 | (1,318) | |
TBAs | Derivative instruments not accounted as hedges under GAAP | |||||
Amounts recognized on the statements of operations related to the Company's derivatives | |||||
Other Settlements / Expirations | 577 | 3,579 | 3,148 | 12,166 | |
Mark-to-Market | 288 | 447 | 938 | (489) | |
Return (Recovery) of Basis | 0 | 0 | 0 | 0 | |
Contractual interest income (expense), net | 0 | 0 | 0 | 0 | |
Total | $ 865 | $ 4,026 | $ 4,086 | $ 11,677 |
Derivative Instruments- Swaptio
Derivative Instruments- Swaption terms (Details) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2017 | Dec. 31, 2016 | |
Interest rate swaps and interest rate swaptions | ||
Derivative assets | $ 22,246 | $ 47,888 |
Derivative liability, at fair value | 986 | 182,158 |
Derivative instruments not accounted as hedges under GAAP | ||
Interest rate swaps and interest rate swaptions | ||
Derivative assets | 5,011 | 20,571 |
Derivative liability, at fair value | 986 | 182,158 |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount, assets | 3,046,200 | 2,298,300 |
Derivative assets | 2,852 | 20,466 |
Notional Amount, liabilities | 32,000 | 5,046,300 |
Derivative liability, at fair value | 19 | 177,929 |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 3,078,200 | $ 4,662,200 |
Average Fixed Pay Rate | 2.20% | 2.10% |
Average Floating Receive Rate | 0.60% | 0.90% |
Average Maturity (Years) | 7 years 3 months 18 days | 5 years 8 months 12 days |
Forward Starting | 52.10% | 35.70% |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Variable Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 2,682,400 | |
Average Fixed Pay Rate | 1.70% | |
Average Floating Receive Rate | 0.90% | |
Average Maturity (Years) | 6 years 6 months | |
Forward Starting | 0.00% | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | 1 year or less | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 105,900 | $ 105,900 |
Average Fixed Pay Rate | 0.80% | 0.80% |
Average Floating Receive Rate | 1.30% | 0.80% |
Average Maturity (Years) | 1 month 6 days | 9 months 18 days |
Forward Starting | 0.00% | 0.00% |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 1 year and less than 3 years | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 600,000 | $ 993,000 |
Average Fixed Pay Rate | 1.60% | 1.20% |
Average Floating Receive Rate | 1.30% | 0.90% |
Average Maturity (Years) | 2 years 1 month 6 days | 1 year 4 months 24 days |
Forward Starting | 0.00% | 88.10% |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 690,000 | $ 1,861,700 |
Average Fixed Pay Rate | 2.00% | 1.90% |
Average Floating Receive Rate | 1.30% | 0.90% |
Average Maturity (Years) | 4 years 7 months 6 days | 3 years 10 months 24 days |
Forward Starting | 0.00% | 36.50% |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 3 years and less than 5 years | Variable Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 1,811,400 | |
Average Fixed Pay Rate | 1.40% | |
Average Floating Receive Rate | 0.90% | |
Average Maturity (Years) | 3 years 8 months 12 days | |
Forward Starting | 0.00% | |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Fixed Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 1,682,300 | $ 1,701,600 |
Average Fixed Pay Rate | 2.50% | 3.10% |
Average Floating Receive Rate | 0.10% | 0.90% |
Average Maturity (Years) | 10 years 8 months 12 days | 10 years 6 months |
Forward Starting | 95.30% | 6.50% |
Interest rate swaps | Derivative instruments not accounted as hedges under GAAP | Greater than 5 years | Variable Pay Rate | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 871,000 | |
Average Fixed Pay Rate | 2.20% | |
