Other Assets (Tables)

9 Months Ended

Sep. 30, 2016

The following table presents the components of the Company’s Other assets at September 30, 2016 and December 31, 2015:



(In Thousands)	September 30, 2016		December 31, 2015
REO	$	73,189	$	28,026
Interest receivable	27,842		29,002
Swaps, at fair value	121		1,127
Goodwill	7,189		7,189
Prepaid and other assets	99,708		101,455
Total Other Assets	$	208,049	$	166,799

Schedule of activity for real estate owned

The following table presents the activity in the Company’s REO for the three and nine months ended September 30, 2016 and 2015:



(In Thousands)	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Balance at beginning of period	$	56,784		$	8,857		$	28,026		$	5,492
Adjustments to record at lower of cost or fair value	(1,659		)	(560		)	(4,655		)	(1,939		)
Transfer from residential whole loans (1)	24,812			5,892			69,803			12,894
Purchases and capital improvements	415			2,052			2,204			2,052
Disposals	(7,163		)	(1,716		)	(22,189		)	(3,974		)
Balance at end of period	$	73,189		$	14,525		$	73,189		$	14,525

(1) Includes net gain recorded on transfer of approximately $845,000 and $110,000, respectively, for the three months ended September 30, 2016 and 2015, respectively, and approximately $2.5 million and $704,000 for the nine months ended September 30, 2016 and 2015, respectively.

Schedule of derivative instruments and balance sheet location

The following table presents the fair value of the Company’s derivative instruments and their balance sheet location at September 30, 2016 and December 31, 2015:



			September 30, 2016					December 31, 2015
Derivative Instrument	Designation	Balance Sheet Location	Notional Amount		Fair Value			Notional Amount		Fair Value
(In Thousands)
Non-cleared legacy Swaps (1)	Hedging	Assets	$	300,000	$	121		$	450,000	$	1,127
Non-cleared legacy Swaps (1)	Hedging	Liabilities	$	150,000	$	(27	)	$	50,000	$	(59	)
Cleared Swaps (2)	Hedging	Liabilities	$	2,550,000	$	(109,296	)	$	2,550,000	$	(70,467	)

(1) Non-cleared legacy Swaps include Swaps executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house.

(2) Cleared Swaps include Swaps executed bilaterally with a counterparty in the over-the-counter market but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties.

Schedule of assets pledged as collateral against derivative contracts

The following table presents the assets pledged as collateral against the Company’s Swap contracts at September 30, 2016 and December 31, 2015:



(In Thousands)	September 30, 2016		December 31, 2015
Agency MBS, at fair value	$	34,469	$	38,569
Restricted cash	115,487		70,573
Total assets pledged against Swaps	$	149,956	$	109,142

Schedule of information about swap activity

The following table presents certain information with respect to the Company’s Swap activity during the three and nine months ended September 30, 2016:



(Dollars in Thousands)	Three Months Ended September 30, 2016			Nine Months Ended September 30, 2016
New Swaps:
Aggregate notional amount	$	—		$	—
Weighted average fixed-pay rate	—		%	—		%
Initial maturity date	N/A			N/A
Number of new Swaps	—			—
Swaps amortized/expired:
Aggregate notional amount	$	—		$	50,000
Weighted average fixed-pay rate	—		%	2.13		%

Schedule of information about swaps

The following table presents information about the Company’s Swaps at September 30, 2016 and December 31, 2015:



	September 30, 2016						December 31, 2015
	Notional Amount		Weighted Average Fixed-Pay Interest Rate		Weighted Average Variable Interest Rate (2)		Notional Amount		Weighted Average Fixed-Pay Interest Rate		Weighted Average Variable Interest Rate (2)

Maturity (1)
(Dollars in Thousands)
Within 30 days	$	—	—	%	—	%	$	50,000	2.13	%	0.42	%
Over 30 days to 3 months	100,000		0.48		0.53		—		—		—
Over 3 months to 6 months	50,000		0.67		0.52		—		—		—
Over 6 months to 12 months	300,000		0.57		0.52		100,000		0.48		0.32
Over 12 months to 24 months	550,000		1.49		0.53		350,000		0.58		0.27
Over 24 months to 36 months	200,000		1.71		0.54		550,000		1.49		0.32
Over 36 months to 48 months	1,500,000		2.22		0.53		200,000		1.71		0.42
Over 48 months to 60 months	200,000		2.20		0.53		1,500,000		2.22		0.36
Over 60 months to 72 months	—		—		—		200,000		2.20		0.30
Over 72 months to 84 months (3)	100,000		2.75		0.53		—		—		—
Over 84 months (3)	—		—		—		100,000		2.75		0.40
Total Swaps	$	3,000,000	1.82	%	0.53	%	$	3,050,000	1.82	%	0.34	%

(1) Each maturity category reflects contractual amortization and/or maturity of notional amounts.

(2) Reflects the benchmark variable rate due from the counterparty at the date presented, which rate adjusts monthly or quarterly based on one-month or three-month LIBOR, respectively.

(3) Reflects one Swap with a maturity date of July 2023.

Schedule of interest expense and the weighted average interest rate paid and received on swaps

The following table presents the net impact of the Company’s derivative hedging instruments on its interest expense and the weighted average interest rate paid and received for such Swaps for the three and nine months ended September 30, 2016 and 2015:



	Three Months Ended September 30,						Nine Months Ended September 30,
(Dollars in Thousands)	2016			2015			2016			2015
Interest expense attributable to Swaps	$	10,170		$	12,711		$	31,279		$	41,266
Weighted average Swap rate paid	1.82		%	1.82		%	1.82		%	1.83		%
Weighted average Swap rate received	0.49		%	0.19		%	0.45		%	0.18		%

Schedule of impact of hedging instruments on AOCI

The following table presents the impact of the Company’s derivative hedging instruments on its AOCI for the three and nine months ended September 30, 2016 and 2015:



	Three Months Ended September 30,						Nine Months Ended September 30,
(In Thousands)	2016			2015			2016			2015
AOCI from derivative hedging instruments:
Balance at beginning of period	$	(131,971	)	$	(64,571	)	$	(69,399	)	$	(59,062	)
Unrealized gain/(loss) on Swaps, net	22,769			(40,884		)	(39,803		)	(46,393		)
Balance at end of period	$	(109,202	)	$	(105,455	)	$	(109,202	)	$	(105,455	)

Schedule of company's interest receivable by investment category

The following table presents the Company’s interest receivable by investment category at September 30, 2016 and December 31, 2015:



(In Thousands)	September 30, 2016		December 31, 2015
MBS interest receivable:
Fannie Mae	$	7,799	$	8,999
Freddie Mac	1,916		2,177
Ginnie Mae	15		15
Non-Agency MBS	14,401		15,438
Total MBS interest receivable	24,131		26,629
Residential whole loans	3,435		2,259
CRT securities	213		92
Money market and other investments	63		22
Total interest receivable	$	27,842	$	29,002