Maryland | 27-0312904 | |
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification No.) |
590 Madison Avenue, 36th Floor New York, New York | 10022 | |
(Address of Principal Executive Offices) | (Zip Code) |
Large accelerated filer x | Accelerated filer o | ||
Non-accelerated filer o | (Do not check if a smaller reporting company) | Smaller reporting company o | |
Emerging growth company o |
Page | ||
PART I - FINANCIAL INFORMATION | ||
PART II - OTHER INFORMATION | ||
June 30, 2017 | December 31, 2016 | ||||||
ASSETS | (unaudited) | ||||||
Available-for-sale securities, at fair value | $ | 16,427,710 | $ | 13,128,857 | |||
Commercial real estate assets | 1,782,749 | 1,412,543 | |||||
Mortgage servicing rights, at fair value | 898,025 | 693,815 | |||||
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 3,120,410 | 3,271,317 | |||||
Residential mortgage loans held-for-sale, at fair value | 31,946 | 40,146 | |||||
Cash and cash equivalents | 651,707 | 406,883 | |||||
Restricted cash | 249,728 | 408,312 | |||||
Accrued interest receivable | 74,156 | 62,751 | |||||
Due from counterparties | 39,618 | 60,380 | |||||
Derivative assets, at fair value | 240,502 | 324,182 | |||||
Other assets | 264,482 | 302,870 | |||||
Total Assets (1) | $ | 23,781,033 | $ | 20,112,056 | |||
LIABILITIES AND EQUITY | |||||||
Liabilities | |||||||
Repurchase agreements | $ | 13,316,881 | $ | 9,316,351 | |||
Collateralized borrowings in securitization trusts, at fair value | 2,880,301 | 3,037,196 | |||||
Federal Home Loan Bank advances | 3,238,762 | 4,000,000 | |||||
Revolving credit facilities | 40,000 | 70,000 | |||||
Convertible senior notes | 282,290 | — | |||||
Derivative liabilities, at fair value | 2,580 | 12,501 | |||||
Due to counterparties | 36,858 | 111,884 | |||||
Dividends payable | 95,049 | 83,437 | |||||
Other liabilities | 104,203 | 79,576 | |||||
Total Liabilities (1) | 19,996,924 | 16,710,945 | |||||
Stockholders’ Equity | |||||||
Preferred stock, par value $0.01 per share; 50,000,000 shares authorized and 5,750,000 and 0 shares issued and outstanding, respectively (liquidation preference of $143,750) | 138,872 | — | |||||
Common stock, par value $0.01 per share; 900,000,000 shares authorized and 348,977,215 and 347,652,326 shares issued and outstanding, respectively | 3,490 | 3,477 | |||||
Additional paid-in capital | 3,654,653 | 3,659,973 | |||||
Accumulated other comprehensive income | 354,617 | 199,227 | |||||
Cumulative earnings | 2,118,636 | 2,038,033 | |||||
Cumulative distributions to stockholders | (2,681,847 | ) | (2,499,599 | ) | |||
Total Stockholders’ Equity | 3,588,421 | 3,401,111 | |||||
Noncontrolling interest | 195,688 | — | |||||
Total Equity | 3,784,109 | 3,401,111 | |||||
Total Liabilities and Equity | $ | 23,781,033 | $ | 20,112,056 |
(1) | The condensed consolidated balance sheets include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations of these VIEs, and liabilities of the consolidated VIEs for which creditors do not have recourse to Two Harbors Investment Corp. At June 30, 2017 and December 31, 2016, assets of the VIEs totaled $3,184,374 and $3,336,292, and liabilities of the VIEs totaled $2,900,344 and $3,058,278, respectively. See Note 3 - Variable Interest Entities for additional information. |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Interest income: | (unaudited) | (unaudited) | |||||||||||||
Available-for-sale securities | $ | 150,166 | $ | 101,512 | $ | 285,739 | $ | 180,940 | |||||||
Commercial real estate assets | 25,840 | 13,300 | 49,410 | 24,372 | |||||||||||
Residential mortgage loans held-for-investment in securitization trusts | 30,826 | 34,499 | 62,454 | 67,270 | |||||||||||
Residential mortgage loans held-for-sale | 503 | 4,960 | 901 | 12,162 | |||||||||||
Cash and cash equivalents | 1,226 | 505 | 1,679 | 795 | |||||||||||
Total interest income | 208,561 | 154,776 | 400,183 | 285,539 | |||||||||||
Interest expense: | |||||||||||||||
Repurchase agreements | 49,299 | 22,697 | 86,311 | 38,726 | |||||||||||
Collateralized borrowings in securitization trusts | 24,843 | 25,184 | 50,229 | 44,543 | |||||||||||
Federal Home Loan Bank advances | 11,444 | 6,088 | 20,237 | 12,060 | |||||||||||
Revolving credit facilities | 597 | — | 1,026 | — | |||||||||||
Convertible senior notes | 4,591 | — | 8,412 | — | |||||||||||
Total interest expense | 90,774 | 53,969 | 166,215 | 95,329 | |||||||||||
Net interest income | 117,787 | 100,807 | 233,968 | 190,210 | |||||||||||
Other-than-temporary impairments: | |||||||||||||||
Total other-than-temporary impairment losses | (429 | ) | (90 | ) | (429 | ) | (807 | ) | |||||||
Other income (loss): | |||||||||||||||
Gain (loss) on investment securities | 31,249 | 8,331 | (21,103 | ) | 37,805 | ||||||||||
Loss on interest rate swap and swaption agreements | (76,710 | ) | (12,708 | ) | (66,783 | ) | (138,192 | ) | |||||||
Loss on other derivative instruments | (19,540 | ) | (48,051 | ) | (47,404 | ) | (32,036 | ) | |||||||
Servicing income | 51,308 | 35,816 | 91,081 | 69,949 | |||||||||||
Loss on servicing asset | (46,630 | ) | (76,535 | ) | (61,195 | ) | (177,975 | ) | |||||||
Gain on residential mortgage loans held-for-sale | 333 | 7,734 | 1,794 | 18,537 | |||||||||||
Other income (loss) | 2,793 | (9,561 | ) | 10,828 | (6,734 | ) | |||||||||
Total other loss | (57,197 | ) | (94,974 | ) | (92,782 | ) | (228,646 | ) | |||||||
Expenses: | |||||||||||||||
Management fees | 11,772 | 11,837 | 23,242 | 23,881 | |||||||||||
Servicing expenses | 11,603 | 7,576 | 17,223 | 15,437 | |||||||||||
Securitization deal costs | — | 429 | — | 4,161 | |||||||||||
Other operating expenses | 19,371 | 17,644 | 35,408 | 32,500 | |||||||||||
Total expenses | 42,746 | 37,486 | 75,873 | 75,979 | |||||||||||
Income (loss) before income taxes | 17,415 | (31,743 | ) | 64,884 | (115,222 | ) | |||||||||
Provision for (benefit from) income taxes | 8,757 | (14,762 | ) | (15,759 | ) | (9,311 | ) | ||||||||
Net income (loss) | 8,658 | (16,981 | ) | 80,643 | (105,911 | ) | |||||||||
Net income attributable to noncontrolling interest | 40 | — | 40 | — | |||||||||||
Net income (loss) attributable to Two Harbors Investment Corp. | 8,618 | (16,981 | ) | 80,603 | (105,911 | ) | |||||||||
Dividends on preferred stock | 4,285 | — | 4,285 | — | |||||||||||
Net income (loss) attributable to common stockholders | $ | 4,333 | $ | (16,981 | ) | $ | 76,318 | $ | (105,911 | ) |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
(unaudited) | (unaudited) | ||||||||||||||
Basic and diluted earnings (loss) per weighted average common share | $ | 0.01 | $ | (0.05 | ) | $ | 0.22 | $ | (0.30 | ) | |||||
Dividends declared per common share | $ | 0.26 | $ | 0.23 | $ | 0.51 | $ | 0.46 | |||||||
Basic and diluted weighted average number of shares of common stock outstanding | 348,946,335 | 347,597,955 | 348,756,189 | 348,516,985 | |||||||||||
Comprehensive income: | |||||||||||||||
Net income (loss) | $ | 8,658 | $ | (16,981 | ) | $ | 80,643 | $ | (105,911 | ) | |||||
Other comprehensive income, net of tax: | |||||||||||||||
Unrealized gain on available-for-sale securities | 81,628 | 139,291 | 155,390 | 160,636 | |||||||||||
Other comprehensive income | 81,628 | 139,291 | 155,390 | 160,636 | |||||||||||
Comprehensive income | 90,286 | 122,310 | 236,033 | 54,725 | |||||||||||
Comprehensive income attributable to noncontrolling interest | 42 | — | 42 | — | |||||||||||
Comprehensive income attributable to Two Harbors Investment Corp. | 90,244 | 122,310 | 235,991 | 54,725 | |||||||||||
Dividends on preferred stock | 4,285 | — | 4,285 | — | |||||||||||
Comprehensive income attributable to common stockholders | $ | 85,959 | $ | 122,310 | $ | 231,706 | $ | 54,725 |
Series A Preferred Stock | Common Stock | ||||||||||||||||||||||||||||||||||||||||
Shares | Par Value | Shares | Par Value | Additional Paid-in Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total Stockholders’ Equity | Noncontrolling Interest | Total Equity | |||||||||||||||||||||||||||||||
(unaudited) | |||||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2015 | — | $ | — | 353,906,807 | $ | 3,539 | $ | 3,705,519 | $ | 359,061 | $ | 1,684,755 | $ | (2,176,313 | ) | $ | 3,576,561 | $ | — | $ | 3,576,561 | ||||||||||||||||||||
Net loss | — | — | — | — | — | — | (105,911 | ) | — | (105,911 | ) | — | (105,911 | ) | |||||||||||||||||||||||||||
Other comprehensive income before reclassifications, net of tax | — | — | — | — | — | 184,085 | — | — | 184,085 | — | 184,085 | ||||||||||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income, net of tax | — | — | — | — | — | (23,449 | ) | — | — | (23,449 | ) | — | (23,449 | ) | |||||||||||||||||||||||||||
Net other comprehensive income, net of tax | — | — | — | — | — | 160,636 | — | — | 160,636 | — | 160,636 | ||||||||||||||||||||||||||||||
Issuance of common stock, net of offering costs | — | — | 29,143 | — | 227 | — | — | — | 227 | — | 227 | ||||||||||||||||||||||||||||||
Repurchase of common stock | — | — | (8,020,000 | ) | (80 | ) | (61,227 | ) | — | — | — | (61,307 | ) | — | (61,307 | ) | |||||||||||||||||||||||||
Common dividends declared | — | — | — | — | — | — | — | (159,892 | ) | (159,892 | ) | — | (159,892 | ) | |||||||||||||||||||||||||||
Non-cash equity award compensation | — | — | 1,705,435 | 17 | 7,737 | — | — | — | 7,754 | — | 7,754 | ||||||||||||||||||||||||||||||
Balance, June 30, 2016 | — | $ | — | 347,621,385 | $ | 3,476 | $ | 3,652,256 | $ | 519,697 | $ | 1,578,844 | $ | (2,336,205 | ) | $ | 3,418,068 | $ | — | $ | 3,418,068 | ||||||||||||||||||||
Balance, December 31, 2016 | — | $ | — | 347,652,326 | $ | 3,477 | $ | 3,659,973 | $ | 199,227 | $ | 2,038,033 | $ | (2,499,599 | ) | $ | 3,401,111 | $ | — | $ | 3,401,111 | ||||||||||||||||||||
Net income | — | — | — | — | — | — | 80,603 | — | 80,603 | 40 | 80,643 | ||||||||||||||||||||||||||||||
Other comprehensive income before reclassifications, net of tax | — | — | — | — | — | 151,789 | — | — | 151,789 | 2 | 151,791 | ||||||||||||||||||||||||||||||
Amounts reclassified from accumulated other comprehensive income, net of tax | — | — | — | — | — | 3,595 | — | — | 3,595 | — | 3,595 | ||||||||||||||||||||||||||||||
Net other comprehensive income, net of tax | — | — | — | — | — | 155,384 | — | — | 155,384 | 2 | 155,386 | ||||||||||||||||||||||||||||||
Issuance of Granite Point Mortgage Trust Inc. stock, net of offering costs | — | — | — | — | (13,777 | ) | 6 | — | — | (13,771 | ) | 195,646 | 181,875 | ||||||||||||||||||||||||||||
Issuance of preferred stock, net of offering costs | 5,750,000 | 138,872 | — | — | — | — | — | — | 138,872 | — | 138,872 | ||||||||||||||||||||||||||||||
Issuance of common stock, net of offering costs | — | — | 26,438 | — | 256 | — | — | — | 256 | — | 256 | ||||||||||||||||||||||||||||||
Preferred dividends declared | — | — | — | — | — | — | — | (4,285 | ) | (4,285 | ) | — | (4,285 | ) | |||||||||||||||||||||||||||
Common dividends declared | — | — | — | — | — | — | — | (177,963 | ) | (177,963 | ) | — | (177,963 | ) | |||||||||||||||||||||||||||
Non-cash equity award compensation | — | — | 1,298,451 | 13 | 8,201 | — | — | — | 8,214 | — | 8,214 | ||||||||||||||||||||||||||||||
Balance, June 30, 2017 | 5,750,000 | $ | 138,872 | 348,977,215 | $ | 3,490 | $ | 3,654,653 | $ | 354,617 | $ | 2,118,636 | $ | (2,681,847 | ) | $ | 3,588,421 | $ | 195,688 | $ | 3,784,109 |
Six Months Ended | |||||||
June 30, | |||||||
2017 | 2016 | ||||||
Cash Flows From Operating Activities: | (unaudited | ||||||
Net income (loss) | $ | 80,643 | $ | (105,911 | ) | ||
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |||||||
Amortization of premiums and discounts on investment securities and commercial real estate assets, net | 19,179 | 16,663 | |||||
Amortization of deferred debt issuance costs on convertible senior notes | 176 | — | |||||
Other-than-temporary impairment losses | 429 | 807 | |||||
Realized and unrealized losses (gains) on investment securities, net | 21,103 | (37,805 | ) | ||||
Loss on servicing asset | 61,195 | 177,975 | |||||
Gain on residential mortgage loans held-for-sale | (1,794 | ) | (18,537 | ) | |||
(Gain) loss on residential mortgage loans held-for-investment and collateralized borrowings in securitization trusts | (8,077 | ) | 9,441 | ||||
(Gain) loss on termination and option expiration of interest rate swaps and swaptions | (35,949 | ) | 24,487 | ||||
Unrealized loss on interest rate swaps and swaptions | 92,254 | 99,859 | |||||
Unrealized loss on other derivative instruments | 35,111 | 48,818 | |||||
Equity based compensation | 8,214 | 7,754 | |||||
Depreciation of fixed assets | 550 | 664 | |||||
Purchases of residential mortgage loans held-for-sale | (567 | ) | (580,932 | ) | |||
Proceeds from sales of residential mortgage loans held-for-sale | 3,988 | 68,813 | |||||
Proceeds from repayment of residential mortgage loans held-for-sale | 4,252 | 74,025 | |||||
Net change in assets and liabilities: | |||||||
Increase in accrued interest receivable | (11,405 | ) | (13,945 | ) | |||
Increase in deferred income taxes, net | (16,078 | ) | (7,716 | ) | |||
Decrease in income taxes receivable | 77 | 3,669 | |||||
(Increase) decrease in prepaid and fixed assets | (756 | ) | 102 | ||||
(Increase) decrease in other receivables | (4,516 | ) | 6,267 | ||||
Decrease (increase) in servicing advances | 5,031 | (19,328 | ) | ||||
Increase in accrued interest payable | 26,173 | 6,544 | |||||
Increase (decrease) in income taxes payable | 51 | (70 | ) | ||||
Decrease in accrued expenses and other liabilities | (2,923 | ) | (6,076 | ) | |||
Net cash provided by (used in) operating activities | $ | 276,361 | $ | (244,432 | ) |
Six Months Ended | |||||||
June 30, | |||||||
2017 | 2016 | ||||||
Cash Flows From Investing Activities: | (unaudited | ||||||
Purchases of available-for-sale securities | $ | (8,883,595 | ) | $ | (9,964,377 | ) | |
Proceeds from sales of available-for-sale securities | 5,092,318 | 3,776,295 | |||||
Principal payments on available-for-sale securities | 627,277 | 527,958 | |||||
(Purchases) short sales of derivative instruments, net | (33,562 | ) | (15,475 | ) | |||
Proceeds from sales (payments for termination) of derivative instruments, net | 15,905 | 44,364 | |||||
Proceeds from repayment of residential mortgage loans held-for-investment in securitization trusts | 181,806 | 407,861 | |||||
Originations, acquisitions and additional fundings of commercial real estate assets, net of deferred fees | (372,338 | ) | (276,438 | ) | |||
Proceeds from repayment of commercial real estate assets | 6,246 | 14,387 | |||||
Purchases of mortgage servicing rights, net of purchase price adjustments | (266,003 | ) | (108,006 | ) | |||
Proceeds from sales of mortgage servicing rights | 627 | — | |||||
Purchases of Federal Home Loan Bank stock | — | (11,206 | ) | ||||
Redemptions of Federal Home Loan Bank stock | 33,080 | — | |||||
(Decrease) increase in due to counterparties, net | (54,264 | ) | 197,289 | ||||
Net cash used in investing activities | (3,652,503 | ) | (5,407,348 | ) | |||
Cash Flows From Financing Activities: | |||||||
Proceeds from repurchase agreements | 79,096,337 | 30,339,583 | |||||
Principal payments on repurchase agreements | (75,095,807 | ) | (25,678,009 | ) | |||
Proceeds from issuance of collateralized borrowings in securitization trusts | — | 1,394,312 | |||||
Principal payments on collateralized borrowings in securitization trusts | (179,717 | ) | (331,110 | ) | |||
Proceeds from Federal Home Loan Bank advances | — | 215,000 | |||||
Principal payments on Federal Home Loan Bank advances | (761,238 | ) | — | ||||
Proceeds from revolving credit facilities | 74,000 | — | |||||
Principal payments on revolving credit facilities | (104,000 | ) | — | ||||
Proceeds from convertible senior notes | 282,469 | — | |||||
Proceeds from issuance of preferred stock, net of offering costs | 138,872 | — | |||||
Proceeds from issuance of common stock, net of offering costs | 256 | 227 | |||||
Proceeds from issuance of Granite Point Mortgage Trust Inc. stock, net of offering costs | 181,875 | — | |||||
Repurchase of common stock | — | (61,307 | ) | ||||
Dividends paid on common stock | (170,665 | ) | (171,955 | ) | |||
Net cash provided by financing activities | 3,462,382 | 5,706,741 | |||||
Net increase in cash, cash equivalents and restricted cash | 86,240 | 54,961 | |||||
Cash, cash equivalents and restricted cash at beginning of period | 815,195 | 1,000,393 | |||||
Cash, cash equivalents and restricted cash at end of period | $ | 901,435 | $ | 1,055,354 |
Six Months Ended | |||||||
June 30, | |||||||
2017 | 2016 | ||||||
Supplemental Disclosure of Cash Flow Information: | (unaudited | ||||||
Cash paid for interest | $ | 89,296 | $ | 47,088 | |||
Cash paid (received) for taxes | $ | 192 | $ | (5,194 | ) | ||
Noncash Activities: | |||||||
Transfers of residential mortgage loans held-for-sale to residential mortgage loans held-for-investment in securitization trusts | $ | — | $ | 641,738 | |||
Transfers of residential mortgage loans held-for-sale to other receivables for foreclosed government-guaranteed loans | $ | 2,292 | $ | 12,080 | |||
Transfer of fair value of mortgage servicing rights to fair value of Ginnie Mae residential mortgage loans held-for-sale upon buyout | $ | 9 | $ | 3,572 | |||
Additions to mortgage servicing rights due to sale of residential mortgage loans held-for-sale | $ | 20 | $ | 522 | |||
Dividends declared but not paid at end of period | $ | 95,049 | $ | 79,953 | |||
Reconciliation of residential mortgage loans held-for-sale: | |||||||
Residential mortgage loans held-for-sale at beginning of period | $ | 40,146 | $ | 811,431 | |||
Purchases of residential mortgage loans held-for-sale | 567 | 580,932 | |||||
Transfers to residential mortgage loans held-for-investment in securitization trusts | — | (641,738 | ) | ||||
Transfers to other receivables for foreclosed government-guaranteed loans | (2,292 | ) | (12,080 | ) | |||
Transfer of fair value of mortgage servicing rights to fair value of Ginnie Mae residential mortgage loans held-for-sale upon buyout | (9 | ) | (3,572 | ) | |||
Proceeds from sales of residential mortgage loans held-for-sale | (3,988 | ) | (68,813 | ) | |||
Proceeds from repayment of residential mortgage loans held-for-sale | (4,252 | ) | (74,025 | ) | |||
Realized and unrealized gains on residential mortgage loans held-for-sale | 1,774 | 16,925 | |||||
Residential mortgage loans held-for-sale at end of period | $ | 31,946 | $ | 609,060 |
June 30, 2017 | |||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets (1) | |||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Condensed Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | |||||||||||||||||
Assets | |||||||||||||||||||||||
Derivative assets | $ | 275,943 | $ | (35,441 | ) | $ | 240,502 | $ | (2,580 | ) | $ | — | $ | 237,922 | |||||||||
Total Assets | $ | 275,943 | $ | (35,441 | ) | $ | 240,502 | $ | (2,580 | ) | $ | — | $ | 237,922 | |||||||||
Liabilities | |||||||||||||||||||||||
Repurchase agreements | $ | (13,316,881 | ) | $ | — | $ | (13,316,881 | ) | $ | 13,316,881 | $ | — | $ | — | |||||||||
Derivative liabilities | (38,021 | ) | 35,441 | (2,580 | ) | 2,580 | — | — | |||||||||||||||
Total Liabilities | $ | (13,354,902 | ) | $ | 35,441 | $ | (13,319,461 | ) | $ | 13,319,461 | $ | — | $ | — |
December 31, 2016 | |||||||||||||||||||||||
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Condensed Consolidated Balance Sheets (1) | |||||||||||||||||||||||
(in thousands) | Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Condensed Consolidated Balance Sheets | Net Amounts of Assets (Liabilities) Presented in the Condensed Consolidated Balance Sheets | Financial Instruments | Cash Collateral (Received) Pledged | Net Amount | |||||||||||||||||
Assets | |||||||||||||||||||||||
Derivative assets | $ | 388,522 | $ | (64,340 | ) | $ | 324,182 | $ | (12,501 | ) | $ | — | $ | 311,681 | |||||||||
Total Assets | $ | 388,522 | $ | (64,340 | ) | $ | 324,182 | $ | (12,501 | ) | $ | — | $ | 311,681 | |||||||||
Liabilities | |||||||||||||||||||||||
Repurchase agreements | $ | (9,316,351 | ) | $ | — | $ | (9,316,351 | ) | $ | 9,316,351 | $ | — | $ | — | |||||||||
Derivative liabilities | (76,841 | ) | 64,340 | (12,501 | ) | 12,501 | — | — | |||||||||||||||
Total Liabilities | $ | (9,463,192 | ) | $ | 64,340 | $ | (9,398,852 | ) | $ | 9,398,852 | $ | — | $ | — |
(1) | Amounts presented are limited in total to the net amount of assets or liabilities presented in the condensed consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s condensed consolidated balance sheets. |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
Residential mortgage loans held-for-investment in securitization trusts | $ | 3,120,410 | $ | 3,271,317 | |||
Commercial real estate assets | 45,888 | 45,885 | |||||
Accrued interest receivable | 18,076 | 19,090 | |||||
Total Assets | $ | 3,184,374 | $ | 3,336,292 | |||
Collateralized borrowings in securitization trusts | $ | 2,880,301 | $ | 3,037,196 | |||
Accrued interest payable | 8,190 | 8,708 | |||||
Other liabilities | 11,853 | 12,374 | |||||
Total Liabilities | $ | 2,900,344 | $ | 3,058,278 |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
Agency | |||||||
Federal National Mortgage Association | $ | 10,177,588 | $ | 8,274,507 | |||
Federal Home Loan Mortgage Corporation | 3,508,298 | 2,742,630 | |||||
Government National Mortgage Association | 485,382 | 209,337 | |||||
Non-Agency | 2,256,442 | 1,902,383 | |||||
Total available-for-sale securities | $ | 16,427,710 | $ | 13,128,857 |
June 30, 2017 | |||||||||||
(in thousands) | Agency | Non-Agency | Total | ||||||||
Face Value | $ | 16,212,860 | $ | 3,077,412 | $ | 19,290,272 | |||||
Unamortized premium | 827,000 | — | 827,000 | ||||||||
Unamortized discount | |||||||||||
Designated credit reserve | — | (433,736 | ) | (433,736 | ) | ||||||
Net, unamortized | (2,813,604 | ) | (806,264 | ) | (3,619,868 | ) | |||||
Amortized Cost | 14,226,256 | 1,837,412 | 16,063,668 | ||||||||
Gross unrealized gains | 84,781 | 422,884 | 507,665 | ||||||||
Gross unrealized losses | (139,769 | ) | (3,854 | ) | (143,623 | ) | |||||
Carrying Value | $ | 14,171,268 | $ | 2,256,442 | $ | 16,427,710 |
December 31, 2016 | |||||||||||
(in thousands) | Agency | Non-Agency | Total | ||||||||
Face Value | $ | 13,571,417 | $ | 2,732,139 | $ | 16,303,556 | |||||
Unamortized premium | 571,749 | — | 571,749 | ||||||||
Unamortized discount | |||||||||||
Designated credit reserve | — | (367,437 | ) | (367,437 | ) | ||||||
Net, unamortized | (2,758,445 | ) | (808,975 | ) | (3,567,420 | ) | |||||
Amortized Cost | 11,384,721 | 1,555,727 | 12,940,448 | ||||||||
Gross unrealized gains | 79,040 | 353,358 | 432,398 | ||||||||
Gross unrealized losses | (237,287 | ) | (6,702 | ) | (243,989 | ) | |||||
Carrying Value | $ | 11,226,474 | $ | 1,902,383 | $ | 13,128,857 |
June 30, 2017 | |||||||||||
(in thousands) | Agency | Non-Agency | Total | ||||||||
Adjustable Rate | $ | 26,735 | $ | 1,949,041 | $ | 1,975,776 | |||||
Fixed Rate | 14,144,533 | 307,401 | 14,451,934 | ||||||||
Total | $ | 14,171,268 | $ | 2,256,442 | $ | 16,427,710 |
December 31, 2016 | |||||||||||
(in thousands) | Agency | Non-Agency | Total | ||||||||
Adjustable Rate | $ | 30,463 | $ | 1,574,850 | $ | 1,605,313 | |||||
Fixed Rate | 11,196,011 | 327,533 | 11,523,544 | ||||||||
Total | $ | 11,226,474 | $ | 1,902,383 | $ | 13,128,857 |
June 30, 2017 | |||||||||||
(in thousands) | Agency | Non-Agency | Total | ||||||||
≤ 1 year | $ | 557 | $ | 40,890 | $ | 41,447 | |||||
> 1 and ≤ 3 years | 48,271 | 194,999 | 243,270 | ||||||||
> 3 and ≤ 5 years | 2,127,292 | 312,203 | 2,439,495 | ||||||||
> 5 and ≤ 10 years | 11,973,466 | 889,262 | 12,862,728 | ||||||||
> 10 years | 21,682 | 819,088 | 840,770 | ||||||||
Total | $ | 14,171,268 | $ | 2,256,442 | $ | 16,427,710 |
Six Months Ended June 30, | |||||||||||||||||||||||
2017 | 2016 | ||||||||||||||||||||||
(in thousands) | Designated Credit Reserve | Unamortized Net Discount | Total | Designated Credit Reserve | Unamortized Net Discount | Total | |||||||||||||||||
Beginning balance at January 1 | $ | (367,437 | ) | $ | (808,975 | ) | $ | (1,176,412 | ) | $ | (409,077 | ) | $ | (707,021 | ) | $ | (1,116,098 | ) | |||||
Acquisitions | (100,558 | ) | (88,807 | ) | (189,365 | ) | (16,217 | ) | (74,039 | ) | (90,256 | ) | |||||||||||
Accretion of net discount | — | 44,301 | 44,301 | — | 32,287 | 32,287 | |||||||||||||||||
Realized credit losses | 8,424 | — | 8,424 | (2,371 | ) | — | (2,371 | ) | |||||||||||||||
Reclassification adjustment for other-than-temporary impairments | (429 | ) | — | (429 | ) | (211 | ) | — | (211 | ) | |||||||||||||
Transfers from (to) | 22,676 | (22,676 | ) | — | 59,453 | (59,453 | ) | — | |||||||||||||||
Sales, calls, other | 3,588 | 69,893 | 73,481 | 32,562 | 67,121 | 99,683 | |||||||||||||||||
Ending balance at June 30 | $ | (433,736 | ) | $ | (806,264 | ) | $ | (1,240,000 | ) | $ | (335,861 | ) | $ | (741,105 | ) | $ | (1,076,966 | ) |
Unrealized Loss Position for | |||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
(in thousands) | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | |||||||||||||||||
June 30, 2017 | $ | 5,911,117 | $ | (80,353 | ) | $ | 1,046,174 | $ | (63,270 | ) | $ | 6,957,291 | $ | (143,623 | ) | ||||||||
December 31, 2016 | $ | 6,416,820 | $ | (204,034 | ) | $ | 504,978 | $ | (39,955 | ) | $ | 6,921,798 | $ | (243,989 | ) |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
(in thousands) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Cumulative credit loss at beginning of period | $ | (5,606 | ) | $ | (6,620 | ) | $ | (5,606 | ) | $ | (6,499 | ) | |||
Additions: | |||||||||||||||
Other-than-temporary impairments not previously recognized | (429 | ) | — | (429 | ) | (292 | ) | ||||||||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | — | (90 | ) | — | (515 | ) | |||||||||
Reductions: | |||||||||||||||
Decreases related to other-than-temporary impairments on securities paid down | — | — | — | — | |||||||||||
Decreases related to other-than-temporary impairments on securities sold | — | — | — | 596 | |||||||||||
Cumulative credit loss at end of period | $ | (6,035 | ) | $ | (6,710 | ) | $ | (6,035 | ) | $ | (6,710 | ) |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
(in thousands) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Gross realized gains | $ | 47,994 | $ | 10,700 | $ | 56,725 | $ | 45,894 | |||||||
Gross realized losses | (14,649 | ) | (830 | ) | (73,783 | ) | (14,323 | ) | |||||||
Total realized gains (losses) on sales, net | $ | 33,345 | $ | 9,870 | $ | (17,058 | ) | $ | 31,571 |
June 30, 2017 | |||||||||||||||
(dollars in thousands) | First Mortgages | Mezzanine Loans | B-Notes | Total | |||||||||||
Unpaid principal balance | $ | 1,648,342 | $ | 132,969 | $ | 14,936 | $ | 1,796,247 | |||||||
Unamortized (discount) premium | (178 | ) | (12 | ) | — | (190 | ) | ||||||||
Unamortized net deferred origination fees | (13,179 | ) | (129 | ) | — | (13,308 | ) | ||||||||
Carrying value | $ | 1,634,985 | $ | 132,828 | $ | 14,936 | $ | 1,782,749 | |||||||
Unfunded commitments | $ | 213,703 | $ | 1,580 | $ | — | $ | 215,283 | |||||||
Number of loans | 39 | 6 | 1 | 46 | |||||||||||
Weighted average coupon | 5.6 | % | 9.0 | % | 8.0 | % | 5.8 | % | |||||||
Weighted average years to maturity (1) | 2.6 | 2.0 | 9.6 | 2.6 |
December 31, 2016 | |||||||||||||||
(dollars in thousands) | First Mortgages | Mezzanine Loans | B-Notes | Total | |||||||||||
Unpaid principal balance | $ | 1,286,200 | $ | 138,245 | $ | — | $ | 1,424,445 | |||||||
Unamortized (discount) premium | (185 | ) | (15 | ) | — | (200 | ) | ||||||||
Unamortized net deferred origination fees | (11,481 | ) | (221 | ) | — | (11,702 | ) | ||||||||
Carrying value | $ | 1,274,534 | $ | 138,009 | $ | — | $ | 1,412,543 | |||||||
Unfunded commitments | $ | 170,890 | 1,580 | $ | — | $ | 172,470 | ||||||||
Number of loans | 30 | 6 | — | 36 | |||||||||||
Weighted average coupon | 5.1 | % | 8.6 | % | — | % | 5.4 | % | |||||||
Weighted average years to maturity (1) | 2.9 | 1.5 | 0.0 | 2.8 |
(1) | Based on contractual maturity date. Certain loans are subject to contractual extension options which may be subject to conditions as stipulated in the loan agreement. Actual maturities may differ from contractual maturities stated herein as certain borrowers may have the right to prepay with or without paying a prepayment penalty. The Company may also extend contractual maturities in connection with loan modifications. |
(in thousands) | June 30, 2017 | December 31, 2016 | ||||||||||||
Property Type | Carrying Value | % of Commercial Portfolio | Carrying Value | % of Commercial Portfolio | ||||||||||
Office | $ | 939,961 | 52.7 | % | $ | 718,780 | 50.9 | % | ||||||
Multifamily | 264,920 | 14.9 | % | 260,683 | 18.5 | % | ||||||||
Retail | 246,710 | 13.8 | % | 237,414 | 16.8 | % | ||||||||
Hotel | 186,854 | 10.5 | % | 90,585 | 6.4 | % | ||||||||
Industrial | 144,304 | 8.1 | % | 105,081 | 7.4 | % | ||||||||
Total | $ | 1,782,749 | 100.0 | % | $ | 1,412,543 | 100.0 | % |
(in thousands) | June 30, 2017 | December 31, 2016 | ||||||||||||
Geographic Location | Carrying Value | % of Commercial Portfolio | Carrying Value | % of Commercial Portfolio | ||||||||||
Northeast | $ | 655,248 | 36.8 | % | $ | 578,762 | 41.0 | % | ||||||
West | 389,311 | 21.8 | % | 250,044 | 17.7 | % | ||||||||
Southwest | 340,094 | 19.1 | % | 267,944 | 19.0 | % | ||||||||
Southeast | 319,609 | 17.9 | % | 239,194 | 16.9 | % | ||||||||
Midwest | 78,487 | 4.4 | % | 76,599 | 5.4 | % | ||||||||
Total | $ | 1,782,749 | 100.0 | % | $ | 1,412,543 | 100.0 | % |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
(in thousands) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Balance at beginning of period | $ | 1,548,603 | $ | 744,259 | $ | 1,412,543 | $ | 660,953 | |||||||
Originations, acquisitions and additional fundings | 238,664 | 193,181 | 378,048 | 280,447 | |||||||||||
Repayments | (2,437 | ) | (9,856 | ) | (6,246 | ) | (14,387 | ) | |||||||
Net (premium amortization) discount accretion | (18 | ) | 67 | (17 | ) | 140 | |||||||||
Increase in net deferred origination fees | (3,771 | ) | (2,899 | ) | (5,710 | ) | (4,009 | ) | |||||||
Amortization of net deferred origination fees | 1,708 | 1,625 | 4,131 | 3,233 | |||||||||||
Allowance for loan losses | — | — | — | — | |||||||||||
Balance at end of period | $ | 1,782,749 | $ | 926,377 | $ | 1,782,749 | $ | 926,377 |
1 – | Lower Risk |
2 – | Average Risk |
3 – | Acceptable Risk |
4 – | Higher Risk: A loan that has exhibited material deterioration in cash flows and/or other credit factors, which, if negative trends continue, could be indicative of future loss. |
5 – | Impaired/Loss Likely: A loan that has a significantly increased probability of default or principal loss. |
(dollars in thousands) | June 30, 2017 | December 31, 2016 | ||||||||||||||||||||
Risk Rating | Number of Loans | Unpaid Principal Balance | Carrying Value | Number of Loans | Unpaid Principal Balance | Carrying Value | ||||||||||||||||
1 – 3 | 46 | $ | 1,796,247 | $ | 1,782,749 | 36 | $ | 1,424,445 | $ | 1,412,543 | ||||||||||||
4 – 5 | — | — | — | — | — | — | ||||||||||||||||
Total | 46 | $ | 1,796,247 | $ | 1,782,749 | 36 | $ | 1,424,445 | $ | 1,412,543 |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
(in thousands) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Balance at beginning of period | $ | 747,580 | $ | 446,170 | $ | 693,815 | $ | 493,688 | |||||||
Additions from purchases of mortgage servicing rights | 196,920 | 55,938 | 273,876 | 106,211 | |||||||||||
Additions from sales of residential mortgage loans | — | 318 | 20 | 522 | |||||||||||
Subtractions from sales of mortgage servicing rights | (946 | ) | — | (946 | ) | — | |||||||||
Changes in fair value due to: | |||||||||||||||
Changes in valuation inputs or assumptions used in the valuation model | (26,111 | ) | (59,074 | ) | (22,929 | ) | (143,433 | ) | |||||||
Other changes in fair value (1) | (19,951 | ) | (17,461 | ) | (37,948 | ) | (34,542 | ) | |||||||
Other changes (2) | 533 | 1,922 | (7,863 | ) | 5,367 | ||||||||||
Balance at end of period | $ | 898,025 | $ | 427,813 | $ | 898,025 | $ | 427,813 |
(1) | Other changes in fair value primarily represents changes due to the realization of expected cash flows. |
(2) | Other changes includes purchase price adjustments, contractual prepayment protection, and changes due to the Company’s purchase of the underlying collateral. |
(dollars in thousands) | June 30, 2017 | December 31, 2016 | |||||
Weighted average prepayment speed: | 10.0 | % | 9.2 | % | |||
Impact on fair value of 10% adverse change | $ | (33,975 | ) | $ | (25,012 | ) | |
Impact on fair value of 20% adverse change | $ | (65,496 | ) | $ | (48,602 | ) | |
Weighted average delinquency: | 1.5 | % | 1.9 | % | |||
Impact on fair value of 10% adverse change | $ | (3,891 | ) | $ | (1,908 | ) | |
Impact on fair value of 20% adverse change | $ | (7,723 | ) | $ | (3,816 | ) | |
Weighted average discount rate: | 10.0 | % | 9.4 | % | |||
Impact on fair value of 10% adverse change | $ | (29,276 | ) | $ | (23,590 | ) | |
Impact on fair value of 20% adverse change | $ | (56,695 | ) | $ | (45,861 | ) |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
(in thousands) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Servicing fee income | $ | 49,434 | $ | 34,431 | $ | 87,934 | $ | 67,540 | |||||||
Ancillary fee income | 165 | 488 | 305 | 973 | |||||||||||
Float income | 1,709 | 897 | 2,842 | 1,436 | |||||||||||
Total | $ | 51,308 | $ | 35,816 | $ | 91,081 | $ | 69,949 |
June 30, 2017 | December 31, 2016 | ||||||||||||
(dollars in thousands) | Number of Loans | Unpaid Principal Balance | Number of Loans | Unpaid Principal Balance | |||||||||
Mortgage servicing rights | 379,711 | $ | 84,814,247 | 280,185 | $ | 62,827,975 | |||||||
Residential mortgage loans held-for-investment in securitization trusts | 4,404 | 3,052,238 | 4,604 | 3,234,044 | |||||||||
Residential mortgage loans held-for-sale | 259 | 39,941 | 333 | 49,986 | |||||||||
Total serviced mortgage assets | 384,374 | $ | 87,906,426 | 285,122 | $ | 66,112,005 |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
Unpaid principal balance | $ | 3,052,238 | $ | 3,234,044 | |||
Fair value adjustment | 68,172 | 37,273 | |||||
Carrying value | $ | 3,120,410 | $ | 3,271,317 |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
Unpaid principal balance | $ | 39,941 | $ | 49,986 | |||
Fair value adjustment | (7,995 | ) | (9,840 | ) | |||
Carrying value | $ | 31,946 | $ | 40,146 |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
Restricted cash balances held by trading counterparties: | |||||||
For securities and loan trading activity | $ | 27,820 | $ | 26,310 | |||
For derivatives trading activity | 133,844 | 218,896 | |||||
As restricted collateral for repurchase agreements and Federal Home Loan Bank advances | 87,717 | 162,759 | |||||
Total restricted cash balances held by trading counterparties | 249,381 | 407,965 | |||||
Restricted cash balance pursuant to letter of credit on office lease | 347 | 347 | |||||
Total | $ | 249,728 | $ | 408,312 |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
Cash and cash equivalents | $ | 651,707 | $ | 406,883 | |||
Restricted cash | 249,728 | 408,312 | |||||
Total cash, cash equivalents and restricted cash | $ | 901,435 | $ | 815,195 |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
Available-for-sale securities: | |||||||
Agency | |||||||
Federal National Mortgage Association | $ | 32,905 | $ | 25,273 | |||
Federal Home Loan Mortgage Corporation | 11,614 | 8,914 | |||||
Government National Mortgage Association | 3,983 | 3,068 | |||||
Non-Agency | 2,700 | 2,705 | |||||
Total available-for-sale securities | 51,202 | 39,960 | |||||
Commercial real estate assets | 4,887 | 3,699 | |||||
Residential mortgage loans held-for-investment in securitization trusts | 17,915 | 18,928 | |||||
Residential mortgage loans held-for-sale | 152 | 164 | |||||
Total | $ | 74,156 | $ | 62,751 |
(in thousands) | June 30, 2017 | |||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||||
Trading instruments | Fair Value | Notional | Fair Value | Notional | ||||||||||||
Inverse interest-only securities | $ | 109,350 | $ | 659,768 | $ | — | $ | — | ||||||||
Interest rate swap agreements | 119,321 | 13,714,719 | (410 | ) | 1,050,000 | |||||||||||
Swaptions, net | 2,949 | 1,850,000 | (815 | ) | 500,000 | |||||||||||
TBAs | 8,060 | 1,340,000 | (463 | ) | 200,000 | |||||||||||
Put and call options for TBAs, net | 522 | 1,390,000 | (892 | ) | 105,000 | |||||||||||
Markit IOS total return swaps | 300 | 68,629 | — | — | ||||||||||||
Total | $ | 240,502 | $ | 19,023,116 | $ | (2,580 | ) | $ | 1,855,000 |
(in thousands) | December 31, 2016 | |||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||||
Trading instruments | Fair Value | Notional | Fair Value | Notional | ||||||||||||
Inverse interest-only securities | $ | 127,843 | $ | 740,844 | $ | — | $ | — | ||||||||
Interest rate swap agreements | 109,531 | 18,471,063 | (495 | ) | 1,900,000 | |||||||||||
Swaptions, net | 39,881 | 825,000 | (1,645 | ) | 600,000 | |||||||||||
TBAs | 4,294 | 536,000 | (10,344 | ) | 953,000 | |||||||||||
Put and call options for TBAs, net | 42,633 | 1,136,000 | — | — | ||||||||||||
Markit IOS total return swaps | — | — | (17 | ) | 90,593 | |||||||||||
Total | $ | 324,182 | $ | 21,708,907 | $ | (12,501 | ) | $ | 3,543,593 |
Trading Instruments | Location of Gain (Loss) Recognized in Income on Derivatives | Amount of Gain (Loss) Recognized in Income on Derivatives | ||||||||||||||||
(in thousands) | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||||
Interest rate risk management | ||||||||||||||||||
TBAs | Loss on other derivative instruments | $ | (15,321 | ) | $ | 1,562 | $ | (28,780 | ) | $ | 26,891 | |||||||
Put and call options for TBAs | Loss on other derivative instruments | (7,822 | ) | (44,052 | ) | (19,062 | ) | (45,033 | ) | |||||||||
Interest rate swap agreements - Payers | Loss on interest rate swap and swaption agreements | (72,873 | ) | (72,132 | ) | (45,145 | ) | (294,035 | ) | |||||||||
Interest rate swap agreements - Receivers | Loss on interest rate swap and swaption agreements | 25,527 | 37,172 | 28,093 | 149,846 | |||||||||||||
Swaptions | Loss on interest rate swap and swaption agreements | (29,364 | ) | 22,252 | (49,731 | ) | 5,997 | |||||||||||
Markit IOS total return swaps | Loss on other derivative instruments | (790 | ) | (13,267 | ) | (687 | ) | (34,991 | ) | |||||||||
Credit risk management | ||||||||||||||||||
Credit default swaps - Receive protection | Loss on other derivative instruments | — | (27 | ) | — | 382 | ||||||||||||
Non-risk management | ||||||||||||||||||
Inverse interest-only securities | Loss on other derivative instruments | 4,393 | 7,733 | 1,125 | 20,715 | |||||||||||||
Forward purchase commitments | Gain on residential mortgage loans held-for-sale | — | 950 | — | 2,348 | |||||||||||||
Total | $ | (96,250 | ) | $ | (59,809 | ) | $ | (114,187 | ) | $ | (167,880 | ) |
Three Months Ended June 30, 2017 | |||||||||||||||||||||||
(in thousands) | Beginning of Period Notional Amount | Additions | Settlement, Termination, Expiration or Exercise | End of Period Notional Amount | Average Notional Amount | Realized Gain (Loss), net (1) | |||||||||||||||||
Inverse interest-only securities | $ | 698,826 | $ | — | $ | (39,058 | ) | $ | 659,768 | $ | 681,216 | $ | — | ||||||||||
Interest rate swap agreements | 18,252,440 | 4,476,986 | (7,964,707 | ) | 14,764,719 | 17,470,672 | (39,626 | ) | |||||||||||||||
Swaptions, net | (3,880,000 | ) | (375,000 | ) | 5,605,000 | 1,350,000 | 1,249,341 | 9,543 | |||||||||||||||
TBAs, net | (993,000 | ) | (1,039,400 | ) | 892,400 | (1,140,000 | ) | (24,728 | ) | (31,021 | ) | ||||||||||||
Put and call options for TBAs, net | 1,770,000 | 1,285,000 | (1,770,000 | ) | 1,285,000 | 96,319 | (14,623 | ) | |||||||||||||||
Markit IOS total return swaps | 87,269 | — | (18,640 | ) | 68,629 | 75,282 | (181 | ) | |||||||||||||||
Total | $ | 15,935,535 | $ | 4,347,586 | $ | (3,295,005 | ) | $ | 16,988,116 | $ | 19,548,102 | $ | (75,908 | ) |
Three Months Ended June 30, 2016 | |||||||||||||||||||||||
(in thousands) | Beginning of Period Notional Amount | Additions | Settlement, Termination, Expiration or Exercise | End of Period Notional Amount | Average Notional Amount | Realized Gain (Loss), net (1) | |||||||||||||||||
Inverse interest-only securities | $ | 882,726 | $ | — | $ | (47,860 | ) | $ | 834,866 | $ | 860,864 | $ | — | ||||||||||
Interest rate swap agreements | 15,425,513 | 5,264,513 | (6,993,026 | ) | 13,697,000 | 14,806,049 | (26,297 | ) | |||||||||||||||
Credit default swaps | 125,000 | — | (100,000 | ) | 25,000 | 112,912 | — | ||||||||||||||||
Swaptions, net | 5,200,000 | 600,000 | (4,000,000 | ) | 1,800,000 | 4,174,725 | (28,819 | ) | |||||||||||||||
TBAs, net | 1,637,000 | 121,000 | (2,095,000 | ) | (337,000 | ) | 189,231 | 12,901 | |||||||||||||||
Put and call options for TBAs, net | 2,000,000 | 8,897,000 | (2,000,000 | ) | 8,897,000 | 3,557,242 | (1,348 | ) | |||||||||||||||
Markit IOS total return swaps | 868,145 | — | (280,108 | ) | 588,037 | 811,749 | 523 | ||||||||||||||||
Forward purchase commitments | 252,212 | 848,791 | (464,536 | ) | 636,467 | 395,617 | 692 | ||||||||||||||||
Total | $ | 26,390,596 | $ | 15,731,304 | $ | (15,980,530 | ) | $ | 26,141,370 | $ | 24,908,389 | $ | (42,348 | ) |
Six Months Ended June 30, 2017 | |||||||||||||||||||||||
(in thousands) | Beginning of Period Notional Amount | Additions | Settlement, Termination, Expiration or Exercise | End of Period Notional Amount | Average Notional Amount | Realized Gain (Loss), net (1) | |||||||||||||||||
Inverse interest-only securities | $ | 740,844 | $ | — | $ | (81,076 | ) | $ | 659,768 | $ | 700,941 | $ | — | ||||||||||
Interest rate swap agreements | 20,371,063 | 13,529,809 | (19,136,153 | ) | 14,764,719 | 18,085,752 | 11,520 | ||||||||||||||||
Swaptions, net | 225,000 | (4,255,000 | ) | 5,380,000 | 1,350,000 | (98,923 | ) | 24,428 | |||||||||||||||
TBAs, net | (1,489,000 | ) | (4,125,400 | ) | 4,474,400 | (1,140,000 | ) | (12,431 | ) | (42,427 | ) | ||||||||||||
Put and call options for TBAs, net | (1,136,000 | ) | 2,555,000 | (134,000 | ) | 1,285,000 | (63,387 | ) | 24,146 | ||||||||||||||
Markit IOS total return swaps | 90,593 | — | (21,964 | ) | 68,629 | 81,686 | (181 | ) | |||||||||||||||
Total | $ | 18,802,500 | $ | 7,704,409 | $ | (9,518,793 | ) | $ | 16,988,116 | $ | 18,693,638 | $ | 17,486 |
Six Months Ended June 30, 2016 | |||||||||||||||||||||||
(in thousands) | Beginning of Period Notional Amount | Additions | Settlement, Termination, Expiration or Exercise | End of Period Notional Amount | Average Notional Amount | Realized Gain (Loss), net (1) | |||||||||||||||||
Inverse interest-only securities | $ | 932,037 | $ | — | $ | (97,171 | ) | $ | 834,866 | $ | 885,121 | $ | — | ||||||||||
Interest rate swap agreements | 14,268,806 | 12,102,026 | (12,673,832 | ) | 13,697,000 | 14,880,324 | 6,302 | ||||||||||||||||
Credit default swaps | 125,000 | 10,000 | (110,000 | ) | 25,000 | 119,670 | 412 | ||||||||||||||||
Swaptions, net | 5,200,000 | 2,600,000 | (6,000,000 | ) | 1,800,000 | 4,695,604 | (30,789 | ) | |||||||||||||||
TBAs, net | 297,000 | 4,436,000 | (5,070,000 | ) | (337,000 | ) | 171,220 | 31,751 | |||||||||||||||
Put and call options for TBAs, net | — | 10,897,000 | (2,000,000 | ) | 8,897,000 | 1,819,830 | (1,348 | ) | |||||||||||||||
Markit IOS total return swaps | 889,418 | — | (301,381 | ) | 588,037 | 843,242 | 523 | ||||||||||||||||
Forward purchase commitments | 286,120 | 1,232,240 | (881,893 | ) | 636,467 | 326,671 | 1,258 | ||||||||||||||||
Total | $ | 21,998,381 | $ | 31,277,266 | $ | (27,134,277 | ) | $ | 26,141,370 | $ | 23,741,682 | $ | 8,109 |
(1) | Excludes net interest paid or received in full settlement of the net interest spread liability. |
As of June 30, 2017 | |||||||||||||||||||
Net Carrying Value (4) | |||||||||||||||||||
(in thousands) | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Derivative Assets | Derivative Liabilities | ||||||||||||||
Purchase contracts | $ | 200,000 | $ | 205,502 | $ | 205,039 | $ | — | $ | (463 | ) | ||||||||
Sale contracts | (1,340,000 | ) | (1,384,492 | ) | (1,376,432 | ) | 8,060 | — | |||||||||||
TBAs, net | $ | (1,140,000 | ) | $ | (1,178,990 | ) | $ | (1,171,393 | ) | $ | 8,060 | $ | (463 | ) |
As of December 31, 2016 | |||||||||||||||||||
Net Carrying Value (4) | |||||||||||||||||||
(in thousands) | Notional Amount (1) | Cost Basis (2) | Market Value (3) | Derivative Assets | Derivative Liabilities | ||||||||||||||
Purchase contracts | $ | 1,500,000 | $ | 1,576,270 | $ | 1,576,875 | $ | 605 | $ | — | |||||||||
Sale contracts | (2,989,000 | ) | (3,028,470 | ) | (3,035,125 | ) | 3,689 | (10,344 | ) | ||||||||||
TBAs, net | $ | (1,489,000 | ) | $ | (1,452,200 | ) | $ | (1,458,250 | ) | $ | 4,294 | $ | (10,344 | ) |
(1) | Notional amount represents the face amount of the underlying Agency RMBS. |
(2) | Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. |
(3) | Market value represents the current market value of the TBA (or of the underlying Agency RMBS) as of period-end. |
(4) | Net carrying value represents the difference between the market value of the TBA as of period-end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the condensed consolidated balance sheets. |
(notional in thousands) | ||||||||||||
June 30, 2017 | ||||||||||||
Swaps Maturities | Notional Amount (1) | Weighted Average Fixed Pay Rate (2) | Weighted Average Receive Rate (2) | Weighted Average Maturity (Years) (2) | ||||||||
2017 | $ | 1,525,000 | 0.771 | % | 1.220 | % | 0.29 | |||||
2018 | 4,320,000 | 1.155 | % | 1.223 | % | 1.00 | ||||||
2019 | 350,000 | 1.283 | % | 1.165 | % | 1.94 | ||||||
2020 | 1,150,000 | 1.463 | % | 1.209 | % | 3.27 | ||||||
2021 and Thereafter | 4,508,000 | 1.699 | % | 1.235 | % | 5.59 | ||||||
Total | $ | 11,853,000 | 1.322 | % | 1.224 | % | 2.72 |
(notional in thousands) | ||||||||||||
December 31, 2016 | ||||||||||||
Swaps Maturities | Notional Amount (1) | Weighted Average Fixed Pay Rate (2) | Weighted Average Receive Rate (2) | Weighted Average Maturity (Years) (2) | ||||||||
2017 | $ | 2,375,000 | 0.765 | % | 0.934 | % | 0.59 | |||||
2018 | 5,340,000 | 1.232 | % | 0.945 | % | 1.59 | ||||||
2019 | 350,000 | 1.283 | % | 0.895 | % | 2.44 | ||||||
2020 | 1,460,000 | 1.481 | % | 0.920 | % | 3.74 | ||||||
2021 and Thereafter | 5,782,063 | 1.984 | % | 0.955 | % | 6.17 | ||||||
Total | $ | 15,307,063 | 1.441 | % | 0.943 | % | 3.24 |
(1) | Notional amount includes $778.0 million and $777.1 million in forward starting interest rate swaps as of June 30, 2017 and December 31, 2016, respectively. |
(2) | Weighted averages exclude forward starting interest rate swaps. As of June 30, 2017 and December 31, 2016, the weighted average fixed pay rate on forward starting interest rate swaps was 2.4% and 2.0%, respectively. |
(notional in thousands) | ||||||||||||
June 30, 2017 | ||||||||||||
Swaps Maturities | Notional Amounts | Weighted Average Pay Rate | Weighted Average Fixed Receive Rate | Weighted Average Maturity (Years) | ||||||||
2020 | $ | 200,000 | 1.171 | % | 1.642 | % | 3.10 | |||||
2021 and Thereafter | 2,711,719 | 1.193 | % | 2.190 | % | 6.44 | ||||||
Total | $ | 2,911,719 | 1.192 | % | 2.152 | % | 6.21 |
(notional in thousands) | ||||||||||||
December 31, 2016 | ||||||||||||
Swaps Maturities | Notional Amounts | Weighted Average Pay Rate | Weighted Average Fixed Receive Rate | Weighted Average Maturity (Years) | ||||||||
2018 | $ | 575,000 | 0.911 | % | 1.440 | % | 1.89 | |||||
2019 | 500,000 | 0.882 | % | 1.042 | % | 2.06 | ||||||
2020 | 510,000 | 0.881 | % | 1.580 | % | 3.59 | ||||||
2021 and Thereafter | 3,479,000 | 0.963 | % | 2.137 | % | 5.52 | ||||||
Total | $ | 5,064,000 | 0.941 | % | 1.894 | % | 4.57 |
June 30, 2017 | |||||||||||||||||||||||||
(notional and dollars in thousands) | Option | Underlying Swap | |||||||||||||||||||||||
Swaption | Expiration | Cost Basis | Fair Value | Average Months to Expiration | Notional Amount | Average Pay Rate | Average Receive Rate | Average Term (Years) | |||||||||||||||||
Purchase contracts: | |||||||||||||||||||||||||
Payer | < 6 Months | $ | 43,732 | $ | 7,698 | 2.85 | $ | 5,025,000 | 2.35 | % | 3M Libor | 6.2 | |||||||||||||
Total Payer | $ | 43,732 | $ | 7,698 | 2.85 | $ | 5,025,000 | 2.35 | % | 3M Libor | 6.2 | ||||||||||||||
Receiver | < 6 Months | $ | 2,685 | $ | 2,144 | 3.23 | $ | 2,000,000 | 3M Libor | 1.78 | % | 8.5 | |||||||||||||
Receiver | ≥ 6 Months | — | 5,924 | 10.80 | 250,000 | 3M Libor | 2.35 | % | 10.0 | ||||||||||||||||
Total Receiver | $ | 2,685 | $ | 8,068 | 7.56 | $ | 2,250,000 | 3M Libor | 1.84 | % | 8.7 | ||||||||||||||
Sale contracts: | |||||||||||||||||||||||||
Payer | < 6 Months | $ | (35,543 | ) | $ | (915 | ) | 3.22 | $ | (2,300,000 | ) | 2.92 | % | 3M Libor | 8.7 | ||||||||||
Total Payer | $ | (35,543 | ) | $ | (915 | ) | 3.22 | $ | (2,300,000 | ) | 2.92 | % | 3M Libor | 8.7 | |||||||||||
Receiver | < 6 Months | $ | (9,650 | ) | $ | (6,191 | ) | 2.37 | $ | (3,000,000 | ) | 3M Libor | 2.02 | % | 10.0 | ||||||||||
Receiver | ≥ 6 Months | (1,400 | ) | (6,526 | ) | 10.80 | (625,000 | ) | 3M Libor | 1.95 | % | 10.0 | |||||||||||||
Total Receiver | $ | (11,050 | ) | $ | (12,717 | ) | 4.91 | $ | (3,625,000 | ) | 3M Libor | 2.00 | % | 10.0 |
December 31, 2016 | |||||||||||||||||||||||||
(notional and dollars in thousands) | Option | Underlying Swap | |||||||||||||||||||||||
Swaption | Expiration | Cost | Fair Value | Average Months to Expiration | Notional Amount | Average Fixed Pay Rate | Average Receive Rate | Average Term (Years) | |||||||||||||||||
Purchase contracts: | |||||||||||||||||||||||||
Payer | < 6 Months | $ | 29,360 | $ | 42,149 | 1.22 | $ | 4,500,000 | 2.16 | % | 3M Libor | 4.8 | |||||||||||||
Payer | ≥ 6 Months | 13,655 | 792 | 6.70 | 300,000 | 3.50 | % | 3M Libor | 10.0 | ||||||||||||||||
Total Payer | $ | 43,015 | $ | 42,941 | 1.23 | $ | 4,800,000 | 2.24 | % | 3M Libor | 5.1 | ||||||||||||||
Sale contracts: | |||||||||||||||||||||||||
Payer | < 6 Months | $ | (51,355 | ) | $ | (1,414 | ) | 5.81 | $ | (500,000 | ) | 3.40 | % | 3M Libor | 10.0 | ||||||||||
Payer | ≥ 6 Months | (29,893 | ) | (938 | ) | 6.77 | (300,000 | ) | 3.50 | % | 3M Libor | 10.0 | |||||||||||||
Total Payer | $ | (81,248 | ) | $ | (2,352 | ) | 6.05 | $ | (800,000 | ) | 3.44 | % | 3M Libor | 10.0 | |||||||||||
Receiver | < 6 Months | $ | — | $ | (2,353 | ) | 2.30 | $ | (3,775,000 | ) | 3M Libor | 1.19 | % | 4.9 | |||||||||||
Total Receiver | $ | — | $ | (2,353 | ) | 2.30 | $ | (3,775,000 | ) | 3M Libor | 1.19 | % | 4.9 |
(notional and dollars in thousands) | ||||||||||||||||
June 30, 2017 | ||||||||||||||||
Maturity Date | Current Notional Amount | Fair Value | Cost Basis | Unrealized Gain (Loss) | ||||||||||||
January 12, 2043 | $ | (26,309 | ) | $ | 95 | $ | (201 | ) | $ | (106 | ) | |||||
January 12, 2044 | (42,320 | ) | 205 | (366 | ) | (161 | ) | |||||||||
Total | $ | (68,629 | ) | $ | 300 | $ | (567 | ) | $ | (267 | ) |
(notional and dollars in thousands) | ||||||||||||||||
December 31, 2016 | ||||||||||||||||
Maturity Date | Current Notional Amount | Fair Value | Cost Basis | Unrealized Gain (Loss) | ||||||||||||
January 12, 2043 | $ | (45,083 | ) | $ | (5 | ) | $ | (320 | ) | $ | (325 | ) | ||||
January 12, 2044 | (45,510 | ) | (12 | ) | (366 | ) | (378 | ) | ||||||||
Total | $ | (90,593 | ) | $ | (17 | ) | $ | (686 | ) | $ | (703 | ) |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
Face Value | $ | 659,768 | $ | 740,844 | |||
Unamortized premium | — | — | |||||
Unamortized discount | |||||||
Designated credit reserve | — | — | |||||
Net, unamortized | (562,240 | ) | (631,082 | ) | |||
Amortized Cost | 97,528 | 109,762 | |||||
Gross unrealized gains | 12,085 | 18,389 | |||||
Gross unrealized losses | (1,282 | ) | (1,552 | ) | |||
Market Value | $ | 108,331 | $ | 126,599 |
(in thousands) | June 30, 2017 | December 31, 2016 | ||||||
Property and equipment at cost | $ | 6,737 | $ | 6,481 | ||||
Accumulated depreciation (1) | (5,116 | ) | (4,566 | ) | ||||
Net property and equipment | 1,621 | 1,915 | ||||||
Prepaid expenses | 1,906 | 1,406 | ||||||
Income taxes receivable | 1,455 | 1,532 | ||||||
Deferred tax assets, net | 49,147 | (2) | 57,361 | |||||
Servicing advances | 21,116 | 26,147 | ||||||
Federal Home Loan Bank stock | 134,776 | 167,856 | ||||||
Equity investments | 3,000 | 3,000 | ||||||
Other receivables | 51,461 | 43,653 | ||||||
Total other assets | $ | 264,482 | $ | 302,870 |
(1) | Depreciation expense for the three and six months ended June 30, 2017 was $0.3 million and $0.5 million, respectively. |
(2) | Net of valuation allowance of $4.3 million. |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
Accrued expenses | $ | 30,261 | $ | 28,944 | |||
Accrued interest payable | 55,678 | 29,505 | |||||
Income taxes payable | 51 | — | |||||
Other | 18,213 | 21,127 | |||||
Total other liabilities | $ | 104,203 | $ | 79,576 |
Level 1 | Inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity. |
Level 2 | Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities. |
Level 3 | Unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies, or similar techniques that require significant judgment or estimation. |
Recurring Fair Value Measurements | |||||||||||||||
At June 30, 2017 | |||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Assets | |||||||||||||||
Available-for-sale securities | $ | — | $ | 16,427,710 | $ | — | $ | 16,427,710 | |||||||
Mortgage servicing rights | — | — | 898,025 | 898,025 | |||||||||||
Residential mortgage loans held-for-investment in securitization trusts | — | 3,120,410 | — | 3,120,410 | |||||||||||
Residential mortgage loans held-for-sale | — | 486 | 31,460 | 31,946 | |||||||||||
Derivative assets | 8,060 | 232,442 | — | 240,502 | |||||||||||
Total assets | $ | 8,060 | $ | 19,781,048 | $ | 929,485 | $ | 20,718,593 | |||||||
Liabilities | |||||||||||||||
Collateralized borrowings in securitization trusts | $ | — | $ | 2,880,301 | $ | — | $ | 2,880,301 | |||||||
Derivative liabilities | 463 | 2,117 | — | 2,580 | |||||||||||
Total liabilities | $ | 463 | $ | 2,882,418 | $ | — | $ | 2,882,881 |
Recurring Fair Value Measurements | |||||||||||||||
At December 31, 2016 | |||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Assets | |||||||||||||||
Available-for-sale securities | $ | — | $ | 13,128,857 | $ | — | $ | 13,128,857 | |||||||
Mortgage servicing rights | — | — | 693,815 | 693,815 | |||||||||||
Residential mortgage loans held-for-investment in securitization trusts | — | 3,271,317 | — | 3,271,317 | |||||||||||
Residential mortgage loans held-for-sale | — | 925 | 39,221 | 40,146 | |||||||||||
Derivative assets | 4,294 | 319,888 | — | 324,182 | |||||||||||
Total assets | $ | 4,294 | $ | 16,720,987 | $ | 733,036 | $ | 17,458,317 | |||||||
Liabilities | |||||||||||||||
Collateralized borrowings in securitization trusts | $ | — | $ | 3,037,196 | $ | — | $ | 3,037,196 | |||||||
Derivative liabilities | 10,344 | 2,157 | — | 12,501 | |||||||||||
Total liabilities | $ | 10,344 | $ | 3,039,353 | $ | — | $ | 3,049,697 |
Level 3 Recurring Fair Value Measurements | ||||||||||||||||
Three Months Ended | Six Months Ended | |||||||||||||||
June 30, 2017 | June 30, 2017 | |||||||||||||||
(in thousands) | Mortgage Servicing Rights | Residential Mortgage Loans Held-For-Sale | Mortgage Servicing Rights | Residential Mortgage Loans Held-For-Sale | ||||||||||||
Beginning of period level 3 fair value | $ | 747,580 | $ | 32,199 | $ | 693,815 | $ | 39,221 | ||||||||
Gains (losses) included in net income (loss): | ||||||||||||||||
Realized gains (losses) | (20,519 | ) | 208 | (38,266 | ) | 1,688 | ||||||||||
Unrealized (losses) gains | (26,111 | ) | (1) | 135 | (3) | (22,929 | ) | (1) | 162 | (3) | ||||||
Total gains (losses) included in net income (loss) | (46,630 | ) | 343 | (61,195 | ) | 1,850 | ||||||||||
Purchases | 196,920 | 132 | 273,896 | 569 | ||||||||||||
Sales | (378 | ) | — | (628 | ) | (3,717 | ) | |||||||||
Settlements | 533 | (1,214 | ) | (7,863 | ) | (6,463 | ) | |||||||||
Gross transfers into level 3 | — | — | — | — | ||||||||||||
Gross transfers out of level 3 | — | — | — | — | ||||||||||||
End of period level 3 fair value | $ | 898,025 | $ | 31,460 | $ | 898,025 | $ | 31,460 | ||||||||
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | $ | (26,579 | ) | (2) | $ | 124 | (4) | $ | (23,398 | ) | (2) | $ | 428 | (4) |
(1) | The change in unrealized gains or losses on MSR was recorded in loss on servicing asset on the condensed consolidated statements of comprehensive income. |
(2) | The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in loss on servicing asset on the condensed consolidated statements of comprehensive income. |
(3) | The change in unrealized gains or losses on residential mortgage loans held-for-sale was recorded in gain on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income. |
(4) | The change in unrealized gains or losses on residential mortgage loans held-for-sale that were held at the end of the reporting period was recorded in gain on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income. |
As of June 30, 2017 | |||||||||
Valuation Technique | Unobservable Input (1) | Range | Weighted Average | ||||||
Discounted cash flow | Constant prepayment speed | 8.6 | - | 11.5 | % | 10.0% | |||
Delinquency | 1.2 | - | 1.8 | % | 1.5% | ||||
Discount rate | 8.6 | - | 11.3 | % | 10.0% |
(1) | Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. A change in the assumption used for discount rates may be accompanied by a directionally similar change in the assumption used for the probability of delinquency and a directionally opposite change in the assumption used for prepayment rates. |
Three Months Ended June 30, 2017 | |||||||||||||||||||||||||
(in thousands) | Interest income (expense) | Gain (loss) on investment securities | Gain on residential mortgage loans held-for-sale | Other income (loss) | Total included in net income (loss) | Change in fair value due to credit risk | |||||||||||||||||||
Assets | |||||||||||||||||||||||||
Available-for-sale securities | $ | (1,578 | ) | $ | 2,365 | $ | — | $ | — | $ | 787 | N/A | |||||||||||||
Residential mortgage loans held-for-investment in securitization trusts | 30,826 | (1) | — | — | 17,860 | 48,686 | $ | — | (2) | ||||||||||||||||
Residential mortgage loans held-for-sale | 503 | (1) | — | 333 | — | 836 | (1,292 | ) | (3) | ||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Collateralized borrowings in securitization trusts | (24,843 | ) | — | — | (16,467 | ) | (41,310 | ) | — | (2) | |||||||||||||||
Total | $ | 4,908 | $ | 2,365 | $ | 333 | $ | 1,393 | $ | 8,999 | $ | (1,292 | ) |
Three Months Ended June 30, 2016 | |||||||||||||||||||||||||
(in thousands) | Interest income (expense) | Gain (loss) on investment securities | Gain on residential mortgage loans held-for-sale | Other income (loss) | Total included in net income (loss) | Change in fair value due to credit risk | |||||||||||||||||||
Assets | |||||||||||||||||||||||||
Available-for-sale securities | $ | 116 | $ | (1,290 | ) | $ | — | $ | — | $ | (1,174 | ) | N/A | ||||||||||||
Residential mortgage loans held-for-investment in securitization trusts | 34,499 | (1) | — | — | 15,553 | 50,052 | $ | — | (2) | ||||||||||||||||
Residential mortgage loans held-for-sale | 4,960 | (1) | — | 7,476 | — | 12,436 | (46 | ) | (3) | ||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Collateralized borrowings in securitization trusts | (25,184 | ) | — | — | (26,478 | ) | (51,662 | ) | — | (2) | |||||||||||||||
Total | $ | 14,391 | $ | (1,290 | ) | $ | 7,476 | $ | (10,925 | ) | $ | 9,652 | $ | (46 | ) |
Six Months Ended June 30, 2017 | |||||||||||||||||||||||||
(in thousands) | Interest income (expense) | Gain (loss) on investment securities | Gain on residential mortgage loans held-for-sale | Other income (loss) | Total included in net income (loss) | Change in fair value due to credit risk | |||||||||||||||||||
Assets | |||||||||||||||||||||||||
Available-for-sale securities | $ | (3,282 | ) | $ | 4,367 | $ | — | $ | — | $ | 1,085 | N/A | |||||||||||||
Residential mortgage loans held-for-investment in securitization trusts | 62,454 | (1) | — | — | 30,899 | 93,353 | $ | — | (2) | ||||||||||||||||
Residential mortgage loans held-for-sale | 901 | (1) | — | 1,794 | — | 2,695 | $ | (881 | ) | (3) | |||||||||||||||
Liabilities | |||||||||||||||||||||||||
Collateralized borrowings in securitization trusts | (50,229 | ) | — | — | (22,822 | ) | (73,051 | ) | — | (2) | |||||||||||||||
Total | $ | 9,844 | $ | 4,367 | $ | 1,794 | $ | 8,077 | $ | 24,082 | $ | (881 | ) |
Six Months Ended June 30, 2016 | |||||||||||||||||||||||||
(in thousands) | Interest income (expense) | Gain (loss) on investment securities | Gain on residential mortgage loans held-for-sale | Other income (loss) | Total included in net income (loss) | Change in fair value due to credit risk | |||||||||||||||||||
Assets | |||||||||||||||||||||||||
Available-for-sale securities | $ | 117 | $ | (1,274 | ) | $ | — | $ | — | $ | (1,157 | ) | N/A | ||||||||||||
Residential mortgage loans held-for-investment in securitization trusts | 67,270 | (1) | — | — | 39,109 | 106,379 | $ | — | (2) | ||||||||||||||||
Residential mortgage loans held-for-sale | 12,162 | (1) | — | 17,447 | — | 29,609 | 64 | (3) | |||||||||||||||||
Liabilities | |||||||||||||||||||||||||
Collateralized borrowings in securitization trusts | (44,543 | ) | — | — | (48,550 | ) | (93,093 | ) | — | (2) | |||||||||||||||
Total | $ | 35,006 | $ | (1,274 | ) | $ | 17,447 | $ | (9,441 | ) | $ | 41,738 | $ | 64 |
(1) | Interest income on residential mortgage loans held-for-sale and residential mortgage loans held-for-investment in securitization trusts is measured by multiplying the unpaid principal balance on the loans by the coupon rate and the number of days of interest due. |
(2) | The change in fair value on residential mortgage loans held-for-investment in securitization trusts and collateralized borrowings in securitization trusts was due entirely to changes in market interest rates. |
(3) | The change in fair value due to credit risk on residential mortgage loans held-for-sale was quantified by holding yield constant in the cash flow model in order to isolate credit risk component. |
June 30, 2017 | December 31, 2016 | ||||||||||||||
(in thousands) | Unpaid Principal Balance | Fair Value (1) | Unpaid Principal Balance | Fair Value (1) | |||||||||||
Residential mortgage loans held-for-investment in securitization trusts | |||||||||||||||
Total loans | $ | 3,052,238 | $ | 3,120,410 | $ | 3,234,044 | $ | 3,271,317 | |||||||
Nonaccrual loans | $ | 3,322 | $ | 3,392 | $ | 2,373 | $ | 2,408 | |||||||
Loans 90+ days past due | $ | 2,078 | $ | 2,123 | $ | 1,401 | $ | 1,419 | |||||||
Residential mortgage loans held-for-sale | |||||||||||||||
Total loans | $ | 39,941 | $ | 31,946 | $ | 49,986 | $ | 40,146 | |||||||
Nonaccrual loans | $ | 16,410 | $ | 13,661 | $ | 25,445 | $ | 21,162 | |||||||
Loans 90+ days past due | $ | 13,996 | $ | 11,566 | $ | 21,759 | $ | 18,203 | |||||||
Collateralized borrowings in securitization trusts | |||||||||||||||
Total borrowings | $ | 2,835,445 | $ | 2,880,301 | $ | 3,015,162 | $ | 3,037,196 |
(1) | Excludes accrued interest receivable. |
• | AFS securities, residential mortgage loans held-for-sale, residential mortgage loans held-for-investment in securitization trusts, MSR, derivative assets and liabilities, and collateralized borrowings in securitization trusts are recurring fair value measurements; carrying value equals fair value. See discussion of valuation methods and assumptions within the Fair Value Measurements section of this Note 14. |
• | Commercial real estate assets are carried at cost, net of any unamortized acquisition premiums or discounts, loan fees and origination costs as applicable, unless deemed impaired. The Company estimates the fair value of its commercial real estate assets by assessing any changes in market interest rates, shifts in credit profiles and actual operating results for mezzanine commercial real estate loans and commercial real estate first mortgages, taking into consideration such factors as underlying property type, property competitive position within its market, market and submarket fundamentals, tenant mix, nature of business plan, sponsorship, extent of leverage and other loan terms. The Company categorizes the fair value measurement of these assets as Level 3. |
• | Cash and cash equivalents and restricted cash have a carrying value which approximates fair value because of the short maturities of these instruments. The Company categorizes the fair value measurement of these assets as Level 1. |
• | As a condition to membership in the FHLB, the Company is required to purchase and hold a certain amount of FHLB stock, which is considered a non-marketable, long-term investment, and is carried at cost. Because this stock can only be redeemed or sold at its par value, and only to the FHLB, carrying value, or cost, approximates fair value. The Company categorizes the fair value measurement of these assets as Level 3. |
• | Equity investments include cost method investments for which fair value is not estimated. Carrying value, or cost, approximates fair value. The Company categorizes the fair value measurement of these assets as Level 3. |
• | The carrying value of repurchase agreements, FHLB advances and revolving credit facilities that mature in less than one year generally approximates fair value due to the short maturities. As of June 30, 2017, the Company held $547.4 million of repurchase agreements and $3.2 billion of FHLB advances that are considered long-term. The Company’s long-term repurchase agreements and FHLB advances have floating rates based on an index plus a spread and, for members of the FHLB, the credit spread is typically consistent with those demanded in the market. Accordingly, the interest rates on these borrowings are at market and thus carrying value approximates fair value. The Company categorizes the fair value measurement of these liabilities as Level 2. |
• | Convertible senior notes are carried at their unpaid principal balance, net of any unamortized deferred issuance costs. The Company estimates the fair value of its convertible senior notes using the market transaction price on June 30, 2017. The Company categorizes the fair value measurement of these assets as Level 2. |
June 30, 2017 | December 31, 2016 | ||||||||||||||
(in thousands) | Carrying Value | Fair Value | Carrying Value | Fair Value | |||||||||||
Assets | |||||||||||||||
Available-for-sale securities | $ | 16,427,710 | $ | 16,427,710 | $ | 13,128,857 | $ | 13,128,857 | |||||||
Commercial real estate assets | $ | 1,782,749 | $ | 1,796,033 | $ | 1,412,543 | $ | 1,411,733 | |||||||
Mortgage servicing rights | $ | 898,025 | $ | 898,025 | $ | 693,815 | $ | 693,815 | |||||||
Residential mortgage loans held-for-investment in securitization trusts | $ | 3,120,410 | $ | 3,120,410 | $ | 3,271,317 | $ | 3,271,317 | |||||||
Residential mortgage loans held-for-sale | $ | 31,946 | $ | 31,946 | $ | 40,146 | $ | 40,146 | |||||||
Cash and cash equivalents | $ | 651,707 | $ | 651,707 | $ | 406,883 | $ | 406,883 | |||||||
Restricted cash | $ | 249,728 | $ | 249,728 | $ | 408,312 | $ | 408,312 | |||||||
Derivative assets | $ | 240,502 | $ | 240,502 | $ | 324,182 | $ | 324,182 | |||||||
Federal Home Loan Bank stock | $ | 134,776 | $ | 134,776 | $ | 167,856 | $ | 167,856 | |||||||
Equity investments | $ | 3,000 | $ | 3,000 | $ | 3,000 | $ | 3,000 | |||||||
Liabilities | |||||||||||||||
Repurchase agreements | $ | 13,316,881 | $ | 13,316,881 | $ | 9,316,351 | $ | 9,316,351 | |||||||
Collateralized borrowings in securitization trusts | $ | 2,880,301 | $ | 2,880,301 | $ | 3,037,196 | $ | 3,037,196 | |||||||
Federal Home Loan Bank advances | $ | 3,238,762 | $ | 3,238,762 | $ | 4,000,000 | $ | 4,000,000 | |||||||
Revolving credit facilities | $ | 40,000 | $ | 40,000 | $ | 70,000 | $ | 70,000 | |||||||
Convertible senior notes | $ | 282,290 | $ | 303,689 | $ | — | $ | — | |||||||
Derivative liabilities | $ | 2,580 | $ | 2,580 | $ | 12,501 | $ | 12,501 |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
Short-term | $ | 12,769,515 | $ | 9,130,717 | |||
Long-term | 547,366 | 185,634 | |||||
Total | $ | 13,316,881 | $ | 9,316,351 |
June 30, 2017 | |||||||||||||||||||
Collateral Type | |||||||||||||||||||
(in thousands) | Agency RMBS | Non-Agency RMBS (1) | Agency Derivatives | Commercial Real Estate Assets | Total Amount Outstanding | ||||||||||||||
Within 30 days | $ | 2,773,991 | $ | 619,186 | $ | 25,450 | $ | — | $ | 3,418,627 | |||||||||
30 to 59 days | 2,822,043 | 363,976 | 54,681 | 26,301 | 3,267,001 | ||||||||||||||
60 to 89 days | 2,086,688 | 161,544 | 2,711 | — | 2,250,943 | ||||||||||||||
90 to 119 days | 2,036,674 | 317,846 | — | — | 2,354,520 | ||||||||||||||
120 to 364 days | 1,219,178 | 200,934 | — | 58,312 | 1,478,424 | ||||||||||||||
One year and over | — | — | — | 547,366 | 547,366 | ||||||||||||||
Total | $ | 10,938,574 | $ | 1,663,486 | $ | 82,842 | $ | 631,979 | $ | 13,316,881 | |||||||||
Weighted average borrowing rate | 1.23 | % | 2.88 | % | 2.01 | % | 3.62 | % | 1.56 | % |
December 31, 2016 | |||||||||||||||||||
Collateral Type | |||||||||||||||||||
(in thousands) | Agency RMBS | Non-Agency RMBS (1) | Agency Derivatives | Commercial Real Estate Assets | Total Amount Outstanding | ||||||||||||||
Within 30 days | $ | 2,511,773 | $ | 688,667 | $ | 30,672 | $ | 21,933 | $ | 3,253,045 | |||||||||
30 to 59 days | 1,786,664 | 334,590 | 68,257 | 28,991 | 2,218,502 | ||||||||||||||
60 to 89 days | 1,035,806 | 89,281 | 3,307 | — | 1,128,394 | ||||||||||||||
90 to 119 days | 1,192,127 | 251,929 | — | — | 1,444,056 | ||||||||||||||
120 to 364 days | 810,552 | 69,678 | — | 206,490 | 1,086,720 | ||||||||||||||
One year and over | — | — | — | 185,634 | 185,634 | ||||||||||||||
Total | $ | 7,336,922 | $ | 1,434,145 | $ | 102,236 | $ | 443,048 | $ | 9,316,351 | |||||||||
Weighted average borrowing rate | 0.94 | % | 2.60 | % | 1.69 | % | 3.16 | % | 1.31 | % |
(1) | Includes repurchase agreements collateralized by retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
Available-for-sale securities, at fair value | $ | 13,639,148 | $ | 9,540,849 | |||
Commercial real estate assets | 882,978 | 648,885 | |||||
Net economic interests in consolidated securitization trusts (1) | 219,379 | 211,095 | |||||
Cash and cash equivalents | 13,346 | 15,000 | |||||
Restricted cash | 87,717 | 162,759 | |||||
Due from counterparties | 17,914 | 48,939 | |||||
Derivative assets, at fair value | 108,211 | 126,341 | |||||
Total | $ | 14,968,693 | $ | 10,753,868 |
(1) | Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. |
June 30, 2017 | December 31, 2016 | ||||||||||||||||||||||||
(dollars in thousands) | Amount Outstanding | Net Counterparty Exposure (1) | Percent of Equity | Weighted Average Days to Maturity | Amount Outstanding | Net Counterparty Exposure (1) | Percent of Equity | Weighted Average Days to Maturity | |||||||||||||||||
Barclays Capital Inc. | $ | 1,362,780 | $ | 254,533 | 7 | % | 74 | $ | 292,086 | $ | 164,315 | 5 | % | 26 | |||||||||||
All other counterparties (2) | 11,954,101 | 1,387,091 | 37 | % | 100 | 9,024,265 | 1,271,086 | 37 | % | 79 | |||||||||||||||
Total | $ | 13,316,881 | $ | 1,641,624 | $ | 9,316,351 | $ | 1,435,401 |
(1) | Represents the net carrying value of the securities, residential mortgage loans held-for-sale and commercial real estate assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest. Payables due to broker counterparties for unsettled securities purchases are not included in the amounts presented above. However, at both June 30, 2017 and December 31, 2016, the Company did not have any such payables. |
(2) | Represents amounts outstanding with 24 and 22 counterparties at June 30, 2017 and December 31, 2016, respectively. |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
≤ 1 year | $ | — | $ | 651,238 | |||
> 1 and ≤ 3 years | 815,024 | 815,024 | |||||
> 3 and ≤ 5 years | — | — | |||||
> 5 and ≤ 10 years | — | — | |||||
> 10 years | 2,423,738 | 2,533,738 | |||||
Total | $ | 3,238,762 | $ | 4,000,000 |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
Available-for-sale securities, at fair value | $ | 2,749,720 | $ | 3,576,481 | |||
Commercial real estate assets | 720,273 | 708,989 | |||||
Net economic interests in consolidated securitization trusts (1) | 2,036 | 2,015 | |||||
Total | $ | 3,472,029 | $ | 4,287,485 |
(1) | Includes the retained interests from the Company’s on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. |
Declaration Date | Record Date | Payment Date | Cash Dividend Per Common Share | |||||
June 15, 2017 | June 30, 2017 | July 27, 2017 | $ | 0.26 | ||||
March 14, 2017 | March 31, 2017 | April 27, 2017 | $ | 0.25 | ||||
December 15, 2016 | December 30, 2016 | January 27, 2017 | $ | 0.24 | ||||
September 15, 2016 | September 30, 2016 | October 20, 2016 | $ | 0.23 | ||||
June 16, 2016 | June 30, 2016 | July 20, 2016 | $ | 0.23 |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
Available-for-sale securities | |||||||
Unrealized gains | $ | 463,155 | $ | 393,555 | |||
Unrealized losses | (108,538 | ) | (194,328 | ) | |||
Accumulated other comprehensive income | $ | 354,617 | $ | 199,227 |
Affected Line Item in the Condensed Consolidated Statements of Comprehensive Income | Amount Reclassified out of Accumulated Other Comprehensive Income | |||||||||||||||||
(in thousands) | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||||
Other-than-temporary impairments on AFS securities | Total other-than-temporary impairment losses | $ | 429 | $ | 90 | $ | 429 | $ | 807 | |||||||||
Realized gains on sales of certain AFS securities, net of tax | Gain (loss) on investment securities | (6,147 | ) | (5,130 | ) | 3,166 | (24,256 | ) | ||||||||||
Total | $ | (5,718 | ) | $ | (5,040 | ) | $ | 3,595 | $ | (23,449 | ) |
Six Months Ended June 30, | |||||||||||||
2017 | 2016 | ||||||||||||
Shares | Weighted Average Grant Date Fair Market Value | Shares | Weighted Average Grant Date Fair Market Value | ||||||||||
Outstanding at Beginning of Period | 2,639,424 | $ | 8.55 | 2,290,609 | $ | 10.36 | |||||||
Granted | 1,343,689 | 8.80 | 1,759,737 | 7.38 | |||||||||
Vested | (1,290,649 | ) | (8.95 | ) | (1,109,015 | ) | (10.33 | ) | |||||
Forfeited | (34,138 | ) | (9.02 | ) | (41,175 | ) | (8.77 | ) | |||||
Outstanding at End of Period | 2,658,326 | $ | 8.48 | 2,900,156 | $ | 8.59 |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
(in thousands, except share data) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Numerator: | |||||||||||||||
Net income (loss) | $ | 8,658 | $ | (16,981 | ) | $ | 80,643 | $ | (105,911 | ) | |||||
Net income attributable to noncontrolling interest | 40 | — | 40 | — | |||||||||||
Net income (loss) attributable to Two Harbors Investment Corp. | 8,618 | (16,981 | ) | 80,603 | (105,911 | ) | |||||||||
Dividends on preferred stock | 4,285 | — | 4,285 | — | |||||||||||
Net income (loss) attributable to common stockholders | $ | 4,333 | $ | (16,981 | ) | $ | 76,318 | $ | (105,911 | ) | |||||
Denominator: | |||||||||||||||
Weighted average common shares outstanding | 346,149,870 | 344,336,995 | 345,902,838 | 345,267,094 | |||||||||||
Weighted average restricted stock shares | 2,796,465 | 3,260,960 | 2,853,351 | 3,249,891 | |||||||||||
Basic and diluted weighted average shares outstanding | 348,946,335 | 347,597,955 | 348,756,189 | 348,516,985 | |||||||||||
Basic and Diluted Earnings (Loss) Per Share | $ | 0.01 | $ | (0.05 | ) | $ | 0.22 | $ | (0.30 | ) |
• | Agency RMBS (which includes inverse interest-only Agency securities classified as “Agency Derivatives” for purposes of U.S. generally accepted accounting principles, or U.S. GAAP), meaning RMBS whose principal and interest payments are guaranteed by the Government National Mortgage Association (or Ginnie Mae), the Federal National Mortgage Association (or Fannie Mae), or the Federal Home Loan Mortgage Corporation (or Freddie Mac), or collectively, the government sponsored entities, or GSEs; |
• | Non-Agency RMBS, meaning RMBS that are not issued or guaranteed by Ginnie Mae, Fannie Mae or Freddie Mac; |
• | MSR; and |
• | Other financial assets comprising approximately 5% to 10% of the portfolio. |
As of | |||||||||
June 30, 2017 | March 31, 2017 | December 31, 2016 | September 30, 2016 | June 30, 2016 | |||||
Rates strategy | 54% | 58% | 58% | 54% | 56% | ||||
Credit strategy | 28% | 27% | 27% | 31% | 31% | ||||
Commercial strategy (1) | 18% | 15% | 15% | 15% | 13% |
(1) | Represents capital allocated to our controlling interest in Granite Point’s commercial strategy. |
Three Months Ended | |||||||||
June 30, 2017 | March 31, 2017 | December 31, 2016 | September 30, 2016 | June 30, 2016 | |||||
Average annualized portfolio yield (1) | 3.96% | 3.99% | 3.54% | 3.50% | 3.77% | ||||
Cost of financing (2) | 1.60% | 1.52% | 1.17% | 1.08% | 1.18% | ||||
Net portfolio yield | 2.36% | 2.47% | 2.37% | 2.42% | 2.59% |
(1) | Average annualized yield incorporates future prepayment, credit loss and other assumptions, all of which are estimates and subject to change. |
(2) | Cost of financing includes swap interest rate spread. |
• | changes in interest rates and the market value of our target assets; |
• | changes in prepayment rates of mortgages underlying our target assets; |
• | the occurrence, extent and timing of credit losses within our portfolio; |
• | our exposure to adjustable-rate and negative amortization mortgage loans underlying our target assets; |
• | the state of the credit markets and other general economic conditions, particularly as they affect the price of earning assets and the credit status of borrowers; |
• | the concentration of the credit risks to which we are exposed; |
• | legislative and regulatory actions affecting our business; |
• | the availability and cost of our target assets; |
• | the availability and cost of financing for our target assets, including repurchase agreement financing, lines of credit, revolving credit facilities and financing through the FHLB; |
• | declines in home prices; |
• | increases in payment delinquencies and defaults on the mortgages comprising and underlying our target assets; |
• | changes in liquidity in the market for real estate securities, the re-pricing of credit risk in the capital markets, inaccurate ratings of securities by rating agencies, rating agency downgrades of securities, and increases in the supply of real estate securities available-for-sale; |
• | changes in the values of securities we own and the impact of adjustments reflecting those changes on our condensed consolidated statements of comprehensive income and balance sheets, including our stockholders’ equity; |
• | our ability to generate cash flow from our target assets; |
• | our ability to effectively execute and realize the benefits of strategic transactions and initiatives we have pursued or may in the future pursue; |
• | changes in the competitive landscape within our industry, including changes that may affect our ability to attract and retain personnel; |
• | our exposure to legal and regulatory claims, penalties or enforcement activities, including those arising from our involvement in securitization transactions and ownership and management of MSR; |
• | our exposure to counterparties involved in our MSR business, as well as our legacy mortgage loan conduit business, and our ability to enforce representations and warranties made by them; |
• | our ability to acquire MSR and successfully operate our seller-servicer subsidiary and oversee the activities of our subservicers; |
• | the state of commercial real estate markets, including the demand for commercial loans; |
• | our decision to contribute our portfolio of commercial real estate assets to Granite Point and our anticipated distribution of Granite Point shares to the holders of our common stock after the expiration of a 120 day lock-up period; |
• | the timing of our special pro rata dividend of common stock of Granite Point to our common stockholders; |
• | our ability to successfully diversify our business into new asset classes, and manage the new risks to which they may expose us; |
• | our ability to manage various operational and regulatory risks associated with our business; |
• | interruptions in or impairments to our communications and information technology systems; |
• | our ability to maintain appropriate internal controls over financial reporting; |
