Document and Entity Information
Document and Entity Information - shares | 9 Months Ended | |
Sep. 30, 2016 | Nov. 04, 2016 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q3 | |
Trading Symbol | ANH | |
Entity Registrant Name | ANWORTH MORTGAGE ASSET CORP | |
Entity Central Index Key | 1,047,884 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Entity Common Stock, Shares Outstanding | 95,713,108 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | ||
Agency MBS: | ||||
Agency MBS pledged to counterparties at fair value | $ 3,836,791 | $ 4,694,731 | ||
Agency MBS at fair value | 191,982 | 173,344 | ||
Paydowns receivable | 29,841 | 24,707 | [1],[2] | |
Available-for-sale Securities, Total | 4,058,614 | 4,892,782 | ||
Non-Agency MBS at fair value (including $521,364 and $596,831 pledged to counterparties at September 30, 2016 and December 31, 2015, respectively) | 644,216 | 682,061 | ||
Residential mortgage loans held-for-investment | [3] | 795,527 | 969,172 | |
Residential real estate | 14,289 | 14,363 | ||
Cash and cash equivalents | 17,097 | 5,754 | ||
Restricted cash | 19,426 | 39,230 | ||
Interest and dividends receivable | 16,616 | 17,525 | ||
Derivative instruments at fair value | 2,023 | 12,470 | ||
Accounts receivable for sold Agency MBS | 88,387 | 0 | ||
Prepaid expenses and other | 2,972 | 2,983 | ||
Total Assets | 5,659,167 | 6,636,340 | ||
Liabilities: | ||||
Accrued interest payable | 10,355 | 13,443 | ||
Repurchase agreements | 3,940,800 | 4,915,528 | ||
Asset-backed securities issued by securitization trusts | [3] | 779,761 | 915,486 | |
Junior subordinated notes | 37,380 | 37,380 | ||
Derivative instruments at fair value | 48,224 | 34,547 | ||
Payables for purchased Agency MBS | 141,376 | 0 | ||
Accrued expenses and other | 1,676 | 1,308 | ||
Total Liabilities | 4,975,583 | 5,934,189 | ||
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 September 30, 2016 and December 31, 2015, respectively | 23,924 | 23,924 | ||
Stockholders' Equity: | ||||
Common Stock: par value $0.01 per share; authorized 200,000 shares, 95,772 shares issued and 95,742 shares outstanding at September 30, 2016 and 99,078 shares issued and 98,944 shares outstanding at December 31, 2015, respectively | 958 | 991 | ||
Additional paid-in capital | 966,720 | 981,034 | ||
Accumulated other comprehensive income consisting of unrealized gains and losses | 37,449 | 949 | ||
Accumulated deficit | (402,876) | (361,323) | ||
Total Stockholders' Equity: | 659,660 | 678,227 | ||
Total Liabilities and Stockholders' Equity | 5,659,167 | 6,636,340 | ||
Series A Preferred Stock | ||||
Liabilities: | ||||
Dividends payable on stock | 1,035 | 1,035 | ||
Stockholders' Equity: | ||||
Cumulative Preferred Stock | 46,537 | 46,537 | ||
Total Stockholders' Equity: | 46,537 | 46,537 | ||
Series B Preferred Stock | ||||
Liabilities: | ||||
Dividends payable on stock | 394 | 394 | ||
Series C Preferred Stock | ||||
Liabilities: | ||||
Dividends payable on stock | 216 | 207 | ||
Stockholders' Equity: | ||||
Cumulative Preferred Stock | 10,872 | 10,039 | ||
Total Stockholders' Equity: | 10,872 | 10,039 | ||
Common Stock | ||||
Liabilities: | ||||
Dividends payable on stock | 14,366 | 14,861 | ||
Stockholders' Equity: | ||||
Total Stockholders' Equity: | $ 958 | $ 991 | ||
[1] | Paydowns receivable on Agency MBS 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. | |||
[2] | Paydowns receivable on Non-Agency MBS represent when the Company receives notice of prepayments but does not receive the actual cash until the following month. | |||
[3] | The consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIEs for which creditors do not have recourse to the Company. At September 30, 2016 and December 31, 2015, total assets of the consolidated VIEs were $798 million and $972 million, respectively, and total liabilities were $782 million and $918 million, respectively. Please refer to Note 4, “Variable Interest Entities,” for further discussion. |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Agency MBS pledged to counterparties at fair value | $ 3,836,791 | $ 4,694,731 |
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 | 95,772,229 | 99,078,000 |
Common Stock, outstanding | 95,742,229 | 98,944,000 |
Total assets | $ 5,659,167 | $ 6,636,340 |
Total liabilities | 4,975,583 | 5,934,189 |
Non-Agency MBS | ||
Agency MBS pledged to counterparties at fair value | $ 521,364 | $ 596,831 |
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 | $ 11,690 | $ 10,848 |
Cumulative Preferred Stock, shares issued | 467,619 | 434,000 |
Cumulative Preferred Stock, shares outstanding | 467,619 | 434,000 |
Variable Interest Entities Primary Beneficiary | ||
Total assets | $ 798,000 | $ 972,000 |
Total liabilities | $ 782,000 | $ 918,000 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) shares in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Interest and other income: | ||||
Interest-Agency MBS | $ 18,494,000 | $ 24,572,000 | $ 49,948,000 | $ 82,624,000 |
Interest-Non-Agency MBS | 8,766,000 | 8,078,000 | 27,185,000 | 18,110,000 |
Interest-residential mortgage loans | 8,359,000 | 4,120,000 | 26,783,000 | 5,308,000 |
Income-rental properties | 424,000 | 399,000 | 1,263,000 | 1,178,000 |
Other interest income | 11,000 | 11,000 | 35,000 | 31,000 |
Interest and Dividend Income, Operating, Total | 36,054,000 | 37,180,000 | 105,214,000 | 107,251,000 |
Interest Expense: | ||||
Interest expense on repurchase agreements | 8,615,000 | 8,167,000 | 26,973,000 | 22,256,000 |
Interest expense on asset-backed securities | 7,918,000 | 3,729,000 | 24,932,000 | 4,804,000 |
Interest expense on junior subordinated notes | 360,000 | 323,000 | 1,060,000 | 957,000 |
Interest Expense, Total | 16,893,000 | 12,219,000 | 52,965,000 | 28,017,000 |
Net operating income | 19,161,000 | 24,961,000 | 52,249,000 | 79,234,000 |
Provision for loan losses | 0 | 70,000 | 0 | 140,000 |
Net operating income after provision for loan losses | 19,161,000 | 24,891,000 | 52,249,000 | 79,094,000 |
Operating Expenses: | ||||
Management fee to related party | (1,943,000) | (2,167,000) | (5,956,000) | (6,684,000) |
General and administrative expenses | (1,493,000) | (1,356,000) | (4,751,000) | (3,869,000) |
Total operating expenses | (3,436,000) | (3,523,000) | (10,707,000) | (10,553,000) |
Other income (loss): | ||||
Unrealized gain on Agency MBS held as trading investments | 1,148,000 | 1,148,000 | ||
Gain on sales of residential mortgage loans held-for-investment | 716,000 | 0 | 749,000 | 0 |
Gain (loss) on interest rate swaps, net | 8,141,000 | (50,965,000) | (58,167,000) | (92,378,000) |
Recovery on Non-Agency MBS | 1,000 | 7,000 | 3,000 | 13,000 |
Total other income (loss) | 12,564,000 | (43,182,000) | (34,869,000) | (86,783,000) |
Net income (loss) | 28,289,000 | (21,814,000) | 6,673,000 | (18,242,000) |
Dividend on Series A Cumulative Preferred Stock | (1,035,000) | (1,035,000) | (3,105,000) | (3,105,000) |
Dividend on Series B Cumulative Convertible Preferred Stock | (394,000) | (394,000) | (1,182,000) | (1,182,000) |
Dividend on Series C Cumulative Redeemable Preferred Stock | (222,000) | (203,000) | (636,000) | (514,000) |
Net income (loss) to common stockholders | $ 26,638,000 | $ (23,446,000) | $ 1,750,000 | $ (23,043,000) |
Basic earnings (loss) per common share | $ 0.28 | $ (0.23) | $ 0.02 | $ (0.22) |
Diluted earnings (loss) per common share | $ 0.27 | $ (0.23) | $ 0.02 | $ (0.22) |
Basic weighted average number of shares outstanding | 95,881 | 102,431 | 96,644 | 104,611 |
Diluted weighted average number of shares outstanding | 100,590 | 102,431 | 96,644 | 104,611 |
TBA Agency MBS | ||||
Other income (loss): | ||||
Gain (loss) on sales of MBS | $ 1,206,000 | $ 0 | $ (2,032,000) | $ 0 |
Unrealized gain on Agency MBS held as trading investments | 1,148,000 | 0 | 1,148,000 | 0 |
Gain (loss) on derivatives | 3,412,000 | 10,345,000 | 26,826,000 | 12,297,000 |
Non-Agency MBS | ||||
Other income (loss): | ||||
Gain (loss) on sales of MBS | 0 | 0 | 0 | (76,000) |
Eurodollar Future | ||||
Other income (loss): | ||||
Gain (loss) on derivatives | $ (2,060,000) | $ (2,569,000) | $ (3,396,000) | $ (6,639,000) |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) (unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Net income (loss) | $ 28,289 | $ (21,814) | $ 6,673 | $ (18,242) |
Unrealized gains on derivatives | 784 | 4,540 | 5,718 | 15,929 |
Reclassification adjustment for interest expense on swap agreements included in net income (loss) | 87 | 535 | 395 | 1,589 |
Other comprehensive income | 5,935 | 13,496 | 36,500 | 36,920 |
Comprehensive income (loss) | 34,224 | (8,318) | 43,173 | 18,678 |
Agency MBS | ||||
Available-for-sale, fair value adjustment | (3,955) | 9,213 | 33,511 | 15,237 |
Reclassification adjustment for (gain) loss on sales included in net income (loss) | (1,206) | 0 | 2,032 | 0 |
Non-Agency MBS | ||||
Available-for-sale, fair value adjustment | 10,225 | (792) | (5,156) | 4,089 |
Reclassification adjustment for (gain) loss on sales included in net income (loss) | $ 0 | $ 0 | $ 0 | $ 76 |
CONSOLIDATED STATEMENTS OF STOC
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 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 Gain Agency MBS | Accum. Other Comp. Income (Loss) Non-Agency MBS | Accum. Other Comp. Gain (Loss) Derivatives | Accum. (Deficit) | Accum. (Deficit)Series A Preferred Stock | Accum. (Deficit)Series C Preferred Stock | Accum. (Deficit)Series B Preferred Stock |
Beginning Balance at Dec. 31, 2015 | $ 678,227 | $ 46,537 | $ 10,039 | $ 991 | $ 981,034 | $ 23,143 | $ 2,363 | $ (24,557) | $ (361,323) | |||||||
Beginning Balance (in shares) at Dec. 31, 2015 | 1,919 | 434 | 98,944 | |||||||||||||
Issuance of common stock | 254 | 1 | 253 | |||||||||||||
Issuance of common stock (in shares) | 59 | |||||||||||||||
Redemption of common stock | (9,014) | (23) | (8,991) | |||||||||||||
Redemption of common stock (in shares) | (2,074) | |||||||||||||||
Other comprehensive income (loss), fair value adjustments and reclassifications | 8,862 | 27,624 | (22,333) | 3,571 | ||||||||||||
Net loss | (20,255) | (20,255) | ||||||||||||||
Shares repurchased pending retirement | (438) | (438) | ||||||||||||||
Shares repurchased pending retirement (in shares) | (93) | |||||||||||||||
Amortization of restricted stock | 79 | 79 | ||||||||||||||
Dividend declared | (1,035) | (207) | $ (394) | $ (1,035) | $ (207) | $ (394) | ||||||||||
Dividend declared - $0.15 per common share | (14,539) | (14,539) | ||||||||||||||
Ending Balance at Mar. 31, 2016 | 641,540 | 46,537 | 10,039 | 969 | 971,937 | 50,767 | (19,970) | (20,986) | (397,753) | |||||||
Ending Balance (in shares) at Mar. 31, 2016 | 1,919 | 434 | 96,836 | |||||||||||||
Beginning Balance at Dec. 31, 2015 | 678,227 | 46,537 | 10,039 | 991 | 981,034 | 23,143 | 2,363 | (24,557) | (361,323) | |||||||
Beginning Balance (in shares) at Dec. 31, 2015 | 1,919 | 434 | 98,944 | |||||||||||||
Other comprehensive income (loss), fair value adjustments and reclassifications | 36,500 | |||||||||||||||
Net loss | 6,673 | |||||||||||||||
Ending Balance at Sep. 30, 2016 | 659,660 | 46,537 | 10,872 | 958 | 966,720 | 58,686 | (2,793) | (18,444) | (402,876) | |||||||
Ending Balance (in shares) at Sep. 30, 2016 | 1,919 | 468 | 95,742 | |||||||||||||
Beginning Balance at Mar. 31, 2016 | 641,540 | 46,537 | 10,039 | 969 | 971,937 | 50,767 | (19,970) | (20,986) | (397,753) | |||||||
Beginning Balance (in shares) at Mar. 31, 2016 | 1,919 | 434 | 96,836 | |||||||||||||
Issuance of common stock | 274 | 1 | 273 | |||||||||||||
Issuance of common stock (in shares) | 58 | |||||||||||||||
Redemption of common stock | (4,318) | (10) | (4,308) | |||||||||||||
Redemption of common stock (in shares) | (873) | |||||||||||||||
Other comprehensive income (loss), fair value adjustments and reclassifications | 21,703 | 13,080 | 6,952 | 1,671 | ||||||||||||
Net loss | (1,361) | (1,361) | ||||||||||||||
Amortization of restricted stock | 79 | 79 | ||||||||||||||
Dividend declared | (1,035) | (207) | (394) | (1,035) | (207) | (394) | ||||||||||
Dividend declared - $0.15 per common share | (14,403) | (14,403) | ||||||||||||||
Ending Balance at Jun. 30, 2016 | 641,878 | 46,537 | 10,039 | 960 | 967,981 | 63,847 | (13,018) | (19,315) | (415,153) | |||||||
Ending Balance (in shares) at Jun. 30, 2016 | 1,919 | 434 | 96,021 | |||||||||||||
Issuance of Preferred Stock | 833 | 833 | ||||||||||||||
Issuance of Preferred Stock (in shares) | 34 | |||||||||||||||
Issuance of common stock | 309 | 1 | 308 | |||||||||||||
Issuance of common stock (in shares) | 61 | |||||||||||||||
Redemption of common stock | (1,502) | (3) | (1,499) | |||||||||||||
Redemption of common stock (in shares) | (310) | |||||||||||||||
Other comprehensive income (loss), fair value adjustments and reclassifications | 5,935 | (5,161) | 10,225 | 871 | ||||||||||||
Net loss | 28,289 | 28,289 | ||||||||||||||
Shares repurchased pending retirement | (149) | (149) | ||||||||||||||
Shares repurchased pending retirement (in shares) | (30) | |||||||||||||||
Amortization of restricted stock | 79 | 79 | ||||||||||||||
Dividend declared | (1,035) | (217) | $ (394) | $ (1,035) | $ (217) | $ (394) | ||||||||||
Dividend declared - $0.15 per common share | (14,366) | (14,366) | ||||||||||||||
Ending Balance at Sep. 30, 2016 | $ 659,660 | $ 46,537 | $ 10,872 | $ 958 | $ 966,720 | $ 58,686 | $ (2,793) | $ (18,444) | $ (402,876) | |||||||
Ending Balance (in shares) at Sep. 30, 2016 | 1,919 | 468 | 95,742 |
CONSOLIDATED STATEMENTS OF STO7
CONSOLIDATED STATEMENTS OF STOCKHOLDERS' EQUITY (Parenthetical) (Unaudited) - $ / shares | 3 Months Ended | ||
Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | |
Dividend declared common share, per share | $ 0.15 | $ 0.15 | $ 0.15 |
Series A Preferred Stock | |||
Dividend declared, per preferred share | 0.539063 | 0.539063 | 0.539063 |
Series B Preferred Stock | |||
Dividend declared, per preferred share | 0.390625 | 0.390625 | 0.396025 |
Series C Preferred Stock | |||
Dividend declared, per preferred share | $ 0.4765625 | $ 0.4765625 | $ 0.4765625 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Operating Activities: | ||||
Net income (loss) | $ 28,289,000 | $ (21,814,000) | $ 6,673,000 | $ (18,242,000) |
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||||
Provision for loan losses | 0 | 70,000 | 0 | 140,000 |
Depreciation on rental properties | 113,000 | 110,000 | 338,000 | 330,000 |
Unrealized gain on Agency MBS held as trading investments | (1,148,000) | (1,148,000) | ||
Gain on sales of residential mortgage loans | (716,000) | 0 | (749,000) | 0 |
Amortization of restricted stock | 79,000 | 24,000 | 237,000 | 73,000 |
Recovery on Non-Agency MBS | (1,000) | (7,000) | (3,000) | (13,000) |
Periodic net settlements on interest rate swaps, net of amortization | (3,355,000) | (9,991,000) | (14,032,000) | (30,439,000) |
(Gain) loss on interest rate swaps, net | (8,141,000) | 50,965,000 | 58,167,000 | 92,378,000 |
Changes in assets and liabilities: | ||||
(Increase) decrease in interest receivable | (2,217,000) | 1,435,000 | 909,000 | (19,000) |
(Increase) decrease in prepaid expenses and other | (86,327,000) | 270,000 | (88,173,000) | (342,000) |
Decrease (increase) in restricted cash | 6,733,000 | (14,718,000) | 16,407,000 | (27,532,000) |
Increase (decrease) in accrued interest payable | 261,000 | (7,030,000) | 264,000 | (6,236,000) |
(Decrease) increase in accrued expenses | (581,000) | 11,454,000 | 367,000 | 11,968,000 |
Net cash (used in) provided by operating activities | (62,371,000) | 15,984,000 | (11,801,000) | 52,508,000 |
Investing Activities: | ||||
Residential properties purchases | (91,000) | (61,000) | (264,000) | (1,825,000) |
Net cash provided by investing activities | 205,368,000 | 317,507,000 | 1,050,960,000 | 569,828,000 |
Financing Activities: | ||||
Borrowings from repurchase agreements | 5,968,736,000 | 8,992,246,000 | 20,625,764,000 | 24,415,578,000 |
Repayments on repurchase agreements | (6,103,381,000) | (9,297,179,000) | (21,600,492,000) | (24,955,273,000) |
Proceeds from asset-backed securities issued by securitization trusts | 60,466,000 | 8,821,000 | 150,220,000 | 9,316,000 |
Principal payments of asset-backed securities issued by securitization trusts | (60,466,000) | 0 | (150,220,000) | 0 |
Settlements on terminated interest rate swaps | (1,299,000) | (22,659,000) | (16,055,000) | (22,659,000) |
Common stock repurchased, net of proceeds from common stock issued | (1,342,000) | (7,513,000) | (14,585,000) | (40,113,000) |
Common stock dividends paid | (14,403,000) | (15,448,000) | (43,805,000) | (46,673,000) |
Net cash (used in) financing activities | (146,947,000) | (343,072,000) | (1,027,816,000) | (634,411,000) |
Net (decrease) increase in cash and cash equivalents | (3,950,000) | (9,581,000) | 11,343,000 | (12,075,000) |
Cash and cash equivalents at beginning of period | 21,047,000 | 12,495,000 | 5,754,000 | 14,989,000 |
Cash and cash equivalents at end of period | 17,097,000 | 2,914,000 | 17,097,000 | 2,914,000 |
Supplemental Disclosure of Cash Flow Information: | ||||
Cash paid for interest | 15,147,000 | 26,980,000 | 47,732,000 | 62,412,000 |
Common stock repurchased | 1,651,000 | 7,712,000 | 15,177,000 | 44,041,000 |
Change in payable for MBS purchased | 137,550,000 | 26,701,000 | 141,376,000 | 2,076,000 |
Residential mortgage loans | ||||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||||
Amortization of premium (discount) | (87,000) | (63,000) | (307,000) | (84,000) |
Investing Activities: | ||||
Purchases | 0 | (25,490,000) | 0 | (50,853,000) |
Proceeds from sales | 11,716,000 | 0 | 38,369,000 | 0 |
Principal payments | 122,000 | 160,000 | 598,000 | 164,000 |
Series C Preferred Stock | ||||
Financing Activities: | ||||
Proceeds on Series C Preferred Stock issued | 834,000 | 290,000 | 834,000 | 10,012,000 |
Preferred stock dividends paid | (207,000) | (201,000) | (620,000) | (312,000) |
Series A Preferred Stock | ||||
Financing Activities: | ||||
Preferred stock dividends paid | (1,035,000) | (1,035,000) | (3,105,000) | (3,105,000) |
Series B Preferred Stock | ||||
Financing Activities: | ||||
Preferred stock dividends paid | (394,000) | (394,000) | (1,182,000) | (1,182,000) |
TBA Agency MBS | ||||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||||
Amortization of premium (discount) | 7,078,000 | 12,594,000 | 30,829,000 | 36,714,000 |
(Gain) loss on sales of Agency MBS | (1,206,000) | 0 | 2,032,000 | 0 |
Unrealized gain on Agency MBS held as trading investments | (1,148,000) | 0 | (1,148,000) | 0 |
(Gain) loss on derivatives | (3,412,000) | (10,345,000) | (26,826,000) | (12,297,000) |
Investing Activities: | ||||
Proceeds from sales | 88,286,000 | 0 | 402,415,000 | 0 |
Purchases | (185,809,000) | 0 | (185,809,000) | 0 |
Principal payments | 279,979,000 | 399,335,000 | 758,940,000 | 1,066,810,000 |
Financing Activities: | ||||
Net settlements on TBA Agency MBS commitments | 5,544,000 | 0 | 25,430,000 | 0 |
Non-Agency MBS | ||||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||||
Amortization of premium (discount) | 207,000 | 461,000 | (182,000) | (606,000) |
(Gain) loss on sales of Agency MBS | 0 | 0 | 0 | 76,000 |
Investing Activities: | ||||
Proceeds from sales | 0 | 0 | 0 | 15,734,000 |
Purchases | (4,896,000) | (72,301,000) | (24,731,000) | (490,537,000) |
Principal payments | 16,061,000 | 15,864,000 | 61,442,000 | 30,335,000 |
Eurodollar Future | ||||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||||
(Gain) loss on derivatives | $ 2,060,000 | $ 2,569,000 | $ 3,396,000 | $ 6,639,000 |
Organization and Significant Ac
Organization and Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2016 | |
