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Repurchase Agreements and Other Advances (Tables)
 9 Months Ended
Sep. 30, 2016
Disclosure of Repurchase Agreements [Abstract]  
Schedule of Company's borrowings under repurchase agreements and associated assets pledged as collateral
The following table presents information with respect to the Company’s borrowings under repurchase agreements and associated assets pledged as collateral at September 30, 2016 and December 31, 2015:
(Dollars in Thousands)
 
September 30,
2016
 
December 31,
2015
Repurchase agreement borrowings secured by Agency MBS
 
$
3,356,803

 
$
2,727,542

Fair value of Agency MBS pledged as collateral under repurchase agreements
 
$
3,521,966

 
$
2,881,049

Weighted average haircut on Agency MBS (1)
 
4.61
%
 
4.67
%
Repurchase agreement borrowings secured by Legacy Non-Agency MBS
 
$
1,786,248

 
$
1,960,222

Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements (2)
 
$
2,545,212

 
$
2,818,968

Weighted average haircut on Legacy Non-Agency MBS (1)
 
24.18
%
 
25.84
%
Repurchase agreement borrowings secured by 3 Year Step-up securities
 
$
1,963,760

 
$
2,080,163

Fair value of 3 Year Step-up securities pledged as collateral under repurchase agreements
 
$
2,523,227

 
$
2,625,866

Weighted average haircut on 3 Year Step-up securities (1)
 
23.01
%
 
21.05
%
Repurchase agreements secured by U.S. Treasuries
 
$
500,930

 
$
504,760

Fair value of U.S. Treasuries pledged as collateral under repurchase agreements
 
$
506,182

 
$
507,443

Weighted average haircut on U.S. Treasuries (1)
 
1.59
%
 
1.60
%
Repurchase agreements secured by CRT securities 
 
$
241,606

 
$
128,465

Fair value of CRT securities pledged as collateral under repurchase agreements
 
$
320,852

 
$
170,352

Weighted average haircut on CRT securities (1)
 
23.53
%
 
25.04
%
Repurchase agreements secured by residential whole loans (3)
 
$
633,616

 
$
487,750

Fair value of residential whole loans pledged as collateral under repurchase agreements
 
$
896,946

 
$
684,136

Weighted average haircut on residential whole loans (1)
 
25.69
%
 
27.69
%
 
(1)
Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.
(2) Includes $186.4 million and $570.5 million of Legacy Non-Agency MBS acquired from consolidated VIEs at September 30, 2016 and December 31, 2015, respectively, that are eliminated from the Company’s consolidated balance sheets.
(3) Excludes $207,000 and $1.3 million of unamortized debt issuance costs at September 30, 2016 and December 31, 2015, respectively.

Schedule of repricing information about borrowings under repurchase agreements
The following table presents repricing information about the Company’s borrowings under repurchase agreements, which does not reflect the impact of associated derivative hedging instruments, at September 30, 2016 and December 31, 2015:

 
 
September 30, 2016
 
December 31, 2015
 Balance 
 
Weighted Average Interest Rate
Balance
 
Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Within 30 days
 
$
7,538,487

 
1.46
%
 
$
7,054,483

 
1.44
%
Over 30 days to 3 months
 
760,615

 
2.07

 
734,955

 
1.79

Over 3 months to 12 months
 
183,861

 
2.20

 
99,464

 
2.36

Total repurchase agreements
 
8,482,963

 
1.53
%
 
7,888,902

 
1.48
%
Less debt issuance costs
 
207

 
 
 
1,280

 
 
Total repurchase agreements less debt
  issuance costs
 
$
8,482,756

 
 
 
$
7,887,622

 
 
Schedule of contractual maturity information about repurchase agreements
The following table presents contractual maturity information about the Company’s borrowings under repurchase agreements, all of which are accounted for as secured borrowings, at September 30, 2016, and does not reflect the impact of derivative contracts that hedge such repurchase agreements:

 
 
September 30, 2016
Contractual Maturity
 
Agency MBS
 
Legacy
Non-Agency MBS
 
3 Year Step-up Securities
 
U.S. Treasuries
 
CRT Securities
 
Residential Whole Loans
 
Total (1)
 
Weighted 
Average Interest Rate
(Dollars in Thousands)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Overnight
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
—
%
Within 30 days
 
3,298,352

 
943,047

 
1,293,714

 
500,930

 
237,731

 
83,302

 
6,357,076

 
1.26

Over 30 days to 3 months
 
58,451

 
533,077

 
219,699

 
—

 
3,875

 
—

 
815,102

 
2.09

Over 3 months to 12 months
 
—

 
310,124

 
450,347

 
—

 
—

 
550,314

 
1,310,785

 
2.49

Over 12 months
 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Total
 
$
3,356,803

 
$
1,786,248

 
$
1,963,760

 
$
500,930

 
$
241,606

 
$
633,616

 
$
8,482,963

 
1.53
%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross amount of recognized liabilities for repurchase agreements in Note 8
 
$
8,482,963

 
 
Amounts related to repurchase agreements not included in offsetting disclosure in Note 8
 
$
—

 
 


(1)
Excludes $207,000 of unamortized debt issuance costs at September 30, 2016.
Schedule of information about counterparty for repurchase agreements for which the entity had greater than 5% of stockholders' equity at risk
The following table presents information with respect to each counterparty under repurchase agreements for which the Company had greater than 5% of stockholders’ equity at risk in the aggregate at September 30, 2016:
 
 
 
September 30, 2016
 
 
Counterparty
Rating (1)
 
Amount 
at Risk (2)
 
Weighted 
Average Months 
to Maturity for
Repurchase Agreements
 
Percent of
Stockholders’ Equity
Counterparty
 
 
 
 
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Wells Fargo (3)
 
AA-/Aa2/AA
 
$
366,482

 
5
 
12.1
%
RBC (4)
 
AA-/Aa3/AA
 
266,617

 
2
 
8.8

Credit Suisse
 
BBB+/Aa2/A-
 
266,047

 
1
 
8.8

Goldman Sachs
 
BBB+/A3/A
 
211,824

 
3
 
7.0

UBS (5)
 
A+/A1/A+
 
167,084

 
11
 
5.5


(1)
As rated at September 30, 2016 by S&P, Moody’s and Fitch, Inc., respectively.  The counterparty rating presented is the lowest published for these entities.
(2)
The amount at risk reflects the difference between (a) the amount loaned to the Company through repurchase agreements, including interest payable, and (b) the cash and the fair value of the securities pledged by the Company as collateral, including accrued interest receivable on such securities.
(3)
Includes $287.9 million at risk with Wells Fargo Bank, NA and $78.6 million at risk with Wells Fargo Securities LLC.
(4)
Includes $225.3 million at risk with RBC Barbados, $35.3 million at risk with Royal Bank of Canada and $6.0 million at risk with RBC Capital Markets LLC. Counterparty ratings are not published for RBC Barbados and RBC Capital Markets LLC.
(5)
Includes Non-Agency MBS pledged as collateral with contemporaneous repurchase and reverse repurchase agreements.