Average Floating Receive Rate | 0.90% | |
Average Maturity (Years) | 12 years 3 months 18 days | |
Forward Starting | 0.00% | |
Forward starting interest rate swap | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | $ 1,600,000 | $ 1,700,000 |
Derivative Instrument, Weighted Average Forward Starting Date | 7 months | 4 months 15 days |
U.S. Treasury option | Derivative instruments not accounted as hedges under GAAP | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount, assets | $ 0 | |
Derivative assets | 0 | |
Notional Amount, liabilities | 0 | |
Derivative liability, at fair value | 0 | |
Long | U.S. Treasury option | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount, assets | $ 400,000 | |
Derivative assets | 375 | |
Long | Us Treasury Futures | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 56,900 | |
Derivative assets | 71 | |
Short | U.S. Treasury option | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount, liabilities | 400,000 | |
Derivative liability, at fair value | $ 128 | |
Short | Us Treasury Futures | ||
Interest rate swaps and interest rate swaptions | ||
Notional Amount | 176,300 | |
Derivative liability, at fair value | $ 2,500 |
Derivative Instruments- Foreign
Derivative Instruments- Foreign currency (Details) € in Thousands, $ in Thousands | Sep. 30, 2017USD ($) | Sep. 30, 2017EUR (€) | Dec. 31, 2016USD ($) | Dec. 31, 2016EUR (€) |
Interest rate swaps and interest rate swaptions | ||||
Fair value of assets | $ 22,246 | $ 47,888 | ||
Fair value of liability | (986) | (182,158) | ||
Derivative instruments not accounted as hedges under GAAP | ||||
Interest rate swaps and interest rate swaptions | ||||
Fair Value | 4,025 | (161,587) | ||
Fair value of assets | 5,011 | 20,571 | ||
Fair value of liability | (986) | (182,158) | ||
Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP | ||||
Interest rate swaps and interest rate swaptions | ||||
Notional Amount, assets | 697 | 784 | ||
Notional Amount, liabilities | 690 | 1,532 | ||
Fair value of assets | 10 | 34 | ||
Fair value of liability | (3) | (69) | ||
Euro Member Countries, Euro | Foreign currency forwards | Derivative instruments not accounted as hedges under GAAP | ||||
Interest rate swaps and interest rate swaptions | ||||
Notional Amount, assets | 697 | € 580 | 784 | € 710 |
Notional Amount, liabilities | 690 | 580 | 1,532 | 1,383 |
Notional Amount, net | 1,387 | 1,160 | 2,316 | 2,093 |
Fair Value | 7 | (35) | ||
Fair value of assets | 10 | 34 | ||
Fair value of liability | (3) | (69) | ||
Euro Member Countries, Euro | Buy EUR and Sell USD Currency Forward Five | Derivative instruments not accounted as hedges under GAAP | ||||
Interest rate swaps and interest rate swaptions | ||||
Notional Amount, assets | 697 | 580 | ||
Fair Value | 10 | |||
Euro Member Countries, Euro | Buy EUR And Sell USD Currency Forward One | Derivative instruments not accounted as hedges under GAAP | ||||
Interest rate swaps and interest rate swaptions | ||||
Notional Amount, liabilities | 370 | 311 | ||
Fair Value | (1) | |||
Euro Member Countries, Euro | Buy Eur And Sell Usd Currency Forward Three | Derivative instruments not accounted as hedges under GAAP | ||||
Interest rate swaps and interest rate swaptions | ||||
Notional Amount, liabilities | 320 | € 269 | ||
Fair Value | $ (2) | |||
Euro Member Countries, Euro | Buy Usd And Sell Eur Currency Forward Three | Derivative instruments not accounted as hedges under GAAP | ||||
Interest rate swaps and interest rate swaptions | ||||
Notional Amount, assets | 784 | 710 | ||
Fair Value | 34 | |||
