XML 23 R8.htm IDEA: XBRL DOCUMENT
v3.19.2

Investments in Debt Securities Investment in Debt Securities (Notes) | 6 Months Ended
--- | ---
Jun. 30, 2019
Investments, Debt and Equity Securities [Abstract] |
Investments in Debt Securities | INVESTMENTS IN DEBT SECURITIES The majority of the Company’s debt securities are pledged as collateral for the Company’s repurchase agreements. The following tables present the Company’s debt securities by investment type (including securities pending settlement) as of the dates indicated:
| June 30, 2019
| Par |  | Net Premium (Discount) |  | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value |  | WAC (1)
RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | $ | 3,095,408 |  |  | $ | 82,035 |  |  | $ | 3,177,443 |  |  | $ | 58,044 |  |  | $ | (2,184 | ) |  | $ | 3,233,303 |  |  | 3.97 | %
Non-Agency | 744 |  |  | — |  |  | 744 |  |  | 32 |  |  | (19 | ) |  | 757 |  |  | 6.75 | %
| 3,096,152 |  |  | 82,035 |  |  | 3,178,187 |  |  | 58,076 |  |  | (2,203 | ) |  | 3,234,060 |  |  |
CMBS: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | 1,875,117 |  |  | 15,793 |  |  | 1,890,910 |  |  | 91,994 |  |  | (269 | ) |  | 1,982,635 |  |  | 2.84 | %
Non-Agency | 1,422 |  |  | (977 | ) |  | 445 |  |  | 692 |  |  | — |  |  | 1,137 |  |  | 5.50 | %
| 1,876,539 |  |  | 14,816 |  |  | 1,891,355 |  |  | 92,686 |  |  | (269 | ) |  | 1,983,772 |  |  |
CMBS IO (2): |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | — |  |  | 267,703 |  |  | 267,703 |  |  | 8,332 |  |  | (108 | ) |  | 275,927 |  |  | 0.66 | %
Non-Agency | — |  |  | 214,728 |  |  | 214,728 |  |  | 5,472 |  |  | (171 | ) |  | 220,029 |  |  | 0.63 | %
| — |  |  | 482,431 |  |  | 482,431 |  |  | 13,804 |  |  | (279 | ) |  | 495,956 |  |  |
Total AFS securities: | $ | 4,972,691 |  |  | $ | 579,282 |  |  | $ | 5,551,973 |  |  | $ | 164,566 |  |  | $ | (2,751 | ) |  | $ | 5,713,788 |  |  |
(1) | The weighted average coupon (“WAC”) is the gross interest rate of 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 $12,861,382 and $10,014,205 respectively, as of June 30, 2019.
| December 31, 2018
| Par |  | Net Premium (Discount) |  | Amortized Cost |  | Gross Unrealized Gain |  | Gross Unrealized Loss |  | Fair Value |  | WAC (1)
RMBS: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | $ | 2,118,639 |  |  | $ | 56,744 |  |  | $ | 2,175,383 |  |  | $ | 8,902 |  |  | $ | (26,264 | ) |  | $ | 2,158,021 |  |  | 3.95 | %
Non-Agency | 856 |  |  | — |  |  | 856 |  |  | 24 |  |  | (22 | ) |  | 858 |  |  | 6.75 | %
| 2,119,495 |  |  | 56,744 |  |  | 2,176,239 |  |  | 8,926 |  |  | (26,286 | ) |  | 2,158,879 |  |  |
CMBS: |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | 1,071,906 |  |  | 8,518 |  |  | 1,080,424 |  |  | 6,141 |  |  | (29,550 | ) |  | 1,057,015 |  |  | 3.22 | %
Non-Agency | 3,040 |  |  | (2,037 | ) |  | 1,003 |  |  | 413 |  |  | — |  |  | 1,416 |  |  | 6.47 | %
| 1,074,946 |  |  | 6,481 |  |  | 1,081,427 |  |  | 6,554 |  |  | (29,550 | ) |  | 1,058,431 |  |  |
CMBS IO (2): |  |  |  |  |  |  |  |  |  |  |  |  |
Agency | — |  |  | 287,062 |  |  | 287,062 |  |  | 4,281 |  |  | (239 | ) |  | 291,104 |  |  | 0.55 | %
Non-Agency | — |  |  | 240,681 |  |  | 240,681 |  |  | 1,675 |  |  | (1,306 | ) |  | 241,050 |  |  | 0.57 | %
| — |  |  | 527,743 |  |  | 527,743 |  |  | 5,956 |  |  | (1,545 | ) |  | 532,154 |  |  |
Total AFS securities: | $ | 3,194,441 |  |  | $ | 590,968 |  |  | $ | 3,785,409 |  |  | $ | 21,436 |  |  | $ | (57,381 | ) |  | $ | 3,749,464 |  |  |  |
(1) | The WAC is the gross interest rate of 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 $13,048,666 and $10,275,494, respectively, as of December 31, 2018.
