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Repurchase Agreements and Other Advances (Tables)
 3 Months Ended
Mar. 31, 2017
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 March 31, 2017 and December 31, 2016:
(Dollars in Thousands)
 
March 31,
2017
 
December 31,
2016
Repurchase agreement borrowings secured by Agency MBS
 
$
3,093,737

 
$
3,095,020

Fair value of Agency MBS pledged as collateral under repurchase agreements
 
$
3,330,251

 
$
3,280,689

Weighted average haircut on Agency MBS (1)
 
4.56
%
 
4.67
%
Repurchase agreement borrowings secured by Legacy Non-Agency MBS
 
$
1,573,545

 
$
1,690,937

Fair value of Legacy Non-Agency MBS pledged as collateral under repurchase agreements (2)
 
$
2,070,626

 
$
2,317,708

Weighted average haircut on Legacy Non-Agency MBS (1)
 
22.44
%
 
24.01
%
Repurchase agreement borrowings secured by 3 Year Step-up securities
 
$
1,875,157

 
$
2,035,531

Fair value of 3 Year Step-up securities pledged as collateral under repurchase agreements
 
$
2,376,119

 
$
2,574,691

Weighted average haircut on 3 Year Step-up securities (1)
 
21.52
%
 
21.70
%
Repurchase agreements secured by U.S. Treasuries
 
$
366,475

 
$
504,572

Fair value of U.S. Treasuries pledged as collateral under repurchase agreements
 
$
371,333

 
$
510,767

Weighted average haircut on U.S. Treasuries (1)
 
1.73
%
 
1.60
%
Repurchase agreements secured by CRT securities 
 
$
345,482

 
$
271,205

Fair value of CRT securities pledged as collateral under repurchase agreements
 
$
446,231

 
$
357,488

Weighted average haircut on CRT securities (1)
 
22.36
%
 
23.22
%
Repurchase agreements secured by residential whole loans (3)
 
$
836,203

 
$
832,060

Fair value of residential whole loans pledged as collateral under repurchase agreements
 
$
1,178,562

 
$
1,175,088

Weighted average haircut on residential whole loans (1)
 
25.16
%
 
25.03
%
Repurchase agreements secured by other investments
 
$
46,944

 
$
43,333

Fair value of other investments pledged as collateral under repurchase agreements
 
$
93,002

 
$
85,800

Weighted average haircut on other investments (1)
 
50.00
%
 
50.00
%
 
(1)
Haircut represents the percentage amount by which the collateral value is contractually required to exceed the loan amount.
(2) At December 31, 2016 includes $172.4 million of Legacy Non-Agency MBS acquired from consolidated VIEs that are eliminated from the Company’s consolidated balance sheets.
(3) Excludes $441,000 and $210,000 of unamortized debt issuance costs at March 31, 2017 and December 31, 2016, 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 March 31, 2017 and December 31, 2016:

 
 
March 31, 2017
 
December 31, 2016
 Balance 
 
Weighted Average Interest Rate
Balance
 
Weighted Average Interest Rate
Time Until Interest Rate Reset
(Dollars in Thousands)
 
 
 
 
 
 
 
 
Within 30 days
 
$
7,502,995

 
1.86
%
 
$
7,284,062

 
1.77
%
Over 30 days to 3 months
 
634,548

 
2.41

 
1,188,416

 
1.91

Total repurchase agreements
 
8,137,543

 
1.91
%
 
8,472,478

 
1.48
%
Less debt issuance costs
 
441

 
 
 
210

 
 
Total repurchase agreements less debt
  issuance costs
 
$
8,137,102

 
 
 
$
8,472,268

 
 
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 March 31, 2017, and does not reflect the impact of derivative contracts that hedge such repurchase agreements:

 
 
March 31, 2017
Contractual Maturity
 
Overnight
 
Within 30 Days
 
Over 30 Days to 3 Months
 
Over 3 Months to 12 Months
 
Over 12 months
 
Total
(Dollars in Thousands)
 
 
 
 
 
 
 
 
 
 
 
 
Agency MBS
 
$
—

 
$
3,093,737

 
$
—

 
$
—

 
$
—

 
$
3,093,737

Legacy Non-Agency MBS
 
—

 
926,866

 
336,316

 
310,363

 
—

 
1,573,545

3 Year Step-up securities
 
—

 
894,904

 
304,141

 
676,112

 
—

 
1,875,157

U.S. Treasuries
 
—

 
366,475

 
—

 
—

 
—

 
366,475

CRT securities
 
—

 
327,674

 
17,808

 
—

 
—

 
345,482

Residential whole loans
 
—

 
—

 
—

 
805,595

 
30,608

 
836,203

Other investments
 
—

 
46,944

 
—

 
—

 
—

 
46,944

Total (1)
 
$
—

 
$
5,656,600

 
$
658,265

 
$
1,792,070

 
$
30,608

 
$
8,137,543

 
 
 
 
 
 
 
 
 
 
 
 
 
Weighted Average Interest Rate
 
—
%
 
1.56
%
 
2.41
%
 
2.80
%
 
3.36
%
 
1.91
%
 
 
 
 
 
 
 
 
 
 
 
 
 
Gross amount of recognized liabilities for repurchase agreements in Note 8
 
$
8,137,543

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



(1)
Excludes $441,000 of unamortized debt issuance costs at March 31, 2017.
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 March 31, 2017:
 
 
 
March 31, 2017
 
 
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
 
$
262,489

 
6
 
8.6
%
Credit Suisse (4)
 
BBB+/Aa2/A-
 
244,263

 
6
 
8.0

RBC (5)
 
AA-/Aa3/AA
 
241,521

 
1
 
7.9

Goldman Sachs
 
BBB+/A3/A
 
210,562

 
1
 
6.9

UBS (6)
 
A+/A1/A+
 
167,321

 
14
 
5.5


(1)
As rated at March 31, 2017 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 $248.7 million at risk with Wells Fargo Bank, NA and $13.8 million at risk with Wells Fargo Securities LLC.
(4)
Includes $196.7 million at risk with Credit Suisse AG, Cayman Islands and $47.5 million at risk with Credit Suisse. Counterparty ratings are not published for Credit Suisse AG, Cayman Islands.
(5)
Includes $226.8 million at risk with RBC Barbados, $9.3 million at risk with Royal Bank of Canada and $5.4 million at risk with RBC Capital
Markets LLC. Counterparty ratings are not published for RBC Barbados and RBC Capital Markets LLC.
(6) Includes Non-Agency MBS pledged as collateral with contemporaneous repurchase and reverse repurchase agreements.