MARYLAND | 26-0630461 |
(State or other jurisdiction of incorporation of organization) | (I.R.S. Employer Identification Number) |
520 Madison Avenue, 32nd Floor | |
New York, New York | 10022 |
(Address of Principal Executive Offices) | (Zip Code) |
Title of Each Class | Name of Each Exchange on Which Registered |
Common Stock, par value $0.01 per share | New York Stock Exchange |
8.0% Series A Cumulative Redeemable Preferred Stock, par value $0.01 per share | New York Stock Exchange |
F-1 | ||
S-1 |
• | our business and investment strategy; |
• | our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements; |
• | general volatility of the securities markets in which we invest; |
• | the impact of and changes to various government programs; |
• | our expected investments; |
• | changes in the value of our investments; |
• | interest rate mismatches between our investments and our borrowings used to finance such purchases; |
• | changes in interest rates and mortgage prepayment rates; |
• | effects of interest rate caps on our adjustable-rate investments; |
• | rates of default, delinquencies or decreased recovery rates on our investments; |
• | prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS; |
• | the degree to which our hedging strategies may or may not protect us from interest rate volatility; |
• | impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters; |
• | availability of investment opportunities in real estate-related and other securities; |
• | availability of qualified personnel; |
• | estimates relating to our ability to make distributions to our stockholders in the future; |
• | our understanding of our competition; |
• | market trends in our industry, interest rates, the debt securities markets or the general economy; |
• | our transition from an externally-managed real estate investment trust, or REIT, to an internally-managed REIT; |
• | our ability to maintain our classification as a REIT for federal income tax purposes; |
• | our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act; |
• | our expectations regarding materiality or significance; and |
• | the effectiveness of our disclosure controls and procedures. |
• | No investment shall be made that would cause us to fail to qualify as a REIT for federal income tax purposes; |
• | No investment shall be made that would cause us to be regulated as an investment company under the 1940 Act; |
• | With the exception of real estate and housing, no single industry shall represent greater than 20% of the securities or aggregate risk exposure in our portfolio; and |
• | Investments in non-rated or deeply subordinated ABS or other securities that are non-qualifying assets for purposes of the 75% REIT asset test will be limited to an amount not to exceed 50% of our stockholders’ equity. |
• | Repurchase Agreements. We have financed certain of our assets through the use of repurchase agreements. We anticipate that repurchase agreements will be one of the sources we will use to achieve our desired amount of leverage for our residential real estate assets. We maintain formal relationships with many counterparties to obtain financing on favorable terms. |
• | Warehouse Facilities. We have utilized and may in the future utilize credit facilities for capital needed to fund our assets. We intend to maintain formal relationships with multiple counterparties to maintain warehouse lines on favorable terms. |
• | Securitization. We have acquired and may in the future acquire residential mortgage loans for our portfolio with the intention of securitizing them and retaining a portion of the securitized mortgage loans in our portfolio. To facilitate the securitization or financing of our loans, we generally create subordinate certificates, providing a specified amount of credit enhancement, which we intend to retain in our portfolio. |
• | Re-REMICs. We have acquired and may in the future acquire Non-Agency RMBS for our portfolio with the intention of re-securitizing them and retaining a portion of the re-securitized Non-Agency RMBS in our portfolio, typically the subordinate certificates. To facilitate the re-securitization, we transfer Non-Agency RMBS to a special purpose entity that has been formed as a securitization vehicle that will issue multiple classes of securities secured by and payable from cash flows on the underlying Non-Agency RMBS. |
• | puts and calls on securities or indices of securities; |
• | Eurodollar futures contracts and options on such contracts; |
• | interest rate caps, swaps and swaptions; |
• | U.S. Treasury futures, forward contracts, other derivative contracts and options on U.S. Treasury securities; and |
• | other similar transactions. |
• | general market conditions; |
• | the market’s perception of our growth potential; |
• | our current and potential future earnings and cash distributions; |
• | the market price of the shares of our capital stock; and |
• | the market’s view of the quality of our assets. |
• | incur or guarantee additional debt; |
• | make certain investments or acquisitions; |
• | make distributions on or repurchase or redeem capital stock; |
• | engage in mergers or consolidations; |
• | finance mortgage loans with certain attributes; |
• | reduce liquidity below certain levels; |
• | grant liens; |
• | incur operating losses for more than a specified period; |
• | enter into transactions with affiliates; and |
• | hold mortgage loans for longer than established time periods. |
• | interest rate hedging can be expensive, particularly during periods of rising and volatile interest rates; |
• | available interest rate hedges may not correlate directly with the interest rate risk for which protection is sought; |
• | the duration of the hedge may not match the duration of the related liability; |
• | the amount of income that a REIT may earn from hedging transactions to offset interest rate losses may be limited by federal tax provisions governing REITs; |
• | the credit quality of the party owing money on the hedge may be downgraded to such an extent that it impairs our ability to sell or assign our side of the hedging transaction; |
• | the party owing money in the hedging transaction may default on its obligation to pay; and |
• | the value of derivatives used for hedging may be adjusted from time to time in accordance with accounting rules to reflect changes in fair value. Downward adjustments, or “mark-to-market losses,” would reduce our stockholders’ equity. |
• | the issuer issues securities the payment of which depends primarily on the cash flow from “eligible assets” that by their terms convert into cash within a finite time period; |
• | the securities sold are fixed income securities rated investment grade by at least one rating agency (fixed income securities that are unrated or rated below investment grade may be sold to institutional accredited investors and any securities may be sold to “qualified institutional buyers” and to persons involved in the organization or operation of the issuer); |
• | the issuer acquires and disposes of eligible assets (1) only in accordance with the agreements pursuant to which the securities are issued, (2) so that the acquisition or disposition does not result in a downgrading of the issuer’s fixed income securities and (3) so that the acquisition or disposition is not made for the primary purpose of recognizing gains or decreasing losses resulting from market value changes; and |
• | unless the issuer is issuing only commercial paper, the issuer appoints an independent trustee, takes reasonable steps to transfer to the trustee an ownership or perfected security interest in the eligible assets, and meets rating agency requirements for commingling of cash flows. |
• | the ability of the homeowner to rescind, or cancel, the loan; |
• | the inability of the holder of the loan to collect all of the principal and interest otherwise due on the loan; |
• | the right of the homeowner to collect a refund of amounts previously paid (which may include amounts financed by the loan), or to set off those amounts against his or her future loan obligations; and |
• | the liability of the servicer and the owner of the loan for actual damages, statutory damages and punitive damages, civil or criminal penalties, costs and attorneys’ fees. |
• | actual or anticipated variations in our quarterly operating results or business prospects; |
• | changes in our earnings estimates or publication of research reports about us or the real estate industry; |
• | an inability to meet or exceed securities analysts' estimates or expectations; |
• | increases in market interest rates; |
• | hedging or arbitrage trading activity in our shares of common stock; |
• | capital commitments; |
• | changes in market valuations of similar companies; |
• | changes in valuations of our assets; |
• | adverse market reaction to any increased indebtedness we incur in the future; |
• | additions or departures of management personnel; |
• | actions by institutional shareholders, including large block sales at a discount; |
• | speculation in the press or investment community; |
• | yields on our capital stock as compared to yields on other financial instruments; |
• | changes in our distribution policy; |
• | regulatory changes affecting our industry generally or our business; |
• | general market and economic conditions; and |
• | future sales of our shares of common stock or securities convertible into, or exchangeable or exercisable for, our shares of common stock. |
• | our ability to make profitable investments; |
• | margin calls or other expenses that reduce our cash flow; |
• | defaults in our asset portfolio or decreases in the value of our portfolio; |
• | the fact that anticipated operating expense levels may not prove accurate, as actual results may vary from estimates; and |
• | increased cost of financing. |
• | There are ownership limits and restrictions on transferability and ownership in our charter. To qualify as a REIT for each taxable year after 2007, not more than 50% of the value of our outstanding stock may be owned, directly or constructively, by five or fewer individuals during the second half of any calendar year. In addition, our shares must be beneficially owned by 100 or more persons during at least 335 days of a taxable year of 12 months or during a proportionate part of a shorter taxable year for each taxable year after 2007. To assist us in satisfying these tests, our charter generally prohibits any person from beneficially or constructively owning more than 9.8% in value or number of shares, whichever is more restrictive, of any class or series of our outstanding capital stock. These restrictions may discourage a tender offer or other transactions or a change in the composition of our Board of Directors or control that might involve a premium price for our shares or otherwise be in the best interests of our stockholders and any shares issued or transferred in violation of such restrictions being automatically transferred to a trust for a charitable beneficiary, thereby resulting in a forfeiture of the additional shares. |
• | Our charter permits our Board of Directors to issue stock with terms that may discourage a third party from acquiring us. Our charter permits our Board of Directors to amend the charter without stockholder approval to increase the total number of authorized shares of stock or the number of shares of any class or series and to issue common or preferred stock, having preferences, conversion or other rights, voting powers, restrictions, limitations as to dividends or other distributions, qualifications, or terms or conditions of redemption as determined by our board. Thus, our board could |
• | Maryland Control Share Acquisition Act. Maryland law provides that ‘‘control shares’’ of a corporation acquired in a ‘‘control share acquisition’’ will have no voting rights except to the extent approved by a vote of two-thirds of the votes eligible to be cast on the matter under the Maryland Control Share Acquisition Act. ‘‘Control shares’’ means voting shares of stock that, if aggregated with all other shares of stock owned by the acquirer or in respect of which the acquirer is able to exercise or direct the exercise of voting power (except solely by a revocable proxy), would entitle the acquirer to exercise voting power in electing directors within one of the following ranges of voting power: one-tenth or more but less than one-third, one-third or more but less than a majority, or a majority or more of all voting power. A ‘‘control share acquisition’’ means the acquisition of control shares, subject to certain exceptions. |
• | Business Combinations. Under Maryland law, ‘‘business combinations’’ between a Maryland corporation and an interested stockholder or an affiliate of an interested stockholder are prohibited for five years after the most recent date on which the interested stockholder becomes an interested stockholder. These business combinations include a merger, consolidation, share exchange or, in circumstances specified in the statute, an asset transfer or issuance or reclassification of equity securities. An interested stockholder is defined as: |
• | any person who beneficially owns 10% or more of the voting power of the corporation’s shares; or |
• | an affiliate or associate of the corporation who, at any time within the two-year period before the date in question, was the beneficial owner of 10% or more of the voting power of the then outstanding voting stock of the corporation. |
• | 80% of the votes entitled to be cast by holders of outstanding shares of voting stock of the corporation; and |
• | two-thirds of the votes entitled to be cast by holders of voting stock of the corporation, other than shares held by the interested stockholder with whom or with whose affiliate the business combination is to be effected or held by an affiliate or associate of the interested stockholder. |
• | Staggered board. Our Board of Directors is divided into three classes of directors. Directors of each class are chosen for three-year terms upon the expiration of their current terms, and each year one class of directors is elected by the stockholders. The staggered terms of our directors may reduce the possibility of a tender offer or an attempt at a change in control, even though a tender offer or change in control might be in the best interests of our stockholders. |
• | Our charter and bylaws contain other possible anti-takeover provisions. Our charter and bylaws contains other provisions that may have the effect of delaying, deferring or preventing a change in control of us or the removal of |
• | actual receipt of an improper benefit or profit in money, property or services; or |
• | a final judgment based upon a finding of active and deliberate dishonesty by the director or officer that was material to the cause of action adjudicated for which Maryland law prohibits such exemption from liability. |
• | not be allowed to be offset by a stockholder’s net operating losses; |
• | be subject to a tax as unrelated business income if a stockholder were a tax-exempt stockholder; |
• | be subject to the application of federal income tax withholding at the maximum rate (without reduction for any otherwise applicable income tax treaty) with respect to amounts allocable to foreign stockholders; and |
• | be taxable (at the highest corporate tax rate) to us, rather than to our stockholders, to the extent the excess inclusion income relates to stock held by disqualified organizations (generally, tax-exempt organizations not subject to tax on unrelated business income, including governmental organizations). |
• | 85% of our REIT ordinary income for that year; |
• | 95% of our REIT capital gain net income for that year; and |
• | any undistributed taxable income from prior years. |
Stock Price | |||||||||
High | Low | Close | |||||||
Quarter Ended December 31, 2016 | $ | 17.64 | $ | 14.80 | $ | 17.02 | |||
Quarter Ended September 30, 2016 | $ | 16.91 | $ | 15.66 | $ | 15.95 | |||
Quarter Ended June 30, 2016 | $ | 15.77 | $ | 13.48 | $ | 15.70 | |||
Quarter Ended March 31, 2016 | $ | 14.22 | $ | 11.39 | $ | 13.59 | |||
Quarter Ended December 31, 2015 | $ | 14.63 | $ | 12.86 | $ | 13.64 | |||
Quarter Ended September 30, 2015 | $ | 14.54 | $ | 13.21 | $ | 13.37 | |||
Quarter Ended June 30, 2015 | $ | 15.94 | $ | 13.71 | $ | 13.71 | |||
Quarter Ended March 31, 2015 | $ | 16.45 | $ | 15.35 | $ | 15.70 |
Common Dividends Declared Per Share | |||
Quarter Ended December 31, 2016 | $ | 0.50 | |
Quarter Ended September 30, 2016 | $ | 0.48 | |
Quarter Ended June 30, 2016 | $ | 0.48 | |
Quarter Ended March 31, 2016 | $ | 0.98 | |
Quarter Ended December 31, 2015 | $ | 0.48 | |
Quarter Ended September 30, 2015 | $ | 0.48 | |
Quarter Ended June 30, 2015 | $ | 0.48 | |
Quarter Ended March 31, 2015 | $ | 0.48 |
12/31/2011 | 12/31/2012 | 12/31/2013 | 12/31/2014 | 12/31/2015 | 12/31/2016 | |||||||
Chimera | 100 | 120 | 159 | 195 | 191 | 280 | ||||||
S&P 500 Index | 100 | 116 | 154 | 175 | 177 | 198 | ||||||
BBG REIT Index | 100 | 119 | 116 | 139 | 125 | 153 |
Plan Category | Number of Securities to be Issued Upon Exercise of Outstanding Options, Warrants, and Rights | Weighted Average Exercise Price of Outstanding Options, Warrants, and Rights | Number of Securities Remaining Available for Future Issuance Under Equity Compensation Plans | |||
Equity Compensation Plans Approved by Stockholders | — | — | 6,756,812 | |||
Equity Compensation Plans Not Approved by Stockholders (1) | — | — | — | |||
Total | — | — | 6,756,812 | |||
(1) We do not have any equity plans that have not been approved by our stockholders. |
Consolidated Statements of Financial Condition Highlights | |||||||||||||||
(dollars in thousands, except share and per share data) | |||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | December 31, 2013 | December 31, 2012 | |||||||||||
Non-Agency Mortgage-Backed Securities | $ | 3,330,063 | $ | 3,675,841 | $ | 3,404,149 | $ | 3,774,463 | $ | 3,961,208 | |||||
Agency Mortgage-Backed securities | $ | 4,167,754 | $ | 6,514,824 | $ | 8,441,522 | $ | 1,997,578 | $ | 1,806,697 | |||||
Securitized loans held for investment, net of allowance for loan losses | $ | — | $ | — | $ | 626,112 | $ | 783,484 | $ | 1,300,131 | |||||
Securitized loans held for investment, at fair value | $ | 8,753,653 | $ | 4,768,416 | $ | 4,699,215 | $ | — | $ | — | |||||
Total assets | $ | 16,684,908 | $ | 15,344,646 | $ | 19,155,005 | $ | 6,936,081 | $ | 7,742,489 | |||||
Repurchase agreements | $ | 5,600,903 | $ | 7,439,339 | $ | 8,455,381 | $ | 1,658,561 | $ | 1,528,025 | |||||
Securitized debt, collateralized by Non-Agency RMBS | $ | 334,124 | $ | 529,415 | $ | 704,915 | $ | 933,732 | $ | 1,336,261 | |||||
Securitized debt, loans held for investment | $ | — | $ | — | $ | 521,997 | $ | 669,981 | $ | 1,169,710 | |||||
Securitized debt at fair value, loans held for investment | $ | 6,941,097 | $ | 3,720,496 | $ | 3,868,366 | $ | — | $ | — | |||||
Total liabilities | $ | 13,561,375 | $ | 12,398,458 | $ | 15,547,315 | $ | 3,604,571 | $ | 4,200,010 | |||||
Shareholders' equity | $ | 3,123,533 | $ | 2,946,188 | $ | 3,607,690 | $ | 3,331,510 | $ | 3,542,479 | |||||
Book value per common share | $ | 15.87 | $ | 15.70 | $ | 17.55 | $ | 16.21 | $ | 17.24 | |||||
Number of shares outstanding | 187,739,634 | 187,711,868 | 205,546,144 | 205,525,247 | 205,519,492 |
Consolidated Statements of Operations Highlights | |||||||||||||||
(dollars in thousands, except share and per share data) | |||||||||||||||
For the Year Ended | |||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | December 31, 2013 | December 31, 2012 | |||||||||||
Interest income | $ | 934,068 | $ | 872,737 | $ | 687,795 | $ | 511,783 | $ | 589,440 | |||||
Income expense | $ | 347,857 | $ | 259,365 | $ | 147,785 | $ | 101,999 | $ | 126,558 | |||||
Net interest income | $ | 586,211 | $ | 613,372 | $ | 540,010 | $ | 409,784 | $ | 462,882 | |||||
Net income | $ | 551,943 | $ | 250,349 | $ | 589,205 | $ | 362,686 | $ | 327,767 | |||||
Income per share-basic | $ | 2.93 | $ | 1.25 | $ | 2.87 | $ | 1.77 | $ | 1.60 | |||||
Core earnings per basic common share (1) | $ | 2.42 | $ | 2.37 | $ | 2.14 | $ | 1.69 | $ | 1.85 | |||||
Average shares-basic | 187,728,634 | 199,563,196 | 205,450,095 | 205,418,876 | 205,366,207 | ||||||||||
Dividends declared per share (2) | $ | 2.44 | $ | 1.92 | $ | 1.80 | $ | 2.80 | $ | 1.90 |
Net Income | |||||||||
(dollars in thousands) | |||||||||
(unaudited) | |||||||||
For the Year Ended | |||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||
Net Interest Income: | |||||||||
Interest income (1) | $ | 934,068 | $ | 872,737 | $ | 687,795 | |||
Interest expense (2) | 347,857 | 259,365 | 147,785 | ||||||
Net interest income | 586,211 | 613,372 | 540,010 | ||||||
Other-than-temporary impairments: | |||||||||
Total other-than-temporary impairment losses | (9,589 | ) | (8,700 | ) | (8,713 | ) | |||
Portion of loss recognized in other comprehensive income | (48,398 | ) | (58,744 | ) | (55,279 | ) | |||
Net other-than-temporary credit impairment losses | (57,987 | ) | (67,444 | ) | (63,992 | ) | |||
Other investment gains (losses): | |||||||||
Net unrealized gains (losses) on derivatives | 50,093 | 67,385 | (103,496 | ) | |||||
Realized gains (losses) on terminations of interest rate swaps | (60,616 | ) | (98,949 | ) | — | ||||
Net realized gains (losses) on derivatives | (44,886 | ) | (83,073 | ) | (82,852 | ) | |||
Net gains (losses) on derivatives | (55,409 | ) | (114,637 | ) | (186,348 | ) | |||
Net unrealized gains (losses) on financial instruments at fair value | 59,552 | (158,433 | ) | 193,534 | |||||
Net realized gains (losses) on sales of investments | 18,155 | 77,074 | 91,709 | ||||||
Gain (loss) on deconsolidation | — | (256 | ) | 47,846 | |||||
Gains (losses) on Extinguishment of Debt | (477 | ) | (5,930 | ) | (2,184 | ) | |||
Total other gains (losses) | 21,821 | (202,182 | ) | 144,557 | |||||
Other income: | |||||||||
Other income | 95,000 | — | 23,783 | ||||||
Total other income | 95,000 | — | 23,783 | ||||||
Other expenses: | |||||||||
Management fees | — | 24,609 | 32,514 | ||||||
Expense recoveries from Manager | — | (6,906 | ) | (8,936 | ) | ||||
Net management fees | — | 17,703 | 23,578 | ||||||
Provision for loan losses, net | — | — | (232 | ) | |||||
Compensation and benefits | 26,901 | 10,544 | — | ||||||
General and administrative expenses | 17,516 | 31,633 | 20,403 | ||||||
Servicing Fees of consolidated VIEs | 31,178 | 25,244 | 10,004 | ||||||
Deal Expenses | 17,424 | 8,272 | 1,398 | ||||||
Total other expenses | 93,019 | 93,396 | 55,151 | ||||||
Income (loss) before income taxes | 552,026 | 250,350 | 589,207 | ||||||
Income taxes | 83 | 1 | 2 | ||||||
Net income (loss) | $ | 551,943 | $ | 250,349 | $ | 589,205 | |||
Dividend on preferred stock | $ | 2,449 | $ | — | $ | — | |||
Net income (loss) available to common shareholders | $ | 549,494 | $ | 250,349 | $ | 589,205 | |||
Net income (loss) per share available to common shareholders: | |||||||||
Basic | $ | 2.93 | $ | 1.25 | $ | 2.87 | |||
Diluted | $ | 2.92 | $ | 1.25 | $ | 2.87 | |||
Weighted average number of common shares outstanding: | |||||||||
Basic | 187,728,634 | 199,563,196 | 205,450,095 | ||||||
Diluted | 188,024,838 | 199,650,177 | 205,508,769 | ||||||
Dividends declared per share of common stock | $ | 2.44 | $ | 1.92 | $ | 1.80 | |||
GAAP Interest Income | GAAP Interest Expense | Net Realized Losses on Interest Rate Swaps | Other(2) | Economic Interest Expense | GAAP Net Interest Income | Net Realized Losses on Interest Rate Swaps | Other (1)(2) | Economic Net Interest Income | |||||||||||||||||||
For the Year Ended December 31, 2016 | $ | 934,068 | $ | 347,857 | $ | 28,107 | $ | — | $ | 375,964 | $ | 586,211 | $ | (28,107 | ) | $ | (882 | ) | $ | 557,222 | |||||||
For the Year Ended December 31, 2015 | $ | 872,737 | $ | 259,365 | $ | 47,227 | $ | (2,217 | ) | $ | 304,375 | $ | 613,372 | $ | (47,227 | ) | $ | 1,218 | $ | 567,363 | |||||||
For the Year Ended December 31, 2014 | $ | 687,795 | $ | 147,785 | $ | 52,522 | $ | — | $ | 200,307 | $ | 540,010 | $ | (52,522 | ) | $ | (22 | ) | $ | 487,466 | |||||||
For the Quarter Ended December 31, 2016 | $ | 260,823 | $ | 106,737 | $ | 4,151 | $ | — | $ | 110,888 | $ | 154,086 | $ | (4,151 | ) | $ | 40 | $ | 149,975 | ||||||||
For the Quarter Ended September 30, 2016 | $ | 250,953 | $ | 94,911 | $ | 4,595 | $ | — | $ | 99,506 | $ | 156,042 | $ | (4,595 | ) | $ | (105 | ) | $ | 151,342 | |||||||
For the Quarter Ended June 30, 2016 | $ | 221,096 | $ | 83,227 | $ | 8,141 | $ | — | $ | 91,368 | $ | 137,869 | $ | (8,141 | ) | $ | (367 | ) | $ | 129,361 | |||||||
For the Quarter Ended March 31, 2016 | $ | 201,194 | $ | 62,981 | $ | 11,220 | $ | — | $ | 74,201 | $ | 138,213 | $ | (11,220 | ) | $ | (448 | ) | $ | 126,545 |
For the Year Ended | |||||||||||||||||
December 31, 2016 | December 31, 2015 | ||||||||||||||||
(dollars in thousands) | (dollars in thousands) | ||||||||||||||||
Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | ||||||||||||
Assets: | |||||||||||||||||
Interest-earning assets (1): | |||||||||||||||||
Agency MBS | $ | 4,644,009 | $ | 135,011 | 2.9 | % | $ | 6,563,992 | $ | 192,501 | 2.9 | % | |||||
Non-Agency RMBS | 1,423,855 | 119,552 | 8.4 | % | 1,274,326 | 103,522 | 8.1 | % | |||||||||
Non-Agency RMBS transferred to consolidated VIEs | 1,309,752 | 249,414 | 19.0 | % | 1,554,681 | 266,141 | 17.1 | % | |||||||||
Jumbo Prime securitized residential mortgage loans held for investment | 398,306 | 13,305 | 3.3 | % | 539,875 | 21,913 | 4.1 | % | |||||||||
Seasoned subprime securitized residential mortgage loans held for investment | 6,786,271 | 415,904 | 6.1 | % | 4,527,522 | 287,661 | 6.4 | % | |||||||||
Total | $ | 14,562,193 | $ | 933,186 | 6.4 | % | $ | 14,460,396 | $ | 871,738 | 6.0 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Agency repurchase agreements (2) | $ | 4,159,651 | $ | 60,021 | 1.4 | % | $ | 5,776,980 | $ | 77,976 | 1.3 | % | |||||
Non-Agency repurchase agreements | 2,322,683 | 66,236 | 2.9 | % | 1,627,909 | 36,693 | 2.3 | % | |||||||||
Securitized debt, collateralized by Non-Agency RMBS | 432,192 | 20,710 | 4.8 | % | 620,611 | 35,281 | 5.7 | % | |||||||||
Securitized debt, collateralized by jumbo prime residential mortgage loans | 301,044 | 9,426 | 3.1 | % | 431,653 | 16,766 | 3.9 | % | |||||||||
Securitized debt, collateralized by seasoned subprime residential mortgage loans | 5,460,867 | 219,571 | 4.0 | % | 3,738,936 | 137,659 | 3.7 | % | |||||||||
Total | $ | 12,676,437 | $ | 375,964 | 3.0 | % | $ | 12,196,089 | $ | 304,375 | 2.5 | % | |||||
Economic net interest income/net interest rate spread | $ | 557,222 | 3.4 | % | $ | 567,363 | 3.5 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 1,885,756 | 3.8 | % | $ | 2,264,307 | 3.9 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.15 | 1.19 | |||||||||||||||
(1) Interest-earning assets at amortized cost | |||||||||||||||||
(2) Interest includes cash paid on swaps |
For the Quarter Ended | |||||||||||||||||
December 31, 2016 | December 31, 2015 | ||||||||||||||||
(dollars in thousands) | (dollars in thousands) | ||||||||||||||||
Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | ||||||||||||
Assets: | |||||||||||||||||
Interest-earning assets (1): | |||||||||||||||||
Agency MBS | $ | 3,730,032 | $ | 38,494 | 4.1 | % | $ | 5,967,169 | $ | 37,762 | 2.5 | % | |||||
Non-Agency RMBS | 1,390,837 | 32,098 | 9.2 | % | 1,452,456 | 27,993 | 7.7 | % | |||||||||
Non-Agency RMBS transferred to consolidated VIEs | 1,208,217 | 61,021 | 20.2 | % | 1,465,966 | 64,045 | 17.5 | % | |||||||||
Jumbo Prime securitized residential mortgage loans held for investment | 355,578 | 2,958 | 3.3 | % | 474,543 | 3,688 | 3.1 | % | |||||||||
Seasoned subprime securitized residential mortgage loans held for investment | 8,337,725 | 126,292 | 6.1 | % | 4,523,675 | 68,411 | 6.0 | % | |||||||||
Total | $ | 15,022,389 | $ | 260,863 | 6.9 | % | $ | 13,883,809 | $ | 201,899 | 5.8 | % | |||||
Liabilities and stockholders' equity: | |||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Agency repurchase agreements (2) | $ | 3,199,755 | $ | 11,340 | 1.4 | % | $ | 5,296,934 | $ | 20,045 | 1.5 | % | |||||
Non-Agency repurchase agreements | 2,499,313 | 18,579 | 3.0 | % | 2,095,149 | 12,677 | 2.4 | % | |||||||||
Securitized debt, collateralized by Non-Agency RMBS | 357,422 | 5,610 | 6.3 | % | 550,634 | 8,171 | 5.9 | % | |||||||||
Securitized debt, collateralized by jumbo prime residential mortgage loans | 261,882 | 2,128 | 3.2 | % | 370,160 | 3,041 | 3.3 | % | |||||||||
Securitized debt, collateralized by seasoned subprime residential mortgage loans | 6,720,323 | 73,231 | 4.4 | % | 3,601,082 | 32,694 | 3.6 | % | |||||||||
Total | $ | 13,038,695 | $ | 110,888 | 3.4 | % | $ | 11,913,959 | $ | 76,628 | 2.6 | % | |||||
Economic net interest income/net interest rate spread | $ | 149,975 | 3.5 | % | $ | 125,271 | 3.2 | % | |||||||||
Net interest-earning assets/net interest margin | $ | 1,983,694 | 4.0 | % | $ | 1,969,850 | 3.6 | % | |||||||||
Ratio of interest-earning assets to interest bearing liabilities | 1.15 | 1.17 | |||||||||||||||
(1) Interest-earning assets at amortized cost | |||||||||||||||||
(2) Interest includes cash paid on swaps |
Average Debt Balance | Economic Interest Expense (1) | Average Cost of Funds | Average One-Month LIBOR | Average Six-Month LIBOR | Average One-Month LIBOR Relative to Average Six-Month LIBOR | |||||||||
(Ratios have been annualized, dollars in thousands) | ||||||||||||||
For The Year Ended December 31, 2016 | $ | 12,676,437 | $ | 375,964 | 3.00 | % | 0.50 | % | 1.06 | % | (0.56 | )% | ||
For The Year Ended December 31, 2015 | $ | 12,196,089 | $ | 304,375 | 2.50 | % | 0.20 | % | 0.48 | % | (0.28 | )% | ||
For The Year Ended December 31, 2014 | $ | 7,889,002 | $ | 200,306 | 2.54 | % | 0.16 | % | 0.33 | % | (0.17 | )% | ||
For The Quarter Ended December 31, 2016 | $ | 13,038,695 | $ | 110,888 | 3.40 | % | 0.60 | % | 1.28 | % | (0.68 | )% | ||
For The Quarter Ended September 30, 2016 | $ | 13,585,665 | $ | 99,506 | 2.93 | % | 0.51 | % | 1.15 | % | (0.64 | )% | ||
For The Quarter Ended June 30, 2016 | $ | 12,986,780 | $ | 91,368 | 2.81 | % | 0.40 | % | 0.90 | % | (0.50 | )% | ||
For The Quarter Ended March 31, 2016 | $ | 11,676,012 | $ | 74,201 | 2.54 | % | 0.43 | % | 0.88 | % | (0.45 | )% |
For the Year Ended | |||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||
(dollars in thousands) | |||||||||
Periodic interest cost of interest rate swaps, net | $ | (28,106 | ) | $ | (47,225 | ) | $ | (52,523 | ) |
Realized gain (loss) on derivative instruments, net: | |||||||||
Mortgage Options | — | 443 | 7,505 | ||||||
Treasury Futures | (9,170 | ) | (35,523 | ) | (38,552 | ) | |||
Swaptions | (7,044 | ) | (353 | ) | (24 | ) | |||
Other Derivative Assets | (566 | ) | (415 | ) | 742 | ||||
Swaps - Terminations | (60,616 | ) | (98,949 | ) | — | ||||
Total realized gain (loss) on derivative instruments, net | (77,396 | ) | (134,797 | ) | (30,329 | ) | |||
Unrealized gain on derivative instruments, net: | |||||||||
Interest Rate Swaps | 47,170 | 64,819 | (84,913 | ) | |||||
Mortgage Options | — | 226 | 340 | ||||||
Treasury Futures | 378 | 8,634 | (17,856 | ) | |||||
Swaptions | 2,545 | (6,294 | ) | (1,067 | ) | ||||
Total unrealized gain (loss) on derivative instruments, net: | 50,093 | 67,385 | (103,496 | ) | |||||
Total gain (loss) on derivative instruments, net | $ | (55,409 | ) | $ | (114,637 | ) | $ | (186,348 | ) |
As of | As of | As of | ||||||||||||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | ||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||
Unpaid Principal/ Notional | Fair Value | Unpaid Principal/ Notional | Fair Value | Unpaid Principal/ Notional | Fair Value | |||||||||||||||
Assets: | ||||||||||||||||||||
IO RMBS securities | $ | 9,271,757 | $ | 410,363 | $ | 12,433,432 | $ | 518,614 | $ | 9,322,862 | $ | 400,125 | ||||||||
Non-Agency RMBS securities | N/A | 18,602 | N/A | 20,339 | N/A | $ | — | |||||||||||||
Securitized loans held for investment, at fair value | 8,868,783 | 8,753,653 | 4,787,918 | 4,768,416 | 4,619,193 | 4,699,215 | ||||||||||||||
Liabilities: | ||||||||||||||||||||
Securitized debt at fair value, collateralized by loans held for investment | 7,059,265 | 6,941,097 | 3,769,830 | 3,720,496 | 3,964,053 | 3,868,366 | ||||||||||||||
Total | $ | 25,199,805 | $ | 16,123,715 | $ | 20,991,180 | $ | 9,027,865 | $ | 17,906,108 | $ | 8,967,706 |
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||||
(dollars in thousands) | |||||||||||
Gain/(Loss) on Change in Fair Value | Gain/(Loss) on Change in Fair Value | Gain/(Loss) on Change in Fair Value | |||||||||
Assets: | |||||||||||
IO RMBS securities | $ | (2,884 | ) | $ | (18,392 | ) | $ | 22,563 | |||
Non-Agency RMBS securities | 5,568 | (3,691 | ) | — | |||||||
Securitized loans held for investment, at fair value | 146,635 | (97,646 | ) | 144,960 | |||||||
Liabilities: | |||||||||||
Securitized debt at fair value | (89,767 | ) | (38,704 | ) | 26,011 | ||||||
Total | $ | 59,552 | $ | (158,433 | ) | $ | 193,534 |
Total Net Management Fee, Compensation and Other Expenses | Total Net Management Fee, Compensation and Other Expenses/Average Assets | Total Net Management Fee, Compensation and Other Expenses/Average Equity | |||||
(Ratios have been annualized, dollars in thousands) | |||||||
For The Year Ended December 31, 2016 | $ | 61,841 | 0.38 | % | 2.06 | % | |
For The Year Ended December 31, 2015 | $ | 68,152 | 0.41 | % | 2.05 | % | |
For The Year Ended December 31, 2014 | $ | 45,379 | 0.35 | % | 1.31 | % | |
For The Quarter Ended December 31, 2016 | $ | 16,659 | 0.39 | % | 2.16 | % | |
For The Quarter Ended September 30, 2016 | $ | 11,243 | 0.26 | % | 1.50 | % | |
For The Quarter Ended June 30, 2016 | $ | 24,214 | 0.59 | % | 3.30 | % | |
For The Quarter Ended March 31, 2016 | $ | 9,725 | 0.25 | % | 1.33 | % |
For the Year Ended | |||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||
(dollars in thousands, except per share data) | |||||||||
GAAP Net income available to common stockholders | $ | 549,494 | $ | 250,349 | $ | 589,205 | |||
Adjustments: | |||||||||
Net other-than-temporary credit impairment losses | 57,987 | 67,444 | 63,992 | ||||||
Net unrealized (gains) losses on derivatives | (50,093 | ) | (67,385 | ) | 103,496 | ||||
Net unrealized (gains) losses on financial instruments at fair value | (59,552 | ) | 158,433 | (193,534 | ) | ||||
Net realized (gains) losses on sales of investments | (18,155 | ) | (77,074 | ) | (91,709 | ) | |||
(Gains) losses on extinguishment of debt | 477 | 5,930 | 2,184 | ||||||
Realized (gains) losses on terminations of interest rate swaps | 60,616 | 98,949 | — | ||||||
Net realized (gains) losses on derivatives - Futures(1) | 9,170 | 35,523 | 38,552 | ||||||
Total other (gains) losses | (95,000 | ) | 256 | (71,629 | ) | ||||
Core Earnings | $ | 454,944 | $ | 472,425 | $ | 440,557 | |||
GAAP net income per basic common share | $ | 2.93 | $ | 1.25 | $ | 2.87 | |||
Core earnings per basic common share(2) | $ | 2.42 | $ | 2.37 | $ | 2.14 |
For the Quarters Ended | |||||||||||||||
December 31, 2016 | September 30, 2016 | June 30, 2016 | March 31, 2016 | December 31, 2015 | |||||||||||
(dollars in thousands, except per share data) | |||||||||||||||
GAAP Net income available to common stockholders | $ | 219,454 | $ | 172,817 | $ | 74,127 | $ | 83,098 | $ | 115,380 | |||||
Adjustments: | |||||||||||||||
Net other-than-temporary credit impairment losses | 14,780 | 11,574 | 20,955 | 10,678 | 14,696 | ||||||||||
Net unrealized (gains) losses on derivatives | (101,475 | ) | (27,628 | ) | (22,100 | ) | 101,110 | (46,842 | ) | ||||||
Net unrealized (gains) losses on financial instruments at fair value | 20,664 | (32,999 | ) | (30,347 | ) | (16,871 | ) | 69,793 | |||||||
Net realized (gains) losses on sales of investments | (11,121 | ) | (3,079 | ) | (6,631 | ) | 2,674 | (34,285 | ) | ||||||
(Gains) losses on extinguishment of debt | (1,334 | ) | 45 | — | 1,766 | (8,906 | ) | ||||||||
Realized (gains) losses on terminations of interest rate swaps | — | — | 60,158 | 458 | (754 | ) | |||||||||
Net realized (gains) losses on Futures (1) | (19,628 | ) | 7,823 | (635 | ) | 21,609 | (9,018 | ) | |||||||
Total other (gains) losses | — | — | — | — | 256 | ||||||||||
Other income | — | — | — | (95,000 | ) | — | |||||||||
Core Earnings | $ | 121,340 | $ | 128,553 | $ | 95,527 | $ | 109,522 | $ | 100,320 | |||||
GAAP net income per basic common share | $ | 1.17 | $ | 0.92 | $ | 0.39 | $ | 0.44 | $ | 0.61 | |||||
Core earnings per basic common share(2) | $ | 0.65 | $ | 0.68 | $ | 0.51 | $ | 0.58 | $ | 0.53 | |||||
(1) Included in net realized gains (losses) on derivatives in the Consolidated Statements of Operations. | |||||||||||||||
(2) We note that core and taxable earnings will typically differ, and may materially differ, due to differences on realized gains and losses on investments and related hedges, credit loss recognition, | |||||||||||||||
timing differences in premium amortization, accretion of discounts, equity compensation and other items. |
Return on Average Equity | Economic Net Interest Income/Average Equity * | Core Earnings/Average Equity | ||||
(Ratios have been annualized) | ||||||
For the Year Ended December 31, 2016 | 18.42 | % | 18.59 | % | 15.18 | % |
For the Year Ended December 31, 2015 | 7.52 | % | 17.12 | % | 14.20 | % |
For the Year Ended December 31, 2014 | 16.99 | % | 14.06 | % | 12.70 | % |
For the Year Ended | ||||||
For the Quarter Ended December 31, 2016 | 28.82 | % | 19.48 | % | 15.76 | % |
For the Quarter Ended September 30, 2016 | 23.04 | % | 20.18 | % | 17.14 | % |
For the Quarter Ended June 30, 2016 | 10.09 | % | 17.61 | % | 13.00 | % |
For the Quarter Ended March 31, 2016 | 11.34 | % | 17.28 | % | 14.95 | % |
December 31, 2016 | December 31, 2015 | |||||
Interest earning assets at period-end (1) | $ | 16,251,470 | $ | 14,959,081 | ||
Interest bearing liabilities at period-end | $ | 12,876,124 | $ | 11,689,250 | ||
GAAP Leverage at period-end | 4.1:1 | 4.0:1 | ||||
GAAP Leverage at period-end (recourse) | 1.8:1 | 2.5:1 | ||||
Portfolio Composition, at amortized cost | ||||||
Non-Agency RMBS | 9.0 | % | 10.4 | % | ||
Senior | 3.9 | % | 4.7 | % | ||
Senior, interest only | 1.9 | % | 1.9 | % | ||
Subordinated | 3.1 | % | 3.7 | % | ||
Subordinated, interest only | 0.1 | % | 0.1 | % | ||
RMBS transferred to consolidated VIEs | 7.6 | % | 10.1 | % | ||
Agency MBS | 27.7 | % | 46.0 | % | ||
Residential | 17.8 | % | 37.2 | % | ||
Commercial | 8.9 | % | 6.8 | % | ||
Interest-only | 1.0 | % | 2.0 | % | ||
Securitized loans held for investment | 55.7 | % | 33.5 | % | ||
Fixed-rate percentage of portfolio | 88.4 | % | 84.7 | % | ||
Adjustable-rate percentage of portfolio | 11.6 | % | 15.3 | % | ||
Annualized yield on average interest earning assets for the periods ended | 6.4 | % | 6.0 | % | ||
Annualized cost of funds on average borrowed funds for the periods ended (2) | 3.0 | % | 2.5 | % |
December 31, 2016 | ||||||||||||||||||||||||||
Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | Weighted Average 3 Month CPR at Period-End | Weighted Average 12 Month CPR at Period-End | Weighted Average Delinquency Pipeline 60+ | Weighted Average Loss Severity(2) | Weighted Average Credit Enhancement | Principal Writedowns During the Quarter (dollars in thousands) | ||||||||||||||||
Non-Agency Mortgage-Backed Securities | ||||||||||||||||||||||||||
Senior | $ | 884,579 | $ | 68.42 | $ | 76.17 | 3.1 | % | 7.4 | % | 12.5 | % | 12.9 | % | 22.4 | % | 57.7 | % | 9.4 | % | $ | 9,671 | ||||
Senior, interest only | $ | 5,616,526 | $ | 5.16 | $ | 4.43 | 1.4 | % | 11.5 | % | 14.4 | % | 13.7 | % | 18.2 | % | 59.2 | % | 0.0 | % | $ | — | ||||
Subordinated | $ | 673,259 | $ | 70.83 | $ | 82.21 | 3.8 | % | 9.2 | % | 13.5 | % | 14.7 | % | 15.8 | % | 51.7 | % | 15.9 | % | $ | 6,148 | ||||
Subordinated, interest only | $ | 266,927 | $ | 5.20 | $ | 4.50 | 1.1 | % | 13.5 | % | 10.2 | % | 10.9 | % | 11.7 | % | 56.1 | % | 0.0 | % | $ | — | ||||
RMBS transferred to consolidated VIEs | $ | 2,338,183 | $ | 50.32 | $ | 78.78 | 4.8 | % | 19.7 | % | 14.8 | % | 13.4 | % | 18.8 | % | 56.9 | % | 1.5 | % | $ | 17,643 | ||||
Agency Mortgage-Backed Securities | ||||||||||||||||||||||||||
Residential | $ | 2,594,569 | $ | 105.78 | $ | 104.29 | 3.9 | % | 3.0 | % | 21.8 | % | 15.9 | % | 0.4 | % | N/A | N/A | $ | — | ||||||
Commercial | $ | 1,331,544 | $ | 102.64 | $ | 98.91 | 3.6 | % | 2.9 | % | 0.2 | % | 0.1 | % | 0.0 | % | N/A | N/A | $ | — | ||||||
Interest-only | $ | 3,356,491 | $ | 4.53 | $ | 4.31 | 0.8 | % | 3.5 | % | 26.4 | % | 12.9 | % | 0.3 | % | N/A | N/A | $ | — | ||||||
Securitized loans | $ | 8,868,783 | $ | 96.96 | $ | 98.85 | 6.5 | % | 6.0 | % | 11.1 | % | 10.8 | % | 3.8 | % | 45.3 | % | N/A | $ | 21,803 |
December 31, 2015 | ||||||||||||||||||||||||||
Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | Weighted Average 3 Month CPR at Period-End | Weighted Average 12 Month CPR at Period-End | Weighted Average Delinquency Pipeline 60+ | Weighted Average Loss Severity(2) | Weighted Average Credit Enhancement | Principal Writedowns During the Quarter (dollars in thousands) | ||||||||||||||||
Non-Agency Mortgage-Backed Securities | ||||||||||||||||||||||||||
Senior | $ | 947,992 | $ | 69.97 | $ | 72.97 | 2.0 | % | 5.1 | % | 11.8 | % | 11.5 | % | 26.2 | % | 57.8 | % | 10.5 | % | $ | 4,531 | ||||
Senior, interest only | $ | 5,388,159 | $ | 4.93 | $ | 4.23 | 1.6 | % | 12.5 | % | 13.7 | % | 13.6 | % | 19.5 | % | 54.9 | % | 0.0 | % | $ | — | ||||
Subordinated | $ | 762,466 | $ | 69.25 | $ | 79.26 | 3.2 | % | 8.8 | % | 11.5 | % | 14.7 | % | 15.5 | % | 54.5 | % | 14.6 | % | $ | 3,572 | ||||
Subordinated, interest only | $ | 284,931 | $ | 5.34 | $ | 3.95 | 1.2 | % | 10.9 | % | 9.7 | % | 11.3 | % | 14.5 | % | 43.0 | % | 0.0 | % | $ | — | ||||
RMBS transferred to consolidated VIEs | $ | 2,741,748 | $ | 52.47 | $ | 78.07 | 4.5 | % | 17.7 | % | 12.4 | % | 11.9 | % | 19.9 | % | 61.6 | % | 1.2 | % | $ | 33,677 | ||||
Agency Mortgage-Backed Securities | ||||||||||||||||||||||||||
Residential | $ | 5,045,418 | $ | 105.07 | $ | 104.41 | 3.7 | % | 2.8 | % | 8.5 | % | 17.0 | % | 0.1 | % | N/A | N/A | $ | — | ||||||
Commercial | $ | 952,091 | $ | 102.27 | $ | 102.28 | 3.4 | % | 3.0 | % | 0.8 | % | 3.1 | % | 0.0 | % | N/A | N/A | $ | — | ||||||
Interest-only | $ | 6,722,472 | $ | 4.17 | $ | 4.06 | 0.8 | % | 3.4 | % | 6.3 | % | 9.9 | % | 0.2 | % | N/A | N/A | $ | — | ||||||
Securitized loans | $ | 4,787,918 | $ | 99.54 | $ | 100.15 | 6.6 | % | 5.8 | % | 8.9 | % | 9.2 | % | 3.8 | % | 58.0 | % | N/A | $ | 11,822 |
For the Quarters Ended | |||||||||||||||
Accretable Discount (Net of Premiums) | December 31, 2016 | September 30, 2016 | June 30, 2016 | March 31, 2016 | December 31, 2015 | ||||||||||
(dollars in thousands) | |||||||||||||||
Balance, beginning of period | $ | 733,060 | $ | 769,764 | $ | 778,847 | $ | 824,154 | $ | 873,091 | |||||
Accretion of discount | (44,427 | ) | (44,455 | ) | (42,297 | ) | (45,481 | ) | (43,520 | ) | |||||
Purchases | (33,987 | ) | 8,959 | (1,001 | ) | (11,102 | ) | 1,845 | |||||||
Sales and deconsolidation | (2,138 | ) | (14,386 | ) | (20,590 | ) | — | (35,144 | ) | ||||||
Transfers from/(to) credit reserve, net | 31,140 | 13,178 | 54,805 | 11,276 | 27,882 | ||||||||||
Balance, end of period | $ | 683,648 | $ | 733,060 | $ | 769,764 | $ | 778,847 | $ | 824,154 |
December 31, 2016 | December 31, 2015 | |||||
(dollars in thousands) | ||||||
Overnight | $ | — | $ | — | ||
1 to 29 days | 2,947,604 | 3,312,902 | ||||
30 to 59 days | 958,956 | 2,501,513 | ||||
60 to 89 days | 407,625 | 246,970 | ||||
90 to 119 days | 559,533 | 430,026 | ||||
Greater than or equal to 120 days | 727,185 | 947,928 | ||||
Total | $ | 5,600,903 | $ | 7,439,339 | ||
Weighted average maturity of Repurchase agreements secured by: | ||||||
Agency MBS | 32 days | 53 days | ||||
Non-agency MBS | 98 days | 137 days |
Period | Average Repurchase Balance | Repurchase Balance at Period End | ||||
(dollars in thousands) | ||||||
Year Ended December 31, 2016 | $ | 6,482,334 | $ | 5,600,903 | ||
Year Ended December 31, 2015 | $ | 7,404,890 | $ | 7,439,339 | ||
Year Ended December 31, 2014 | $ | 5,192,654 | $ | 8,455,381 | ||
Quarter End | ||||||
Quarter End December 31, 2016 | $ | 5,699,068 | $ | 5,600,903 | ||
Quarter End September 30, 2016 | $ | 5,869,382 | $ | 5,817,519 | ||
Quarter End June 30, 2016 | $ | 6,863,960 | $ | 5,856,263 | ||
Quarter End March 31, 2016 | $ | 7,496,925 | $ | 7,545,631 |
December 31, 2016 | ||||||||||||
Country | Number of Counterparties | Repurchase Agreement Financing | Interest Rate Swaps at Fair Value | Exposure (1) | Exposure as a Percentage of Total Assets | |||||||
(dollars in thousands) | ||||||||||||
France | 2 | $ | 148,274 | $ | (440 | ) | $ | 28,425 | 0.17 | % | ||
Netherlands | 1 | 171,180 | — | 9,872 | 0.06 | % | ||||||
Switzerland | 1 | 348,135 | — | 175,714 | 1.05 | % | ||||||
United Kingdom | 2 | 230,493 | — | 23,596 | 0.14 | % | ||||||
Total | 6 | $ | 898,082 | $ | (440 | ) | $ | 237,607 | 1.42 | % |
December 31, 2016 | |||||||||||||||
(dollars in thousands) | |||||||||||||||
Contractual Obligations | Within One Year | One to Three Years | Three to Five Years | Greater Than or Equal to Five Years | Total | ||||||||||
Repurchase agreements for RMBS | $ | 5,502,178 | $ | 98,725 | $ | — | $ | — | $ | 5,600,903 | |||||
Securitized debt, collateralized by Non-Agency RMBS | 98,565 | 82,563 | 23,854 | 31,973 | 236,955 | ||||||||||
Securitized debt at fair value, collateralized by loans held for investment | 1,151,519 | 1,841,808 | 1,423,706 | 2,477,123 | 6,894,156 | ||||||||||
Interest expense on RMBS repurchase agreements (1) | 32,695 | 984 | — | — | 33,679 | ||||||||||
Interest expense on securitized debt (1) | 292,521 | 518,929 | 384,928 | 673,272 | 1,869,650 | ||||||||||
Total | $ | 7,077,478 | $ | 2,543,009 | $ | 1,832,488 | $ | 3,182,368 | $ | 14,635,343 |
December 31, 2015 | |||||||||||||||
(dollars in thousands) | |||||||||||||||
Contractual Obligations | Within One Year | One to Three Years | Three to Five Years | Greater Than or Equal to Five Years | Total | ||||||||||
Repurchase agreements for RMBS | $ | 7,180,496 | $ | 258,841 | $ | — | $ | — | $ | 7,439,337 | |||||
Securitized debt, collateralized by Non-Agency RMBS | 137,642 | 178,191 | 60,872 | 52,280 | 428,985 | ||||||||||
Securitized debt at fair value, collateralized by loans held for investment | 591,171 | 941,704 | 734,291 | 1,502,663 | 3,769,829 | ||||||||||
Interest expense on RMBS repurchase agreements (1) | 24,974 | 2,099 | — | — | 27,073 | ||||||||||
Interest expense on securitized debt (1) | 144,515 | 263,056 | 221,412 | 466,405 | 1,095,388 | ||||||||||
Total | $ | 8,078,798 | $ | 1,643,891 | $ | 1,016,575 | $ | 2,021,348 | $ | 12,760,612 |
• | If there is a positive change in the amount and timing of future cash flows expected to be collected from the previous estimate used for accounting purposes, the effective interest rate in future accounting periods may increase resulting in an increase in the reported amount of interest income in future periods. A positive change in the amount and timing of future cash flows expected to be collected from the previous estimate used for accounting purposes must be considered significant for Non-Agency RMBS accounted for under ASC 310-30 for the effective interest rate in future accounting periods to increase. A positive change in the amount and timing of future cash flows expected to be collected is considered to have occurred when the net present value of future cash flows expected to be collected has increased from the previous estimate. This can occur from a change in either the timing of when cash flows are expected to be collected (i.e., from changes in prepayment speeds or the timing of estimated defaults) or in the amount of cash flows expected to be collected (i.e., from reductions in estimates of future defaults). Furthermore, a positive change could occur on an overall basis in situations where the positive impact of a change in the timing of cash flows exceeds the negative impact of increased defaults, or when the positive impact of a decline in estimated defaults exceeds the negative impact of an extension of the timing of receipt of cash flows. |
• | If there is a negative (or adverse) change in the amount and timing of future cash flows expected to be collected from the previous estimate used for accounting purposes, and the securities’ fair value is below its amortized cost, an OTTI loss equal to the adverse change in cash flows expected to be collected, discounted using the securities’ effective rate before impairment, is required to be recorded in current period earnings. For Non-Agency RMBS accounted for under ASC 310-30, while the effective interest rate used to accrete interest income after an OTTI has been recognized will be the same, the amount of interest income recorded in future periods will decline because of the reduced balance of the amortized cost basis of the investment to which such effective interest rate is applied. Additionally, for Non-Agency RMBS accounted for under ASC 325-40, while the effective interest rate used to accrete interest income during the period directly after an OTTI has been recognized will be the same, the amount of interest income recorded in such future period will decline, absent an increase in cash flows expected to be collected, because of the reduced amount of the amortized cost basis of the investment to which such effective interest rate is applied. An adverse change in the amount and timing of future cash flows expected to be collected is considered to have occurred when the net present value of future cash flows expected to be collected has decreased from the most previous estimate. This change can occur from a change in either the timing of when cash flows are expected to be collected (i.e., from changes in prepayment speeds or the timing of estimated defaults) or in the amount of cash flows expected to be collected (i.e., from increases in estimates of future defaults). Furthermore, an adverse change could occur on an overall basis in situations where the negative impact of a change in the timing of cash flows exceeds the positive impact of a decline in estimated defaults, or when the negative impact of an increase in estimated defaults exceeds the positive impact of a shortening of the timing of receipt of cash flows. |
• | Our assessment of the credit quality of the asset, including its credit rating at the acquisition date and whether the security has experienced deterioration in credit quality since its inception. |
• | Our assessment of the probability of collection of all contractual cash flows. |
• | Our assessment of whether the security can be contractually prepaid such that we would not recover our initial investment. |
December 31, 2016 | ||||
Change in Interest Rate | Projected Percentage Change in Net Interest Income (1) | Projected Percentage Change in Portfolio Value with Effect of Interest Rate Swaps and Other Hedging Transactions (2) | ||
-100 Basis Points | 3.28 | % | 1.85 | % |
-50 Basis Points | 5.61 | % | 1.07 | % |
Base Interest Rate | — | — | ||
+50 Basis Points | (5.97 | )% | (1.25 | )% |
+100 Basis Points | (14.59 | )% | (2.60 | )% |
• | monitoring and adjusting, if necessary, the reset index and interest rate related to our RMBS and our financings; |
• | attempting to structure our financing agreements to have a range of different maturities, terms, amortizations and interest rate adjustment periods; |
• | using derivatives, financial futures, swaps, options, caps, floors and forward sales to adjust the interest rate sensitivity of our investments and our borrowings; |
• | using securitization financing to lower average cost of funds relative to short-term financing vehicles further allowing us to receive the benefit of attractive terms for an extended period of time in contrast to short term financing and maturity dates of the investments not included in the securitization; and |
• | actively managing, through assets selection, on an aggregate basis, the interest rate indices, interest rate adjustment periods, and gross reset margins of our investments and the interest rate indices and adjustment periods of our financings. |
December 31, 2016 | |||||||||||||||
(dollars in thousands) | |||||||||||||||
Within 3 Months | 3-12 Months | 1 Year to 3 Years | Greater than 3 Years | Total | |||||||||||
Rate sensitive assets | $ | 331,743 | $ | 1,271,830 | $ | — | $ | 14,661,252 | $ | 16,264,825 | |||||
Cash equivalents | 177,714 | — | — | — | 177,714 | ||||||||||
Total rate sensitive assets | $ | 509,457 | $ | 1,271,830 | $ | — | $ | 14,661,252 | $ | 16,442,539 | |||||
Rate sensitive liabilities | 7,188,411 | 5,676,163 | 1,687 | — | 12,866,261 | ||||||||||
Interest rate sensitivity gap | $ | (6,678,954 | ) | $ | (4,404,333 | ) | $ | (1,687 | ) | $ | 14,661,252 | $ | 3,576,278 | ||
Cumulative rate sensitivity gap | $ | (6,678,954 | ) | $ | (11,083,287 | ) | $ | (11,084,974 | ) | $ | 3,576,278 | ||||
Cumulative interest rate sensitivity gap as a percentage of total rate sensitive assets | (41 | )% | (67 | )% | (67 | )% | 22 | % |
• | pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of the assets of the Company; |
• | provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with accounting principles generally accepted in the United States, and that receipts and expenditures of the Company are being made only in accordance with authorizations of management and directors of the Company; and |
• | provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Company’s assets that could have a material effect on the financial statements. |
EXHIBIT INDEX | |
Exhibit Number | Description |
2.1 | Transition Services Agreement, dated as of August 5, 2015, by and between the Company and Fixed Income Discount Advisory Company (filed as Exhibit 2.1 to the Company’s Report on Form 8-K filed on August 5, 2015 and incorporated herein by reference) |
2.2 | Share Repurchase Agreement, dated as of August 5, 2015, by and between the Company and Annaly Capital Management, Inc. (filed as Exhibit 2.2 to the Company’s Report on Form 8-K filed on August 5, 2015 and incorporated herein by reference) |
3.1 | Articles of Amendment and Restatement of Chimera Investment Corporation (filed as Exhibit 3.1 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference) |
3.2 | Articles of Amendment to the Articles of Amendment and Restatement of Chimera Investment Corporation (filed as Exhibit 3.1 to the Company’s Report on Form 8-K filed on May 28, 2009 and incorporated herein by reference) |
3.3 | Articles of Amendment to the Articles of Amendment and Restatement of Chimera Investment Corporation (filed as Exhibit 3.1 to the Company’s Report on Form 8-K filed on November 5, 2010 and incorporated herein by reference) |
3.4 | Articles of Amendment to the Articles of Amendment and Restatement of Chimera Investment Corporation (filed as Exhibit 3.1 to the Company’s Report on Form 8-K filed on April 6, 2015 and incorporated herein by reference) |
3.5 | Articles of Amendment to the Articles of Amendment and Restatement of Chimera Investment Corporation(filed as Exhibit 3.2 to the Company’s Report on Form 8-K filed on April 6, 2015 and incorporated herein by reference) |
3.6 | Articles Supplementary to the Articles of Amendment and Restatement of Chimera Investment Corporation designating the Company’s 8.00% Series A Preferred Stock (filed as Exhibit 3.1 to the Company’s Report on Form 8-K filed October 12, 2016 and incorporated herein by reference) |
3.7 | Amended and Restated Bylaws of Chimera Investment Corporation (filed as Exhibit 3.1 to the Company’s Report on Form 8-K filed on January 10, 2017 and incorporated herein by reference) |
4.1 | Specimen Common Stock Certificate of Chimera Investment Corporation (filed as Exhibit 4.1 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference) |
4.2 | Form of Series A Preferred Stock Certificate (filed as Exhibit 4.1 to the Company’s Report on Form 8-K filed October 12, 2016 and incorporated herein by reference) |
10.1† | Form of Amended and Restated Equity Incentive Plan (filed as Exhibit 10.1 to the Company’s Report on Form 8-K filed on December 11, 2015 and incorporated herein by reference) |
10.2† | Form of Restricted Common Stock Award (filed as Exhibit 10.3 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference) |
10.3† | Form of Stock Option Grant (filed as Exhibit 10.4 to the Company’s Registration Statement on Amendment No. 1 to Form S-11 (File No. 333-145525) filed on September 27, 2007 and incorporated herein by reference) |
10.4† | Form of Performance Share Unit Agreement (filed as Exhibit 10.4 to the Company’s Report on Form 10-K filed on February 25, 2016 and incorporated herein by reference) |
10.5† | Form of Restricted Stock Unit Award Agreement (filed as Exhibit 10.5 to the Company’s Report on Form 10-K filed on February 25, 2016 and incorporated herein by reference) |
10.6† | Stock Award Deferral Program (filed as Exhibit 10.6 to the Company’s Report on Form 10-K filed on February 25, 2016 and incorporated herein by reference) |
10.7† | Employment Agreement, dated August 5, 2015, between the Company and Matthew Lambiase (filed as Exhibit 10.1 to the Company’s Report on Form 10-Q filed on November 5, 2015 and incorporated herein by reference) |
10.8† | Employment Agreement, dated August 5, 2015, between the Company and Choudhary Yarlagadda (filed as Exhibit 10.2 to the Company’s Report on Form 10-Q filed on November 5, 2015 and incorporated herein by reference) |
10.9† | Employment Agreement, dated August 5, 2015, between the Company and Mohit Marria (filed as Exhibit 10.3 to the Company’s Report on Form 10-Q filed on November 5, 2015 and incorporated herein by reference) |
10.10† | Employment Agreement, dated August 5, 2015, between the Company and Robert Colligan (filed as Exhibit 10.4 to the Company’s Report on Form 10-Q filed on November 5, 2015 and incorporated herein by reference) |
10.11† | Employment Agreement, dated August 5, 2015, between the Company and Phillip J. Kardis, II, Esq. (filed as Exhibit 10.5 to the Company’s Report on Form 10-Q filed on November 5, 2015 and incorporated herein by reference) |
10.12† | Amendment No. 1 to Employment Agreement, dated January 20, 2016, between the Company and Matthew Lambiase (filed as Exhibit 10.12 to the Company’s Report on Form 10-K filed on February 25, 2016 and incorporated herein by reference) |
10.13† | Amendment No. 1 to Employment Agreement, dated January 20, 2016, between the Company and Choudhary Yarlagadda (filed as Exhibit 10.13 to the Company’s Report on Form 10-K filed on February 25, 2016 and incorporated herein by reference) |
10.14† | Amendment No. 1 to Employment Agreement, dated January 20, 2016, between the Company and Mohit Marria (filed as Exhibit 10.14 to the Company’s Report on Form 10-K filed on February 25, 2016 and incorporated herein by reference) |
10.15† | Amendment No. 1 to Employment Agreement, dated January 20, 2016, between the Company and Robert Colligan (filed as Exhibit 10.15 to the Company’s Report on Form 10-K filed on February 25, 2016 and incorporated herein by reference) |
10.16† | Amendment No. 2 to Employment Agreement, dated March 31, 2016, between the Company and Matthew Lambiase (filed as Exhibit 10.1 to the Company’s Report on Form 8-K filed on April 6, 2016 and incorporated herein by reference) |
10.17† | Amendment No. 2 to Employment Agreement, dated March 31, 2016, between the Company and Choudhary Yarlagadda (filed as Exhibit 10.2 to the Company’s Report on Form 8-K filed on April 6, 2016 and incorporated herein by reference) |
10.18† | Amendment No. 2 to Employment Agreement, dated March 31, 2016, between the Company and Mohit Marria (filed as Exhibit 10.3 to the Company’s Report on Form 8-K filed on April 6, 2016 and incorporated herein by reference) |
10.19† | Amendment No. 2 to Employment Agreement, dated March 31, 2016, between the Company and Robert Colligan (filed as Exhibit 10.4 to the Company’s Report on Form 8-K filed on April 6, 2016 and incorporated herein by reference) |
10.20† | Form of Director and Officer Indemnification Agreement (filed as Exhibit 10.6 to the Company’s Report on Form 10-Q filed on November 5, 2015 and incorporated herein by reference) |
10.21 | Form of Master Securities Repurchase Agreement (filed as Exhibit 10.5 to the Company’s Registration Statement on Amendment No. 3 to Form S-11 (File No. 333-145525) filed on November 13, 2007 and incorporated herein by reference) |
12.1 | Computation of Ratio of Earnings to Fixed Charges |
21.1 | Subsidiaries of Registrant |
23.1 | Consent of Independent Registered Public Accounting Firm |
31.1 | Certification of Matthew Lambiase, Chief Executive Officer and President of the Registrant, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. |
31.2 | Certification of Robert Colligan, Chief Financial Officer of the Registrant, pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. |
32.1 | Certification of Matthew Lambiase, Chief Executive Officer and President of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
32.2 | Certification of Robert Colligan, Chief Financial Officer of the Registrant, pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
CHIMERA INVESTMENT CORPORATION | ||||||
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||
(dollars in thousands, except share and per share data) | ||||||
December 31, 2016 | December 31, 2015 | |||||
Assets: | ||||||
Cash and cash equivalents | $ | 177,714 | $ | 114,062 | ||
Non-Agency RMBS, at fair value | 3,330,063 | 3,675,841 | ||||
Agency MBS, at fair value | 4,167,754 | 6,514,824 | ||||
Securitized loans held for investment, at fair value | 8,753,653 | 4,768,416 | ||||
Accrued interest receivable | 79,697 | 66,247 | ||||
Other assets | 166,350 | 189,796 | ||||
Derivatives, at fair value, net | 9,677 | 15,460 | ||||
Total assets (1) | $ | 16,684,908 | $ | 15,344,646 | ||
Liabilities: | ||||||
Repurchase agreements, MBS ($7.0 billion and $8.8 billion pledged as collateral, respectively) | $ | 5,600,903 | $ | 7,439,339 | ||
Securitized debt, collateralized by Non-Agency RMBS ($1.8 billion and $2.1 billion pledged as collateral, respectively) | 334,124 | 529,415 | ||||
Securitized debt at fair value, collateralized by loans held for investment ($8.8 billion and $4.8 billion pledged as collateral, respectively) | 6,941,097 | 3,720,496 | ||||
Payable for investments purchased | 520,532 | 560,641 | ||||
Accrued interest payable | 48,670 | 37,432 | ||||
Dividends payable | 97,005 | 90,097 | ||||
Accounts payable and other liabilities | 16,694 | 11,404 | ||||
Derivatives, at fair value | 2,350 | 9,634 | ||||
Total liabilities (1) | $ | 13,561,375 | $ | 12,398,458 | ||
Commitments and Contingencies (See Note 15) | ||||||
Stockholders' Equity: | ||||||
Preferred Stock: par value $0.01 per share; 8% Series A cumulative redeemable; 100,000,000 shares authorized, 5,800,000 and 0 shares issued and outstanding, respectively ($145,000 liquidation preference) | $ | 58 | $ | — | ||
Common stock: par value $0.01 per share; 300,000,000 shares authorized, 187,739,634 and 187,711,868 shares issued and outstanding, respectively | 1,877 | 1,877 | ||||
Additional paid-in-capital | 3,508,779 | 3,366,568 | ||||
Accumulated other comprehensive income | 718,106 | 773,791 | ||||
Cumulative earnings | 2,443,184 | 1,891,239 | ||||
Cumulative distributions to stockholders | (3,548,471 | ) | (3,087,287 | ) | ||
Total stockholders' equity | $ | 3,123,533 | $ | 2,946,188 | ||
Total liabilities and stockholders' equity | $ | 16,684,908 | $ | 15,344,646 |
CHIMERA INVESTMENT CORPORATION | |||||||||
CONSOLIDATED STATEMENTS OF OPERATIONS | |||||||||
(dollars in thousands, except share and per share data) | |||||||||
For the Year Ended | |||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||
Net Interest Income: | |||||||||
Interest income (1) | $ | 934,068 | $ | 872,737 | $ | 687,795 | |||
Interest expense (2) | 347,857 | 259,365 | 147,785 | ||||||
Net interest income | 586,211 | 613,372 | 540,010 | ||||||
Other-than-temporary impairments: | |||||||||
Total other-than-temporary impairment losses | (9,589 | ) | (8,700 | ) | (8,713 | ) | |||
Portion of loss recognized in other comprehensive income | (48,398 | ) | (58,744 | ) | (55,279 | ) | |||
Net other-than-temporary credit impairment losses | (57,987 | ) | (67,444 | ) | (63,992 | ) | |||
Other investment gains (losses): | |||||||||
Net unrealized gains (losses) on derivatives | 50,093 | 67,385 | (103,496 | ) | |||||
Realized gains (losses) on terminations of interest rate swaps | (60,616 | ) | (98,949 | ) | — | ||||
Net realized gains (losses) on derivatives | (44,886 | ) | (83,073 | ) | (82,852 | ) | |||
Net gains (losses) on derivatives | (55,409 | ) | (114,637 | ) | (186,348 | ) | |||
Net unrealized gains (losses) on financial instruments at fair value | 59,552 | (158,433 | ) | 193,534 | |||||
Net realized gains (losses) on sales of investments | 18,155 | 77,074 | 91,709 | ||||||
Gain (loss) on deconsolidation | — | (256 | ) | 47,846 | |||||
Gains (losses) on Extinguishment of Debt | (477 | ) | (5,930 | ) | (2,184 | ) | |||
Total other gains (losses) | 21,821 | (202,182 | ) | 144,557 | |||||
Other income: | |||||||||
Other income | 95,000 | — | 23,783 | ||||||
Total other income | 95,000 | — | 23,783 | ||||||
Other expenses: | |||||||||
Management fees | — | 24,609 | 32,514 | ||||||
Expense recoveries from Manager | — | (6,906 | ) | (8,936 | ) | ||||
Net management fees | — | 17,703 | 23,578 | ||||||
Provision for loan losses, net | — | — | (232 | ) | |||||
Compensation and benefits | 26,901 | 10,544 | — | ||||||
General and administrative expenses | 17,516 | 31,633 | 20,403 | ||||||
Servicing Fees of consolidated VIEs | 31,178 | 25,244 | 10,004 | ||||||
Deal Expenses | 17,424 | 8,272 | 1,398 | ||||||
Total other expenses | 93,019 | 93,396 | 55,151 | ||||||
Income (loss) before income taxes | 552,026 | 250,350 | 589,207 | ||||||
Income taxes | 83 | 1 | 2 | ||||||
Net income (loss) | $ | 551,943 | $ | 250,349 | $ | 589,205 | |||
Dividend on preferred stock | 2,449 | — | — | ||||||
Net income (loss) available to common shareholders | $ | 549,494 | $ | 250,349 | $ | 589,205 | |||
Net income (loss) per share available to common shareholders: | |||||||||
Basic | $ | 2.93 | $ | 1.25 | $ | 2.87 | |||
Diluted | $ | 2.92 | $ | 1.25 | $ | 2.87 | |||
Weighted average number of common shares outstanding: | |||||||||
Basic | 187,728,634 | 199,563,196 | 205,450,095 | ||||||
Diluted | 188,024,838 | 199,650,177 | 205,508,769 | ||||||
Dividends declared per share of common stock | $ | 2.44 | $ | 1.92 | $ | 1.80 | |||
CHIMERA INVESTMENT CORPORATION | |||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | |||||||||
(dollars in thousands, except share and per share data) | |||||||||
For the Year Ended | |||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||
Comprehensive income (loss): | |||||||||
Net income (loss) | $ | 551,943 | $ | 250,349 | $ | 589,205 | |||
Other comprehensive income: | |||||||||
Unrealized gains (losses) on available-for-sale securities, net | (88,527 | ) | (263,049 | ) | 134,113 | ||||
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 57,987 | 67,444 | 63,992 | ||||||
Reclassification adjustment for net realized losses (gains) included in net income | (25,145 | ) | (77,284 | ) | (94,382 | ) | |||
Reclassification adjustment for gain on deconsolidation included in net income | — | — | (47,846 | ) | |||||
Other comprehensive income (loss) | (55,685 | ) | (272,889 | ) | 55,877 | ||||
Comprehensive income (loss) before preferred stock dividends | $ | 496,258 | $ | (22,540 | ) | $ | 645,082 | ||
Dividends declared on preferred stock | $ | 2,449 | $ | — | $ | — | |||
Comprehensive income (loss) available to common stock shareholders | $ | 493,809 | $ | (22,540 | ) | $ | 645,082 |
CHIMERA INVESTMENT CORPORATION | |||||||||||||||||||||
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY | |||||||||||||||||||||
(dollars in thousands, except per share data) | |||||||||||||||||||||
Preferred Stock Par Value | Common Stock Par Value | Additional Paid-in Capital | Accumulated Other Comprehensive Income | Cumulative Earnings | Cumulative Distributions to Stockholders | Total | |||||||||||||||
Balance, December 31, 2013 | $ | — | $ | 2,055 | $ | 3,613,458 | $ | 990,803 | $ | 1,063,822 | $ | (2,338,628 | ) | $ | 3,331,510 | ||||||
Net income (loss) | — | — | — | — | 589,205 | — | 589,205 | ||||||||||||||
Other comprehensive income (loss) | — | — | — | 55,877 | — | — | 55,877 | ||||||||||||||
Stock based compensation | — | — | 953 | — | — | — | 953 | ||||||||||||||
Common dividends declared | — | — | — | — | — | (369,855 | ) | (369,855 | ) | ||||||||||||
Balance, December 31, 2014 | $ | — | $ | 2,055 | $ | 3,614,411 | $ | 1,046,680 | $ | 1,653,027 | $ | (2,708,483 | ) | $ | 3,607,690 | ||||||
Balance, December 31, 2014 | $ | — | $ | 2,055 | $ | 3,614,411 | $ | 1,046,680 | $ | 1,653,027 | $ | (2,708,483 | ) | $ | 3,607,690 | ||||||
Net income (loss) | — | — | — | — | 250,349 | — | 250,349 | ||||||||||||||
Cumulative effect of accounting change (1) | — | — | — | — | (12,137 | ) | — | (12,137 | ) | ||||||||||||
Other comprehensive income (loss) | — | — | — | (272,889 | ) | — | — | (272,889 | ) | ||||||||||||
Stock based compensation | — | 2 | 1,977 | — | — | — | 1,979 | ||||||||||||||
Repurchase of common stock | — | (180 | ) | (249,820 | ) | — | — | — | (250,000 | ) | |||||||||||
Common dividends declared | — | — | — | — | — | (378,804 | ) | (378,804 | ) | ||||||||||||
Balance, December 31, 2015 | $ | — | $ | 1,877 | $ | 3,366,568 | $ | 773,791 | $ | 1,891,239 | $ | (3,087,287 | ) | $ | 2,946,188 | ||||||
Balance, December 31, 2015 | $ | — | $ | 1,877 | $ | 3,366,568 | $ | 773,791 | $ | 1,891,239 | $ | (3,087,287 | ) | $ | 2,946,188 | ||||||
Net income (loss) | — | — | — | — | 551,943 | — | 551,943 | ||||||||||||||
Other comprehensive income (loss) | — | — | — | (55,685 | ) | — | — | (55,685 | ) | ||||||||||||
Stock based compensation | — | — | 2,206 | — | — | — | 2,206 | ||||||||||||||
Common dividends declared | — | — | — | — | — | (458,735 | ) | (458,735 | ) | ||||||||||||
Preferred dividends declared | — | — | — | — | — | (2,449 | ) | (2,449 | ) | ||||||||||||
Issuance of preferred stock | 58 | — | 140,007 | — | — | — | 140,065 | ||||||||||||||
Balance, December 31, 2016 | $ | 58 | $ | 1,877 | $ | 3,508,781 | $ | 718,106 | $ | 2,443,182 | $ | (3,548,471 | ) | $ | 3,123,533 |
CHIMERA INVESTMENT CORPORATION | |||||||||
CONSOLIDATED STATEMENTS OF CASH FLOWS | |||||||||
(dollars in thousands) | |||||||||
For the Year Ended | |||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||
Cash Flows From Operating Activities: | |||||||||
Net income | $ | 551,943 | $ | 250,349 | $ | 589,205 | |||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||||||||
(Accretion) amortization of investment discounts/premiums, net | (3,127 | ) | 3,813 | (72,569 | ) | ||||
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net | 1,543 | 17,145 | 11,552 | ||||||
Amortization of swaption premium | 6,559 | — | — | ||||||
Net unrealized losses (gains) on derivatives | (50,093 | ) | (67,385 | ) | 103,496 | ||||
Net realized losses (gains) on option contracts settled | — | — | 1,246 | ||||||
Proceeds (payments) for derivative sales and settlements | — | (13,495 | ) | (6,923 | ) | ||||
Margin (paid) received on derivatives | 56,050 | 82,671 | (186,462 | ) | |||||
Net unrealized losses (gains) on financial instruments at fair value | (59,552 | ) | 158,433 | (193,534 | ) | ||||
Net realized losses (gains) on sales of investments | (18,155 | ) | (77,074 | ) | (91,709 | ) | |||
(Gains) loss on deconsolidation | — | 256 | (47,846 | ) | |||||
Net other-than-temporary credit impairment losses | 57,987 | 67,444 | 63,992 | ||||||
(Gain) loss on extinguishment of debt | 477 | 5,930 | 2,184 | ||||||
Provision for loan losses, net | — | — | (232 | ) | |||||
Equity-based compensation expense | 2,204 | 1,979 | 956 | ||||||
Changes in operating assets: | |||||||||
Decrease (increase) in accrued interest receivable, net | (13,450 | ) | 4,852 | (37,570 | ) | ||||
Decrease (increase) in other assets | 3,994 | (42,738 | ) | 16,471 | |||||
Changes in operating liabilities: | |||||||||
Increase (decrease) in accounts payable and other liabilities | 5,290 | 8,935 | 608 | ||||||
Increase (decrease) in investment management fees and expenses payable to affiliate | — | (10,357 | ) | 4,699 | |||||
Increase (decrease) in accrued interest payable, net | 11,237 | 5,544 | 25,213 | ||||||
Net cash provided by (used in) operating activities | $ | 552,907 | $ | 396,302 | $ | 182,777 | |||
Cash Flows From Investing Activities: | |||||||||
Agency MBS portfolio: | |||||||||
Purchases | $ | (1,040,290 | ) | $ | (6,590,731 | ) | $ | (8,860,042 | ) |
Sales | 2,570,025 | 7,563,771 | 2,555,570 | ||||||
Principal payments | 649,961 | 1,061,193 | 512,202 | ||||||
Non-Agency RMBS portfolio: | |||||||||
Purchases | (203,400 | ) | (850,750 | ) | (365,240 | ) | |||
Sales | 95,399 | 158,404 | 513,030 | ||||||
Principal payments | 532,701 | 385,988 | 323,900 | ||||||
Securitized loans held for investment: | |||||||||
Purchases | (4,897,370 | ) | (281,811 | ) | — | ||||
Principal payments | 1,022,414 | 699,118 | 316,372 | ||||||
Acquisition of investments in consolidated VIEs | — | (109,872 | ) | (774,350 | ) | ||||
Disposition of investments in consolidated VIEs | — | 2,601 | — | ||||||
Net cash provided by (used in) investing activities | $ | (1,270,560 | ) | $ | 2,037,911 | $ | (5,778,558 | ) | |
Cash Flows From Financing Activities: | |||||||||
Proceeds from repurchase agreements | $ | 34,202,707 | $ | 41,644,280 | $ | 27,128,227 | |||
Payments on repurchase agreements | (36,041,143 | ) | (42,660,323 | ) | (20,331,406 | ) | |||
Net proceeds from common stock offerings | — | — | — | ||||||
Net proceeds from preferred stock offerings | 140,065 | — | — | ||||||
Payments on repurchase of common stock | — | (250,000 | ) | — | |||||
Proceeds from securitized debt borrowings, collateralized by loans held for investment | 4,797,255 | 1,483,301 | 43,981 | ||||||
Payments on securitized debt borrowings, collateralized by loans held for investment | (1,668,670 | ) | (2,138,623 | ) | (341,313 | ) | |||
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS | (194,634 | ) | (182,217 | ) | (185,369 | ) | |||
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS | — | — | (56,072 | ) | |||||
Common dividends paid | (454,275 | ) | (381,189 | ) | (575,276 | ) | |||
Net cash provided by (used in) financing activities | $ | 781,305 | $ | (2,484,771 | ) | $ | 5,682,772 | ||
Net increase (decrease) in cash and cash equivalents | 63,652 | (50,558 | ) | 86,991 | |||||
Cash and cash equivalents at beginning of period | 114,062 | 164,620 | 77,629 | ||||||
Cash and cash equivalents at end of period | $ | 177,714 | $ | 114,062 | $ | 164,620 | |||
Supplemental disclosure of cash flow information: | |||||||||
Interest received | $ | 917,491 | $ | 881,403 | $ | 577,123 |
Interest paid | $ | 335,077 | $ | 236,676 | $ | 111,020 | |||
Management fees and expenses paid | $ | — | $ | 34,996 | $ | 27,815 | |||
Non-cash investing activities: | |||||||||
Receivable for investments sold | $ | — | $ | — | $ | 1,572,056 | |||
Payable for investments purchased | $ | 520,532 | $ | (560,641 | ) | $ | (1,845,282 | ) | |
Net change in unrealized gain (loss) on available-for sale securities | $ | (55,685 | ) | $ | (272,889 | ) | $ | 55,877 | |
Acquisition of securities in Consolidated VIEs | |||||||||
Securitized loans held for investment, at fair value | $ | — | $ | 295,225 | $ | 4,722,825 | |||
Other assets | $ | — | $ | — | $ | 84,830 | |||
Securitized debt at fair value | $ | — | $ | (185,353 | ) | $ | 4,033,304 | ||
Disposition of securities in Consolidated VIEs | |||||||||
Non-agency RMBS, at fair value | $ | — | $ | 49,118 | $ | — | |||
Securitized loans held for investment, at fair value | $ | — | $ | (287,806 | ) | $ | — | ||
Securitized debt at fair value | $ | — | $ | 236,087 | $ | — | |||
Non-cash financing activities: | |||||||||
Common dividends declared, not yet paid | $ | 94,557 | $ | 90,097 | $ | 92,483 | |||
Preferred dividends declared, not yet paid | $ | 2,449 | $ | — | $ | — |
CHIMERA INVESTMENT CORPORATION NOTES TO CONSOLIDATED FINANCIAL STATEMENTS |
• | Agency MBS |
• | Non-Agency RMBS that meet all of the following conditions at the acquisition date (referred to hereafter as “Non-Agency RMBS of High Credit Quality”): |
1. | There is evidence of deterioration in credit quality of the security from its inception; and |
2. | It is probable that the Company will be unable to collect all contractual cash flows of the security. |
1. | The security is not of high credit quality (defined as rated below AA or is unrated), or |
2. | The security can contractually be prepaid or otherwise settled in such a way that the Company would not recover substantially all of its recorded investment. |
December 31, 2016 | ||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||
Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | |||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||
Senior | $ | 3,190,947 | $ | 231 | $ | (1,412,058 | ) | $ | 1,779,120 | $ | 2,511,003 | $ | 732,133 | $ | (250 | ) | $ | 731,883 | ||||||
Senior, interest-only | 5,648,339 | 292,396 | — | 292,396 | 253,539 | 18,674 | (57,531 | ) | $ | (38,857 | ) | |||||||||||||
Subordinated | 673,259 | 16,352 | (212,734 | ) | 476,877 | 553,498 | 77,857 | (1,236 | ) | $ | 76,621 | |||||||||||||
Subordinated, interest-only | 266,927 | 13,878 | — | 13,878 | 12,024 | — | (1,854 | ) | $ | (1,854 | ) | |||||||||||||
Agency MBS | ||||||||||||||||||||||||
Residential | 2,594,570 | 149,872 | — | 2,744,442 | 2,705,978 | 11,235 | (49,699 | ) | $ | (38,464 | ) | |||||||||||||
Commercial | 1,331,543 | 37,782 | (2,688 | ) | 1,366,637 | 1,316,975 | 175 | (49,837 | ) | $ | (49,662 | ) | ||||||||||||
Interest-only | 3,356,491 | 152,175 | — | 152,175 | 144,800 | 1,893 | (9,268 | ) | $ | (7,375 | ) | |||||||||||||
Total | $ | 17,062,076 | $ | 662,686 | $ | (1,627,480 | ) | $ | 6,825,525 | $ | 7,497,817 | $ | 841,967 | $ | (169,675 | ) | $ | 672,292 |
December 31, 2015 | ||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||
Principal or Notional Value | Total Premium | Total Discount | Amortized Cost | Fair Value | Gross Unrealized Gains | Gross Unrealized Losses | Net Unrealized Gain/(Loss) | |||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||
Senior | $ | 3,651,869 | $ | 309 | $ | (1,553,317 | ) | $ | 2,098,860 | $ | 2,826,121 | $ | 736,040 | $ | (8,779 | ) | $ | 727,261 | ||||||
Senior, interest-only | 5,426,029 | 268,515 | — | 268,515 | 234,171 | 18,113 | (52,457 | ) | (34,344 | ) | ||||||||||||||
Subordinated | 762,466 | 23,635 | (258,128 | ) | 527,975 | 604,295 | 83,896 | (7,577 | ) | 76,319 | ||||||||||||||
Subordinated, interest-only | 284,931 | 15,226 | — | 15,226 | 11,254 | 62 | (4,035 | ) | (3,973 | ) | ||||||||||||||
Agency MBS | ||||||||||||||||||||||||
Residential | 5,045,418 | 255,837 | — | 5,301,255 | 5,267,848 | 18,593 | (52,001 | ) | (33,408 | ) | ||||||||||||||
Commercial | 952,091 | 24,815 | (3,170 | ) | 973,736 | 973,787 | 8,052 | (8,001 | ) | 51 | ||||||||||||||
Interest-only | 6,722,472 | 280,073 | — | 280,073 | 273,189 | 2,756 | (9,640 | ) | (6,884 | ) | ||||||||||||||
Total | $ | 22,845,276 | $ | 868,410 | $ | (1,814,615 | ) | $ | 9,465,640 | $ | 10,190,665 | $ | 867,512 | $ | (142,490 | ) | $ | 725,022 |
For the Year Ended | ||||||
December 31, 2016 | December 31, 2015 | |||||
(dollars in thousands) | ||||||
Balance at beginning of period | $ | 1,742,744 | $ | 1,534,497 | ||
Purchases | 79,156 | 277,922 | ||||
Yield income earned | (282,800 | ) | (249,898 | ) | ||
Reclassification (to) from non-accretable difference | 53,681 | 238,348 | ||||
Sales and deconsolidation | (42,671 | ) | (58,125 | ) | ||
Balance at end of period | $ | 1,550,110 | $ | 1,742,744 |
For the Year Ended | For the Year Ended | |||||
December 31, 2016 | December 31, 2015 | |||||
(dollars in thousands) | ||||||
Outstanding principal balance: | ||||||
Beginning of period | $ | 3,550,698 | $ | 3,325,335 | ||
End of period | $ | 3,138,265 | $ | 3,550,698 | ||
Amortized cost: | ||||||
Beginning of period | $ | 1,958,726 | $ | 1,741,780 | ||
End of period | $ | 1,695,079 | $ | 1,958,726 |
December 31, 2016 | |||||||||||||||||||||||||
(dollars in thousands) | |||||||||||||||||||||||||
Unrealized Loss Position for Less than 12 Months | Unrealized Loss Position for 12 Months or More | Total | |||||||||||||||||||||||
Estimated Fair Value | Unrealized Losses | Number of Securities | Estimated Fair Value | Unrealized Losses | Number of Securities | Estimated Fair Value | Unrealized Losses | Number of Securities | |||||||||||||||||
Non-Agency RMBS | |||||||||||||||||||||||||
Senior | $ | 12,384 | $ | (250 | ) | 3 | $ | — | $ | — | — | $ | 12,384 | $ | (250 | ) | 3 | ||||||||
Senior, interest-only | 96,399 | (13,600 | ) | 62 | 78,516 | (43,931 | ) | 86 | 174,915 | (57,531 | ) | 148 | |||||||||||||
Subordinated | 56,015 | (412 | ) | 7 | 2,826 | (824 | ) | 4 | 58,841 | (1,236 | ) | 11 | |||||||||||||
Subordinated, interest-only | 748 | (230 | ) | 2 | 11,276 | (1,624 | ) | 3 | 12,024 | (1,854 | ) | 5 | |||||||||||||
Agency MBS | |||||||||||||||||||||||||
Residential | 2,338,910 | (48,084 | ) | 106 | 54,943 | (1,615 | ) | 1 | 2,393,853 | (49,699 | ) | 107 | |||||||||||||
Commercial | 1,247,923 | (45,802 | ) | 646 | 51,733 | (4,035 | ) | 46 | 1,299,656 | (49,837 | ) | 692 | |||||||||||||
Interest-only | 63,506 | (2,170 | ) | 20 | 52,963 | (7,098 | ) | 16 | 116,469 | (9,268 | ) | 36 | |||||||||||||
Total | $ | 3,815,885 | $ | (110,548 | ) | 846 | $ | 252,257 | $ | (59,127 | ) | 156 | $ | 4,068,142 | $ | (169,675 | ) | 1002 |
December 31, 2015 | ||||||||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||||||||
Unrealized Loss Position for Less than 12 Months | Unrealized Loss Position for 12 Months or More | Total | ||||||||||||||||||||||
Estimated Fair Value | Unrealized Losses | Number of Securities | Estimated Fair Value | Unrealized Losses | Number of Securities | Estimated Fair Value | Unrealized Losses | Number of Securities | ||||||||||||||||
Non-Agency RMBS | ||||||||||||||||||||||||
Senior | $ | 294,520 | $ | (8,779 | ) | 20 | $ | — | $ | — | — | $ | 294,520 | $ | (8,779 | ) | 20 | |||||||
Senior, interest-only | 81,919 | (18,715 | ) | 83 | 64,058 | (33,742 | ) | 47 | 145,977 | (52,457 | ) | 130 | ||||||||||||
Subordinated | 138,257 | (7,577 | ) | 22 | — | — | — | 138,257 | (7,577 | ) | 22 | |||||||||||||
Subordinated, interest-only | 6,455 | (1,039 | ) | 1 | 3,635 | (2,996 | ) | 2 | 10,090 | (4,035 | ) | 3 | ||||||||||||
Agency MBS | ||||||||||||||||||||||||
Residential | 4,468,717 | (44,687 | ) | 116 | 290,926 | (7,314 | ) | 4 | 4,759,643 | (52,001 | ) | 120 | ||||||||||||
Commercial | 393,058 | (7,969 | ) | 140 | 4,986 | (32 | ) | 4 | 398,044 | (8,001 | ) | 144 | ||||||||||||
Interest-only | 94,969 | (3,457 | ) | 24 | 39,707 | (6,183 | ) | 7 | 134,676 | (9,640 | ) | 31 | ||||||||||||
Total | $ | 5,477,895 | $ | (92,223 | ) | 406 | $ | 403,312 | $ | (50,267 | ) | 64 | $ | 5,881,207 | $ | (142,490 | ) | 470 |
For the Year Ended | |||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||
(dollars in thousands) | |||||||||
Total other-than-temporary impairment losses | $ | (9,589 | ) | $ | (8,700 | ) | $ | (8,713 | ) |
Portion of loss recognized in other comprehensive income (loss) | (48,398 | ) | (58,744 | ) | (55,279 | ) | |||
Net other-than-temporary credit impairment losses | $ | (57,987 | ) | $ | (67,444 | ) | $ | (63,992 | ) |
For the Year Ended | |||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||
(dollars in thousands) | |||||||||
Cumulative credit loss beginning balance | $ | 529,112 | $ | 507,548 | $ | 524,432 | |||
Additions: | |||||||||
Other-than-temporary impairments not previously recognized | 25,959 | 41,233 | 63,123 | ||||||
Reductions for securities sold or deconsolidated during the period | (9,429 | ) | (19,746 | ) | (61,854 | ) | |||
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | 32,027 | 26,138 | 869 | ||||||
Reductions for increases in cash flows expected to be collected over the remaining life of the securities | (21,184 | ) | (26,061 | ) | (19,022 | ) | |||
Cumulative credit impairment loss ending balance | $ | 556,485 | $ | 529,112 | $ | 507,548 |
For the Year Ended | ||
December 31, 2016 | December 31, 2015 | |
Loss Severity | ||
Weighted Average | 58% | 57% |
Range | 25% - 85% | 0% - 92% |
60+ days delinquent | ||
Weighted Average | 21% | 22% |
Range | 0% - 40% | 2% - 41% |
Credit Enhancement (1) | ||
Weighted Average | 25% | 8% |
Range | 0% - 100% | 0% - 67% |
3 Month CPR | ||
Weighted Average | 7% | 9% |
Range | 0% - 27% | 3% - 27% |
12 Month CPR | ||
Weighted Average | 6% | 8% |
Range | 1% - 24% | 3% - 20% |
December 31, 2016 | ||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | Gross Unrealized Gain Included in Cumulative Earnings | Total Gross Unrealized Gain | Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | Gross Unrealized Loss Included in Cumulative Earnings | Total Gross Unrealized Loss | |||||||||||||
Non-Agency RMBS | ||||||||||||||||||
Senior | $ | 732,133 | $ | — | $ | 732,133 | $ | (250 | ) | $ | — | $ | (250 | ) | ||||
Senior, interest-only | — | 18,674 | 18,674 | — | (57,531 | ) | (57,531 | ) | ||||||||||
Subordinated | 74,584 | 3,273 | 77,857 | (235 | ) | (1,001 | ) | (1,236 | ) | |||||||||
Subordinated, interest-only | — | — | — | — | (1,854 | ) | (1,854 | ) | ||||||||||
Agency MBS | ||||||||||||||||||
Residential | 11,235 | — | 11,235 | (49,699 | ) | — | (49,699 | ) | ||||||||||
Commercial | 175 | — | 175 | (49,837 | ) | — | (49,837 | ) | ||||||||||
Interest-only | — | 1,893 | 1,893 | — | (9,268 | ) | (9,268 | ) | ||||||||||
Total | $ | 818,127 | $ | 23,840 | $ | 841,967 | $ | (100,021 | ) | $ | (69,654 | ) | $ | (169,675 | ) |
December 31, 2015 | ||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | Gross Unrealized Gain Included in Cumulative Earnings | Total Gross Unrealized Gain | Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | Gross Unrealized Loss Included in Cumulative Earnings | Total Gross Unrealized Loss | |||||||||||||
Non-Agency RMBS | ||||||||||||||||||
Senior | $ | 736,040 | $ | — | $ | 736,040 | $ | (8,779 | ) | $ | — | $ | (8,779 | ) | ||||
Senior, interest-only | — | 18,113 | 18,113 | — | (52,457 | ) | (52,457 | ) | ||||||||||
Subordinated | 81,588 | 2,309 | 83,896 | (1,971 | ) | (5,606 | ) | (7,577 | ) | |||||||||
Subordinated, interest-only | — | 62 | 62 | — | (4,035 | ) | (4,035 | ) | ||||||||||
Agency MBS | ||||||||||||||||||
Residential | 18,593 | — | 18,593 | (52,001 | ) | — | (52,001 | ) | ||||||||||
Commercial | 8,052 | — | 8,052 | (8,001 | ) | — | (8,001 | ) | ||||||||||
Interest-only | — | 2,756 | 2,756 | — | (9,640 | ) | (9,640 | ) | ||||||||||
Total | $ | 844,273 | $ | 23,240 | $ | 867,512 | $ | (70,752 | ) | $ | (71,738 | ) | $ | (142,490 | ) |
December 31, 2016 | |||||||||||||
Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | |||||||||
Non-Agency RMBS | |||||||||||||
Senior | $ | 3,190,947 | $ | 55.76 | $ | 78.69 | 4.3 | % | 15.5 | % | |||
Senior, interest-only | 5,648,339 | 5.18 | 4.49 | 1.5 | % | 11.7 | % | ||||||
Subordinated | 673,259 | 70.83 | 82.21 | 3.8 | % | 9.2 | % | ||||||
Subordinated, interest-only | 266,927 | 5.20 | 4.50 | 1.1 | % | 13.5 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 2,594,570 | 105.78 | 104.29 | 3.9 | % | 3.0 | % | ||||||
Commercial pass-through | 1,331,543 | 102.64 | 98.91 | 3.6 | % | 2.9 | % | ||||||
Interest-only | 3,356,491 | 4.53 | 4.31 | 0.8 | % | 3.5 | % |
December 31, 2015 | |||||||||||||
Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | |||||||||
Non-Agency RMBS | |||||||||||||
Senior | $ | 3,651,869 | $ | 57.47 | $ | 77.39 | 3.8 | % | 13.7 | % | |||
Senior, interest-only | 5,426,029 | 4.95 | 4.32 | 1.7 | % | 12.9 | % | ||||||
Subordinated | 762,466 | 69.25 | 79.26 | 3.2 | % | 8.8 | % | ||||||
Subordinated, interest-only | 284,931 | 5.34 | 3.95 | 1.2 | % | 10.9 | % | ||||||
Agency MBS | |||||||||||||
Residential pass-through | 5,045,418 | 105.07 | 104.41 | 3.7 | % | 2.8 | % | ||||||
Commercial pass-through | 952,091 | 102.27 | 102.28 | 3.4 | % | 2.9 | % | ||||||
Interest-only | 6,722,472 | 4.17 | 4.06 | 0.8 | % | 3.4 | % |
December 31, 2016 | December 31, 2015 | |||
AAA | 0.3 | % | 0.5 | % |
AA | 0.3 | % | 0.4 | % |
A | 0.7 | % | 0.8 | % |
BBB | 0.7 | % | 0.4 | % |
BB | 3.0 | % | 5.2 | % |
B | 3.9 | % | 3.0 | % |
Below B or not rated | 91.1 | % | 89.7 | % |
Total | 100.0 | % | 100.0 | % |
December 31, 2016 | |||||||||||||||
(dollars in thousands) | |||||||||||||||
Weighted Average Life | |||||||||||||||
Less than one year | Greater than one year and less than five years | Greater than five years and less than ten years | Greater than ten years | Total | |||||||||||
Fair value | |||||||||||||||
Non-Agency RMBS | |||||||||||||||
Senior | $ | 25,612 | $ | 508,979 | $ | 1,267,000 | $ | 709,412 | $ | 2,511,003 | |||||
Senior interest-only | 417 | 37,796 | 115,780 | 99,546 | 253,539 | ||||||||||
Subordinated | — | 94,793 | 238,630 | 220,075 | 553,498 | ||||||||||
Subordinated interest-only | — | — | 12,024 | — | 12,024 | ||||||||||
Agency MBS | |||||||||||||||
Residential | — | 429,869 | 2,276,109 | — | 2,705,978 | ||||||||||
Commercial | — | 47,354 | 16,833 | 1,252,788 | 1,316,975 | ||||||||||
Interest-only | — | 75,863 | 63,715 | 5,222 | 144,800 | ||||||||||
Total fair value | $ | 26,029 | $ | 1,194,654 | $ | 3,990,091 | $ | 2,287,043 | $ | 7,497,817 | |||||
