Document And Entity Information
Document And Entity Information - shares | 6 Months Ended | |
Jun. 30, 2015 | Jul. 31, 2015 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Jun. 30, 2015 | |
Document Fiscal Year Focus | 2,015 | |
Document Fiscal Period Focus | Q2 | |
Entity Registrant Name | Arlington Asset Investment Corp. | |
Entity Central Index Key | 1,209,028 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Trading Symbol | AI | |
Common Class A [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 22,856,901 | |
Common Class B [Member] | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 104,716 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
ASSETS | ||
Cash and cash equivalents | $ 20,840 | $ 33,832 |
Interest receivable | 12,273 | 10,701 |
Sold securities receivable | 51,690 | 0 |
Mortgage-backed securities, at fair value | ||
Private-label | 152,162 | 267,437 |
Agency-backed | 4,154,387 | 3,414,340 |
Other investments | 1,749 | 1,837 |
Derivative assets, at fair value | 2,144 | 1,267 |
Deferred tax assets, net | 113,121 | 122,365 |
Deposits | 183,806 | 160,427 |
Other assets | 2,498 | 2,283 |
Total assets | 4,694,670 | 4,014,489 |
Liabilities: | ||
Repurchase agreements | 3,631,772 | 3,179,775 |
Interest payable | 1,267 | 1,106 |
Accrued compensation and benefits | 2,989 | 6,067 |
Dividend payable | 21,089 | 20,195 |
Derivative liabilities, at fair value | 144,936 | 124,308 |
Purchased securities payable | 271,035 | 0 |
Other liabilities | 894 | 1,006 |
Long-term debt | 75,300 | 40,000 |
Total liabilities | $ 4,149,282 | $ 3,372,457 |
Commitments and contingencies | ||
Equity: | ||
Preferred stock, $0.01 par value, 25,000,000 shares authorized, none issued and outstanding | $ 0 | $ 0 |
Additional paid-in capital | 1,898,217 | 1,897,027 |
Accumulated other comprehensive income, net of taxes of $4,418 and $11,666, respectively | 14,907 | 35,872 |
Accumulated deficit | (1,367,966) | (1,291,097) |
Total equity | 545,388 | 642,032 |
Total liabilities and equity | 4,694,670 | 4,014,489 |
Common Class A [Member] | ||
Equity: | ||
Common stock | 229 | 229 |
Common Class B [Member] | ||
Equity: | ||
Common stock | $ 1 | $ 1 |
CONSOLIDATED BALANCE SHEETS _Pa
CONSOLIDATED BALANCE SHEETS [Parenthetical] - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Preferred stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred stock, shares authorized (in shares) | 25,000,000 | 25,000,000 |
Preferred stock, issued (in shares) | 0 | 0 |
Preferred stock, outstanding (in shares) | 0 | 0 |
Accumulated other comprehensive income, taxes (in dollars) | $ 4,418 | $ 11,666 |
Common Class A [Member] | ||
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 450,000,000 | 450,000,000 |
Common stock, shares issued (in shares) | 22,856,901 | 22,860,922 |
Common stock, shares outstanding (in shares) | 22,856,901 | 22,860,922 |
Common Class B [Member] | ||
Common stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized (in shares) | 100,000,000 | 100,000,000 |
Common stock, shares issued (in shares) | 104,716 | 105,869 |
Common stock, shares outstanding (in shares) | 104,716 | 105,869 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME - Scenario, Unspecified [Domain] - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Interest income | $ 38,690 | $ 30,063 | $ 75,654 | $ 53,930 |
Interest expense | ||||
Interest on short-term debt | 3,395 | 2,124 | 6,475 | 3,858 |
Interest on long-term debt | 1,180 | 552 | 1,828 | 1,103 |
Total interest expense | 4,575 | 2,676 | 8,303 | 4,961 |
Net interest income | 34,115 | 27,387 | 67,351 | 48,969 |
Investment (loss) gain, net | (18,036) | 7,906 | (77,407) | 1,992 |
Operating income (loss) before other expenses | 16,079 | 35,293 | (10,056) | 50,961 |
Other expenses | ||||
Compensation and benefits | 2,669 | 3,185 | 5,081 | 6,146 |
Professional services | 321 | 395 | 451 | 911 |
Insurance | 105 | 105 | 210 | 210 |
Occupancy and equipment | 124 | 120 | 240 | 219 |
Board of director fees | 304 | 264 | 542 | 495 |
Other operating expenses | 308 | 311 | 615 | 554 |
Total other expenses | 3,831 | 4,380 | 7,139 | 8,535 |
Income (loss) before income taxes | 12,248 | 30,913 | (17,195) | 42,426 |
Income tax provision | 5,647 | 12,074 | 18,389 | 16,554 |
Net income (loss) | $ 6,601 | $ 18,839 | $ (35,584) | $ 25,872 |
Basic earnings (loss) per share (in dollars per share) | $ 0.29 | $ 0.95 | $ (1.55) | $ 1.42 |
Diluted earnings (loss) per share (in dollars per share) | $ 0.29 | $ 0.94 | $ (1.55) | $ 1.39 |
Weighted-average shares outstanding (in thousands) | ||||
Basic (in shares) | 22,979 | 19,740 | 22,976 | 18,282 |
Diluted (in shares) | 23,098 | 20,060 | 22,976 | 18,579 |
Other comprehensive (loss) income, net of taxes | ||||
Unrealized gains (losses) for the period on available-for-sale securities (net of taxes of $108, $957, $(1,407), and $1,630, respectively) | $ 169 | $ 1,504 | $ (2,521) | $ 2,561 |
Reclassification | ||||
Included in investment gains (loss), net, in the statement of comprehensive income related to sales of available-for-sale securities (net of taxes of $(4,312), $(1,752), $(5,841), and $(3,183), respectively) | (13,279) | (2,791) | (18,444) | (5,952) |
Included in investment gain (loss), net, in the statement of comprehensive income related to other-than-temporary impairment charges on available-for-sale securities (net of taxes of $-0-, $31, $-0-, and $31, respectively) | 0 | 49 | 0 | 49 |
Comprehensive (loss) income | $ (6,509) | $ 17,601 | $ (56,549) | $ 22,530 |
CONSOLIDATED STATEMENTS OF COM5
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME [Parenthetical] - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Unrealized (losses) gains for the period on available-for-sale securities, taxes | $ 108 | $ 957 | $ (1,407) | $ 1,630 |
Included in investment gain (loss), net, in the statement of comprehensive income related to sales of available-for-sale securities, taxes | (4,312) | (1,752) | (5,841) | (3,183) |
Included in investment gain (loss), net, in the statement of comprehensive income related to other-than-temporary impairment charges on available-for-sale securities, taxes | $ 0 | $ 31 | $ 0 | $ 31 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY - USD ($) $ in Thousands | Total | Common Stock [Member]Common Class A [Member] | Common Stock [Member]Common Class B [Member] | Additional Paid-in Capital [Member] | Accumulated Other Comprehensive Income [Member] | Accumulated Deficit [Member] |
Balances at Dec. 31, 2013 | $ 551,828 | $ 160 | $ 6 | $ 1,727,398 | $ 46,269 | $ (1,222,005) |
Balances (in shares) at Dec. 31, 2013 | 16,047,965 | 554,055 | ||||
Net income (Loss) | 5,954 | $ 0 | $ 0 | 0 | 0 | 5,954 |
Conversion of Class B common stock to Class A common stock | 0 | $ 5 | $ (5) | 0 | 0 | 0 |
Conversion of Class B common stock to Class A common stock (in shares) | 448,186 | (448,186) | ||||
Issuance of common stock | 166,883 | $ 64 | $ 0 | 166,819 | 0 | 0 |
Issuance of common stock (in shares) | 6,419,247 | 0 | ||||
Repurchase of common stock under stock-based compensation plans | (1,478) | $ 0 | $ 0 | (1,478) | 0 | 0 |
Repurchase of common stock under stock-based compensation plans (shares) | (54,476) | 0 | ||||
Stock-based compensation | 3,813 | $ 0 | $ 0 | 3,813 | 0 | 0 |
Income tax benefit from stock-based compensation | 475 | 0 | 0 | 475 | 0 | 0 |
Other comprehensive loss | (10,397) | 0 | 0 | 0 | (10,397) | 0 |
Dividends declared | (75,046) | 0 | 0 | 0 | 0 | (75,046) |
Balances at Dec. 31, 2014 | 642,032 | $ 229 | $ 1 | 1,897,027 | 35,872 | (1,291,097) |
Balances (in shares) at Dec. 31, 2014 | 22,860,922 | 105,869 | ||||
Net income (Loss) | (35,584) | $ 0 | $ 0 | 0 | 0 | (35,584) |
Conversion of Class B common stock to Class A common stock | 0 | $ 0 | $ 0 | 0 | 0 | 0 |
Conversion of Class B common stock to Class A common stock (in shares) | 1,153 | (1,153) | ||||
Repurchase of common stock under stock-based compensation plans | (102) | $ 0 | $ 0 | (102) | 0 | 0 |
Repurchase of common stock under stock-based compensation plans (shares) | (5,174) | 0 | ||||
Stock-based compensation | 478 | $ 0 | $ 0 | 478 | 0 | 0 |
Income tax benefit from stock-based compensation | 814 | 0 | 0 | 814 | 0 | 0 |
Other comprehensive loss | (20,965) | 0 | 0 | 0 | (20,965) | 0 |
Dividends declared | (41,285) | 0 | 0 | 0 | 0 | (41,285) |
Balances at Jun. 30, 2015 | $ 545,388 | $ 229 | $ 1 | $ 1,898,217 | $ 14,907 | $ (1,367,966) |
Balances (in shares) at Jun. 30, 2015 | 22,856,901 | 104,716 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2015 | Jun. 30, 2014 | |
Cash flows from operating activities: | ||
Net (loss) income | $ (35,584) | $ 25,872 |
Adjustments to reconcile net (loss) income to net cash provided by operating activities | ||
Net investment loss (gain) | 77,407 | (1,992) |
Net discount accretion on mortgage-backed securities | (5,023) | (6,725) |
Deferred tax provision | 16,492 | 15,704 |
Other | 377 | 1,264 |
Changes in operating assets | ||
Interest receivable | (1,572) | (3,735) |
Prepaid expenses and other assets | (2,930) | (7,997) |
Changes in operating liabilities | ||
Accounts payable and other liabilities | 62 | (9) |
Accrued compensation and benefits | (3,078) | (2,727) |
Net cash provided by operating activities | 46,151 | 19,655 |
Cash flows from investing activities: | ||
Purchases of private-label mortgage-backed securities | (2,870) | 0 |
Purchases of agency-backed mortgage-backed securities | (1,041,142) | (1,253,498) |
Proceeds from sales of private-label mortgage-backed securities | 103,811 | 37,231 |
Proceeds from sales of agency-backed mortgage-backed securities | 233,639 | 0 |
Receipt of principal payments on private-label mortgage-backed securities | 1,295 | 1,384 |
Receipt of principal payments on agency-backed mortgage-backed securities | 244,702 | 78,427 |
Payments for derivatives and deposits, net | (45,407) | (73,238) |
Other | 364 | 13 |
Net cash used in investing activities | (505,608) | (1,209,681) |
Cash flows from financing activities: | ||
Proceeds from repurchase agreements, net | 451,997 | 1,118,621 |
Proceeds from stock issuance, net | 0 | 81,669 |
Proceeds from long-term debt issuance, net | 34,063 | 0 |
Excess tax benefits associated with stock-based awards | 814 | 0 |
Dividends paid | (40,409) | (31,938) |
Net cash provided by financing activities | 446,465 | 1,168,352 |
Net decrease in cash and cash equivalents | (12,992) | (21,674) |
Cash and cash equivalents, beginning of period | 33,832 | 48,628 |
Cash and cash equivalents, end of period | 20,840 | 26,954 |
Supplemental cash flow information | ||