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 commenced operations on March 17, 1998. Our principal business is to invest in, finance and manage a leveraged portfolio of residential mortgage-backed securities, or MBS, and residential mortgage loans which presently include the following types of investments: • Agency mortgage-backed securities, or Agency MBS, which 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. • 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. • Residential mortgage loans through consolidated securitization trusts. We finance our residential mortgage loans through asset-backed securities, or ABS, issued by the consolidated securitization trusts. The ABS which are held by unaffiliated third parties are non-recourse financing. The difference in the amount of the loans and the amount of the ABS represents our retained net interest in the securitization trusts. 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. Our Manager We are externally managed and advised by Anworth Management LLC, or our Manager. Our Manager is supervised and directed by our board of directors, or our Board. Our day-to-day operations are being conducted by our Manager through the authority delegated to it under the Management Agreement between us and our Manager (which we refer to as the “Management Agreement”) and pursuant to the policies established by our Board. Our Manager will also perform such other services and activities relating to our assets and operations as may be appropriate. In exchange for services provided, 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 and credit performance of Non-Agency MBS and residential mortgage loans held-for-investment, amortization of security and loan premiums, accretion of security and loan discounts, and accounting for derivative 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, 2015. Our consolidated financial statements also include the consolidation of certain securitization trusts that meet the definition of a variable interest entity, or VIE, because the Company has been deemed to be the primary beneficiary of the securitization trusts. These securitization trusts hold pools of residential mortgage loans and issue series of ABS payable from the cash flows generated by the underlying pools of residential mortgage loans. These securitizations are non-recourse financing for the residential mortgage loans held-for-investment. Generally, a portion of the ABS issued by the securitization trusts are sold to unaffiliated third parties and the balance is purchased by the Company. The Company classifies the underlying residential mortgage loans owned by the securitization trusts as residential mortgage loans held-for-investment in its consolidated balance sheets. The ABS issued to third parties are recorded as liabilities on the Company’s consolidated balance sheets. The Company records interest income on the residential mortgage loans held-for-investment and interest expense on the ABS issued to third parties in the Company’s consolidated statements of operations. The Company records the initial underlying assets and liabilities of the consolidated securitization trusts at their fair value upon consolidation into the Company and, as such, no gain or loss is recorded upon consolidation. See Note 4, “Variable Interest Entities,” for additional information regarding the impact of consolidation of securitization trusts. The consolidated securitization trusts are VIEs because the securitization trusts do not have equity that meets the definition of U.S. GAAP equity at risk. In determining if a securitization trust should be consolidated, the Company evaluates (in accordance with the Financial Accounting Standards Board, or FASB, Accounting Standards Codification, or ASC, 810-10) whether it has both (i) the power to direct the activities of the securitization trust that most significantly impact its economic performance and (ii) the right to receive benefits from the securitization trust or the obligation to absorb losses of the securitization trust that could be significant. The Company determined that it is the primary beneficiary of certain securitization trusts because it has certain delinquency and default oversight rights on residential mortgage loans. In addition, the Company owns the most subordinated class of ABS issued by the securitization trusts and has the obligation to absorb losses and right to receive benefits from the securitization trusts that could potentially be significant to the securitization trusts. The Company assesses modifications, if any, to VIEs on an ongoing basis to determine if a significant reconsideration event has occurred that would change the Company’s initial consolidation assessment. 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. Restricted cash includes cash pledged as collateral to counterparties on various derivative transactions and reverse repurchase agreements. 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 one 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. MBS are classified 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 most of our MBS as available-for-sale. We have designated a portion of our MBS as trading investments. 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). Assets that are classified as trading investments are reported at fair value with unrealized gains and losses included in our consolidated statements of operations. 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 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.” 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, constant prepayment rates, or CPR, 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 transactions 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 September 30, 2016 and December 31, 2015, aggregated by investment category and length of time (dollar amounts in thousands): September 30, 2016 Less Than 12 Months 12 Months or More Total Description of Securities Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Agency MBS 74 $ 271,622 $ (898 ) 254 $ 502,325 $ (5,207 ) 328 $ 773,947 $ (6,105 ) Non-Agency MBS 46 $ 291,569 $ (9,065 ) 19 $ 106,429 $ (4,451 ) 65 $ 397,998 $ (13,516 ) December 31, 2015 Less Than 12 Months 12 Months or More Total Description of Securities Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Agency MBS 107 $ 731,112 $ (5,177 ) 332 $ 1,637,714 $ (33,085 ) 439 $ 2,368,826 $ (38,262 ) Non-Agency MBS 53 $ 323,198 $ (5,530 ) - $ - $ - 53 $ 323,198 $ (5,530 ) 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. At September 30, 2016, we did not expect 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 did 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 September 30, 2016. We do not consider those Non-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 Non-Agency MBS were caused by fluctuations in interest rates. We purchased the Non-Agency MBS primarily at a discount relative to their face value. At September 30, 2016, we did not expect to sell the Non-Agency MBS at a price less than the amortized cost basis of our investments. Because the decline in market value of the Non-Agency MBS is attributable to changes in interest rates and not the credit quality of the Non-Agency MBS in our portfolio, and because we did 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 September 30, 2016. Residential Mortgage Loans Held-for-Investment Residential mortgage loans held-for-investment are residential mortgage loans held by consolidated securitization trusts. Residential mortgage loans held-for-investment are carried at unpaid principal balances net of any premiums or discounts and allowance for loan losses. We expect that we will be required to continue to consolidate the securitization trusts that hold the residential mortgage loans. We establish an allowance for residential loan losses based on our estimate of credit losses. These estimates for the allowance for loan losses require consideration of various observable inputs including, but not limited to, historical loss experience, delinquency status, borrower credit scores, geographic concentrations and loan-to-value ratios, and are adjusted for current economic conditions as deemed necessary by our management. Many of these factors are subjective and cannot be reduced to a mathematical formula. In addition, since we have not incurred any direct losses on our portfolio, we review national historical credit performance information from external sources to assist in our analysis. Changes in our estimates can significantly impact the allowance for loan losses and provision expense. The allowance reflects management’s best estimate of the credit losses inherent in the loan portfolio at the balance sheet date. It is also possible that we will experience credit losses that are different from our current estimates or that the time of those losses may differ from our estimates. We recognize interest income from residential mortgage loans on an accrual basis. Any related premium or discount is amortized into interest income using the effective interest method over the weighted average life of these loans. Coupon interest is recognized as revenue when earned and deemed collectable or until a loan becomes more than 90 days past due, at which point the loan is placed on non-accrual status. Interest previously accrued for loans that have been placed on non-accrual status is reversed against interest income in the period the loan is placed in non-accrual status. Residential loans delinquent more than 90 days or in foreclosure are characterized as delinquent. Cash principal and interest that are advanced from servicers after a loan becomes greater than 90 days past due are recorded as a liability due to the servicer. When a delinquent loan previously placed on non-accrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternatively, non-accrual loans may be placed back on accrual status if restructured and after the loan is considered re-performing. A restructured loan is considered re-performing when the loan has been current for at least 12 months. 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 ASC 805, Business Combinations 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. Asset-Backed Securities Issued by Securitization Trusts Asset-backed securities issued by the securitization trusts are recorded at principal balances net of unamortized premiums or discounts. This long-term debt is collateralized only by the assets held in the trusts and is otherwise non-recourse to the Company. 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 actively 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 swap agreements, or 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. 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 of 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 interest rate swaps had historically been accounted for as cash flow hedges under ASC 815. After August 22, 2014, none of our interest rate swaps were designated for hedge accounting. As a result of discontinuing hedge accounting for our interest rate swaps, changes in the fair value of these interest rate 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 interest rate swaps which was previously recognized in interest expense, is instead recognized in “Gain (loss) on interest rate swaps, net.” These interest rate swaps 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 interest rate 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 interest rate 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 14. For more information on the fair value of our derivative instruments, see Note 8. Credit Risk At September 30, 2016, 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 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 o |
Restricted Cash
Restricted Cash | 9 Months Ended |
Sep. 30, 2016 | |
Cash And Cash Equivalents [Abstract] | |
Restricted Cash | NOTE 2. RESTRICTED CASH This includes cash pledged as collateral for interest rate swaps and Eurodollar Futures Contracts. Restricted cash is carried at cost, which approximates fair value. The following represents the Company’s restricted cash balances at September 30, 2016 and December 31, 2015 (in thousands): September 30, December 31, 2016 2015 Restricted cash - reverse repurchase agreements $ - $ 25,000 Restricted cash - swap margin calls 18,846 11,913 Restricted cash - Eurodollar Futures Contracts 580 2,317 $ 19,426 $ 39,230 |
Mortgage Backed Securities (MBS
Mortgage Backed Securities (MBS) | 9 Months Ended |
Sep. 30, 2016 | |
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 at September 30, 2016 and December 31, 2015, which are carried at their fair value (in thousands): September 30, 2016 By Agency Ginnie Mae Freddie Mac Fannie Mae Total Agency MBS Non-Agency MBS Total MBS Amortized cost $ 8,960 $ 1,639,227 $ 2,320,738 $ 3,968,925 $ 647,023 $ 4,615,948 Paydowns receivable (1)(2) - 29,841 - 29,841 (14 ) 29,827 Unrealized gains 2 20,101 45,850 65,953 10,723 76,676 Unrealized losses (166 ) (3,020 ) (2,919 ) (6,105 ) (13,516 ) (19,621 ) Fair value $ 8,796 $ 1,686,149 $ 2,363,669 $ 4,058,614 $ 644,216 $ 4,702,830 By Security Type ARMs Hybrids 15-Year Fixed-Rate (1) 20-Year and 30-Year Fixed-Rate Total Agency MBS Non-Agency MBS Total MBS Amortized cost $ 1,917,766 $ 1,179,727 $ 720,184 $ 151,248 $ 3,968,925 $ 647,023 $ 4,615,948 Paydowns receivable (2)(3) 15,125 14,716 - - 29,841 (14 ) 29,827 Unrealized gains 45,149 5,495 6,986 8,323 65,953 10,723 76,676 Unrealized losses (2,694 ) (3,411 ) - - (6,105 ) (13,516 ) (19,621 ) Fair value $ 1,975,346 $ 1,196,527 $ 727,170 $ 159,571 $ 4,058,614 $ 644,216 $ 4,702,830 (1) Included in the fair value of the 15-year fixed-rate Agency MBS was approximately $324.5 million held as trading investments. (2) Paydowns receivable on Agency MBS 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 15 th (3) Paydowns receivable on Non-Agency MBS represent when the Company receives notice of prepayments but does not receive the actual cash until the following month. During the three months ended September 30, 2016, we sold approximately $87 million of Agency MBS and recognized gross gains of approximately $1.2 million. During the nine months ended September 30, 2016, we sold approximately $404 million of Agency MBS and realized gross losses of approximately $3.4 million and realized gross gains of approximately $1.4 million. During the three and nine months ended September 30, 2016, we had gross unrealized gains on trading investments of $1.1 million and $1.1 million, respectively. We did not have any trading investments during 2015. December 31, 2015 By Agency Ginnie Mae Freddie Mac Fannie Mae Total Agency MBS Non-Agency MBS Total MBS Amortized cost $ 10,118 $ 1,976,155 $ 2,858,659 $ 4,844,932 $ 679,584 $ 5,524,516 Paydowns receivable (1)(2) - 24,707 - 24,707 112 24,819 Unrealized gains 3 12,922 48,480 61,405 7,895 69,300 Unrealized losses (156 ) (23,689 ) (14,417 ) (38,262 ) (5,530 ) (43,792 ) Fair value $ 9,965 $ 1,990,095 $ 2,892,722 $ 4,892,782 $ 682,061 $ 5,574,843 By Security Type ARMs Hybrids 15-Year Fixed-Rate 20-Year and 30-Year Fixed-Rate Total Agency MBS Non-Agency MBS Total MBS Amortized cost $ 2,086,487 $ 1,926,775 $ 653,246 $ 178,424 $ 4,844,932 $ 679,584 $ 5,524,516 Paydowns receivable (1)(2) 7,760 16,947 - - 24,707 112 24,819 Unrealized gains 49,866 2,812 1,920 6,807 61,405 7,895 69,300 Unrealized losses (4,707 ) (25,347 ) (8,208 ) - (38,262 ) (5,530 ) (43,792 ) Fair value $ 2,139,406 $ 1,921,187 $ 646,958 $ 185,231 $ 4,892,782 $ 682,061 $ 5,574,843 (1) Paydowns receivable on Agency MBS 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 15 th (2) Paydowns receivable on Non-Agency MBS represent when the Company receives notice of prepayments but does not receive the actual cash until 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 for the three and nine months ended September 30, 2016 and cumulatively at September 30, 2016 and December 31, 2015: For the Three Months Ended For the Nine Months Ended At At September 30, September 30, September 30, December 31, 2016 2016 2016 2015 (in thousands) Non-Agency MBS acquired with credit deterioration: Contractually required principal $ (13,932 ) $ (53,527 ) $ 573,742 $ 627,269 Contractual principal not expected to be collected (non-accretable yield) 591 8,636 (185,720 ) (194,355 ) Expected cash flows to be collected (13,341 ) (44,891 ) 388,022 432,914 Market yield adjustment 2,536 4,109 60,329 56,220 Unrealized (loss) gain, net 8,177 (4,424 ) 1,026 5,450 Fair value (2,627 ) (45,206 ) 449,378 494,584 Fair value of other Non-Agency MBS (without credit deterioration) 1,490 7,361 194,838 187,477 Total fair value of Non-Agency MBS $ (1,137 ) $ (37,845 ) $ 644,216 $ 682,061 The following table presents the change for the three and nine months ended September 30, 2016 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: Three Months Ended Nine Months Ended September 30, September 30, 2016 2016 Market Yield Adjustment Non- Accretable Market Yield Adjustment Non- Accretable (in thousands) Balance, beginning of period $ 57,793 $ (186,311 ) $ 56,220 $ (194,355 ) Accretion of discount (475 ) - (766 ) - Purchases 3,011 (4,447 ) 4,875 (9,136 ) Realized credit losses, net of recoveries - 5,038 - 17,771 Sales - - - - Balance, end of period $ 60,329 $ (185,720 ) $ 60,329 $ (185,720 ) |
Variable Interest Entities
Variable Interest Entities | 9 Months Ended |
Sep. 30, 2016 | |
Variable Interest Entities [Abstract] | |
Variable Interest Entities | NOTE 4. VARIABLE INTEREST ENTITIES As discussed in Note 1, “Summary of Significant Accounting Policies,” we have determined that we are the primary beneficiary of certain securitization trusts. The following table presents a summary of the assets and liabilities of our consolidated securitization trusts as of September 30, 2016 and December 31, 2015. September 30, December 31, 2016 2015 (in thousands) Residential mortgage loans held-for-investment $ 795,527 $ 969,172 Accrued interest receivable 2,651 3,092 Total assets $ 798,178 $ 972,264 Accrued interest payable $ 2,578 $ 2,892 Asset-backed securities issued by securitization trusts 779,761 915,486 Total liabilities $ 782,339 $ 918,378 Our risk with respect to each investment in a securitization trust is limited to our direct ownership in the securitization trust. We own the most subordinated classes on all of the trusts (tranches B-4 through B-5). The residential mortgage loans held by the consolidated securitization trusts are held solely to satisfy the liabilities of the securitization trusts, and the investors in the securitization trusts have no recourse to the general credit of the Company for the ABS issued by the securitization trusts. The assets of a consolidated securitization trust can only be used to satisfy the obligations of that trust. ABS are not paid down according to any schedule but rather as payments are made on the underlying mortgages. The final distribution dates for the three trusts are all at various dates in 2045. We are not contractually required and have not provided any additional financial support to the securitization trusts for the period ended September 30, 2016. Residential Mortgage Loans Held by Consolidated Securitization Trusts Residential mortgage loans held by consolidated securitization trusts are carried at unpaid principal balances net of any premiums or discounts and allowances for loan losses. The residential mortgage loans are secured by first liens on the underlying residential properties. During the three months ended September 30, 2016, we sold our investments in the B-3 tranches on two of the securitization trusts. As we still retain the most subordinated tranches in these trusts, we continue to be the primary beneficiary of these trusts and believe that we are still required to consolidate these trusts. We recorded a gross gain on the sale of these investments of approximately $716 thousand. During the nine months ended September 30, 2016, we realized gross gains of approximately $870 thousand and gross losses of approximately $121 thousand on the sales of our investments in these loans. The following table details the carrying value for residential mortgage September 30, December 31, 2016 2015 (in thousands) Principal balance $ 787,136 $ 958,403 Unamortized premium net of discount 8,594 10,972 Allowance for loan losses (203 ) (203 ) Carrying value $ 795,527 $ 969,172 The following table details various portfolio characteristics of the residential mortgage loans held-for-investment at September 30, 2016 and December 31, 2015: September 30, December 31, 2016 2015 (dollar amounts in thousands) Portfolio Characteristics: Number of loans 1,118 1,328 Current principal balance $ 787,136 $ 958,403 Average loan balance $ 704 $ 722 Net weighted average coupon rate 3.87 % 3.87 % Weighted average maturity (years) 27.6 28.4 Weighted average FICO score 762 762 Current Performance: Current $ 785,692 $ 954,341 30 days delinquent 616 3,234 60 days delinquent - 828 90+ days delinquent 828 - Bankruptcy/foreclosure - - Total $ 787,136 $ 958,403 The following table summarizes the geographic concentrations of residential mortgage September 30, December 31, State 2016 2015 (Percent) California 46.0 % 48.2 % Florida 6.2 6.0 Other states (none greater than 5%) 47.8 45.8 Total 100.0 % 100.0 % Allowance for Loan Losses on Residential Mortgage Loans Held by Consolidated Securitization Trusts As discussed in Note 1, “Summary of Significant Accounting Policies,” the Company establishes and maintains an allowance for loan losses on residential mortgage The following table summarizes the activity in the allowance for loan losses for the three and nine months ended September 30, 2016: Three Months Ended Nine Months Ended September 30, September 30, 2016 2016 (in thousands) Balance at beginning of period $ 203 $ 203 Provision for loan losses - - Charge-offs, net - - Balance at end of period $ 203 $ 203 Asset-Backed Securities Issued by Securitization Trusts Asset-backed securities issued by securitization trusts are recorded at principal balances net of unamortized premiums and discounts. Asset-backed securities issued by securitization trusts are issued in various tranches and have a principal balance of $779.8 million at September 30, 2016 and $915.5 million at December 31, 2015. The investors in the asset-backed securities are not affiliated with the Company and have no recourse to the general credit of the Company. |
Residential Properties
Residential Properties | 9 Months Ended |
Sep. 30, 2016 | |
Real Estate [Abstract] | |
Residential Properties | NOTE 5. RESIDENTIAL PROPERTIES At September 30, 2016, we owned 88 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, 2015, we owned 88 properties at a net cost of approximately $14.4 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 16. |
Repurchase Agreements
Repurchase Agreements | 9 Months Ended |
Sep. 30, 2016 | |
Banking And Thrift [Abstract] | |
Repurchase Agreements | NOTE 6. 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. For additional information about repurchase agreements, see the section in Note 1 entitled “Repurchase Agreements.” At September 30, 2016 and December 31, 2015, the repurchase agreements had the following balances (dollar amounts in thousands), weighted average interest rates and remaining weighted average maturities: September 30, 2016 Agency MBS Non-Agency MBS Total MBS Balance Weighted Average Interest Rate Balance Weighted Average Interest Rate Balance Weighted Average Interest Rate Overnight $ - - % $ - - % $ - - % Less than 30 days 1,820,000 0.69 399,700 2.14 2,219,700 0.95 30 days to 90 days 1,720,000 0.72 1,100 1.93 1,721,100 0.72 Over 90 days to less than 1 year - - - - - - 1 year to 2 years - - - - - - Demand - - - - - - $ 3,540,000 0.71 % $ 400,800 2.14 % $ 3,940,800 0.85 % Weighted average maturity 36 days 15 days 34 days Weighted average interest rate after adjusting for interest rate swaps 1.16 % Weighted average maturity after adjusting for interest rate swaps 478 days MBS pledged as collateral under the repurchase agreements and interest rate swaps $ 3,836,791 $ 521,364 $ 4,358,155 December 31, 2015 Agency MBS Non-Agency MBS Total MBS Balance Weighted Average Interest Rate Balance Weighted Average Interest Rate Balance Weighted Average Interest Rate Overnight $ - - % $ - - % $ - - % Less than 30 days 2,710,000 0.60 485,528 1.91 3,195,528 0.80 30 days to 90 days 1,720,000 0.60 - - 1,720,000 0.60 Over 90 days to less than 1 year - - - - - - 1 year to 2 years - - - - - - Demand - - - - - - $ 4,430,000 0.60 % $ 485,528 1.91 % $ 4,915,528 0.73 % Weighted average maturity 28 days 14 days 27 days Weighted average interest rate after adjusting for interest rate swaps 1.39 % Weighted average maturity after adjusting for interest rate swaps 736 days MBS pledged as collateral under the repurchase agreements and interest rate swaps $ 4,694,731 $ 596,831 $ 5,291,562 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, 8 and 14 for more information on the Company’s interest rate 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 September 30, 2016 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) $ 2,023 $ - $ 2,023 $ (2,023 ) $ - $ - Total $ 2,023 $ - $ 2,023 $ (2,023 ) $ - $ - Repurchase agreements (3) $ 3,940,800 $ - $ 3,940,800 $ (3,940,800 ) $ - $ - Derivative liabilities at fair value (2) 48,224 - 48,224 (48,224 ) - - Total $ 3,989,024 $ - $ 3,989,024 $ (3,989,024 ) $ - $ - Net Amounts of Assets Gross Amounts Not Offset Gross Amounts or Liabilities in the Balance Sheets (1) of Recognized Gross Amounts Presented in Cash December 31, 2015 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) $ 12,470 $ - $ 12,470 $ (12,470 ) $ - $ - Total $ 12,470 $ - $ 12,470 $ (12,470 ) $ - $ - Repurchase agreements (3) $ 4,915,528 $ - $ 4,915,528 $ (4,915,528 ) $ - $ - Derivative liabilities at fair value (2) 34,547 - 34,547 (34,547 ) - - Total $ 4,950,075 $ - $ 4,950,075 $ (4,950,075 ) $ - $ - (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 September 30, 2016, we had pledged approximately $44.5 million in Agency MBS as collateral and paid another approximately $18.8 million on swap margin calls (included in “Restricted cash”) on our swap derivatives, which were approximately $652 thousand in derivative assets and approximately $48.2 million in derivative liabilities at September 30, 2016. At December 31, 2015, we had pledged approximately $39.8 million in Agency MBS as collateral and paid another approximately $11.9 million on swap margin calls on our swap derivatives, which were approximately $11.6 million in derivative assets and approximately $33.9 million in derivative liabilities at December 31, 2015. (3) At September 30, 2016, we had pledged approximately $3.79 billion in Agency MBS and approximately $521 million in Non-Agency MBS as collateral on our repurchase agreements. At December 31, 2015, we had pledged $4.7 billion in Agency MBS and approximately $597 million in Non-Agency MBS as collateral on our repurchase agreements. |
Junior Subordinated Notes
Junior Subordinated Notes | 9 Months Ended |
Sep. 30, 2016 | |
Debt Disclosure [Abstract] | |
Junior Subordinated Notes | NOTE 7. 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 Instru
Fair Values of Financial Instruments | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Values of Financial Instruments | NOTE 8. 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 interest rate 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 September 30, 2016, fair value measurements on a recurring basis were as follows (in thousands): Level 1 Level 2 Level 3 Total Assets: Agency MBS (1) $ - $ 4,058,614 $ - $ 4,058,614 Non-Agency MBS (1) $ - $ 644,216 $ - $ 644,216 Derivative instruments (2) $ - $ 2,023 $ - $ 2,023 Liabilities: Derivative instruments (2) $ - $ 48,224 $ - $ 48,224 (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 14. At December 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) $ - $ 4,892,782 $ - $ 4,892,782 Non-Agency MBS (1) $ - $ 682,061 $ - $ 682,061 Derivative instruments (2) $ - $ 12,470 $ - $ 12,470 Liabilities: Derivative instruments (2) $ - $ 34,547 $ - $ 34,547 (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 14. At September 30, 2016 and December 31, 2015, 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 September 30, 2016 and December 31, 2015, the carrying value approximates fair value. The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value on the consolidated balance sheets at September 30, 2016 and December 31, 2015 (dollar amounts in thousands): September 30, 2016 December 31, 2015 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets: Residential mortgage loans held-for-investment $ 795,527 $ 811,407 $ 969,172 $ 959,418 Financial Liabilities: Asset-backed securities issued by securitization trusts $ 779,761 $ 795,339 $ 915,486 $ 907,556 The residential mortgage loans held-for-investment are carried at unpaid principal balances net of any premiums or discounts and allowances for loan losses. Asset-backed securities issued by securitization trusts are carried at principal balances net of unamortized premiums or discounts. For both of these items, fair values are obtained by an independent broker and are considered Level 2 in the fair value hierarchy. |
Income Taxes
Income Taxes | 9 Months Ended |
Sep. 30, 2016 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | NOTE 9. 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 these tests. Therefore, we believe that we continue to qualify as a REIT under the provisions of the Code. |
Series B Cumulative Convertible
Series B Cumulative Convertible Preferred Stock | 9 Months Ended |
Sep. 30, 2016 | |
Series B Preferred Stock | |
Series B Cumulative Convertible Preferred Stock | NOTE 10. 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 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 September 30, 2016, we did not, at our option, convert 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 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, Series A Preferred Stock and Series C Preferred Stock voting together as a single class. Through September 30, 2016, we have declared and set aside for payment the required dividends for our Series B Preferred Stock. |
Public Offerings and Capital St
Public Offerings and Capital Stock | 9 Months Ended |
Sep. 30, 2016 | |
Equity [Abstract] | |
Public Offerings and Capital Stock | NOTE 11. PUBLIC OFFERINGS AND CAPITAL STOCK At September 30, 2016, our authorized capital included 200,000,000 shares of common stock, of which 95,772,229 shares were issued and 95,742,229 shares were outstanding. At September 30, 2016, 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. At September 30, 2016, 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 467,619 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 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 September 30, 2016, we sold an aggregate of 4,367 shares of our Series C Preferred Stock under the MLV Sales Agreement, which provided net proceeds to us of approximately $108 thousand. On August 10, 2016, the MLV Sales Agreement was terminated and we entered into a new At Market Issuance Sales Agreement (the “FBR Sales Agreement”) with FBR Capital Markets & Co. (“FBR”), pursuant to which we may offer and sell from time to time through FBR as our agent, up to $196,615,000 maximum aggregate amount of our common stock, Series B Preferred Stock and Series C Preferred Stock, in such amounts as we may specify by notice to FBR, in accordance with the terms and conditions set forth in the FBR Sales Agreement. FBR is an affiliate of MLV and we entered into the FBR Sales Agreement to reflect that the agent is now FBR as opposed to MLV. During the three months ended September 30, 2016, we sold an aggregate of 29,328 shares of our Series C Preferred Stock under the FBR Sales Agreement, which provided net proceeds to us of approximately $729 thousand. At September 30, 2016, there was approximately $195.9 million available for sale and issuance under the FBR Sales Agreement. On October 3, 2011, we announced that our Board 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 rules of the U.S. Securities and Exchange Commission, or the SEC. Our Board also authorized the Company to purchase an amount of our common stock up to the amount of common stock sold through our 2015 Dividend Reinvestment and Stock Purchase Plan. Subsequently, our Board authorized the Company to acquire an aggregate of an additional 45,000,000 shares (pursuant to six separate authorizations) between December 13, 2013 and January 22, 2016. During the three months ended September 30, 2016, we repurchased an aggregate of 339,953 shares of common stock at a weighted average price of $4.84 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 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. During the three months ended September 30, 2016, we issued an aggregate of 60,908 shares of our common stock at a weighted average price of $4.91 per share under the 2015 DRP Plan, resulting in proceeds to us of approximately $299 thousand. 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 Equity Plan. On April 1, 2016, we filed a shelf registration statement on Form S-3 with the SEC, offering up to $534,442,660 of our capital stock. This registration statement was declared effective on April 13, 2016. At September 30, 2016, approximately $533.6 million of our capital stock was available for future issuance under this registration statement. |
Transactions with Affiliates
Transactions with Affiliates | 9 Months Ended |
Sep. 30, 2016 | |
Related Party Transactions [Abstract] | |
Transactions with Affiliates | NOTE 12. 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 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 services provided, 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 and Chief Executive Officer, 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, our President and the Chief Investment Officer of our Manager, beneficially owns 45% of the outstanding membership interests of our Manager; and Mr. Thad M. Brown, our former 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 13), 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 12). 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 Mr. Charles J. Siegel, our Chief Financial Officer, and with various officers of our Manager. These agreements provide that should a change in control (as defined in the agreements) occur, each of these officers will receive certain severance and other benefits valued as of December 31, 2011. Under these 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. With respect to Mr. Brett Roth, a Senior Vice President and Portfolio Manager of our Manager, in the event that a change in control occurs, in addition to other benefits, he will receive a lump sum payment equal to (i) 12 months of the annual base salary (in effect on September 18, 2014) paid by our Manager plus (ii) $350,000. The 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, a company owned by trusts controlled in part by Mr. Lloyd McAdams, our Chairman and Chief Executive Officer. 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 $65.43 per square foot. The base monthly rental for us is $39,807.17, which will be increased by 3% per annum on July 1, 2017. The sublease agreement runs through September 30, 2022 unless earlier terminated pursuant to the master lease. During the three and nine months ended September 30, 2016, we expensed $128 thousand and $383 thousand, respectively, in rent and related expenses to PIA under this sublease agreement, which is included in “other expenses” on our statements of operations. During the three and nine months ended September 30, 2015, we expensed $127 thousand and $378 thousand, respectively, in rent and related expenses to PIA under this sublease agreement. At September 30, 2016, the future minimum lease commitment was as follows (in whole dollars): Year 2016 2017 2018 2019 2020 Thereafter Total Commitment Commitment $ 119,422 $ 484,852 $ 499,398 $ 514,374 $ 529,800 $ 822,579 $ 2,970,425 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 1.00 basis point 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 and nine months ended September 30, 2016, we paid fees of $38 thousand and $115 thousand, respectively, to PIA in connection with this agreement. During the three and nine months ended September 30, 2015, we paid fees of $40 thousand and $123 thousand, respectively, to PIA in connection with this agreement. |
Equity Compensation Plan
Equity Compensation Plan | 9 Months Ended |
Sep. 30, 2016 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Equity Compensation Plan | NOTE 13. 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 Equity Compensation Plan, or the 2014 Equity Plan, which replaced the Anworth Mortgage Asset Corporation 2004 Equity Compensation Plan, or the 2004 Equity 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 Equity Plan. The 2014 Equity Plan decreased the aggregate share reserve from 3,500,000 shares that were available under the 2004 Equity Plan to 2,000,000 shares of our registered common stock available under the 2014 Equity Plan. The 2014 Equity Plan authorizes our Board, or a committee of our Board, 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 September 30, 2016, we issued to our independent directors an aggregate of 8,000 8,000 On July 15, 2016, our Board approved, effective August 1, 2016 (the “Grant Date”), a grant of performance-based phantom shares, which do not include associated grants of DERs, to one of our executive officers and two executive officers of our Manager for an aggregate amount of 146,552 phantom shares. These phantom shares are not vested at the Grant Date. During the period commencing on August 1, 2016 and ending on August 31, 2019, the phantom shares shall vest immediately upon the Grantee’s involuntary termination of service for any reason other than for Cause. During the period commencing on August 31, 2019 and ending on July 31, 2026, the phantom shares shall vest on the last day of any month when the Company’s total return to stockholders (meaning the aggregate amount of common stock price appreciation and dividends declared assuming full reinvestment of dividends) has exceeded 10% per annum. The closing price of the Company’s common stock on the Grant Date was $4.96. 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 2006, our Board approved a grant of an aggregate of 197,362 shares of performance-based restricted stock to various officers under the 2004 Equity Plan. Upon the expiration of the 2004 Equity Plan, this grant is now being accounted for under the 2014 Equity Plan. We recognize the expense related to restricted stock over the ten-year vesting period. During the three and nine months ended September 30, 2016, we expensed approximately $79 thousand and $237 thousand, respectively, related to this restricted stock grant. During the three and nine months ended September 30, 2015, we expensed approximately $24 thousand and $73 thousand, respectively, related to this restricted stock grant. Under the Anworth Mortgage Asset Corporation 2007 Dividend Equivalent Rights Plan, or the 2007 DER Plan, and the 2014 Equity 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. 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 and nine ended months September 30, 2016, we paid or accrued $101 thousand and $302 thousand, respectively, related to DERs granted. During the three and nine ended months September 30, 2015, we paid or accrued $94 thousand and $265 thousand, respectively, related to DERs granted. |
Derivative Instruments
Derivative Instruments | 9 Months Ended |
