XML 61 R50.htm IDEA: XBRL DOCUMENT v3.10.0.1
Valuation (Fair Value Measurement Using Significant Unobservable Inputs) (Details) - Level 3 [Member] - USD ($)
$ in Thousands
3 Months Ended 6 Months Ended
Jun. 30, 2018
Jun. 30, 2017
Jun. 30, 2018
Jun. 30, 2017
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance $ 758,723 $ 629,362 $ 661,588 $ 523,837
Assets, Accreted Discounts/Amortized Premiums (9,827) (9,785) (14,251) (13,979)
Assets, Realized Gain (Loss) 3,216 2,115 7,944 2,858
Assets, Change In Net Unrealized Gain/(Loss) 1,848 5,455 11,688 15,656
Assets, Purchases 223,767 156,110 386,854 353,763
Assets, Sales (112,690) (169,558) (202,131) (275,956)
Assets, Transfers into Level 3 3,073 16,089 9,301 11,348
Assets, Transfers out of Level 3 (51,604) (92,443) (44,487) (80,182)
Assets, Ending Balance 816,506 537,345 816,506 537,345
Liabilities, Begining Balance (113,775) (218) (125,105) (505)
Liabilities, Accreted Discounts/Amortized Premiums 0 0 0 0
Liabilities, Realized Gain/(Loss) 0 (104) 0 (757)
Liabilities, Change In Net Unrealized Gain/(Loss) 414 12 1,198 727
Liabilities Purchases/Payments 12,261 467 22,807 769
Liabilities, Sales/Issuance 0 (364) 0 (441)
Liabilities, Transfers into Level 3 0 0 0 0
Liabilities, Transfers out of Level 3 0 0 0 0
Liabilities, Ending Balance (101,100) (207) (101,100) (207)
Other secured borrowings [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Liabilities, Begining Balance (113,775)   (125,105)  
Liabilities, Accreted Discounts/Amortized Premiums 0   0  
Liabilities, Realized Gain/(Loss) 0   0  
Liabilities, Change In Net Unrealized Gain/(Loss) 414   1,198  
Liabilities, Payments 12,261   22,807  
Liabilities, Issuances 0   0  
Liabilities, Transfers into Level 3 0   0  
Liabilities, Transfers out of Level 3 0   0  
Liabilities, Ending Balance (101,100)   (101,100)  
Fair Value, Liabilities Measured on Recurring Basis, Change in Unrealized Gain (Loss) 400   1,200  
Financial Derivatives - Liabilities [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Fair Value, Liabilities Measured on Recurring Basis, Change in Unrealized Gain (Loss)   10   50
Total Return Swaps [Member] | Financial Derivatives - Liabilities [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Liabilities, Begining Balance   0   (249)
Liabilities, Accreted Discounts/Amortized Premiums   0   0
Liabilities, Realized Gain/(Loss)   (85)   (292)
Liabilities, Change In Net Unrealized Gain/(Loss)   0   250
Liabilities, Purchases   21   304
Liabilities, Sales   64   (13)
Liabilities, Transfers into Level 3   0   0
Liabilities, Transfers out of Level 3   0   0
Liabilities, Ending Balance   0   0
Credit Default Swaps On Asset Backed Securities [Member] | Financial Derivatives - Liabilities [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Liabilities, Begining Balance   (218)   (256)
Liabilities, Accreted Discounts/Amortized Premiums   0   0
Liabilities, Realized Gain/(Loss)   (19)   (465)
Liabilities, Change In Net Unrealized Gain/(Loss)   12   477
Liabilities, Purchases   446   465
Liabilities, Sales   (428)   (428)
Liabilities, Transfers into Level 3   0   0
Liabilities, Transfers out of Level 3   0   0
Liabilities, Ending Balance   (207)   (207)
Investments [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance 755,654 623,534 658,448 518,250
Assets, Accreted Discounts/Amortized Premiums (9,827) (9,785) (14,251) (13,979)
Assets, Realized Gain (Loss) 3,055 1,719 7,697 2,368
Assets, Change In Net Unrealized Gain/(Loss) 2,326 6,176 12,237 16,035
Assets, Purchases 223,745 156,100 386,809 353,695
Assets, Sales (112,507) (169,152) (201,839) (275,297)
Assets, Transfers into Level 3 3,073 16,089 9,301 11,348
Assets, Transfers out of Level 3 (51,604) (92,443) (44,487) (80,182)
Assets, Ending Balance 813,915 532,238 813,915 532,238
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) 1,600 5,100 10,500 9,000
Investments [Member] | Agency residential mortgage-backed securities [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance 6,128 29,425 6,173 29,622
Assets, Accreted Discounts/Amortized Premiums (547) (2,320) (1,172) (4,913)
Assets, Realized Gain (Loss) 18 (402) 57 (437)
Assets, Change In Net Unrealized Gain/(Loss) (41) (163) 229 65
Assets, Purchases 1,533 (417) 2,635 1,785
Assets, Sales (569) (126) (957) (125)
Assets, Transfers into Level 3 0 0 0 0
Assets, Transfers out of Level 3 (633) (21,101) (1,076) (21,101)
Assets, Ending Balance 5,889 4,896 5,889 4,896
Investments [Member] | Private Label Residential Mortgage-Backed Securities [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance 111,862 80,332 101,297 90,083
Assets, Accreted Discounts/Amortized Premiums (1,889) (476) 156 1,036
Assets, Realized Gain (Loss) 211 1,137 2,719 434
Assets, Change In Net Unrealized Gain/(Loss) (1,845) 3,327 (986) 6,034
Assets, Purchases 13,596 27,972 24,623 26,800
Assets, Sales (10,999) (9,733) (29,439) (29,349)
Assets, Transfers into Level 3 3,073 16,089 9,301 11,348
Assets, Transfers out of Level 3 (17,613) (39,525) (11,275) (27,263)
Assets, Ending Balance 96,396 79,123 96,396 79,123
Investments [Member] | Private Label Commercial Mortgage-Backed Securities [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance 13,709 41,300 12,347 43,268
Assets, Accreted Discounts/Amortized Premiums 28 276 (163) 632
Assets, Realized Gain (Loss) (104) (3,338) 1,618 (2,996)
Assets, Change In Net Unrealized Gain/(Loss) 784 4,991 1,043 6,402
Assets, Purchases 0 20 8,046 20
Assets, Sales (4,194) (16,734) (13,890) (20,811)
Assets, Transfers into Level 3 0 0 0 0
Assets, Transfers out of Level 3 (1,462) (12,706) (240) (12,706)
Assets, Ending Balance 8,761 13,809 8,761 13,809
Investments [Member] | Commercial Mortgage Loans [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance 109,294 62,508 108,301 61,129
Assets, Accreted Discounts/Amortized Premiums 226 101 844 631
Assets, Realized Gain (Loss) 553 79 884 416
Assets, Change In Net Unrealized Gain/(Loss) 610 (56) 449 1,150
Assets, Purchases 20,132 4,500 24,119 27,545
Assets, Sales (25,864) (1,236) (29,646) (24,975)
Assets, Transfers into Level 3 0 0 0 0
Assets, Transfers out of Level 3 0 0 0 0
Assets, Ending Balance 104,951 65,896 104,951 65,896
Investments [Member] | Residential Mortgage Loans [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance 240,781 112,650 182,472 84,290
Assets, Accreted Discounts/Amortized Premiums (464) 537 (1,179) 678
Assets, Realized Gain (Loss) 637 1,133 583 1,081
Assets, Change In Net Unrealized Gain/(Loss) (267) (481) (920) (77)
Assets, Purchases 76,785 37,048 149,825 71,186
Assets, Sales (24,000) (14,790) (37,309) (21,061)
Assets, Transfers into Level 3 0 0 0 0
Assets, Transfers out of Level 3 0 0 0 0
Assets, Ending Balance 293,472 136,097 293,472 136,097
Investments [Member] | Collateralized Loan Obligations [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance 27,479 70,561 24,911 44,956
Assets, Accreted Discounts/Amortized Premiums (377) (4,849) 78 (6,032)
Assets, Realized Gain (Loss) 2 532 3 1,453
Assets, Change In Net Unrealized Gain/(Loss) 300 479 527 3,011
Assets, Purchases 11,442 18,157 21,537 56,869
Assets, Sales (7,889) (23,233) (16,099) (38,609)
Assets, Transfers into Level 3 0 0 0 0
Assets, Transfers out of Level 3 (24,848) (19,111) (24,848) (19,112)
Assets, Ending Balance 6,109 42,536 6,109 42,536
Investments [Member] | Consumer loans and asset-backed securities backed by consumer loans [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance 148,422 107,842 135,258 107,157
Assets, Accreted Discounts/Amortized Premiums (6,955) (3,208) (12,851) (6,264)
Assets, Realized Gain (Loss) 450 478 950 (74)
Assets, Change In Net Unrealized Gain/(Loss) 3,782 (555) 7,585 281
Assets, Purchases 83,069 25,594 125,203 50,012
Assets, Sales (29,514) (21,480) (56,891) (42,441)
Assets, Transfers into Level 3 0 0 0 0
Assets, Transfers out of Level 3 0 0 0 0
Assets, Ending Balance 199,254 108,671 199,254 108,671