Amortized cost | |||||||||||||||
Non-Agency RMBS | |||||||||||||||
Senior | $ | 21,423 | $ | 403,250 | $ | 868,624 | $ | 485,823 | $ | 1,779,120 | |||||
Senior interest-only | 1,992 | 50,252 | 134,642 | 105,510 | 292,396 | ||||||||||
Subordinated | — | 76,287 | 195,538 | 205,052 | 476,877 | ||||||||||
Subordinated interest-only | — | — | 13,878 | — | 13,878 | ||||||||||
Agency MBS | |||||||||||||||
Residential | — | 438,270 | 2,306,172 | — | 2,744,442 | ||||||||||
Commercial | — | 49,027 | 17,247 | 1,300,363 | 1,366,637 | ||||||||||
Interest-only | — | 77,598 | 69,333 | 5,244 | 152,175 | ||||||||||
Total amortized cost | $ | 23,415 | $ | 1,094,684 | $ | 3,605,434 | $ | 2,101,992 | $ | 6,825,525 |
December 31, 2015 | |||||||||||||||
(dollars in thousands) | |||||||||||||||
Weighted Average Life | |||||||||||||||
Less than one year | Greater than one year and less than five years | Greater than five years and less than ten years | Greater than ten years | Total | |||||||||||
Fair value | |||||||||||||||
Non-Agency RMBS | |||||||||||||||
Senior | $ | — | $ | 374,462 | $ | 1,629,564 | $ | 822,095 | $ | 2,826,121 | |||||
Senior interest-only | 1,458 | 41,862 | 123,538 | 67,313 | 234,171 | ||||||||||
Subordinated | 2,229 | 108,728 | 212,003 | 281,335 | 604,295 | ||||||||||
Subordinated interest-only | — | — | 11,254 | — | 11,254 | ||||||||||
Agency MBS | |||||||||||||||
Residential | — | 150,357 | 5,117,491 | — | 5,267,848 | ||||||||||
Commercial | — | — | 29,176 | 944,611 | 973,787 | ||||||||||
Interest-only | — | 106,069 | 161,413 | 5,707 | 273,189 | ||||||||||
Total fair value | $ | 3,687 | $ | 781,478 | $ | 7,284,439 | $ | 2,121,061 | $ | 10,190,665 | |||||
Amortized cost | |||||||||||||||
Non-Agency RMBS | |||||||||||||||
Senior | $ | — | $ | 281,255 | $ | 1,235,528 | $ | 582,077 | $ | 2,098,860 | |||||
Senior interest-only | 2,440 | 59,823 | 135,359 | 70,893 | 268,515 | ||||||||||
Subordinated | 2,208 | 86,728 | 168,403 | 270,636 | 527,975 | ||||||||||
Subordinated interest-only | — | — | 15,226 | — | 15,226 | ||||||||||
Agency MBS | |||||||||||||||
Residential | — | 149,111 | 5,152,144 | — | 5,301,255 | ||||||||||
Commercial | — | — | 29,156 | 944,580 | 973,736 | ||||||||||
Interest-only | — | 106,708 | 167,646 | 5,719 | 280,073 | ||||||||||
Total amortized cost | $ | 4,648 | $ | 683,625 | $ | 6,903,462 | $ | 1,873,905 | $ | 9,465,640 |
December 31, 2016 | December 31, 2015 | |||||||
Weighted average maturity (years) | 21.6 | 22.0 | ||||||
Weighted average amortized loan to value (1) | 66.5 | % | 67.9 | % | ||||
Weighted average FICO (2) | 675 | 671 | ||||||
Weighted average loan balance (in thousands) | $ | 319 | $ | 330 | ||||
Weighted average percentage owner occupied | 83.2 | % | 82.7 | % | ||||
Weighted average percentage single family residence | 65.8 | % | 65.9 | % | ||||
Weighted average current credit enhancement | 2.3 | % | 2.4 | % | ||||
Weighted average geographic concentration of top four states | CA | 32.1 | % | CA | 30.4 | % | ||
FL | 8.1 | % | FL | 8.0 | % | |||
NY | 7.9 | % | NY | 8.0 | % | |||
NJ | 2.7 | % | NJ | 2.5 | % |
Origination Year | December 31, 2016 | December 31, 2015 | ||
1999 | 0.1 | % | 0.1 | % |
2000 | 0.5 | % | 0.6 | % |
2001 | 1.5 | % | 1.6 | % |
2002 | 0.5 | % | 0.5 | % |
2003 | 1.0 | % | 2.2 | % |
2004 | 4.2 | % | 3.7 | % |
2005 | 20.2 | % | 21.7 | % |
2006 | 38.0 | % | 32.9 | % |
2007 | 31.3 | % | 34.2 | % |
2008 | 1.8 | % | 1.9 | % |
2009 | 0.4 | % | 0.0 | % |
2013 | 0.4 | % | 0.5 | % |
2014 | 0.1 | % | 0.1 | % |
Total | 100.0 | % | 100.0 | % |
For the Year Ended | |||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||
(dollars in thousands) | |||||||||
Proceeds from sales | $ | 2,719,329 | $ | 6,244,613 | $ | 4,036,033 | |||
Gross realized gains | 28,572 | 94,618 | 98,656 | ||||||
Gross realized losses | (10,417 | ) | (17,544 | ) | (6,947 | ) | |||
Net realized gain (loss) | $ | 18,155 | $ | 77,074 | $ | 91,709 |
For the Year Ended | For the Year Ended | |||||
December 31, 2016 | December 31, 2015 | |||||
(dollars in thousands) | ||||||
Balance, beginning of period | $ | 4,768,416 | $ | 5,306,501 | ||
Purchases | 4,897,370 | 577,036 | ||||
Principal paydowns | (1,022,414 | ) | (707,996 | ) | ||
Sales and settlements | 5,007 | (9,638 | ) | |||
Net periodic accretion (amortization) | (41,363 | ) | (19,100 | ) | ||
Change in fair value | 146,637 | (90,581 | ) | |||
Transfer due to deconsolidation | — | (287,806 | ) | |||
Balance, end of period | $ | 8,753,653 | $ | 4,768,416 |
Origination Year | December 31, 2016 | December 31, 2015 | ||
2004 | 0.2 | % | 0.1 | % |
2007 | 8.4 | % | 8.5 | % |
2008 | 8.4 | % | 7.4 | % |
2009 | 0.3 | % | 0.3 | % |
2010 | 4.7 | % | 5.1 | % |
2011 | 30.6 | % | 33.1 | % |
2012 | 47.4 | % | 45.5 | % |
Total | 100.0 | % | 100.0 | % |
December 31, 2016 | December 31, 2015 | |||||||
Number of loans | 496 | 657 | ||||||
Weighted average maturity (years) | 24.5 | 25.5 | ||||||
Weighted average loan to value (1) | 70.5 | % | 70.7 | % | ||||
Weighted average FICO (2) | 764 | 765 | ||||||
Weighted average loan balance (in thousands) | $ | 669 | $ | 682 | ||||
Weighted average percentage owner occupied | 95.2 | % | 94.3 | % | ||||
Weighted average percentage single family residence | 71.6 | % | 70.1 | % | ||||
Weighted average geographic concentration of top five states | CA | 30.7 | % | CA | 32.4 | % | ||
NJ | 7.2 | % | VA | 6.4 | % | |||
MD | 7.1 | % | NJ | 6.3 | % | |||
VA | 6.9 | % | MD | 6.2 | % | |||
NY | 5.0 | % | TX | 5.1 | % |
30 Days Delinquent | 60 Days Delinquent | 90+ Days Delinquent | Bankruptcy | Foreclosure | REO | Total | |||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
December 31, 2016 | $ | 1,053 | $ | — | $ | 2,846 | $ | — | $ | 1,691 | $ | — | $ | 5,590 | |||||||
December 31, 2015 | $ | 3,079 | $ | — | $ | 2,915 | $ | — | $ | 2,875 | $ | 2,312 | $ | 11,181 |
Origination Year | December 31, 2016 | December 31, 2015 | ||
2002 and prior | 9.2 | % | 11.2 | % |
2003 | 5.5 | % | 4.0 | % |
2004 | 12.4 | % | 11.1 | % |
2005 | 21.3 | % | 19.3 | % |
2006 | 22.9 | % | 17.4 | % |
2007 | 21.3 | % | 25.4 | % |
2008 | 6.4 | % | 9.5 | % |
2009 | 0.6 | % | 1.1 | % |
2010 and later | 0.4 | % | 1.0 | % |
Total | 100.0 | % | 100.0 | % |
December 31, 2016 | December 31, 2015 | |||||||
Number of loans | 94,659 | 56,870 | ||||||
Weighted average maturity (years) | 19.6 | 21.5 | ||||||
Weighted average loan to value (1) | 87.5 | % | 80.7 | % | ||||
Weighted average FICO (1) | 621 | 625 | ||||||
Weighted average loan balance (in thousands) | $ | 90 | $ | 76 | ||||
Weighted average percentage owner occupied | 96.7 | % | 96.0 | % | ||||
Weighted average percentage single family residence | 86.0 | % | 72.5 | % | ||||
Weighted average geographic concentration of top five states | CA | 9.2 | % | CA | 8.8 | % | ||
FL | 6.8 | % | FL | 7.2 | % | |||
OH | 6.7 | % | NC | 7.1 | % | |||
VA | 5.8 | % | VA | 6.3 | % | |||
NC | 5.3 | % | OH | 6.1 | % |
30 Days Delinquent | 60 Days Delinquent | 90+ Days Delinquent | Bankruptcy | Foreclosure | REO | Total | |||||||||||||||
(dollars in thousands) | |||||||||||||||||||||
December 31, 2016 | $ | 362,846 | $ | 140,495 | $ | 188,145 | $ | 207,364 | $ | 201,574 | $ | 40,709 | $ | 1,141,133 | |||||||
December 31, 2015 | $ | 189,816 | $ | 66,429 | $ | 125,897 | $ | 117,308 | $ | 218,493 | $ | 36,124 | $ | 754,067 |
December 31, 2016 | |||||||||||||
(dollars in thousands) | |||||||||||||
Loan Balance | Number of Loans | Interest Rate | Maturity Date | Total Principal | 30-89 Days Delinquent | 90+ Days Delinquent | |||||||
Held-for-Investment at fair value: | |||||||||||||
Adjustable rate loans: | |||||||||||||
$1 to $250 | 6,417 | 1.38% to 15.20% | 2/1/2003 - 10/1/2056 | $ | 609,584 | $ | 67,704 | $ | 25,102 | ||||
$250 to $500 | 458 | 2.13% to 10.00% | 4/1/2030 - 9/1/2055 | 147,410 | 22,821 | 7,684 | |||||||
$500 to $750 | 45 | 2.00% to 9.25% | 7/1/2034 - 9/1/2046 | 26,383 | 3,033 | 1,131 | |||||||
$750 to $1,000 | 7 | 3.13% to 5.17% | 1/1/2038 - 12/1/2045 | 5,754 | 768 | — | |||||||
Over $1,000 | 5 | 3.13% to 3.38% | 1/1/2038 - 4/1/2038 | 6,641 | — | 1,428 | |||||||
6,932 | $ | 795,772 | $ | 94,326 | $ | 35,345 | |||||||
Hybrid loans: | |||||||||||||
$1 to $250 | 2 | 6.67% to 6.83% | 8/1/2037 - 9/1/2037 | $ | 190 | $ | 97 | $ | — | ||||
$250 to $500 | 1 | 5.88% to 5.88% | 7/1/2037 - 7/1/2037 | 496 | — | — | |||||||
$500 to $750 | 3 | 5.63% to 6.88% | 7/1/2037 - 3/1/2038 | 1,842 | — | — | |||||||
$750 to $1,000 | 1 | 5.75% to 5.75% | 4/1/2037 - 4/1/2037 | 940 | — | — | |||||||
7 | $ | 3,468 | $ | 97 | $ | — | |||||||
Fixed loans: | |||||||||||||
$1 to $250 | 83,925 | 0.00% to 24.00% | 7/1/2002 - 5/1/2062 | $ | 6,487,251 | $ | 603,388 | $ | 424,980 | ||||
$250 to $500 | 3,769 | 0.00% to 12.52% | 5/1/2018 - 10/1/2065 | 1,225,999 | 136,702 | 80,984 | |||||||
$500 to $750 | 381 | 2.00% to 10.69% | 5/1/2032 - 9/1/2057 | 223,638 | 9,531 | 5,788 | |||||||
$750 to $1,000 | 103 | 3.75% to 7.29% | 4/1/2037 - 5/1/2047 | 87,680 | — | 1,746 | |||||||
Over $1,000 | 38 | 3.25% to 7.13% | 3/1/2013 - 8/1/2046 | 44,975 | — | — | |||||||
88,216 | $ | 8,069,543 | $ | 749,621 | $ | 513,498 | |||||||
Total | 95,155 | $ | 8,868,783 | $ | 844,044 | $ | 548,843 |
December 31, 2015 | |||||||||||||
(dollars in thousands) | |||||||||||||
Loan Balance | Number of Loans | Interest Rate | Maturity Date | Total Principal | 30-89 Days Delinquent | 90+ Days Delinquent | |||||||
Held-for-Investment at fair value: | |||||||||||||
Adjustable rate loans: | |||||||||||||
$1 to $250 | 2,119 | 1.70% to 15.2% | 2/1/2003 - 10/1/2055 | $ | 138,321 | $ | 11,140 | $ | 5,292 | ||||
$250 to $500 | 66 | 2.00% to 10.38% | 1/1/2030 - 9/1/2055 | 23,021 | 1,201 | 2,277 | |||||||
$500 to $750 | 29 | 2.00% to 5.75% | 2/1/2032 - 4/1/2038 | 17,186 | — | 1,688 | |||||||
$750 to $1,000 | 7 | 2.88% to 2.88% | 1/1/2038 - 4/1/2038 | 5,867 | — | — | |||||||
Over $1,000 | 6 | 2.88% to 4.00% | 12/1/2037 - 4/1/2038 | 8,402 | — | 1,730 | |||||||
2,227 | $ | 192,797 | $ | 12,341 | $ | 10,986 | |||||||
Hybrid loans: | |||||||||||||
$1 to $250 | 2 | 6.67% to 6.83% | 8/1/2037 - 9/1/2037 | $ | 193 | $ | — | $ | — | ||||
$250 to $500 | 2 | 5.78% to 5.88% | 7/1/2037 - 4/1/2038 | 908 | — | — | |||||||
$500 to $750 | 8 | 4.00% to 7.19% | 7/1/2037 - 3/1/2038 | 4,751 | 1,081 | 1,744 | |||||||
$750 to $1,000 | 2 | 5.63% to 5.75% | 4/1/2037 - 4/1/2038 | 1,730 | — | — | |||||||
14 | $ | 7,582 | $ | 1,081 | $ | 1,744 | |||||||
Fixed loans: | |||||||||||||
$1 to $250 | 52,774 | 0.00% to 24.00% | 1/1/1999 - 5/1/2062 | $ | 3,540,447 | $ | 245,151 | $ | 359,559 | ||||
$250 to $500 | 1,957 | 2.00% to 11.93% | 12/1/2019 - 10/1/2065 | 645,347 | 33,405 | 58,336 | |||||||
$500 to $750 | 374 | 2.00% to 9.75% | 6/1/2022 - 9/1/2057 | 226,481 | 3,205 | 4,005 | |||||||
$750 to $1,000 | 130 | 3.75% to 7.00% | 7/1/2037 - 10/1/2042 | 112,490 | 1,729 | 1,892 | |||||||
Over $1,000 | 51 | 2.25% to 7.13% | 3/1/2013 - 10/1/2042 | 62,773 | — | — | |||||||
55,286 | $ | 4,587,538 | $ | 283,490 | $ | 423,792 | |||||||
Total | 57,527 | $ | 4,787,918 | $ | 296,912 | $ | 436,521 |
December 31, 2016 | |||||||||||||||
(dollars in thousands) | |||||||||||||||
Level 1 | Level 2 | Level 3 | Counterparty and Cash Collateral, netting | Total | |||||||||||
Assets: | |||||||||||||||
Non-Agency RMBS, at fair value | $ | — | $ | — | $ | 3,330,063 | $ | — | $ | 3,330,063 | |||||
Agency RMBS, at fair value | — | 4,167,754 | — | — | 4,167,754 | ||||||||||
Securitized loans held for investment, at fair value | — | — | 8,753,653 | — | 8,753,653 | ||||||||||
Derivatives | 1,785 | 22,327 | — | (14,435 | ) | 9,677 | |||||||||
Liabilities: | |||||||||||||||
Securitized debt at fair value, collateralized by loans held for investment | — | — | (6,941,097 | ) | — | (6,941,097 | ) | ||||||||
Derivatives | — | (17,225 | ) | — | 14,875 | (2,350 | ) | ||||||||
Total | $ | 1,785 | $ | 4,172,856 | $ | 5,142,619 | $ | 440 | $ | 9,317,700 |
December 31, 2015 | |||||||||||||||
(dollars in thousands) | |||||||||||||||
Level 1 | Level 2 | Level 3 | Counterparty and Cash Collateral, netting | Total | |||||||||||
Assets: | |||||||||||||||
Non-Agency RMBS, at fair value | $ | — | $ | — | 3,675,841 | $ | — | $ | 3,675,841 | ||||||
Agency RMBS, at fair value | — | 6,514,824 | — | — | 6,514,824 | ||||||||||
Securitized loans held for investment, at fair value | — | — | 4,768,416 | — | 4,768,416 | ||||||||||
Derivatives | 1,599 | 18,987 | — | (5,126 | ) | 15,460 | |||||||||
Liabilities: | |||||||||||||||
Securitized debt at fair value, collateralized by loans held for investment | — | — | (3,720,496 | ) | — | (3,720,496 | ) | ||||||||
Derivatives | (192 | ) | (57,042 | ) | — | 47,600 | (9,634 | ) | |||||||
Total | $ | 1,407 | $ | 6,476,769 | $ | 4,723,761 | $ | 42,474 | $ | 11,244,411 |
Fair Value Reconciliation, Level 3 | ||||||||||||
For the Year Ended, December 31, 2016 | ||||||||||||
(dollars in thousands) | ||||||||||||
Non-Agency RMBS | Securitized Loans | Securitized Debt | Total | |||||||||
Beginning balance Level 3 assets | $ | 3,675,841 | $ | 4,768,416 | $ | (3,720,496 | ) | $ | 4,723,761 | |||
Transfers in to Level 3 assets | — | — | — | — | ||||||||
Transfers out of Level 3 assets | — | — | — | — | ||||||||
Purchases | 257,914 | 4,897,370 | (4,797,255 | ) | 358,029 | |||||||
Principal payments | (532,696 | ) | (1,022,414 | ) | 1,059,854 | (495,256 | ) | |||||
Sales and Settlements | (149,938 | ) | 5,007 | 608,816 | 463,885 | |||||||
Accretion (amortization) of purchase discounts | 120,638 | (41,363 | ) | (2,128 | ) | 77,147 | ||||||
Gains (losses) included in net income | ||||||||||||
Other than temporary credit impairment losses | (57,986 | ) | — | — | (57,986 | ) | ||||||
Realized gains (losses) on sales and settlements | 13,761 | — | (122 | ) | 13,639 | |||||||
Net unrealized gains (losses) included in income | 3,173 | 146,637 | (89,766 | ) | 60,044 | |||||||
Gains (losses) included in other comprehensive income | ||||||||||||
Total unrealized gains (losses) for the period | (644 | ) | — | — | (644 | ) | ||||||
Ending balance Level 3 assets | $ | 3,330,063 | $ | 8,753,653 | $ | (6,941,097 | ) | $ | 5,142,619 |
Fair Value Reconciliation, Level 3 | |||||||||||||||
For the Year Ended, December 31, 2015 | |||||||||||||||
(dollars in thousands) | |||||||||||||||
Non-Agency RMBS | Derivatives | Securitized Loans(1) | Securitized Debt | Total | |||||||||||
Beginning balance Level 3 assets | $ | 3,404,149 | $ | (71 | ) | $ | 5,306,501 | $ | (4,383,217 | ) | $ | 4,327,362 | |||
Transfers in to Level 3 assets | — | — | — | — | — | ||||||||||
Transfers out of Level 3 assets | — | — | — | — | — | ||||||||||
Transfer due to consolidation/deconsolidation | (59,646 | ) | — | (287,806 | ) | 243,732 | (103,720 | ) | |||||||
Purchases | 1,045,534 | — | 577,036 | (1,668,654 | ) | (46,084 | ) | ||||||||
Principal payments | (385,822 | ) | — | (707,996 | ) | 743,329 | (350,489 | ) | |||||||
Sales and Settlements | (252,532 | ) | (597 | ) | (9,638 | ) | 1,395,292 | 1,132,526 | |||||||
Accretion (amortization) of purchase discounts | 117,836 | — | (19,100 | ) | (6,344 | ) | 92,392 | ||||||||
Gains (losses) included in net income | |||||||||||||||
Other than temporary credit impairment losses | (67,444 | ) | — | — | — | (67,444 | ) | ||||||||
Realized gains (losses) on sales and settlements | 28,724 | 443 | — | (5,930 | ) | 23,236 | |||||||||
Net unrealized gains (losses) included in income | (18,874 | ) | 225 | (90,581 | ) | (38,704 | ) | (147,934 | ) | ||||||
Gains (losses) included in other comprehensive income | |||||||||||||||
Total unrealized gains (losses) for the period | (136,084 | ) | — | — | — | (136,084 | ) | ||||||||
Ending balance Level 3 assets | $ | 3,675,841 | $ | — | $ | 4,768,416 | $ | (3,720,496 | ) | $ | 4,723,761 |
December 31, 2016 | December 31, 2015 | ||||||||
Significant Inputs | Significant Inputs | ||||||||
Weighted Average Discount Rate | CPR | CDR | Loss Severity | Weighted Average Discount Rate | CPR | CDR | Loss Severity | ||
Range | Range | ||||||||
Non-Agency RMBS | |||||||||
Senior | 5.4% | 1% -35% | 0% -22% | 35% -95% | 5.5% | 1% - 17% | 0% - 22% | 35% - 95% | |
Senior interest-only | 12.5% | 3% -30% | 0% -22% | 35% -95% | 13.1% | 3% - 25% | 0% - 23% | 1% - 95% | |
Subordinated | 6.2% | 1% -25% | 0% -18% | 0% -79% | 6.6% | 1% - 22% | 0% - 20% | 5% - 91% | |
Subordinated interest-only | 13.2% | 6% -15% | 0% -11% | 35% -76% | 17.4% | 6% - 13% | 0% - 10% | 1% - 64% |
December 31, 2016 | December 31, 2015 | ||||||
Significant Inputs | Significant Inputs | ||||||
CPR Range | CDR Range | Loss Severity Range | CPR Range | CDR Range | Loss Severity Range | ||
Securitized debt at fair value, collateralized by loans held for investment | 1% - 35% | 0% - 30% | 35% - 65% | 4% - 32% | 0% - 6% | 35% - 65% |
December 31, 2016 | December 31, 2015 | ||
Factor: | |||
Coupon | |||
Base Rate | 5.2% | 4.8% | |
Actual | 7.1% | 6.8% | |
FICO | |||
Base Rate | 632 | 620 | |
Actual | 621 | 625 | |
Loan-to-value (LTV) | |||
Base Rate | 87% | 90% | |
Actual | 88% | 81% | |
Loan Characteristics: | |||
Occupancy | |||
Owner Occupied | 97% | 96% | |
Investor | 2% | 4% | |
Secondary | 1% | 0% | |
Property Type | |||
Single family | 86% | 77% | |
Manufactured housing | 6% | 11% | |
Multi-family/mixed use/other | 8% | 12% |
December 31, 2016 | |||||
(dollars in thousands) | |||||
Level in Fair Value Hierarchy | Carrying Amount | Fair Value | |||
Repurchase agreements | 2 | 5,600,903 | 5,619,385 | ||
Securitized debt, collateralized by Non-Agency RMBS | 3 | 334,124 | 324,261 |
December 31, 2015 | |||||
(dollars in thousands) | |||||
Level in Fair Value Hierarchy | Carrying Amount | Fair Value | |||
Repurchase agreements | 2 | 7,439,339 | 7,466,409 | ||
Securitized debt, collateralized by Non-Agency RMBS | 3 | 529,415 | 518,941 |
December 31, 2016 | December 31, 2015 | |||||
Repurchase agreements outstanding secured by: | ||||||
Agency MBS (in thousands) | $ | 3,087,734 | $ | 5,324,729 | ||
Non-agency MBS (in thousands) | 2,513,169 | 2,114,610 | ||||
Total: | $ | 5,600,903 | $ | 7,439,339 | ||
Average daily balance of Repurchase agreements secured by: | ||||||
Agency MBS (in thousands) | $ | 4,159,651 | $ | 5,776,980 | ||
Non-agency MBS (in thousands) | 2,322,683 | 1,627,909 | ||||
Total: | $ | 6,482,334 | $ | 7,404,889 | ||
Weighted average borrowing rate of Repurchase agreements secured by: | ||||||
Agency MBS | 0.90 | % | 0.64 | % | ||
Non-agency MBS | 3.05 | % | 2.44 | % | ||
Weighted average maturity of Repurchase agreements secured by: | ||||||
Agency MBS | 32 Days | 53 Days | ||||
Non-agency MBS | 98 Days | 137 Days | ||||
MBS pledged as collateral at fair value on Repurchase agreements: | ||||||
Agency MBS (in thousands) | $ | 3,334,245 | $ | 5,655,410 | ||
Non-agency MBS (in thousands) | 3,699,621 | 3,117,875 | ||||
Total: | $ | 7,033,866 | $ | 8,773,285 |
December 31, 2016 | December 31, 2015 | |||||
(dollars in thousands) | ||||||
Overnight | $ | — | $ | — | ||
1 to 29 days | 2,947,604 | 3,312,902 | ||||
30 to 59 days | 958,956 | 2,501,513 | ||||
60 to 89 days | 407,625 | 246,970 | ||||
90 to 119 days | 559,533 | 430,026 | ||||
Greater than or equal to 120 days | 727,185 | 947,928 | ||||
Total | $ | 5,600,903 | $ | 7,439,339 |
December 31, 2016 | December 31, 2015 | |||||
(dollars in thousands) | ||||||
Within One Year | $ | 98,565 | $ | 137,642 | ||
One to Three Years | 82,563 | 178,191 | ||||
Three to Five Years | 23,854 | 60,872 | ||||
Greater Than Five Years | 31,973 | 52,280 | ||||
Total | $ | 236,955 | $ | 428,985 |
December 31, 2016 | December 31, 2015 | |||||
(dollars in thousands) | ||||||
Within One Year | $ | 1,151,519 | $ | 591,171 | ||
One to Three Years | 1,841,808 | 941,704 | ||||
Three to Five Years | 1,423,706 | 734,291 | ||||
Greater Than Five Years | 2,477,123 | 1,502,663 | ||||
Total | $ | 6,894,156 | $ | 3,769,829 |
December 31, 2016 | |||
(dollars in thousands) | |||
Year | Principal | ||
2017 | $ | 1,208,854 | |
2018 | 1,192,544 | ||
2019 | 477,317 | ||
2020 | 3,821,338 | ||
2021 | 112,759 | ||
Total | $ | 6,812,812 |
Consolidated Trusts | |||
(dollars in thousands) | |||
Assets : | |||
Securitized loans held for investment, at fair value | $ | 4,942,571 | |
Other Assets | 39,318 | ||
Liabilities : | |||
Securitized debt at fair value (1) | $ | 4,213,034 |
December 31, 2016 | December 31, 2015 | |||||
(dollars in thousands) | ||||||
Assets: | ||||||
Non-Agency RMBS, at fair value | $ | 1,842,080 | $ | 2,140,494 | ||
Securitized loans held for investment, at fair value | 8,753,653 | 4,768,416 | ||||
Accrued interest receivable | 57,153 | 35,916 | ||||
Other Assets | 109,068 | 86,452 | ||||
Liabilities: | ||||||
Securitized debt, collateralized by Non-Agency RMBS | $ | 334,124 | $ | 529,415 | ||
Securitized debt at fair value, collateralized by loans held for investment | 6,941,097 | 3,720,496 | ||||
Accrued interest payable | 24,942 | 12,106 |
For the Year Ended | |||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||
(dollars in thousands) | |||||||||
Interest income, Assets of consolidated VIEs | $ | 678,623 | $ | 575,715 | $ | 428,992 | |||
Interest expense, Non-recourse liabilities of VIEs | (249,708 | ) | (191,922 | ) | (119,103 | ) | |||
Net interest income | $ | 428,915 | $ | 383,793 | $ | 309,889 | |||
Total other-than-temporary impairment losses | $ | (1,274 | ) | $ | (2,066 | ) | $ | (3,374 | ) |
Portion of loss recognized in other comprehensive income (loss) | (37,475 | ) | (55,552 | ) | (55,392 | ) | |||
Net other-than-temporary credit impairment losses | $ | (38,749 | ) | $ | (57,618 | ) | $ | (58,766 | ) |
December 31, 2016 | ||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||
Derivative Instruments | Notional Amount Outstanding | Location on Consolidated Statements of Financial Condition | Net Estimated Fair Value/Carrying Value | Location on Consolidated Statements of Financial Condition | Net Estimated Fair Value/Carrying Value | |||||||||
(dollars in thousands) | ||||||||||||||
Interest Rate Swaps | $ | 1,396,900 | Derivatives, at fair value, net | $ | — | Derivatives, at fair value, net | $ | — | ||||||
Swaptions | 624,000 | Derivatives, at fair value, net | 7,892 | Derivatives, at fair value, net | (2,350 | ) | ||||||||
Treasury Futures | 619,700 | Derivatives, at fair value, net | 1,785 | Derivatives, at fair value, net | — | |||||||||
Total | $ | 2,640,600 | $ | 9,677 | $ | (2,350 | ) |
December 31, 2015 | ||||||||||||||
Derivative Assets | Derivative Liabilities | |||||||||||||
Derivative Instruments | Notional Amount Outstanding | Location on Consolidated Statements of Financial Condition | Net Estimated Fair Value/Carrying Value | Location on Consolidated Statements of Financial Condition | Net Estimated Fair Value/Carrying Value | |||||||||
(dollars in thousands) | ||||||||||||||
Interest Rate Swaps | $ | 4,555,400 | Derivatives, at fair value, net | $ | 1,232 | Derivatives, at fair value, net | $ | (6,369 | ) | |||||
Swaptions | 779,000 | Derivatives, at fair value, net | 12,821 | Derivatives, at fair value, net | (3,265 | ) | ||||||||
Treasury Futures | 752,200 | Derivatives, at fair value, net | 1,407 | Derivatives, at fair value, net | — | |||||||||
Total | $ | 6,086,600 | $ | 15,460 | $ | (9,634 | ) |
Net gains (losses) on derivatives For the Year Ended | ||||||||||
Derivative Instruments | Location on Consolidated Statements of Operations and Comprehensive Income | December 31, 2016 | December 31, 2015 | December 31, 2014 | ||||||
(dollars in thousands) | ||||||||||
Interest Rate Swaps | Net unrealized gains (losses) on derivatives | $ | 47,170 | $ | 64,819 | $ | (84,913 | ) | ||
Interest Rate Swaps | Net realized gains (losses) on derivatives (1) | (88,722 | ) | (146,173 | ) | (52,523 | ) | |||
Mortgage Options | Net unrealized gains (losses) on derivatives | — | 225 | 340 | ||||||
Mortgage Options | Net realized gains (losses) on derivatives | — | 443 | 7,505 | ||||||
Treasury Futures | Net unrealized gains (losses) on derivatives | 378 | 8,634 | (17,856 | ) | |||||
Treasury Futures | Net realized gains (losses) on derivatives | (9,170 | ) | (35,523 | ) | (38,552 | ) | |||
Swaptions | Net unrealized gains (losses) on derivatives | 2,545 | (6,294 | ) | (1,067 | ) | ||||
Swaptions | Net realized gains (losses) on derivatives | (7,044 | ) | (353 | ) | (24 | ) | |||
Other Derivative Assets | Net unrealized gains (losses) on derivatives | — | — | — | ||||||
Other Derivative Assets | Net realized gains (losses) on derivatives | (566 | ) | (415 | ) | 742 | ||||
Total | $ | (55,409 | ) | $ | (114,637 | ) | $ | (186,348 | ) |
For the Year Ended | |||||||||
December 31, 2016 | December 31, 2015 | December 31, 2014 | |||||||
(dollars in thousands) | |||||||||
Numerator: | |||||||||
Net income available to common shareholders | $ | 549,494 | $ | 250,349 | $ | 589,205 | |||
Effect of dilutive securities: | — | — | — | ||||||
Dilutive net income available to common shareholders | $ | 549,494 | $ | 250,349 | $ | 589,205 | |||
Denominator: | |||||||||
Weighted average basic shares | 187,728,634 | 199,563,196 | 205,450,095 | ||||||
Effect of dilutive securities | 296,204 | 86,981 | 58,674 | ||||||
Weighted average dilutive shares | 188,024,838 | 199,650,177 | 205,508,769 | ||||||
Net income per average share attributable to common stockholders - Basic | $ | 2.93 | $ | 1.25 | $ | 2.87 | |||
Net income per average share attributable to common stockholders - Diluted | $ | 2.92 | $ | 1.25 | $ | 2.87 |
December 31, 2016 | ||||||
(dollars in thousands) | ||||||
Unrealized gains (losses) on available-for-sale securities, net | Total Accumulated OCI Balance | |||||
Balance as of December 31, 2015 | $ | 773,791 | $ | 773,791 | ||
OCI before reclassifications | (88,527 | ) | (88,527 | ) | ||
Amounts reclassified from AOCI | 32,842 | 32,842 | ||||
Net current period OCI | (55,685 | ) | (55,685 | ) | ||
Balance as of December 31, 2016 | $ | 718,106 | $ | 718,106 |
December 31, 2015 | ||||||
(dollars in thousands) | ||||||
Unrealized gains (losses) on available-for-sale securities, net | Total Accumulated OCI Balance | |||||
Balance as of December 31, 2014 | $ | 1,046,680 | $ | 1,046,680 | ||
OCI before reclassifications | (263,049 | ) | (263,049 | ) | ||
Amounts reclassified from AOCI | (9,840 | ) | (9,840 | ) | ||
Net current period OCI | (272,889 | ) | (272,889 | ) | ||
Balance as of December 31, 2015 | $ | 773,791 | $ | 773,791 |
December 31, 2016 | December 31, 2015 | ||||||
Details about Accumulated OCI Components | Amounts Reclassified from Accumulated OCI | Amounts Reclassified from Accumulated OCI | Affected Line on the Consolidated Statements Of Operations | ||||
Unrealized gains and losses on available-for-sale securities | |||||||
$ | 25,145 | $ | 77,284 | Net realized gains (losses) on sales of investments | |||
(57,987 | ) | (67,444 | ) | Net other-than-temporary credit impairment losses | |||
$ | (32,842 | ) | $ | 9,840 | Income before income taxes | ||
— | — | Income taxes | |||||
$ | (32,842 | ) | $ | 9,840 | Net of tax |
For the Year Ended | ||||||||
December 31, 2016 | December 31, 2015 | |||||||
Number of Shares | Weighted Average Grant Date Fair Value | Number of Shares | Weighted Average Grant Date Fair Value | |||||
Unvested shares outstanding - beginning of period | 71,000 | 28.39 | 39,480 | 88.60 | ||||
Granted | 539,847 | 13.49 | 84,692 | 15.35 | ||||
Vested | (33,300 | ) | 27.23 | (50,988 | ) | 88.60 | ||
Forfeited | — | — | (2,184 | ) | 88.60 | |||
Unvested shares outstanding - end of period | 577,547 | 14.53 | 71,000 | 28.39 |
December 31, 2016 | ||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||
Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Consolidated Statements of Financial Position | Net Amounts Offset in the Consolidated Statements of Financial Position | Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position | |||||||||||||||
Financial Instruments | Cash Collateral (Received) Pledged (1) | Net Amount | ||||||||||||||||
Repurchase Agreements | $ | (5,600,903 | ) | $ | — | $ | (5,600,903 | ) | $ | 7,033,866 | $ | 2,545 | $ | 1,435,508 | ||||
Interest Rate Swaps - Gross Assets | 14,435 | (14,435 | ) | — | — | — | — | |||||||||||
Interest Rate Swaps - Gross Liabilities | (14,875 | ) | 14,875 | — | — | 39,627 | 39,627 | |||||||||||
Treasury Futures - Gross Assets | 1,785 | — | 1,785 | — | 3,320 | 5,105 | ||||||||||||
Treasury Futures - Gross Liabilities | — | — | — | — | — | — | ||||||||||||
Swaptions - Gross Assets | 7,892 | — | 7,892 | — | — | 7,892 | ||||||||||||
Swaptions - Gross Liabilities | (2,350 | ) | — | (2,350 | ) | 10,341 | — | 7,991 | ||||||||||
Other Derivative Assets | — | — | — | — | — | — | ||||||||||||
Total Liabilities | $ | (5,594,016 | ) | $ | 440 | $ | (5,593,576 | ) | $ | 7,044,207 | $ | 45,492 | $ | 1,496,123 |
December 31, 2015 | ||||||||||||||||||
(dollars in thousands) | ||||||||||||||||||
Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Consolidated Statements of Financial Position | Net Amounts Offset in the Consolidated Statements of Financial Position | Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position | |||||||||||||||
Financial Instruments | Cash Collateral (Received) Pledged (1) | Net Amount | ||||||||||||||||
Repurchase Agreements | $ | (7,439,339 | ) | $ | — | $ | (7,439,339 | ) | $ | 8,773,285 | $ | 37,296 | $ | 1,371,242 | ||||
Interest Rate Swaps - Gross Assets | 6,166 | (4,934 | ) | 1,232 | — | — | 1,232 | |||||||||||
Interest Rate Swaps - Gross Liabilities | (53,777 | ) | 47,408 | (6,369 | ) | 8,589 | 51,424 | 53,644 | ||||||||||
Treasury Futures | 1,599 | (192 | ) | 1,407 | — | 6,420 | 7,827 | |||||||||||
Swaptions - Gross Assets | 12,821 | — | 12,821 | — | — | 12,821 | ||||||||||||
Swaptions - Gross Liabilities | (3,265 | ) | — | (3,265 | ) | — | — | (3,265 | ) | |||||||||
Total Liabilities | $ | (7,475,795 | ) | $ | 42,282 | $ | (7,433,513 | ) | $ | 8,781,874 | $ | 95,140 | $ | 1,443,501 |
For the Quarter Ended | ||||||||||||
December 31, 2016 | September 30, 2016 | June 30, 2016 | March 31, 2016 | |||||||||
(dollars in thousands, except per share data) | ||||||||||||
Net Interest Income: | ||||||||||||
Interest income | $ | 260,823 | $ | 250,953 | $ | 221,096 | $ | 201,194 | ||||
Interest expense | 106,737 | 94,911 | 83,227 | 62,981 | ||||||||
Net interest income | 154,086 | 156,042 | 137,869 | 138,213 | ||||||||
Other-than-temporary impairments: | ||||||||||||
Total other-than-temporary impairment losses | (1,034 | ) | (993 | ) | (3,139 | ) | (4,423 | ) | ||||
Portion of loss recognized in other comprehensive income | (13,746 | ) | (10,581 | ) | (17,816 | ) | (6,255 | ) | ||||
Net other-than-temporary credit impairment losses | (14,780 | ) | (11,574 | ) | (20,955 | ) | (10,678 | ) | ||||
Net gains (losses) on derivatives | 115,523 | 13,360 | (47,755 | ) | (136,537 | ) | ||||||
Net unrealized gains (losses) on financial instruments at fair value | (20,664 | ) | 32,999 | 30,347 | 16,871 | |||||||
Gain (loss) on deconsolidation | — | — | — | — | ||||||||
Gain (loss) on Extinguishment of Debt | 1,334 | (45 | ) | — | (1,766 | ) | ||||||
Net realized gains (losses) on sales of investments | 11,121 | 3,079 | 6,631 | (2,674 | ) | |||||||
Other Income | — | — | — | 95,000 | ||||||||
Total other expenses | 24,698 | 21,031 | 31,987 | 15,302 | ||||||||
Net income | $ | 221,903 | $ | 172,817 | $ | 74,127 | $ | 83,098 | ||||
Dividend on preferred stock | $ | 2,449 | $ | — | $ | — | $ | — | ||||
Net income (loss) available to common shareholders | $ | 219,454 | $ | 172,817 | $ | 74,127 | $ | 83,098 | ||||
Net income per common share-basic | $ | 1.17 | $ | 0.92 | $ | 0.39 | $ | 0.44 |
For the Quarter Ended | ||||||||||||
December 31, 2015 | September 30, 2015 | June 30, 2015 | March 31, 2015 | |||||||||
(dollars in thousands, except per share data) | ||||||||||||
Net Interest Income: | ||||||||||||
Interest income | $ | 201,912 | $ | 211,876 | $ | 215,804 | $ | 243,145 | ||||
Interest expense | 64,955 | 67,910 | 66,044 | 60,456 | ||||||||
Net interest income | 136,957 | 143,966 | 149,760 | 182,689 | ||||||||
Other-than-temporary impairments: | ||||||||||||
Total other-than-temporary impairment losses | (2,311 | ) | (3,129 | ) | (2,208 | ) | (1,052 | ) | ||||
Portion of loss recognized in other comprehensive income | (12,385 | ) | (14,703 | ) | (24,893 | ) | (6,763 | ) | ||||
Net other-than-temporary credit impairment losses | (14,696 | ) | (17,832 | ) | (27,101 | ) | (7,815 | ) | ||||
Net gains (losses) on derivatives | 44,546 | (92,700 | ) | 40,127 | (106,610 | ) | ||||||
Net unrealized gains (losses) on financial instruments at fair value | (69,793 | ) | (40,955 | ) | (37,260 | ) | (10,425 | ) | ||||
Gain (loss) on deconsolidation | (256 | ) | — | — | — | |||||||
Gain (loss) on Extinguishment of Debt | 8,906 | (19,915 | ) | 5,079 | — | |||||||
Net realized gains (losses) on sales of investments | 34,285 | 3,539 | 9,685 | 29,565 | ||||||||
Total other expenses | 24,569 | 24,362 | 24,103 | 20,362 | ||||||||
Net income | $ | 115,380 | $ | (48,259 | ) | $ | 116,187 | $ | 67,042 | |||
Net income per share-basic | $ | 0.61 | $ | (0.24 | ) | $ | 0.57 | $ | 0.33 |
CHIMERA INVESTMENT CORPORATION | |||
Date: February 21, 2017 | By: | /s/ Matthew Lambiase | |
Matthew Lambiase Chief Executive Officer and President |
Signatures | Title | Date | |
/s/ Matthew Lambiase | Chief Executive Officer, President, and Director (Principal Executive Officer) | February 21, 2017 | |
Matthew Lambiase | |||
/s/ Rob Colligan | Chief Financial Officer (Principal Financial and Accounting Officer) | February 21, 2017 | |
Rob Colligan | |||
/s/ Mark Abrams | Director | February 21, 2017 | |
Mark Abrams | |||
/s/ Paul A. Keenan | Director | February 21, 2017 | |
Paul A. Keenan | |||
/s/ Paul Donlin | Director | February 21, 2017 | |
Paul Donlin | |||
/s/ Gerard Creagh | Director | February 21, 2017 | |
Gerard Creagh | |||
/s/ Dennis Mahoney | Director | February 21, 2017 | |
Dennis Mahoney | |||
/s/ John P. Reilly | Director | February 21, 2017 | |
John P. Reilly |
For the Year Ended | |||||||||||||||
(In Thousands, Except Ratios) | December 31, 2016 | December 31, 2015 | December 31, 2014 | December 31, 2013 | December 31, 2012 | ||||||||||
Net income before taxes | $ | 552,026 | $ | 250,350 | $ | 589,207 | $ | 362,688 | $ | 327,768 | |||||
Add: Fixed charges (interest expense) (1) | 375,963 | 306,590 | 200,430 | 123,856 | 146,781 | ||||||||||
Preferred stock dividend | 2,449 | — | — | — | — | ||||||||||
Income as adjusted | $ | 930,438 | $ | 556,940 | $ | 789,637 | $ | 486,544 | $ | 474,549 | |||||
Fixed charges (interest expense) + preferred stock dividend | $ | 378,412 | $ | 306,590 | $ | 200,430 | $ | 123,856 | $ | 146,781 | |||||
Ratio of income (losses) to combined fixed charges and preferred stock dividends | 2.46 | x | 1.82x | 3.94x | 3.93x | 3.23x | |||||||||
Deficiency | $ | — | $ | — | $ | — | $ | — | $ | — | |||||
(1) Includes effect of realized losses on interest rate swaps. |
1. | Registration Statement (Form S-3 No. 333-209249) of Chimera Investment Corporation, |
2. | Registration Statement (Form S-3 No. 333-209250) of Chimera Investment Corporation, |
3. | Registration Statement (Form S-8 No. 333-209248) pertaining to the Amended and Restated 2007 Equity Incentive Plan of Chimera Investment Corporation, and |
4. | Registration Statement (Form S-8 No. 333- 14774) pertaining to the Amended and Restated 2007 Equity Incentive Plan of Chimera Investment Corporation; |
Date: February 21, 2017 | |
/s/ Matthew Lambiase | |
Matthew Lambiase | |
Chief Executive Officer and President (Principal Executive Officer) |
Date: February 21, 2017 | |
/s/ Rob Colligan | |
Rob Colligan | |
Chief Financial Officer (Principal Financial Officer) |
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report. |
/s/ Matthew Lambiase | |
Matthew Lambiase | |
Chief Executive Officer and President | |
February 21, 2017 |
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Company at the dates of, and for the periods covered by, the Report. |
/s/ Rob Colligan | |
Rob Colligan | |
Chief Financial Officer | |
February 21, 2017 |
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Document and Entity Information - USD ($) |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Jan. 31, 2017 |
Jun. 30, 2016 |
|
Document And Entity Information [Abstract] | |||
Entity Registrant Name | CHIMERA INVESTMENT CORP | ||
Trading Symbol | CIM | ||
Entity Central Index Key | 0001409493 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Filer Category | Large Accelerated Filer | ||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 2016 | ||
Document Fiscal Year Focus | 2016 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | false | ||
Entity Common Stock, Shares Outstanding | 187,739,676 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $ 2,929,087,048 |
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Common stock, par value (usd per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (shares) | 300,000,000 | 300,000,000 |
Common stock, shares issued (shares) | 187,739,634 | 187,711,868 |
Common stock, shares outstanding (shares) | 187,739,634 | 187,711,868 |
Repurchase Agreements | Residential Mortgage-Backed Securities | ||
Securities pledged as collateral | $ 7,033,866,000 | $ 8,773,285,000 |
Repurchase Agreements | Non-agency MBS | ||
Securities pledged as collateral | 3,699,621,000 | 3,117,875,000 |
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | ||
Assets | 10,761,954,000 | 7,031,278,000 |
Liabilities | 7,300,163,000 | 4,262,017,000 |
Securitized Loans | Non-agency MBS | ||
Securities pledged as collateral | 1,800,000,000 | 2,100,000,000 |
Securitized Loans | Securitized Loans Held for Investment at Fair Value | ||
Securities pledged as collateral | $ 8,800,000,000 | $ 4,800,000,000 |
Preferred Class A | ||
Preferred Stock, par value (usd per share) | $ 0.01 | $ 0.01 |
Preferred Stock, shares authorized (shares) | 100,000,000 | 100,000,000 |
Preferred Stock, shares issued (shares) | 5,800,000,000 | 0 |
Preferred Stock, shares outstanding (shares) | 5,800,000,000 | 0 |
Preferred Stock, liquidation preference | $ 145,000 | $ 145,000 |
Preferred Stock, dividend rate (percent) | 8.00% | 8.00% |
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands |
12 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
||||||
Net Interest Income: | ||||||||
Interest income | [1] | $ 934,068 | $ 872,737 | $ 687,795 | ||||
Interest expense | [2] | 347,857 | 259,365 | 147,785 | ||||
Net interest income | 586,211 | 613,372 | 540,010 | |||||
Other-than-temporary impairments: | ||||||||
Total other-than-temporary impairment losses | (9,589) | (8,700) | (8,713) | |||||
Portion of loss recognized in other comprehensive income | (48,398) | (58,744) | (55,279) | |||||
Net other-than-temporary credit impairment losses | (57,987) | (67,444) | (63,992) | |||||
Other investment gains (losses): | ||||||||
Net unrealized gains (losses) on derivatives | 50,093 | 67,385 | (103,496) | |||||
Realized gains (losses) on terminations of interest rate swaps | (60,616) | (98,949) | 0 | |||||
Net realized gains (losses) on derivatives | (44,886) | (83,073) | (82,852) | |||||
Net gains (losses) on derivatives | (55,409) | (114,637) | (186,348) | |||||
Net unrealized gains (losses) on financial instruments at fair value | 59,552 | (158,433) | 193,534 | |||||
Net realized gains (losses) on sales of investments | 18,155 | 77,074 | 91,709 | |||||
Gain (loss) on deconsolidation | 0 | (256) | 47,846 | |||||
Gains (losses) on Extinguishment of Debt | (477) | (5,930) | (2,184) | |||||
Total other gains (losses) | 21,821 | (202,182) | 144,557 | |||||
Other income: | ||||||||
Other income | 95,000 | 0 | 23,783 | |||||
Total other income | 95,000 | 0 | 23,783 | |||||
Other expenses: | ||||||||
Management fees | 0 | 24,609 | 32,514 | |||||
Expense recoveries from Manager | 0 | (6,906) | (8,936) | |||||
Net management fees | 0 | 17,703 | 23,578 | |||||
Provision for loan losses, net | 0 | 0 | (232) | |||||
Compensation and benefits | 26,901 | 10,544 | 0 | |||||
General and administrative expenses | 17,516 | 31,633 | 20,403 | |||||
Servicing Fees of consolidated VIEs | 31,178 | 25,244 | 10,004 | |||||
Deal Expenses | 17,424 | 8,272 | 1,398 | |||||
Total other expenses | 93,019 | 93,396 | 55,151 | |||||
Income (loss) before income taxes | 552,026 | 250,350 | 589,207 | |||||
Income taxes | 83 | 1 | 2 | |||||
Net income (loss) | 551,943 | 250,349 | 589,205 | |||||
Dividend on preferred stock | 2,449 | 0 | 0 | |||||
Net income (loss) available to common shareholders | $ 549,494 | $ 250,349 | $ 589,205 | |||||
Net income (loss) per share available to common shareholders: | ||||||||
Basic (usd per share) | $ 2.93 | $ 1.25 | $ 2.87 | |||||
Diluted (usd per share) | $ 2.92 | $ 1.25 | $ 2.87 | |||||
Weighted average number of common shares outstanding: | ||||||||
Basic (shares) | 187,728,634 | 199,563,196 | 205,450,095 | |||||
Diluted (shares) | 188,024,838 | 199,650,177 | 205,508,769 | |||||
Dividends declared per share of common stock (usd per share) | $ 2.44 | $ 1.92 | $ 1.80 | |||||
|
CONSOLIDATED STATEMENTS OF OPERATIONS (Parenthetical) - Non Agency Residential Mortgage Backed Securities And Securitized Loans - Variable Interest Entity, Primary Beneficiary - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Interest income, Assets of consolidated VIEs | $ 678,623 | $ 575,715 | $ 428,992 |
Interest expense, Non-recourse liabilities of VIEs | $ 249,708 | $ 191,922 | $ 119,103 |
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Comprehensive income (loss): | |||
Net income (loss) | $ 551,943 | $ 250,349 | $ 589,205 |
Other comprehensive income: | |||
Unrealized gains (losses) on available-for-sale securities, net | (88,527) | (263,049) | 134,113 |
Reclassification adjustment for net losses included in net income for other-than-temporary credit impairment losses | 57,987 | 67,444 | 63,992 |
Reclassification adjustment for net realized losses (gains) included in net income | (25,145) | (77,284) | (94,382) |
Reclassification adjustment for gain on deconsolidation included in net income | 0 | 0 | (47,846) |
Other comprehensive income (loss) | (55,685) | (272,889) | 55,877 |
Comprehensive income (loss) before preferred stock dividends | 496,258 | (22,540) | 645,082 |
Dividends declared on preferred stock | 2,449 | 0 | 0 |
Comprehensive income (loss) available to common stock shareholders | $ 493,809 | $ (22,540) | $ 645,082 |
CONSOLIDATED STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY - USD ($) $ in Thousands |
Total |
Preferred Stock Par Value |
Common Stock Par Value |
Additional Paid-in Capital |
Accumulated Other Comprehensive Income |
Cumulative Earnings |
Cumulative Distributions to Stockholders |
Preferred Class A |
Preferred Class A
Preferred Stock Par Value
|
Preferred Class A
Additional Paid-in Capital
|
||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Balance at Dec. 31, 2013 | $ 3,331,510 | $ 0 | $ 2,055 | $ 3,613,458 | $ 990,803 | $ 1,063,822 | $ (2,338,628) | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Net income (loss) | 589,205 | 589,205 | 0 | |||||||||
Other comprehensive income (loss) | 55,877 | 55,877 | 0 | 0 | ||||||||
Stock based compensation | 953 | 953 | 0 | |||||||||
Common dividends declared | (369,855) | 0 | 0 | 0 | (369,855) | |||||||
Preferred dividends declared | 0 | |||||||||||
Ending Balance at Dec. 31, 2014 | 3,607,690 | 0 | 2,055 | 3,614,411 | 1,046,680 | 1,653,027 | (2,708,483) | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Net income (loss) | 250,349 | 250,349 | 0 | |||||||||
Cumulative effect of accounting change | [1] | (12,137) | (12,137) | 0 | ||||||||
Other comprehensive income (loss) | (272,889) | (272,889) | ||||||||||
Stock based compensation | 1,979 | 2 | 1,977 | |||||||||
Repurchase of common stock | (250,000) | (180) | (249,820) | |||||||||
Common dividends declared | (378,804) | 0 | (378,804) | |||||||||
Preferred dividends declared | 0 | |||||||||||
Ending Balance at Dec. 31, 2015 | 2,946,188 | 0 | 1,877 | 3,366,568 | 773,791 | 1,891,239 | (3,087,287) | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||||
Net income (loss) | 551,943 | 551,943 | ||||||||||
Other comprehensive income (loss) | (55,685) | (55,685) | ||||||||||
Stock based compensation | 2,206 | 0 | 2,206 | |||||||||
Common dividends declared | (458,735) | (458,735) | ||||||||||
Preferred dividends declared | (2,449) | (2,449) | ||||||||||
Issuance of preferred stock | $ 140,065 | $ 58 | $ 140,007 | |||||||||
Ending Balance at Dec. 31, 2016 | $ 3,123,533 | $ 58 | $ 1,877 | $ 3,508,781 | $ 718,106 | $ 2,443,182 | $ (3,548,471) | |||||
|
CONSOLIDATED STATEMENTS OF CASH FLOWS $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016
USD ($)
|
Dec. 31, 2015
USD ($)
|
Dec. 31, 2014
USD ($)
|
|
Cash Flows From Operating Activities: | |||
Net income | $ 551,943 | $ 250,349 | $ 589,205 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
(Accretion) amortization of investment discounts/premiums, net | (3,127) | 3,813 | (72,569) |
