Other Assets (Tables)

12 Months Ended

Dec. 31, 2016

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



(In Thousands)	December 31, 2016		December 31, 2015
REO	$	80,503	$	28,026
Interest receivable	27,795		29,002
Swaps, at fair value	233		1,127
Goodwill	7,189		7,189
Prepaid and other assets	164,575		101,455
Total Other Assets	$	280,295	$	166,799

Schedule of activity for real estate owned

The following table presents the activity in the Company’s REO for the years ended December 31, 2016 and 2015:



	For the Year Ended December 31,
(In Thousands)	2016			2015
Balance at beginning of period	$	28,026		$	5,492
Adjustments to record at lower of cost or fair value	(7,527		)	(3,475		)
Transfer from residential whole loans (1)	91,896			30,104
Purchases and capital improvements	2,825			2,461
Disposals	(34,717		)	(6,556		)
Balance at end of period	$	80,503		$	28,026

(1) Includes net gain recorded on transfer of approximately $2.9 million and $1.7 million, respectively, for the years ended December 31, 2016 and 2015.

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 December 31, 2016 and 2015:



			December 31,
			2016					2015
Derivative Instrument	Designation	Balance Sheet Location	Notional Amount		Fair Value			Notional Amount		Fair Value
(In Thousands)
Non-cleared legacy Swaps (1)	Hedging	Assets	$	350,000	$	233		$	450,000	$	1,127
Non-cleared legacy Swaps (1)	Hedging	Liabilities	$	—	$	—		$	50,000	$	(59	)
Cleared Swaps (2)	Hedging	Liabilities	$	2,550,000	$	(46,954	)	$	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 December 31, 2016 and 2015:



	December 31,
(In Thousands)	2016		2015
Agency MBS, at fair value	$	32,468	$	38,569
Restricted cash	53,849		70,573
Total assets pledged against Swaps	$	86,317	$	109,142

Schedule of information about swap activity

The following table presents certain information with respect to the Company’s Swap activity during the year ended December 31, 2016:



(Dollars in Thousands)	December 31, 2016
New Swaps:
Aggregate notional amount	$	—
Weighted average fixed-pay rate	—		%
Initial maturity date	N/A
Number of new Swaps	—
Swaps amortized/expired:
Aggregate notional amount	$	150,000
Weighted average fixed-pay rate	1.03		%

Schedule of information about swaps

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



	December 31, 2016						December 31, 2015
Maturity (1)	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)
(Dollars in Thousands)
Within 30 days	$	—	—	%	—	%	$	50,000	2.13	%	0.42	%
Over 30 days to 3 months	50,000		0.67		0.64		—		—		—
Over 3 months to 6 months	300,000		0.57		0.66		—		—		—
Over 6 months to 12 months	—		—		—		100,000		0.48		0.32
Over 12 months to 24 months	550,000		1.49		0.71		350,000		0.58		0.27
Over 24 months to 36 months	200,000		1.71		0.76		550,000		1.49		0.32
Over 36 months to 48 months	1,500,000		2.22		0.74		200,000		1.71		0.42
Over 48 months to 60 months	200,000		2.20		0.75		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		0.74		—		—		—
Over 84 months	—		—		—		100,000		2.75		0.40
Total Swaps	$	2,900,000	1.87	%	0.72	%	$	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) At December 31, 2016, 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 years ended December 31, 2016, 2015 and 2014:



	For the Year Ended December 31,
(Dollars in Thousands)	2016			2015			2014
Interest expense attributable to Swaps	$	40,898		$	53,759		$	69,842
Weighted average Swap rate paid	1.82		%	1.86		%	1.93		%
Weighted average Swap rate received	0.48		%	0.19		%	0.16		%

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 years ended December 31, 2016, 2015 and 2014:



	For the Year Ended December 31,
(In Thousands)	2016			2015			2014
AOCI from derivative hedging instruments:
Balance at beginning of period	$	(69,399	)	$	(59,062	)	$	(15,217	)
Unrealized gain/(loss) on Swaps, net	22,678			(10,337		)	(44,292		)
Reclassification of unrealized loss on de-designated Swaps	—			—			447
Balance at end of period	$	(46,721	)	$	(69,399	)	$	(59,062	)

Schedule of information about the components of the unrealized net gains/(losses) and net interest income from Linked Transactions

The following table presents certain information about the components of the unrealized net gains and net interest income from Linked Transactions included in the Company’s consolidated statements of operations for the year ended December 31, 2014:



(In Thousands)	For the Year Ended December 31, 2014
Interest income attributable to MBS underlying Linked Transactions	$	24,443
Interest expense attributable to linked repurchase agreement borrowings underlying Linked Transactions	(8,028		)
Change in fair value of Linked Transactions included in earnings	677
Unrealized net gains and net interest income from Linked Transactions	$	17,092

Schedule of company's interest receivable by investment category

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



	December 31,
(In Thousands)	2016		2015
MBS interest receivable:
Fannie Mae	$	7,402	$	8,999
Freddie Mac	1,802		2,177
Ginnie Mae	14		15
Non-Agency MBS	13,435		15,438
Total MBS interest receivable	22,653		26,629
Residential whole loans	4,415		2,259
CRT securities	254		92
Money market and other investments	473		22
Total interest receivable	$	27,795	$	29,002