Euro Member Countries, Euro | Buy Eur And Sell Usd Currency Forward Four | Derivative instruments not accounted as hedges under GAAP | ||||
Interest rate swaps and interest rate swaptions | ||||
Notional Amount, liabilities | 735 | 673 | ||
Fair Value | (23) | |||
Euro Member Countries, Euro | Buy Eur And Sell Usd Currency Forward Two | Derivative instruments not accounted as hedges under GAAP | ||||
Interest rate swaps and interest rate swaptions | ||||
Notional Amount, liabilities | 797 | € 710 | ||
Fair Value | $ (46) |
Derivative Instruments- TBA sec
Derivative Instruments- TBA securities (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2017 | Dec. 31, 2016 | |
Currency swaps and forwards | ||
Derivative assets | $ 22,246 | $ 47,888 |
Derivative liability, at fair value | 986 | 182,158 |
Derivative instruments not accounted as hedges under GAAP | ||
Currency swaps and forwards | ||
Derivative assets | 5,011 | 20,571 |
Derivative liability, at fair value | 986 | 182,158 |
Fair Value | 4,025 | (161,587) |
TBAs | Derivative instruments not accounted as hedges under GAAP | ||
Currency swaps and forwards | ||
Notional Amount, assets | (582,000) | 0 |
Derivative assets | 1,774 | 0 |
Derivative Asset Notional Amount Net | (582,000) | |
Notional Amount, liabilities | 200,000 | 0 |
Derivative Liability Notional Amount Net | 200,000 | |
Derivative liability, at fair value | 836 | $ 0 |
Notional Amount, net | (382,000) | |
Fair Value | 938 | |
TBAs | Derivative instruments not accounted as hedges under GAAP | Long | ||
Currency swaps and forwards | ||
Notional Amount, assets | (582,000) | |
Derivative assets | 1,774 | |
Changes in notional amount | ||
Notional amount at the beginning of the period | 0 | |
Additions | 4,504,200 | |
Settlement, Termination, Expiration or Exercise | (4,304,200) | |
Notional amount at the end of the period | 200,000 | |
TBAs | Derivative instruments not accounted as hedges under GAAP | Short | ||
Currency swaps and forwards | ||
Notional Amount, liabilities | 200,000 | |
Derivative liability, at fair value | (836) | |
Changes in notional amount | ||
Notional amount at the beginning of the period | 0 | |
Additions | 4,886,200 | |
Settlement, Termination, Expiration or Exercise | (4,304,200) | |
Notional amount at the end of the period | $ 582,000 |
Offsetting Assets and Liabili56
Offsetting Assets and Liabilities- Assets (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Offsetting of Derivative Assets and Reverse Repurchase Agreements | ||
Gross Amounts of Recognized Assets | $ 22,246 | $ 47,888 |
Derivative assets, at fair value | 5,011 | 20,571 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 22,246 | 47,888 |
Gross Amounts Not Offset in the Consolidated Balance Sheets | ||
Securities Purchased under Agreements to Resell, Collateral, Obligation to Return Securities | (12,585) | (43,838) |
Cash Collateral Received | 0 | 0 |
Net Amount | 9,661 | 4,050 |
Agency and Non-Agency Interest-Only Strips, accounted for as derivatives included in MBS | ||
Offsetting of Derivative Assets and Reverse Repurchase Agreements | ||
Gross Amounts of Recognized Assets | 17,235 | 27,317 |
Net Amounts of Assets presented in the Consolidated Balance Sheets | 17,235 | 27,317 |
Gross Amounts Not Offset in the Consolidated Balance Sheets | ||
Securities Purchased under Agreements to Resell, Collateral, Obligation to Return Securities | (12,437) | (23,338) |
Net Amount | 4,798 | 3,979 |
Derivative asset, at fair value | ||
Offsetting of Derivative Assets and Reverse Repurchase Agreements | ||
Gross Amounts of Recognized Assets | 5,011 | 20,571 |
Derivative assets, at fair value | 5,011 | 20,571 |