Accretion (amortization) of deferred financing costs and securitized debt discounts/premiums, net | 1,543 | 17,145 | 11,552 |
Amortization of swaption premium | 6,559 | 0 | 0 |
Net unrealized losses (gains) on derivatives | (50,093) | (67,385) | 103,496 |
Net realized losses (gains) on option contracts settled | 0 | 0 | 1,246 |
Proceeds (payments) for derivative sales and settlements | 0 | (13,495) | (6,923) |
Margin (paid) received on derivatives | 56,050 | 82,671 | (186,462) |
Net unrealized losses (gains) on financial instruments at fair value | (59,552) | 158,433 | (193,534) |
Net realized losses (gains) on sales of investments | (18,155) | (77,074) | (91,709) |
(Gains) loss on deconsolidation | 0 | 256 | (47,846) |
Net other-than-temporary credit impairment losses | 57,987 | 67,444 | 63,992 |
(Gain) loss on extinguishment of debt | 477 | 5,930 | 2,184 |
Provision for loan losses, net | 0 | 0 | (232) |
Equity-based compensation expense | 2,204 | 1,979 | 956 |
Changes in operating assets: | |||
Decrease (increase) in accrued interest receivable, net | (13,450) | 4,852 | (37,570) |
Decrease (increase) in other assets | 3,994 | (42,738) | 16,471 |
Changes in operating liabilities: | |||
Increase (decrease) in accounts payable and other liabilities | 5,290 | 8,935 | 608 |
Increase (decrease) in investment management fees and expenses payable to affiliate | 0 | (10,357) | 4,699 |
Increase (decrease) in accrued interest payable, net | 11,237 | 5,544 | 25,213 |
Net cash provided by (used in) operating activities | 552,907 | 396,302 | 182,777 |
Cash Flows From Investing Activities: | |||
Acquisition of investments in consolidated VIEs | 0 | (109,872) | (774,350) |
Disposition of investments in consolidated VIEs | 0 | 2,601 | 0 |
Net cash provided by (used in) investing activities | (1,270,560) | 2,037,911 | (5,778,558) |
Cash Flows From Financing Activities: | |||
Proceeds from repurchase agreements | 34,202,707 | 41,644,280 | 27,128,227 |
Payments on repurchase agreements | (36,041,143) | (42,660,323) | (20,331,406) |
Net proceeds from common stock offerings | 0 | 0 | 0 |
Net proceeds from preferred stock offerings | 140,065 | 0 | 0 |
Payments on repurchase of common stock | 0 | (250,000) | 0 |
Proceeds from securitized debt borrowings, collateralized by loans held for investment | 4,797,255 | 1,483,301 | 43,981 |
Payments on securitized debt borrowings, collateralized by loans held for investment | (1,668,670) | (2,138,623) | (341,313) |
Payments on securitized debt borrowings, collateralized by Non-Agency RMBS | (194,634) | (182,217) | (185,369) |
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS | 0 | 0 | (56,072) |
Common dividends paid | (454,275) | (381,189) | (575,276) |
Net cash provided by (used in) financing activities | 781,305 | (2,484,771) | 5,682,772 |
Net increase (decrease) in cash and cash equivalents | 63,652 | (50,558) | 86,991 |
Cash and cash equivalents at beginning of period | 114,062 | 164,620 | 77,629 |
Cash and cash equivalents at end of period | 177,714 | 114,062 | 164,620 |
Supplemental disclosure of cash flow information: | |||
Interest received | 917,491 | 881,403 | 577,123 |
Interest paid | 335,077 | 236,676 | 111,020 |
Management fees and expenses paid | 0 | 34,996 | 27,815 |
Non-cash investing activities: | |||
Receivable for investments sold | 0 | 0 | 1,572,056 |
Payable for investments purchased | 520,532 | (560,641) | (1,845,282) |
Net change in unrealized gain (loss) on available-for sale securities | (55,685) | (272,889) | 55,877 |
Acquisition of securities in Consolidated VIEs | |||
Securitized loans held for investment, at fair value | 0 | 295,225 | 4,722,825 |
Other assets | 0 | 0 | 84,830 |
Securitized debt at fair value | 0 | (185,353) | 4,033,304 |
Non-cash financing activities: | |||
Common dividends declared, not yet paid | 94,557 | 90,097 | 92,483 |
Preferred dividends declared, not yet paid | 97,005 | 90,097 | |
Agency MBS - Residential | |||
Cash Flows From Investing Activities: | |||
Purchases | (1,040,290) | (6,590,731) | (8,860,042) |
Sales | 2,570,025 | 7,563,771 | 2,555,570 |
Principal payments | 649,961 | 1,061,193 | 512,202 |
Non-agency MBS | |||
Cash Flows From Investing Activities: | |||
Purchases | (203,400) | (850,750) | (365,240) |
Sales | 95,399 | 158,404 | 513,030 |
Principal payments | 532,701 | 385,988 | 323,900 |
Securitized Loans | |||
Cash Flows From Investing Activities: | |||
Purchases | (4,897,370) | (281,811) | 0 |
Principal payments | 1,022,414 | 699,118 | 316,372 |
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | |||
Disposition of securities in Consolidated VIEs | |||
Non-agency RMBS, at fair value | 0 | 49,118 | 0 |
Securitized loans held for investment, at fair value | 0 | (287,806) | 0 |
Securitized debt at fair value | 0 | 236,087 | 0 |
Preferred Class A | |||
Non-cash financing activities: | |||
Preferred dividends declared, not yet paid | $ 2,449 | $ 0 | $ 0 |
Organization |
12 Months Ended |
---|---|
Dec. 31, 2016 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization | Organization Chimera Investment Corporation (the “Company”) was organized in Maryland on June 1, 2007. The Company commenced operations on November 21, 2007 when it completed its initial public offering. The Company elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended, and regulations promulgated thereunder (the “Code”). The Company conducts its operations through various subsidiaries including subsidiaries it treats as taxable REIT subsidiaries (“TRS”). In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate related business. The Company currently has nine wholly owned direct subsidiaries: Chimera RMBS Whole Pool LLC, and Chimera RMBS LLC formed in June 2009; Chimera Special Holdings LLC, formed in January 2010; CIM Trading Company LLC (“CIM Trading”), formed in July 2010; Chimera Funding TRS LLC (“CIM Funding TRS”), a TRS formed in October 2013, Chimera CMBS Whole Pool LLC and Chimera RMBS Securities LLC formed in March 2015; Chimera Insurance Company, LLC formed in July 2015 and Chimera RR Holdings LLC formed in April 2016. Until August 5, 2015, the Company was externally managed by Fixed Income Discount Advisory Company (“FIDAC” or “Manager”) pursuant, to the terms of a management agreement (“Management Agreement”). On August 5, 2015, the Company announced it had internalized its management and would continue to be led by its key professionals. In connection with the internalization, the Company and FIDAC terminated the Management Agreement. |
Summary of the Significant Accounting Policies |
12 Months Ended | ||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||
Accounting Policies [Abstract] | |||||||||||||||||||||||||
Summary of the Significant Accounting Policies | Summary of the Significant Accounting Policies (a) Basis of Presentation and Consolidation The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”). In the opinion of management, all adjustments considered necessary for a fair presentation of the Company's financial position, results of operations and cash flows have been included. Certain prior period amounts have been reclassified to conform to the current period's presentation. The consolidated financial statements include, the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities (“VIEs”) in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. The Company uses securitization trusts considered to be VIEs in its securitization and re-securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary, and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as pass through entities that receive principal and interest on the underlying collateral and distribute those payments to the security holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a holder of the security it has retained. Determining the primary beneficiary of a VIE requires significant judgment. The Company determined that for the securitizations it consolidates, its ownership provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance (“power”) such as rights to direct servicer activity or the Company was determined to have power in connection with its involvement with the purpose and design of the VIE. The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Statements of Financial Condition, is restricted by the structural provisions of these trusts, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Statements of Financial Condition, are non-recourse to the Company, and can generally only be satisfied from each securitization vehicle’s respective asset pool. The assets of securitization entities are comprised of senior classes of residential mortgage backed securities (“RMBS”) or residential mortgage loans. See Notes 3, 4 and 8 for further discussion of the characteristics of the securities and loans in the Company’s portfolio. (b) Statements of Financial Condition Presentation The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 8 for additional information related to the Company’s investments in consolidated securitization vehicles. (c) Cash and Cash Equivalents Cash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. There were no restrictions on cash and cash equivalents at December 31, 2016 and December 31, 2015. (d) Agency and Non-Agency Mortgage-Backed Securities The Company invests in mortgage backed securities (“MBS”) representing interests in obligations backed by pools of mortgage loans. The Company delineates between Agency MBS and Non-Agency MBS as follows: (1) Agency MBS are mortgage pass-through certificates, collateralized mortgage obligations (“CMOs”), and other MBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by agencies of the U.S. Government, such as Ginnie Mae, or federally chartered corporations such as Freddie Mac or Fannie Mae where principal and interest repayments are guaranteed by the respective agency of the U.S. Government or federally chartered corporation; and (2) Non-Agency MBS are not issued or guaranteed by a U.S. Government Agency or other institution and are subject to credit risk. Repayment of principal and interest on Non-Agency MBS is subject to the performance of the mortgage loans or MBS collateralizing the obligation. The Company also invests in Interest Only Agency MBS strips and Interest Only Non-Agency RMBS strips (“IO MBS strips”). IO MBS strips represent the Company’s right to receive a specified proportion of the contractual interest flows of the collateral. Interest income on IO MBS strips is accrued based on the outstanding notional balance and the security’s contractual terms, and amortization of any premium is calculated in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 325-40, Beneficial Interests in Securitized Financial Assets (“ASC 325-40”). The Company accounts for IO MBS strips at fair value with changes in fair value recognized in the Company’s Consolidated Statements of Operations. The Company classifies the majority of its MBS as available-for-sale and records investments at estimated fair value as described in Note 5 of these consolidated financial statements. The Company includes unrealized gains and losses considered to be temporary on all MBS in Other comprehensive income (“OCI”) in the Consolidated Statements of Operations. For IO MBS strips and certain other MBS investments, the Company carries these investments at fair value with changes in fair value included in earnings in the Consolidated Statements of Operations. From time to time, as part of the overall management of its portfolio, the Company may sell any of its investments and recognize a realized gain or loss as a component of earnings in the Consolidated Statements of Operations utilizing the average cost method. The Company’s accounting policy for interest income and impairment related to its MBS is as follows: Interest Income Recognition The recognition of interest income on MBS securities varies depending on the characteristics of the security as follows: Agency MBS and Non-Agency RMBS of High Credit Quality FASB ASC 310-20, Nonrefundable Fees and Other Costs (“ASC 310-20”) is applied to the recognition of interest income for the following securities:
1.Rated AA or higher by a nationally recognized credit rating agency using the lowest rating available; 2.The Company expects to collect all of the security's contractual cash flows; and 3.The security cannot be contractually prepaid such that the Company would not recover substantially all of its recorded investment. Under ASC 310-20, interest income, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the contractual cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security on a quarterly basis. This recalculation results in the recognition of an adjustment on a prospective basis to the carrying amount of the security based on the revised prepayment assumptions and a corresponding increase or decrease in reported interest income. Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS purchased at a discount and not of high credit quality at the time of purchase are accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality (“ASC 310-30”) or ASC 325-40 (referred to hereafter as “Non-Agency RMBS Not of High Credit Quality”). Non-Agency RMBS are accounted for under ASC 310-30 if the following conditions are met as of the acquisition date:
Non-Agency RMBS that are not within the scope of ASC 310-30 are accounted for under ASC 325-40 if at the acquisition date:
Interest income on Non-Agency RMBS Not of High Credit Quality is recognized using the interest method based on management’s estimates of cash flows expected to be collected. The effective interest rate on these securities is based on management’s estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either positive changes or adverse changes. For securities accounted for under ASC 325-40, any positive or adverse change in cash flows that does not result in the recognition of an other-than-temporary impairment (“OTTI”) results in a prospective increase or decrease in the effective interest rate used to recognize interest income. For securities accounted for under ASC 310-30, only significant positive changes are reflected prospectively in the effective interest rate used to recognize interest income. Adverse changes in cash flows expected to be collected are generally treated consistently for Non-Agency RMBS accounted for under ASC 325-40 and ASC 310-30, and generally result in recognition of an OTTI with no change in the effective interest rate used to recognize interest income. Impairment Considerations Applicable to all MBS When the fair value of an available-for-sale MBS is less than its amortized cost, the security is considered impaired. On a quarterly basis, the Company evaluates its securities for OTTI. If the Company intends to sell an impaired security, or it is more-likely-than-not that the Company will be required to sell an impaired security before its anticipated recovery, then the Company must recognize an OTTI through a charge to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the measurement date. If the Company does not intend to sell an impaired security and it is not more-likely-than-not that it would be required to sell an impaired security before recovery, the Company must further evaluate the security for impairment due to credit losses. The credit component of OTTI is recognized in earnings and the remaining component is recorded as a component of OCI. Following the recognition of an OTTI through earnings, a new amortized cost basis is established for the security and subsequent recovery in fair value may not be adjusted through current earnings. Subsequent recoveries are amortized into income over the remaining life of the security as an adjustment to yield. When evaluating whether the Company intends to sell an impaired security or will more-likely-than-not be required to sell an impaired security before recovery, the Company makes judgments that consider among other things, its liquidity, leverage, contractual obligations, and targeted investment strategy to determine its intent and ability to hold the investments that are deemed impaired. The determination as to whether an OTTI exists is based on factual information available at the time of assessment as well as the Company’s estimates of future conditions. As a result, the determination of OTTI and its timing and amount is based on estimates that may change materially over time. The Company’s estimate of the amount and timing of cash flows for its MBS is based on its review of the underlying securities or mortgage loans securing the MBS. The Company considers historical information available and expected future performance of the underlying securities or mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, extent of credit support available, Fair Isaac Corporation (“FICO”) scores at loan origination, year of origination, loan-to-value ratios, geographic concentrations, as well as reports by credit rating agencies, current and forecast interest rates, general market assessments and dialogue with market participants. As a result, substantial judgment is used in the Company’s analysis to determine the expected cash flows for its MBS. Considerations Applicable to Non-Agency RMBS of High Credit Quality The impairment assessment for Non-Agency RMBS of High Credit Quality involves comparing the present value of the remaining cash flows expected to be collected to the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the security’s effective interest rate as calculated under ASC 310-20 (i.e., the discount rate implicit in the security as of the last measurement date). If the present value of the remaining cash flows expected to be collected is less than the amortized cost basis, an OTTI is recognized in earnings for the difference. This amount is considered to be the credit loss component; the remaining difference between amortized cost and the fair value of the security is considered to be the portion of loss recognized in other comprehensive income. Considerations Applicable to Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS within the scope of ASC 325-40 or ASC 310-30 are considered other-than-temporarily impaired when the following two conditions exist: (1) the fair value is less than the amortized cost basis, and (2) there has been an adverse change in cash flows expected to be collected from the last measurement date (i.e. adverse changes in either the amount or timing of cash flows from those previously expected). The OTTI is separated into a credit loss component that is recognized in earnings and the portion of loss recognized in other comprehensive income. The credit component is comprised of the impact of the fair value decline due to changes in assumptions related to default (collection) risk and prepayments. The portion of loss recognized in other comprehensive income comprises the change in fair value of the security due to all other factors, including changes in benchmark interest rates and market liquidity. In determining the OTTI related to credit losses for securities, the Company compares the present value of the remaining cash flows adjusted for prepayments expected to be collected at the current financial reporting date to the present value of the remaining cash flows expected to be collected at the original purchase date (or the last date those estimates were revised for accounting purposes). The discount rate used to calculate the present value of expected future cash flows is the effective interest rate used for income recognition purposes as determined under ASC 325-40 or ASC 310-30. The determination of whether an OTTI exists and, if so, the extent of the credit component is subject to significant judgment and management’s estimates of both historical information available at the time of assessment, the current market environment, as well as the Company’s estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of OTTI constitutes an accounting estimate that may change materially over time. Investments for which the Company has elected the fair value option are not evaluated for OTTI as all changes in fair value are reflected in earnings. (e) Securitized Loans Held for Investment Prime residential mortgage loans: A portion of the securitized loan portfolio is primarily comprised of non-conforming, single family, owner occupied, jumbo prime loans that are not guaranteed as to repayment of principal or interest. These securitized loans are serviced and may be modified, in the event of a default, by a third-party servicer. The Company generally has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to certain loans in default, including whether or not to proceed with foreclosure. These mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis. The securitized loan portfolio comprised of non-conforming, single family, owner occupied, jumbo, prime loans is carried at fair value with changes in fair value recorded in earnings. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. Seasoned subprime residential mortgage loans: A portion of the securitized loan portfolio is comprised of seasoned subprime residential mortgage loans that are not guaranteed as to repayment of principal or interest. These securitized loans are serviced and may be modified, in the event of default, by a third-party servicer. The Company generally has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to certain loans in default, including whether or not to proceed with foreclosure. These mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis. The securitized loan portfolio comprised primarily of seasoned subprime residential mortgage loans is carried at fair value with changes in fair value recorded in earnings. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. All residential mortgage loans: Interest is accrued on all securitized loans held for investment when due. Interest which is not received at the due date is written off when it becomes delinquent. Nonrefundable fees and costs related to acquiring the Company’s securitized residential mortgage loans are recognized as expenses in the Consolidated Statements of Operations. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. Real estate owned (“REO”) represents properties which the Company has received the legal title of the property to satisfy the outstanding loan. REO is re-categorized from loan to REO when the Company takes legal title of the property. REO assets are measured and reported at the estimated fair value less the estimated cost to sell at the end of each reporting period. At the time the asset is re-categorized, any difference between the previously recorded loan balance and the carrying value of the REO at the time the Company takes legal title of the property, is recognized as a loss. All REO assets of the Company are held-for-sale and it is the Company’s intention to sell the property in the shortest time possible to maximize their return and recovery on the previously recorded loan. The carrying value of REO assets at December 31, 2016 and December 31, 2015 was $13 million and $18 million, respectively, and were recorded in Other Assets on the Company’s consolidated statements of financial condition. (f) Repurchase Agreements The Company finances the acquisition of a significant portion of its mortgage-backed securities with repurchase agreements. The Company has evaluated each agreement and has determined that each of the repurchase agreements be accounted for as secured borrowings, which is recourse to the Company. (g) Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by loans held for investment Certain re-securitization transactions classified as Securitized Debt, collateralized by Non-Agency RMBS, reflect the transfer to a trust of fixed or adjustable rate MBS which are classified as Non-Agency RMBS that pay interest and principal to the debt holders of that re-securitization. Re-securitization transactions completed by the Company that did not qualify as sales are accounted for as secured borrowings. The associated securitized debt is carried at amortized cost, net of any unamortized premiums or discounts. Certain transactions involving residential mortgage loans are accounted for as secured borrowings, and are recorded as Securitized loans held for investment and the corresponding debt as Securitized debt, collateralized by loans held for investment in the Consolidated Statements of Financial Condition. These securitizations are collateralized by residential adjustable or fixed rate mortgage loans that have been placed in a trust and pay interest and principal to the debt holders of that securitization. The Securitized debt, collateralized by loans held for investment, is carried at fair value. The Company recognizes interest expense on securitized debt over the contractual life of the debt using the interest method with changes in yield reflected in earnings on a retrospective basis. The Company estimates the fair value of its securitized debt as described in Note 5 to these consolidated financial statements. (h) Fair Value Interest-Only MBS: The Company accounts for the IO MBS strips at fair value with changes in fair value reported in earnings. The IO MBS strips are included in MBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Included in Non-Agency RMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $266 million and $245 million as of December 31, 2016 and December 31, 2015. Included in Agency MBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $145 million and $273 million as of December 31, 2016 and December 31, 2015. Interest income on all IO MBS securities was $43 million and $49 million for the years ended December 31, 2016 and 2015, respectively. Non-Agency RMBS: The Company has elected the fair value option for certain interests in Non-Agency RMBS which we refer to as the overcollateralization classes. The cash flows for these holdings are generally subordinate to all other interests of the trusts and generally only pay out funds when certain ratios are met and excess cash holdings, as determined by the trustee, are available for distribution to the overcollateralization class. Many of the investments in this group have no current cash flows and may not ever pay cash flows, depending on the loss experience of the collateral group supporting the investment. Estimating future cash flows for this group of Non-Agency RMBS investments is highly subjective and uncertain; therefore, the Company has elected to carry these holdings at fair value with changes in fair value reflected in earnings. Changes in fair value are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. The fair value of the Non-Agency RMBS carried at fair value with changes in fair value reflected in earnings is $19 million and $20 million as of December 31, 2016 and December 31, 2015, respectively. Securitized Loans Held for Investment: The Company’s securitized loans held for investment are carried at fair value with changes in fair value reflected in earnings. The Company carries securitized loans held for investment at fair value as it may resecuritize these loans in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of securitized loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Securitized Debt, Collateralized by Loans Held for Investment: The Company’s securitized debt, collateralized by loans held for investment, is carried at fair value with changes in fair value reflected in earnings. The Company has elected the fair value option for these financings as it may call or restructure these debt financings in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of securitized debt, collateralized by loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements. (i) Derivative Financial Instruments The Company’s investment policies permit it to enter into derivative contracts, including interest rate swaps, swaptions, mortgage options, futures, and interest rate caps to manage its interest rate risk and, from time to time, enhance investment returns. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company estimates the fair value of its derivative instruments as described in Note 5 of these consolidated financial statements. Net payments on derivative instruments are included in the Consolidated Statements of Cash Flows as a component of net income. Unrealized gains (losses) on derivatives are removed from net income to arrive at cash flows from operating activities. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair value of those derivative contracts are reported net by counterparty. The credit support annex provisions of the Company’s derivative contracts allow the parties to mitigate their credit risk by requiring the party which is in a net payable position to post collateral. As the Company elects to net by counterparty the fair value of derivative contracts, it also nets by counterparty any cash collateral exchanged as part of the derivative. Refer to Note 9 Derivative Instruments for further details. (j) Sales, Securitizations, and Re-Securitizations The Company periodically enters into transactions in which it sells financial assets, such as MBS and mortgage loans. Gains and losses on sales of assets are calculated using the average cost method whereby the Company records a gain or loss on the difference between the average amortized cost of the asset and the proceeds from the sale. In addition, the Company from time to time securitizes or re-securitizes assets and sells tranches in the newly securitized assets. These transactions may be recorded as either sales, whereby the assets contributed to the securitization are removed from the Consolidated Statements of Financial Condition and a gain or loss is recognized, or as secured borrowings whereby the assets contributed to the securitization are not derecognized but rather the debt issued by the securitization entity are recorded to reflect the term financing of the assets. In these securitizations and re-securitizations, the Company may retain senior or subordinated interests in the securitized or re-securitized assets. In transfers that are considered secured borrowings, no gain or loss is recognized. Any difference in the proceeds received and the carrying value of the transferred asset is recorded as a premium or discount and amortized into earnings as an adjustment to yield. (k) Income Taxes The Company has elected to be taxed as a REIT and intends to comply with the provision of the Code, with respect thereto. Accordingly, the Company will generally not be subject to federal, state or local income taxes to the extent that qualifying distributions are made to stockholders and as long as certain asset, income, distribution and stock ownership tests are met. If the Company failed to qualify as a REIT and did not qualify for certain statutory relief provisions, the Company would be subject to federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the REIT qualification was lost. The Company, CIM Trading and CIM Funding TRS have made joint elections to treat CIM Trading and CIM Funding TRS as TRSs. The TRS election with respect to CIM Trading has been revoked as of December 31, 2016. Because it is wholly owned by the Company, the revocation of its TRS election will cause CIM Trading to be disregarded as an entity separate from the Company after December 31, 2016. CIM Funding TRS is taxable as a domestic C corporation and subject to federal, state, and local income taxes based upon its taxable income. A tax position is recognized only when, based on management’s judgment regarding the application of income tax laws, it is more likely than not that the tax position will be sustained upon examination. The Company does not have any unrecognized tax positions that would affect its financial statements or require disclosure. No accruals for penalties and interest were necessary as of December 31, 2016 or 2015. (l) Net Income per Share The Company calculates basic net income per share by dividing net income for the period by the basic weighted-average shares of its common stock outstanding for that period. Diluted net income per share takes into account the effect of dilutive instruments such as unvested restricted stock. (m) Stock-Based Compensation The Company measures the fair value of the equity instrument granted to non-employees using the stock prices and other measurement assumptions as of the earlier of either the date at which a performance commitment by the recipient is reached or the date at which the recipient’s performance is complete. Stock compensation expense related to the grants of stock is recognized over the vesting period of such grants based on the fair value of the stock on each vesting date at which the recipient’s performance is complete. Compensation expense for equity based awards granted to the Company’s independent directors and stock based compensation awards granted to employees of the Company subject only to service condition is recognized on a straight-line basis over the vesting period of such awards, based upon the fair value of such awards at the grant date adjusted, as applicable, for estimated forfeitures. For awards subject to graded vesting, the total amount of expense is at least equal to the measured expense of each vested tranche. Awards subject to only a service condition are valued according to the market price for the Company’s common stock at the date of grant. For awards based on the performance of the Company’s stock price, the Company generally engages an independent appraisal company to determine the value of the shares at the date of grant, taking into account the underlying contingency risks associated with the performance criteria. The values of these grants are expensed ratably over their respective vesting periods (irrespective of achievement of the performance criteria) adjusted, as applicable, for forfeitures. (n) Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. Management has made significant estimates including in accounting for income recognition and OTTI on Agency and Non-Agency RMBS and IO MBS (Note 3), valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Note 4), securitized debt (Note 7) and derivative instruments (Notes 5 and 9). Actual results could differ materially from those estimates. (o) Recent Accounting Pronouncements Statement of Cash Flows - Restricted Cash – (Topic 230) In November 2016, the FASB issued ASU No. 2016-18, Statement of Cash Flows - Restricted Cash. This update requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. The amendments in this Update do not provide a definition of restricted cash or restricted cash equivalents. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption is allowed. The amendments in this update should be applied using a retrospective transition method to each period presented. The Company is not planning to early adopt and is currently evaluating what impact this update will have on the consolidated financial statements. Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments – (Topic 230) In August 2016, the FASB issued ASU No. 2016-15, Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments. This update provides guidance on eight specific cash flow issues. The guidance is intended to reduce diversity in practice on those issues across all industries. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption is allowed. The guidance is to be applied retrospectively, unless it is impracticable to do so for an issue, then the amendments related to that issue would be applied prospectively. The Company did not elect to early adopt the provisions of this update. The Company is currently evaluating what impact this update will have on the consolidated financial statements. Financial Instruments - Credit Losses – (Topic 326) In June 2016, the FASB issued ASU No. 2016-13, Measurement of Credit Losses on Financial Instruments. This update replaces the current model for recognizing credit losses from an incurred credit loss model to a current expected credit loss (CECL) model for instruments measured at amortized cost and requires entities to record allowances for available-for-sale (AFS) debt securities when the fair value of an AFS debt security is below the amortized cost of the asset rather than reduce the carrying amount, as we do under the current OTTI model. This update also simplifies the accounting model for purchased credit-impaired debt securities and loans. The changes in the allowances created in accordance with this update will be recorded in earnings. The update also expands the disclosure requirements regarding the Company's assumptions, models, and methods for estimating the expected credit losses. In addition, the Company will disclose the amortized cost balance for each class of financial asset by credit quality indicator, disaggregated by the year of origination. The guidance in the ASU is effective for the Company as of January 1, 2020. Early adoption is allowed, beginning January 1, 2019. The standard requires entities to record a cumulative-effect adjustment to the statement of financial position as of the beginning of the first reporting period in which the guidance is effective. The Company did not elect to early adopt the provisions of this update. The Company is currently evaluating what impact this update will have on the consolidated financial statements. Share Based Payments – (Topic 718) In March 2016, the FASB issued ASU No. 2016-09, Improvements to Employee Share-Based Payment Accounting. Under this update companies will no longer record excess tax benefits and certain tax deficiencies associated with an award of equity instruments in additional paid-in capital. Instead, they will record all excess tax benefits and tax deficiencies as income tax expense or benefit in the income statement when the awards vest or are settled, and additional paid-in capital pools will be eliminated. The updated guidance will also allow the Company to repurchase more shares than it can today for tax withholding purposes without triggering liability accounting and to make a policy election to account for forfeitures as they occur. The guidance in the ASU is effective for the Company as of January 1, 2017. Early adoption is allowed. The guidance is to be applied using a modified retrospective transition method with a cumulative-effect adjustment recorded in retained earnings. The Company did not elect to early adopt the provisions of this update. The Company is currently evaluating what impact this update will have on the consolidated financial statements. Contingent Put and Call Options in Debt Instruments – (Topic 815) In March 2016, the FASB issued ASU No. 2016-06, Contingent Put and Call Options in Debt Instruments Accounting. This update clarifies that when a call or put option in a debt instrument can accelerate the repayment of principal on the debt instrument, a reporting entity does not need to assess whether the contingent event that triggers the ability to exercise the call or put option is related to interest rates or credit risk in determining whether the option should be accounted for separately as a derivative. The guidance in the ASU is effective for the Company as of January 1, 2017. Early adoption is permitted. The new guidance applies to existing debt instruments (or hybrid financial instruments that are determined to have a debt host) using a modified retrospective method as of the beginning of the period of adoption. The Company did not elect to early adopt the provisions of this update. The adoption of this guidance is not expected to have a material effect on the Company’s financial statements as all of its debt instruments with contingent Put and Call options are eliminated on consolidation. Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships – (Topic 815) In March 2016, the FASB issued ASU No. 2016-05, Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships. The amendments in this update clarify that a change in the counterparty to a derivative instrument that has been designated as the hedging instrument under Topic 815 does not, in and of itself, require de-designation of that hedging relationship provided that all other hedge accounting criteria continue to be met. The guidance in the ASU is effective for the Company as of January 1, 2017. Early adoption is allowed. The new guidance may be applied prospectively or on a modified retrospective basis. The Company did not elect to early adopt the provisions of this update. The Company currently does not use hedge accounting for GAAP reporting purposes, therefore this guidance is not expected to have a material effect on the Company’s financial statements. Financial Instruments—Overall (Subtopic 825-10) In January 2016, the FASB issued ASU No. 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities. This update changes how the Company will present changes in the fair value of financial liabilities measured under the fair value option that are attributable to our own credit. Under the updated guidance, the Company will record changes in instrument-specific credit risk for financial liabilities measured under the fair value option in other comprehensive income. The update also requires fair value measurement for equity investments that do not result in consolidation and are not accounted for under the equity method to be measured at fair value with any changes in fair value recognized in net income. The update also eliminates the requirement to disclose the methods and significant assumptions used to estimate the fair value of financial instruments measured at amortized cost. In addition, the Company will have to use the exit price notion when measuring the fair value of financial instruments measured at amortized cost for disclosure purposes. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption for certain provisions of the update is allowed. Any adjustment as a result of the adoption of this standard will be recorded as a cumulative-effect adjustment to beginning retained earnings as of the first period in which the guidance is adopted. The Company did not elect to early adopt the provisions of this update and is currently evaluating what impact this update will have on the consolidated financial statements. Consolidations (Subtopic 810) In February 2015, the FASB issued ASU No. 2015-02, Amendments to the Consolidation Analysis. This update affects the following areas of the consolidation analysis: limited partnerships and similar entities, evaluation of fees paid to a decision maker or service provider as a variable interest and in determination of the primary beneficiary, effect of related parties on the primary beneficiary determination and for certain investment funds. The guidance in the ASU is effective for the Company as of January 1, 2016. The Company has adopted this guidance as of January 1, 2016. The guidance in this ASU did not change the consolidation conclusion for any of our interests in VIEs and, therefore, did not impact the consolidated financial statements. Interest—Imputation of Interest (Subtopic 835-30) In April 2015, the FASB issued ASU No. 2015-03, Simplifying the Presentation of Debt Issue Costs. This update changes the presentation of debt issuance costs in financial statements. Under the ASU, an entity presents such costs in the balance sheet as a direct deduction from the related debt liability rather than as an asset. Amortization of the costs is reported as interest expense. The Company adopted this guidance as of January 1, 2016. As the unamortized debt issuance costs are not significant, the guidance in this ASU did not have a significant impact on the consolidated financial statements. Presentation of Financial Statements—Going Concern (Subtopic 205-40) In August 2014, the FASB issued ASU No. 2014-15, Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern. This update provides guidance on determining when and how to disclose going-concern uncertainties in the financial statements. The new standard requires the Company to perform interim and annual assessments of its ability to continue as a going concern within one year of the date the financial statements are issued. The Company must provide certain disclosures if conditions or events raise substantial doubt about its ability to continue as a going concern. The company has adopted this guidance as of January 1, 2016. The Company has performed an annual assessment of its ability to continue as a going concern and concluded no additional disclosures are required. |
Mortgage-Backed Securities |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-Backed Securities | Mortgage-Backed Securities The Company classifies its Non-Agency RMBS as senior, senior IO, subordinated, or subordinated IO. The Company also invests in residential and commercial Agency MBS. Senior interests in Non-Agency RMBS are considered to be entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date.
