XML 97 R85.htm IDEA: XBRL DOCUMENT v3.5.0.2
Fair Value of Financial Instruments - Assets and Liabilities Measured at Fair Value on a Recurring Basis (Details) - USD ($)
$ in Thousands
Jun. 30, 2016
Dec. 31, 2015
Assets carried at fair value    
Investment securities available for sale [1] $ 796,489 $ 765,454
Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment in unconsolidated entities 63,055 67,571
Total 8,433,369 8,167,136
Liabilities carried at fair value    
Total 6,988,251 6,820,401
TBA securities | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 290,318 226,929
Options on U.S. Treasury futures | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 27 15
Interest rate swap futures | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 706
Liabilities carried at fair value    
Derivative liabilities 759 0
U.S. Treasury futures | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 1,002 0
Eurodollar futures | Fair Value, Measurements, Recurring    
Liabilities carried at fair value    
Derivative liabilities 4,572 1,242
Interest rate swaps | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 304
Liabilities carried at fair value    
Derivative liabilities 1,107 258
Swaptions | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 333 821
Agency RMBS | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 613,304 713,116
Non-Agency RMBS | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 110,371 1,567
U.S. Treasury securities | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 7,997 10,037
Collateralized Mortgage Backed Securities Held In Securitization Trusts | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 64,817 40,734
Multi-family loans held in securitization trusts | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Multi-family loans held in securitization trusts 7,282,145 7,105,336
Multi-family collateralized debt obligations | Fair Value, Measurements, Recurring    
Liabilities carried at fair value    
Multi-family collateralized debt obligations 6,981,813 6,818,901
Level 1 | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment in unconsolidated entities 0 0
Total 9,026 10,758
Liabilities carried at fair value    
Total 5,331 1,242
Level 1 | TBA securities | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 0
Level 1 | Options on U.S. Treasury futures | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 27 15
Level 1 | Interest rate swap futures | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 706
Liabilities carried at fair value    
Derivative liabilities 759 0
Level 1 | U.S. Treasury futures | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 1,002 0
Level 1 | Eurodollar futures | Fair Value, Measurements, Recurring    
Liabilities carried at fair value    
Derivative liabilities 4,572 1,242
Level 1 | Interest rate swaps | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 0
Liabilities carried at fair value    
Derivative liabilities   0
Level 1 | Swaptions | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 0
Level 1 | Agency RMBS | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 0 0
Level 1 | Non-Agency RMBS | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 0 0
Level 1 | U.S. Treasury securities | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 7,997 10,037
Level 1 | Collateralized Mortgage Backed Securities Held In Securitization Trusts | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 0 0
Level 1 | Multi-family loans held in securitization trusts | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Multi-family loans held in securitization trusts 0 0
Level 1 | Multi-family collateralized debt obligations | Fair Value, Measurements, Recurring    
Liabilities carried at fair value    
Multi-family collateralized debt obligations 0 0
Level 2 | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 0
Investment in unconsolidated entities 0 0
Total 1,036,872 942,737
Liabilities carried at fair value    
Total 1,107 258
Level 2 | TBA securities | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 290,318 226,929
Level 2 | Options on U.S. Treasury futures | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 0
Level 2 | Interest rate swap futures | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 0
Liabilities carried at fair value    
Derivative liabilities 0 0
Level 2 | Eurodollar futures | Fair Value, Measurements, Recurring    
Liabilities carried at fair value    
Derivative liabilities 0 0
Level 2 | Interest rate swaps | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 304
Liabilities carried at fair value    
Derivative liabilities 1,107 258
Level 2 | Swaptions | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 333 821
Level 2 | Agency RMBS | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 613,304 713,116
Level 2 | Non-Agency RMBS | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 110,371 1,567
Level 2 | U.S. Treasury securities | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 0 0
Level 2 | Collateralized Mortgage Backed Securities Held In Securitization Trusts | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 22,546 0
Level 2 | Multi-family loans held in securitization trusts | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Multi-family loans held in securitization trusts 0 0
Level 2 | Multi-family collateralized debt obligations | Fair Value, Measurements, Recurring    
Liabilities carried at fair value    
Multi-family collateralized debt obligations 0 0
Level 3    
Assets carried at fair value    
Investment in unconsolidated entities [2] 74,304 87,558
Level 3 | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 0
Investment in unconsolidated entities 63,055 67,571
Total 7,387,471 7,213,641
Liabilities carried at fair value    
Total 6,981,813 6,818,901
Level 3 | TBA securities | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 0
Level 3 | Options on U.S. Treasury futures | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 0
Level 3 | Interest rate swap futures | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 0
Liabilities carried at fair value    
Derivative liabilities 0 0
Level 3 | Eurodollar futures | Fair Value, Measurements, Recurring    
Liabilities carried at fair value    
Derivative liabilities 0 0
Level 3 | Interest rate swaps | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 0
Liabilities carried at fair value    
Derivative liabilities 0 0
Level 3 | Swaptions | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Derivative assets 0 0
Level 3 | Agency RMBS | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 0 0
Level 3 | Non-Agency RMBS | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 0 0
Level 3 | U.S. Treasury securities | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 0 0
Level 3 | Collateralized Mortgage Backed Securities Held In Securitization Trusts | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Investment securities available for sale 42,271 40,734
Level 3 | Multi-family loans held in securitization trusts | Fair Value, Measurements, Recurring    
Assets carried at fair value    
Multi-family loans held in securitization trusts 7,282,145 7,105,336
Level 3 | Multi-family collateralized debt obligations | Fair Value, Measurements, Recurring    
Liabilities carried at fair value    
Multi-family collateralized debt obligations $ 6,981,813 $ 6,818,901
[1] Includes $42.3 million and $40.7 million of investment securities for sale held in securitization trusts as of June 30, 2016 and December 31, 2015, respectively.
[2] Includes investments in unconsolidated entities accounted for under the fair value option with a carrying value of $63.1 million and $67.6 million at June 30, 2016 and December 31, 2015, respectively.