XML 44 R16.htm IDEA: XBRL DOCUMENT
v3.2.0.727

Mortgage Backed Securities Mortgage backed securities (Tables) | 6 Months Ended
--- | ---
Jun. 30, 2015
Schedule of Available-for-sale Securities [Line Items] |
Schedule of Realized Gain (Loss) [Table Text Block] | The Company's sale proceeds including MBS sales pending settlement as of June 30, 2015 were $226,884 and $329,406 for three and six months ended June 30, 2015, respectively, and $36,133 and $95,932 for the three and six months ended June 30, 2014, respectively. The following table presents the gross realized gains (losses) of those sales included in "gain (loss) on sale of investments, net" on the Company's consolidated statements of comprehensive income for the periods indicated:
| Three Months Ended |  | Six Months Ended
| June 30, |  | June 30,
($ in thousands) | 2015 |  | 2014 |  | 2015 |  | 2014
Gross realized gains on sales of MBS | $ | 1,361 |  |  | $ | 471 |  |  | $ | 3,134 |  |  | $ | 690 |
Gross realized losses on sales of MBS | (2,852 | ) |  | (948 | ) |  | (3,317 | ) |  | (4,474 | )
Loss on sale of investments, net | $ | (1,491 | ) |  | $ | (477 | ) |  | $ | (183 | ) |  | $ | (3,784 | )
Available-for-sale Securities [Table Text Block] | The following tables provide detail by type of investment for the Company’s MBS designated as AFS as of the dates indicated:
| June 30, 2015
| Par |  | Net Premium (Discount) |  | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value |  | WAC (1)
RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | $ | 1,741,996 |  |  | $ | 90,244 |  |  | $ | 1,832,240 |  |  | $ | 7,703 |  |  | $ | (16,671 | ) |  | $ | 1,823,272 |  |  | 3.05 | %
Non-Agency | 73,896 |  |  | (62 | ) |  | 73,834 |  |  | 136 |  |  | (88 | ) |  | 73,882 |  |  | 3.55 | %
| 1,815,892 |  |  | 90,182 |  |  | 1,906,074 |  |  | 7,839 |  |  | (16,759 | ) |  | 1,897,154 |  |  |
CMBS: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | 952,322 |  |  | 16,331 |  |  | 968,653 |  |  | 13,749 |  |  | (15,499 | ) |  | 966,903 |  |  | 3.45 | %
Non-Agency | 214,220 |  |  | (8,384 | ) |  | 205,836 |  |  | 6,521 |  |  | (422 | ) |  | 211,935 |  |  | 4.22 | %
| 1,166,542 |  |  | 7,947 |  |  | 1,174,489 |  |  | 20,270 |  |  | (15,921 | ) |  | 1,178,838 |  |  |
CMBS IO (2): |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | — |  |  | 426,897 |  |  | 426,897 |  |  | 9,258 |  |  | (494 | ) |  | 435,661 |  |  | 0.72 | %
Non-Agency | — |  |  | 338,247 |  |  | 338,247 |  |  | 3,888 |  |  | (905 | ) |  | 341,230 |  |  | 0.61 | %
| — |  |  | 765,144 |  |  | 765,144 |  |  | 13,146 |  |  | (1,399 | ) |  | 776,891 |  |  |
Total AFS securities: | $ | 2,982,434 |  |  | $ | 863,273 |  |  | $ | 3,845,707 |  |  | $ | 41,255 |  |  | $ | (34,079 | ) |  | $ | 3,852,883 |  |  |
(1) | The current weighted average coupon ("WAC") is the gross interest rate of the pool of mortgages underlying the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security).