The table below presents changes in accretable yield, or the excess of the security’s cash flows expected to be collected over the Company’s investment, solely as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30.
The table below presents the outstanding principal balance and related amortized cost at December 31, 2016 and December 31, 2015 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30.
The following tables present the gross unrealized losses and estimated fair value of the Company’s RMBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2016 and December 31, 2015. All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d).
At December 31, 2016, the Company did not intend to sell any of its RMBS that were in an unrealized loss position, and it was not more likely than not that the Company would be required to sell these RMBS before recovery of their amortized cost basis, which may be at their maturity. With respect to RMBS held by consolidated VIEs, the ability of any entity to cause the sale by the VIE prior to the maturity of these RMBS is either expressly prohibited, not probable, or is limited to specified events of default, none of which have occurred as of December 31, 2016. Gross unrealized losses on the Company’s Agency residential and commercial MBS were $100 million and $60 million as of December 31, 2016 and December 31, 2015, respectively. Given the inherent credit quality of Agency MBS, the Company does not consider any of the current impairments on its Agency MBS to be credit related. In evaluating whether it is more likely than not that it will be required to sell any impaired security before its anticipated recovery, which may be at their maturity, the Company considers the significance of each investment, the amount of impairment, the projected future performance of such impaired securities, as well as the Company’s current and anticipated leverage capacity and liquidity position. Based on these analyses, the Company determined that at December 31, 2016 and December 31, 2015, unrealized losses on its Agency MBS were temporary. Gross unrealized losses on the Company’s Non-Agency RMBS (excluding Non-Agency IO MBS strips which are reported at fair value with changes in fair value recorded in earnings) were $1 million and $16 million at December 31, 2016 and December 31, 2015, respectively. Based upon the most recent evaluation, the Company does not consider these unrealized losses to be indicative of OTTI and does not believe that these unrealized losses are credit related, but rather are due to other factors. The Company has reviewed its Non-Agency RMBS that are in an unrealized loss position to identify those securities with losses that are other-than-temporary based on an assessment of changes in cash flows expected to be collected for such RMBS, which considers recent bond performance and expected future performance of the underlying collateral. A summary of the OTTI included in earnings for the years ended December 31, 2016, 2015 and 2014 is presented below.
The following table presents a roll forward of the credit loss component of OTTI on the Company’s Non-Agency RMBS for which a portion of loss was previously recognized in OCI. The table delineates between those securities that are recognizing OTTI for the first time as opposed to those that have previously recognized OTTI.
Cash flows generated to determine net other-than-temporary credit impairment losses recognized in earnings are estimated using significant unobservable inputs. The significant inputs used to measure the component of OTTI recognized in earnings for the Company’s Non-Agency RMBS are summarized as follows:
(1) Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures. The following tables present a summary of unrealized gains and losses at December 31, 2016 and December 31, 2015. IO MBS included in the tables below represent the right to receive a specified portion of the contractual interest cash flows of the underlying principal balance of specific securities. At December 31, 2016, IO MBS had a net unrealized loss of $48 million and had an amortized cost of $458 million. At December 31, 2015, IO MBS had a net unrealized loss of $45 million and had an amortized cost of $564 million. The fair value of IOs at December 31, 2016 and December 31, 2015 was $410 million and $519 million, respectively. All changes in fair value of IOs are reflected in Net Income in the Consolidated Statements of Operations.
Changes in prepayments, actual cash flows, and cash flows expected to be collected, among other items, are affected by the collateral characteristics of each asset class. The Company chooses assets for the portfolio after carefully evaluating each investment’s risk profile. The following tables provide a summary of the Company’s RMBS portfolio at December 31, 2016 and December 31, 2015.
(1) Bond Equivalent Yield at period end.
(1) Bond Equivalent Yield at period end. The following table presents the weighted average credit rating, based on the lowest rating available, of the Company’s Non-Agency RMBS portfolio at December 31, 2016 and December 31, 2015.
Actual maturities of MBS are generally shorter than the stated contractual maturities. Actual maturities of the Company’s MBS are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at December 31, 2016 and December 31, 2015 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using an industry prepayment model for the Agency MBS portfolio and the Company’s prepayment assumptions for the Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility.
The Non-Agency RMBS portfolio is subject to credit risk. The Company seeks to mitigate credit risk through its asset selection process. The Non-Agency RMBS portfolio is primarily collateralized by what the Company classifies as Alt-A first lien mortgages. An Alt-A mortgage is a type of U.S. mortgage that, for various reasons, is considered riskier than A-paper, or prime, and less risky than subprime, the riskiest category. Alt-A interest rates, which are determined by credit risk, therefore tend to be between those of prime and subprime home loans. Typically, Alt-A mortgages are characterized by borrowers with less than full documentation, lower credit scores and higher loan-to-value ratios. The Company defines Alt-A mortgage securities as Non-Agency RMBS where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) the FICO scores are greater than 720 and RMBS have 30% or less of the underlying collateral composed of full documentation loans. At December 31, 2016 and December 31, 2015, 68% and 64% of the Non-Agency RMBS collateral was classified as Alt-A, respectively. At December 31, 2016 and December 31, 2015, 14% and 17% of the Non-Agency RMBS collateral was classified as prime, respectively. The remaining Non-Agency RMBS collateral is classified as subprime. The Non-Agency RMBS in the Portfolio have the following collateral characteristics at December 31, 2016 and December 31, 2015.
(1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at December 31, 2016 and December 31, 2015.
Gross realized gains and losses are recorded in “Net realized gains (losses) on sales of investments” on the Company’s Consolidated Statements of Operations. The proceeds and gross realized gains and gross realized losses from sales of investments for the years ended December 31, 2016, 2015, and 2014 are as follows:
Included in the gross realized gains for the year ended December 31, 2016 in the table above are exchanges of securities with a fair value of $65 million, the Company exchanged its investment in a re-remic security for the underlying collateral supporting the group related to the exchanged asset. These exchanges were treated as non-cash sales and purchases and resulted in a realized gain of $13 million reflected in earnings for the year ended December 31, 2016. For the year ended December 31, 2015, the fair value of these exchanges of securities was $95 million and resulted in a realized gain of $24 million. For the year ended December 31, 2014, the fair value of these exchanges of securities was $89 million and resulted in a realized gain of $23 million. |
Securitized Loans Held for Investment |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securitized Loans Held for Investment | Securitized Loans Held for Investment The Securitized loans held for investment is comprised of two portfolios. The first portfolio is primarily comprised of loans collateralized by non-conforming, single family, owner occupied, jumbo, prime residential mortgages. The second portfolio is comprised primarily of loans collateralized by seasoned subprime residential mortgages. At December 31, 2016, all securitized loans held for investment are carried at fair value. See Note 5 for a discussion on how the Company determines the fair values of the securitized loans held for investment. As changes in the fair value of these securitized loans are reflected in earnings, the Company does not estimate or record a loan loss provision. The following table provides a summary of the changes in the carrying value of securitized loans held for investment at fair value at December 31, 2016 and December 31, 2015:
The primary cause of the change in fair value is due to changes in credit risk of the portfolio. Jumbo prime residential mortgage loans The securitized loan portfolio collateralized by jumbo prime residential mortgages was originated during the following years:
A summary of key characteristics of the loan portfolio collateralized primarily of non-conforming, single family, owner occupied, jumbo, prime mortgages follows:
(1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. The following table summarizes the outstanding principal balance of the jumbo prime loans which are 30 days delinquent and greater as reported by the servicer at December 31, 2016 and December 31, 2015.
The fair value of the jumbo prime residential mortgage loans 90 days or more past due is $2 million as of December 31, 2016. Seasoned subprime residential mortgage loans The securitized loan portfolio collateralized by seasoned subprime residential mortgages originated during the following years:
A summary of key characteristics of the loan portfolio collateralized by seasoned subprime residential mortgages follows:
(1) As provided by the Trustee The following table summarizes the outstanding principal balance of the loan portfolio consisting of seasoned subprime residential mortgage loans which are 30 days delinquent and greater as reported by the servicer at December 31, 2016 and December 31, 2015.
The fair value of seasoned subprime residential mortgage loans 90 days or more past due is $447 million as of December 31, 2016.
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Fair Value Measurements |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Measurements | Fair Value Measurements The Company applies fair value guidance in accordance with GAAP to account for its financial instruments. The Company categorizes its financial instruments, based on the priority of the inputs to the valuation technique, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. Financial assets and liabilities recorded at fair value on the Consolidated Statements of Financial Condition or disclosed in the related notes are categorized based on the inputs to the valuation techniques as follows: Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets and liabilities in active markets. Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. Level 3 – inputs to the valuation methodology are unobservable and significant to fair value. Fair value measurements categorized within Level 3 are sensitive to changes in the assumptions or methodology used to determine fair value and such changes could result in a significant increase or decrease in the fair value. Any changes to the valuation methodology are reviewed by management to ensure the changes are appropriate. As markets and products evolve and the pricing for certain products becomes more transparent, the Company will continue to refine its valuation methodologies. The methodology utilized by the Company for the periods presented is unchanged. The methods used to produce a fair value calculation may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Company believes its valuation methods are appropriate and consistent with other market participants. Using different methodologies, or assumptions, to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. The Company uses inputs that are current as of the measurement date, which may include periods of market dislocation, during which price transparency may be reduced. During times of market dislocation, the observability of prices and inputs can be difficult for certain investments. If third party pricing services are unable to provide a price for an asset, or if the price provided by them is deemed unreliable by the Company, then the asset will be valued at its fair value as determined by the Company without validation to third-party pricing. Illiquid investments typically experience greater price volatility as an active market does not exist. Observability of prices and inputs can vary significantly from period to period and may cause instruments to change classifications within the three level hierarchy. A description of the methodologies utilized by the Company to estimate the fair value of its financial instruments by instrument class follows: Agency MBS and Non-Agency RMBS The Company determines the fair value of all of its investment securities based on discounted cash flows utilizing an internal pricing model that incorporates factors such as coupon, prepayment speeds, loan size, collateral composition, borrower characteristics, expected interest rates, life caps, periodic caps, reset dates, collateral seasoning, delinquency, expected losses, expected default severity, credit enhancement, and other pertinent factors. To corroborate that the estimates of fair values generated by these internal models are reflective of current market prices, the Company compares the fair values generated by the model to non-binding independent prices provided by two independent third party pricing services. For certain highly liquid asset classes, such as Agency fixed-rate pass-through bonds, the Company’s valuations are also compared to quoted prices for To-Be-Announced (“TBA”) securities. Each quarter the Company develops thresholds which are determined utilizing current bid/ask spreads, liquidity, price volatility and other factors as appropriate. If internally developed model prices differ from the independent prices provided by greater than a market derived predetermined threshold for the period, the Company highlights these differences for further review, both internally and with the third party pricing service. The Company obtains the inputs used by the third party pricing services and compares them to the Company’s inputs. The Company updates its own inputs if the Company determines the third party pricing inputs more accurately reflect the current market environment. If the Company believes that its internally developed inputs more accurately reflect the current market environment, it will request that the third party pricing service review market factors that may not have been considered by the third party pricing service and provide updated prices. The Company reconciles and resolves all pricing differences in excess of the predetermined thresholds before a final price is established. At December 31, 2016, ten investment holdings with an internally developed fair value of $123 million had a difference between the model generated prices and third party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $16 million higher than the third party prices provided of $107 million. After review and discussion, the Company affirmed and valued the investments at the lower internally developed prices. No other differences were noted at December 31, 2016 in excess of the derived predetermined threshold for the period. At December 31, 2015, two investment holdings with an internally developed fair value of $10 million had a difference between the model generated prices and third party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $1 million lower than the third party prices provided of $11 million. The Company’s estimate of prepayment, default and severity curves all involve judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting Non-Agency RMBS fair value estimates Level 3 inputs in the fair value hierarchy. As the fair values of Agency MBS are more observable, these investments are classified as level 2 in the fair value hierarchy. Securitized Loans Held for Investment Securitized loans consisting of seasoned subprime residential mortgage loans: The Company estimates the fair value of its securitized loans held for investment consisting of seasoned subprime residential mortgage loans on a loan by loan basis using an internally developed model which compares the loan held by the Company with a loan currently offered in the market. The loan price is adjusted in the model by considering the loan factors which would impact the value of a loan. These loan factors include: loan coupon as compared to coupon currently available in the market, FICO, loan-to-value ratios, delinquency history, owner occupancy, and property type, among other factors. A baseline is developed for each significant loan factor and adjusts the price up or down depending on how that factor for each specific loan compares to the baseline rate. Generally, the most significant impact on loan value is the loan interest rate as compared to interest rates currently available in the market and delinquency history. These two factors are based on relevant observable inputs. The Company also monitors market activity to identify trades which may be used to compare internally developed prices; however, as the portfolio of loans held at fair value is a seasoned subprime pool of mortgage loans, comparable loan pools are not common or directly comparable. There are limited transactions in the market place to develop a comprehensive direct range of values. However, if market data becomes available, the Company will compare this data to the internally developed prices to ensure reasonableness of the valuation. The Company reviews the fair values generated by the model to determine whether prices are reflective of the current market by corroborating its estimates of fair value by comparing the results to non-binding independent prices provided by two independent third party pricing services for the loan portfolio. Each quarter the Company develops thresholds which are determined utilizing a senior securitization market for a similar pool of loans. If the internally developed fair values of the loan pools differ from the independent prices provided by greater than a predetermined threshold for the period, the Company highlights these differences for further review, both internally and with the third party pricing service. The Company obtains certain inputs used by the third party pricing services and evaluates them for reasonableness. The Company updates its own model if the Company determines the third party pricing inputs more accurately reflect the current market environment or observed information from the third party vendors. If the Company believes that its internally developed inputs more accurately reflect the current market environment, it will request that the third party pricing service review market factors that may not have been considered by the third party pricing service. The Company reconciles and resolves all pricing differences in excess of the predetermined thresholds before a final price is established. At December 31, 2016, the internally developed fair values of loan pools of $1.60 billion had a difference between the model generated prices and third party prices provided in excess of the derived predetermined threshold for the period. The internally developed prices were $50 million higher than the third party prices provided of $1.55 billion. After review and discussion, the Company affirmed and valued the investments at the higher internally developed prices. No other differences were noted at December 31, 2016 in excess of the derived predetermined threshold for the period. The Company’s estimates of fair value of securitized loans held for investment involve management judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates level 3 inputs in the fair value hierarchy. Securitized loans collateralized by jumbo, prime residential mortgages: The securitized loans collateralized by jumbo, prime residential mortgages are carried at fair value. The securitized loans are held as part of a consolidated Collateralized Financing Entity (“CFE”). A CFE is a variable interest entity that holds financial assets, issues beneficial interests in those assets and has no more than nominal equity and the beneficial interests have contractual recourse only to the related assets of the CFE. Accounting guidance for CFEs allow the Company to elect to measure the CFE’s financial assets using the fair value of the CFE’s financial liabilities as the fair values of the financial liabilities of the CFE are more observable. Therefore, the fair value of the securitized loans collateralized by jumbo, prime residential mortgages is based on the fair value of the securitized debt. See discussion of the fair value of Securitized Debt, collateralized by Loans Held for Investment at fair value below. As the more observable Securitized debt, collateralized by loans held for investment are considered level 3 in the fair value hierarchy, the Securitized loans collateralized by jumbo, prime residential mortgages are also level 3 in the fair value hierarchy. Securitized Debt, collateralized by Non-Agency RMBS The Company carries securitized debt, collateralized by Non-Agency RMBS at the principal balance outstanding plus unamortized premiums, less unaccreted discounts recorded in connection with the financing of the loans or RMBS with third parties. The Company estimates the fair value of securitized debt, collateralized by Non-Agency RMBS by estimating the future cash flows associated with the underlying assets collateralizing the secured debt outstanding. The Company models the fair value of each underlying asset by considering, among other items, the structure of the underlying security, coupon, servicer, delinquency, actual and expected defaults, actual and expected default severities, reset indices, and prepayment speeds in conjunction with market research for similar collateral performance and management’s expectations of general economic conditions in the sector and other economic factors. This process, including the review process, is consistent with the process used for Agency MBS and Non-Agency RMBS using internal models. For further discussion of the valuation process and benchmarking process, see Agency MBS and Non-Agency RMBS discussion herein. The Company’s estimates of fair value of securitized debt, collateralized by Non-Agency RMBS involve management’s judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates level 3 inputs in the fair value hierarchy. Securitized Debt, collateralized by Loans Held for Investment The Company determines the fair value of securitized debt, collateralized by loans held for investment based on discounted cash flows utilizing an internal pricing model that incorporates factors such as coupon, prepayment speeds, loan size, collateral composition, borrower characteristics, expected interest rates, life caps, periodic caps, reset dates, collateral seasoning, expected losses, expected default severity, credit enhancement, and other pertinent factors. This process, including the review process, is consistent with the process used for Agency MBS and Non-Agency RMBS using internal models. For further discussion of the valuation process and benchmarking process, see Agency MBS and Non-Agency RMBS discussion herein. The Company’s estimates of fair value of securitized debt, collateralized by loans held for investment involve management’s judgment and assumptions that are deemed to be significant to the fair value measurement process, which renders the resulting fair value estimates level 3 inputs in the fair value hierarchy. Derivatives Interest Rate Swaps and Swaptions The Company uses clearing exchange market prices to determine the fair value of its exchange cleared interest rate swaps. For bi-lateral swaps, the Company determines the fair value based on the net present value of expected future cash flows on the swap. The Company uses option pricing model to determine the fair value of its swaptions. For bi-lateral swaps and swaptions, the Company compares its own estimate of fair value with counterparty prices to evaluate for reasonableness. Both the clearing exchange and counter-party pricing quotes, incorporate common market pricing methods, including a spread measurement to the Treasury yield curve or interest rate swap curve as well as underlying characteristics of the particular contract. Interest rate swaps and swaptions are modeled by the Company by incorporating such factors as the term to maturity, swap curve, overnight index swap rates, and the payment rates on the fixed portion of the interest rate swaps. The Company has classified the characteristics used to determine the fair value of interest rate swaps as Level 2 inputs in the fair value hierarchy. Treasury Futures The fair value of Treasury futures is determined by quoted market prices for similar financial instruments in an active market. The Company has classified the characteristics used to determine the fair value of Treasury futures as Level 1 inputs in the fair value hierarchy. Mortgage Options Mortgage options are valued using an option pricing model which considers the strike price of the option, the price of the underlying security, settle date, a discount rate and the implied volatility. The implied volatility is determined from the daily price of the underlying security as well as prices on similar financial instruments. The Company has classified the characteristics used to determine the fair value of mortgage options as Level 3 inputs in the fair value hierarchy. Repurchase Agreements Repurchase agreements are collateralized financing transactions utilized by the Company to acquire investment securities. Due to the short term nature of these financial instruments, the Company estimates the fair value of these repurchase agreements using the contractual obligation plus accrued interest payable. Short-term Financial Instruments The carrying value of cash and cash equivalents, accrued interest receivable, receivable for securities sold, dividends payable, payable for securities purchased and accrued interest payable are considered to be a reasonable estimate of fair value due to the short term nature and low credit risk of these short-term financial instruments. The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at December 31, 2016 and December 31, 2015 is presented below.
The table below provides a summary of the changes in the fair value of securities classified as Level 3 at December 31, 2016 and December 31, 2015.
(1) includes securitized loans held for investment of $607 million for which the fair value option election was made beginning January 1, 2015. There were no transfers to or from Level 3 for the years ended December 31, 2016 and the year ended December 31, 2015. The primary cause of the changes in fair value of the securitized loans and the securitized debt are due to changes in credit risk of the portfolio. Sensitivity of Significant Inputs – Non-Agency RMBS and securitized debt, collateralized by loans held for investment The significant unobservable inputs used in the fair value measurement of the Company’s Non-Agency RMBS and securitized debt are the weighted average discount rates, constant prepayment speed (“CPR”), cumulative default rate, and the loss severity. Prepayment speeds, as reflected by the CPR, vary according to interest rates, the type of financial instrument, conditions in financial markets, and other factors, none of which can be predicted with any certainty. In general, when interest rates rise, it is relatively less attractive for borrowers to refinance their mortgage loans, and as a result, prepayment speeds tend to decrease. When interest rates fall, prepayment speeds tend to increase. For RMBS investments purchased at a premium, as prepayment speeds increase, the amount of income the Company earns decreases as the purchase premium on the bonds amortizes faster than expected. Conversely, decreases in prepayment speeds result in increased income and can extend the period over which the Company amortizes the purchase premium. For RMBS investments purchased at a discount, as prepayment speeds increase, the amount of income the Company earns increases from the acceleration of the accretion of the discount into interest income. Conversely, decreases in prepayment speeds result in decreased income as the accretion of the purchase discount into interest income occurs over a longer period. Constant Prepayment Rates For securitized debt carried at fair value issued at a premium, as prepayment speeds increase, the amount of interest expense the Company recognizes decreases as the issued premium on the debt amortizes faster than expected. Conversely, decreases in prepayment speeds result in increased expense and can extend the period over which the Company amortizes the premium. For debt issued at a discount, as prepayment speeds increase, the amount of interest the Company expenses increases from the acceleration of the accretion of the discount into interest expense. Conversely, decreases in prepayment speeds result in decreased expense as the accretion of the discount into interest expense occurs over a longer period. Constant Default Rates Cumulative default rates represent an annualized rate of default on a group of mortgages. The constant default rate (“CDR”) represents the percentage of outstanding principal balances in the pool that are in default, which typically equates to the home being past 60-day and 90-day notices and in the foreclosure process. When default rates increase, expected cash flows on the underlying collateral decreases. When default rates decrease, expected cash flows on the underlying collateral increases. Loss Severity Loss severity rates reflect the amount of loss expected from a foreclosure and liquidation of the underlying collateral in the mortgage loan pool. When a mortgage loan is foreclosed the collateral is sold and the resulting proceeds are used to settle the outstanding obligation. In many circumstances, the proceeds from the sale do not fully repay the outstanding obligation. In these cases, a loss is incurred by the lender. Loss severity is used to predict how costly future losses are likely to be. An increase in loss severity results in a decrease in expected future cash flows. A decrease in loss severity results in an increase in expected future cash flows. Discount Rate The discount rate refers to the interest rate used in the discounted cash flow analysis to determine the present value of future cash flows. The discount rate takes into account not just the time value of money, but also the risk or uncertainty of future cash flows. An increased uncertainty of future cash flows results in a higher discount rate. The discount rate used to calculate the present value of the expected future cash flows is based on the discount rate implicit in the security as of the last measurement date. As discount rates move up, the discounted cash flows are reduced. A summary of the significant inputs used to estimate the fair value of Non-Agency RMBS held for investment at fair value as of December 31, 2016 and December 31, 2015 follows:
A summary of the significant inputs used to estimate the fair value of securitized debt at fair value as of December 31, 2016 and December 31, 2015 follows:
All of the significant inputs listed have some degree of market observability, based on the Company’s knowledge of the market, information available to market participants, and use of common market data sources. Collateral default and loss severity projections are in the form of “curves” that are updated quarterly to reflect the Company’s collateral cash flow projections. Methods used to develop these projections conform to industry conventions. The Company uses assumptions it considers its best estimate of future cash flows for each security. Constant Prepayment Rates The prepayment speed specifies the percentage of the collateral balance that is expected to prepay at each point in the future. The prepayment speed is based on factors such as collateral FICO score, loan-to-value ratio, debt-to-income ratio, and vintage on a loan level basis and is scaled up or down to reflect recent collateral-specific prepayment experience as obtained from remittance reports and market data services. Constant Default Rates Default vectors are determined from the current “pipeline” of loans that are more than 30 days delinquent, in foreclosure, bankruptcy, or are REO. These delinquent loans determine the first 30 months of the default curve. Beyond month 30, the default curve transitions to a value that is reflective of a portion of the current delinquency pipeline. Loss Severity The curve generated to reflect the Company’s expected loss severity is based on collateral-specific experience with consideration given to other mitigating collateral characteristics. Characteristics such as seasoning are taken into consideration because severities tend to initially increase on newly originated securities, before beginning to decline as the collateral ages and eventually stabilize. Collateral characteristics such as loan size, loan-to-value, and geographic location of collateral also effect loss severity. Discount Rate The discount rates applied to the expected cash flows to determine fair value are derived from a range of observable prices on securities backed by similar collateral. As the market becomes more or less liquid, the availability of these observable inputs will change. Sensitivity of Significant Inputs – Securitized loans held for investment The significant unobservable inputs used to estimate the fair value of the securitized loans held for investment collateralized by seasoned subprime residential mortgage loans, as of December 31, 2016 and December 31, 2015 include coupon, FICO score at origination, loan-to-value ratios (LTV), owner occupancy status, and property type. A summary of the significant inputs used to estimate the fair value of Securitized loans held for investment at fair value as of December 31, 2016 and December 31, 2015 follows:
The loan factors are generally not observable for the individual loans and the base rates developed by the Company’s internal model are subjective and change as market conditions change. The impact of the loan coupon on the value of the loan is dependent on whether the loan is clean or reperforming. A clean loan, with no history of delinquent payments and a relatively high loan interest rate would result in a higher overall value than a reperforming loan which has a history of delinquency. Similarly, a higher FICO score and a lower LTV ratio results in increases in the fair market value of the loan and a lower FICO score and a higher LTV ratio results in a lower value. Property types also affect the overall loan values. Property types include single family, manufactured housing and multi-family/mixed use and other types of properties. Single family homes represent properties which house only one family unit. Manufactured homes include mobile homes and modular homes. Loan value for properties that are investor or secondary homes have a reduced value as compared to the baseline loan value. Additionally, single family homes will result in an increase to the loan value where manufactured and multi-family/mixed use and other properties will result in a decrease to the loan value, as compared to the baseline. Financial instruments not carried at fair value The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at December 31, 2016 and December 31, 2015.
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Repurchase Agreements |
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Banking and Thrift [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Repurchase Agreements | Repurchase Agreements The interest rates of the Company’s repurchase agreements are generally indexed to the one-month, three-month and twelve-month LIBOR rates and re-price accordingly. The repurchase agreements outstanding, weighted average borrowing rates, weighted average remaining maturities, average daily balances and the fair value of collateral pledged as of December 31, 2016 and December 31, 2015 is:
At December 31, 2016 and December 31, 2015, the repurchase agreements collateralized by RMBS had the following remaining maturities.
At December 31, 2016, the Company had an amount at risk with Nomura Securities Company Limited of 10% of its equity related to the collateral posted on repurchase agreements, the weighted average maturity of the repurchase agreements with Nomura Securities Company Limited was 104 days and the amount at risk was $320 million. As of December 31, 2015, the Company had an amount at risk with Credit Suisse First Boston of 10%, the weighted average maturity of the repurchase agreements with Credit Suisse First Boston was 25 days and the amount at risk was $303 million. There were no other amounts at risk with any other counterparties greater than 10% of the Company’s equity as of December 31, 2016 and December 31, 2015. |
Securitized Debt |
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Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securitized Debt | Securitized Debt All of the Company’s securitized debt is collateralized by residential mortgage loans or Non-Agency RMBS. For financial reporting purposes, the Company’s securitized debt is accounted for as secured borrowings. Thus, the residential mortgage loans or RMBS held as collateral are recorded in the assets of the Company as securitized loans held for investment or Non-Agency RMBS and the securitized debt is recorded as a non-recourse liability in the accompanying Consolidated Statements of Financial Condition. Securitized Debt Collateralized by Non-Agency RMBS At December 31, 2016 and December 31, 2015 the Company’s securitized debt collateralized by Non-Agency RMBS is carried at amortized cost and had a principal balance of $350 million and $545 million, respectively. At December 31, 2016 and December 31, 2015, the debt carried a weighted average cost of financing equal to 5.21% and 4.49%, respectively. The debt matures between the years 2035 and 2047. None of the Company’s securitized debt collateralized by Non-Agency RMBS is callable. During the year ended December 31, 2016, the Company acquired securitized debt collateralized by Non-Agency RMBS with an amortized cost balance of $10 million for $11 million. These transactions resulted in a net loss on the extinguishment of debt of $355 thousand. This loss is reflected in earnings for the year ended December 31, 2016. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at December 31, 2016 and December 31, 2015, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company.
Maturities of the Company’s securitized debt collateralized by Non-Agency RMBS are dependent upon cash flows received from the underlying loans. The estimate of their repayment is based on scheduled principal payments on the underlying loans. This estimate will differ from actual amounts to the extent prepayments or loan losses are experienced. See Notes 3 for a more detailed discussion of the securities collateralizing the securitized debt. Securitized Debt Collateralized by Loans Held for Investment At December 31, 2016 and December 31, 2015 the Company’s securitized debt collateralized by loans held for investment had a principal balance of $7.1 billion and $3.8 billion, respectively. During the year ended December 31, 2016 and 2015, the company recognized a loss of $90 million and $39 million, respectively, on the securitized debt carried at fair value in Net unrealized gains (losses) on financial instruments at fair value. At December 31, 2016 and December 31, 2015 the total securitized debt collateralized by loans held for investment carried a weighted average cost of financing equal to 3.99% and 3.24% respectively. The debt matures between the years 2021 and 2065. During the year ended December 31, 2016, the Company acquired securitized debt collateralized by loans with an amortized cost balance of $609 million for $609 million. These transactions resulted in a net loss on the extinguishment of debt of $122 thousand. This loss is reflected in earnings for the year ended December 31, 2016. During the year ended December 31, 2015, the Company acquired securitized debt collateralized by loans with an outstanding principal balance of $1.4 billion for $1.4 billion. This transaction resulted in a net loss on the extinguishment of debt of $6 million. This loss is reflected in earnings for the year ended December 31, 2015. The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at December 31, 2016 and December 31, 2015, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company.
Maturities of the Company’s securitized debt collateralized by loans held for investment are dependent upon cash flows received from the underlying loans. The estimate of their repayment is based on scheduled principal payments on the underlying loans. This estimate will differ from actual amounts to the extent prepayments or loan losses are experienced. See Note 4 for a more detailed discussion of the loans collateralizing the securitized debt. Certain of the securitized debt collateralized by loans held for investment contain call provisions and are callable at par, at the option of the Company. The following table presents the par value of the callable debt by year at December 31, 2016.
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Consolidated Securitization Vehicles and Other Variable Interest Entities |
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Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consolidated Securitization Vehicles and Other Variable Interest Entities | Consolidated Securitization Vehicles and Other Variable Interest Entities Since its inception, the Company has utilized VIEs for the purpose of securitizing whole mortgage loans or re-securitizing RMBS and obtaining long-term, non-recourse financing. The Company evaluated its interest in each VIE to determine if it is the primary beneficiary. As of December 31, 2016, the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $10.8 billion and liabilities with a carrying value of $7.3 billion. As of December 31, 2015, the Company’s Consolidated Statement of Financial Condition includes assets of consolidated VIEs with a carrying value of $7.0 billion of and liabilities with a carrying value of $4.3 billion. During the year ended December 31, 2016, the Company acquired approximately $5.2 billion unpaid principal balance of seasoned residential subprime mortgage loans. The Company sold these loans to multiple real estate mortgage investment conduit trusts (the “Trusts”). The Company purchased certain subordinate notes and trust certificates of the Trusts. The Company evaluated the Trusts and determined that the total equity investment at risk is not sufficient to permit these trusts to finance its activities without additional subordinated financial support provided by another party. Therefore, the Company concluded that the Trusts were VIEs. The Company further determined that their interests in the Trusts gave the Company the power to direct the activity of these VIEs that most significantly impacted the Company's economic performance of the VIEs. As the Company concluded that it was the primary beneficiary of the Trusts, the Company consolidated the assets and liabilities of the Trusts. All intercompany balances and transactions are eliminated in consolidation. The consolidation of these Trusts resulted in the addition of the following amounts, net of eliminations, at the time of acquisition.
(1) After the elimination of intercompany balances. As sponsor of the Trusts, the Company has retained an eligible horizontal retained interest consisting of the Class B and Class C notes in the Trusts in order to satisfy the U.S. risk retention rules (the “Required Credit Risk”). The U.S. risk retention rules impose limitations on the ability of the Company to dispose of or hedge the Required Credit Risk until the later of (i) the fifth anniversary of the closing date of the securitization transactions (the “Closing Date”) and (ii) the date on which the aggregate unpaid principal balance of the mortgage loans has been reduced to 25% of the aggregate unpaid principal balance of the mortgage loans as of the Closing Date, but in any event no longer than the seventh anniversary of the Closing Date. These investments have been eliminated in consolidation of the Trusts as of December 31, 2016. VIEs for Which the Company is the Primary Beneficiary The retained beneficial interests in VIEs for which the Company is the primary beneficiary are typically the subordinated tranches of these re-securitizations and in some cases the Company may hold interests in additional tranches. The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of December 31, 2016 and December 31, 2015.
Income and expense and OTTI amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the table below.
VIEs for Which the Company is Not the Primary Beneficiary The Company is not required to consolidate VIEs in which it has concluded it does not have a controlling financial interest, and thus is not the primary beneficiary. In such cases, the Company does not have both the power to direct the entities’ most significant activities and the obligation to absorb losses or right to receive benefits that could potentially be significant to the VIEs. The Company’s investments in these unconsolidated VIEs are carried in Non-Agency RMBS on the Consolidated Statements of Financial Condition and include senior and subordinated bonds issued by the VIEs. The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 2016, ranged from less than $1 million to $51 million, with an aggregate amount of $1.5 billion. The fair value of the Company’s investments in each unconsolidated VIEs at December 31, 2015, ranged from less than $1 million to $54 million, with an aggregate amount of $1.5 billion. The Company’s maximum exposure to loss from these unconsolidated VIEs was $1.4 billion and $1.5 billion at December 31, 2016 and December 31, 2015, respectively. The maximum exposure to loss was determined as the amortized cost of the unconsolidated VIE, which represents the purchase price of the investment adjusted by any unamortized premiums or discounts as of the reporting date. |
Derivative Instruments |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments | Derivative Instruments In connection with the Company’s interest rate risk management strategy, the Company economically hedges a portion of its interest rate risk by entering into derivative financial instrument contracts in the form of interest rate swaps, swaptions, and Treasury futures. The Company’s swaps are used to lock in a fixed rate related to a portion of its current and anticipated payments on its repurchase agreements. The Company typically agrees to pay a fixed rate of interest (“pay rate”) in exchange for the right to receive a floating rate of interest (“receive rate”) over a specified period of time. Treasury futures are derivatives which track the prices of specific Treasury securities and are traded on an active exchange. It is generally the Company’s policy to close out any Treasury futures positions prior to taking delivery of the underlying security. The Company uses Treasury futures to lock in a fixed rate related to a portion of its current and anticipated payments on its repurchase agreements. In addition to interest rate swaps, from time to time the Company purchases and sells mortgage options. Mortgage options give the Company the right, but not the obligation, to buy or sell mortgage backed securities at a future date for a fixed price. The Company uses mortgage options to lock in prices on the purchase or sale of Agency MBS and to enhance investment returns. The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized if the counterparties to these instruments fail to perform their obligations under the contracts. In the event of a default by the counterparty, the Company could have difficulty obtaining its RMBS or cash pledged as collateral for these derivative instruments. The Company periodically monitors the credit profiles of its counterparties to determine if it is exposed to counterparty credit risk. See Note 14 for further discussion of counterparty credit risk. The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of December 31, 2016 and December 31, 2015.
The effect of the Company’s derivatives on the Consolidated Statements of Operations is presented below.
(1) Includes loss on termination of interest rate swap of $61 million and $99 million for the years ended December 31, 2016 and 2015, respectively. The Company paid $(61) million to terminate interest rate swaps with a notional value of $3.3 billion during the year ended December 31, 2016. The terminated swaps had original maturities ranging from 2017 to 2034. The Company paid $99 million million to terminate interest rate swaps with a notional value of $1.2 billion during the year ended December 30, 2015. The terminated swaps had original maturities ranging from 2019 to 2044. These amounts represented the fair value of the terminated interest rate swaps, not counting any accrued interest at the time of settlement. The weighted average pay rate on the Company’s interest rate swaps at December 31, 2016 was 2.13% and the weighted average receive rate was 0.90%. The weighted average pay rate on the Company’s interest rate swaps at December 31, 2015 was 1.51% and the weighted average receive rate was 0.36%. The weighted average maturity on the Company’s interest rate swaps at December 31, 2016, 2015, and 2014 is 8 years, 4 years, and 6 years, respectively. Certain of the Company’s derivative contracts are subject to International Swaps and Derivatives Association Master Agreements or other similar agreements which may contain provisions that grant counterparties certain rights with respect to the applicable agreement upon the occurrence of certain events such as (i) a decline in stockholders’ equity in excess of specified thresholds or dollar amounts over set periods of time, (ii) the Company’s failure to maintain its REIT status, (iii) the Company’s failure to comply with limits on the amount of leverage, and (iv) the Company’s stock being delisted from the New York Stock Exchange (NYSE). Upon the occurrence of any one of items (i) through (iv), or another default under the agreement, the counterparty to the applicable agreement has a right to terminate the agreement in accordance with its provisions. Certain of the Company’s interest rate swaps are cleared through a registered commodities exchange. Each of the Company’s ISDAs and clearing exchange agreements contains provisions under which the Company is required to fully collateralize its obligations under the interest rate swap agreements if at any point the fair value of the swap represents a liability greater than the minimum transfer amount contained within the agreements. The Company is also required to post initial collateral upon execution of certain of its swap transactions. If the Company breaches any of these provisions, it will be required to settle its obligations under the agreements at their termination values, which approximates fair value. The Company uses clearing exchange market prices to determine the fair value of its interest rate swaps. The aggregate fair value of all derivative instruments with credit-risk-related contingent features that are in a net asset position at December 31, 2016 is approximately $1 million including accrued interest, which represents the maximum amount the Company would receive upon termination, which is fully collateralized. |
Capital Stock |
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Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital Stock | Capital Stock Preferred Stock In October 2016, the Company issued 5,800,000 shares of 8.00% Series A Cumulative Redeemable Preferred Stock, par value $0.01 per share (the “Series A Preferred Stock”), at a public offering price of $25.00 per share. The Series A Preferred Stock is redeemable at $25.00 per share plus accrued and unpaid dividends (whether or not authorized or declared) exclusively at the Company’s option commencing in October 30, 2021, subject to the Company’s right, under limited circumstances, to redeem the Series A Preferred Stock prior to that date. The Series A Preferred Stock is entitled to receive, when and as declared, a dividend at a rate of 8.0% per year on the $25.00 liquidation preference before the common stock is paid any dividends and is senior to the common stock with respect to distributions upon liquidation, dissolution or winding up. This transaction was completed in October 2016, pursuant to which the company received proceeds, net of offering costs, of $140 million. The Company declared a dividend to preferred stockholders of $2 million or $0.42 per preferred share in November 2016. Common Stock On August 5, 2015, our Board of Directors adopted a program that authorizes repurchases of our common stock up to $250 million. During the first quarter of 2016, our Board of Directors authorized and increased the share repurchase program by $100 million from $250 million to $350 million. Shares of our common stock may be purchased in the open market, including through block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended. The timing, manner, price and amount of any repurchases will be determined at our discretion and the program may be suspended, terminated or modified at any time for any reason. Among other factors, we intend to only consider repurchasing shares of our common stock when the purchase price is less than our estimate of our current net asset value per common share. Generally, when we repurchase our common stock at a discount to our net asset value, the net asset value of our remaining shares of common stock outstanding increases. In addition, we do not intend to repurchase any shares from directors, officers or other affiliates. The program does not obligate us to acquire any specific number of shares, and all repurchases will be made in accordance with Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of stock repurchases. Pursuant to our share repurchase program, during the third and fourth quarters of 2015, we repurchased approximately 18 million shares of our common stock at an average repurchase price of $13.94 per share for a total of approximately $250 million. The Company did not repurchase any shares during the year ended of December 31, 2016, and has $100 million in its share repurchase program that may be used to repurchase shares in the future. During the year ended December 31, 2016, the Company declared regular dividends to common shareholders totaling $364 million, or $1.94 per share, and a special dividend of $94 million, or $0.50 per share. For the years ended December 31, 2015 and 2014, the Company declared dividends to common shareholders totaling $379 million and $370 million, or $1.92 and $1.80 per share, respectively. Earnings per share for the years ended December 31, 2016, 2015, and 2014 respectively, are computed as follows:
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Accumulated Other Comprehensive Income |
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Accumulated Other Comprehensive Income | Accumulated Other Comprehensive Income The following table presents the changes in the components of Accumulated Other Comprehensive Income (“AOCI”) for the years ended December 31, 2016 and 2015:
The following table presents the details of the reclassifications from AOCI for the year ended December 31, 2016 and 2015:
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Equity Compensation, Employment Agreements and other Benefit Plans |
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Compensation Related Costs [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity Compensation, Employment Agreements and other Benefit Plans | Equity Compensation, Employment Agreements and other Benefit Plans In accordance with the terms of the Company’s 2007 Equity Incentive Plan (as amended and restated on December 10, 2015) (the “Incentive Plan”), directors, officers and employees of the Company are eligible to receive restricted stock grants. These awards generally have a restriction period lasting between two and ten years depending on the award, after which time the awards fully vest. During the vesting period, these shares may not be sold. There were approximately 7 million shares available for future grants under the Incentive Plan as of December 31, 2016. During the first quarter of 2016, the Compensation Committee of the Board of Directors of the Company approved a Stock Award Deferral Program (the “Deferral Program”). Under the Deferral Program, non-employee directors and certain executive officers can elect to defer payment of certain stock awards made pursuant to the Equity Plan. Deferred awards are treated as deferred stock units and paid at the earlier of separation from service or a date elected by the participant. Payments are generally made in a lump sum or, if elected by the participant, in five annual installments. Deferred awards receive dividend equivalents during the deferral period in the form of additional deferred stock units. Amounts are paid at the end of the deferral period by delivery of shares from the Incentive Plan (plus cash for any fractional deferred stock units), less any applicable tax withholdings. Deferral elections do not alter any vesting requirements applicable to the underlying stock award. During the year ended December 31, 2016, the Company granted certain of its employees Restricted Stock Units (“RSU”) awards. RSU awards are designed to reward certain employees of the Company for services provided over the previous year. The RSU awards vest equally over a three year period beginning one year from the grant date and will fully vest after three years. The RSU awards are valued at the market price of the Company’s common stock on the grant date and the employees must be employed by the Company on the vesting dates to receive the RSU awards. The Company granted 360 thousand RSU awards during the year ended December 31, 2016 with a grant date fair value of $5 million, which will be recognized as compensation expense on a straight-line basis over the three year vesting period. During the year ended December 31, 2016, the Company granted certain of its employees 180 thousand Performance Share Units (“PSU”) awards. PSU awards are designed to align compensation with the Company’s future performance. The PSU awards include a three year performance period ending on December 31, 2018. The final number of shares that will vest will be between 0% to 150% of the 180 thousand granted based on the stock performance of the Company as compared to an index of comparable financial institutions and will cliff vest at the end of the performance period. The PSU awards are measured at fair value on the grant date which will be recognized as compensation expense ratably over the three year vesting period. Fair value is determined using a Monte Carlo valuation model developed to value the specific features of the PSU awards, including market based conditions. Inputs into the model include the Company’s historical volatility, the peer average historical volatility, and the correlation coefficient of the volatility. In addition, inputs also included the share price at the beginning of the measurement period and an estimated total shareholder return for both the Company and the peer group of comparable financial institutions. Based on the model results, the 180 thousand PSU awards granted during 2016 had a grant date value of $3 million that will cliff vest on December 31, 2018. The following table presents information with respect to the Company's stock awards during the years ended December 31, 2016 and 2015.