Investments [Member] | Corporate Debt [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance 18,000 59,609 23,947 25,004
Assets, Accreted Discounts/Amortized Premiums 59 154 (56) 253
Assets, Realized Gain (Loss) 96 216 148 548
Assets, Change In Net Unrealized Gain/(Loss) (761) 29 (396) 187
Assets, Purchases 448 36,397 905 83,492
Assets, Sales (1,944) (75,870) (8,650) (88,949)
Assets, Transfers into Level 3 0 0 0 0
Assets, Transfers out of Level 3 (7,048) 0 (7,048) 0
Assets, Ending Balance 8,850 20,535 8,850 20,535
Investments [Member] | Secured Notes [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance 0   0  
Assets, Accreted Discounts/Amortized Premiums 92   92  
Assets, Realized Gain (Loss) 0   0  
Assets, Change In Net Unrealized Gain/(Loss) (234)   (234)  
Assets, Purchases 11,268   11,268  
Assets, Sales 0   0  
Assets, Transfers into Level 3 0   0  
Assets, Transfers out of Level 3 0   0  
Assets, Ending Balance 11,126   11,126  
Investments [Member] | Real Estate Owned [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance 29,110 25,390 26,277 3,349
Assets, Accreted Discounts/Amortized Premiums 0 0 0 0
Assets, Realized Gain (Loss) 10 365 (447) 424
Assets, Change In Net Unrealized Gain/(Loss) (1) (401) 615 (295)
Assets, Purchases 5,472 54 9,570 24,211
Assets, Sales (252) (431) (1,676) (2,712)
Assets, Transfers into Level 3 0 0 0 0
Assets, Transfers out of Level 3 0 0 0 0
Assets, Ending Balance 34,339 24,977 34,339 24,977
Investments [Member] | Corporate Equity Investments [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance 50,869 33,917 37,465 29,392
Assets, Accreted Discounts/Amortized Premiums 0 0 0 0
Assets, Realized Gain (Loss) 1,182 1,519 1,182 1,519
Assets, Change In Net Unrealized Gain/(Loss) (1) (994) 4,325 (723)
Assets, Purchases 0 6,775 9,078 11,775
Assets, Sales (7,282) (5,519) (7,282) (6,265)
Assets, Transfers into Level 3 0 0 0 0
Assets, Transfers out of Level 3 0 0 0 0
Assets, Ending Balance 44,768 35,698 44,768 35,698
Financial Derivatives - Assets [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance 3,069 5,828 3,140 5,587
Assets, Accreted Discounts/Amortized Premiums 0 0 0 0
Assets, Realized Gain (Loss) 161 396 247 490
Assets, Change In Net Unrealized Gain/(Loss) (478) (721) (549) (379)
Assets, Purchases 22 10 45 68
Assets, Sales (183) (406) (292) (659)
Assets, Transfers into Level 3 0 0 0 0
Assets, Transfers out of Level 3 0 0 0 0
Assets, Ending Balance 2,591 5,107 2,591 5,107
Fair Value, Assets Measured on Recurring Basis, Change in Unrealized Gain (Loss) (500) (700) (500) (200)
Financial Derivatives - Assets [Member] | Total Return Swaps [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance   0   155
Assets, Accreted Discounts/Amortized Premiums   0   0
Assets, Realized Gain (Loss)   65   222
Assets, Change In Net Unrealized Gain/(Loss)   0   (155)
Assets, Purchases   0   0
Assets, Sales   (65)   (222)
Assets, Transfers into Level 3   0   0
Assets, Transfers out of Level 3   0   0
Assets, Ending Balance   0   0
Financial Derivatives - Assets [Member] | Warrant [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance       106
Assets, Accreted Discounts/Amortized Premiums       0
Assets, Realized Gain (Loss)       (100)
Assets, Change In Net Unrealized Gain/(Loss)       (6)
Assets, Purchases       0
Assets, Sales       0
Assets, Transfers into Level 3       0
Assets, Transfers out of Level 3       0
Assets, Ending Balance   0   0
Financial Derivatives - Assets [Member] | Credit Default Swaps On Asset Backed Securities [Member]        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Assets, Beginning Balance 3,069 5,828 3,140 5,326
Assets, Accreted Discounts/Amortized Premiums 0 0 0 0
Assets, Realized Gain (Loss) 161 331 247 368
Assets, Change In Net Unrealized Gain/(Loss) (478) (721) (549) (218)
Assets, Purchases 22 10 45 68
Assets, Sales (183) (341) (292) (437)
Assets, Transfers into Level 3 0 0 0 0
Assets, Transfers out of Level 3 0 0 0 0
Assets, Ending Balance $ 2,591 $ 5,107 $ 2,591 $ 5,107