Cash payments for interest | 8,050 | 4,813 |
Cash payments for taxes | $ 103 | $ 789 |
Basis of Presentation
Basis of Presentation | 6 Months Ended |
Jun. 30, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Presentation | Note 1. Basis of Presentation: The consolidated financial statements of Arlington Asset Investment Corp. (“Arlington Asset”) and its consolidated subsidiaries (unless the context otherwise provides, collectively, the “Company”) have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) for interim financial information and with the instructions to Form 10-Q. Therefore, they do not include all information required by GAAP for complete financial statements. The interim financial statements reflect all adjustments (consisting only of normal recurring adjustments) which are, in the opinion of management, necessary for a fair statement of the results for the periods presented. All significant intercompany accounts and transactions have been eliminated in consolidation. The results of operations for the three and six months ended June 30, 2015 are not necessarily indicative of the operating results for the entire year or any other subsequent interim period. The Company’s unaudited consolidated financial statements and notes thereto should be read in conjunction with the Company’s audited consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2014. The preparation of the Company’s financial statements in conformity with GAAP requires the Company to make estimates and assumptions affecting the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Although the Company based the estimates and assumptions on historical experience, when available, market information, and on various other factors that the Company believes to be reasonable under the circumstances, management exercises significant judgment in the final determination of the estimates. Actual results may differ from these estimates. Certain amounts in the consolidated financial statements and notes for prior periods have been reclassified to conform to the current period presentation. These reclassifications had no effect on the results of operations of the Company. |
Updates to Significant Accounti
Updates to Significant Accounting Policies | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Updates to Significant Accounting Policies | Note 2. Updates to Significant Accounting Policies: Interest Income Recognition for Investments in Private-label Mortgage-backed Securities Classified as Trading Securities In the second quarter of 2015, the Company acquired private-label mortgage-backed securities (“MBS”) that it classified as trading securities. Interest income on private-label MBS classified as trading securities that, at the time of acquisition, are not considered to be of high credit quality or may be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its initial recorded investment is recognized using the prospective effective interest method. In applying the prospective effective interest method, the Company, at the time of acquisition, determines the security’s effective interest rate by solving for the single discount rate that equates the present value of the Company’s estimate of the amount and timing of the cash flows expected to be collected from the security to its purchase price. Subsequent to acquisition, the amount of periodic interest income recognized is determined by applying the security’s effective interest rate to its amortized purchase price, or “reference amount.” In each subsequent reporting period, the Company will re-estimate the amount and timing of cash flows expected to be collected from the security. If actual cash flows exceed prior estimates and/or a positive change occurs in the estimate of expected remaining cash flows, a revised effective interest rate will be calculated such that the positive change in cash flows is recognized as incremental interest income over the remaining life of the security. If actual cash flows fall short of prior estimates and/or an adverse change occurs in the estimate of expected remaining cash flows, the amount of periodic interest income recognized over the remaining life of the security will be reduced accordingly. Specifically, if an adverse change in cash flows occurs for a security that is impaired (that is, its reference amount exceeds its fair value), the reference amount to which the security’s existing effective interest rate will be prospectively applied will be reduced to the present value of cash flows expected to be collected, discounted at the security’s existing effective interest rate. |
Financial Instruments
Financial Instruments | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Financial Instruments | Note 3. Financial Instruments: Fair Value of Financial Instruments The accounting principles related to fair value measurements define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, not adjusted for transaction costs. Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 820, Fair Value Measurements and Disclosures Level 1 Inputs Unadjusted quoted prices in active markets for identical assets or liabilities that are accessible by the Company; Level 2 Inputs Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable, either directly or indirectly; and Level 3 Inputs Unobservable inputs for the asset or liability, including significant assumptions of the Company and other market participants. The Company determines fair values for the following assets and liabilities: Mortgage-backed securities, at fair value Agency-backed MBS The Company’s MBS for which the principal and interest payments are guaranteed by the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (collectively, “agency-backed MBS”), are classified within Level 2 of the fair value hierarchy as they are valued using inputs primarily from third-party pricing services as well as considering quoted market prices for similar assets provided by a broker or dealer with reasonable levels of price transparency. In determining fair value, third party pricing sources use various valuation approaches including market and income approaches. The Company makes inquiries of the third party pricing sources to understand the significant inputs and assumptions they used to determine their prices. The Company reviews the various third party fair value estimates and performs procedures to validate their reasonableness, including comparison to recent trading activity for similar securities and management review for consistency with market conditions observed as of the measurement date. Private-label MBS The Company classifies non-agency-backed, or private-label, MBS within Level 3 of the fair value hierarchy because they trade infrequently and, therefore, have little or no price transparency. In determining fair value, the Company primarily uses an income approach as well as market approaches. The Company utilizes present value techniques based on estimated cash flows of the instrument taking into consideration various assumptions derived by management based on their observations of assumptions used by market participants. These assumptions are corroborated by evidence such as historical data, risk characteristics, transactions in similar instruments, and completed or pending transactions, when available. The significant inputs in the Company’s valuation process include default rate, loss severity, prepayment rate and discount rate. In general, significant increases (decreases) in default rate, loss severity or discount rate, in isolation, would result in a significantly lower (higher) fair value measurement. However, significant increases (decreases) in prepayment rate may result in a significantly higher (lower) fair value measurement. It is difficult to generalize the interrelationships between these significant inputs as the actual results could differ considerably on an individual security basis. For example, an increase in the default rate may not increase the loss severity rate if actual losses are lower than the average. Also, changes in discount rates may be greatly influenced by market expectation at any given point based upon many variables not directly related to the MBS market. Therefore, each significant input is closely analyzed to ascertain the reasonableness for the Company’s purposes of fair value measurement. Establishing fair value is inherently subjective given the volatile and sometimes illiquid markets for these private-label MBS and requires management to make a number of judgments about the assumptions that a market participant would use, including assumptions about future prepayment rates, discount rates, credit loss rates, and the timing of cash flows and credit losses. The assumptions the Company applies are specific to each security. Although the Company relies on its internal calculations to compute the fair value of these private-label MBS, the Company considers indications of value from actual sales of private-label MBS to assist in the valuation process and calibrate the Company’s model. Other investments Derivative instruments Derivatives and Hedging Other Cash and cash equivalents, deposits, receivables, repurchase agreements, payables, and other assets and liabilities are reflected in the consolidated balance sheets at their cost, which, due to the short-term nature of these instruments and their limited inherent credit risk, approximates fair value. Long-term debt represents remaining balances of trust preferred debt and senior debt issued by the Company. Our estimate of the fair value of long-term debt is $ 74,930 and $ 39,200 Fair Value Hierarchy Financial Instruments Measured at Fair Value on a Recurring Basis The following tables set forth financial instruments accounted for under ASC 820 by level within the fair value hierarchy as of June 30, 2015 and December 31, 2014. As required by ASC 820, assets and liabilities that are measured at fair value are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. June 30, 2015 Total Level 1 Level 2 Level 3 MBS, at fair value Trading: Agency-backed MBS $ 4,154,360 $ $ 4,154,360 $ Private-label MBS 3,111 3,111 Total trading 4,157,471 4,154,360 3,111 Available-for-sale: Agency-backed MBS 27 27 Private-label MBS 149,051 149,051 Total available-for-sale 149,078 27 149,051 Total MBS 4,306,549 4,154,387 152,162 Derivative assets, at fair value 2,144 746 1,398 Derivative liabilities, at fair value (144,936) (140,268) (4,668) Interest-only MBS, at fair value 191 191 Total $ 4,163,948 $ (139,522) $ 4,151,117 $ 152,353 December 31, 2014 Total Level 1 Level 2 Level 3 MBS, at fair value Trading: Agency-backed MBS $ 3,414,300 $ $ 3,414,300 $ Available-for-sale: Agency-backed MBS 40 40 Private-label MBS 267,437 267,437 Total available-for-sale 267,477 40 267,437 Total MBS 3,681,777 3,414,340 267,437 Derivative assets, at fair value 1,267 751 516 Derivative liabilities, at fair value (124,308) (124,308) Interest-only MBS, at fair value 212 212 Total $ 3,558,948 $ (123,557) $ 3,414,856 $ 267,649 There were no transfers of securities in or out of Levels 1, 2 or 3 during the three and six months ended June 30, 2015 or the year ended December 31, 2014. Level 3 Financial Assets and Liabilities Financial Instruments Measured at Fair Value on a Recurring Basis The fair value of the Company’s Level 3, private-label MBS was $152,162 and $267,437 as of June 30, 2015 and December 31, 2014, respectively. As of June 30, 2015, the private-label MBS portfolio consists entirely of tranches of beneficial interests in underlying, resecuritized private-label MBS issued by re-REMIC securitization trusts between 2005 and 2014. During 2014, the Company’s private-label MBS portfolio also included senior class MBS, which represent beneficial interests in securitized mortgage loans that have the first right to cash flows and absorb losses last. The underlying collateral of our re-REMIC securities are senior and pro-rata mezzanine class MBS. For re-REMIC securities, the cash flows from, and any credit losses absorbed by, the underlying MBS are allocated among the re-REMIC securities issued in the resecuritization transactions based on the re-REMIC structure. For example, prime and non-prime residential senior securities have been resecuritized to create a two-tranche structure with a re-REMIC senior security and a re-REMIC subordinated security. In these re-REMIC securities, all principal payments from the underlying securities are directed to the re-REMIC senior security until the face value is fully paid off. Thereafter, all principal payments are directed to the re-REMIC subordinated security. For pro-rata mezzanine securities, principal payments from the underlying MBS are typically allocated concurrently and proportionally to the mezzanine securities along with senior securities. The re-REMIC subordinated and mezzanine securities absorb credit losses, if any, first; however, these credit losses occur only when credit losses exceed the credit protection provided to the underlying securities. Re-REMIC and mezzanine securities receive interest while any face value is outstanding. June 30, 2015 December 31, 2014 Original loan-to-value 67 % 68 % Original FICO score 721 722 Three-month prepayment rate 12 % 11 % Three-month loss severities 33 % 41 % Weighted average coupon 2.95 % 2.96 % Private-label MBS June 30, 2015 December 31, 2014 Discount rate 5.57 % 5.55 % Default rate 2.94 % 3.09 % Loss severity rate 42.80 % 42.25 % Prepayment rate 11.11 % 11.23 % The ranges of the significant unobservable inputs for the valuation model were as follows as of the dates indicated: Private-label MBS June 30, 2015 December 31, 2014 Discount rate 5.25 10.00 % 5.15 10.00 % Default rate 1.45 8.25 % 1.00 8.80 % Loss severity rate 35.00 57.50 % 29.23 57.50 % Prepayment rate 7.75 17.70 % 7.40 17.70 % Three Months Ended June 30, 2015 Senior Re-REMIC Total Beginning balance, April 1, 2015 $ $ 241,017 $ 241,017 Total net gains (losses) Included in investment (loss) gain, net 13,382 13,382 Included in other comprehensive income (17,311) (17,311) Purchases 2,870 2,870 Sales (89,613) (89,613) Payments, net (2,338) (2,338) Accretion of discount 4,155 4,155 Ending balance, June 30, 2015 $ $ 152,162 $ 152,162 The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date $ $ 225 $ 225 Three Months Ended June 30, 2014 Senior Re-REMIC Total Beginning balance, April 1, 2014 $ $ 329,846 $ 329,846 Total net gains (losses) Included in investment (loss) gain, net 6 4,759 4,765 Included in other comprehensive income (2,019) (2,019) Purchases Sales 78 (21,576) (21,498) Payments, net (104) (3,711) (3,815) Accretion of discount 20 6,849 6,869 Ending balance, June 30, 2014 $ $ 314,148 $ 314,148 The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date $ $ (51) $ (51) Six Months Ended June 30, 2015 Senior Re-REMIC Total Beginning balance, January 1, 2015 $ $ 267,437 $ 267,437 Total net gains (losses) Included in investment (loss) gain, net 16,814 16,814 Included in other comprehensive income (28,216) (28,216) Purchases 2,870 2,870 Sales (110,472) (110,472) Payments, net (5,469) (5,469) Accretion of discount 9,198 9,198 Ending balance, June 30, 2015 $ $ 152,162 $ 152,162 The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date $ $ 225 $ 225 Six Months Ended June 30, 2014 Senior Re-REMIC Total Beginning balance, January 1, 2014 $ 7,066 $ 334,233 $ 341,299 Total net gains (losses) Included in investment (loss) gain, net 1,690 7,842 9,532 Included in other comprehensive income (1,654) (3,210) (4,864) Purchases Sales (7,029) (30,202) (37,231) Payments, net (319) (8,288) (8,607) Accretion of discount 246 13,773 14,019 Ending balance, June 30, 2014 $ $ 314,148 $ 314,148 The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date $ $ (51) $ (51) Level 3 Financial Instruments Measured at Fair Value on a Non-Recurring Basis 1,558 1,625 The Company has generally purchased private-label MBS at a discount to face value. The Company, at least on a quarterly basis, estimates the future expected cash flows based on the Company’s observation of current information and events and applies a number of assumptions related to prepayment rates, interest rates, default rates, loss severity rates, and the timing and amount of cash flows and credit losses. These assumptions are difficult to predict, as they are subject to uncertainties and contingencies related to future events that may impact the Company’s estimates and its interest income. Interest income on the private-label MBS is recognized based on each security’s expected effective interest rate. At acquisition, the accretable yield is calculated as the difference between the undiscounted expected cash flows and the purchase price, which is expected to be accreted into interest income over the remaining life of the security on a level-yield basis. The difference between the contractually required payments and the undiscounted expected cash flows represents the non-accretable difference. Based on actual payment activities and changes in estimates of undiscounted expected future cash flows, the accretable yield and the non-accretable difference can change over time. Actual cash collections that exceed our prior estimates and/or positive changes in our periodic estimates of expected future cash flows increase the accretable yield and are recognized prospectively as incremental interest income over the remaining life of the security. Three Months Ended June 30, Six Months Ended June 30, 2015 2014 2015 2014 Beginning balance $ 175,298 $ 310,933 $ 202,108 $ 326,330 Accretion of discount (4,155) (6,869) (9,198) (14,019) Reclassifications, net 4,678 8,727 (4,504) 13,372 Acquisitions Sales (72,756) (21,663) (85,341) (34,555) Ending balance $ 103,065 $ 291,128 $ 103,065 $ 291,128 The Company did not acquire any available-for-sale, private-label MBS during the three and six months ended June 30, 2015 and 2014. The Company did acquire private-label MBS during the three months ended June 30, 2015 that it elected to classify as trading securities. Investments - Debt and Equity Securities June 30, 2015 Amortized Cost Unrealized Basis (1) Gains Losses Fair Value Agency-backed MBS $ 24 $ 3 $ $ 27 Private-label MBS 129,734 19,317 149,051 Total $ 129,758 $ 19,320 $ $ 149,078 (1) The amortized cost of MBS includes unamortized net discounts of $ 63,322 December 31, 2014 Amortized Cost Unrealized Basis (1) Gains Losses Fair Value Agency-backed MBS $ 36 $ 4 $ $ 40 Private-label MBS 219,904 47,533 267,437 Total $ 219,940 $ 47,537 $ $ 267,477 (1) The amortized cost of MBS includes unamortized net discounts of $ 133,333 The Company recorded no other-than-temporary impairment charges on available-for-sale MBS during the three and six months ended June 30, 2015. For the three and six months ended June 30, 2014, the Company recorded other-than-temporary impairment charges of $ 51 2,174 Three Months Ended June 30, Six Months Ended June 30, 2015 2014 2015 2014 Cumulative credit related other-than-temporary impairment, beginning balance $ 18,903 $ 21,026 $ 18,903 $ 23,662 Increases related to other-than-temporary impairments on securities without previously recognized other-than-temporary impairments 51 51 Decreases related to other-than-temporary impairments on sold securities (6,081) (1,390) (6,081) (4,026) Cumulative credit related other-than-temporary impairment, ending balance $ 12,822 $ 19,687 $ 12,822 $ 19,687 Three Months Ended June 30, Six Months Ended June 30, 2015 2014 2015 2014 Agency- Private- Agency- Private- Agency- Private- Agency- Private- Proceeds from sales $ 148,002 $ 89,613 $ $ 21,499 $ 278,668 $ 110,472 $ $ 37,231 Gross gains 13,531 4,690 399 16,879 9,359 Gross losses 2,087 414 1,986 414 Other Investments June 30, 2015 December 31, 2014 Interest-only MBS $ 191 $ 212 Non-public equity securities 975 975 Investment funds 583 650 Total other investments $ 1,749 $ 1,837 |
Borrowings
Borrowings | 6 Months Ended |
Jun. 30, 2015 | |
Debt Disclosure [Abstract] | |