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 categorizes the Company’s debt securities according to their stated maturity as of the dates indicated:
| June 30, 2019 |  | December 31, 2018
| Amortized Cost |  | Fair Value |  | Amortized Cost |  | Fair Value
Less than 1 year | $ | 152,858 |  |  | $ | 157,963 |  |  | $ | 39,868 |  |  | $ | 39,808 |
>1 and <5 years | 285,275 |  |  | 289,174 |  |  | 151,041 |  |  | 152,917 |
>5 and <10 years | 879,723 |  |  | 914,413 |  |  | 828,543 |  |  | 806,015 |
> 10 years | 4,234,117 |  |  | 4,352,238 |  |  | 2,765,957 |  |  | 2,750,724 |
| $ | 5,551,973 |  |  | $ | 5,713,788 |  |  | $ | 3,785,409 |  |  | $ | 3,749,464 |
The following table presents information regarding the sales that generated the “loss on sale of investments, net” on the Company’s consolidated statements of comprehensive income (loss) for the periods indicated:
| Three Months Ended |  | Six Months Ended
| June 30, |  | June 30,
| 2019 |  | 2018 |  | 2019 |  | 2018
| Proceeds Received |  | Realized Gain (Loss) |  | Proceeds Received |  | Realized Gain (Loss) |  | Proceeds Received |  | Realized Gain (Loss) |  | Proceeds Received |  | Realized Gain (Loss)
Agency RMBS | $ | 205,493 |  |  | $ | (3,953 | ) |  | $ | 217,837 |  |  | $ | (7,785 | ) |  | $ | 205,493 |  |  | $ | (3,953 | ) |  | $ | 217,837 |  |  | $ | (7,785 | )
Agency CMBS | 213,198 |  |  | (6,493 | ) |  | — |  |  | — |  |  | 213,198 |  |  | (6,493 | ) |  | 108,758 |  |  | (2,052 | )
Agency CMBS IO | 13,861 |  |  | 86 |  |  | — |  |  | — |  |  | 13,861 |  |  | 86 |  |  | — |  |  | — |
Non-Agency CMBS IO | — |  |  | — |  |  | 8,695 |  |  | 51 |  |  | — |  |  | — |  |  | 8,695 |  |  | 51 |
U.S. Treasuries | — |  |  | — |  |  | 144,461 |  |  | (4,710 | ) |  | — |  |  | — |  |  | 190,960 |  |  | (6,433 | )
| $ | 432,552 |  |  | $ | (10,360 | ) |  | $ | 370,993 |  |  | $ | (12,444 | ) |  | $ | 432,552 |  |  | $ | (10,360 | ) |  | $ | 526,250 |  |  | $ | (16,219 | )
The following table presents certain information for the AFS securities in an unrealized loss position as of the dates indicated:
| June 30, 2019 |  | December 31, 2018
| 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 | $ | 148,736 |  |  | $ | (378 | ) |  | 14 |  | $ | 581,440 |  |  | $ | (1,793 | ) |  | 28
Non-Agency MBS | 14,490 |  |  | (140 | ) |  | 4 |  | 70,876 |  |  | (581 | ) |  | 22
Continuous unrealized loss position for 12 months or longer: |  |  |  |  |  |  |  |  |  |  |
Agency MBS | $ | 294,704 |  |  | $ | (2,184 | ) |  | 9 |  | $ | 1,543,892 |  |  | $ | (54,260 | ) |  | 88
Non-Agency MBS | 7,117 |  |  | (51 | ) |  | 8 |  | 46,154 |  |  | (747 | ) |  | 19
Because the principal related to Agency MBS is guaranteed by the government-sponsored entities Fannie Mae and Freddie Mac which have AAA ratings due to the Treasury’s commitment of capital under the Senior Preferred Stock Purchase Agreement, 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 in accordance with GAAP. This assessment is based on the amount of the unrealized loss and significance of the related investment as well as the Company’s leverage and liquidity position. Based on this analysis, the Company has determined that the unrealized losses on its Agency MBS as of June 30, 2019 and December 31, 2018 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 the non-Agency MBS, the credit characteristics of the mortgage loans collateralizing these securities, and the estimated future cash flows including projected collateral losses. The Company also assesses its ability and intent to hold any non-Agency MBS with an unrealized loss until the recovery in its value in accordance with GAAP. The Company performed this evaluation for its 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, 2019 or December 31, 2018.

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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 942 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2209399 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 946 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2324412 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 320 -URI http://asc.fasb.org/topic&trid=2196928 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 940 -SubTopic 320 -URI http://asc.fasb.org/subtopic&trid=2176304 + Details
Name: | us-gaap_InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration