Document And Entity Information
Document And Entity Information - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Jan. 29, 2016 | Jun. 30, 2015 | |
Document Information [Line Items] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2015 | ||
Document Fiscal Year Focus | 2,015 | ||
Document Fiscal Period Focus | FY | ||
Entity Registrant Name | Arlington Asset Investment Corp. | ||
Entity Central Index Key | 1,209,028 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Filer Category | Accelerated Filer | ||
Entity Public Float | $ 441 | ||
Trading Symbol | AI | ||
Common Class A [Member] | |||
Document Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 22,874,819 | ||
Common Class B [Member] | |||
Document Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 102,216 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
ASSETS | ||
Cash and cash equivalents | $ 36,987 | $ 33,832 |
Interest receivable | 11,936 | 10,701 |
Mortgage-backed securities, at fair value | ||
Agency | 3,865,316 | 3,414,340 |
Private-label | 130,435 | 267,437 |
Derivative assets, at fair value | 12,991 | 1,267 |
Deferred tax assets, net | 97,530 | 125,607 |
Deposits | 29,429 | 160,427 |
Other assets | 20,182 | 4,120 |
Total assets | 4,204,806 | 4,017,731 |
Liabilities: | ||
Repurchase agreements | 2,834,780 | 3,179,775 |
Federal Home Loan Bank advances | 786,900 | 0 |
Interest payable | 2,436 | 1,106 |
Accrued compensation and benefits | 5,170 | 6,067 |
Dividend payable | 14,504 | 20,195 |
Derivative liabilities, at fair value | 553 | 124,308 |
Other liabilities | 1,132 | 1,006 |
Long-term debt | 75,300 | 40,000 |
Total liabilities | $ 3,720,775 | $ 3,372,457 |
Commitments and contingencies (Note 11) | ||
Stockholders' Equity: | ||
Preferred stock, $0.01 par value, 25,000,000 shares authorized, none issued and outstanding | $ 0 | $ 0 |
Additional paid-in capital | 1,898,085 | 1,897,027 |
Accumulated other comprehensive income, net of taxes of $3,230 and $11,666, respectively | 12,371 | 35,872 |
Accumulated deficit | (1,426,655) | (1,287,855) |
Total stockholders' equity | 484,031 | 645,274 |
Total liabilities and stockholders' equity | 4,204,806 | 4,017,731 |
Common Class A [Member] | ||
Stockholders' Equity: | ||
Common stock | 229 | 229 |
Common Class B [Member] | ||
Stockholders' Equity: | ||
Common stock | $ 1 | $ 1 |
CONSOLIDATED BALANCE SHEETS _Pa
CONSOLIDATED BALANCE SHEETS [Parenthetical] - USD ($) $ in Thousands | Dec. 31, 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) | $ 3,230 | $ 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) | 22,874,819 | 22,860,922 |
Common stock, shares outstanding (in shares) | 22,874,819 | 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) | 102,216 | 105,869 |
Common stock, shares outstanding (in shares) | 102,216 | 105,869 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Interest income | |||
Agency mortgage-backed securities | $ 139,244 | $ 97,900 | $ 60,386 |
Private-label mortgage-backed securities | 15,322 | 25,597 | 26,586 |
Other | 27 | 50 | 47 |
Total interest income | 154,593 | 123,547 | 87,019 |
Interest expense | |||
Short-term debt | 14,701 | 9,181 | 6,899 |
Long-term debt | 4,188 | 2,210 | 1,630 |
Total interest expense | 18,889 | 11,391 | 8,529 |
Net interest income | 135,704 | 112,156 | 78,490 |
Investment loss, net | |||
Realized gain on sale of available-for-sale investments, net | 17,725 | 17,257 | 17,458 |
Other-than-temporary impairment charges | (2,417) | (449) | (1,354) |
(Loss) gain on trading investments, net | (64,388) | 84,152 | (122,163) |
(Loss) gain from derivative instruments, net | (105,349) | (140,353) | 58,003 |
Other, net | 2,050 | 706 | 296 |
Total investment loss, net | (152,379) | (38,687) | (47,760) |
Other expenses | |||
Compensation and benefits | 9,719 | 13,467 | 11,195 |
Other expenses | 4,448 | 4,602 | 5,396 |
Total other expenses | 14,167 | 18,069 | 16,591 |
(Loss) income before income taxes | (30,842) | 55,400 | 14,139 |
Income tax provision (benefit) | 38,561 | 47,647 | (38,684) |
Net (loss) income | $ (69,403) | $ 7,753 | $ 52,823 |
Basic (loss) earnings per share | $ (3.02) | $ 0.39 | $ 3.3 |
Diluted (loss) earnings per share | $ (3.02) | $ 0.38 | $ 3.26 |
Weighted-average shares outstanding (in thousands) | |||
Basic | 23,002 | 20,043 | 15,990 |
Diluted | 23,002 | 20,397 | 16,189 |
Other comprehensive (loss) income, net of taxes | |||
Unrealized gains (losses) on available-for-sale securities (net of taxes of $(4,281), $633, and $14,268, respectively) | $ (7,033) | $ 995 | $ 22,412 |
Reclassification | |||
Included in investment loss, net, related to sales of available-for-sale securities (net of taxes of $(5,095), $(5,499), and $(3,325), respectively) | (17,945) | (11,666) | (11,496) |
Included in investment loss, net, related to other-than-temporary impairment charges on available-for-sale securities (net of taxes of $940, $175, $527, respectively) | 1,477 | 274 | 827 |
Comprehensive (loss) income | $ (92,904) | $ (2,644) | $ 64,566 |
CONSOLIDATED STATEMENTS OF COM5
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME [Parenthetical] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Unrealized gains (losses) for the period on available-for-sale securities, taxes | $ (4,281) | $ 633 | $ 14,268 |
Included in investment loss, net, related to sales of available-for-sale securities, taxes | (5,095) | (5,499) | (3,325) |
Included in investment loss, net, related to other-than-temporary impairment charges on available-for-sale securities, taxes | $ 940 | $ 175 | $ 527 |
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, 2012 | $ 457,815 | $ 126 | $ 6 | $ 1,638,061 | $ 34,526 | $ (1,214,904) |
Balances (in shares) at Dec. 31, 2012 | 12,560,970 | 554,055 | ||||
Net income (loss) | 52,823 | $ 0 | $ 0 | 0 | 0 | 52,823 |
Issuance of common stock | 86,964 | $ 34 | $ 0 | 86,930 | 0 | 0 |
Issuance of common stock (in shares) | 3,492,667 | 0 | ||||
Repurchase of common stock under stock-based compensation plans | (142) | $ 0 | $ 0 | (142) | 0 | 0 |
Repurchase of common stock under stock-based compensation plans (in shares) | (5,672) | 0 | ||||
Stock-based compensation | 2,549 | $ 0 | $ 0 | 2,549 | 0 | 0 |
Other comprehensive income (loss) | 11,743 | 0 | 0 | 0 | 11,743 | 0 |
Dividends declared | (58,481) | 0 | 0 | 0 | 0 | (58,481) |
Balances at Dec. 31, 2013 | 553,271 | $ 160 | $ 6 | 1,727,398 | 46,269 | (1,220,562) |
Balances (in shares) at Dec. 31, 2013 | 16,047,965 | 554,055 | ||||
Net income (loss) | 7,753 | $ 0 | $ 0 | 0 | 0 | 7,753 |
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 (in 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 income (loss) | (10,397) | 0 | 0 | 0 | (10,397) | 0 |
Dividends declared | (75,046) | 0 | 0 | 0 | 0 | (75,046) |
Balances at Dec. 31, 2014 | 645,274 | $ 229 | $ 1 | 1,897,027 | 35,872 | (1,287,855) |
Balances (in shares) at Dec. 31, 2014 | 22,860,922 | 105,869 | ||||
Net income (loss) | (69,403) | $ 0 | $ 0 | 0 | 0 | (69,403) |
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) | 3,653 | (3,653) | ||||
Issuance of common stock | 0 | $ 0 | $ 0 | 0 | 0 | 0 |
Issuance of common stock (in shares) | 97,651 | 0 | ||||
Repurchase of common stock | (593) | $ 0 | $ 0 | (593) | 0 | 0 |
Repurchase of common stock (in shares) | (48,695) | 0 | ||||
Repurchase of common stock under stock-based compensation plans | (572) | $ 0 | $ 0 | (572) | 0 | 0 |
Repurchase of common stock under stock-based compensation plans (in shares) | (38,712) | 0 | ||||
Stock-based compensation | 1,145 | $ 0 | $ 0 | 1,145 | 0 | 0 |
Income tax benefit from stock-based compensation | 1,078 | 0 | 0 | 1,078 | 0 | 0 |
Other comprehensive income (loss) | (23,501) | 0 | 0 | 0 | (23,501) | 0 |
Dividends declared | (69,397) | 0 | 0 | 0 | 0 | (69,397) |
Balances at Dec. 31, 2015 | $ 484,031 | $ 229 | $ 1 | $ 1,898,085 | $ 12,371 | $ (1,426,655) |
Balances (in shares) at Dec. 31, 2015 | 22,874,819 | 102,216 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Cash flows from operating activities | |||
Net (loss) income | $ (69,403) | $ 7,753 | $ 52,823 |
Adjustments to reconcile net (loss) income to net cash provided by operating activities | |||
Investment loss, net | 152,379 | 38,687 | 47,760 |
Net discount accretion on mortgage-backed securities | (8,453) | (12,570) | (9,302) |
Deferred tax provision | 36,399 | 46,378 | (23,824) |
Reversal of unrecognized tax benefit related to uncertain tax position and related accrued interest | 0 | 0 | (16,212) |
Other | 558 | 2,336 | 2,460 |
Changes in operating assets | |||
Interest receivable | (1,235) | (5,528) | (304) |
Other assets | 754 | (7,234) | 4,032 |
Changes in operating liabilities | |||
Interest payable and other liabilities | 1,442 | (355) | (107) |
Accrued compensation and benefits | (897) | 483 | 4,042 |
Net cash provided by operating activities | 111,544 | 69,950 | 61,368 |
Cash flows from investing activities | |||
Purchases of private-label mortgage-backed securities | (2,870) | 0 | (167,682) |
Purchases of agency mortgage-backed securities | (2,040,883) | (2,030,995) | (1,221,387) |
Proceeds from sales of private-label mortgage-backed securities | 130,138 | 86,318 | 69,337 |
Proceeds from sales of agency mortgage-backed securities | 1,057,842 | 65,251 | 914,155 |
Receipt of principal payments on private-label mortgage-backed securities | 2,033 | 2,372 | 5,215 |
Receipt of principal payments on agency mortgage-backed securities | 467,770 | 212,055 | 165,079 |
(Payments for) proceeds from derivatives and deposits, net | (109,831) | (150,446) | 42,210 |
Proceeds from sold securities receivable | 0 | 0 | 26,773 |
Other | (14,068) | 412 | 132 |
Net cash used in investing activities | (509,869) | (1,815,033) | (166,168) |
Cash flows from financing activities | |||
(Repayments for) proceeds from repurchase agreements, net | (344,995) | 1,632,145 | 50,439 |
Proceeds from Federal Home Loan Bank advances, net | 786,900 | 0 | 0 |
Proceeds from stock issuance, net | 0 | 167,148 | 86,964 |
Proceeds from long-term debt issuance, net | 34,063 | 0 | 24,038 |
Excess tax benefits associated with stock-based awards | 1,192 | 475 | 0 |
Dividends paid | (75,087) | (69,481) | (43,850) |
Repurchase of common stock | (593) | 0 | 0 |
Net cash provided by financing activities | 401,480 | 1,730,287 | 117,591 |
Net increase (decrease) in cash and cash equivalents | 3,155 | (14,796) | 12,791 |
Cash and cash equivalents, beginning of year | 33,832 | 48,628 | 35,837 |
Cash and cash equivalents, end of year | 36,987 | 33,832 | 48,628 |
Supplemental Cash Flow Information | |||
Cash payments for interest | 17,353 | 10,959 | 8,272 |
Cash payments for taxes | $ 433 | $ 2,309 | $ 667 |
Organization and Nature of Oper
Organization and Nature of Operations | 12 Months Ended |
Dec. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Basis of Presentation [Text Block] | Arlington Asset Investment Corp. (“Arlington Asset”) and its consolidated subsidiaries (unless the context otherwise provides, collectively, the “Company”) is an investment firm that acquires and holds residential mortgage-related assets, primarily comprised of residential mortgage-backed securities (“MBS”). The Company’s investments in MBS include (i) residential mortgage pass-through certificates for which the principal and interest payments are guaranteed by a government-sponsored enterprise (“GSE”) such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”), which are collectively referred to as “agency MBS,” and (ii) residential MBS issued by private institutions for which the principal and interest payments are not guaranteed by a GSE, which are referred to as “private-label MBS” or “non-agency |
Basis of Presentation