Borrowings | Note 4. Borrowings: Repurchase Agreements The Company has entered into repurchase agreements to fund its investments in MBS. Securities sold under agreements to repurchase, which are treated as financing transactions for financial reporting purposes, are collateralized by MBS and are carried at their contractual amounts as specified in the respective agreements. Under the repurchase agreements, the Company pledges its securities as collateral to secure the borrowing, which is equal in value to a specified percentage of the fair value of the pledged collateral, while the Company retains beneficial ownership of the pledged collateral. The counterparty to the repurchase agreements may require that the Company pledge additional securities or cash as additional collateral to secure borrowings when the value of the collateral declines. June 30, 2015 December 31, 2014 Pledged with agency-backed MBS: Repurchase agreements outstanding $ 3,592,357 $ 3,137,586 Agency-backed MBS collateral, at fair value 3,783,743 3,300,383 Net amount (1) 191,386 162,797 Weighted-average rate 0.38 % 0.38 % Weighted-average term to maturity 14.0 days 14.0 days Pledged with private-label MBS: Repurchase agreements outstanding $ 39,415 $ 42,189 Private-label MBS collateral, at fair value 70,572 75,642 Net amount (1) 31,157 33,453 Weighted-average rate 2.12 % 1.98 % Weighted-average term to maturity 22.0 days 21.8 days Total MBS: Repurchase agreements outstanding $ 3,631,772 $ 3,179,775 MBS collateral, at fair value 3,854,315 3,376,025 Net amount (1) 222,543 196,250 Weighted-average rate 0.40 % 0.40 % Weighted-average term to maturity 14.1 days 14.1 days (1) Net amount represents the value of collateral in excess of corresponding repurchase obligation. The amount of collateral at-risk is limited to the outstanding repurchase obligation and not the entire collateral balance. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings during the three and six months ended June 30, 2015 and 2014: June 30, 2015 June 30, 2014 Weighted-average outstanding balance during the three months ended $ 3,463,587 $ 2,300,868 Weighted-average rate during the three months ended 0.39 % 0.37 % Weighted-average outstanding balance during the six months ended $ 3,341,379 $ 1,990,904 Weighted-average rate during the six months ended 0.39 % 0.39 % Long-Term Debt As of June 30, 2015 and December 31, 2014, the Company had $ 75,300 40,000 On March 18, 2015, the Company completed a public offering of $ 35,300 6.75 34,063 March 15, 2025 The Company’s long-term debentures consisted of the following as of the dates indicated: June 30, 2015 December 31, 2014 Senior Senior Trust Senior Trust Outstanding Principal $ 35,300 $ 25,000 $ 15,000 $ 25,000 $ 15,000 Annual Interest Rate 6.75 % 6.625 % LIBOR + % 6.625 % LIBOR + % Interest Payment Frequency Quarterly Quarterly Quarterly Quarterly Quarterly Weighted-Average Interest Rate 6.75 % 6.625 % 3.03 % 6.625 % 2.98 % Maturity March 15, 2025 May 1, 2023 2033 2035 May 1, 2023 2033 2035 Early Redemption Date March 15, 2018 May 1, 2016 2008 2010 May 1, 2016 2008 2010 |
Derivative Financial Instrument
Derivative Financial Instruments and Economic Hedging Activities | 6 Months Ended |
Jun. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Financial Instruments and Hedging Activities | Note 5. Derivative Financial Instruments and Economic Hedging Activities: In the normal course of its operations, the Company is a party to financial instruments that are accounted for as derivative instruments in accordance with ASC 815. These instruments may include Eurodollar futures, interest rate swap futures, U.S. Treasury futures contracts, interest rate swaps, put options and certain commitments to purchase and sell MBS. The exchange traded derivatives such as Eurodollar futures and interest rate swap futures are, in effect, settled on a daily basis by the exchange of cash variation margin. Cash variation margin posted by the Company is included in the financial statement line item deposits in the accompanying consolidated balance sheets. The Company may be required to pledge collateral for margin requirements with third-party custodians in connection with certain of its other derivative transactions. These transactions are not under master netting agreements. During the three and six months ended June 30, 2015 and 2014, the Company entered into various financial contracts to economically hedge certain MBS and related borrowings and other long-term debt. These financial contracts are not designated as cash flow hedges under ASC 815. The changes in fair value on these derivatives are recorded to investment (loss) gain, net in the consolidated statements of comprehensive income. For the three and six months ended June 30, 2015, the Company recorded net gains of $ 30,391 45,728 46,585 70,065 June 30, 2015 December 31, 2014 Notional Fair Value Notional Fair Value Eurodollar futures: Derivative assets $ 2,420,000 $ 680 $ 2,445,000 $ 751 Derivative liabilities 39,040,000 (99,575) 38,645,000 (76,848) Total Eurodollar futures (1) 41,460,000 (98,895) 41,090,000 (76,097) 10-year swap futures: Derivative assets 75,000 66 Derivative liabilities 1,000,000 (40,693) 1,145,000 (47,460) Total 10-year swap futures (2) 1,075,000 (40,627) 1,145,000 (47,460) Commitment to purchase MBS (3) 350,000 (4,668) 200,000 516 Commitment to sell MBS (4) 150,000 1,398 (1) The $ 41,460,000 2,585,000 2,325,000 121,903 (2) The $ 1,075,000 710,000 365,000 57,952 (3) The total notional amount of commitment to purchase MBS represents forward commitments to purchase fixed-rate agency-backed MBS securities. As of June 30, 2015, the Company maintained $ 3,951 (4) The total notional amount of commitment to sell MBS represents forward commitments to sell fixed-rate agency-backed MBS securities. |
Income Taxes
Income Taxes | 6 Months Ended |
Jun. 30, 2015 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 6. Income Taxes: Arlington Asset is subject to taxation as a corporation under Subchapter C of the Internal Revenue Code of 1986, as amended (the “Code”). The Company’s consolidated subsidiary, Rosslyn REIT Trust (“Rosslyn REIT”), operates to qualify as a real estate investment trust (“REIT”) under the Code. The investments of Rosslyn REIT primarily consist of a portion of the Company’s private-label MBS portfolio. Arlington Asset owns all of the common shares of Rosslyn REIT and all of the preferred shares of Rosslyn REIT are owned by outside investors. Rosslyn REIT periodically distributes all of its income to its shareholders. The Company’s agency-backed MBS and remaining private label MBS investment portfolios are held by Arlington Asset. The Company currently has net operating loss (“NOL”) and net capital loss (“NCL”) carry-forwards that can be applied against the Company’s current taxable ordinary income and net capital gains. As of June 30, 2015 and December 31, 2014, the Company had a net deferred tax asset of $ 113,121 122,365 54,814 26,027 2019 2020 28,787 The increase in the valuation allowance was As of June 30, 2015, the Company has assessed the need for recording a provision for any uncertain tax position and has made the determination that such provision is not necessary. The Company is subject to examination by the U.S. Internal Revenue Service (“IRS”) and state and local taxing jurisdictions where the Company has significant business operations. As of June 30, 2015, there are no on-going examinations. |
Earnings Per Share
Earnings Per Share | 6 Months Ended |
Jun. 30, 2015 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Note 7. Earnings Per Share: Basic earnings per share includes no dilution and is computed by dividing net income or loss applicable to common stock by the weighted-average number of common shares outstanding for the respective period. Diluted earnings per share includes the impact of dilutive securities such as unvested shares of restricted stock and performance share units. Three Months Ended June 30, 2015 2014 (Shares in thousands) Basic Diluted Basic Diluted Weighted-average shares outstanding Common stock 22,979 22,979 19,740 19,740 Performance share units and unvested restricted stock 119 320 Weighted-average common and common equivalent shares outstanding 22,979 23,098 19,740 20,060 Net income $ 6,601 $ 6,601 $ 18,839 $ 18,839 Net income per common share $ 0.29 $ 0.29 $ 0.95 $ 0.94 Six Months Ended June 30, 2015 2014 (Shares in thousands) Basic Diluted Basic Diluted Weighted-average shares outstanding Common stock 22,976 22,976 18,282 18,282 Performance share units and unvested restricted stock 297 Weighted-average common and common equivalent shares outstanding 22,976 22,976 18,282 18,579 Net (loss) income $ (35,584) $ (35,584) $ 25,872 $ 25,872 Net (loss) income per common share $ (1.55) $ (1.55) $ 1.42 $ 1.39 The diluted earnings per share for the six months ended June 30, 2015 did not include the antidilutive effect of 120,868 |
Equity
Equity | 6 Months Ended |
Jun. 30, 2015 | |
Equity [Abstract] | |
Equity | Note 8. Equity: Dividends Pursuant to the Company’s variable dividend policy, the Board of Directors evaluates dividends on a quarterly basis and, in its sole discretion, approves the payment of dividends. The Company’s dividend payments, if any, may vary significantly from quarter to quarter. Quarter Ended Dividend Amount Declaration Date Record Date Pay Date June 30 $ 0.875 June 17 June 30 July 31 March 31 0.875 March 10 March 31 April 30 The Board of Directors approved and the Company declared and paid the following dividends for 2014: Quarter Ended Dividend Amount Declaration Date Record Date Pay Date December 31 $ 0.875 December 18 December 31 January 30, 2015 September 30 0.875 September 17 September 29 October 31 June 30 0.875 June 11 June 30 July 31 March 31 0.875 March 13 March 31 April 30 Conversion of Class B Common Stock to Class A Common Stock During the three and six months ended June 30, 2015, a holder of the Company's common stock converted an aggregate of 1,153 1,153 |
Recent Accounting Pronouncement
Recent Accounting Pronouncements | 6 Months Ended |
Jun. 30, 2015 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recent Accounting Pronouncements | Note 9. Recent Accounting Pronouncements: On April 7, 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-03, Interest Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs On February 18, 2015, the FASB issued ASU No. 2015-02, Consolidation (Topic 810) Amendments to the Consolidation Analysis On January 9, 2015, the FASB issued ASU No. 2015-01, Extraordinary and Unusual Items (Subtopic 225-20) Simplifying Income Statement Presentation by Eliminating the Concept of Extraordinary Items |
Revisions to Previously Reporte
Revisions to Previously Reported Financial Statements | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Changes and Error Corrections [Abstract] | |
