XML 46 R23.htm IDEA: XBRL DOCUMENT v3.5.0.2
Mortgage Backed Securities Mortgage backed securities designated as AFS (Details) - USD ($)
$ in Thousands
3 Months Ended 9 Months Ended
Sep. 30, 2016
Sep. 30, 2015
Sep. 30, 2016
Sep. 30, 2015
Dec. 31, 2015
Schedule of Available-for-sale Securities [Line Items]          
Available-for-sale MBS, Par Balance $ 2,261,877   $ 2,261,877   $ 2,635,705
Available-for-sale MBS, Unamortized Premium (Discount) 795,378   795,378   870,102
Available-for-sale MBS, Amortized Cost 3,057,255   3,057,255   3,505,807
Available-for-sale MBS, Gross Unrealized Gain 62,933   62,933   29,927
Available-for-sale MBS, Gross Unrealized Loss (9,721)   (9,721)   (42,033)
Available-for-sale MBS, Fair Value 3,110,467   3,110,467   3,493,701
Available-for-sale MBS, Sale Proceeds 0 $ 9,926 87,818 $ 339,332  
Available-for-sale MBS, Gross Realized Gain (Loss) 0 113 (4,238) (70)  
RMBS          
Schedule of Available-for-sale Securities [Line Items]          
Available-for-sale MBS, Par Balance 1,281,370   1,281,370   1,602,736
Available-for-sale MBS, Unamortized Premium (Discount) 61,122   61,122   77,572
Available-for-sale MBS, Amortized Cost 1,342,492   1,342,492   1,680,308
Available-for-sale MBS, Gross Unrealized Gain 5,379   5,379   4,432
Available-for-sale MBS, Gross Unrealized Loss (8,603)   (8,603)   (21,008)
Available-for-sale MBS, Fair Value 1,339,268   1,339,268   1,663,732
CMBS          
Schedule of Available-for-sale Securities [Line Items]          
Available-for-sale MBS, Par Balance 980,507   980,507   1,032,969
Available-for-sale MBS, Unamortized Premium (Discount) 3,496   3,496   5,119
Available-for-sale MBS, Amortized Cost 984,003   984,003   1,038,088
Available-for-sale MBS, Gross Unrealized Gain 44,036   44,036   17,581
Available-for-sale MBS, Gross Unrealized Loss (63)   (63)   (15,555)
Available-for-sale MBS, Fair Value 1,027,976   1,027,976   1,040,114
CMBS IO          
Schedule of Available-for-sale Securities [Line Items]          
Available-for-sale MBS, Par Balance 0   0   0
Available-for-sale MBS, Unamortized Premium (Discount) 730,760   730,760   787,411
Available-for-sale MBS, Amortized Cost 730,760   730,760   787,411
Available-for-sale MBS, Gross Unrealized Gain 13,518   13,518   7,914
Available-for-sale MBS, Gross Unrealized Loss (1,055)   (1,055)   (5,470)
Available-for-sale MBS, Fair Value 743,223   743,223   789,855
Agency MBS          
Schedule of Available-for-sale Securities [Line Items]          
Available-for-sale MBS, Continuous Unrealized Loss Position for less than 12 months, Fair Value 352,253   352,253   1,332,849
Available-for-sale MBS, Continuous Unrealized Loss Position for less than 12 months, Accumulated Loss $ (1,484)   $ (1,484)   $ (19,062)
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for less than 12 months 40   40   109
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Fair Value $ 379,488   $ 379,488   $ 775,484
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Accumulated Loss $ (7,266)   $ (7,266)   $ (17,393)
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for 12 months or longer 61   61   72
Agency MBS | RMBS          
Schedule of Available-for-sale Securities [Line Items]          
Available-for-sale MBS, Par Balance $ 1,239,856   $ 1,239,856   $ 1,536,733
Available-for-sale MBS, Unamortized Premium (Discount) 61,141   61,141   77,617
Available-for-sale MBS, Amortized Cost 1,300,997   1,300,997   1,614,350
Available-for-sale MBS, Gross Unrealized Gain 5,270   5,270   4,362
Available-for-sale MBS, Gross Unrealized Loss (8,549)   (8,549)   (20,190)
Available-for-sale MBS, Fair Value $ 1,297,718   $ 1,297,718   $ 1,598,522
Available-for-sale MBS, Weighted Average Coupon [1] 3.04%   3.04%   3.03%
Available-for-sale MBS, Sale Proceeds $ 0 (2,694) [2] $ 54,178 153,676  
Available-for-sale MBS, Gross Realized Losses 0 59 [2] 3,010 2,256  
Agency MBS | CMBS          
Schedule of Available-for-sale Securities [Line Items]          
Available-for-sale MBS, Par Balance 898,317   898,317   $ 876,751
Available-for-sale MBS, Unamortized Premium (Discount) 11,048   11,048   13,252
Available-for-sale MBS, Amortized Cost 909,365   909,365   890,003
Available-for-sale MBS, Gross Unrealized Gain 35,901   35,901   10,542
Available-for-sale MBS, Gross Unrealized Loss (62)   (62)   (14,614)
Available-for-sale MBS, Fair Value $ 945,204   $ 945,204   $ 885,931
Available-for-sale MBS, Weighted Average Coupon [1] 3.32%   3.32%   3.45%