Basis of Presentation | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Basis of Presentation [Text Block] | Note 2. Basis of Presentation The consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) and include the accounts of Arlington Asset and all other entities in which the Company has a controlling financial interest. All intercompany accounts and transactions have been eliminated in consolidation. The preparation of financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect amounts reported in the consolidated financial statements. Although the Company bases these estimates and assumptions on historical experience and all other reasonably available information that the Company believes to be relevant under the circumstances, such estimates frequently require management to exercise significant subjective judgment about matters that are inherently uncertain. 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 year’s presentation. These reclassifications had no impact on the previously reported net income, other comprehensive income, total assets or total liabilities. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies [Text Block] | Note 3. Summary of Significant Accounting Policies Cash Equivalents Cash equivalents include demand deposits with banks, money market accounts and highly liquid investments with original maturities of three months or less. As of December 31, 2015 and 2014, approximately 98% and 99%, respectively, of the Company’s cash equivalents were invested in money market funds that invest primarily in U.S. Treasuries and other securities backed by the U.S. government. Investment Security Purchases and Sales Purchases and sales of investment securities are recorded on the settlement date of the transfer unless the trade qualifies as a “regular-way” trade and the associated commitment qualifies for an exemption from the accounting guidance applicable to derivative instruments. A regular-way trade is an investment security purchase or sale transaction that is expected to settle within the period of time following the trade date that is prevalent or traditional for that specific type of security. Any amounts payable or receivable for unsettled security trades are recorded as “sold securities receivable” or “purchased securities payable” in the consolidated balance sheets. Interest Income Recognition for Investments in Agency MBS Substantially all of the Company’s investments in agency MBS are classified as trading securities. Interest income from trading agency MBS is recognized based upon each security’s stated coupon rate. All other periodic changes in the fair value of trading agency MBS are recognized as a component of “investment loss, net” in the accompanying consolidated statements of comprehensive income. Amortization of purchase premiums and discounts on trading agency MBS, if any, are not recognized as an adjustment to periodic interest income but are, rather, reflected as a component of the periodic changes in fair value recognized in “investment loss, net.” Beginning in fiscal year 2016, the Company intends to change its accounting policy for recognizing interest income on its investments in agency MBS classified as trading securities by amortizing purchase premiums (or accreting purchase discounts) as an adjustment to interest income in accordance with the “interest method” permitted by GAAP. The change in accounting policy will be retrospectively applied to all historical periods. Because the Company accounts for investments in trading agency MBS on its consolidated balance sheets at fair value with all periodic changes in fair value reflected in the Company’s net income, this change in accounting policy will not have an effect on the Company’s historical or future consolidated balance sheets nor will it have an effect on the Company’s historical or future reported net income or comprehensive income. The change in accounting policy will, however, result in a reclassification between reported “investment gains (losses), net” and interest income on the Company’s historical and future periodic consolidated statements of comprehensive income. As the Company’s agency MBS have generally been acquired at a premium to par value, historical and future reported periodic interest income will be reduced by periodic premium amortization, while periodic investment gains (losses) reported as a component of “investment gain (loss), net” will be increased (decreased) by an equal and offsetting amount. The Company has not yet quantified the impact of this change in accounting policy. Interest Income Recognition for Investments in Private-Label MBS The Company’s investments in private-label MBS were generally acquired at significant discounts to their par values due in large part to an expectation that the Company will be unable to collect all of the contractual cash flows of the securities. Investments in private-label MBS acquired prior to 2015 are classified as available-for-sale. The Company elected to classify its investments in private-label MBS acquired in 2015 as trading securities. Interest income from investments in private-label MBS is recognized using a prospective level-yield methodology which is based upon each security’s effective interest rate. The amount of periodic interest income recognized is determined by applying the security’s effective interest rate to its amortized cost basis or reference amount. At the time of acquisition, the security’s effective interest rate is calculated by solving for the single discount rate that equates the present value of the Company’s best estimate of the amount and timing of the cash flows expected to be collected from the security to its purchase price. To prepare its best estimate of cash flows expected to be collected, the Company develops a number of assumptions about the future performance of the pool of mortgage loans that serve as collateral for its investment, including assumptions about the timing and amount of prepayments and credit losses. In each subsequent quarterly reporting period, the amount and timing of cash flows expected to be collected from the security are re-estimated based upon current information and events. The following table provides a description of how periodic changes in the estimate of cash flows expected to be collected affect interest income recognition prospectively for investments in private-label MBS that are classified as available-for-sale and trading securities, respectively: Effect on Interest Income Recognition for Investments in Private-Label MBS Scenario: Available-for-Sale Trading A positive change in cash flows occurs. Actual cash flows exceed prior estimates and/or a positive change occurs in the estimate of expected remaining cash flows. If the positive change in cash flows is deemed significant, a revised effective interest rate is calculated and applied prospectively such that the positive change is recognized as incremental interest income over the remaining life of the security. This revised effective interest rate is also used in subsequent periods to determine if any declines in the fair value of that security are other-than-temporary. A revised effective interest rate is calculated and applied prospectively such that the positive change in cash flows is recognized as incremental interest income over the remaining life of the security. An adverse change in cash flows occurs. Actual cash flows fall short of prior estimates and/or an adverse change occurs in the estimate of expected remaining cash flows. The security’s effective interest rate is unaffected. If an adverse change in cash flows occurs for a security that is impaired (that is, its fair value is less than its amortized cost basis), the impairment is considered other-than-temporary due to the occurrence of a credit loss. If a credit loss occurs, the Company writes-down the amortized cost basis of the security to an amount equal to the present value of cash flows expected to be collected, discounted at the security’s existing effective interest rate, and recognizes a corresponding other-than-temporary impairment charge in earnings as a component of “investment gain (loss), net.” 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 fair value is less than its reference amount), 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. If an adverse change in cash flows occurs for a security that is not impaired, the security’s effective interest rate will be reduced accordingly and applied on a prospective basis. Other Comprehensive Income Comprehensive income includes net income as currently reported by the Company on the consolidated statements of comprehensive income adjusted for other comprehensive income. Other comprehensive income for the Company represents periodic unrealized holding gains and losses related to the Company’s investments in MBS classified as available-for-sale. Accumulated unrealized holding gains and losses for available-for-sale MBS are reclassified into net income as a component of “investment gain (loss), net” upon (i) sale and realization or (ii) the occurrence of an other-than-temporary impairment. Earnings Per Share Basic earnings per share includes no dilution and is computed by dividing net income or loss available to common shareholders 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. The following table presents the computations of basic and diluted earnings per share for the years ended December 31, 2015, 2014 and 2013: Year Ended December 31, 2015 2014 2013 (Shares in thousands) Basic Diluted Basic Diluted Basic Diluted Weighted-average shares outstanding common stock 23,002 23,002 20,043 20,043 15,990 15,990 Weighted-average shares outstanding performance share units and unvested restricted stock 354 199 Weighted average common and common equivalent shares outstanding 23,002 23,002 20,043 20,397 15,990 16,189 Net (loss) income $ (69,403 ) $ (69,403 ) $ 7,753 $ 7,753 $ 52,823 $ 52,823 Net (loss) income per common share $ (3.02 ) $ (3.02 ) $ 0.39 $ 0.38 $ 3.30 $ 3.26 The diluted loss per share for the year ended December 31, 2015 did not include the antidilutive effect of 86,372 shares of unvested shares of restricted stock and performance share units. The Company’s other significant accounting policies are described in the following notes: Investments in agency MBS, subsequent measurement Note 4 Investments in private-label MBS, subsequent measurement Note 5 Borrowings Note 6 To-be-announced agency MBS transactions, including “dollar rolls” Note 7 Derivative instruments Note 7 Balance sheet offsetting Note 8 Fair value measurements Note 9 Income taxes Note 10 Stock-based compensation Note 13 Recent Accounting Pronouncements The following table provides a brief description of recently issued accounting pronouncements and their actual or expected effect on the Company’s consolidated financial statements: Standard Description Date of Adoption Effect on the Consolidated Financial Statements Recently Adopted Accounting Guidance Accounting Standards Update (“ASU”) No. 2014-08, Reporting Discontinued Operations and Disclosures of Disposals of Components of an Entity (Topic 360) This amendment changes the criteria for determining which disposals can be presented as discontinued operations and modifies related disclosure requirements. January 1, 2015 The adoption of this amendment did not have an effect on the Company’s consolidated financial statements. ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (Topic 860) This amendment requires repurchase-to-maturity transactions to be accounted for as secured borrowings. In addition, this amendment requires separate accounting for a transfer of a financial asset executed contemporaneously with a repurchase agreement with the same counterparty (referred to as a “repurchase financing”). January 1, 2015 The adoption of this amendment did not have an effect on the Company’s consolidated financial statements. Recently Issued Accounting Guidance Not Yet Adopted ASU No. 2015-02, Amendments to the Consolidation Analysis (Topic 810) This amendment makes targeted changes to the current consolidation guidance and ends the deferral granted to investment companies from applying variable interest entity guidance. January 1, 2016 This amendment is not expected to have a material impact on the Company’s consolidated financial statements. ASU No. 2015-03, Simplifying the Presentation of Debt Issuance Costs (Subtopic 835-30) This amendment requires debt issuance costs to be presented in the balance sheet as a direct reduction from the associated debt liability rather than as a separate asset. January 1, 2016 The adoption of this amendment will result in a change solely to the balance sheet presentation of debt issuance costs. The resulting change in presentation will not have a material impact on the Company’s consolidated financial statements. ASU No. 2015-14, Revenue from Contracts with Customers (Topic 606) This amendment defers the effective date of ASU No. 2014-09 for all entities by one year. ASU No. 2014-09 requires entities to recognize revenue to depict the transfer of promised goods or services to customers in amounts that reflect the consideration to which the entity expects to be entitled in exchange for those goods or services. Revenue recognition with respect to financial instruments is not within the scope of ASU No. 2014-09. January 1, 2018 The Company does not expect that the adoption of ASU No. 2015-14 will have a material impact on its consolidated financial statements. ASU No. 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities (Subtopic 825-10) This amendment makes targeted changes to certain aspects of guidance applicable to financial assets and financial liabilities. The amendment primarily affects accounting for certain equity investments, financial liabilities measured under the fair value option, and certain financial instrument presentation and disclosure requirements. Accounting for investments in debt securities and financial liabilities not measured under the fair value option is largely unaffected by this amendment. January 1, 2018 The Company is currently evaluating the impact of this amendment on its consolidated financial statements. |
Investments in Agency MBS
Investments in Agency MBS | 12 Months Ended |
Dec. 31, 2015 | |
Agency MBS [Member] | |
Investments in Agency MBS [Text Block] | Note 4. Investments in Agency MBS The Company’s investments in agency MBS are reported in the accompanying consolidated balance sheets at fair value. Substantially all of the Company’s investments in agency MBS are classified as trading securities. Interest income from trading agency MBS is recognized based upon each security’s stated coupon rate. All other periodic changes in the fair value of trading agency MBS are recognized as a component of “investment loss, net” in the accompanying consolidated statements of comprehensive income. Amortization of purchase premiums and discounts on trading agency MBS, if any, are not recognized as an adjustment to periodic interest income but are, rather, reflected as a component of the periodic changes in fair value recognized in “investment loss, net.” Fair Value as of December 31, December 31, Agency MBS classified as: Available-for-sale $ 26 $ 40 Trading 3,865,290 3,414,300 Total $ 3,865,316 $ 3,414,340 Year Ended December 31, 2015 2014 2013 Net (losses) gains recognized in earnings for: Agency MBS still held at period end $ (49,198) $ 82,801 $ (96,376) Agency MBS sold during the period (15,140) 1,351 (25,787) Total $ (64,338) $ 84,152 $ (122,163) The Company also invests in and finances fixed-rate agency MBS on a generic pool basis through sequential series of to-be-announced security transactions commonly referred to as “dollar rolls.” Dollar rolls are accounted for as a sequential series of derivative instruments. Refer to “Note 7. Derivative Instruments” for further information about dollar rolls. |
Investments in Private-Label MB
Investments in Private-Label MBS | 12 Months Ended |
Dec. 31, 2015 | |
Private-Label MBS [Member] | |
Investments in Private-Label MBS [Text Block] | Note 5. Investments in Private-Label MBS The Company’s investments in private-label MBS are reported in the accompanying consolidated balance sheets at fair value. Investments in private-label MBS acquired prior to 2015 are classified as available-for-sale. The Company elected to classify its investments in private-label MBS acquired in 2015 as trading securities. Fair Value as of December 31, 2015 December 31, 2014 Private-label MBS classified as: Available-for-sale $ 127,536 $ 267,437 Trading 2,899 Total $ 130,435 $ 267,437 As of December 31, 2015, the private-label MBS portfolio consists almost entirely of “re-REMIC” securities. The Company’s investments in re-REMIC securities represent “mezzanine” interests in underlying, re-securitized senior class MBS issued by private-label Real Estate Mortgage Investment Conduit (“REMIC”) securitization trusts. During 2014, the Company’s private-label MBS portfolio also included senior class REMIC securities. The senior class REMIC securities that serve as collateral to the Company’s investments in re-REMIC securities, as well as those held as direct investments during 2014, represent beneficial interests in pools of prime or Alt-A residential mortgage loan collateral that hold the first right to cash flows and absorb credit losses only after their respective subordinate REMIC classes have been fully extinguished. The majority of the trusts that issued the Company’s investments in re-REMIC securities employ a “sequential” principal repayment structure, while a minority of the issuing trusts employ a “pro-rata” principal repayment structure. Accordingly, the majority of the Company’s mezzanine class re-REMIC securities are not entitled to receive principal repayments until the principal balance of the senior interest in the respective collateral group has been reduced to zero. Principal shortfalls are allocated on a “reverse sequential” basis. Accordingly, any principal shortfalls on the underlying senior class REMIC securities are first absorbed by the Company’s mezzanine class re-REMIC securities, to the extent of their respective principal balance, prior to being allocated to the senior interest in the respective collateral pool. Periodic interest accrues on each re-REMIC security’s outstanding principal balance at its contractual coupon rate. The Company’s private-label MBS, on a weighted-average basis, have a nominal amount of remaining structural credit enhancement provided by collateral-level subordinate interests. The prime and Alt-A residential mortgage loans that serve as collateral to the underlying REMIC securitization trusts of the Company’s private-label MBS had the following weighted average characteristics, based on face value, as of the dates indicated: December 31, 2015 December 31, 2014 Original loan-to-value 66 % 68 % Original FICO score 723 722 Three-month voluntary prepayment rate 6 % 8 % Three-month default rate 5 % 4 % Three-month loss severities 32 % 41 % Available-for-Sale Private-Label MBS Periodic changes in the fair value of the Company’s available-for-sale private-label MBS that are not attributed to interest income or other-than-temporary impairments represent unrealized holding gains and losses. Unrealized holding gains and losses are accumulated in other comprehensive income until the securities are sold. December 31, 2015 Amortized Cost (1) Unrealized Fair Value Gains Losses Private-label MBS $ 111,935 $ 15,601 $ $ 127,536 (1) Amortized cost includes net discounts of $52,620 at December 31, 2015. December 31, 2014 Amortized Cost (1) Unrealized Fair Value Gains Losses Private-label MBS $ 219,904 $ 47,533 $ $ 267,437 (1) Amortized cost includes net discounts of $133,333 at December 31, 2014. Upon the sale of available-for-sale private-label MBS, any gains or losses accumulated in other comprehensive income are recognized in earnings as a component of “investment gain (loss), net.” The Company uses the specific identification method to determine the realized gain or loss that is recognized in earnings upon the sale of an available-for-sale private-label MBS. Year Ended December 31, 2015 2014 2013 Proceeds from sales $ 130,138 $ 86,318 $ 69,337 Gross realized gains 18,145 17,397 17,458 Gross realized losses 420 140 Accretable Yield The excess of the Company’s estimate of undiscounted future cash flows expected to be collected over the security’s amortized cost basis represents that security’s accretable yield. The accretable yield is expected to be recognized as interest income over the remaining life of the security on a level-yield basis. The difference between undiscounted future contractual cash flows and undiscounted future expected cash flows represents the non-accretable difference. Based on actual payments received and/or changes in the estimate of future cash flows expected to be collected, the accretable yield and the non-accretable difference can change over time. Actual cash collections that exceed prior estimates and/or positive changes in the Company’s periodic estimate of expected future cash flows result in a reclassification of non-accretable difference to accretable yield. Conversely, actual cash collections that fall short of prior estimates and/or adverse changes in the Company’s periodic estimate of expected future cash flows result in a reclassification of accretable yield to non-accretable difference. Year Ended December 31, 2015 2014 Beginning balance $ 202,108 $ 326,330 Accretion (15,218 ) (25,617 ) Reclassifications, net (6,202 ) (21,848 ) Acquisitions Sales (95,636 ) (76,757 ) Ending balance $ 85,052 $ 202,108 Other-than-Temporary Impairments The Company evaluates available-for-sale MBS for other-than-temporary impairment on a quarterly basis. When the fair value of an available-for-sale security is less than its amortized cost at the quarterly reporting date, the security is considered impaired. Impairments determined to be other-than-temporary are recognized as a direct write-down to the security’s amortized cost basis with a corresponding charge recognized in earnings as a component of “investment gain (loss), net.” An impairment is considered other-than-temporary when (i) the Company intends to sell the impaired security, (ii) the Company more-likely-than not will be required to sell the impaired security prior to the recovery of its amortized cost basis, or (iii) a credit loss exists. A credit loss exists when the present value of the Company’s estimate of the cash flows expected to be collected from the security, discounted at the security’s existing effective interest rate, is less than the security’s amortized cost basis. If the Company intends to sell an impaired security or it more-likely-than-not will be required to sell an impaired security before recovery of its amortized cost basis, the Company writes-down the amortized cost basis of the security to an amount equal to the security’s fair value and recognizes a corresponding other-than-temporary impairment charge in earnings as a component of “investment gain (loss), net.” If a credit loss exists for an impaired security that the Company does not intend to sell nor will it likely be required to sell prior to recovery, the Company writes-down the amortized cost basis of the security to an amount equal to the present value of cash flows expected to be collected, discounted at the security’s existing effective interest rate, and recognizes a corresponding other-than-temporary impairment charge in earnings as a component of “investment gain (loss), net.” For the years ended December 31, 2015 and 2014, the Company recorded credit related other-than-temporary impairment charges of $2,417 and $420, respectively, as a component of “investment loss, net” on the consolidated statements of comprehensive income on certain available-for-sale private-label MBS. Year Ended December 31, 2015 2014 Cumulative credit related other-than-temporary impairments, beginning balance $ 18,903 $ 23,663 Additions for: Securities for which other-than-temporary impairments have not previously occurred 2,417 420 Securities with previously recognized other-than-temporary impairments Reductions for sold or matured securities (7,303 ) (5,180 ) Cumulative credit related other-than-temporary impairments, ending balance $ 14,017 $ 18,903 Trading Private-Label MBS Periodic changes in the fair value of investments in trading private-label MBS that are not attributable to interest income are recognized as a component of “investment gain (loss), net” in the Company’s consolidated statements of comprehensive income. Year Ended December 31, 2015 2014 2013 Net losses recognized in earnings for: Private-label MBS still held at period end $ (2 ) $ $ Private-label MBS sold during the period Total $ (2 ) $ $ |
Borrowings
Borrowings | 12 Months Ended |
Dec. 31, 2015 | |
Debt Disclosure [Abstract] | |
Borrowings [Text Block] | Note 6. Borrowings Repurchase Agreements The Company finances the purchase of MBS through repurchase agreements, which are accounted for as collateralized borrowing arrangements. In a repurchase transaction, the Company sells MBS to a counterparty under a master repurchase agreement in exchange for cash and concurrently agrees to repurchase the same security at a future date in an amount equal to the cash initially exchanged plus an agreed-upon amount of interest. MBS sold under agreements to repurchase remain on the Company’s consolidated balance sheets because the Company maintains effective control over such securities throughout the duration of the arrangement. Throughout the contractual term of a repurchase agreement, the Company recognizes a “repurchase agreement” liability on its consolidated balance sheets to reflect the obligation to repay to the counterparty the proceeds received upon the initial transfer of the MBS. The difference between the proceeds received by the Company upon the initial transfer of the MBS and the contractually agreed-upon repurchase price is recognized as interest expense over the term of the repurchase arrangement on a level-yield basis. Amounts borrowed pursuant to repurchase agreements are equal in value to a specified percentage of the fair value of the pledged collateral. The Company retains beneficial ownership of the pledged collateral throughout the term of the repurchase agreement. 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. As of December 31, 2015 and 2014, the Company had no amount at risk with a single repurchase agreement counterparty or lender greater than 10% of equity. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings as of December 31, 2015 and December 31, 2014: December 31, 2015 December 31, 2014 Pledged with agency MBS: Repurchase agreements outstanding $ 2,797,561 $ 3,137,586 Agency MBS collateral, at fair value 2,946,684 3,300,383 Net amount (1) 149,123 162,797 Weighted-average rate 0.61 % 0.38 % Weighted-average term to maturity 12.8 days 14.0 days Pledged with private-label MBS: Repurchase agreements outstanding $ 37,219 $ 42,189 Private-label MBS collateral, at fair value 70,511 75,642 Net amount (1) 33,292 33,453 Weighted-average rate 2.42 % 1.98 % Weighted-average term to maturity 16.9 days 21.8 days Total MBS: Repurchase agreements outstanding $ 2,834,780 $ 3,179,775 MBS collateral, at fair value 3,017,195 3,376,025 Net amount (1) 182,415 196,250 Weighted-average rate 0.64 % 0.40 % Weighted-average term to maturity 12.8 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 years ended December 31, 2015 and 2014: December 31, 2015 December 31, 2014 Weighted-average outstanding balance $ 3,390,402 $ 2,438,479 Weighted-average rate 0.42 % 0.37 % Federal Home Loan Bank Advances In September 2015, the Company’s wholly-owned captive insurance subsidiary, Key Bridge Insurance, LLC (“Key Bridge”), was granted membership to the Federal Home Loan Bank of Cincinnati (“FHLBC”). The FHLBC, like each of the 11 regional Federal Home Loan Banks (collectively, the “FHLB”), is a cooperative that provides its member financial institutions with a number of financial products and services, including short and long-term secured borrowings that are known as “advances.” FHLBC advances may be collateralized by a number of real estate related assets, including agency MBS. As a member of the FHLBC, Key Bridge is required to acquire membership stock as well as activity-based stock (the amount of which is based upon a percentage of the dollar amount of its outstanding advances) in the FHLBC. As of December 31, 2015, Key Bridge had acquired $15,740 of capital stock in the FHLBC, which is included in “other assets” in the accompanying consolidated balance sheets. Similar to a repurchase agreement borrowing, the Company pledges agency MBS as collateral to secure the advance to Key Bridge, the amount of which is equal to a specified percentage of the fair value of the pledged collateral. The Company retains beneficial ownership of the pledged collateral throughout the term of the advance arrangement. The FHLBC may require that the Company pledge additional collateral to secure borrowings when the value of the collateral declines. The following table provides information regarding the Company’s outstanding FHLB advances as of December 31, 2015: December 31, 2015 Pledged with agency MBS: FHLB advances outstanding $ 786,900 Agency MBS collateral, at fair value 805,163 Net amount (1) 18,263 Weighted-average rate 0.36 % Weighted-average term to maturity 11.6 days (1) Net amount represents the value of collateral in excess of corresponding FHLB advance. The amount of collateral at-risk is limited to the outstanding FHLB advance and not the entire collateral balance. On January 12, 2016, the regulator of the FHLB system, the Federal Housing Finance Agency (“FHFA”), released a final rule that amends regulations governing FHLB membership, including an amendment which prevents captive insurance companies from being eligible for FHLB membership. Under the terms of the final rule, Key Bridge is required to terminate its membership and repay its existing advances within one year following the effective date of the final rule. In addition, Key Bridge is prohibited from obtaining new advances or renewing existing advances upon their maturity during the one year transition period. The final rule becomes effective on February 19, 2016. Subsequent to the release of the final rule, the Company has repaid all of its outstanding FHLBC advances, funded primarily through proceeds obtained from traditional repurchase agreement financing arrangements. Long-Term Debt As of December 31, 2015 and December 31, 2014, the Company had $75,300 and $40,000, respectively, of outstanding long-term debentures. The Company’s long-term debentures consisted of the following as of the dates indicated: December 31, 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+ 2.25 3.00 % 6.625 % LIBOR+ 2.25 3.00 % Interest Payment Frequency Quarterly Quarterly Quarterly Quarterly Quarterly Weighted-Average Interest Rate 6.75 % 6.625 % 3.07 % 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 On March 18, 2015, the Company completed a public offering of $35,300 of 6.75% senior notes due in 2025 and received net proceeds of $34,063 after payment of underwriting discounts, commissions, and expenses. The senior notes due 2023 and the senior notes due 2025 are publicly traded on the New York Stock Exchange under the ticker symbols “AIW” and “AIC,” respectively. The senior notes due 2023 and senior notes due 2025 may be redeemed in whole or in part at any time and from time to time at the Company’s option on or after May 1, 2016 and March 15, 2018, respectively, at a redemption price equal to the principal amount plus accrued and unpaid interest. The indenture governing these senior notes contains certain covenants, including limitations on the Company’s ability to merge or consolidate with other entities or sell or otherwise dispose of all or substantially all of the Company’s assets. |
Derivative Instruments
Derivative Instruments | 12 Months Ended |
Dec. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments [Text Block] | Note 7. Derivative Instruments In the normal course of its operations, the Company is a party to financial instruments that are accounted for as derivative instruments. Derivative instruments are recorded at fair value as either “derivative assets” or “derivative liabilities” in the consolidated balance sheets, with all periodic changes in fair value reflected as a component of “investment gain (loss), net” in the consolidated statements of comprehensive income. Cash receipts or payments related to derivative instruments are classified in the investing section of the consolidated statements of cash flows. Types and Uses of Derivative Instruments Interest Rate Derivatives Most of the Company’s derivative instruments are interest rate derivatives that are intended to economically hedge changes, attributable to changes in benchmark interest rates, in certain MBS fair values and future interest cash flows on the Company’s short-term financing arrangements. Interest rate derivatives include centrally cleared interest rate swaps as well as exchange-traded instruments, such as Eurodollar futures, interest rate swap futures, U.S. Treasury note futures, and options on futures. While the Company uses its interest rate derivatives to economically hedge a portion of its interest rate risk, it has not designated such contracts as hedging instruments for financial reporting purposes. The Company exchanges collateral with the counterparties to its interest rate derivative instruments at least on a daily basis based upon daily changes in fair value (also known as “variation margin”) as measured by the central clearinghouse through which those derivatives are cleared. In addition, the central clearinghouse requires market participants to deposit and maintain an “initial margin” amount which is determined by the clearinghouse and is generally intended to be set at a level sufficient to protect the clearinghouse from the maximum estimated single-day price movement in that market participant’s contracts. Cash initial and variation margin posted by the Company in respect of interest rate derivatives is included in the line item “deposits” in the accompanying consolidated balance sheets. To-Be-Announced Agency MBS Transactions, Including “Dollar Rolls” In addition to interest rate derivatives that are used for interest rate risk management, the Company is a party to derivative instruments that economically serve as investments, such as forward contracts to purchase or sell fixed-rate “pass-through” agency MBS on a non-specified pool basis, which are known as to-be-announced (“TBA”) contracts. A TBA contract is a forward contract for the purchase or sale of a fixed-rate agency MBS at a predetermined price, face amount, issuer, coupon, and stated maturity on an agreed upon future date. The specific agency MBS that will be delivered to satisfy the TBA trade is not known at the inception of the trade. The Company accounts for TBA contracts as derivative instruments because the Company cannot assert that it is probable at inception and throughout the term of an individual TBA contract that its settlement will result in physical delivery of the agency MBS, or the individual TBA contract will not settle in the shortest time period possible. The Company’s agency MBS investment portfolio includes net purchase (or “net long”) positions in TBA securities, which are primarily the result of executing sequential series of “dollar roll” transactions. The Company executes dollar roll transactions as a means of investing in and financing non-specified pools of fixed-rate agency MBS. Such transactions involve effectively delaying (or “rolling”) the settlement of a forward purchase of a TBA agency MBS by entering into an offsetting sale prior to the settlement date, net settling the “paired-off” positions in cash, and contemporaneously entering another forward purchase of a TBA agency MBS of the same characteristics for a later settlement date. TBA securities purchased or sold for a forward settlement month are generally priced at a discount relative to TBA securities purchased for settlement in the current month. This discount, often referred to as the dollar roll “price drop,” reflects compensation for the net interest income (interest income less financing costs) that is foregone as a result of relinquishing beneficial ownership of the MBS for the duration of the dollar roll (also known as “dollar roll income”). By executing a sequential series of dollar roll transactions, the Company is able to create the economic experience of investing in an agency MBS, financed with a repurchase agreement, over a period of time. Forward purchases and sales of TBA securities are accounted for as derivative instruments in the Company’s financial statements. Accordingly, dollar roll income is recognized as a component of “investment gains (losses), net” along with all other periodic changes in the fair value of TBA commitments. Cash collateral posted by the Company with respect to TBA transactions is included in the line item “deposits” in the accompanying consolidated balance sheets. In addition to TBA transactions, the Company may, from time to time, enter into commitments to purchase or sell other types of investment securities that do not qualify as regular-way security trades. Such commitments are also accounted for as derivative instruments. Derivative Instrument Population and Fair Value The following table presents the fair value of the