Revisions to Previously Reported Financial Statements | Note 10. Revisions to Previously Reported Financial Statements: The Company concluded that the previously reported tax effect of the components of other comprehensive income (loss) was incorrect for the three and six months ended June 30, 2014. Although the error did not have an impact on the previously reported total other comprehensive income (loss), it did have an impact on the previously reported components of other comprehensive income (loss). Although the impact of this change was not material to the consolidated financial statements for the three and six months ended June 30, 2014, the Company has revised its previously reported consolidated financial statements for the three and six months ended June 30, 2014. Three Months Ended June 30, 2014 As Previously Revision As Revised Other comprehensive income (loss), net of taxes: Unrealized gains for the period on available-for-sale securities $ 3,081 $ (1,577) $ 1,504 Reclassification: Included in investment loss, net, in the statement of comprehensive income related to sales of available-for-sale securities (4,368) 1,577 (2,791) Six Months Ended June 30, 2014 As Previously Revision As Revised Other comprehensive income (loss), net of taxes: Unrealized gains for the period on available-for-sale securities $ 5,425 $ (2,864) $ 2,561 Reclassification: Included in investment loss, net, in the statement of comprehensive income related to sales of available-for-sale securities (8,816) 2,864 (5,952) During the first quarter of 2015, the Company concluded that the previously reported income tax provision (benefit) and the related income tax effect on other comprehensive income (loss) was incorrect for the fiscal years ended December 31, 2012 and 2013 with no impact on previously reported total comprehensive income. As a result of these errors, the Company also concluded that the previously reported accumulated other comprehensive income and accumulated deficit was incorrect as of the three fiscal years ended December 31, 2014 for the cumulative impact of the errors , however, with no impact on previously reported total equity. As of December 31, 2014 As Previously Reported Revision As Revised Accumulated other comprehensive income, net of taxes $ 42,793 $ (6,921) $ 35,872 Accumulated deficit (1,298,018) 6,921 (1,291,097) As of December 31, 2013 As Previously Reported Revision As Revised Accumulated other comprehensive income, net of taxes $ 53,190 $ (6,921) $ 46,269 Accumulated deficit (1,228,926) 6,921 (1,222,005) |
Updates to Significant Accoun18
Updates to Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Policies [Abstract] | |
Revenue Recognition, Interest [Policy Text Block] | Interest Income Recognition for Investments in Private-label Mortgage-backed Securities Classified as Trading Securities In the second quarter of 2015, the Company acquired private-label mortgage-backed securities (“MBS”) that it classified as trading securities. Interest income on private-label MBS classified as trading securities that, at the time of acquisition, are not considered to be of high credit quality or may be contractually prepaid or otherwise settled in such a way that the Company would not recover substantially all of its initial recorded investment is recognized using the prospective effective interest method. In applying the prospective effective interest method, the Company, at the time of acquisition, determines the security’s effective interest rate by solving for the single discount rate that equates the present value of the Company’s estimate of the amount and timing of the cash flows expected to be collected from the security to its purchase price. Subsequent to acquisition, the amount of periodic interest income recognized is determined by applying the security’s effective interest rate to its amortized purchase price, or “reference amount.” In each subsequent reporting period, the Company will re-estimate the amount and timing of cash flows expected to be collected from the security. If actual cash flows exceed prior estimates and/or a positive change occurs in the estimate of expected remaining cash flows, a revised effective interest rate will be calculated such that the positive change in cash flows is recognized as incremental interest income over the remaining life of the security. If actual cash flows fall short of prior estimates and/or an adverse change occurs in the estimate of expected remaining cash flows, the amount of periodic interest income recognized over the remaining life of the security will be reduced accordingly. Specifically, if an adverse change in cash flows occurs for a security that is impaired (that is, its reference amount exceeds its fair value), the reference amount to which the security’s existing effective interest rate will be prospectively applied will be reduced to the present value of cash flows expected to be collected, discounted at the security’s existing effective interest rate. |
Financial Instruments (Tables)
Financial Instruments (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements, Recurring and Nonrecurring [Table Text Block] | Financial Instruments Measured at Fair Value on a Recurring Basis June 30, 2015 Total Level 1 Level 2 Level 3 MBS, at fair value Trading: Agency-backed MBS $ 4,154,360 $ $ 4,154,360 $ Private-label MBS 3,111 3,111 Total trading 4,157,471 4,154,360 3,111 Available-for-sale: Agency-backed MBS 27 27 Private-label MBS 149,051 149,051 Total available-for-sale 149,078 27 149,051 Total MBS 4,306,549 4,154,387 152,162 Derivative assets, at fair value 2,144 746 1,398 Derivative liabilities, at fair value (144,936) (140,268) (4,668) Interest-only MBS, at fair value 191 191 Total $ 4,163,948 $ (139,522) $ 4,151,117 $ 152,353 December 31, 2014 Total Level 1 Level 2 Level 3 MBS, at fair value Trading: Agency-backed MBS $ 3,414,300 $ $ 3,414,300 $ Available-for-sale: Agency-backed MBS 40 40 Private-label MBS 267,437 267,437 Total available-for-sale 267,477 40 267,437 Total MBS 3,681,777 3,414,340 267,437 Derivative assets, at fair value 1,267 751 516 Derivative liabilities, at fair value (124,308) (124,308) Interest-only MBS, at fair value 212 212 Total $ 3,558,948 $ (123,557) $ 3,414,856 $ 267,649 |
Weighted Average Underlying Loan Characteristics Private Label MBS [Table Text Block] | The Company’s private-label MBS were collateralized by residential prime and Alt-A mortgage loans and had the following weighted average characteristics, based on face value, as of the dates indicated: June 30, 2015 December 31, 2014 Original loan-to-value 67 % 68 % Original FICO score 721 722 Three-month prepayment rate 12 % 11 % Three-month loss severities 33 % 41 % Weighted average coupon 2.95 % 2.96 % |
Fair Value Inputs, Assets, Quantitative Information [Table Text Block] | The significant unobservable inputs used to develop the estimated cash flows and discount rates in the valuation models for the Company’s private-label MBS include the following weighted-averages, based on face value, as of the dates indicated: Private-label MBS June 30, 2015 December 31, 2014 Discount rate 5.57 % 5.55 % Default rate 2.94 % 3.09 % Loss severity rate 42.80 % 42.25 % Prepayment rate 11.11 % 11.23 % The ranges of the significant unobservable inputs for the valuation model were as follows as of the dates indicated: Private-label MBS June 30, 2015 December 31, 2014 Discount rate 5.25 10.00 % 5.15 10.00 % Default rate 1.45 8.25 % 1.00 8.80 % Loss severity rate 35.00 57.50 % 29.23 57.50 % Prepayment rate 7.75 17.70 % 7.40 17.70 % |
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Table Text Block] | The tables below set forth a summary of changes in the fair value and gains and losses of the Company’s Level 3 financial assets and liabilities that are measured at fair value on a recurring basis for the three and six months ended June 30, 2015 and 2014. Three Months Ended June 30, 2015 Senior Re-REMIC Total Beginning balance, April 1, 2015 $ $ 241,017 $ 241,017 Total net gains (losses) Included in investment (loss) gain, net 13,382 13,382 Included in other comprehensive income (17,311) (17,311) Purchases 2,870 2,870 Sales (89,613) (89,613) Payments, net (2,338) (2,338) Accretion of discount 4,155 4,155 Ending balance, June 30, 2015 $ $ 152,162 $ 152,162 The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date $ $ 225 $ 225 Three Months Ended June 30, 2014 Senior Re-REMIC Total Beginning balance, April 1, 2014 $ $ 329,846 $ 329,846 Total net gains (losses) Included in investment (loss) gain, net 6 4,759 4,765 Included in other comprehensive income (2,019) (2,019) Purchases Sales 78 (21,576) (21,498) Payments, net (104) (3,711) (3,815) Accretion of discount 20 6,849 6,869 Ending balance, June 30, 2014 $ $ 314,148 $ 314,148 The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date $ $ (51) $ (51) Six Months Ended June 30, 2015 Senior Re-REMIC Total Beginning balance, January 1, 2015 $ $ 267,437 $ 267,437 Total net gains (losses) Included in investment (loss) gain, net 16,814 16,814 Included in other comprehensive income (28,216) (28,216) Purchases 2,870 2,870 Sales (110,472) (110,472) Payments, net (5,469) (5,469) Accretion of discount 9,198 9,198 Ending balance, June 30, 2015 $ $ 152,162 $ 152,162 The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date $ $ 225 $ 225 Six Months Ended June 30, 2014 Senior Re-REMIC Total Beginning balance, January 1, 2014 $ 7,066 $ 334,233 $ 341,299 Total net gains (losses) Included in investment (loss) gain, net 1,690 7,842 9,532 Included in other comprehensive income (1,654) (3,210) (4,864) Purchases Sales (7,029) (30,202) (37,231) Payments, net (319) (8,288) (8,607) Accretion of discount 246 13,773 14,019 Ending balance, June 30, 2014 $ $ 314,148 $ 314,148 The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date $ $ (51) $ (51) |
Fair Value Measurement with Unobservable Inputs Reconciliation Recurring Basis, Gain (Loss) Included in Other Comprehensive Income (Loss) [Table Text Block] | Level 3 Financial Instruments Measured at Fair Value on a Non-Recurring Basis |
Private Label MBS Available-for-sale Accretable Yield [Table Text Block] | The following table presents the changes in the accretable yield on available-for-sale, private-label MBS for the three and six months ended June 30, 2015 and 2014: Three Months Ended June 30, Six Months Ended June 30, 2015 2014 2015 2014 Beginning balance $ 175,298 $ 310,933 $ 202,108 $ 326,330 Accretion of discount (4,155) (6,869) (9,198) (14,019) Reclassifications, net 4,678 8,727 (4,504) 13,372 Acquisitions Sales (72,756) (21,663) (85,341) (34,555) Ending balance $ 103,065 $ 291,128 $ 103,065 $ 291,128 |
Unrealized Gain (Loss) on Investments [Table Text Block] | The Company’s available-for-sale MBS are carried at fair value in accordance with ASC 320, Investments - Debt and Equity Securities June 30, 2015 Amortized Cost Unrealized Basis (1) Gains Losses Fair Value Agency-backed MBS $ 24 $ 3 $ $ 27 Private-label MBS 129,734 19,317 149,051 Total $ 129,758 $ 19,320 $ $ 149,078 (1) The amortized cost of MBS includes unamortized net discounts of $ 63,322 December 31, 2014 Amortized Cost Unrealized Basis (1) Gains Losses Fair Value Agency-backed MBS $ 36 $ 4 $ $ 40 Private-label MBS 219,904 47,533 267,437 Total $ 219,940 $ 47,537 $ $ 267,477 (1) The amortized cost of MBS includes unamortized net discounts of $ 133,333 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | The following table presents a summary of cumulative credit related other-than-temporary impairment charges recognized on the available-for-sale MBS held as of the dates indicated: Three Months Ended June 30, Six Months Ended June 30, 2015 2014 2015 2014 Cumulative credit related other-than-temporary impairment, beginning balance $ 18,903 $ 21,026 $ 18,903 $ 23,662 Increases related to other-than-temporary impairments on securities without previously recognized other-than-temporary impairments 51 51 Decreases related to other-than-temporary impairments on sold securities (6,081) (1,390) (6,081) (4,026) Cumulative credit related other-than-temporary impairment, ending balance $ 12,822 $ 19,687 $ 12,822 $ 19,687 |
Realized Gain (Loss) on Investments [Table Text Block] | The following table presents the results of sales of MBS for the periods indicated: Three Months Ended June 30, Six Months Ended June 30, 2015 2014 2015 2014 Agency- Private- Agency- Private- Agency- Private- Agency- Private- Proceeds from sales $ 148,002 $ 89,613 $ $ 21,499 $ 278,668 $ 110,472 $ $ 37,231 Gross gains 13,531 4,690 399 16,879 9,359 Gross losses 2,087 414 1,986 414 |
Investment [Table Text Block] | The Company’s other investments consisted of the following as of the dates indicated: June 30, 2015 December 31, 2014 Interest-only MBS $ 191 $ 212 Non-public equity securities 975 975 Investment funds 583 650 Total other investments $ 1,749 $ 1,837 |
Borrowings (Tables)
Borrowings (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements [Table Text Block] | The following table provides information regarding the Company’s outstanding repurchase agreement borrowings as of June 30, 2015 and December 31, 2014: June 30, 2015 December 31, 2014 Pledged with agency-backed MBS: Repurchase agreements outstanding $ 3,592,357 $ 3,137,586 Agency-backed MBS collateral, at fair value 3,783,743 3,300,383 Net amount (1) 191,386 162,797 Weighted-average rate 0.38 % 0.38 % Weighted-average term to maturity 14.0 days 14.0 days Pledged with private-label MBS: Repurchase agreements outstanding $ 39,415 $ 42,189 Private-label MBS collateral, at fair value 70,572 75,642 Net amount (1) 31,157 33,453 Weighted-average rate 2.12 % 1.98 % Weighted-average term to maturity 22.0 days 21.8 days Total MBS: Repurchase agreements outstanding $ 3,631,772 $ 3,179,775 MBS collateral, at fair value 3,854,315 3,376,025 Net amount (1) 222,543 196,250 Weighted-average rate 0.40 % 0.40 % Weighted-average term to maturity 14.1 days 14.1 days (1) Net amount represents the value of collateral in excess of corresponding repurchase obligation. The amount of collateral at-risk is limited to the outstanding repurchase obligation and not the entire collateral balance. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings during the three and six months ended June 30, 2015 and 2014: June 30, 2015 June 30, 2014 Weighted-average outstanding balance during the three months ended $ 3,463,587 $ 2,300,868 Weighted-average rate during the three months ended 0.39 % 0.37 % Weighted-average outstanding balance during the six months ended $ 3,341,379 $ 1,990,904 Weighted-average rate during the six months ended 0.39 % 0.39 % |
Schedule of Long-term Debt Instruments [Table Text Block] | The Company’s long-term debentures consisted of the following as of the dates indicated: June 30, 2015 December 31, 2014 Senior Senior Trust Senior Trust Outstanding Principal $ 35,300 $ 25,000 $ 15,000 $ 25,000 $ 15,000 Annual Interest Rate 6.75 % 6.625 % LIBOR + % 6.625 % LIBOR + % Interest Payment Frequency Quarterly Quarterly Quarterly Quarterly Quarterly Weighted-Average Interest Rate 6.75 % 6.625 % 3.03 % 6.625 % 2.98 % Maturity March 15, 2025 May 1, 2023 2033 2035 May 1, 2023 2033 2035 Early Redemption Date March 15, 2018 May 1, 2016 2008 2010 May 1, 2016 2008 2010 |
Derivative Financial Instrume21
Derivative Financial Instruments and Economic Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments [Table Text Block] | The Company held the following derivative instruments as of the dates indicated: June 30, 2015 December 31, 2014 Notional Fair Value Notional Fair Value Eurodollar futures: Derivative assets $ 2,420,000 $ 680 $ 2,445,000 $ 751 Derivative liabilities 39,040,000 (99,575) 38,645,000 (76,848) Total Eurodollar futures (1) 41,460,000 (98,895) 41,090,000 (76,097) 10-year swap futures: Derivative assets 75,000 66 Derivative liabilities 1,000,000 (40,693) 1,145,000 (47,460) Total 10-year swap futures (2) 1,075,000 (40,627) 1,145,000 (47,460) Commitment to purchase MBS (3) 350,000 (4,668) 200,000 516 Commitment to sell MBS (4) 150,000 1,398 (1) The $ 41,460,000 2,585,000 2,325,000 121,903 (2) The $ 1,075,000 710,000 365,000 57,952 (3) The total notional amount of commitment to purchase MBS represents forward commitments to purchase fixed-rate agency-backed MBS securities. As of June 30, 2015, the Company maintained $ 3,951 (4) The total notional amount of commitment to sell MBS represents forward commitments to sell fixed-rate agency-backed MBS securities. |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | The following tables present the computations of basic and diluted earnings (loss) per share for the periods indicated: Three Months Ended June 30, 2015 2014 (Shares in thousands) Basic Diluted Basic Diluted Weighted-average shares outstanding Common stock 22,979 22,979 19,740 19,740 Performance share units and unvested restricted stock 119 320 Weighted-average common and common equivalent shares outstanding 22,979 23,098 19,740 20,060 Net income $ 6,601 $ 6,601 $ 18,839 $ 18,839 Net income per common share $ 0.29 $ 0.29 $ 0.95 $ 0.94 Six Months Ended June 30, 2015 2014 (Shares in thousands) Basic Diluted Basic Diluted Weighted-average shares outstanding Common stock 22,976 22,976 18,282 18,282 Performance share units and unvested restricted stock 297 Weighted-average common and common equivalent shares outstanding 22,976 22,976 18,282 18,579 Net (loss) income $ (35,584) $ (35,584) $ 25,872 $ 25,872 Net (loss) income per common share $ (1.55) $ (1.55) $ 1.42 $ 1.39 |
Equity (Tables)
Equity (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Equity [Abstract] | |
Schedule of Dividends Payable [Table Text Block] | The Board of Directors has approved and the Company has declared the following dividends to date in 2015: Quarter Ended Dividend Amount Declaration Date Record Date Pay Date June 30 $ 0.875 June 17 June 30 July 31 March 31 0.875 March 10 March 31 April 30 The Board of Directors approved and the Company declared and paid the following dividends for 2014: Quarter Ended Dividend Amount Declaration Date Record Date Pay Date December 31 $ 0.875 December 18 December 31 January 30, 2015 September 30 0.875 September 17 September 29 October 31 June 30 0.875 June 11 June 30 July 31 March 31 0.875 March 13 March 31 April 30 |
Revisions to Previously Repor24
Revisions to Previously Reported Financial Statements (Tables) | 6 Months Ended |
Jun. 30, 2015 | |
Accounting Changes and Error Corrections [Abstract] | |
Schedule of Error Corrections and Prior Period Adjustments [Table Text Block] | The following tables set forth the affected line items within the Company’s previously reported consolidated financial statements for the three and six months ended June 30, 2014. Three Months Ended June 30, 2014 As Previously Revision As Revised Other comprehensive income (loss), net of taxes: Unrealized gains for the period on available-for-sale securities $ 3,081 $ (1,577) $ 1,504 Reclassification: Included in investment loss, net, in the statement of comprehensive income related to sales of available-for-sale securities (4,368) 1,577 (2,791) Six Months Ended June 30, 2014 As Previously Revision As Revised Other comprehensive income (loss), net of taxes: Unrealized gains for the period on available-for-sale securities $ 5,425 $ (2,864) $ 2,561 Reclassification: Included in investment loss, net, in the statement of comprehensive income related to sales of available-for-sale securities (8,816) 2,864 (5,952) The following tables set forth the affected line items within the Company’s previously reported consolidated balance sheets as of December 31, 2014 and 2013. As of December 31, 2014 As Previously Reported Revision As Revised Accumulated other comprehensive income, net of taxes $ 42,793 $ (6,921) $ 35,872 Accumulated deficit (1,298,018) 6,921 (1,291,097) As of December 31, 2013 As Previously Reported Revision As Revised Accumulated other comprehensive income, net of taxes $ 53,190 $ (6,921) $ 46,269 Accumulated deficit (1,228,926) 6,921 (1,222,005) |
Financial Instruments (Details)
Financial Instruments (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
MBS, at fair value | ||
Trading, Agency-backed MBS | $ 4,154,360 | $ 3,414,300 |
Trading, Private-label MBS | 3,111 | |
Total trading | 4,157,471 | |
Available-for-sale | ||
Agency-backed MBS | 27 | 40 |
Private-label MBS | ||
Private-label MBS | 149,051 | 267,437 |
Total available-for-sale | 149,078 | 267,477 |
Total MBS | 4,306,549 | 3,681,777 |
Derivative assets, at fair value | 2,144 | 1,267 |
Derivative liabilities, at fair value | (144,936) | (124,308) |
Interest-only MBS, at fair value | 191 | 212 |
Total | 4,163,948 | 3,558,948 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||
MBS, at fair value | ||
Trading, Agency-backed MBS | 0 | 0 |
Trading, Private-label MBS | 0 | |
Total trading | 0 | |
Available-for-sale | ||
Agency-backed MBS | 0 | 0 |
Private-label MBS | ||
Private-label MBS | 0 | 0 |
Total available-for-sale | 0 | 0 |
Total MBS | 0 | 0 |
Derivative assets, at fair value | 746 | 751 |
Derivative liabilities, at fair value | (140,268) | (124,308) |
Interest-only MBS, at fair value | 0 | 0 |
Total | (139,522) | (123,557) |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||
MBS, at fair value | ||
Trading, Agency-backed MBS | 4,154,360 | 3,414,300 |
Trading, Private-label MBS | 0 | |
Total trading | 4,154,360 | |
Available-for-sale | ||
Agency-backed MBS | 27 | 40 |
Private-label MBS | ||
Private-label MBS | 0 | 0 |
Total available-for-sale | 27 | 40 |
Total MBS | 4,154,387 | 3,414,340 |
Derivative assets, at fair value | 1,398 | 516 |
Derivative liabilities, at fair value | (4,668) | 0 |
Interest-only MBS, at fair value | 0 | 0 |
Total | 4,151,117 | 3,414,856 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||
MBS, at fair value | ||
Trading, Agency-backed MBS | 0 | 0 |
Trading, Private-label MBS | 3,111 | |
Total trading | 3,111 | |
Available-for-sale | ||
Agency-backed MBS | 0 | 0 |
Private-label MBS | ||
Private-label MBS | 149,051 | 267,437 |
Total available-for-sale | 149,051 | 267,437 |
Total MBS | 152,162 | 267,437 |
Derivative assets, at fair value | 0 | 0 |
Derivative liabilities, at fair value | 0 | 0 |
Interest-only MBS, at fair value | 191 | 212 |
Total | $ 152,353 | $ 267,649 |
Financial Instruments (Details
Financial Instruments (Details 1) - Scores | Jun. 30, 2015 | Dec. 31, 2014 |
Underlying Collateral Quantitative Disclosures [Line Items] | ||
Original loan-to-value | 67.00% | 68.00% |
Original FICO score | 721 | 722 |
Three-month prepayment rate | 12.00% | 11.00% |
Three-month loss severities | 33.00% | 41.00% |
Weighted average coupon | 2.95% | 2.96% |
Financial Instruments (Detail27
Financial Instruments (Details 2) - Private label MBS [Member] | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Discount rate | 5.57% | 5.55% |
Default rate | 2.94% | 3.09% |
Loss severity rate | 42.80% | 42.25% |
Prepayment rate | 11.11% | 11.23% |
Minimum [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Discount rate | 5.25% | 5.15% |
Default rate | 1.45% | 1.00% |
Loss severity rate | 35.00% | 29.23% |
Prepayment rate | 7.75% | 7.40% |
Maximum [Member] | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Discount rate | 10.00% | 10.00% |
Default rate | 8.25% | 8.80% |
Loss severity rate | 57.50% | 57.50% |
Prepayment rate | 17.70% | 17.70% |
Financial Instruments (Detail28
Financial Instruments (Details 3) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | $ 241,017 | $ 329,846 | $ 267,437 | $ 341,299 |
Total net gains (losses) | ||||
Included in other comprehensive income | (17,311) | (2,019) | (28,216) | (4,864) |
Included in investment (loss) gain, net | 13,382 | 4,765 | 16,814 | 9,532 |
Purchases | 2,870 | 0 | 2,870 | 0 |
Sales | (89,613) | (21,498) | (110,472) | (37,231) |
Payments, net | (2,338) | (3,815) | (5,469) | (8,607) |
Accretion of discount | 4,155 | 6,869 | 9,198 | 14,019 |
Ending balance | 152,162 | 314,148 | 152,162 | 314,148 |
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date | 225 | (51) | 225 | (51) |
Senior Securities [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | 0 | 0 | 0 | 7,066 |
Total net gains (losses) | ||||
Included in other comprehensive income | 0 | 0 | 0 | (1,654) |
Included in investment (loss) gain, net | 0 | 6 | 0 | 1,690 |
Purchases | 0 | 0 | 0 | 0 |
Sales | 0 | 78 | 0 | (7,029) |
Payments, net | 0 | (104) | 0 | (319) |
Accretion of discount | 0 | 20 | 0 | 246 |
Ending balance | 0 | 0 | 0 | 0 |
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date | 0 | 0 | 0 | 0 |
Re-REMIC Securities [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | 241,017 | 329,846 | 267,437 | 334,233 |
Total net gains (losses) | ||||
Included in other comprehensive income | (17,311) | (2,019) | (28,216) | (3,210) |
Included in investment (loss) gain, net | 13,382 | 4,759 | 16,814 | 7,842 |
Purchases | 2,870 | 0 | 2,870 | 0 |
Sales | (89,613) | (21,576) | (110,472) | (30,202) |
Payments, net | (2,338) | (3,711) | (5,469) | (8,288) |
Accretion of discount | 4,155 | 6,849 | 9,198 | 13,773 |
Ending balance | 152,162 | 314,148 | 152,162 | 314,148 |
The amount of net gains (losses) for the period included in earnings attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date | $ 225 | $ (51) | $ 225 | $ (51) |
Financial Instruments (Detail29
Financial Instruments (Details 4) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||||
Beginning balance | $ 175,298 | $ 310,933 | $ 202,108 | $ 326,330 |
Accretion of discount | (4,155) | (6,869) | (9,198) | (14,019) |
Reclassifications, net | 4,678 | 8,727 | (4,504) | 13,372 |
Acquisitions | 0 | 0 | 0 | 0 |
Sales | (72,756) | (21,663) | (85,341) | (34,555) |
Ending balance | $ 103,065 | $ 291,128 | $ 103,065 | $ 291,128 |
Financial Instruments (Detail30
Financial Instruments (Details 5) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | ||
Jun. 30, 2015 | Dec. 31, 2014 | |||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost/Cost Basis | $ 129,758 | [1] | $ 219,940 | [2] |
Unrealized Gains | 19,320 | 47,537 | ||
Unrealized Losses | 0 | 0 | ||
Fair Value | 149,078 | 267,477 | ||
Agency Backed MBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost/Cost Basis | 24 | [1] | 36 | [2] |
Unrealized Gains | 3 | 4 | ||
Unrealized Losses | 0 | 0 | ||
Fair Value | 27 | 40 | ||
Private Label Mortgage Backed Securities [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost/Cost Basis | 129,734 | [1] | 219,904 | [2] |
Unrealized Gains | 19,317 | 47,533 | ||
Unrealized Losses | 0 | 0 | ||
Fair Value | $ 149,051 | $ 267,437 | ||
[1] | The amortized cost of MBS includes unamortized net discounts of $63,322 at June 30, 2015. | |||
[2] | The amortized cost of MBS includes unamortized net discounts of $133,333 at December 31, 2014. |
Financial Instruments (Detail31
Financial Instruments (Details 6) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | ||||
Cumulative credit related other-than-temporary impairment, beginning balance | $ 18,903 | $ 21,026 | $ 18,903 | $ 23,662 |
Additions | ||||
Increases related to other-than-temporary impairments on securities without previously recognized other-than-temporary impairments | 0 | 51 | 0 | 51 |
Reductions | ||||
Decreases related to other-than-temporary impairments on sold securities | (6,081) | (1,390) | (6,081) | (4,026) |
Cumulative credit related other-than-temporary impairment, ending balance | $ 12,822 | $ 19,687 | $ 12,822 | $ 19,687 |
Financial Instruments (Detail32
Financial Instruments (Details 7) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Agency Backed MBS [Member] | ||||
Proceeds from Sales of Mortgage Backed Securities [Line Items] | ||||
Proceeds from sales | $ 148,002 | $ 0 | $ 278,668 | $ 0 |
Gross gains | 0 | 0 | 399 | 0 |
Gross losses | 2,087 | 0 | 1,986 | 0 |
Private label MBS [Member] | ||||
Proceeds from Sales of Mortgage Backed Securities [Line Items] | ||||
Proceeds from sales | 89,613 | 21,499 | 110,472 | 37,231 |
Gross gains | 13,531 | 4,690 | 16,879 | 9,359 |
Gross losses | $ 414 | $ 0 | $ 414 | $ 0 |
Financial Instruments (Detail33
Financial Instruments (Details 8) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 |
Schedule of Available-for-sale Securities [Line Items] | ||
Interest-only MBS | $ 191 | $ 212 |
Non-public equity securities | 975 | 975 |
Investment funds | 583 | 650 |
Total other investments | $ 1,749 | $ 1,837 |
Financial Instruments (Detail34
Financial Instruments (Details Textual) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2014 | Jun. 30, 2014 | Jun. 30, 2015 | Dec. 31, 2014 | |
Fair Value Inputs Assets Quantitative Information [Line Items] | ||||
Company's Interest in Non Public Equity Securities and Investment Funds | $ 1,558 | $ 1,625 | ||
Financial Instrument Unamortized Discount Premium Net | 63,322 | 133,333 | ||
Other than Temporary Impairment Losses MBS | $ 51 | $ 51 | ||
Cost Basis MBS Prior to Other than Temporary Impairment | $ 2,174 | $ 2,174 | ||
Long-term Debt, Fair Value | $ 74,930 | $ 39,200 |
Borrowings (Details)
Borrowings (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | ||
Repurchase Agreement Counterparty [Line Items] | ||||||
Repurchase agreements outstanding | $ 3,631,772 | $ 3,631,772 | $ 3,179,775 | |||
MBS collateral, at fair value | 3,854,315 | 3,854,315 | 3,376,025 | |||
Net amount | [1] | $ 222,543 | $ 222,543 | $ 196,250 | ||
Weighted-average rate | 0.40% | 0.40% | 0.40% | |||
Weighted-average term to maturity (in days) | 14.1 days | 14.1 days | ||||
Weighted-average outstanding balance | $ 3,463,587 | $ 2,300,868 | $ 3,341,379 | $ 1,990,904 | ||
Weighted-average rate | 0.39% | 0.37% | 0.39% | 0.39% | ||
Pledged with agency-backed MBS [Member] | ||||||
Repurchase Agreement Counterparty [Line Items] | ||||||
Repurchase agreements outstanding | $ 3,592,357 | $ 3,592,357 | $ 3,137,586 | |||
MBS collateral, at fair value | 3,783,743 | 3,783,743 | 3,300,383 | |||
Net amount | [1] | $ 191,386 | $ 191,386 | $ 162,797 | ||
Weighted-average rate | 0.38% | 0.38% | 0.38% | |||
Weighted-average term to maturity (in days) | 14.0 days | 14.0 days | ||||
Pledged with private-label MBS [Member] | ||||||
Repurchase Agreement Counterparty [Line Items] | ||||||
Repurchase agreements outstanding | $ 39,415 | $ 39,415 | $ 42,189 | |||
MBS collateral, at fair value | 70,572 | 70,572 | 75,642 | |||
Net amount | [1] | $ 31,157 | $ 31,157 | $ 33,453 | ||
Weighted-average rate | 2.12% | 2.12% | 1.98% | |||
Weighted-average term to maturity (in days) | 22.0 days | 21.8 days | ||||
[1] | Net amount represents the value of collateral in excess of corresponding repurchase obligation. The amount of collateral at-risk is limited to the outstanding repurchase obligation and not the entire collateral balance. |
Borrowings (Details 1)
Borrowings (Details 1) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended |
Jun. 30, 2015 | Dec. 31, 2014 | |
Trust Preferred Debt [Member] | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 15,000 | $ 15,000 |
Annual Interest Rate | LIBOR + 2.25 – 3.00 | LIBOR + 2.25 – 3.00 |
Interest Payment Frequency | Quarterly | Quarterly |
Weighted-Average Interest Rate | 3.03% | 2.98% |
Maturity | 2033 – 2035 | 2033 – 2035 |
Early Redemption Date | 2008 – 2010 | 2008 – 2010 |
Senior Notes Due 2025 [Member] | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 35,300 | |
Annual Interest Rate | 6.75% | |
Interest Payment Frequency | Quarterly | |
Weighted-Average Interest Rate | 6.75% | |
Maturity | Mar. 15, 2025 | |
Early Redemption Date | Mar. 15, 2018 | |
Senior Notes Due 2023 [Member] | ||
Debt Instrument [Line Items] | ||
Outstanding Principal | $ 25,000 | $ 25,000 |
Annual Interest Rate | 6.625% | 6.625% |
Interest Payment Frequency | Quarterly | Quarterly |
Weighted-Average Interest Rate | 6.625% | 6.625% |
Maturity | May 1, 2023 | May 1, 2023 |
Early Redemption Date | May 1, 2016 | May 1, 2016 |
Borrowings (Details Textual)
Borrowings (Details Textual) - USD ($) $ in Thousands | 1 Months Ended | 6 Months Ended | ||
Mar. 18, 2015 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | |
Debt Instrument [Line Items] | ||||
Long-term Debt | $ 75,300 | $ 40,000 | ||
Proceeds from Issuance of Long-term Debt | $ 34,063 | $ 0 | ||
Senior Notes Due In 2025 [Member] | ||||
Debt Instrument [Line Items] | ||||
Long-term Debt | $ 35,300 | |||
Proceeds from Issuance of Long-term Debt | $ 34,063 | |||