Available-for-sale MBS, Sale Proceeds   12,620   98,887  
Available-for-sale Securities, Gross Realized Gains   172      
Available-for-sale MBS, Gross Realized Losses       822  
Agency MBS | CMBS IO          
Schedule of Available-for-sale Securities [Line Items]          
Available-for-sale MBS, Par Balance $ 0 [3]   $ 0 [3]   $ 0 [4]
Available-for-sale MBS, Unamortized Premium (Discount) 385,968   385,968   421,857
Available-for-sale MBS, Amortized Cost 385,968   385,968   421,857
Available-for-sale MBS, Gross Unrealized Gain 8,597   8,597   5,922
Available-for-sale MBS, Gross Unrealized Loss (139)   (139)   (1,651)
Available-for-sale MBS, Fair Value $ 394,426   $ 394,426   $ 426,128
Available-for-sale MBS, Weighted Average Coupon [1] 0.68%   0.68%   0.80%
Notional balance for interest only securities $ 12,226,782   $ 12,226,782   $ 12,180,291
Available-for-sale MBS, Sale Proceeds       42,005  
Available-for-sale Securities, Gross Realized Gains       1,646  
Non-Agency MBS          
Schedule of Available-for-sale Securities [Line Items]          
Available-for-sale MBS, Continuous Unrealized Loss Position for less than 12 months, Fair Value 24,448   24,448   351,650
Available-for-sale MBS, Continuous Unrealized Loss Position for less than 12 months, Accumulated Loss $ (99)   $ (99)   $ (5,347)
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for less than 12 months 5   5   72
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Fair Value $ 84,959   $ 84,959   $ 8,306
Available-for-sale MBS, Continuous Unrealized Loss Position for 12 months or longer, Accumulated Loss $ (872)   $ (872)   $ (231)
Available-for-sale MBS, Number of Securities in Continuous Unrealized Loss Position for 12 months or longer 28   28   7
Non-Agency MBS | RMBS          
Schedule of Available-for-sale Securities [Line Items]          
Available-for-sale MBS, Par Balance $ 41,514   $ 41,514   $ 66,003
Available-for-sale MBS, Unamortized Premium (Discount) (19)   (19)   (45)
Available-for-sale MBS, Amortized Cost 41,495   41,495   65,958
Available-for-sale MBS, Gross Unrealized Gain 109   109   70
Available-for-sale MBS, Gross Unrealized Loss (54)   (54)   (818)
Available-for-sale MBS, Fair Value $ 41,550   $ 41,550   $ 65,210
Available-for-sale MBS, Weighted Average Coupon [1] 3.58%   3.58%   3.25%
Non-Agency MBS | CMBS          
Schedule of Available-for-sale Securities [Line Items]          
Available-for-sale MBS, Par Balance $ 82,190   $ 82,190   $ 156,218
Available-for-sale MBS, Unamortized Premium (Discount) (7,552)   (7,552)   (8,133)
Available-for-sale MBS, Amortized Cost 74,638   74,638   148,085
Available-for-sale MBS, Gross Unrealized Gain 8,135   8,135   7,039
Available-for-sale MBS, Gross Unrealized Loss (1)   (1)   (941)
Available-for-sale MBS, Fair Value $ 82,772   $ 82,772   $ 154,183
Available-for-sale MBS, Weighted Average Coupon [1] 4.89%   4.89%   4.29%
Available-for-sale MBS, Sale Proceeds     $ 33,640    
Available-for-sale MBS, Gross Realized Losses     1,228    
Non-Agency MBS | CMBS IO          
Schedule of Available-for-sale Securities [Line Items]          
Available-for-sale MBS, Par Balance [3] $ 0   0    
Available-for-sale MBS, Unamortized Premium (Discount) 344,792   344,792   $ 365,554
Available-for-sale MBS, Amortized Cost 344,792   344,792   365,554
Available-for-sale MBS, Gross Unrealized Gain 4,921   4,921   1,992
Available-for-sale MBS, Gross Unrealized Loss (916)   (916)   (3,819)
Available-for-sale MBS, Fair Value $ 348,797   $ 348,797   $ 363,727
Available-for-sale MBS, Weighted Average Coupon [1] 0.61%   0.61%   0.71%
Notional balance for interest only securities $ 10,687,732   $ 10,687,732   $ 10,328,628
Available-for-sale MBS, Sale Proceeds   0   44,764  
Available-for-sale Securities, Gross Realized Gains   $ 0   $ 1,362  
[1] The current weighted average coupon ("WAC") is the gross interest rate of the pool of mortgages underlying the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security).
[2] There were no sales of Agency RMBS during the three months ended September 30, 2015. The amounts shown reflect an adjustment to proceeds received and the realized loss recognized during the three months ended September 30, 2015 related to pre-settlement factor changes.
[3] The notional balance for Agency CMBS IO and non-Agency CMBS IO was $12,226,782 and $10,687,732, respectively, as of September 30, 2016.
[4] The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $12,180,291 and $10,328,628, respectively, as of December 31, 2015.