Company’s derivative instruments as of the dates indicated: December 31, 2015 December 31, 2014 Assets Liabilities Assets Liabilities Interest rate swaps $ 6,153 $ $ $ 10-year U.S. Treasury note futures 6,813 Eurodollar futures 751 (76,848 ) 10-year interest rate swap futures (47,460 ) Put options on Eurodollar futures 25 TBA commitments (553 ) 516 Total $ 12,991 $ (553 ) $ 1,267 $ (124,308 ) Interest Rate Swaps The following table presents information as of the date indicated about the Company’s interest rate swap agreements executed in the fourth quarter of 2015, all of which represent agreements to make semiannual interest payments based upon a fixed interest rate and receive quarterly variable interest payments based upon the prevailing three-month LIBOR rate on the date of reset: December 31, 2015 Notional Amount Average Fixed Average Remaining Fair Value Years to maturity: Less than 2 years $ 750,000 1.04 % 1.9 $ 1,166 2 to 10 years 750,000 2.12 % 9.9 4,987 Total / weighted-average $ 1,500,000 1.58 % 5.9 $ 6,153 10-year U.S. Treasury Note Futures The Company’s 10-year U.S. Treasury note futures held as of December 31, 2015 are short positions with an aggregate notional amount of $1,335,000 that mature in March 2016. Upon the maturity date of these futures contracts, the Company has the option to either net settle each contract in cash in an amount equal to the difference between the then-current fair value of the underlying 10-year U.S. Treasury note and the contractual sale price inherent to the futures contract, or to physically settle the contract by delivering the underlying 10-year U.S. Treasury note. TBA Transactions The following tables present information about the Company’s TBA purchase and sale commitments as of the dates indicated: December 31, 2015 Notional Amount: Average Average Market Price Fair Value 30-year 3.5% coupon $ 275,000 $ 283,928 $ 283,469 $ (459 ) 30-year 4.0% coupon 100,000 105,883 105,789 (94 ) Total / weighted-average $ 375,000 $ 389,811 $ 389,258 $ (553 ) December 31, 2014 Notional Amount: Average Average Market Price Fair Value 30-year 4.0% coupon $ 200,000 $ 213,047 $ 213,563 $ 516 Derivative Instrument Gains and Losses For the years ended December 31, 2015 and 2014, the Company recorded net losses of $105,349 and $140,353, respectively, on its derivative instruments as a component of “investment gain (loss), net.” The following tables provide further information about the derivative gains and losses recognized within the periods indicated: For the Year Ended December 31, 2015 2014 Interest rate derivatives: Interest rate swaps accrual of periodic settlements, net (1) $ (1,282 ) $ Interest rate swaps unrealized gains, net 7,419 Eurodollar futures, net (60,090 ) (50,293 ) U.S. Treasury note futures, net 10,229 1,574 10-year interest rate swap futures and other, net (63,309 ) (97,412 ) Total interest rate derivative losses, net (107,033 ) (146,131 ) TBA commitments, net 1,684 5,778 Total derivative losses, net $ (105,349 ) $ (140,353 ) (1) Represents the periodic net interest settlement incurred during the period (often referred to as "net interest carry"). Derivative Instrument Activity The following tables summarize the volume of activity, in terms of notional amount, related to derivative instruments for the periods indicated: For the Year Ended December 31, 2015 Beginning of Additions Scheduled Early End of Period Eurodollar futures $ 41,090,000 $ 11,841,000 $ (7,235,000 ) $ (45,696,000 ) $ 10-year interest rate swap futures 1,145,000 2,685,000 (3,130,000 ) (700,000 ) Interest rate swaps 1,500,000 1,500,000 2-year U.S. Treasury note futures 350,000 (350,000 ) 10-year U.S. Treasury note futures 3,020,000 (1,510,000 ) (175,000 ) 1,335,000 Put options on Eurodollar futures 6,000,000 (2,000,000 ) 4,000,000 Commitments to purchase (sell) MBS, net 200,000 2,782,544 (2,607,544 ) 375,000 For the Year Ended December 31, 2014 Beginning of Additions Scheduled Settlements Early End of Period Eurodollar futures $ 15,545,000 $ 25,585,000 $ (40,000 ) $ $ 41,090,000 10-year interest rate swap futures 666,500 2,635,000 (2,121,500 ) (35,000 ) 1,145,000 5-year U.S. Treasury note futures 100,000 (100,000 ) Commitments to purchase (sell) MBS, net 44,511 2,526,354 (2,370,865 ) 200,000 Cash Collateral Posted for Derivative Instruments The following table presents information about the cash collateral posted by the Company in respect of its derivative instruments, which is included in the line item “deposits” in the accompanying consolidated balance sheets: For the Year Ended December 31, 2015 2014 Interest rate swaps $ 17,434 $ Eurodollar futures 96,147 U.S. Treasury note futures 11,197 10-year interest rate swap futures 64,280 TBA commitments 798 Total cash collateral posted $ 29,429 $ 160,427 |
Offsetting of Financial Assets
Offsetting of Financial Assets and Liabilities | 12 Months Ended |
Dec. 31, 2015 | |
Offsetting [Abstract] | |
Offsetting of Financial Assets and Liabilities [Text Block] | Note 8. Offsetting of Financial Assets and Liabilities The agreements that govern certain of the Company’s derivative instruments and short-term financing arrangements provide for a right of setoff in the event of default or bankruptcy with respect to either party to such transactions. The Company presents derivative instruments and short-term financing arrangements, including any associated recognized collateral, in its consolidated balance sheets on a gross basis. As of December 31, 2015 Gross Amount Amount Offset Net Amount Gross Amount Not Offset in the Net Financial (1) Cash Collateral (2) Assets: Derivative instruments: Interest rate swaps $ 6,153 $ $ 6,153 $ $ $ 6,153 10-year U.S. Treasury note futures 6,813 6,813 6,813 Put options on Eurodollar futures 25 25 25 Total derivative instruments 12,991 12,991 12,991 Total assets $ 12,991 $ $ 12,991 $ $ $ 12,991 Liabilities: Derivative instruments: TBA commitments $ 553 $ $ 553 $ $ (387 ) $ 166 Total derivative instruments 553 553 (387 ) 166 Repurchase agreements 2,834,780 2,834,780 (2,834,780 ) Federal Home Loan Bank advances 786,900 786,900 (786,900 ) Total liabilities $ 3,622,233 $ $ 3,622,233 $ (3,621,680 ) $ (387 ) $ 166 As of December 31, 2014 Gross Amount Amount Offset Net Amount Gross Amount Not Offset in the Net Financial Instruments (1) Cash Collateral (2) Assets: Derivative instruments: Eurodollar futures $ 751 $ $ 751 $ (751 ) $ $ TBA commitments 516 516 516 Total derivative instruments 1,267 1,267 (751 ) 516 Total assets $ 1,267 $ $ 1,267 $ (751 ) $ $ 516 Liabilities: Derivative instruments: Eurodollar futures $ 76,848 $ $ 76,848 $ (751 ) $ (76,097 ) $ 10-year interest rate swap futures 47,460 47,460 (47,460 ) Total derivative instruments 124,308 124,308 (751 ) (123,557 ) Repurchase agreements 3,179,775 3,179,775 (3,179,775 ) Total liabilities $ 3,304,083 $ $ 3,304,083 $ (3,180,526 ) $ (123,557 ) $ (1) Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements or Federal Home Loan Bank advances that exceeds the associated liability presented in the consolidated balance sheets. (2) Does not include the amount of cash collateral pledged in respect of derivative instruments that exceeds the associated derivative liability presented in the consolidated balance sheets. |
Fair Value Measurements
Fair Value Measurements | 12 Months Ended |
Dec. 31, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements [Text Block] | Note 9. Fair Value Measurements 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. Financial Accounting Standards Board Accounting Standards Codification (“ASC”) Topic 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 at the measurement date; 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 judgments made by the Company about the assumptions that a market participant would use. The Company measures the fair value of the following assets and liabilities: Mortgage-backed securities Agency MBS Private-label MBS Measuring 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 the timing and amount of future cash flows as well as the rate of return demanded by market participants. The assumptions the Company applies are specific to each security. Although the Company relies on its internal calculations to estimate the fair value of these private-label MBS, the Company considers indications of value from actual sales of similar private-label MBS to assist in the valuation process and to calibrate the Company’s models. Derivative instruments Exchange-traded derivative instruments Centrally cleared interest rate swaps Forward purchases and sales of TBA securities Other Long-term debt FHLBC capital stock Investments in equity securities of non-public companies and investment funds Investments in interest-only MBS Financial assets and liabilities for which carrying value approximates fair value Fair Value Hierarchy Financial Instruments Measured at Fair Value on a Recurring Basis December 31, 2015 Total Level 1 Level 2 Level 3 MBS Trading: Agency MBS $ 3,865,290 $ $ 3,865,290 $ Private-label MBS 2,899 2,899 Total trading 3,868,189 3,865,290 2,899 Available-for-sale: Agency MBS 26 26 Private-label MBS 127,536 127,536 Total available-for-sale 127,562 26 127,536 Total MBS 3,995,751 3,865,316 130,435 Derivative assets 12,991 6,838 6,153 Derivative liabilities (553 ) (553 ) Interest-only MBS 118 118 Total $ 4,008,307 $ 6,838 $ 3,870,916 $ 130,553 December 31, 2014 Total Level 1 Level 2 Level 3 MBS Trading: Agency MBS $ 3,414,300 $ $ 3,414,300 $ Available-for-sale: Agency 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 1,267 751 516 Derivative liabilities (124,308 ) (124,308 ) Interest-only MBS 212 212 Total $ 3,558,948 $ (123,557 ) $ 3,414,856 $ 267,649 There were no transfers of financial instruments into or out of Levels 1, 2 or 3 during the years ended December 31, 2015 and 2014. Level 3 Financial Assets and Liabilities December 31, 2015 December 31, 2014 Weighted- average (1) Range Weighted- average (1) Range Discount rate 5.57 % 5.50 10.00 % 5.55 % 5.15 10.00 % Default rate 2.78 % 1.45 6.20 % 3.09 % 1.00 8.80 % Loss severity rate 45.84 % 35.00 65.00 % 42.25 % 29.23 57.50 % Prepayment rate 11.02 % 7.75 17.70 % 11.23 % 7.40 17.70 % (1) Based on face value. The table below sets forth a summary of changes in the fair value and gains and losses of the Company’s Level 3 investments in private-label MBS that are measured at fair value on a recurring basis for the years ended December 31, 2015 and 2014. Year Ended December 31, 2015 2014 Beginning balance $ 267,437 $ 341,299 Total net gains (losses) Included in investment (loss) gain, net 15,725 17,243 Included in other comprehensive income (31,933 ) (15,091 ) Purchases 2,870 Sales (130,137 ) (86,318 ) Payments, net (8,849 ) (15,313 ) Accretion of discount 15,322 25,617 Ending balance $ 130,435 $ 267,437 Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date $ (2,420 ) $ (420 ) |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2015 | |
Income Tax Disclosure [Abstract] | |