• | our ability to establish, adjust and maintain appropriate hedges for the risks in our portfolio; |
• | our ability to maintain our REIT qualification for U.S. federal income tax purposes; and |
• | limitations imposed on our business due to our REIT status and our status as exempt from registration under the 1940 Act. |
(dollars in thousands) | June 30, 2017 | December 31, 2016 | |||||||||||
Agency | |||||||||||||
Fixed Rate | $ | 14,144,533 | 85.5 | % | $ | 11,196,011 | 84.5 | % | |||||
Hybrid ARM | 26,735 | 0.2 | % | 30,463 | 0.2 | % | |||||||
Total Agency | 14,171,268 | 85.7 | % | 11,226,474 | 84.7 | % | |||||||
Agency Derivatives | 108,331 | 0.7 | % | 126,599 | 1.0 | % | |||||||
Non-Agency | |||||||||||||
Senior | 1,418,375 | 8.6 | % | 1,210,462 | 9.1 | % | |||||||
Mezzanine | 832,172 | 5.0 | % | 687,644 | 5.2 | % | |||||||
Interest-only securities | 5,895 | — | % | 4,277 | — | % | |||||||
Total Non-Agency | 2,256,442 | 13.6 | % | 1,902,383 | 14.4 | % | |||||||
Total | $ | 16,536,041 | $ | 13,255,456 |
Three Months Ended | ||||||||||||
Agency RMBS | June 30, 2017 | March 31, 2017 | December 31, 2016 | September 30, 2016 | ||||||||
Weighted Average CPR | 8.0 | % | 5.6 | % | 7.1 | % | 9.7 | % |
As of June 30, 2017 | |||||||||||||||||||||||
(dollars in thousands) | Principal/ Current Face | Carrying Value | % of Agency Portfolio | % Prepayment Protected | Weighted Average Coupon Rate | Amortized Cost | Weighted Average Loan Age (months) | ||||||||||||||||
Agency RMBS AFS: | |||||||||||||||||||||||
30-Year Fixed | |||||||||||||||||||||||
3.0-3.5% | $ | 4,342,926 | $ | 4,476,607 | 31.4 | % | 74.8 | % | 3.5 | % | $ | 4,537,932 | 10 | ||||||||||
4.0-4.5% | 8,097,132 | 8,673,683 | 60.7 | % | 92.9 | % | 4.2 | % | 8,669,698 | 21 | |||||||||||||
≥ 5% | 490,649 | 547,916 | 3.8 | % | 84.2 | % | 5.5 | % | 530,641 | 86 | |||||||||||||
12,930,707 | 13,698,206 | 95.9 | % | 86.6 | % | 4.0 | % | 13,738,271 | 20 | ||||||||||||||
15-Year & Other Fixed | 232,321 | 231,174 | 1.6 | % | 0.7 | % | 4.7 | % | 225,286 | 146 | |||||||||||||
Hybrid ARM | 25,091 | 26,735 | 0.2 | % | — | % | 4.8 | % | 26,477 | 159 | |||||||||||||
Interest-only | 3,024,741 | 215,153 | 1.5 | % | — | % | 2.2 | % | 236,222 | 71 | |||||||||||||
Agency Derivatives | 659,768 | 108,331 | 0.8 | % | — | % | 5.3 | % | 97,528 | 158 | |||||||||||||
Total Agency RMBS | $ | 16,872,628 | $ | 14,279,599 | 100.0 | % | 83.1 | % | $ | 14,323,784 |
As of December 31, 2016 | |||||||||||||||||||||||
(dollars in thousands) | Principal/ Current Face | Carrying Value | % of Agency Portfolio | % Prepayment Protected | Weighted Average Coupon Rate | Amortized Cost | Weighted Average Loan Age (months) | ||||||||||||||||
Agency RMBS AFS: | |||||||||||||||||||||||
30-Year Fixed | |||||||||||||||||||||||
3.0-3.5% | $ | 6,652,972 | $ | 6,762,130 | 59.6 | % | 70.5 | % | 3.3 | % | $ | 6,909,378 | 5 | ||||||||||
4.0-4.5% | 3,237,989 | 3,462,866 | 30.5 | % | 100.0 | % | 4.2 | % | 3,480,181 | 42 | |||||||||||||
≥ 5% | 455,030 | 511,738 | 4.5 | % | 100.0 | % | 5.5 | % | 490,706 | 96 | |||||||||||||
10,345,991 | 10,736,734 | 94.6 | % | 81.4 | % | 3.7 | % | 10,880,265 | 21 | ||||||||||||||
15-Year & Other Fixed | 234,949 | 229,928 | 2.0 | % | 0.8 | % | 4.6 | % | 227,918 | 141 | |||||||||||||
Hybrid ARM | 28,582 | 30,463 | 0.3 | % | — | % | 4.9 | % | 30,165 | 154 | |||||||||||||
Interest-only | 2,961,895 | 229,349 | 2.0 | % | — | % | 2.3 | % | 246,373 | 39 | |||||||||||||
Agency Derivatives | 740,844 | 126,599 | 1.1 | % | — | % | 5.2 | % | 109,762 | 152 | |||||||||||||
Total Agency RMBS | $ | 14,312,261 | $ | 11,353,073 | 100.0 | % | 77.0 | % | $ | 11,494,483 |
As of June 30, 2017 | |||||||||||||||
(in thousands) | Principal and Interest Securities | Interest-Only Securities | Total | ||||||||||||
Senior | Mezzanine | ||||||||||||||
Face Value | $ | 1,819,091 | $ | 1,080,605 | $ | 177,716 | $ | 3,077,412 | |||||||
Unamortized discount | |||||||||||||||
Designated credit reserve | (328,701 | ) | (105,035 | ) | — | (433,736 | ) | ||||||||
Unamortized net discount | (386,444 | ) | (248,457 | ) | (171,363 | ) | (806,264 | ) | |||||||
Amortized Cost | $ | 1,103,946 | $ | 727,113 | $ | 6,353 | $ | 1,837,412 |
As of December 31, 2016 | |||||||||||||||
(in thousands) | Principal and Interest Securities | Interest-Only Securities | Total | ||||||||||||
Senior | Mezzanine | ||||||||||||||
Face Value | $ | 1,622,604 | $ | 924,000 | $ | 185,535 | $ | 2,732,139 | |||||||
Unamortized discount | |||||||||||||||
Designated credit reserve | (315,009 | ) | (52,428 | ) | — | (367,437 | ) | ||||||||
Unamortized net discount | (377,017 | ) | (250,786 | ) | (181,172 | ) | (808,975 | ) | |||||||
Amortized Cost | $ | 930,578 | $ | 620,786 | $ | 4,363 | $ | 1,555,727 |
(in thousands, except share data) | Three Months Ended | Six Months Ended | ||||||||||||||
Income Statement Data: | June 30, | June 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Interest income: | (unaudited) | (unaudited) | ||||||||||||||
Available-for-sale securities | $ | 150,166 | $ | 101,512 | $ | 285,739 | $ | 180,940 | ||||||||
Commercial real estate assets | 25,840 | 13,300 | 49,410 | 24,372 | ||||||||||||
Residential mortgage loans held-for-investment in securitization trusts | 30,826 | 34,499 | 62,454 | 67,270 | ||||||||||||
Residential mortgage loans held-for-sale | 503 | 4,960 | 901 | 12,162 | ||||||||||||
Cash and cash equivalents | 1,226 | 505 | 1,679 | 795 | ||||||||||||
Total interest income | 208,561 | 154,776 | 400,183 | 285,539 | ||||||||||||
Interest expense: | ||||||||||||||||
Repurchase agreements | 49,299 | 22,697 | 86,311 | 38,726 | ||||||||||||
Collateralized borrowings in securitization trusts | 24,843 | 25,184 | 50,229 | 44,543 | ||||||||||||
Federal Home Loan Bank advances | 11,444 | 6,088 | 20,237 | 12,060 | ||||||||||||
Revolving credit facilities | 597 | — | 1,026 | — | ||||||||||||
Convertible senior notes | 4,591 | — | 8,412 | — | ||||||||||||
Total interest expense | 90,774 | 53,969 | 166,215 | 95,329 | ||||||||||||
Net interest income | 117,787 | 100,807 | 233,968 | 190,210 | ||||||||||||
Other-than-temporary impairment losses | (429 | ) | (90 | ) | (429 | ) | (807 | ) | ||||||||
Other income (loss): | ||||||||||||||||
Gain (loss) on investment securities | 31,249 | 8,331 | (21,103 | ) | 37,805 | |||||||||||
Loss on interest rate swap and swaption agreements | (76,710 | ) | (12,708 | ) | (66,783 | ) | (138,192 | ) | ||||||||
Loss on other derivative instruments | (19,540 | ) | (48,051 | ) | (47,404 | ) | (32,036 | ) | ||||||||
Servicing income | 51,308 | 35,816 | 91,081 | 69,949 | ||||||||||||
Loss on servicing asset | (46,630 | ) | (76,535 | ) | (61,195 | ) | (177,975 | ) | ||||||||
Gain on residential mortgage loans held-for-sale | 333 | 7,734 | 1,794 | 18,537 | ||||||||||||
Other income (loss) | 2,793 | (9,561 | ) | 10,828 | (6,734 | ) | ||||||||||
Total other loss | (57,197 | ) | (94,974 | ) | (92,782 | ) | (228,646 | ) | ||||||||
Expenses: | ||||||||||||||||
Management fees | 11,772 | 11,837 | 23,242 | 23,881 | ||||||||||||
Servicing expenses | 11,603 | 7,576 | 17,223 | 15,437 | ||||||||||||
Securitization deal costs | — | 429 | — | 4,161 | ||||||||||||
Other operating expenses | 19,371 | 17,644 | 35,408 | 32,500 | ||||||||||||
Total expenses | 42,746 | 37,486 | 75,873 | 75,979 | ||||||||||||
Income (loss) before income taxes | 17,415 | (31,743 | ) | 64,884 | (115,222 | ) | ||||||||||
Provision for (benefit from) income taxes | 8,757 | (14,762 | ) | (15,759 | ) | (9,311 | ) | |||||||||
Net income (loss) | 8,658 | (16,981 | ) | 80,643 | (105,911 | ) | ||||||||||
Net income attributable to noncontrolling interest | 40 | — | 40 | — | ||||||||||||
Net income (loss) attributable to Two Harbors Investment Corp. | 8,618 | (16,981 | ) | 80,603 | (105,911 | ) | ||||||||||
Dividends on preferred stock | 4,285 | — | 4,285 | — | ||||||||||||
Net income (loss) attributable to common stockholders | $ | 4,333 | $ | (16,981 | ) | $ | 76,318 | $ | (105,911 | ) |
(in thousands) | Three Months Ended | Six Months Ended | ||||||||||||||
Income Statement Data: | June 30, | June 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
(unaudited) | (unaudited) | |||||||||||||||
Basic and diluted earnings (loss) per weighted average common share | $ | 0.01 | $ | (0.05 | ) | $ | 0.22 | $ | (0.30 | ) | ||||||
Dividends declared per common share | $ | 0.26 | $ | 0.23 | $ | 0.51 | $ | 0.46 | ||||||||
Basic and diluted weighted average number of shares of common stock outstanding | 348,946,335 | 347,597,955 | 348,756,189 | 348,516,985 | ||||||||||||
Comprehensive income: | ||||||||||||||||
Net income (loss) | $ | 8,658 | $ | (16,981 | ) | $ | 80,643 | $ | (105,911 | ) | ||||||
Other comprehensive income, net of tax: | ||||||||||||||||
Unrealized gain on available-for-sale securities | 81,628 | 139,291 | 155,390 | 160,636 | ||||||||||||
Other comprehensive income | 81,628 | 139,291 | 155,390 | 160,636 | ||||||||||||
Comprehensive income | 90,286 | 122,310 | 236,033 | 54,725 | ||||||||||||
Comprehensive income attributable to noncontrolling interest | 42 | — | 42 | — | ||||||||||||
Comprehensive income attributable to Two Harbors Investment Corp. | 90,244 | 122,310 | 235,991 | 54,725 | ||||||||||||
Dividends on preferred stock | 4,285 | — | 4,285 | — | ||||||||||||
Comprehensive income attributable to common stockholders | $ | 85,959 | $ | 122,310 | $ | 231,706 | $ | 54,725 |
(in thousands) | June 30, 2017 | December 31, 2016 | ||||||
Balance Sheet Data: | ||||||||
(unaudited) | ||||||||
Available-for-sale securities | $ | 16,427,710 | $ | 13,128,857 | ||||
Total assets | $ | 23,781,033 | $ | 20,112,056 | ||||
Repurchase agreements | $ | 13,316,881 | $ | 9,316,351 | ||||
Federal Home Loan Bank advances | $ | 3,238,762 | $ | 4,000,000 | ||||
Total stockholders’ equity | $ | 3,588,421 | $ | 3,401,111 | ||||
Total equity | $ | 3,784,109 | $ | 3,401,111 |
Three Months Ended June 30, 2017 | Six Months Ended June 30, 2017 | ||||||||||||||||||||
(dollars in thousands) | Average Balance (1) | Interest Income/Expense | Net Yield/Cost of Funds (2) | Average Balance (1) | Interest Income | Net Asset Yield | |||||||||||||||
Interest-earning assets | |||||||||||||||||||||
Agency available-for-sale securities | $ | 14,812,537 | $ | 112,261 | 3.0 | % | $ | 13,970,784 | $ | 211,159 | 3.0 | % | |||||||||
Non-Agency available-for-sale securities | 1,803,212 | 37,905 | 8.4 | % | 1,721,392 | 74,580 | 8.7 | % | |||||||||||||
Commercial real estate assets | 1,659,422 | 25,840 | 6.2 | % | 1,590,532 | 49,410 | 6.2 | % | |||||||||||||
Residential mortgage loans held-for-investment in securitization trusts | 3,162,332 | 30,826 | 3.9 | % | 3,205,416 | 62,454 | 3.9 | % | |||||||||||||
Residential mortgage loans held-for-sale | 35,070 | 503 | 5.7 | % | 37,463 | 901 | 4.8 | % | |||||||||||||
Other | 1,226 | 1,679 | |||||||||||||||||||
Total interest income/net asset yield | $ | 21,472,573 | $ | 208,561 | 3.9 | % | $ | 20,525,587 | $ | 400,183 | 3.9 | % | |||||||||
Interest-bearing liabilities | |||||||||||||||||||||
Repurchase agreements, FHLB advances and borrowings in securitization trusts collateralized by: | |||||||||||||||||||||
Agency available-for-sale securities | $ | 14,005,060 | $ | 41,421 | 1.2 | % | $ | 13,222,095 | $ | 71,304 | 1.1 | % | |||||||||
Non-Agency available-for-sale securities | 1,402,827 | 10,204 | 2.9 | % | 1,322,935 | 18,766 | 2.8 | % | |||||||||||||
Commercial real estate assets | 1,186,895 | 7,709 | 2.6 | % | 1,143,825 | 13,754 | 2.4 | % | |||||||||||||
Residential mortgage loans held-for-investment in securitization trusts | 3,098,818 | 25,832 | 3.3 | % | 3,139,907 | 52,110 | 3.3 | % | |||||||||||||
Residential mortgage loans held-for-sale | — | — | — | % | — | — | — | % | |||||||||||||
Agency derivatives | 84,282 | 420 | 2.0 | % | 88,448 | 843 | 1.9 | % | |||||||||||||
Financing of mortgage servicing rights and other unassignable: (3) | |||||||||||||||||||||
Revolving credit facilities | 37,626 | 597 | 6.3 | % | 33,061 | 1,026 | 6.2 | % | |||||||||||||
Convertible senior notes | 282,292 | 4,591 | 6.5 | % | 261,994 | 8,412 | 6.4 | % | |||||||||||||
Total interest expense/cost of funds | $ | 20,097,800 | 90,774 | 1.8 | % | $ | 19,212,265 | 166,215 | 1.7 | % | |||||||||||
Net interest income/spread (4) | $ | 117,787 | 2.1 | % | $ | 233,968 | 2.2 | % |
Three Months Ended June 30, 2016 | Six Months Ended June 30, 2016 | ||||||||||||||||||||
(dollars in thousands) | Average Balance (1) | Interest Income/Expense | Net Yield/Cost of Funds (2) | Average Balance (1) | Interest Income/Expense | Net Yield/Cost of Funds (2) | |||||||||||||||
Interest-earning assets | |||||||||||||||||||||
Agency available-for-sale securities | $ | 10,327,530 | $ | 74,020 | 2.9 | % | $ | 8,462,512 | $ | 124,593 | 2.9 | % | |||||||||
Non-Agency available-for-sale securities | 1,353,532 | 27,492 | 8.1 | % | 1,376,822 | 56,347 | 8.2 | % | |||||||||||||
Commercial real estate assets | 852,579 | 13,300 | 6.2 | % | 771,818 | 24,372 | 6.3 | % | |||||||||||||
Residential mortgage loans held-for-investment in securitization trusts | 3,580,071 | 34,499 | 3.9 | % | 3,477,287 | 67,270 | 3.9 | % | |||||||||||||
Residential mortgage loans held-for-sale | 487,575 | 4,960 | 4.1 | % | 596,256 | 12,162 | 4.1 | % | |||||||||||||
Other | 505 | 795 | |||||||||||||||||||
Total interest income/net asset yield | $ | 16,601,287 | $ | 154,776 | 3.7 | % | $ | 14,684,695 | $ | 285,539 | 3.9 | % | |||||||||
Interest-bearing liabilities | |||||||||||||||||||||
Repurchase agreements, FHLB advances and borrowings in securitization trusts collateralized by: | |||||||||||||||||||||
Agency available-for-sale securities | $ | 9,767,926 | $ | 17,126 | 0.7 | % | $ | 8,018,172 | $ | 27,824 | 0.7 | % | |||||||||
Non-Agency available-for-sale securities | 1,100,685 | 6,716 | 2.4 | % | 1,122,495 | 13,275 | 2.4 | % | |||||||||||||
Commercial real estate assets | 536,703 | 2,520 | 1.9 | % | 437,436 | 3,916 | 1.8 | % | |||||||||||||
Residential mortgage loans held-for-investment in securitization trusts | 3,519,242 | 26,553 | 3.0 | % | 3,363,708 | 48,034 | 2.9 | % | |||||||||||||
Residential mortgage loans held-for-sale | 327,678 | 632 | 0.8 | % | 406,172 | 1,452 | 0.7 | % | |||||||||||||
Agency derivatives | 111,165 | 422 | 1.5 | % | 113,683 | 828 | 1.5 | % | |||||||||||||
Financing of mortgage servicing rights and other unassignable: (3) | |||||||||||||||||||||
Revolving credit facilities | — | — | — | % | — | — | — | % | |||||||||||||
Convertible senior notes | — | — | — | % | — | — | — | % | |||||||||||||
Total interest expense/cost of funds | $ | 15,363,399 | 53,969 | 1.4 | % | $ | 13,461,666 | 95,329 | 1.4 | % | |||||||||||
Net interest income/spread (4) | $ | 100,807 | 2.3 | % | $ | 190,210 | 2.5 | % |
(1) | Average balance represents average amortized cost on AFS securities, commercial real estate assets and Agency Derivatives and average unpaid principal balance, adjusted for purchase price changes, on residential mortgage loans held-for-investment in securitization trusts and residential mortgage loans held-for-sale. |
(2) | Cost of funds does not include the accrual and settlement of interest associated with interest rate swaps. In accordance with U.S. GAAP, those costs are included in loss on interest rate swap and swaption agreements in the condensed consolidated statements of comprehensive income. For the three and six months ended June 30, 2017, our total average cost of funds on the assets assigned as collateral for borrowings shown in the table above, including interest spread expense associated with interest rate swaps, was 1.9% and 1.9%, respectively, compared to 1.6% and 1.7% for the same periods in 2016. |
(3) | Yields on mortgage servicing rights not shown as these assets do not earn interest. |
(4) | Net interest spread does not include the accrual and settlement of interest associated with interest rate swaps. In accordance with U.S. GAAP, those costs are included in loss on interest rate swap and swaption agreements in the condensed consolidated statements of comprehensive income. For the three and six months ended June 30, 2017, our total average net interest rate spread on the assets and liabilities shown in the table above, including interest spread expense associated with interest rate swaps, was 2.0% and 2.0%, respectively, compared to 2.2% and 2.3% for the same periods in 2016. |
Three Months Ended June 30, 2017 | Six Months Ended June 30, 2017 | ||||||||||||||||
Agency (1) | Non-Agency | Total | Agency (1) | Non-Agency | Total | ||||||||||||
Gross yield/stated coupon | 4.0 | % | 3.5 | % | 4.0 | % | 4.0 | % | 3.5 | % | 3.9 | % | |||||
Net (premium amortization) discount accretion | (1.0 | )% | 4.9 | % | (0.4 | )% | (1.0 | )% | 5.2 | % | (0.3 | )% | |||||
Net yield (2) | 3.0 | % | 8.4 | % | 3.6 | % | 3.0 | % | 8.7 | % | 3.6 | % |
Three Months Ended June 30, 2016 | Six Months Ended June 30, 2016 | ||||||||||||||||
Agency (1) | Non-Agency | Total | Agency (1) | Non-Agency | Total | ||||||||||||
Gross yield/stated coupon | 4.0 | % | 3.5 | % | 3.9 | % | 4.2 | % | 3.5 | % | 4.1 | % | |||||
Net (premium amortization) discount accretion | (1.1 | )% | 4.6 | % | (0.4 | )% | (1.3 | )% | 4.7 | % | (0.4 | )% | |||||
Net yield (2) | 2.9 | % | 8.1 | % | 3.5 | % | 2.9 | % | 8.2 | % | 3.7 | % |
(1) | Excludes Agency Derivatives. For the three and six months ended June 30, 2017, the average annualized net yield on total Agency RMBS, including Agency Derivatives, was 3.1% and 3.1%, respectively, compared to 3.0% and 3.2% for the same periods in 2016. |
(2) | These yields have not been adjusted for cost of delay and cost to carry purchase premiums. |
Three Months Ended | Six Months Ended | ||||||||||||||
June 30, | June 30, | ||||||||||||||
(in thousands) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Net interest spread | $ | (2,574 | ) | $ | (7,656 | ) | $ | (10,478 | ) | $ | (13,846 | ) | |||
Early termination, agreement maturation and option expiration (losses) gains | (30,083 | ) | (55,116 | ) | 35,948 | (24,487 | ) | ||||||||
Change in unrealized (loss) gain on interest rate swap and swaption agreements, at fair value | (44,053 | ) | 50,064 | (92,253 | ) | (99,859 | ) | ||||||||
Loss on interest rate swap and swaption agreements | $ | (76,710 | ) | $ | (12,708 | ) | $ | (66,783 | ) | $ | (138,192 | ) |
June 30, 2017 | ||||||||||||||||||||||||||||||
(dollars in thousands, except purchase price) | Principal/ Current Face | Net (Discount) Premium | Amortized Cost | Unrealized Gain | Unrealized Loss | Carrying Value | Weighted Average Coupon Rate | Weighted Average Purchase Price | ||||||||||||||||||||||
Principal and interest securities | ||||||||||||||||||||||||||||||
Fixed | $ | 13,163,028 | $ | 800,529 | $ | 13,963,557 | $ | 70,247 | $ | (104,424 | ) | $ | 13,929,380 | 4.04 | % | $ | 106.55 | |||||||||||||
Hybrid ARM | 25,091 | 1,386 | 26,477 | 522 | (264 | ) | 26,735 | 4.83 | % | $ | 108.26 | |||||||||||||||||||
Total P&I Securities | 13,188,119 | 801,915 | 13,990,034 | 70,769 | (104,688 | ) | 13,956,115 | 4.04 | % | $ | 106.56 | |||||||||||||||||||
Interest-only securities | ||||||||||||||||||||||||||||||
Fixed | 371,282 | (314,267 | ) | 57,015 | 3,302 | (814 | ) | 59,503 | 3.81 | % | $ | 17.37 | ||||||||||||||||||
Fixed Other (1) | 2,653,459 | (2,474,252 | ) | 179,207 | 10,710 | (34,267 | ) | 155,650 | 1.58 | % | $ | 8.84 | ||||||||||||||||||
Total | $ | 16,212,860 | $ | (1,986,604 | ) | $ | 14,226,256 | $ | 84,781 | $ | (139,769 | ) | $ | 14,171,268 |
(1) | Fixed Other represents weighted-average coupon interest-only securities that are not generally used for our interest-rate risk management purposes. These securities pay variable coupon interest based on the weighted average of the fixed rates of the underlying loans of the security, less the weighted average rates of the applicable issued principal and interest securities. |
(in thousands) | June 30, 2017 | ||
0-12 months | $ | 26,464 | |
13-36 months | 271 | ||
Total | $ | 26,735 |
As of June 30, 2017 | |||||||||||||||||||||||||||
(in thousands) | Principal/current face | Accretable purchase discount | Credit reserve purchase discount | Amortized cost | Unrealized gain | Unrealized loss | Carrying value | ||||||||||||||||||||
Principal and interest securities | |||||||||||||||||||||||||||
Senior | $ | 1,819,091 | $ | (386,444 | ) | $ | (328,701 | ) | $ | 1,103,946 | $ | 315,948 | $ | (1,519 | ) | $ | 1,418,375 | ||||||||||
Mezzanine | 1,080,605 | (248,457 | ) | (105,035 | ) | 727,113 | 106,831 | (1,772 | ) | 832,172 | |||||||||||||||||
Total P&I Securities | 2,899,696 | (634,901 | ) | (433,736 | ) | 1,831,059 | 422,779 | (3,291 | ) | 2,250,547 | |||||||||||||||||
Interest-only securities | 177,716 | (171,363 | ) | — | 6,353 | 105 | (563 | ) | 5,895 | ||||||||||||||||||
Total | $ | 3,077,412 | $ | (806,264 | ) | $ | (433,736 | ) | $ | 1,837,412 | $ | 422,884 | $ | (3,854 | ) | $ | 2,256,442 |
June 30, 2017 | ||
AAA | — | % |
AA | — | % |
A | 0.1 | % |
BBB | 3.6 | % |
BB | 1.4 | % |
B | 3.6 | % |
Below B | 78.5 | % |
Not rated | 12.8 | % |
Total | 100.0 | % |
At June 30, 2017 | ||||||||||||
Non-Agency Principal and Interest (P&I) RMBS | Senior | Mezzanine | Total P&I | |||||||||
Carrying Value (in thousands) | $ | 1,418,375 | $ | 832,172 | $ | 2,250,547 | ||||||
% of Non-Agency Portfolio | 63.0 | % | 37.0 | % | 100.0 | % | ||||||
Average Purchase Price (1) | $ | 57.23 | $ | 66.12 | $ | 60.52 | ||||||
Average Coupon | 2.9 | % | 2.2 | % | 2.6 | % | ||||||
Average Fixed Coupon | 5.7 | % | 3.6 | % | 4.6 | % | ||||||
Average Floating Coupon | 2.5 | % | 1.9 | % | 2.3 | % | ||||||
Average Hybrid Coupon | 5.2 | % | 3.3 | % | 4.3 | % | ||||||
Collateral Attributes | ||||||||||||
Average Loan Age (months) | 130 | 140 | 132 | |||||||||
Average Loan Size (in thousands) | $ | 362 | $ | 352 | $ | 359 | ||||||
Average Original Loan-to-Value | 70.5 | % | 69.6 | % | 70.2 | % | ||||||
Average Original FICO (2) | 634 | 603 | 624 | |||||||||
Current Performance | ||||||||||||
60+ day delinquencies | 22.5 | % | 20.1 | % | 21.7 | % | ||||||
Average Credit Enhancement (3) | 9.2 | % | 16.8 | % | 11.6 | % | ||||||
3-Month CPR (4) | 5.4 | % | 7.7 | % | 6.2 | % |
(1) | Average purchase price utilized carrying value for weighting purposes. If current face were utilized for weighting purposes, the average purchase price for senior, mezzanine, and total non-Agency RMBS, excluding our non-Agency interest-only portfolio, would be $54.52, $63.98 and $58.04, respectively, at June 30, 2017. |
(2) | FICO represents a mortgage industry accepted credit score of a borrower, which was developed by Fair Isaac Corporation. |
(3) | Average credit enhancement remaining on our non-Agency RMBS portfolio, which is the average amount of protection available to absorb future credit losses due to defaults on the underlying collateral. |
(4) | Three-month CPR is reflective of the prepayment speed on the underlying securitization; however, it does not necessarily indicate the proceeds received on our investment tranche. Proceeds received for each security are dependent on the position of the individual security within the structure of each deal. |
June 30, 2017 | ||||||||||||||||||||
(dollars in thousands) | Senior | Mezzanine | Total P&I RMBS | |||||||||||||||||
Collateral Type | Carrying Value | % of Senior Portfolio | Carrying Value | % of Mezzanine Portfolio | Carrying Value | % of Non-Agency Portfolio | ||||||||||||||
Prime | $ | 28,024 | 2.0 | % | $ | 13,989 | 1.7 | % | $ | 42,013 | 1.9 | % | ||||||||
Alt-A | 90,008 | 6.3 | % | 82,937 | 10.0 | % | 172,945 | 7.7 | % | |||||||||||
POA | 92,311 | 6.5 | % | 126,142 | 15.2 | % | 218,453 | 9.7 | % | |||||||||||
Subprime | 1,190,889 | 84.0 | % | 445,534 | 53.5 | % | 1,636,423 | 72.7 | % | |||||||||||
Other | 17,143 | 1.2 | % | 163,570 | 19.6 | % | 180,713 | 8.0 | % | |||||||||||
Total | $ | 1,418,375 | 100.0 | % | $ | 832,172 | 100.0 | % | $ | 2,250,547 | 100.0 | % |
June 30, 2017 | ||||||||||||||||||||
(dollars in thousands) | Senior | Mezzanine | Total P&I RMBS | |||||||||||||||||
Coupon Type | Carrying Value | % of Senior Portfolio | Carrying Value | % of Mezzanine Portfolio | Carrying Value | % of Non-Agency Portfolio | ||||||||||||||
Fixed Rate | $ | 148,427 | 10.5 | % | $ | 158,974 | 19.1 | % | $ | 307,401 | 13.7 | % | ||||||||
Hybrid or Floating | 1,269,948 | 89.5 | % | 673,198 | 80.9 | % | 1,943,146 | 86.3 | % | |||||||||||
Total | $ | 1,418,375 | 100.0 | % | $ | 832,172 | 100.0 | % | $ | 2,250,547 | 100.0 | % |
June 30, 2017 | ||||||||||||||||||||
(dollars in thousands) | Senior | Mezzanine | Total P&I RMBS | |||||||||||||||||
Origination Year | Carrying Value | % of Senior Portfolio | Carrying Value | % of Mezzanine Portfolio | Carrying Value | % of Non-Agency Portfolio | ||||||||||||||
2006 and Thereafter | $ | 1,255,320 | 88.5 | % | $ | 434,533 | 52.2 | % | $ | 1,689,853 | 75.1 | % | ||||||||
2002-2005 | 158,276 | 11.2 | % | 396,154 | 47.6 | % | 554,430 | 24.6 | % | |||||||||||
Pre-2002 | 4,779 | 0.3 | % | 1,485 | 0.2 | % | 6,264 | 0.3 | % | |||||||||||
Total | $ | 1,418,375 | 100.0 | % | $ | 832,172 | 100.0 | % | $ | 2,250,547 | 100.0 | % |
June 30, 2017 | |||||||||||||||
(dollars in thousands) | First Mortgages | Mezzanine Loans | B-Notes | Total | |||||||||||
Unpaid principal balance | $ | 1,648,342 | $ | 132,969 | $ | 14,936 | $ | 1,796,247 | |||||||
Unamortized (discount) premium | (178 | ) | (12 | ) | — | (190 | ) | ||||||||
Unamortized net deferred origination fees | (13,179 | ) | (129 | ) | — | (13,308 | ) | ||||||||
Carrying value | $ | 1,634,985 | $ | 132,828 | $ | 14,936 | $ | 1,782,749 | |||||||
Unfunded commitments | $ | 213,703 | $ | 1,580 | $ | — | $ | 215,283 | |||||||
Number of loans | 39 | 6 | 1 | 46 | |||||||||||
Weighted average coupon | 5.6 | % | 9.0 | % | 8.0 | % | 5.8 | % | |||||||
Weighted average years to maturity (1) | 2.6 | 2.0 | 9.6 | 2.6 |
(1) | Based on contractual maturity date. Certain loans are subject to contractual extension options which may be subject to conditions as stipulated in the loan agreement. Actual maturities may differ from contractual maturities stated herein as certain borrowers may have the right to prepay with or without paying a prepayment penalty. We may also extend contractual maturities in connection with loan modifications. |
(in thousands) | June 30, 2017 | ||||||
Property Type | Carrying Value | % of Commercial Portfolio | |||||
Office | $ | 939,961 | 52.7 | % | |||
Multifamily | 264,920 | 14.9 | % | ||||
Retail | 246,710 | 13.8 | % | ||||
Hotel | 186,854 | 10.5 | % | ||||
Industrial | 144,304 | 8.1 | % | ||||
Total | $ | 1,782,749 | 100.0 | % |
(in thousands) | June 30, 2017 | ||||||
Geographic Location | Carrying Value | % of Commercial Portfolio | |||||
Northeast | $ | 655,248 | 36.8 | % | |||
West | 389,311 | 21.8 | % | ||||
Southwest | 340,094 | 19.1 | % | ||||
Southeast | 319,609 | 17.9 | % | ||||
Midwest | 78,487 | 4.4 | % | ||||
Total | $ | 1,782,749 | 100.0 | % |
June 30, 2017 | |||
Unpaid principal balance (in thousands) | $ | 84,814,247 | |
Number of loans | 379,711 | ||
Average Coupon | 3.9 | % | |
Average Loan Age (months) | 25 | ||
Average Loan Size (in thousands) | $ | 223 | |
Average Original Loan-to-Value | 72.7 | % | |
Average Original FICO | 754 | ||
60+ day delinquencies | 0.2 | % | |
3-Month CPR | 9.3 | % |
June 30, 2017 | |||||||||||||||
(in thousands) | Unpaid Principal Balance | Fair Value - Purchase Price | Fair Value - Unrealized | Carrying Value | |||||||||||
Prime nonconforming residential mortgage loans | $ | 474 | $ | — | $ | 12 | $ | 486 | |||||||
Credit sensitive residential mortgage loans | 14,968 | (4,091 | ) | (1,850 | ) | 9,027 | |||||||||
Ginnie Mae buyout residential mortgage loans | 24,499 | (1,205 | ) | (861 | ) | 22,433 | |||||||||
Residential mortgage loans held-for-sale | $ | 39,941 | $ | (5,296 | ) | $ | (2,699 | ) | $ | 31,946 |
(dollars in thousands) | June 30, 2017 | |||||||||
Collateral Type | Amount Outstanding | Weighted Average Borrowing Rate | Weighted Average Haircut on Collateral Value | |||||||
Agency RMBS | $ | 13,583,395 | 1.29 | % | 4.9 | % | ||||
Non-Agency RMBS (1) | 1,665,147 | 2.88 | % | 28.6 | % | |||||
Agency Derivatives | 82,842 | 2.01 | % | 26.7 | % | |||||
Commercial real estate assets | 1,224,259 | 2.61 | % | 22.8 | % | |||||
Mortgage servicing rights | 40,000 | 4.83 | % | 37.5 | % | |||||
Other (2) | 282,290 | 6.25 | % | NA | ||||||
Total | $ | 16,877,933 | 1.56 | % | 8.8 | % |
(1) | Includes repurchase agreements and FHLB advances collateralized by retained interests from our on-balance sheet securitizations which are eliminated in consolidation in accordance with U.S. GAAP. |
(2) | Includes unsecured convertible senior notes. |
(dollars in thousands) | Quarterly Average (1) | End of Period Balance (1) | Maximum Balance of Any Month-End (1) | End of Period Total Borrowings to Equity Ratio | |||||||||
For the Three Months Ended June 30, 2017 | $ | 17,156,888 | $ | 16,877,933 | $ | 17,521,935 | 4.5:1.0 | ||||||
For the Three Months Ended March 31, 2017 | $ | 15,297,535 | $ | 17,509,745 | $ | 17,509,745 | 4.9:1.0 | ||||||
For the Three Months Ended December 31, 2016 | $ | 14,492,271 | $ | 13,386,351 | $ | 15,636,929 | 3.9:1.0 | ||||||
For the Three Months Ended September 30, 2016 | $ | 14,098,192 | $ | 14,667,373 | $ | 14,667,373 | 4.2:1.0 | ||||||
For the Three Months Ended June 30, 2016 | $ | 12,303,996 | $ | 13,669,848 | $ | 13,669,848 | 4.0:1.0 |
(1) | Includes borrowings under repurchase agreements, FHLB advances, revolving credit facilities and convertible senior notes and excludes collateralized borrowings in securitization trusts. |
June 30, 2017 | |||
Carrying Value (in thousands) | $ | 236,119 | |
Average Coupon | 3.0 | % | |
Collateral Attributes | |||
Average Loan Age (months) | 28 | ||
Average Loan Size (in thousands) | $ | 808 | |
Average Original Loan-to-Value | 64.9 | % | |
Average Original FICO | 772 | ||
Current Performance | |||
60+ day delinquencies | 0.06 | % |
June 30, 2017 | ||||||
(dollars in thousands) | Carrying Value | % of Retained Portfolio | ||||
AAA | $ | 29,774 | 12.6 | % | ||
AA | 36,273 | 15.3 | % | |||
A | 27,611 | 11.7 | % | |||
BBB | 46,021 | 19.5 | % | |||
BB | 34,159 | 14.5 | % | |||
B | — | — | % | |||
Below B | — | — | % | |||
Not rated | 62,281 | 26.4 | % | |||
Total | $ | 236,119 | 100.0 | % |
(dollars in millions, except per share amounts) | Book Value | Common Shares Outstanding | Common Book Value Per Share | |||||||
Common stockholders' equity at March 31, 2017 | $ | 3,458.8 | 348.9 | $ | 9.91 | |||||
Reconciliation of non-GAAP measures to GAAP net income and Comprehensive income: | ||||||||||
Core earnings, net of tax expense of $0.6 million ⁽¹⁾ | 101.8 | |||||||||
Dividends on preferred stock | 4.3 | |||||||||
Core earnings attributable to common stockholders, net of tax expense of $0.6 million ⁽¹⁾ | 97.5 | |||||||||
Realized gains and losses, net of tax benefit of $1.3 million | (50.3 | ) | ||||||||
Unrealized mark-to-market gains and losses, net of tax expense of $9.5 million | (42.9 | ) | ||||||||
GAAP net income | 4.3 | |||||||||
Other comprehensive income, net of tax | 81.6 | |||||||||
Comprehensive income | 85.9 | |||||||||
Dividend declaration | (90.7 | ) | ||||||||
Other | 4.2 | — | ||||||||
Balance before capital transactions | 3,458.2 | 348.9 | ||||||||
Contribution of TH Commercial Holdings LLC to Granite Point | (13.8 | ) | ||||||||
Issuance of common stock, net of offering costs | 0.2 | — | ||||||||
Common stockholders' equity at June 30, 2017 | $ | 3,444.6 | 348.9 | $ | 9.87 | |||||
Series A preferred stock liquidation preference | 143.8 | |||||||||
Noncontrolling interest | 195.7 | |||||||||
Total equity at June 30, 2017 | $ | 3,784.1 |
(1) | Core earnings is a non-U.S. GAAP measure that we define as comprehensive income attributable to common stockholders, excluding “realized gains and losses” (impairment losses, realized gains or losses on the aggregate portfolio, reserve expense for representation and warranty obligations on MSR, certain upfront costs related to securitization transactions, non-cash compensation expense related to restricted common stock, restructuring charges and transaction costs related to Granite Point’s initial public offering) and “unrealized mark-to-market gains and losses” (unrealized gains and losses on the aggregate portfolio). As defined, Core Earnings includes interest income or expense and premium income or loss on derivative instruments and servicing income, net of estimated amortization on MSR. We believe the presentation of Core Earnings provides investors greater transparency into our period-over-period financial performance and facilitates comparisons to peer REITs. |
June 30, 2017 | December 31, 2016 | ||||||||||||||||||||
(dollars in thousands) | Amount Outstanding | Net Counterparty Exposure(1) | Percent of Funding | Amount Outstanding | Net Counterparty Exposure(1) | Percent of Funding | |||||||||||||||
North America | $ | 6,534,558 | $ | 1,052,068 | 64.1 | % | $ | 4,916,309 | $ | 965,621 | 67.3 | % | |||||||||
Europe (2) | 4,941,323 | 503,575 | 30.7 | % | 2,617,372 | 355,060 | 24.7 | % | |||||||||||||
Asia (2) | 1,841,000 | 85,981 | 5.2 | % | 1,782,670 | 114,720 | 8.0 | % | |||||||||||||
Total | $ | 13,316,881 | $ | 1,641,624 | 100.0 | % | $ | 9,316,351 | $ | 1,435,401 | 100.0 | % |
(1) | Represents the net carrying value of the securities and commercial real estate assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest. Payables due to broker counterparties for unsettled securities purchases are not included in the amounts presented above. However, at both June 30, 2017 and December 31, 2016, the Company did not have any such payables. |
(2) | Exposure to European and Asian domiciled banks and their U.S. subsidiaries. |
(dollars in thousands) | ||||||||||||||||
As of June 30, 2017 | ||||||||||||||||
Expiration Date (1) | Committed | Amount Outstanding | Unused Capacity | Total Capacity | Eligible Collateral | |||||||||||
June 28, 2019 | No | $ | 211,702 | $ | 288,298 | $ | 500,000 | Commercial real estate assets | ||||||||
June 28, 2020 (2) | No | $ | 229,870 | $ | 270,130 | $ | 500,000 | Commercial real estate assets | ||||||||
November 1, 2017 (3) | No | $ | 58,312 | $ | 41,688 | $ | 100,000 | Commercial real estate assets | ||||||||
May 2, 2019 | No | $ | 15,794 | $ | 234,206 | $ | 250,000 | Commercial real estate assets | ||||||||
June 28, 2020 | No | $ | — | $ | 250,000 | $ | 250,000 | Commercial real estate assets | ||||||||
June 28, 2019 (4) | No | $ | 90,000 | $ | 286,540 | $ | 376,540 | Commercial real estate assets | ||||||||
September 1, 2017 | No | $ | 20,000 | $ | 30,000 | $ | 50,000 | Mortgage servicing rights | ||||||||
December 18, 2017 | No | $ | 20,000 | $ | 20,000 | $ | 40,000 | Mortgage servicing rights |
(1) | The facilities are set to mature on the stated expiration date, unless extended pursuant to their terms. |
(2) | Includes an option, to be exercised at the Company’s discretion, to increase the maximum facility amount to $600.0 million, subject to certain customary conditions contained in the agreement. |
(3) | This facility is a short-term bridge facility. |
(4) | Fixed pool of assets after ramp-up period. |
• | Total indebtedness to net worth must be less than the specified threshold ratio in the repurchase agreement. As of June 30, 2017, our debt to net worth, as defined, was 5.5:1.0 while our threshold ratio, as defined, was 5.8:1.0. |
• | Liquidity must be greater than $100.0 million. As of June 30, 2017, our liquidity, as defined, was $1.3 billion. |
• | Net worth must be greater than $1.75 billion. As of June 30, 2017, our net worth, as defined, was $3.6 billion. |
• | Interest coverage must not be less than 2.0:1.0. As of June 30, 2017, our interest coverage ratio, as defined, was 2.4:1.0. |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
Available-for-sale securities, at fair value | $ | 16,388,868 | $ | 13,117,330 | |||
Commercial real estate assets | 1,603,251 | 1,357,874 | |||||
Mortgage servicing rights, at fair value | 166,038 | 180,948 | |||||
Net economic interests in consolidated securitization trusts (1) | 221,415 | 213,110 | |||||
Cash and cash equivalents | 13,346 | 15,000 | |||||
Restricted cash | 87,717 | 162,759 | |||||
Due from counterparties | 17,914 | 48,939 | |||||
Derivative assets, at fair value | 108,211 | 126,341 | |||||
Total | $ | 18,606,760 | $ | 15,222,301 |
(1) | Includes the retained interests from our on-balance sheet securitizations, which are eliminated in consolidation in accordance with U.S. GAAP. |
(in thousands) | June 30, 2017 | December 31, 2016 | |||||
Within 30 days | $ | 3,418,627 | $ | 3,286,783 | |||
30 to 59 days | 3,267,001 | 2,376,002 | |||||
60 to 89 days | 2,270,943 | 1,365,394 | |||||
90 to 119 days | 2,354,520 | 1,504,056 | |||||
120 to 364 days | 1,498,424 | 1,319,720 | |||||
One to three years | 1,362,390 | 1,000,658 | |||||
Three to five years | 282,290 | — | |||||
Five to ten years | — | — | |||||
Ten years and over | 2,423,738 | 2,533,738 | |||||
Total | $ | 16,877,933 | $ | 13,386,351 |
• | Cash flows from operating activities. For the three months ended June 30, 2017, operating activities increased our cash balances by approximately $114.1 million, primarily driven by our financial results for the quarter. |
• | Cash flows from investing activities. For the three months ended June 30, 2017, investing activities increased our cash balances by approximately $615.8 million, primarily driven by sales of AFS securities, net of purchases of AFS securities, commercial real estate assets and MSR. |
• | Cash flows from financing activities. For the three months ended June 30, 2017, financing activities decreased our cash balance by approximately $615.2 million, primarily driven by repayments of repurchase agreements due to sales of AFS securities and the repayment of a portion of our outstanding FHLB advances. |
As of June 30, 2017 | As of December 31, 2016 | |||||||||||||||||||||||||||||
Index Type | Floating | Hybrid (1) | Total | Index % | Floating | Hybrid (1) | Total | Index % | ||||||||||||||||||||||
CMT | $ | 12,868 | $ | 21,434 | $ | 34,302 | 1 | % | $ | 13,188 | $ | 23,953 | $ | 37,141 | 1 | % | ||||||||||||||
LIBOR | 3,765,486 | 14,208 | 3,779,694 | 97 | % | 3,043,945 | 13,086 | 3,057,031 | 96 | % | ||||||||||||||||||||
Other (2) | 50,509 | 30,156 | 80,665 | 2 | % | 45,880 | 41,760 | 87,640 | 3 | % | ||||||||||||||||||||
Total | $ | 3,828,863 | $ | 65,798 | $ | 3,894,661 | 100 | % | $ | 3,103,013 | $ | 78,799 | $ | 3,181,812 | 100 | % |
(1) | “Hybrid” amounts reflect those assets with greater than twelve months to reset. |
(2) | “Other” includes COFI, MTA and other indices. |
Changes in Interest Rates | |||||||||||||||
(dollars in thousands) | -100 bps | -50 bps | +50 bps | +100 bps | |||||||||||
Change in value of financial position: | |||||||||||||||
Available-for-sale securities | $ | 482,281 | $ | 291,671 | $ | (356,081 | ) | $ | (772,947 | ) | |||||
As a % of June 30, 2017 total equity | 12.7 | % | 7.7 | % | (9.4 | )% | (20.4 | )% | |||||||
Commercial real estate assets | $ | 208 | $ | 104 | $ | (253 | ) | $ | (505 | ) | |||||
As a % of June 30, 2017 total equity | — | % | — | % | — | % | — | % | |||||||
Mortgage servicing rights | $ | (300,901 | ) | $ | (113,005 | ) | $ | 76,268 | $ | 130,470 | |||||
As a % of June 30, 2017 total equity | (7.9 | )% | (3.0 | )% | 2.0 | % | 3.4 | % | |||||||
Residential mortgage loans held-for-investment in securitization trusts | $ | 74,732 | $ | 59,116 | $ | (74,852 | ) | $ | (156,601 | ) | |||||
As a % of June 30, 2017 total equity | 2.0 | % | 1.6 | % | (2.0 | )% | (4.1 | )% | |||||||
Residential mortgage loans held-for-sale | $ | 474 | $ | 132 | $ | (269 | ) | $ | (877 | ) | |||||
As a % of June 30, 2017 total equity | — | % | — | % | — | % | — | % | |||||||
Derivatives, net | $ | (363,580 | ) | $ | (187,159 | ) | $ | 200,767 | $ | 463,656 | |||||
As a % of June 30, 2017 total equity | (9.6 | )% | (5.0 | )% | 5.3 | % | 12.2 | % | |||||||
Repurchase agreements | $ | (23,219 | ) | $ | (11,609 | ) | $ | 11,609 | $ | 23,219 | |||||
As a % of June 30, 2017 total equity | (0.6 | )% | (0.3 | )% | 0.3 | % | 0.6 | % | |||||||
Collateralized borrowings in securitization trusts | $ | (91,373 | ) | $ | (67,194 | ) | $ | 78,184 | $ | 161,441 | |||||
As a % of June 30, 2017 total equity | (2.4 | )% | (1.8 | )% | 2.1 | % | 4.3 | % | |||||||
Federal Home Loan Bank advances | $ | (3,476 | ) | $ | (1,738 | ) | $ | 1,738 | $ | 3,477 | |||||
As a % of June 30, 2017 total equity | (0.1 | )% | — | % | — | % | 0.1 | % | |||||||
Revolving credit facilities | $ | (17 | ) | $ | (8 | ) | $ | 8 | $ | 17 | |||||
As a % of June 30, 2017 total equity | — | % | — | % | — | % | — | % | |||||||
Total Net Assets | $ | (224,871 | ) | $ | (29,690 | ) | $ | (62,881 | ) | $ | (148,650 | ) | |||
As a % of June 30, 2017 total assets | (0.9 | )% | (0.1 | )% | (0.3 | )% | (0.6 | )% | |||||||
As a % of June 30, 2017 total equity | (5.9 | )% | (0.8 | )% | (1.7 | )% | (3.9 | )% | |||||||
-100 bps | -50 bps | +50 bps | +100 bps | ||||||||||||
Change in annualized net interest income: | $ | 33,759 | $ | 15,736 | $ | (15,616 | ) | $ | (31,232 | ) | |||||
% change in net interest income | 8.9 | % | 4.2 | % | (4.1 | )% | (8.3 | )% |
Exhibit Number | Exhibit Index | |
3.1 | Articles of Amendment and Restatement of Two Harbors Investment Corp. (incorporated by reference to Exhibit 99.1 to Annex B filed with Pre-effective Amendment No. 4 to the Company’s Registration Statement on Form S-4 (File No. 333-160199), filed with the SEC on October 8, 2009). | |
3.2 | Articles of Amendment to the Articles of Amendment and Restatement of Two Harbors Investment Corp. (incorporated by reference to Exhibit 99.1 to the Company’s Current Report on Form 8-K, filed with the SEC on December 19, 2012). | |
3.3 | Articles Supplementary to the Articles of Amendment to the Articles of Amendment and Restatement of Two Harbors Investment Corp. designating the shares of 8.125% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.01 par value per share (incorporated by reference to Exhibit 3.3 of the Company’s Form 8-A filed with the SEC on March 13, 2017). | |
3.4 | Articles Supplementary to the Articles of Amendment to the Articles of Amendment and Restatement of Two Harbors Investment Corp. designating the shares of 7.625% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.01 par value per share (incorporated by reference to Exhibit 3.4 of the Company’s Form 8-A filed with the SEC on July 17, 2017). | |
3.5 | Amended and Restated Bylaws of Two Harbors Investment Corp. (incorporated by reference to Exhibit 3.4 to the Company’s Current Report on Form 8-K, filed with the SEC on April 6, 2017). | |
10.1 | Contribution Agreement dated as of June 22, 2017 among Granite Point Mortgage Trust Inc., Granite Point Mortgage Trust Operating Company LLC, Two Harbors Operating Company LLC and, for certain limited purposes, the Company (incorporated by reference to Exhibit 99.1 of the Company’s Form 8-K filed with the SEC on June 23, 2017). | |
10.2 | Third Amendment to Management Agreement dated June 28, 2017 (incorporated by reference to Exhibit 10.1 of the Company’s Form 8-K filed with the SEC on June 28, 2017). | |
31.1 | Certification of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (filed herewith) | |
31.2 | Certification of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (filed herewith) | |
32.1 | Certification of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (filed herewith) | |
32.2 | Certification of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (filed herewith) | |
101 | Financial statements from the Quarterly Report on Form 10-Q of Two Harbors Investment Corp. for the three months ended June 30, 2017, filed with the SEC on August 8, 2017, formatted in XBRL: (i) the Condensed Consolidated Balance Sheets, (ii) the Condensed Consolidated Statements of Comprehensive Income, (iii) the Condensed Consolidated Statements of Stockholders’ Equity, (iv) the Condensed Consolidated Statements of Cash Flows, and (v) the Notes to the Condensed Consolidated Financial Statements. (filed herewith) |
TWO HARBORS INVESTMENT CORP. | |||
Dated: | August 8, 2017 | By: | /s/ Thomas E. Siering |
Thomas E. Siering Chief Executive Officer, President and Director (Principal Executive Officer) | |||
Dated: | August 8, 2017 | By: | /s/ Brad Farrell |
Brad Farrell Chief Financial Officer and Treasurer (Principal Financial Officer) | |||
Dated: | August 8, 2017 | By: | /s/ Mary Riskey |
Mary Riskey Chief Accounting Officer (Principal Accounting Officer) |
Date: | August 8, 2017 | /s/ Thomas E. Siering | ||
Thomas E. Siering | ||||
Chief Executive Officer and President |
Date: | August 8, 2017 | /s/ Brad Farrell | ||
Brad Farrell | ||||
Chief Financial Officer and Treasurer |
Date: | August 8, 2017 | /s/ Thomas E. Siering | ||
Thomas E. Siering | ||||
Chief Executive Officer and President |
Date: | August 8, 2017 | /s/ Brad Farrell | ||
Brad Farrell | ||||
Chief Financial Officer and Treasurer |
Document and Entity Information - shares |
6 Months Ended | |
---|---|---|
Jun. 30, 2017 |
Aug. 07, 2017 |
|
Entity Information [Line Items] | ||
Entity Registrant Name | TWO HARBORS INVESTMENT CORP. | |
Entity Central Index Key | 0001465740 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Large Accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Jun. 30, 2017 | |
Document Fiscal Year Focus | 2017 | |
Document Fiscal Period Focus | Q2 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 348,972,325 |
CONDENSED CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Stockholders' Equity | ||
Preferred stock par value per share (in usd per share) | $ 0.01 | $ 0.01 |
Preferred shares authorized (in shares) | 50,000,000 | 50,000,000 |
Preferred shares issued (in shares) | 5,750,000 | 0 |
Preferred shares outstanding (in shares) | 5,750,000 | 0 |
Preferred stock liquidation preference | $ 143,750 | $ 0 |
Common stock par value per share (in usd per share) | $ 0.01 | $ 0.01 |
Common shares authorized (in shares) | 900,000,000 | 900,000,000 |
Common shares issued (in shares) | 348,977,215 | 347,652,326 |
Common shares outstanding (in shares) | 348,977,215 | 347,652,326 |
Assets of consolidated Variable Interest Entities | $ 3,184,374 | $ 3,336,292 |
Liabilities of consolidated Variable Interest Entities | $ 2,900,344 | $ 3,058,278 |
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Interest income: | ||||
Available-for-sale securities | $ 150,166 | $ 101,512 | $ 285,739 | $ 180,940 |
Commercial real estate assets | 25,840 | 13,300 | 49,410 | 24,372 |
Residential mortgage loans held-for-investment in securitization trusts | 30,826 | 34,499 | 62,454 | 67,270 |
Residential mortgage loans held-for-sale | 503 | 4,960 | 901 | 12,162 |
Cash and cash equivalents | 1,226 | 505 | 1,679 | 795 |
Total interest income | 208,561 | 154,776 | 400,183 | 285,539 |
Interest expense: | ||||
Repurchase agreements | 49,299 | 22,697 | 86,311 | 38,726 |
Collateralized borrowings in securitization trusts | 24,843 | 25,184 | 50,229 | 44,543 |
Federal Home Loan Bank advances | 11,444 | 6,088 | 20,237 | 12,060 |
Revolving credit facilities | 597 | 0 | 1,026 | 0 |
Convertible senior notes | 4,591 | 0 | 8,412 | 0 |
Total interest expense | 90,774 | 53,969 | 166,215 | 95,329 |
Net interest income | 117,787 | 100,807 | 233,968 | 190,210 |
Other-than-temporary impairments: | ||||
Total other-than-temporary impairment losses | (429) | (90) | (429) | (807) |
Other income (loss): | ||||
Gain (loss) on investment securities | 31,249 | 8,331 | (21,103) | 37,805 |
Loss on interest rate swap and swaption agreements | (76,710) | (12,708) | (66,783) | (138,192) |
Loss on other derivative instruments | (19,540) | (48,051) | (47,404) | (32,036) |
Servicing income | 51,308 | 35,816 | 91,081 | 69,949 |
Loss on servicing asset | (46,630) | (76,535) | (61,195) | (177,975) |
Gain on residential mortgage loans held-for-sale | 333 | 7,734 | 1,794 | 18,537 |
Other income (loss) | 2,793 | (9,561) | 10,828 | (6,734) |
Total other loss | (57,197) | (94,974) | (92,782) | (228,646) |
Expenses: | ||||
Management fees | 11,772 | 11,837 | 23,242 | 23,881 |
Servicing expenses | 11,603 | 7,576 | 17,223 | 15,437 |
Securitization deal costs | 0 | 429 | 0 | 4,161 |
Other operating expenses | 19,371 | 17,644 | 35,408 | 32,500 |
Total expenses | 42,746 | 37,486 | 75,873 | 75,979 |
Income (loss) before income taxes | 17,415 | (31,743) | 64,884 | (115,222) |
Provision for (benefit from) income taxes | 8,757 | (14,762) | (15,759) | (9,311) |
Net income (loss) | 8,658 | (16,981) | 80,643 | (105,911) |
Net income attributable to noncontrolling interest | 40 | 0 | 40 | 0 |
Net income (loss) attributable to Two Harbors Investment Corp. | 8,618 | (16,981) | 80,603 | (105,911) |
Dividends on preferred stock | 4,285 | 0 | 4,285 | 0 |
Net income (loss) attributable to common stockholders | $ 4,333 | $ (16,981) | $ 76,318 | $ (105,911) |
Basic and diluted earnings (loss) per weighted average common share (in usd per share) | $ 0.01 | $ (0.05) | $ 0.22 | $ (0.30) |
Dividends declared per common share (in usd per share) | $ 0.26 | $ 0.23 | $ 0.51 | $ 0.46 |
Basic and diluted weighted average number of shares of common stock outstanding (in shares) | 348,946,335 | 347,597,955 | 348,756,189 | 348,516,985 |
Comprehensive income: | ||||
Net income (loss) | $ 8,658 | $ (16,981) | $ 80,643 | $ (105,911) |
Other comprehensive income, net of tax: | ||||
Unrealized gain on available-for-sale securities | 81,628 | 139,291 | 155,390 | 160,636 |
Other comprehensive income | 81,628 | 139,291 | 155,390 | 160,636 |
Comprehensive income | 90,286 | 122,310 | 236,033 | 54,725 |
Comprehensive income attributable to noncontrolling interest | 42 | 0 | 42 | 0 |
Comprehensive income attributable to Two Harbors Investment Corp. | 90,244 | 122,310 | 235,991 | 54,725 |
Dividends on preferred stock | 4,285 | 0 | 4,285 | 0 |
Comprehensive income attributable to common stockholders | $ 85,959 | $ 122,310 | $ 231,706 | $ 54,725 |
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY - USD ($) $ in Thousands |
Total |
Common Stock |
Additional Paid-in Capital |
Accumulated Other Comprehensive Income |
Cumulative Earnings |
Cumulative Distributions to Stockholders |
Total Stockholders' Equity |
Noncontrolling Interest |
Series A Preferred Stock [Member] |
Series A Preferred Stock [Member]
Preferred Stock
|
Series A Preferred Stock [Member]
Total Stockholders' Equity
|
---|---|---|---|---|---|---|---|---|---|---|---|
Common shares outstanding at beginning of period (in shares) at Dec. 31, 2015 | 353,906,807 | 0 | |||||||||
Stockholders’ equity at beginning of period at Dec. 31, 2015 | $ 3,539 | $ 3,705,519 | $ 359,061 | $ 1,684,755 | $ (2,176,313) | $ 3,576,561 | $ 0 | ||||
Noncontrolling interest at beginning of period at Dec. 31, 2015 | $ 0 | ||||||||||
Equity at beginning of period at Dec. 31, 2015 | $ 3,576,561 | ||||||||||
Net income (loss) attributable to Two Harbors Investment Corp. | (105,911) | (105,911) | (105,911) | ||||||||
Net income attributable to noncontrolling interest | 0 | ||||||||||
Net income (loss) | (105,911) | ||||||||||
Other comprehensive income (loss) before reclassifications, net of tax | 184,085 | 184,085 | 184,085 | ||||||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | (23,449) | (23,449) | (23,449) | ||||||||
Net other comprehensive income (loss), net of tax | 160,636 | 160,636 | 160,636 | ||||||||
Issuance of stock, net of offering costs (in shares) | 29,143 | ||||||||||
Issuance of stock, net of offering costs | $ 227 | $ 0 | 227 | 227 | |||||||
Repurchase of common stock (in shares) | (8,020,000) | (8,020,000) | |||||||||
Repurchase of common stock | $ (61,307) | $ (80) | (61,227) | ||||||||
Common dividends declared | (159,892) | (159,892) | (159,892) | ||||||||
Non-cash equity award compensation (in shares) | 1,705,435 | ||||||||||
Non-cash equity award compensation | 7,754 | $ 17 | 7,737 | 7,754 | |||||||
Common shares outstanding at end of period (in shares) at Jun. 30, 2016 | 347,621,385 | 0 | |||||||||
Stockholders’ equity at end of period at Jun. 30, 2016 | $ 3,476 | 3,652,256 | 519,697 | 1,578,844 | (2,336,205) | 3,418,068 | $ 0 | ||||
Noncontrolling interest at end of period at Jun. 30, 2016 | 0 | ||||||||||
Equity at end of period at Jun. 30, 2016 | $ 3,418,068 | ||||||||||
Common shares outstanding at beginning of period (in shares) at Dec. 31, 2016 | 347,652,326 | 347,652,326 | 0 | ||||||||
Stockholders’ equity at beginning of period at Dec. 31, 2016 | $ 3,401,111 | $ 3,477 | 3,659,973 | 199,227 | 2,038,033 | (2,499,599) | 3,401,111 | $ 0 | |||
Noncontrolling interest at beginning of period at Dec. 31, 2016 | 0 | 0 | |||||||||
Equity at beginning of period at Dec. 31, 2016 | 3,401,111 | ||||||||||
Net income (loss) attributable to Two Harbors Investment Corp. | 80,603 | 80,603 | 80,603 | ||||||||
Net income attributable to noncontrolling interest | 40 | 40 | |||||||||
Net income (loss) | 80,643 | ||||||||||
Other comprehensive income (loss) before reclassifications, net of tax | 151,791 | 151,789 | 151,789 | 2 | |||||||
Amounts reclassified from accumulated other comprehensive income (loss), net of tax | 3,595 | 3,595 | 3,595 | 0 | |||||||
Net other comprehensive income (loss), net of tax | 155,390 | 155,384 | 155,384 | 2 | |||||||
Net other comprehensive income (loss), net of tax | 155,386 | ||||||||||
Issuance of Granite Point Mortgage Trust Inc. stock, net of offering costs | 181,875 | (13,777) | 6 | (13,771) | 195,646 | ||||||
Issuance of stock, net of offering costs (in shares) | 26,438 | 5,750,000 | |||||||||
Issuance of stock, net of offering costs | $ 256 | $ 0 | 256 | 256 | $ 138,872 | $ 138,872 | $ 138,872 | ||||
Repurchase of common stock (in shares) | 0 | ||||||||||
Repurchase of common stock | $ 0 | ||||||||||
Preferred dividends declared | (4,285) | (4,285) | (4,285) | ||||||||
Common dividends declared | (177,963) | (177,963) | (177,963) | ||||||||
Non-cash equity award compensation (in shares) | 1,298,451 | ||||||||||
Non-cash equity award compensation | $ 8,214 | $ 13 | 8,201 | 8,214 | |||||||
Common shares outstanding at end of period (in shares) at Jun. 30, 2017 | 348,977,215 | 348,977,215 | 5,750,000 | ||||||||
Stockholders’ equity at end of period at Jun. 30, 2017 | $ 3,588,421 | $ 3,490 | $ 3,654,653 | $ 354,617 | $ 2,118,636 | $ (2,681,847) | $ 3,588,421 | $ 138,872 | |||
Noncontrolling interest at end of period at Jun. 30, 2017 | 195,688 | $ 195,688 | |||||||||
Equity at end of period at Jun. 30, 2017 | $ 3,784,109 |
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands |
6 Months Ended | |
---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Cash Flows From Operating Activities: | ||
Net income (loss) | $ 80,643 | $ (105,911) |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | ||
Amortization of premiums and discounts on investment securities and commercial real estate assets, net | 19,179 | 16,663 |
Amortization of deferred debt issuance costs on convertible senior notes | 176 | 0 |
Other-than-temporary impairment losses | 429 | 807 |
Realized and unrealized losses (gains) on investment securities, net | 21,103 | (37,805) |
Loss on servicing asset | 61,195 | 177,975 |
Gain on residential mortgage loans held-for-sale | (1,794) | (18,537) |
(Gain) loss on residential mortgage loans held-for-investment and collateralized borrowings in securitization trusts | (8,077) | 9,441 |
(Gain) loss on termination and option expiration of interest rate swaps and swaptions | (35,949) | 24,487 |
Unrealized loss on interest rate swaps and swaptions | 92,254 | 99,859 |
Unrealized loss on other derivative instruments | 35,111 | 48,818 |
Equity based compensation | 8,214 | 7,754 |
Depreciation of fixed assets | 550 | 664 |
Purchases of residential mortgage loans held-for-sale | (567) | (580,932) |
Proceeds from sales of residential mortgage loans held-for-sale | 3,988 | 68,813 |
Proceeds from repayment of residential mortgage loans held-for-sale | 4,252 | 74,025 |
Net change in assets and liabilities: | ||
Increase in accrued interest receivable | (11,405) | (13,945) |
Increase in deferred income taxes, net | (16,078) | (7,716) |
Decrease in income taxes receivable | 77 | 3,669 |
(Increase) decrease in prepaid and fixed assets | (756) | 102 |
(Increase) decrease in other receivables | (4,516) | 6,267 |
Decrease (increase) in servicing advances | 5,031 | (19,328) |
Increase in accrued interest payable | 26,173 | 6,544 |
Increase (decrease) in income taxes payable | 51 | (70) |
Decrease in accrued expenses and other liabilities | (2,923) | (6,076) |
Net cash provided by (used in) operating activities | 276,361 | (244,432) |
Cash Flows From Investing Activities: | ||
Purchases of available-for-sale securities | (8,883,595) | (9,964,377) |
Proceeds from sales of available-for-sale securities | 5,092,318 | 3,776,295 |
Principal payments on available-for-sale securities | 627,277 | 527,958 |
(Purchases) short sales of derivative instruments, net | (33,562) | (15,475) |
Proceeds from sales (payments for termination) of derivative instruments, net | 15,905 | 44,364 |
Proceeds from repayment of residential mortgage loans held-for-investment in securitization trusts | 181,806 | 407,861 |
Originations, acquisitions and additional fundings of commercial real estate assets, net of deferred fees | (372,338) | (276,438) |
Proceeds from repayment of commercial real estate assets | 6,246 | 14,387 |
Purchases of mortgage servicing rights, net of purchase price adjustments | (266,003) | (108,006) |
Proceeds from sales of mortgage servicing rights | 627 | 0 |
Purchases of Federal Home Loan Bank stock | 0 | (11,206) |
Redemptions of Federal Home Loan Bank stock | 33,080 | 0 |
(Decrease) increase in due to counterparties, net | (54,264) | 197,289 |
Net cash used in investing activities | (3,652,503) | (5,407,348) |
Cash Flows From Financing Activities: | ||
Proceeds from repurchase agreements | 79,096,337 | 30,339,583 |
Principal payments on repurchase agreements | (75,095,807) | (25,678,009) |
Proceeds from issuance of collateralized borrowings in securitization trusts | 0 | 1,394,312 |
Principal payments on collateralized borrowings in securitization trusts | (179,717) | (331,110) |
Proceeds from Federal Home Loan Bank advances | 0 | 215,000 |
Principal payments on Federal Home Loan Bank advances | (761,238) | 0 |
Proceeds from revolving credit facilities | 74,000 | 0 |
Principal payments on revolving credit facilities | (104,000) | 0 |
Proceeds from convertible senior notes | 282,469 | 0 |
Proceeds from issuance of preferred stock, net of offering costs | 138,872 | 0 |
Proceeds from issuance of common stock, net of offering costs | 256 | 227 |
Proceeds from issuance of Granite Point Mortgage Trust Inc. stock, net of offering costs | 181,875 | 0 |
Repurchase of common stock | 0 | (61,307) |
Dividends paid on common stock | (170,665) | (171,955) |
Net cash provided by financing activities | 3,462,382 | 5,706,741 |
Net increase in cash, cash equivalents and restricted cash | 86,240 | 54,961 |
Cash, cash equivalents and restricted cash at beginning of period | 815,195 | 1,000,393 |
Cash, cash equivalents and restricted cash at end of period | 901,435 | 1,055,354 |
Supplemental Disclosure of Cash Flow Information: | ||
Cash paid for interest | (89,296) | (47,088) |
Cash paid (received) for taxes | (192) | 5,194 |
Noncash Activities: | ||
Transfers of residential mortgage loans held-for-sale to residential mortgage loans held-for-investment in securitization trusts | 0 | (641,738) |
Transfers of residential mortgage loans held-for-sale to other receivables for foreclosed government-guaranteed loans | (2,292) | (12,080) |
Transfer of fair value of mortgage servicing rights to fair value of Ginnie Mae residential mortgage loans held-for-sale upon buyout | (9) | (3,572) |
Additions to mortgage servicing rights due to sale of residential mortgage loans held-for-sale | 20 | 522 |
Dividends declared but not paid at end of period | (95,049) | (79,953) |
Reconciliation of residential mortgage loans held-for-sale: | ||
Residential mortgage loans held-for-sale at beginning of period | 40,146 | 811,431 |
Purchases of residential mortgage loans held-for-sale | 567 | 580,932 |
Transfers to residential mortgage loans held-for-investment in securitization trusts | 0 | (641,738) |
Transfers to other receivables for foreclosed government-guaranteed loans | (2,292) | (12,080) |
Transfer of fair value of mortgage servicing rights to fair value of Ginnie Mae residential mortgage loans held-for-sale upon buyout | (9) | (3,572) |
Proceeds from sales of residential mortgage loans held-for-sale | (3,988) | (68,813) |
Proceeds from repayment of residential mortgage loans held-for-sale | (4,252) | (74,025) |
Realized and unrealized gains on residential mortgage loans held-for-sale | 1,774 | 16,925 |
Residential mortgage loans held-for-sale at end of period | $ 31,946 | $ 609,060 |
Organization and Operations |
6 Months Ended |
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Jun. 30, 2017 | |
Organization and Operations [Abstract] | |
Organization and Operations | Organization and Operations Two Harbors Investment Corp., or the Company, is a Maryland corporation investing in, financing and managing residential mortgage-backed securities, or RMBS, mortgage servicing rights, or MSR, commercial real estate and other financial assets. The Company is externally managed and advised by PRCM Advisers LLC, or PRCM Advisers, which is a subsidiary of Pine River Capital Management L.P., or Pine River, a global multi-strategy asset management firm. The Company’s common stock is listed on the NYSE under the symbol “TWO”. The Company was incorporated on May 21, 2009, and commenced operations as a publicly traded company on October 28, 2009, upon completion of a merger with Capitol Acquisition Corp., or Capitol, which became a wholly owned indirect subsidiary of the Company as a result of the merger. The Company has elected to be treated as a real estate investment trust, or REIT, as defined under the Internal Revenue Code of 1986, as amended, or the Code, for U.S. federal income tax purposes. As long as the Company continues to comply with a number of requirements under federal tax law and maintains its qualification as a REIT, the Company generally will not be subject to U.S. federal income taxes to the extent that the Company distributes its taxable income to its stockholders on an annual basis and does not engage in prohibited transactions. However, certain activities that the Company may perform may cause it to earn income which will not be qualifying income for REIT purposes. The Company has designated certain of its subsidiaries as taxable REIT subsidiaries, or TRSs, as defined in the Code, to engage in such activities, and the Company may in the future form additional TRSs. On June 28, 2017, the Company completed the contribution of its portfolio of commercial real estate assets to Granite Point Mortgage Trust Inc., or Granite Point, a newly organized Maryland corporation intended to qualify as a REIT, externally managed and advised by Pine River, and focused on directly originating, investing in and managing senior commercial mortgage loans and other debt and debt-like commercial real estate investments. The Company contributed its equity interests in its wholly owned subsidiary, TH Commercial Holdings LLC, to Granite Point and, in exchange for its contribution, received approximately 33.1 million shares of common stock of Granite Point, which represents approximately 76.5% of the outstanding stock of Granite Point upon completion of the initial public offering, or IPO, of its common stock on June 28, 2017. The Company’s shares in Granite Point are subject to a 120 day lock-up period, after which the Company anticipates that it will distribute the shares to its stockholders by means of a special pro rata dividend, subject to the discretion and approval of its Board of Directors and in compliance with applicable securities laws. |
Basis of Presentation and Significant Accounting Policies |
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Basis of Presentation and Significant Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Presentation and Significant Accounting Policies | Basis of Presentation and Significant Accounting Policies Consolidation and Basis of Presentation The interim unaudited condensed consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission, or SEC. Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles, or U.S. GAAP, have been condensed or omitted according to such SEC rules and regulations. However, management believes that the disclosures included in these interim condensed consolidated financial statements are adequate to make the information presented not misleading. The accompanying condensed consolidated financial statements should be read in conjunction with the financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2016. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at June 30, 2017 and results of operations for all periods presented have been made. The results of operations for the three and six months ended June 30, 2017 should not be construed as indicative of the results to be expected for future periods or the full year. The condensed consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires us to make a number of significant estimates and assumptions. These estimates include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities and disclosure of contingent assets and liabilities as of the date of the condensed consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. The condensed consolidated financial statements of the Company include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. Certain prior period amounts have been reclassified to conform to the current period presentation. The Company’s Chief Investment Officer manages the investment portfolio as a whole and resources are allocated and financial performance is assessed on a consolidated basis. All trust entities in which the Company holds investments that are considered VIEs for financial reporting purposes were reviewed for consolidation under the applicable consolidation guidance. Whenever the Company has both the power to direct the activities of a trust that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trust. Due to its controlling ownership interest in Granite Point, the Company consolidates Granite Point on its financial statements and reflects noncontrolling interest for the portion of equity and comprehensive income not attributable to the Company. During the consolidation period (until the Granite Point shares are distributed to the Company’s stockholders), the Company’s financial condition and results of operations will reflect all of Granite Point’s commercial real estate investments and financing. No other subsidiary of the Company invests in, finances or manages commercial real estate debt and related instruments. Significant Accounting Policies Included in Note 2 to the Consolidated Financial Statements of the Company’s 2016 Annual Report on Form 10-K is a summary of the Company’s significant accounting policies. Provided below is a summary of additional accounting policies that are significant to the Company’s consolidated financial condition and results of operations for the six months ended June 30, 2017. Convertible Senior Notes Convertible senior notes include unsecured convertible debt that are carried at their unpaid principal balance, net of any unamortized deferred issuance costs, on the Company’s condensed consolidated balance sheet. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. Noncontrolling Interest Due to its controlling ownership interest in Granite Point, the Company consolidates Granite Point on its financial statements and reflects noncontrolling interest for the portion of Granite Point equity and comprehensive income not attributable to the Company. Noncontrolling interest is presented as a separate component of equity on the condensed consolidated balance sheets. In addition, the presentation of both net income and comprehensive income on the condensed consolidated statements of comprehensive income attributes earnings (losses) to the Company’s stockholders (controlling interest) and noncontrolling interests. Pursuant to Accounting Standards Codification (ASC) 810, Consolidation, changes in a parent’s ownership interest (and transactions with noncontrolling interest stockholders in the subsidiary) while the parent retains its controlling interest in its subsidiary should be accounted for as equity transactions. The carrying amount of the noncontrolling interest shall be adjusted to reflect the change in its ownership interest in the subsidiary, with the offset to equity attributable to the parent. The Company’s ownership interest percentage in Granite Point did not change during the period from the completion of Granite Point’s IPO on June 28, 2017 to June 30, 2017. However, noncontrolling interest on the Company’s condensed consolidated balance sheet was impacted by the portion of comprehensive income not attributable to the Company for the period from the completion of Granite Point’s IPO on June 28, 2017 through June 30, 2017. Earnings Per Share Basic and diluted earnings (loss) per share are computed by dividing net income (loss) attributable to common stockholders by the weighted average number of common shares and potential common shares outstanding during the period. For both basic and diluted per share calculations, potential common shares represents issued and unvested shares of restricted stock, which have full rights to the common stock dividend declarations of the Company. If the assumed conversion of convertible notes into common shares is dilutive, diluted earnings (loss) per share is adjusted by adding back the periodic interest expense (net of any tax effects) associated with dilutive convertible notes to net income (loss) attributable to common stockholders and adding the shares issued in an assumed conversion to the diluted weighted average share count. Offsetting Assets and Liabilities Certain of the Company’s repurchase agreements are governed by underlying agreements that provide for a right of setoff in the event of default by either party to the agreement. The Company also has netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association, or ISDA, or central clearing exchange agreements, in the case of centrally cleared interest rate swaps. Additionally, the Company and the counterparty or clearing agency are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparty. Under U.S. GAAP, if the Company has a valid right of setoff, it may offset the related asset and liability and report the net amount. The Company presents repurchase agreements subject to master netting arrangements or similar agreements on a gross basis, and derivative assets and liabilities subject to such arrangements on a net basis, based on derivative type and counterparty, in its condensed consolidated balance sheets. Separately, the Company presents cash collateral subject to such arrangements on a net basis, based on counterparty, in its condensed consolidated balance sheets. However, the Company does not offset financial assets and liabilities with the associated cash collateral on its condensed consolidated balance sheets. The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of June 30, 2017 and December 31, 2016:
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Recently Issued and/or Adopted Accounting Standards Revenue from Contracts with Customers In May 2014, the Financial Accounting Standards Board, or FASB, issued ASU No. 2014-09, which is a comprehensive revenue recognition standard that supersedes virtually all existing revenue guidance under U.S. GAAP. The standard’s core principle is that an entity will recognize revenue when it transfers 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 and services. As a result of the issuance of ASU No. 2015-14 in August 2015 deferring the effective date of ASU No. 2014-09 by one year, the ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2017, with early adoption prohibited. The Company has evaluated the new guidance and determined that interest income, gains and losses on financial instruments and income from servicing residential mortgage loans are outside the scope of ASC 606, Revenues from Contracts with Customers. For income from servicing residential mortgage loans, the Company considered that the FASB Transition Resource Group members generally agreed that an entity should look to ASC 860, Transfers and Servicing, to determine the appropriate accounting for these fees and ASC 606 contains a scope exception for contracts that fall under ASC 860. As a result, the Company has determined that the adoption of this ASU will not have a material impact on the Company's financial condition, results of operations or financial statement disclosures. Recognition and Measurement of Financial Assets and Financial Liabilities In January 2016, the FASB issued ASU No. 2016-01, which changes how entities measure certain equity investments and present changes in the fair value of financial liabilities measured under the fair value option that are attributable to their own credit. The ASU requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2017, with early adoption permitted. Early adoption of this ASU did not have an impact on the Company’s financial condition, results of operations or financial statement disclosures. Lease Classification and Accounting In February 2016, the FASB issued ASU No. 2016-02, which requires lessees to recognize on their balance sheets both a lease liability for the obligation to make lease payments and a right-of-use asset for the right to use the underlying asset for the lease term. The ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2018, with early adoption permitted. The Company has determined this ASU will not have a material impact on the Company’s financial condition, results of operations or financial statement disclosures. Measurement of Credit Losses on Financial Instruments In June 2016, the FASB issued ASU No. 2016-13, which changes the impairment model for most financial assets and certain other instruments. Allowances for credit losses on AFS debt securities will be recognized, rather than direct reductions in the amortized cost of the investments. The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost. The ASU requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2019, with early adoption permitted for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2018. The Company is evaluating the adoption of this ASU to determine the impact it may have on its condensed consolidated financial statements, which at the date of adoption, is expected to increase the allowance for credit losses with a resulting negative adjustment to retained earnings, with offsetting impacts to accumulated other comprehensive income. Classification of Certain Cash Receipts and Cash Payments and Restricted Cash In August 2016, the FASB issued ASU No. 2016-15, which clarifies how entities should classify certain cash receipts and cash payments and how the predominance principle should be applied on the statement of cash flows. Additionally, in November 2016, the FASB issued ASU No. 2016-18, which requires entities to show the changes in the total of cash, cash equivalents, restricted cash and restricted cash equivalents, but no longer present transfers between cash and cash equivalents and restricted cash and cash equivalents in the statement of cash flows. Both ASUs are effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2017, with early adoption permitted. Early adoption of these ASUs did not impact the Company’s financial condition or results of operations but impacted the presentation of the statements of cash flows and related footnote disclosures. The Company included restricted cash of $249.7 million, $408.3 million, $363.2 million and $262.6 million as of June 30, 2017, December 31, 2016, June 30, 2016 and December 31, 2015, respectively, with cash and cash equivalents, as shown on the condensed consolidated statements of cash flows. |
Variable Interest Entities |
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Variable Interest Entities | Variable Interest Entities The Company retains subordinated debt and excess servicing rights purchased from securitization trusts sponsored by either third parties or the Company’s subsidiaries. Additionally, the Company is the sole certificate holder of a trust entity that holds a commercial real estate loan. All of these trusts are considered VIEs for financial reporting purposes and, thus, were reviewed for consolidation under the applicable consolidation guidance. Because the Company has both the power to direct the activities of the trusts that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trusts. As the Company is required to reassess VIE consolidation guidance each quarter, new facts and circumstances may change the Company’s determination. A change in the Company’s determination could result in a material impact to the Company’s condensed consolidated financial statements during subsequent reporting periods. The following table presents a summary of the assets and liabilities of all consolidated trusts as reported on the condensed consolidated balance sheets as of June 30, 2017 and December 31, 2016:
The Company is not required to consolidate VIEs for which it has concluded it does not have both the power to direct the activities of the VIEs that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant. The Company’s investments in these unconsolidated VIEs include non-Agency RMBS, which are classified within available-for-sale securities, at fair value on the condensed consolidated balance sheets. As of June 30, 2017 and December 31, 2016, the carrying value, which also represents the maximum exposure to loss, of all non-Agency RMBS in unconsolidated VIEs was $2.3 billion and $1.9 billion, respectively. |
Available-for-Sale Securities, at Fair Value |
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Available-for-Sale Securities, at Fair Value | Available-for-Sale Securities, at Fair Value The Company holds AFS investment securities which are carried at fair value on the condensed consolidated balance sheets. AFS securities exclude the retained interests from the Company’s on-balance sheet securitizations, as they are eliminated in consolidation in accordance with U.S. GAAP. The following table presents the Company’s AFS investment securities by collateral type as of June 30, 2017 and December 31, 2016:
At June 30, 2017 and December 31, 2016, the Company pledged AFS securities with a carrying value of $16.4 billion and $13.1 billion, respectively, as collateral for repurchase agreements and advances from the Federal Home Loan Bank of Des Moines, or the FHLB. See Note 15 - Repurchase Agreements and Note 17 - Federal Home Loan Bank of Des Moines Advances. At June 30, 2017 and December 31, 2016, the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC 860, to be considered linked transactions and, therefore, classified as derivatives. The following tables present the amortized cost and carrying value (which approximates fair value) of AFS securities by collateral type as of June 30, 2017 and December 31, 2016:
The following tables present the carrying value of the Company’s AFS securities by rate type as of June 30, 2017 and December 31, 2016:
The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of June 30, 2017:
When the Company purchases a credit-sensitive AFS security at a significant discount to its face value, the Company often does not amortize into income a significant portion of this discount that the Company is entitled to earn because the Company does not expect to collect the entire discount due to the inherent credit risk of the security. The Company may also record an other-than-temporary impairment, or OTTI, for a portion of its investment in the security to the extent the Company believes that the amortized cost will exceed the present value of expected future cash flows. The amount of principal that the Company does not amortize into income is designated as a credit reserve on the security, with unamortized net discounts or premiums amortized into income over time to the extent realizable. The following table presents the changes for the three and six months ended June 30, 2017 and 2016 of the unamortized net discount and designated credit reserves on non-Agency AFS securities.
