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Investments in Debt Securities Investments in Debt Securities (Details) - USD ($)
$ in Thousands
3 Months Ended 9 Months Ended
Sep. 30, 2019
Sep. 30, 2018
Sep. 30, 2019
Sep. 30, 2018
Dec. 31, 2018
Investment [Line Items]          
Par value of available for sale debt security $ 4,535,115   $ 4,535,115   $ 3,194,441
Investments, Unamortized Premium (Discount) 550,802   550,802   590,968
Debt Securities, Available-for-sale, Amortized Cost 5,085,917   5,085,917   3,785,409
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax 218,134   218,134   21,436
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax (1,125)   (1,125)   (57,381)
Debt Securities, Available-for-sale 5,302,926   5,302,926   3,749,464
Proceeds from Sale of Available-for-sale Securities 600,514 $ 116,651 1,033,066 $ 642,900  
Debt Securities, Available-for-sale, Realized Gain (Loss) 4,605 (1,726) (5,755) (17,945)  
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Amortized Cost 8,545   8,545   39,868
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Fair Value 8,450   8,450   39,808
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Amortized Cost 132,441   132,441   151,041
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Fair Value 136,599   136,599   152,917
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Amortized Cost 936,747   936,747   828,543
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Fair Value 987,657   987,657   806,015
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Amortized Cost 4,008,184   4,008,184   2,765,957
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value 4,170,220   4,170,220   2,750,724
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Amortized Cost 5,085,917   5,085,917   3,785,409
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Fair Value 5,302,926   5,302,926   3,749,464
Agency MBS          
Investment [Line Items]          
Notional balance for interest only securities 12,851,586   12,851,586   13,048,666
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value 167,583   167,583   581,440
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss $ 594   $ 594   $ 1,793
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year 10   10   28
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value $ 95,531   $ 95,531   $ 1,543,892
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss $ 490   $ 490   $ 54,260
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year 3   3   88
Non-Agency MBS          
Investment [Line Items]          
Notional balance for interest only securities $ 9,905,227   $ 9,905,227   $ 10,275,494
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value 5,893   5,893   70,876
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss $ 13   $ 13   $ 581
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Less than One Year 3   3   22
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value $ 1,160   $ 1,160   $ 46,154
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss $ 30   $ 30   $ 747
Available-for-sale, Securities in Unrealized Loss Positions, Qualitative Disclosure, Number of Positions, Greater than or Equal to One Year 5   5   19
Residential Mortgage Backed Securities          
Investment [Line Items]          
Par value of available for sale debt security $ 2,610,831   $ 2,610,831   $ 2,119,495
Investments, Unamortized Premium (Discount) 61,173   61,173   56,744
Debt Securities, Available-for-sale, Amortized Cost 2,672,004   2,672,004   2,176,239
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax 66,064   66,064   8,926
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax (971)   (971)   (26,286)
Debt Securities, Available-for-sale 2,737,097   2,737,097   2,158,879
Commercial Mortgage Backed Securities          
Investment [Line Items]          
Par value of available for sale debt security 1,924,284   1,924,284   1,074,946
Investments, Unamortized Premium (Discount) 15,081   15,081   6,481
Debt Securities, Available-for-sale, Amortized Cost 1,939,365   1,939,365   1,081,427
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax 136,930   136,930   6,554
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax (9)   (9)   (29,550)
Debt Securities, Available-for-sale 2,076,286   2,076,286   1,058,431
Interest-Only-Strip          
Investment [Line Items]          
Par value of available for sale debt security 0 [1]   0 [1]   0 [2]
Investments, Unamortized Premium (Discount) 474,548   474,548   527,743
Debt Securities, Available-for-sale, Amortized Cost 474,548   474,548   527,743
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax 15,140   15,140   5,956
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax (145)   (145)   (1,545)
Debt Securities, Available-for-sale 489,543   489,543   532,154
U.S. Treasuries          
Investment [Line Items]          
Proceeds from Sale of Available-for-sale Securities 0 57,843 0 248,802  
Debt Securities, Available-for-sale, Realized Gain     0    
Debt Securities, Available-for-sale, Realized Loss 0 (133)   (6,567)  
Agency | Residential Mortgage Backed Securities          
Investment [Line Items]          
Par value of available for sale debt security 2,610,141   2,610,141   2,118,639
Investments, Unamortized Premium (Discount) 61,173   61,173   56,744
Debt Securities, Available-for-sale, Amortized Cost 2,671,314   2,671,314   2,175,383
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax 66,010   66,010   8,902
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax (952)   (952)   (26,264)
Debt Securities, Available-for-sale $ 2,736,372   $ 2,736,372   $ 2,158,021
Investments, Weighted Average Coupon Rate [3] 3.83%   3.83%   3.95%
Proceeds from Sale of Available-for-sale Securities $ 591,206 0 $ 796,699 217,837  
Debt Securities, Available-for-sale, Realized Gain 4,458   506    
Debt Securities, Available-for-sale, Realized Loss   0   (7,785)  
Agency | Commercial Mortgage Backed Securities          
Investment [Line Items]          
Par value of available for sale debt security 1,922,930   1,922,930   $ 1,071,906
Investments, Unamortized Premium (Discount) 15,957   15,957   8,518
Debt Securities, Available-for-sale, Amortized Cost 1,938,887   1,938,887   1,080,424
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax 136,325   136,325   6,141
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax (9)   (9)   (29,550)
Debt Securities, Available-for-sale $ 2,075,203   $ 2,075,203   $ 1,057,015
Investments, Weighted Average Coupon Rate [3] 3.30%   3.30%   3.22%
Proceeds from Sale of Available-for-sale Securities $ 0 48,237 $ 213,199 156,995  
Debt Securities, Available-for-sale, Realized Loss 0 (1,720) (6,493) (3,771)  
Agency | Interest-Only-Strip          
Investment [Line Items]          
Par value of available for sale debt security 0 [1]   0 [1]   $ 0 [2]
Investments, Unamortized Premium (Discount) 272,739   272,739   287,062
Debt Securities, Available-for-sale, Amortized Cost 272,739   272,739   287,062
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax 9,426   9,426   4,281
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax (122)   (122)   (239)
Debt Securities, Available-for-sale $ 282,043   $ 282,043   $ 291,104
Investments, Weighted Average Coupon Rate [3] 0.67%   0.67%   0.55%
Proceeds from Sale of Available-for-sale Securities $ 9,308 10,571 $ 23,168 10,571  
Debt Securities, Available-for-sale, Realized Gain 147 127 232 127  
Non-Agency | Residential Mortgage Backed Securities          
Investment [Line Items]          
Par value of available for sale debt security 690   690   $ 856
Investments, Unamortized Premium (Discount) 0   0   0
Debt Securities, Available-for-sale, Amortized Cost 690   690   856
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax 54   54   24
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax (19)   (19)   (22)
Debt Securities, Available-for-sale $ 725   $ 725   $ 858
Investments, Weighted Average Coupon Rate [3] 6.75%   6.75%   6.75%
Non-Agency | Commercial Mortgage Backed Securities          
Investment [Line Items]          
Par value of available for sale debt security $ 1,354   $ 1,354   $ 3,040
Investments, Unamortized Premium (Discount) (876)   (876)   (2,037)
Debt Securities, Available-for-sale, Amortized Cost 478   478   1,003
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax 605   605   413
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax 0   0   0
Debt Securities, Available-for-sale $ 1,083   $ 1,083   $ 1,416
Investments, Weighted Average Coupon Rate [3] 5.50%   5.50%   6.47%
Non-Agency | Interest-Only-Strip          
Investment [Line Items]          
Par value of available for sale debt security $ 0 [1]   $ 0 [1]   $ 0 [2]
Investments, Unamortized Premium (Discount) 201,809   201,809   240,681
Debt Securities, Available-for-sale, Amortized Cost 201,809   201,809   240,681
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax 5,714   5,714   1,675
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax (23)   (23)   (1,306)
Debt Securities, Available-for-sale $ 207,500   $ 207,500   $ 241,050
Investments, Weighted Average Coupon Rate [3] 0.62%   0.62%   0.57%
Proceeds from Sale of Available-for-sale Securities $ 0 0 $ 0 8,695  
Debt Securities, Available-for-sale, Realized Gain $ 0 $ 0 $ 0 $ 51  
[1]
The notional balance for Agency CMBS IO and non-Agency CMBS IO was $12,851,586 and $9,905,227 respectively, as of September 30, 2019.
[2]
The notional balance for the Agency CMBS IO and non-Agency CMBS IO was $13,048,666 and $10,275,494, respectively, as of December 31, 2018.
[3]
The weighted average coupon (“WAC”) is the gross interest rate of the security weighted by the outstanding principal balance (or by notional balance in the case of an IO security).