Income Taxes [Text Block] | Note 10. 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. Arlington Asset owns all the common shares of Rosslyn REIT Trust and all of the preferred shares are owned by outside investors. As of December 31, 2015, the Company had net operating loss (“NOL”) carry-forwards of $ 107,090 2027 240,681 136,840 103,841 The Company is subject to federal alternative minimum tax (“AMT”) and state and local taxes on its taxable income and gains that are not offset by its NOL and NCL carry-forwards. Income taxes are provided for using the asset and liability method. Deferred tax assets and liabilities reflect the impact of temporary differences between the carrying amount of assets and liabilities pursuant to the application of GAAP and their respective tax bases and are stated at tax rates expected to be in effect when the taxes are actually paid or recovered. Deferred tax assets are also recorded for net operating loss carry-forwards, net capital loss carry-forwards and any tax credit carry-forwards. 2015 2014 Net operating loss carry-forward $ 41,660 $ 60,467 Net unrealized losses on investments and derivatives 24,677 24,434 AMT credit 8,195 7,244 Stock-based compensation 2,004 1,515 Deferred net losses on designated derivatives 8,066 2,733 Other, net (34) 582 Capital loss carry-forward 93,625 52,860 Valuation allowance on capital loss carry-forward (80,663) (24,228) Deferred tax assets, net $ 97,530 $ 125,607 2015 2014 2013 Federal $ 32,613 $ 40,298 $ (22,918) State 5,948 7,349 (15,766) $ 38,561 $ 47,647 $ (38,684) Current $ 970 $ 796 $ (14,860) Deferred 37,591 46,851 (23,824) $ 38,561 $ 47,647 $ (38,684) 2015 2014 2013 Federal income tax at statutory rate $ (10,795) $ 19,390 $ 4,949 State income taxes, net of federal benefit (1,203) 2,161 849 Expiration of capital loss carry-forward 4,668 56,333 Reversal of unrecognized tax benefit related to uncertain tax position and related accrued interest and related AMT credits (11,028) Federal liability on state deferred tax assets 1,237 Losses on available-for sale MBS acquired prior to 2012 (3,987) (1,178) (2,441) Tax character adjustments (1,934) (1,656) Other, net 45 34 2,606 Valuation allowance 56,435 24,228 (91,189) Total income tax provision (benefit) $ 38,561 $ 47,647 $ (38,684) A valuation allowance is provided against the deferred tax asset if, based on the Company’s evaluation, it is more-likely-than-not that some or all of the deferred tax assets will not be realized. All available evidence, both positive and negative, is considered to determine whether a valuation allowance for deferred tax assets is needed. Items considered in determining our valuation allowance include expectations of future earnings of the appropriate tax character, recent historical financial results, tax planning strategies, the length of statutory carry-forward periods and the expected timing of the reversal of temporary differences. As of December 31, 2015 and 2014, the Company provided a valuation allowance against the portion of its NCL carry-forwards for which the Company believes it is more likely than not that the benefits will not be realized prior to expiration. During the years ended December 31, 2015 and 2014, the Company recorded an increase to its valuation allowance of $ 56,435 24,228 Effective December 31, 2013, the Company contributed 40 of its private-label MBS with $ 367,642 68,041 With the completion of the Internal Revenue Service’s (“IRS”) examinations of the Company’s tax years 2009 and 2010 without any adjustment and the expiration of the statute of limitations on the 2009 state tax return, the Company reversed $ 12,810 3,402 5,184 The Company recognizes uncertain tax positions in the financial statements only when it is more-likely-than-not that the position will be sustained upon examination by the relevant taxing authority based on the technical merits of the position. A position that meets this standard is measured at the largest amount of benefit that will more-likely-than-not be realized upon settlement. A liability is established for differences between positions taken in a tax return and the financial statements. As of December 31, 2015 and 2014, the Company 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 IRS and state and local authorities in jurisdictions where the Company has significant business operations. The Company’s federal tax returns for 2012 and forward remain subject to examination by the IRS. As of December 31, 2015, there are no on-going examinations. |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies [Text Block] | Note 11. Commitments and Contingencies Contractual Obligations The Company has contractual obligations to make future payments in connection with long-term debt and non-cancelable lease agreements. 2016 2017 2018 2019 2020 Thereafter Total Long-term debt maturities $ $ $ $ $ $ 75,300 $ 75,300 Minimum rental commitments 446 458 471 483 497 2,355 $ 446 $ 458 $ 471 $ 483 $ 497 $ 75,300 $ 77,655 |
Shareholders' Equity
Shareholders' Equity | 12 Months Ended |
Dec. 31, 2015 | |
Equity [Abstract] | |
Stockholders’ Equity [Text Block] | Note 12. Shareholders’ Equity The Company has authorized share capital of 450,000,000 0.01 100,000,000 0.01 25,000,000 Conversion of Class B Common Stock to Class A Common Stock During the years ended December 31, 2015 and 2014, holders of the Company's Class B common stock converted an aggregate of 3,653 448,186 3,653 448,186 Share Repurchases In October 2015, the Board of Directors authorized an increase in the Company’s share repurchase program pursuant to which the Company may repurchase up to 2,000,000 205,485 Repurchases under the Repurchase Program may be made from time to time on the open market and in private transactions at management’s discretion in accordance with applicable federal securities laws. The timing of repurchases and the exact number of shares of Class A common stock to be repurchased will depend upon market conditions and other factors. The Repurchase Program is funded using the Company’s cash on hand and cash generated from operations. The Repurchase Program has no expiration date and may be suspended or terminated at any time without prior notice. During the year ended December 31, 2015, the Company repurchased 48,695 12.15 593 1,951,305 Equity Offerings Closing date of the offering March 13, 2013 March 28, 2014 September 8, 2014 Shares sold to public 3,000,000 2,750,000 2,750,000 Shares sold pursuant to the underwriter over-allotment 450,000 312,500 412,500 Total shares of Class A common stock 3,450,000 3,062,500 3,162,500 Public offering price per share $ 25.50 $ 27.40 $ 27.61 Net proceeds (1) $ 86,964 $ 81,669 $ 85,214 (1) Net of underwriting discounts and commissions and expenses. Shareholder Rights Agreement The Board of Directors adopted and the Company’s shareholders approved a shareholder rights agreement (“Rights Plan”). Under the terms of the Rights Plan, in general, if a person or group acquires or commences a tender or exchange offer for beneficial ownership of 4.9% or more of the outstanding shares of our Class A common stock upon a determination by our Board of Directors (an “Acquiring Person”), all of our other Class A and Class B common shareholders will have the right to purchase securities from us at a discount to such securities’ fair market value, thus causing substantial dilution to the Acquiring Person. The Board of Directors adopted the Rights Plan in an effort to protect against a possible limitation on the Company’s ability to use its NOL carry-forwards, NCL carry-forwards, and built-in losses under Sections 382 and 383 of the Code. The Company’s ability to use its NOLs, NCLs and built-in losses would be limited if it experienced an “ownership change” under Section 382 of the Code. In general, an “ownership change” would occur if there is a cumulative change in the ownership of the Company’s common stock of more than 50% by one or more “5% shareholders” during a three-year period. The Rights Plan was adopted to dissuade any person or group from acquiring 4.9% or more of the Company’s outstanding Class A common stock, each, an Acquiring Person, without the approval of the Board of Directors and triggering an “ownership change” as defined by Section 382. The Rights Plan and any outstanding rights will expire at the earliest of (i) June 4, 2019, (ii) the time at which the rights are redeemed or exchanged pursuant to the Rights Plan, (iii) the repeal of Section 382 and 383 of the Code or any successor statute if the Board of Directors determines that the Rights Plan is no longer necessary for the preservation of the applicable tax benefits, and (iv) the beginning of a taxable year to which the Board of Directors determines that no applicable tax benefits may be carried forward. 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 Declaration Record Pay Date December 31 $ 0.625 December 17 December 31 January 29, 2016 September 30 0.625 September 17 September 30 October 30 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 Declaration Record 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 |
Long-Term Incentive Plan
Long-Term Incentive Plan | 12 Months Ended |
Dec. 31, 2015 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Disclosure of Compensation Related Costs, Share-based Payments [Text Block] | Note 13. Long-Term Incentive Plan The Company provides its employees and its non-employee directors with long-term incentive compensation in the form of stock-based awards. On April 7, 2014, the Board of Directors adopted the Arlington Asset Investment Corp. 2014 Long-Term Incentive Plan (the “2014 Plan”), which was approved by the Company’s shareholders and became effective on July 15, 2014. Under the 2014 Plan, a maximum number of 2,000,000 shares of Class A common stock of the Company, subject to adjustment as set forth in the 2014 Plan, were authorized for issuance and may be issued to employees, directors, consultants and advisors of the Company and its affiliates. As of December 31, 2015, 1,953,980 shares remained available for issuance under the 2014 Plan. The 2014 Plan replaced the Arlington Asset Investment Corp. 2011 Long-Term Incentive Plan (the “2011 Plan”). No additional grants will be made under the 2011 Plan. However, previous grants under the 2011 Plan will remain in effect subject to the terms of the 2011 Plan and the applicable award agreement, and shares of Class A common stock may be issued under the 2011 Plan. The shares of Class A common stock to be issued under the 2011 Plan are subject to the achievement of performance measures and/or vesting. As of December 31, 2015, 269,283 shares remained available for issuance under the 2011 Plan. Under the 2014 Plan, the Compensation Committee of the Company’s Board of Directors may grant restricted stock, restricted stock units (“RSUs”), performance stock units (“PSUs”), stock options, stock appreciation rights (“SARs”) and/or other stock-based awards. However, no participant may be granted (i) stock options or SARs during any twelve month period covering more than 300,000 shares or (ii) restricted stock, RSUs, PSUs and/or other stock-based awards denominated in shares that are intended to qualify as performance based compensation under Section 162(m) that permit the participant to earn more than 300,000 shares for each twelve months in the vesting or period on which performance is measured (“Performance Period”). These share limits are subject to adjustment in the event of any merger, reorganization, consolidation, recapitalization, stock dividend, stock split, reverse stock split, spin-off, extraordinary cash dividend or similar transaction or other change in corporate structure affecting the share. In addition, during any calendar year no participant may be granted performance awards that are denominated in cash and that are intended to qualify as performance based compensation under Section 162(m) under which more than $10,000 may be earned for each twelve months in the Performance Period. Each of the individual award limits described in this paragraph will be multiplied by two during the first calendar year in which the participant commences employment with the Company and its affiliates. The 2014 Plan will terminate on the tenth anniversary of its effective date unless sooner terminated by the Board of Directors. Stock-based compensation costs are initially measured at the estimated fair value of the awards on the grant date developed using appropriate valuation methodologies, as adjusted for estimates of future award forfeitures. Valuation methodologies used and subsequent expense recognition is dependent upon each award’s service and performance conditions. Excess tax benefits from the tax deduction of stock-based awards exceeding the stock-based compensation recorded in accordance with GAAP are recorded as an increase to additional paid-in capital. Conversely, if the tax deduction of stock-based awards is less than the stock-based compensation recorded in accordance with GAAP, it is recorded as a decrease to additional paid-in capital to the extent of previously accumulated excess tax benefits recorded in additional paid-in capital with any remaining amount recorded as additional income tax provision. The gross windfall tax benefit is presented in the consolidated statements of cash flows as financing cash inflows. Performance Stock Unit Awards Compensation costs for PSUs subject to nonmarket-based performance conditions (i.e. performance not predicated on changes in the Company’s stock price) are measured at the closing stock price on the dates of grant, adjusted for the probability of achieving certain benchmarks included in the performance