The Company recognized stock based compensation expenses of $2 million, $1 million and 166 thousand for the years ended December 31, 2016, 2015 and 2014, respectively. There were no forfeitures during the year ended December 31, 2016. The Company also maintains a qualified 401(k) plan. The plan is a retirement savings plan that allows eligible employees to contribute a portion of their wages on a tax-deferred basis under Section 401(k) of the Code. Employees may contribute, through payroll deductions, up to $18,000 if under the age of 50 years and an additional $6,000 “catch-up” contribution for employees 50 years or older. The Company matches 100% of the first 6% of the eligible compensation deferred by employee contributions. The employer funds the 401(k) matching contributions in the form of cash, and participants may direct the Company match to an investment of their choice. The benefit of the Company’s contributions vests immediately. Generally, a participating employee is entitled to distributions from the plans upon termination of employment, retirement, death or disability. The 401(k) expense related to the Company’s qualified plan for the year ended December 31, 2016 and 2015 was $335 thousand and $82 thousand, respectively. |
Income Taxes |
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Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Income Taxes For the years ended December 31, 2016 and 2015, the Company qualified to be taxed as a REIT under Code Sections 856 through 860. As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions of taxable income to its stockholders. To maintain qualification as a REIT, the Company must distribute at least 90% of its annual REIT taxable income to its shareholders and meet certain other requirements such as assets it may hold, income it may generate and its shareholder composition. It is generally the Company’s policy to distribute to its shareholders all of the Company’s taxable income. The state and local tax jurisdictions to which the Company is subject to tax-filing obligations, recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees and its TRSs are subject to federal, state and local taxes. There were no significant income tax expenses for the years ended December 31, 2016, 2015, and 2014. The Company recorded a deferred tax asset of $5 million and $4 million for the years ended December 31, 2016 and 2015, respectively, relating to activities of its TRSs. Of these amounts, the amount related to cumulative net operating losses was $2 million and $3 million as of December 31, 2016 and 2015, respectively, and the amount related to losses which were disallowed under Code Section 267(a) was $3 million and $1 million as of December 31, 2016 and 2015, respectively. The Company evaluates, based on both positive and negative evidence, the likelihood of realizing its deferred tax assets and established a valuation allowance of $5 million and $4 million for the years ended December 31, 2016 and 2015. In general, cash dividends declared by the Company will be considered ordinary income to stockholders for income tax purposes. From time to time, a portion of the Company’s dividends may be characterized as capital gains or return of capital distributions. The Company’s effective tax rate differs from its combined federal, state and city corporate statutory tax rate primarily due to the deduction of dividend distributions required to be paid under Code Section 857(a). The Company’s 2015, 2014 and 2013 federal, state and local tax returns remain open for examination. |
Credit Risk and Interest Rate Risk |
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Offsetting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Credit Risk and Interest Rate Risk | Credit Risk and Interest Rate Risk The Company’s primary components of market risk are credit risk and interest rate risk. The Company is subject to interest rate risk in connection with its investments in Agency MBS and Non-Agency RMBS, residential mortgage loans, and borrowings under repurchase agreements. When the Company assumes interest rate risk, it attempts to minimize interest rate risk through asset selection, hedging and matching the income earned on mortgage assets with the cost of related liabilities. The Company attempts to minimize credit risk through due diligence and asset selection by purchasing loans underwritten to agreed-upon specifications of selected originators as well as on-going portfolio monitoring. The Company has established a whole loan target market including prime and subprime borrowers, Alt-A documentation, geographic diversification, owner-occupied property, and moderate loan-to-value ratios. These factors are considered to be important indicators of credit risk. By using derivative instruments and repurchase agreements, the Company is exposed to counterparty credit risk if counterparties to the contracts do not perform as expected. If a counterparty fails to perform on a derivative hedging instrument, the Company’s counterparty credit risk is equal to the amount reported as a derivative asset on its balance sheet to the extent that amount exceeds collateral obtained from the counterparty or, if in a net liability position, the extent to which collateral posted exceeds the liability to the counterparty. The amounts reported as a derivative asset/(liability) are derivative contracts in a gain/(loss) position, and to the extent subject to master netting arrangements, net of derivatives in a loss/(gain) position with the same counterparty and collateral received/(pledged). If the counterparty fails to perform on a repurchase agreement, the Company is exposed to a loss to the extent that the fair value of collateral pledged exceeds the liability to the counterparty. The Company attempts to minimize counterparty credit risk by evaluating and monitoring the counterparty’s credit, executing master netting arrangements and obtaining collateral, and executing contracts and agreements with multiple counterparties to reduce exposure to a single counterparty, where appropriate. Our repurchase agreements and derivative transactions are governed by underlying agreements that provide for a right of setoff under master netting arrangements, including in the event of default or in the event of bankruptcy of either party to the transactions. We present our assets and liabilities subject to such arrangements on a net basis in our consolidated statements of financial condition. The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of December 31, 2016 and December 31, 2015.
(1) Included in other assets
(1) Included in other assets |
Commitments and Contingencies |
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Dec. 31, 2016 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. In connection with certain re-securitization transactions engaged in by the Company, it has the obligation under certain circumstances to repurchase assets from the VIE upon breach of certain representations and warranties. Management is not aware of any contingencies that require accrual or disclosure as of December 31, 2016 and December 31, 2015. The Audit Committee also pursued additional remedies against other parties regarding the facts and circumstances relating to our accounting for Non-Agency RMBS and the restatement of our financial statements, which were resolved in the first quarter of 2016 and we recovered $95 million which was characterized as taxable income in 2016. |
Subsequent Events |
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Dec. 31, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events None. |
Summarized Quarterly Results (Unaudited) |
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Quarterly Financial Information Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summarized Quarterly Results (Unaudited) | Summarized Quarterly Results (Unaudited) The following is a presentation of the results of operations for the quarters ended December 31, 2016, September 30, 2016, June 30, 201 and March 31, 2016.
The following is a presentation of the results of operations for the quarters ended December 31, 2015, September 30, 2015, June 30, 2015 and March 31, 2015.
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Summary of the Significant Accounting Policies (Policies) |
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Accounting Policies [Abstract] | |||||||||||||||||||||||||
Basis of Presentation and Consolidation | Basis of Presentation and Consolidation The accompanying consolidated financial statements and related notes of the Company have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”). In the opinion of management, all adjustments considered necessary for a fair presentation of the Company's financial position, results of operations and cash flows have been included. Certain prior period amounts have been reclassified to conform to the current period's presentation. The consolidated financial statements include, the Company’s accounts, the accounts of its wholly-owned subsidiaries, and variable interest entities (“VIEs”) in which the Company is the primary beneficiary. All intercompany balances and transactions have been eliminated in consolidation. The Company uses securitization trusts considered to be VIEs in its securitization and re-securitization transactions. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest, or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary, and is generally the entity with (i) the power to direct the activities that most significantly impact the VIEs’ economic performance, and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE. For VIEs that do not have substantial on-going activities, the power to direct the activities that most significantly impact the VIEs’ economic performance may be determined by an entity’s involvement with the design and structure of the VIE. The trusts are structured as pass through entities that receive principal and interest on the underlying collateral and distribute those payments to the security holders. The assets held by the securitization entities are restricted in that they can only be used to fulfill the obligations of the securitization entity. The Company’s risks associated with its involvement with these VIEs are limited to its risks and rights as a holder of the security it has retained. Determining the primary beneficiary of a VIE requires significant judgment. The Company determined that for the securitizations it consolidates, its ownership provides the Company with the obligation to absorb losses or the right to receive benefits from the VIE that could be significant to the VIE. In addition, the Company has the power to direct the activities of the VIEs that most significantly impact the VIEs’ economic performance (“power”) such as rights to direct servicer activity or the Company was determined to have power in connection with its involvement with the purpose and design of the VIE. The Company’s interest in the assets held by these securitization vehicles, which are consolidated on the Company’s Statements of Financial Condition, is restricted by the structural provisions of these trusts, and a recovery of the Company’s investment in the vehicles will be limited by each entity’s distribution provisions. The liabilities of the securitization vehicles, which are also consolidated on the Company’s Statements of Financial Condition, are non-recourse to the Company, and can generally only be satisfied from each securitization vehicle’s respective asset pool. The assets of securitization entities are comprised of senior classes of residential mortgage backed securities (“RMBS”) or residential mortgage loans. See Notes 3, 4 and 8 for further discussion of the characteristics of the securities and loans in the Company’s portfolio. |
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Statements of Financial Condition Presentation | Statements of Financial Condition Presentation The Company’s Consolidated Statements of Financial Condition include both the Company’s direct assets and liabilities and the assets and liabilities of consolidated securitization vehicles. Assets of each consolidated VIE can only be used to satisfy the obligations of that VIE, and the liabilities of consolidated VIEs are non-recourse to the Company. The Company is not obligated to provide, nor does it intend to provide, any financial support to these consolidated securitization vehicles. The notes to the consolidated financial statements describe the Company’s assets and liabilities including the assets and liabilities of consolidated securitization vehicles. See Note 8 for additional information related to the Company’s investments in consolidated securitization vehicles. |
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Cash and Cash Equivalents | Cash and Cash Equivalents Cash and cash equivalents include cash on hand and cash deposited overnight in money market funds, which are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation. |
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Agency and Non-Agency Mortgage-Backed Securities | Agency and Non-Agency Mortgage-Backed Securities The Company invests in mortgage backed securities (“MBS”) representing interests in obligations backed by pools of mortgage loans. The Company delineates between Agency MBS and Non-Agency MBS as follows: (1) Agency MBS are mortgage pass-through certificates, collateralized mortgage obligations (“CMOs”), and other MBS representing interests in or obligations backed by pools of mortgage loans issued or guaranteed by agencies of the U.S. Government, such as Ginnie Mae, or federally chartered corporations such as Freddie Mac or Fannie Mae where principal and interest repayments are guaranteed by the respective agency of the U.S. Government or federally chartered corporation; and (2) Non-Agency MBS are not issued or guaranteed by a U.S. Government Agency or other institution and are subject to credit risk. Repayment of principal and interest on Non-Agency MBS is subject to the performance of the mortgage loans or MBS collateralizing the obligation. The Company also invests in Interest Only Agency MBS strips and Interest Only Non-Agency RMBS strips (“IO MBS strips”). IO MBS strips represent the Company’s right to receive a specified proportion of the contractual interest flows of the collateral. Interest income on IO MBS strips is accrued based on the outstanding notional balance and the security’s contractual terms, and amortization of any premium is calculated in accordance with the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 325-40, Beneficial Interests in Securitized Financial Assets (“ASC 325-40”). The Company accounts for IO MBS strips at fair value with changes in fair value recognized in the Company’s Consolidated Statements of Operations. The Company classifies the majority of its MBS as available-for-sale and records investments at estimated fair value as described in Note 5 of these consolidated financial statements. The Company includes unrealized gains and losses considered to be temporary on all MBS in Other comprehensive income (“OCI”) in the Consolidated Statements of Operations. For IO MBS strips and certain other MBS investments, the Company carries these investments at fair value with changes in fair value included in earnings in the Consolidated Statements of Operations. From time to time, as part of the overall management of its portfolio, the Company may sell any of its investments and recognize a realized gain or loss as a component of earnings in the Consolidated Statements of Operations utilizing the average cost method. The Company’s accounting policy for interest income and impairment related to its MBS is as follows: Interest Income Recognition The recognition of interest income on MBS securities varies depending on the characteristics of the security as follows: Agency MBS and Non-Agency RMBS of High Credit Quality FASB ASC 310-20, Nonrefundable Fees and Other Costs (“ASC 310-20”) is applied to the recognition of interest income for the following securities:
1.Rated AA or higher by a nationally recognized credit rating agency using the lowest rating available; 2.The Company expects to collect all of the security's contractual cash flows; and 3.The security cannot be contractually prepaid such that the Company would not recover substantially all of its recorded investment. Under ASC 310-20, interest income, including premiums and discounts associated with the acquisition of these securities, is recognized over the life of such securities using the interest method based on the contractual cash flows of the security. In applying the interest method, the Company considers estimates of future principal prepayments in the calculation of the effective yield. Differences that arise between previously anticipated prepayments and actual prepayments received, as well as changes in future prepayment assumptions, result in a recalculation of the effective yield on the security on a quarterly basis. This recalculation results in the recognition of an adjustment on a prospective basis to the carrying amount of the security based on the revised prepayment assumptions and a corresponding increase or decrease in reported interest income. Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS purchased at a discount and not of high credit quality at the time of purchase are accounted for under ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit Quality (“ASC 310-30”) or ASC 325-40 (referred to hereafter as “Non-Agency RMBS Not of High Credit Quality”). Non-Agency RMBS are accounted for under ASC 310-30 if the following conditions are met as of the acquisition date:
Non-Agency RMBS that are not within the scope of ASC 310-30 are accounted for under ASC 325-40 if at the acquisition date:
Interest income on Non-Agency RMBS Not of High Credit Quality is recognized using the interest method based on management’s estimates of cash flows expected to be collected. The effective interest rate on these securities is based on management’s estimate for each security of the projected cash flows, which are estimated based on observation of current market information and include assumptions related to fluctuations in prepayment speeds and the timing and amount of credit losses. On a quarterly basis, the Company reviews and, if appropriate, makes adjustments to its cash flow projections based on inputs and analyses received from external sources, internal models, and the Company’s judgments about prepayment rates, the timing and amount of credit losses, and other factors. Changes in the amount or timing of cash flows from those originally projected, or from those estimated at the last evaluation date, are considered to be either positive changes or adverse changes. For securities accounted for under ASC 325-40, any positive or adverse change in cash flows that does not result in the recognition of an other-than-temporary impairment (“OTTI”) results in a prospective increase or decrease in the effective interest rate used to recognize interest income. For securities accounted for under ASC 310-30, only significant positive changes are reflected prospectively in the effective interest rate used to recognize interest income. Adverse changes in cash flows expected to be collected are generally treated consistently for Non-Agency RMBS accounted for under ASC 325-40 and ASC 310-30, and generally result in recognition of an OTTI with no change in the effective interest rate used to recognize interest income. Impairment Considerations Applicable to all MBS When the fair value of an available-for-sale MBS is less than its amortized cost, the security is considered impaired. On a quarterly basis, the Company evaluates its securities for OTTI. If the Company intends to sell an impaired security, or it is more-likely-than-not that the Company will be required to sell an impaired security before its anticipated recovery, then the Company must recognize an OTTI through a charge to earnings equal to the entire difference between the investment’s amortized cost and its fair value at the measurement date. If the Company does not intend to sell an impaired security and it is not more-likely-than-not that it would be required to sell an impaired security before recovery, the Company must further evaluate the security for impairment due to credit losses. The credit component of OTTI is recognized in earnings and the remaining component is recorded as a component of OCI. Following the recognition of an OTTI through earnings, a new amortized cost basis is established for the security and subsequent recovery in fair value may not be adjusted through current earnings. Subsequent recoveries are amortized into income over the remaining life of the security as an adjustment to yield. When evaluating whether the Company intends to sell an impaired security or will more-likely-than-not be required to sell an impaired security before recovery, the Company makes judgments that consider among other things, its liquidity, leverage, contractual obligations, and targeted investment strategy to determine its intent and ability to hold the investments that are deemed impaired. The determination as to whether an OTTI exists is based on factual information available at the time of assessment as well as the Company’s estimates of future conditions. As a result, the determination of OTTI and its timing and amount is based on estimates that may change materially over time. The Company’s estimate of the amount and timing of cash flows for its MBS is based on its review of the underlying securities or mortgage loans securing the MBS. The Company considers historical information available and expected future performance of the underlying securities or mortgage loans, including timing of expected future cash flows, prepayment rates, default rates, loss severities, delinquency rates, percentage of non-performing loans, extent of credit support available, Fair Isaac Corporation (“FICO”) scores at loan origination, year of origination, loan-to-value ratios, geographic concentrations, as well as reports by credit rating agencies, current and forecast interest rates, general market assessments and dialogue with market participants. As a result, substantial judgment is used in the Company’s analysis to determine the expected cash flows for its MBS. Considerations Applicable to Non-Agency RMBS of High Credit Quality The impairment assessment for Non-Agency RMBS of High Credit Quality involves comparing the present value of the remaining cash flows expected to be collected to the amortized cost of the security at the assessment date. The discount rate used to calculate the present value of the expected future cash flows is based on the security’s effective interest rate as calculated under ASC 310-20 (i.e., the discount rate implicit in the security as of the last measurement date). If the present value of the remaining cash flows expected to be collected is less than the amortized cost basis, an OTTI is recognized in earnings for the difference. This amount is considered to be the credit loss component; the remaining difference between amortized cost and the fair value of the security is considered to be the portion of loss recognized in other comprehensive income. Considerations Applicable to Non-Agency RMBS Not of High Credit Quality Non-Agency RMBS within the scope of ASC 325-40 or ASC 310-30 are considered other-than-temporarily impaired when the following two conditions exist: (1) the fair value is less than the amortized cost basis, and (2) there has been an adverse change in cash flows expected to be collected from the last measurement date (i.e. adverse changes in either the amount or timing of cash flows from those previously expected). The OTTI is separated into a credit loss component that is recognized in earnings and the portion of loss recognized in other comprehensive income. The credit component is comprised of the impact of the fair value decline due to changes in assumptions related to default (collection) risk and prepayments. The portion of loss recognized in other comprehensive income comprises the change in fair value of the security due to all other factors, including changes in benchmark interest rates and market liquidity. In determining the OTTI related to credit losses for securities, the Company compares the present value of the remaining cash flows adjusted for prepayments expected to be collected at the current financial reporting date to the present value of the remaining cash flows expected to be collected at the original purchase date (or the last date those estimates were revised for accounting purposes). The discount rate used to calculate the present value of expected future cash flows is the effective interest rate used for income recognition purposes as determined under ASC 325-40 or ASC 310-30. The determination of whether an OTTI exists and, if so, the extent of the credit component is subject to significant judgment and management’s estimates of both historical information available at the time of assessment, the current market environment, as well as the Company’s estimates of the future performance and projected amount and timing of cash flows expected to be collected on the security. As a result, the timing and amount of OTTI constitutes an accounting estimate that may change materially over time. Investments for which the Company has elected the fair value option are not evaluated for OTTI as all changes in fair value are reflected in earnings. |
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Securitized Loans Held for Investment | Securitized Loans Held for Investment Prime residential mortgage loans: A portion of the securitized loan portfolio is primarily comprised of non-conforming, single family, owner occupied, jumbo prime loans that are not guaranteed as to repayment of principal or interest. These securitized loans are serviced and may be modified, in the event of a default, by a third-party servicer. The Company generally has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to certain loans in default, including whether or not to proceed with foreclosure. These mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis. The securitized loan portfolio comprised of non-conforming, single family, owner occupied, jumbo, prime loans is carried at fair value with changes in fair value recorded in earnings. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. Seasoned subprime residential mortgage loans: A portion of the securitized loan portfolio is comprised of seasoned subprime residential mortgage loans that are not guaranteed as to repayment of principal or interest. These securitized loans are serviced and may be modified, in the event of default, by a third-party servicer. The Company generally has the ability to approve certain loan modifications and determine the course of action to be taken as it relates to certain loans in default, including whether or not to proceed with foreclosure. These mortgage loans are designated as held for investment. Interest income on loans held for investment is recognized over the expected life of the loans using the interest method with changes in yield reflected in earnings on a prospective basis. The securitized loan portfolio comprised primarily of seasoned subprime residential mortgage loans is carried at fair value with changes in fair value recorded in earnings. The Company estimates the fair value of securitized loans as described in Note 5 of these consolidated financial statements. All residential mortgage loans: Interest is accrued on all securitized loans held for investment when due. Interest which is not received at the due date is written off when it becomes delinquent. Nonrefundable fees and costs related to acquiring the Company’s securitized residential mortgage loans are recognized as expenses in the Consolidated Statements of Operations. Income recognition is suspended for loans when, based on information from the servicer, a full recovery of interest or principal becomes doubtful. Real estate owned (“REO”) represents properties which the Company has received the legal title of the property to satisfy the outstanding loan. REO is re-categorized from loan to REO when the Company takes legal title of the property. REO assets are measured and reported at the estimated fair value less the estimated cost to sell at the end of each reporting period. At the time the asset is re-categorized, any difference between the previously recorded loan balance and the carrying value of the REO at the time the Company takes legal title of the property, is recognized as a loss. All REO assets of the Company are held-for-sale and it is the Company’s intention to sell the property in the shortest time possible to maximize their return and recovery on the previously recorded loan. |
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Repurchase Agreements | Repurchase Agreements The Company finances the acquisition of a significant portion of its mortgage-backed securities with repurchase agreements. The Company has evaluated each agreement and has determined that each of the repurchase agreements be accounted for as secured borrowings, which is recourse to the Company. |
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Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by loans held for investment | Securitized Debt, collateralized by Non-Agency RMBS and Securitized Debt, collateralized by loans held for investment Certain re-securitization transactions classified as Securitized Debt, collateralized by Non-Agency RMBS, reflect the transfer to a trust of fixed or adjustable rate MBS which are classified as Non-Agency RMBS that pay interest and principal to the debt holders of that re-securitization. Re-securitization transactions completed by the Company that did not qualify as sales are accounted for as secured borrowings. The associated securitized debt is carried at amortized cost, net of any unamortized premiums or discounts. Certain transactions involving residential mortgage loans are accounted for as secured borrowings, and are recorded as Securitized loans held for investment and the corresponding debt as Securitized debt, collateralized by loans held for investment in the Consolidated Statements of Financial Condition. These securitizations are collateralized by residential adjustable or fixed rate mortgage loans that have been placed in a trust and pay interest and principal to the debt holders of that securitization. The Securitized debt, collateralized by loans held for investment, is carried at fair value. The Company recognizes interest expense on securitized debt over the contractual life of the debt using the interest method with changes in yield reflected in earnings on a retrospective basis. The Company estimates the fair value of its securitized debt as described in Note 5 to these consolidated financial statements. |
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Fair Value | Fair Value Interest-Only MBS: The Company accounts for the IO MBS strips at fair value with changes in fair value reported in earnings. The IO MBS strips are included in MBS, at fair value, on the accompanying Consolidated Statements of Financial Condition. Included in Non-Agency RMBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $266 million and $245 million as of December 31, 2016 and December 31, 2015. Included in Agency MBS, at fair value on the Consolidated Statements of Financial Condition are IO MBS strips carried at fair value with changes in fair value reflected in earnings of $145 million and $273 million as of December 31, 2016 and December 31, 2015. Interest income on all IO MBS securities was $43 million and $49 million for the years ended December 31, 2016 and 2015, respectively. Non-Agency RMBS: The Company has elected the fair value option for certain interests in Non-Agency RMBS which we refer to as the overcollateralization classes. The cash flows for these holdings are generally subordinate to all other interests of the trusts and generally only pay out funds when certain ratios are met and excess cash holdings, as determined by the trustee, are available for distribution to the overcollateralization class. Many of the investments in this group have no current cash flows and may not ever pay cash flows, depending on the loss experience of the collateral group supporting the investment. Estimating future cash flows for this group of Non-Agency RMBS investments is highly subjective and uncertain; therefore, the Company has elected to carry these holdings at fair value with changes in fair value reflected in earnings. Changes in fair value are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. The fair value of the Non-Agency RMBS carried at fair value with changes in fair value reflected in earnings is $19 million and $20 million as of December 31, 2016 and December 31, 2015, respectively. Securitized Loans Held for Investment: The Company’s securitized loans held for investment are carried at fair value with changes in fair value reflected in earnings. The Company carries securitized loans held for investment at fair value as it may resecuritize these loans in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of securitized loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Securitized Debt, Collateralized by Loans Held for Investment: The Company’s securitized debt, collateralized by loans held for investment, is carried at fair value with changes in fair value reflected in earnings. The Company has elected the fair value option for these financings as it may call or restructure these debt financings in the future. Additionally, the fair value option allows both the loans and related financing to be consistently reported at fair value and to achieve operational and valuation simplifications. Changes in fair value of securitized debt, collateralized by loans held for investment are presented in Net unrealized gains (losses) on financial instruments at fair value on the Consolidated Statements of Operations. Fair Value Disclosure A complete discussion of the methodology utilized by the Company to estimate the fair value of its financial instruments is included in Note 5 to these consolidated financial statements. |
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Derivative Financial Instruments | Derivative Financial Instruments The Company’s investment policies permit it to enter into derivative contracts, including interest rate swaps, swaptions, mortgage options, futures, and interest rate caps to manage its interest rate risk and, from time to time, enhance investment returns. The Company’s derivatives are recorded as either assets or liabilities in the Consolidated Statements of Financial Condition and measured at fair value. These derivative financial instrument contracts are not designated as hedges for GAAP; therefore, all changes in fair value are recognized in earnings. The Company estimates the fair value of its derivative instruments as described in Note 5 of these consolidated financial statements. Net payments on derivative instruments are included in the Consolidated Statements of Cash Flows as a component of net income. Unrealized gains (losses) on derivatives are removed from net income to arrive at cash flows from operating activities. The Company elects to net the fair value of its derivative contracts by counterparty when appropriate. These contracts contain legally enforceable provisions that allow for netting or setting off of all individual derivative receivables and payables with each counterparty and therefore, the fair value of those derivative contracts are reported net by counterparty. The credit support annex provisions of the Company’s derivative contracts allow the parties to mitigate their credit risk by requiring the party which is in a net payable position to post collateral. As the Company elects to net by counterparty the fair value of derivative contracts, it also nets by counterparty any cash collateral exchanged as part of the derivative. Refer to Note 9 Derivative Instruments for further details. |
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Sales, Securitizations, and Re-Securitizations | Sales, Securitizations, and Re-Securitizations The Company periodically enters into transactions in which it sells financial assets, such as MBS and mortgage loans. Gains and losses on sales of assets are calculated using the average cost method whereby the Company records a gain or loss on the difference between the average amortized cost of the asset and the proceeds from the sale. In addition, the Company from time to time securitizes or re-securitizes assets and sells tranches in the newly securitized assets. These transactions may be recorded as either sales, whereby the assets contributed to the securitization are removed from the Consolidated Statements of Financial Condition and a gain or loss is recognized, or as secured borrowings whereby the assets contributed to the securitization are not derecognized but rather the debt issued by the securitization entity are recorded to reflect the term financing of the assets. In these securitizations and re-securitizations, the Company may retain senior or subordinated interests in the securitized or re-securitized assets. In transfers that are considered secured borrowings, no gain or loss is recognized. Any difference in the proceeds received and the carrying value of the transferred asset is recorded as a premium or discount and amortized into earnings as an adjustment to yield. |
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Income Taxes | Income Taxes The Company has elected to be taxed as a REIT and intends to comply with the provision of the Code, with respect thereto. Accordingly, the Company will generally not be subject to federal, state or local income taxes to the extent that qualifying distributions are made to stockholders and as long as certain asset, income, distribution and stock ownership tests are met. If the Company failed to qualify as a REIT and did not qualify for certain statutory relief provisions, the Company would be subject to federal, state and local income taxes and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year in which the REIT qualification was lost. The Company, CIM Trading and CIM Funding TRS have made joint elections to treat CIM Trading and CIM Funding TRS as TRSs. The TRS election with respect to CIM Trading has been revoked as of December 31, 2016. Because it is wholly owned by the Company, the revocation of its TRS election will cause CIM Trading to be disregarded as an entity separate from the Company after December 31, 2016. CIM Funding TRS is taxable as a domestic C corporation and subject to federal, state, and local income taxes based upon its taxable income. A tax position is recognized only when, based on management’s judgment regarding the application of income tax laws, it is more likely than not that the tax position will be sustained upon examination. |
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Net Income per Share | Net Income per Share The Company calculates basic net income per share by dividing net income for the period by the basic weighted-average shares of its common stock outstanding for that period. Diluted net income per share takes into account the effect of dilutive instruments such as unvested restricted stock. |
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Stock-Based Compensation | Stock-Based Compensation The Company measures the fair value of the equity instrument granted to non-employees using the stock prices and other measurement assumptions as of the earlier of either the date at which a performance commitment by the recipient is reached or the date at which the recipient’s performance is complete. Stock compensation expense related to the grants of stock is recognized over the vesting period of such grants based on the fair value of the stock on each vesting date at which the recipient’s performance is complete. Compensation expense for equity based awards granted to the Company’s independent directors and stock based compensation awards granted to employees of the Company subject only to service condition is recognized on a straight-line basis over the vesting period of such awards, based upon the fair value of such awards at the grant date adjusted, as applicable, for estimated forfeitures. For awards subject to graded vesting, the total amount of expense is at least equal to the measured expense of each vested tranche. Awards subject to only a service condition are valued according to the market price for the Company’s common stock at the date of grant. For awards based on the performance of the Company’s stock price, the Company generally engages an independent appraisal company to determine the value of the shares at the date of grant, taking into account the underlying contingency risks associated with the performance criteria. The values of these grants are expensed ratably over their respective vesting periods (irrespective of achievement of the performance criteria) adjusted, as applicable, for forfeitures. |
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Use of Estimates | Use of Estimates The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company’s estimates contemplate current conditions and how it expects them to change in the future, it is reasonably possible that actual conditions could be materially different than anticipated in those estimates, which could have a material adverse impact on the Company’s results of operations and its financial condition. Management has made significant estimates including in accounting for income recognition and OTTI on Agency and Non-Agency RMBS and IO MBS (Note 3), valuation of Agency MBS and Non-Agency RMBS (Notes 3 and 5), residential mortgage loans (Note 4), securitized debt (Note 7) and derivative instruments (Notes 5 and 9). Actual results could differ materially from those estimates. |
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Recent Accounting Pronouncements | Recent Accounting Pronouncements Statement of Cash Flows - Restricted Cash – (Topic 230) In November 2016, the FASB issued ASU No. 2016-18, Statement of Cash Flows - Restricted Cash. This update requires that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. Therefore, amounts generally described as restricted cash and restricted cash equivalents should be included with cash and cash equivalents when reconciling the beginning-of-period and end-of-period total amounts shown on the statement of cash flows. The amendments in this Update do not provide a definition of restricted cash or restricted cash equivalents. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption is allowed. The amendments in this update should be applied using a retrospective transition method to each period presented. The Company is not planning to early adopt and is currently evaluating what impact this update will have on the consolidated financial statements. Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments – (Topic 230) In August 2016, the FASB issued ASU No. 2016-15, Statement of Cash Flows - Classification of Certain Cash Receipts and Cash Payments. This update provides guidance on eight specific cash flow issues. The guidance is intended to reduce diversity in practice on those issues across all industries. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption is allowed. The guidance is to be applied retrospectively, unless it is impracticable to do so for an issue, then the amendments related to that issue would be applied prospectively. The Company did not elect to early adopt the provisions of this update. The Company is currently evaluating what impact this update will have on the consolidated financial statements. Financial Instruments - Credit Losses – (Topic 326) In June 2016, the FASB issued ASU No. 2016-13, Measurement of Credit Losses on Financial Instruments. This update replaces the current model for recognizing credit losses from an incurred credit loss model to a current expected credit loss (CECL) model for instruments measured at amortized cost and requires entities to record allowances for available-for-sale (AFS) debt securities when the fair value of an AFS debt security is below the amortized cost of the asset rather than reduce the carrying amount, as we do under the current OTTI model. This update also simplifies the accounting model for purchased credit-impaired debt securities and loans. The changes in the allowances created in accordance with this update will be recorded in earnings. The update also expands the disclosure requirements regarding the Company's assumptions, models, and methods for estimating the expected credit losses. In addition, the Company will disclose the amortized cost balance for each class of financial asset by credit quality indicator, disaggregated by the year of origination. The guidance in the ASU is effective for the Company as of January 1, 2020. Early adoption is allowed, beginning January 1, 2019. The standard requires entities to record a cumulative-effect adjustment to the statement of financial position as of the beginning of the first reporting period in which the guidance is effective. The Company did not elect to early adopt the provisions of this update. The Company is currently evaluating what impact this update will have on the consolidated financial statements. Share Based Payments – (Topic 718) In March 2016, the FASB issued ASU No. 2016-09, Improvements to Employee Share-Based Payment Accounting. Under this update companies will no longer record excess tax benefits and certain tax deficiencies associated with an award of equity instruments in additional paid-in capital. Instead, they will record all excess tax benefits and tax deficiencies as income tax expense or benefit in the income statement when the awards vest or are settled, and additional paid-in capital pools will be eliminated. The updated guidance will also allow the Company to repurchase more shares than it can today for tax withholding purposes without triggering liability accounting and to make a policy election to account for forfeitures as they occur. The guidance in the ASU is effective for the Company as of January 1, 2017. Early adoption is allowed. The guidance is to be applied using a modified retrospective transition method with a cumulative-effect adjustment recorded in retained earnings. The Company did not elect to early adopt the provisions of this update. The Company is currently evaluating what impact this update will have on the consolidated financial statements. Contingent Put and Call Options in Debt Instruments – (Topic 815) In March 2016, the FASB issued ASU No. 2016-06, Contingent Put and Call Options in Debt Instruments Accounting. This update clarifies that when a call or put option in a debt instrument can accelerate the repayment of principal on the debt instrument, a reporting entity does not need to assess whether the contingent event that triggers the ability to exercise the call or put option is related to interest rates or credit risk in determining whether the option should be accounted for separately as a derivative. The guidance in the ASU is effective for the Company as of January 1, 2017. Early adoption is permitted. The new guidance applies to existing debt instruments (or hybrid financial instruments that are determined to have a debt host) using a modified retrospective method as of the beginning of the period of adoption. The Company did not elect to early adopt the provisions of this update. The adoption of this guidance is not expected to have a material effect on the Company’s financial statements as all of its debt instruments with contingent Put and Call options are eliminated on consolidation. Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships – (Topic 815) In March 2016, the FASB issued ASU No. 2016-05, Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships. The amendments in this update clarify that a change in the counterparty to a derivative instrument that has been designated as the hedging instrument under Topic 815 does not, in and of itself, require de-designation of that hedging relationship provided that all other hedge accounting criteria continue to be met. The guidance in the ASU is effective for the Company as of January 1, 2017. Early adoption is allowed. The new guidance may be applied prospectively or on a modified retrospective basis. The Company did not elect to early adopt the provisions of this update. The Company currently does not use hedge accounting for GAAP reporting purposes, therefore this guidance is not expected to have a material effect on the Company’s financial statements. Financial Instruments—Overall (Subtopic 825-10) In January 2016, the FASB issued ASU No. 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities. This update changes how the Company will present changes in the fair value of financial liabilities measured under the fair value option that are attributable to our own credit. Under the updated guidance, the Company will record changes in instrument-specific credit risk for financial liabilities measured under the fair value option in other comprehensive income. The update also requires fair value measurement for equity investments that do not result in consolidation and are not accounted for under the equity method to be measured at fair value with any changes in fair value recognized in net income. The update also eliminates the requirement to disclose the methods and significant assumptions used to estimate the fair value of financial instruments measured at amortized cost. In addition, the Company will have to use the exit price notion when measuring the fair value of financial instruments measured at amortized cost for disclosure purposes. The guidance in the ASU is effective for the Company as of January 1, 2018. Early adoption for certain provisions of the update is allowed. Any adjustment as a result of the adoption of this standard will be recorded as a cumulative-effect adjustment to beginning retained earnings as of the first period in which the guidance is adopted. The Company did not elect to early adopt the provisions of this update and is currently evaluating what impact this update will have on the consolidated financial statements. Consolidations (Subtopic 810) In February 2015, the FASB issued ASU No. 2015-02, Amendments to the Consolidation Analysis. This update affects the following areas of the consolidation analysis: limited partnerships and similar entities, evaluation of fees paid to a decision maker or service provider as a variable interest and in determination of the primary beneficiary, effect of related parties on the primary beneficiary determination and for certain investment funds. The guidance in the ASU is effective for the Company as of January 1, 2016. The Company has adopted this guidance as of January 1, 2016. The guidance in this ASU did not change the consolidation conclusion for any of our interests in VIEs and, therefore, did not impact the consolidated financial statements. Interest—Imputation of Interest (Subtopic 835-30) In April 2015, the FASB issued ASU No. 2015-03, Simplifying the Presentation of Debt Issue Costs. This update changes the presentation of debt issuance costs in financial statements. Under the ASU, an entity presents such costs in the balance sheet as a direct deduction from the related debt liability rather than as an asset. Amortization of the costs is reported as interest expense. The Company adopted this guidance as of January 1, 2016. As the unamortized debt issuance costs are not significant, the guidance in this ASU did not have a significant impact on the consolidated financial statements. Presentation of Financial Statements—Going Concern (Subtopic 205-40) In August 2014, the FASB issued ASU No. 2014-15, Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern. This update provides guidance on determining when and how to disclose going-concern uncertainties in the financial statements. The new standard requires the Company to perform interim and annual assessments of its ability to continue as a going concern within one year of the date the financial statements are issued. The Company must provide certain disclosures if conditions or events raise substantial doubt about its ability to continue as a going concern. The company has adopted this guidance as of January 1, 2016. The Company has performed an annual assessment of its ability to continue as a going concern and concluded no additional disclosures are required. |
Mortgage-Backed Securities (Tables) |
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Schedule of Available-for-sale Securities Reconciliation | The Company classifies its Non-Agency RMBS as senior, senior IO, subordinated, or subordinated IO. The Company also invests in residential and commercial Agency MBS. Senior interests in Non-Agency RMBS are considered to be entitled to the first principal repayments in their pro-rata ownership interests at the acquisition date.
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Schedule of Changes in Accretable Yield | The table below presents changes in accretable yield, or the excess of the security’s cash flows expected to be collected over the Company’s investment, solely as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30.
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Schedule of Non-Agency RMBS Having Deteriorated Credit When Acquired | The table below presents the outstanding principal balance and related amortized cost at December 31, 2016 and December 31, 2015 as it pertains to the Company’s Non-Agency RMBS portfolio accounted for according to the provisions of ASC 310-30.
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Schedule of Temporary Impairment Losses, Investments | The following tables present the gross unrealized losses and estimated fair value of the Company’s RMBS by length of time that such securities have been in a continuous unrealized loss position at December 31, 2016 and December 31, 2015. All securities in an unrealized loss position have been evaluated by the Company for OTTI as discussed in Note 2(d).
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Other than Temporary Impairment, Credit Losses Recognized in Earnings | A summary of the OTTI included in earnings for the years ended December 31, 2016, 2015 and 2014 is presented below.
The following table presents a roll forward of the credit loss component of OTTI on the Company’s Non-Agency RMBS for which a portion of loss was previously recognized in OCI. The table delineates between those securities that are recognizing OTTI for the first time as opposed to those that have previously recognized OTTI.
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Other than Temporary Impairment of Investments Recorded in Earnings, Significant Inputs and Assumptions | The significant inputs used to measure the component of OTTI recognized in earnings for the Company’s Non-Agency RMBS are summarized as follows:
(1) Calculated as the combined credit enhancement to the Re-REMIC and underlying from each of their respective capital structures. |
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Summary of Unrealized Gains and Losses on MBS | The following tables present a summary of unrealized gains and losses at December 31, 2016 and December 31, 2015. IO MBS included in the tables below represent the right to receive a specified portion of the contractual interest cash flows of the underlying principal balance of specific securities. At December 31, 2016, IO MBS had a net unrealized loss of $48 million and had an amortized cost of $458 million. At December 31, 2015, IO MBS had a net unrealized loss of $45 million and had an amortized cost of $564 million. The fair value of IOs at December 31, 2016 and December 31, 2015 was $410 million and $519 million, respectively. All changes in fair value of IOs are reflected in Net Income in the Consolidated Statements of Operations.
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Residential Mortgage Backed Securities Collateral Characteristics | The following tables provide a summary of the Company’s RMBS portfolio at December 31, 2016 and December 31, 2015.
(1) Bond Equivalent Yield at period end.
(1) Bond Equivalent Yield at period end. |
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Credit Ratings of Residential Mortgage-Backed Securities | The following table presents the weighted average credit rating, based on the lowest rating available, of the Company’s Non-Agency RMBS portfolio at December 31, 2016 and December 31, 2015.
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Schedule of Mortgage-Backed Securities by Estimated Weighted Average Life Classification | The following tables provide a summary of the fair value and amortized cost of the Company’s MBS at December 31, 2016 and December 31, 2015 according to their estimated weighted-average life classifications. The weighted-average lives of the MBS in the tables below are based on lifetime expected prepayment rates using an industry prepayment model for the Agency MBS portfolio and the Company’s prepayment assumptions for the Non-Agency RMBS. The prepayment model considers current yield, forward yield, steepness of the interest rate curve, current mortgage rates, mortgage rates of the outstanding loan, loan age, margin, and volatility.
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Schedule of Collateral Characteristics of Underlying Mortgages of Non-Agency RMBS Portfolio | The Non-Agency RMBS in the Portfolio have the following collateral characteristics at December 31, 2016 and December 31, 2015.
(1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. |
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Schedule of Percentage of Non-Agency RMBS by Year Originated | The table below presents the origination year of the underlying loans related to the Company’s portfolio of Non-Agency RMBS at December 31, 2016 and December 31, 2015.
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Schedule of Gains and Losses from Sales of Investments | The proceeds and gross realized gains and gross realized losses from sales of investments for the years ended December 31, 2016, 2015, and 2014 are as follows:
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Securitized Loans Held for Investment (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Summary of Changes in Carrying Value of Securitized Loans Held for Investment Carried at Fair Value | The following table provides a summary of the changes in the carrying value of securitized loans held for investment at fair value at December 31, 2016 and December 31, 2015:
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Schedule of Securitized Loans Held For Investment Types and Characteristics of Underlying Collateral |
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Jumbo Prime Residential Mortgage Loans | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Percentage of Securitized Loans Held for Investment Carried at Fair Value by Year Originated | The securitized loan portfolio collateralized by jumbo prime residential mortgages was originated during the following years:
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Schedule of Securitized Loans Held for Investment Carried at Fair Value Key Characteristics of Underlying Collateral | A summary of key characteristics of the loan portfolio collateralized primarily of non-conforming, single family, owner occupied, jumbo, prime mortgages follows:
(1) Value represents appraised value of the collateral at the time of loan origination. (2) FICO as determined at the time of loan origination. |
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Schedule of Securitized Loans Held for Investment Carried at Fair Value Greater Than 30 Days Delinquent | The following table summarizes the outstanding principal balance of the jumbo prime loans which are 30 days delinquent and greater as reported by the servicer at December 31, 2016 and December 31, 2015.
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Seasoned Subprime Residential Mortgage Loans | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Percentage of Securitized Loans Held for Investment Carried at Fair Value by Year Originated | The securitized loan portfolio collateralized by seasoned subprime residential mortgages originated during the following years:
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Schedule of Securitized Loans Held for Investment Carried at Fair Value Key Characteristics of Underlying Collateral | A summary of key characteristics of the loan portfolio collateralized by seasoned subprime residential mortgages follows:
(1) As provided by the Trustee |
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Schedule of Securitized Loans Held for Investment Carried at Fair Value Greater Than 30 Days Delinquent | The following table summarizes the outstanding principal balance of the loan portfolio consisting of seasoned subprime residential mortgage loans which are 30 days delinquent and greater as reported by the servicer at December 31, 2016 and December 31, 2015.
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Fair Value Measurements (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value, Financial Assets and Liabilities Carried at Fair Value on a Recurring Basis | The Company’s financial assets and liabilities carried at fair value on a recurring basis, including the level in the fair value hierarchy, at December 31, 2016 and December 31, 2015 is presented below.
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Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The table below provides a summary of the changes in the fair value of securities classified as Level 3 at December 31, 2016 and December 31, 2015.
(1) includes securitized loans held for investment of $607 million for which the fair value option election was made beginning January 1, 2015. |
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Fair Value Measurements, Significant Unobservable Inputs, Liabilities | A summary of the significant inputs used to estimate the fair value of securitized debt at fair value as of December 31, 2016 and December 31, 2015 follows:
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Fair Value, by Balance Sheet Grouping | The following table presents the carrying value and fair value, as described above, of the Company’s financial instruments not carried at fair value on a recurring basis at December 31, 2016 and December 31, 2015.