Gross Amounts Not Offset in the Consolidated Balance Sheets | ||
Securities Purchased under Agreements to Resell, Collateral, Obligation to Return Securities | (148) | (20,500) |
Cash Collateral Received | 0 | 0 |
Net Amount | $ 4,863 | $ 71 |
Offsetting Assets and Liabili57
Offsetting Assets and Liabilities- Liabilities (Details) - USD ($) $ in Thousands | Sep. 30, 2017 | Dec. 31, 2016 |
Offsetting [Abstract] | ||
Gross Amounts of Recognized Liabilities | $ 986 | $ 182,158 |
Securities Sold under Agreements to Repurchase, Gross | 3,336,256 | 2,155,644 |
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Gross | 3,337,242 | 2,337,802 |
Derivative liabilities | 986 | 182,158 |
Securities Sold Under Agreements To Repurchase Before Amortization of Debt Issuance Costs | 3,336,256 | 2,155,644 |
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned | 3,337,242 | 2,337,802 |
Gross Amounts Not Offset in the Balance Sheets | ||
Financial Instruments | (148) | (20,500) |
Securities Sold under Agreements to Repurchase, Collateral, Right to Reclaim Securities | (3,336,256) | (2,155,644) |
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Collateral, Right to Reclaim Securities | (3,336,404) | (2,176,144) |
Cash Collateral Pledged | (830) | (161,588) |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 8 | 70 |
Derivative Liability, Securities Sold under Agreements to Repurchase, Securities Loaned, Amount Offset Against Collateral | 8 | 70 |
Cash collateral for derivatives | 64,000 | 206,600 |
Fair value of investments pledged against repurchase agreements | $ 3,700,000 | $ 2,500,000 |
Related Party Transactions (Det
Related Party Transactions (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Related Party Transactions | |||||
Management fees | $ 1,853 | $ 2,604 | $ 6,159 | $ 7,945 | |
Western Asset Management Company | |||||
Related Party Transactions | |||||
Management fees (as a percent) | 1.50% | ||||
Renewal term of management agreement | 1 year | ||||
Notice period to terminate the Management Agreement following initial term | 180 days | ||||
Multiple of average annual management fees used to calculate termination fee | 3 | ||||
Prior period over which management fees were incurred used to calculate the termination fee under the Management Agreement | 24 months | ||||
Notice period to terminate the Management Agreement for cause | 30 days | ||||
Management fees | 1,900 | 2,600 | $ 6,200 | 7,900 | |
Reimbursable employee costs | 202 | $ 186 | 1,100 | $ 550 | |
Management fees incurred but not yet paid | 1,900 | 1,900 | $ 2,500 | ||
Reimbursable employee costs incurred but not yet paid | 67 | $ 67 | 83 | ||
Western Asset Management Company | Minimum | |||||
Related Party Transactions | |||||
Proportion of affirmative votes by the entity's independent directors to terminate the Management Agreement (as a percent) | 67.00% | ||||
Proportion of votes required by the entity's independent directors for acceptance of reduction in management fees (as a percent) | 67.00% | ||||
Securitized commercial loan | VIE | Securitized debt | |||||
Related Party Transactions | |||||
Securitized debt | 11,000 | $ 11,000 | 11,000 | ||
VIE | |||||
Related Party Transactions | |||||
Securitized debt, at fair value | $ 10,979 | $ 10,979 | $ 10,659 |
Share-Based Payments (Details)
Share-Based Payments (Details) $ / shares in Units, $ in Thousands | Jun. 01, 2017directorshares | Jun. 02, 2016directorshares | Sep. 30, 2017USD ($)$ / sharesshares | Sep. 30, 2016USD ($) | Sep. 30, 2017USD ($)$ / sharesshares | Sep. 30, 2016USD ($)shares | Jun. 30, 2016shares | Dec. 31, 2016USD ($)shares | May 15, 2012shares |
Share-Based Payments | |||||||||
Shares authorized (as a percent) | 3.00% | 3.00% | |||||||
Shares reserved for issuance under the Equity plan (in shares) | 1,237,711 | 1,237,711 | 308,335 | ||||||
Number of shares remained available for issuance (in shares) | 512,750 | 512,750 | |||||||
Stock-based compensation expense recognized | $ | $ 218 | $ 433 | $ 795 | $ 1,400 | |||||
Restricted common stock | |||||||||
Share-Based Payments | |||||||||
Vested (in shares) | 152,630 | 200,983 | |||||||
Summary of restricted common stock vesting dates | |||||||||
Shares Vesting (in shares) | 82,667 | 82,667 | 218,197 | ||||||
Shares of Restricted Stock | |||||||||
Outstanding, beginning of period (in shares) | 707,861 | ||||||||
Granted (in shares) | 17,100 | 724,961 | |||||||
Cancelled/forfeited (in shares) | 0 | ||||||||
Outstanding, end of period (in shares) | 724,961 | 724,961 | |||||||
Unvested at end of year (in shares) | 82,667 | 82,667 | 218,197 | ||||||
Weighted Average Grant Date Fair Value | |||||||||
Outstanding at beginning of period (in dollars per share) | $ / shares | $ 17.17 | ||||||||
Granted (in dollars per share) | $ / shares | 10.31 | ||||||||
Cancelled/forfeited (in dollars per share) | $ / shares | 0 | ||||||||
Outstanding at end of year (in dollars per share) | $ / shares | $ 17.01 | 17.01 | |||||||
Unvested at end of year (in dollars per share) | $ / shares | $ 14.09 | $ 14.09 | |||||||
Restricted common stock | March 2017 | |||||||||
Summary of restricted common stock vesting dates | |||||||||
Shares Vesting (in shares) | 0 | 0 | 133,334 | ||||||
Shares of Restricted Stock | |||||||||
Unvested at end of year (in shares) | 0 | 0 | 133,334 | ||||||
Restricted common stock | June 2017 | |||||||||
Summary of restricted common stock vesting dates | |||||||||
Shares Vesting (in shares) | 0 | 0 | 18,196 | ||||||
Shares of Restricted Stock | |||||||||
Unvested at end of year (in shares) | 0 | 0 | 18,196 | ||||||
Restricted common stock | March 2018 | |||||||||
Summary of restricted common stock vesting dates | |||||||||
Shares Vesting (in shares) | 66,667 | 66,667 | 66,667 | ||||||
Shares of Restricted Stock | |||||||||
Unvested at end of year (in shares) | 66,667 | 66,667 | 66,667 | ||||||
Restricted common stock | June 2018 | |||||||||
Summary of restricted common stock vesting dates | |||||||||
Shares Vesting (in shares) | 16,000 | 16,000 | 0 | ||||||
Shares of Restricted Stock | |||||||||
Unvested at end of year (in shares) | 16,000 | 16,000 | 0 | ||||||
Restricted common stock | Director | |||||||||
Share-Based Payments | |||||||||
Awards granted to each of the entity's independent directors (in shares) | 3,884 | 4,283 | |||||||
Number of independent directors to whom awards were granted | director | 4 | 4 | |||||||
Shares of Restricted Stock | |||||||||
Granted (in shares) | 15,536 | 17,132 | |||||||
Restricted common stock | Director Deferred Fee Plan | |||||||||
Shares of Restricted Stock | |||||||||
Granted (in shares) | 1,564 | ||||||||
Equity awards | |||||||||
Share-Based Payments | |||||||||
Unamortized compensation expense | $ | $ 107 | $ 107 | $ 67 | ||||||
Liability awards | |||||||||
Share-Based Payments | |||||||||
Unamortized compensation expense | $ | $ 291 | $ 291 | $ 895 |
Stockholders' Equity (Details)
Stockholders' Equity (Details) - $ / shares | Oct. 26, 2017 | Jul. 26, 2017 | Apr. 26, 2017 | Jan. 26, 2017 | Oct. 25, 2016 | Jul. 26, 2016 | Apr. 26, 2016 | Sep. 30, 2017 | Feb. 25, 2016 | May 09, 2012 |
Shareholders equity | ||||||||||
Number of shares of common stock for each warrant unit | 1 | |||||||||
Number of common shares that can be acquired upon exercise of each warrant unit | 0.5 | |||||||||