The following table presents the components comprising the carrying value of AFS securities not deemed to be other than temporarily impaired by length of time that the securities had an unrealized loss position as of June 30, 2017 and December 31, 2016. At June 30, 2017, the Company held 1,306 AFS securities, of which 233 were in an unrealized loss position for less than twelve consecutive months and 131 were in an unrealized loss position for more than twelve consecutive months. At December 31, 2016, the Company held 1,239 AFS securities, of which 252 were in an unrealized loss position for less than twelve consecutive months and 125 were in an unrealized loss position for more than twelve consecutive months. Of the $5.9 billion and $6.4 billion of AFS securities in an unrealized loss position for less than twelve consecutive months as of June 30, 2017 and December 31, 2016, $5.7 billion, or 97.2%, and $6.1 billion, or 95.8%, respectively, were Agency AFS securities, whose principal and interest are guaranteed by the GSEs.
Evaluating AFS Securities for Other-Than-Temporary Impairments In evaluating AFS securities for OTTI, the Company determines whether there has been a significant adverse quarterly change in the cash flow expectations for a security. The Company compares the amortized cost of each security in an unrealized loss position against the present value of expected future cash flows of the security. The Company also considers whether there has been a significant adverse change in the regulatory and/or economic environment as part of this analysis. If the amortized cost of the security is greater than the present value of expected future cash flows using the original yield as the discount rate, an other-than-temporary credit impairment has occurred. If the Company does not intend to sell and will not be more likely than not required to sell the security, the credit loss is recognized in earnings and the balance of the unrealized loss is recognized in either other comprehensive income, net of tax, or gain (loss) on investment securities, depending on the accounting treatment. If the Company intends to sell the security or will be more likely than not required to sell the security, the full unrealized loss is recognized in earnings. During both the three and six months ended June 30, 2017, the Company recorded $0.4 million in other-than-temporary credit impairments on one non-Agency RMBS where the future expected cash flows for the security were less than its amortized cost. During the three and six months ended June 30, 2016, the Company recorded $0.1 million and $0.8 million, respectively, in other-than-temporary credit impairments on three non-Agency RMBS where the future expected cash flows for each security were less than its amortized cost. As of June 30, 2017, impaired securities with a carrying value of $117.6 million had actual weighted average cumulative losses of 5.2%, weighted average three-month prepayment speed of 5.2%, weighted average 60+ day delinquency of 21.4% of the pool balance, and weighted average FICO score of 659. At June 30, 2017, the Company did not intend to sell the securities and determined that it was not more likely than not that the Company will be required to sell the securities; therefore, only the projected credit loss was recognized in earnings. The following table presents the changes in OTTI included in earnings for the three and six months ended June 30, 2017 and 2016:
Cumulative credit losses related to OTTI may be reduced for securities sold as well as for securities that mature, are paid down, or are prepaid such that the outstanding principal balance is reduced to zero. Additionally, increases in cash flows expected to be collected over the remaining life of the security cause a reduction in the cumulative credit loss. Gross Realized Gains and Losses Gains and losses from the sale of AFS securities are recorded as realized gains (losses) within gain (loss) on investment securities in the Company’s condensed consolidated statements of comprehensive income. For the three and six months ended June 30, 2017, the Company sold AFS securities for $2.7 billion and $5.1 billion with an amortized cost of $2.6 billion and $5.1 billion for net realized gains of $33.3 million and losses of $17.1 million, respectively. For the three and six months ended June 30, 2016, the Company sold AFS securities for $1.5 billion and $3.8 billion with an amortized cost of $1.5 billion and $3.7 billion for net realized gains of $9.9 million and $31.6 million, respectively. The following table presents the gross realized gains and losses on sales of AFS securities for the three and six months ended June 30, 2017 and 2016:
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Commercial Real Estate Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commercial Real Estate Assets | Commercial Real Estate Assets The Company originates and purchases commercial real estate debt and related instruments generally to be held as long-term investments. These assets are classified as commercial real estate assets on the condensed consolidated balance sheets. Additionally, the Company is the sole certificate holder of a trust entity that holds a commercial real estate loan. The underlying loan held by the trust is consolidated on the Company’s condensed consolidated balance sheet and classified as commercial real estate assets. See Note 3 - Variable Interest Entities for additional information regarding consolidation of the trust. Commercial real estate assets are reported at cost, net of any unamortized acquisition premiums or discounts, loan fees and origination costs as applicable, unless the assets are deemed impaired. The following tables summarize the Company’s commercial real estate assets by asset type, property type and geographic location as of June 30, 2017 and December 31, 2016:
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At June 30, 2017 and December 31, 2016, the Company pledged commercial real estate assets with a carrying value of $1.6 billion and $1.4 billion, respectively, as collateral for repurchase agreements and FHLB advances. See Note 15 - Repurchase Agreements and Note 17 - Federal Home Loan Bank of Des Moines Advances. The following table summarizes activity related to commercial real estate assets for the three and six months ended June 30, 2017 and 2016.
The Company evaluates each loan for impairment at least quarterly by assessing the risk factors of each loan and assigning a risk rating based on a variety of factors. Risk factors include property type, geographic and local market dynamics, physical condition, leasing and tenant profile, projected cash flow, loan structure and exit plan, loan-to-value ratio, project sponsorship, and other factors deemed necessary. Risk ratings are defined as follows:
The following table presents the number of loans, unpaid principal balance and carrying value (amortized cost) by risk rating for commercial real estate assets as of June 30, 2017 and December 31, 2016:
The Company has not recorded any allowances for losses as no loans are past-due and it is not deemed probable that the Company will not be able to collect all amounts due pursuant to the contractual terms of the loans. |
Servicing Activities |
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Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Servicing Activities | Servicing Activities Mortgage Servicing Rights, at Fair Value One of the Company’s wholly owned subsidiaries has approvals from Fannie Mae, Freddie Mac, and Ginnie Mae to own and manage MSR, which represent the right to control the servicing of mortgage loans. The Company and its subsidiaries do not originate or directly service mortgage loans, and instead contract with appropriately licensed subservicers to handle substantially all servicing functions for the loans underlying the Company’s MSR. The following table summarizes activity related to MSR for the three and six months ended June 30, 2017 and 2016.
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At June 30, 2017 and December 31, 2016, the Company pledged MSR with a carrying value of $166.0 million and $180.9 million, respectively, as collateral for revolving credit facilities. See Note 18 - Revolving Credit Facilities. As of June 30, 2017 and December 31, 2016, the key economic assumptions and sensitivity of the fair value of MSR to immediate 10% and 20% adverse changes in these assumptions were as follows:
These assumptions and sensitivities are hypothetical and should be considered with caution. Changes in fair value based on 10% and 20% variations in assumptions generally cannot be extrapolated because the relationship of the change in assumptions to the change in fair value may not be linear. Also, the effect of a variation in a particular assumption on the fair value of MSR is calculated without changing any other assumptions. In reality, changes in one factor may result in changes in another (e.g., increased market interest rates may result in lower prepayments and increased credit losses) that could magnify or counteract the sensitivities. Further, these sensitivities show only the change in the asset balances and do not show any expected change in the fair value of the instruments used to manage the interest rates and prepayment risks associated with these assets. Risk Mitigation Activities The primary risk associated with the Company’s MSR is interest rate risk and the resulting impact on prepayments. A significant decline in interest rates could lead to higher-than-expected prepayments that could reduce the value of the MSR. The Company economically hedges the impact of these risks with its Agency RMBS portfolio. Mortgage Servicing Income The following table presents the components of servicing income recorded on the Company’s condensed consolidated statements of comprehensive income for the three and six months ended June 30, 2017 and 2016:
Mortgage Servicing Advances In connection with the servicing of loans, the Company’s subservicers make certain payments for property taxes and insurance premiums, default and property maintenance payments, as well as advances of principal and interest payments before collecting them from individual borrowers. Servicing advances, including contractual interest, are priority cash flows in the event of a loan principal reduction or foreclosure and ultimate liquidation of the real estate-owned property, thus making their collection reasonably assured. These servicing advances, which are funded by the Company, totaled $21.1 million and $26.1 million and were included in other assets on the condensed consolidated balance sheets as of June 30, 2017 and December 31, 2016, respectively. Serviced Mortgage Assets The Company’s total serviced mortgage assets consist of loans underlying MSR, loans held in consolidated VIEs classified as residential mortgage loans held-for-investment in securitization trusts and loans owned and classified as residential mortgage loans held-for-sale. The following table presents the number of loans and unpaid principal balance of the mortgage assets for which the Company manages the servicing as of June 30, 2017 and December 31, 2016:
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Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value |
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Residential Mortgage Loans Held-for-Investment [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||
Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value | Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value The Company retains subordinated debt and excess servicing rights purchased from securitization trusts sponsored by either third parties or the Company’s subsidiaries. The underlying residential mortgage loans held by the trusts, which are consolidated on the Company’s condensed consolidated balance sheets, are classified as residential mortgage loans held-for-investment in securitization trusts and carried at fair value as a result of a fair value option election. See Note 3 - Variable Interest Entities for additional information regarding consolidation of the securitization trusts. The following table presents the carrying value of the Company’s residential mortgage loans held-for-investment in securitization trusts as of June 30, 2017 and December 31, 2016:
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Residential Mortgage Loans Held-for-Sale, at Fair Value |
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Residential Mortgage Loans Held-for-Sale [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||
Residential Mortgage Loans Held-for-Sale, at Fair Value | Residential Mortgage Loans Held-for-Sale, at Fair Value Residential mortgage loans held-for-sale consists of residential mortgage loans carried at fair value as a result of a fair value option election. The following table presents the carrying value of the Company’s residential mortgage loans held-for-sale as of June 30, 2017 and December 31, 2016:
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Cash, Cash Equivalents and Restricted Cash |
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Cash, Cash Equivalents and Restricted Cash [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash, Cash Equivalents and Restricted Cash | Cash, Cash Equivalents and Restricted Cash Cash and cash equivalents include cash held in bank accounts and cash held in money market funds on an overnight basis. The Company is required to maintain certain cash balances with counterparties for securities and derivatives trading activity and collateral for the Company’s repurchase agreements and FHLB advances in restricted accounts. The Company has also placed cash in a restricted account pursuant to a letter of credit on an office space lease. The following table presents the Company’s restricted cash balances as of June 30, 2017 and December 31, 2016:
The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on the Company’s condensed consolidated balance sheets as of June 30, 2017 and December 31, 2016 that sum to the total of the same such amounts shown in the statements of cash flows:
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Accrued Interest Receivable |
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Accrued Interest Receivable | Accrued Interest Receivable The following table presents the Company’s accrued interest receivable by collateral type as of June 30, 2017 and December 31, 2016:
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Derivative Instruments and Hedging Activities |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities | Derivative Instruments and Hedging Activities The Company enters into a variety of derivative and non-derivative instruments in connection with its risk management activities. The primary objective for executing these derivative and non-derivative instruments is to mitigate the Company’s economic exposure to future events that are outside its control, principally market risk and cash flow volatility associated with interest rate risk (including associated prepayment risk). Specifically, the Company enters into derivative and non-derivative instruments to economically hedge interest rate risk or “duration mismatch (or gap)” by adjusting the duration of its floating-rate borrowings into fixed-rate borrowings to more closely match the duration of its assets. This particularly applies to floating-rate borrowing agreements with maturities or interest rate resets of less than six months. Typically, the interest receivable terms (i.e., LIBOR) of certain derivatives match the terms of the underlying debt, resulting in an effective conversion of the rate of the related repurchase agreement or FHLB advance from floating to fixed. The objective is to manage the cash flows associated with current and anticipated interest payments on borrowings, as well as the ability to roll or refinance borrowings at the desired amount by adjusting the duration. To help manage the adverse impact of interest rate changes on the value of the Company’s portfolio as well as its cash flows, the Company may, at times, enter into various forward contracts, including short securities, Agency to-be-announced securities, or TBAs, options, futures, swaps, caps and total return swaps. In executing on the Company’s current risk management strategy, the Company has entered into interest rate swap and swaption agreements, TBAs, put and call options for TBAs, credit default swaps and total return swaps (based on the Markit IOS Index). The Company has also entered into a number of non-derivative instruments to manage interest rate risk, principally MSR and Agency interest-only securities (see discussion below). The following summarizes the Company’s significant asset and liability classes, the risk exposure for these classes, and the Company’s risk management activities used to mitigate these risks. The discussion includes both derivative and non-derivative instruments used as part of these risk management activities. Any of the Company’s derivative and non-derivative instruments may be entered into in conjunction with one another in order to mitigate risks. As a result, the following discussions of each type of instrument should be read as a collective representation of the Company’s risk mitigation efforts and should not be considered independent of one another. While the Company uses derivative and non-derivative instruments to achieve the Company’s risk management activities, it is possible that these instruments will not effectively mitigate all or a substantial portion of the Company’s market rate risk. In addition, the Company might elect, at times, not to enter into certain hedging arrangements in order to maintain compliance with REIT requirements. Balance Sheet Presentation In accordance with ASC 815, Derivatives and Hedging, or ASC 815, the Company records derivative financial instruments on its condensed consolidated balance sheets as assets or liabilities at fair value. Changes in fair value are accounted for depending on the use of the derivative instruments and whether they qualify for hedge accounting treatment. Due to the volatility of the credit markets and difficulty in effectively matching pricing or cash flows, the Company has elected to treat all current derivative contracts as trading instruments. The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading instruments as of June 30, 2017 and December 31, 2016.
Comprehensive Income Statement Presentation The Company has not applied hedge accounting to its current derivative portfolio held to mitigate interest rate risk and credit risk. As a result, the Company is subject to volatility in its earnings due to movement in the unrealized gains and losses associated with its derivative instruments. The following table summarizes the location and amount of gains and losses on derivative instruments reported in the condensed consolidated statements of comprehensive income:
For the three and six months ended June 30, 2017, the Company recognized $2.6 million and $10.5 million, respectively, of expenses for the accrual and/or settlement of the net interest expense associated with its interest rate swaps. The expenses result from paying either a fixed interest rate or LIBOR interest and receiving either LIBOR interest or a fixed interest rate on an average $17.5 billion and $18.1 billion notional, respectively. For the three and six months ended June 30, 2016, the Company recognized $7.7 million and $13.8 million, respectively, of expenses for the accrual and/or settlement of the net interest expense associated with its interest rate swaps. The expenses result from paying either a fixed interest rate or LIBOR interest and receiving either LIBOR interest or a fixed interest rate on an average $14.8 billion and $14.9 billion notional, respectively. The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the three and six months ended June 30, 2017 and 2016:
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Cash flow activity related to derivative instruments is reflected within the operating activities and investing activities sections of the condensed consolidated statements of cash flows. Derivative fair value adjustments are reflected within the unrealized loss on interest rate swaps and swaptions, unrealized loss on other derivative instruments, and gain on residential mortgage loans held-for-sale line items within the operating activities section of the condensed consolidated statements of cash flows. Realized gains and losses on interest rate swap and swaption agreements are reflected within the (gain) loss on termination and option expiration of interest rate swaps and swaptions line item within the operating activities section of the condensed consolidated statements of cash flows. The remaining cash flow activity related to derivative instruments is reflected within the (purchases) short sales of other derivative instruments, proceeds from sales (payments for termination) of other derivative instruments, net and (decrease) increase in due to counterparties, net line items within the investing activities section of the condensed consolidated statements of cash flows. Interest Rate Sensitive Assets/Liabilities The Company’s Agency RMBS portfolio is generally subject to change in value when mortgage rates decline or increase, depending on the type of investment. Rising mortgage rates generally result in a slowing of refinancing activity, which slows prepayments and results in a decline in the value of the Company’s fixed-rate Agency pools. To mitigate the impact of this risk on the Company’s fixed-rate Agency pool portfolio, the Company maintains a portfolio of fixed-rate interest-only securities and MSR, which increase in value when interest rates increase. As of June 30, 2017 and December 31, 2016, the Company had $65.4 million and $71.1 million, respectively, of interest-only securities, and $898.0 million and $693.8 million, respectively, of MSR in place to economically hedge its RMBS. Interest-only securities are included in AFS securities, at fair value, in the condensed consolidated balance sheets. The Company monitors its borrowings under repurchase agreements and FHLB advances, which are generally floating-rate debt, in relation to the rate profile of its portfolio. In connection with its risk management activities, the Company enters into a variety of derivative and non-derivative instruments to economically hedge interest rate risk or “duration mismatch (or gap)” by adjusting the duration of its floating-rate borrowings into fixed-rate borrowings to more closely match the duration of its assets. This particularly applies to borrowing agreements with maturities or interest rate resets of less than six months. Typically, the interest receivable terms (i.e., LIBOR) of certain derivatives match the terms of the underlying debt, resulting in an effective conversion of the rate of the related repurchase agreement or FHLB advance from floating to fixed. The objective is to manage the cash flows associated with current and anticipated interest payments on borrowings, as well as the ability to roll or refinance borrowings at the desired amount by adjusting the duration. To help manage the adverse impact of interest rate changes on the value of the Company’s portfolio as well as its cash flows, the Company may, at times, enter into various forward contracts, including short securities, Agency to-be-announced securities, or TBAs, options, futures, swaps, caps, credit default swaps and total return swaps. In executing on the Company’s current interest rate risk management strategy, the Company has entered into TBAs, put and call options for TBAs, interest rate swap and swaption agreements and Markit IOS total return swaps. TBAs. At times, the Company may use TBAs as a means of deploying capital until targeted investments are available and to take advantage of temporary displacements in the marketplace. Additionally, the Company may use TBAs independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. TBAs are forward contracts for the purchase (long notional positions) or sale (short notional positions) of Agency RMBS. The issuer, coupon and stated maturity of the Agency RMBS are predetermined as well as the trade price, face amount and future settle date (published each month by the Securities Industry and Financial Markets Association). However, the specific Agency RMBS to be delivered upon settlement is not known at the time of the TBA transaction. As a result, and because physical delivery of the Agency RMBS upon settlement cannot be assured, the Company accounts for TBAs as derivative instruments. As of June 30, 2017, $0.2 billion of the Company’s long notional TBA positions and $1.3 billion of the Company’s short notional TBA positions were held in order to economically hedge portfolio risk. As of December 31, 2016, $1.5 billion of the Company’s long notional TBA positions and $3.0 billion of the Company’s short notional TBA positions were held in order to economically hedge portfolio risk. The Company discloses these positions on a gross basis according to the unrealized gain or loss position of each TBA contract regardless of long or short notional position. The following tables present the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of June 30, 2017 and December 31, 2016:
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Put and Call Options for TBAs. The Company may use put and call options for TBAs independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. As of June 30, 2017 and December 31, 2016, the Company had purchased put and call options for TBAs with a notional amount of $2.9 billion and $2.5 billion, and short sold put and call options for TBAs with a notional amount of $1.6 billion and $3.6 billion, respectively. As of June 30, 2017, the last of the options expires in August 2017. The put and call options had a fair market value of $0.5 million included in derivative assets, at fair value, and $0.9 million included in derivative liabilities, at fair value, on the condensed consolidated balance sheet as of June 30, 2017. As of December 31, 2016, put and call options for TBAs had a fair market value of $42.6 million included in derivative assets, at fair value, on the condensed consolidated balance sheet. Interest Rate Swap Agreements. The Company may use interest rate swaps independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. As of June 30, 2017 and December 31, 2016, the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) whereby the Company receives interest at a three-month LIBOR rate:
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Additionally, as of June 30, 2017 and December 31, 2016, the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk whereby the Company pays interest at a three-month LIBOR rate:
Interest Rate Swaptions. The Company may use interest rate swaptions (agreements to enter into interest rate swaps in the future for which the Company would either pay or receive a fixed rate) independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. As of June 30, 2017 and December 31, 2016, the Company had the following outstanding interest rate swaptions that were utilized as macro-economic hedges:
Markit IOS Total Return Swaps. The Company may use total return swaps (agreements whereby the Company receives or makes payments based on the total return of an underlying instrument or index, such as the Markit IOS Index, in exchange for fixed or floating rate interest payments) independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. The Company enters into total return swaps to help mitigate the potential impact of larger increases or decreases in interest rates on the performance of our portfolio (referred to as “convexity risk”). Total return swaps based on the Markit IOS Index are intended to synthetically replicate the performance of interest-only securities. The Company had the following total return swap agreements in place at June 30, 2017 and December 31, 2016:
Credit Risk The Company’s exposure to credit losses on its Agency RMBS portfolio is limited due to implicit or explicit backing from the GSEs. The payment of principal and interest on the Freddie Mac and Fannie Mae mortgage-backed securities are guaranteed by those respective agencies, and the payment of principal and interest on the Ginnie Mae mortgage-backed securities are backed by the full faith and credit of the U.S. Government. For non-Agency investment securities, residential mortgage loans and commercial real estate assets, the Company may enter into credit default swaps to hedge credit risk. In future periods, the Company could enhance its credit risk protection, enter into further paired derivative positions, including both long and short credit default swaps, and/or seek opportunistic trades in the event of a market disruption (see discussion under “Non-Risk Management Activities” below). The Company also has processes and controls in place to monitor, analyze, manage and mitigate its credit risk with respect to non-Agency RMBS, residential mortgage loans and commercial real estate assets. Derivative financial instruments contain an element of credit risk if counterparties are unable to meet the terms of the agreements. Credit risk associated with derivative financial instruments is measured as the net replacement cost should the counterparties that owe the Company under such contracts completely fail to perform under the terms of these contracts, assuming there are no recoveries of underlying collateral, as measured by the market value of the derivative financial instruments. As of June 30, 2017, the fair value of derivative financial instruments as an asset and liability position was $240.5 million and $2.6 million, respectively. The Company attempts to mitigate its credit risk exposure on derivative financial instruments by limiting its counterparties to banks and financial institutions that meet established credit guidelines. The Company also seeks to spread its credit risk exposure across multiple counterparties in order to reduce its exposure to any single counterparty. Additionally, the Company reduces credit risk on the majority of its derivative instruments by entering into agreements that permit the closeout and netting of transactions with the same counterparty or clearing agency, in the case of centrally cleared interest rate swaps, upon the occurrence of certain events. To further mitigate the risk of counterparty default, the Company maintains collateral agreements with certain of its counterparties and clearing agencies, which require both parties to maintain cash deposits in the event the fair values of the derivative financial instruments exceed established thresholds. As of June 30, 2017, the Company had received cash deposits from counterparties of $35,000 and placed cash deposits of $152.8 million in accounts maintained by counterparties, of which the amounts are netted on a counterparty basis and classified within restricted cash, due from counterparties, or due to counterparties on the Company’s condensed consolidated balance sheets. Non-Risk Management Activities The Company has entered into certain financial instruments that are considered derivative contracts under ASC 815 that are not for purposes of hedging. These contracts are currently limited to inverse interest-only RMBS. Inverse Interest-Only Securities. As of June 30, 2017 and December 31, 2016, inverse interest-only securities with a carrying value of $109.3 million and $127.8 million, including accrued interest receivable of $1.0 million and $1.2 million, respectively, are accounted for as derivative financial instruments in the condensed consolidated financial statements. The following table presents the amortized cost and carrying value (which approximates fair value) of inverse interest-only securities as of June 30, 2017 and December 31, 2016:
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Other Assets | Other Assets Other assets as of June 30, 2017 and December 31, 2016 are summarized in the following table:
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Other Liabilities | Other Liabilities Other liabilities as of June 30, 2017 and December 31, 2016 are summarized in the following table:
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | Fair Value Fair Value Measurements ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets (i.e., observable inputs) and the lowest priority to data lacking transparency (i.e., unobservable inputs). Additionally, ASC 820 requires an entity to consider all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability. ASC 820 establishes a three-level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels:
Following are descriptions of the valuation methodologies used to measure material assets and liabilities at fair value and details of the valuation models, key inputs to those models and significant assumptions utilized. Available-for-sale securities. The Company holds a portfolio of AFS securities that are carried at fair value in the condensed consolidated balance sheets and primarily comprised of Agency and non-Agency RMBS. The Company determines the fair value of its Agency RMBS based upon prices obtained from third-party pricing providers or broker quotes received using bid price, which are deemed indicative of market activity. The third-party pricing providers and brokers use pricing models that generally incorporate such factors as coupons, primary and secondary mortgage rates, rate reset period, issuer, prepayment speeds, credit enhancements and expected life of the security. In determining the fair value of its non-Agency RMBS, management judgment may be used to arrive at fair value that considers prices obtained from third-party pricing providers, broker quotes received and other applicable market data. If observable market prices are not available or insufficient to determine fair value due principally to illiquidity in the marketplace, then fair value is based upon internally developed models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels, and credit losses). The Company classified 100% of its RMBS AFS securities reported at fair value as Level 2 at June 30, 2017. AFS securities account for 79.3% of all assets reported at fair value at June 30, 2017. Mortgage servicing rights. The Company holds a portfolio of MSR that are carried at fair value on the condensed consolidated balance sheets. The Company determines fair value of its MSR based on prices obtained from third-party pricing providers. Although MSR transactions are observable in the marketplace, the valuation is based upon cash flow models that include unobservable market data inputs (including prepayment speeds, delinquency levels and discount rates). As a result, the Company classified 100% of its MSR as Level 3 fair value assets at June 30, 2017. Residential mortgage loans held-for-investment in securitization trusts. The Company recognizes on its condensed consolidated balance sheets residential mortgage loans held-for-investment in securitization trusts that are carried at fair value as a result of a fair value option election. An entity is allowed to measure both the financial assets and financial liabilities of a qualifying CFE it consolidates using the fair value of either the CFE’s financial assets or financial liabilities, whichever is more observable. As the Company’s securitization trusts are considered qualifying CFEs, the Company determines the fair value of these residential mortgage loans based on the fair value of its collateralized borrowings in securitization trusts and its retained interests from the Company’s on-balance sheet securitizations (eliminated in consolidation in accordance with U.S. GAAP), as the fair value of these instruments is more observable. The Company classified 100% of its residential mortgage loans held-for-investment in securitization trusts as Level 2 fair value assets at June 30, 2017. Residential mortgage loans held-for-sale. The Company holds residential mortgage loans held-for-sale that are carried at fair value in the condensed consolidated balance sheets as a result of a fair value option election. The Company determines fair value of its residential mortgage loans based on prices obtained from third-party pricing providers and other applicable market data. If observable market prices are not available or insufficient to determine fair value due principally to illiquidity in the marketplace, then fair value is based upon cash flow models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels and credit losses). The Company classified 1.5% and 98.5% of its residential mortgage loans held-for-sale as Level 2 and Level 3 fair value assets, respectively, at June 30, 2017. Derivative instruments. The Company may enter into a variety of derivative financial instruments as part of its hedging strategies. The Company principally executes over-the-counter, or OTC, derivative contracts, such as interest rate swaps, swaptions, put and call options for TBAs and U.S. Treasuries, credit default swaps, constant maturity swaps and Markit IOS total return swaps. The Company utilizes third-party pricing providers to value its financial derivative instruments. The Company classified 100% of the interest rate swaps, swaptions, put and call options for TBAs and Markit IOS total returns swaps reported at fair value as Level 2 at June 30, 2017. The Company may also enter into certain other derivative financial instruments, such as TBAs, short U.S. Treasuries and inverse interest-only securities. These instruments are similar in form to the Company’s AFS securities and the Company utilizes a pricing service to value TBAs and broker quotes to value short U.S. Treasuries and inverse interest-only securities. The Company classified 100% of its inverse interest-only securities at fair value as Level 2 at June 30, 2017. The Company reported 100% of its TBAs as Level 1 as of June 30, 2017. The Company did not hold any short U.S. Treasuries at June 30, 2017. The Company’s risk management committee governs trading activity relating to derivative instruments. The Company’s policy is to minimize credit exposure related to financial derivatives used for hedging by limiting the hedge counterparties to major banks, financial institutions, exchanges, and private investors who meet established capital and credit guidelines as well as by limiting the amount of exposure to any individual counterparty. The Company has netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by ISDA, or central clearing exchange agreements, in the case of centrally cleared interest rate swaps. Additionally, both the Company and the counterparty or clearing agency are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparty. Posting of cash collateral typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash collateral posting at low posting thresholds, credit exposure to the Company and/or to the counterparty or clearing agency is considered materially mitigated. Based on the Company’s assessment, there is no requirement for any additional adjustment to derivative valuations specifically for credit. Collateralized borrowings in securitization trusts. The Company recognizes on its condensed consolidated balance sheets collateralized borrowings that are carried at fair value as a result of a fair value option election. In determining the fair value of its collateralized borrowings, management judgment may be used to arrive at fair value that considers prices obtained from third-party pricing providers, broker quotes received and other applicable market data. If observable market prices are not available or insufficient to determine fair value due principally to illiquidity in the marketplace, then fair value is based upon internally developed models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels, and credit losses). The Company classified 100% of its collateralized borrowings in securitization trusts as Level 2 fair value liabilities at June 30, 2017. The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities.
The Company may be required to measure certain assets or liabilities at fair value from time to time. These periodic fair value measures typically result from application of certain impairment measures under U.S. GAAP. These items would constitute nonrecurring fair value measures under ASC 820. As of June 30, 2017, the Company did not have any assets or liabilities measured at fair value on a nonrecurring basis in the periods presented. The valuation of Level 3 instruments requires significant judgment by the third-party pricing providers and/or management. The third-party pricing providers and/or management rely on inputs such as market price quotations from market makers (either market or indicative levels), original transaction price, recent transactions in the same or similar instruments, and changes in financial ratios or cash flows to determine fair value. Level 3 instruments may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the third-party pricing provider in the absence of market information. Assumptions used by the third-party pricing provider due to lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s condensed consolidated financial statements. The Company’s valuation committee reviews all valuations that are based on pricing information received from a third-party pricing provider. As part of this review, prices are compared against other pricing or input data points in the marketplace, along with internal valuation expertise, to ensure the pricing is reasonable. In addition, the Company performs back-testing of pricing information to validate price information and identify any pricing trends of a third-party price provider. In determining fair value, third-party pricing providers use various valuation approaches, including market and income approaches. Inputs that are used in determining fair value of an instrument may include pricing information, credit data, volatility statistics, and other factors. In addition, inputs can be either observable or unobservable. The availability of observable inputs can vary by instrument and is affected by a wide variety of factors, including the type of instrument, whether the instrument is new and not yet established in the marketplace and other characteristics particular to the instrument. The third-party pricing provider uses prices and inputs that are current as of the measurement date, including during periods of market dislocations. In periods of market dislocation, the availability of prices and inputs may be reduced for many instruments. This condition could cause an instrument to be reclassified to or from various levels within the fair value hierarchy. Securities for which market quotations are readily available are valued at the bid price (in the case of long positions) or the ask price (in the case of short positions) at the close of trading on the date as of which value is determined. Exchange-traded securities for which no bid or ask price is available are valued at the last traded price. OTC derivative contracts, including interest rate swaps and swaption agreements, put and call options for TBAs and U.S. Treasuries, constant maturity swaps, credit default swaps and Markit IOS total return swaps, are valued by the Company using observable inputs, specifically quotations received from third-party pricing providers, and are therefore classified within Level 2. The following table presents the reconciliation for all of the Company’s Level 3 assets measured at fair value on a recurring basis:
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The Company did not incur transfers between Level 1, Level 2 or Level 3 during the six months ended June 30, 2017. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place. The Company used a third-party pricing provider in the fair value measurement of its Level 3 residential mortgage loans held-for-sale. The significant unobservable inputs used by the third-party pricing provider included expected default, severity and discount rate. Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. The Company also used a third-party pricing provider in the fair value measurement of its Level 3 MSR. The table below presents information about the significant unobservable inputs used by the third-party pricing providers in the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at June 30, 2017:
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Fair Value Option for Financial Assets and Financial Liabilities On July 1, 2015, the Company elected the fair value option for Agency interest-only securities and GSE credit risk transfer securities acquired on or after such date. The fair value option was elected to simplify the reporting of changes in fair value. Agency interest-only securities and GSE credit risk transfer securities are carried within AFS securities on the condensed consolidated balance sheets. The Company’s policy is to separately record interest income, net of premium amortization or including discount accretion, on these fair value elected securities. Fair value adjustments are reported in gain (loss) on investment securities on the condensed consolidated statements of comprehensive income. The Company also elected the fair value option for both the residential mortgage loans held-for-investment in securitization trusts and the collateralized borrowings in securitization trusts carried on the condensed consolidated balance sheets. The fair value option was elected to better reflect the economics of the Company’s retained interests. The Company’s policy is to separately record interest income on the fair value elected loans and interest expense on the fair value elected borrowings. Upfront fees and costs are not deferred or capitalized. Fair value adjustments are reported in other income (loss) on the condensed consolidated statements of comprehensive income. The Company elected the fair value option for its residential mortgage loans held-for-sale. The fair value option was elected to mitigate earnings volatility by better matching the accounting for the assets with the related hedges. The mortgage loans are carried within residential mortgage loans held-for-sale on the condensed consolidated balance sheets. The Company’s policy is to separately record interest income on these fair value elected loans. Upfront fees and costs related to the fair value elected loans are not deferred or capitalized. Fair value adjustments are reported in gain on residential mortgage loans held-for-sale on the condensed consolidated statements of comprehensive income. The fair value option is irrevocable once the loan is acquired. The following tables summarize the fair value option elections and information regarding the line items and amounts recognized in the condensed consolidated statements of comprehensive income for each fair value option-elected item.
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The table below provides the fair value and the unpaid principal balance for the Company’s fair value option-elected loans and collateralized borrowings.
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Fair Value of Financial Instruments In accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the condensed consolidated balance sheets, for which fair value can be estimated. The following describes the Company’s methods for estimating the fair value for financial instruments. Descriptions are not provided for those items that have zero balances as of the current balance sheet date.
The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at June 30, 2017 and December 31, 2016.
