XML 58 R47.htm IDEA: XBRL DOCUMENT v3.7.0.1
Mortgage-Backed Securities - Collateral Characteristics (Detail) - Residential Mortgage-Backed Securities
$ in Thousands
Mar. 31, 2017
USD ($)
$ / security
Dec. 31, 2016
USD ($)
$ / security
Investment Holdings [Line Items]    
Principal or Notional Value at Period-End | $ $ 16,542,679 $ 17,062,076
Non-Agency RMBS - Senior    
Investment Holdings [Line Items]    
Principal or Notional Value at Period-End | $ $ 3,060,690 $ 3,190,947
Weighted Average Amortized Cost Basis 55.51 55.76
Weighted Average Fair Value 79.68 78.69
Weighted Average Coupon 4.40% 4.30%
Weighted Average Yield at Period-End 15.80% 15.50%
Non-Agency RMBS - Senior interest-only    
Investment Holdings [Line Items]    
Principal or Notional Value at Period-End | $ $ 5,434,402 $ 5,648,339
Weighted Average Amortized Cost Basis 5.29 5.18
Weighted Average Fair Value 4.41 4.49
Weighted Average Coupon 1.40% 1.50%
Weighted Average Yield at Period-End 10.90% 11.70%
Non-Agency RMBS - Subordinated    
Investment Holdings [Line Items]    
Principal or Notional Value at Period-End | $ $ 662,469 $ 673,259
Weighted Average Amortized Cost Basis 70.25 70.83
Weighted Average Fair Value 81.28 82.21
Weighted Average Coupon 3.80% 3.80%
Weighted Average Yield at Period-End 9.10% 9.20%
Non-Agency RMBS - Subordinated interest-only    
Investment Holdings [Line Items]    
Principal or Notional Value at Period-End | $ $ 263,126 $ 266,927
Weighted Average Amortized Cost Basis 5.18 5.20
Weighted Average Fair Value 4.48 4.50
Weighted Average Coupon 1.00% 1.10%
Weighted Average Yield at Period-End 12.80% 13.50%
Agency MBS - Residential    
Investment Holdings [Line Items]    
Principal or Notional Value at Period-End | $ $ 2,480,534 $ 2,594,570
Weighted Average Amortized Cost Basis 105.82 105.78
Weighted Average Fair Value 104.33 104.29
Weighted Average Coupon 3.90% 3.90%
Weighted Average Yield at Period-End 3.00% 3.00%
Agency MBS - Commercial    
Investment Holdings [Line Items]    
Principal or Notional Value at Period-End | $ $ 1,393,290 $ 1,331,543
Weighted Average Amortized Cost Basis 102.51 102.64
Weighted Average Fair Value 99.24 98.91
Weighted Average Coupon 3.60% 3.60%
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 | $ $ 3,248,168 $ 3,356,491
Weighted Average Amortized Cost Basis 4.29 4.53
Weighted Average Fair Value 4.04 4.31
Weighted Average Coupon 0.80% 0.80%
Weighted Average Yield at Period-End 3.60% 3.50%