Exercise price of outstanding warrants (in dollars per share) | $ 16.70 | |||||||||
Number of warrant shares purchasable (in shares) | 1,232,916 | |||||||||
Shares authorized to be repurchased (in shares) | 2,050,000 | |||||||||
Dividends, Cash paid per Share of Common Stock (in dollars per share) | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.31 | $ 0.45 | ||||
Institutional investors | ||||||||||
Shareholders equity | ||||||||||
Number of warrant units authorized to be sold | 2,231,787 | |||||||||
Subsequent Event [Member] | ||||||||||
Shareholders equity | ||||||||||
Dividends, Cash paid per Share of Common Stock (in dollars per share) | $ 0.31 |
Net Income per Common Share (De
Net Income per Common Share (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2017 | Sep. 30, 2016 | Sep. 30, 2017 | Sep. 30, 2016 | Dec. 31, 2016 | |
Numerator: | |||||
Net income attributable to common stockholders and participating securities for basic and diluted earnings per share | $ 22,767 | $ 32,282 | $ 63,693 | $ 13,281 | $ (25,015) |
Less: Dividends and undistributed earnings allocated to participating securities | 75 | 193 | 238 | 300 | |
Net income allocable to common stockholders — basic and diluted | $ 22,692 | $ 32,089 | $ 63,455 | $ 12,981 | |
Denominator: | |||||
Weighted average common shares outstanding for basic earnings per share | 41,853,134 | 41,719,800 | 41,824,318 | 41,678,592 | |
Weighted average common shares outstanding for diluted earnings per share | 41,853,134 | 41,719,800 | 41,824,318 | 41,678,592 | |
Basic earnings per common share (in dollars per share) | $ 0.54 | $ 0.77 | $ 1.52 | $ 0.31 | |
Diluted earnings per common share (in dollars per share) | $ 0.54 | $ 0.77 | $ 1.52 | $ 0.31 |
Income Taxes (Details)
Income Taxes (Details) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2017USD ($)subsidiary | Sep. 30, 2017USD ($)subsidiary | |
Valuation Allowance [Line Items] | ||
Deferred tax assets, gross | $ 8,500 | $ 8,500 |
Maximum ownership percentage permitted in taxable real estate investment trust | 100.00% | 100.00% |
Number Of taxable REIT subsidiaries owned | subsidiary | 1 | 1 |
Current federal, state and local, tax expense (benefit) | $ (1,200) | $ 1,300 |
Capital Loss Carryforward [Member] | ||
Valuation Allowance [Line Items] | ||
Valuation allowances balance | (8,500) | (8,500) |
Operating Loss Carryforwards [Member] | ||
Valuation Allowance [Line Items] | ||
Valuation allowances balance | (10,900) | (10,900) |
State Jurisdiction [Member] | ||
Valuation Allowance [Line Items] | ||
Deferred tax asset, net operating losses | 10,400 | 10,400 |
State Jurisdiction [Member] | Taxable REIT Subsidiary [Member] | ||
Valuation Allowance [Line Items] | ||
Deferred tax asset, net operating losses | $ 899 | $ 899 |
Subsequent Events (Details)
Subsequent Events (Details) - Convertible Debt [Member] - 6.75% Convertible Senior Unsecured Notes [Member] - Subsequent Event [Member] | 1 Months Ended |
Oct. 31, 2017USD ($)$ / shares | |
Subsequent Event [Line Items] | |
Aggregate principal amount of 6.75% convertible senior unsecured notes | $ 115,000,000 |
Interest rate stated percentage | 6.75% |
Convertible notes, carrying amount of equity component | $ 15,000,000 |
Proceeds from issuance of long-term debt | $ 111,600,000 |
Convertible senior unsecured notes, earliest redemption period by company | 3 months |
Redemption price, percentage | 100.00% |
Convertible senior unsecured notes, conversion ratio | 0.0831947 |
Convertible senior unsecured notes, conversion price (in dollars per share) | $ / shares | $ 12.02 |