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Repurchase Agreements |
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Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements | Repurchase Agreements As of June 30, 2017 and December 31, 2016, the Company had outstanding $13.3 billion and $9.3 billion, respectively, of repurchase agreements. Excluding the effect of the Company’s interest rate swaps, the repurchase agreements had a weighted average borrowing rate of 1.56% and 1.31% and weighted average remaining maturities of 98 and 77 days as of June 30, 2017 and December 31, 2016, respectively. At June 30, 2017 and December 31, 2016, the repurchase agreement balances were as follows:
At June 30, 2017 and December 31, 2016, the repurchase agreements had the following characteristics and remaining maturities:
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The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of repurchase agreements:
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Although the transactions under repurchase agreements represent committed borrowings until maturity, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral or fund margin calls. The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at June 30, 2017 and December 31, 2016:
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The Company does not anticipate any defaults by its repurchase agreement counterparties. There can be no assurance, however, that any such default or defaults will not occur. |
Collateralized Borrowings in Securitization Trusts, at Fair Value |
6 Months Ended |
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Jun. 30, 2017 | |
Collateralized Borrowings in Securitization Trusts [Abstract] | |
Collateralized Borrowings in Securitization Trusts, at Fair Value | Collateralized Borrowings in Securitization Trusts, at Fair Value The Company retains subordinated debt and excess servicing rights purchased from securitization trusts sponsored by either third parties or the Company’s subsidiaries. The debt associated with the underlying residential mortgage loans held by the trusts, which are consolidated on the Company’s condensed consolidated balance sheets, is classified as collateralized borrowings in securitization trusts and carried at fair value as a result of a fair value option election. See Note 3 - Variable Interest Entities for additional information regarding consolidation of the securitization trusts. As of June 30, 2017 and December 31, 2016, collateralized borrowings in securitization trusts had a carrying value of $2.9 billion and $3.0 billion with a weighted average interest rate of 3.4% and 3.4%, respectively. The stated maturity dates for all collateralized borrowings were more than five years from both June 30, 2017 and December 31, 2016. |
Federal Home Loan Bank of Des Moines Advances |
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Advances from Federal Home Loan Banks [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal Home Loan Bank of Des Moines Advances | Federal Home Loan Bank of Des Moines Advances The Company’s wholly owned subsidiary, TH Insurance Holdings Company LLC, or TH Insurance, is a member of the FHLB. As a member of the FHLB, TH Insurance has access to a variety of products and services offered by the FHLB, including secured advances. As of June 30, 2017 and December 31, 2016, TH Insurance had $3.2 billion and $4.0 billion in outstanding secured advances with a weighted average borrowing rate of 1.52% and 0.85%, respectively. As of June 30, 2017, TH Insurance had an additional $349.7 million of available uncommitted capacity for borrowings. TH Insurance had no additional uncommitted capacity to borrow as of December 31, 2016. To the extent TH Insurance has uncommitted capacity, it may be adjusted at the sole discretion of the FHLB. The ability to borrow from the FHLB is subject to the Company’s continued creditworthiness, pledging of sufficient eligible collateral to secure advances, and compliance with certain agreements with the FHLB. Each advance requires approval by the FHLB and is secured by collateral in accordance with the FHLB’s credit and collateral guidelines, as may be revised from time to time by the FHLB. Eligible collateral may include conventional 1-4 family residential mortgage loans, commercial real estate loans, Agency RMBS and certain non-Agency RMBS with a rating of A and above. On January 11, 2016, the Federal Housing Finance Agency, or FHFA, released a final rule regarding membership in the Federal Home Loan Bank system. Among other effects, the final rule excludes captive insurers from membership eligibility, including the Company’s subsidiary member, TH Insurance. Since TH Insurance was admitted as a member in 2013, it is eligible for a membership grace period that shall run through February 19, 2021, during which new advances or renewals that mature beyond the grace period will be prohibited; however, any existing advances that mature beyond this grace period will be permitted to remain in place subject to their terms insofar as the Company maintains good standing with the FHLB. If any new advances or renewals occur, TH Insurance’s outstanding advances will be limited to 40% of its total assets. At June 30, 2017 and December 31, 2016, FHLB advances had the following remaining maturities:
The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of FHLB advances:
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The FHLB retains the right to mark the underlying collateral for FHLB advances to fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral. In addition, as a condition to membership in the FHLB, the Company is required to purchase and hold a certain amount of FHLB stock, which is based, in part, upon the outstanding principal balance of advances from the FHLB. At June 30, 2017 and December 31, 2016, the Company had stock in the FHLB totaling $134.8 million and $167.9 million, respectively, which is included in other assets on the condensed consolidated balance sheets. FHLB stock is considered a non-marketable, long-term investment, is carried at cost and is subject to recoverability testing under applicable accounting standards. This stock can only be redeemed or sold at its par value, and only to the FHLB. Accordingly, when evaluating FHLB stock for impairment, the Company considers the ultimate recoverability of the par value rather than recognizing temporary declines in value. As of June 30, 2017 and December 31, 2016, the Company had not recognized an impairment charge related to its FHLB stock. |
Revolving Credit Facilities |
6 Months Ended |
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Jun. 30, 2017 | |
Revolving Credit Facilities [Abstract] | |
Revolving Credit Facilities | Revolving Credit Facilities To finance MSR, the Company enters into revolving credit facilities collateralized by the value of the MSR pledged. As of June 30, 2017 and December 31, 2016, the Company had outstanding short-term borrowings under revolving credit facilities of $40.0 million and $70.0 million with a weighted average borrowing rate of 4.83% and 4.53% and weighted average remaining maturities of 86 and 306 days, respectively. Although the transactions under revolving credit facilities represent committed borrowings from the time of funding until maturity, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets below a designated threshold would require the Company to provide additional collateral or pay down the facility. As of June 30, 2017 and December 31, 2016, MSR with a carrying value of $166.0 million and $180.9 million, respectively, was pledged as collateral for the Company’s future payment obligations under its revolving credit facilities. The Company does not anticipate any defaults by its revolving credit facility counterparties, although there can be no assurance that any such default or defaults will not occur. |
Convertible Senior Notes |
6 Months Ended |
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Jun. 30, 2017 | |
Debt Disclosure [Abstract] | |
Convertible Senior Notes | Convertible Senior Notes On January 19, 2017, the Company closed an underwritten public offering of $287.5 million aggregate principal amount of convertible senior notes due 2022, which included $37.5 million aggregate principal amount sold by the Company to the underwriter of the offering pursuant to an overallotment option. The net proceeds from the offering were approximately $282.2 million after deducting underwriting discounts and estimated offering expenses payable by the Company. The notes are unsecured, pay interest semiannually at a rate of 6.25% per annum and are convertible at the option of the holder into shares of the Company’s common stock. The notes will mature in January 2022, unless earlier converted or repurchased in accordance with their terms. The Company does not have the right to redeem the notes prior to maturity, but may be required to repurchase the notes from holders under certain circumstances. As of June 30, 2017, the notes had a conversion rate of 100.3065 shares of common stock per $1,000 principal amount of the notes and the outstanding amount due on the convertible senior notes was $282.3 million, net of deferred issuance costs. |
Equity |
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Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity | Equity Preferred Stock On March 14, 2017, the Company issued 5,000,000 shares of 8.125% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share, in a public offering at a price of $25.00 per share. On March 21, 2017, an additional 750,000 shares were sold by the Company to the underwriters of the offering pursuant to an overallotment option. Holders of the preferred stock are entitled to receive, when and as declared, a dividend at a fixed rate of 8.125% per annum of the $25.00 liquidation preference. On and after April 27, 2027, dividends will accumulate and be payable at a floating rate of three-month LIBOR plus a spread of 5.66% per annum of the $25.00 liquidation preference. The preferred stock ranks senior to the Company’s common stock with respect to the payment of dividends and the distribution of assets upon the voluntary or involuntary liquidation, dissolution or winding up of the Company. Under certain circumstances upon a change of control, the preferred stock is convertible into shares of the Company’s common stock. The preferred stock will not be redeemable before April 27, 2027, except under certain limited circumstances. On or after April 27, 2027, the Company may, at its option, redeem, in whole or in part, at any time or from time to time, the preferred stock at a redemption price of $25.00 per share, plus any accumulated and unpaid dividends thereon (whether or not authorized or declared) up to, but excluding, the redemption date. The net proceeds from the offering were approximately $138.9 million, after deducting underwriting discounts and estimated offering expenses payable by the Company. During the three months ended June 30, 2017, the Company declared dividends to Series A preferred stockholders of $4.3 million or $0.75043 per preferred share. Common Stock Distributions to Stockholders The following table presents cash dividends declared by the Company on its common stock during the three and six months ended June 30, 2017, and the four immediately preceding quarters:
Dividend Reinvestment and Direct Stock Purchase Plan The Company sponsors a dividend reinvestment and direct stock purchase plan through which stockholders may purchase additional shares of the Company’s common stock by reinvesting some or all of the cash dividends received on shares of the Company’s common stock. Stockholders may also make optional cash purchases of shares of the Company’s common stock subject to certain limitations detailed in the plan prospectus. An aggregate of 7.5 million shares of the Company’s common stock were originally reserved for issuance under the plan. As of June 30, 2017, 370,332 shares have been issued under the plan for total proceeds of approximately $3.7 million, of which 15,173 and 26,438 shares were issued for total proceeds of $0.2 million and $0.3 million during the three and six months ended June 30, 2017, respectively. During the three and six months ended June 30, 2016, 14,495 and 29,143 shares were issued for total proceeds of $0.1 million and $0.2 million, respectively. Share Repurchase Program The Company’s share repurchase program allows for the repurchase of up to an aggregate of 75,000,000 shares of the Company’s common stock. Shares may be repurchased from time to time through privately negotiated transactions or open market transactions, pursuant to a trading plan in accordance with Rules 10b5-1 and 10b-18 under the Securities Exchange Act of 1934, as amended, or the Exchange Act, or by any combination of such methods. The manner, price, number and timing of share repurchases are subject to a variety of factors, including market conditions and applicable SEC rules. The share repurchase program does not require the purchase of any minimum number of shares, and, subject to SEC rules, purchases may be commenced or suspended at any time without prior notice. The share repurchase program does not have an expiration date. As of June 30, 2017, a total of 24,135,000 shares had been repurchased by the Company under the program for an aggregate cost of $200.4 million; of these, 8,020,000 shares were repurchased for a total cost of $61.3 million during the six months ended June 30, 2016. No shares were repurchased during the three months ended June 30, 2016, or the three and six months ended June 30, 2017. At-the-Market Offering On May 25, 2012, the Company entered into an equity distribution agreement under which the Company may sell up to an aggregate of 20,000,000 shares of its common stock from time to time in any method permitted by law deemed to be an “at the market” offering as defined in Rule 415 under the Securities Act of 1933, as amended, or the Securities Act. On May 22, 2015, the Company entered into an amendment to the equity distribution agreement providing that any subsequent offers or sales of the Company’s common stock under the equity distribution agreement shall be made pursuant to a new prospectus supplement, which was filed on the same date. As of June 30, 2017, 7,585,869 shares of common stock have been sold under the equity distribution agreement for total accumulated net proceeds of approximately $77.6 million; however, no shares were sold during the three and six months ended June 30, 2017 and 2016. Accumulated Other Comprehensive Income Accumulated other comprehensive income at June 30, 2017 and December 31, 2016 was as follows:
Reclassifications out of Accumulated Other Comprehensive Income The following table summarizes reclassifications out of accumulated other comprehensive income for the three and six months ended June 30, 2017 and 2016:
Noncontrolling Interest On June 28, 2017, the Company contributed its equity interests in its wholly owned subsidiary, TH Commercial Holdings LLC, to Granite Point and, in exchange for its contribution, received approximately 33.1 million shares of common stock of Granite Point, representing approximately 76.5% of the outstanding stock of Granite Point upon completion of the IPO of its common stock on June 28, 2017. Granite Point issued 10,000,000 shares of its common stock in the IPO at a price of $19.50 per share, for gross proceeds of $195.0 million. Net proceeds were approximately $181.9 million, net of issuance costs of approximately $13.1 million. Due to its controlling ownership interest in Granite Point, the Company consolidates Granite Point on its financial statements and reflects noncontrolling interest for the portion of equity and comprehensive income not attributable to the Company. Should the Company’s ownership interest in Granite Point change during the time it retains controlling interest, the carrying amount of the noncontrolling interest will be adjusted to reflect the change in its ownership interest, with the offset to stockholders’ equity. The Company’s shares in Granite Point are subject to a 120 day lock-up period, after which the Company anticipates that it will distribute the shares to its stockholders by means of a special pro rata dividend, subject to the discretion and approval of its Board of Directors and in compliance with applicable securities laws. Once the shares are distributed, the Company will no longer have a controlling interest in Granite Point and, therefore, will deconsolidate Granite Point and its subsidiaries from its financial statements. In connection with the Granite Point IPO, the Company agreed, subject to certain conditions, to purchase up to $20 million of Granite Point common stock in the open market at designated prices below Granite Point’s publicly reported book value pursuant to a share purchase program that will end on the earlier of the date on which all the capital committed to the plan has been exhausted or the date preceding the ex-dividend date associated with the Company’s declaration of a pro rata distribution of Granite Point’s common stock to the Company’s stockholders, but no later than December 31, 2017. |
Equity Incentive Plan |
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Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity Incentive Plan | Equity Incentive Plan During the six months ended June 30, 2017 and 2016, the Company granted 69,117 and 81,739 shares of common stock, respectively, to its independent directors pursuant to the Company’s Second Restated 2009 Equity Incentive Plan, or the Plan. The estimated fair value of these awards was $9.91 and $8.43 per share on grant date, based on the closing price of the Company’s common stock on the NYSE on such date. The grants vested immediately. Additionally, during the six months ended June 30, 2017 and 2016, the Company granted 1,274,572 and 1,677,998 shares of restricted common stock, respectively, to key employees of PRCM Advisers pursuant to the terms of the Plan and the associated award agreements. The estimated fair value of these awards was $8.74 and $7.33 per share on grant date, based on the closing market price of the Company’s common stock on the NYSE on such date. However, as the cost of these awards is measured at fair value at each reporting date based on the price of the Company’s stock as of period end in accordance with ASC 505, Equity, or ASC 505, the fair value of these awards as of June 30, 2017 was $9.91 per share based on the closing market price of the Company’s common stock on the NYSE on such date. The shares underlying the grants vest in three equal annual installments commencing on the first anniversary of the grant date, as long as such grantee complies with the terms and conditions of his or her applicable restricted stock award agreement. The following table summarizes the activity related to restricted common stock for the six months ended June 30, 2017 and 2016:
For the three and six months ended June 30, 2017, the Company recognized compensation costs related to restricted common stock of $4.3 million and $8.2 million, respectively. For the three and six months ended June 30, 2016, the Company recognized compensation costs related to restricted common stock of $4.9 million and $7.8 million, respectively. Granite Point has adopted a 2017 Equity Incentive Plan, of the Granite Point Plan, to provide incentive compensation to attract and retain qualified directors, officers, advisors, consultants and other personnel. The Granite Point Plan permits the granting of stock options, restricted shares of common stock, phantom shares, dividend equivalent rights, and other equity-based awards. During the three and six months ended June 30, 2017, Granite Point granted 13,205 shares of its restricted common stock to its independent directors and 150,000 shares of its restricted common stock to its executive officers and certain other personnel of an affiliate of its manager pursuant to the Granite Point Plan. The grants to Granite Point’s independent directors vested immediately, while the grants to its executive officers and certain other personnel will vest in three equal annual installments commencing on the first anniversary of the grant date, as long as such grantee complies with the terms and conditions of his or her applicable restricted stock award agreement. |
Income Taxes |
6 Months Ended |
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Jun. 30, 2017 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes For the three and six months ended June 30, 2017 and 2016, the Company qualified to be taxed as a REIT under the Code for U.S. federal income tax purposes. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on its taxable income to the extent it annually distributes its net taxable income to stockholders, and does not engage in prohibited transactions. The Company intends to distribute 100% of its REIT taxable income and comply with all requirements to continue to qualify as a REIT. The majority of states also recognize the Company’s REIT status. The Company’s TRSs file separate tax returns and are fully taxed as standalone U.S. C-corporations. It is assumed that the Company will retain its REIT status and will incur no REIT level taxation as it intends to comply with the REIT regulations and annual distribution requirements. During the three and six months ended June 30, 2017, the Company’s TRSs recognized a provision for income taxes of $8.8 million and a benefit from income taxes of $15.8 million, respectively. The provision for the three months ended June 30, 2017 was primarily due to realized gains on sales of AFS securities held in the Company’s TRSs, while the benefit for the six months ended June 30, 2017 was primarily due to realized losses on sales of AFS securities and net losses incurred on derivative instruments held in the Company’s TRSs. During the three and six months ended June 30, 2016, the Company’s TRSs recognized a benefit from income taxes of $14.8 million and $9.3 million, respectively, which was primarily due to losses incurred on MSR and derivative instruments held in the Company’s TRSs. At June 30, 2017, a $4.3 million valuation allowance was established because the Company determined that it is more likely than not that the associated deferred tax asset will not be realized. At December 31, 2016, the Company had not recorded a valuation allowance for any portion of its deferred tax assets as it did not believe, at a more likely than not level, that any portion of its deferred tax assets would not be realized. Based on the Company’s evaluation, it has been concluded that there are no significant uncertain tax positions requiring recognition in the Company’s condensed consolidated financial statements of a contingent tax liability for uncertain tax positions. |
Earnings Per Share |
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Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Earnings Per Share | Earnings Per Share The following table presents a reconciliation of the earnings (loss) and shares used in calculating basic and diluted earnings (loss) per share for the three and six months ended June 30, 2017 and 2016:
For the three and six months ended June 30, 2017, 28,838,119 common shares related to the assumed conversion of the Company’s convertible senior notes were antidilutive and excluded from the calculation of diluted earnings (loss) per share. |
Related Party Transactions |
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Jun. 30, 2017 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions The following summary provides disclosure of the material transactions with affiliates of the Company. In accordance with its management agreement with PRCM Advisers, the Company incurred $11.7 million and $23.1 million as a management fee to PRCM Advisers for the three and six months ended June 30, 2017, respectively, and $11.8 million and $23.9 million as a management fee to PRCM Advisers for the three and six months ended June 30, 2016, respectively, which represents approximately 1.5% of stockholders’ equity on an annualized basis as defined by the management agreement. For purposes of calculating the management fee, stockholders’ equity is adjusted to exclude the consolidated stockholders’ equity of Granite Point and its subsidiaries included in the Company’s condensed consolidated balance sheet and any common stock repurchases, as well as any unrealized gains, losses or other items that do not affect realized net income (loss), among other adjustments, in accordance with the management agreement. In addition, the Company reimbursed PRCM Advisers for direct and allocated costs incurred by PRCM Advisers on behalf of the Company. These direct and allocated costs totaled approximately $6.5 million and $14.0 million for the three and six months ended June 30, 2017, respectively, and $6.0 million and $12.8 million for the three and six months ended June 30, 2016, respectively. Upon the closing of its IPO on June 28, 2017, Granite Point entered into a management agreement with Pine River. In accordance with Granite Point’s management agreement with Pine River, the Company incurred $0.1 million as a management fee to Pine River for both the three and six months ended June 30, 2017, which represents approximately 1.5% of Granite Point’s equity on an annualized basis as defined by the management agreement. For purposes of calculating the management fee, equity is adjusted to exclude any common stock repurchases as well as any unrealized gains, losses or other items that do not affect realized net income (loss), among other adjustments, in accordance with the management agreement. The Company has direct relationships with the majority of its third-party vendors. The Company will continue to have certain costs allocated to it by PRCM Advisers for compensation, data services, technology and certain office lease payments, but most direct expenses with third-party vendors are paid directly by the Company. The Company recognized $4.3 million and $8.2 million of compensation expense during the three and six months ended June 30, 2017, respectively, and $4.9 million and $7.8 million of compensation expense during the three and six months ended June 30, 2016, respectively, related to restricted common stock issued to employees of PRCM Advisers and the Company’s independent directors pursuant to the Plan. See Note 21 - Equity Incentive Plan for additional information. |
Subsequent Events |
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Jun. 30, 2017 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events On July 19, 2017, the Company issued 11,500,000 shares of 7.625% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share, in a public offering at a price of $25.00 per share, which included 1,500,000 shares sold to the underwriters of the offering pursuant to an overallotment option. Holders of the preferred stock are entitled to receive, when and as declared, a dividend at a fixed rate of 7.625% per annum of the $25.00 liquidation preference. On and after July 27, 2027, dividends will accumulate and be payable at a floating rate of three-month LIBOR plus a spread of 5.352% per annum of the $25.00 liquidation preference. The preferred stock ranks senior to the Company’s common stock and on parity with the Company’s 8.125% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock with respect to the payment of dividends and the distribution of assets upon the voluntary or involuntary liquidation, dissolution or winding up of the Company. Under certain circumstances upon a change of control, the preferred stock is convertible into shares of the Company’s common stock. The preferred stock will not be redeemable before July 27, 2027, except under certain limited circumstances. On or after July 27, 2027, the Company may, at its option, redeem, in whole or in part, at any time or from time to time, the preferred stock at a redemption price of $25.00 per share, plus any accumulated and unpaid dividends thereon (whether or not authorized or declared) up to, but excluding, the redemption date. The net proceeds from the offering were approximately $278.1 million, after deducting underwriting discounts and estimated offering expenses payable by the Company. Events subsequent to June 30, 2017, were evaluated through the date these financial statements were issued and no additional events were identified requiring further disclosure in these condensed consolidated financial statements. |
Basis of Presentation and Significant Accounting Policies (Policies) |
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Basis of Presentation and Significant Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consolidation and Basis of Presentation | Consolidation and Basis of Presentation The interim unaudited condensed consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission, or SEC. Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles, or U.S. GAAP, have been condensed or omitted according to such SEC rules and regulations. However, management believes that the disclosures included in these interim condensed consolidated financial statements are adequate to make the information presented not misleading. The accompanying condensed consolidated financial statements should be read in conjunction with the financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2016. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at June 30, 2017 and results of operations for all periods presented have been made. The results of operations for the three and six months ended June 30, 2017 should not be construed as indicative of the results to be expected for future periods or the full year. The condensed consolidated financial statements of the Company have been prepared on the accrual basis of accounting in accordance with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires us to make a number of significant estimates and assumptions. These estimates include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, the period of time during which the Company anticipates an increase in the fair values of real estate securities sufficient to recover unrealized losses in those securities, and other estimates that affect the reported amounts of certain assets and liabilities and disclosure of contingent assets and liabilities as of the date of the condensed consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material. The condensed consolidated financial statements of the Company include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. Certain prior period amounts have been reclassified to conform to the current period presentation. The Company’s Chief Investment Officer manages the investment portfolio as a whole and resources are allocated and financial performance is assessed on a consolidated basis. All trust entities in which the Company holds investments that are considered VIEs for financial reporting purposes were reviewed for consolidation under the applicable consolidation guidance. Whenever the Company has both the power to direct the activities of a trust that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant, the Company consolidates the trust. Due to its controlling ownership interest in Granite Point, the Company consolidates Granite Point on its financial statements and reflects noncontrolling interest for the portion of equity and comprehensive income not attributable to the Company. During the consolidation period (until the Granite Point shares are distributed to the Company’s stockholders), the Company’s financial condition and results of operations will reflect all of Granite Point’s commercial real estate investments and financing. No other subsidiary of the Company invests in, finances or manages commercial real estate debt and related instruments. |
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Convertible Senior Notes | Convertible Senior Notes Convertible senior notes include unsecured convertible debt that are carried at their unpaid principal balance, net of any unamortized deferred issuance costs, on the Company’s condensed consolidated balance sheet. Interest on the notes is payable semiannually until such time the notes mature or are converted into shares of the Company’s common stock. |
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Noncontrolling Interest | Noncontrolling Interest Due to its controlling ownership interest in Granite Point, the Company consolidates Granite Point on its financial statements and reflects noncontrolling interest for the portion of Granite Point equity and comprehensive income not attributable to the Company. Noncontrolling interest is presented as a separate component of equity on the condensed consolidated balance sheets. In addition, the presentation of both net income and comprehensive income on the condensed consolidated statements of comprehensive income attributes earnings (losses) to the Company’s stockholders (controlling interest) and noncontrolling interests. Pursuant to Accounting Standards Codification (ASC) 810, Consolidation, changes in a parent’s ownership interest (and transactions with noncontrolling interest stockholders in the subsidiary) while the parent retains its controlling interest in its subsidiary should be accounted for as equity transactions. The carrying amount of the noncontrolling interest shall be adjusted to reflect the change in its ownership interest in the subsidiary, with the offset to equity attributable to the parent. The Company’s ownership interest percentage in Granite Point did not change during the period from the completion of Granite Point’s IPO on June 28, 2017 to June 30, 2017. However, noncontrolling interest on the Company’s condensed consolidated balance sheet was impacted by the portion of comprehensive income not attributable to the Company for the period from the completion of Granite Point’s IPO on June 28, 2017 through June 30, 2017. |
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Earnings Per Share | Earnings Per Share Basic and diluted earnings (loss) per share are computed by dividing net income (loss) attributable to common stockholders by the weighted average number of common shares and potential common shares outstanding during the period. For both basic and diluted per share calculations, potential common shares represents issued and unvested shares of restricted stock, which have full rights to the common stock dividend declarations of the Company. If the assumed conversion of convertible notes into common shares is dilutive, diluted earnings (loss) per share is adjusted by adding back the periodic interest expense (net of any tax effects) associated with dilutive convertible notes to net income (loss) attributable to common stockholders and adding the shares issued in an assumed conversion to the diluted weighted average share count. |
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Offsetting Assets and Liabilities | Offsetting Assets and Liabilities Certain of the Company’s repurchase agreements are governed by underlying agreements that provide for a right of setoff in the event of default by either party to the agreement. The Company also has netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by the International Swap and Derivatives Association, or ISDA, or central clearing exchange agreements, in the case of centrally cleared interest rate swaps. Additionally, the Company and the counterparty or clearing agency are required to post cash collateral based upon the net underlying market value of the Company’s open positions with the counterparty. Under U.S. GAAP, if the Company has a valid right of setoff, it may offset the related asset and liability and report the net amount. The Company presents repurchase agreements subject to master netting arrangements or similar agreements on a gross basis, and derivative assets and liabilities subject to such arrangements on a net basis, based on derivative type and counterparty, in its condensed consolidated balance sheets. Separately, the Company presents cash collateral subject to such arrangements on a net basis, based on counterparty, in its condensed consolidated balance sheets. However, the Company does not offset financial assets and liabilities with the associated cash collateral on its condensed consolidated balance sheets. The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of June 30, 2017 and December 31, 2016:
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Recently Issued and/or Adopted Accounting Standards | Recently Issued and/or Adopted Accounting Standards Revenue from Contracts with Customers In May 2014, the Financial Accounting Standards Board, or FASB, issued ASU No. 2014-09, which is a comprehensive revenue recognition standard that supersedes virtually all existing revenue guidance under U.S. GAAP. The standard’s core principle is that an entity will recognize revenue when it transfers 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 and services. As a result of the issuance of ASU No. 2015-14 in August 2015 deferring the effective date of ASU No. 2014-09 by one year, the ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2017, with early adoption prohibited. The Company has evaluated the new guidance and determined that interest income, gains and losses on financial instruments and income from servicing residential mortgage loans are outside the scope of ASC 606, Revenues from Contracts with Customers. For income from servicing residential mortgage loans, the Company considered that the FASB Transition Resource Group members generally agreed that an entity should look to ASC 860, Transfers and Servicing, to determine the appropriate accounting for these fees and ASC 606 contains a scope exception for contracts that fall under ASC 860. As a result, the Company has determined that the adoption of this ASU will not have a material impact on the Company's financial condition, results of operations or financial statement disclosures. Recognition and Measurement of Financial Assets and Financial Liabilities In January 2016, the FASB issued ASU No. 2016-01, which changes how entities measure certain equity investments and present changes in the fair value of financial liabilities measured under the fair value option that are attributable to their own credit. The ASU requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2017, with early adoption permitted. Early adoption of this ASU did not have an impact on the Company’s financial condition, results of operations or financial statement disclosures. Lease Classification and Accounting In February 2016, the FASB issued ASU No. 2016-02, which requires lessees to recognize on their balance sheets both a lease liability for the obligation to make lease payments and a right-of-use asset for the right to use the underlying asset for the lease term. The ASU is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2018, with early adoption permitted. The Company has determined this ASU will not have a material impact on the Company’s financial condition, results of operations or financial statement disclosures. Measurement of Credit Losses on Financial Instruments In June 2016, the FASB issued ASU No. 2016-13, which changes the impairment model for most financial assets and certain other instruments. Allowances for credit losses on AFS debt securities will be recognized, rather than direct reductions in the amortized cost of the investments. The new model also requires the estimation of lifetime expected credit losses and corresponding recognition of allowance for losses on trade and other receivables, held-to-maturity debt securities, loans, and other instruments held at amortized cost. The ASU requires certain recurring disclosures and is effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2019, with early adoption permitted for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2018. The Company is evaluating the adoption of this ASU to determine the impact it may have on its condensed consolidated financial statements, which at the date of adoption, is expected to increase the allowance for credit losses with a resulting negative adjustment to retained earnings, with offsetting impacts to accumulated other comprehensive income. Classification of Certain Cash Receipts and Cash Payments and Restricted Cash In August 2016, the FASB issued ASU No. 2016-15, which clarifies how entities should classify certain cash receipts and cash payments and how the predominance principle should be applied on the statement of cash flows. Additionally, in November 2016, the FASB issued ASU No. 2016-18, which requires entities to show the changes in the total of cash, cash equivalents, restricted cash and restricted cash equivalents, but no longer present transfers between cash and cash equivalents and restricted cash and cash equivalents in the statement of cash flows. Both ASUs are effective for annual periods, and interim periods within those annual periods, beginning on or after December 15, 2017, with early adoption permitted. Early adoption of these ASUs did not impact the Company’s financial condition or results of operations but impacted the presentation of the statements of cash flows and related footnote disclosures. The Company included restricted cash of $249.7 million, $408.3 million, $363.2 million and $262.6 million as of June 30, 2017, December 31, 2016, June 30, 2016 and December 31, 2015, respectively, with cash and cash equivalents, as shown on the condensed consolidated statements of cash flows. |
Basis of Presentation and Significant Accounting Policies Offsetting Assets and Liabilities (Tables) |
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Offsetting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Offsetting Assets | The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of June 30, 2017 and December 31, 2016:
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Offsetting Liabilities | The following tables present information about the Company’s assets and liabilities that are subject to master netting arrangements or similar agreements and can potentially be offset on the Company’s condensed consolidated balance sheets as of June 30, 2017 and December 31, 2016:
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Variable Interest Entities (Tables) |
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Variable Interest Entities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Variable Interest Entities | The following table presents a summary of the assets and liabilities of all consolidated trusts as reported on the condensed consolidated balance sheets as of June 30, 2017 and December 31, 2016:
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Available-for-Sale Securities, at Fair Value (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale Securities | The following table presents the Company’s AFS investment securities by collateral type as of June 30, 2017 and December 31, 2016:
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Schedule of Available-for-sale Securities Reconciliation | The following tables present the amortized cost and carrying value (which approximates fair value) of AFS securities by collateral type as of June 30, 2017 and December 31, 2016:
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Available-for-sale Securities Classified by Rate Type | The following tables present the carrying value of the Company’s AFS securities by rate type as of June 30, 2017 and December 31, 2016:
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Available-for-sale Securities, Weighted Average Life Classifications | The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of June 30, 2017:
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Schedule of Available-for-sale Securities Reconciliation, Non-Agency Unamortized Net Discount and Designated Credit Reserves | The following table presents the changes for the three and six months ended June 30, 2017 and 2016 of the unamortized net discount and designated credit reserves on non-Agency AFS securities.
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Schedule of Unrealized Loss on Investments | The following table presents the components comprising the carrying value of AFS securities not deemed to be other than temporarily impaired by length of time that the securities had an unrealized loss position as of June 30, 2017 and December 31, 2016. At June 30, 2017, the Company held 1,306 AFS securities, of which 233 were in an unrealized loss position for less than twelve consecutive months and 131 were in an unrealized loss position for more than twelve consecutive months. At December 31, 2016, the Company held 1,239 AFS securities, of which 252 were in an unrealized loss position for less than twelve consecutive months and 125 were in an unrealized loss position for more than twelve consecutive months. Of the $5.9 billion and $6.4 billion of AFS securities in an unrealized loss position for less than twelve consecutive months as of June 30, 2017 and December 31, 2016, $5.7 billion, or 97.2%, and $6.1 billion, or 95.8%, respectively, were Agency AFS securities, whose principal and interest are guaranteed by the GSEs.
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Other than Temporary Impairment, Credit Losses Recognized in Earnings | The following table presents the changes in OTTI included in earnings for the three and six months ended June 30, 2017 and 2016:
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Schedule of Realized Gain (Loss) | The following table presents the gross realized gains and losses on sales of AFS securities for the three and six months ended June 30, 2017 and 2016:
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Commercial Real Estate Assets (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commercial Real Estate Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Commercial Real Estate Assets Reconciliation | The following tables summarize the Company’s commercial real estate assets by asset type, property type and geographic location as of June 30, 2017 and December 31, 2016:
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Schedule of Commercial Real Estate Assets by Property Type |
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Schedule of Commercial Real Estate Assets by Geographic Location |
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Rollforward of Commercial Real Estate Loans Held-for-Investment | The following table summarizes activity related to commercial real estate assets for the three and six months ended June 30, 2017 and 2016.
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Schedule of Commercial Real Estate Loans Held-for-Investment by Internal Risk Rating | The following table presents the number of loans, unpaid principal balance and carrying value (amortized cost) by risk rating for commercial real estate assets as of June 30, 2017 and December 31, 2016:
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Servicing Activities (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Servicing Assets at Fair Value | The following table summarizes activity related to MSR for the three and six months ended June 30, 2017 and 2016.
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Schedule of Sensitivity Analysis of Fair Value, Transferor's Interests in Transferred Financial Assets | As of June 30, 2017 and December 31, 2016, the key economic assumptions and sensitivity of the fair value of MSR to immediate 10% and 20% adverse changes in these assumptions were as follows:
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Components of Servicing Revenue | The following table presents the components of servicing income recorded on the Company’s condensed consolidated statements of comprehensive income for the three and six months ended June 30, 2017 and 2016:
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Schedule of Total Serviced Mortgage Assets | The following table presents the number of loans and unpaid principal balance of the mortgage assets for which the Company manages the servicing as of June 30, 2017 and December 31, 2016:
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Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||
Residential Mortgage Loans Held-for-Investment [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Residential Mortgage Loans Held-for-Investment Reconciliation | The following table presents the carrying value of the Company’s residential mortgage loans held-for-investment in securitization trusts as of June 30, 2017 and December 31, 2016:
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Residential Mortgage Loans Held-for-Sale, at Fair Value (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||
Residential Mortgage Loans Held-for-Sale [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Residential Mortgage Loans Held-for-Sale Reconciliation | The following table presents the carrying value of the Company’s residential mortgage loans held-for-sale as of June 30, 2017 and December 31, 2016:
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Cash, Cash Equivalents and Restricted Cash (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash, Cash Equivalents and Restricted Cash [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Restricted Cash and Cash Equivalents | The following table presents the Company’s restricted cash balances as of June 30, 2017 and December 31, 2016:
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Schedule of Cash, Cash Equivalents and Restricted Cash | The following table provides a reconciliation of cash, cash equivalents, and restricted cash reported on the Company’s condensed consolidated balance sheets as of June 30, 2017 and December 31, 2016 that sum to the total of the same such amounts shown in the statements of cash flows:
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Accrued Interest Receivable (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued Interest Receivable [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Accrued Interest Receivable | The following table presents the Company’s accrued interest receivable by collateral type as of June 30, 2017 and December 31, 2016:
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Derivative Instruments and Hedging Activities (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading instruments as of June 30, 2017 and December 31, 2016.
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Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance | The following table summarizes the location and amount of gains and losses on derivative instruments reported in the condensed consolidated statements of comprehensive income:
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Schedule of Notional Amounts of Outstanding Derivative Positions | The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the three and six months ended June 30, 2017 and 2016:
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Schedule of TBA Positions | The following tables present the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of June 30, 2017 and December 31, 2016:
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Schedule of Interest Rate Swap Payers | As of June 30, 2017 and December 31, 2016, the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) whereby the Company receives interest at a three-month LIBOR rate:
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Schedule of Interest Rate Swap Receivers | Additionally, as of June 30, 2017 and December 31, 2016, the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk whereby the Company pays interest at a three-month LIBOR rate:
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Schedule of Interest Rate Swaptions | As of June 30, 2017 and December 31, 2016, the Company had the following outstanding interest rate swaptions that were utilized as macro-economic hedges:
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Schedule of Inverse Interest-Only Securities Reconciliation | The following table presents the amortized cost and carrying value (which approximates fair value) of inverse interest-only securities as of June 30, 2017 and December 31, 2016:
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Schedule of Total Return Swaps | The Company had the following total return swap agreements in place at June 30, 2017 and December 31, 2016:
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Other Assets (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Assets [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Other Assets | Other assets as of June 30, 2017 and December 31, 2016 are summarized in the following table:
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Other Liabilities (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Liabilities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Liabilities | Other liabilities as of June 30, 2017 and December 31, 2016 are summarized in the following table:
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Fair Value (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities.
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Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following table presents the reconciliation for all of the Company’s Level 3 assets measured at fair value on a recurring basis:
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Fair Value Inputs, Assets, Quantitative Information | The table below presents information about the significant unobservable inputs used by the third-party pricing providers in the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at June 30, 2017:
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Fair Value, Option, Quantitative Disclosures | The following tables summarize the fair value option elections and information regarding the line items and amounts recognized in the condensed consolidated statements of comprehensive income for each fair value option-elected item.
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Schedule of Financing Receivables, Non Accrual Status | The table below provides the fair value and the unpaid principal balance for the Company’s fair value option-elected loans and collateralized borrowings.
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Fair Value, by Balance Sheet Grouping | The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at June 30, 2017 and December 31, 2016.
