Document_and_Entity_Informatio
Document and Entity Information | 3 Months Ended | |
Mar. 31, 2015 | 6-May-15 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | FALSE | |
Document Period End Date | 31-Mar-15 | |
Document Fiscal Year Focus | 2015 | |
Document Fiscal Period Focus | Q1 | |
Trading Symbol | ANH | |
Entity Registrant Name | ANWORTH MORTGAGE ASSET CORP | |
Entity Central Index Key | 1047884 | |
Current Fiscal Year End Date | -19 | |
Entity Filer Category | Large Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 104,809,859 |
CONSOLIDATED_BALANCE_SHEETS
CONSOLIDATED BALANCE SHEETS (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
Agency MBS: | ||||
Agency MBS pledged to counterparties at fair value | $6,754,804,000 | $6,805,454,000 | ||
Agency MBS at fair value | 272,734,000 | 343,734,000 | ||
Paydowns receivable | 35,702,000 | 29,486,000 | ||
Available-for-sale Securities, Total | 6,744,641,000 | 7,023,363,000 | ||
Non-Agency MBS at fair value (including $318,599 and $155,311 pledged to counterparties at March 31, 2015 and December 31, 2014, respectively) | 376,379,000 | 199,710,000 | ||
Residential real estate | 14,278,000 | 12,871,000 | ||
Cash and cash equivalents | 3,682,000 | 14,989,000 | ||
Interest and dividends receivable | 18,983,000 | 19,115,000 | ||
Derivative instruments at fair value | 6,560,000 | 9,792,000 | ||
Prepaid expenses and other | 28,582,000 | 18,495,000 | ||
Total Assets: | 7,193,105,000 | 7,298,335,000 | ||
Liabilities: | ||||
Accrued interest payable | 11,272,000 | 17,606,000 | ||
Repurchase agreements | 6,284,037,000 | 6,370,740,000 | ||
Junior subordinated notes | 37,380,000 | 37,380,000 | ||
Derivative instruments at fair value | 70,188,000 | 45,259,000 | ||
Accrued expenses and other | 5,520,000 | 29,084,000 | ||
Total Liabilities: | 6,425,765,000 | 6,516,894,000 | ||
Series B Cumulative Convertible Preferred Stock: par value $0.01 per share; liquidating preference $25.00 per share ($25,241 and $25,241, respectively); 1,010 and 1,010 shares issued and outstanding at March 31, 2015 and December 31, 2014, respectively | 23,924,000 | 23,924,000 | ||
Stockholders' Equity: | ||||
Common Stock: par value $0.01 per share; authorized 200,000 shares, 105,519 shares issued and 105,157 shares outstanding at March 31, 2015 and 109,972 shares issued and 109,234 shares outstanding at December 31, 2014, respectively | 1,055,000 | 1,100,000 | ||
Additional paid-in capital | 1,011,954,000 | 1,033,015,000 | ||
Accumulated other comprehensive income (loss) consisting of unrealized gains and losses | 17,614,000 | -14,981,000 | ||
Accumulated deficit | -341,829,000 | -308,154,000 | ||
Total Stockholders' Equity: | 743,416,000 | 757,517,000 | ||
Total Liabilities and Stockholders' Equity: | 7,193,105,000 | 7,298,335,000 | ||
Common Stock | ||||
Liabilities: | ||||
Dividends payable on stock | 15,828,000 | 15,396,000 | ||
Stockholders' Equity: | ||||
Total Stockholders' Equity: | 1,055,000 | 1,100,000 | ||
Series A Preferred Stock | ||||
Liabilities: | ||||
Dividends payable on stock | 1,035,000 | 1,035,000 | ||
Stockholders' Equity: | ||||
Cumulative Preferred Stock | 46,537,000 | 46,537,000 | ||
Total Stockholders' Equity: | 46,537,000 | 46,537,000 | ||
Series B Preferred Stock | ||||
Liabilities: | ||||
Dividends payable on stock | 394,000 | 394,000 | ||
Series C Preferred Stock | ||||
Liabilities: | ||||
Dividends payable on stock | 111,000 | |||
Stockholders' Equity: | ||||
Cumulative Preferred Stock | 8,085,000 | |||
Total Stockholders' Equity: | 8,085,000 | |||
Agency Mortgage Backed Securities | ||||
Agency MBS: | ||||
Agency MBS pledged to counterparties at fair value | 6,436,205,000 | 6,650,143,000 | ||
Paydowns receivable | 35,702,000 | [1] | 29,486,000 | [1] |
Available-for-sale Securities, Total | 6,744,641,000 | 7,023,363,000 | ||
Derivative instruments at fair value | 2,200,000 | 8,700,000 | ||
Liabilities: | ||||
Repurchase agreements | 6,048,000,000 | 6,255,000,000 | ||
Derivative instruments at fair value | $66,500,000 | $43,600,000 | ||
[1] | Paydowns receivable are generated when the Company receives notice from Freddie Mac of prepayments but does not receive the actual cash with respect to such prepayments until the 15th day of the following month. |
CONSOLIDATED_BALANCE_SHEETS_Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, except Share data, unless otherwise specified | ||
Agency MBS pledged to counterparties at fair value | $6,754,804 | $6,805,454 |
Series B Cumulative Convertible Preferred Stock, par value | $0.01 | $0.01 |
Series B Cumulative Convertible Preferred Stock, liquidating preference per share | $25 | $25 |
Series B Cumulative Convertible Preferred Stock, liquidating preference | 25,241 | 25,241 |
Series B Cumulative Convertible Preferred Stock, shares issued | 1,010,000 | 1,010,000 |
Series B Cumulative Convertible Preferred Stock, shares outstanding | 1,010,000 | 1,010,000 |
Cumulative Preferred Stock, par value | $0.01 | |
Common Stock, par value | $0.01 | $0.01 |
Common Stock, authorized | 200,000,000 | 200,000,000 |
Common Stock, issued | 105,519,017 | 109,972,000 |
Common Stock, outstanding | 105,156,617 | 109,234,000 |
Non-Agency MBS | ||
Agency MBS pledged to counterparties at fair value | 318,599 | 155,311 |
Series A Preferred Stock | ||
Cumulative Preferred Stock, par value | $0.01 | $0.01 |
Cumulative Preferred Stock, liquidating preference per share | $25 | $25 |
Cumulative Preferred Stock, liquidating preference | 47,984 | 47,984 |
Cumulative Preferred Stock, shares issued | 1,919,378 | 1,919,000 |
Cumulative Preferred Stock, shares outstanding | 1,919,378 | 1,919,000 |
Series C Preferred Stock | ||
Cumulative Preferred Stock, par value | $0.01 | $0.01 |
Cumulative Preferred Stock, liquidating preference per share | $25 | $25 |
Cumulative Preferred Stock, liquidating preference | $8,828 | $0 |
Cumulative Preferred Stock, shares issued | 353,119 | 0 |
Cumulative Preferred Stock, shares outstanding | 353,119 | 0 |
CONSOLIDATED_STATEMENTS_OF_OPE
CONSOLIDATED STATEMENTS OF OPERATIONS (USD $) | 3 Months Ended | |
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Interest and other income: | ||
Interest on Agency MBS | $30,588 | $44,394 |
Interest on Non-Agency MBS | 3,647 | 1 |
Income on rental properties | 370 | |
Other interest income | 10 | 11 |
Interest and Dividend Income, Operating, Total | 34,615 | 44,406 |
Interest Expense: | ||
Interest expense on repurchase agreements | 6,689 | 27,406 |
Interest expense on junior subordinated notes | 315 | 314 |
Interest Expense, Total | 7,004 | 27,720 |
Net operating income | 27,611 | 16,686 |
Operating Expenses: | ||
Management fee to related party | -2,336 | -2,916 |
General and administrative expenses | -1,279 | -1,064 |
Total operating expenses | -3,615 | -3,980 |
Other Income: | ||
Loss on sales of Non-Agency MBS | -3 | |
(Loss) gain on interest rate swaps, net | -46,488 | 628 |
Gain on derivatives-TBA Agency MBS, net | 8,525 | |
(Loss) on derivatives-Eurodollar Futures Contracts | -2,338 | |
Recovery on Non-Agency MBS | 1 | 37 |
Total other (loss) income | -40,303 | 665 |
Net (loss) income | -16,307 | 13,371 |
Dividend on Series A Cumulative Preferred Stock | -1,035 | -1,035 |
Dividend on Series B Cumulative Convertible Preferred Stock | -394 | -394 |
Dividend on Series C Cumulative Redeemable Preferred Stock | -111 | |
Net (loss) income to common stockholders | ($17,847) | $11,942 |
Basic earnings per common share | ($0.17) | $0.09 |
Diluted earnings per common share | ($0.17) | $0.09 |
Basic weighted average number of shares outstanding | 107,228 | 136,848 |
Diluted weighted average number of shares outstanding | 111,472 | 140,875 |
CONSOLIDATED_STATEMENTS_OF_COM
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Net (loss) income | ($16,307) | $13,371 |
Reclassification adjustment for loss on sales of Non-Agency MBS included in net (loss) income | 3 | |
Unrealized gains (losses) on derivatives | 6,108 | -29,655 |
Reclassification adjustment for interest expense on swap agreements included in net (loss) income | 524 | 20,455 |
Other comprehensive income | 32,595 | 20,522 |
Comprehensive income | 16,288 | 33,893 |
Agency Mortgage Backed Securities | ||
Available-for-sale, fair value adjustment | 23,803 | 29,759 |
Non-Agency MBS | ||
Available-for-sale, fair value adjustment | $2,157 | ($37) |
CONSOLIDATED_STATEMENTS_OF_STO
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (USD $) | Total | Series A Preferred Stock Shares Outstanding | Series C Preferred Stock Shares Outstanding | Series A Preferred Stock | Series C Preferred Stock | Series B Preferred Stock | Common Stock Shares Outstanding | Common Stock | Additional Paid-In Capital | Accum. Other Comp. Income (Loss) Agency MBS | Accum. Other Comp. Income (Loss) Non-Agency MBS | Accum. Other Comp. (Loss) Derivatives | Accum. (Deficit) | Accum. (Deficit) | Accum. (Deficit) | Accum. (Deficit) |
In Thousands, except Share data | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | USD ($) | Series A Preferred Stock | Series C Preferred Stock | Series B Preferred Stock | |||
USD ($) | USD ($) | USD ($) | ||||||||||||||
Beginning Balance at Dec. 31, 2014 | $757,517 | $46,537 | $1,100 | $1,033,015 | $31,596 | $5 | ($46,582) | ($308,154) | ||||||||
Beginning Balance (in shares) at Dec. 31, 2014 | 1,919,000 | 109,234,000 | ||||||||||||||
Issuance of Series C Preferred Stock | 8,085 | 8,085 | ||||||||||||||
Issuance of Series C Preferred Stock (in shares) | 353,000 | |||||||||||||||
Issuance of common stock | 425 | 1 | 424 | |||||||||||||
Issuance of common stock (in shares) | 83,000 | |||||||||||||||
Redemption of common stock | -19,655 | -46 | -19,609 | |||||||||||||
Redemption of common stock (in shares) | -3,798,000 | |||||||||||||||
Other comprehensive income, fair value adjustments and reclassifications | 32,595 | 23,803 | 2,160 | 6,632 | ||||||||||||
Net (loss) income | -16,307 | -16,307 | ||||||||||||||
Shares repurchased pending retirement | -1,900 | -1,900 | ||||||||||||||
Shares repurchased pending retirement (in shares) | -362,000 | |||||||||||||||
Amortization of restricted stock | 24 | 24 | ||||||||||||||
Dividend declared | -1,035 | -111 | -394 | -1,035 | -111 | -394 | ||||||||||
Dividend declared per common share | -15,828 | -15,828 | ||||||||||||||
Ending Balance at Mar. 31, 2015 | $743,416 | $46,537 | $8,085 | $1,055 | $1,011,954 | $55,399 | $2,165 | ($39,950) | ($341,829) | |||||||
Ending Balance (in shares) at Mar. 31, 2015 | 1,919,000 | 353,000 | 105,157,000 |
CONSOLIDATED_STATEMENTS_OF_STO1
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) (USD $) | 3 Months Ended |
Mar. 31, 2015 | |
Dividend declared common share, per share | $0.15 |
Series A Preferred Stock | |
Dividend declared, per preferred share | $0.54 |
Series B Preferred Stock | |
Dividend declared, per preferred share | $0.40 |
Series C Preferred Stock | |
Dividend declared, per preferred share | $0.34 |
CONSOLIDATED_STATEMENTS_OF_CAS
CONSOLIDATED STATEMENTS OF CASH FLOWS (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Operating Activities: | ||
Net (loss) income | ($16,307) | $13,371 |
Adjustments to reconcile net income to net cash provided by operating activities: | ||
Amortization of premium (Agency MBS) | 11,784 | 9,887 |
Accretion of purchase discounts (Non-Agency MBS) | -1,021 | |
Depreciation on rental properties | 112 | |
Loss on sales of Non-Agency MBS | 3 | |
Amortization of restricted stock | 24 | 24 |
Recovery on Non-Agency MBS | -1 | -37 |
Periodic net settlements on interest rate swaps, net of amortization | -10,400 | -245 |
Loss (gain) on interest rate swaps, net | 46,488 | -628 |
(Gain) on derivatives, net of derivative income - TBA Agency MBS | -8,525 | |
Loss on derivatives - Eurodollar Futures Contracts | 2,338 | |
Changes in assets and liabilities: | ||
Decrease in interest receivable | 131 | 224 |
(Increase) in prepaid expenses and other | -12,424 | -5,153 |
(Decrease) in accrued interest payable | -6,334 | -4,380 |
Increase in accrued expenses | 597 | 1,435 |
Net cash provided by operating activities | 6,465 | 14,498 |
Investing Activities: | ||
Residential properties purchases | -1,518 | -694 |
Net cash provided by investing activities | 93,554 | 91,018 |
Financing Activities: | ||
Borrowings from repurchase agreements | 7,390,606 | 8,733,100 |
Repayments on repurchase agreements | -7,477,309 | -8,803,100 |
Net settlements on TBS Agency MBS commitments | 5,247 | |
Common stock repurchased net of proceeds from common stock issued | -21,130 | -28,065 |
Common stock dividends paid | -15,396 | -11,116 |
Net cash (used in) financing activities | -111,326 | -110,610 |
Net (decrease) in cash and cash equivalents | -11,307 | -5,094 |
Cash and cash equivalents at beginning of period | 14,989 | 7,368 |
Cash and cash equivalents at end of period | 3,682 | 2,274 |
Supplemental Disclosure of Cash Flow Information: | ||
Cash paid for interest | 23,737 | 32,344 |
Common stock repurchased | 24,634 | 28,323 |
Change in payable for MBS purchased | -22,179 | 100,064 |
Series C Preferred Stock | ||
Financing Activities: | ||
Proceeds on Series C Preferred Stock issued | 8,085 | |
Series A Preferred Stock | ||
Financing Activities: | ||
Preferred stock dividends paid | -1,035 | -1,035 |
Series B Preferred Stock | ||
Financing Activities: | ||
Preferred stock dividends paid | -394 | -394 |
Agency Mortgage Backed Securities | ||
Investing Activities: | ||
Purchases | -238,748 | |
Principal payments | 290,741 | 330,460 |
Available-for-sale Non-Agency MBS | ||
Investing Activities: | ||
Proceeds from sales | 4,120 | |
Purchases | -204,004 | |
Principal payments | $4,215 |
Organization_and_Significant_A
Organization and Significant Accounting Policies | 3 Months Ended | ||||||||||||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||||||||||||
Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||
Organization and Significant Accounting Policies | NOTE 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | ||||||||||||||||||||||||||||||||||||
Our Company | |||||||||||||||||||||||||||||||||||||
We were incorporated in Maryland on October 20, 1997 and we commenced operations on March 17, 1998. Our principal business is to invest in, finance and manage a leveraged portfolio of residential mortgage-backed securities which presently are primarily agency mortgage-backed securities, or Agency MBS. | |||||||||||||||||||||||||||||||||||||
Agency MBS include residential mortgage pass-through certificates and collateralized mortgage obligations, or CMOs, which are securities representing interests in pools of mortgage loans secured by residential property in which the principal and interest payments are guaranteed by a government-sponsored enterprise, or GSE, such as the Federal National Mortgage Association, or Fannie Mae, or the Federal Home Loan Mortgage Corporation, or Freddie Mac. | |||||||||||||||||||||||||||||||||||||
We also own non-agency mortgage-backed securities, or Non-Agency MBS, which are securities issued by companies that are not guaranteed by federally sponsored enterprises and that are secured primarily by first-lien residential mortgage loans. | |||||||||||||||||||||||||||||||||||||
Our principal business objective is to generate net income for distribution to our stockholders primarily based upon the spread between the interest income on our mortgage assets and our borrowing costs to finance our acquisition of those assets. | |||||||||||||||||||||||||||||||||||||
We have elected to be taxed as a real estate investment trust, or REIT, under the Internal Revenue Code of 1986, as amended, or the Code. As long as we retain our REIT status, we generally will not be subject to federal or state income taxes to the extent that we distribute our income to our stockholders and we routinely distribute to our stockholders substantially all of the income generated from our operations. In order to qualify as a REIT, we must meet various ongoing requirements under the tax law, including requirements relating to the composition of our assets, the nature of our gross income, minimum distribution requirements and requirements relating to the ownership of our stock. We believe that we have met all of these requirements and that we will continue to qualify as a REIT. | |||||||||||||||||||||||||||||||||||||
In February 2014, we incorporated our wholly-owned Qualified REIT Subsidiary, or QRS, Anworth Properties, Inc., which commenced operations in March 2014. Our QRS has acquired REIT-qualified residential real estate assets from which we receive rental income and that have the potential for price appreciation. In addition, our QRS may also own other types of mortgage assets, from which we would receive interest income, and other real estate assets. | |||||||||||||||||||||||||||||||||||||
In March 2014, we also incorporated Anworth Property Services, Inc., which we will elect to be treated as a Taxable REIT Subsidiary, or TRS. Anworth Property Services, Inc. is wholly-owned by us and currently has no operations. Our TRS will provide the entity through which we may participate in various activities that might otherwise have adverse tax consequences if conducted directly by a REIT or a QRS. Unlike a REIT, a TRS pays standard corporate taxes on its income earned from these activities in the mortgage and real estate markets. These other activities include almost everything other than receiving rent on properties owned and collecting interest on real estate mortgages or related investments. Examples of other possible activities in which our TRS might engage in include the securitization of mortgage loans; mortgage origination; leasing and managing of rental properties owned by third parties; and owning properties acquired through the foreclosure process. | |||||||||||||||||||||||||||||||||||||
Our Manager | |||||||||||||||||||||||||||||||||||||
We are externally managed and advised by Anworth Management, LLC, or our Manager. Effective as of December 31, 2011, we entered into a Management Agreement (which we refer to as the “Management Agreement”) with our Manager, which effected the externalization of our management function, or the Externalization. Since the effective date, our day-to-day operations are being conducted by our Manager through the authority delegated to it under the Management Agreement and pursuant to the policies established by our board of directors. | |||||||||||||||||||||||||||||||||||||
Our Manager is supervised and directed by our board of directors and is responsible for administering our day-to-day operations. In addition, our Manager is responsible for (i) the selection, purchase and sale of our investment portfolio; (ii) our financing and hedging activities; and (iii) providing us with management services. | |||||||||||||||||||||||||||||||||||||
Our Manager will also perform such other services and activities relating to our assets and operations as may be appropriate. In exchange for these services, our Manager receives a management fee paid monthly in arrears in an amount equal to one-twelfth of 1.20% of our Equity (as defined in the Management Agreement). | |||||||||||||||||||||||||||||||||||||
BASIS OF PRESENTATION | |||||||||||||||||||||||||||||||||||||
The accompanying unaudited consolidated financial statements are prepared on the accrual basis of accounting in accordance with generally accepted accounting principles utilized in the United States of America, or GAAP. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Material estimates that are susceptible to change relate to the determination of the fair value of investments and derivatives, cash flow projections for Non-Agency MBS, amortization of security premiums, accretion of security discounts and accounting for derivatives and hedging activities. Actual results could materially differ from these estimates. In the opinion of management, all material adjustments, consisting of normal recurring adjustments, considered necessary for a fair presentation have been included. | |||||||||||||||||||||||||||||||||||||
Our consolidated financial statements include the accounts of all subsidiaries. Significant intercompany accounts and transactions have been eliminated. The interim financial information in the accompanying unaudited consolidated financial statements and the notes thereto should be read in conjunction with the audited financial statements included in our Annual Report on Form 10-K for the fiscal year ended December 31, 2014. | |||||||||||||||||||||||||||||||||||||
The following is a summary of our significant accounting policies: | |||||||||||||||||||||||||||||||||||||
Cash and Cash Equivalents | |||||||||||||||||||||||||||||||||||||
Cash and cash equivalents include cash on hand and highly liquid investments with original maturities of three months or less. The carrying amount of cash equivalents approximates their fair value. | |||||||||||||||||||||||||||||||||||||
Mortgage-Backed Securities (MBS) | |||||||||||||||||||||||||||||||||||||
Agency MBS are securities that are obligations (including principal and interest) guaranteed by the U.S. government, such as Ginnie Mae, or guaranteed by federally sponsored enterprises, such as Fannie Mae or Freddie Mac. Our investment-grade Agency MBS portfolio is invested primarily in fixed-rate and adjustable-rate mortgage-backed pass-through certificates and hybrid adjustable-rate MBS. Hybrid adjustable-rate MBS have an initial interest rate that is fixed for a certain period, usually three to ten years, and then adjusts annually for the remainder of the term of the asset. We structure our investment portfolio to be diversified with a variety of prepayment characteristics, investing in mortgage assets with prepayment penalties, investing in certain mortgage security structures that have prepayment protections and purchasing mortgage assets at a premium and at a discount. A portion of our portfolio consists of Non-Agency MBS. Our principal business objective is to generate net income for distribution to our stockholders primarily based upon the spread between the interest income on our mortgage assets and our borrowing costs to finance our acquisition of those assets. | |||||||||||||||||||||||||||||||||||||
We classify our MBS as either trading investments, available-for-sale investments or held-to-maturity investments. Our management determines the appropriate classification of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. We currently classify all of our MBS as available-for-sale. All assets that are classified as available-for-sale are carried at fair value and unrealized gains or losses are generally included in “Other comprehensive income (loss)” as a component of stockholders’ equity. Losses that are credit-related on securities classified as available-for-sale, which are determined by management to be other-than-temporary in nature, are reclassified from “Other comprehensive income” to income (loss). | |||||||||||||||||||||||||||||||||||||
The most significant source of our revenue is derived from our investments in MBS. Interest income on Agency MBS is accrued based on the actual coupon rate and the outstanding principal amount of the underlying mortgages. Premiums and discounts are amortized or accreted into interest income over the estimated lives of the securities using the effective interest yield method, adjusted for the effects of actual and estimated prepayments based on the Financial Accounting Standards Board, or FASB, Accounting Standards Codification, or ASC, 320-10. Our policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, street consensus prepayment speeds and current market conditions. If our estimate of prepayments is materially incorrect, as compared to the aforementioned references, we may be required to make an adjustment to the amortization or accretion of premiums and discounts that would have an impact on future income, which could be material and adverse. | |||||||||||||||||||||||||||||||||||||
A majority of our Non-Agency MBS are accounted for under ASC 310-30, Loans and Debt Securities Acquired with Credit Deterioration, or ASC 310-30. A debt security accounted for under ASC 310-30 is initially recorded at its purchase price (fair value). The amount of expected cash flows that exceed the initial investment represents the market yield adjustment (accretable yield), which is recognized as interest income on a level yield basis over the life of the security. The excess of total contractual cash flows over the cash flows expected at its origination is considered to be the non-accretable difference. We must periodically reassess the expected cash flows of loans accounted for under ASC 310-30 along with the cash flows received. A significant increase in expected cash flows must be accounted for as an increase in the rate of accretion over the remaining life of the security. Conversely, if expected cash flows decrease, an other-than-temporary impairment must be recognized as a charge to earnings. Adjustments to the fair value of Non-Agency MBS, accounted for as available-for-sale securities, are recorded in “Accumulated other comprehensive income,” or AOCI. The determination as to whether impairment and accretable yield exists is based on cash flow projections related to the securities. As a result, the timing and amount of impairment and accretable yield constitutes a material estimate that is susceptible to significant change. | |||||||||||||||||||||||||||||||||||||
Interest income on the Non-Agency MBS that were purchased at a discount to par value and were rated below AA at the time of purchase is recognized based on the security’s effective interest rate. The effective interest rate on these securities is based on the projected cash flows from each security, which are estimated based on our observation of current information and events and include assumptions related to interest rates, prepayment rates, and the timing and amount of credit losses. On at least a quarterly basis, we review and, if appropriate, make adjustments to our cash flow projections based on input and analysis received from external sources, internal models, and our judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the available-for-sale securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, and prepayments of principal. Therefore actual maturities of available-for-sale securities are generally shorter than stated contractual maturities. Stated contractual maturities are generally greater than ten years. There can be no assurance that our assumptions used to estimate future cash flows or the current period’s yield for each asset would not change in the near term, and the change could be material. | |||||||||||||||||||||||||||||||||||||
Based on the projected cash flows from our Non-Agency MBS purchased at a discount to par value, a portion of the purchase discount may be designated as a non-accretable difference and, therefore, not accreted into interest income. The amount designated as a non-accretable difference may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions, and other factors. If the performance of a security with a non-accretable difference is more favorable than forecasted, a portion of the amount designated as a non-accretable difference may be accreted into interest income prospectively. Conversely, if the performance of a security with a non-accretable difference is less favorable than forecasted, an impairment charge and write-down of such security to a new cost basis results. | |||||||||||||||||||||||||||||||||||||
Securities are recorded on the date the securities are purchased or sold. Realized gains or losses from securities transactions are determined based on the specific identified cost of the securities. | |||||||||||||||||||||||||||||||||||||
The following table shows the gross unrealized losses and fair value of those individual securities in our MBS portfolio that have been in a continuous unrealized loss position at March 31, 2015 and December 31, 2014, aggregated by investment category and length of time (dollar amounts in thousands): | |||||||||||||||||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||||||||||||||
Less Than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||||||||||
Description | Number | Fair | Unrealized | Number | Fair | Unrealized | Number | Fair | Unrealized | ||||||||||||||||||||||||||||
of | of | Value | Losses | of | Value | Losses | of | Value | Losses | ||||||||||||||||||||||||||||
Securities | Securities | Securities | Securities | ||||||||||||||||||||||||||||||||||
Agency MBS | 341 | $ | 2,439,637 | $ | (30,488 | ) | 90 | $ | 370,924 | $ | (2,744 | ) | 431 | $ | 2,810,561 | $ | (33,232 | ) | |||||||||||||||||||
Non-Agency MBS | 3 | $ | 12,901 | $ | (16 | ) | - | $ | - | $ | - | 3 | $ | 12,901 | $ | (16 | ) | ||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||||||||||||
Less Than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||||||||||
Description | Number | Fair | Unrealized | Number | Fair | Unrealized | Number | Fair | Unrealized | ||||||||||||||||||||||||||||
of | of | Value | Losses | of | Value | Losses | of | Value | Losses | ||||||||||||||||||||||||||||
Securities | Securities | Securities | Securities | ||||||||||||||||||||||||||||||||||
Agency MBS | 91 | $ | 348,783 | $ | (1,792 | ) | 361 | $ | 3,032,057 | $ | (53,820 | ) | 452 | $ | 3,380,840 | $ | (55,612 | ) | |||||||||||||||||||
Non-Agency MBS | 7 | $ | 45,988 | $ | (63 | ) | 0 | 0 | 0 | 7 | $ | 45,988 | $ | (63 | ) | ||||||||||||||||||||||
We do not consider those Agency MBS that have been in a continuous loss position for 12 months or more to be other-than-temporarily impaired. The unrealized losses on our investments in Agency MBS were caused by fluctuations in interest rates. We purchased the Agency MBS primarily at a premium relative to their face value and the contractual cash flows of those investments are guaranteed by the U.S. government or government-sponsored agencies. Since September 2008, the government-sponsored agencies have been in the conservatorship of the U.S. government. We currently do not have the intent to sell the Agency MBS at a price less than the amortized cost basis of our investments. Because the decline in market value of the Agency MBS is attributable to changes in interest rates and not the credit quality of the Agency MBS in our portfolio, and because we do not have the intent to sell these investments nor is it more likely than not that we will be required to sell these investments before recovery of their amortized cost basis, which may be at maturity, we do not consider these investments to be other-than-temporarily impaired at March 31, 2015. | |||||||||||||||||||||||||||||||||||||
Residential Properties | |||||||||||||||||||||||||||||||||||||
Residential properties are stated at cost and consist of land, buildings and improvements, including other costs incurred during their acquisition, possession and renovation. Residential properties purchased that are not subject to an existing lease are treated as asset acquisitions and, as such, are recorded at their purchase price, including acquisition and renovation costs, all of which are allocated to land and building based upon their relative fair values at the date of acquisition. Residential properties acquired either subject to an existing lease or as part of a portfolio level transaction are treated as a business combination under Accounting Standards Codification (“ASC”) 805, Business Combinations, and, as such, are recorded at fair value, allocated to land, building and the existing lease, if applicable, based upon their relative fair values at the date of acquisition, with acquisition fees and other costs expensed as incurred. | |||||||||||||||||||||||||||||||||||||
Building depreciation is computed on a straight-line basis over the estimated useful lives of the assets. We will generally use a 27.5 year estimated life with no salvage value. We will incur costs to prepare our acquired properties to be leased. These costs will be capitalized and allocated to building costs. Costs related to the restoration, renovation, or improvement of our properties that improve and extend their useful lives are capitalized and depreciated over their estimated useful lives. Expenditures for ordinary repairs and maintenance are expensed as incurred. Costs incurred by us to lease the properties will be capitalized and amortized over the life of the lease. Escrow deposits include refundable and non-refundable cash and earnest money on deposit with independent third parties for property purchases. | |||||||||||||||||||||||||||||||||||||
Repurchase Agreements | |||||||||||||||||||||||||||||||||||||
We finance the acquisition of MBS primarily through the use of repurchase agreements. Under these repurchase agreements, we sell securities to a lender and agree to repurchase the same securities in the future for a price that is higher than the original sales price. The difference between the sale price that we receive and the repurchase price that we pay represents interest paid to the lender. Although structured as a sale and repurchase obligation, a repurchase agreement operates as a financing under which we pledge our securities and accrued interest as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. We retain beneficial ownership of the pledged collateral. Upon the maturity of a repurchase agreement, we are required to repay the loan and concurrently receive back our pledged collateral from the lender or, with the consent of the lender, we may renew such agreement at the then-prevailing financing rate. These repurchase agreements may require us to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. | |||||||||||||||||||||||||||||||||||||
Derivative Financial Instruments | |||||||||||||||||||||||||||||||||||||
Risk Management | |||||||||||||||||||||||||||||||||||||
We primarily use short-term (less than or equal to 12 months) repurchase agreements to finance the purchase of MBS. These obligations expose us to variability in interest payments due to changes in interest rates. We continuously monitor changes in interest rate exposures and evaluate various opportunities to mitigate this risk. Our objective is to limit the impact of interest rate changes on earnings and cash flows. The principal instruments we use to achieve this are interest rate swaps and Eurodollar Futures Contracts. Interest rate swaps effectively convert a percentage of our repurchase agreements to fixed-rate obligations over a period of up to ten years. Under interest rate swaps, we agree to pay an amount equal to a specified fixed rate of interest times a notional principal amount and to receive in return an amount equal to a specified variable-rate of interest times a notional amount, generally based on the London Interbank Offered Rate, or LIBOR. The notional amounts are not exchanged. We do not issue or hold the interest rate swaps and the Eurodollar Futures Contracts for speculative purposes. See Note 13 for more information on the Eurodollar Futures Contracts. | |||||||||||||||||||||||||||||||||||||
We also enter into To-Be-Announced, or TBA, Agency MBS as either a means of investing in and financing Agency MBS or as a means of disposing of or reducing our exposure to agency securities. Pursuant to TBA contracts, we agree to purchase or sell, for future delivery, Agency MBS with certain principal and interest terms and certain types of collateral, but the particular Agency MBS to be delivered are not identified until shortly before the TBA settlement date. We also may choose, prior to settlement, to move the settlement of these MBS out to a later date by entering into an offsetting short or long position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing a similar TBA contract for a later settlement date. This transaction is commonly referred to as a “dollar roll.” The Agency MBS purchased or sold for a forward settlement date are typically priced at a discount to agency securities for settlement in the current month. This difference (or discount) is referred to as the “price drop.” The price drop represents compensation to us for foregoing net interest margin (interest income less repurchase agreement financing cost). TBA Agency MBS are accounted for as derivative instruments since they do not meet the exemption allowed for a “regular way” security trade under ASC 815, as either the TBA contracts do not settle in the shortest period of time possible or we cannot assess that it is probable at inception that we will take physical delivery of the security or that we will not settle on a net basis. | |||||||||||||||||||||||||||||||||||||
Accounting for Derivatives and Hedging Activities | |||||||||||||||||||||||||||||||||||||
We account for derivative instruments in accordance with ASC 815, which requires recognition of all derivatives as either assets or liabilities and measurement of those instruments at fair value, which is typically based on values obtained from large financial institutions who are market makers for these types of instruments. The accounting for changes in the fair value on derivative instruments depends on whether the instruments are designated and qualify as hedges in accordance with ASC 815. Changes in fair value related to derivatives not designated as hedges are recorded in our consolidated statements of operations as “Gain (loss) on derivatives” and specifically identified as either relating to interest rate swaps, Eurodollar Futures Contracts or TBA Agency MBS. For a derivative to qualify for hedge accounting, we must anticipate that the hedge will be highly “effective” as defined by ASC 815-10. A hedge of the variability of cash flows that are to be received or paid in connection with a recognized asset or liability is known as a ”cash flow” hedge. Changes in the fair value of a derivative that is highly effective and that is designated as a cash flow hedge, to the extent the hedge is effective, are recorded in AOCI and reclassified to income when the forecasted transaction affects income (e.g. when periodic settlement interest payments are due on repurchase agreements). Hedge ineffectiveness, if any, is recorded in current period income. | |||||||||||||||||||||||||||||||||||||
When we discontinue hedge accounting, the gain or loss on the derivative remains in AOCI and is reclassified into income when the forecasted transaction affects income. In all situations where hedge accounting is discontinued and the derivative remains outstanding, we carry the derivative at its fair value on our balance sheet, recognizing changes in fair value in current period income. All of our swaps had historically been accounted for as cash flow hedges under ASC 815. However, on March 17, 2014, we discontinued hedge accounting on approximately $1.685 billion in notional amounts by de-designating these swaps as cash flow hedges. After August 22, 2014, none of our swaps were designated for hedge accounting. As a result of discontinuing hedge accounting for our swaps, changes in the fair value of these swaps are recorded in “Gain (loss) on interest rate swaps, net” in our consolidated statements of operations rather than in AOCI. Also, net interest paid or received on these swaps which was previously recognized in interest expense, is instead recognized in “Gain (loss) on interest rate swaps, net.” These continue to be reported as assets or liabilities on our consolidated balance sheets at their fair value. | |||||||||||||||||||||||||||||||||||||
As long as the forecasted transactions that were being hedged (i.e. rollovers of our repurchase agreement borrowings) are still expected to occur, the balance in AOCI from the activity in these swaps through the dates of de-designation will remain in AOCI and be recognized in our consolidated statements of operations as “interest expense” over the remaining term of these swaps. | |||||||||||||||||||||||||||||||||||||
For purposes of the consolidated statements of cash flows, cash flows hedges were classified with the cash flows from the hedged item. Cash flows from derivatives that are not hedges are classified according to the underlying nature or purpose of the derivative transaction. | |||||||||||||||||||||||||||||||||||||
For more details on the amounts and other qualitative information on all our derivative transactions, see Note 13. For more information on the fair value of our derivative instruments, see Note 7. | |||||||||||||||||||||||||||||||||||||
Credit Risk | |||||||||||||||||||||||||||||||||||||
At March 31, 2015, we have attempted to limit our exposure to credit losses on our Agency MBS by purchasing securities primarily through Freddie Mac and Fannie Mae. The payment of principal and interest on the Freddie Mac and Fannie Mae MBS are guaranteed by those respective enterprises. In September 2008, both Freddie Mac and Fannie Mae were placed in the conservatorship of the U.S. government. While it is the intent that the conservatorship will help stabilize Freddie Mac’s and Fannie Mae’s losses and overall financial position, there can be no assurance that it will succeed or that, if necessary, Freddie Mac and Fannie Mae will be able to satisfy its guarantees of Agency MBS. There have also been concerns as to what the U.S. government will do regarding winding down the operations of Freddie Mac and Fannie Mae. There have also been concerns over the past few years regarding the credit standing of Freddie Mac, Fannie Mae, and U.S. sovereign debt. We do not know what effect any future ratings of Freddie Mac, Fannie Mae and U.S. sovereign debt may ultimately have on the U.S. economy, the value of our securities, or the ability of Freddie Mac and Fannie Mae to satisfy its guarantees of Agency MBS, if necessary. | |||||||||||||||||||||||||||||||||||||
Our adjustable-rate MBS are subject to periodic and lifetime interest rate caps. Periodic caps can limit the amount an interest rate can increase during any given period. Some adjustable-rate MBS subject to periodic payment caps may result in a portion of the interest being deferred and added to the principal outstanding. | |||||||||||||||||||||||||||||||||||||
We also invest in Non-Agency MBS, which are securities that are secured by pools of residential mortgages which are not issued by government-sponsored enterprises and are not guaranteed by any agency of the U.S. government or any federally chartered corporation. Such investments carry a risk that the borrower on the underlying mortgage may default on their obligation to make full and timely payments of principal and interest. | |||||||||||||||||||||||||||||||||||||
Other-than-temporary losses on our available-for-sale MBS, as measured by the amount of decline in estimated fair value attributable to credit losses that are considered to be other-than-temporary, are charged against income, resulting in an adjustment of the cost basis of such securities. Based on the criteria in ASC 320-10, the determination of whether a security is other-than-temporarily impaired, or OTTI, involves judgments and assumptions based on both subjective and objective factors. When a security is impaired, an OTTI is considered to have occurred if (i) we intend to sell the security, (ii) it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis or (iii) we do not expect to recover its amortized cost basis (i.e., there is a credit-related loss). The following are among, but not all of, the factors considered in determining whether and to what extent an OTTI exists and the portion that is related to credit loss: (i) the expected cash flow from the investment; (ii) whether there has been an other-than-temporary deterioration of the credit quality of the underlying mortgages; (iii) the credit protection available to the related mortgage pool for MBS; (iv) any other market information available, including analysts’ assessments and statements, public statements and filings made by the debtor or counterparty; (v) management’s internal analysis of the security, considering all known relevant information at the time of assessment; and (vi) the magnitude and duration of historical decline in market prices. Because management’s assessments are based on factual information as well as subjective information available at the time of assessment, the determination as to whether an other-than-temporary decline exists and, if so, the amount considered impaired, is also subjective and therefore constitutes material estimates that are susceptible to significant change. | |||||||||||||||||||||||||||||||||||||
For all interest rate swaps entered into on or before September 9, 2013, we are exposed to credit losses in the event of non-performance by counterparties to interest rate swap agreements. In order to limit this risk, our practice was to only enter into swaps with large financial institution counterparties who were market makers for these types of instruments, limit our exposure on each swap to a single counterparty under our defined guidelines and either pay or receive collateral to or from each counterparty on a periodic basis to cover the net fair market position of the swaps held with that counterparty. For all swaps entered into on or after September 9, 2013, all swap participants are required by rules of the Commodities Futures Trading Commission, or CFTC, under authority granted to it pursuant to the Dodd-Frank Wall Street Reform and Consumer Protection Act, or the Dodd-Frank Act, to clear swaps through a registered derivatives clearing organization, or “swap execution facility,” through standardized documents under which each swap counterparty transfers its position to another entity whereby a central clearinghouse effectively becomes the counterparty on each side of the swap. Both the swap execution facility and the central clearinghouse could require greater initial and periodic margin (collateral) requirements and additional transaction fees. It is the intent of the Dodd-Frank Act that the clearing of swaps in this manner is designed to avoid concentration of risk in any single entity by spreading and centralizing the risk in the clearinghouse and its members. | |||||||||||||||||||||||||||||||||||||
Income Taxes | |||||||||||||||||||||||||||||||||||||
We have elected to be taxed as a REIT and to comply with the provisions of the Code with respect thereto. Accordingly, we will not be subject to federal income tax to the extent that our distributions to our stockholders satisfy the REIT requirements and that certain asset, income and stock ownership tests are met. | |||||||||||||||||||||||||||||||||||||
We have no unrecognized tax benefits and do not anticipate any increase in unrecognized benefits during 2015 relative to any tax positions taken prior to January 1, 2015. Should the accrual of any interest or penalties relative to unrecognized tax benefits be necessary, it is our policy to record such accruals in our income taxes accounts; and no such accruals existed at March 31, 2015. We file REIT U.S. federal and California income tax returns. These returns are generally open to examination by the IRS and the California Franchise Tax Board for all years after 2010 and 2009, respectively. | |||||||||||||||||||||||||||||||||||||
Cumulative Convertible Preferred Stock | |||||||||||||||||||||||||||||||||||||
We classify our Series B Cumulative Convertible Preferred Stock, or Series B Preferred Stock, on our balance sheets using the guidance in ASC 480-10-S99. The Series B Preferred Stock contains certain fundamental change provisions that allow the holder to redeem the preferred stock for cash only if certain events occur, such as a change in control. As redemption under these circumstances is not solely within our control, we have classified the Series B Preferred Stock as temporary equity. | |||||||||||||||||||||||||||||||||||||
We have analyzed whether the conversion features in the Series B Preferred Stock should be bifurcated under the guidance in ASC 815-10 and have determined that bifurcation is not necessary. | |||||||||||||||||||||||||||||||||||||
Stock-Based Expense | |||||||||||||||||||||||||||||||||||||
In accordance with ASC 718-10, any expense relating to share-based payment transactions is recognized in the unaudited consolidated financial statements. | |||||||||||||||||||||||||||||||||||||
Restricted stock is expensed over the vesting period (see Note 12). | |||||||||||||||||||||||||||||||||||||
Earnings Per Share | |||||||||||||||||||||||||||||||||||||
Basic earnings per share, or EPS, is computed by dividing net income available to common stockholders by the weighted average number of common shares outstanding during the period. Diluted EPS assumes the conversion, exercise or issuance of all potential common stock equivalents (which includes stock options and convertible preferred stock) and the adding back of the Series B Preferred Stock dividends unless the effect is to reduce a loss or increase the income per share. | |||||||||||||||||||||||||||||||||||||
The computation of EPS for the three months ended March 31, 2015 and 2014 is as follows (amounts in thousands, except per share data): | |||||||||||||||||||||||||||||||||||||
Net Income | Average | Earnings | |||||||||||||||||||||||||||||||||||
Available to | Shares | per | |||||||||||||||||||||||||||||||||||
Common | Share | ||||||||||||||||||||||||||||||||||||
Stockholders | |||||||||||||||||||||||||||||||||||||
For the three months ended March 31, 2015 | |||||||||||||||||||||||||||||||||||||
Basic EPS | $ | (17,847 | ) | 107,228 | $ | (0.17 | ) | ||||||||||||||||||||||||||||||
Effect of dilutive securities | - | 4,244 | - | ||||||||||||||||||||||||||||||||||
Diluted EPS | $ | (17,847 | ) | 111,472 | $ | (0.17 | ) | ||||||||||||||||||||||||||||||
For the three months ended March 31, 2014 | |||||||||||||||||||||||||||||||||||||
Basic EPS | $ | 11,942 | 136,848 | $ | 0.09 | ||||||||||||||||||||||||||||||||
Effect of dilutive securities | 394 | 4,027 | - | ||||||||||||||||||||||||||||||||||
Diluted EPS | $ | 12,336 | 140,875 | $ | 0.09 | ||||||||||||||||||||||||||||||||
For the three months ended March 31, 2015 and 2014, options to purchase 5,000 and 5,000 shares of common stock, respectively, were outstanding and not included in the computation of diluted EPS as their exercise price and option expense exceeded the average stock price for those respective periods. | |||||||||||||||||||||||||||||||||||||
Accumulated Other Comprehensive Income | |||||||||||||||||||||||||||||||||||||
In accordance with ASC 220-10-55-2, total comprehensive income is divided into net income and other comprehensive income, which includes unrealized gains and losses on marketable securities classified as available-for-sale, and unrealized gains and losses on derivative financial instruments that qualify for cash flow hedge accounting under ASC 815-10. In accordance with ASU 2013-02, we have identified, in our consolidated Statements of Comprehensive Income, items that are reclassified and included in our consolidated Statements of Operations. | |||||||||||||||||||||||||||||||||||||
USE OF ESTIMATES | |||||||||||||||||||||||||||||||||||||
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could materially differ from those estimates. | |||||||||||||||||||||||||||||||||||||
RECENT ACCOUNTING PRONOUNCEMENTS | |||||||||||||||||||||||||||||||||||||
In May 2014, the FASB issued a new standard on revenue recognition, ASU No. 2014-09, “Revenue from Contracts with Customers (Topic 606).” This new standard will replace more than 200 ad hoc pronouncements on revenue recognition. This ASU requires companies to recognize revenue in a way that shows the transfer of goods or services to customers in amounts that reflect the payment that a company expects to be entitled to in exchange for those goods or services. To do that, companies will now have to go through a five-step process: (1) tie the contract to a customer; (2) identify the contract’s performance obligations; (3) determine the transaction price; (4) connect the transaction price to the performance obligations in the contract; and (5) recognize revenue when (or as) a company satisfies the performance obligation. This ASU only affects an entity that either enters into contracts with customers to transfer goods or services or enters into contracts for the transfer of nonfinancial assets, unless those contracts are within other standards (for example, insurance contracts or lease contracts). This ASU is effective for a public entity for the financial statements beginning with the quarter ending March 31, 2018. We do not believe that this ASU will have a material impact on our financial statements. | |||||||||||||||||||||||||||||||||||||
In June 2014, the FASB issued a new standard on repurchase agreements, ASU No. 2014-11, “Transfers and Servicing: Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (Topic 860).” This new standard introduces two major changes to the existing accounting guidance: (1) it requires transferors and transferees to account for repurchase-to-maturity transactions as secured borrowings, where the transferor maintains control over the transferred asset instead of accounting for these as a sale; and (2) it requires separate accounting for a transfer of a financial asset executed contemporaneously with a repurchase agreement with the same counterparty, causing the repurchase agreement to be accounted for as a secured borrowing. For these types of transactions, there is additional disclosure about the nature of the transaction. This ASU also requires the following disclosures for all repurchase agreements, securities lending transactions and repurchase-to-maturity transactions that are accounted for as secured borrowings: (i) a disaggregation of the gross obligation by the class of collateral pledged; (ii) the remaining contractual tenor of the agreements; and (iii) a discussion of the potential risks associated with the agreements and the related collateral pledged, including obligations arising from a decline in the fair value of the collateral pledged and how those risks are managed. This ASU became effective for our financial statements beginning with the quarter ending March 31, 2015. We do not believe that this ASU has a material impact on our financial statements. | |||||||||||||||||||||||||||||||||||||
In November 2014, the FASB issued ASU 2014-16, “Determining Whether the Host Contract in a Hybrid Financial Instrument Issued in the Form of a Share is More Akin to Debt or Equity – a consensus of the FASB Emerging Issues Task Force.” U.S. GAAP defines a “hybrid” financial instrument as consisting of a host contract and an embedded derivative (for example, convertible, redeemable preferred stock). An entity must bifurcate (account for separately as a derivative) an embedded derivative from a hybrid financial instrument if the embedded derivative (1) is not clearly and closely related to the host contract and (2) meets the definition of a derivative as a freestanding instrument. To determine whether an embedded derivative is clearly and closely related to the host contract, an entity must first determine whether the terms and features in a hybrid financial instrument are debt-like versus equity-like, and then weigh the terms and features based on relevant facts and circumstances to ultimately determine the nature of the host contract. This ASU will become effective for our financial statements beginning with the quarter ending March 31, 2016. We do not believe this ASU will have a material impact on our financial statements. | |||||||||||||||||||||||||||||||||||||
In January 2015, the FASB issued ASU 2015-01, “Simplifying Income Statement Presentation by Eliminating the Concept of Extraordinary Items.” Currently, an event or transaction that is unusual and occurs infrequently must be separately classified and presented as an extraordinary item net of tax after income from continuing operations. Entities are also required to disclose income taxes and earnings per share data for each extraordinary item if the amounts are not already disclosed on the face of the income statements. By removing the concept of extraordinary items from U.S. GAAP, this ASU removes the uncertainty and disparity in practice involved in identifying, presenting and disclosing extraordinary items. This ASU will become effective for our financial statements beginning with the quarter ending March 31, 2016. We do not believe that this ASU will have a material impact on our financial statements. | |||||||||||||||||||||||||||||||||||||
On February 18, 2015, the FASB issued an ASU regarding guidance on consolidations, ASU No. 2015-02, “Consolidation (Topic 810): Amendment to the Consolidation Analysis.” This new standard changes consolidation analysis by: placing more emphasis on risk of loss when determining a controlling financial interest and outlining the conditions under which a decision maker or service provider may have to consolidate the entity for which it provides the service. As such, we believe that entities for which decision making rights are conveyed through contractual arrangement are less likely to be consolidated. This ASU will become effective for our financial statements beginning with the quarter ending March 31, 2016. We do not believe that this ASU will have a material effect on our financial statements. | |||||||||||||||||||||||||||||||||||||
In April 2015, the FASB issued ASU 2015-03, “Interest-Imputation of Interest (Subtopic 835-30), Simplifying the Presentation of Debt Issuance Costs.” This ASU requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability. This ASU will be effective for our financial statements beginning with the quarter ending March 31, 2016. We do not believe this ASU will have a material impact on our financial statements. |
Reverse_Repurchase_Agreements
Reverse Repurchase Agreements | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Repurchase Agreements | NOTE 5. REPURCHASE AGREEMENTS | ||||||||||||||||||||||||
We have entered into repurchase agreements with large financial institutions to finance most of our MBS. The repurchase agreements are short-term borrowings that are secured by the market value of our MBS and bear fixed interest rates that have historically been based upon LIBOR. | |||||||||||||||||||||||||
At March 31, 2015 and December 31, 2014, the repurchase agreements had the following balances (dollar amounts in thousands), weighted average interest rates and remaining weighted average maturities: | |||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
Agency MBS | Non-Agency MBS | Total MBS | |||||||||||||||||||||||
Balance | Weighted | Balance | Weighted | Balance | Weighted | ||||||||||||||||||||
Average | Average | Average | |||||||||||||||||||||||
Interest | Interest | Interest | |||||||||||||||||||||||
Rate | Rate | Rate | |||||||||||||||||||||||
Overnight | $ | - | - | % | $ | - | - | % | $ | - | - | % | |||||||||||||
Less than 30 days | 2,308,000 | 0.35 | 236,037 | 1.83 | 2,544,037 | 0.49 | |||||||||||||||||||
30 days to 90 days | 3,690,000 | 0.35 | - | - | 3,690,000 | 0.35 | |||||||||||||||||||
Over 90 days to less than 1 year | 50,000 | 0.37 | - | - | 50,000 | 0.37 | |||||||||||||||||||
1 year to 2 years | - | - | - | - | - | - | |||||||||||||||||||
Demand | - | - | - | - | - | - | |||||||||||||||||||
$ | 6,048,000 | 0.35 | % | $ | 236,037 | 1.83 | % | $ | 6,284,037 | 0.41 | % | ||||||||||||||
Weighted average maturity | 38 days | 15 days | 37 days | ||||||||||||||||||||||
Weighted average interest rate after adjusting for interest rate swaps | 1.1 | % | |||||||||||||||||||||||
Weighted average maturity after adjusting for interest rate swaps | 729 days | ||||||||||||||||||||||||
MBS pledged as collateral under the | $ | 6,436,205 | $ | 318,599 | $ | 6,754,804 | |||||||||||||||||||
repurchase agreements and swap agreements | |||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Agency MBS | Non-Agency MBS | Total MBS | |||||||||||||||||||||||
Balance | Weighted | Balance | Weighted | Balance | Weighted | ||||||||||||||||||||
Average | Average | Average | |||||||||||||||||||||||
Interest | Interest | Interest | |||||||||||||||||||||||
Rate | Rate | Rate | |||||||||||||||||||||||
Overnight | $ | - | - | % | $ | - | - | % | $ | - | - | % | |||||||||||||
Less than 30 days | 2,395,000 | 0.32 | 115,740 | 1.82 | 2,510,740 | 0.39 | |||||||||||||||||||
30 days to 90 days | 3,860,000 | 0.35 | - | - | 3,860,000 | 0.35 | |||||||||||||||||||
Over 90 days to less than 1 year | - | - | - | - | - | - | |||||||||||||||||||
1 year to 2 years | - | - | - | - | - | - | |||||||||||||||||||
Demand | - | - | - | - | - | - | |||||||||||||||||||
$ | 6,255,000 | 0.34 | % | $ | 115,740 | 1.82 | % | $ | 6,370,740 | 0.37 | % | ||||||||||||||
Weighted average maturity | 38 days | 13 days | 37 days | ||||||||||||||||||||||
Weighted average interest rate after adjusting for interest rate swaps | 1.06 | % | |||||||||||||||||||||||
Weighted average maturity after adjusting for interest rate swaps | 767 days | ||||||||||||||||||||||||
MBS pledged as collateral under the | $ | 6,650,143 | $ | 155,311 | $ | 6,805,454 | |||||||||||||||||||
repurchase agreements and swap agreements | |||||||||||||||||||||||||
For additional information about repurchase agreements, see the section in Note 1 entitled “Repurchase Agreements.” | |||||||||||||||||||||||||
The following tables present information about certain assets and liabilities that are subject to master netting arrangements (or similar agreements) only in the event of default on a contract. See Notes 1, 7 and 13 for more information on the Company’s interest rate swaps (both items that were hedges and also for de-designated swaps) and other derivative instruments. | |||||||||||||||||||||||||
Net Amounts of | |||||||||||||||||||||||||
Assets | Gross Amounts Not Offset | ||||||||||||||||||||||||
Gross Amounts | or Liabilities | in the Balance Sheets(1) | |||||||||||||||||||||||
of Recognized | Gross Amounts | Presented in | Cash | ||||||||||||||||||||||
31-Mar-15 | Assets or | Offset in the | the Balance | Financial | Collateral | Net | |||||||||||||||||||
(in thousands) | Liabilities | Balance Sheets | Sheets | Instruments | Received | Amounts | |||||||||||||||||||
Derivative assets at fair value(2) | $ | 6,560 | $ | - | $ | 6,560 | $ | (6,560 | ) | $ | - | $ | - | ||||||||||||
Total | $ | 6,560 | $ | - | $ | 6,560 | $ | (6,560 | ) | $ | - | $ | - | ||||||||||||
Repurchase Agreements(3) | $ | 6,284,037 | $ | - | $ | 6,284,037 | $ | (6,284,037 | ) | $ | - | $ | - | ||||||||||||
Derivative liabilities at fair value(2) | 70,188 | - | 70,188 | (70,188 | ) | - | - | ||||||||||||||||||
Total | $ | 6,354,225 | $ | - | $ | 6,354,225 | $ | (6,354,225 | ) | $ | - | $ | - | ||||||||||||
Net Amounts of | |||||||||||||||||||||||||
Assets | Gross Amounts Not Offset | ||||||||||||||||||||||||
Gross Amounts | or Liabilities | in the Balance Sheets(1) | |||||||||||||||||||||||
of Recognized | Gross Amounts | Presented in | Cash | ||||||||||||||||||||||
31-Dec-14 | Assets or | Offset in the | the Balance | Financial | Collateral | Net | |||||||||||||||||||
(in thousands) | Liabilities | Balance Sheets | Sheets | Instruments | Received | Amounts | |||||||||||||||||||
Derivative assets at fair value(2) | $ | 9,792 | $ | - | $ | 9,792 | $ | (9,792 | ) | $ | - | $ | - | ||||||||||||
Total | $ | 9,792 | $ | - | $ | 9,792 | $ | (9,792 | ) | $ | - | $ | - | ||||||||||||
Repurchase Agreements(3) | $ | 6,370,740 | $ | - | $ | 6,370,740 | $ | (6,370,740 | ) | $ | - | $ | - | ||||||||||||
Derivative liabilities at fair value(2) | 45,259 | - | 45,259 | (45,259 | ) | - | - | ||||||||||||||||||
Total | $ | 6,415,999 | $ | - | $ | 6,415,999 | $ | (6,415,999 | ) | $ | - | $ | - | ||||||||||||
-1 | Amounts presented are limited to collateral pledged sufficient to reduce the related net amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. | ||||||||||||||||||||||||
-2 | At March 31, 2015, we had pledged approximately $62.9 million in Agency MBS as collateral and paid another approximately $20.1 million on swap margin calls on our swap derivatives, which were approximately $2.2 million in derivative assets and approximately $66.5 million in derivative liabilities at March 31, 2015. At December 31, 2014, we had pledged approximately $54 million in Agency MBS as collateral and paid another approximately $13 million on swap margin calls on our swap derivatives, which were approximately $8.7 million in derivative assets and approximately $43.6 million in derivative liabilities at December 31, 2014. | ||||||||||||||||||||||||
-3 | At March 31, 2015, we had pledged approximately $6.44 billion in Agency MBS and approximately $319 million in Non-Agency MBS as collateral on our repurchase agreements. At December 31, 2014, we had pledged approximately $6.65 billion in Agency MBS and approximately $155 million in Non-Agency MBS as collateral on our repurchase agreements. | ||||||||||||||||||||||||
Reverse Repurchase Agreements | |||||||||||||||||||||||||
Repurchase Agreements | NOTE 2. REVERSE REPURCHASE AGREEMENTS | ||||||||||||||||||||||||
At March 31, 2015, we did not have any reverse repurchase agreements outstanding. During the three months ended March 31, 2015, the maximum amount of the reverse repurchase agreements outstanding was $51 million and the average amount outstanding was $0.9 million. These investments are used as a means of investing excess cash. The collateral for these loans would be U.S. Treasury securities or Agency MBS with an aggregate fair value equal to the amount of the loans. At December 31, 2014, there were no reverse repurchase agreements outstanding. |
Mortgage_Backed_Securities_MBS
Mortgage Backed Securities (MBS) | 3 Months Ended | ||||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||||
Investments Debt And Equity Securities [Abstract] | |||||||||||||||||||||||||||||
Mortgage Backed Securities (MBS) | |||||||||||||||||||||||||||||
NOTE 3. MORTGAGE-BACKED SECURITIES (MBS) | |||||||||||||||||||||||||||||
The following tables summarize our Agency MBS and Non-Agency MBS, classified as available-for-sale, at March 31, 2015 and December 31, 2014, which are carried at their fair value (amounts in thousands): | |||||||||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||||||
By Agency | Ginnie Mae | Freddie Mac | Fannie Mae | Total | Non-Agency | Total | |||||||||||||||||||||||
Agency MBS | MBS | MBS | |||||||||||||||||||||||||||
Amortized cost | $ | 11,425 | $ | 2,759,654 | $ | 3,882,460 | $ | 6,653,539 | $ | 374,215 | $ | 7,027,754 | |||||||||||||||||
Paydowns receivable(1) | - | 35,702 | - | 35,702 | - | 35,702 | |||||||||||||||||||||||
Unrealized gains | 7 | 21,471 | 67,154 | 88,632 | 2,180 | 90,812 | |||||||||||||||||||||||
Unrealized losses | (161 | ) | (17,548 | ) | (15,523 | ) | (33,232 | ) | (16 | ) | (33,248 | ) | |||||||||||||||||
Fair value | $ | 11,271 | $ | 2,799,279 | $ | 3,934,091 | $ | 6,744,641 | $ | 376,379 | $ | 7,121,020 | |||||||||||||||||
By Security Type | ARMs | Hybrids | 15-Year | 20-Year | Total | Non-Agency | Total | ||||||||||||||||||||||
Fixed-Rate | and | Agency MBS | MBS | MBS | |||||||||||||||||||||||||
30-Year | |||||||||||||||||||||||||||||
Fixed-Rate | |||||||||||||||||||||||||||||
Amortized cost | $ | 2,052,940 | $ | 3,382,085 | $ | 1,008,990 | $ | 209,524 | $ | 6,653,539 | $ | 374,215 | $ | 7,027,754 | |||||||||||||||
Paydowns receivable(1) | 7,558 | 28,144 | - | - | 35,702 | - | 35,702 | ||||||||||||||||||||||
Unrealized gains | 55,100 | 16,512 | 6,368 | 10,652 | 88,632 | 2,180 | 90,812 | ||||||||||||||||||||||
Unrealized losses | (5,212 | ) | (24,184 | ) | (3,836 | ) | - | (33,232 | ) | (16 | ) | (33,248 | ) | ||||||||||||||||
Fair value | $ | 2,110,386 | $ | 3,402,557 | $ | 1,011,522 | $ | 220,176 | $ | 6,744,641 | $ | 376,379 | $ | 7,121,020 | |||||||||||||||
-1 | Paydowns receivable are generated when the Company receives notice from Freddie Mac of prepayments but does not receive the actual cash with respect to such prepayments until the 15th day of the following month. | ||||||||||||||||||||||||||||
During the three months ended March 31, 2015, we sold $4.1 million in Non-Agency MBS and realized a loss on the sale of approximately $3 thousand. | |||||||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||||
By Agency | Ginnie Mae | Freddie Mac | Fannie Mae | Total | Non-Agency | Total | |||||||||||||||||||||||
Agency MBS | MBS | MBS | |||||||||||||||||||||||||||
Amortized cost | $ | 11,823 | $ | 2,889,128 | $ | 4,061,330 | $ | 6,962,281 | $ | 199,705 | $ | 7,161,986 | |||||||||||||||||
Paydowns receivable(1) | - | 29,486 | - | 29,486 | - | 29,486 | |||||||||||||||||||||||
Unrealized gains | 32 | 21,534 | 65,642 | 87,208 | 68 | 87,276 | |||||||||||||||||||||||
Unrealized losses | (155 | ) | (31,558 | ) | (23,899 | ) | (55,612 | ) | (63 | ) | (55,675 | ) | |||||||||||||||||
Fair value | $ | 11,700 | $ | 2,908,590 | $ | 4,103,073 | $ | 7,023,363 | $ | 199,710 | $ | 7,223,073 | |||||||||||||||||
By Security Type | ARMs | Hybrids | 15-Year | 20-Year | Total | Non-Agency | Total | ||||||||||||||||||||||
Fixed-Rate | and | Agency MBS | MBS | MBS | |||||||||||||||||||||||||
30-Year | |||||||||||||||||||||||||||||
Fixed-Rate | |||||||||||||||||||||||||||||
Amortized cost | $ | 1,779,031 | $ | 3,914,431 | $ | 1,048,991 | $ | 219,828 | $ | 6,962,281 | $ | 199,705 | $ | 7,161,986 | |||||||||||||||
Paydowns receivable(1) | 2,769 | 26,717 | - | - | 29,486 | - | 29,486 | ||||||||||||||||||||||
Unrealized gains | 51,827 | 21,290 | 3,782 | 10,309 | 87,208 | 68 | 87,276 | ||||||||||||||||||||||
Unrealized losses | (5,027 | ) | (40,632 | ) | (9,953 | ) | - | (55,612 | ) | (63 | ) | (55,675 | ) | ||||||||||||||||
Fair value | $ | 1,828,600 | $ | 3,921,806 | $ | 1,042,820 | $ | 230,137 | $ | 7,023,363 | $ | 199,710 | $ | 7,223,073 | |||||||||||||||
-1 | Paydowns receivable are generated when the Company receives notice from Freddie Mac of prepayments but does not receive the actual cash with respect to such prepayments until the 15th day of the following month. | ||||||||||||||||||||||||||||
The following table presents information regarding the estimates of the contractually required principal payments, cash flows expected to be collected and estimated fair value of the Non-Agency MBS held at carrying value acquired by the Company at March 31, 2015 and December 31, 2014: | |||||||||||||||||||||||||||||
March 31, | December 31, | ||||||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Non-Agency MBS acquired with credit deterioration: | |||||||||||||||||||||||||||||
Contractually required principal | $ | 287,806 | $ | 148,197 | |||||||||||||||||||||||||
Contractual principal not expected to be collected (non-accretable yield) | (74,958 | ) | (18,123 | ) | |||||||||||||||||||||||||
Expected cash flows to be collected | 212,848 | 130,074 | |||||||||||||||||||||||||||
Market yield adjustment | 11,653 | (17,160 | ) | ||||||||||||||||||||||||||
Unrealized gain, net | 1,170 | 5 | |||||||||||||||||||||||||||
Fair value | 225,671 | 112,919 | |||||||||||||||||||||||||||
Fair value of other Non-Agency MBS (no credit deterioration) | 150,708 | 86,791 | |||||||||||||||||||||||||||
Total fair value of Non-Agency MBS | $ | 376,379 | $ | 199,710 | |||||||||||||||||||||||||
The following table presents the change for the three months ended March 31, 2015 of the components of the Company’s purchase discount on the Non-Agency MBS acquired with credit deterioration between the amount designated as the market yield adjustment and the non-accretable difference: | |||||||||||||||||||||||||||||
For the | |||||||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||||||
Market Yield | Non- | ||||||||||||||||||||||||||||
Adjustment | Accretable | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | (18,528 | ) | $ | (18,123 | ) | |||||||||||||||||||||||
Accretion of discount | 1,021 | - | |||||||||||||||||||||||||||
Purchases | 29,345 | (56,835 | ) | ||||||||||||||||||||||||||
Sales | (185 | ) | - | ||||||||||||||||||||||||||
Reclass adjustments for other-than-temporary impairments | - | - | |||||||||||||||||||||||||||
Transfer from (to) | - | - | |||||||||||||||||||||||||||
Balance, end of period | $ | 11,653 | $ | (74,958 | ) | ||||||||||||||||||||||||
Residential_Properties
Residential Properties | 3 Months Ended |
Mar. 31, 2015 | |
Real Estate [Abstract] | |
Residential Properties | NOTE 4. RESIDENTIAL PROPERTIES |
At March 31, 2015, we owned 87 single-family residential properties which are all located in Southeastern Florida and are carried at a total cost, net of accumulated depreciation, of approximately $14.3 million. At December 31, 2014, we owned 79 properties at a net cost of approximately $12.9 million. The income from these properties is included in our consolidated statements of operations as “Income on rental properties.” The expenses on these properties are included in our consolidated statements of operations in “Other expense” and the details are included in Note 15. |
Repurchase_Agreements
Repurchase Agreements | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Banking And Thrift [Abstract] | |||||||||||||||||||||||||
Repurchase Agreements | NOTE 5. REPURCHASE AGREEMENTS | ||||||||||||||||||||||||
We have entered into repurchase agreements with large financial institutions to finance most of our MBS. The repurchase agreements are short-term borrowings that are secured by the market value of our MBS and bear fixed interest rates that have historically been based upon LIBOR. | |||||||||||||||||||||||||
At March 31, 2015 and December 31, 2014, the repurchase agreements had the following balances (dollar amounts in thousands), weighted average interest rates and remaining weighted average maturities: | |||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
Agency MBS | Non-Agency MBS | Total MBS | |||||||||||||||||||||||
Balance | Weighted | Balance | Weighted | Balance | Weighted | ||||||||||||||||||||
Average | Average | Average | |||||||||||||||||||||||
Interest | Interest | Interest | |||||||||||||||||||||||
Rate | Rate | Rate | |||||||||||||||||||||||
Overnight | $ | - | - | % | $ | - | - | % | $ | - | - | % | |||||||||||||
Less than 30 days | 2,308,000 | 0.35 | 236,037 | 1.83 | 2,544,037 | 0.49 | |||||||||||||||||||
30 days to 90 days | 3,690,000 | 0.35 | - | - | 3,690,000 | 0.35 | |||||||||||||||||||
Over 90 days to less than 1 year | 50,000 | 0.37 | - | - | 50,000 | 0.37 | |||||||||||||||||||
1 year to 2 years | - | - | - | - | - | - | |||||||||||||||||||
Demand | - | - | - | - | - | - | |||||||||||||||||||
$ | 6,048,000 | 0.35 | % | $ | 236,037 | 1.83 | % | $ | 6,284,037 | 0.41 | % | ||||||||||||||
Weighted average maturity | 38 days | 15 days | 37 days | ||||||||||||||||||||||
Weighted average interest rate after adjusting for interest rate swaps | 1.1 | % | |||||||||||||||||||||||
Weighted average maturity after adjusting for interest rate swaps | 729 days | ||||||||||||||||||||||||
MBS pledged as collateral under the | $ | 6,436,205 | $ | 318,599 | $ | 6,754,804 | |||||||||||||||||||
repurchase agreements and swap agreements | |||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Agency MBS | Non-Agency MBS | Total MBS | |||||||||||||||||||||||
Balance | Weighted | Balance | Weighted | Balance | Weighted | ||||||||||||||||||||
Average | Average | Average | |||||||||||||||||||||||
Interest | Interest | Interest | |||||||||||||||||||||||
Rate | Rate | Rate | |||||||||||||||||||||||
Overnight | $ | - | - | % | $ | - | - | % | $ | - | - | % | |||||||||||||
Less than 30 days | 2,395,000 | 0.32 | 115,740 | 1.82 | 2,510,740 | 0.39 | |||||||||||||||||||
30 days to 90 days | 3,860,000 | 0.35 | - | - | 3,860,000 | 0.35 | |||||||||||||||||||
Over 90 days to less than 1 year | - | - | - | - | - | - | |||||||||||||||||||
1 year to 2 years | - | - | - | - | - | - | |||||||||||||||||||
Demand | - | - | - | - | - | - | |||||||||||||||||||
$ | 6,255,000 | 0.34 | % | $ | 115,740 | 1.82 | % | $ | 6,370,740 | 0.37 | % | ||||||||||||||
Weighted average maturity | 38 days | 13 days | 37 days | ||||||||||||||||||||||
Weighted average interest rate after adjusting for interest rate swaps | 1.06 | % | |||||||||||||||||||||||
Weighted average maturity after adjusting for interest rate swaps | 767 days | ||||||||||||||||||||||||
MBS pledged as collateral under the | $ | 6,650,143 | $ | 155,311 | $ | 6,805,454 | |||||||||||||||||||
repurchase agreements and swap agreements | |||||||||||||||||||||||||
For additional information about repurchase agreements, see the section in Note 1 entitled “Repurchase Agreements.” | |||||||||||||||||||||||||
The following tables present information about certain assets and liabilities that are subject to master netting arrangements (or similar agreements) only in the event of default on a contract. See Notes 1, 7 and 13 for more information on the Company’s interest rate swaps (both items that were hedges and also for de-designated swaps) and other derivative instruments. | |||||||||||||||||||||||||
Net Amounts of | |||||||||||||||||||||||||
Assets | Gross Amounts Not Offset | ||||||||||||||||||||||||
Gross Amounts | or Liabilities | in the Balance Sheets(1) | |||||||||||||||||||||||
of Recognized | Gross Amounts | Presented in | Cash | ||||||||||||||||||||||
31-Mar-15 | Assets or | Offset in the | the Balance | Financial | Collateral | Net | |||||||||||||||||||
(in thousands) | Liabilities | Balance Sheets | Sheets | Instruments | Received | Amounts | |||||||||||||||||||
Derivative assets at fair value(2) | $ | 6,560 | $ | - | $ | 6,560 | $ | (6,560 | ) | $ | - | $ | - | ||||||||||||
Total | $ | 6,560 | $ | - | $ | 6,560 | $ | (6,560 | ) | $ | - | $ | - | ||||||||||||
Repurchase Agreements(3) | $ | 6,284,037 | $ | - | $ | 6,284,037 | $ | (6,284,037 | ) | $ | - | $ | - | ||||||||||||
Derivative liabilities at fair value(2) | 70,188 | - | 70,188 | (70,188 | ) | - | - | ||||||||||||||||||
Total | $ | 6,354,225 | $ | - | $ | 6,354,225 | $ | (6,354,225 | ) | $ | - | $ | - | ||||||||||||
Net Amounts of | |||||||||||||||||||||||||
Assets | Gross Amounts Not Offset | ||||||||||||||||||||||||
Gross Amounts | or Liabilities | in the Balance Sheets(1) | |||||||||||||||||||||||
of Recognized | Gross Amounts | Presented in | Cash | ||||||||||||||||||||||
31-Dec-14 | Assets or | Offset in the | the Balance | Financial | Collateral | Net | |||||||||||||||||||
(in thousands) | Liabilities | Balance Sheets | Sheets | Instruments | Received | Amounts | |||||||||||||||||||
Derivative assets at fair value(2) | $ | 9,792 | $ | - | $ | 9,792 | $ | (9,792 | ) | $ | - | $ | - | ||||||||||||
Total | $ | 9,792 | $ | - | $ | 9,792 | $ | (9,792 | ) | $ | - | $ | - | ||||||||||||
Repurchase Agreements(3) | $ | 6,370,740 | $ | - | $ | 6,370,740 | $ | (6,370,740 | ) | $ | - | $ | - | ||||||||||||
Derivative liabilities at fair value(2) | 45,259 | - | 45,259 | (45,259 | ) | - | - | ||||||||||||||||||
Total | $ | 6,415,999 | $ | - | $ | 6,415,999 | $ | (6,415,999 | ) | $ | - | $ | - | ||||||||||||
-1 | Amounts presented are limited to collateral pledged sufficient to reduce the related net amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. | ||||||||||||||||||||||||
-2 | At March 31, 2015, we had pledged approximately $62.9 million in Agency MBS as collateral and paid another approximately $20.1 million on swap margin calls on our swap derivatives, which were approximately $2.2 million in derivative assets and approximately $66.5 million in derivative liabilities at March 31, 2015. At December 31, 2014, we had pledged approximately $54 million in Agency MBS as collateral and paid another approximately $13 million on swap margin calls on our swap derivatives, which were approximately $8.7 million in derivative assets and approximately $43.6 million in derivative liabilities at December 31, 2014. | ||||||||||||||||||||||||
-3 | At March 31, 2015, we had pledged approximately $6.44 billion in Agency MBS and approximately $319 million in Non-Agency MBS as collateral on our repurchase agreements. At December 31, 2014, we had pledged approximately $6.65 billion in Agency MBS and approximately $155 million in Non-Agency MBS as collateral on our repurchase agreements. |
Junior_Subordinated_Notes
Junior Subordinated Notes | 3 Months Ended |
Mar. 31, 2015 | |
Debt Disclosure [Abstract] | |
Junior Subordinated Notes | NOTE 6. JUNIOR SUBORDINATED NOTES |
On March 15, 2005, we issued $37,380,000 of junior subordinated notes to a newly-formed statutory trust, Anworth Capital Trust I, organized by us under Delaware law. The trust issued $36,250,000 in trust preferred securities to unrelated third party investors. Both the notes and the trust preferred securities require quarterly payments and bear interest at the prevailing three-month LIBOR rate plus 3.10%, reset quarterly. The first interest payments were made on June 30, 2005. Both the notes and the trust preferred securities will mature in 2035 and are currently redeemable, at our option, in whole or in part, without penalty. We used the net proceeds of this private placement to invest in Agency MBS. We have reviewed the structure of the transaction under ASC 810-10 and concluded that Anworth Capital Trust I does not meet the requirements for consolidation. As of the date of this filing, we have not redeemed any of the notes or trust preferred securities. |
Fair_Values_of_Financial_Instr
Fair Values of Financial Instruments | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||
Fair Values of Financial Instruments | NOTE 7. FAIR VALUES OF FINANCIAL INSTRUMENTS | ||||||||||||||||
As defined in ASC 820-10, fair value is the price that would be received from the sale of an asset or paid to transfer or settle a liability in an orderly transaction between market participants in the principal (or most advantageous) market for the asset or liability. ASC 820-10 establishes a fair value hierarchy that ranks the quality and reliability of the information used to determine fair values. Financial assets and liabilities carried at fair value are classified and disclosed in one of the three following categories: | |||||||||||||||||
Level 1: Quoted market prices in active markets for identical assets or liabilities. | |||||||||||||||||
Level 2: Observable market based inputs or unobservable inputs that are corroborated by market data. This includes those financial instruments that are valued using models or other valuation methodologies where substantially all of the assumptions are observable in the marketplace, can be derived from observable market data or are supported by observable levels at which transactions are executed in the marketplace. We consider the inputs utilized to fair value our Agency MBS to be Level 2. Management bases the fair value for these investments primarily on third party bid price indications provided by dealers who make markets in these instruments. The Agency MBS market is primarily an over-the-counter market. As such, there are no standard, public market quotations or published trading data for individual MBS securities. As our portfolio consists of hundreds of similar, but distinct, securities that have each been traded with only one broker counterparty, we generally seek to have each Agency MBS security priced by one broker. The prices received are non-binding offers to trade, but are indicative quotations of the market value of our securities as of the market close on the last day of each quarter. The brokers receive trading data from several traders that participate in the active markets for these securities and directly observe numerous trades of securities similar to the securities owned by us. Given the volume of market activity for Agency MBS, it is our belief that the broker pricing accurately reflects market information for actual, contemporaneous transactions. We do not adjust quotes or prices we obtain from brokers and pricing services. In the limited instances where valuations are received on a security from multiple brokers, we use the median value of the prices received to determine fair value. To validate the prices we obtain, to ensure our fair value determinations are consistent with ASC 820, and to ensure that we properly classify these securities in the fair value hierarchy, we evaluate the pricing information we receive taking into account factors such as coupon, prepayment experience, fixed/adjustable rate, coupon index, time to reset and issuing agency, among other factors. Based on these factors, broker prices are compared to prices of similar securities provided by other brokers. If we determine (based on such a comparison and our market knowledge and expertise) that a security is priced significantly differently than similar securities, the broker is contacted and requested to revisit their valuation of the security. If a broker refuses to reconsider its valuation, we will request pricing from another broker and use the median value of the prices received to determine fair value. If we are unable to receive a valuation from another broker, the price received from an independent third party pricing service will be used, if it is determined (based on our market knowledge and expertise) to be more reliable than the broker pricing. However, the fair value reported may not be indicative of the amounts that could be realized in an actual market exchange. | |||||||||||||||||
Our derivative assets and derivative liabilities include interest rate swaps (in which we pay a fixed-rate of interest and receive a variable-rate of interest that is based on LIBOR), TBA Agency MBS and Eurodollar Futures Contracts. The fair value of both the derivatives and the swaps are reported to us independently from dealers who are large financial institutions and are market makers for these types of instruments. The LIBOR swap rate is observable at commonly quoted intervals over the full term of the swaps and therefore is considered a Level 2 item. The fair value of the derivative instruments’ assets and liabilities are the estimated amounts the Company would either receive or pay to terminate these agreements at the reporting date, taking into account current interest rates and the Company’s credit worthiness. For more information on all of our swaps and other derivative instruments, see Note 1 and Note 13. | |||||||||||||||||
In determining the fair value of our Non-Agency MBS, our management considers a number of observable market data points, including prices obtained from well-known major financial brokers that make markets in these instruments, pricing from independent pricing services, and timely trading activity in the marketplace. Our management reviews these inputs in the valuation of our Non-Agency MBS. We understand that in order to determine the fair market value of a security, market participants not only consider the characteristics of the type of security and its underlying collateral but also take into consideration the historical performance data of the underlying collateral of that security, including loan delinquency, loan losses and credit enhancement. In addition, we also collect and consider current market intelligence on all major markets, including benchmark security evaluations and bid list results from various sources. | |||||||||||||||||
Our MBS are valued using various market data points as described above, which management considers to be directly or indirectly observable parameters. Accordingly, our MBS are classified as Level 2 in the fair value hierarchy. | |||||||||||||||||
Level 3: Unobservable inputs that are not corroborated by market data. This is comprised of financial instruments whose fair value is estimated based on internally developed models or methodologies utilizing significant inputs that are generally less readily observable from objective sources. | |||||||||||||||||
In determining the appropriate levels, we perform a detailed analysis of the assets and liabilities that are subject to ASC 820-10. At each reporting period, all assets and liabilities for which the fair value measurement is based on significant unobservable inputs are classified as Level 3. | |||||||||||||||||
At March 31, 2015, fair value measurements on a recurring basis were as follows (in thousands): | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Assets: | |||||||||||||||||
Agency MBS(1) | $ | - | $ | 6,744,641 | $ | - | $ | 6,744,641 | |||||||||
Non-Agency MBS(1) | $ | - | $ | 376,379 | $ | - | $ | 376,379 | |||||||||
Derivative instruments(2) | $ | - | $ | 6,560 | $ | - | $ | 6,560 | |||||||||
Liabilities: | |||||||||||||||||
Derivative instruments(2) | $ | - | $ | 70,188 | $ | - | $ | 70,188 | |||||||||
-1 | For more detail about the fair value of our MBS by agency and type of security, see Note 3. | ||||||||||||||||
-2 | Derivative instruments include discontinued hedges under ASC 815-10. For more detail about our derivative instruments, see Note 1 and Note 13. | ||||||||||||||||
At December 31, 2014, fair value measurements on a recurring basis were as follows (in thousands): | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Assets: | |||||||||||||||||
Agency MBS(1) | $ | - | $ | 7,023,363 | $ | - | $ | 7,023,363 | |||||||||
Non-Agency MBS(1) | $ | - | $ | 199,710 | $ | - | $ | 199,710 | |||||||||
Derivative instruments(2) | $ | - | $ | 9,792 | $ | - | $ | 9,792 | |||||||||
Liabilities: | |||||||||||||||||
Derivative instruments(2) | $ | - | $ | 45,259 | $ | - | $ | 45,259 | |||||||||
-1 | For more detail about the fair value of our MBS by agency and type of security, see Note 3. | ||||||||||||||||
-2 | Derivative instruments include discontinued hedges under ASC 815-10. For more detail about our derivative instruments, see Note 1 and Note 13. | ||||||||||||||||
At March 31, 2015 and December 31, 2014, cash and cash equivalents, restricted cash, escrow deposits, interest receivable, repurchase agreements and interest payable are reflected in our consolidated financial statements at cost, which approximate fair value because of the nature and short term of these instruments. | |||||||||||||||||
Junior subordinated notes are variable-rate debt and, as we believe the spread would be consistent with the expectations of market participants as of March 31, 2015 and December 31, 2014, the carrying value approximates fair value. |
Income_Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2015 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | NOTE 8. INCOME TAXES |
We have elected to be taxed as a REIT and to comply with the provisions of the Code with respect thereto. Accordingly, we will not be subject to federal or state income taxes to the extent that our distributions to stockholders satisfy the REIT requirements and that certain asset, gross income and stock ownership tests are met. We believe that we currently meet all REIT requirements regarding the ownership of our common stock and the distribution of our taxable net income. Therefore, we believe that we continue to qualify as a REIT under the provisions of the Code. |
Series_B_Cumulative_Convertibl
Series B Cumulative Convertible Preferred Stock (Series B Preferred Stock) | 3 Months Ended |
Mar. 31, 2015 | |
Series B Preferred Stock | |
Series B Cumulative Convertible Preferred Stock | NOTE 9. SERIES B CUMULATIVE CONVERTIBLE PREFERRED STOCK |
Our Series B Preferred Stock has a par value of $0.01 per share and a liquidation preference of $25.00 per share plus accrued and unpaid dividends (whether or not declared). The holders of our Series B Preferred Stock must receive dividends at a rate of 6.25% per year on the $25.00 liquidation preference before holders of our common stock are entitled to receive any dividends. Our Series B Preferred Stock is senior to our common stock and on parity with our 8.625% Series A Cumulative Preferred Stock, or Series A Preferred Stock, and with our 7.625% Series C Cumulative Redeemable Preferred Stock, or Series C Preferred Stock, with respect to the payment of distributions and amounts, upon liquidation, dissolution or winding up. So long as any shares of our Series B Preferred Stock remain outstanding, we will not, without the affirmative vote or consent of the holders of at least two-thirds of the shares of our Series B Preferred Stock outstanding at the time, authorize or create, or increase the authorized or issued amount of, any class or series of capital stock ranking senior to our Series B Preferred Stock with respect to the payment of dividends or the distribution of assets upon liquidation, dissolution or winding up. | |
Our Series B Preferred Stock has no maturity date, is not redeemable and is convertible at the then-current conversion rate into shares of our common stock per $25.00 liquidation preference. The conversion rate is adjusted in any fiscal quarter in which the cash dividends paid to common stockholders results in an annualized common stock dividend yield that is greater than 6.25%. The conversion ratio is also subject to adjustment upon the occurrence of certain specific events, such as a change in control. Our Series B Preferred Stock is convertible into shares of our common stock at the option of the holder(s) of Series B Preferred Stock at any time at the then-prevailing conversion rate. On or after January 25, 2012, we may, at our option, under certain circumstances, convert each share of Series B Preferred Stock into a number of shares of our common stock at the then-prevailing conversion rate. We may exercise this conversion option only if our common stock price equals or exceeds 130% of the then-prevailing conversion price of our Series B Preferred Stock for at least twenty (20) trading days in a period of thirty (30) consecutive trading days (including the last trading day of such period) ending on the trading day immediately prior to our issuance of a press release announcing the exercise of the conversion option. During the three months ended March 31, 2015, we have not, at our option, converted any shares of Series B Preferred Stock. Our Series B Preferred Stock contains certain fundamental change provisions that allow the holder to redeem our Series B Preferred Stock for cash if certain events occur, such as a change in control. Our Series B Preferred Stock generally does not have voting rights, except if dividends on the Series B Preferred Stock are in arrears for six or more quarterly periods (whether or not consecutive). Under such circumstances, the holders of our Series B Preferred Stock, together with the holders of our Series A Preferred Stock and our Series C Preferred Stock, would be entitled to elect two additional directors to our board of directors to serve until all unpaid dividends have been paid or declared and set aside for payment. In addition, certain material and adverse changes to the terms of our Series B Preferred Stock may not be taken without the affirmative vote of at least two-thirds of the outstanding shares of Series B Preferred Stock and Series A Preferred Stock voting together as a single class. Through March 31, 2015, we have declared and set aside for payment the required dividends for our Series B Preferred Stock. |
Public_Offerings_and_Capital_S
Public Offerings and Capital Stock | 3 Months Ended |
Mar. 31, 2015 | |
Equity [Abstract] | |
Public Offerings and Capital Stock | NOTE 10. PUBLIC OFFERINGS AND CAPITAL STOCK |
At March 31, 2015, our authorized capital included 200,000,000 shares of common stock, of which 105,519,017 shares were issued and 105,156,617 shares were outstanding. | |
At March 31, 2015, our authorized capital included 20,000,000 shares of $0.01 par value preferred stock, of which 5,150,000 shares had been designated 8.625% Series A Cumulative Preferred Stock (liquidation preference $25.00 per share), or Series A Preferred Stock, 3,150,000 shares had been designated 6.25% Series B Cumulative Convertible Preferred Stock (liquidation preference $25.00 per share), or Series B Preferred Stock, and 5,000,000 shares had been designated 7.625% Series C Cumulative Redeemable Preferred Stock (liquidation preference $25.00 per share), or Series C Preferred Stock. The Series A Preferred Stock has no maturity date and we are not required to redeem it at any time. We may redeem the Series A Preferred Stock for cash, at our option, in whole or from time to time in part, at a redemption price of $25.00 per share, plus accrued and unpaid dividends, if any, to the redemption date. To date, we have not redeemed any shares of our Series A Preferred Stock. The undesignated shares of preferred stock may be issued in one or more classes or series with such distinctive designations, rights and preferences as determined by our board of directors. At March 31, 2015, there were 1,919,378 shares of Series A Preferred Stock issued and outstanding, 1,009,640 shares of Series B Preferred Stock issued and outstanding and 353,119 shares of Series C Preferred Stock issued and outstanding. | |
On January 27, 2015, we completed a public offering of 300,000 shares of our Series C Preferred Stock at a public offering price of $24.50 per share and received net proceeds of approximately $7 million. The shares were sold pursuant to the Company’s effective shelf registration statement on Form S-3.The Series C Preferred Stock has no maturity date and is not subject to any sinking fund or mandatory redemption. On or after January 27, 2020, we may, at our option, redeem the Series C Preferred Stock for cash, in whole or from time to time in part, at a redemption price of $25.00 per share plus accrued and unpaid dividends, if any, to the redemption date. | |
On March 3, 2015, we entered into an At Market Issuance Sales Agreement (the “MLV Sales Agreement”) with MLV & Co. LLC (“MLV”), pursuant to which we may offer and sell from time to time through MLV, as our agent, up to $200,000,000 aggregate amount of our (i) common stock, Series B Preferred Stock and Series C Preferred Stock, in such amounts as we may specify by notice to MLV, in accordance with the terms and conditions set forth in the MLV Sales Agreement. During the three months ended March 31, 2015, we issued an aggregate of 53,119 shares of our Series C Preferred Stock under the MLV Sales Agreement at a weighted average price of $24.45 per share, which provided net proceeds to us of approximately $1.3 million, net of sales commissions. MLV received aggregate commissions of approximately $13 thousand, which represents an average commission of approximately 1.0% on the gross sales price per share. At March 31, 2015, there was approximately $198.7 million available for sale and issuance under the MLV Sales Agreement. | |
On May 27, 2011, we entered into a Controlled Equity Offering Sales Agreement, or the 2011 Cantor Sales Agreement, with Cantor Fitzgerald & Co., or Cantor, to sell up to 20,000,000 shares of our common stock, 1,000,000 shares of our Series A Preferred Stock and 1,000,000 shares of our Series B Preferred Stock. During the three months ended March 31, 2015, we did not issue any shares of our common stock, our Series A Preferred Stock or our Series B Preferred Stock under the 2011 Cantor Sales Agreement. At March 31, 2015, there were 19,409,400 shares of common stock, 956,122 shares of Series A Preferred Stock and 894,518 shares of Series B Preferred Stock, respectively, available for sale and issuance under the 2011 Cantor Sales Agreement. | |
On October 3, 2011, we announced that our board of directors had authorized a share repurchase program which permits us to acquire up to 2,000,000 shares of our common stock. The shares are expected to be acquired at prevailing prices through open market transactions. The manner, price, number and timing of share repurchases will be subject to market conditions and applicable SEC rules. Our board of directors also authorized the Company to purchase an amount of our common stock up to the amount of common stock sold through our 2012 Dividend Reinvestment and Stock Purchase Plan. Subsequently, our board of directors authorized the Company to acquire the following additional amounts of shares on the following dates: 5,000,000 shares on December 13, 2013; 10,000,000 shares on March 14, 2014; 10,000,000 shares on May 22, 2014; and 10,000,000 shares on October 17, 2014. During the three months ended March 31, 2015, we repurchased an aggregate of 4,160,908 shares of common stock at a weighted average price of $5.17 per share under our share repurchase program. | |
Our Dividend Reinvestment and Stock Purchase Plan allows stockholders and non-stockholders to purchase shares of our common stock and to reinvest dividends therefrom to acquire additional shares of our common stock. On March 14, 2012, we filed a shelf registration statement on Form S-3 with the U.S. Securities and Exchange Commission, or the SEC, registering up to 27,000,000 shares of our common stock for our 2012 Dividend Reinvestment and Stock Purchase Plan, or the 2012 DRP Plan. During the three months ended March 31, 2015, we issued an aggregate of 80,768 shares of our common stock at a weighted average price of $5.23 per share under the 2012 DRP Plan, resulting in proceeds to us of approximately $422 thousand. On March 14, 2015, the 2012 DRP Plan was terminated with approximately 16.4 million shares remaining. On March 13, 2015, we filed a shelf registration statement on Form S-3 with the SEC registering up to 16,397,203 shares of our common stock for our 2015 Dividend Reinvestment and Stock Purchase Plan, or the 2015 DRP Plan, which replaced the 2012 DRP Plan. During the three months ended March 31, 2015, we issued 2,645 shares of our common stock at a price of $5.29 share under the 2015 Plan, resulting in proceeds to us of approximately $14 thousand. | |
On March 20, 2013, we filed a shelf registration statement on Form S-3 with the SEC, and on April 5, 2013 we filed a pre-effective amendment thereto with the SEC, offering up to $544,727,778 of our capital stock. The registration statement was declared effective on April 8, 2013. At March 31, 2015, approximately $544.7 million of our capital stock was available for future issuance under the registration statement. | |
On August 5, 2014, we filed a registration statement on Form S-8 with the SEC to register an aggregate of up to 2,000,000 shares of our common stock to be issued pursuant to the Anworth Mortgage Asset Corporation 2014 Equity Compensation Plan, or the 2014 Plan. As of March 31, 2015, we have issued 2,840,000 shares of our common stock and 10,000 restricted stock units (phantom shares) under the 2014 Plan. |
Transactions_with_Affiliates
Transactions with Affiliates | 3 Months Ended | ||||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||||
Related Party Transactions [Abstract] | |||||||||||||||||||||||||||||
Transactions with Affiliates | NOTE 11. TRANSACTIONS WITH AFFILIATES | ||||||||||||||||||||||||||||
Management Agreement and Externalization | |||||||||||||||||||||||||||||
Effective as of December 31, 2011, we entered into the Management Agreement with our Manager, pursuant to which our day-to-day operations are being conducted by our Manager. Our Manager is supervised and directed by our board of directors and is responsible for (i) the selection, purchase and sale of our investment portfolio; (ii) our financing and hedging activities; and (iii) providing us with management services. Our Manager will also perform such other services and activities relating to our assets and operations as may be appropriate. In exchange for these services, our Manager receives a management fee, paid monthly in arrears, in an amount equal to one-twelfth of 1.20% of our Equity (as defined in the Management Agreement). | |||||||||||||||||||||||||||||
On the effective date of the Management Agreement, the employment agreements with our executives were terminated, our employees became employees of our Manager, and we took such other actions as we believed were reasonably necessary to implement the Management Agreement and externalize our management function. | |||||||||||||||||||||||||||||
A trust controlled by Mr. Lloyd McAdams, our Chairman, Chief Executive Officer and President, and Ms. Heather U. Baines, an Executive Vice President of our Manager, beneficially owns 50% of the outstanding membership interests of our Manager; Mr. Joseph E. McAdams, the Chief Investment Officer of our Manager, beneficially owns 45% of the outstanding membership interests of our Manager; and Mr. Thad M. Brown, our Chief Financial Officer, beneficially owns 5% of the outstanding membership interests of our Manager. | |||||||||||||||||||||||||||||
The Management Agreement may only be terminated without cause, as defined in the agreement, after the expiration of any annual renewal term. We are required to provide 180-days’ prior notice of non-renewal of the Management Agreement and must pay a termination fee on the last day of any automatic renewal term equal to three times the average annual management fee earned by our Manager during the prior 24-month period immediately preceding the most recently completed month prior to the effective date of termination. We may only not renew the Management Agreement with or without cause with the consent of the majority of our independent directors. These provisions make it difficult to terminate the Management Agreement and increase the effective cost to us of not renewing the Management Agreement. | |||||||||||||||||||||||||||||
Certain of our former officers were previously granted restricted stock and other equity awards (see Note 12), including dividend equivalent rights, in connection with their service to us, and certain of our former officers had agreements under which they would receive payments if the Company is subject to a change in control (discussed later in this Note 11). In connection with the Externalization, certain of the agreements under which our officers were granted equity awards and would be paid payments in the event of a change in control were modified so that such agreements will continue with respect to our former officers and employees after they became officers and employees of our Manager. In addition, as officers and employees of our Manager, they will continue to be eligible to receive equity awards under equity compensation plans in effect now or in the future. | |||||||||||||||||||||||||||||
Messrs. Lloyd McAdams, Joseph E. McAdams, Charles J. Siegel, John T. Hillman and Ms. Heather U. Baines and others are officers and employees of PIA Farmland, Inc. and its external manager, PIA, where they devote a portion of their time. PIA Farmland, Inc., a privately-held real estate investment trust investing in U.S. farmland properties to lease to independent farm operators, was incorporated in February 2013 and acquired its first farm property in October 2013. These officers and employees are under no contractual obligations to PIA Farmland, Inc., its external manager, PIA, or to Anworth or its external manager, Anworth Management, LLC, as to their time commitment. Mr. Steven Koomar, the Chief Executive Officer of PIA Farmland, Inc., has no involvement with either Anworth or its external manager, Anworth Management, LLC. | |||||||||||||||||||||||||||||
Change in Control and Arbitration Agreements | |||||||||||||||||||||||||||||
On June 27, 2006, we entered into Change in Control and Arbitration Agreements with each of Mr. Thad M. Brown, our Chief Financial Officer, Mr. Charles J. Siegel, our then Senior Vice President-Finance, Ms. Bistra Pashamova, our then Senior Vice President and Portfolio Manager, and Mr. Evangelos Karagiannis, our then Vice President and Portfolio Manager, as well as certain of our other officers. In connection with the Externalization, we amended these agreements to provide that should a change in control (as defined in the amended agreements) occur, each of these officers will receive certain severance and other benefits valued as of December 31, 2011. Under the amended agreements, in the event that a change in control occurs, each of these officers will receive a lump sum payment equal to (i) 12 months annual base salary in effect on December 31, 2011, plus (ii) the average annual incentive compensation received for the two complete fiscal years prior December 31, 2011, plus (iii) the average annual bonus received for the two complete fiscal years prior to December 31, 2011, as well as other benefits. The amended Change in Control and Arbitration Agreements also provide for accelerated vesting of equity awards granted to these officers upon a change in control. | |||||||||||||||||||||||||||||
Agreements with Pacific Income Advisers, Inc. | |||||||||||||||||||||||||||||
On January 26, 2012, we entered into a sublease agreement that became effective on July 1, 2012 with PIA. Under the sublease agreement, we lease, on a pass-through basis, 7,300 square feet of office space from PIA at the same location and pay rent at an annual rate equal to PIA’s obligation, which is currently $61.67 per square foot. The base monthly rental for us is $37,518.40, which will be increased by 3% per annum on July 1, 2015. The sublease agreement runs through June 30, 2022 unless earlier terminated pursuant to the master lease. During the three months ended March 31, 2015 and 2014, we expensed $127 thousand and $124 thousand, respectively, in rent and related expenses to PIA under this sublease agreement, which is included in “other expenses” on our statements of operations. | |||||||||||||||||||||||||||||
At March 31, 2015, the future minimum lease commitment is as follows (in whole dollars): | |||||||||||||||||||||||||||||
Year | 2015 | 2016 | 2017 | 2018 | 2019 | Thereafter | Total | ||||||||||||||||||||||
Commitment | |||||||||||||||||||||||||||||
Commitment | $ | 344,432 | $ | 470,720 | $ | 484,852 | $ | 499,398 | $ | 514,374 | $ | 1,352,380 | $ | 3,666,156 | |||||||||||||||
On July 25, 2008, we entered into an administrative services agreement with PIA, which was amended and restated on August 20, 2010. Under this agreement, PIA provides administrative services and equipment to us including human resources, operational support and information technology, and we pay an annual fee of 5 basis points on the first $225 million of stockholders’ equity and 1.25 basis points thereafter (paid quarterly in arrears) for those services. The administrative services agreement had an initial term of one year and renews for successive one-year terms thereafter unless either party gives notice of termination no less than 30 days before the expiration of the then-current annual term. We may also terminate the administrative services agreement upon 30 days prior written notice for any reason and immediately if there is a material breach by PIA. During the three months ended March 31, 2015 and 2014, we paid fees of $42 thousand and $52 thousand, respectively, to PIA in connection with this agreement. |
Equity_Compensation_Plan
Equity Compensation Plan | 3 Months Ended |
Mar. 31, 2015 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Equity Compensation Plan | NOTE 12. EQUITY COMPENSATION PLAN |
2014 Equity Compensation Plan | |
At our 2014 annual meeting of stockholders held on May 22, 2014, our stockholders approved the adoption of the 2014 Plan, or the 2014 Equity Plan, which replaced the Anworth Mortgage Asset Corporation 2004 Equity Compensation Plan, or the 2004 Plan, due to its expiration. We filed a registration statement on Form S-8 on August 5, 2014 to register up to an aggregate of 2,000,000 shares of our common stock to be issued pursuant to the 2014 Plan. The 2014 Plan decreased the aggregate share reserve from 3,500,000 shares that were available under the 2004 Plan to 2,000,000 shares of our registered common stock available under the 2014 Plan. The 2014 Plan authorizes our board of directors, or a committee of our board of directors, to grant Dividend Equivalent Rights, or DERs, or phantom shares, which qualify as performance-based awards under Section 162(m) of the Code. Unlike the 2004 Equity Plan, however, the 2014 Equity Plan does not provide for automatic increases in the aggregate share reserve or the number of shares remaining available for grant and only provides for the granting of DERs or phantom shares. During the three months ended March 31, 2015, we did not issue any equity-based awards under the 2014 Plan. | |
Certain of our former officers have previously been granted restricted stock and other equity incentive awards, including DERs, in connection with their service to us. In connection with the Externalization, certain of the agreements under which our former officers have been granted equity awards were modified so that such agreements will continue with respect to our former officers after they became officers and employees of our Manager. As a result, these awards and any future grants will be accounted for as non-employee awards. In addition, as officers and employees of our Manager, they will continue to be eligible to receive equity incentive awards under equity incentive plans in effect now or in the future. | |
In October 2005, our board of directors approved the grant of an aggregate of 200,780 shares of restricted stock to various officers under the 2004 Equity Compensation Plan. The restricted stock vests 10% per year on each anniversary date for a ten-year period and shall also vest immediately upon the death of the grantee or upon the grantee reaching age 65. We amortize the restricted stock over the vesting period, which is the lesser of ten years or the remaining number of years to age 65. Upon the expiration of the 2004 Plan, this grant is now being accounted for under the 2014 Plan. | |
In October 2006, our board of directors approved a grant of an aggregate of 197,362 shares of performance-based restricted stock to various officers under the 2004 Plan. Upon the expiration of the 2004 Plan, this grant is now being accounted for under the 2014 Plan. | |
We recognize the expense related to restricted stock over the ten-year vesting period. During the three months ended March 31, 2015 and 2014, we expensed approximately $24 thousand and $24 thousand, respectively, related to these restricted stock grants. | |
Under the Anworth Mortgage Asset Corporation 2007 Dividend Equivalent Rights Plan, or the 2007 DER Plan, a dividend equivalent right, or DER, is a right to receive amounts equal in value to the dividend distributions paid on a share of our common stock. DERs are paid in either cash or shares of our common stock, whichever is specified by our Compensation Committee at the time of grant, at such times as dividends are paid on shares of our common stock during the period between the date a DER is issued and the date the DER expires or earlier terminates. Prior to January 1, 2012, an aggregate of 582,000 DERs were issued to our officers under the 2007 DER Plan. These DERs are not attached to any stock and only have the right to receive the same cash distribution per common share distributed to our common stockholders during the term of the grant. All of these grants have a five-year term from the date of the grant. During the three months ended March 31, 2015 and 2014, we paid or accrued $86 thousand and $82 thousand, respectively, related to DERs granted. |
Derivative_Instruments
Derivative Instruments | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||
Derivative Instruments | NOTE 13. DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||
The table below presents the fair value of our derivative instruments as well as their classification in our consolidated balance sheets as of March 31, 2015 and December 31, 2014: | |||||||||||||||||||||||||
Derivative Instruments | Balance Sheet | March 31, | December 31, | ||||||||||||||||||||||
Location | 2015 | 2014 | |||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
De-designated interest rate swaps | Derivative Assets | $ | 2,227 | $ | 8,738 | ||||||||||||||||||||
TBA Agency MBS | Derivative Assets | 4,333 | 1,054 | ||||||||||||||||||||||
$ | 6,560 | $ | 9,792 | ||||||||||||||||||||||
De-designated interest rate swaps | Derivative Liabilities | $ | 66,511 | $ | 43,565 | ||||||||||||||||||||
Eurodollar Futures Contracts | Derivative Liabilities | 3,677 | 1,694 | ||||||||||||||||||||||
$ | 70,188 | $ | 45,259 | ||||||||||||||||||||||
Interest Rate Swap Agreements | |||||||||||||||||||||||||
At March 31, 2015, we were a counterparty to interest rate swaps, which are derivative instruments as defined by ASC 815-10, with an aggregate notional amount of $3.33 billion and a weighted average maturity of approximately 3.75 years. We utilize interest rate swaps to manage interest rate risk relating to our repurchase agreements and do not anticipate entering into derivative transactions for speculative or trading purposes. In accordance with the swap agreements, we will pay a fixed-rate of interest during the term of the swap agreements (ranging from 0.578% to 3.06%) and receive a payment that varies with the three-month LIBOR rate. | |||||||||||||||||||||||||
At March 31, 2015, the amount in AOCI relating to interest rate swaps was approximately $40 million. The estimated net amount of the existing losses that were reported in AOCI at March 31, 2015 that is expected to be reclassified into earnings within the next twelve months is approximately $19 million. | |||||||||||||||||||||||||
At March 31, 2015 and December 31, 2014, our swaps had the following notional amounts (dollar amounts in thousands), weighted average fixed rates and remaining terms (in months): | |||||||||||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||||||||||
Maturity | Notional | Weighted | Remaining | Notional | Weighted | Remaining | |||||||||||||||||||
Amount | Average | Term in | Amount | Average | Term in | ||||||||||||||||||||
Fixed | Months | Fixed | Months | ||||||||||||||||||||||
Rate | Rate | ||||||||||||||||||||||||
Less than 12 months | $ | - | - | % | - | $ | - | - | % | - | |||||||||||||||
1 year to 2 years | 650,000 | 0.83 | 18 | 550,000 | 0.8 | 20 | |||||||||||||||||||
2 years to 3 years | 860,000 | 1.04 | 30 | 795,000 | 1.03 | 31 | |||||||||||||||||||
3 years to 5 years | 915,000 | 1.56 | 44 | 1,080,000 | 1.48 | 46 | |||||||||||||||||||
5 years to 7 years | 555,000 | 2.35 | 69 | 555,000 | 2.35 | 72 | |||||||||||||||||||
7 years to 10 years | 350,000 | 2.93 | 97 | 350,000 | 2.93 | 100 | |||||||||||||||||||
$ | 3,330,000 | 1.56 | % | 45 | $ | 3,330,000 | 1.56 | % | 48 | ||||||||||||||||
Swap Agreements by Counterparty | |||||||||||||||||||||||||
March 31, | December 31, | ||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Chicago Mercantile Exchange(1) | $ | 780,000 | $ | 780,000 | |||||||||||||||||||||
Deutsche Bank Securities | 665,000 | 665,000 | |||||||||||||||||||||||
ING Financial Markets LLC | 650,000 | 650,000 | |||||||||||||||||||||||
JPMorgan Securities | 625,000 | 625,000 | |||||||||||||||||||||||
RBS Greenwich Capital | 215,000 | 215,000 | |||||||||||||||||||||||
Nomura Securities International | 200,000 | 200,000 | |||||||||||||||||||||||
Bank of New York | 120,000 | 120,000 | |||||||||||||||||||||||
Credit Suisse | 75,000 | 75,000 | |||||||||||||||||||||||
$ | 3,330,000 | $ | 3,330,000 | ||||||||||||||||||||||
-1 | For all swap agreements entered into after September 9, 2013, the counterparty will be the Chicago Mercantile Exchange regardless of who the trading party is. See the section entitled “Derivative Financial Instruments – Interest Rate Risk Management” in Note 1 for additional details. | ||||||||||||||||||||||||
Eurodollar Futures Contracts | |||||||||||||||||||||||||
Each Eurodollar Futures Contract embodies $1 million of notional value and is effective for a term of approximately three months. We do not designate these contracts as hedges for accounting purposes. As a result, realized and unrealized changes in fair value are recognized in earnings in the period in which the changes occur. | |||||||||||||||||||||||||
At March 31, 2015, we had 5,300 Eurodollar Futures Contracts representing $5.3 billion in notional amount. The cash held by the broker on the Eurodollar Futures Contracts was approximately $5.5 million, which is included in “other assets,” and there was a derivative liability of approximately $3.7 million. For the three months ended March 31, 2015, we had losses on Eurodollar Futures Contracts of approximately $2.3 million. | |||||||||||||||||||||||||
At December 31, 2014, we had 5,500 Eurodollar Futures Contracts representing $5.5 billion in notional amount. The cash held by the broker on the Eurodollar Futures Contracts was approximately $2.96 million, which is included in “other assets,” and there was a derivative liability of approximately $1.7 million. | |||||||||||||||||||||||||
TBA Agency MBS | |||||||||||||||||||||||||
We also enter into TBA contracts and will recognize a gain or loss on the sale of the contracts or dollar roll income. See the section in Note 1 on “Derivative Financial Instruments – TBA Agency MBS” for more information on TBA Agency MBS. During the three months ended March 31, 2015, we recognized a gain on derivatives-TBA Agency MBS, net of derivative income, of approximately $8.5 million. During the three months ended March 31, 2014, we did not enter into any TBA contracts. The types of securities involved in these TBA contracts are Fannie Mae 15-year fixed-rate securities with coupons ranging from 2.5% to 3.5%. At March 31, 2015, the notional amount of the TBA Agency MBS was approximately $690 million. | |||||||||||||||||||||||||
For more information on our accounting policies, the objectives and risk exposures relating to derivatives and hedging agreements, see the section on “Derivative Financial Instruments” in Note 1. For more information on the fair value of our swap agreements, see Note 7. |
Commitments_and_Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2015 | |
Commitments And Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | NOTE 14. COMMITMENTS AND CONTINGENCIES |
Lease Commitment and Administrative Services Commitment — We sublease office space and use administrative services from PIA as more fully described in Note 11. |
Other_Expenses
Other Expenses | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Other Income And Expenses [Abstract] | |||||||||
Other Expenses | NOTE 15. OTHER EXPENSES | ||||||||
Three Months Ended | |||||||||
March 31, | |||||||||
2015 | 2014 | ||||||||
(in thousands) | |||||||||
Legal and professional fees | $ | 136 | $ | 248 | |||||
Printing and stockholder communications | 32 | 32 | |||||||
Directors and Officers insurance | 127 | 116 | |||||||
DERs expense | 86 | 82 | |||||||
Amortization of restricted stock | 24 | 24 | |||||||
Software implementation and maintenance | 82 | 77 | |||||||
Administrative service fees | 42 | 52 | |||||||
Rent | 127 | 124 | |||||||
Stock exchange and filing fees | 36 | 46 | |||||||
Custodian and clearing fees | 65 | 75 | |||||||
Sarbanes-Oxley consulting fees | 25 | 46 | |||||||
Board of directors fees and expenses | 79 | 71 | |||||||
Securities data services | 87 | 33 | |||||||
Leasing commissions on rental properties | 16 | - | |||||||
Other expenses on rental properties | 89 | - | |||||||
Depreciation expense on residential properties | 112 | - | |||||||
Property taxes on residential properties | 61 | - | |||||||
Other | 53 | 38 | |||||||
Total of other expenses: | $ | 1,279 | $ | 1,064 | |||||
Subsequent_Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2015 | |
Subsequent Events [Abstract] | |
Subsequent Events | NOTE 16. SUBSEQUENT EVENTS |
When we pay any cash dividend during any quarterly fiscal period to all or substantially all of our common stockholders in an amount that results in an annualized common stock dividend yield that is greater than 6.25% (the dividend yield on our Series B Preferred Stock), the conversion rate on our Series B Preferred Stock is adjusted based on a formula specified in the Articles Supplementary Establishing and Fixing the Rights and Preferences of the Series B Preferred Stock. This conversion rate of our Series B Preferred Stock increased effective April 1, 2015 from 4.2029 shares of our common stock to 4.2640 shares of our common stock using the following information: (1) the average of the closing price of our common stock for the ten (10) consecutive trading day period was $5.26 and (2) the annualized common stock dividend yield was 11.3982%. | |
From April 1, 2015 through May 6, 2015, we issued an aggregate of 44,399 shares of common stock at a weighted average price of $5.17 per share under the 2015 Dividend Reinvestment and Stock Purchase Plan, resulting in proceeds to us of approximately $230 thousand. | |
From April 1, 2015 through May 6, 2015, we had repurchased an aggregate of 391,157 shares of our common stock at a weighted average price of $5.19 per share under our share repurchase program. | |
From April 1, 2015 to May 6, 2015, we issued an aggregate of 56,570 shares of our Series C Preferred Stock at a weighted average price of $24.45 per share under the MLV Sales Agreement, which provided net proceeds to us of approximately $1.37 million. |
Organization_and_Significant_A1
Organization and Significant Accounting Policies (Policies) | 3 Months Ended | ||||||||||||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||||||||||||
Cash and Cash Equivalents | Cash and Cash Equivalents | ||||||||||||||||||||||||||||||||||||
Cash and cash equivalents include cash on hand and highly liquid investments with original maturities of three months or less. The carrying amount of cash equivalents approximates their fair value. | |||||||||||||||||||||||||||||||||||||
Mortgage-Backed Securities (MBS) | Mortgage-Backed Securities (MBS) | ||||||||||||||||||||||||||||||||||||
Agency MBS are securities that are obligations (including principal and interest) guaranteed by the U.S. government, such as Ginnie Mae, or guaranteed by federally sponsored enterprises, such as Fannie Mae or Freddie Mac. Our investment-grade Agency MBS portfolio is invested primarily in fixed-rate and adjustable-rate mortgage-backed pass-through certificates and hybrid adjustable-rate MBS. Hybrid adjustable-rate MBS have an initial interest rate that is fixed for a certain period, usually three to ten years, and then adjusts annually for the remainder of the term of the asset. We structure our investment portfolio to be diversified with a variety of prepayment characteristics, investing in mortgage assets with prepayment penalties, investing in certain mortgage security structures that have prepayment protections and purchasing mortgage assets at a premium and at a discount. A portion of our portfolio consists of Non-Agency MBS. Our principal business objective is to generate net income for distribution to our stockholders primarily based upon the spread between the interest income on our mortgage assets and our borrowing costs to finance our acquisition of those assets. | |||||||||||||||||||||||||||||||||||||
We classify our MBS as either trading investments, available-for-sale investments or held-to-maturity investments. Our management determines the appropriate classification of the securities at the time they are acquired and evaluates the appropriateness of such classifications at each balance sheet date. We currently classify all of our MBS as available-for-sale. All assets that are classified as available-for-sale are carried at fair value and unrealized gains or losses are generally included in “Other comprehensive income (loss)” as a component of stockholders’ equity. Losses that are credit-related on securities classified as available-for-sale, which are determined by management to be other-than-temporary in nature, are reclassified from “Other comprehensive income” to income (loss). | |||||||||||||||||||||||||||||||||||||
The most significant source of our revenue is derived from our investments in MBS. Interest income on Agency MBS is accrued based on the actual coupon rate and the outstanding principal amount of the underlying mortgages. Premiums and discounts are amortized or accreted into interest income over the estimated lives of the securities using the effective interest yield method, adjusted for the effects of actual and estimated prepayments based on the Financial Accounting Standards Board, or FASB, Accounting Standards Codification, or ASC, 320-10. Our policy for estimating prepayment speeds for calculating the effective yield is to evaluate historical performance, street consensus prepayment speeds and current market conditions. If our estimate of prepayments is materially incorrect, as compared to the aforementioned references, we may be required to make an adjustment to the amortization or accretion of premiums and discounts that would have an impact on future income, which could be material and adverse. | |||||||||||||||||||||||||||||||||||||
A majority of our Non-Agency MBS are accounted for under ASC 310-30, Loans and Debt Securities Acquired with Credit Deterioration, or ASC 310-30. A debt security accounted for under ASC 310-30 is initially recorded at its purchase price (fair value). The amount of expected cash flows that exceed the initial investment represents the market yield adjustment (accretable yield), which is recognized as interest income on a level yield basis over the life of the security. The excess of total contractual cash flows over the cash flows expected at its origination is considered to be the non-accretable difference. We must periodically reassess the expected cash flows of loans accounted for under ASC 310-30 along with the cash flows received. A significant increase in expected cash flows must be accounted for as an increase in the rate of accretion over the remaining life of the security. Conversely, if expected cash flows decrease, an other-than-temporary impairment must be recognized as a charge to earnings. Adjustments to the fair value of Non-Agency MBS, accounted for as available-for-sale securities, are recorded in “Accumulated other comprehensive income,” or AOCI. The determination as to whether impairment and accretable yield exists is based on cash flow projections related to the securities. As a result, the timing and amount of impairment and accretable yield constitutes a material estimate that is susceptible to significant change. | |||||||||||||||||||||||||||||||||||||
Interest income on the Non-Agency MBS that were purchased at a discount to par value and were rated below AA at the time of purchase is recognized based on the security’s effective interest rate. The effective interest rate on these securities is based on the projected cash flows from each security, which are estimated based on our observation of current information and events and include assumptions related to interest rates, prepayment rates, and the timing and amount of credit losses. On at least a quarterly basis, we review and, if appropriate, make adjustments to our cash flow projections based on input and analysis received from external sources, internal models, and our judgment about interest rates, prepayment rates, the timing and amount of credit losses, and other factors. Changes in cash flows from those originally projected, or from those estimated at the last evaluation, may result in a prospective change in the yield/interest income recognized on such securities. Actual maturities of the available-for-sale securities are affected by the contractual lives of the associated mortgage collateral, periodic payments of principal, and prepayments of principal. Therefore actual maturities of available-for-sale securities are generally shorter than stated contractual maturities. Stated contractual maturities are generally greater than ten years. There can be no assurance that our assumptions used to estimate future cash flows or the current period’s yield for each asset would not change in the near term, and the change could be material. | |||||||||||||||||||||||||||||||||||||
Based on the projected cash flows from our Non-Agency MBS purchased at a discount to par value, a portion of the purchase discount may be designated as a non-accretable difference and, therefore, not accreted into interest income. The amount designated as a non-accretable difference may be adjusted over time, based on the actual performance of the security, its underlying collateral, actual and projected cash flow from such collateral, economic conditions, and other factors. If the performance of a security with a non-accretable difference is more favorable than forecasted, a portion of the amount designated as a non-accretable difference may be accreted into interest income prospectively. Conversely, if the performance of a security with a non-accretable difference is less favorable than forecasted, an impairment charge and write-down of such security to a new cost basis results. | |||||||||||||||||||||||||||||||||||||
Securities are recorded on the date the securities are purchased or sold. Realized gains or losses from securities transactions are determined based on the specific identified cost of the securities. | |||||||||||||||||||||||||||||||||||||
The following table shows the gross unrealized losses and fair value of those individual securities in our MBS portfolio that have been in a continuous unrealized loss position at March 31, 2015 and December 31, 2014, aggregated by investment category and length of time (dollar amounts in thousands): | |||||||||||||||||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||||||||||||||
Less Than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||||||||||
Description | Number | Fair | Unrealized | Number | Fair | Unrealized | Number | Fair | Unrealized | ||||||||||||||||||||||||||||
of | of | Value | Losses | of | Value | Losses | of | Value | Losses | ||||||||||||||||||||||||||||
Securities | Securities | Securities | Securities | ||||||||||||||||||||||||||||||||||
Agency MBS | 341 | $ | 2,439,637 | $ | (30,488 | ) | 90 | $ | 370,924 | $ | (2,744 | ) | 431 | $ | 2,810,561 | $ | (33,232 | ) | |||||||||||||||||||
Non-Agency MBS | 3 | $ | 12,901 | $ | (16 | ) | - | $ | - | $ | - | 3 | $ | 12,901 | $ | (16 | ) | ||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||||||||||||
Less Than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||||||||||
Description | Number | Fair | Unrealized | Number | Fair | Unrealized | Number | Fair | Unrealized | ||||||||||||||||||||||||||||
of | of | Value | Losses | of | Value | Losses | of | Value | Losses | ||||||||||||||||||||||||||||
Securities | Securities | Securities | Securities | ||||||||||||||||||||||||||||||||||
Agency MBS | 91 | $ | 348,783 | $ | (1,792 | ) | 361 | $ | 3,032,057 | $ | (53,820 | ) | 452 | $ | 3,380,840 | $ | (55,612 | ) | |||||||||||||||||||
Non-Agency MBS | 7 | $ | 45,988 | $ | (63 | ) | 0 | 0 | 0 | 7 | $ | 45,988 | $ | (63 | ) | ||||||||||||||||||||||
We do not consider those Agency MBS that have been in a continuous loss position for 12 months or more to be other-than-temporarily impaired. The unrealized losses on our investments in Agency MBS were caused by fluctuations in interest rates. We purchased the Agency MBS primarily at a premium relative to their face value and the contractual cash flows of those investments are guaranteed by the U.S. government or government-sponsored agencies. Since September 2008, the government-sponsored agencies have been in the conservatorship of the U.S. government. We currently do not have the intent to sell the Agency MBS at a price less than the amortized cost basis of our investments. Because the decline in market value of the Agency MBS is attributable to changes in interest rates and not the credit quality of the Agency MBS in our portfolio, and because we do not have the intent to sell these investments nor is it more likely than not that we will be required to sell these investments before recovery of their amortized cost basis, which may be at maturity, we do not consider these investments to be other-than-temporarily impaired at March 31, 2015. | |||||||||||||||||||||||||||||||||||||
Residential Properties | Residential Properties | ||||||||||||||||||||||||||||||||||||
Residential properties are stated at cost and consist of land, buildings and improvements, including other costs incurred during their acquisition, possession and renovation. Residential properties purchased that are not subject to an existing lease are treated as asset acquisitions and, as such, are recorded at their purchase price, including acquisition and renovation costs, all of which are allocated to land and building based upon their relative fair values at the date of acquisition. Residential properties acquired either subject to an existing lease or as part of a portfolio level transaction are treated as a business combination under Accounting Standards Codification (“ASC”) 805, Business Combinations, and, as such, are recorded at fair value, allocated to land, building and the existing lease, if applicable, based upon their relative fair values at the date of acquisition, with acquisition fees and other costs expensed as incurred. | |||||||||||||||||||||||||||||||||||||
Building depreciation is computed on a straight-line basis over the estimated useful lives of the assets. We will generally use a 27.5 year estimated life with no salvage value. We will incur costs to prepare our acquired properties to be leased. These costs will be capitalized and allocated to building costs. Costs related to the restoration, renovation, or improvement of our properties that improve and extend their useful lives are capitalized and depreciated over their estimated useful lives. Expenditures for ordinary repairs and maintenance are expensed as incurred. Costs incurred by us to lease the properties will be capitalized and amortized over the life of the lease. Escrow deposits include refundable and non-refundable cash and earnest money on deposit with independent third parties for property purchases. | |||||||||||||||||||||||||||||||||||||
Repurchase Agreements | Repurchase Agreements | ||||||||||||||||||||||||||||||||||||
We finance the acquisition of MBS primarily through the use of repurchase agreements. Under these repurchase agreements, we sell securities to a lender and agree to repurchase the same securities in the future for a price that is higher than the original sales price. The difference between the sale price that we receive and the repurchase price that we pay represents interest paid to the lender. Although structured as a sale and repurchase obligation, a repurchase agreement operates as a financing under which we pledge our securities and accrued interest as collateral to secure a loan which is equal in value to a specified percentage of the estimated fair value of the pledged collateral. We retain beneficial ownership of the pledged collateral. Upon the maturity of a repurchase agreement, we are required to repay the loan and concurrently receive back our pledged collateral from the lender or, with the consent of the lender, we may renew such agreement at the then-prevailing financing rate. These repurchase agreements may require us to pledge additional assets to the lender in the event the estimated fair value of the existing pledged collateral declines. | |||||||||||||||||||||||||||||||||||||
Derivative Financial Instruments | Derivative Financial Instruments | ||||||||||||||||||||||||||||||||||||
Risk Management | |||||||||||||||||||||||||||||||||||||
We primarily use short-term (less than or equal to 12 months) repurchase agreements to finance the purchase of MBS. These obligations expose us to variability in interest payments due to changes in interest rates. We continuously monitor changes in interest rate exposures and evaluate various opportunities to mitigate this risk. Our objective is to limit the impact of interest rate changes on earnings and cash flows. The principal instruments we use to achieve this are interest rate swaps and Eurodollar Futures Contracts. Interest rate swaps effectively convert a percentage of our repurchase agreements to fixed-rate obligations over a period of up to ten years. Under interest rate swaps, we agree to pay an amount equal to a specified fixed rate of interest times a notional principal amount and to receive in return an amount equal to a specified variable-rate of interest times a notional amount, generally based on the London Interbank Offered Rate, or LIBOR. The notional amounts are not exchanged. We do not issue or hold the interest rate swaps and the Eurodollar Futures Contracts for speculative purposes. See Note 13 for more information on the Eurodollar Futures Contracts. | |||||||||||||||||||||||||||||||||||||
We also enter into To-Be-Announced, or TBA, Agency MBS as either a means of investing in and financing Agency MBS or as a means of disposing of or reducing our exposure to agency securities. Pursuant to TBA contracts, we agree to purchase or sell, for future delivery, Agency MBS with certain principal and interest terms and certain types of collateral, but the particular Agency MBS to be delivered are not identified until shortly before the TBA settlement date. We also may choose, prior to settlement, to move the settlement of these MBS out to a later date by entering into an offsetting short or long position (referred to as a “pair off”), net settling the paired off positions for cash, and simultaneously purchasing a similar TBA contract for a later settlement date. This transaction is commonly referred to as a “dollar roll.” The Agency MBS purchased or sold for a forward settlement date are typically priced at a discount to agency securities for settlement in the current month. This difference (or discount) is referred to as the “price drop.” The price drop represents compensation to us for foregoing net interest margin (interest income less repurchase agreement financing cost). TBA Agency MBS are accounted for as derivative instruments since they do not meet the exemption allowed for a “regular way” security trade under ASC 815, as either the TBA contracts do not settle in the shortest period of time possible or we cannot assess that it is probable at inception that we will take physical delivery of the security or that we will not settle on a net basis. | |||||||||||||||||||||||||||||||||||||
Accounting for Derivatives and Hedging Activities | |||||||||||||||||||||||||||||||||||||
We account for derivative instruments in accordance with ASC 815, which requires recognition of all derivatives as either assets or liabilities and measurement of those instruments at fair value, which is typically based on values obtained from large financial institutions who are market makers for these types of instruments. The accounting for changes in the fair value on derivative instruments depends on whether the instruments are designated and qualify as hedges in accordance with ASC 815. Changes in fair value related to derivatives not designated as hedges are recorded in our consolidated statements of operations as “Gain (loss) on derivatives” and specifically identified as either relating to interest rate swaps, Eurodollar Futures Contracts or TBA Agency MBS. For a derivative to qualify for hedge accounting, we must anticipate that the hedge will be highly “effective” as defined by ASC 815-10. A hedge of the variability of cash flows that are to be received or paid in connection with a recognized asset or liability is known as a ”cash flow” hedge. Changes in the fair value of a derivative that is highly effective and that is designated as a cash flow hedge, to the extent the hedge is effective, are recorded in AOCI and reclassified to income when the forecasted transaction affects income (e.g. when periodic settlement interest payments are due on repurchase agreements). Hedge ineffectiveness, if any, is recorded in current period income. | |||||||||||||||||||||||||||||||||||||
When we discontinue hedge accounting, the gain or loss on the derivative remains in AOCI and is reclassified into income when the forecasted transaction affects income. In all situations where hedge accounting is discontinued and the derivative remains outstanding, we carry the derivative at its fair value on our balance sheet, recognizing changes in fair value in current period income. All of our swaps had historically been accounted for as cash flow hedges under ASC 815. However, on March 17, 2014, we discontinued hedge accounting on approximately $1.685 billion in notional amounts by de-designating these swaps as cash flow hedges. After August 22, 2014, none of our swaps were designated for hedge accounting. As a result of discontinuing hedge accounting for our swaps, changes in the fair value of these swaps are recorded in “Gain (loss) on interest rate swaps, net” in our consolidated statements of operations rather than in AOCI. Also, net interest paid or received on these swaps which was previously recognized in interest expense, is instead recognized in “Gain (loss) on interest rate swaps, net.” These continue to be reported as assets or liabilities on our consolidated balance sheets at their fair value. | |||||||||||||||||||||||||||||||||||||
As long as the forecasted transactions that were being hedged (i.e. rollovers of our repurchase agreement borrowings) are still expected to occur, the balance in AOCI from the activity in these swaps through the dates of de-designation will remain in AOCI and be recognized in our consolidated statements of operations as “interest expense” over the remaining term of these swaps. | |||||||||||||||||||||||||||||||||||||
For purposes of the consolidated statements of cash flows, cash flows hedges were classified with the cash flows from the hedged item. Cash flows from derivatives that are not hedges are classified according to the underlying nature or purpose of the derivative transaction. | |||||||||||||||||||||||||||||||||||||
For more details on the amounts and other qualitative information on all our derivative transactions, see Note 13. For more information on the fair value of our derivative instruments, see Note 7. | |||||||||||||||||||||||||||||||||||||
Credit Risk | Credit Risk | ||||||||||||||||||||||||||||||||||||
At March 31, 2015, we have attempted to limit our exposure to credit losses on our Agency MBS by purchasing securities primarily through Freddie Mac and Fannie Mae. The payment of principal and interest on the Freddie Mac and Fannie Mae MBS are guaranteed by those respective enterprises. In September 2008, both Freddie Mac and Fannie Mae were placed in the conservatorship of the U.S. government. While it is the intent that the conservatorship will help stabilize Freddie Mac’s and Fannie Mae’s losses and overall financial position, there can be no assurance that it will succeed or that, if necessary, Freddie Mac and Fannie Mae will be able to satisfy its guarantees of Agency MBS. There have also been concerns as to what the U.S. government will do regarding winding down the operations of Freddie Mac and Fannie Mae. There have also been concerns over the past few years regarding the credit standing of Freddie Mac, Fannie Mae, and U.S. sovereign debt. We do not know what effect any future ratings of Freddie Mac, Fannie Mae and U.S. sovereign debt may ultimately have on the U.S. economy, the value of our securities, or the ability of Freddie Mac and Fannie Mae to satisfy its guarantees of Agency MBS, if necessary. | |||||||||||||||||||||||||||||||||||||
Our adjustable-rate MBS are subject to periodic and lifetime interest rate caps. Periodic caps can limit the amount an interest rate can increase during any given period. Some adjustable-rate MBS subject to periodic payment caps may result in a portion of the interest being deferred and added to the principal outstanding. | |||||||||||||||||||||||||||||||||||||
We also invest in Non-Agency MBS, which are securities that are secured by pools of residential mortgages which are not issued by government-sponsored enterprises and are not guaranteed by any agency of the U.S. government or any federally chartered corporation. Such investments carry a risk that the borrower on the underlying mortgage may default on their obligation to make full and timely payments of principal and interest. | |||||||||||||||||||||||||||||||||||||
Other-than-temporary losses on our available-for-sale MBS, as measured by the amount of decline in estimated fair value attributable to credit losses that are considered to be other-than-temporary, are charged against income, resulting in an adjustment of the cost basis of such securities. Based on the criteria in ASC 320-10, the determination of whether a security is other-than-temporarily impaired, or OTTI, involves judgments and assumptions based on both subjective and objective factors. When a security is impaired, an OTTI is considered to have occurred if (i) we intend to sell the security, (ii) it is more likely than not that we will be required to sell the security before recovery of its amortized cost basis or (iii) we do not expect to recover its amortized cost basis (i.e., there is a credit-related loss). The following are among, but not all of, the factors considered in determining whether and to what extent an OTTI exists and the portion that is related to credit loss: (i) the expected cash flow from the investment; (ii) whether there has been an other-than-temporary deterioration of the credit quality of the underlying mortgages; (iii) the credit protection available to the related mortgage pool for MBS; (iv) any other market information available, including analysts’ assessments and statements, public statements and filings made by the debtor or counterparty; (v) management’s internal analysis of the security, considering all known relevant information at the time of assessment; and (vi) the magnitude and duration of historical decline in market prices. Because management’s assessments are based on factual information as well as subjective information available at the time of assessment, the determination as to whether an other-than-temporary decline exists and, if so, the amount considered impaired, is also subjective and therefore constitutes material estimates that are susceptible to significant change. | |||||||||||||||||||||||||||||||||||||
For all interest rate swaps entered into on or before September 9, 2013, we are exposed to credit losses in the event of non-performance by counterparties to interest rate swap agreements. In order to limit this risk, our practice was to only enter into swaps with large financial institution counterparties who were market makers for these types of instruments, limit our exposure on each swap to a single counterparty under our defined guidelines and either pay or receive collateral to or from each counterparty on a periodic basis to cover the net fair market position of the swaps held with that counterparty. For all swaps entered into on or after September 9, 2013, all swap participants are required by rules of the Commodities Futures Trading Commission, or CFTC, under authority granted to it pursuant to the Dodd-Frank Wall Street Reform and Consumer Protection Act, or the Dodd-Frank Act, to clear swaps through a registered derivatives clearing organization, or “swap execution facility,” through standardized documents under which each swap counterparty transfers its position to another entity whereby a central clearinghouse effectively becomes the counterparty on each side of the swap. Both the swap execution facility and the central clearinghouse could require greater initial and periodic margin (collateral) requirements and additional transaction fees. It is the intent of the Dodd-Frank Act that the clearing of swaps in this manner is designed to avoid concentration of risk in any single entity by spreading and centralizing the risk in the clearinghouse and its members. | |||||||||||||||||||||||||||||||||||||
Income Taxes | Income Taxes | ||||||||||||||||||||||||||||||||||||
We have elected to be taxed as a REIT and to comply with the provisions of the Code with respect thereto. Accordingly, we will not be subject to federal income tax to the extent that our distributions to our stockholders satisfy the REIT requirements and that certain asset, income and stock ownership tests are met. | |||||||||||||||||||||||||||||||||||||
We have no unrecognized tax benefits and do not anticipate any increase in unrecognized benefits during 2015 relative to any tax positions taken prior to January 1, 2015. Should the accrual of any interest or penalties relative to unrecognized tax benefits be necessary, it is our policy to record such accruals in our income taxes accounts; and no such accruals existed at March 31, 2015. We file REIT U.S. federal and California income tax returns. These returns are generally open to examination by the IRS and the California Franchise Tax Board for all years after 2010 and 2009, respectively. | |||||||||||||||||||||||||||||||||||||
Stock-Based Expense | Stock-Based Expense | ||||||||||||||||||||||||||||||||||||
In accordance with ASC 718-10, any expense relating to share-based payment transactions is recognized in the unaudited consolidated financial statements. | |||||||||||||||||||||||||||||||||||||
Restricted stock is expensed over the vesting period (see Note 12). | |||||||||||||||||||||||||||||||||||||
Earnings Per Share | Earnings Per Share | ||||||||||||||||||||||||||||||||||||
Basic earnings per share, or EPS, is computed by dividing net income available to common stockholders by the weighted average number of common shares outstanding during the period. Diluted EPS assumes the conversion, exercise or issuance of all potential common stock equivalents (which includes stock options and convertible preferred stock) and the adding back of the Series B Preferred Stock dividends unless the effect is to reduce a loss or increase the income per share. | |||||||||||||||||||||||||||||||||||||
The computation of EPS for the three months ended March 31, 2015 and 2014 is as follows (amounts in thousands, except per share data): | |||||||||||||||||||||||||||||||||||||
Net Income | Average | Earnings | |||||||||||||||||||||||||||||||||||
Available to | Shares | per | |||||||||||||||||||||||||||||||||||
Common | Share | ||||||||||||||||||||||||||||||||||||
Stockholders | |||||||||||||||||||||||||||||||||||||
For the three months ended March 31, 2015 | |||||||||||||||||||||||||||||||||||||
Basic EPS | $ | (17,847 | ) | 107,228 | $ | (0.17 | ) | ||||||||||||||||||||||||||||||
Effect of dilutive securities | - | 4,244 | - | ||||||||||||||||||||||||||||||||||
Diluted EPS | $ | (17,847 | ) | 111,472 | $ | (0.17 | ) | ||||||||||||||||||||||||||||||
For the three months ended March 31, 2014 | |||||||||||||||||||||||||||||||||||||
Basic EPS | $ | 11,942 | 136,848 | $ | 0.09 | ||||||||||||||||||||||||||||||||
Effect of dilutive securities | 394 | 4,027 | - | ||||||||||||||||||||||||||||||||||
Diluted EPS | $ | 12,336 | 140,875 | $ | 0.09 | ||||||||||||||||||||||||||||||||
For the three months ended March 31, 2015 and 2014, options to purchase 5,000 and 5,000 shares of common stock, respectively, were outstanding and not included in the computation of diluted EPS as their exercise price and option expense exceeded the average stock price for those respective periods. | |||||||||||||||||||||||||||||||||||||
Accumulated Other Comprehensive Income | Accumulated Other Comprehensive Income | ||||||||||||||||||||||||||||||||||||
In accordance with ASC 220-10-55-2, total comprehensive income is divided into net income and other comprehensive income, which includes unrealized gains and losses on marketable securities classified as available-for-sale, and unrealized gains and losses on derivative financial instruments that qualify for cash flow hedge accounting under ASC 815-10. In accordance with ASU 2013-02, we have identified, in our consolidated Statements of Comprehensive Income, items that are reclassified and included in our consolidated Statements of Operations. | |||||||||||||||||||||||||||||||||||||
Use of Estimates | USE OF ESTIMATES | ||||||||||||||||||||||||||||||||||||
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could materially differ from those estimates. | |||||||||||||||||||||||||||||||||||||
Recent Accounting Pronouncements | RECENT ACCOUNTING PRONOUNCEMENTS | ||||||||||||||||||||||||||||||||||||
In May 2014, the FASB issued a new standard on revenue recognition, ASU No. 2014-09, “Revenue from Contracts with Customers (Topic 606).” This new standard will replace more than 200 ad hoc pronouncements on revenue recognition. This ASU requires companies to recognize revenue in a way that shows the transfer of goods or services to customers in amounts that reflect the payment that a company expects to be entitled to in exchange for those goods or services. To do that, companies will now have to go through a five-step process: (1) tie the contract to a customer; (2) identify the contract’s performance obligations; (3) determine the transaction price; (4) connect the transaction price to the performance obligations in the contract; and (5) recognize revenue when (or as) a company satisfies the performance obligation. This ASU only affects an entity that either enters into contracts with customers to transfer goods or services or enters into contracts for the transfer of nonfinancial assets, unless those contracts are within other standards (for example, insurance contracts or lease contracts). This ASU is effective for a public entity for the financial statements beginning with the quarter ending March 31, 2018. We do not believe that this ASU will have a material impact on our financial statements. | |||||||||||||||||||||||||||||||||||||
In June 2014, the FASB issued a new standard on repurchase agreements, ASU No. 2014-11, “Transfers and Servicing: Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (Topic 860).” This new standard introduces two major changes to the existing accounting guidance: (1) it requires transferors and transferees to account for repurchase-to-maturity transactions as secured borrowings, where the transferor maintains control over the transferred asset instead of accounting for these as a sale; and (2) it requires separate accounting for a transfer of a financial asset executed contemporaneously with a repurchase agreement with the same counterparty, causing the repurchase agreement to be accounted for as a secured borrowing. For these types of transactions, there is additional disclosure about the nature of the transaction. This ASU also requires the following disclosures for all repurchase agreements, securities lending transactions and repurchase-to-maturity transactions that are accounted for as secured borrowings: (i) a disaggregation of the gross obligation by the class of collateral pledged; (ii) the remaining contractual tenor of the agreements; and (iii) a discussion of the potential risks associated with the agreements and the related collateral pledged, including obligations arising from a decline in the fair value of the collateral pledged and how those risks are managed. This ASU became effective for our financial statements beginning with the quarter ending March 31, 2015. We do not believe that this ASU has a material impact on our financial statements. | |||||||||||||||||||||||||||||||||||||
In November 2014, the FASB issued ASU 2014-16, “Determining Whether the Host Contract in a Hybrid Financial Instrument Issued in the Form of a Share is More Akin to Debt or Equity – a consensus of the FASB Emerging Issues Task Force.” U.S. GAAP defines a “hybrid” financial instrument as consisting of a host contract and an embedded derivative (for example, convertible, redeemable preferred stock). An entity must bifurcate (account for separately as a derivative) an embedded derivative from a hybrid financial instrument if the embedded derivative (1) is not clearly and closely related to the host contract and (2) meets the definition of a derivative as a freestanding instrument. To determine whether an embedded derivative is clearly and closely related to the host contract, an entity must first determine whether the terms and features in a hybrid financial instrument are debt-like versus equity-like, and then weigh the terms and features based on relevant facts and circumstances to ultimately determine the nature of the host contract. This ASU will become effective for our financial statements beginning with the quarter ending March 31, 2016. We do not believe this ASU will have a material impact on our financial statements. | |||||||||||||||||||||||||||||||||||||
In January 2015, the FASB issued ASU 2015-01, “Simplifying Income Statement Presentation by Eliminating the Concept of Extraordinary Items.” Currently, an event or transaction that is unusual and occurs infrequently must be separately classified and presented as an extraordinary item net of tax after income from continuing operations. Entities are also required to disclose income taxes and earnings per share data for each extraordinary item if the amounts are not already disclosed on the face of the income statements. By removing the concept of extraordinary items from U.S. GAAP, this ASU removes the uncertainty and disparity in practice involved in identifying, presenting and disclosing extraordinary items. This ASU will become effective for our financial statements beginning with the quarter ending March 31, 2016. We do not believe that this ASU will have a material impact on our financial statements. | |||||||||||||||||||||||||||||||||||||
On February 18, 2015, the FASB issued an ASU regarding guidance on consolidations, ASU No. 2015-02, “Consolidation (Topic 810): Amendment to the Consolidation Analysis.” This new standard changes consolidation analysis by: placing more emphasis on risk of loss when determining a controlling financial interest and outlining the conditions under which a decision maker or service provider may have to consolidate the entity for which it provides the service. As such, we believe that entities for which decision making rights are conveyed through contractual arrangement are less likely to be consolidated. This ASU will become effective for our financial statements beginning with the quarter ending March 31, 2016. We do not believe that this ASU will have a material effect on our financial statements. | |||||||||||||||||||||||||||||||||||||
In April 2015, the FASB issued ASU 2015-03, “Interest-Imputation of Interest (Subtopic 835-30), Simplifying the Presentation of Debt Issuance Costs.” This ASU requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability. This ASU will be effective for our financial statements beginning with the quarter ending March 31, 2016. We do not believe this ASU will have a material impact on our financial statements. | |||||||||||||||||||||||||||||||||||||
Series B Preferred Stock | |||||||||||||||||||||||||||||||||||||
Cumulative Convertible Preferred Stock | Cumulative Convertible Preferred Stock | ||||||||||||||||||||||||||||||||||||
We classify our Series B Cumulative Convertible Preferred Stock, or Series B Preferred Stock, on our balance sheets using the guidance in ASC 480-10-S99. The Series B Preferred Stock contains certain fundamental change provisions that allow the holder to redeem the preferred stock for cash only if certain events occur, such as a change in control. As redemption under these circumstances is not solely within our control, we have classified the Series B Preferred Stock as temporary equity. | |||||||||||||||||||||||||||||||||||||
We have analyzed whether the conversion features in the Series B Preferred Stock should be bifurcated under the guidance in ASC 815-10 and have determined that bifurcation is not necessary. |
Organization_and_Significant_A2
Organization and Significant Accounting Policies (Tables) | 3 Months Ended | ||||||||||||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||||||||||||
Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||
Investments' Gross Unrealized Losses and Fair Value of Securities in Continuous Unrealized Loss Position, Aggregated by Investment Category and Length of Time | The following table shows the gross unrealized losses and fair value of those individual securities in our MBS portfolio that have been in a continuous unrealized loss position at March 31, 2015 and December 31, 2014, aggregated by investment category and length of time (dollar amounts in thousands): | ||||||||||||||||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||||||||||||||
Less Than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||||||||||
Description | Number | Fair | Unrealized | Number | Fair | Unrealized | Number | Fair | Unrealized | ||||||||||||||||||||||||||||
of | of | Value | Losses | of | Value | Losses | of | Value | Losses | ||||||||||||||||||||||||||||
Securities | Securities | Securities | Securities | ||||||||||||||||||||||||||||||||||
Agency MBS | 341 | $ | 2,439,637 | $ | (30,488 | ) | 90 | $ | 370,924 | $ | (2,744 | ) | 431 | $ | 2,810,561 | $ | (33,232 | ) | |||||||||||||||||||
Non-Agency MBS | 3 | $ | 12,901 | $ | (16 | ) | - | $ | - | $ | - | 3 | $ | 12,901 | $ | (16 | ) | ||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||||||||||||
Less Than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||||||||||
Description | Number | Fair | Unrealized | Number | Fair | Unrealized | Number | Fair | Unrealized | ||||||||||||||||||||||||||||
of | of | Value | Losses | of | Value | Losses | of | Value | Losses | ||||||||||||||||||||||||||||
Securities | Securities | Securities | Securities | ||||||||||||||||||||||||||||||||||
Agency MBS | 91 | $ | 348,783 | $ | (1,792 | ) | 361 | $ | 3,032,057 | $ | (53,820 | ) | 452 | $ | 3,380,840 | $ | (55,612 | ) | |||||||||||||||||||
Non-Agency MBS | 7 | $ | 45,988 | $ | (63 | ) | 0 | 0 | 0 | 7 | $ | 45,988 | $ | (63 | ) | ||||||||||||||||||||||
Computation of Earnings Per Share | The computation of EPS for the three months ended March 31, 2015 and 2014 is as follows (amounts in thousands, except per share data): | ||||||||||||||||||||||||||||||||||||
Net Income | Average | Earnings | |||||||||||||||||||||||||||||||||||
Available to | Shares | per | |||||||||||||||||||||||||||||||||||
Common | Share | ||||||||||||||||||||||||||||||||||||
Stockholders | |||||||||||||||||||||||||||||||||||||
For the three months ended March 31, 2015 | |||||||||||||||||||||||||||||||||||||
Basic EPS | $ | (17,847 | ) | 107,228 | $ | (0.17 | ) | ||||||||||||||||||||||||||||||
Effect of dilutive securities | - | 4,244 | - | ||||||||||||||||||||||||||||||||||
Diluted EPS | $ | (17,847 | ) | 111,472 | $ | (0.17 | ) | ||||||||||||||||||||||||||||||
For the three months ended March 31, 2014 | |||||||||||||||||||||||||||||||||||||
Basic EPS | $ | 11,942 | 136,848 | $ | 0.09 | ||||||||||||||||||||||||||||||||
Effect of dilutive securities | 394 | 4,027 | - | ||||||||||||||||||||||||||||||||||
Diluted EPS | $ | 12,336 | 140,875 | $ | 0.09 | ||||||||||||||||||||||||||||||||
MortgageBacked_Securities_MBS_
Mortgage-Backed Securities (MBS) (Tables) | 3 Months Ended | ||||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||||
Investments Debt And Equity Securities [Abstract] | |||||||||||||||||||||||||||||
Agency MBS and Non-Agency MBS, Classified as Available-for-Sale Which are Carried at Fair Value | The following tables summarize our Agency MBS and Non-Agency MBS, classified as available-for-sale, at March 31, 2015 and December 31, 2014, which are carried at their fair value (amounts in thousands): | ||||||||||||||||||||||||||||
March 31, 2015 | |||||||||||||||||||||||||||||
By Agency | Ginnie Mae | Freddie Mac | Fannie Mae | Total | Non-Agency | Total | |||||||||||||||||||||||
Agency MBS | MBS | MBS | |||||||||||||||||||||||||||
Amortized cost | $ | 11,425 | $ | 2,759,654 | $ | 3,882,460 | $ | 6,653,539 | $ | 374,215 | $ | 7,027,754 | |||||||||||||||||
Paydowns receivable(1) | - | 35,702 | - | 35,702 | - | 35,702 | |||||||||||||||||||||||
Unrealized gains | 7 | 21,471 | 67,154 | 88,632 | 2,180 | 90,812 | |||||||||||||||||||||||
Unrealized losses | (161 | ) | (17,548 | ) | (15,523 | ) | (33,232 | ) | (16 | ) | (33,248 | ) | |||||||||||||||||
Fair value | $ | 11,271 | $ | 2,799,279 | $ | 3,934,091 | $ | 6,744,641 | $ | 376,379 | $ | 7,121,020 | |||||||||||||||||
By Security Type | ARMs | Hybrids | 15-Year | 20-Year | Total | Non-Agency | Total | ||||||||||||||||||||||
Fixed-Rate | and | Agency MBS | MBS | MBS | |||||||||||||||||||||||||
30-Year | |||||||||||||||||||||||||||||
Fixed-Rate | |||||||||||||||||||||||||||||
Amortized cost | $ | 2,052,940 | $ | 3,382,085 | $ | 1,008,990 | $ | 209,524 | $ | 6,653,539 | $ | 374,215 | $ | 7,027,754 | |||||||||||||||
Paydowns receivable(1) | 7,558 | 28,144 | - | - | 35,702 | - | 35,702 | ||||||||||||||||||||||
Unrealized gains | 55,100 | 16,512 | 6,368 | 10,652 | 88,632 | 2,180 | 90,812 | ||||||||||||||||||||||
Unrealized losses | (5,212 | ) | (24,184 | ) | (3,836 | ) | - | (33,232 | ) | (16 | ) | (33,248 | ) | ||||||||||||||||
Fair value | $ | 2,110,386 | $ | 3,402,557 | $ | 1,011,522 | $ | 220,176 | $ | 6,744,641 | $ | 376,379 | $ | 7,121,020 | |||||||||||||||
-1 | Paydowns receivable are generated when the Company receives notice from Freddie Mac of prepayments but does not receive the actual cash with respect to such prepayments until the 15th day of the following month. | ||||||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||||
By Agency | Ginnie Mae | Freddie Mac | Fannie Mae | Total | Non-Agency | Total | |||||||||||||||||||||||
Agency MBS | MBS | MBS | |||||||||||||||||||||||||||
Amortized cost | $ | 11,823 | $ | 2,889,128 | $ | 4,061,330 | $ | 6,962,281 | $ | 199,705 | $ | 7,161,986 | |||||||||||||||||
Paydowns receivable(1) | - | 29,486 | - | 29,486 | - | 29,486 | |||||||||||||||||||||||
Unrealized gains | 32 | 21,534 | 65,642 | 87,208 | 68 | 87,276 | |||||||||||||||||||||||
Unrealized losses | (155 | ) | (31,558 | ) | (23,899 | ) | (55,612 | ) | (63 | ) | (55,675 | ) | |||||||||||||||||
Fair value | $ | 11,700 | $ | 2,908,590 | $ | 4,103,073 | $ | 7,023,363 | $ | 199,710 | $ | 7,223,073 | |||||||||||||||||
By Security Type | ARMs | Hybrids | 15-Year | 20-Year | Total | Non-Agency | Total | ||||||||||||||||||||||
Fixed-Rate | and | Agency MBS | MBS | MBS | |||||||||||||||||||||||||
30-Year | |||||||||||||||||||||||||||||
Fixed-Rate | |||||||||||||||||||||||||||||
Amortized cost | $ | 1,779,031 | $ | 3,914,431 | $ | 1,048,991 | $ | 219,828 | $ | 6,962,281 | $ | 199,705 | $ | 7,161,986 | |||||||||||||||
Paydowns receivable(1) | 2,769 | 26,717 | - | - | 29,486 | - | 29,486 | ||||||||||||||||||||||
Unrealized gains | 51,827 | 21,290 | 3,782 | 10,309 | 87,208 | 68 | 87,276 | ||||||||||||||||||||||
Unrealized losses | (5,027 | ) | (40,632 | ) | (9,953 | ) | - | (55,612 | ) | (63 | ) | (55,675 | ) | ||||||||||||||||
Fair value | $ | 1,828,600 | $ | 3,921,806 | $ | 1,042,820 | $ | 230,137 | $ | 7,023,363 | $ | 199,710 | $ | 7,223,073 | |||||||||||||||
-1 | Paydowns receivable are generated when the Company receives notice from Freddie Mac of prepayments but does not receive the actual cash with respect to such prepayments until the 15th day of the following month. | ||||||||||||||||||||||||||||
Estimates of Contractually Required Payments Expected to be Collected and Fair Value | The following table presents information regarding the estimates of the contractually required principal payments, cash flows expected to be collected and estimated fair value of the Non-Agency MBS held at carrying value acquired by the Company at March 31, 2015 and December 31, 2014: | ||||||||||||||||||||||||||||
March 31, | December 31, | ||||||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||||||
Non-Agency MBS acquired with credit deterioration: | |||||||||||||||||||||||||||||
Contractually required principal | $ | 287,806 | $ | 148,197 | |||||||||||||||||||||||||
Contractual principal not expected to be collected (non-accretable yield) | (74,958 | ) | (18,123 | ) | |||||||||||||||||||||||||
Expected cash flows to be collected | 212,848 | 130,074 | |||||||||||||||||||||||||||
Market yield adjustment | 11,653 | (17,160 | ) | ||||||||||||||||||||||||||
Unrealized gain, net | 1,170 | 5 | |||||||||||||||||||||||||||
Fair value | 225,671 | 112,919 | |||||||||||||||||||||||||||
Fair value of other Non-Agency MBS (no credit deterioration) | 150,708 | 86,791 | |||||||||||||||||||||||||||
Total fair value of Non-Agency MBS | $ | 376,379 | $ | 199,710 | |||||||||||||||||||||||||