Debt Instrument, Frequency of Periodic Payment | payable quarterly in arrears on March 15, June 15, September, 15, and December 15 of each year, beginning on June 15, 2015. | |||
Debt Instrument, Interest Rate, Stated Percentage | 6.75% | |||
Debt Instrument, Maturity Date | Mar. 15, 2025 |
Derivative Financial Instrume38
Derivative Financial Instruments and Economic Hedging Activities (Details) - USD ($) $ in Thousands | Jun. 30, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | |||
Derivative assets, Fair Value | $ 2,144 | $ 1,267 | |
Derivative liabilities, Fair Value | (144,936) | (124,308) | |
No Hedge Designation [Member] | Eurodollar Futures Asset [Member] | |||
Derivative [Line Items] | |||
Derivative asset, Notional Amount | 2,420,000 | 2,445,000 | |
Derivative assets, Fair Value | 680 | 751 | |
No Hedge Designation [Member] | Eurodollar Futures Liabilities [Member] | |||
Derivative [Line Items] | |||
Derivative liabilities, Notional Amount | 39,040,000 | 38,645,000 | |
Derivative liabilities, Fair Value | (99,575) | (76,848) | |
No Hedge Designation [Member] | Eurodollar Futures [Member] | |||
Derivative [Line Items] | |||
Notional Amount | [1] | 41,460,000 | 41,090,000 |
Fair Value | [1] | (98,895) | (76,097) |
No Hedge Designation [Member] | 10-Year Swap Futures Asset [Member] | |||
Derivative [Line Items] | |||
Derivative asset, Notional Amount | 75,000 | 0 | |
Derivative assets, Fair Value | 66 | 0 | |
No Hedge Designation [Member] | 10-Year Swap Futures Liablities [Member] | |||
Derivative [Line Items] | |||
Derivative liabilities, Notional Amount | 1,000,000 | 1,145,000 | |
Derivative liabilities, Fair Value | (40,693) | (47,460) | |
No Hedge Designation [Member] | 10-Year Swap Futures [Member] | |||
Derivative [Line Items] | |||
Notional Amount | [2] | 1,075,000 | 1,145,000 |
Fair Value | [2] | (40,627) | (47,460) |
No Hedge Designation [Member] | Commitment to Purchase MBS [Member] | |||
Derivative [Line Items] | |||
Notional Amount | [3] | 350,000 | 200,000 |
Fair Value | [3] | (4,668) | 516 |
No Hedge Designation [Member] | Commitment to Sell MBS [Member] | |||
Derivative [Line Items] | |||
Notional Amount | [4] | 150,000 | 0 |
Fair Value | [4] | $ 1,398 | $ 0 |
[1] | The $41,460,000 total notional amount of Eurodollar futures contracts as of June 30, 2015 represents the accumulation of Eurodollar futures contracts that mature on a quarterly basis between September 2015 and June 2020. The maximum notional outstanding for settlement within any single future quarterly period did not exceed $2,585,000 as of June 30, 2015 and $2,325,000 as of December 31, 2014. As of June 30, 2015, the Company maintained $121,903 as a deposit and margin against the open Eurodollar futures contracts. | ||
[2] | The $1,075,000 represents the total notional amount of 10-year swap futures as of June 30, 2015, of which $710,000 of notional amount matures in September 2015 and $365,000 in notional amount matures in March 2024. As of June 30, 2015, the Company maintained $57,952 as a deposit and margin against the open 10-year swap futures contracts. | ||
[3] | The total notional amount of commitment to purchase MBS represents forward commitments to purchase fixed-rate agency-backed MBS securities. As of June 30, 2015, the Company maintained $3,951 as a deposit and margin against the open commitments to purchase MBS. | ||
[4] | The total notional amount of commitment to sell MBS represents forward commitments to sell fixed-rate agency-backed MBS securities. |
Derivative Financial Instrume39
Derivative Financial Instruments and Economic Hedging Activities (Details Textual) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | ||
Derivative [Line Items] | ||||||
Loss on Derivative Instruments, Pretax | $ 46,585 | $ 45,728 | $ 70,065 | |||
Gain on Derivative Instruments, Pretax | $ 30,391 | |||||
Deposit Assets | 183,806 | 183,806 | $ 160,427 | |||
No Hedge Designation [Member] | ||||||
Derivative [Line Items] | ||||||
Deposit Assets | 3,951 | 3,951 | ||||
Eurodollar Futures [Member] | No Hedge Designation [Member] | ||||||
Derivative [Line Items] | ||||||
Deposit Assets | 121,903 | 121,903 | ||||
Notional Amount | [1] | 41,460,000 | 41,460,000 | 41,090,000 | ||
Eurodollar Futures [Member] | No Hedge Designation [Member] | Maximum [Member] | ||||||
Derivative [Line Items] | ||||||
Notional Amount | 2,585,000 | 2,585,000 | 2,325,000 | |||
10-Year Swap Futures [Member] | No Hedge Designation [Member] | ||||||
Derivative [Line Items] | ||||||
Deposit Assets | 57,952 | 57,952 | ||||
Notional Amount | [2] | 1,075,000 | 1,075,000 | $ 1,145,000 | ||
10-Year Swap Futures [Member] | No Hedge Designation [Member] | Matures In September 2015 [Member] | ||||||
Derivative [Line Items] | ||||||
Notional Amount | 710,000 | 710,000 | ||||
10-Year Swap Futures [Member] | No Hedge Designation [Member] | Matures In March 2024 [Member] | ||||||
Derivative [Line Items] | ||||||
Notional Amount | $ 365,000 | $ 365,000 | ||||
[1] | The $41,460,000 total notional amount of Eurodollar futures contracts as of June 30, 2015 represents the accumulation of Eurodollar futures contracts that mature on a quarterly basis between September 2015 and June 2020. The maximum notional outstanding for settlement within any single future quarterly period did not exceed $2,585,000 as of June 30, 2015 and $2,325,000 as of December 31, 2014. As of June 30, 2015, the Company maintained $121,903 as a deposit and margin against the open Eurodollar futures contracts. | |||||
[2] | The $1,075,000 represents the total notional amount of 10-year swap futures as of June 30, 2015, of which $710,000 of notional amount matures in September 2015 and $365,000 in notional amount matures in March 2024. As of June 30, 2015, the Company maintained $57,952 as a deposit and margin against the open 10-year swap futures contracts. |
Income Taxes (Details Textual)
Income Taxes (Details Textual) - USD ($) $ in Thousands | 6 Months Ended | |
Jun. 30, 2015 | Dec. 31, 2014 | |
Income Tax Disclosure [Line Items] | ||
Deferred Tax Assets, Net | $ 113,121 | $ 122,365 |
Capital Loss Carry forward Expiration Date | 2,019 | |
Other Capital Loss Carry forward Expiration Date | 2,020 | |
Valuation Allowance, Deferred Tax Asset, Increase (Decrease), Amount | $ 28,787 | |
NCL [Member] | ||
Income Tax Disclosure [Line Items] | ||
Deferred Tax Assets, Valuation Allowance | $ 54,814 | $ 26,027 |
Earnings Per Share (Details)
Earnings Per Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | |
Basic | ||||
Weighted-average shares outstanding common stock (in shares) | 22,979 | 19,740 | 22,976 | 18,282 |
Performance share units and unvested restricted stock (in shares) | 0 | 0 | 0 | 0 |
Weighted-average common and common equivalent shares outstanding (in shares) | 22,979 | 19,740 | 22,976 | 18,282 |
Net (loss) income | $ 6,601 | $ 18,839 | $ (35,584) | $ 25,872 |
Net (loss) income per common share (in dollars per share) | $ 0.29 | $ 0.95 | $ (1.55) | $ 1.42 |
Diluted | ||||
Weighted-average shares outstanding common stock (in shares) | 22,979 | 19,740 | 22,976 | 18,282 |
Performance share units and unvested restricted stock (in shares) | 119 | 320 | 0 | 297 |
Weighted-average common and common equivalent shares outstanding (in shares) | 23,098 | 20,060 | 22,976 | 18,579 |
Net (loss) income | $ 6,601 | $ 18,839 | $ (35,584) | $ 25,872 |
Net (loss) income per common share (in dollars per share) | $ 0.29 | $ 0.94 | $ (1.55) | $ 1.39 |
Earnings Per Share (Details Tex
Earnings Per Share (Details Textual) | 6 Months Ended |
Jun. 30, 2015shares | |
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | |
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 120,868 |
Equity (Details)
Equity (Details) - $ / shares | 3 Months Ended | |||||
Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | |
Dividends Payable [Line Items] | ||||||
Dividend Amount (in dollars per share) | $ 0.875 | $ 0.875 | $ 0.875 | $ 0.875 | $ 0.875 | $ 0.875 |
Declaration Date | Jun. 17, 2015 | Mar. 10, 2015 | Dec. 18, 2014 | Sep. 17, 2014 | Jun. 11, 2014 | Mar. 13, 2014 |
Record Date | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 29, 2014 | Jun. 30, 2014 | Mar. 31, 2014 |
Pay Date | Jul. 31, 2015 | Apr. 30, 2015 | Jan. 30, 2015 | Oct. 31, 2014 | Jul. 31, 2014 | Apr. 30, 2014 |
Equity (Details Textual)
Equity (Details Textual) - Jun. 30, 2015 - Common Stock [Member] - shares | Total | Total |
Common Class A [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Conversion of Stock, Shares Converted | 1,153 | 1,153 |
Common Class B [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Conversion of Stock, Shares Converted | 1,153 | 1,153 |
Revisions to Previously Repor45
Revisions to Previously Reported Financial Statements (Details) - USD ($) $ in Thousands | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2015 | Jun. 30, 2014 | Jun. 30, 2015 | Jun. 30, 2014 | Dec. 31, 2014 | Dec. 31, 2013 | |
Other comprehensive income (loss), net of taxes: | ||||||
Unrealized gains for the period on available-for-sale securities | $ 169 | $ 1,504 | $ (2,521) | $ 2,561 | ||
Reclassification: | ||||||
Included in investment loss, net, in the statement of comprehensive income related to sales of available-for-sale securities | (13,279) | (2,791) | (18,444) | (5,952) | ||
Consolidated Balance Sheets [Abstract] | ||||||
Accumulated other comprehensive income, net of taxes | 14,907 | 14,907 | $ 35,872 | $ 46,269 | ||
Accumulated deficit | $ (1,367,966) | $ (1,367,966) | (1,291,097) | (1,222,005) | ||
Scenario, Previously Reported [Member] | ||||||
Other comprehensive income (loss), net of taxes: | ||||||
Unrealized gains for the period on available-for-sale securities | 3,081 | 5,425 | ||||
Reclassification: | ||||||
Included in investment loss, net, in the statement of comprehensive income related to sales of available-for-sale securities | (4,368) | (8,816) | ||||
Consolidated Balance Sheets [Abstract] | ||||||
Accumulated other comprehensive income, net of taxes | 42,793 | 53,190 | ||||
Accumulated deficit | (1,298,018) | (1,228,926) | ||||
Scenario, Adjustment [Member] | ||||||
Other comprehensive income (loss), net of taxes: | ||||||
Unrealized gains for the period on available-for-sale securities | (1,577) | (2,864) | ||||
Reclassification: | ||||||
Included in investment loss, net, in the statement of comprehensive income related to sales of available-for-sale securities | $ 1,577 | $ 2,864 | ||||
Consolidated Balance Sheets [Abstract] | ||||||
Accumulated other comprehensive income, net of taxes | (6,921) | (6,921) | ||||
Accumulated deficit | $ 6,921 | $ 6,921 |