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Repurchase Agreements (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Disclosure of Repurchase Agreements [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule Of Repurchase Agreements By Term, Short Or Long | At June 30, 2017 and December 31, 2016, the repurchase agreement balances were as follows:
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Schedule of Repurchase Agreements by Maturity | At June 30, 2017 and December 31, 2016, the repurchase agreements had the following characteristics and remaining maturities:
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Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets | The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of repurchase agreements:
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Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity | The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at June 30, 2017 and December 31, 2016:
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Federal Home Loan Bank of Des Moines Advances (Tables) |
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2017 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances from Federal Home Loan Banks [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Maturities of Federal Home Loan Bank Advances | At June 30, 2017 and December 31, 2016, FHLB advances had the following remaining maturities:
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Schedule of Underlying Assets of Federal Home Loan Bank Advances | The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of FHLB advances:
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Equity (Tables) |
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Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Dividends Declared | The following table presents cash dividends declared by the Company on its common stock during the three and six months ended June 30, 2017, and the four immediately preceding quarters:
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Schedule of Accumulated Other Comprehensive Income (Loss) | Accumulated other comprehensive income at June 30, 2017 and December 31, 2016 was as follows:
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Reclassification out of Accumulated Other Comprehensive Income | The following table summarizes reclassifications out of accumulated other comprehensive income for the three and six months ended June 30, 2017 and 2016:
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Equity Incentive Plan Equity Incentive Plan (Tables) |
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Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity | The following table summarizes the activity related to restricted common stock for the six months ended June 30, 2017 and 2016:
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Earnings Per Share (Tables) |
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Earnings Per Share [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Earnings Per Share, Basic and Diluted | The following table presents a reconciliation of the earnings (loss) and shares used in calculating basic and diluted earnings (loss) per share for the three and six months ended June 30, 2017 and 2016:
|
Organization and Operations (Details) shares in Millions |
Jun. 30, 2017
shares
|
---|---|
Organization and Operations [Abstract] | |
Shares of Granite Point Mortgage Trust Inc. common stock owned (in shares) | 33.1 |
Ownership percentage in Granite Point Mortgage Trust Inc. | 76.50% |
Basis of Presentation and Significant Accounting Policies Offsetting Assets and Liabilities (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Offsetting [Abstract] | ||
Gross amount of recognized derivative assets | $ 275,943 | $ 388,522 |
Gross amount of derivative liabilities offset against derivative assets in the balance sheet | (35,441) | (64,340) |
Net amount of derivative assets presented in the balance sheet | 240,502 | 324,182 |
Gross amount of derivative liabilities not offset against derivative assets in the balance sheet | (2,580) | (12,501) |
Gross amount of cash collateral received not offset against derivative assets in the balance sheet | 0 | 0 |
Net amount of derivative assets after effects of amounts offset and not offset in the balance sheet | 237,922 | 311,681 |
Gross amount of recognized assets subject to master netting arrangements or similar agreements | 275,943 | 388,522 |
Gross amount of liabilities offset against assets subject to master netting arrangements or similar agreements in the balance sheet | (35,441) | (64,340) |
Net amount of assets subject to master netting arrangements or similar agreements presented in the balance sheet | 240,502 | 324,182 |
Gross amount of liabilities not offset against assets subject to master netting arrangements or similar agreements in the balance sheet | (2,580) | (12,501) |
Gross amount of cash collateral received not offset against assets subject to master netting arrangements or similar agreements in the balance sheet | 0 | 0 |
Net amount of assets subject to master netting arrangements or similar agreements after effects of amounts offset and not offset in the balance sheet | 237,922 | 311,681 |
Gross amount of recognized repurchase agreements | (13,316,881) | (9,316,351) |
Gross amount of financial assets offset against repurchase agreements in the balance sheet | 0 | 0 |
Net amount of repurchase agreements presented in the balance sheet | (13,316,881) | (9,316,351) |
Gross amount of financial assets not offset against repurchase agreements in the balance sheet | 13,316,881 | 9,316,351 |
Gross amount of cash collateral pledged not offset against repurchase agreements in the balance sheet | 0 | 0 |
Net amount of repurchase agreements after effects of amounts offset and not offset in the balance sheet | 0 | 0 |
Gross amount of recognized derivative liabilities | (38,021) | (76,841) |
Gross amount of derivative assets offset against derivative liabilities in the balance sheet | 35,441 | 64,340 |
Net amount of derivative liabilities presented in the balance sheet | (2,580) | (12,501) |
Gross amount of derivatives assets not offset against derivative liabilities in the balance sheet | 2,580 | 12,501 |
Gross amount of cash collateral pledged not offset against derivative liabilities in the balance sheet | 0 | 0 |
Net amount of derivative liabilities after effects of amounts offset and not offset in the balance sheet | 0 | 0 |
Gross amount of recognized liabilities subject to master netting arrangements or similar agreements | (13,354,902) | (9,463,192) |
Gross amount of assets offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 35,441 | 64,340 |
Net amount of liabilities subject to master netting arrangements or similar agreements presented in the balance sheet | (13,319,461) | (9,398,852) |
Gross amount of assets not offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 13,319,461 | 9,398,852 |
Gross amount of cash collateral pledged not offset against liabilities subject to master netting arrangements or similar agreements in the balance sheet | 0 | 0 |
Net amount of liabilities subject to master netting arrangements or similar agreements after effects of amounts offset and not offset in the balance sheet | $ 0 | $ 0 |
Basis of Presentation and Significant Accounting Policies Classification of Certain Cash Receipts and Cash Payments and Restricted Cash (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|
Basis of Presentation and Significant Accounting Policies [Abstract] | ||||
Restricted cash | $ 249,728 | $ 408,312 | $ 363,166 | $ 262,562 |
Variable Interest Entities (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Variable Interest Entity [Line Items] | ||
Assets of consolidated Variable Interest Entities | $ 3,184,374 | $ 3,336,292 |
Liabilities of consolidated Variable Interest Entities | 2,900,344 | 3,058,278 |
Assets of nonconsolidated Variable Interest Entities | 2,256,442 | 1,902,384 |
Maximum exposure to loss of nonconsolidated Variable Interest Entities | 2,256,442 | 1,902,384 |
Loans Held-for-Investment, Residential Mortgages [Member] | ||
Variable Interest Entity [Line Items] | ||
Assets of consolidated Variable Interest Entities | 3,120,410 | 3,271,317 |
Commercial Real Estate Assets [Member] | ||
Variable Interest Entity [Line Items] | ||
Assets of consolidated Variable Interest Entities | 45,888 | 45,885 |
Accrued Income Receivable [Member] | ||
Variable Interest Entity [Line Items] | ||
Assets of consolidated Variable Interest Entities | 18,076 | 19,090 |
Assets, Total [Member] | ||
Variable Interest Entity [Line Items] | ||
Assets of consolidated Variable Interest Entities | 3,184,374 | 3,336,292 |
Borrowings [Member] | ||
Variable Interest Entity [Line Items] | ||
Liabilities of consolidated Variable Interest Entities | 2,880,301 | 3,037,196 |
Accrued Liabilities [Member] | ||
Variable Interest Entity [Line Items] | ||
Liabilities of consolidated Variable Interest Entities | 8,190 | 8,708 |
Other Liabilities [Member] | ||
Variable Interest Entity [Line Items] | ||
Liabilities of consolidated Variable Interest Entities | 11,853 | 12,374 |
Liabilities, Total [Member] | ||
Variable Interest Entity [Line Items] | ||
Liabilities of consolidated Variable Interest Entities | $ 2,900,344 | $ 3,058,278 |
Available-for-Sale Securities, at Fair Value (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | $ 16,427,710 | $ 13,128,857 |
Available-for-sale securities, at fair value, pledged as collateral for borrowings | 16,388,868 | 13,117,329 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | 10,177,588 | 8,274,507 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | 3,508,298 | 2,742,630 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | 485,382 | 209,337 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale securities, at fair value | $ 2,256,442 | $ 1,902,383 |
Schedule of Available-for-sale Securities Reconciliation (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Schedule of Available-for-sale Securities [Line Items] | ||
Face Value | $ 19,290,272 | $ 16,303,556 |
Unamortized premium | 827,000 | 571,749 |
Designated credit reserve | (433,736) | (367,437) |
Net, unamortized | (3,619,868) | (3,567,420) |
Amortized Cost | 16,063,668 | 12,940,448 |
Gross unrealized gains | 507,665 | 432,398 |
Gross unrealized losses | (143,623) | (243,989) |
Available-for-sale securities, at fair value | 16,427,710 | 13,128,857 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Face Value | 16,212,860 | 13,571,417 |
Unamortized premium | 827,000 | 571,749 |
Designated credit reserve | 0 | 0 |
Net, unamortized | (2,813,604) | (2,758,445) |
Amortized Cost | 14,226,256 | 11,384,721 |
Gross unrealized gains | 84,781 | 79,040 |
Gross unrealized losses | (139,769) | (237,287) |
Available-for-sale securities, at fair value | 14,171,268 | 11,226,474 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Face Value | 3,077,412 | 2,732,139 |
Unamortized premium | 0 | 0 |
Designated credit reserve | (433,736) | (367,437) |
Net, unamortized | (806,264) | (808,975) |
Amortized Cost | 1,837,412 | 1,555,727 |
Gross unrealized gains | 422,884 | 353,358 |
Gross unrealized losses | (3,854) | (6,702) |
Available-for-sale securities, at fair value | $ 2,256,442 | $ 1,902,383 |
Available-for-sale Securities Classified by Rate Type (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Schedule of Available-for-sale Securities [Line Items] | ||
Adjustable Rate | $ 1,975,776 | $ 1,605,313 |
Fixed Rate | 14,451,934 | 11,523,544 |
Available-for-sale securities, at fair value | 16,427,710 | 13,128,857 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Adjustable Rate | 26,735 | 30,463 |
Fixed Rate | 14,144,533 | 11,196,011 |
Available-for-sale securities, at fair value | 14,171,268 | 11,226,474 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Adjustable Rate | 1,949,041 | 1,574,850 |
Fixed Rate | 307,401 | 327,533 |
Available-for-sale securities, at fair value | $ 2,256,442 | $ 1,902,383 |
Available-for-Sale Securities, Weighted Average Life Classifications (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Schedule of Available-for-sale Securities [Line Items] | ||
Less than or equal to 1 year | $ 41,447 | |
Greater than 1 year and less than or equal to 3 years | 243,270 | |
Greater than 3 years and less than or equal to 5 years | 2,439,495 | |
Greater than 5 years and less than or equal to 10 years | 12,862,728 | |
Greater than 10 years | 840,770 | |
Available-for-sale securities, at fair value | 16,427,710 | $ 13,128,857 |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than or equal to 1 year | 557 | |
Greater than 1 year and less than or equal to 3 years | 48,271 | |
Greater than 3 years and less than or equal to 5 years | 2,127,292 | |
Greater than 5 years and less than or equal to 10 years | 11,973,466 | |
Greater than 10 years | 21,682 | |
Available-for-sale securities, at fair value | 14,171,268 | 11,226,474 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less than or equal to 1 year | 40,890 | |
Greater than 1 year and less than or equal to 3 years | 194,999 | |
Greater than 3 years and less than or equal to 5 years | 312,203 | |
Greater than 5 years and less than or equal to 10 years | 889,262 | |
Greater than 10 years | 819,088 | |
Available-for-sale securities, at fair value | $ 2,256,442 | $ 1,902,383 |
Schedule of Available-for-sale Securities Reconciliation, Non-Agency Unamortized Net Discount and Designated Credit Reserves (Details) - Mortgage-backed Securities, Issued by Private Enterprises [Member] - USD ($) $ in Thousands |
6 Months Ended | |
---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Available-for-sale Securities, Designated Credit Reserve [Member] | ||
Available-for-sale Securities, Unamortized Discount [Roll Forward] | ||
Unamortized discount on available-for-sale securities, beginning balance | $ (367,437) | $ (409,077) |
Acquisitions | (100,558) | (16,217) |
Accretion of net discount | 0 | 0 |
Realized credit losses | 8,424 | (2,371) |
Reclassification adjustment for other-than-temporary impairments | (429) | (211) |
Transfers from (to) | 22,676 | 59,453 |
Sales, calls, other | 3,588 | 32,562 |
Unamortized discount on available-for-sale securities, ending balance | (433,736) | (335,861) |
Available-for-sale Securities, Net, Unamortized [Member] | ||
Available-for-sale Securities, Unamortized Discount [Roll Forward] | ||
Unamortized discount on available-for-sale securities, beginning balance | (808,975) | (707,021) |
Acquisitions | (88,807) | (74,039) |
Accretion of net discount | 44,301 | 32,287 |
Realized credit losses | 0 | 0 |
Reclassification adjustment for other-than-temporary impairments | 0 | 0 |
Transfers from (to) | (22,676) | (59,453) |
Sales, calls, other | 69,893 | 67,121 |
Unamortized discount on available-for-sale securities, ending balance | (806,264) | (741,105) |
Available-for-sale Securities, Unamortized Discount [Member] | ||
Available-for-sale Securities, Unamortized Discount [Roll Forward] | ||
Unamortized discount on available-for-sale securities, beginning balance | (1,176,412) | (1,116,098) |
Acquisitions | (189,365) | (90,256) |
Accretion of net discount | 44,301 | 32,287 |
Realized credit losses | 8,424 | (2,371) |
Reclassification adjustment for other-than-temporary impairments | (429) | (211) |
Transfers from (to) | 0 | 0 |
Sales, calls, other | 73,481 | 99,683 |
Unamortized discount on available-for-sale securities, ending balance | $ (1,240,000) | $ (1,076,966) |
Available-for-Sale Securities, at Fair Value Schedule of Unrealized Loss on Investments (Details) $ in Thousands |
Jun. 30, 2017
USD ($)
position
|
Dec. 31, 2016
USD ($)
position
|
---|---|---|
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-Sale Securities, Number of Positions | position | 1,306 | 1,239 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year | position | 233 | 252 |
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year | position | 131 | 125 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Percent Agency | 97.20% | 95.80% |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 5,911,117 | $ 6,416,820 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Aggregate Losses | (80,353) | (204,034) |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 1,046,174 | 504,978 |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Aggregate Losses | (63,270) | (39,955) |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 6,957,291 | 6,921,798 |
Available-for-sale Securities, Continuous Unrealized Loss Position, Aggregate Losses | (143,623) | (243,989) |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 5,748,188 | $ 6,147,713 |
Available-for-Sale Securities, at Fair Value Other than Temporary Impairment, Credit Losses Recognized in Earnings (Details) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017
USD ($)
|
Jun. 30, 2016
USD ($)
|
Jun. 30, 2017
USD ($)
position
|
Jun. 30, 2016
USD ($)
position
|
|
Available-for-sale Securities [Abstract] | ||||
Other-than-temporary impairment losses | $ (429) | $ (90) | $ (429) | $ (807) |
Other than Temporary Impairment Losses, Investments, Number, Available-for-sale Securities | position | 1 | 3 | ||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Market Value | $ 117,553 | $ 117,553 | ||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Weighted Average Cumulative Losses | 5.20% | |||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Weighted Average Three-Month Prepayment Speed | 0.052 | |||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Delinquency Rate | 21.40% | |||
Other than Temporary Impairment Losses, Investments, Available-for-sale Securities, Weighted Average FICO Score | 659 | |||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||||
Cumulative credit loss at beginning of period | $ (5,606) | (6,620) | (5,606) | $ (6,499) |
Other-than-temporary impairments not previously recognized | (429) | 0 | (429) | (292) |
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | 0 | (90) | 0 | (515) |
Decreases related to other-than-temporary impairments on securities paid down | 0 | 0 | 0 | 0 |
Decreases related to other-than-temporary impairments on securities sold | 0 | 0 | 0 | 596 |
Cumulative credit loss at end of period | $ (6,035) | $ (6,710) | $ (6,035) | $ (6,710) |
Available-for-Sale Securities, at Fair Value Schedule of Realized Gain (Loss) (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Schedule of Available-for-sale Securities [Line Items] | ||||
Available-for-sale Securities, Gross Realized Gains (Losses), Sale Proceeds | $ 2,678,050 | $ 1,505,840 | $ 5,092,725 | $ 3,776,294 |
Available-for-sale Securities, Gross Realized Gains (Losses), Amortized Cost Sold | 2,644,706 | 1,495,970 | 5,109,783 | 3,744,723 |
Gross realized gains | 47,994 | 10,700 | 56,725 | 45,894 |
Gross realized losses | (14,649) | (830) | (73,783) | (14,323) |
Total realized gains (losses) on sales, net | $ 33,345 | $ 9,870 | $ (17,058) | $ 31,571 |
Commercial Real Estate Assets (Details) $ in Thousands |
6 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2017
USD ($)
unit
|
Dec. 31, 2016
USD ($)
unit
|
Mar. 31, 2017
USD ($)
|
Jun. 30, 2016
USD ($)
|
Mar. 31, 2016
USD ($)
|
Dec. 31, 2015
USD ($)
|
|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid principal balance | $ 1,796,247 | $ 1,424,445 | ||||
Unamortized (discount) premium | (190) | (200) | ||||
Unamortized net deferred origination fees | (13,308) | (11,702) | ||||
Commercial real estate assets | 1,782,749 | 1,412,543 | $ 1,548,603 | $ 926,377 | $ 744,259 | $ 660,953 |
Unfunded commitments | $ 215,283 | $ 172,470 | ||||
Number of loans | unit | 46 | 36 | ||||
Weighted average coupon | 5.80% | 5.40% | ||||
Weighted average years to maturity | 2 years 7 months 6 days | 2 years 9 months 18 days | ||||
First Mortgage [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid principal balance | $ 1,648,342 | $ 1,286,200 | ||||
Unamortized (discount) premium | (178) | (185) | ||||
Unamortized net deferred origination fees | (13,179) | (11,481) | ||||
Commercial real estate assets | 1,634,985 | 1,274,534 | ||||
Unfunded commitments | $ 213,703 | $ 170,890 | ||||
Number of loans | unit | 39 | 30 | ||||
Weighted average coupon | 5.60% | 5.10% | ||||
Weighted average years to maturity | 2 years 7 months 6 days | 2 years 10 months 24 days | ||||
Second Mortgage [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid principal balance | $ 132,969 | $ 138,245 | ||||
Unamortized (discount) premium | (12) | (15) | ||||
Unamortized net deferred origination fees | (129) | (221) | ||||
Commercial real estate assets | 132,828 | 138,009 | ||||
Unfunded commitments | $ 1,580 | $ 1,580 | ||||
Number of loans | unit | 6 | 6 | ||||
Weighted average coupon | 9.00% | 8.60% | ||||
Weighted average years to maturity | 2 years | 1 year 6 months | ||||
Junior Loans [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Unpaid principal balance | $ 14,936 | $ 0 | ||||
Unamortized (discount) premium | 0 | 0 | ||||
Unamortized net deferred origination fees | 0 | 0 | ||||
Commercial real estate assets | 14,936 | 0 | ||||
Unfunded commitments | $ 0 | $ 0 | ||||
Number of loans | unit | 1 | 0 | ||||
Weighted average coupon | 8.00% | 0.00% | ||||
Weighted average years to maturity | 9 years 7 months 6 days | 0 days |
Commercial Real Estate Assets by Property Type (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|---|---|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 1,782,749 | $ 1,548,603 | $ 1,412,543 | $ 926,377 | $ 744,259 | $ 660,953 |
Percentage of Commercial Portfolio | 100.00% | 100.00% | ||||
Office Building [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 939,961 | $ 718,780 | ||||
Percentage of Commercial Portfolio | 52.70% | 50.90% | ||||
Multifamily [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 264,920 | $ 260,683 | ||||
Percentage of Commercial Portfolio | 14.90% | 18.50% | ||||
Retail Site [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 246,710 | $ 237,414 | ||||
Percentage of Commercial Portfolio | 13.80% | 16.80% | ||||
Hotel [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 186,854 | $ 90,585 | ||||
Percentage of Commercial Portfolio | 10.50% | 6.40% | ||||
Industrial Property [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 144,304 | $ 105,081 | ||||
Percentage of Commercial Portfolio | 8.10% | 7.40% |
Commercial Real Estate Assets by Geographic Location (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|---|---|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 1,782,749 | $ 1,548,603 | $ 1,412,543 | $ 926,377 | $ 744,259 | $ 660,953 |
Percentage of Commercial Portfolio | 100.00% | 100.00% | ||||
United States, Northeastern Region [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 655,248 | $ 578,762 | ||||
Percentage of Commercial Portfolio | 36.80% | 41.00% | ||||
United States, Western Region [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 389,311 | $ 250,044 | ||||
Percentage of Commercial Portfolio | 21.80% | 17.70% | ||||
United States, Southwestern Region [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 340,094 | $ 267,944 | ||||
Percentage of Commercial Portfolio | 19.10% | 19.00% | ||||
United States, Southeastern Region [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 319,609 | $ 239,194 | ||||
Percentage of Commercial Portfolio | 17.90% | 16.90% | ||||
United States, Midwestern Region [Member] | ||||||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||||
Commercial real estate assets | $ 78,487 | $ 76,599 | ||||
Percentage of Commercial Portfolio | 4.40% | 5.40% |
Rollforward of Commercial Real Estate Assets (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Dec. 31, 2016 |
|
Commercial Real Estate Assets [Abstract] | |||||
Commercial real estate assets pledged as collateral for borrowings | $ 1,603,251 | $ 1,603,251 | $ 1,357,874 | ||
Commercial Real Estate Assets [Roll Forward] | |||||
Commercial real estate assets at beginning of period | 1,548,603 | $ 744,259 | 1,412,543 | $ 660,953 | |
Originations, acquisitions and additional fundings | 238,664 | 193,181 | 378,048 | 280,447 | |
Repayments | (2,437) | (9,856) | (6,246) | (14,387) | |
Net (premium amortization) discount accretion | (18) | 67 | (17) | 140 | |
Increase in net deferred origination fees | (3,771) | (2,899) | (5,710) | (4,009) | |
Amortization of net deferred origination fees | 1,708 | 1,625 | 4,131 | 3,233 | |
Allowance for loan losses | 0 | 0 | 0 | 0 | |
Commercial real estate assets at end of period | $ 1,782,749 | $ 926,377 | $ 1,782,749 | $ 926,377 |
Commercial Real Estate Loans Assets by Internal Risk Rating (Details) $ in Thousands |
Jun. 30, 2017
USD ($)
loan
unit
|
Dec. 31, 2016
USD ($)
loan
unit
|
---|---|---|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of loans | unit | 46 | 36 |
Commercial Real Estate Assets [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of loans | loan | 46 | 36 |
Unpaid Principal Balance | $ 1,796,247 | $ 1,424,445 |
Commercial real estate assets | $ 1,782,749 | $ 1,412,543 |
Commercial Real Estate Assets [Member] | Internal Investment Grade [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of loans | loan | 46 | 36 |
Unpaid Principal Balance | $ 1,796,247 | $ 1,424,445 |
Commercial real estate assets | $ 1,782,749 | $ 1,412,543 |
Commercial Real Estate Assets [Member] | Internal Noninvestment Grade [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Number of loans | loan | 0 | 0 |
Unpaid Principal Balance | $ 0 | $ 0 |
Commercial real estate assets | $ 0 | $ 0 |
Rollforward of Mortgage Servicing Rights, at Fair Value (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Dec. 31, 2016 |
|
Servicing Asset at Fair Value, Amount [Roll Forward] | |||||
Mortgage servicing rights, at fair value, at beginning of period | $ 747,580 | $ 446,170 | $ 693,815 | $ 493,688 | |
Additions from purchases of mortgage servicing rights | 196,920 | 55,938 | 273,876 | 106,211 | |
Additions from sales of residential mortgage loans | 0 | 318 | 20 | 522 | |
Subtractions from sales of mortgage servicing rights | (946) | 0 | (946) | 0 | |
Changes in valuation inputs or assumptions used in the valuation model | (26,111) | (59,074) | (22,929) | (143,433) | |
Other changes in fair value | (19,951) | (17,461) | (37,948) | (34,542) | |
Other changes | 533 | 1,922 | (7,863) | 5,367 | |
Mortgage servicing rights, at fair value, at end of period | 898,025 | $ 427,813 | 898,025 | $ 427,813 | |
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 166,038 | $ 166,038 | $ 180,948 |
Schedule of Mortgage Servicing Rights Sensitivity Analysis of Fair Value (Details) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
|
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | ||
Weighted average prepayment speed: | 10.00% | 9.20% |
Impact on fair value of 10% adverse change | $ (33,975) | $ (25,012) |
Impact on fair value of 20% adverse change | $ (65,496) | $ (48,602) |
Weighted average delinquency: | 1.50% | 1.90% |
Impact on fair value of 10% adverse change | $ (3,891) | $ (1,908) |
Impact on fair value of 20% adverse change | $ (7,723) | $ (3,816) |
Weighted average discount rate: | 10.00% | 9.40% |
Impact on fair value of 10% adverse change | $ (29,276) | $ (23,590) |
Impact on fair value of 20% adverse change | $ (56,695) | $ (45,861) |
Components of Servicing Revenue (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Dec. 31, 2016 |
|
Disclosures Pertaining to Servicing Assets and Servicing Liabilities [Abstract] | |||||
Servicing fee income | $ 49,434 | $ 34,431 | $ 87,934 | $ 67,540 | |
Ancillary fee income | 165 | 488 | 305 | 973 | |
Float income | 1,709 | 897 | 2,842 | 1,436 | |
Servicing income | 51,308 | $ 35,816 | 91,081 | $ 69,949 | |
Servicing advances | $ 21,116 | $ 21,116 | $ 26,147 |
Serviced Mortgage Assets (Details) $ in Thousands |
Jun. 30, 2017
USD ($)
loan
|
Dec. 31, 2016
USD ($)
loan
|
---|---|---|
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Number of Loans | loan | 384,374 | 285,122 |
Unpaid Principal Balance | $ | $ 87,906,426 | $ 66,112,005 |
Servicing Contracts [Member] | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Number of Loans | loan | 379,711 | 280,185 |
Unpaid Principal Balance | $ | $ 84,814,247 | $ 62,827,975 |
Loans Held-for-Investment, Residential Mortgages [Member] | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Number of Loans | loan | 4,404 | 4,604 |
Unpaid Principal Balance | $ | $ 3,052,238 | $ 3,234,044 |
Loans Held-for-Sale, Residential Mortgages [Member] | ||
Assets that Continue to be Recognized, Securitized or Asset-backed Financing Arrangement Assets and any Other Financial Assets Managed Together [Line Items] | ||
Number of Loans | loan | 259 | 333 |
Unpaid Principal Balance | $ | $ 39,941 | $ 49,986 |
Residential Mortgage Loans Held-for-Investment in Securitization Trusts, at Fair Value (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Residential Mortgage Loans Held-for-Investment [Abstract] | ||
Unpaid principal balance | $ 3,052,238 | $ 3,234,044 |
Fair value adjustment | 68,172 | 37,273 |
Residential mortgage loans held-for-investment in securitization trusts, at fair value | $ 3,120,410 | $ 3,271,317 |
Schedule of Residential Mortgage Loans Held-for-Sale Reconciliation (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||||
Unpaid principal balance | $ 39,941 | $ 49,986 | ||
Fair value adjustment | (7,995) | (9,840) | ||
Residential mortgage loans held-for-sale, at fair value | $ 31,946 | $ 40,146 | $ 609,060 | $ 811,431 |
Schedule of Restricted Cash and Cash Equivalents (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|
Restricted Cash and Cash Equivalents Items [Line Items] | ||||
Restricted cash | $ 249,728 | $ 408,312 | $ 363,166 | $ 262,562 |
Restricted Cash and Cash Equivalents Held for Securities Trading Activity [Member] | ||||
Restricted Cash and Cash Equivalents Items [Line Items] | ||||
Restricted cash | 27,820 | 26,310 | ||
Restricted Cash and Cash Equivalents Held for Derivatives Trading Activity [Member] | ||||
Restricted Cash and Cash Equivalents Items [Line Items] | ||||
Restricted cash | 133,844 | 218,896 | ||
Restricted Cash and Cash Equivalents Pledged as Restricted Collateral for Borrowings [Member] | ||||
Restricted Cash and Cash Equivalents Items [Line Items] | ||||
Restricted cash | 87,717 | 162,759 | ||
Restricted Cash and Cash Equivalents Held by Counterparties [Member] | ||||
Restricted Cash and Cash Equivalents Items [Line Items] | ||||
Restricted cash | 249,381 | 407,965 | ||
Restricted Cash and Cash Equivalents for Lease [Member] | ||||
Restricted Cash and Cash Equivalents Items [Line Items] | ||||
Restricted cash | $ 347 | $ 347 |
Schedule of Total Cash, Cash Equivalents and Restricted Cash (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|
Cash, Cash Equivalents and Restricted Cash [Abstract] | ||||
Cash and cash equivalents | $ 651,707 | $ 406,883 | ||
Restricted cash | 249,728 | 408,312 | $ 363,166 | $ 262,562 |
Total cash, cash equivalents and restricted cash | $ 901,435 | $ 815,195 | $ 1,055,354 | $ 1,000,393 |
Accrued Interest Receivable Schedule of Accounts, Notes, Loans and Financing Receivable (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | $ 74,156 | $ 62,751 |
Commercial Real Estate Assets [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 4,887 | 3,699 |
Loans Held-for-Investment, Residential Mortgages [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 17,915 | 18,928 |
Loans Held-for-Sale, Residential Mortgages [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 152 | 164 |
Federal National Mortgage Association Certificates and Obligations (FNMA) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 32,905 | 25,273 |
Federal Home Loan Mortgage Corporation Certificates and Obligations (FHLMC) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 11,614 | 8,914 |
Government National Mortgage Association Certificates and Obligations (GNMA) [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 3,983 | 3,068 |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | 2,700 | 2,705 |
Available-for-sale Securities [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | $ 51,202 | $ 39,960 |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value (Details) - USD ($) |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|---|---|
Notional Disclosures [Abstract] | ||||||
Notional | $ 16,988,116,000 | $ 15,935,535,000 | $ 18,802,500,000 | $ 26,141,370,000 | $ 26,390,596,000 | $ 21,998,381,000 |
Inverse Interest-Only Securities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 109,350,000 | 127,843,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 659,768,052 | 740,844,023 | ||||
Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 300,000 | (17,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 68,629,000 | 90,593,000 | ||||
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 240,502,000 | 324,182,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 19,023,116,000 | 21,708,907,000 | ||||
Derivative Financial Instruments, Assets [Member] | Inverse Interest-Only Securities [Member] | ||||||
Notional Disclosures [Abstract] | ||||||
Notional | 659,768,052 | 740,844,023 | ||||
Derivative Financial Instruments, Assets [Member] | Interest Rate Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 119,321,000 | 109,531,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 13,714,719,000 | 18,471,063,000 | ||||
Derivative Financial Instruments, Assets [Member] | Interest Rate Swaption [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 2,949,000 | 39,881,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 1,850,000,000 | 825,000,000 | ||||
Derivative Financial Instruments, Assets [Member] | Forward Contracts [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 8,060,000 | 4,294,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 1,340,000,000 | 536,000,000 | ||||
Derivative Financial Instruments, Assets [Member] | Options Held [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 522,000 | 42,633,000 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 1,390,000,000 | 1,136,000,000 | ||||
Derivative Financial Instruments, Assets [Member] | Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 300,000 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 68,629,220 | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (2,580,000) | (12,501,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 1,855,000,000 | 3,543,593,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Inverse Interest-Only Securities [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 0 | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (410,000) | (495,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 1,050,000,000 | 1,900,000,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Interest Rate Swaption [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (815,000) | (1,645,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 500,000,000 | 600,000,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Forward Contracts [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (463,000) | (10,344,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 200,000,000 | 953,000,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | Options Held [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | (892,000) | 0 | ||||
Notional Disclosures [Abstract] | ||||||
Notional | 105,000,000 | 0 | ||||
Derivative Financial Instruments, Liabilities [Member] | Total Return Swap [Member] | ||||||
Derivative, Fair Value, Net [Abstract] | ||||||
Fair Value | 0 | (17,000) | ||||
Notional Disclosures [Abstract] | ||||||
Notional | $ 0 | $ 90,592,668 |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | $ (96,250) | $ (59,809) | $ (114,187) | $ (167,880) |
Forward Contracts [Member] | Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | (15,321) | 1,562 | (28,780) | 26,891 |
Options Held [Member] | Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | (7,822) | (44,052) | (19,062) | (45,033) |
Interest Rate Swaption [Member] | Gain (Loss) on Interest Rate Swap and Swaption Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | (29,364) | 22,252 | (49,731) | 5,997 |
Total Return Swap [Member] | Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | (790) | (13,267) | (687) | (34,991) |
Credit Default Swap, Selling Protection [Member] | Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | 0 | (27) | 0 | 382 |
Inverse Interest-Only Securities [Member] | Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | 4,393 | 7,733 | 1,125 | 20,715 |
Loan Purchase Commitments [Member] | Gain (Loss) on Residential Mortgage Loans Held-for-Sale [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | 0 | 950 | 0 | 2,348 |
Short [Member] | Interest Rate Swap [Member] | Gain (Loss) on Interest Rate Swap and Swaption Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | 25,527 | 37,172 | 28,093 | 149,846 |
Long [Member] | Interest Rate Swap [Member] | Gain (Loss) on Interest Rate Swap and Swaption Agreements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Amount of Gain (Loss) Recognized in Income on Derivatives | $ (72,873) | $ (72,132) | $ (45,145) | $ (294,035) |
Derivative Instruments and Hedging Activities Interest Spread on Interest Rate Swaps (Details) - USD ($) |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Average Notional Amount | $ 19,548,102,000 | $ 24,908,389,000 | $ 18,693,638,000 | $ 23,741,682,000 |
Interest Rate Swap [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Interest Expense on Interest Rate Swap and Swaption Agreements | $ 2,574,000 | $ 7,656,000 | $ 10,478,000 | $ 13,846,000 |
Schedule of Notional Amounts of Derivative Positions (Details) - USD ($) |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | $ 15,935,535,000 | $ 26,390,596,000 | $ 18,802,500,000 | $ 21,998,381,000 |
Additions | 4,347,586,000 | 15,731,304,000 | 7,704,409,000 | 31,277,266,000 |
Settlement, Termination, Expiration or Exercise | (3,295,005,000) | (15,980,530,000) | (9,518,793,000) | (27,134,277,000) |
End of Period Notional Amount | 16,988,116,000 | 26,141,370,000 | 16,988,116,000 | 26,141,370,000 |
Average Notional Amount | 19,548,102,000 | 24,908,389,000 | 18,693,638,000 | 23,741,682,000 |
Realized Gain (Loss), net | (75,908,000) | (42,348,000) | 17,486,000 | 8,109,000 |
Inverse Interest-Only Securities [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 740,844,023 | |||
Additions | 0 | 0 | 0 | 0 |
Settlement, Termination, Expiration or Exercise | (39,057,690) | (47,860,222) | (81,075,971) | (97,171,043) |
End of Period Notional Amount | 659,768,052 | 659,768,052 | ||
Realized Gain (Loss), net | 0 | 0 | 0 | 0 |
Interest Rate Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 4,476,986,000 | 5,264,513,000 | 13,529,809,000 | 12,102,026,000 |
Settlement, Termination, Expiration or Exercise | (7,964,707,000) | (6,993,026,000) | (19,136,153,000) | (12,673,832,000) |
Realized Gain (Loss), net | (39,626,000) | (26,297,000) | 11,520,000 | 6,302,000 |
Credit Default Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 0 | 10,000,000 | ||
Settlement, Termination, Expiration or Exercise | (100,000,000) | (110,000,000) | ||
Realized Gain (Loss), net | 0 | 412,000 | ||
Interest Rate Swaption [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | (375,000,000) | 600,000,000 | (4,255,000,000) | 2,600,000,000 |
Settlement, Termination, Expiration or Exercise | 5,605,000,000 | (4,000,000,000) | 5,380,000,000 | (6,000,000,000) |
Realized Gain (Loss), net | 9,543,000 | (28,819,000) | 24,428,000 | (30,789,000) |
Forward Contracts [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | (1,039,400,000) | 121,000,000 | (4,125,400,000) | 4,436,000,000 |
Settlement, Termination, Expiration or Exercise | 892,400,000 | (2,095,000,000) | 4,474,400,000 | (5,070,000,000) |
Realized Gain (Loss), net | (31,021,000) | 12,901,000 | (42,427,000) | 31,751,000 |
Options Held [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 1,285,000,000 | 8,897,000,000 | 2,555,000,000 | 10,897,000,000 |
Settlement, Termination, Expiration or Exercise | (1,770,000,000) | (2,000,000,000) | (134,000,000) | (2,000,000,000) |
Realized Gain (Loss), net | (14,623,000) | (1,348,000) | 24,146,000 | (1,348,000) |
Total Return Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 90,593,000 | |||
Additions | 0 | 0 | 0 | 0 |
Settlement, Termination, Expiration or Exercise | (18,639,644) | (280,108,230) | (21,963,448) | (301,381,510) |
End of Period Notional Amount | 68,629,000 | 68,629,000 | ||
Realized Gain (Loss), net | (181,000) | 523,000 | (181,000) | 523,000 |
Loan Purchase Commitments [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Additions | 848,790,806 | 1,232,239,797 | ||
Settlement, Termination, Expiration or Exercise | (464,535,454) | (881,892,852) | ||
Realized Gain (Loss), net | 692,000 | 1,258,000 | ||
Net Long [Member] | Inverse Interest-Only Securities [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 698,825,740 | 882,725,851 | 740,844,021 | 932,036,672 |
End of Period Notional Amount | 659,768,000 | 834,866,000 | 659,768,000 | 834,866,000 |
Average Notional Amount | 681,215,594 | 860,863,521 | 700,941,167 | 885,120,773 |
Net Long [Member] | Interest Rate Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 18,252,440,000 | 15,425,513,000 | 20,371,063,000 | 14,268,806,000 |
End of Period Notional Amount | 14,764,719,000 | 13,697,000,000 | 14,764,719,000 | 13,697,000,000 |
Average Notional Amount | 17,470,671,934 | 14,806,048,527 | 18,085,751,890 | 14,880,324,088 |
Net Long [Member] | Credit Default Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 125,000,000 | 125,000,000 | ||
End of Period Notional Amount | 25,000,000 | 25,000,000 | ||
Average Notional Amount | 112,912,088 | 119,670,329 | ||
Net Long [Member] | Interest Rate Swaption [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 5,200,000,000 | 225,000,000 | 5,200,000,000 | |
End of Period Notional Amount | 1,350,000,000 | 1,800,000,000 | 1,350,000,000 | 1,800,000,000 |
Average Notional Amount | 1,249,340,659 | 4,174,725,275 | 4,695,604,396 | |
Net Long [Member] | Forward Contracts [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 1,637,000,000 | 297,000,000 | ||
Average Notional Amount | 189,230,769 | 171,219,780 | ||
Net Long [Member] | Options Held [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 1,770,000,000 | 2,000,000,000 | 0 | |
End of Period Notional Amount | 1,285,000,000 | 8,897,000,000 | 1,285,000,000 | 8,897,000,000 |
Average Notional Amount | 96,318,681 | 3,557,241,758 | 1,819,829,670 | |
Net Long [Member] | Total Return Swap [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 87,268,863 | 868,144,733 | 90,592,667 | 889,418,013 |
End of Period Notional Amount | 68,629,000 | 588,037,000 | 68,629,000 | 588,037,000 |
Average Notional Amount | 75,281,980 | 811,748,888 | 81,685,971 | 843,242,072 |
Net Long [Member] | Loan Purchase Commitments [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 252,212,101 | 286,120,508 | ||
End of Period Notional Amount | 636,467,000 | 636,467,000 | ||
Average Notional Amount | 395,616,781 | 326,671,372 | ||
Net Short Positions [Member] | Interest Rate Swaption [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 3,880,000,000 | |||
Average Notional Amount | 98,922,652 | |||
Net Short Positions [Member] | Forward Contracts [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 993,000,000 | 1,489,000,000 | ||
End of Period Notional Amount | 1,140,000,000 | $ 337,000,000 | 1,140,000,000 | $ 337,000,000 |
Average Notional Amount | $ 24,728,275 | 12,430,939 | ||
Net Short Positions [Member] | Options Held [Member] | ||||
Derivative, Notional Amount [Roll Forward] | ||||
Beginning of Period Notional Amount | 1,136,000,000 | |||
Average Notional Amount | $ 63,386,740 |
Derivative Instruments and Hedging Activities Interest Rate Sensitive Assets/Liabilities (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|---|---|
Derivatives, Fair Value [Line Items] | ||||||
Available-for-sale securities, at fair value | $ 16,427,710 | $ 13,128,857 | ||||
Mortgage servicing rights, at fair value | 898,025 | $ 747,580 | 693,815 | $ 427,813 | $ 446,170 | $ 493,688 |
Interest-Only-Strip [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Available-for-sale securities, at fair value | $ 65,397 | $ 71,084 |
Derivative Instruments and Hedging Activities Schedule of TBA Contracts (Details) - USD ($) |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|---|---|
Derivative [Line Items] | ||||||
Notional | $ 16,988,116,000 | $ 15,935,535,000 | $ 18,802,500,000 | $ 26,141,370,000 | $ 26,390,596,000 | $ 21,998,381,000 |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 19,023,116,000 | 21,708,907,000 | ||||
Fair Value | 240,502,000 | 324,182,000 | ||||
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 1,855,000,000 | 3,543,593,000 | ||||
Fair Value | (2,580,000) | (12,501,000) | ||||
Forward Contracts [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 1,340,000,000 | 536,000,000 | ||||
Fair Value | 8,060,000 | 4,294,000 | ||||
Forward Contracts [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 200,000,000 | 953,000,000 | ||||
Fair Value | (463,000) | (10,344,000) | ||||
Forward Contracts [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 200,000,000 | 1,500,000,000 | ||||
Cost Basis | 205,502,000 | 1,576,270,000 | ||||
Market Value | 205,039,000 | 1,576,875,000 | ||||
Forward Contracts [Member] | Long [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 0 | 605,000 | ||||
Forward Contracts [Member] | Long [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | (463,000) | 0 | ||||
Forward Contracts [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 1,340,000,000 | 2,989,000,000 | ||||
Cost Basis | 1,384,492,000 | 3,028,470,000 | ||||
Market Value | 1,376,432,000 | 3,035,125,000 | ||||
Forward Contracts [Member] | Short [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 8,060,000 | 3,689,000 | ||||
Forward Contracts [Member] | Short [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 0 | (10,344,000) | ||||
Forward Contracts [Member] | Net Short Positions [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 1,140,000,000 | $ 993,000,000 | 1,489,000,000 | $ 337,000,000 | ||
Cost Basis | 1,178,990,000 | 1,452,200,000 | ||||
Market Value | 1,171,393,000 | 1,458,250,000 | ||||
Forward Contracts [Member] | Net Short Positions [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | 8,060,000 | 4,294,000 | ||||
Forward Contracts [Member] | Net Short Positions [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Fair Value | $ (463,000) | $ (10,344,000) |
Derivative Instruments and Hedging Activities Put and Call Options for TBAs (Details) - USD ($) |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|---|---|
Derivative [Line Items] | ||||||
Notional | $ 16,988,116,000 | $ 15,935,535,000 | $ 18,802,500,000 | $ 26,141,370,000 | $ 26,390,596,000 | $ 21,998,381,000 |
Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 1,855,000,000 | 3,543,593,000 | ||||
Fair Value | (2,580,000) | (12,501,000) | ||||
Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 19,023,116,000 | 21,708,907,000 | ||||
Fair Value | 240,502,000 | 324,182,000 | ||||
Options Held [Member] | Derivative Financial Instruments, Liabilities [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 105,000,000 | 0 | ||||
Fair Value | (892,000) | 0 | ||||
Options Held [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 1,390,000,000 | 1,136,000,000 | ||||
Fair Value | 522,000 | 42,633,000 | ||||
Options Held [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 2,900,000,000 | 2,500,000,000 | ||||
Options Held [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 1,615,000,000 | $ 3,636,000,000 |
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Payers (Details) - USD ($) |
6 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
Mar. 31, 2017 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
|
Derivative [Line Items] | ||||||
Notional | $ 16,988,116,000 | $ 18,802,500,000 | $ 15,935,535,000 | $ 26,141,370,000 | $ 26,390,596,000 | $ 21,998,381,000 |
Interest Rate Swap [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 11,853,000,000 | $ 15,307,063,000 | ||||
Weighted Average Fixed Interest Rate | 1.322% | 1.441% | ||||
Weighted Average Variable Interest Rate | 1.224% | 0.943% | ||||
Weighted Average Remaining Maturity | 2 years 8 months 18 days | 3 years 2 months 26 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Within One Year From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 1,525,000,000 | $ 2,375,000,000 | ||||
Weighted Average Fixed Interest Rate | 0.771% | 0.765% | ||||
Weighted Average Variable Interest Rate | 1.22% | 0.934% | ||||
Weighted Average Remaining Maturity | 3 months 13 days | 7 months 3 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 4,320,000,000 | $ 5,340,000,000 | ||||
Weighted Average Fixed Interest Rate | 1.155% | 1.232% | ||||
Weighted Average Variable Interest Rate | 1.223% | 0.945% | ||||
Weighted Average Remaining Maturity | 1 year 1 day | 1 year 7 months 2 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 350,000,000 | $ 350,000,000 | ||||
Weighted Average Fixed Interest Rate | 1.283% | 1.283% | ||||
Weighted Average Variable Interest Rate | 1.165% | 0.895% | ||||
Weighted Average Remaining Maturity | 1 year 11 months 9 days | 2 years 5 months 9 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 1,150,000,000 | $ 1,460,000,000 | ||||
Weighted Average Fixed Interest Rate | 1.463% | 1.481% | ||||
Weighted Average Variable Interest Rate | 1.209% | 0.92% | ||||
Weighted Average Remaining Maturity | 3 years 3 months 9 days | 3 years 8 months 26 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | Long [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 4,508,000,000 | $ 5,782,063,000 | ||||
Weighted Average Fixed Interest Rate | 1.699% | 1.984% | ||||
Weighted Average Variable Interest Rate | 1.235% | 0.955% | ||||
Weighted Average Remaining Maturity | 5 years 7 months 4 days | 6 years 2 months | ||||
Forward Starting Interest Rate Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 778,000,000 | $ 777,063,000 | ||||
Weighted Average Fixed Interest Rate | 2.40% | 2.00% |
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swap Receivers (Details) - USD ($) |
6 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
Mar. 31, 2017 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
|
Derivative [Line Items] | ||||||
Notional | $ 16,988,116,000 | $ 18,802,500,000 | $ 15,935,535,000 | $ 26,141,370,000 | $ 26,390,596,000 | $ 21,998,381,000 |
Interest Rate Swap [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 2,911,719,000 | $ 5,064,000,000 | ||||
Weighted Average Variable Interest Rate | 1.192% | 0.941% | ||||
Weighted Average Fixed Interest Rate | 2.152% | 1.894% | ||||
Weighted Average Remaining Maturity | 6 years 2 months 17 days | 4 years 6 months 27 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over One And Within Two Years From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 575,000,000 | |||||
Weighted Average Variable Interest Rate | 0.911% | |||||
Weighted Average Fixed Interest Rate | 1.44% | |||||
Weighted Average Remaining Maturity | 1 year 10 months 21 days | |||||
Interest Rate Swap [Member] | Derivative Maturity Over Two And Within Three Years From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 500,000,000 | |||||
Weighted Average Variable Interest Rate | 0.882% | |||||
Weighted Average Fixed Interest Rate | 1.042% | |||||
Weighted Average Remaining Maturity | 2 years 22 days | |||||
Interest Rate Swap [Member] | Derivative Maturity Over Three And Within Four Years From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 200,000,000 | $ 510,000,000 | ||||
Weighted Average Variable Interest Rate | 1.171% | 0.881% | ||||
Weighted Average Fixed Interest Rate | 1.642% | 1.58% | ||||
Weighted Average Remaining Maturity | 3 years 1 month 5 days | 3 years 7 months 4 days | ||||
Interest Rate Swap [Member] | Derivative Maturity Over Four Years From Balance Sheet Date [Member] | Short [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | $ 2,711,719,000 | $ 3,479,000,000 | ||||
Weighted Average Variable Interest Rate | 1.193% | 0.963% | ||||
Weighted Average Fixed Interest Rate | 2.19% | 2.137% | ||||
Weighted Average Remaining Maturity | 6 years 5 months 9 days | 5 years 6 months 8 days |
Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaptions (Details) - USD ($) |
6 Months Ended | 12 Months Ended | ||||
---|---|---|---|---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
Mar. 31, 2017 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
|
Derivative [Line Items] | ||||||
Notional | $ 16,988,116,000 | $ 18,802,500,000 | $ 15,935,535,000 | $ 26,141,370,000 | $ 26,390,596,000 | $ 21,998,381,000 |
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 6 years 2 months 6 days | 5 years 1 month 8 days | ||||
Notional | $ 5,025,000,000 | $ 4,800,000,000 | ||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 2.35% | 2.24% | ||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 6 years 2 months 6 days | 4 years 9 months 10 days | ||||
Notional | $ 5,025,000,000 | $ 4,500,000,000 | ||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 2.35% | 2.16% | ||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 10 years | |||||
Notional | $ 300,000,000 | |||||
Underlying Swap [Member] | Long [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 3.50% | |||||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 8 years 8 months | |||||
Notional | $ 2,250,000,000 | |||||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 1.84% | |||||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 8 years 6 months | |||||
Notional | $ 2,000,000,000 | |||||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 1.78% | |||||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 10 years | |||||
Notional | $ 250,000,000 | |||||
Underlying Swap [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 2.35% | |||||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 8 years 8 months 11 days | 10 years | ||||
Notional | $ 2,300,000,000 | $ 800,000,000 | ||||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 2.92% | 3.44% | ||||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 8 years 8 months 11 days | 10 years | ||||
Notional | $ 2,300,000,000 | $ 500,000,000 | ||||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 2.92% | 3.40% | ||||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 10 years | |||||
Notional | $ 300,000,000 | |||||
Underlying Swap [Member] | Short [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 3.50% | |||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 10 years | 4 years 11 months 8 days | ||||
Notional | $ 3,625,000,000 | $ 3,775,000,000 | ||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 2.00% | 1.19% | ||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 10 years | 4 years 11 months 8 days | ||||
Notional | $ 3,000,000,000 | $ 3,775,000,000 | ||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 2.02% | 1.19% | ||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Remaining Maturity | 10 years | |||||
Notional | $ 625,000,000 | |||||
Underlying Swap [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | London Interbank Offered Rate (LIBOR) [Member] | ||||||
Derivative [Line Items] | ||||||
Weighted Average Fixed Interest Rate | 1.95% | |||||
Interest Rate Swaption [Member] | Long [Member] | Variable Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 43,732,000 | $ 43,015,000 | ||||
Fair Value | $ 7,698,000 | $ 42,941,000 | ||||
Weighted Average Remaining Maturity | 2 months 26 days | 1 month 7 days | ||||
Interest Rate Swaption [Member] | Long [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 43,732,000 | $ 29,360,000 | ||||
Fair Value | $ 7,698,000 | $ 42,149,000 | ||||
Weighted Average Remaining Maturity | 2 months 26 days | 1 month 7 days | ||||
Interest Rate Swaption [Member] | Long [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 13,655,000 | |||||
Fair Value | $ 792,000 | |||||
Weighted Average Remaining Maturity | 6 months 21 days | |||||
Interest Rate Swaption [Member] | Long [Member] | Fixed Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 2,685,000 | |||||
Fair Value | $ 8,068,000 | |||||
Weighted Average Remaining Maturity | 7 months 17 days | |||||
Interest Rate Swaption [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 2,685,000 | |||||
Fair Value | $ 2,144,000 | |||||
Weighted Average Remaining Maturity | 3 months 7 days | |||||
Interest Rate Swaption [Member] | Long [Member] | Fixed Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 0 | |||||
Fair Value | $ 5,924,000 | |||||
Weighted Average Remaining Maturity | 10 months 24 days | |||||
Interest Rate Swaption [Member] | Short [Member] | Variable Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 35,543,000 | $ 81,248,000 | ||||
Fair Value | $ (915,000) | $ 2,352,000 | ||||
Weighted Average Remaining Maturity | 3 months 7 days | 6 months 1 day | ||||
Interest Rate Swaption [Member] | Short [Member] | Variable Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 35,543,000 | $ 51,355,000 | ||||
Fair Value | $ (915,000) | $ 1,414,000 | ||||
Weighted Average Remaining Maturity | 3 months 7 days | 5 months 25 days | ||||
Interest Rate Swaption [Member] | Short [Member] | Variable Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 29,893,000 | |||||
Fair Value | $ 938,000 | |||||
Weighted Average Remaining Maturity | 6 months 23 days | |||||
Interest Rate Swaption [Member] | Short [Member] | Fixed Income Interest Rate [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 11,050,000 | $ 0 | ||||
Fair Value | $ (12,717,000) | $ 2,353,000 | ||||
Weighted Average Remaining Maturity | 4 months 28 days | 2 months 9 days | ||||
Interest Rate Swaption [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Less Than Six Months Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 9,650,000 | $ 0 | ||||
Fair Value | $ (6,191,000) | $ 2,353,000 | ||||
Weighted Average Remaining Maturity | 2 months 11 days | 2 months 9 days | ||||
Interest Rate Swaption [Member] | Short [Member] | Fixed Income Interest Rate [Member] | Six Months or Longer Remaining Maturity [Member] | ||||||
Derivative [Line Items] | ||||||
Cost Basis | $ 1,400,000 | |||||
Fair Value | $ (6,526,000) | |||||
Weighted Average Remaining Maturity | 10 months 24 days |
Derivative Instruments and Hedging Activities Schedule of Total Return Swaps (Details) - USD ($) |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|---|---|
Derivative [Line Items] | ||||||
Notional | $ 16,988,116,000 | $ 15,935,535,000 | $ 18,802,500,000 | $ 26,141,370,000 | $ 26,390,596,000 | $ 21,998,381,000 |
Total Return Swap [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 68,629,000 | 90,593,000 | ||||
Fair Value | 300,000 | (17,000) | ||||
Cost Basis | 567,000 | 686,000 | ||||
Derivative, Unrealized Gains (Losses) | (267,000) | (703,000) | ||||
Total Return Swap [Member] | Maturity Date, 1/12/2043 [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 26,309,245 | 45,083,136 | ||||
Fair Value | 95,000 | (5,000) | ||||
Cost Basis | 201,000 | 320,000 | ||||
Derivative, Unrealized Gains (Losses) | (106,000) | (325,000) | ||||
Total Return Swap [Member] | Maturity Date, 1/12/2044 [Member] | ||||||
Derivative [Line Items] | ||||||
Notional | 42,319,975 | 45,509,532 | ||||
Fair Value | 205,000 | (12,000) | ||||
Cost Basis | 366,000 | 366,000 | ||||
Derivative, Unrealized Gains (Losses) | $ (161,000) | $ (378,000) |
Derivative Instruments and Hedging Activities Credit Risk - Counterparty Exposure (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Offsetting Assets and Liabilities [Line Items] | ||
Derivative assets, at fair value | $ 240,502 | $ 324,182 |
Derivative liabilities, at fair value | 2,580 | $ 12,501 |
Collateral cash deposits received from counterparties | (35) | |
Collateral cash deposits placed in accounts maintained by counterparties | $ 152,800 |
Derivative Instruments and Hedging Activities Schedule of Inverse Interest-Only Securities Reconciliation (Details) - USD ($) |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|---|---|
Derivatives, Fair Value [Line Items] | ||||||
Accrued interest receivable | $ 74,156,000 | $ 62,751,000 | ||||
Face Value | 16,988,116,000 | $ 15,935,535,000 | 18,802,500,000 | $ 26,141,370,000 | $ 26,390,596,000 | $ 21,998,381,000 |
Derivative Financial Instruments, Assets [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Fair Value | 240,502,000 | 324,182,000 | ||||
Face Value | 19,023,116,000 | 21,708,907,000 | ||||
Inverse Interest-Only Securities [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Fair Value | 109,350,000 | 127,843,000 | ||||
Accrued interest receivable | 1,019,000 | 1,244,000 | ||||
Face Value | 659,768,052 | 740,844,023 | ||||
Unamortized premium | 0 | 0 | ||||
Designated credit reserve | 0 | 0 | ||||
Net, unamortized | (562,240,000) | (631,082,000) | ||||
Amortized Cost | 97,528,000 | 109,762,000 | ||||
Gross unrealized gains | 12,085,000 | 18,389,000 | ||||
Gross unrealized losses | (1,282,000) | (1,552,000) | ||||
Market Value | 108,331,000 | 126,599,000 | ||||
Inverse Interest-Only Securities [Member] | Derivative Financial Instruments, Assets [Member] | ||||||
Derivatives, Fair Value [Line Items] | ||||||
Face Value | $ 659,768,052 | $ 740,844,023 |
Other Assets (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Dec. 31, 2016 |
|
Other Assets [Abstract] | ||||
Property and equipment at cost | $ 6,737 | $ 6,737 | $ 6,481 | |
Accumulated depreciation | (5,116) | (5,116) | (4,566) | |
Net property and equipment | 1,621 | 1,621 | 1,915 | |
Prepaid expenses | 1,906 | 1,906 | 1,406 | |
Income taxes receivable | 1,455 | 1,455 | 1,532 | |
Deferred tax assets, net | 49,147 | 49,147 | 57,361 | |
Servicing advances | 21,116 | 21,116 | 26,147 | |
Federal Home Loan Bank stock | 134,776 | 134,776 | 167,856 | |
Equity investments | 3,000 | 3,000 | 3,000 | |
Other receivables | 51,461 | 51,461 | 43,653 | |
Other assets | 264,482 | 264,482 | 302,870 | |
Depreciation of fixed assets | 265 | 550 | $ 664 | |
Valuation allowance on deferred tax assets | $ 4,300 | $ 4,300 | $ 0 |
Other Liabilities (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Other Liabilities [Abstract] | ||
Accrued expenses | $ 30,261 | $ 28,944 |
Accrued interest payable | 55,678 | 29,505 |
Income taxes payable | 51 | 0 |
Other | 18,213 | 21,127 |
Other liabilities | $ 104,203 | $ 79,576 |
Fair Value, Measurement Inputs, Disclosure (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale Securities Categorized as Level 2 Assets | 100.00% | |||||
Assets Reported at Fair Value, Available-for-sale Securities | 79.30% | |||||
Mortgage Servicing Rights Categorized as Level 3 Assets | 100.00% | |||||
Mortgage Loans Held-for-investment Categorized as Level 2 Assets | 100.00% | |||||
Mortgage Loans Held-for-sale Categorized as Level 2 Assets | 1.50% | |||||
Mortgage Loans Held-for-sale Categorized as Level 3 Assets | 98.50% | |||||
Interest Rate Swaps, Swaptions and Credit Default Swaps Categorized as Level 2 Assets (Liabilities) | 100.00% | |||||
Inverse Interest-only Securities Categorized as Level 2 Assets | 100.00% | |||||
Agency To-be-Announced Securities Categorized as Level 1 Assets (Liabilities) | 100.00% | |||||
Collateralized Borrowings in Securitization Trusts Categorized as Level 2 Liabilities | 100.00% | |||||
Mortgage servicing rights | $ 898,025 | $ 747,580 | $ 693,815 | $ 427,813 | $ 446,170 | $ 493,688 |
Derivative assets, at fair value | 240,502 | 324,182 | ||||
Derivative liabilities, at fair value | 2,580 | 12,501 | ||||
Fair Value, Measurements, Recurring [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale securities | 16,427,710 | 13,128,857 | ||||
Mortgage servicing rights | 898,025 | 693,815 | ||||
Residential mortgage loans held-for-investment in securitization trusts | 3,120,410 | 3,271,317 | ||||
Residential mortgage loans held-for-sale | 31,946 | 40,146 | ||||
Derivative assets, at fair value | 240,502 | 324,182 | ||||
Total assets | 20,718,593 | 17,458,317 | ||||
Collateralized borrowings in securitization trusts | 2,880,301 | 3,037,196 | ||||
Derivative liabilities, at fair value | 2,580 | 12,501 | ||||
Total liabilities | 2,882,881 | 3,049,697 | ||||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale securities | 0 | 0 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Residential mortgage loans held-for-investment in securitization trusts | 0 | 0 | ||||
Residential mortgage loans held-for-sale | 0 | 0 | ||||
Derivative assets, at fair value | 8,060 | 4,294 | ||||
Total assets | 8,060 | 4,294 | ||||
Collateralized borrowings in securitization trusts | 0 | 0 | ||||
Derivative liabilities, at fair value | 463 | 10,344 | ||||
Total liabilities | 463 | 10,344 | ||||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale securities | 16,427,710 | 13,128,857 | ||||
Mortgage servicing rights | 0 | 0 | ||||
Residential mortgage loans held-for-investment in securitization trusts | 3,120,410 | 3,271,317 | ||||
Residential mortgage loans held-for-sale | 486 | 925 | ||||
Derivative assets, at fair value | 232,442 | 319,888 | ||||
Total assets | 19,781,048 | 16,720,987 | ||||
Collateralized borrowings in securitization trusts | 2,880,301 | 3,037,196 | ||||
Derivative liabilities, at fair value | 2,117 | 2,157 | ||||
Total liabilities | 2,882,418 | 3,039,353 | ||||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||
Available-for-sale securities | 0 | 0 | ||||
Mortgage servicing rights | 898,025 | 693,815 | ||||
Residential mortgage loans held-for-investment in securitization trusts | 0 | 0 | ||||
Residential mortgage loans held-for-sale | 31,460 | 39,221 | ||||
Derivative assets, at fair value | 0 | 0 | ||||
Total assets | 929,485 | 733,036 | ||||
Collateralized borrowings in securitization trusts | 0 | 0 | ||||
Derivative liabilities, at fair value | 0 | 0 | ||||
Total liabilities | $ 0 | $ 0 |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended |
---|---|---|
Jun. 30, 2017 |
Jun. 30, 2017 |
|
Servicing Contracts [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning of period level 3 fair value | $ 747,580 | $ 693,815 |
Realized gains (losses) | (20,519) | (38,266) |
Unrealized (losses) gains | (26,111) | (22,929) |
Total gains (losses) included in net income (loss) | (46,630) | (61,195) |
Purchases | 196,920 | 273,896 |
Sales | (378) | (628) |
Settlements | 533 | (7,863) |
Gross transfers into level 3 | 0 | 0 |
Gross transfers out of level 3 | 0 | 0 |
End of period level 3 fair value | 898,025 | 898,025 |
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | (26,579) | (23,398) |
Loans Receivable [Member] | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning of period level 3 fair value | 32,199 | 39,221 |
Realized gains (losses) | 208 | 1,688 |
Unrealized (losses) gains | 135 | 162 |
Total gains (losses) included in net income (loss) | 343 | 1,850 |
Purchases | 132 | 569 |
Sales | 0 | (3,717) |
Settlements | (1,214) | (6,463) |
Gross transfers into level 3 | 0 | 0 |
Gross transfers out of level 3 | 0 | 0 |
End of period level 3 fair value | 31,460 | 31,460 |
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period | $ 124 | $ 428 |
Fair Value, Quantitative Information about Level 3 Fair Value Measurements (Details) |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
|
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Constant prepayment speed | 10.00% | 9.20% |
Delinquency | 1.50% | 1.90% |
Discount rate | 10.00% | 9.40% |
Minimum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Constant prepayment speed | 8.60% | |
Delinquency | 1.20% | |
Discount rate | 8.60% | |
Maximum [Member] | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Constant prepayment speed | 11.50% | |
Delinquency | 1.80% | |
Discount rate | 11.30% |
Fair Value, Option, Quantitative Disclosures (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | $ 8,999 | $ 9,652 | $ 24,082 | $ 41,738 |
Change in fair value due to credit risk | (1,292) | (46) | (881) | 64 |
Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 787 | (1,174) | 1,085 | (1,157) |
Loans Held-for-Investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 48,686 | 50,052 | 93,353 | 106,379 |
Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 836 | 12,436 | 2,695 | 29,609 |
Change in fair value due to credit risk | (1,292) | (46) | (881) | 64 |
Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | (41,310) | (51,662) | (73,051) | (93,093) |
Interest Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 4,908 | 14,391 | 9,844 | 35,006 |
Interest Income [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | (1,578) | 116 | (3,282) | 117 |
Interest Income [Member] | Loans Held-for-Investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 30,826 | 34,499 | 62,454 | 67,270 |
Interest Income [Member] | Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 503 | 4,960 | 901 | 12,162 |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 2,365 | (1,290) | 4,367 | (1,274) |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 2,365 | (1,290) | 4,367 | (1,274) |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Loans Held-for-Investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 0 | 0 | 0 | 0 |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 0 | 0 | 0 | 0 |
Marketable Securities, Gain (Loss), Excluding Other than Temporary Impairments [Member] | Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 0 | 0 | 0 | 0 |
Interest Expense [Member] | Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | (24,843) | (25,184) | (50,229) | (44,543) |
Gain (Loss) on Residential Mortgage Loans Held-for-Sale [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 333 | 7,476 | 1,794 | 17,447 |
Gain (Loss) on Residential Mortgage Loans Held-for-Sale [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 0 | 0 | 0 | 0 |
Gain (Loss) on Residential Mortgage Loans Held-for-Sale [Member] | Loans Held-for-Investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 0 | 0 | 0 | 0 |
Gain (Loss) on Residential Mortgage Loans Held-for-Sale [Member] | Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 333 | 7,476 | 1,794 | 17,447 |
Gain (Loss) on Residential Mortgage Loans Held-for-Sale [Member] | Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 0 | 0 | 0 | 0 |
Other Income [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 1,393 | (10,925) | 8,077 | (9,441) |
Other Income [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 0 | 0 | 0 | 0 |
Other Income [Member] | Loans Held-for-Investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 17,860 | 15,553 | 30,899 | 39,109 |
Other Income [Member] | Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | 0 | 0 | 0 | 0 |
Other Income [Member] | Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Total included in net income (loss) | $ (16,467) | $ (26,478) | $ (22,822) | $ (48,550) |
Fair Value Schedule of Financing Receivables, Non Accrual Status (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-investment in securitization trusts, at fair value | $ 3,120,410 | $ 3,271,317 | ||
Residential mortgage loans held-for-sale, at fair value | 31,946 | 40,146 | $ 609,060 | $ 811,431 |
Collateralized borrowings in securitization trusts, at fair value | 2,880,301 | 3,037,196 | ||
Loans Held-for-Investment, Residential Mortgages, Unpaid Principal [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 3,052,238 | 3,234,044 | ||
Nonaccrual loans | 3,322 | 2,373 | ||
Loans 90 days past due | 2,078 | 1,401 | ||
Loans Held-for-Investment, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 3,120,410 | 3,271,317 | ||
Nonaccrual loans | 3,392 | 2,408 | ||
Loans 90 days past due | 2,123 | 1,419 | ||
Loan Held-for-Sale, Residential Mortgages, Unpaid Principal [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-sale, at fair value | 39,941 | 49,986 | ||
Nonaccrual loans | 16,410 | 25,445 | ||
Loans 90 days past due | 13,996 | 21,759 | ||
Loans Held-for-Sale, Residential Mortgages [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Residential mortgage loans held-for-sale, at fair value | 31,946 | 40,146 | ||
Nonaccrual loans | 13,661 | 21,162 | ||
Loans 90 days past due | 11,566 | 18,203 | ||
Collateralized Borrowings, Unpaid Principal [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Collateralized borrowings in securitization trusts, at fair value | 2,835,445 | 3,015,162 | ||
Borrowings [Member] | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Collateralized borrowings in securitization trusts, at fair value | $ 2,880,301 | $ 3,037,196 |
Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | $ 13,316,881 | $ 9,316,351 |
Long-term Federal Home Loan Bank Advances | 3,238,762 | |
Maturity Over One Year [Member] | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | $ 547,366 | $ 185,634 |
Fair Value by Balance Sheet Grouping (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
---|---|---|---|---|---|---|
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Available-for-sale securities, at fair value | $ 16,427,710 | $ 13,128,857 | ||||
Commercial real estate assets | 1,782,749 | $ 1,548,603 | 1,412,543 | $ 926,377 | $ 744,259 | $ 660,953 |
Commercial real estate assets, at fair value | 1,796,033 | 1,411,733 | ||||
Mortgage servicing rights, at fair value | 898,025 | $ 747,580 | 693,815 | 427,813 | $ 446,170 | 493,688 |
Residential mortgage loans held-for-investment in securitization trusts, at fair value | 3,120,410 | 3,271,317 | ||||
Residential mortgage loans held-for-sale, at fair value | 31,946 | 40,146 | 609,060 | 811,431 | ||
Cash and cash equivalents | 651,707 | 406,883 | ||||
Restricted cash | 249,728 | 408,312 | $ 363,166 | $ 262,562 | ||
Derivative assets, at fair value | 240,502 | 324,182 | ||||
Federal Home Loan Bank stock | 134,776 | 167,856 | ||||
Equity investments | 3,000 | 3,000 | ||||
Repurchase agreements | 13,316,881 | 9,316,351 | ||||
Collateralized borrowings in securitization trusts, at fair value | 2,880,301 | 3,037,196 | ||||
Federal Home Loan Bank advances | 3,238,762 | 4,000,000 | ||||
Revolving credit facilities | 40,000 | 70,000 | ||||
Convertible senior notes | 282,290 | 0 | ||||
Convertible senior notes, at fair value | 303,689 | 0 | ||||
Derivative liabilities, at fair value | 2,580 | 12,501 | ||||
Federal Home Loan Bank of Des Moines [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Federal Home Loan Bank stock | 134,776 | 167,856 | ||||
Federal Home Loan Bank advances | $ 3,238,762 | $ 4,000,000 |
Repurchase Agreements (Details) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
|
Disclosure of Repurchase Agreements [Abstract] | ||
Repurchase agreements | $ 13,316,881 | $ 9,316,351 |
Weighted average borrowing rate | 1.56% | 1.31% |
Weighted average remaining maturity | 98 days | 77 days |
Repurchase Agreements Schedule of Repurchase Agreements by Term, Short or Long (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 13,316,881 | $ 9,316,351 |
Maturity up to One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 12,769,515 | 9,130,717 |
Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 547,366 | $ 185,634 |
Schedule of Repurchase Agreements by Maturity (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 13,316,881 | $ 9,316,351 |
Weighted average borrowing rate | 1.56% | 1.31% |
US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 10,938,574 | $ 7,336,922 |
Weighted average borrowing rate | 1.23% | 0.94% |
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 1,663,486 | $ 1,434,145 |
Weighted average borrowing rate | 2.88% | 2.60% |
Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 82,842 | $ 102,236 |
Weighted average borrowing rate | 2.01% | 1.69% |
Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 631,979 | $ 443,048 |
Weighted average borrowing rate | 3.62% | 3.16% |
Maturity up to 30 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 3,418,627 | $ 3,253,045 |
Maturity up to 30 days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,773,991 | 2,511,773 |
Maturity up to 30 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 619,186 | 688,667 |
Maturity up to 30 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 25,450 | 30,672 |
Maturity up to 30 days [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 21,933 |
Maturity 30 to 59 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 3,267,001 | 2,218,502 |
Maturity 30 to 59 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,822,043 | 1,786,664 |
Maturity 30 to 59 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 363,976 | 334,590 |
Maturity 30 to 59 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 54,681 | 68,257 |
Maturity 30 to 59 Days [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 26,301 | 28,991 |
Maturity 60 to 89 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,250,943 | 1,128,394 |
Maturity 60 to 89 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,086,688 | 1,035,806 |
Maturity 60 to 89 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 161,544 | 89,281 |
Maturity 60 to 89 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,711 | 3,307 |
Maturity 60 to 89 Days [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 90 to 119 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,354,520 | 1,444,056 |
Maturity 90 to 119 Days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 2,036,674 | 1,192,127 |
Maturity 90 to 119 Days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 317,846 | 251,929 |
Maturity 90 to 119 Days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 90 to 119 Days [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 120 to 364 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,478,424 | 1,086,720 |
Maturity 120 to 364 days [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 1,219,178 | 810,552 |
Maturity 120 to 364 days [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 200,934 | 69,678 |
Maturity 120 to 364 days [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity 120 to 364 days [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 58,312 | 206,490 |
Maturity Over One Year [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 547,366 | 185,634 |
Maturity Over One Year [Member] | US Government Agencies Debt Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity Over One Year [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity Over One Year [Member] | Inverse Interest-Only Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | 0 | 0 |
Maturity Over One Year [Member] | Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements | $ 547,366 | $ 185,634 |
Schedule of Underlying Assets of Repurchase Agreements when Amount of Repurchase Agreements Exceeds 10 Percent of Assets (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | $ 14,968,693 | $ 10,753,868 |
Available-for-sale Securities [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 13,639,148 | 9,540,849 |
Commercial Real Estate Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 882,978 | 648,885 |
Retained Interest [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 219,379 | 211,095 |
Cash and Cash Equivalents [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 13,346 | 15,000 |
Restricted Cash and Cash Equivalents [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 87,717 | 162,759 |
Due From Correspondent Brokers [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | 17,914 | 48,939 |
Derivative Financial Instruments, Assets [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Assets pledged or restricted as collateral for repurchase agreements | $ 108,211 | $ 126,341 |
Schedule of Repurchase Agreement Counterparties with Whom Repurchase Agreements Exceed 10 Percent of Stockholders' Equity (Details) $ in Thousands |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2017
USD ($)
|
Dec. 31, 2016
USD ($)
|
|
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | $ 13,316,881 | $ 9,316,351 |
Net Counterparty Exposure | 1,641,624 | 1,435,401 |
Repurchase Agreement Counterparty, Barclays Capital [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | 1,362,780 | 292,086 |
Net Counterparty Exposure | $ 254,533 | $ 164,315 |
Percent of Equity | 7.00% | 5.00% |
Weighted Average Days to Maturity | 74 days | 26 days |
Repurchase Agreement Counterparty, All Other Counterparties [Member] | ||
Repurchase Agreement Counterparty [Line Items] | ||
Repurchase agreements | $ 11,954,101 | $ 9,024,265 |
Net Counterparty Exposure | $ 1,387,091 | $ 1,271,086 |
Percent of Equity | 37.00% | 37.00% |
Weighted Average Days to Maturity | 100 days | 79 days |
Number of Repurchase Agreement Counterparties with Whom Repurchase Agreements Are Less Than 10 Percent of Stockholders' Equity | 24 | 22 |
Collateralized Borrowings in Securitization Trusts, at Fair Value (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Collateralized Borrowings in Securitization Trusts [Abstract] | ||
Collateralized borrowings in securitization trusts, at fair value | $ 2,880,301 | $ 3,037,196 |
Weighted average interest rate | 3.40% | 3.40% |
Federal Home Loan Bank of Des Moines Advances (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
Federal Home Loan Bank advances | $ 3,238,762 | $ 4,000,000 |
Available uncommitted capacity for borrowings | $ 349,700 | 0 |
Maximum percent of FHLB advances to total assets | 40.00% | |
Federal Home Loan Bank of Des Moines [Member] | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | ||
Federal Home Loan Bank advances | $ 3,238,762 | $ 4,000,000 |
Weighted average borrowing rate | 1.52% | 0.85% |
Schedule of Maturities of Federal Home Loan Bank Advances (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | $ 3,238,762 | $ 4,000,000 |
Maturity Within One Year [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 651,238 |
Maturity One to Three Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 815,024 | 815,024 |
Maturity Three to Five Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 0 |
Maturity One to Two Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | 0 | 0 |
Maturity Over Two Years [Member] | ||
Schedule of Maturities of Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank advances | $ 2,423,738 | $ 2,533,738 |
Schedule of Underlying Assets of Federal Home Loan Bank Advances (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Assets pledged as collateral for Federal Home Loan Bank advances | $ 3,472,029 | $ 4,287,485 |
Federal Home Loan Bank stock | 134,776 | 167,856 |
Federal Home Loan Bank of Des Moines [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Federal Home Loan Bank stock | 134,776 | 167,856 |
Available-for-sale Securities [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Assets pledged as collateral for Federal Home Loan Bank advances | 2,749,720 | 3,576,481 |
Commercial Real Estate Assets [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Assets pledged as collateral for Federal Home Loan Bank advances | 720,273 | 708,989 |
Retained Interest [Member] | ||
Schedule of Assets Underlying Federal Home Loan Bank Advances [Line Items] | ||
Assets pledged as collateral for Federal Home Loan Bank advances | $ 2,036 | $ 2,015 |
Revolving Credit Facilities (Details) - USD ($) $ in Thousands |
6 Months Ended | 12 Months Ended |
---|---|---|
Jun. 30, 2017 |
Dec. 31, 2016 |
|
Revolving Credit Facilities [Abstract] | ||
Revolving credit facilities | $ 40,000 | $ 70,000 |
Weighted average borrowing rate | 4.83% | 4.53% |
Weighted average remaining maturity | 86 days | 306 days |
Mortgage servicing rights, at fair value, pledged as collateral for borrowings | $ 166,038 | $ 180,948 |
Convertible Senior Notes (Details) $ in Thousands |
6 Months Ended | |
---|---|---|
Jun. 30, 2017
USD ($)
|
Dec. 31, 2016
USD ($)
|
|
Debt Instrument, Redemption [Line Items] | ||
Proceeds from convertible senior notes | $ 282,185 | |
Convertible senior notes maturity date | Jan. 15, 2022 | |
Convertible senior notes conversion ratio | 0.1003065 | |
Convertible senior notes | $ 282,290 | $ 0 |
Convertible Debt [Member] | ||
Debt Instrument, Redemption [Line Items] | ||
Convertible senior notes aggregate principal amount | $ 287,500 | |
Convertible senior notes interest rate per annum | 6.25% | |
Over-Allotment Option [Member] | Convertible Debt [Member] | ||
Debt Instrument, Redemption [Line Items] | ||
Convertible senior notes aggregate principal amount | $ 37,500 |
Equity Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Dec. 31, 2016 |
|
Class of Stock [Line Items] | ||||
Preferred stock par value per share (in usd per share) | $ 0.01 | $ 0.01 | $ 0.01 | |
Proceeds from issuance of preferred stock, net of offering costs | $ 138,872 | $ 0 | ||
Preferred dividends declared | $ 4,285 | |||
Series A Preferred Stock [Member] | ||||
Class of Stock [Line Items] | ||||
Preferred stock dividend rate | 8.125% | |||
Preferred stock par value per share (in usd per share) | 0.01 | $ 0.01 | ||
Preferred stock public offering price per share (in usd per share) | 25.00 | 25.00 | ||
Preferred stock liquidation preference per share (in usd per share) | 25.00 | $ 25.00 | ||
Preferred stock dividend variable rate spread | 5.66% | |||
Preferred stock redemption price per share (in usd per share) | $ 25.00 | $ 25.00 | ||
Proceeds from issuance of preferred stock, net of offering costs | $ 138,872 | |||
Preferred dividends declared | $ 4,285 | |||
Preferred dividends declared per share (in usd per share) | $ 0.75043 | |||
Series A Preferred Stock [Member] | Public Offering [Member] | ||||
Class of Stock [Line Items] | ||||
Number of shares of preferred stock issued during period (in shares) | 5,000,000 | |||
Series A Preferred Stock [Member] | Over-Allotment Option [Member] | ||||
Class of Stock [Line Items] | ||||
Number of shares of preferred stock issued during period (in shares) | 750,000 |
Equity Schedule of Common Dividends Declared (Details) - $ / shares |
3 Months Ended | 6 Months Ended | |||||
---|---|---|---|---|---|---|---|
Jun. 30, 2017 |
Mar. 31, 2017 |
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Equity [Abstract] | |||||||
Declaration Date | Jun. 15, 2017 | Mar. 14, 2017 | Dec. 15, 2016 | Sep. 15, 2016 | Jun. 16, 2016 | ||
Record Date | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 30, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | ||
Payment Date | Jul. 27, 2017 | Apr. 27, 2017 | Jan. 27, 2017 | Oct. 20, 2016 | Jul. 20, 2016 | ||
Dividends declared per common share (in usd per share) | $ 0.26 | $ 0.25 | $ 0.24 | $ 0.23 | $ 0.23 | $ 0.51 | $ 0.46 |
Equity Dividend Reinvestment and Direct Stock Purchase Plan (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Equity [Abstract] | ||||
Number of common shares reserved for issuance under dividend reinvestment plan (in shares) | 7,500,000.0 | 7,500,000.0 | ||
Number of common shares issued from dividend reinvestment plan and outstanding as of period-end (in shares) | 370,332 | 370,332 | ||
Accumulated proceeds from issuance of common shares from dividend reinvestment plan | $ 3,716 | $ 3,716 | ||
Number of common shares issued during period from dividend reinvestment plan (in shares) | 15,173 | 14,495 | 26,438 | 29,143 |
Proceeds from issuance of common shares during period from dividend reinvestment plan | $ 154 | $ 118 | $ 256 | $ 228 |
Equity Share Repurchase Program (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Equity [Abstract] | ||||
Number of shares authorized to be repurchased under stock repurchase program (in shares) | 75,000,000 | 75,000,000 | ||
Number of shares repurchased and retired to date (in shares) | 24,135,000 | 24,135,000 | ||
Cost of shares repurchased and retired to date | $ 200,375 | $ 200,375 | ||
Repurchase of common stock (in shares) | 0 | 0 | 0 | (8,020,000) |
Repurchase of common stock | $ 0 | $ 0 | $ 0 | $ (61,307) |
Equity At-the-Market Offering (Details) $ in Thousands |
Jun. 30, 2017
USD ($)
shares
|
---|---|
Equity [Abstract] | |
Number of shares authorized to be sold under equity distribution agreement (in shares) | 20,000,000 |
Number of common shares issued under equity distribution agreement and outstanding as of period-end (in shares) | 7,585,869 |
Accumulated proceeds from issuance of common shares under equity distribution agreement | $ | $ 77,603 |
Equity Schedule of Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands |
Jun. 30, 2017 |
Dec. 31, 2016 |
---|---|---|
Schedule of Available-for-sale Securities [Line Items] | ||
Accumulated other comprehensive income | $ 354,617 | $ 199,227 |
Collateralized Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Unrealized gains | 463,155 | 393,555 |
Unrealized losses | $ (108,538) | $ (194,328) |
Equity Reclassifications out of Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Realized gains on sales of certain AFS securities, net of tax | $ (31,249) | $ (8,331) | $ 21,103 | $ (37,805) |
Amounts reclassified from accumulated other comprehensive income (loss) | (5,718) | (5,040) | (3,595) | (23,449) |
Reclassification out of Accumulated Other Comprehensive Income [Member] | ||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | ||||
Other-than-temporary impairments on AFS securities | 429 | 90 | 429 | 807 |
Realized gains on sales of certain AFS securities, net of tax | $ (6,147) | $ (5,130) | $ 3,166 | $ (24,256) |
Equity Noncontrolling Interest (Details) $ / shares in Units, $ in Thousands |
3 Months Ended |
---|---|
Jun. 30, 2017
USD ($)
$ / shares
shares
| |
Equity [Abstract] | |
Shares of Granite Point Mortgage Trust Inc. common stock owned (in shares) | shares | 33,100,000 |
Ownership percentage in Granite Point Mortgage Trust Inc. | 76.50% |
Shares issued by Granite Point Mortgage Trust Inc. in initial public offering (in shares) | shares | 10,000,000 |
Price per share issued by Granite Point Mortgage Trust Inc. in initial public offering (in usd per share) | $ / shares | $ 19.50 |
Gross proceeds received by Granite Point Mortgage Trust Inc. in initial public offering | $ 181,900 |
Net proceeds received by Granite Point Mortgage Trust Inc. in initial public offering | 195,000 |
Issuance costs incurred by Granite Point Mortgage Trust Inc. in initial public offering | 13,100 |
Maximum amount of Granite Point Mortgage Trust Inc. share value that may be purchased by Two Harbors Investment Corp. | $ 20,000 |
Equity Incentive Plan (Details) - Second Restated 2009 Equity Incentive Plan [Member] - $ / shares |
6 Months Ended | |
---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 1,343,689 | 1,759,737 |
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ 8.80 | $ 7.38 |
Award vesting period of restricted common shares granted during period under equity incentive plan | 3 years | |
Director [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 69,117 | 81,739 |
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ 9.91 | $ 8.43 |
Key Employees [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 1,274,572 | 1,677,998 |
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ 8.74 | $ 7.33 |
Common stock share price (in usd per share) | $ 9.91 |
Equity Incentive Plan Schedule of Share-based Compensation, Restricted Stock and Restricted Stock Units Activity (Details) - Second Restated 2009 Equity Incentive Plan [Member] - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number of Shares [Roll Forward] | ||||
Number of nonvested restricted common shares outstanding at beginning of period (in shares) | 2,639,424 | 2,290,609 | ||
Weighted average grant date fair value of nonvested restricted common shares outstanding at beginning of period (in usd per share) | $ 8.55 | $ 10.36 | ||
Number of restricted common shares granted during period under equity incentive plan (in shares) | 1,343,689 | 1,759,737 | ||
Weighted average grant date fair value of restricted common shares granted during period under equity incentive plan (in usd per share) | $ 8.80 | $ 7.38 | ||
Number of restricted common shares vested during period (in shares) | (1,290,649) | (1,109,015) | ||
Weighted average grant date fair value of restricted common shares vested during period (in usd per share) | $ (8.95) | $ (10.33) | ||
Number of restricted common shares forfeited during period (in shares) | (34,138) | (41,175) | ||
Weighted average grant date fair value of restricted common shares forfeited during period (in usd per share) | $ (9.02) | $ (8.77) | ||
Number of nonvested restricted common shares outstanding at end of period (in shares) | 2,658,326 | 2,900,156 | 2,658,326 | 2,900,156 |
Weighted average grant date fair value of nonvested restricted common shares outstanding at end of period (in usd per share) | $ 8.48 | $ 8.59 | $ 8.48 | $ 8.59 |
Compensation costs related to restricted common stock | $ 4,257 | $ 4,904 | $ 8,212 | $ 7,755 |
Equity Incentive Plan Granite Point Mortgage Trust Inc. Equity Incentive Plan (Details) - Granite Point Mortgage Trust Inc. 2017 Equity Incentive Plan [Member] |
3 Months Ended |
---|---|
Jun. 30, 2017
shares
| |
Director [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of restricted common shares granted during period under equity incentive plan (in shares) | 13,205 |
Key Employees [Member] | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |
Number of restricted common shares granted during period under equity incentive plan (in shares) | 150,000 |
Income Taxes (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | |||
---|---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Dec. 31, 2016 |
|
Income Tax Disclosure [Abstract] | |||||
Percent of REIT Taxable Income to Distribute | 100.00% | 100.00% | |||
Provision for (benefit from) income taxes | $ 8,757 | $ (14,762) | $ (15,759) | $ (9,311) | |
Valuation allowance on deferred tax assets | $ 4,300 | $ 4,300 | $ 0 |
Earnings Per Share (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Earnings Per Share [Abstract] | ||||
Net income (loss) | $ 8,658 | $ (16,981) | $ 80,643 | $ (105,911) |
Net income attributable to noncontrolling interest | 40 | 0 | 40 | 0 |
Net income (loss) attributable to Two Harbors Investment Corp. | 8,618 | (16,981) | 80,603 | (105,911) |
Dividends on preferred stock | 4,285 | 0 | 4,285 | 0 |
Net income (loss) attributable to common stockholders | $ 4,333 | $ (16,981) | $ 76,318 | $ (105,911) |
Weighted average common shares outstanding (in shares) | 346,149,870 | 344,336,995 | 345,902,838 | 345,267,094 |
Weighted average restricted stock shares (in shares) | 2,796,465 | 3,260,960 | 2,853,351 | 3,249,891 |
Basic and diluted weighted average shares outstanding (in shares) | 348,946,335 | 347,597,955 | 348,756,189 | 348,516,985 |
Basic and diluted earnings (loss) per weighted average common share (in usd per share) | $ 0.01 | $ (0.05) | $ 0.22 | $ (0.30) |
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 28,838,119 | 28,838,119 |
Schedule of Related Party Transactions, by Related Party (Details) - USD ($) $ in Thousands |
3 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jun. 30, 2017 |
Jun. 30, 2016 |
Jun. 30, 2017 |
Jun. 30, 2016 |
|
Related Party Transaction [Line Items] | ||||
Management fees | $ 11,772 | $ 11,837 | $ 23,242 | $ 23,881 |
PRCM Advisers LLC [Member] | ||||
Related Party Transaction [Line Items] | ||||
Management fees | 11,668 | 11,837 | $ 23,138 | 23,881 |
Percent per annum of equity used to calculate management fees | 1.50% | |||
Direct and allocated costs incurred by manager | 6,477 | $ 6,033 | $ 13,986 | $ 12,827 |
Pine River Capital Management L.P. [Member] | ||||
Related Party Transaction [Line Items] | ||||
Management fees | $ 104 | |||
Percent per annum of equity used to calculate management fees | 1.50% |
Subsequent Events Subsequent Event, Series B Preferred Stock Offering (Details) - USD ($) $ / shares in Units, $ in Thousands |
1 Months Ended | 6 Months Ended | ||
---|---|---|---|---|
Jul. 19, 2017 |
Jun. 30, 2017 |
Jun. 30, 2016 |
Dec. 31, 2016 |
|
Subsequent Event [Line Items] | ||||
Preferred stock par value per share (in usd per share) | $ 0.01 | $ 0.01 | ||
Proceeds from issuance of preferred stock, net of offering costs | $ 138,872 | $ 0 | ||
Series A Preferred Stock [Member] | ||||
Subsequent Event [Line Items] | ||||
Preferred stock dividend rate | 8.125% | |||
Preferred stock par value per share (in usd per share) | $ 0.01 | |||
Preferred stock public offering price per share (in usd per share) | 25.00 | |||
Preferred stock liquidation preference per share (in usd per share) | $ 25.00 | |||
Preferred stock dividend variable rate spread | 5.66% | |||
Preferred stock redemption price per share (in usd per share) | $ 25.00 | |||
Proceeds from issuance of preferred stock, net of offering costs | $ 138,872 | |||
Over-Allotment Option [Member] | Series A Preferred Stock [Member] | ||||
Subsequent Event [Line Items] | ||||
Number of shares of preferred stock issued during period (in shares) | 750,000 | |||
Subsequent Event [Member] | Series B Preferred Stock [Member] | ||||
Subsequent Event [Line Items] | ||||
Number of shares of preferred stock issued during period (in shares) | 11,500,000 | |||
Preferred stock dividend rate | 7.625% | |||
Preferred stock par value per share (in usd per share) | $ 0.01 | |||
Preferred stock public offering price per share (in usd per share) | 25.00 | |||
Preferred stock liquidation preference per share (in usd per share) | $ 25.00 | |||
Preferred stock dividend variable rate spread | 5.352% | |||
Preferred stock redemption price per share (in usd per share) | $ 25.00 | |||
Proceeds from issuance of preferred stock, net of offering costs | $ 278,094 | |||
Subsequent Event [Member] | Over-Allotment Option [Member] | Series B Preferred Stock [Member] | ||||
Subsequent Event [Line Items] | ||||
Number of shares of preferred stock issued during period (in shares) | 1,500,000 |
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