Fair Value of Financial Instruments (Tables)
|
3 Months Ended |
Mar. 31, 2016 |
Fair Value Disclosures [Abstract] |
|
Fair Value Measured on Recurring Basis |
The following tables present the Company's assets and liabilities measured at fair value on a recurring basis. | | | | | | | | | | | | | | March 31, 2016 | | | | Fair Value Measurements Using: | | | | | | | | | | Total at | $ in thousands | Level 1 | | Level 2 | | Level 3 | | Fair Value | Assets: | | | | | | | | Mortgage-backed and credit risk transfer securities(1) (2) | — |
| | 15,156,772 |
| | (22,706 | ) | | 15,134,066 |
| Derivative assets | — |
| | 702 |
| | — |
| | 702 |
| Total assets | — |
| | 15,157,474 |
| | (22,706 | ) | | 15,134,768 |
| Liabilities: | | | | | | | | Derivative liabilities | — |
| | 398,143 |
| | — |
| | 398,143 |
| Total liabilities | — |
| | 398,143 |
| | — |
| | 398,143 |
|
| | | | | | | | | | | | | | December 31, 2015 | | | | Fair Value Measurements Using: | | | | | | | | | | Total at | $ in thousands | Level 1 | | Level 2 | | Level 3 | | Fair Value | Assets: | | | | | | | | Mortgage-backed and credit risk transfer securities(1) (2) | — |
| | 16,091,657 |
| | (25,722 | ) | | 16,065,935 |
| Derivative assets | — |
| | 8,659 |
| | — |
| | 8,659 |
| Total assets | — |
| | 16,100,316 |
| | (25,722 | ) | | 16,074,594 |
| Liabilities: | | | | | | | | Derivative liabilities | — |
| | 238,148 |
| | — |
| | 238,148 |
| Total liabilities | — |
| | 238,148 |
| | — |
| | 238,148 |
|
| | (1) | For more detail about the fair value of the Company's MBS and GSE CRTs, refer to Note 4 - "Mortgage-Backed and Credit Risk Transfer Securities." |
| | (2) | The Company's GSE CRTs are accounted for as hybrid financial instruments with an embedded derivative. The hybrid instruments consist of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. As of March 31, 2016, the net embedded derivative liability position of $22.7 million includes $2.0 million of embedded derivatives in an asset position and $24.7 million of embedded derivatives in a liability position. As of December 31, 2015, the net embedded derivative liability position of $25.7 million includes $1.0 million of embedded derivatives in an asset position and $26.7 million of embedded derivatives in a liability position. |
|
Embedded Derivatives Level 3 Roll Forward |
The following table shows a reconciliation of the beginning and ending fair value measurements of the Company's GSE CRT embedded derivatives, which the Company has valued utilizing Level 3 inputs: | | | | | | | $ in thousands | March 31, 2016 | | December 31, 2015 | Beginning balance | (25,722 | ) | | (21,495 | ) | Sales and settlements | 920 |
| | 2,184 |
| Total net gains / (losses) included in net income: | | | | Realized gains/(losses), net | (920 | ) | | (2,184 | ) | Unrealized gains/(losses), net | 3,016 |
| | (4,227 | ) | Ending balance | (22,706 | ) | | (25,722 | ) |
|
Embedded Derivatives Fair Value Inputs |
The following table summarizes significant unobservable inputs used in the fair value measurement of the Company's GSE CRT embedded derivative: | | | | | | | | | | | | | | Fair Value at | | Valuation | | Unobservable | | | | Weighted | $ in thousands | March 31, 2016 | | Technique | | Input | | Range | | Average | GSE CRT Embedded Derivatives | (22,706 | ) | | Market Comparables | | Prepayment Rate | | 5.76% - 14.43% | | 7.85 | % | | | | Vendor Pricing | | Default Rate | | 0.10% - 0.39% | | 0.16 | % |
| | | | | | | | | | | | | | Fair Value at | | Valuation | | Unobservable | | | | Weighted | $ in thousands | December 31, 2015 | | Technique | | Input | | Range | | Average | GSE CRT Embedded Derivatives | (25,722 | ) | | Market Comparables | | Prepayment Rate | | 5.72% - 14.37% | | 7.83 | % | | | | Vendor Pricing | | Default Rate | | 0.10% - 0.35% | | 0.16 | % |
|
Carrying Value and Estimated Fair Value of Financial Instruments |
The following table presents the carrying value and estimated fair value of the Company's financial instruments that are not carried at fair value on the condensed consolidated balance sheets at March 31, 2016 and December 31, 2015: | | | | | | | | | | | | | | March 31, 2016 | | December 31, 2015 | $ in thousands | Carrying Value | | Estimated Fair Value | | Carrying Value | | Estimated Fair Value | Financial Assets | | | | | | | | Commercial loans, held-for-investment | 277,701 |
| | 278,413 |
| | 209,062 |
| | 209,790 |
| Other assets | 115,878 |
| | 115,878 |
| | 115,072 |
| | 115,072 |
| Total | 393,579 |
| | 394,291 |
| | 324,134 |
| | 324,862 |
| Financial Liabilities | | | | | | | | Repurchase agreements | 11,187,159 |
| | 11,187,194 |
| | 12,126,048 |
| | 12,133,252 |
| Secured loans | 1,650,000 |
| | 1,650,000 |
| | 1,650,000 |
| | 1,650,000 |
| Exchangeable senior notes | 395,187 |
| | 378,000 |
| | 394,573 |
| | 376,500 |
| Total | 13,232,346 |
| | 13,215,194 |
| | 14,170,621 |
| | 14,159,752 |
|
|