Sep. 30, 2016 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | NOTE 14. 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 September 30, 2016 and December 31, 2015: September 30, December 31, Derivative Instruments Balance Sheet Location 2016 2015 (in thousands) De-designated interest rate swaps Derivative Assets $ 652 $ 11,644 Eurodollar Futures Contracts Derivative Assets 114 826 TBA Agency MBS Derivative Assets 1,257 - $ 2,023 $ 12,470 De-designated interest rate swaps Derivative Liabilities $ 48,224 $ 33,897 TBA Agency MBS Derivative Liabilities - 650 $ 48,224 $ 34,547 Interest Rate Swap Agreements At September 30, 2016, we were a counterparty to interest rate swaps, which are derivative instruments as defined by ASC 815-10, with an aggregate notional amount of $2.046 billion and a weighted average maturity of approximately 30 months. 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 0.501% to 3.06%) and receive a payment that varies with the three-month LIBOR rate. During the three months ended September 30, 2016, we did not add any new swap agreements. During the three months ended September 30, 2016, five interest rate At September 30, 2016, the amount in AOCI relating to interest rate swaps was approximately $18.4 million. The estimated net amount of the existing losses that were reported in AOCI at September 30, 2016 that is expected to be reclassified into earnings within the next twelve months is approximately $2.4 million. At September 30, 2016 and December 31, 2015, our interest rate swaps had the following notional amounts (dollar amounts in thousands), weighted average fixed rates and remaining terms (in months): September 30, 2016 December 31, 2015 Maturity Notional Amount Weighted Average Fixed Rate Remaining Term in Months Notional Amount Weighted Average Fixed Rate Remaining Term in Months Less than 1 year $ 775,000 0.69 % 4 $ 950,000 0.68 % 9 1 year to 2 years 435,000 0.90 16 930,000 0.96 18 2 years to 3 years 100,000 1.00 25 1,000,000 1.13 30 3 years to 4 years 116,000 1.32 38 250,000 1.28 44 4 years to 5 years 200,000 2.06 55 216,000 1.88 58 5 years to 7 years 420,000 2.73 78 320,000 2.54 78 7 years to 10 years - - - 200,000 3.00 93 $ 2,046,000 1.34 % 30 $ 3,866,000 1.24 % 32 Swap Agreements by Counterparty September 30, December 31, 2016 2015 (in thousands) Chicago Mercantile Exchange (1) $ 1,061,000 $ 1,891,000 JPMorgan Securities 425,000 525,000 Deutsche Bank Securities 325,000 565,000 RBS Greenwich Capital 115,000 115,000 Nomura Securities International 100,000 200,000 Bank of New York 20,000 120,000 ING Financial Markets LLC - 450,000 $ 2,046,000 $ 3,866,000 (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 September 30, 2016, we had 2,350 Eurodollar Futures Contracts representing $2.35 billion in notional amount. The cash held by the broker on the Eurodollar Futures Contracts was approximately $580 thousand, which is included in “Restricted cash,” and there was a derivative asset of approximately $114 thousand. For the three months ended September 30, 2016, we had a loss on Eurodollar Futures Contracts of approximately $2.1 million. For the nine months ended September 30, 2016, we had a loss on Eurodollar Futures Contracts of approximately $3.4 million. At December 31, 2015, we had 4,550 Eurodollar Futures Contracts representing $4.55 billion in notional amount. The cash held by the broker on the Eurodollar Futures Contracts was $2.3 million, which was included in “Restricted cash,” and there was a derivative asset of approximately $826 thousand. At September 30, 2015, we had 5,350 Eurodollar Futures Contracts representing $5.35 billion in notional amount. For the three months ended September 30, 2015, we had a loss on Eurodollar Futures Contracts of approximately $2.6 million. For the nine months ended September 30, 2015, we had a loss on Eurodollar Futures Contracts of approximately $6.6 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 September 30, 2016, we recognized a gain on derivatives-TBA Agency MBS (including derivative income) of approximately $3.4 million. During the nine months ended September 30, 2016, we recognized a gain on derivatives-TBA Agency MBS (including derivative income) of approximately $26.8 million. During the three months ended September 30, 2015, we recognized a gain on derivatives-TBA Agency MBS (net of derivative income) of approximately $10.3 million. During the nine months ended September 30, 2015, we recognized a gain on derivatives-TBA Agency MBS (net of derivative income) of approximately $12.3 million. The types of securities involved in these TBA contracts are Fannie Mae and Freddie Mac 15-year fixed-rate securities with coupons ranging from 2.5% to 3.0%. At September 30, 2016, the net notional position of the TBA Agency MBS was approximately $355 million. At September 30, 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 8. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2016 | |
Commitments And Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | NOTE 15. 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 12. |
Other Expenses
Other Expenses | 9 Months Ended |
Sep. 30, 2016 | |
Other Income And Expenses [Abstract] | |
Other Expenses | NOTE 16. OTHER EXPENSES Three Months Ended Nine Months Ended September 30, September 30, 2016 2015 2016 2015 (in thousands) Legal and professional fees $ 177 $ 139 $ 490 $ 469 Printing and stockholder communications 15 12 175 160 Directors and Officers insurance 123 124 375 375 DERs expense 101 94 302 265 Amortization of restricted stock 79 24 237 73 Software implementation and maintenance 179 85 593 248 Administrative service fees 38 40 115 123 Rent 128 127 383 378 Stock exchange and filing fees 50 40 148 122 Custodian and clearing fees 47 65 169 195 Sarbanes-Oxley consulting fees 30 30 90 85 Commissions - Eurodollar Futures Contracts - 15 44 15 Board of directors fees and expenses 83 97 234 254 Securities data services 100 93 300 252 Leasing commissions on rental properties 9 21 29 49 Other expenses on rental properties 68 74 207 162 Depreciation expense on rental properties 113 110 338 329 Property insurance on rental properties 28 32 84 86 Management fee for rental properties 42 40 125 117 Property taxes on rental properties 77 45 230 157 Recovery on Lehman receivable (58 ) - (58 ) (192 ) Other 64 49 141 147 Total of other expenses $ 1,493 $ 1,356 $ 4,751 $ 3,869 |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2016 | |
Subsequent Events [Abstract] | |
Subsequent Events | NOTE 17. SUBSEQUENT EVENTS Effective October 1, 2016, the conversion rate of our Series B Preferred Stock increased from 4.6635 shares of our common stock to 4.7329 shares of our common stock based upon the common stock dividend of $0.15 that was declared on September 15, 2016. From October 1, 2016 through November 4, 2016, we issued an aggregate of 51,300 shares of common stock at a weighted average price of $4.92 per share under our 2015 Dividend Reinvestment and Stock Purchase Plan, resulting in proceeds to us of approximately $252 thousand. From October 1, 2016 through November 4, 2016, we issued an aggregate of 8,218 shares of Series C Preferred Stock at a weighted average price of $24.97 per share, resulting in net proceeds to us of approximately $203 thousand. From October 1, 2016 through November 4, 2016, we repurchased an aggregate of 80,421 shares of our common stock at a weighted average price of $4.78 per share under our share repurchase program. |
Organization and Significant 26
Organization and Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2016 | |
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | |
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. Restricted cash includes cash pledged as collateral to counterparties on various derivative transactions and reverse repurchase agreements. |
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 one 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. MBS are classified 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 most of our MBS as available-for-sale. We have designated a portion of our MBS as trading investments. 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). Assets that are classified as trading investments are reported at fair value with unrealized gains and losses included in our consolidated statements of operations. 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 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.” 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, constant prepayment rates, or CPR, 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 transactions 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 September 30, 2016 and December 31, 2015, aggregated by investment category and length of time (dollar amounts in thousands): September 30, 2016 Less Than 12 Months 12 Months or More Total Description of Securities Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Agency MBS 74 $ 271,622 $ (898 ) 254 $ 502,325 $ (5,207 ) 328 $ 773,947 $ (6,105 ) Non-Agency MBS 46 $ 291,569 $ (9,065 ) 19 $ 106,429 $ (4,451 ) 65 $ 397,998 $ (13,516 ) December 31, 2015 Less Than 12 Months 12 Months or More Total Description of Securities Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Agency MBS 107 $ 731,112 $ (5,177 ) 332 $ 1,637,714 $ (33,085 ) 439 $ 2,368,826 $ (38,262 ) Non-Agency MBS 53 $ 323,198 $ (5,530 ) - $ - $ - 53 $ 323,198 $ (5,530 ) 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. At September 30, 2016, we did not expect 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 did 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 September 30, 2016. We do not consider those Non-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 Non-Agency MBS were caused by fluctuations in interest rates. We purchased the Non-Agency MBS primarily at a discount relative to their face value. At September 30, 2016, we did not expect to sell the Non-Agency MBS at a price less than the amortized cost basis of our investments. Because the decline in market value of the Non-Agency MBS is attributable to changes in interest rates and not the credit quality of the Non-Agency MBS in our portfolio, and because we did 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 September 30, 2016. |
Residential Mortgage Loans Held-for-Investment | Residential Mortgage Loans Held-for-Investment Residential mortgage loans held-for-investment are residential mortgage loans held by consolidated securitization trusts. Residential mortgage loans held-for-investment are carried at unpaid principal balances net of any premiums or discounts and allowance for loan losses. We expect that we will be required to continue to consolidate the securitization trusts that hold the residential mortgage loans. We establish an allowance for residential loan losses based on our estimate of credit losses. These estimates for the allowance for loan losses require consideration of various observable inputs including, but not limited to, historical loss experience, delinquency status, borrower credit scores, geographic concentrations and loan-to-value ratios, and are adjusted for current economic conditions as deemed necessary by our management. Many of these factors are subjective and cannot be reduced to a mathematical formula. In addition, since we have not incurred any direct losses on our portfolio, we review national historical credit performance information from external sources to assist in our analysis. Changes in our estimates can significantly impact the allowance for loan losses and provision expense. The allowance reflects management’s best estimate of the credit losses inherent in the loan portfolio at the balance sheet date. It is also possible that we will experience credit losses that are different from our current estimates or that the time of those losses may differ from our estimates. We recognize interest income from residential mortgage loans on an accrual basis. Any related premium or discount is amortized into interest income using the effective interest method over the weighted average life of these loans. Coupon interest is recognized as revenue when earned and deemed collectable or until a loan becomes more than 90 days past due, at which point the loan is placed on non-accrual status. Interest previously accrued for loans that have been placed on non-accrual status is reversed against interest income in the period the loan is placed in non-accrual status. Residential loans delinquent more than 90 days or in foreclosure are characterized as delinquent. Cash principal and interest that are advanced from servicers after a loan becomes greater than 90 days past due are recorded as a liability due to the servicer. When a delinquent loan previously placed on non-accrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternatively, non-accrual loans may be placed back on accrual status if restructured and after the loan is considered re-performing. A restructured loan is considered re-performing when the loan has been current for at least 12 months. |
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 ASC 805, Business Combinations 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. |
Asset-Backed Securities Issued by Securitization Trusts | Asset-Backed Securities Issued by Securitization Trusts Asset-backed securities issued by the securitization trusts are recorded at principal balances net of unamortized premiums or discounts. This long-term debt is collateralized only by the assets held in the trusts and is otherwise non-recourse to the Company. |
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 actively 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 swap agreements, or 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. 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 of 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 interest rate swaps had historically been accounted for as cash flow hedges under ASC 815. After August 22, 2014, none of our interest rate swaps were designated for hedge accounting. As a result of discontinuing hedge accounting for our interest rate swaps, changes in the fair value of these interest rate 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 interest rate swaps which was previously recognized in interest expense, is instead recognized in “Gain (loss) on interest rate swaps, net.” These interest rate swaps 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 interest rate 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 interest rate 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 14. For more information on the fair value of our derivative instruments, see Note 8. |
Credit Risk | Credit Risk At September 30, 2016, 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 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. We also own residential mortgage loans held-for-investment. As the majority of these loans (the tranches of the securitization trusts senior to our interests) are collateral for the asset-backed securities issued by the trusts, our potential credit risk is on the subordinated tranches that we own, as these tranches would be the first ones to absorb any losses resulting from defaults by the borrowers on the underlying mortgage loans. 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 swaps. In order to limit this risk, our practice was to only enter into interest rate swaps with large financial institution counterparties who were market makers for these types of instruments, limit our exposure on each interest rate 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 interest rate swaps held with that counterparty. For all interest rate swaps entered into on or after September 9, 2013, all interest rate swap participants are required by rules of the Commodities Futures Trading Commission, under authority granted to it pursuant to the Dodd-Frank Wall Street Reform and Consumer Protection Act, or the Dodd-Frank Act, to clear interest rate swaps through a registered derivatives clearing organization, or “swap execution facility,” through standardized documents under which each interest rate swap counterparty transfers its position to another entity whereby a central clearinghouse effectively becomes the counterparty on each side of the interest rate swap. It is the intent of the Dodd-Frank Act that the clearing of interest rate 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 2016 relative to any tax positions taken prior to January 1, 2016. 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 September 30, 2016. 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 2011 and 2010, 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 13). |
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 and nine months ended September 30, 2016 and 2015 is as follows (amounts in thousands, except per share data): Net Income (Loss) to Common Stockholders Average Shares Earnings per Share For the three months ended September 30, 2016 Basic EPS $ 26,638 95,881 $ 0.28 Effect of dilutive securities 394 4,709 (0.01 ) Diluted EPS $ 27,032 100,590 $ 0.27 For the three months ended September 30, 2015 Basic EPS $ (23,446 ) 102,431 $ (0.23 ) Effect of dilutive securities - - - Diluted EPS $ (23,446 ) 102,431 $ (0.23 ) Net (Income) Loss to Common Stockholders Average Shares Earnings per Share For the nine months ended September 30, 2016 Basic EPS $ 1,750 96,644 $ 0.02 Effect of dilutive securities - - - Diluted EPS $ 1,750 96,644 $ 0.02 For the nine months ended September 30, 2015 Basic EPS $ (23,043 ) 104,611 $ (0.22 ) Effect of dilutive securities - - - Diluted EPS $ (23,043 ) 104,611 $ (0.22 ) |
Accumulated Other Comprehensive Income | Accumulated Other Comprehensive Income In accordance with ASC 220-10-55-2, total comprehensive income is comprised of 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 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. We adopted this ASU which became effective for our financial statements beginning with the quarter ended March 31, 2016. We do not believe that this ASU has 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. We adopted this ASU which became On February 18, 2015, the FASB issued 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. We adopted this ASU which became effective for our financial statements beginning with the quarter ended March 31, 2016. We do not believe that this ASU has 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. We adopted this ASU which became effective for our financial statements beginning with the quarter ended March 31, 2016. We do not believe that this ASU has a material impact on our financial statements. In November 2015, the FASB issued ASU 2015-17, “Balance Sheet Classification of Deferred Taxes” (Topic 740). The guidance in this new ASU eliminated the current requirement to present deferred tax assets and deferred tax liabilities as current or noncurrent in a classified balance sheet and now requires entities to classify all deferred tax assets and deferred tax liabilities as noncurrent. Public companies are required to apply the guidance in this ASU beginning with the quarter ending March 31, 2017. We do not believe this ASU will have a material impact on our financial statements. In January 2016, the FASB issued ASU 2016-01, “Recognition and Measurement of Financial Assets and Financial Liabilities” (Subtopic 825-10), which is intended to improve existing GAAP by (1) requiring equity investment[s] (except those accounted for under the equity method of accounting, or those that result in consolidation of the investee) to be measured at fair value with changes in fair value recognized in net income; (2) requiring public business entities to use the exit price notion when measuring the fair value of financial instruments for disclosure purposes; (3) requiring separate presentation of financial assets and financial liabilities by measurement category and form of financial asset (that is, securities or loans or receivables) on the balance sheet or the accompanying notes to the financial statements; (4) eliminating the requirement to disclose the fair value of financial instruments measured at amortized cost for organizations that are not public business entities; (5) eliminating the requirement for public business entities to disclose the method(s) and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the balance sheet; and (6) requiring a reporting organization to present separately in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the organization has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. Public companies are required to apply the guidance in this ASU beginning with the quarter ending March 31, 2018. We do not believe this ASU will have a material impact on our financial statements. On February 25, 2016, the FASB issued ASU 2016-2, “Leases” (Topic 842), which is intended to improve financial reporting for lease transactions. This ASU will require organizations that lease assets, such as real estate, airplanes and manufacturing equipment, to recognize on their balance sheet the assets and liabilities for the rights to use those assets for the lease term and obligations to make lease payments created by those leases that have terms of greater than 12 months. The recognition, measurement, and presentation of expenses and cash flows arising from a lease by a lessee primarily will depend on its classification as a finance or operating lease. This ASU will also require disclosures to help investors and other financial statement users better understand the amount and timing of cash flows arising from leases. These disclosures will include qualitative and quantitative requirements, providing additional information about the amounts recorded in the financial statements. This ASU will be effective for public entities beginning with the quarter ending March 31, 2019. We do not believe that this ASU will have a material impact on our financial statements. In March 2016, the FASB issued ASU 2016-05, “Derivatives and Hedging (Topic 815) - Effect of Derivative Contract Novations on Existing Hedge Accounting Relationships.” The term novation On March 14, 2016, the FASB issued ASU 2016-06, “Derivatives and Hedging (Topic 815): Contingent Put and Call Options in Debt Instruments (a consensus of the Emerging Issues Task Force).” This topic requires that embedded derivatives be separated from the host contract and accounted for separately as derivatives if certain criteria are met. One of those criteria is that the economic characteristics and risk of the embedded derivatives are not clearly and closely related to the economic characteristics and risks of the host contract. This ASU clarifies that when assessing whether contingent call (put) options that can accelerate the payment of principal on debt instruments are clearly and closely related to their debt hosts, entities must use the four-step decision sequence established by the Derivatives Implementation Group. The four-step decision sequence requires an entity to consider whether (1) the payoff or settlement is adjusted based on changes in an index; (2) the payoff is indexed to an underlying other than interest rates or credit risk; (3) the debt involves a substantial premium or discount; and (4) the call (put) option is contingently exercisable. This ASU is effective for public entities beginning with the quarter ending March 31, 2017. We do not believe this ASU will have a material impact on our financial statements. On March 15, 2016, the FASB issued ASU 2016-07, “Investments–Equity Method and Joint Ventures (Topic 323) – Simplifying the Transition to the Equity Method of Accounting,” which eliminates the requirement that when an investment qualifies for use of the equity method as a result of an increase in the level of ownership interest or degree of influence, an investor must adjust the investment, results of operations, and retained earnings retroactively on a step-by-step basis as if the equity method had been in effect during all previous periods that the investment had been held. This ASU requires that the equity method investor add the cost of acquiring the additional interest and adopt the equity method of accounting as of the date the investment becomes qualified for equity method accounting. This ASU also requires that an entity that has an available-for-sale equity security that becomes qualified for the equity method of accounting recognize through earnings the unrealized holding gain or less in accumulated other comprehensive income at the date the investment becomes qualified for use of the equity method. This ASU becomes effective for all entities beginning with the quarter ending March 31, 2017. We do not believe this ASU will have a material impact on our financial statements. On March 17, 2016, the FASB issued ASU 2016-08, “Revenue from Contracts with Customers (Topic 606): Principal versus Agent Considerations (Reporting Revenue Gross versus Net).” This ASU affects the guidance in ASU 2014-09, “Revenue from Contracts with Customers (Topic 606).” Both ASU 2014-09 and ASU 2016-08 will become effective for public entities beginning with the quarter ending March 31, 2018. ASU 2016-08 clarifies the implementation guidance on principal versus agent considerations. When another party is involved in providing goods or services to a customer, an entity is required to determine whether the nature of its promise to provide the specified good or service itself (that is, the entity is a principal) or to arrange for that good or service to be provided by the other party (that is, the entity is an agent). When (or as) an entity that is a principal satisfies a performance obligation, the entity recognized revenue in the gross amount of consideration to which it expects to be entitled in exchange for the specified good or service transferred to the customer. When (or as) an entity that is an agent satisfies a performance obligation, the entity recognized revenue in the amount of any fee or commission to which it expects to be entitled in exchange for arranging for the specified good or service to be provided by the other party. An entity is a principal if it controls the specified good or service before that good or service is transferred to a customer. We do not believe that this ASU will have a material impact on our financial statements. On March 31, 2016, the FASB issued ASU 2016-09, “Compensation-Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting.” This ASU simplifies some of the aspects of accounting for share-based payment transactions, mostly related to income tax consequences. This ASU becomes effective for public entities beginning with the quarter ending March 31, 2017. We do not believe that this ASU will have a material impact on our financial statements. In April 2016, the FASB issued ASU 2016-10, “Revenue from Contracts with Customers (Topic 606), Identifying Performance Obligations and Licensing.” This ASU affects the guidance in ASU 2014-09, “Revenue from Contracts with Customers (Topic 606).” Both ASU 2014-09 and ASU 2016-10 will become effective for public companies beginning with the quarter ending March 31, 2018. Before an entity can identify its performance obligations in a contract with a customer, the entity first identifies the promised goods or services in the contract. This ASU clarifies that (1) an entity is not required to assess whether promised goods or services are performance obligations if they are immaterial in the context of the contract with the customer; (2) an entity is permitted, as an accounting policy election, to account for shipping and handling activities that occur after the customer has obtained control of a good as an activity to fulfill the promise to transfer the good rather than as an additional promised service; and (3) in determining whether promises to transfer goods or services to a customer are separately identifiable, an entity determines whether the nature of its promise in the contract is to transfer each of the goods or services or whether the promise is to transfer a combined item to which the promised goods or services are inputs. This ASU also amends the licensing implementation guidance related to ASU 2014-09. We do not believe that this ASU will have a material impact on our financial statements. In May 2016, the FASB issued ASU 2016-12, “Revenue from Contracts with Customers (Topic 606): Narrow-Scope Improvements and Practical Expedients.” This ASU affects the guidance in ASU 2014-09, “Revenue from Contracts with Customers (Topic 606).” Both ASU 2014-09 and ASU 2016-12 will become effective for public companies beginning with the quarter ending March 31, 2018. One of the criterions in identifying a contract with a customer is whether it is probable that an entity will collect the consideration to which it will be entitled in exchange for the goods or services that will be transferred to the customer. This ASU clarifies that the objective of this assessment is to determine whether a contract is valid and represents a substantive transaction on the basis of whether a customer has the ability and intention to pay the promised consideration in exchange for the goods or services that will be transferred to the customer. A new criterion was also added in this ASU to clarify when revenue would be recognized for a contract that fails to meet certain criteria. This would allow an entity to recognize revenue in the amount of consideration received when the entity has transferred control of the goods or services, the entity has stopped transferring goods or services (if applicable) and has no obligation under the contract to transfer additional goods or services, and the consideration received from the customer is nonrefundable. This ASU also clarifies that the measurement date for any noncash consideration is contract inception. This ASU also clarifies some of the transition guidance. We do not believe that this ASU will have a material impact on our financial statements. On June 16, 2016, the FASB issued ASU 2016-13, “Financial Instruments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments.” This ASU is applicable to the measurement of credit losses on financial assets measured at amortized cost, including loan receivables, held-to-maturity debt securities, and reinsurance receivables. It also applies to off-balance sheet credit exposures not accounted for as insurance (loan commitments, standby letters of credit, financial guarantees, and other similar instruments) and net investments in leases recognized by a lessor. The scope excludes financial assets measured at fair value through net income, available-for-sale securities, loans made to participants by defined contribution employee benefit plans, policy loan receivables of an insurance company, pledge receivables of a not-for-profit entity, and receivables between entities under common control. This ASU will require entities to immediately record the full amount of credit losses that are expected in their loan portfolios and to re-evaluate at each reporting period. The income statement will reflect the credit loss provision (or expense) necessary to adjust the allowance estimate since the previous reporting date. The expected credit loss estimate should consider available information relevant to assessing the collectability of contractual cash flows including information about past events (i.e. historical loss experience), current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. This ASU will become effective for public entities beginning with the quarter ending March 31, 2020. Although, at this time, we are not able to measure the impact that this ASU will have on our financial statements, we believe that when implemented, while not having a significant impact on the losses incurred over the life of the loans, it is likely that credit losses will be recognized through the allowance account sooner than previously required. In August 2016, the FASB issued ASU 2016-15, “Statement of Cash Flows (Topic 230): Classification of Certain Cash Receipts and Cash Payments,” which provides guidance on the following eight specific cash flow issues where there is currently either no guidance or the guidance is unclear: (1) Debt Prepayment or Debt Extinguishment Costs; (2) Settlement of Zero-Coupon Debt Instruments or Other Debt Instruments with Coupon Interest Rates That Are Insignificant in Relation to the Effective Interest Rate of the Borrowing; (3) Contingent Consideration Payments Made after a Business Combination; (4) Proceeds from the Settlement of Insurance Claims; (5) Proceeds from the Settlement of Corporate-Owned Life Insurance Policies, including Bank-Owned Life Insurance Policies; (6) Distributions Received from Equity Method Investees; (7) Beneficial Interests in Securitization Transactions; and (8) Separately Identifiable Cash Flows and Application of the Predominance Principle. This ASU will become effective for all public entities beginning with the quarter ending March 31, 2018. We do not believe that this ASU will have a material impact on our financial statements. |
Series B Preferred Stock | |
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | |
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. Our 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 our Series B Preferred Stock as temporary equity. We have analyzed whether the conversion features in our 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 27
Organization and Significant Accounting Policies (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
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 September 30, 2016 and December 31, 2015, aggregated by investment category and length of time (dollar amounts in thousands): September 30, 2016 Less Than 12 Months 12 Months or More Total Description of Securities Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Agency MBS 74 $ 271,622 $ (898 ) 254 $ 502,325 $ (5,207 ) 328 $ 773,947 $ (6,105 ) Non-Agency MBS 46 $ 291,569 $ (9,065 ) 19 $ 106,429 $ (4,451 ) 65 $ 397,998 $ (13,516 ) December 31, 2015 Less Than 12 Months 12 Months or More Total Description of Securities Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Number of Securities Fair Value Unrealized Losses Agency MBS 107 $ 731,112 $ (5,177 ) 332 $ 1,637,714 $ (33,085 ) 439 $ 2,368,826 $ (38,262 ) Non-Agency MBS 53 $ 323,198 $ (5,530 ) - $ - $ - 53 $ 323,198 $ (5,530 ) |
Computation of Earnings Per Share | The computation of EPS for the three and nine months ended September 30, 2016 and 2015 is as follows (amounts in thousands, except per share data): Net Income (Loss) to Common Stockholders Average Shares Earnings per Share For the three months ended September 30, 2016 Basic EPS $ 26,638 95,881 $ 0.28 Effect of dilutive securities 394 4,709 (0.01 ) Diluted EPS $ 27,032 100,590 $ 0.27 For the three months ended September 30, 2015 Basic EPS $ (23,446 ) 102,431 $ (0.23 ) Effect of dilutive securities - - - Diluted EPS $ (23,446 ) 102,431 $ (0.23 ) Net (Income) Loss to Common Stockholders Average Shares Earnings per Share For the nine months ended September 30, 2016 Basic EPS $ 1,750 96,644 $ 0.02 Effect of dilutive securities - - - Diluted EPS $ 1,750 96,644 $ 0.02 For the nine months ended September 30, 2015 Basic EPS $ (23,043 ) 104,611 $ (0.22 ) Effect of dilutive securities - - - Diluted EPS $ (23,043 ) 104,611 $ (0.22 ) |
Restricted Cash (Tables)
Restricted Cash (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Cash And Cash Equivalents [Abstract] | |
Summary of Restricted Cash Balances | The following represents the Company’s restricted cash balances at September 30, 2016 and December 31, 2015 (in thousands): September 30, December 31, 2016 2015 Restricted cash - reverse repurchase agreements $ - $ 25,000 Restricted cash - swap margin calls 18,846 11,913 Restricted cash - Eurodollar Futures Contracts 580 2,317 $ 19,426 $ 39,230 |
Mortgage-Backed Securities (MBS
Mortgage-Backed Securities (MBS) (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Investments Debt And Equity Securities [Abstract] | |
Agency MBS and Non-Agency MBS, Which are Carried at Fair Value | The following tables summarize our Agency MBS and Non-Agency MBS at September 30, 2016 and December 31, 2015, which are carried at their fair value (in thousands): September 30, 2016 By Agency Ginnie Mae Freddie Mac Fannie Mae Total Agency MBS Non-Agency MBS Total MBS Amortized cost $ 8,960 $ 1,639,227 $ 2,320,738 $ 3,968,925 $ 647,023 $ 4,615,948 Paydowns receivable (1)(2) - 29,841 - 29,841 (14 ) 29,827 Unrealized gains 2 20,101 45,850 65,953 10,723 76,676 Unrealized losses (166 ) (3,020 ) (2,919 ) (6,105 ) (13,516 ) (19,621 ) Fair value $ 8,796 $ 1,686,149 $ 2,363,669 $ 4,058,614 $ 644,216 $ 4,702,830 By Security Type ARMs Hybrids 15-Year Fixed-Rate (1) 20-Year and 30-Year Fixed-Rate Total Agency MBS Non-Agency MBS Total MBS Amortized cost $ 1,917,766 $ 1,179,727 $ 720,184 $ 151,248 $ 3,968,925 $ 647,023 $ 4,615,948 Paydowns receivable (2)(3) 15,125 14,716 - - 29,841 (14 ) 29,827 Unrealized gains 45,149 5,495 6,986 8,323 65,953 10,723 76,676 Unrealized losses (2,694 ) (3,411 ) - - (6,105 ) (13,516 ) (19,621 ) Fair value $ 1,975,346 $ 1,196,527 $ 727,170 $ 159,571 $ 4,058,614 $ 644,216 $ 4,702,830 (1) Included in the fair value of the 15-year fixed-rate Agency MBS was approximately $324.5 million held as trading investments. (2) Paydowns receivable on Agency MBS 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 15 th (3) Paydowns receivable on Non-Agency MBS represent when the Company receives notice of prepayments but does not receive the actual cash until the following month. December 31, 2015 By Agency Ginnie Mae Freddie Mac Fannie Mae Total Agency MBS Non-Agency MBS Total MBS Amortized cost $ 10,118 $ 1,976,155 $ 2,858,659 $ 4,844,932 $ 679,584 $ 5,524,516 Paydowns receivable (1)(2) - 24,707 - 24,707 112 24,819 Unrealized gains 3 12,922 48,480 61,405 7,895 69,300 Unrealized losses (156 ) (23,689 ) (14,417 ) (38,262 ) (5,530 ) (43,792 ) Fair value $ 9,965 $ 1,990,095 $ 2,892,722 $ 4,892,782 $ 682,061 $ 5,574,843 By Security Type ARMs Hybrids 15-Year Fixed-Rate 20-Year and 30-Year Fixed-Rate Total Agency MBS Non-Agency MBS Total MBS Amortized cost $ 2,086,487 $ 1,926,775 $ 653,246 $ 178,424 $ 4,844,932 $ 679,584 $ 5,524,516 Paydowns receivable (1)(2) 7,760 16,947 - - 24,707 112 24,819 Unrealized gains 49,866 2,812 1,920 6,807 61,405 7,895 69,300 Unrealized losses (4,707 ) (25,347 ) (8,208 ) - (38,262 ) (5,530 ) (43,792 ) Fair value $ 2,139,406 $ 1,921,187 $ 646,958 $ 185,231 $ 4,892,782 $ 682,061 $ 5,574,843 (1) Paydowns receivable on Agency MBS 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 15 th (2) Paydowns receivable on Non-Agency MBS represent when the Company receives notice of prepayments but does not receive the actual cash until 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 for the three and nine months ended September 30, 2016 and cumulatively at September 30, 2016 and December 31, 2015: For the Three Months Ended For the Nine Months Ended At At September 30, September 30, September 30, December 31, 2016 2016 2016 2015 (in thousands) Non-Agency MBS acquired with credit deterioration: Contractually required principal $ (13,932 ) $ (53,527 ) $ 573,742 $ 627,269 Contractual principal not expected to be collected (non-accretable yield) 591 8,636 (185,720 ) (194,355 ) Expected cash flows to be collected (13,341 ) (44,891 ) 388,022 432,914 Market yield adjustment 2,536 4,109 60,329 56,220 Unrealized (loss) gain, net 8,177 (4,424 ) 1,026 5,450 Fair value (2,627 ) (45,206 ) 449,378 494,584 Fair value of other Non-Agency MBS (without credit deterioration) 1,490 7,361 194,838 187,477 Total fair value of Non-Agency MBS $ (1,137 ) $ (37,845 ) $ 644,216 $ 682,061 |
Schedule of Components of Purchase Discount on its Non-Agency MBS | The following table presents the change for the three and nine months ended September 30, 2016 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: Three Months Ended Nine Months Ended September 30, September 30, 2016 2016 Market Yield Adjustment Non- Accretable Market Yield Adjustment Non- Accretable (in thousands) Balance, beginning of period $ 57,793 $ (186,311 ) $ 56,220 $ (194,355 ) Accretion of discount (475 ) - (766 ) - Purchases 3,011 (4,447 ) 4,875 (9,136 ) Realized credit losses, net of recoveries - 5,038 - 17,771 Sales - - - - Balance, end of period $ 60,329 $ (185,720 ) $ 60,329 $ (185,720 ) |
Variable Interest Entities (Tab
Variable Interest Entities (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Variable Interest Entities [Abstract] | |
Summary of Assets and Liabilities of Variable Interest Entities | The following table presents a summary of the assets and liabilities of our consolidated securitization trusts as of September 30, 2016 and December 31, 2015. September 30, December 31, 2016 2015 (in thousands) Residential mortgage loans held-for-investment $ 795,527 $ 969,172 Accrued interest receivable 2,651 3,092 Total assets $ 798,178 $ 972,264 Accrued interest payable $ 2,578 $ 2,892 Asset-backed securities issued by securitization trusts 779,761 915,486 Total liabilities $ 782,339 $ 918,378 |
Summary of Residential Mortgage Loans Held-for-Investment | The following table details the carrying value for residential mortgage September 30, December 31, 2016 2015 (in thousands) Principal balance $ 787,136 $ 958,403 Unamortized premium net of discount 8,594 10,972 Allowance for loan losses (203 ) (203 ) Carrying value $ 795,527 $ 969,172 |
Summary of Portfolio Characteristics of Residential Mortgage Loans Held-for-Investment | The following table details various portfolio characteristics of the residential mortgage loans held-for-investment at September 30, 2016 and December 31, 2015: September 30, December 31, 2016 2015 (dollar amounts in thousands) Portfolio Characteristics: Number of loans 1,118 1,328 Current principal balance $ 787,136 $ 958,403 Average loan balance $ 704 $ 722 Net weighted average coupon rate 3.87 % 3.87 % Weighted average maturity (years) 27.6 28.4 Weighted average FICO score 762 762 Current Performance: Current $ 785,692 $ 954,341 30 days delinquent 616 3,234 60 days delinquent - 828 90+ days delinquent 828 - Bankruptcy/foreclosure - - Total $ 787,136 $ 958,403 |
Summary of Geographic Concentrations of Residential Mortgage Loans Held-for-Investment | The following table summarizes the geographic concentrations of residential mortgage September 30, December 31, State 2016 2015 (Percent) California 46.0 % 48.2 % Florida 6.2 6.0 Other states (none greater than 5%) 47.8 45.8 Total 100.0 % 100.0 % |
Summary of Activity in Allowance for Loan Losses | The following table summarizes the activity in the allowance for loan losses for the three and nine months ended September 30, 2016: Three Months Ended Nine Months Ended September 30, September 30, 2016 2016 (in thousands) Balance at beginning of period $ 203 $ 203 Provision for loan losses - - Charge-offs, net - - Balance at end of period $ 203 $ 203 |
Repurchase Agreements (Tables)
Repurchase Agreements (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Banking And Thrift [Abstract] | |
Repurchase Agreements Balances, Weighted Average Interest Rates and Remaining Weighted Average Maturities | At September 30, 2016 and December 31, 2015, the repurchase agreements had the following balances (dollar amounts in thousands), weighted average interest rates and remaining weighted average maturities: September 30, 2016 Agency MBS Non-Agency MBS Total MBS Balance Weighted Average Interest Rate Balance Weighted Average Interest Rate Balance Weighted Average Interest Rate Overnight $ - - % $ - - % $ - - % Less than 30 days 1,820,000 0.69 399,700 2.14 2,219,700 0.95 30 days to 90 days 1,720,000 0.72 1,100 1.93 1,721,100 0.72 Over 90 days to less than 1 year - - - - - - 1 year to 2 years - - - - - - Demand - - - - - - $ 3,540,000 0.71 % $ 400,800 2.14 % $ 3,940,800 0.85 % Weighted average maturity 36 days 15 days 34 days Weighted average interest rate after adjusting for interest rate swaps 1.16 % Weighted average maturity after adjusting for interest rate swaps 478 days MBS pledged as collateral under the repurchase agreements and interest rate swaps $ 3,836,791 $ 521,364 $ 4,358,155 December 31, 2015 Agency MBS Non-Agency MBS Total MBS Balance Weighted Average Interest Rate Balance Weighted Average Interest Rate Balance Weighted Average Interest Rate Overnight $ - - % $ - - % $ - - % Less than 30 days 2,710,000 0.60 485,528 1.91 3,195,528 0.80 30 days to 90 days 1,720,000 0.60 - - 1,720,000 0.60 Over 90 days to less than 1 year - - - - - - 1 year to 2 years - - - - - - Demand - - - - - - $ 4,430,000 0.60 % $ 485,528 1.91 % $ 4,915,528 0.73 % Weighted average maturity 28 days 14 days 27 days Weighted average interest rate after adjusting for interest rate swaps 1.39 % Weighted average maturity after adjusting for interest rate swaps 736 days MBS pledged as collateral under the repurchase agreements and interest rate swaps $ 4,694,731 $ 596,831 $ 5,291,562 |
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, 8 and 14 for more information on the Company’s interest rate 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 September 30, 2016 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) $ 2,023 $ - $ 2,023 $ (2,023 ) $ - $ - Total $ 2,023 $ - $ 2,023 $ (2,023 ) $ - $ - Repurchase agreements (3) $ 3,940,800 $ - $ 3,940,800 $ (3,940,800 ) $ - $ - Derivative liabilities at fair value (2) 48,224 - 48,224 (48,224 ) - - Total $ 3,989,024 $ - $ 3,989,024 $ (3,989,024 ) $ - $ - Net Amounts of Assets Gross Amounts Not Offset Gross Amounts or Liabilities in the Balance Sheets (1) of Recognized Gross Amounts Presented in Cash December 31, 2015 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) $ 12,470 $ - $ 12,470 $ (12,470 ) $ - $ - Total $ 12,470 $ - $ 12,470 $ (12,470 ) $ - $ - Repurchase agreements (3) $ 4,915,528 $ - $ 4,915,528 $ (4,915,528 ) $ - $ - Derivative liabilities at fair value (2) 34,547 - 34,547 (34,547 ) - - Total $ 4,950,075 $ - $ 4,950,075 $ (4,950,075 ) $ - $ - (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 September 30, 2016, we had pledged approximately $44.5 million in Agency MBS as collateral and paid another approximately $18.8 million on swap margin calls (included in “Restricted cash”) on our swap derivatives, which were approximately $652 thousand in derivative assets and approximately $48.2 million in derivative liabilities at September 30, 2016. At December 31, 2015, we had pledged approximately $39.8 million in Agency MBS as collateral and paid another approximately $11.9 million on swap margin calls on our swap derivatives, which were approximately $11.6 million in derivative assets and approximately $33.9 million in derivative liabilities at December 31, 2015. (3) At September 30, 2016, we had pledged approximately $3.79 billion in Agency MBS and approximately $521 million in Non-Agency MBS as collateral on our repurchase agreements. At December 31, 2015, we had pledged $4.7 billion in Agency MBS and approximately $597 million in Non-Agency MBS as collateral on our repurchase agreements. |
Fair Values of Financial Inst32
Fair Values of Financial Instruments (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements on Recurring Basis | At September 30, 2016, fair value measurements on a recurring basis were as follows (in thousands): Level 1 Level 2 Level 3 Total Assets: Agency MBS (1) $ - $ 4,058,614 $ - $ 4,058,614 Non-Agency MBS (1) $ - $ 644,216 $ - $ 644,216 Derivative instruments (2) $ - $ 2,023 $ - $ 2,023 Liabilities: Derivative instruments (2) $ - $ 48,224 $ - $ 48,224 (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 14. At December 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) $ - $ 4,892,782 $ - $ 4,892,782 Non-Agency MBS (1) $ - $ 682,061 $ - $ 682,061 Derivative instruments (2) $ - $ 12,470 $ - $ 12,470 Liabilities: Derivative instruments (2) $ - $ 34,547 $ - $ 34,547 (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 14. |
Carrying Value and Estimated Fair Value of Financial Instruments | The following table presents the carrying value and estimated fair value of the Company’s financial instruments that are not carried at fair value on the consolidated balance sheets at September 30, 2016 and December 31, 2015 (dollar amounts in thousands): September 30, 2016 December 31, 2015 Carrying Value Estimated Fair Value Carrying Value Estimated Fair Value Financial Assets: Residential mortgage loans held-for-investment $ 795,527 $ 811,407 $ 969,172 $ 959,418 Financial Liabilities: Asset-backed securities issued by securitization trusts $ 779,761 $ 795,339 $ 915,486 $ 907,556 |
Transactions with Affiliates (T
Transactions with Affiliates (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Related Party Transactions [Abstract] | |
Future Minimum Lease Commitment | At September 30, 2016, the future minimum lease commitment was as follows (in whole dollars): Year 2016 2017 2018 2019 2020 Thereafter Total Commitment Commitment $ 119,422 $ 484,852 $ 499,398 $ 514,374 $ 529,800 $ 822,579 $ 2,970,425 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 9 Months Ended |
Sep. 30, 2016 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Fair Value 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 September 30, 2016 and December 31, 2015: September 30, December 31, Derivative Instruments Balance Sheet Location 2016 2015 (in thousands) De-designated interest rate swaps Derivative Assets $ 652 $ 11,644 Eurodollar Futures Contracts Derivative Assets 114 826 TBA Agency MBS Derivative Assets 1,257 - $ 2,023 $ 12,470 De-designated interest rate swaps Derivative Liabilities $ 48,224 $ 33,897 TBA Agency MBS Derivative Liabilities - 650 $ 48,224 $ 34,547 |
Notional Amounts of Swap Agreement, Weighted Average Fixed Rates and Remaining Terms | At September 30, 2016, the amount in AOCI relating to interest rate swaps was approximately $18.4 million. The estimated net amount of the existing losses that were reported in AOCI at September 30, 2016 that is expected to be reclassified into earnings within the next twelve months is approximately $2.4 million. At September 30, 2016 and December 31, 2015, our interest rate swaps had the following notional amounts (dollar amounts in thousands), weighted average fixed rates and remaining terms (in months): September 30, 2016 December 31, 2015 Maturity Notional Amount Weighted Average Fixed Rate Remaining Term in Months Notional Amount Weighted Average Fixed Rate Remaining Term in Months Less than 1 year $ 775,000 0.69 % 4 $ 950,000 0.68 % 9 1 year to 2 years 435,000 0.90 16 930,000 0.96 18 2 years to 3 years 100,000 1.00 25 1,000,000 1.13 30 3 years to 4 years 116,000 1.32 38 250,000 1.28 44 4 years to 5 years 200,000 2.06 55 216,000 1.88 58 5 years to 7 years 420,000 2.73 78 320,000 2.54 78 7 years to 10 years - - - 200,000 3.00 93 $ 2,046,000 1.34 % 30 $ 3,866,000 1.24 % 32 |
Swap Agreements by Counterparty | Swap Agreements by Counterparty September 30, December 31, 2016 2015 (in thousands) Chicago Mercantile Exchange (1) $ 1,061,000 $ 1,891,000 JPMorgan Securities 425,000 525,000 Deutsche Bank Securities 325,000 565,000 RBS Greenwich Capital 115,000 115,000 Nomura Securities International 100,000 200,000 Bank of New York 20,000 120,000 ING Financial Markets LLC - 450,000 $ 2,046,000 $ 3,866,000 (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) | 9 Months Ended |
Sep. 30, 2016 | |
Other Income And Expenses [Abstract] | |
Other Expenses | Three Months Ended Nine Months Ended September 30, September 30, 2016 2015 2016 2015 (in thousands) Legal and professional fees $ 177 $ 139 $ 490 $ 469 Printing and stockholder communications 15 12 175 160 Directors and Officers insurance 123 124 375 375 DERs expense 101 94 302 265 Amortization of restricted stock 79 24 237 73 Software implementation and maintenance 179 85 593 248 Administrative service fees 38 40 115 123 Rent 128 127 383 378 Stock exchange and filing fees 50 40 148 122 Custodian and clearing fees 47 65 169 195 Sarbanes-Oxley consulting fees 30 30 90 85 Commissions - Eurodollar Futures Contracts - 15 44 15 Board of directors fees and expenses 83 97 234 254 Securities data services 100 93 300 252 Leasing commissions on rental properties 9 21 29 49 Other expenses on rental properties 68 74 207 162 Depreciation expense on rental properties 113 110 338 329 Property insurance on rental properties 28 32 84 86 Management fee for rental properties 42 40 125 117 Property taxes on rental properties 77 45 230 157 Recovery on Lehman receivable (58 ) - (58 ) (192 ) Other 64 49 141 147 Total of other expenses $ 1,493 $ 1,356 $ 4,751 $ 3,869 |
Organization and Significant 36
Organization and Significant Accounting Policies - Additional Information (Detail) | 9 Months Ended |
Sep. 30, 2016USD ($) | |
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | |
Description of management fee | In exchange for services provided, 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% |
Gain or loss recorded upon consolidation | $ 0 |
MBS initial fixed interest rate required, period | one to ten years |
Building Estimated Value | 27 years 6 months |
Building Salvage Value | $ 0 |
Unrecognized tax benefits | 0 |
Unrecognized tax benefits, accrued interest or penalties | $ 0 |
Minimum | |
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | |
MBS initial fixed interest rate required, period | 1 year |
Maximum | |
Organization Consolidation And Presentation Of Financial Statements Disclosure [Line Items] | |
MBS initial fixed interest rate required, period | 10 years |
Gross Unrealized Losses and Fai
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) $ in Thousands | Sep. 30, 2016USD ($)Investment | Dec. 31, 2015USD ($)Investment |
Agency MBS | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Less Than 12 Months Number of Securities | Investment | 74 | 107 |
Less Than 12 Months Fair Value | $ 271,622 | $ 731,112 |
Less Than 12 Months Unrealized Losses | $ (898) | $ (5,177) |
12 Months or More Number of Securities | Investment | 254 | 332 |
12 Months or More Fair Value | $ 502,325 | $ 1,637,714 |
12 Months or More Unrealized Losses | $ (5,207) | $ (33,085) |
Total Number of Securities | Investment | 328 | 439 |
Total Fair Value | $ 773,947 | $ 2,368,826 |
Total Unrealized Losses | $ (6,105) | $ (38,262) |
Non-Agency MBS | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Less Than 12 Months Number of Securities | Investment | 46 | 53 |
Less Than 12 Months Fair Value | $ 291,569 | $ 323,198 |
Less Than 12 Months Unrealized Losses | $ (9,065) | $ (5,530) |
12 Months or More Number of Securities | Investment | 19 | |
12 Months or More Fair Value | $ 106,429 | |
12 Months or More Unrealized Losses | $ (4,451) | |
Total Number of Securities | Investment | 65 | 53 |
Total Fair Value | $ 397,998 | $ 323,198 |
Total Unrealized Losses | $ (13,516) | $ (5,530) |
Computation of Earnings Per Sha
Computation of Earnings Per Share (Detail) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Earnings Per Share [Abstract] | ||||
Net Income (Loss) to Common Stockholders, Basic EPS | $ 26,638 | $ (23,446) | $ 1,750 | $ (23,043) |
Net Income (Loss) to Common Stockholders, Effect of dilutive securities | 394 | |||
Net Income (Loss) to Common Stockholders, Diluted EPS | $ 27,032 | $ (23,446) | $ 1,750 | $ (23,043) |
Average Shares, Basic EPS | 95,881 | 102,431 | 96,644 | 104,611 |
Average Shares, Effect of dilutive securities | 4,709 | |||
Average Shares, Diluted EPS | 100,590 | 102,431 | 96,644 | 104,611 |
Earnings per Share, Basic EPS | $ 0.28 | $ (0.23) | $ 0.02 | $ (0.22) |
Earnings per Share, Effect of dilutive securities | (0.01) | |||
Earnings per Share, Diluted EPS | $ 0.27 | $ (0.23) | $ 0.02 | $ (0.22) |
Restricted Cash - Summary of Re
Restricted Cash - Summary of Restricted Cash Balances (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Restricted Cash And Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 19,426 | $ 39,230 |
Reverse Repurchase Agreements | ||
Restricted Cash And Cash Equivalents Items [Line Items] | ||
Restricted cash | 25,000 | |
Swap Margin Calls | ||
Restricted Cash And Cash Equivalents Items [Line Items] | ||
Restricted cash | 18,846 | 11,913 |
Eurodollar Future | ||
Restricted Cash And Cash Equivalents Items [Line Items] | ||
Restricted cash | $ 580 | $ 2,317 |
Agency MBS and Non-Agency MBS,
Agency MBS and Non-Agency MBS, which are Carried at Fair Value (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |||
Schedule Of Available For Sale Securities [Line Items] | |||||
Amortized cost | $ 4,844,932 | ||||
Paydowns receivable | $ 29,841 | 24,707 | [1],[2] | ||
Unrealized gains | 61,405 | ||||
Unrealized losses | (38,262) | ||||
Available-for-sale Securities, Total | 4,058,614 | 4,892,782 | |||
Fair value | 644,216 | 682,061 | |||
TBA Agency MBS | |||||
Schedule Of Available For Sale Securities [Line Items] | |||||
Amortized cost | 3,968,925 | 4,844,932 | |||
Paydowns receivable | [1],[2] | 29,841 | [3] | 24,707 | |
Unrealized gains | 65,953 | 61,405 | |||
Unrealized losses | (6,105) | (38,262) | |||
Available-for-sale Securities, Total | 4,058,614 | 4,892,782 | |||
TBA Agency MBS | Hybrids | |||||
Schedule Of Available For Sale Securities [Line Items] | |||||
Amortized cost | 1,179,727 | 1,926,775 | |||
Paydowns receivable | [1],[2] | 14,716 | 16,947 | ||
Unrealized gains | 5,495 | 2,812 | |||
Unrealized losses | (3,411) | (25,347) | |||
Available-for-sale Securities, Total | 1,196,527 | 1,921,187 | |||
TBA Agency MBS | 15-Year Fixed-Rate | |||||
Schedule Of Available For Sale Securities [Line Items] | |||||
Amortized cost | 720,184 | [3] | 653,246 | ||
Paydowns receivable | [1],[2] | 0 | [3] | 0 | |
Unrealized gains | 6,986 | [3] | 1,920 | ||
Unrealized losses | 0 | [3] | (8,208) | ||
Available-for-sale Securities, Total | 727,170 | [3] | 646,958 | ||
TBA Agency MBS | 20-Year and 30-Year Fixed-Rate | |||||
Schedule Of Available For Sale Securities [Line Items] | |||||
Amortized cost | 151,248 | 178,424 | |||
Paydowns receivable | [1],[2] | 0 | 0 | ||
Unrealized gains | 8,323 | 6,807 | |||
Unrealized losses | 0 | 0 | |||
Available-for-sale Securities, Total | 159,571 | 185,231 | |||
TBA Agency MBS | Ginnie Mae | |||||
Schedule Of Available For Sale Securities [Line Items] | |||||
Amortized cost | 8,960 | 10,118 | |||
Paydowns receivable | [1] | 0 | [3] | 0 | [2] |
Unrealized gains | 2 | 3 | |||
Unrealized losses | (166) | (156) | |||
Available-for-sale Securities, Total | 8,796 | 9,965 | |||
TBA Agency MBS | Freddie Mac | |||||
Schedule Of Available For Sale Securities [Line Items] | |||||
Amortized cost | 1,639,227 | 1,976,155 | |||
Paydowns receivable | [1] | 29,841 | [3] | 24,707 | [2] |
Unrealized gains | 20,101 | 12,922 | |||
Unrealized losses | (3,020) | (23,689) | |||
Available-for-sale Securities, Total | 1,686,149 | 1,990,095 | |||
TBA Agency MBS | Fannie Mae | |||||
Schedule Of Available For Sale Securities [Line Items] | |||||
Amortized cost | 2,320,738 | 2,858,659 | |||
Paydowns receivable | [1] | 0 | [3] | 0 | [2] |
Unrealized gains | 45,850 | 48,480 | |||
Unrealized losses | (2,919) | (14,417) | |||
Available-for-sale Securities, Total | 2,363,669 | 2,892,722 | |||
TBA Agency MBS | ARMs | |||||
Schedule Of Available For Sale Securities [Line Items] | |||||
Amortized cost | 1,917,766 | 2,086,487 | |||
Paydowns receivable | [1],[2] | 15,125 | 7,760 | ||
Unrealized gains | 45,149 | 49,866 | |||
Unrealized losses | (2,694) | (4,707) | |||
Available-for-sale Securities, Total | 1,975,346 | 2,139,406 | |||
MBS | |||||
Schedule Of Available For Sale Securities [Line Items] | |||||
Amortized cost | 4,615,948 | 5,524,516 | |||
Paydowns receivable | [1],[2] | 29,827 | [3] | 24,819 | |
Unrealized gains | 76,676 | 69,300 | |||
Unrealized losses | (19,621) | (43,792) | |||
Available-for-sale Securities, Total | 4,702,830 | 5,574,843 | |||
Non-Agency MBS | |||||
Schedule Of Available For Sale Securities [Line Items] | |||||
Amortized cost | 647,023 | 679,584 | |||
Paydowns receivable | [1],[2] | (14) | [3] | 112 | |
Unrealized gains | 10,723 | 7,895 | |||
Unrealized losses | (13,516) | (5,530) | |||
Fair value | $ 644,216 | $ 682,061 | |||
[1] | Paydowns receivable on Agency MBS 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. | ||||
[2] | Paydowns receivable on Non-Agency MBS represent when the Company receives notice of prepayments but does not receive the actual cash until the following month. | ||||
[3] | Included in the fair value of the 15-year fixed-rate Agency MBS was approximately $324.5 million held as trading investments. |
Agency MBS and Non-Agency MBS41
Agency MBS and Non-Agency MBS, which are Carried at Fair Value (Parenthetical) (Detail) - MBS $ in Millions | 9 Months Ended |
Sep. 30, 2016USD ($) | |
Schedule Of Available For Sale Securities [Line Items] | |
Fair value fixed rate period | 15 years |
Trading investments | $ 324.5 |
Mortgage-Backed Securities (M42
Mortgage-Backed Securities (MBS) - Additional Information (Detail) - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Sep. 30, 2016 | Dec. 31, 2015 | |
Schedule Of Available For Sale Securities [Line Items] | |||
Unrealized gains on trading investments | $ 1,148,000 | $ 1,148,000 | $ 0 |
MBS | |||
Schedule Of Available For Sale Securities [Line Items] | |||
Sale of securities | 87,000,000 | 404,000,000 | |
Gross realized losses on sales of securities | 3,400,000 | ||
Gross realized gains on sales of securities | $ 1,200,000 | $ 1,400,000 |
Estimates of Contractually Requ
Estimates of Contractually Required Payments Expected to be Collected and Fair Value (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |
Sep. 30, 2016 | Sep. 30, 2016 | Dec. 31, 2015 | |
Non-Agency MBS acquired with credit deterioration: | |||
Total fair value of Non-Agency MBS | $ 644,216 | $ 644,216 | $ 682,061 |
Non-Agency MBS | |||
Non-Agency MBS acquired with credit deterioration: | |||
Contractually required principal | 573,742 | 573,742 | 627,269 |
Contractual principal not expected to be collected (non-accretable yield) | (185,720) | (185,720) | (194,355) |
Expected cash flows to be collected | 388,022 | 388,022 | 432,914 |
Market yield adjustment | 60,329 | 60,329 | 56,220 |
Unrealized (loss) gain, net | 1,026 | 1,026 | 5,450 |
Fair value | 449,378 | 449,378 | 494,584 |
Fair value of other Non-Agency MBS (without credit deterioration) | 194,838 | 194,838 | 187,477 |
Total fair value of Non-Agency MBS | 644,216 | 644,216 | $ 682,061 |
Contractually required principal | (13,932) | (53,527) | |
Contractual principal not expected to be collected (non-accretable yield) | 591 | 8,636 | |
Expected cash flows to be collected | (13,341) | (44,891) | |
Market yield adjustment | 2,536 | 4,109 | |
Unrealized (loss) gain, net | 8,177 | (4,424) | |
Fair value | (2,627) | (45,206) | |
Fair value of other Non-Agency MBS (without credit deterioration) | 1,490 | 7,361 | |
Total fair value of Non-Agency MBS | $ (1,137) | $ (37,845) |
Schedule of Components of Purch
Schedule of Components of Purchase Discount on its Non-Agency MBS (Detail) - Non-Agency MBS - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended |
Sep. 30, 2016 | Sep. 30, 2016 | |
Market Yield Adjustment | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Balance, beginning of period | $ 57,793 | $ 56,220 |
Accretion of discount | (475) | (766) |
Purchases | 3,011 | 4,875 |
Realized credit losses, net of recoveries | 0 | 0 |
Sales | 0 | 0 |
Balance, end of period | 60,329 | 60,329 |
Non-Accretable Discount | ||
Schedule Of Available For Sale Securities [Line Items] | ||
Balance, beginning of period | (186,311) | (194,355) |
Accretion of discount | 0 | 0 |
Purchases | (4,447) | (9,136) |
Realized credit losses, net of recoveries | 5,038 | 17,771 |
Sales | 0 | 0 |
Balance, end of period | $ (185,720) | $ (185,720) |
Variable Interest Entities - Su
Variable Interest Entities - Summary of Assets and Liabilities of Variable Interest Entities (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Variable Interest Entity [Line Items] | |||
Residential mortgage loans held-for-investment | [1] | $ 795,527 | $ 969,172 |
Accrued interest receivable | 16,616 | 17,525 | |
Accrued interest payable | 10,355 | 13,443 | |
Asset-backed securities issued by securitization trusts | [1] | 779,761 | 915,486 |
Variable Interest Entities Primary Beneficiary | |||
Variable Interest Entity [Line Items] | |||
Asset-backed securities issued by securitization trusts | 779,761 | 915,486 | |
Variable Interest Entities Primary Beneficiary | Residential Mortgage Backed Securities | |||
Variable Interest Entity [Line Items] | |||
Residential mortgage loans held-for-investment | 795,527 | 969,172 | |
Accrued interest receivable | 2,651 | 3,092 | |
Total assets | 798,178 | 972,264 | |
Accrued interest payable | 2,578 | 2,892 | |
Asset-backed securities issued by securitization trusts | 779,761 | 915,486 | |
Total liabilities | $ 782,339 | $ 918,378 | |
[1] | The consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIEs for which creditors do not have recourse to the Company. At September 30, 2016 and December 31, 2015, total assets of the consolidated VIEs were $798 million and $972 million, respectively, and total liabilities were $782 million and $918 million, respectively. Please refer to Note 4, “Variable Interest Entities,” for further discussion. |
Variable Interest Entities - Ad
Variable Interest Entities - Additional Information (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Dec. 31, 2015 | ||
Variable Interest Entity [Line Items] | ||||||
Gain on sales of residential mortgage loans held-for-investment | $ 716 | $ 0 | $ 749 | $ 0 | ||
Gross realized gain on sales of residential mortgage loans held-for-investment | 870 | |||||
Gross realized loss on sales of residential mortgage loans held-for-investment | 121 | |||||
Asset-backed securities issued by securitization trusts | [1] | 779,761 | 779,761 | $ 915,486 | ||
Variable Interest Entities Primary Beneficiary | ||||||
Variable Interest Entity [Line Items] | ||||||
Asset-backed securities issued by securitization trusts | $ 779,761 | $ 779,761 | $ 915,486 | |||
[1] | The consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIEs for which creditors do not have recourse to the Company. At September 30, 2016 and December 31, 2015, total assets of the consolidated VIEs were $798 million and $972 million, respectively, and total liabilities were $782 million and $918 million, respectively. Please refer to Note 4, “Variable Interest Entities,” for further discussion. |
Variable Interest Entities - Ca
Variable Interest Entities - Carrying Value for Residential Mortgage Loans (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Jun. 30, 2016 | Dec. 31, 2015 | |
Variable Interest Entity [Line Items] | ||||
Carrying value | [1] | $ 795,527 | $ 969,172 | |
Variable Interest Entities Primary Beneficiary | Residential Mortgage Backed Securities | ||||
Variable Interest Entity [Line Items] | ||||
Principal balance | 787,136 | 958,403 | ||
Unamortized premium net of discount | 8,594 | 10,972 | ||
Allowance for loan losses | (203) | $ (203) | (203) | |
Carrying value | $ 795,527 | $ 969,172 | ||
[1] | The consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIEs for which creditors do not have recourse to the Company. At September 30, 2016 and December 31, 2015, total assets of the consolidated VIEs were $798 million and $972 million, respectively, and total liabilities were $782 million and $918 million, respectively. Please refer to Note 4, “Variable Interest Entities,” for further discussion. |
Variable Interest Entities - 48
Variable Interest Entities - Summary of Residential Mortgage Loans Held-for-Investment (Detail) - Variable Interest Entities Primary Beneficiary - Residential Mortgage Backed Securities $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016USD ($)Loan | Dec. 31, 2015USD ($)Loan | |
Portfolio Characteristics: | ||
Number of loans | Loan | 1,118 | 1,328 |
Current principal balance | $ 787,136 | $ 958,403 |
Average loan balance | $ 704 | $ 722 |
Net weighted average coupon rate | 3.87% | 3.87% |
Weighted average maturity (years) | 27 years 7 months 6 days | 28 years 4 months 24 days |
Weighted average FICO score | 762 | 762 |
Current Performance: | ||
Current | $ 785,692 | $ 954,341 |
Bankruptcy/foreclosure | 0 | 0 |
Total | 787,136 | 958,403 |
30 days delinquent | ||
Current Performance: | ||
Delinquent | 616 | 3,234 |
60 days delinquent | ||
Current Performance: | ||
Delinquent | 0 | 828 |
90+ days delinquent | ||
Current Performance: | ||
Delinquent | $ 828 | $ 0 |
Variable Interest Entities - 49
Variable Interest Entities - Summary of Geographic Concentrations of Residential Mortgage Loans Held-for-Investment (Detail) - Variable Interest Entities Primary Beneficiary - Geographic Concentration Risk - Residential Loans Held For Investment | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Concentration Risk [Line Items] | ||
Concentration risk percentage | 100.00% | 100.00% |
California | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 46.00% | 48.20% |
Florida | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 6.20% | 6.00% |
Other states | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage | 47.80% | 45.80% |
Variable Interest Entities - 50
Variable Interest Entities - Summary of Geographic Concentrations of Residential Mortgage Loans Held-for-Investment (Parenthetical) (Detail) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Variable Interest Entities Primary Beneficiary | Geographic Concentration Risk | Residential Loans Held For Investment | ||
Concentration Risk [Line Items] | ||
Concentration risk percentage on other state | 5.00% | 5.00% |
Variable Interest Entities - 51
Variable Interest Entities - Summary of Activity in Allowance for Loan Losses (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Variable Interest Entity [Line Items] | ||||
Provision for loan losses | $ 0 | $ (70) | $ 0 | $ (140) |
Variable Interest Entities Primary Beneficiary | Residential Mortgage Backed Securities | ||||
Variable Interest Entity [Line Items] | ||||
Balance at beginning of period | 203 | 203 | ||
Provision for loan losses | 0 | 0 | ||
Charge-offs, net | 0 | 0 | ||
Balance at end of period | $ 203 | $ 203 |
Residential Properties - Additi
Residential Properties - Additional Information (Detail) - Wholly Owned Properties - Southeastern Florida $ in Millions | Sep. 30, 2016USD ($)ResidentialProperty | Dec. 31, 2015USD ($)ResidentialProperty |
Real Estate Properties [Line Items] | ||
Number of residential property | ResidentialProperty | 88 | 88 |
Cost of residential property | $ | $ 14.3 | $ 14.4 |
Repurchase Agreements Balances,
Repurchase Agreements Balances, Weighted Average Interest Rates and Remaining Weighted Average Maturities (Detail) - USD ($) $ in Thousands | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Assets Sold Under Agreements To Repurchase [Line Items] | ||
MBS pledged as collateral under the repurchase agreements and interest rate swaps | $ 3,836,791 | $ 4,694,731 |
Repurchase agreements | $ 3,940,800 | $ 4,915,528 |
TBA Agency MBS | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Weighted average maturity | 36 days | 28 days |
MBS pledged as collateral under the repurchase agreements and interest rate swaps | $ 3,836,791 | $ 4,694,731 |
Repurchase agreements | $ 3,540,000 | $ 4,430,000 |
Weighted average interest rate | 0.71% | 0.60% |
TBA Agency MBS | Overnight | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Weighted average interest rate | 0.00% | 0.00% |
TBA Agency MBS | Less than 30 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 1,820,000 | $ 2,710,000 |
Weighted average interest rate | 0.69% | 0.60% |
TBA Agency MBS | 30 days to 90 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 1,720,000 | $ 1,720,000 |
Weighted average interest rate | 0.72% | 0.60% |
TBA Agency MBS | Over 90 days to less than 1 year | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Weighted average interest rate | 0.00% | 0.00% |
TBA Agency MBS | 1 year to 2 years | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Weighted average interest rate | 0.00% | 0.00% |
TBA Agency MBS | Demand | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Weighted average interest rate | 0.00% | 0.00% |
Non-Agency MBS | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Weighted average maturity | 15 days | 14 days |
MBS pledged as collateral under the repurchase agreements and interest rate swaps | $ 521,364 | $ 596,831 |
Repurchase agreements | $ 400,800 | $ 485,528 |
Weighted average interest rate | 2.14% | 1.91% |
Non-Agency MBS | Overnight | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Weighted average interest rate | 0.00% | 0.00% |
Non-Agency MBS | Less than 30 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 399,700 | $ 485,528 |
Weighted average interest rate | 2.14% | 1.91% |
Non-Agency MBS | 30 days to 90 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 1,100 | |
Weighted average interest rate | 1.93% | |
Non-Agency MBS | Over 90 days to less than 1 year | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Weighted average interest rate | 0.00% | 0.00% |
Non-Agency MBS | 1 year to 2 years | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Weighted average interest rate | 0.00% | 0.00% |
Non-Agency MBS | Demand | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Weighted average interest rate | 0.00% | 0.00% |
MBS | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Weighted average maturity | 34 days | 27 days |
Weighted average interest rate after adjusting for interest rate swaps | 1.16% | 1.39% |
Weighted average maturity after adjusting for interest rate swaps | 478 days | 736 days |
MBS pledged as collateral under the repurchase agreements and interest rate swaps | $ 4,358,155 | $ 5,291,562 |
Repurchase agreements | $ 3,940,800 | $ 4,915,528 |
Weighted average interest rate | 0.85% | 0.73% |
MBS | Overnight | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Weighted average interest rate | 0.00% | 0.00% |
MBS | Less than 30 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 2,219,700 | $ 3,195,528 |
Weighted average interest rate | 0.95% | 0.80% |
MBS | 30 days to 90 days | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 1,721,100 | $ 1,720,000 |
Weighted average interest rate | 0.72% | 0.60% |
MBS | Over 90 days to less than 1 year | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Weighted average interest rate | 0.00% | 0.00% |
MBS | 1 year to 2 years | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Weighted average interest rate | 0.00% | 0.00% |
MBS | Demand | ||
Assets Sold Under Agreements To Repurchase [Line Items] | ||
Repurchase agreements | $ 0 | $ 0 |
Weighted average interest rate | 0.00% | 0.00% |
Liabilities and Assets Subject
Liabilities and Assets Subject to Netting Arrangements (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | |||
Gross Amounts of Recognized Assets | $ 2,023 | $ 12,470 | |
Gross Assets Offset in the Balance Sheets | 0 | 0 | |
Net Amounts of Assets Presented in the Balance Sheets | 2,023 | 12,470 | |
Gross Assets Not Offset Financial instruments | [1] | (2,023) | (12,470) |
Gross Assets Not Offset Cash Collateral Received | [1] | 0 | 0 |
Gross Assets Not Offset Net Amounts | 0 | 0 | |
Gross Amounts of Recognized Liabilities | 3,989,024 | 4,950,075 | |
Gross Liabilities Offset in the Balance Sheets | 0 | 0 | |
Net Amounts of Liabilities Presented in the Balance Sheets | 3,989,024 | 4,950,075 | |
Gross Liabilities Not Offset Financial instruments | [1] | (3,989,024) | (4,950,075) |
Gross Liabilities Not Offset Cash Collateral Received | [1] | 0 | 0 |
Gross Liabilities Not Offset Net Amounts | 0 | 0 | |
Derivative Financial Instruments, Assets | |||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | |||
Gross Amounts of Recognized Assets | [2] | 2,023 | 12,470 |
Gross Assets Offset in the Balance Sheets | [2] | 0 | 0 |
Net Amounts of Assets Presented in the Balance Sheets | [2] | 2,023 | 12,470 |
Gross Assets Not Offset Financial instruments | [1],[2] | (2,023) | (12,470) |
Gross Assets Not Offset Cash Collateral Received | [1],[2] | 0 | 0 |
Gross Assets Not Offset Net Amounts | [2] | 0 | 0 |
Repurchase Agreements | |||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | |||
Gross Amounts of Recognized Liabilities | [3] | 3,940,800 | 4,915,528 |
Gross Liabilities Offset in the Balance Sheets | [3] | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheets | [3] | 3,940,800 | 4,915,528 |
Gross Liabilities Not Offset Financial instruments | [1],[3] | (3,940,800) | (4,915,528) |
Gross Liabilities Not Offset Cash Collateral Received | [1],[3] | 0 | 0 |
Gross Liabilities Not Offset Net Amounts | [3] | 0 | 0 |
Derivative Financial Instruments, Liabilities | |||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | |||
Gross Amounts of Recognized Liabilities | [2] | 48,224 | 34,547 |
Gross Liabilities Offset in the Balance Sheets | [2] | 0 | 0 |
Net Amounts of Liabilities Presented in the Balance Sheets | [2] | 48,224 | 34,547 |
Gross Liabilities Not Offset Financial instruments | [1],[2] | (48,224) | (34,547) |
Gross Liabilities Not Offset Cash Collateral Received | [1],[2] | 0 | 0 |
Gross Liabilities Not Offset Net Amounts | [2] | $ 0 | $ 0 |
[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 September 30, 2016, we had pledged approximately $44.5 million in Agency MBS as collateral and paid another approximately $18.8 million on swap margin calls (included in “Restricted cash”) on our swap derivatives, which were approximately $652 thousand in derivative assets and approximately $48.2 million in derivative liabilities at September 30, 2016. At December 31, 2015, we had pledged approximately $39.8 million in Agency MBS as collateral and paid another approximately $11.9 million on swap margin calls on our swap derivatives, which were approximately $11.6 million in derivative assets and approximately $33.9 million in derivative liabilities at December 31, 2015. | ||
[3] | At September 30, 2016, we had pledged approximately $3.79 billion in Agency MBS and approximately $521 million in Non-Agency MBS as collateral on our repurchase agreements. At December 31, 2015, we had pledged $4.7 billion in Agency MBS and approximately $597 million in Non-Agency MBS as collateral on our repurchase agreements. |
Liabilities and Assets Subjec55
Liabilities and Assets Subject to Netting Arrangements (Parenthetical) (Detail) - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 |
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||
Pledged in Agency MBS as collateral | $ 44,500,000 | $ 39,800,000 |
Paid swap margin calls on our derivatives | 18,800,000 | 11,900,000 |
Derivative instruments at fair value | 2,023,000 | 12,470,000 |
Derivative instruments at fair value | 48,224,000 | 34,547,000 |
TBA Agency MBS | ||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||
Derivative instruments at fair value | 1,257,000 | |
Derivative instruments at fair value | 650,000 | |
Pledged in Agency MBS as collateral | 3,790,000,000 | 4,700,000,000 |
Non-Agency MBS | ||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||
Pledged in Agency MBS as collateral | 521,000,000 | 597,000,000 |
Interest rate swap agreements | Collateral Pledged | ||
Derivative Assets Derivative Liabilities And Repurchase Agreements Subject To Netting Agreements [Line Items] | ||
Derivative instruments at fair value | 652,000 | 11,600,000 |
Derivative instruments at fair value | $ 48,200,000 | $ 33,900,000 |
Junior Subordinated Notes - Add
Junior Subordinated Notes - Additional Information (Detail) - USD ($) | Mar. 15, 2005 | Sep. 30, 2016 |
Subordinated Borrowing [Line Items] | ||
Junior subordinated notes | $ 37,380,000 | |
First interest payment date | Jun. 30, 2005 | |
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 | 2,035 | |
Trust Preferred Securities | ||
Subordinated Borrowing [Line Items] | ||
Interest rate above prevailing three-month LIBOR rate | 3.10% | |
Debt, maturity date | 2,035 |
Fair Value Measurements on Recu
Fair Value Measurements on Recurring Basis (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Liabilities: | |||
Derivative instruments at fair value | $ 48,224 | $ 34,547 | |
Fair Value, Measurements, Recurring | Derivative Financial Instruments, Liabilities | |||
Liabilities: | |||
Derivative instruments at fair value | [1] | 48,224 | 34,547 |
Fair Value, Measurements, Recurring | Derivative Financial Instruments, Assets | |||
Assets: | |||
Asset fair value measurement | [1] | 2,023 | 12,470 |
TBA Agency MBS | |||
Liabilities: | |||
Derivative instruments at fair value | 650 | ||
TBA Agency MBS | Fair Value, Measurements, Recurring | |||
Assets: | |||
Asset fair value measurement | [2] | 4,058,614 | 4,892,782 |
Non-Agency MBS | Fair Value, Measurements, Recurring | |||
Assets: | |||
Asset fair value measurement | [2] | 644,216 | 682,061 |
Level 1 | Fair Value, Measurements, Recurring | Derivative Financial Instruments, Liabilities | |||
Liabilities: | |||
Derivative instruments at fair value | [1] | 0 | |
Level 1 | Fair Value, Measurements, Recurring | Derivative Financial Instruments, Assets | |||
Assets: | |||
Asset fair value measurement | [1] | 0 | |
Level 1 | TBA Agency MBS | Fair Value, Measurements, Recurring | |||
Assets: | |||
Asset fair value measurement | [2] | 0 | |
Level 1 | Non-Agency MBS | Fair Value, Measurements, Recurring | |||
Assets: | |||
Asset fair value measurement | [2] | 0 | |
Level 2 | Fair Value, Measurements, Recurring | Derivative Financial Instruments, Liabilities | |||
Liabilities: | |||
Derivative instruments at fair value | [1] | 48,224 | 34,547 |
Level 2 | Fair Value, Measurements, Recurring | Derivative Financial Instruments, Assets | |||
Assets: | |||
Asset fair value measurement | [1] | 2,023 | 12,470 |
Level 2 | TBA Agency MBS | Fair Value, Measurements, Recurring | |||
Assets: | |||
Asset fair value measurement | [2] | 4,058,614 | 4,892,782 |
Level 2 | Non-Agency MBS | Fair Value, Measurements, Recurring | |||
Assets: | |||
Asset fair value measurement | [2] | $ 644,216 | 682,061 |
Level 3 | Fair Value, Measurements, Recurring | Derivative Financial Instruments, Liabilities | |||
Liabilities: | |||
Derivative instruments at fair value | [1] | 0 | |
Level 3 | Fair Value, Measurements, Recurring | Derivative Financial Instruments, Assets | |||
Assets: | |||
Asset fair value measurement | [1] | 0 | |
Level 3 | TBA Agency MBS | Fair Value, Measurements, Recurring | |||
Assets: | |||
Asset fair value measurement | [2] | 0 | |
Level 3 | Non-Agency MBS | Fair Value, Measurements, Recurring | |||
Assets: | |||
Asset fair value measurement | [2] | $ 0 | |
[1] | Derivative instruments include discontinued hedges under ASC 815-10. For more detail about our derivative instruments, see Note 1 and Note 14. | ||
[2] | For more detail about the fair value of our MBS by agency and type of security, see Note 3. |
Carrying Value and Estimated Fa
Carrying Value and Estimated Fair Value of Financial Instruments (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 | |
Financial Assets: | |||
Residential mortgage loans held-for-investment | [1] | $ 795,527 | $ 969,172 |
Residential mortgage loans held-for-investment, Estimated Fair Value | 811,407 | 959,418 | |
Financial Liabilities: | |||
Asset-backed securities issued by securitization trusts | [1] | 779,761 | 915,486 |
Asset-backed securities issued by securitization trust, Estimated Fair Value | $ 795,339 | $ 907,556 | |
[1] | The consolidated balance sheets include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIEs for which creditors do not have recourse to the Company. At September 30, 2016 and December 31, 2015, total assets of the consolidated VIEs were $798 million and $972 million, respectively, and total liabilities were $782 million and $918 million, respectively. Please refer to Note 4, “Variable Interest Entities,” for further discussion. |
Series B Cumulative Convertib59
Series B Cumulative Convertible Preferred Stock - Additional Information (Detail) | 9 Months Ended | |
Sep. 30, 2016ItemDirectord$ / shares | Dec. 31, 2015$ / shares | |
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 | Jan. 25, 2012 | |
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 | Item | 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 | Director | 2 | |
Minimum ratio of votes required to materially and adversely change the terms of preferred stock | 66.70% | |
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 | d | 20 | |
Series A Preferred Stock | ||
Conversion Of Stock [Line Items] | ||
Preferred Stock, dividend rate | 8.625% | |
Series C Preferred Stock | ||
Conversion Of Stock [Line Items] | ||
Preferred Stock, dividend rate | 7.625% |
Public Offerings and Capital 60
Public Offerings and Capital Stock - Additional Information (Detail) - USD ($) | Apr. 01, 2016 | Jan. 27, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Aug. 05, 2014 | Oct. 03, 2011 |
Capital Unit [Line Items] | |||||||||||
Common Stock, authorized | 200,000,000 | 200,000,000 | 200,000,000 | ||||||||
Common Stock, issued | 95,772,229 | 95,772,229 | 99,078,000 | ||||||||
Common Stock, outstanding | 95,742,229 | 95,742,229 | 98,944,000 | ||||||||
Preferred stock, authorized | 20,000,000 | 20,000,000 | |||||||||
Preferred stock, par value | $ 0.01 | $ 0.01 | |||||||||
Number of shares authorized to repurchase under a share repurchase program | 2,000,000 | ||||||||||
Number of common stock repurchased | 339,953 | ||||||||||
Common stock repurchased, weighted average price | $ 4.84 | ||||||||||
Common stock remaining for issuance under the registration statement | $ 533,600,000 | ||||||||||
Twenty Fifteen Dividend Reinvestment And Stock Purchase Plan | |||||||||||
Capital Unit [Line Items] | |||||||||||
Issuance of stock (in shares) | 60,908 | ||||||||||
Common stock issued, weighted average price per share | $ 4.91 | ||||||||||
Proceeds from issuance of common stock | $ 299,000 | ||||||||||
Anworth Mortgage Asset Corporation 2014 Equity Compensation Plan | |||||||||||
Capital Unit [Line Items] | |||||||||||
Maximum authorized shares of common stock under grant of stock options and other stock-based awards | 2,000,000 | ||||||||||
Maximum | |||||||||||
Capital Unit [Line Items] | |||||||||||
Common stock, public offering | $ 534,442,660 | ||||||||||
Maximum | Twenty Fifteen Dividend Reinvestment And Stock Purchase Plan | |||||||||||
Capital Unit [Line Items] | |||||||||||
Common Stock, authorized | 16,397,203 | ||||||||||
Through Six Separate Authorizations Between December 13, 2013 and January 22, 2016 | |||||||||||
Capital Unit [Line Items] | |||||||||||
Number of additional shares authorized to be repurchased | 45,000,000 | 45,000,000 | |||||||||
MLV Sales Agreement | |||||||||||
Capital Unit [Line Items] | |||||||||||
Stock sales agreement value | $ 200,000,000 | $ 200,000,000 | |||||||||
FBR Sales Agreement | |||||||||||
Capital Unit [Line Items] | |||||||||||
Stock sales agreement value | 196,615,000 | 196,615,000 | |||||||||
Stock sales agreement remaining amount | $ 195,900,000 | $ 195,900,000 | |||||||||
Series A Preferred Stock | |||||||||||
Capital Unit [Line Items] | |||||||||||
Preferred stock, authorized | 5,150,000 | 5,150,000 | |||||||||
Preferred stock, par value | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||
Preferred stock, liquidation preference | 25 | $ 25 | $ 25 | ||||||||
Preferred Stock, dividend rate | 8.625% | ||||||||||
Preferred stock redemption price | $ 25 | $ 25 | |||||||||
Preferred stock, issued | 1,919,378 | 1,919,378 | 1,919,000 | ||||||||
Preferred stock, outstanding | 1,919,378 | 1,919,378 | 1,919,000 | ||||||||
Series B Preferred Stock | |||||||||||
Capital Unit [Line Items] | |||||||||||
Preferred stock, authorized | 3,150,000 | 3,150,000 | |||||||||
Preferred stock, liquidation preference | $ 25 | $ 25 | |||||||||
Preferred Stock, dividend rate | 6.25% | ||||||||||
Preferred stock, issued | 1,009,640 | 1,009,640 | |||||||||
Preferred stock, outstanding | 1,009,640 | 1,009,640 | |||||||||
Series C Preferred Stock | |||||||||||
Capital Unit [Line Items] | |||||||||||
Preferred stock, authorized | 5,000,000 | 5,000,000 | |||||||||
Preferred stock, par value | $ 0.01 | $ 0.01 | $ 0.01 | ||||||||
Preferred stock, liquidation preference | $ 25 | $ 25 | $ 25 | ||||||||
Preferred Stock, dividend rate | 7.625% | ||||||||||
Preferred stock redemption price | $ 25 | ||||||||||
Preferred stock, issued | 467,619 | 467,619 | 434,000 | ||||||||
Preferred stock, outstanding | 467,619 | 467,619 | 434,000 | ||||||||
Issuance of stock (in shares) | 300,000 | ||||||||||
Preferred stock, par value | $ 24.50 | ||||||||||
Public offering net proceeds | $ 7,000,000 | ||||||||||
Proceeds on Series C Preferred Stock issued | $ 834,000 | $ 290,000 | $ 834,000 | $ 10,012,000 | |||||||
Series C Preferred Stock | MLV Sales Agreement | |||||||||||
Capital Unit [Line Items] | |||||||||||
Issuance of stock (in shares) | 4,367 | ||||||||||
Proceeds on Series C Preferred Stock issued | $ 108,000 | ||||||||||
Series C Preferred Stock | FBR Sales Agreement | |||||||||||
Capital Unit [Line Items] | |||||||||||
Issuance of stock (in shares) | 29,328 | ||||||||||
Proceeds on Series C Preferred Stock issued | $ 729,000 |
Transactions with Affiliates -
Transactions with Affiliates - Additional Information (Detail) | Jul. 01, 2012$ / mo | Sep. 30, 2016USD ($) | Sep. 30, 2015USD ($) | Sep. 30, 2016USD ($) | Sep. 30, 2015USD ($) | Jul. 02, 2012ft²$ / ft² |
Related Party Transaction [Line Items] | ||||||
Description of management fee | In exchange for services provided, 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-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. | |||||
Sublease agreement, square feet leased | ft² | 7,300 | |||||
Rent paid for leased office space per square foot | $ / ft² | 65.43 | |||||
Sublease with PIA, expiration date | Sep. 30, 2022 | |||||
New sublease agreement, base monthly rent | $ / mo | 39,807.17 | |||||
Sublease agreement, base monthly rent percentage increase starting July 1, 2016 | 3.00% | |||||
Rent | $ 128,000 | $ 127,000 | $ 383,000 | $ 378,000 | ||
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 stockholders’ equity and 1.00 basis point 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 stockholders’ equity and 1.00 basis point thereafter (paid quarterly in arrears) for those services. | |||||
Stockholders equity amount used to calculate administrative service fees | 225,000,000 | $ 225,000,000 | ||||
Prior written notice to terminate administrative agreement | 30 days | |||||
Administrative service fees | $ 38,000 | $ 40,000 | $ 115,000 | $ 123,000 | ||
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 | 0.01% | |||||
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% | |||||
Mr. Brett Roth | ||||||
Related Party Transaction [Line Items] | ||||||
Change in Control and Arbitration Agreements, description | Under these 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. With respect to Mr. Brett Roth, a Senior Vice President and Portfolio Manager of our Manager, in the event that a change in control occurs, in addition to other benefits, he will receive a lump sum payment equal to (i) 12 months of the annual base salary (in effect on September 18, 2014) paid by our Manager plus (ii) $350,000. | |||||
Additional payment for change in control and arbitration agreements | $ 350,000 |
Future Minimum Lease Commitment
Future Minimum Lease Commitment (Detail) | Sep. 30, 2016USD ($) |
Related Party Transactions [Abstract] | |
2,016 | $ 119,422 |
2,017 | 484,852 |
2,018 | 499,398 |
2,019 | 514,374 |
2,020 | 529,800 |
Thereafter | 822,579 |
Total Commitment | $ 2,970,425 |
Equity Compensation Plan - Addi
Equity Compensation Plan - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands | Aug. 01, 2016 | Jul. 15, 2016 | Oct. 31, 2006 | Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | 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 | $ 101 | $ 94 | $ 302 | $ 265 | |||||
Phantom Shares | Independent Directors | |||||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||||||||
Issuance of common stock (in shares) | 8,000 | ||||||||
DER | Independent Directors | |||||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||||||||
Grant of restricted stock | 8,000 | ||||||||
Performance-Based Phantom Shares | Mr. Joseph E. McAdams | |||||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||||||||
Grant of restricted stock | 146,552 | ||||||||
Closing price of common stock on Grant Date | $ 4.96 | ||||||||
Involuntary Termination | Performance-Based Phantom Shares | Mr. Joseph E. McAdams | |||||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||||||||
Phantom shares, vesting term | 3 years | ||||||||
Return to Capital Exceeds 10% | Performance-Based Phantom Shares | Mr. Joseph E. McAdams | |||||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||||||||
Phantom shares, vesting term | 10 years | ||||||||
Minimum | Performance-Based Phantom Shares | Mr. Joseph E. McAdams | |||||||||
Share Based Compensation Arrangement By Share Based Payment Award [Line Items] | |||||||||
Percentage of total return to stockholders | 10.00% | ||||||||
Anworth Mortgage Asset Corporation 2014 Equity 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 | ||||||||
Anworth Mortgage Asset Corporation 2004 Equity 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 | 3,500,000 | |||||||
Grant of restricted stock | 197,362 | ||||||||
Compensation expense related to restricted stock grant | $ 79 | 24 | $ 237 | 73 | |||||
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 | ||||||||
Paid or accrued compensation related to dividend equivalent right issued | $ 101 | $ 94 | $ 302 | $ 265 |
Fair value of Derivative Instru
Fair value of Derivative Instruments (Detail) - USD ($) $ in Thousands | Sep. 30, 2016 | Dec. 31, 2015 |
Derivative [Line Items] | ||
Fair value of derivative assets | $ 2,023 | $ 12,470 |
Fair value of derivative liabilities | 48,224 | 34,547 |
TBA Agency MBS | ||
Derivative [Line Items] | ||
Fair value of derivative assets | 1,257 | |
Fair value of derivative liabilities | 650 | |
De-designated interest rate swaps | ||
Derivative [Line Items] | ||
Fair value of derivative assets | 652 | 11,644 |
Fair value of derivative liabilities | 48,224 | 33,897 |
Eurodollar Future | ||
Derivative [Line Items] | ||
Fair value of derivative assets | $ 114 | $ 826 |
Derivative Instruments - Additi
Derivative Instruments - Additional Information (Detail) | 3 Months Ended | 9 Months Ended | 12 Months Ended | ||
Sep. 30, 2016USD ($)Derivative | Sep. 30, 2015USD ($)Derivative | Sep. 30, 2016USD ($)Derivative | Sep. 30, 2015USD ($)Derivative | Dec. 31, 2015USD ($)Derivative | |
Derivative [Line Items] | |||||
Interest rate swap agreements, weighted average maturity (in years) | 30 months | ||||
Number of new swap agreements | Derivative | 0 | ||||
Notional amount of swap agreements added during period | $ 0 | ||||
Number of matured or terminated interest rate swap agreements | Derivative | 5 | ||||
Notional amount of swap agreements matured or terminated during period | $ 450,000,000 | ||||
AOCI relating to interest rate swaps | $ 18,400,000 | ||||
Interest Rate Cash Flow Hedge Gain (Loss) to be Reclassified During Next 12 Months, Net | 2,400,000 | 2,400,000 | |||
Cash held with broker | 18,800,000 | 18,800,000 | $ 11,900,000 | ||
Fair value of derivative assets | 2,023,000 | 2,023,000 | 12,470,000 | ||
TBA Agency MBS | |||||
Derivative [Line Items] | |||||
Interest rate swap agreements, aggregate notional amount | 355,000,000 | $ 690,000,000 | 355,000,000 | $ 690,000,000 | |
Fair value of derivative assets | 1,257,000 | 1,257,000 | |||
Gain (loss) on derivatives | $ 3,412,000 | $ 10,345,000 | $ 26,826,000 | $ 12,297,000 | |
Maximum length of swap agreements | 15 years | ||||
Minimum | |||||
Derivative [Line Items] | |||||
Fixed interest rate during term of swap agreements | 0.501% | 0.501% | |||
Minimum | TBA Agency MBS | |||||
Derivative [Line Items] | |||||
Fixed interest rate during term of swap agreements | 2.50% | 2.50% | |||
Maximum | |||||
Derivative [Line Items] | |||||
Fixed interest rate during term of swap agreements | 3.06% | 3.06% | |||
Maximum | TBA Agency MBS | |||||
Derivative [Line Items] | |||||
Fixed interest rate during term of swap agreements | 3.00% | 3.00% | |||
Interest rate swap agreements | |||||
Derivative [Line Items] | |||||
Interest rate swap agreements, aggregate notional amount | $ 2,046,000,000 | $ 2,046,000,000 | $ 3,866,000,000 | ||
Maximum length of swap agreements | 30 months | 32 months | |||
Eurodollar Future | |||||
Derivative [Line Items] | |||||
Interest rate swap agreements, weighted average maturity (in years) | 3 months | ||||
Notional value of euro dollar future contract | $ 1,000,000 | $ 1,000,000 | |||
Number of futures contracts | Derivative | 2,350 | 5,350 | 2,350 | 5,350 | 4,550 |
Fair value of derivative assets | $ 114,000 | $ 114,000 | $ 826,000 | ||
Gain (loss) on derivatives | (2,060,000) | $ (2,569,000) | (3,396,000) | $ (6,639,000) | |
Derivative notional amount futures contracts | 2,350,000,000 | $ 5,350,000,000 | 2,350,000,000 | $ 5,350,000,000 | 4,550,000,000 |
Eurodollar Future | Restricted Cash | |||||
Derivative [Line Items] | |||||
Cash held with broker | $ 580,000 | $ 580,000 | $ 2,300,000 |
Notional Amounts of Swap Agreem
Notional Amounts of Swap Agreement, Weighted Average Interest Rates and Remaining Term (Detail) - Interest rate swap agreements - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | ||
Notional Amount | $ 2,046,000,000 | $ 3,866,000,000 |
Weighted Average Fixed Rate | 1.34% | 1.24% |
Remaining Term in Months | 30 months | 32 months |
Less than 1 year | ||
Derivative [Line Items] | ||
Notional Amount | $ 775,000,000 | $ 950,000,000 |
Weighted Average Fixed Rate | 0.69% | 0.68% |
Remaining Term in Months | 4 months | 9 months |
1 year to 2 years | ||
Derivative [Line Items] | ||
Notional Amount | $ 435,000,000 | $ 930,000,000 |
Weighted Average Fixed Rate | 0.90% | 0.96% |
Remaining Term in Months | 16 months | 18 months |
2 years to 3 years | ||
Derivative [Line Items] | ||
Notional Amount | $ 100,000,000 | $ 1,000,000,000 |
Weighted Average Fixed Rate | 1.00% | 1.13% |
Remaining Term in Months | 25 months | 30 months |
3 years to 4 years | ||
Derivative [Line Items] | ||
Notional Amount | $ 116,000,000 | $ 250,000,000 |
Weighted Average Fixed Rate | 1.32% | 1.28% |
Remaining Term in Months | 38 months | 44 months |
4 years to 5 years | ||
Derivative [Line Items] | ||
Notional Amount | $ 200,000,000 | $ 216,000,000 |
Weighted Average Fixed Rate | 2.06% | 1.88% |
Remaining Term in Months | 55 months | 58 months |
5 years to 7 years | ||
Derivative [Line Items] | ||
Notional Amount | $ 420,000,000 | $ 320,000,000 |
Weighted Average Fixed Rate | 2.73% | 2.54% |
Remaining Term in Months | 78 months | 78 months |
7 years to 10 years | ||
Derivative [Line Items] | ||
Notional Amount | $ 200,000,000 | |
Weighted Average Fixed Rate | 3.00% | |
Remaining Term in Months | 0 months | 93 months |
Swap Agreements by Counterparty
Swap Agreements by Counterparty (Detail) - Interest rate swap agreements - USD ($) | Sep. 30, 2016 | Dec. 31, 2015 | |
Derivative [Line Items] | |||
Notional Amount | $ 2,046,000,000 | $ 3,866,000,000 | |
Chicago Mercantile Exchange | |||
Derivative [Line Items] | |||
Notional Amount | [1] | 1,061,000,000 | 1,891,000,000 |
JPMorgan Securities | |||
Derivative [Line Items] | |||
Notional Amount | 425,000,000 | 525,000,000 | |
Deutsche Bank Securities | |||
Derivative [Line Items] | |||
Notional Amount | 325,000,000 | 565,000,000 | |
RBS Greenwich Capital | |||
Derivative [Line Items] | |||
Notional Amount | 115,000,000 | 115,000,000 | |
Nomura Securities International | |||
Derivative [Line Items] | |||
Notional Amount | 100,000,000 | 200,000,000 | |
Bank of New York | |||
Derivative [Line Items] | |||
Notional Amount | $ 20,000,000 | 120,000,000 | |
ING Financial Markets LLC | |||
Derivative [Line Items] | |||
Notional Amount | $ 450,000,000 | ||
[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 “Derivative Financial Instruments – Interest Rate Risk Management” in Note 1 for additional details. |
Other Expenses (Detail)
Other Expenses (Detail) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 | |
Other Income And Expenses [Abstract] | ||||
Legal and professional fees | $ 177 | $ 139 | $ 490 | $ 469 |
Printing and stockholder communications | 15 | 12 | 175 | 160 |
Directors and Officers insurance | 123 | 124 | 375 | 375 |
DERs expense | 101 | 94 | 302 | 265 |
Amortization of restricted stock | 79 | 24 | 237 | 73 |
Software implementation and maintenance | 179 | 85 | 593 | 248 |
Administrative service fees | 38 | 40 | 115 | 123 |
Rent | 128 | 127 | 383 | 378 |
Stock exchange and filing fees | 50 | 40 | 148 | 122 |
Custodian and clearing fees | 47 | 65 | 169 | 195 |
Sarbanes-Oxley consulting fees | 30 | 30 | 90 | 85 |
Commissions - Eurodollar Futures Contracts | 15 | 44 | 15 | |
Board of directors fees and expenses | 83 | 97 | 234 | 254 |
Securities data services | 100 | 93 | 300 | 252 |
Leasing commissions on rental properties | 9 | 21 | 29 | 49 |
Other expenses on rental properties | 68 | 74 | 207 | 162 |
Depreciation expense on rental properties | 113 | 110 | 338 | 329 |
Property insurance on rental properties | 28 | 32 | 84 | 86 |
Management fee for rental properties | 42 | 40 | 125 | 117 |
Property taxes on rental properties | 77 | 45 | 230 | 157 |
Recovery on Lehman receivable | (58) | 0 | (58) | (192) |
Other | 64 | 49 | 141 | 147 |
Total of other expenses | $ 1,493 | $ 1,356 | $ 4,751 | $ 3,869 |
Subsequent Events - Additional
Subsequent Events - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands | Oct. 01, 2016 | Sep. 15, 2016 | Jan. 27, 2015 | Nov. 04, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Sep. 30, 2015 | Sep. 30, 2016 | Sep. 30, 2015 |
Subsequent Event [Line Items] | ||||||||||
Dividend declared common share, per share | $ 0.15 | $ 0.15 | $ 0.15 | $ 0.15 | ||||||
Number of common stock repurchased | 339,953 | |||||||||
Common stock repurchased, weighted average price | $ 4.84 | |||||||||
Twenty Fifteen Dividend Reinvestment And Stock Purchase Plan | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Issuance of common stock (in shares) | 60,908 | |||||||||
Common stock issued, weighted average price per share | $ 4.91 | |||||||||
Proceeds from issuance of common stock | $ 299 | |||||||||
Series B Preferred Stock | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Conversion rate of preferred stock to common stock | 466.35% | |||||||||
Series C Preferred Stock | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Issuance of common stock (in shares) | 300,000 | |||||||||
Proceeds on Series C Preferred Stock issued | $ 834 | $ 290 | $ 834 | $ 10,012 | ||||||
Subsequent Event | Common Stock | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Number of common stock repurchased | 80,421 | |||||||||
Common stock repurchased, weighted average price | $ 4.78 | |||||||||
Subsequent Event | Twenty Fifteen Dividend Reinvestment And Stock Purchase Plan | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Issuance of common stock (in shares) | 51,300 | |||||||||
Common stock issued, weighted average price per share | $ 4.92 | |||||||||
Proceeds from issuance of common stock | $ 252 | |||||||||
Subsequent Event | Series B Preferred Stock | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Conversion rate of preferred stock to common stock | 473.29% | |||||||||
Subsequent Event | Series C Preferred Stock | ||||||||||
Subsequent Event [Line Items] | ||||||||||
Issuance of common stock (in shares) | 8,218 | |||||||||
Preferred Stock issued, weighted average price per share | $ 24.97 | |||||||||
Proceeds on Series C Preferred Stock issued | $ 203 |