Schedule of Components of Purchase Discount on its Non-Agency MBS | The following table presents the change for the three months ended March 31, 2015 of the components of the Company’s purchase discount on the Non-Agency MBS acquired with credit deterioration between the amount designated as the market yield adjustment and the non-accretable difference: | ||||||||||||||||||||||||||||
For the | |||||||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||||||
Market Yield | Non- | ||||||||||||||||||||||||||||
Adjustment | Accretable | ||||||||||||||||||||||||||||
Balance, beginning of period | $ | (18,528 | ) | $ | (18,123 | ) | |||||||||||||||||||||||
Accretion of discount | 1,021 | - | |||||||||||||||||||||||||||
Purchases | 29,345 | (56,835 | ) | ||||||||||||||||||||||||||
Sales | (185 | ) | - | ||||||||||||||||||||||||||
Reclass adjustments for other-than-temporary impairments | - | - | |||||||||||||||||||||||||||
Transfer from (to) | - | - | |||||||||||||||||||||||||||
Balance, end of period | $ | 11,653 | $ | (74,958 | ) | ||||||||||||||||||||||||
Repurchase_Agreements_Tables
Repurchase Agreements (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Banking And Thrift [Abstract] | |||||||||||||||||||||||||
Repurchase Agreements Balances, Weighted Average Interest Rates and Remaining Weighted Average Maturities | At March 31, 2015 and December 31, 2014, the repurchase agreements had the following balances (dollar amounts in thousands), weighted average interest rates and remaining weighted average maturities: | ||||||||||||||||||||||||
31-Mar-15 | |||||||||||||||||||||||||
Agency MBS | Non-Agency MBS | Total MBS | |||||||||||||||||||||||
Balance | Weighted | Balance | Weighted | Balance | Weighted | ||||||||||||||||||||
Average | Average | Average | |||||||||||||||||||||||
Interest | Interest | Interest | |||||||||||||||||||||||
Rate | Rate | Rate | |||||||||||||||||||||||
Overnight | $ | - | - | % | $ | - | - | % | $ | - | - | % | |||||||||||||
Less than 30 days | 2,308,000 | 0.35 | 236,037 | 1.83 | 2,544,037 | 0.49 | |||||||||||||||||||
30 days to 90 days | 3,690,000 | 0.35 | - | - | 3,690,000 | 0.35 | |||||||||||||||||||
Over 90 days to less than 1 year | 50,000 | 0.37 | - | - | 50,000 | 0.37 | |||||||||||||||||||
1 year to 2 years | - | - | - | - | - | - | |||||||||||||||||||
Demand | - | - | - | - | - | - | |||||||||||||||||||
$ | 6,048,000 | 0.35 | % | $ | 236,037 | 1.83 | % | $ | 6,284,037 | 0.41 | % | ||||||||||||||
Weighted average maturity | 38 days | 15 days | 37 days | ||||||||||||||||||||||
Weighted average interest rate after adjusting for interest rate swaps | 1.1 | % | |||||||||||||||||||||||
Weighted average maturity after adjusting for interest rate swaps | 729 days | ||||||||||||||||||||||||
MBS pledged as collateral under the | $ | 6,436,205 | $ | 318,599 | $ | 6,754,804 | |||||||||||||||||||
repurchase agreements and swap agreements | |||||||||||||||||||||||||
31-Dec-14 | |||||||||||||||||||||||||
Agency MBS | Non-Agency MBS | Total MBS | |||||||||||||||||||||||
Balance | Weighted | Balance | Weighted | Balance | Weighted | ||||||||||||||||||||
Average | Average | Average | |||||||||||||||||||||||
Interest | Interest | Interest | |||||||||||||||||||||||
Rate | Rate | Rate | |||||||||||||||||||||||
Overnight | $ | - | - | % | $ | - | - | % | $ | - | - | % | |||||||||||||
Less than 30 days | 2,395,000 | 0.32 | 115,740 | 1.82 | 2,510,740 | 0.39 | |||||||||||||||||||
30 days to 90 days | 3,860,000 | 0.35 | - | - | 3,860,000 | 0.35 | |||||||||||||||||||
Over 90 days to less than 1 year | - | - | - | - | - | - | |||||||||||||||||||
1 year to 2 years | - | - | - | - | - | - | |||||||||||||||||||
Demand | - | - | - | - | - | - | |||||||||||||||||||
$ | 6,255,000 | 0.34 | % | $ | 115,740 | 1.82 | % | $ | 6,370,740 | 0.37 | % | ||||||||||||||
Weighted average maturity | 38 days | 13 days | 37 days | ||||||||||||||||||||||
Weighted average interest rate after adjusting for interest rate swaps | 1.06 | % | |||||||||||||||||||||||
Weighted average maturity after adjusting for interest rate swaps | 767 days | ||||||||||||||||||||||||
MBS pledged as collateral under the | $ | 6,650,143 | $ | 155,311 | $ | 6,805,454 | |||||||||||||||||||
repurchase agreements and swap agreements | |||||||||||||||||||||||||
Liabilities and Assets Subject to Netting Arrangements | The following tables present information about certain assets and liabilities that are subject to master netting arrangements (or similar agreements) only in the event of default on a contract. See Notes 1, 7 and 13 for more information on the Company’s interest rate swaps (both items that were hedges and also for de-designated swaps) and other derivative instruments. | ||||||||||||||||||||||||
Net Amounts of | |||||||||||||||||||||||||
Assets | Gross Amounts Not Offset | ||||||||||||||||||||||||
Gross Amounts | or Liabilities | in the Balance Sheets(1) | |||||||||||||||||||||||
of Recognized | Gross Amounts | Presented in | Cash | ||||||||||||||||||||||
31-Mar-15 | Assets or | Offset in the | the Balance | Financial | Collateral | Net | |||||||||||||||||||
(in thousands) | Liabilities | Balance Sheets | Sheets | Instruments | Received | Amounts | |||||||||||||||||||
Derivative assets at fair value(2) | $ | 6,560 | $ | - | $ | 6,560 | $ | (6,560 | ) | $ | - | $ | - | ||||||||||||
Total | $ | 6,560 | $ | - | $ | 6,560 | $ | (6,560 | ) | $ | - | $ | - | ||||||||||||
Repurchase Agreements(3) | $ | 6,284,037 | $ | - | $ | 6,284,037 | $ | (6,284,037 | ) | $ | - | $ | - | ||||||||||||
Derivative liabilities at fair value(2) | 70,188 | - | 70,188 | (70,188 | ) | - | - | ||||||||||||||||||
Total | $ | 6,354,225 | $ | - | $ | 6,354,225 | $ | (6,354,225 | ) | $ | - | $ | - | ||||||||||||
Net Amounts of | |||||||||||||||||||||||||
Assets | Gross Amounts Not Offset | ||||||||||||||||||||||||
Gross Amounts | or Liabilities | in the Balance Sheets(1) | |||||||||||||||||||||||
of Recognized | Gross Amounts | Presented in | Cash | ||||||||||||||||||||||
31-Dec-14 | Assets or | Offset in the | the Balance | Financial | Collateral | Net | |||||||||||||||||||
(in thousands) | Liabilities | Balance Sheets | Sheets | Instruments | Received | Amounts | |||||||||||||||||||
Derivative assets at fair value(2) | $ | 9,792 | $ | - | $ | 9,792 | $ | (9,792 | ) | $ | - | $ | - | ||||||||||||
Total | $ | 9,792 | $ | - | $ | 9,792 | $ | (9,792 | ) | $ | - | $ | - | ||||||||||||
Repurchase Agreements(3) | $ | 6,370,740 | $ | - | $ | 6,370,740 | $ | (6,370,740 | ) | $ | - | $ | - | ||||||||||||
Derivative liabilities at fair value(2) | 45,259 | - | 45,259 | (45,259 | ) | - | - | ||||||||||||||||||
Total | $ | 6,415,999 | $ | - | $ | 6,415,999 | $ | (6,415,999 | ) | $ | - | $ | - | ||||||||||||
-1 | Amounts presented are limited to collateral pledged sufficient to reduce the related net amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. | ||||||||||||||||||||||||
-2 | At March 31, 2015, we had pledged approximately $62.9 million in Agency MBS as collateral and paid another approximately $20.1 million on swap margin calls on our swap derivatives, which were approximately $2.2 million in derivative assets and approximately $66.5 million in derivative liabilities at March 31, 2015. At December 31, 2014, we had pledged approximately $54 million in Agency MBS as collateral and paid another approximately $13 million on swap margin calls on our swap derivatives, which were approximately $8.7 million in derivative assets and approximately $43.6 million in derivative liabilities at December 31, 2014. | ||||||||||||||||||||||||
-3 | At March 31, 2015, we had pledged approximately $6.44 billion in Agency MBS and approximately $319 million in Non-Agency MBS as collateral on our repurchase agreements. At December 31, 2014, we had pledged approximately $6.65 billion in Agency MBS and approximately $155 million in Non-Agency MBS as collateral on our repurchase agreements. |
Fair_Values_of_Financial_Instr1
Fair Values of Financial Instruments (Tables) | 3 Months Ended | ||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||
Fair Value Measurements on Recurring Basis | At March 31, 2015, fair value measurements on a recurring basis were as follows (in thousands): | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Assets: | |||||||||||||||||
Agency MBS(1) | $ | - | $ | 6,744,641 | $ | - | $ | 6,744,641 | |||||||||
Non-Agency MBS(1) | $ | - | $ | 376,379 | $ | - | $ | 376,379 | |||||||||
Derivative instruments(2) | $ | - | $ | 6,560 | $ | - | $ | 6,560 | |||||||||
Liabilities: | |||||||||||||||||
Derivative instruments(2) | $ | - | $ | 70,188 | $ | - | $ | 70,188 | |||||||||
-1 | For more detail about the fair value of our MBS by agency and type of security, see Note 3. | ||||||||||||||||
-2 | Derivative instruments include discontinued hedges under ASC 815-10. For more detail about our derivative instruments, see Note 1 and Note 13. | ||||||||||||||||
At December 31, 2014, fair value measurements on a recurring basis were as follows (in thousands): | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Assets: | |||||||||||||||||
Agency MBS(1) | $ | - | $ | 7,023,363 | $ | - | $ | 7,023,363 | |||||||||
Non-Agency MBS(1) | $ | - | $ | 199,710 | $ | - | $ | 199,710 | |||||||||
Derivative instruments(2) | $ | - | $ | 9,792 | $ | - | $ | 9,792 | |||||||||
Liabilities: | |||||||||||||||||
Derivative instruments(2) | $ | - | $ | 45,259 | $ | - | $ | 45,259 | |||||||||
-1 | For more detail about the fair value of our MBS by agency and type of security, see Note 3. | ||||||||||||||||
-2 | Derivative instruments include discontinued hedges under ASC 815-10. For more detail about our derivative instruments, see Note 1 and Note 13. |
Transactions_with_Affiliates_T
Transactions with Affiliates (Tables) | 3 Months Ended | ||||||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||||||
Related Party Transactions [Abstract] | |||||||||||||||||||||||||||||
Future Minimum Lease Commitment | At March 31, 2015, the future minimum lease commitment is as follows (in whole dollars): | ||||||||||||||||||||||||||||
Year | 2015 | 2016 | 2017 | 2018 | 2019 | Thereafter | Total | ||||||||||||||||||||||
Commitment | |||||||||||||||||||||||||||||
Commitment | $ | 344,432 | $ | 470,720 | $ | 484,852 | $ | 499,398 | $ | 514,374 | $ | 1,352,380 | $ | 3,666,156 | |||||||||||||||
Derivative_Instruments_Tables
Derivative Instruments (Tables) | 3 Months Ended | ||||||||||||||||||||||||
Mar. 31, 2015 | |||||||||||||||||||||||||
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||
Fairvalue of Derivative Instruments | The table below presents the fair value of our derivative instruments as well as their classification in our consolidated balance sheets as of March 31, 2015 and December 31, 2014: | ||||||||||||||||||||||||
Derivative Instruments | Balance Sheet | March 31, | December 31, | ||||||||||||||||||||||
Location | 2015 | 2014 | |||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
De-designated interest rate swaps | Derivative Assets | $ | 2,227 | $ | 8,738 | ||||||||||||||||||||
TBA Agency MBS | Derivative Assets | 4,333 | 1,054 | ||||||||||||||||||||||
$ | 6,560 | $ | 9,792 | ||||||||||||||||||||||
De-designated interest rate swaps | Derivative Liabilities | $ | 66,511 | $ | 43,565 | ||||||||||||||||||||
Eurodollar Futures Contracts | Derivative Liabilities | 3,677 | 1,694 | ||||||||||||||||||||||
$ | 70,188 | $ | 45,259 | ||||||||||||||||||||||
Notional Amounts of Swap Agreement, Weighted Average Fixed Rates and Remaining Terms | At March 31, 2015, the amount in AOCI relating to interest rate swaps was approximately $40 million. The estimated net amount of the existing losses that were reported in AOCI at March 31, 2015 that is expected to be reclassified into earnings within the next twelve months is approximately $19 million. | ||||||||||||||||||||||||
At March 31, 2015 and December 31, 2014, our swaps had the following notional amounts (dollar amounts in thousands), weighted average fixed rates and remaining terms (in months): | |||||||||||||||||||||||||
31-Mar-15 | 31-Dec-14 | ||||||||||||||||||||||||
Maturity | Notional | Weighted | Remaining | Notional | Weighted | Remaining | |||||||||||||||||||
Amount | Average | Term in | Amount | Average | Term in | ||||||||||||||||||||
Fixed | Months | Fixed | Months | ||||||||||||||||||||||
Rate | Rate | ||||||||||||||||||||||||
Less than 12 months | $ | - | - | % | - | $ | - | - | % | - | |||||||||||||||
1 year to 2 years | 650,000 | 0.83 | 18 | 550,000 | 0.8 | 20 | |||||||||||||||||||
2 years to 3 years | 860,000 | 1.04 | 30 | 795,000 | 1.03 | 31 | |||||||||||||||||||
3 years to 5 years | 915,000 | 1.56 | 44 | 1,080,000 | 1.48 | 46 | |||||||||||||||||||
5 years to 7 years | 555,000 | 2.35 | 69 | 555,000 | 2.35 | 72 | |||||||||||||||||||
7 years to 10 years | 350,000 | 2.93 | 97 | 350,000 | 2.93 | 100 | |||||||||||||||||||
$ | 3,330,000 | 1.56 | % | 45 | $ | 3,330,000 | 1.56 | % | 48 | ||||||||||||||||
Swap Agreements by Counterparty | Swap Agreements by Counterparty | ||||||||||||||||||||||||
March 31, | December 31, | ||||||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||||||
(in thousands) | |||||||||||||||||||||||||
Chicago Mercantile Exchange(1) | $ | 780,000 | $ | 780,000 | |||||||||||||||||||||
Deutsche Bank Securities | 665,000 | 665,000 | |||||||||||||||||||||||
ING Financial Markets LLC | 650,000 | 650,000 | |||||||||||||||||||||||
JPMorgan Securities | 625,000 | 625,000 | |||||||||||||||||||||||
RBS Greenwich Capital | 215,000 | 215,000 | |||||||||||||||||||||||
Nomura Securities International | 200,000 | 200,000 | |||||||||||||||||||||||
Bank of New York | 120,000 | 120,000 | |||||||||||||||||||||||
Credit Suisse | 75,000 | 75,000 | |||||||||||||||||||||||
$ | 3,330,000 | $ | 3,330,000 | ||||||||||||||||||||||
-1 | For all swap agreements entered into after September 9, 2013, the counterparty will be the Chicago Mercantile Exchange regardless of who the trading party is. See the section entitled “Derivative Financial Instruments – Interest Rate Risk Management” in Note 1 for additional details. |
Other_Expenses_Tables
Other Expenses (Tables) | 3 Months Ended | ||||||||
Mar. 31, 2015 | |||||||||
Other Income And Expenses [Abstract] | |||||||||
Other Expenses | |||||||||
Three Months Ended | |||||||||
March 31, | |||||||||
2015 | 2014 | ||||||||
(in thousands) | |||||||||
Legal and professional fees | $ | 136 | $ | 248 | |||||
Printing and stockholder communications | 32 | 32 | |||||||
Directors and Officers insurance | 127 | 116 | |||||||
DERs expense | 86 | 82 | |||||||
Amortization of restricted stock | 24 | 24 | |||||||
Software implementation and maintenance | 82 | 77 | |||||||
Administrative service fees | 42 | 52 | |||||||
Rent | 127 | 124 | |||||||
Stock exchange and filing fees | 36 | 46 | |||||||
Custodian and clearing fees | 65 | 75 | |||||||
Sarbanes-Oxley consulting fees | 25 | 46 | |||||||
Board of directors fees and expenses | 79 | 71 | |||||||
Securities data services | 87 | 33 | |||||||
Leasing commissions on rental properties | 16 | - | |||||||
Other expenses on rental properties | 89 | - | |||||||
Depreciation expense on residential properties | 112 | - | |||||||
Property taxes on residential properties | 61 | - | |||||||
Other | 53 | 38 | |||||||
Total of other expenses: | $ | 1,279 | $ | 1,064 | |||||
Organization_and_Significant_A3
Organization and Significant Accounting Policies - Additional Information (Detail) (USD $) | 3 Months Ended | |||
Mar. 31, 2015 | Mar. 31, 2014 | Dec. 31, 2014 | Mar. 17, 2014 | |
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | ||||
Description of management fee | Our Manager is supervised and directed by our board of directors and is responsible for (i) the selection, purchase and sale of our investment portfolio; (ii) our financing and hedging activities; and (iii) providing us with management services. Our Manager will also perform such other services and activities relating to our assets and operations as may be appropriate. In exchange for these services, our Manager receives a management fee, paid monthly in arrears, in an amount equal to one-twelfth of 1.20% of our Equity (as defined in the Management Agreement). | |||
Monthly management fee payment in arrears, one-twelfth of percentage of equity | 1.20% | |||
MBS initial fixed interest rate required, period | three to ten years | |||
Building Estimated Value | 27 years 6 months | |||
Building Salvage Value | $0 | |||
Unrecognized tax benefits | 0 | |||
Unrecognized tax benefits, penalties accrued | 0 | |||
Options to purchase common stock not included in the computation of diluted EPS | 5,000 | 5,000 | ||
Interest rate swap agreements | ||||
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | ||||
Interest rate swap agreements, aggregate notional amount | $3,330,000,000 | $3,330,000,000 | $1,685,000,000 | |
Minimum | ||||
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | ||||
MBS initial fixed interest rate required, period | 3 years | |||
Maximum | ||||
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | ||||
MBS initial fixed interest rate required, period | 10 years |
Gross_Unrealized_Losses_and_Fa
Gross Unrealized Losses and Fair Value of individual securities in Mortgage Backed Securities portfolio in Continuous Unrealized Loss Position, Aggregated by Investment Category and Length of Time (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | Investment | Investment |
Agency MBS | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Less Than 12 Months Number of Securities | 341 | 91 |
Less Than 12 Months Fair Value | $2,439,637 | $348,783 |
Less Than 12 Months Unrealized Losses | -30,488 | -1,792 |
12 Months or More Number of Securities | 90 | 3,032,057 |
12 Months or More Fair Value | 370,924 | |
12 Months or More Unrealized Losses | -2,744 | |
Total Number of Securities | 431 | 452 |
Total Fair Value | -33,232 | 3,380,840 |
Total Unrealized Losses | -55,612 | |
Non-Agency MBS | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Less Than 12 Months Number of Securities | 3 | 7 |
Less Than 12 Months Fair Value | 12,901 | 45,988 |
Less Than 12 Months Unrealized Losses | -16 | -63 |
12 Months or More Number of Securities | 0 | 0 |
12 Months or More Fair Value | 0 | |
12 Months or More Unrealized Losses | 0 | |
Total Number of Securities | 3 | 7 |
Total Fair Value | -16 | 45,988 |
Total Unrealized Losses | ($63) |
Computation_of_Earnings_Per_Sh
Computation of Earnings Per Share (Detail) (USD $) | 3 Months Ended | |
In Thousands, except Per Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Earnings Per Share [Abstract] | ||
Net Income Available to Common Stockholders, Basic EPS | ($17,847) | $11,942 |
Net Income Available to Common Stockholders, Effect of dilutive securities | 0 | 394 |
Net Income Available to Common Stockholders, Diluted EPS | ($17,847) | $12,336 |
Average Shares, Basic EPS | 107,228 | 136,848 |
Average Shares, Effect of dilutive securities | 4,244 | 4,027 |
Average Shares, Diluted EPS | 111,472 | 140,875 |
Basic EPS | ($0.17) | $0.09 |
Effect of dilutive securities | $0 | $0 |
Diluted EPS | ($0.17) | $0.09 |
Reverse_Repurchase_Agreements_
Reverse Repurchase Agreements - Additional Information (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Repurchase Agreement Counterparty [Line Items] | ||
Reverse repurchase agreements outstanding amount | $0 | $0 |
Maximum | ||
Repurchase Agreement Counterparty [Line Items] | ||
Reverse repurchase agreements outstanding amount | 51,000,000 | |
Average Outstanding | ||
Repurchase Agreement Counterparty [Line Items] | ||
Reverse repurchase agreements outstanding amount | $900,000 |
Agency_MBS_and_NonAgency_MBS_C
Agency MBS and Non-Agency MBS, Classified as Available-for-Sale which are Carried at Fair Value (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Paydowns receivable | $35,702 | $29,486 | ||
Available-for-sale Securities, Total | 6,744,641 | 7,023,363 | ||
Fair value | 376,379 | 199,710 | ||
MBS | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Amortized cost | 7,027,754 | 7,161,986 | ||
Paydowns receivable | 35,702 | [1] | 29,486 | [1] |
Unrealized gains | 90,812 | 87,276 | ||
Unrealized losses | -33,248 | -55,675 | ||
Available-for-sale Securities, Total | 7,121,020 | 7,223,073 | ||
Agency Mortgage Backed Securities | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Amortized cost | 6,653,539 | 6,962,281 | ||
Paydowns receivable | 35,702 | [1] | 29,486 | [1] |
Unrealized gains | 88,632 | 87,208 | ||
Unrealized losses | -33,232 | -55,612 | ||
Available-for-sale Securities, Total | 6,744,641 | 7,023,363 | ||
Agency Mortgage Backed Securities | Hybrids | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Amortized cost | 3,382,085 | 3,914,431 | ||
Paydowns receivable | 28,144 | [1] | 26,717 | [1] |
Unrealized gains | 16,512 | 21,290 | ||
Unrealized losses | -24,184 | -40,632 | ||
Available-for-sale Securities, Total | 3,402,557 | 3,921,806 | ||
Agency Mortgage Backed Securities | Ginnie Mae | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Amortized cost | 11,425 | 11,823 | ||
Unrealized gains | 7 | 32 | ||
Unrealized losses | -161 | -155 | ||
Available-for-sale Securities, Total | 11,271 | 11,700 | ||
Agency Mortgage Backed Securities | Freddie Mac | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Amortized cost | 2,759,654 | 2,889,128 | ||
Paydowns receivable | 35,702 | [1] | 29,486 | [1] |
Unrealized gains | 21,471 | 21,534 | ||
Unrealized losses | -17,548 | -31,558 | ||
Available-for-sale Securities, Total | 2,799,279 | 2,908,590 | ||
Agency Mortgage Backed Securities | Fannie Mae | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Amortized cost | 3,882,460 | 4,061,330 | ||
Unrealized gains | 67,154 | 65,642 | ||
Unrealized losses | -15,523 | -23,899 | ||
Available-for-sale Securities, Total | 3,934,091 | 4,103,073 | ||
Agency Mortgage Backed Securities | ARMs | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Amortized cost | 2,052,940 | 1,779,031 | ||
Paydowns receivable | 7,558 | [1] | 2,769 | [1] |
Unrealized gains | 55,100 | 51,827 | ||
Unrealized losses | -5,212 | -5,027 | ||
Available-for-sale Securities, Total | 2,110,386 | 1,828,600 | ||
Agency Mortgage Backed Securities | 15-Year Fixed-Rate | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Amortized cost | 1,008,990 | 1,048,991 | ||
Unrealized gains | 6,368 | 3,782 | ||
Unrealized losses | -3,836 | -9,953 | ||
Available-for-sale Securities, Total | 1,011,522 | 1,042,820 | ||
Agency Mortgage Backed Securities | 20-Year and 30-Year Fixed-Rate | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Amortized cost | 209,524 | 219,828 | ||
Unrealized gains | 10,652 | 10,309 | ||
Available-for-sale Securities, Total | 220,176 | 230,137 | ||
Non-Agency MBS | ||||
Schedule Of Available For Sale Securities [Line Items] | ||||
Amortized cost | 374,215 | 199,705 | ||
Unrealized gains | 2,180 | 68 | ||
Unrealized losses | -16 | -63 | ||
Fair value | $376,379 | $199,710 | ||
[1] | Paydowns receivable are generated when the Company receives notice from Freddie Mac of prepayments but does not receive the actual cash with respect to such prepayments until the 15th day of the following month. |
MortgageBacked_Securities_MBS_1
Mortgage-Backed Securities (MBS) - Additional Information (Detail) (Non-Agency MBS, USD $) | 3 Months Ended |
Mar. 31, 2015 | |
Non-Agency MBS | |
Schedule Of Available For Sale Securities [Line Items] | |
Sale of securities | $4,100,000 |
Loss on sale of securities | $3,000 |
Estimates_of_Contractually_Req
Estimates of Contractually Required Payments Expected to be Collected and Fair Value (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Non-Agency MBS acquired with credit deterioration: | ||
Total fair value of Non-Agency MBS | $376,379 | $199,710 |
Non-Agency MBS | ||
Non-Agency MBS acquired with credit deterioration: | ||
Contractually required principal | 287,806 | 148,197 |
Contractual principal not expected to be collected (non-accretable yield) | -74,958 | -18,123 |
Expected cash flows to be collected | 212,848 | 130,074 |
Market yield adjustment | 11,653 | -17,160 |
Unrealized gain, net | 1,170 | 5 |
Fair value | 225,671 | 112,919 |
Fair value of other Non-Agency MBS (no credit deterioration) | 150,708 | 86,791 |
Total fair value of Non-Agency MBS | $376,379 | $199,710 |
Schedule_of_Components_of_Purc
Schedule of Components of Purchase Discount on its Non-Agency MBS (Detail) (Non-Agency MBS, USD $) | 3 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 |
Market Yield Adjustment | |
Schedule Of Available For Sale Securities [Line Items] | |
Balance, beginning of period | ($18,528) |
Accretion of discount | 1,021 |
Purchases | 29,345 |
Sales | -185 |
Balance, end of period | 11,653 |
Non-Accretable Discount | |
Schedule Of Available For Sale Securities [Line Items] | |
Balance, beginning of period | -18,123 |
Purchases | -56,835 |
Balance, end of period | ($74,958) |
Residential_Properties_Additio
Residential Properties - Additional Information (Detail) (Wholly Owned Properties, Southeastern Florida, USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Millions, unless otherwise specified | ResidentialProperty | ResidentialProperty |
Wholly Owned Properties | Southeastern Florida | ||
Real Estate Properties [Line Items] | ||
Number of residential property | 87 | 79 |
Cost of residential property | $14.30 | $12.90 |
Repurchase_Agreements_Balances
Repurchase Agreements Balances, Weighted Average Interest Rates and Remaining Weighted Average Maturities (Detail) (USD $) | 3 Months Ended | 12 Months Ended |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Dec. 31, 2014 |
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Weighted average maturity | 37 days | 37 days |
Weighted average interest rate after adjusting for interest rate swaps | 1.10% | 1.06% |
Weighted average maturity after adjusting for interest rate swaps | 729 days | 767 years |
MBS pledged as collateral under the repurchase agreements and swap agreements | $6,754,804 | $6,805,454 |
Repurchase agreements | 6,284,037 | 6,370,740 |
Weighted average interest rate | 0.41% | 0.37% |
Less than 30 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | 2,544,037 | 2,510,740 |
Weighted average interest rate | 0.49% | 0.39% |
30 days to 90 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | 3,690,000 | 3,860,000 |
Weighted average interest rate | 0.35% | 0.35% |
Over 90 days to less than 1 year | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | 50,000 | |
Weighted average interest rate | 0.37% | |
Agency Mortgage Backed Securities | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Weighted average maturity | 38 days | 38 days |
Weighted average maturity after adjusting for interest rate swaps | 0 days | 0 days |
MBS pledged as collateral under the repurchase agreements and swap agreements | 6,436,205 | 6,650,143 |
Repurchase agreements | 6,048,000 | 6,255,000 |
Agency Mortgage Backed Securities | Less than 30 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | 2,308,000 | 2,395,000 |
Agency Mortgage Backed Securities | 30 days to 90 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | 3,690,000 | 3,860,000 |
Agency Mortgage Backed Securities | Over 90 days to less than 1 year | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | 50,000 | |
Non-Agency MBS | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Weighted average maturity | 15 days | 13 days |
Weighted average maturity after adjusting for interest rate swaps | 0 days | 0 days |
MBS pledged as collateral under the repurchase agreements and swap agreements | 318,599 | 155,311 |
Repurchase agreements | 236,037 | 115,740 |
Non-Agency MBS | Less than 30 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $236,037 | $115,740 |
Liabilities_and_Assets_Subject
Liabilities and Assets Subject to Netting Arrangements (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||||
Gross Amounts of Recognized Assets | $6,560 | $9,792 | ||
Net Amounts of Assets Presented in the Balance Sheets | 6,560 | 9,792 | ||
Gross Assets Not Offset Financial instruments | -6,560 | [1] | -9,792 | [1] |
Gross Amounts of Recognized Liabilities | 6,354,225 | 6,415,999 | ||
Net Amounts of Liabilities Presented in the Balance Sheets | 6,354,225 | 6,415,999 | ||
Gross Liabilities Not Offset Financial instruments | -6,354,225 | [1] | -6,415,999 | [1] |
Derivative Financial Instruments, Assets | ||||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||||
Gross Amounts of Recognized Assets | 6,560 | [2] | 9,792 | [2] |
Net Amounts of Assets Presented in the Balance Sheets | 6,560 | [2] | 9,792 | [2] |
Gross Assets Not Offset Financial instruments | -6,560 | [1],[2] | -9,792 | [1],[2] |
Repurchase Agreements | ||||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||||
Gross Amounts of Recognized Liabilities | 6,284,037 | [3] | 6,370,740 | [3] |
Net Amounts of Liabilities Presented in the Balance Sheets | 6,284,037 | [3] | 6,370,740 | [3] |
Gross Liabilities Not Offset Financial instruments | -6,284,037 | [1],[3] | -6,370,740 | [1],[3] |
Derivative Financial Instruments, Liabilities | ||||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||||
Gross Amounts of Recognized Liabilities | 70,188 | [2] | 45,259 | [2] |
Net Amounts of Liabilities Presented in the Balance Sheets | 70,188 | [2] | 45,259 | [2] |
Gross Liabilities Not Offset Financial instruments | ($70,188) | [1],[2] | ($45,259) | [1],[2] |
[1] | Amounts presented are limited to collateral pledged sufficient to reduce the related net amount to zero in accordance with ASU No. 2011-11, as amended by ASU No. 2013-01. | |||
[2] | At March 31, 2015, we had pledged approximately $62.9 million in Agency MBS as collateral and paid another approximately $20.1 million on swap margin calls on our swap derivatives, which were approximately $2.2 million in derivative assets and approximately $66.5 million in derivative liabilities at March 31, 2015. At December 31, 2014, we had pledged approximately $54 million in Agency MBS as collateral and paid another approximately $13 million on swap margin calls on our swap derivatives, which were approximately $8.7 million in derivative assets and approximately $43.6 million in derivative liabilities at December 31, 2014. | |||
[3] | At March 31, 2015, we had pledged approximately $6.44 billion in Agency MBS and approximately $319 million in Non-Agency MBS as collateral on our repurchase agreements. At December 31, 2014, we had pledged approximately $6.65 billion in Agency MBS and approximately $155 million in Non-Agency MBS as collateral on our repurchase agreements. |
Liabilities_and_Assets_Subject1
Liabilities and Assets Subject to Netting Arrangements (Parenthetical) (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||
Pledged in Agency MBS as collateral | $62,900,000 | $54,000,000 |
Paid swap margin calls on our derivatives | 20,100,000 | 13,000,000 |
Derivative instruments at fair value | 6,560,000 | 9,792,000 |
Derivative instruments at fair value | 70,188,000 | 45,259,000 |
Agency Mortgage Backed Securities | ||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||
Derivative instruments at fair value | 2,200,000 | 8,700,000 |
Derivative instruments at fair value | 66,500,000 | 43,600,000 |
Pledged in Agency MBS as collateral | 6,440,000,000 | 6,650,000,000 |
Non-Agency MBS | ||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||
Pledged in Agency MBS as collateral | $319,000,000 | $155,000,000 |
Junior_Subordinated_Notes_Addi
Junior Subordinated Notes - Additional Information (Detail) (USD $) | 0 Months Ended | 3 Months Ended | |
Mar. 15, 2005 | Mar. 31, 2015 | Dec. 31, 2014 | |
Subordinated Borrowing [Line Items] | |||
Junior subordinated notes | $37,380,000 | $37,380,000 | $37,380,000 |
First interest payment date | 30-Jun-05 | ||
Trust preferred securities | $36,250,000 | ||
Junior Subordinated Notes | |||
Subordinated Borrowing [Line Items] | |||
Interest rate above prevailing three-month LIBOR rate | 3.10% | ||
Debt, maturity date | 2035 | ||
Trust Preferred Securities | |||
Subordinated Borrowing [Line Items] | |||
Interest rate above prevailing three-month LIBOR rate | 3.10% | ||
Debt, maturity date | 2035 |
Fair_Value_Measurements_on_Rec
Fair Value Measurements on Recurring Basis (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 | ||
In Thousands, unless otherwise specified | ||||
Liabilities: | ||||
Derivative instruments at fair value | $70,188 | $45,259 | ||
Fair Value, Measurements, Recurring | Derivative Financial Instruments, Liabilities | ||||
Liabilities: | ||||
Derivative instruments at fair value | 70,188 | [1] | 45,259 | [1] |
Fair Value, Measurements, Recurring | Derivative Financial Instruments, Assets | ||||
Assets: | ||||
Asset fair value measurement | 6,560 | [1] | 9,792 | [1] |
Agency Mortgage Backed Securities | ||||
Liabilities: | ||||
Derivative instruments at fair value | 66,500 | 43,600 | ||
Agency Mortgage Backed Securities | Fair Value, Measurements, Recurring | ||||
Assets: | ||||
Asset fair value measurement | 6,744,641 | [2] | 7,023,363 | [2] |
Non-Agency MBS | Fair Value, Measurements, Recurring | ||||
Assets: | ||||
Asset fair value measurement | 376,379 | [2] | 199,710 | [2] |
Level 2 | Fair Value, Measurements, Recurring | Derivative Financial Instruments, Liabilities | ||||
Liabilities: | ||||
Derivative instruments at fair value | 70,188 | [1] | 45,259 | [1] |
Level 2 | Fair Value, Measurements, Recurring | Derivative Financial Instruments, Assets | ||||
Assets: | ||||
Asset fair value measurement | 6,560 | [1] | 9,792 | [1] |
Level 2 | Agency Mortgage Backed Securities | Fair Value, Measurements, Recurring | ||||
Assets: | ||||
Asset fair value measurement | 6,744,641 | [2] | 7,023,363 | [2] |
Level 2 | Non-Agency MBS | Fair Value, Measurements, Recurring | ||||
Assets: | ||||
Asset fair value measurement | $376,379 | [2] | $199,710 | [2] |
[1] | Derivative instruments include discontinued hedges under ASC 815-10. For more detail about our derivative instruments, see Note 1 and Note 13. | |||
[2] | For more detail about the fair value of our MBS by agency and type of security, see Note 3. |
Series_B_Cumulative_Convertibl1
Series B Cumulative Convertible Preferred Stock - Additional Information (Detail) (USD $) | 3 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | |
Item | ||
Director | ||
Conversion Of Stock [Line Items] | ||
Series B Cumulative Convertible Preferred Stock, par value | 0.01 | $0.01 |
Series B Cumulative Convertible Preferred Stock, liquidating preference per share | 25 | $25 |
Series B Preferred Stock | ||
Conversion Of Stock [Line Items] | ||
Preferred Stock, dividend rate | 6.25% | |
Preferred Stock, conversion start date | 25-Jan-12 | |
Number of consecutive trading days used in conversion analysis | 30 days | |
Minimum number of quarters with failure to pay dividends, which triggers voting rights for preferred stock, quarters | 6 | |
Number of Board Of Directors that Preferred Stock owners are entitled to vote to elect when there is a failure to pay quarterly dividends for a set period | 2 | |
Minimum ratio of votes required to materially and adversely change the terms of preferred stock | 0.667 | |
Series B Preferred Stock | Minimum | ||
Conversion Of Stock [Line Items] | ||
Percentage of common stock price to then-prevailing conversion price in order to exercise conversion option | 130.00% | |
Number of consecutive trading days used in conversion analysis | 20 days | |
Series A Preferred Stock | ||
Conversion Of Stock [Line Items] | ||
Preferred Stock, dividend rate | 8.63% | |
Series C Preferred Stock | ||
Conversion Of Stock [Line Items] | ||
Preferred Stock, dividend rate | 7.63% |
Public_Offerings_and_Capital_S1
Public Offerings and Capital Stock - Additional Information (Detail) (USD $) | 3 Months Ended | 0 Months Ended | |||||||||||||
Mar. 31, 2015 | Apr. 05, 2013 | Jan. 27, 2015 | Dec. 31, 2014 | Oct. 17, 2014 | 22-May-14 | Mar. 14, 2014 | Dec. 13, 2013 | Oct. 03, 2011 | Aug. 05, 2014 | Mar. 14, 2015 | Mar. 14, 2012 | Mar. 13, 2015 | Mar. 03, 2015 | 27-May-11 | |
Capital Unit [Line Items] | |||||||||||||||
Common Stock, authorized | 200,000,000 | 200,000,000 | |||||||||||||
Common Stock, issued | 105,519,017 | 109,972,000 | |||||||||||||
Common Stock, outstanding | 105,156,617 | 109,234,000 | |||||||||||||
Preferred stock, authorized | 20,000,000 | ||||||||||||||
Preferred stock, par value | $0.01 | ||||||||||||||
Aggregate amount of common stock | $1,055,000 | $1,100,000 | |||||||||||||
Common stock remaining for issuance under the registration statement | 544,700,000 | ||||||||||||||
Shelf registration statement expiration date | 8-Apr-13 | ||||||||||||||
Number of shares authorized to repurchase under a share repurchase program | 2,000,000 | ||||||||||||||
Number of additional shares authorized to be repurchased | 10,000,000 | 10,000,000 | 10,000,000 | 5,000,000 | |||||||||||
Number of common stock repurchased | 4,160,908 | ||||||||||||||
Common stock repurchased, weighted average price | $5.17 | ||||||||||||||
Anworth Mortgage Asset Corporation Twenty Fourteen Equity Compensation Plan | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Common Stock, issued | 2,840,000 | ||||||||||||||
Issuance of common stock (in shares) | 0 | ||||||||||||||
Maximum authorized shares of common stock under grant of stock options and other stock-based awards | 2,000,000 | ||||||||||||||
Restricted Stock Units (RSUs) | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Issuance of common stock (in shares) | 10,000 | ||||||||||||||
Twenty Twelve Dividend Reinvestment And Stock Purchase Plan | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Common Stock, available for issuance | 16,400,000 | ||||||||||||||
Issuance of common stock (in shares) | 80,768 | ||||||||||||||
Common stock issued, weighted average price per share | $5.23 | ||||||||||||||
Proceeds from issuance of common stock | 422,000 | ||||||||||||||
Twenty Fifteen Dividend Reinvestment And Stock Purchase Plan | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Issuance of common stock (in shares) | 2,645 | ||||||||||||||
Common stock issued, weighted average price per share | $5.29 | ||||||||||||||
Proceeds from issuance of common stock | 14,000 | ||||||||||||||
Maximum | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Common stock, public offering | 544,727,778 | ||||||||||||||
Maximum | Twenty Twelve Dividend Reinvestment And Stock Purchase Plan | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Common Stock, authorized | 27,000,000 | ||||||||||||||
Maximum | Twenty Fifteen Dividend Reinvestment And Stock Purchase Plan | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Common Stock, authorized | 16,397,203 | ||||||||||||||
MLV Sales Agreement [Member] | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Aggregate amount of common stock | 200,000,000 | ||||||||||||||
Series A Preferred Stock | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Preferred stock, authorized | 5,150,000 | ||||||||||||||
Preferred stock, par value | $0.01 | $0.01 | |||||||||||||
Preferred stock, liquidation preference | $25 | $25 | |||||||||||||
Preferred Stock, dividend rate | 8.63% | ||||||||||||||
Preferred stock redemption price | $25 | ||||||||||||||
Preferred stock, issued | 1,919,378 | 1,919,000 | |||||||||||||
Preferred stock, outstanding | 1,919,378 | 1,919,000 | |||||||||||||
Series A Preferred Stock | Controlled Equity Offering Sales Agreement | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Preferred stock, issued | 0 | ||||||||||||||
Preferred stock, available for sale and issuance | 956,122 | ||||||||||||||
Series A Preferred Stock | Maximum | Controlled Equity Offering Sales Agreement | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Number of shares to be issued based on sales agreement | 1,000,000 | ||||||||||||||
Series B Preferred Stock | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Preferred stock, authorized | 3,150,000 | ||||||||||||||
Preferred stock, liquidation preference | $25 | ||||||||||||||
Preferred Stock, dividend rate | 6.25% | ||||||||||||||
Preferred stock, issued | 1,009,640 | ||||||||||||||
Preferred stock, outstanding | 1,009,640 | ||||||||||||||
Series B Preferred Stock | Controlled Equity Offering Sales Agreement | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Preferred stock, issued | 0 | ||||||||||||||
Preferred stock, available for sale and issuance | 894,518 | ||||||||||||||
Series B Preferred Stock | Maximum | Controlled Equity Offering Sales Agreement | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Number of shares to be issued based on sales agreement | 1,000,000 | ||||||||||||||
Series C Preferred Stock | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Preferred stock, authorized | 5,000,000 | ||||||||||||||
Preferred stock, par value | $0.01 | $24.50 | $0.01 | ||||||||||||
Preferred stock, liquidation preference | $25 | $25 | |||||||||||||
Preferred Stock, dividend rate | 7.63% | ||||||||||||||
Preferred stock redemption price | $25 | ||||||||||||||
Preferred stock, issued | 353,119 | 0 | |||||||||||||
Preferred stock, outstanding | 353,119 | 0 | |||||||||||||
Proceeds on Series C Preferred Stock issued | 8,085,000 | ||||||||||||||
Issuance of common stock (in shares) | 300,000 | ||||||||||||||
Public offering net proceeds | 7,000,000 | ||||||||||||||
Series C Preferred Stock | MLV Sales Agreement [Member] | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Preferred stock, issued | 53,119 | ||||||||||||||
Issuance of preferred stock price per share | $24.45 | ||||||||||||||
Proceeds on Series C Preferred Stock issued | 1,300,000 | ||||||||||||||
Aggregate commission | 13,000 | ||||||||||||||
Average sales commission percentage | 1.00% | ||||||||||||||
Preferred stock, available for sale and issuance value | $198,700,000 | ||||||||||||||
Common Stock | Controlled Equity Offering Sales Agreement | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Preferred stock, issued | 0 | ||||||||||||||
Common Stock, available for issuance | 19,409,400 | ||||||||||||||
Common Stock | Maximum | Controlled Equity Offering Sales Agreement | |||||||||||||||
Capital Unit [Line Items] | |||||||||||||||
Number of shares to be issued based on sales agreement | 20,000,000 |
Transactions_with_Affiliates_A
Transactions with Affiliates - Additional Information (Detail) (USD $) | 0 Months Ended | 3 Months Ended | ||
Jul. 01, 2012 | Mar. 31, 2015 | Mar. 31, 2014 | Jul. 02, 2012 | |
sqft | ||||
Related Party Transaction [Line Items] | ||||
Description of management fee | Our Manager is supervised and directed by our board of directors and is responsible for (i) the selection, purchase and sale of our investment portfolio; (ii) our financing and hedging activities; and (iii) providing us with management services. Our Manager will also perform such other services and activities relating to our assets and operations as may be appropriate. In exchange for these services, our Manager receives a management fee, paid monthly in arrears, in an amount equal to one-twelfth of 1.20% of our Equity (as defined in the Management Agreement). | |||
Monthly management fee payment in arrears, one-twelfth of percentage of equity | 1.20% | |||
Number of days prior notice of non-renewal of the Management Agreement | 180 days | |||
Termination fees description | We are required to provide 180-daysb prior notice of non-renewal of the Management Agreement and must pay a termination fee on the last day of any automatic renewal term equal to three times the average annual management fee earned by our Manager during the prior 24-month period immediately preceding the most recently completed month prior to the effective date of termination. | |||
Change in Control and Arbitration Agreements, description | Under the amended agreements, in the event that a change in control occurs, each of these officers will receive a lump sum payment equal to (i) 12 months annual base salary in effect on December 31, 2011, plus (ii) the average annual incentive compensation received for the two complete fiscal years prior December 31, 2011, plus (iii) the average annual bonus received for the two complete fiscal years prior to December 31, 2011, as well as other benefits. | |||
Sublease agreement, sq. ft. leased | 7,300 | |||
Rent paid for leased office space per square foot | 61.67 | |||
Sublease with PIA, expiration date | 30-Jun-22 | |||
New sublease agreement, base monthly rent | 37,518.40 | |||
Sublease agreement, base monthly rent percentage increase starting July 1, 2015 | 3.00% | |||
Rent | $127,000 | $124,000 | ||
Fees paid for administrative services | On July 25, 2008, we entered into an administrative services agreement with PIA, which was amended and restated on August 20, 2010. Under this agreement, PIA provides administrative services and equipment to us including human resources, operational support and information technology, and we pay an annual fee of 5 basis points on the first $225 million of stockholdersb equity and 1.25 basis points thereafter (paid quarterly in arrears) for those services. The administrative services agreement had an initial term of one year and renews for successive one-year terms thereafter unless either party gives notice of termination no less than 30 days before the expiration of the then-current annual term. | |||
Basis points on equity for the annual fee | 5 basis points on the first $225 million of stockholdersb equity and 1.25 basis points thereafter (paid quarterly in arrears) for those services. | |||
Stockholders equity amount used to calculate administrative service fees | 225,000,000 | |||
Prior written notice to terminate administrative agreement | 30 days | |||
Administrative service fees | $42,000 | $52,000 | ||
First $225 million of Stockholders' Equity | ||||
Related Party Transaction [Line Items] | ||||
Basis points on equity for the annual fee | 0.05% | |||
Above $225 million of Stockholders' Equity | ||||
Related Party Transaction [Line Items] | ||||
Basis points on equity for the annual fee | 1.25% | |||
Mr. Lloyd McAdams | ||||
Related Party Transaction [Line Items] | ||||
Outstanding membership interests | 50.00% | |||
Mr. Joseph E. McAdams | ||||
Related Party Transaction [Line Items] | ||||
Outstanding membership interests | 45.00% | |||
Mr. Thad M. Brown | ||||
Related Party Transaction [Line Items] | ||||
Outstanding membership interests | 5.00% |
Future_Minimum_Lease_Commitmen
Future Minimum Lease Commitment (Detail) (USD $) | Mar. 31, 2015 |
Related Party Transactions [Abstract] | |
2015 | $344,432 |
2016 | 470,720 |
2017 | 484,852 |
2018 | 499,398 |
2019 | 514,374 |
Thereafter | 1,352,380 |
Total Commitment | $3,666,156 |
Equity_Compensation_Plan_Addit
Equity Compensation Plan - Additional Information (Detail) (USD $) | 3 Months Ended | 1 Months Ended | 58 Months Ended | |||
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 | Oct. 31, 2006 | Oct. 31, 2005 | Dec. 31, 2011 | Aug. 05, 2014 |
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||||
Paid or accrued compensation related to dividend equivalent right issued | $86 | $82 | ||||
Anworth Mortgage Asset Corporation Twenty Fourteen Equity Compensation Plan | ||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||||
Maximum authorized shares of common stock under grant of stock options and other stock-based awards | 2,000,000 | |||||
Issuance of common stock (in shares) | 0 | |||||
Anworth Mortgage Asset Corporation 2004 Equity Compensation Plan | ||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||||
Maximum authorized shares of common stock under grant of stock options and other stock-based awards | 3,500,000 | |||||
Grant of restricted stock | 197,362 | 200,780 | ||||
Percentage of restricted stock vests per year | 10.00% | |||||
Age at which grantee has to reach for stock to vest immediately | 65 years | |||||
Terms of stock vesting | The restricted stock vests 10% per year on each anniversary date for a ten-year period and shall also vest immediately upon the death of the grantee or upon the grantee reaching age 65. | |||||
Vesting range of restricted stock | We amortize the restricted stock over the vesting period, which is the lesser of ten years or the remaining number of years to age 65. | |||||
Compensation expense related to restricted stock grants | 24 | 24 | ||||
Anworth Mortgage Asset Corporation 2007 Dividend Equivalent Rights Plan | ||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | ||||||
Dividend equivalent right issued, term | 5 years | |||||
Dividend equivalent right issued | 582,000 | |||||
Paid or accrued compensation related to dividend equivalent right issued | $86 | $82 |
Fair_value_of_Derivative_Instr
Fair value of Derivative Instruments (Detail) (USD $) | Mar. 31, 2015 | Dec. 31, 2014 |
In Thousands, unless otherwise specified | ||
Derivative [Line Items] | ||
Derivative instruments at fair value | $6,560 | $9,792 |
Derivative instruments at fair value | 70,188 | 45,259 |
De-designated interest rate swaps | ||
Derivative [Line Items] | ||
Derivative instruments at fair value | 2,227 | 8,738 |
Derivative instruments at fair value | 66,511 | 43,565 |
TBA Agency MBS | ||
Derivative [Line Items] | ||
Derivative instruments at fair value | 4,333 | 1,054 |
Eurodollar Futures Contracts | ||
Derivative [Line Items] | ||
Derivative instruments at fair value | $3,677 | $1,694 |
Derivative_Instruments_Additio
Derivative Instruments - Additional Information (Detail) (USD $) | 3 Months Ended | ||
Mar. 31, 2015 | Dec. 31, 2014 | Mar. 17, 2014 | |
Derivative [Line Items] | |||
Interest rate swap agreements, weighted average maturity (in years) | 3 years 9 months | ||
Fixed interest rate during term of swap agreements, lower range | 0.58% | ||
Fixed interest rate during term of swap agreements, higher range | 3.06% | ||
AOCI relating to interest rate swaps | $40,000,000 | ||
Interest Rate Cash Flow Hedge Gain (Loss) to be Reclassified During Next 12 Months, Net | 19,000,000 | ||
Cash held with broker | 20,100,000 | 13,000,000 | |
Derivative liability | 70,188,000 | 45,259,000 | |
(Loss) on derivatives-Eurodollar Futures Contracts | -2,338,000 | ||
Gain (loss) on derivatives-TBA Agency MBS, net of derivative income | 8,525,000 | ||
TBA Agency MBS | |||
Derivative [Line Items] | |||
Interest rate swap agreements, aggregate notional amount | 690,000,000 | ||
Fixed interest rate during term of swap agreements, lower range | 2.50% | ||
Fixed interest rate during term of swap agreements, higher range | 3.50% | ||
Gain (loss) on derivatives-TBA Agency MBS, net of derivative income | 8,500,000 | ||
Maximum length of swap agreements | 15 years | ||
Interest rate swap agreements | |||
Derivative [Line Items] | |||
Interest rate swap agreements, aggregate notional amount | 3,330,000,000 | 3,330,000,000 | 1,685,000,000 |
Eurodollar Futures Contracts | |||
Derivative [Line Items] | |||
Interest rate swap agreements, weighted average maturity (in years) | 3 months | ||
Interest rate swap agreements, aggregate notional amount | 1,000,000 | ||
Number of futures contracts | 5,300 | 5,500 | |
Derivative liability | 3,677,000 | 1,694,000 | |
Derivative notional amount futures contracts | 5,300,000,000 | 5,500,000,000 | |
Eurodollar Futures Contracts | Other Assets | |||
Derivative [Line Items] | |||
Cash held with broker | $5,500,000 | $2,960,000 |
Notional_Amounts_of_Swap_Agree
Notional Amounts of Swap Agreement, Weighted Average Interest Rates and Remaining Term (Detail) (Interest rate swap agreements, USD $) | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2015 | Dec. 31, 2014 | Mar. 17, 2014 | |
Derivative [Line Items] | |||
Notional Amount | $3,330,000,000 | $3,330,000,000 | $1,685,000,000 |
Weighted Average Fixed Rate | 1.56% | 1.56% | |
Remaining Term in Months | 45 months | 48 months | |
Less than 12 months | |||
Derivative [Line Items] | |||
Remaining Term in Months | 0 months | 0 months | |
1 year to 2 years | |||
Derivative [Line Items] | |||
Notional Amount | 650,000,000 | 550,000,000 | |
Weighted Average Fixed Rate | 0.83% | 0.80% | |
Remaining Term in Months | 18 months | 20 months | |
2 years to 3 years | |||
Derivative [Line Items] | |||
Notional Amount | 860,000,000 | 795,000,000 | |
Weighted Average Fixed Rate | 1.04% | 1.03% | |
Remaining Term in Months | 30 months | 31 months | |
3 years to 5 years | |||
Derivative [Line Items] | |||
Notional Amount | 915,000,000 | 1,080,000,000 | |
Weighted Average Fixed Rate | 1.56% | 1.48% | |
Remaining Term in Months | 44 months | 46 months | |
5 years to 7 years | |||
Derivative [Line Items] | |||
Notional Amount | 555,000,000 | 555,000,000 | |
Weighted Average Fixed Rate | 2.35% | 2.35% | |
Remaining Term in Months | 69 months | 72 months | |
7 years to 10 years | |||
Derivative [Line Items] | |||
Notional Amount | $350,000,000 | $350,000,000 | |
Weighted Average Fixed Rate | 2.93% | 2.93% | |
Remaining Term in Months | 97 months | 100 months |
Swap_Agreements_by_Counterpart
Swap Agreements by Counterparty (Detail) (Interest rate swap agreements, USD $) | Mar. 31, 2015 | Dec. 31, 2014 | Mar. 17, 2014 | ||
Derivative [Line Items] | |||||
Notional Amount | $3,330,000,000 | $3,330,000,000 | $1,685,000,000 | ||
Chicago Mercantile Exchange | |||||
Derivative [Line Items] | |||||
Notional Amount | 780,000,000 | [1] | 780,000,000 | [1] | |
Deutsche Bank Securities | |||||
Derivative [Line Items] | |||||
Notional Amount | 665,000,000 | 665,000,000 | |||
ING Financial Markets LLC | |||||
Derivative [Line Items] | |||||
Notional Amount | 650,000,000 | 650,000,000 | |||
JPMorgan Securities | |||||
Derivative [Line Items] | |||||
Notional Amount | 625,000,000 | 625,000,000 | |||
RBS Greenwich Capital | |||||
Derivative [Line Items] | |||||
Notional Amount | 215,000,000 | 215,000,000 | |||
Nomura Securities International | |||||
Derivative [Line Items] | |||||
Notional Amount | 200,000,000 | 200,000,000 | |||
Bank of New York | |||||
Derivative [Line Items] | |||||
Notional Amount | 120,000,000 | 120,000,000 | |||
Credit Suisse | |||||
Derivative [Line Items] | |||||
Notional Amount | $75,000,000 | $75,000,000 | |||
[1] | For all swap agreements entered into after September 9, 2013, the counterparty will be the Chicago Mercantile Exchange regardless of who the trading party is. See the section entitled bDerivative Financial Instruments b Interest Rate Risk Managementb in Note 1 for additional details. |
Other_Expenses_Detail
Other Expenses (Detail) (USD $) | 3 Months Ended | |
In Thousands, unless otherwise specified | Mar. 31, 2015 | Mar. 31, 2014 |
Other Income And Expenses [Abstract] | ||
Legal and professional fees | $136 | $248 |
Printing and stockholder communications | 32 | 32 |
Directors and Officers insurance | 127 | 116 |
DERs expense | 86 | 82 |
Amortization of restricted stock | 24 | 24 |
Software implementation and maintenance | 82 | 77 |
Administrative service fees | 42 | 52 |
Rent | 127 | 124 |
Stock exchange and filing fees | 36 | 46 |
Custodian and clearing fees | 65 | 75 |
Sarbanes-Oxley consulting fees | 25 | 46 |
Board of directors fees and expenses | 79 | 71 |
Securities data services | 87 | 33 |
Leasing commissions on rental properties | 16 | |
Other expenses on rental properties | 89 | |
Depreciation expense on residential properties | 112 | |
Property taxes on residential properties | 61 | |
Other | 53 | 38 |
Total of other expenses: | $1,279 | $1,064 |
Subsequent_Events_Additional_I
Subsequent Events - Additional Information (Detail) (USD $) | 3 Months Ended | 0 Months Ended | 1 Months Ended | 0 Months Ended |
In Thousands, except Share data, unless otherwise specified | Mar. 31, 2015 | Jan. 27, 2015 | 6-May-15 | Apr. 01, 2015 |
Subsequent Event [Line Items] | ||||
Number of common stock repurchased | 4,160,908 | |||
Series C Preferred Stock | ||||
Subsequent Event [Line Items] | ||||
Stock issued during period | 300,000 | |||
Preferred Stock, dividend rate | 7.63% | |||
Series B Preferred Stock | ||||
Subsequent Event [Line Items] | ||||
Preferred Stock, dividend rate | 6.25% | |||
Series B Preferred Stock | Dividend Paid | ||||
Subsequent Event [Line Items] | ||||
Preferred Stock, dividend rate | 4.20% | |||
Series B Preferred Stock | Dividend Paid | Minimum | ||||
Subsequent Event [Line Items] | ||||
Preferred Stock, dividend rate | 6.25% | |||
Subsequent Event | Common Stock | ||||
Subsequent Event [Line Items] | ||||
Number of common stock repurchased | 391,157 | |||
Common stock repurchased, weighted average price | $5.19 | |||
Subsequent Event | Dividend Reinvestment and Stock Purchase 2012 Plan | ||||
Subsequent Event [Line Items] | ||||
Stock issued during period | 44,399 | |||
Common stock issued, weighted average price per share | $5.17 | |||
Proceeds from issuance of common stock | $230 | |||
Subsequent Event | Dividend Paid | ||||
Subsequent Event [Line Items] | ||||
Average closing price of common stock | $5.26 | |||
Consecutive trading day period to determine the average closing price of common stock | 10 days | |||
Annualized common stock dividend yield | 11.40% | |||
Subsequent Event | Series B Preferred Stock | Dividend Paid | ||||
Subsequent Event [Line Items] | ||||
Preferred Stock, dividend rate | 4.26% | |||
MLV Sales Agreement [Member] | Subsequent Event | Series C Preferred Stock | ||||
Subsequent Event [Line Items] | ||||
Stock issued during period | 56,570 | |||
Common stock issued, weighted average price per share | $24.45 | |||
Proceeds from issuance of common stock | $1,370 |