(2) | The notional balance for Agency CMBS IO and non-Agency CMBS IO was $11,198,955 and $9,572,727, respectively, as of June 30, 2015.
| December 31, 2014
| Par |  | Net Premium (Discount) |  | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value |  | WAC (1)
RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | $ | 2,086,807 |  |  | $ | 113,635 |  |  | $ | 2,200,442 |  |  | $ | 8,473 |  |  | $ | (22,215 | ) |  | $ | 2,186,700 |  |  | 3.09 | %
Non-Agency | 22,432 |  |  | (17 | ) |  | 22,415 |  |  | 107 |  |  | (74 | ) |  | 22,448 |  |  | 3.83 | %
| 2,109,239 |  |  | 113,618 |  |  | 2,222,857 |  |  | 8,580 |  |  | (22,289 | ) |  | 2,209,148 |  |  |
CMBS: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | 301,943 |  |  | 18,042 |  |  | 319,985 |  |  | 15,288 |  |  | (76 | ) |  | 335,197 |  |  | 5.21 | %
Non-Agency | 210,358 |  |  | (8,520 | ) |  | 201,838 |  |  | 6,679 |  |  | (479 | ) |  | 208,038 |  |  | 4.33 | %
| 512,301 |  |  | 9,522 |  |  | 521,823 |  |  | 21,967 |  |  | (555 | ) |  | 543,235 |  |  |
CMBS IO (2): |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | — |  |  | 426,564 |  |  | 426,564 |  |  | 12,252 |  |  | (79 | ) |  | 438,737 |  |  | 0.80 | %
Non-Agency | — |  |  | 319,280 |  |  | 319,280 |  |  | 6,069 |  |  | (230 | ) |  | 325,119 |  |  | 0.72 | %
| — |  |  | 745,844 |  |  | 745,844 |  |  | 18,321 |  |  | (309 | ) |  | 763,856 |  |  |
Total AFS securities: | $ | 2,621,540 |  |  | $ | 868,984 |  |  | $ | 3,490,524 |  |  | $ | 48,868 |  |  | $ | (23,153 | ) |  | $ | 3,516,239 |  |  |  |
(1) | The current weighted average coupon ("WAC") is the gross interest rate of the pool of mortgages underlying the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security).
(2) | The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $10,460,113 and $7,868,896, respectively, as of December 31, 2014.
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value [Table Text Block] | The following table presents certain information for those Agency MBS in an unrealized loss position as of the dates indicated:
| June 30, 2015 |  | December 31, 2014
| Fair Value |  | Gross Unrealized Losses |  | # of Securities |  | Fair Value |  | Gross Unrealized Losses |  | # of Securities
Continuous unrealized loss position for less than 12 months: |  |  |  |  |  |  |  |  |  |  |
Agency MBS | $ | 1,052,413 |  |  | $ | (17,343 | ) |  | 68 |  | $ | 322,741 |  |  | $ | (879 | ) |  | 24
Non-Agency MBS | 212,569 |  |  | (1,349 | ) |  | 39 |  | 111,778 |  |  | (625 | ) |  | 24
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |
Agency MBS | $ | 886,126 |  |  | $ | (15,321 | ) |  | 73 |  | $ | 1,321,323 |  |  | $ | (21,491 | ) |  | 113
Non-Agency MBS | 1,348 |  |  | (66 | ) |  | 5 |  | 18,037 |  |  | (159 | ) |  | 5

X
- Definition Tabular disclosure of fair value of investments in debt and equity securities in an unrealized loss position categorized neither as held-to-maturity nor trading securities. + References No definition available. + Details
Name: | us-gaap_AvailableForSaleSecuritiesContinuousUnrealizedLossPositionFairValueTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of available-for-sale securities which includes, but is not limited to, changes in the cost basis and fair value, fair value and gross unrealized gain (loss), fair values by type of security, contractual maturity and classification, amortized cost basis, contracts to acquire securities to be accounted for as available-for-sale, debt maturities, transfers to trading, change in net unrealized holding gain (loss) net of tax, continuous unrealized loss position fair value, aggregate losses qualitative disclosures, other than temporary impairment (OTTI) losses or other disclosures related to available for sale securities. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6957658&loc=d3e62557-112803 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 7 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27337-111563 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27198-111563 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=6957658&loc=d3e62586-112803 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27161-111563 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27357-111563 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27290-111563 + Details
Name: | us-gaap_AvailableForSaleSecuritiesTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table. + References No definition available. + Details
Name: | us-gaap_ScheduleOfAvailableForSaleSecuritiesLineItems
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the proceeds from sales of available-for-sale securities and the gross realized gains and gross realized losses that have been included in earnings as a result of those sales. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 9 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27357-111563 + Details
Name: | us-gaap_ScheduleOfRealizedGainLossTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration