XML 31 R8.htm IDEA: XBRL DOCUMENT
v3.5.0.2

Mortgage Backed Securities Mortgage backed securities | 9 Months Ended
--- | ---
Sep. 30, 2016
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 secured borrowings and derivative instruments. The following tables present the Company’s MBS by investment type as of the dates indicated:
| September 30, 2016
| Par |  | Net Premium (Discount) |  | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value |  | WAC (1)
RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | $ | 1,239,856 |  |  | $ | 61,141 |  |  | $ | 1,300,997 |  |  | $ | 5,270 |  |  | $ | (8,549 | ) |  | $ | 1,297,718 |  |  | 3.04 | %
Non-Agency | 41,514 |  |  | (19 | ) |  | 41,495 |  |  | 109 |  |  | (54 | ) |  | 41,550 |  |  | 3.58 | %
| 1,281,370 |  |  | 61,122 |  |  | 1,342,492 |  |  | 5,379 |  |  | (8,603 | ) |  | 1,339,268 |  |  |
CMBS: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | 898,317 |  |  | 11,048 |  |  | 909,365 |  |  | 35,901 |  |  | (62 | ) |  | 945,204 |  |  | 3.32 | %
Non-Agency | 82,190 |  |  | (7,552 | ) |  | 74,638 |  |  | 8,135 |  |  | (1 | ) |  | 82,772 |  |  | 4.89 | %
| 980,507 |  |  | 3,496 |  |  | 984,003 |  |  | 44,036 |  |  | (63 | ) |  | 1,027,976 |  |  |
CMBS IO (2): |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | — |  |  | 385,968 |  |  | 385,968 |  |  | 8,597 |  |  | (139 | ) |  | 394,426 |  |  | 0.68 | %
Non-Agency | — |  |  | 344,792 |  |  | 344,792 |  |  | 4,921 |  |  | (916 | ) |  | 348,797 |  |  | 0.61 | %
| — |  |  | 730,760 |  |  | 730,760 |  |  | 13,518 |  |  | (1,055 | ) |  | 743,223 |  |  |
Total AFS securities: | $ | 2,261,877 |  |  | $ | 795,378 |  |  | $ | 3,057,255 |  |  | $ | 62,933 |  |  | $ | (9,721 | ) |  | $ | 3,110,467 |  |  |
(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 $12,226,782 and $10,687,732, respectively, as of September 30, 2016.
| December 31, 2015
| Par |  | Net Premium (Discount) |  | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value |  | WAC (1)
RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | $ | 1,536,733 |  |  | $ | 77,617 |  |  | $ | 1,614,350 |  |  | $ | 4,362 |  |  | $ | (20,190 | ) |  | $ | 1,598,522 |  |  | 3.03 | %
Non-Agency | 66,003 |  |  | (45 | ) |  | 65,958 |  |  | 70 |  |  | (818 | ) |  | 65,210 |  |  | 3.25 | %
| 1,602,736 |  |  | 77,572 |  |  | 1,680,308 |  |  | 4,432 |  |  | (21,008 | ) |  | 1,663,732 |  |  |
CMBS: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | 876,751 |  |  | 13,252 |  |  | 890,003 |  |  | 10,542 |  |  | (14,614 | ) |  | 885,931 |  |  | 3.45 | %
Non-Agency | 156,218 |  |  | (8,133 | ) |  | 148,085 |  |  | 7,039 |  |  | (941 | ) |  | 154,183 |  |  | 4.29 | %
| 1,032,969 |  |  | 5,119 |  |  | 1,038,088 |  |  | 17,581 |  |  | (15,555 | ) |  | 1,040,114 |  |  |
CMBS IO (2): |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | — |  |  | 421,857 |  |  | 421,857 |  |  | 5,922 |  |  | (1,651 | ) |  | 426,128 |  |  | 0.80 | %
Non-Agency | — |  |  | 365,554 |  |  | 365,554 |  |  | 1,992 |  |  | (3,819 | ) |  | 363,727 |  |  | 0.71 | %
| — |  |  | 787,411 |  |  | 787,411 |  |  | 7,914 |  |  | (5,470 | ) |  | 789,855 |  |  |
Total AFS securities: | $ | 2,635,705 |  |  | $ | 870,102 |  |  | $ | 3,505,807 |  |  | $ | 29,927 |  |  | $ | (42,033 | ) |  | $ | 3,493,701 |  |  |  |
(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 $12,180,291 and $10,328,628, respectively, as of December 31, 2015.
Actual maturities of MBS are affected by the contractual lives of the underlying mortgage collateral, periodic payments of principal, prepayments of principal, and the payment priority structure of the security; therefore, actual maturities are generally shorter than the securities' stated contractual maturities. The following table presents information regarding the 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
| September 30,
| 2016 |  | 2015
| Proceeds Received |  | Realized Gain (Loss) |  | Proceeds Received |  | Realized Gain (Loss)
Agency RMBS (1) | $ | — |  |  | $ | — |  |  | $ | (2,694 | ) |  | $ | (59 | )
Agency CMBS IO | — |  |  | — |  |  | 12,620 |  |  | 172 |
Non-Agency CMBS IO | — |  |  | — |  |  | — |  |  | — |
| $ | — |  |  | $ | — |  |  | $ | 9,926 |  |  | $ | 113 |
(1) | There were no sales of Agency RMBS during the three months ended September 30, 2015. The amounts shown reflect an adjustment to proceeds received and the realized loss recognized during the three months ended September 30, 2015 related to pre-settlement factor changes.
| Nine Months Ended
| September 30,
| 2016 |  | 2015
| Proceeds Received |  | Realized Gain (Loss) |  | Proceeds Received |  | Realized Gain (Loss)
Agency RMBS | $ | 54,178 |  |  | $ | (3,010 | ) |  | $ | 153,676 |  |  | $ | (2,256 | )
Agency CMBS | — |  |  | — |  |  | 98,887 |  |  | (822 | )
Non-Agency CMBS | 33,640 |  |  | (1,228 | ) |  | — |  |  | — |
Agency CMBS IO | — |  |  | — |  |  | 42,005 |  |  | 1,646 |
Non-Agency CMBS IO | — |  |  | — |  |  | 44,764 |  |  | 1,362 |
| $ | 87,818 |  |  | $ | (4,238 | ) |  | $ | 339,332 |  |  | $ | (70 | )
The following table presents certain information for those MBS in an unrealized loss position as of the dates indicated:
| September 30, 2016 |  | December 31, 2015
| 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 | $ | 352,253 |  |  | $ | (1,484 | ) |  | 40 |  | $ | 1,332,849 |  |  | $ | (19,062 | ) |  | 109
Non-Agency MBS | 24,448 |  |  | (99 | ) |  | 5 |  | 351,650 |  |  | (5,347 | ) |  | 72
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |
Agency MBS | $ | 379,488 |  |  | $ | (7,266 | ) |  | 61 |  | $ | 775,484 |  |  | $ | (17,393 | ) |  | 72
Non-Agency MBS | 84,959 |  |  | (872 | ) |  | 28 |  | 8,306 |  |  | (231 | ) |  | 7
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 September 30, 2016 and December 31, 2015 were temporary. The Company 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 September 30, 2016 or December 31, 2015.

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