XML 70 R56.htm IDEA: XBRL DOCUMENT v3.7.0.1
Investment Securities (Details) - USD ($)
$ in Thousands
3 Months Ended 12 Months Ended
Mar. 31, 2017
Mar. 31, 2016
Dec. 31, 2016
Mar. 31, 2017
Dec. 31, 2016
Investment Securities          
Investment securities       $ 730,171 $ 807,618
Purchases   $ 84,337      
Sales $ 10,434        
Principal collections 76,050 22,344      
Before consolidation of securitization VIEs          
Investment Securities          
Investment securities       $ 1,729,845 $ 1,766,642
Available-for-sale | One-month LIBOR          
Investment Securities          
Effective variable rate basis (as a percent)       0.983% 0.772%
Fair value option | VIE eliminations          
Investment Securities          
Investment securities       $ (999,674) $ (959,024)
Held-to-maturity          
Investment Securities          
Purchases   9,694      
Principal collections 60,056 3,230      
Held-to-maturity | Before consolidation of securitization VIEs          
Investment Securities          
Investment securities       452,725 509,980
RMBS          
Investment Securities          
Portion of securities with variable rate       208,300  
RMBS | Available-for-sale          
Investment Securities          
Purchases   41,470      
Principal collections 10,228 6,811      
Purchase Amortized Cost       212,829 219,171
Credit OTTI       (10,185) (10,185)
Recorded Amortized Cost       202,644 208,986
Non-Credit OTTI       (85) (94)
Gross Unrealized Gains       46,860 45,113
Gross Unrealized Losses         (90)
Net Fair Value Adjustment       46,775 44,929
Fair Value       $ 249,419 253,915
Portion of securities with variable rate         $ 211,100
Portion of securities with variable rate (as a percent)       83.50% 83.20%
Principal balance       $ 388,204 $ 399,883
Non-accretable difference       (124,742) (126,607)
Total discount       (185,560) (190,897)
Amortized cost       202,644 208,986
Credit deteriorated RMBS       361,600 371,500
Accretable yield related to credit deteriorated RMBS       $ 53,200 $ 55,900
Changes to accretable yield          
Accretion of discount (3,886)        
Transfer to/from non-accretable difference 414        
Changes to non accretable difference          
Balance at the beginning of the period 126,607        
Principal write-downs (1,451)        
Transfer to/from non-accretable difference (414)        
Balance at the end of the period $ 124,742   $ 126,607    
RMBS | Available-for-sale | LIBOR          
Investment Securities          
Variable rate, weighted average spread (as a percent) 1.22%   1.22%    
RMBS | Available-for-sale | B-          
Investment Securities          
Weighted Average Coupon (as a percent)       2.20% 2.10%
WAL 6 years 6 months   6 years 1 month 6 days    
RMBS | Available-for-sale | Before consolidation of securitization VIEs          
Investment Securities          
Investment securities       $ 249,419 $ 253,915
RMBS | Available-for-sale | Available-for-sale          
Investment Securities          
Accretable yield $ (64,290)   $ (64,290) (60,818) (64,290)
Changes to accretable yield          
Balance at the beginning of the period 64,290        
Balance at the end of the period 60,818   $ 64,290    
CMBS | Fair value option          
Investment Securities          
Purchases   33,173      
Sales 10,434        
Principal collections $ 5,766 $ 12,303      
CMBS | Fair value option | Before consolidation of securitization VIEs          
Investment Securities          
Investment securities       1,015,146 990,570
Equity security | Fair value option | Before consolidation of securitization VIEs          
Investment Securities          
Investment securities       12,555 $ 12,177
CMBS, fair value option          
Investment Securities          
Portion of securities with variable rate       $ 0