XML 46 R21.htm IDEA: XBRL DOCUMENT
v3.7.0.1

Repurchase Agreements (Details) - USD ($) $ in Thousands | 3 Months Ended |
--- | --- | ---
Mar. 31, 2017 | Mar. 31, 2016 | Dec. 31, 2016
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] |  |  |
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 2,825,945 |  | $ 2,898,952
Secured borrowing, weighted average interest rate | 1.15% |  | 1.03%
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 3,070,075 |  | $ 3,149,839
Weighted average maturity remaining | 18 days | 20 days |
Securitization financing bond |  |  |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] |  |  |
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 4,370 |  | $ 4,803
Secured borrowing, weighted average interest rate | 2.21% |  | 2.00%
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 4,850 |  | $ 5,278
RMBS | Agency MBS |  |  |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] |  |  |
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 1,020,367 |  | $ 1,157,302
Secured borrowing, weighted average interest rate | 0.90% |  | 0.82%
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 1,055,641 |  | $ 1,191,147
RMBS | Non-Agency MBS |  |  |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] |  |  |
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 20,800 |  | $ 26,149
Secured borrowing, weighted average interest rate | 2.18% |  | 1.98%
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 24,944 |  | $ 31,952
CMBS | Agency MBS |  |  |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] |  |  |
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 1,068,251 |  | $ 1,005,726
Secured borrowing, weighted average interest rate | 0.90% |  | 0.82%
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 1,146,915 |  | $ 1,095,002
CMBS | Non-Agency MBS |  |  |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] |  |  |
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 65,327 |  | $ 66,881
Secured borrowing, weighted average interest rate | 1.85% |  | 1.63%
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 77,198 |  | $ 77,840
CMBS IO | Agency MBS |  |  |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] |  |  |
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 344,828 |  | $ 346,892
Secured borrowing, weighted average interest rate | 1.82% |  | 1.57%
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 406,244 |  | $ 407,481
CMBS IO | Non-Agency MBS |  |  |
Assets and Associated Liabilities of Transfers Accounted for as Secured Borrowings [Line Items] |  |  |
Transfers Accounted for as Secured Borrowings, Associated Liabilities, Carrying Amount | $ 302,002 |  | $ 291,199
Secured borrowing, weighted average interest rate | 1.88% |  | 1.67%
Pledged Financial Instruments, Not Separately Reported, Securities for Repurchase Agreements | $ 354,283 |  | $ 341,139

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_AssetsAndAssociatedLiabilitiesOfTransfersAccountedForAsSecuredBorrowingsLineItems
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Interest rate on the amount to be repaid to the counterparty to the repurchase agreement when the carrying amount (or market value, if higher than the carrying amount) of securities or other assets sold under the repurchase agreement exceeds 10 percent of total assets. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(m)(1)(i)(A)(ii)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 + Details
Name: | us-gaap_AssetsSoldUnderAgreementsToRepurchaseInterestRate
Namespace Prefix: | us-gaap_
Data Type: | num:percentItemType
Balance Type: | na
Period Type: | instant

X
- Definition The carrying amount as of the date of the latest financial statement presented of securities which are owned but transferred to serve as collateral for repurchase agreements, and for which the transferee does not have the right by contract or custom to sell or re-pledge them to an unrelated party. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 50 -Paragraph 1A -Subparagraph (b)(1)(i) -URI http://asc.fasb.org/extlink&oid=64858031&loc=SL6224234-111729 + Details
Name: | us-gaap_PledgedFinancialInstrumentsNotSeparatelyReportedSecuritiesForRepurchaseAgreements
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | debit
Period Type: | instant

X
- Definition Weighted average maturity (weighted by amount of the agreement) of repurchase agreements with the counterparty, in 'PnYnMnDTnHnMnS' format, for example, 'P1Y5M13D' represents the reported fact of one year, five months, and thirteen days. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(m)(1)(i)(B)(iii)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 + Details
Name: | us-gaap_RepurchaseAgreementCounterpartyWeightedAverageMaturityOfAgreements1
Namespace Prefix: | us-gaap_
Data Type: | xbrli:durationItemType
Balance Type: | na
Period Type: | duration

X
- Definition Carrying amount of liabilities associated with financial assets accounted for as secured borrowings recognized in the transferor's statement of financial position at the end of each period presented. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 50 -Paragraph 1A -Subparagraph (b)(1) -URI http://asc.fasb.org/extlink&oid=64858031&loc=SL6224234-111729 + Details
Name: | us-gaap_TransfersAccountedForAsSecuredBorrowingsAssociatedLiabilitiesCarryingAmount
Namespace Prefix: | us-gaap_
Data Type: | xbrli:monetaryItemType
Balance Type: | credit
Period Type: | instant

X
- Details
Name: | us-gaap_FinancialInstrumentsOwnedAndPledgedAsCollateralAxis=us-gaap_CollateralizedMortgageObligationsMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_MajorTypesOfDebtAndEquitySecuritiesAxis=us-gaap_ResidentialMortgageBackedSecuritiesMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_FinancialInstrumentsOwnedAndPledgedAsCollateralAxis=us-gaap_MortgageBackedSecuritiesIssuedByUSGovernmentSponsoredEnterprisesMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_FinancialInstrumentsOwnedAndPledgedAsCollateralAxis=us-gaap_MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_MajorTypesOfDebtAndEquitySecuritiesAxis=us-gaap_CommercialMortgageBackedSecuritiesMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |

X
- Details
Name: | us-gaap_MajorTypesOfDebtAndEquitySecuritiesAxis=us-gaap_InterestOnlyStripMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |