XML 21 R8.htm IDEA: XBRL DOCUMENT
v3.2.0.727

Mortgage Backed Securities Mortgage backed securities (Notes) | 6 Months Ended
--- | ---
Jun. 30, 2015
Investments, Debt and Equity Securities [Abstract] |
Mortgage-backed securities | MORTGAGE-BACKED SECURITIES The majority of the Company's MBS are pledged as collateral to cover initial and variation margins for the Company's repurchase agreements, Federal Home Loan Bank ("FHLB") advances, and derivative instruments. 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.
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 | )
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
Because the principal related to Agency MBS is guaranteed by the government-sponsored entities Fannie Mae and Freddie Mac which have the implicit guarantee of the U.S. government, the Company does not consider any of the unrealized losses on its Agency MBS to be credit related. Although the unrealized losses are not credit related, the Company assesses its ability and intent to hold any Agency MBS with an unrealized loss until the recovery in its value. This assessment is based on the amount of the unrealized loss and significance of the related investment as well as the Company’s current leverage and anticipated liquidity. Based on this analysis, the Company has determined that the unrealized losses on its Agency MBS as of June 30, 2015 and December 31, 2014 were temporary. The Company also reviews any non-Agency MBS in an unrealized loss position to evaluate whether any decline in fair value represents an OTTI. The evaluation includes a review of the credit ratings of these non-Agency MBS and the seasoning of the mortgage loans collateralizing these securities as well as the estimated future cash flows which include projected losses. The Company performed this evaluation for the non-Agency MBS in an unrealized loss position and has determined that there have not been any adverse changes in the timing or amount of estimated future cash flows that necessitate a recognition of OTTI amounts as of June 30, 2015 or December 31, 2014.

X
- References No definition available. + Details
Name: | us-gaap_InvestmentsDebtAndEquitySecuritiesAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for investments in certain debt and equity securities. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -Glossary Debt Security -URI http://asc.fasb.org/extlink&oid=6509901 Reference 2: 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 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 310 -SubTopic 30 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6379141&loc=d3e15032-111544 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27232-111563 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -Glossary Equity Security -URI http://asc.fasb.org/extlink&oid=6511694 Reference 6: 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 7: 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 8: 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 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=27724398&loc=d3e27405-111563 + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration