Derivative Instruments and Hedging Activities (Tables)
|
9 Months Ended |
Sep. 30, 2017 |
|---|
| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
|
| Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading instruments as of September 30, 2017 and December 31, 2016.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(in thousands) |
|
September 30, 2017 |
|
|
Derivative Assets |
|
Derivative Liabilities |
Trading instruments |
|
Fair Value |
|
Notional |
|
Fair Value |
|
Notional |
Inverse interest-only securities |
|
$ |
102,235 |
|
|
$ |
621,549 |
|
|
$ |
— |
|
|
$ |
— |
|
Interest rate swap agreements |
|
120,423 |
|
|
13,216,448 |
|
|
(11,312 |
) |
|
6,800,429 |
|
Swaptions, net |
|
9,395 |
|
|
2,814,000 |
|
|
— |
|
|
— |
|
TBAs |
|
5,703 |
|
|
1,405,000 |
|
|
— |
|
|
— |
|
Put and call options for TBAs, net |
|
156 |
|
|
2,000,000 |
|
|
— |
|
|
— |
|
Markit IOS total return swaps |
|
393 |
|
|
65,895 |
|
|
— |
|
|
— |
|
Total |
|
$ |
238,305 |
|
|
$ |
20,122,892 |
|
|
$ |
(11,312 |
) |
|
$ |
6,800,429 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(in thousands) |
|
December 31, 2016 |
|
|
Derivative Assets |
|
Derivative Liabilities |
Trading instruments |
|
Fair Value |
|
Notional |
|
Fair Value |
|
Notional |
Inverse interest-only securities |
|
$ |
127,843 |
|
|
$ |
740,844 |
|
|
$ |
— |
|
|
$ |
— |
|
Interest rate swap agreements |
|
109,531 |
|
|
18,471,063 |
|
|
(495 |
) |
|
1,900,000 |
|
Swaptions, net |
|
39,881 |
|
|
825,000 |
|
|
(1,645 |
) |
|
600,000 |
|
TBAs |
|
4,294 |
|
|
536,000 |
|
|
(10,344 |
) |
|
953,000 |
|
Put and call options for TBAs, net |
|
42,633 |
|
|
1,136,000 |
|
|
— |
|
|
— |
|
Markit IOS total return swaps |
|
— |
|
|
— |
|
|
(17 |
) |
|
90,593 |
|
Total |
|
$ |
324,182 |
|
|
$ |
21,708,907 |
|
|
$ |
(12,501 |
) |
|
$ |
3,543,593 |
|
|
| Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance |
The following table summarizes the location and amount of gains and losses on derivative instruments reported in the condensed consolidated statements of comprehensive income:
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|
|
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|
|
|
|
|
|
|
|
|
|
Trading Instruments |
|
Location of Gain (Loss) Recognized in Income on Derivatives |
|
Amount of Gain (Loss) Recognized in Income on Derivatives |
(in thousands) |
|
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
|
|
|
|
2017 |
|
2016 |
|
2017 |
|
2016 |
Interest rate risk management |
|
|
|
|
|
|
|
|
|
|
TBAs |
|
Loss on other derivative instruments |
|
$ |
(16,891 |
) |
|
$ |
(522 |
) |
|
$ |
(45,671 |
) |
|
$ |
26,369 |
|
Put and call options for TBAs |
|
Loss on other derivative instruments |
|
(3,405 |
) |
|
(6,226 |
) |
|
(22,467 |
) |
|
(51,259 |
) |
Interest rate swap agreements - Payers |
|
(Loss) gain on interest rate swap and swaption agreements |
|
17,422 |
|
|
48,359 |
|
|
(27,723 |
) |
|
(245,676 |
) |
Interest rate swap agreements - Receivers |
|
(Loss) gain on interest rate swap and swaption agreements |
|
(5,280 |
) |
|
(18,381 |
) |
|
22,813 |
|
|
131,465 |
|
Swaptions |
|
(Loss) gain on interest rate swap and swaption agreements |
|
(12,349 |
) |
|
(24,394 |
) |
|
(62,080 |
) |
|
(18,397 |
) |
Markit IOS total return swaps |
|
Loss on other derivative instruments |
|
(134 |
) |
|
(6,550 |
) |
|
(821 |
) |
|
(41,541 |
) |
Credit risk management |
|
|
|
|
|
|
|
|
|
|
Credit default swaps - Receive protection |
|
Loss on other derivative instruments |
|
— |
|
|
(18 |
) |
|
— |
|
|
364 |
|
Non-risk management |
|
|
|
|
|
|
|
|
|
|
Inverse interest-only securities |
|
Loss on other derivative instruments |
|
1,506 |
|
|
1,288 |
|
|
2,631 |
|
|
22,003 |
|
Forward purchase commitments |
|
Gain (loss) on residential mortgage loans held-for-sale |
|
— |
|
|
107 |
|
|
— |
|
|
2,455 |
|
Total |
|
|
|
$ |
(19,131 |
) |
|
$ |
(6,337 |
) |
|
$ |
(133,318 |
) |
|
$ |
(174,217 |
) |
|
| Schedule of Notional Amounts of Outstanding Derivative Positions |
The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the three and nine months ended September 30, 2017 and 2016:
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, 2017 |
(in thousands) |
Beginning of Period Notional Amount |
|
Additions |
|
Settlement, Termination, Expiration or Exercise |
|
End of Period Notional Amount |
|
Average Notional Amount |
|
Realized Gain (Loss), net (1)
|
Inverse interest-only securities |
$ |
659,768 |
|
|
$ |
— |
|
|
$ |
(38,219 |
) |
|
$ |
621,549 |
|
|
$ |
642,143 |
|
|
$ |
(40 |
) |
Interest rate swap agreements |
14,764,719 |
|
|
9,878,549 |
|
|
(4,626,391 |
) |
|
20,016,877 |
|
|
16,710,894 |
|
|
36,171 |
|
Swaptions, net |
1,350,000 |
|
|
5,364,000 |
|
|
(3,900,000 |
) |
|
2,814,000 |
|
|
2,213,533 |
|
|
(3,264 |
) |
TBAs, net |
(1,140,000 |
) |
|
(1,585,000 |
) |
|
1,320,000 |
|
|
(1,405,000 |
) |
|
(1,370,043 |
) |
|
(14,997 |
) |
Put and call options for TBAs, net |
1,285,000 |
|
|
1,905,000 |
|
|
(1,190,000 |
) |
|
2,000,000 |
|
|
54,402 |
|
|
(3,980 |
) |
Markit IOS total return swaps |
68,629 |
|
|
— |
|
|
(2,734 |
) |
|
65,895 |
|
|
66,802 |
|
|
— |
|
Total |
$ |
16,988,116 |
|
|
$ |
15,562,549 |
|
|
$ |
(8,437,344 |
) |
|
$ |
24,113,321 |
|
|
$ |
18,317,731 |
|
|
$ |
13,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, 2016 |
(in thousands) |
Beginning of Period Notional Amount |
|
Additions |
|
Settlement, Termination, Expiration or Exercise |
|
End of Period Notional Amount |
|
Average Notional Amount |
|
Realized Gain (Loss), net (1)
|
Inverse interest-only securities |
$ |
834,866 |
|
|
$ |
— |
|
|
$ |
(50,043 |
) |
|
$ |
784,823 |
|
|
$ |
813,045 |
|
|
$ |
— |
|
Interest rate swap agreements |
13,697,000 |
|
|
4,451,430 |
|
|
(1,203,000 |
) |
|
16,945,430 |
|
|
14,497,913 |
|
|
(39,369 |
) |
Credit default swaps |
25,000 |
|
|
— |
|
|
— |
|
|
25,000 |
|
|
25,000 |
|
|
— |
|
Swaptions, net |
1,800,000 |
|
|
(1,537,000 |
) |
|
7,000 |
|
|
270,000 |
|
|
219,315 |
|
|
(55,692 |
) |
TBAs, net |
(337,000 |
) |
|
(5,622,000 |
) |
|
5,370,000 |
|
|
(589,000 |
) |
|
(1,051,989 |
) |
|
(18,819 |
) |
Put and call options for TBAs, net |
8,897,000 |
|
|
2,269,000 |
|
|
(6,697,000 |
) |
|
4,469,000 |
|
|
5,607,728 |
|
|
(26,955 |
) |
Markit IOS total return swaps |
588,037 |
|
|
99,911 |
|
|
(591,700 |
) |
|
96,248 |
|
|
113,334 |
|
|
(13,897 |
) |
Forward purchase commitments |
636,467 |
|
|
315,787 |
|
|
(890,851 |
) |
|
61,403 |
|
|
418,333 |
|
|
577 |
|
Total |
$ |
26,141,370 |
|
|
$ |
(22,872 |
) |
|
$ |
(4,055,594 |
) |
|
$ |
22,062,904 |
|
|
$ |
20,642,679 |
|
|
$ |
(154,155 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30, 2017 |
(in thousands) |
Beginning of Period Notional Amount |
|
Additions |
|
Settlement, Termination, Expiration or Exercise |
|
End of Period Notional Amount |
|
Average Notional Amount |
|
Realized Gain (Loss), net (1)
|
Inverse interest-only securities |
$ |
740,844 |
|
|
$ |
— |
|
|
$ |
(119,295 |
) |
|
$ |
621,549 |
|
|
$ |
681,126 |
|
|
$ |
(40 |
) |
Interest rate swap agreements |
20,371,063 |
|
|
23,408,358 |
|
|
(23,762,544 |
) |
|
20,016,877 |
|
|
17,617,836 |
|
|
47,691 |
|
Swaptions, net |
225,000 |
|
|
1,109,000 |
|
|
1,480,000 |
|
|
2,814,000 |
|
|
669,377 |
|
|
21,164 |
|
TBAs, net |
(1,489,000 |
) |
|
(5,710,400 |
) |
|
5,794,400 |
|
|
(1,405,000 |
) |
|
(1,231,793 |
) |
|
(57,424 |
) |
Put and call options for TBAs, net |
(1,136,000 |
) |
|
4,460,000 |
|
|
(1,324,000 |
) |
|
2,000,000 |
|
|
(13,289 |
) |
|
20,166 |
|
Markit IOS total return swaps |
90,593 |
|
|
— |
|
|
(24,698 |
) |
|
65,895 |
|
|
76,670 |
|
|
(181 |
) |
Total |
$ |
18,802,500 |
|
|
$ |
23,266,958 |
|
|
$ |
(17,956,137 |
) |
|
$ |
24,113,321 |
|
|
$ |
17,799,927 |
|
|
$ |
31,376 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30, 2016 |
(in thousands) |
Beginning of Period Notional Amount |
|
Additions |
|
Settlement, Termination, Expiration or Exercise |
|
End of Period Notional Amount |
|
Average Notional Amount |
|
Realized Gain (Loss), net (1)
|
Inverse interest-only securities |
$ |
932,037 |
|
|
$ |
— |
|
|
$ |
(147,214 |
) |
|
$ |
784,823 |
|
|
$ |
860,920 |
|
|
$ |
— |
|
Interest rate swap agreements |
14,268,806 |
|
|
16,553,456 |
|
|
(13,876,832 |
) |
|
16,945,430 |
|
|
14,751,923 |
|
|
(33,067 |
) |
Credit default swaps |
125,000 |
|
|
10,000 |
|
|
(110,000 |
) |
|
25,000 |
|
|
87,883 |
|
|
412 |
|
Swaptions, net |
5,200,000 |
|
|
1,063,000 |
|
|
(5,993,000 |
) |
|
270,000 |
|
|
3,192,617 |
|
|
(86,481 |
) |
TBAs, net |
297,000 |
|
|
(1,186,000 |
) |
|
300,000 |
|
|
(589,000 |
) |
|
(239,493 |
) |
|
12,932 |
|
Put and call options for TBAs, net |
— |
|
|
13,166,000 |
|
|
(8,697,000 |
) |
|
4,469,000 |
|
|
3,091,679 |
|
|
(28,303 |
) |
Markit IOS total return swaps |
889,418 |
|
|
99,911 |
|
|
(893,081 |
) |
|
96,248 |
|
|
598,163 |
|
|
(13,374 |
) |
Forward purchase commitments |
286,120 |
|
|
1,548,027 |
|
|
(1,772,744 |
) |
|
61,403 |
|
|
357,448 |
|
|
1,835 |
|
Total |
$ |
21,998,381 |
|
|
$ |
31,254,394 |
|
|
$ |
(31,189,871 |
) |
|
$ |
22,062,904 |
|
|
$ |
22,701,140 |
|
|
$ |
(146,046 |
) |
____________________
|
|
(1) |
Excludes net interest paid or received in full settlement of the net interest spread liability. |
|
| Schedule of TBA Positions |
The following tables present the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of September 30, 2017 and December 31, 2016:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2017 |
|
|
|
|
|
|
|
Net Carrying Value (4)
|
(in thousands) |
Notional Amount (1)
|
|
Cost Basis (2)
|
|
Market Value (3)
|
|
Derivative Assets |
|
Derivative Liabilities |
Purchase contracts |
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Sale contracts |
(1,405,000 |
) |
|
(1,447,566 |
) |
|
(1,441,863 |
) |
|
5,703 |
|
|
— |
|
TBAs, net |
$ |
(1,405,000 |
) |
|
$ |
(1,447,566 |
) |
|
$ |
(1,441,863 |
) |
|
$ |
5,703 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2016 |
|
|
|
|
|
|
|
Net Carrying Value (4)
|
(in thousands) |
Notional Amount (1)
|
|
Cost Basis (2)
|
|
Market Value (3)
|
|
Derivative Assets |
|
Derivative Liabilities |
Purchase contracts |
$ |
1,500,000 |
|
|
$ |
1,576,270 |
|
|
$ |
1,576,875 |
|
|
$ |
605 |
|
|
$ |
— |
|
Sale contracts |
(2,989,000 |
) |
|
(3,028,470 |
) |
|
(3,035,125 |
) |
|
3,689 |
|
|
(10,344 |
) |
TBAs, net |
$ |
(1,489,000 |
) |
|
$ |
(1,452,200 |
) |
|
$ |
(1,458,250 |
) |
|
$ |
4,294 |
|
|
$ |
(10,344 |
) |
___________________
|
|
(1) |
Notional amount represents the face amount of the underlying Agency RMBS. |
|
|
(2) |
Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS. |
|
|
(3) |
Market value represents the current market value of the TBA (or of the underlying Agency RMBS) as of period-end. |
|
|
(4) |
Net carrying value represents the difference between the market value of the TBA as of period-end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the condensed consolidated balance sheets. |
|
| Schedule of Interest Rate Swap Payers |
As of September 30, 2017 and December 31, 2016, the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) whereby the Company receives interest at a three-month LIBOR rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
September 30, 2017 |
Swaps Maturities |
|
Notional Amount (1)
|
|
Weighted Average Fixed Pay Rate (2)
|
|
Weighted Average Receive Rate (2)
|
|
Weighted Average Maturity (Years) (2)
|
2017 |
|
$ |
875,000 |
|
|
0.721 |
% |
|
1.322 |
% |
|
0.18 |
2018 |
|
4,320,000 |
|
|
1.155 |
% |
|
1.314 |
% |
|
0.75 |
2019 |
|
1,020,000 |
|
|
1.524 |
% |
|
1.313 |
% |
|
1.81 |
2020 |
|
1,590,000 |
|
|
1.542 |
% |
|
1.311 |
% |
|
2.96 |
2021 and Thereafter |
|
7,806,201 |
|
|
1.793 |
% |
|
1.321 |
% |
|
5.93 |
Total |
|
$ |
15,611,201 |
|
|
1.509 |
% |
|
1.317 |
% |
|
3.57 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2016 |
Swaps Maturities |
|
Notional Amount (1)
|
|
Weighted Average Fixed Pay Rate (2)
|
|
Weighted Average Receive Rate (2)
|
|
Weighted Average Maturity (Years) (2)
|
2017 |
|
$ |
2,375,000 |
|
|
0.765 |
% |
|
0.934 |
% |
|
0.59 |
2018 |
|
5,340,000 |
|
|
1.232 |
% |
|
0.945 |
% |
|
1.59 |
2019 |
|
350,000 |
|
|
1.283 |
% |
|
0.895 |
% |
|
2.44 |
2020 |
|
1,460,000 |
|
|
1.481 |
% |
|
0.920 |
% |
|
3.74 |
2021 and Thereafter |
|
5,782,063 |
|
|
1.984 |
% |
|
0.955 |
% |
|
6.17 |
Total |
|
$ |
15,307,063 |
|
|
1.441 |
% |
|
0.943 |
% |
|
3.24 |
____________________
|
|
(1) |
Notional amount includes $200.0 million and $777.1 million in forward starting interest rate swaps as of September 30, 2017 and December 31, 2016, respectively.
|
|
|
(2) |
Weighted averages exclude forward starting interest rate swaps. As of September 30, 2017 and December 31, 2016, the weighted average fixed pay rate on forward starting interest rate swaps was 2.7% and 2.0%, respectively.
|
|
| Schedule of Interest Rate Swap Receivers |
Additionally, as of September 30, 2017 and December 31, 2016, the Company held the following interest rate swaps in order to mitigate mortgage interest rate exposure (or duration) risk whereby the Company pays interest at a three-month LIBOR rate:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
September 30, 2017 |
Swaps Maturities |
|
Notional Amounts |
|
Weighted Average Pay Rate |
|
Weighted Average Fixed Receive Rate |
|
Weighted Average Maturity (Years) |
2019 |
|
$ |
508,273 |
|
|
1.314 |
% |
|
1.582 |
% |
|
1.88 |
2020 |
|
200,000 |
|
|
1.312 |
% |
|
1.642 |
% |
|
2.85 |
2021 and Thereafter |
|
3,697,403 |
|
|
1.316 |
% |
|
2.187 |
% |
|
7.21 |
Total |
|
$ |
4,405,676 |
|
|
1.316 |
% |
|
2.093 |
% |
|
6.39 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional in thousands) |
|
|
|
|
|
|
December 31, 2016 |
Swaps Maturities |
|
Notional Amounts |
|
Weighted Average Pay Rate |
|
Weighted Average Fixed Receive Rate |
|
Weighted Average Maturity (Years) |
2018 |
|
$ |
575,000 |
|
|
0.911 |
% |
|
1.440 |
% |
|
1.89 |
2019 |
|
500,000 |
|
|
0.882 |
% |
|
1.042 |
% |
|
2.06 |
2020 |
|
510,000 |
|
|
0.881 |
% |
|
1.580 |
% |
|
3.59 |
2021 and Thereafter |
|
3,479,000 |
|
|
0.963 |
% |
|
2.137 |
% |
|
5.52 |
Total |
|
$ |
5,064,000 |
|
|
0.941 |
% |
|
1.894 |
% |
|
4.57 |
|
| Schedule of Interest Rate Swaptions |
As of September 30, 2017 and December 31, 2016, the Company had the following outstanding interest rate swaptions that were utilized as macro-economic hedges:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2017 |
(notional and dollars in thousands) |
|
Option |
|
Underlying Swap |
Swaption |
|
Expiration |
|
Cost Basis |
|
Fair Value |
|
Average Months to Expiration |
|
Notional Amount |
|
Average Pay Rate |
|
Average Receive Rate |
|
Average Term (Years) |
Purchase contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payer |
|
< 6 Months |
|
$ |
9,260 |
|
|
$ |
6,295 |
|
|
3.86 |
|
|
$ |
3,225,000 |
|
|
2.25 |
% |
|
3M Libor |
|
5.0 |
Total Payer |
|
|
|
$ |
9,260 |
|
|
$ |
6,295 |
|
|
3.86 |
|
|
$ |
3,225,000 |
|
|
2.25 |
% |
|
3M Libor |
|
5.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Receiver |
|
< 6 Months |
|
$ |
17,570 |
|
|
$ |
7,716 |
|
|
2.32 |
|
|
$ |
4,570,000 |
|
|
3M Libor |
|
1.96 |
% |
|
8.0 |
Receiver |
|
≥ 6 Months |
|
— |
|
|
4,490 |
|
|
7.80 |
|
|
250,000 |
|
|
3M Libor |
|
2.35 |
% |
|
10.0 |
Total Receiver |
|
|
|
$ |
17,570 |
|
|
$ |
12,206 |
|
|
3.05 |
|
|
$ |
4,820,000 |
|
|
3M Libor |
|
1.98 |
% |
|
8.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sale contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payer |
|
< 6 Months |
|
$ |
— |
|
|
$ |
— |
|
|
0.37 |
|
|
$ |
(600,000 |
) |
|
2.42 |
% |
|
3M Libor |
|
5.0 |
Total Payer |
|
|
|
$ |
— |
|
|
$ |
— |
|
|
0.37 |
|
|
$ |
(600,000 |
) |
|
2.42 |
% |
|
3M Libor |
|
5.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Receiver |
|
< 6 Months |
|
$ |
(9,260 |
) |
|
$ |
(5,257 |
) |
|
3.77 |
|
|
$ |
(4,006,000 |
) |
|
3M Libor |
|
1.72 |
% |
|
5.0 |
Receiver |
|
≥ 6 Months |
|
(1,400 |
) |
|
(3,849 |
) |
|
7.80 |
|
|
(625,000 |
) |
|
3M Libor |
|
1.95 |
% |
|
10.0 |
Total Receiver |
|
|
|
$ |
(10,660 |
) |
|
$ |
(9,106 |
) |
|
4.29 |
|
|
$ |
(4,631,000 |
) |
|
3M Libor |
|
1.75 |
% |
|
5.7 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2016 |
(notional and dollars in thousands) |
|
Option |
|
Underlying Swap |
Swaption |
|
Expiration |
|
Cost |
|
Fair Value |
|
Average Months to Expiration |
|
Notional Amount |
|
Average Fixed Pay Rate |
|
Average Receive Rate |
|
Average Term (Years) |
Purchase contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payer |
|
< 6 Months |
|
$ |
29,360 |
|
|
$ |
42,149 |
|
|
1.22 |
|
|
$ |
4,500,000 |
|
|
2.16 |
% |
|
3M Libor |
|
4.8 |
Payer |
|
≥ 6 Months |
|
13,655 |
|
|
792 |
|
|
6.70 |
|
|
300,000 |
|
|
3.50 |
% |
|
3M Libor |
|
10.0 |
Total Payer |
|
|
|
$ |
43,015 |
|
|
$ |
42,941 |
|
|
1.23 |
|
|
$ |
4,800,000 |
|
|
2.24 |
% |
|
3M Libor |
|
5.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sale contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Payer |
|
< 6 Months |
|
$ |
(51,355 |
) |
|
$ |
(1,414 |
) |
|
5.81 |
|
|
$ |
(500,000 |
) |
|
3.40 |
% |
|
3M Libor |
|
10.0 |
Payer |
|
≥ 6 Months |
|
(29,893 |
) |
|
(938 |
) |
|
6.77 |
|
|
(300,000 |
) |
|
3.50 |
% |
|
3M Libor |
|
10.0 |
Total Payer |
|
|
|
$ |
(81,248 |
) |
|
$ |
(2,352 |
) |
|
6.05 |
|
|
$ |
(800,000 |
) |
|
3.44 |
% |
|
3M Libor |
|
10.0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Receiver |
|
< 6 Months |
|
$ |
— |
|
|
$ |
(2,353 |
) |
|
2.30 |
|
|
$ |
(3,775,000 |
) |
|
3M Libor |
|
1.19 |
% |
|
4.9 |
Total Receiver |
|
|
|
$ |
— |
|
|
$ |
(2,353 |
) |
|
2.30 |
|
|
$ |
(3,775,000 |
) |
|
3M Libor |
|
1.19 |
% |
|
4.9 |
|
| Schedule of Inverse Interest-Only Securities Reconciliation |
The following table presents the amortized cost and carrying value (which approximates fair value) of inverse interest-only securities as of September 30, 2017 and December 31, 2016:
|
|
|
|
|
|
|
|
|
(in thousands) |
September 30,
2017 |
|
December 31,
2016 |
Face Value |
$ |
621,549 |
|
|
$ |
740,844 |
|
Unamortized premium |
— |
|
|
— |
|
Unamortized discount |
|
|
|
Designated credit reserve |
— |
|
|
— |
|
Net, unamortized |
(529,809 |
) |
|
(631,082 |
) |
Amortized Cost |
91,740 |
|
|
109,762 |
|
Gross unrealized gains |
11,121 |
|
|
18,389 |
|
Gross unrealized losses |
(1,577 |
) |
|
(1,552 |
) |
Market Value |
$ |
101,284 |
|
|
$ |
126,599 |
|
|
| Schedule of Total Return Swaps |
The Company had the following total return swap agreements in place at September 30, 2017 and December 31, 2016:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional and dollars in thousands) |
|
|
|
|
|
September 30, 2017 |
Maturity Date |
|
Current Notional Amount |
|
Fair Value |
|
Cost Basis |
|
Unrealized Gain (Loss) |
January 12, 2043 |
|
$ |
(25,262 |
) |
|
$ |
124 |
|
|
$ |
(201 |
) |
|
$ |
(77 |
) |
January 12, 2044 |
|
(40,633 |
) |
|
269 |
|
|
(366 |
) |
|
(97 |
) |
Total |
|
$ |
(65,895 |
) |
|
$ |
393 |
|
|
$ |
(567 |
) |
|
$ |
(174 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(notional and dollars in thousands) |
|
|
|
|
|
December 31, 2016 |
Maturity Date |
|
Current Notional Amount |
|
Fair Value |
|
Cost Basis |
|
Unrealized Gain (Loss) |
January 12, 2043 |
|
$ |
(45,083 |
) |
|
$ |
(5 |
) |
|
$ |
(320 |
) |
|
$ |
(325 |
) |
January 12, 2044 |
|
(45,510 |
) |
|
(12 |
) |
|
(366 |
) |
|
(378 |
) |
Total |
|
$ |
(90,593 |
) |
|
$ |
(17 |
) |
|
$ |
(686 |
) |
|
$ |
(703 |
) |
|