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Securitized Loans Held for Investment at Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Measurements, Significant Unobservable Inputs, Assets | A summary of the significant inputs used to estimate the fair value of Securitized loans held for investment at fair value as of December 31, 2016 and December 31, 2015 follows:
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Non-agency MBS | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Measurements, Significant Unobservable Inputs, Assets | A summary of the significant inputs used to estimate the fair value of Non-Agency RMBS held for investment at fair value as of December 31, 2016 and December 31, 2015 follows:
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Repurchase Agreements (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Banking and Thrift [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Repurchase Agreements | The repurchase agreements outstanding, weighted average borrowing rates, weighted average remaining maturities, average daily balances and the fair value of collateral pledged as of December 31, 2016 and December 31, 2015 is:
At December 31, 2016 and December 31, 2015, the repurchase agreements collateralized by RMBS had the following remaining maturities.
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Securitized Debt (Tables) |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Callable Debt | The following table presents the par value of the callable debt by year at December 31, 2016.
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Non-agency MBS | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Maturities of Long-term Debt | The following table presents the estimated principal repayment schedule of the securitized debt collateralized by Non-Agency RMBS at December 31, 2016 and December 31, 2015, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company.
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Loans Held for Investment | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Instrument [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Maturities of Long-term Debt | The following table presents the estimated principal repayment schedule of the securitized debt collateralized by loans held for investment at December 31, 2016 and December 31, 2015, based on expected cash flows of the residential mortgage loans or RMBS, as adjusted for projected losses on the underlying collateral of the debt. All of the securitized debt recorded in the Company’s Consolidated Statements of Financial Condition is non-recourse to the Company.
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Consolidated Securitization Vehicles and Other Variable Interest Entities (Tables) |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Organization, Consolidation and Presentation of Financial Statements [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Consolidated Securitization Entities on Financial Condition | The table below reflects the assets and liabilities recorded in the Consolidated Statements of Financial Condition related to the consolidated VIEs as of December 31, 2016 and December 31, 2015.
The consolidation of these Trusts resulted in the addition of the following amounts, net of eliminations, at the time of acquisition.
(1) After the elimination of intercompany balances. |
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Schedule of Consolidated Variable Interest Entities Effects on Operating Results | Income and expense and OTTI amounts related to consolidated VIEs recorded in the Consolidated Statements of Operations is presented in the table below.
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Derivative Instruments (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments in Statement of Financial Position | The table below summarizes the location and fair value of the derivatives reported in the Consolidated Statements of Financial Condition after counterparty netting and posting of cash collateral as of December 31, 2016 and December 31, 2015.
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Schedule of Derivative Instruments Effects on Operating Results | The effect of the Company’s derivatives on the Consolidated Statements of Operations is presented below.
(1) Includes loss on termination of interest rate swap of $61 million and $99 million for the years ended December 31, 2016 and 2015, respectively. |
Capital Stock (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Earnings Per Share | Earnings per share for the years ended December 31, 2016, 2015, and 2014 respectively, are computed as follows:
|
Accumulated Other Comprehensive Income (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Components of AOCI | The following table presents the changes in the components of Accumulated Other Comprehensive Income (“AOCI”) for the years ended December 31, 2016 and 2015:
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Schedule of Reclassifications from AOCI | The following table presents the details of the reclassifications from AOCI for the year ended December 31, 2016 and 2015:
|
Equity Compensation, Employment Agreements and other Benefit Plans (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Compensation Related Costs [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Share-based Compensation, Performance Shares Award Unvested Activity | The following table presents information with respect to the Company's stock awards during the years ended December 31, 2016 and 2015.
|
Credit Risk and Interest Rate Risk (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Offsetting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Assets and Liabilities Subject to Netting Arrangements | The following table presents information about our liabilities that are subject to such arrangements and can potentially be offset on our consolidated statements of financial condition as of December 31, 2016 and December 31, 2015.
(1) Included in other assets
(1) Included in other assets |
Summarized Quarterly Results (Unaudited) (Tables) |
12 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2016 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Quarterly Financial Information Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Quarterly Financial Information | The following is a presentation of the results of operations for the quarters ended December 31, 2016, September 30, 2016, June 30, 201 and March 31, 2016.
The following is a presentation of the results of operations for the quarters ended December 31, 2015, September 30, 2015, June 30, 2015 and March 31, 2015.
|
Organization - Narrative (Detail) |
12 Months Ended |
---|---|
Dec. 31, 2016
subsidiary
| |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Number of wholly owned direct subsidiaries | 9 |
Summary of the Significant Accounting Policies - Narrative (Detail) - USD ($) |
3 Months Ended | 12 Months Ended | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
Sep. 30, 2015 |
Jun. 30, 2015 |
Mar. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
[1] | |||||
Summary Of Significant Accounting Policies [Line Items] | ||||||||||||||||
Non-Agency RMBS, at fair value | $ 3,330,063,000 | $ 3,675,841,000 | $ 3,330,063,000 | $ 3,675,841,000 | ||||||||||||
Agency RMBS, at fair value | 4,167,754,000 | 6,514,824,000 | 4,167,754,000 | 6,514,824,000 | ||||||||||||
Interest income | 260,823,000 | $ 250,953,000 | $ 221,096,000 | $ 201,194,000 | 201,912,000 | $ 211,876,000 | $ 215,804,000 | $ 243,145,000 | 934,068,000 | [1] | 872,737,000 | [1] | $ 687,795,000 | |||
Accrual for income tax penalties and interest | 0 | 0 | 0 | 0 | ||||||||||||
Interest-Only RMBS | ||||||||||||||||
Summary Of Significant Accounting Policies [Line Items] | ||||||||||||||||
Non-Agency RMBS, at fair value | 266,000,000 | 245,000,000 | 266,000,000 | 245,000,000 | ||||||||||||
Agency RMBS, at fair value | 145,000,000 | 273,000,000 | 145,000,000 | 273,000,000 | ||||||||||||
Non-Agency RMBS, Fair Value Option | ||||||||||||||||
Summary Of Significant Accounting Policies [Line Items] | ||||||||||||||||
Non-Agency RMBS, at fair value | 19,000,000 | 20,000,000 | 19,000,000 | 20,000,000 | ||||||||||||
Other Assets | ||||||||||||||||
Summary Of Significant Accounting Policies [Line Items] | ||||||||||||||||
Total REO assets | $ 13,000,000 | $ 18,000,000 | 13,000,000 | 18,000,000 | ||||||||||||
Residential Mortgage-Backed Securities | Interest-Only RMBS | ||||||||||||||||
Summary Of Significant Accounting Policies [Line Items] | ||||||||||||||||
Interest income | $ 43,000,000 | $ 49,000,000 | ||||||||||||||
|
Mortgage-Backed Securities - Summary (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Investment Holdings [Line Items] | ||
Principal or Notional Value | $ 17,062,076 | $ 22,845,276 |
Total Premium | 662,686 | 868,410 |
Total Discount | (1,627,480) | (1,814,615) |
Amortized Cost | 6,825,525 | 9,465,640 |
Fair Value | 7,497,817 | 10,190,665 |
Gross Unrealized Gains | 841,967 | 867,512 |
Gross Unrealized Losses | (169,675) | (142,490) |
Net Unrealized Gain/(Loss) | 672,292 | 725,022 |
Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 3,190,947 | 3,651,869 |
Total Premium | 231 | 309 |
Total Discount | (1,412,058) | (1,553,317) |
Amortized Cost | 1,779,120 | 2,098,860 |
Fair Value | 2,511,003 | 2,826,121 |
Gross Unrealized Gains | 732,133 | 736,040 |
Gross Unrealized Losses | (250) | (8,779) |
Net Unrealized Gain/(Loss) | 731,883 | 727,261 |
Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 5,648,339 | 5,426,029 |
Total Premium | 292,396 | 268,515 |
Amortized Cost | 292,396 | 268,515 |
Fair Value | 253,539 | 234,171 |
Gross Unrealized Gains | 18,674 | 18,113 |
Gross Unrealized Losses | (57,531) | (52,457) |
Net Unrealized Gain/(Loss) | (38,857) | (34,344) |
Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 673,259 | 762,466 |
Total Premium | 16,352 | 23,635 |
Total Discount | (212,734) | (258,128) |
Amortized Cost | 476,877 | 527,975 |
Fair Value | 553,498 | 604,295 |
Gross Unrealized Gains | 77,857 | 83,896 |
Gross Unrealized Losses | (1,236) | (7,577) |
Net Unrealized Gain/(Loss) | 76,621 | 76,319 |
Non-Agency RMBS - Subordinated interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 266,927 | 284,931 |
Total Premium | 13,878 | 15,226 |
Amortized Cost | 13,878 | 15,226 |
Fair Value | 12,024 | 11,254 |
Gross Unrealized Gains | 0 | 62 |
Gross Unrealized Losses | (1,854) | (4,035) |
Net Unrealized Gain/(Loss) | (1,854) | (3,973) |
Agency MBS - Residential | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 2,594,570 | 5,045,418 |
Total Premium | 149,872 | 255,837 |
Amortized Cost | 2,744,442 | 5,301,255 |
Fair Value | 2,705,978 | 5,267,848 |
Gross Unrealized Gains | 11,235 | 18,593 |
Gross Unrealized Losses | (49,699) | (52,001) |
Net Unrealized Gain/(Loss) | (38,464) | (33,408) |
Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 1,331,543 | 952,091 |
Total Premium | 37,782 | 24,815 |
Total Discount | (2,688) | (3,170) |
Amortized Cost | 1,366,637 | 973,736 |
Fair Value | 1,316,975 | 973,787 |
Gross Unrealized Gains | 175 | 8,052 |
Gross Unrealized Losses | (49,837) | (8,001) |
Net Unrealized Gain/(Loss) | (49,662) | 51 |
Agency MBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value | 3,356,491 | 6,722,472 |
Total Premium | 152,175 | 280,073 |
Amortized Cost | 152,175 | 280,073 |
Fair Value | 144,800 | 273,189 |
Gross Unrealized Gains | 1,893 | 2,756 |
Gross Unrealized Losses | (9,268) | (9,640) |
Net Unrealized Gain/(Loss) | $ (7,375) | $ (6,884) |
Mortgage-Backed Securities - Accretable Yield (Detail) - Available-for-sale Securities - Non-Agency RMBS Having Deteriorated Credit When Acquired - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Accretable Yield Movement Schedule [Roll Forward] | ||
Balance at beginning of period | $ 1,742,744 | $ 1,534,497 |
Purchases | 79,156 | 277,922 |
Yield income earned | (282,800) | (249,898) |
Reclassification (to) from non-accretable difference | 53,681 | 238,348 |
Sales and deconsolidation | (42,671) | (58,125) |
Balance at end of period | $ 1,550,110 | $ 1,742,744 |
Mortgage-Backed Securities - Non-Agency Securities Having Deteriorated Credit When Acquired (Detail) - Non-Agency RMBS Having Deteriorated Credit When Acquired - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|---|
Investment Holdings [Line Items] | |||
Loans acquired having deteriorated credit, outstanding principal | $ 3,138,265 | $ 3,550,698 | $ 3,325,335 |
Loans acquired having deteriorated credit, amortized cost | $ 1,695,079 | $ 1,958,726 | $ 1,741,780 |
Mortgage-Backed Securities - Unrealized Loss Positions (Detail) - Residential Mortgage-Backed Securities $ in Thousands |
Dec. 31, 2016
USD ($)
security
|
Dec. 31, 2015
USD ($)
security
|
---|---|---|
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 3,815,885 | $ 5,477,895 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (110,548) | $ (92,223) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 846 | 406 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | $ 252,257 | $ 403,312 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | $ (59,127) | $ (50,267) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 156 | 64 |
Estimated fair value of RMBS in continuous loss position | $ 4,068,142 | $ 5,881,207 |
Unrealized losses on RMBS in continuous loss position | $ (169,675) | $ (142,490) |
Number of Securities in continuous loss position | security | 1,002 | 470 |
Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 12,384 | $ 294,520 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (250) | $ (8,779) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 3 | 20 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | $ 0 | $ 0 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | $ 0 | $ 0 |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 0 | 0 |
Estimated fair value of RMBS in continuous loss position | $ 12,384 | $ 294,520 |
Unrealized losses on RMBS in continuous loss position | $ (250) | $ (8,779) |
Number of Securities in continuous loss position | security | 3 | 20 |
Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 96,399 | $ 81,919 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (13,600) | $ (18,715) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 62 | 83 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | $ 78,516 | $ 64,058 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | $ (43,931) | $ (33,742) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 86 | 47 |
Estimated fair value of RMBS in continuous loss position | $ 174,915 | $ 145,977 |
Unrealized losses on RMBS in continuous loss position | $ (57,531) | $ (52,457) |
Number of Securities in continuous loss position | security | 148 | 130 |
Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 56,015 | $ 138,257 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (412) | $ (7,577) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 7 | 22 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | $ 2,826 | $ 0 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | $ (824) | $ 0 |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 4 | 0 |
Estimated fair value of RMBS in continuous loss position | $ 58,841 | $ 138,257 |
Unrealized losses on RMBS in continuous loss position | $ (1,236) | $ (7,577) |
Number of Securities in continuous loss position | security | 11 | 22 |
Non-Agency RMBS - Subordinated interest-only | ||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 748 | $ 6,455 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (230) | $ (1,039) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 2 | 1 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | $ 11,276 | $ 3,635 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | $ (1,624) | $ (2,996) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 3 | 2 |
Estimated fair value of RMBS in continuous loss position | $ 12,024 | $ 10,090 |
Unrealized losses on RMBS in continuous loss position | $ (1,854) | $ (4,035) |
Number of Securities in continuous loss position | security | 5 | 3 |
Agency MBS - Residential | ||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 2,338,910 | $ 4,468,717 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (48,084) | $ (44,687) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 106 | 116 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | $ 54,943 | $ 290,926 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | $ (1,615) | $ (7,314) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 1 | 4 |
Estimated fair value of RMBS in continuous loss position | $ 2,393,853 | $ 4,759,643 |
Unrealized losses on RMBS in continuous loss position | $ (49,699) | $ (52,001) |
Number of Securities in continuous loss position | security | 107 | 120 |
Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 1,247,923 | $ 393,058 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (45,802) | $ (7,969) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 646 | 140 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | $ 51,733 | $ 4,986 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | $ (4,035) | $ (32) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 46 | 4 |
Estimated fair value of RMBS in continuous loss position | $ 1,299,656 | $ 398,044 |
Unrealized losses on RMBS in continuous loss position | $ (49,837) | $ (8,001) |
Number of Securities in continuous loss position | security | 692 | 144 |
Agency MBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Estimated fair value of RMBS in continuous loss position for less than 12 consecutive months | $ 63,506 | $ 94,969 |
Unrealized losses on RMBS in continuous loss position for less than 12 consecutive months | $ (2,170) | $ (3,457) |
Number of Securities of RMBS in continuous loss position for less than 12 months | security | 20 | 24 |
Estimated fair value of RMBS in continuous loss position for 12 or more consecutive months | $ 52,963 | $ 39,707 |
Unrealized losses on RMBS in continuous loss position for 12 or more consecutive months | $ (7,098) | $ (6,183) |
Number of Securities on RMBS in continuous loss position for 12 or more consecutive months | security | 16 | 7 |
Estimated fair value of RMBS in continuous loss position | $ 116,469 | $ 134,676 |
Unrealized losses on RMBS in continuous loss position | $ (9,268) | $ (9,640) |
Number of Securities in continuous loss position | security | 36 | 31 |
Mortgage-Backed Securities - Investment Holdings - Narrative (Detail) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016
USD ($)
point
|
Dec. 31, 2015
USD ($)
|
Dec. 31, 2014
USD ($)
|
|
Interest-Only RMBS | |||
Investment Holdings [Line Items] | |||
Interest-only RMBS, net unrealized gain (loss) | $ (48) | $ (45) | |
Interest-only RMBS, amortized cost | 458 | 564 | |
Interest-only RMBS, fair value | 410 | 519 | |
Agency RMBS - Pass-through | |||
Investment Holdings [Line Items] | |||
Gross unrealized loss | 100 | 60 | |
Non-agency MBS | |||
Investment Holdings [Line Items] | |||
Gross unrealized loss | $ 1 | $ 16 | |
Non-Agency RMBS Deemed To Be Equivalent To Alt-A Quality | |||
Investment Holdings [Line Items] | |||
Percentage in Alt-A collateral | 68.00% | 64.00% | |
Non Agency Residential MBS Deemed To Be Equivalent To Prime Quality | |||
Investment Holdings [Line Items] | |||
Percentage in prime collateral | 14.00% | 17.00% | |
Re-REMIC Security | |||
Investment Holdings [Line Items] | |||
Fair value of securities exchanged | $ 65 | $ 95 | $ 89 |
Gain (loss) on sale of investments | $ 13 | $ 24 | $ 23 |
Minimum | Alt-A | |||
Investment Holdings [Line Items] | |||
FICO Score | point | 680 | ||
Maximum | Alt-A | |||
Investment Holdings [Line Items] | |||
FICO Score | point | 720 | ||
Alt-A securities underlying collateral of full documented loans | 30.00% |
Mortgage-Backed Securities - Aggregate Other Than Temporary Impairments (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Line Items] | |||
Total other-than-temporary impairment losses | $ (9,589) | $ (8,700) | $ (8,713) |
Portion of loss recognized in other comprehensive income (loss) | (48,398) | (58,744) | (55,279) |
Net other-than-temporary credit impairment losses | $ (57,987) | $ (67,444) | $ (63,992) |
Mortgage-Backed Securities - Non-Agency Securities Credit Losses (Detail) - Non-agency MBS - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||
Cumulative credit loss beginning balance | $ 529,112 | $ 507,548 | $ 524,432 |
Other-than-temporary impairments not previously recognized | 25,959 | 41,233 | 63,123 |
Reductions for securities sold or deconsolidated during the period | (9,429) | (19,746) | (61,854) |
Increases related to other-than-temporary impairments on securities with previously recognized other-than-temporary impairments | 32,027 | 26,138 | 869 |
Reductions for increases in cash flows expected to be collected over the remaining life of the securities | (21,184) | (26,061) | (19,022) |
Cumulative credit impairment loss ending balance | $ 556,485 | $ 529,112 | $ 507,548 |
Mortgage-Backed Securities - OTTI - Significant Inputs and Assumptions (Detail) - Non-agency MBS |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Weighted Average | ||
Investment Holdings [Line Items] | ||
Loss Severity | 58.00% | 57.00% |
60 days delinquent | 21.00% | 22.00% |
Credit Enhancement | 25.00% | 8.00% |
3 Month CPR | 7.00% | 9.00% |
12 Month CPR | 6.00% | 8.00% |
Minimum | ||
Investment Holdings [Line Items] | ||
Loss Severity | 25.00% | 0.00% |
60 days delinquent | 0.00% | 2.00% |
Credit Enhancement | 0.00% | 0.00% |
3 Month CPR | 0.00% | 3.00% |
12 Month CPR | 1.00% | 3.00% |
Maximum | ||
Investment Holdings [Line Items] | ||
Loss Severity | 85.00% | 92.00% |
60 days delinquent | 40.00% | 41.00% |
Credit Enhancement | 100.00% | 67.00% |
3 Month CPR | 27.00% | 27.00% |
12 Month CPR | 24.00% | 20.00% |
Mortgage-Backed Securities - Gross Unrealized Gains (Losses) (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | $ 818,127 | $ 844,273 |
Gross Unrealized Gain Included in Cumulative Earnings | 23,840 | 23,240 |
Total Gross Unrealized Gain | 841,967 | 867,512 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (100,021) | (70,752) |
Gross Unrealized Loss Included in Cumulative Earnings | (69,654) | (71,738) |
Total Gross Unrealized Loss | (169,675) | (142,490) |
Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 732,133 | 736,040 |
Total Gross Unrealized Gain | 732,133 | 736,040 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (250) | (8,779) |
Total Gross Unrealized Loss | (250) | (8,779) |
Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Cumulative Earnings | 18,674 | 18,113 |
Total Gross Unrealized Gain | 18,674 | 18,113 |
Gross Unrealized Loss Included in Cumulative Earnings | (57,531) | (52,457) |
Total Gross Unrealized Loss | (57,531) | (52,457) |
Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 74,584 | 81,588 |
Gross Unrealized Gain Included in Cumulative Earnings | 3,273 | 2,309 |
Total Gross Unrealized Gain | 77,857 | 83,896 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (235) | (1,971) |
Gross Unrealized Loss Included in Cumulative Earnings | (1,001) | (5,606) |
Total Gross Unrealized Loss | (1,236) | (7,577) |
Non-Agency RMBS - Subordinated interest-only | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Cumulative Earnings | 0 | 62 |
Total Gross Unrealized Gain | 0 | 62 |
Gross Unrealized Loss Included in Cumulative Earnings | (1,854) | (4,035) |
Total Gross Unrealized Loss | (1,854) | (4,035) |
Agency MBS - Residential | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 11,235 | 18,593 |
Total Gross Unrealized Gain | 11,235 | 18,593 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (49,699) | (52,001) |
Total Gross Unrealized Loss | (49,699) | (52,001) |
Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Accumulated Other Comprehensive Income | 175 | 8,052 |
Total Gross Unrealized Gain | 175 | 8,052 |
Gross Unrealized Loss Included in Accumulated Other Comprehensive Income | (49,837) | (8,001) |
Total Gross Unrealized Loss | (49,837) | (8,001) |
Agency MBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Gross Unrealized Gain Included in Cumulative Earnings | 1,893 | 2,756 |
Total Gross Unrealized Gain | 1,893 | 2,756 |
Gross Unrealized Loss Included in Cumulative Earnings | (9,268) | (9,640) |
Total Gross Unrealized Loss | $ (9,268) | $ (9,640) |
Mortgage-Backed Securities - Collateral Characteristics (Detail) - Residential Mortgage-Backed Securities $ in Thousands |
Dec. 31, 2016
USD ($)
$ / security
|
Dec. 31, 2015
USD ($)
$ / security
|
---|---|---|
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 17,062,076 | $ 22,845,276 |
Non-Agency RMBS - Senior | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 3,190,947 | $ 3,651,869 |
Weighted Average Amortized Cost Basis | 55.76 | 57.47 |
Weighted Average Fair Value | 78.69 | 77.39 |
Weighted Average Coupon | 4.30% | 3.80% |
Weighted Average Yield at Period-End | 15.50% | 13.70% |
Non-Agency RMBS - Senior interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 5,648,339 | $ 5,426,029 |
Weighted Average Amortized Cost Basis | 5.18 | 4.95 |
Weighted Average Fair Value | 4.49 | 4.32 |
Weighted Average Coupon | 1.50% | 1.70% |
Weighted Average Yield at Period-End | 11.70% | 12.90% |
Non-Agency RMBS - Subordinated | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 673,259 | $ 762,466 |
Weighted Average Amortized Cost Basis | 70.83 | 69.25 |
Weighted Average Fair Value | 82.21 | 79.26 |
Weighted Average Coupon | 3.80% | 3.20% |
Weighted Average Yield at Period-End | 9.20% | 8.80% |
Non-Agency RMBS - Subordinated interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 266,927 | $ 284,931 |
Weighted Average Amortized Cost Basis | 5.20 | 5.34 |
Weighted Average Fair Value | 4.50 | 3.95 |
Weighted Average Coupon | 1.10% | 1.20% |
Weighted Average Yield at Period-End | 13.50% | 10.90% |
Agency MBS - Residential | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 2,594,570 | $ 5,045,418 |
Weighted Average Amortized Cost Basis | 105.78 | 105.07 |
Weighted Average Fair Value | 104.29 | 104.41 |
Weighted Average Coupon | 3.90% | 3.70% |
Weighted Average Yield at Period-End | 3.00% | 2.80% |
Agency MBS - Commercial | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 1,331,543 | $ 952,091 |
Weighted Average Amortized Cost Basis | 102.64 | 102.27 |
Weighted Average Fair Value | 98.91 | 102.28 |
Weighted Average Coupon | 3.60% | 3.40% |
Weighted Average Yield at Period-End | 2.90% | 2.90% |
Agency MBS - Interest-only | ||
Investment Holdings [Line Items] | ||
Principal or Notional Value at Period-End | $ | $ 3,356,491 | $ 6,722,472 |
Weighted Average Amortized Cost Basis | 4.53 | 4.17 |
Weighted Average Fair Value | 4.31 | 4.06 |
Weighted Average Coupon | 0.80% | 0.80% |
Weighted Average Yield at Period-End | 3.50% | 3.40% |
Mortgage-Backed Securities - Credit Ratings (Detail) - Non-agency MBS |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 100.00% | 100.00% |
AAA | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.30% | 0.50% |
AA | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.30% | 0.40% |
A | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.70% | 0.80% |
BBB | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 0.70% | 0.40% |
BB | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 3.00% | 5.20% |
B | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 3.90% | 3.00% |
Below B or not rated | ||
Credit Derivatives [Line Items] | ||
Percentage of RMBS portfolio at fair value, by credit rating | 91.10% | 89.70% |
Mortgage-Backed Securities - Maturities (Detail) - Residential Mortgage-Backed Securities - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Fair value | ||
Less than one year, at fair value | $ 26,029 | $ 3,687 |
Greater than one year and less than five years, at fair value | 1,194,654 | 781,478 |
Greater than five years and less than ten years, at fair value | 3,990,091 | 7,284,439 |
Greater than ten years, at fair value | 2,287,043 | 2,121,061 |
Total maturities, at fair value | 7,497,817 | 10,190,665 |
Amortized cost | ||
Less than one year, at amortized cost | 23,415 | 4,648 |
Greater than one year and less than five years, at amortized cost | 1,094,684 | 683,625 |
Greater than five years and less than ten years, at amortized cost | 3,605,434 | 6,903,462 |
Greater than ten years, at amortized cost | 2,101,992 | 1,873,905 |
Amortized Cost | 6,825,525 | 9,465,640 |
Non-Agency RMBS - Senior | ||
Fair value | ||
Less than one year, at fair value | 25,612 | |
Greater than one year and less than five years, at fair value | 508,979 | 374,462 |
Greater than five years and less than ten years, at fair value | 1,267,000 | 1,629,564 |
Greater than ten years, at fair value | 709,412 | 822,095 |
Total maturities, at fair value | 2,511,003 | 2,826,121 |
Amortized cost | ||
Less than one year, at amortized cost | 21,423 | |
Greater than one year and less than five years, at amortized cost | 403,250 | 281,255 |
Greater than five years and less than ten years, at amortized cost | 868,624 | 1,235,528 |
Greater than ten years, at amortized cost | 485,823 | 582,077 |
Amortized Cost | 1,779,120 | 2,098,860 |
Non-Agency RMBS - Senior interest-only | ||
Fair value | ||
Less than one year, at fair value | 417 | 1,458 |
Greater than one year and less than five years, at fair value | 37,796 | 41,862 |
Greater than five years and less than ten years, at fair value | 115,780 | 123,538 |
Greater than ten years, at fair value | 99,546 | 67,313 |
Total maturities, at fair value | 253,539 | 234,171 |
Amortized cost | ||
Less than one year, at amortized cost | 1,992 | 2,440 |
Greater than one year and less than five years, at amortized cost | 50,252 | 59,823 |
Greater than five years and less than ten years, at amortized cost | 134,642 | 135,359 |
Greater than ten years, at amortized cost | 105,510 | 70,893 |
Amortized Cost | 292,396 | 268,515 |
Non-Agency RMBS - Subordinated | ||
Fair value | ||
Less than one year, at fair value | 0 | 2,229 |
Greater than one year and less than five years, at fair value | 94,793 | 108,728 |
Greater than five years and less than ten years, at fair value | 238,630 | 212,003 |
Greater than ten years, at fair value | 220,075 | 281,335 |
Total maturities, at fair value | 553,498 | 604,295 |
Amortized cost | ||
Less than one year, at amortized cost | 0 | 2,208 |
Greater than one year and less than five years, at amortized cost | 76,287 | 86,728 |
Greater than five years and less than ten years, at amortized cost | 195,538 | 168,403 |
Greater than ten years, at amortized cost | 205,052 | 270,636 |
Amortized Cost | 476,877 | 527,975 |
Non-Agency RMBS - Subordinated interest-only | ||
Fair value | ||
Greater than five years and less than ten years, at fair value | 12,024 | 11,254 |
Total maturities, at fair value | 12,024 | 11,254 |
Amortized cost | ||
Greater than five years and less than ten years, at amortized cost | 13,878 | 15,226 |
Amortized Cost | 13,878 | 15,226 |
Agency MBS - Residential | ||
Fair value | ||
Greater than one year and less than five years, at fair value | 429,869 | 150,357 |
Greater than five years and less than ten years, at fair value | 2,276,109 | 5,117,491 |
Total maturities, at fair value | 2,705,978 | 5,267,848 |
Amortized cost | ||
Greater than one year and less than five years, at amortized cost | 438,270 | 149,111 |
Greater than five years and less than ten years, at amortized cost | 2,306,172 | 5,152,144 |
Amortized Cost | 2,744,442 | 5,301,255 |
Agency MBS - Commercial | ||
Fair value | ||
Less than one year, at fair value | 0 | |
Greater than one year and less than five years, at fair value | 47,354 | |
Greater than five years and less than ten years, at fair value | 16,833 | 29,176 |
Greater than ten years, at fair value | 1,252,788 | 944,611 |
Total maturities, at fair value | 1,316,975 | 973,787 |
Amortized cost | ||
Less than one year, at amortized cost | 0 | |
Greater than one year and less than five years, at amortized cost | 49,027 | |
Greater than five years and less than ten years, at amortized cost | 17,247 | 29,156 |
Greater than ten years, at amortized cost | 1,300,363 | 944,580 |
Amortized Cost | 1,366,637 | 973,736 |
Agency MBS - Interest-only | ||
Fair value | ||
Greater than one year and less than five years, at fair value | 75,863 | 106,069 |
Greater than five years and less than ten years, at fair value | 63,715 | 161,413 |
Greater than ten years, at fair value | 5,222 | 5,707 |
Total maturities, at fair value | 144,800 | 273,189 |
Amortized cost | ||
Greater than one year and less than five years, at amortized cost | 77,598 | 106,708 |
Greater than five years and less than ten years, at amortized cost | 69,333 | 167,646 |
Greater than ten years, at amortized cost | 5,244 | 5,719 |
Amortized Cost | $ 152,175 | $ 280,073 |
Mortgage-Backed Securities - Geographical and Other Statistics (Detail) - Non-agency MBS $ in Thousands |
Dec. 31, 2016
USD ($)
point
|
Dec. 31, 2015
USD ($)
point
|
---|---|---|
Investment Holdings [Line Items] | ||
Weighted average maturity (years) | 21 years 7 months 6 days | 22 years |
Weighted average amortized loan to value | 66.50% | 67.90% |
Weighted average FICO | point | 675 | 671 |
Weighted average loan balance (in thousands) | $ | $ 319 | $ 330 |
Weighted average percentage owner occupied | 83.20% | 82.70% |
Weighted average percentage single family residence | 65.80% | 65.90% |
Weighted average current credit enhancement | 2.30% | 2.40% |
California | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 32.10% | 30.40% |
Florida | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 8.10% | 8.00% |
New York | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 7.90% | 8.00% |
New Jersey | ||
Investment Holdings [Line Items] | ||
Weighted average geographic concentration of top four states | 2.70% | 2.50% |
Mortgage-Backed Securities - Year Originated (Detail) - Non-agency MBS |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Origination Year as a Percentage of Outstanding Principal Balance: | ||
1999 | 0.10% | 0.10% |
2000 | 0.50% | 0.60% |
2001 | 1.50% | 1.60% |
2002 | 0.50% | 0.50% |
2003 | 1.00% | 2.20% |
2004 | 4.20% | 3.70% |
2005 | 20.20% | 21.70% |
2006 | 38.00% | 32.90% |
2007 | 31.30% | 34.20% |
2008 | 1.80% | 1.90% |
2009 | 0.40% | 0.00% |
2013 | 0.40% | 0.50% |
2014 | 0.10% | 0.10% |
Total | 100.00% | 100.00% |
Mortgage-Backed Securities - Gains and Losses from Sales of Investments (Detail) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
Sep. 30, 2015 |
Jun. 30, 2015 |
Mar. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Investment Holdings [Line Items] | |||||||||||
Net realized gain (loss) | $ 11,121 | $ 3,079 | $ 6,631 | $ (2,674) | $ 34,285 | $ 3,539 | $ 9,685 | $ 29,565 | $ 18,155 | $ 77,074 | $ 91,709 |
Residential Mortgage-Backed Securities | |||||||||||
Investment Holdings [Line Items] | |||||||||||
Proceeds from sales | 2,719,329 | 6,244,613 | 4,036,033 | ||||||||
Gross realized gains | 28,572 | 94,618 | 98,656 | ||||||||
Gross realized losses | (10,417) | (17,544) | (6,947) | ||||||||
Net realized gain (loss) | $ 18,155 | $ 77,074 | $ 91,709 |
Securitized Loans Held for Investment - Roll-Forward (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - Securitized Loans Held for Investment at Fair Value - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Movement in Mortgage Loans on Real Estate [Roll Forward] | ||
Balance, beginning of period | $ 4,768,416 | $ 5,306,501 |
Purchases | 4,897,370 | 577,036 |
Principal paydowns | (1,022,414) | (707,996) |
Sales and settlements | 5,007 | (9,638) |
Net periodic accretion (amortization) | (41,363) | (19,100) |
Change in fair value | 146,637 | (90,581) |
Transfer due to deconsolidation | 0 | (287,806) |
Balance, end of period | $ 8,753,653 | $ 4,768,416 |
Securitized Loans Held for Investment - Year Originated (Detail) - Securitized Loans Held for Investment at Fair Value |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Jumbo Prime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
2004 | 0.20% | 0.10% |
2007 | 8.40% | 8.50% |
2008 | 8.40% | 7.40% |
2009 | 0.30% | 0.30% |
2010 | 4.70% | 5.10% |
2011 | 30.60% | 33.10% |
2012 | 47.40% | 45.50% |
Total | 100.00% | 100.00% |
Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
2002 and prior | 9.20% | 11.20% |
2003 | 5.50% | 4.00% |
2004 | 12.40% | 11.10% |
2005 | 21.30% | 19.30% |
2006 | 22.90% | 17.40% |
2007 | 21.30% | 25.40% |
2008 | 6.40% | 9.50% |
2009 | 0.60% | 1.10% |
2010 and later | 0.40% | 1.00% |
Total | 100.00% | 100.00% |
Securitized Loans Held for Investment - Collateral Characteristics (Detail) - Securitized Loans Held for Investment at Fair Value $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2016
USD ($)
point
loan
|
Dec. 31, 2015
USD ($)
point
loan
|
|
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of loans | 95,155 | 57,527,000 |
Jumbo Prime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of loans | 496 | 657 |
Weighted average maturity (years) | 24 years 6 months | 25 years 6 months |
Weighted average loan to value | 70.50% | 70.70% |
Weighted average FICO | point | 764 | 765 |
Weighted average loan balance (in thousands) | $ | $ 669 | $ 682 |
Weighted average percentage owner occupied | 95.20% | 94.30% |
Weighted average percentage single family residence | 71.60% | 70.10% |
Weighted average geographic concentration of top five states | 30.60% | 33.10% |
Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Number of loans | 94,659 | 56,870 |
Weighted average maturity (years) | 19 years 7 months 6 days | 21 years 6 months |
Weighted average loan to value | 87.50% | 80.70% |
Weighted average FICO | point | 621 | 625 |
Weighted average loan balance (in thousands) | $ | $ 90 | $ 76 |
Weighted average percentage owner occupied | 96.70% | 96.00% |
Weighted average percentage single family residence | 86.00% | 72.50% |
California | Jumbo Prime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top five states | 30.70% | 32.40% |
California | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 9.20% | 8.80% |
New Jersey | Jumbo Prime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 7.20% | 6.30% |
Maryland | Jumbo Prime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 7.10% | 6.20% |
Virginia | Jumbo Prime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 6.90% | 6.40% |
Virginia | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 5.80% | 6.30% |
New York | Jumbo Prime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 5.00% | |
Texas | Jumbo Prime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 5.10% | |
Florida | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 6.80% | 7.20% |
North Carolina | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 5.30% | 7.10% |
Ohio | Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
Weighted average geographic concentration of top four states | 6.70% | 6.10% |
Securitized Loans Held for Investment - Aging (Detail) - Securitized Loans Held for Investment at Fair Value - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
90 and Over Days Delinquent | $ 548,843 | $ 436,521 |
Jumbo Prime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
30 Days Delinquent | 1,053 | 3,079 |
60 Days Delinquent | 0 | 0 |
90 and Over Days Delinquent | 2,846 | 2,915 |
Foreclosure | 1,691 | 2,875 |
REO | 0 | 2,312 |
Total | 5,590 | 11,181 |
Seasoned Subprime Residential Mortgage Loans | ||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | ||
30 Days Delinquent | 362,846 | 189,816 |
60 Days Delinquent | 140,495 | 66,429 |
90 and Over Days Delinquent | 188,145 | 125,897 |
Bankruptcy | 207,364 | 117,308 |
Foreclosure | 201,574 | 218,493 |
REO | 40,709 | 36,124 |
Total | $ 1,141,133 | $ 754,067 |
Securitized Loans Held for Investment - Narrative (Detail) $ in Millions |
12 Months Ended |
---|---|
Dec. 31, 2016
USD ($)
portfolio
| |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |
Number of portfolios | portfolio | 2 |
Fair Value | Jumbo Prime Residential Mortgage Loans | |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |
90 and Over Days Delinquent | $ 2 |
Fair Value | Seasoned Subprime Residential Mortgage Loans | |
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |
90 and Over Days Delinquent | $ 447 |
Securitized Loans Held for Investment - Loan Product Type and Characteristics (Details) - Securitized Loans Held for Investment at Fair Value |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016
USD ($)
loan
|
Dec. 31, 2015
USD ($)
loan
|
Dec. 31, 2014
USD ($)
|
|
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 95,155 | 57,527,000 | |
Total Principal | $ 8,868,783,000 | $ 4,787,918,000 | |
30-89 Days Delinquent | 844,044,000 | 296,912,000 | |
90 Days Delinquent | $ 548,843,000 | $ 436,521,000 | |
Adjustable Rate Loans | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 6,932 | 2,227,000 | |
Total Principal | $ 795,772,000 | $ 192,797,000 | |
30-89 Days Delinquent | 94,326,000 | 12,341,000 | |
90 Days Delinquent | $ 35,345,000 | $ 10,986,000 | |
Adjustable Rate Loans | $1 to $250 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 6,417 | 2,119,000 | |
Total Principal | $ 609,584,000 | $ 138,321,000 | |
30-89 Days Delinquent | 67,704,000 | 11,140,000 | |
90 Days Delinquent | $ 25,102,000 | $ 5,292,000 | |
Maturity Date, Minimum | Feb. 01, 2003 | Feb. 01, 2003 | |
Maturity Date, Maximum | Oct. 01, 2056 | Oct. 01, 2055 | |
Adjustable Rate Loans | $250 to $500 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 458 | 66,000 | |
Total Principal | $ 147,410,000 | $ 23,021,000 | |
30-89 Days Delinquent | 22,821,000 | 1,201,000 | |
90 Days Delinquent | $ 7,684,000 | $ 2,277,000 | |
Maturity Date, Minimum | Apr. 01, 2030 | Jan. 01, 2030 | |
Maturity Date, Maximum | Sep. 01, 2055 | Sep. 01, 2055 | |
Adjustable Rate Loans | $500 to $750 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 45 | 29,000 | |
Total Principal | $ 26,383,000 | $ 17,186,000 | |
30-89 Days Delinquent | 3,033,000 | ||
90 Days Delinquent | $ 1,131,000 | $ 1,688,000 | |
Maturity Date, Minimum | Jul. 01, 2034 | Feb. 01, 2032 | |
Maturity Date, Maximum | Sep. 01, 2046 | Apr. 01, 2038 | |
Adjustable Rate Loans | $750 to $1,000 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 7 | 7,000 | |
Total Principal | $ 5,754,000 | $ 5,867,000 | |
30-89 Days Delinquent | 768,000 | ||
90 Days Delinquent | $ 0 | ||
Maturity Date, Minimum | Jan. 01, 2038 | Jan. 01, 2038 | |
Maturity Date, Maximum | Dec. 01, 2045 | Apr. 01, 2038 | |
Adjustable Rate Loans | Over $1,000 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 5 | 6,000 | |
Total Principal | $ 6,641,000 | $ 8,402,000 | |
90 Days Delinquent | $ 1,428,000 | $ 1,730,000 | |
Maturity Date, Minimum | Jan. 01, 2038 | Dec. 01, 2037 | |
Maturity Date, Maximum | Apr. 01, 2038 | Apr. 01, 2038 | |
Adjustable Rate Loans | Minimum | $1 to $250 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 1,000 | $ 1,000 | |
Interest Rate | 1.38% | 1.70% | |
Adjustable Rate Loans | Minimum | $250 to $500 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 250,000 | $ 250,000 | |
Interest Rate | 2.13% | 2.00% | |
Adjustable Rate Loans | Minimum | $500 to $750 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 500,000 | $ 500,000 | |
Interest Rate | 2.00% | 2.00% | |
Adjustable Rate Loans | Minimum | $750 to $1,000 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 750,000 | $ 750,000 | |
Interest Rate | 3.13% | 2.88% | |
Adjustable Rate Loans | Minimum | Over $1,000 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 1,000,000 | $ 1,000,000 | |
Interest Rate | 3.13% | 2.88% | |
Adjustable Rate Loans | Maximum | $1 to $250 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 250,000 | $ 250,000 | |
Interest Rate | 15.20% | 15.20% | |
Adjustable Rate Loans | Maximum | $250 to $500 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 500,000 | $ 500,000 | |
Interest Rate | 10.00% | 10.38% | |
Adjustable Rate Loans | Maximum | $500 to $750 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 750,000 | $ 750,000 | |
Interest Rate | 9.25% | 5.75% | |
Adjustable Rate Loans | Maximum | $750 to $1,000 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 1,000,000 | $ 1,000,000 | |
Interest Rate | 5.17% | 2.88% | |
Adjustable Rate Loans | Maximum | Over $1,000 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Interest Rate | 3.38% | 4.00% | |
Hybrid Loans | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 7 | 14,000 | |
Total Principal | $ 3,468,000 | $ 7,582,000 | |
30-89 Days Delinquent | 97,000 | 1,081,000 | |
90 Days Delinquent | $ 0 | $ 1,744,000 | |
Hybrid Loans | $1 to $250 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 2 | 2,000 | |
Total Principal | $ 190,000 | $ 193,000 | |
30-89 Days Delinquent | 97,000 | ||
90 Days Delinquent | $ 0 | ||
Maturity Date, Minimum | Aug. 01, 2037 | Aug. 01, 2037 | |
Maturity Date, Maximum | Sep. 01, 2037 | Sep. 01, 2037 | |
Hybrid Loans | $250 to $500 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 1 | 2,000 | |
Total Principal | $ 496,000 | $ 908,000 | |
30-89 Days Delinquent | 0 | ||
90 Days Delinquent | $ 0 | ||
Maturity Date, Minimum | Jul. 01, 2037 | Jul. 01, 2037 | |
Maturity Date, Maximum | Jul. 01, 2037 | Apr. 01, 2038 | |
Hybrid Loans | $500 to $750 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 3 | 8,000 | |
Total Principal | $ 1,842,000 | $ 4,751,000 | |
30-89 Days Delinquent | 0 | 1,081,000 | |
90 Days Delinquent | $ 0 | $ 1,744,000 | |
Maturity Date, Minimum | Jul. 01, 2037 | Jul. 01, 2037 | |
Maturity Date, Maximum | Mar. 01, 2038 | Mar. 01, 2038 | |
Hybrid Loans | $750 to $1,000 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 1 | 2,000 | |
Total Principal | $ 940,000 | $ 1,730,000 | |
30-89 Days Delinquent | 0 | ||
90 Days Delinquent | $ 0 | ||
Maturity Date, Minimum | Apr. 01, 2037 | Apr. 01, 2037 | |
Maturity Date, Maximum | Apr. 01, 2037 | Apr. 01, 2038 | |
Hybrid Loans | Minimum | $1 to $250 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 1,000 | $ 1,000 | |
Interest Rate | 6.67% | 6.67% | |
Hybrid Loans | Minimum | $250 to $500 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 250,000 | 250,000 | |
Interest Rate | 5.88% | 5.78% | |
Hybrid Loans | Minimum | $500 to $750 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 500,000 | 500,000 | |
Interest Rate | 5.63% | 4.00% | |
Hybrid Loans | Minimum | $750 to $1,000 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 750,000 | 750,000 | |
Interest Rate | 5.75% | 5.63% | |
Hybrid Loans | Maximum | $1 to $250 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 250,000 | 250,000 | |
Interest Rate | 6.83% | 6.83% | |
Hybrid Loans | Maximum | $250 to $500 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 500,000 | 500,000 | |
Interest Rate | 5.88% | 5.88% | |
Hybrid Loans | Maximum | $500 to $750 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 750,000 | 750,000 | |
Interest Rate | 6.88% | 7.19% | |
Hybrid Loans | Maximum | $750 to $1,000 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 1,000,000 | $ 1,000,000 | |
Interest Rate | 5.75% | 5.75% | |
Fixed Rate Loans | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 88,216 | 55,286,000 | |
Total Principal | $ 8,069,543,000 | $ 4,587,538,000 | |
30-89 Days Delinquent | 749,621,000 | 283,490,000 | |
90 Days Delinquent | $ 513,498,000 | $ 423,792,000 | |
Fixed Rate Loans | $1 to $250 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 83,925 | 52,774,000 | |
Total Principal | $ 6,487,251,000 | $ 3,540,447,000 | |
30-89 Days Delinquent | 603,388,000 | 245,151,000 | |
90 Days Delinquent | $ 424,980,000 | $ 359,559,000 | |
Maturity Date, Minimum | Jul. 01, 2002 | Jan. 01, 1999 | |
Maturity Date, Maximum | May 01, 2062 | May 01, 2062 | |
Fixed Rate Loans | $250 to $500 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 3,769 | 1,957,000 | |
Total Principal | $ 1,225,999,000 | $ 645,347,000 | |
30-89 Days Delinquent | 136,702,000 | 33,405,000 | |
90 Days Delinquent | $ 80,984,000 | $ 58,336,000 | |
Maturity Date, Minimum | May 01, 2018 | Dec. 01, 2019 | |
Maturity Date, Maximum | Oct. 01, 2065 | Oct. 01, 2065 | |
Fixed Rate Loans | $500 to $750 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 381 | 374,000 | |
Total Principal | $ 223,638,000 | $ 226,481,000 | |
30-89 Days Delinquent | 9,531,000 | 3,205,000 | |
90 Days Delinquent | $ 5,788,000 | $ 4,005,000 | |
Maturity Date, Minimum | May 01, 2032 | Jun. 01, 2022 | |
Maturity Date, Maximum | Sep. 01, 2057 | Sep. 01, 2057 | |
Fixed Rate Loans | $750 to $1,000 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 103 | 130,000 | |
Total Principal | $ 87,680,000 | $ 112,490,000 | |
30-89 Days Delinquent | 0 | 1,729,000 | |
90 Days Delinquent | $ 1,746,000 | $ 1,892,000 | |
Maturity Date, Minimum | Apr. 01, 2037 | Jul. 01, 2037 | |
Maturity Date, Maximum | May 01, 2047 | Oct. 01, 2042 | |
Fixed Rate Loans | Over $1,000 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Number of loans | loan | 38 | 51,000 | |
Total Principal | $ 44,975,000 | $ 62,773,000 | |
Maturity Date, Minimum | Mar. 01, 2013 | Mar. 01, 2013 | |
Maturity Date, Maximum | Aug. 01, 2046 | Oct. 01, 2042 | |
Fixed Rate Loans | Minimum | $1 to $250 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 1,000 | $ 1,000 | |
Interest Rate | 0.00% | 0.00% | |
Fixed Rate Loans | Minimum | $250 to $500 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 250,000 | $ 250,000 | |
Interest Rate | 0.00% | 2.00% | |
Fixed Rate Loans | Minimum | $500 to $750 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 500,000 | $ 500,000 | |
Interest Rate | 2.00% | 2.00% | |
Fixed Rate Loans | Minimum | $750 to $1,000 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 750,000 | $ 750,000 | |
Interest Rate | 3.75% | 3.75% | |
Fixed Rate Loans | Minimum | Over $1,000 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 1,000,000 | $ 1,000,000 | |
Interest Rate | 3.25% | 2.25% | |
Fixed Rate Loans | Maximum | $1 to $250 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 250,000 | $ 250,000 | |
Interest Rate | 24.00% | 24.00% | |
Fixed Rate Loans | Maximum | $250 to $500 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 500,000 | $ 500,000 | |
Interest Rate | 12.52% | 11.93% | |
Fixed Rate Loans | Maximum | $500 to $750 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 750,000 | $ 750,000 | |
Interest Rate | 10.69% | 9.75% | |
Fixed Rate Loans | Maximum | $750 to $1,000 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Loan Balance | $ 1,000,000 | $ 1,000,000 | |
Interest Rate | 7.29% | 7.00% | |
Fixed Rate Loans | Maximum | Over $1,000 | |||
Securitized Loans Held For Investment By Consolidated Variable Interest Entities [Line Items] | |||
Interest Rate | 7.13% | 7.13% |
Fair Value Measurements - Level of Fair Value (Detail) $ in Thousands |
Dec. 31, 2016
USD ($)
loan
|
Dec. 31, 2015
USD ($)
loan
|
---|---|---|
Assets: | ||
Non-Agency RMBS, at fair value | $ 3,330,063 | $ 3,675,841 |
Agency RMBS, at fair value | 4,167,754 | 6,514,824 |
Securitized loans held for investment, at fair value | 8,753,653 | 4,768,416 |
Derivative assets, at fair value, net | 9,677 | 15,460 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | (6,941,097) | (3,720,496) |
Derivative liabilities, at fair value, net | (2,350) | (9,634) |
Fair Value, Measurements, Recurring | ||
Assets: | ||
Non-Agency RMBS, at fair value | 3,330,063 | 3,675,841 |
Agency RMBS, at fair value | 4,167,754 | 6,514,824 |
Securitized loans held for investment, at fair value | 8,753,653 | 4,768,416 |
Derivative assets, Counterparty and Cash Collateral, netting | (14,435) | (5,126) |
Derivative assets, at fair value, net | 9,677 | 15,460 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | (6,941,097) | (3,720,496) |
Derivative liabilities, counterparty and cash collateral, netting | 14,875 | 47,600 |
Derivative liabilities, at fair value, net | (2,350) | (9,634) |
Total | 9,317,700 | 11,244,411 |
Derivatives, counterparty and cash collateral, netting | 440 | 42,474 |
Fair Value, Measurements, Recurring | Level 1 | ||
Assets: | ||
Derivative assets | 1,785 | 1,599 |
Liabilities: | ||
Derivative liabilities | 0 | (192) |
Total | 1,785 | 1,407 |
Fair Value, Measurements, Recurring | Level 2 | ||
Assets: | ||
Agency RMBS, at fair value | 4,167,754 | 6,514,824 |
Derivative assets | 22,327 | 18,987 |
Liabilities: | ||
Derivative liabilities | (17,225) | (57,042) |
Total | 4,172,856 | 6,476,769 |
Fair Value, Measurements, Recurring | Level 3 | ||
Assets: | ||
Non-Agency RMBS, at fair value | 3,330,063 | 3,675,841 |
Securitized loans held for investment, at fair value | 8,753,653 | 4,768,416 |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | (6,941,097) | (3,720,496) |
Total | $ 5,142,619 | $ 4,723,761 |
Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Loans internally valued lower than third party prices | loan | 10 | 2 |
Excess (deficit) of third party prices over internally developed price | $ 16,000 | $ (1,000) |
Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Excess (deficit) of third party prices over internally developed price | 50,000 | |
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | 123,000 | 10,000 |
Internal Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | 1,600,000 | |
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Mortgage Backed Securities | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | 107,000 | $ 11,000 |
Third Party Assessment | Investments with Difference Between Model Price and Third-Party Price | Securitized Loans Held For Investment | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Fair value | $ 1,550,000 |
Fair Value Measurements - Unobservable Input Reconciliation (Detail) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis [Roll Forward] | ||
Derivatives, Beginning balance | $ 0 | $ (71) |
Derivatives, Sales and Settlements | (597) | |
Derivatives, Realized gains (losses) on sales and settlements included in net income | 443 | |
Derivatives, Net unrealized gains (losses) included in income | 225 | |
Derivatives, Ending balance | 0 | |
Fair Value Assets (Liabilities) Measured On Recurring Basis, Unobservable Input Reconciliation Calculation [Roll Forward] | ||
Total, Beginning balance, Level 3 | 4,723,761 | 4,327,362 |
Total, Transfer due to consolidation/deconsolidation | (103,720) | |
Total, Purchases | 358,029 | (46,084) |
Total, Principal payments | (495,256) | (350,489) |
Total, Sales and Settlements | 463,885 | 1,132,526 |
Total, Accretion (amortization) of purchase discounts | 77,147 | 92,392 |
Total, Other than temporary credit impairment losses | 57,986 | 67,444 |
Total, Realized gains (losses) on sales and settlements | 13,639 | 23,236 |
Total, Net unrealized gains (losses) included in income | 60,044 | (147,934) |
Total, Total unrealized gains (losses) for the period | (644) | (136,084) |
Total, Ending balance, Level 3 | 5,142,619 | 4,723,761 |
Securitized Debt | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | ||
Fair Value, Liabilities Measured on Recurring Basis [Roll Forward] | ||
Securitized Debt, Beginning balance, Level 3 | (3,720,496) | (4,383,217) |
Securitized Debt, Transfers in to Level 3 assets | 0 | 0 |
Securitized Debt, Transfers out of Level 3 assets | 0 | 0 |
Securitized Debt, Transfer due to consolidation/deconsolidation | 243,732 | |
Securitized Debt, Purchases | (4,797,255) | (1,668,654) |
Securitized Debt, Principal payments | 1,059,854 | 743,329 |
Securitized Debt, Sales and Settlements | 608,816 | 1,395,292 |
Securitized Debt, Accretion (amortization) of purchase discounts | (2,128) | (6,344) |
Securitized Debt, Realized gains (losses) on sales and settlements | (122) | (5,930) |
Securitized Debt, Net unrealized gains (losses) included in income | (89,766) | (38,704) |
Securitized Debt, Gains (losses) included in other comprehensive income | 0 | 0 |
Securitized Debt, Ending balance, Level 3 | (6,941,097) | (3,720,496) |
Non-agency MBS | ||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | ||
Beginning balance Level 3 assets | 3,675,841 | 3,404,149 |
Transfers in to Level 3 assets | 0 | 0 |
Transfers out of Level 3 assets | 0 | 0 |
Transfer due to consolidation/deconsolidation | (59,646) | |
Purchases | 257,914 | 1,045,534 |
Principal payments | (532,696) | (385,822) |
Sales and Settlements | (149,938) | (252,532) |
Accretion (amortization) of purchase discounts | 120,638 | 117,836 |
Other than temporary credit impairment losses | (57,986) | (67,444) |
Realized gains (losses) on sales and settlements | 13,761 | 28,724 |
Net unrealized gains (losses) included in income | 3,173 | (18,874) |
Total unrealized gains (losses) for the period | (644) | (136,084) |
Ending balance Level 3 assets | 3,330,063 | 3,675,841 |
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | ||
Fair Value, Assets Measured on Recurring Basis [Roll Forward] | ||
Beginning balance Level 3 assets | 4,768,416 | 5,306,501 |
Transfers in to Level 3 assets | 0 | 0 |
Transfers out of Level 3 assets | 0 | 0 |
Transfer due to consolidation/deconsolidation | 0 | (287,806) |
Purchases | 4,897,370 | 577,036 |
Principal payments | (1,022,414) | (707,996) |
Sales and Settlements | 5,007 | (9,638) |
Accretion (amortization) of purchase discounts | (41,363) | 19,100 |
Net unrealized gains (losses) included in income | (90,581) | |
Change in fair value | 146,637 | (90,581) |
Total unrealized gains (losses) for the period | 0 | 0 |
Ending balance Level 3 assets | $ 8,753,653 | $ 4,768,416 |
Fair Value Measurements - Unobservable Input Reconciliation - Additional Information (Detail) $ in Millions |
Dec. 31, 2014
USD ($)
|
---|---|
Securitized Loans Held for Investment, Fair Value Option | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |
Securitized loans held for investment, at fair value | $ 607 |
Fair Value Measurements - Unobservable Inputs Assumptions - Non-Agency RMBS Held for Investment (Detail) - Level 3 |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, discount rate | 5.40% | 5.50% |
Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, discount rate | 12.50% | 13.10% |
Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, discount rate | 6.20% | 6.60% |
Non-Agency RMBS - Subordinated interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, discount rate | 13.20% | 17.40% |
Minimum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 1.00% | 1.00% |
Significant unobservable input, default rate | 0.00% | 0.00% |
Significant unobservable input, loss severity rate | 35.00% | 35.00% |
Minimum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 3.00% | 3.00% |
Significant unobservable input, default rate | 0.00% | 0.00% |
Significant unobservable input, loss severity rate | 35.00% | 1.00% |
Minimum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 1.00% | 1.00% |
Significant unobservable input, default rate | 0.00% | 0.00% |
Significant unobservable input, loss severity rate | 0.00% | 5.00% |
Minimum | Non-Agency RMBS - Subordinated interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 6.00% | 6.00% |
Significant unobservable input, default rate | 0.00% | 0.00% |
Significant unobservable input, loss severity rate | 35.00% | 1.00% |
Maximum | Non-Agency RMBS - Senior | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 35.00% | 17.00% |
Significant unobservable input, default rate | 22.00% | 22.00% |
Significant unobservable input, loss severity rate | 95.00% | 95.00% |
Maximum | Non-Agency RMBS - Senior interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 30.00% | 25.00% |
Significant unobservable input, default rate | 22.00% | 23.00% |
Significant unobservable input, loss severity rate | 95.00% | 95.00% |
Maximum | Non-Agency RMBS - Subordinated | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 25.00% | 22.00% |
Significant unobservable input, default rate | 18.00% | 20.00% |
Significant unobservable input, loss severity rate | 79.00% | 91.00% |
Maximum | Non-Agency RMBS - Subordinated interest-only | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 15.00% | 13.00% |
Significant unobservable input, default rate | 11.00% | 10.00% |
Significant unobservable input, loss severity rate | 76.00% | 64.00% |
Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Debt (Detail) - Level 3 - Securitized Debt at Fair Value, Collateralized by Loans Held for Investment |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Minimum | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 1.00% | 4.00% |
Significant unobservable input, default rate | 0.00% | 0.00% |
Significant unobservable input, loss severity rate | 35.00% | 35.00% |
Maximum | ||
Fair Value Inputs, Liabilities, Quantitative Information [Line Items] | ||
Significant unobservable input, prepayment rate | 35.00% | 32.00% |
Significant unobservable input, default rate | 30.00% | 6.00% |
Significant unobservable input, loss severity rate | 65.00% | 65.00% |
Fair Value Measurements - Unobservable Inputs Assumptions - Securitized Loans Held for Investment (Detail) - Securitized Loans Held for Investment at Fair Value - Level 3 - point |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Weighted Average | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 7.10% | 6.80% |
FICO | 621 | 625 |
Loan-to-value (LTV) | 88.00% | 81.00% |
Weighted Average | Single family | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 86.00% | 77.00% |
Weighted Average | Manufactured housing | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 6.00% | 11.00% |
Weighted Average | Multi-family/mixed use/other | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 8.00% | 12.00% |
Weighted Average | Owner Occupied | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 97.00% | 96.00% |
Weighted Average | Investor | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 2.00% | 4.00% |
Weighted Average | Secondary | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Weighted average percent | 1.00% | 0.00% |
Base Rate | ||
Fair Value Inputs, Assets, Quantitative Information [Line Items] | ||
Coupon | 5.20% | 4.80% |
FICO | 632 | 620 |
Loan-to-value (LTV) | 87.00% | 90.00% |
Fair Value Measurements - Carrying and Fair Values (Detail) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | $ 334,124 | $ 529,415 |
Carrying Amount | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | 5,600,903 | 7,439,339 |
Carrying Amount | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | 334,124 | 529,415 |
Fair Value | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Repurchase agreements | 5,619,385 | 7,466,409 |
Fair Value | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Securitized debt, collateralized by Non-Agency RMBS | $ 324,261 | $ 518,941 |
Repurchase Agreements - Outstanding, Weighted Average Borrowing Rates, Weighted Average Remaining Maturities, Average Daily Balances and the Fair Value of Collateral Pledged (Detail) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 5,600,903 | $ 7,439,339 |
Repurchase Agreements | Agency MBS - Residential | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 3,087,734 | 5,324,729 |
Average daily balance | $ 4,159,651 | $ 5,776,980 |
Weighted average borrowing rate | 0.90% | 0.64% |
Weighted average maturity | 32 days | 53 days |
Securities pledged as collateral | $ 3,334,245 | $ 5,655,410 |
Repurchase Agreements | Non-agency MBS | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 2,513,169 | 2,114,610 |
Average daily balance | $ 2,322,683 | $ 1,627,909 |
Weighted average borrowing rate | 3.05% | 2.44% |
Weighted average maturity | 98 days | 137 days |
Securities pledged as collateral | $ 3,699,621 | $ 3,117,875 |
Repurchase Agreements | Residential Mortgage-Backed Securities | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 5,600,903 | 7,439,339 |
Average daily balance | 6,482,334 | 7,404,889 |
Securities pledged as collateral | $ 7,033,866 | $ 8,773,285 |
Repurchase Agreements - Maturities (Detail) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 5,600,903 | $ 7,439,339 |
Overnight | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 0 | 0 |
1 to 29 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 2,947,604 | 3,312,902 |
30 to 59 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 958,956 | 2,501,513 |
60 to 89 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 407,625 | 246,970 |
90 to 119 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | 559,533 | 430,026 |
Greater than or equal to 120 days | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Repurchase agreements outstanding | $ 727,185 | $ 947,928 |
Repurchase Agreements - Narrative (Detail) - Repurchase Agreements - USD ($) $ in Millions |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Nomura Securities Company Limited | ||
Short-term Debt [Line Items] | ||
Amount at risk | $ 320 | |
Credit Suisse First Boston | ||
Short-term Debt [Line Items] | ||
Amount at risk | $ 303 | |
Securities Pledged as Collateral | Nomura Securities Company Limited | Credit Concentration Risk | Stockholders' Equity, Total | ||
Short-term Debt [Line Items] | ||
Collateral posted on repurchase agreements, percentage of equity | 10.00% | |
Weighted average maturity | 104 days | |
Securities Pledged as Collateral | Credit Suisse First Boston | Credit Concentration Risk | Stockholders' Equity, Total | ||
Short-term Debt [Line Items] | ||
Collateral posted on repurchase agreements, percentage of equity | 10.00% | |
Weighted average maturity | 25 days |
Securitized Debt - Narrative (Detail) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
Sep. 30, 2015 |
Jun. 30, 2015 |
Mar. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Debt Instrument [Line Items] | |||||||||||
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS | $ 0 | $ 0 | $ 56,072 | ||||||||
Loss on extinguishment of debt | $ (1,334) | $ 45 | $ 0 | $ 1,766 | $ (8,906) | $ 19,915 | $ (5,079) | $ 0 | 477 | 5,930 | 2,184 |
Net unrealized losses on financial instruments at fair value | 20,664 | $ (32,999) | $ (30,347) | $ (16,871) | 69,793 | $ 40,955 | $ 37,260 | $ 10,425 | (59,552) | 158,433 | $ (193,534) |
Securitized Loans | Non-agency MBS | |||||||||||
Debt Instrument [Line Items] | |||||||||||
Acquired securitized debt collateral outstanding principal balance | 10,000 | ||||||||||
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS | 11,000 | ||||||||||
Loss on extinguishment of debt | 355 | ||||||||||
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Non-agency MBS | |||||||||||
Debt Instrument [Line Items] | |||||||||||
Principal balance of debt | $ 350,000 | $ 545,000 | $ 350,000 | $ 545,000 | |||||||
Weighted average cost of financing | 5.21% | 4.49% | 5.21% | 4.49% | |||||||
Securitized Loans | Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | Loans Held for Investment | |||||||||||
Debt Instrument [Line Items] | |||||||||||
Principal balance of debt | $ 7,100,000 | $ 3,800,000 | $ 7,100,000 | $ 3,800,000 | |||||||
Weighted average cost of financing | 3.99% | 3.24% | 3.99% | 3.24% | |||||||
Net unrealized losses on financial instruments at fair value | $ 90,000 | $ 39,000 | |||||||||
Securitized Loans | Variable Interest Entity, Primary Beneficiary | Loans Held for Investment | |||||||||||
Debt Instrument [Line Items] | |||||||||||
Acquired securitized debt collateral outstanding principal balance | 609,000 | 1,400,000 | |||||||||
Repurchase of securitized debt borrowings, collateralized by Non-Agency RMBS | 609,000 | 1,400,000 | |||||||||
Loss on extinguishment of debt | $ 122 | $ 6,000 |
Securitized Debt - Maturities (Detail) - Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure - Securitized Loans - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Non-agency MBS | ||
Debt Instrument [Line Items] | ||
Within One Year | $ 98,565 | $ 137,642 |
One to Three Years | 82,563 | 178,191 |
Three to Five Years | 23,854 | 60,872 |
Greater Than Five Years | 31,973 | 52,280 |
Total | 236,955 | 428,985 |
Loans Held for Investment | ||
Debt Instrument [Line Items] | ||
Within One Year | 1,151,519 | 591,171 |
One to Three Years | 1,841,808 | 941,704 |
Three to Five Years | 1,423,706 | 734,291 |
Greater Than Five Years | 2,477,123 | 1,502,663 |
Total | $ 6,894,156 | $ 3,769,829 |
Securitized Debt - Callable Debt (Detail) - Securitized Loans $ in Thousands |
Dec. 31, 2016
USD ($)
|
---|---|
Debt Instrument, Redemption [Line Items] | |
2017 | $ 1,208,854 |
2018 | 1,192,544 |
2019 | 477,317 |
2020 | 3,821,338 |
2021 | 112,759 |
Total | $ 6,812,812 |
Consolidated Securitization Vehicles and Other Variable Interest Entities - Narrative (Detail) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Non-agency MBS | ||
Variable Interest Entity [Line Items] | ||
Unconsolidated VIEs, aggregate investment | $ 1,500,000 | $ 1,500,000 |
Non-agency MBS | Minimum | ||
Variable Interest Entity [Line Items] | ||
Unconsolidated VIEs, individual investments (Less than $1 million minimum) | 1,000 | 1,000 |
Non-agency MBS | Maximum | ||
Variable Interest Entity [Line Items] | ||
Unconsolidated VIEs, individual investments (Less than $1 million minimum) | 51,000 | 54,000 |
Variable Interest Entities, Primary Beneficiary, Aggregated Disclosure | ||
Variable Interest Entity [Line Items] | ||
Assets | 10,761,954 | 7,031,278 |
Liabilities | 7,300,163 | 4,262,017 |
Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure | ||
Variable Interest Entity [Line Items] | ||
Variable interest entity, reporting entity involvement, maximum loss exposure, amount | 1,400,000 | $ 1,500,000 |
Subprime | Residential Mortgage | ||
Variable Interest Entity [Line Items] | ||
Mortgage loans | $ 5,200,000 |
Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Financial Condition (Detail) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Assets: | ||
Non-Agency RMBS, at fair value | $ 3,330,063 | $ 3,675,841 |
Securitized loans held for investment, at fair value | 8,753,653 | 4,768,416 |
Accrued interest receivable | 79,697 | 66,247 |
Other assets | 166,350 | 189,796 |
Liabilities: | ||
Securitized debt, collateralized by Non-Agency RMBS | 334,124 | 529,415 |
Securitized debt at fair value, collateralized by loans held for investment | 6,941,097 | 3,720,496 |
Accrued interest payable | 48,670 | 37,432 |
Variable Interest Entity, Primary Beneficiary | ||
Assets: | ||
Non-Agency RMBS, at fair value | 1,842,080 | 2,140,494 |
Securitized loans held for investment, at fair value | 8,753,653 | 4,768,416 |
Accrued interest receivable | 57,153 | 35,916 |
Other assets | 109,068 | 86,452 |
Liabilities: | ||
Securitized debt, collateralized by Non-Agency RMBS | 334,124 | 529,415 |
Securitized debt at fair value, collateralized by loans held for investment | 6,941,097 | 3,720,496 |
Accrued interest payable | 24,942 | $ 12,106 |
Consolidated Trusts | Variable Interest Entity, Primary Beneficiary | ||
Assets: | ||
Securitized loans held for investment, at fair value | 4,942,571 | |
Other assets | 39,318 | |
Liabilities: | ||
Securitized debt at fair value, collateralized by loans held for investment | $ 4,213,034 |
Consolidated Securitization Vehicles and Other Variable Interest Entities - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
Sep. 30, 2015 |
Jun. 30, 2015 |
Mar. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Variable Interest Entity [Line Items] | |||||||||||
Net interest income | $ 154,086 | $ 156,042 | $ 137,869 | $ 138,213 | $ 136,957 | $ 143,966 | $ 149,760 | $ 182,689 | $ 586,211 | $ 613,372 | $ 540,010 |
Total other-than-temporary impairment losses | (1,034) | (993) | (3,139) | (4,423) | (2,311) | (3,129) | (2,208) | (1,052) | (9,589) | (8,700) | (8,713) |
Portion of loss recognized in other comprehensive income | (13,746) | (10,581) | (17,816) | (6,255) | (12,385) | (14,703) | (24,893) | (6,763) | (48,398) | (58,744) | (55,279) |
Net other-than-temporary credit impairment losses | $ (14,780) | $ (11,574) | $ (20,955) | $ (10,678) | $ (14,696) | $ (17,832) | $ (27,101) | $ (7,815) | (57,987) | (67,444) | (63,992) |
Variable Interest Entity, Primary Beneficiary | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Total other-than-temporary impairment losses | (1,274) | (2,066) | (3,374) | ||||||||
Portion of loss recognized in other comprehensive income | (37,475) | (55,552) | (55,392) | ||||||||
Net other-than-temporary credit impairment losses | (38,749) | (57,618) | (58,766) | ||||||||
Non Agency Residential Mortgage Backed Securities And Securitized Loans | Variable Interest Entity, Primary Beneficiary | |||||||||||
Variable Interest Entity [Line Items] | |||||||||||
Interest income, Assets of consolidated VIEs | 678,623 | 575,715 | 428,992 | ||||||||
Interest expense, Non-recourse liabilities of VIEs | (249,708) | (191,922) | (119,103) | ||||||||
Net interest income | $ 428,915 | $ 383,793 | $ 309,889 |
Derivative Instruments - Effect on Consolidated Financial Condition (Detail) - USD ($) |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Derivatives, Fair Value [Line Items] | ||
Notional Amount Outstanding | $ 2,640,600,000 | $ 6,086,600,000 |
Net Estimated Fair Value/Carrying Value | 9,677,000 | 15,460,000 |
Net Estimated Fair Value/Carrying Value | (2,350,000) | (9,634,000) |
Interest Rate Swaps | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount Outstanding | 1,396,900,000 | 4,555,400,000 |
Net Estimated Fair Value/Carrying Value | 0 | 1,232,000 |
Net Estimated Fair Value/Carrying Value | 0 | (6,369,000) |
Swaptions | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount Outstanding | 624,000,000 | 779,000,000 |
Net Estimated Fair Value/Carrying Value | 7,892,000 | 12,821,000 |
Net Estimated Fair Value/Carrying Value | (2,350,000) | (3,265,000) |
Treasury Futures | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount Outstanding | 619,700,000 | 752,200,000 |
Net Estimated Fair Value/Carrying Value | 1,785,000 | 1,407,000 |
Net Estimated Fair Value/Carrying Value | $ 0 | $ 0 |
Derivative Instruments - Effect on Consolidated Results (Detail) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
Sep. 30, 2015 |
Jun. 30, 2015 |
Mar. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||
Net unrealized gains (losses) on derivatives | $ 50,093 | $ 67,385 | $ (103,496) | ||||||||
Net realized gains (losses) on derivatives | 0 | 0 | (1,246) | ||||||||
Net gains (losses) on derivatives | $ 115,523 | $ 13,360 | $ (47,755) | $ (136,537) | $ 44,546 | $ (92,700) | $ 40,127 | $ (106,610) | (55,409) | (114,637) | (186,348) |
Interest Rate Swaps | |||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||
Net unrealized gains (losses) on derivatives | 47,170 | 64,819 | (84,913) | ||||||||
Net realized gains (losses) on derivatives | (88,722) | (146,173) | (52,523) | ||||||||
Mortgage Options | |||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||
Net unrealized gains (losses) on derivatives | 0 | 225 | 340 | ||||||||
Net realized gains (losses) on derivatives | 0 | 443 | 7,505 | ||||||||
Treasury Futures | |||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||
Net unrealized gains (losses) on derivatives | 378 | 8,634 | (17,856) | ||||||||
Net realized gains (losses) on derivatives | (9,170) | (35,523) | (38,552) | ||||||||
Swaptions | |||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||
Net unrealized gains (losses) on derivatives | 2,545 | (6,294) | (1,067) | ||||||||
Net realized gains (losses) on derivatives | (7,044) | (353) | (24) | ||||||||
Other Derivatives | |||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||
Net unrealized gains (losses) on derivatives | 0 | 0 | 0 | ||||||||
Net realized gains (losses) on derivatives | $ (566) | $ (415) | $ 742 |
Derivative Instruments - Effect on Consolidated Results - Additional Information (Detail) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||
Realized gains (losses) on terminations of interest rate swaps | $ (60,616) | $ (98,949) | $ 0 |
Derivative Instruments - Narrative (Detail) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Derivatives, Fair Value [Line Items] | |||
Realized losses on terminations of interest rate swaps | $ 60,616 | $ 98,949 | $ 0 |
The weighted average pay rate on the Company's interest rate swaps | 2.13% | 1.51% | |
The weighted average receive rate on the Company's interest rate swaps | 0.90% | 0.36% | |
The weighted average maturity on the Company's interest rate swaps | 8 years | 4 years | 6 years |
Fair value of credit risk derivative instruments in a net liability position | $ 1,000 | ||
Early Terminated Interest Rate Swaps | |||
Derivatives, Fair Value [Line Items] | |||
Derivative instruments terminated | $ 3,300,000 | $ 1,200,000 |
Capital Stock - Preferred Stock (Details) - USD ($) $ / shares in Units, $ in Thousands |
1 Months Ended | 3 Months Ended | 12 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|---|
Nov. 30, 2016 |
Oct. 31, 2016 |
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Class of Stock [Line Items] | |||||||||
Dividends declared on preferred stock | $ 2,449 | $ 0 | $ 0 | $ 0 | $ 2,449 | $ 0 | $ 0 | ||
Preferred Class A | |||||||||
Class of Stock [Line Items] | |||||||||
Preferred Stock, shares authorized (shares) | 5,800,000 | 100,000,000 | 100,000,000 | 100,000,000 | |||||
Preferred Stock, dividend rate (percent) | 8.00% | 8.00% | 8.00% | ||||||
Preferred Stock, par value (usd per share) | $ 0.01 | $ 0.01 | $ 0.01 | $ 0.01 | |||||
Sale of stock price (in USD per share) | 25.00 | ||||||||
Preferred stock, redemption price per share (in USD per share) | $ 25.00 | ||||||||
Preferred stock, issuance cost and discount on shares | $ 140,000 | ||||||||
Dividends declared on preferred stock | $ 2,000 | ||||||||
Preferred stock dividends declared (in USD per share) | $ 0.42 |
Capital Stock - Common Stock (Detail) - USD ($) |
3 Months Ended | 6 Months Ended | 12 Months Ended | |||
---|---|---|---|---|---|---|
Mar. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
Aug. 05, 2015 |
|
Class of Stock [Line Items] | ||||||
Stock repurchase program, authorized amount | $ 350,000,000 | $ 250,000,000 | ||||
Stock repurchase program, additional authorized amount | $ 100,000,000 | |||||
Number of shares repurchased (shares) | 18,000,000 | 0 | ||||
Repurchase price per share (usd per share) | $ 13.94 | |||||
Value of shares repurchased | $ 250,000,000 | |||||
Stock repurchase program, remaining authorized repurchase amount | $ 100,000,000 | |||||
Common dividends declared | $ 458,735,000 | $ 378,804,000 | $ 369,855,000 | |||
Common dividends declared, per share (usd per share) | $ 2.44 | $ 1.92 | $ 1.80 | |||
Regular Dividend | ||||||
Class of Stock [Line Items] | ||||||
Common dividends declared | $ 364,000,000 | $ 379,000,000 | $ 370,000,000 | |||
Common dividends declared, per share (usd per share) | $ 1.94 | $ 1.92 | $ 1.80 | |||
Special Dividend | ||||||
Class of Stock [Line Items] | ||||||
Common dividends declared | $ 94,000,000 | |||||
Common dividends declared, per share (usd per share) | $ 0.50 |
Capital Stock - Earnings Per Share (Detail) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
Sep. 30, 2015 |
Jun. 30, 2015 |
Mar. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Numerator: | |||||||||||
Net income (loss) available to common shareholders | $ 219,454 | $ 172,817 | $ 74,127 | $ 83,098 | $ 549,494 | $ 250,349 | $ 589,205 | ||||
Effect of dilutive securities: | 0 | 0 | 0 | ||||||||
Dilutive net income available to common shareholders | $ 549,494 | $ 250,349 | $ 589,205 | ||||||||
Denominator: | |||||||||||
Weighted average basic shares (shares) | 187,728,634 | 199,563,196 | 205,450,095 | ||||||||
Effect of dilutive securities (shares) | 296,204 | 86,981 | 58,674 | ||||||||
Weighted average dilutive shares (shares) | 188,024,838 | 199,650,177 | 205,508,769 | ||||||||
Net income per average share attributable to common stockholders - Basic (usd per share) | $ 1.17 | $ 0.92 | $ 0.39 | $ 0.44 | $ 0.61 | $ (0.24) | $ 0.57 | $ 0.33 | $ 2.93 | $ 1.25 | $ 2.87 |
Net income per average share attributable to common stockholders - Diluted (usd per share) | $ 2.92 | $ 1.25 | $ 2.87 |
Accumulated Other Comprehensive Income - Components of AOCI (Detail) - USD ($) $ in Thousands |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
AOCI [Roll Forward] | ||
Beginning Balance | $ 2,946,188 | $ 3,607,690 |
Ending Balance | 3,123,533 | 2,946,188 |
Unrealized gains (losses) on available-for-sale securities, net | ||
AOCI [Roll Forward] | ||
Beginning Balance | 773,791 | 1,046,680 |
OCI before reclassifications | (88,527) | (263,049) |
Amounts reclassified from AOCI | 32,842 | (9,840) |
Net current period OCI | (55,685) | (272,889) |
Ending Balance | 718,106 | 773,791 |
Total Accumulated OCI Balance | ||
AOCI [Roll Forward] | ||
Beginning Balance | 773,791 | 1,046,680 |
OCI before reclassifications | (88,527) | (263,049) |
Amounts reclassified from AOCI | 32,842 | (9,840) |
Net current period OCI | (55,685) | (272,889) |
Ending Balance | $ 718,106 | $ 773,791 |
Accumulated Other Comprehensive Income - Reclassifications from AOCI (Detail) - USD ($) $ in Thousands |
3 Months Ended | 12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
Sep. 30, 2015 |
Jun. 30, 2015 |
Mar. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||||||||||
Net realized gains (losses) on sales of investments | $ 11,121 | $ 3,079 | $ 6,631 | $ (2,674) | $ 34,285 | $ 3,539 | $ 9,685 | $ 29,565 | $ 18,155 | $ 77,074 | $ 91,709 |
Net other-than-temporary credit impairment losses | 14,780 | 11,574 | 20,955 | 10,678 | 14,696 | 17,832 | 27,101 | 7,815 | 57,987 | 67,444 | 63,992 |
Income (loss) before income taxes | 552,026 | 250,350 | 589,207 | ||||||||
Income taxes | (83) | (1) | (2) | ||||||||
Net income (loss) | $ 221,903 | $ 172,817 | $ 74,127 | $ 83,098 | $ 115,380 | $ (48,259) | $ 116,187 | $ 67,042 | 551,943 | 250,349 | $ 589,205 |
Amounts Reclassified from Accumulated OCI | Unrealized gains (losses) on available-for-sale securities, net | |||||||||||
Reclassification Adjustment out of Accumulated Other Comprehensive Income [Line Items] | |||||||||||
Net realized gains (losses) on sales of investments | 25,145 | 77,284 | |||||||||
Net other-than-temporary credit impairment losses | (57,987) | 67,444 | |||||||||
Income (loss) before income taxes | (32,842) | 9,840 | |||||||||
Income taxes | 0 | 0 | |||||||||
Net income (loss) | $ (32,842) | $ 9,840 |
Equity Compensation, Employment Agreements and other Benefit Plans - Narrative (Detail) |
3 Months Ended | 12 Months Ended | ||
---|---|---|---|---|
Mar. 31, 2016
installment
|
Dec. 31, 2016
USD ($)
shares
|
Dec. 31, 2015
USD ($)
|
Dec. 31, 2014
USD ($)
|
|
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Forfeitures (shares) | shares | 0 | |||
Common dividends declared | $ 2,206,000 | $ 1,979,000 | $ 953,000 | |
Share-based compensation expense | 1,000,000 | $ 166,000 | ||
Stock Award Deferral Program | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Number of installments | installment | 5 | |||
Restricted Stock | 2007 Equity Incentive Plan | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Shares available for future grants (shares) | shares | 7,000,000 | |||
Restricted Stock | Minimum | 2007 Equity Incentive Plan | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting period | 2 years | |||
Restricted Stock | Maximum | 2007 Equity Incentive Plan | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting period | 10 years | |||
Restricted Stock Units (RSUs) | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting period | 3 years | |||
Forfeitures (shares) | shares | 360,000 | |||
Grant date fair value | $ 5,000,000 | |||
Restricted Stock Units (RSUs) | One year from grant date | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 33.33% | |||
Restricted Stock Units (RSUs) | Two years from grant date | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 33.33% | |||
Restricted Stock Units (RSUs) | Three years from grant date | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 33.33% | |||
Performance Share Units | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting period | 3 years | |||
Grant date fair value | $ 3,000,000 | |||
Granted shares (shares) | shares | 180,000 | |||
Performance period | 3 years | |||
Performance Share Units | One year from grant date | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 33.33% | |||
Performance Share Units | Two years from grant date | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 33.33% | |||
Performance Share Units | Three years from grant date | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 33.33% | |||
Performance Share Units | Minimum | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 0.00% | |||
Performance Share Units | Maximum | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Vesting percentage | 150.00% | |||
401(k) Plan | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Maximum annual contributions per employee, amount | $ 18,000 | |||
Maximum annual contribution per employee, additional contribution per employee over certain age | 6,000 | |||
Expense related to qualified plan | $ 335,000 | $ 82,000 | ||
401(k) Plan | Maximum | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Employer matching contribution, percent of match | 100.00% | |||
Employer matching contribution, percent of employees' gross pay | 6.00% |
Equity Compensation, Employment Agreements and other Benefit Plans - Schedule of Unvested Shares Outstanding (Details) - $ / shares |
12 Months Ended | |
---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
|
Number of Shares | ||
Forfeited (in shares) | 0 | |
Stock award | ||
Number of Shares | ||
Unvested shares outstanding - end of period (in shares) | 71,000 | 39,480 |
Granted (in shares) | 539,847 | 84,692 |
Vested (in shares) | (33,300) | (50,988) |
Forfeited (in shares) | 0 | (2,184) |
Unvested shares outstanding - end of period (in shares) | 577,547 | 71,000 |
Weighted Average Grant Date Fair Value | ||
Unvested shares outstanding - beginning of period (in USD per share) | $ 28.39 | $ 88.60 |
Granted (in USD per share) | 13.49 | 15.35 |
Vested (in USD per share) | 27.23 | 88.60 |
Forfeited (in USD per share) | 0.00 | 88.60 |
Unvested shares outstanding - end of period (in USD per share) | $ 14.53 | $ 28.39 |
Income Taxes Income Taxes (Details) - USD ($) $ in Thousands |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Income Tax Disclosure [Abstract] | |||
Income tax expense | $ 83 | $ 1 | $ 2 |
Deferred tax assets recorded | 5,000 | 4,000 | |
Deferred tax assets related to cumulative net operating losses | 2,000 | 3,000 | |
Deferred tax assets related to other losses | 3,000 | 1,000 | |
Valuation allowance | $ 5,000 | $ 4,000 |
Credit Risk and Interest Rate Risk - Offsetting Assets and Liabilities (Detail) - USD ($) $ in Thousands |
Dec. 31, 2016 |
Dec. 31, 2015 |
---|---|---|
Repurchase Agreements | ||
Gross Amounts of Recognized Assets (Liabilities) | $ (5,600,903) | $ (7,439,339) |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | (5,600,903) | (7,439,339) |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 7,033,866 | 8,773,285 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 2,545 | 37,296 |
Net Amount | 1,435,508 | 1,371,242 |
Derivative Asset [Abstract] | ||
Net Amounts Offset in the Consolidated Statements of Financial Position | 9,677 | 15,460 |
Derivative Liability [Abstract] | ||
Net Amounts Offset in the Consolidated Statements of Financial Position | (2,350) | (9,634) |
Total [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | (5,594,016) | (7,475,795) |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 440 | 42,282 |
Net Amounts Offset in the Consolidated Statements of Financial Position | (5,593,576) | (7,433,513) |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 7,044,207 | 8,781,874 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 45,492 | 95,140 |
Net Amount | 1,496,123 | 1,443,501 |
Interest Rate Swaps | ||
Derivative Asset [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | 14,435 | 6,166 |
Gross Amounts Offset in the Consolidated Statements of Financial Position | (14,435) | (4,934) |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 1,232 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | 0 |
Net Amount | 0 | 1,232 |
Derivative Liability [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | (14,875) | (53,777) |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 14,875 | 47,408 |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | (6,369) |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | 8,589 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 39,627 | 51,424 |
Net Amount | 39,627 | 53,644 |
Treasury Futures | ||
Derivative Asset [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | 1,785 | 1,599 |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | (192) |
Net Amounts Offset in the Consolidated Statements of Financial Position | 1,785 | 1,407 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 3,320 | 6,420 |
Net Amount | 5,105 | 7,827 |
Derivative Liability [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | 0 | |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | |
Net Amount | 0 | |
Swaptions | ||
Derivative Asset [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | 7,892 | 12,821 |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | 7,892 | 12,821 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | 0 |
Net Amount | 7,892 | 12,821 |
Derivative Liability [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | (2,350) | (3,265) |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | 0 |
Net Amounts Offset in the Consolidated Statements of Financial Position | (2,350) | (3,265) |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 10,341 | 0 |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | 0 |
Net Amount | 7,991 | $ (3,265) |
Other Derivatives | ||
Derivative Asset [Abstract] | ||
Gross Amounts of Recognized Assets (Liabilities) | 0 | |
Gross Amounts Offset in the Consolidated Statements of Financial Position | 0 | |
Net Amounts Offset in the Consolidated Statements of Financial Position | 0 | |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Financial Instruments | 0 | |
Gross Amounts Not Offset with Financial Assets (Liabilities) in the Consolidated Statements of Financial Position, Cash Collateral (Received) Pledged | 0 | |
Net Amount | $ 0 |
Commitments and Contingencies (Details) $ in Millions |
3 Months Ended |
---|---|
Mar. 31, 2016
USD ($)
| |
Non-agency MBS | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |
Third party recovery | $ 95 |
Summarized Quarterly Results (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands |
3 Months Ended | 12 Months Ended | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2016 |
Sep. 30, 2016 |
Jun. 30, 2016 |
Mar. 31, 2016 |
Dec. 31, 2015 |
Sep. 30, 2015 |
Jun. 30, 2015 |
Mar. 31, 2015 |
Dec. 31, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
||||||||
Net Interest Income: | ||||||||||||||||||
Interest income | $ 260,823 | $ 250,953 | $ 221,096 | $ 201,194 | $ 201,912 | $ 211,876 | $ 215,804 | $ 243,145 | $ 934,068 | [1] | $ 872,737 | [1] | $ 687,795 | [1] | ||||
Interest expense | 106,737 | 94,911 | 83,227 | 62,981 | 64,955 | 67,910 | 66,044 | 60,456 | 347,857 | [2] | 259,365 | [2] | 147,785 | [2] | ||||
Net interest income | 154,086 | 156,042 | 137,869 | 138,213 | 136,957 | 143,966 | 149,760 | 182,689 | 586,211 | 613,372 | 540,010 | |||||||
Other-than-temporary impairments: | ||||||||||||||||||
Total other-than-temporary impairment losses | (1,034) | (993) | (3,139) | (4,423) | (2,311) | (3,129) | (2,208) | (1,052) | (9,589) | (8,700) | (8,713) | |||||||
Portion of loss recognized in other comprehensive income | (13,746) | (10,581) | (17,816) | (6,255) | (12,385) | (14,703) | (24,893) | (6,763) | (48,398) | (58,744) | (55,279) | |||||||
Net other-than-temporary credit impairment losses | (14,780) | (11,574) | (20,955) | (10,678) | (14,696) | (17,832) | (27,101) | (7,815) | (57,987) | (67,444) | (63,992) | |||||||
Net gains (losses) on derivatives | 115,523 | 13,360 | (47,755) | (136,537) | 44,546 | (92,700) | 40,127 | (106,610) | (55,409) | (114,637) | (186,348) | |||||||
Net unrealized gains (losses) on financial instruments at fair value | (20,664) | 32,999 | 30,347 | 16,871 | (69,793) | (40,955) | (37,260) | (10,425) | 59,552 | (158,433) | 193,534 | |||||||
Gain (loss) on deconsolidation | 0 | 0 | 0 | 0 | (256) | 0 | 0 | 0 | 0 | (256) | 47,846 | |||||||
Gains (losses) on Extinguishment of Debt | 1,334 | (45) | 0 | (1,766) | 8,906 | (19,915) | 5,079 | 0 | (477) | (5,930) | (2,184) | |||||||
Net realized gains (losses) on sales of investments | 11,121 | 3,079 | 6,631 | (2,674) | 34,285 | 3,539 | 9,685 | 29,565 | 18,155 | 77,074 | 91,709 | |||||||
Other income | 0 | 0 | 0 | 95,000 | 95,000 | 0 | 23,783 | |||||||||||
Total other expenses | 24,698 | 21,031 | 31,987 | 15,302 | 24,569 | 24,362 | 24,103 | 20,362 | 93,019 | 93,396 | 55,151 | |||||||
Net income (loss) | 221,903 | 172,817 | 74,127 | 83,098 | $ 115,380 | $ (48,259) | $ 116,187 | $ 67,042 | 551,943 | 250,349 | 589,205 | |||||||
Dividend on preferred stock | 2,449 | 0 | 0 | 0 | 2,449 | 0 | 0 | |||||||||||
Net income (loss) available to common shareholders | $ 219,454 | $ 172,817 | $ 74,127 | $ 83,098 | $ 549,494 | $ 250,349 | $ 589,205 | |||||||||||
Basic (usd per share) | $ 1.17 | $ 0.92 | $ 0.39 | $ 0.44 | $ 0.61 | $ (0.24) | $ 0.57 | $ 0.33 | $ 2.93 | $ 1.25 | $ 2.87 | |||||||
|
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