metrics. These initial cost estimates are recognized as expense over the requisite performance periods, as adjusted for changes in estimated, and ultimately actual, performance and forfeitures. Compensation costs for components of PSUs subject to market-based performance conditions (i.e. performance predicated on changes in the Company’s stock price) are measured at the dates of grant using a Monte Carlo simulation model which incorporates into the valuation the inherent uncertainty regarding the achievement of the market-based performance metrics. These initial valuation amounts are recognized as expense over the requisite performance periods, subject only to adjustments for changes in estimated, and ultimately actual, forfeitures. The Company has granted performance stock units to executive officers of the Company that are convertible into shares of Class A common stock following the applicable performance periods. The performance goals established by the Compensation Committee are based on (i) the compound annualized growth in the Company’s book value per share ( i.e i.e The Compensation Committee of the Board of Directors of the Company approved the following PSU grants: December 31, 2015 2014 2013 Book Value PSUs granted 45,054 35,126 34,221 Book Value PSU grant date fair value per share $ 19.56 $ 27.26 $ 27.03 TSR PSUs granted 58,169 35,593 34,567 TSR PSU grant date fair value per share $ 15.15 $ 26.90 $ 26.76 For the Company’s Book Value PSUs, the grant date fair value per share is based on the close price on the date of grant. For the Company’s TSR PSUs, the grant date fair value per share is based on a Monte Carlo simulation model. The following assumptions, determined as of the date of grant, were used in the Monte Carlo simulation model to measure the grant date fair value per share of the Company’s TSR PSUs: TSR PSUs Granted in: 2015 2014 2013 Closing stock price on date of grant $ 19.56 $ 27.26 $ 27.03 Beginning average stock price on date of grant (1) $ 20.82 $ 27.68 $ 27.58 Expected volatility (2) 21.72 % 31.03 % 33.70 % Dividend yield (3) 0.00 % 0.00 % 0.00 % Risk-free rate (4) 1.08 % 0.90 % 0.65 % (1) Based upon the 30 trading days prior to and including the date of grant. (2) Based upon the most recent three-year volatility as of the date of grant. (3) Dividend equivalents are accrued during the performance period and deemed reinvested in additional stock units, which are to be paid out at the end of the performance period to the extent the underlying PSU is earned. Applying dividend yield assumption of 0.00% in the Monte Carlo simulation is mathematically equivalent to reinvesting dividends on a continuous basis and including the value of the dividends in the final payout. (4) Based upon the yield of a U.S. Treasury bond with a three-year maturity as of the date of grant. The vesting of the PSUs is subject to both continued employment under the terms of the award agreement and the achievement of the Company performance goals established by the Compensation Committee. For PSU awards granted during the three years ended December 31, 2015, the Compensation Committee established a three-year performance period. The actual number of shares of Class A common stock that will be issued to each participant at the end of the applicable performance period will vary between 0% and 250% of the number of PSUs granted, depending on performance results. If the minimum threshold level of performance goals is not achieved, no PSUs are earned. To the extent the performance results are between the minimum threshold level and maximum level of performance goals, between 50% to 250% of the number of PSUs granted are earned. PSUs do not have any voting rights. No dividends are paid on outstanding PSUs during the applicable performance period. Instead, dividend equivalents are accrued on outstanding PSUs during the applicable performance period, deemed invested in shares of Class A common stock and are paid out in shares of Class A common stock at the end of the performance period to the extent that the underlying PSUs vest. Upon settlement, vested PSUs are converted into shares of the Company’s Class A common stock on a one-for-one basis. For the years ended December 31, 2015, 2014, and 2013, the Company recognized $(560), $2,457 and $1,485, respectively, of compensation expense related to PSU awards. For the year ended December 31, 2015, the compensation expense included a reversal of $1,474 of expense recognized in prior periods due to a reduction in the number of PSUs expected to vest based on deterioration in performance metrics. As of December 31, 2015 and 2014, the Company had unrecognized compensation expense related to PSU awards of $2,697 and $4,435, respectively. The unrecognized compensation expense as of December 31, 2015 is expected to be recognized over a weighted average period of 2.2 years. For the years ended December 31, 2015 and 2014, the intrinsic value of PSU awards that vested was $716 and $2,447, respectively. There were no PSU awards that vested for the year ended December 31, 2013. Employee Restricted Stock Awards Compensation costs for restricted stock awards subject only to service conditions are measured at the closing stock price on the dates of grant and are recognized as expense on a straight-line basis over the requisite service periods for the awards, as adjusted for changes in estimated, and ultimately actual, forfeitures. The Company grants restricted common shares to employees that vest ratably over a three year period or cliff-vest after two to four years based on continued employment over these specified periods. A summary of these unvested restricted stock awards is presented below: Number of Shares Weighted-average Grant-date Fair Weighted- average Remaining Vested Period Share Balance as of December 31, 2012 34,835 $ 24.24 2.2 Granted 36,000 26.74 Forfeitures Vestitures (13,162 ) 24.65 Share Balance as of December 31, 2013 57,673 25.71 2.0 Granted 84,602 26.84 Forfeitures Vestitures (25,163 ) 25.64 Share Balance as of December 31, 2014 117,112 26.54 1.9 Granted 58,000 14.35 Forfeitures (6,668 ) 26.34 Vestitures (36,669 ) 25.63 Share Balance as of December 31, 2015 131,775 21.44 2.0 For the years ended December 31, 2015, 2014, and 2013, the Company recognized $1,207, $927 and $632, respectively, of compensation expense related to restricted stock awards. As of December 31, 2015 and 2014, the Company had unrecognized compensation expense related to restricted stock awards of $1,631 and $2,181, respectively. The unrecognized compensation expense as of December 31, 2015 is expected to be recognized over a weighted average period of 2.0 years. For the years ended December 31, 2015, 2014 and 2013, the intrinsic value of restricted stock awards that vested were $646, $681 and $329, respectively. In addition, as part of the Company’s satisfaction of incentive compensation earned for past service under the Company’s variable compensation programs, employees may receive restricted Class A common stock in lieu of cash payments. These restricted Class A common stock shares are issued to an irrevocable trust and are not returnable to the Company. No such shares were issued in 2015, 2014 and 2013. As of December 31, 2015 and 2014, the Company had 9,155 vested shares of the undistributed restricted stock issued to the trust. Director Restricted Stock Units Compensation costs for RSU awards subject only to service conditions are measured at the closing stock price on the dates of grant and are recognized as expense on a straight-line basis over the requisite service periods for the awards, as adjusted for changes in estimated, and ultimately actual, forfeitures. Compensation costs for RSUs that do not require future service conditions are expensed immediately. The Company’s non-employee directors are compensated in both cash and RSUs. RSUs awarded under the Company’s 2014 Plan vest immediately on the award grant date and are convertible into shares of Class A common stock. For RSUs granted under the Company’s 2014 Plan and 2011 Plan, the RSUs are convertible into shares of Class A common stock at the later of the date the non-employee director ceases to be a member of the Company’s Board or the first anniversary of the grant date. For RSUs granted under prior long-term incentive plans, the RSUs are convertible into shares of Class A common stock one year after the non-employee director ceases to be a member of the Company’s Board. The RSUs do not have any voting rights but are entitled to cash dividend equivalent payments. As of December 31, 2015, the Company had 148,417 RSUs outstanding. A summary of the RSUs grants is presented below: December 31, 2015 2014 2013 RSUs granted 25,506 15,521 15,616 Grant date fair value $ 20.78 $ 27.70 $ 27.53 The grant date fair value is based on the closing price of the Class A common stock on the New York Stock Exchange on the date of grant. For the years ended December 31, 2015, 2014 and 2013, the Company recognized $496, $430 and $430, respectively, of director fees related to these RSUs. |
Financial Instruments with Off-
Financial Instruments with Off-Balance-Sheet Risk and Credit Risk | 12 Months Ended |
Dec. 31, 2015 | |
Risks and Uncertainties [Abstract] | |
Concentration Risk Disclosure [Text Block] | Note 14. Financial Instruments with Off-Balance-Sheet Risk and Credit Risk As of December 31, 2015 and 2014, the Company had not entered into any transactions involving financial instruments that would expose the Company to significant related off-balance-sheet risk. |
Revisions to Previously Reporte
Revisions to Previously Reported Financial Statements | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Changes and Error Corrections [Abstract] | |
Revisions to Previously Reported Financial Statements [Text Block] | Note 15. Revisions to Previously Reported Financial Statements 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 stockholders’ equity. In addition, during the third quarter of 2015, the Company concluded that the previously reported deferred tax assets, net, was incorrect for the fiscal years ended December 31, 2013 and 2014 with a corresponding effect on the previously reported income tax provision (benefit) and net income for those periods. Although the impact of these changes were not material to the consolidated financial statements for the three fiscal years ended December 31, 2014, the Company has revised its previously reported consolidated financial statements as of December 31, 2014 and 2013 to reflect the cumulative impact of the errors. The following tables set forth the affected line items within the Company’s previously reported consolidated financial statements for the periods indicated. As of or For the Year Ended December 31, 2014 As Previously Reported Adjustment As Revised Consolidated Balance Sheets: Deferred tax assets, net $ 122,365 $ 3,242 $ 125,607 Total assets 4,014,489 3,242 4,017,731 Accumulated other comprehensive income, net of taxes 42,793 (6,921 ) 35,872 Accumulated deficit (1,298,018 ) 10,163 (1,287,855 ) Total stockholders’ equity 642,032 3,242 645,274 Total liabilities and stockholders’ equity 4,014,489 3,242 4,017,731 Consolidated Statements of Comprehensive Income: Income tax provision $ 49,446 $ (1,799 ) $ 47,647 Net income 5,954 1,799 7,753 Comprehensive loss (4,443 ) 1,799 (2,644 ) Year Ended December 31, 2013 As Previously Reported Adjustment As Revised Consolidated Statements of Comprehensive Income: Income tax benefit $ (35,322 ) $ (3,362 ) $ (38,684 ) Net income 49,461 3,362 52,823 Other comprehensive income, net of taxes 14,184 (2,441 ) 11,743 Comprehensive income 63,645 921 64,566 Balances, December 31, 2012 As Previously Reported Adjustment As Revised Consolidated Statements of Changes in Equity: Accumulated other comprehensive income $ 39,006 $ (4,480 ) $ 34,526 Accumulated deficit (1,219,906 ) 5,002 (1,214,904 ) Total 457,293 522 457,815 |
Quarterly Data (Unaudited)
Quarterly Data (Unaudited) | 12 Months Ended |
Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Financial Information [Text Block] | Note 16. Quarterly Data (Unaudited) The following tables set forth selected information for each of the fiscal quarters during the years ended December 31, 2015 and 2014. The selected quarterly data is derived from unaudited financial statements of the Company and has been prepared on the same basis as the annual, audited financial statements to include, in the opinion of management, all adjustments (consisting of only normal recurring adjustments) necessary for fair statement of the results for such periods. The sum of quarterly earnings per share amounts may not equal full year earnings per share amounts due to differing average outstanding shares amounts for the respective periods. Fiscal Year 2015 Total Year Fourth Quarter Third Quarter Second Quarter First Quarter Interest income $ 154,593 $ 38,364 $ 40,575 $ 38,690 $ 36,964 Interest expense 18,889 5,421 5,165 4,575 3,728 Net interest income 135,704 32,943 35,410 34,115 33,236 Investment loss, net (152,379 ) (5,674 ) (69,298 ) (18,036 ) (59,371 ) Other expenses 14,167 3,783 3,245 3,831 3,308 (Loss) income before income taxes (30,842 ) 23,486 (37,133 ) 12,248 (29,443 ) Income tax provision 38,561 4,675 15,497 5,647 12,742 Net (loss) income $ (69,403 ) $ 18,811 $ (52,630 ) $ 6,601 $ (42,185 ) Basic (loss) earnings per share $ (3.02 ) $ 0.82 $ (2.29 ) $ 0.29 $ (1.84 ) Diluted (loss) earnings per share $ (3.02 ) $ 0.82 $ (2.29 ) $ 0.29 $ (1.84 ) Fiscal Year 2014 Total Year Fourth Quarter Third Quarter Second Quarter First Quarter Interest income $ 123,547 $ 36,316 $ 33,301 $ 30,063 $ 23,867 Interest expense 11,391 3,454 2,976 2,676 2,285 Net interest income 112,156 32,862 30,325 27,387 21,582 Investment (loss) gain, net (38,687 ) (33,697 ) (6,982 ) 7,906 (5,914 ) Other expenses 18,069 4,480 5,054 4,380 4,155 Income (loss) before income taxes 55,400 (5,315 ) 18,289 30,913 11,513 Income tax provision 47,647 25,651 5,442 12,074 4,480 Net income (loss) $ 7,753 $ (30,966 ) $ 12,847 $ 18,839 $ 7,033 Basic earnings (loss) per share $ 0.39 $ (1.35 ) $ 0.62 $ 0.95 $ 0.42 Diluted earnings (loss) per share $ 0.38 $ (1.35 ) $ 0.61 $ 0.94 $ 0.41 |
Summary of Significant Accoun24
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Cash and Cash Equivalents, Policy [Policy Text Block] | Cash equivalents include demand deposits with banks, money market accounts and highly liquid investments with original maturities of three months or less. As of December 31, 2015 and 2014, approximately 98 99 |
Investment, Policy [Policy Text Block] | Purchases and sales of investment securities are recorded on the settlement date of the transfer unless the trade qualifies as a “regular-way” trade and the associated commitment qualifies for an exemption from the accounting guidance applicable to derivative instruments. A regular-way trade is an investment security purchase or sale transaction that is expected to settle within the period of time following the trade date that is prevalent or traditional for that specific type of security. Any amounts payable or receivable for unsettled security trades are recorded as “sold securities receivable” or “purchased securities payable” in the consolidated balance sheets. |
Interest Income [Policy Text Block] | Substantially all of the Company’s investments in agency MBS are classified as trading securities. Interest income from trading agency MBS is recognized based upon each security’s stated coupon rate. All other periodic changes in the fair value of trading agency MBS are recognized as a component of “investment loss, net” in the accompanying consolidated statements of comprehensive income. Amortization of purchase premiums and discounts on trading agency MBS, if any, are not recognized as an adjustment to periodic interest income but are, rather, reflected as a component of the periodic changes in fair value recognized in “investment loss, net.” Beginning in fiscal year 2016, the Company intends to change its accounting policy for recognizing interest income on its investments in agency MBS classified as trading securities by amortizing purchase premiums (or accreting purchase discounts) as an adjustment to interest income in accordance with the “interest method” permitted by GAAP. The change in accounting policy will be retrospectively applied to all historical periods. Because the Company accounts for investments in trading agency MBS on its consolidated balance sheets at fair value with all periodic changes in fair value reflected in the Company’s net income, this change in accounting policy will not have an effect on the Company’s historical or future consolidated balance sheets nor will it have an effect on the Company’s historical or future reported net income or comprehensive income. The change in accounting policy will, however, result in a reclassification between reported “investment gains (losses), net” and interest income on the Company’s historical and future periodic consolidated statements of comprehensive income. As the Company’s agency MBS have generally been acquired at a premium to par value, historical and future reported periodic interest income will be reduced by periodic premium amortization, while periodic investment gains (losses) reported as a component of “investment gain (loss), net” will be increased (decreased) by an equal and offsetting amount. The Company has not yet quantified the impact of this change in accounting policy. |
Revenue Recognition, Interest [Policy Text Block] | Interest Income Recognition for Investments in Private-Label MBS The Company’s investments in private-label MBS were generally acquired at significant discounts to their par values due in large part to an expectation that the Company will be unable to collect all of the contractual cash flows of the securities. Investments in private-label MBS acquired prior to 2015 are classified as available-for-sale. The Company elected to classify its investments in private-label MBS acquired in 2015 as trading securities. Interest income from investments in private-label MBS is recognized using a prospective level-yield methodology which is based upon each security’s effective interest rate. The amount of periodic interest income recognized is determined by applying the security’s effective interest rate to its amortized cost basis or reference amount. At the time of acquisition, the security’s effective interest rate is calculated by solving for the single discount rate that equates the present value of the Company’s best estimate of the amount and timing of the cash flows expected to be collected from the security to its purchase price. To prepare its best estimate of cash flows expected to be collected, the Company develops a number of assumptions about the future performance of the pool of mortgage loans that serve as collateral for its investment, including assumptions about the timing and amount of prepayments and credit losses. In each subsequent quarterly reporting period, the amount and timing of cash flows expected to be collected from the security are re-estimated based upon current information and events. The following table provides a description of how periodic changes in the estimate of cash flows expected to be collected affect interest income recognition prospectively for investments in private-label MBS that are classified as available-for-sale and trading securities, respectively: Effect on Interest Income Recognition for Investments in Private-Label MBS Scenario: Available-for-Sale Trading A positive change in cash flows occurs. Actual cash flows exceed prior estimates and/or a positive change occurs in the estimate of expected remaining cash flows. If the positive change in cash flows is deemed significant, a revised effective interest rate is calculated and applied prospectively such that the positive change is recognized as incremental interest income over the remaining life of the security. This revised effective interest rate is also used in subsequent periods to determine if any declines in the fair value of that security are other-than-temporary. A revised effective interest rate is calculated and applied prospectively such that the positive change in cash flows is recognized as incremental interest income over the remaining life of the security. An adverse change in cash flows occurs. Actual cash flows fall short of prior estimates and/or an adverse change occurs in the estimate of expected remaining cash flows. The security’s effective interest rate is unaffected. If an adverse change in cash flows occurs for a security that is impaired (that is, its fair value is less than its amortized cost basis), the impairment is considered other-than-temporary due to the occurrence of a credit loss. If a credit loss occurs, the Company writes-down the amortized cost basis of the security to an amount equal to the present value of cash flows expected to be collected, discounted at the security’s existing effective interest rate, and recognizes a corresponding other-than-temporary impairment charge in earnings as a component of “investment gain (loss), net.” 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 fair value is less than its reference amount), 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. If an adverse change in cash flows occurs for a security that is not impaired, the security’s effective interest rate will be reduced accordingly and applied on a prospective basis. |
Comprehensive Income, Policy [Policy Text Block] | Comprehensive income includes net income as currently reported by the Company on the consolidated statements of comprehensive income adjusted for other comprehensive income. Other comprehensive income for the Company represents periodic unrealized holding gains and losses related to the Company’s investments in MBS classified as available-for-sale. Accumulated unrealized holding gains and losses for available-for-sale MBS are reclassified into net income as a component of “investment gain (loss), net” upon (i) sale and realization or (ii) the occurrence of an other-than-temporary impairment. |
Earnings Per Share, Policy [Policy Text Block] | Basic earnings per share includes no dilution and is computed by dividing net income or loss available to common shareholders 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. The following table presents the computations of basic and diluted earnings per share for the years ended December 31, 2015, 2014 and 2013: Year Ended December 31, 2015 2014 2013 (Shares in thousands) Basic Diluted Basic Diluted Basic Diluted Weighted-average shares outstanding common stock 23,002 23,002 20,043 20,043 15,990 15,990 Weighted-average shares outstanding performance share units and unvested restricted stock 354 199 Weighted average common and common equivalent shares outstanding 23,002 23,002 20,043 20,397 15,990 16,189 Net (loss) income $ (69,403) $ (69,403) $ 7,753 $ 7,753 $ 52,823 $ 52,823 Net (loss) income per common share $ (3.02) $ (3.02) $ 0.39 $ 0.38 $ 3.30 $ 3.26 The diluted loss per share for the year ended December 31, 2015 did not include the antidilutive effect of 86,372 |
Other Significant Accounting Policies [Policy Text Block] | Other Significant Accounting Policies The Company’s other significant accounting policies are described in the following notes: Investments in agency MBS, subsequent measurement Note 4 Investments in private-label MBS, subsequent measurement Note 5 Borrowings Note 6 To-be-announced agency MBS transactions, including “dollar rolls” Note 7 Derivative instruments Note 7 Balance sheet offsetting Note 8 Fair value measurements Note 9 Income taxes Note 10 Stock-based compensation Note 13 |
New Accounting Pronouncements, Policy [Policy Text Block] | Recent Accounting Pronouncements The following table provides a brief description of recently issued accounting pronouncements and their actual or expected effect on the Company’s consolidated financial statements: Standard Description Date of Adoption Effect on the Consolidated Financial Statements Recently Adopted Accounting Guidance Accounting Standards Update (“ASU”) No. 2014-08, Reporting Discontinued Operations and Disclosures of Disposals of Components of an Entity (Topic 360) This amendment changes the criteria for determining which disposals can be presented as discontinued operations and modifies related disclosure requirements. January 1, 2015 The adoption of this amendment did not have an effect on the Company’s consolidated financial statements. ASU No. 2014-11, Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (Topic 860) This amendment requires repurchase-to-maturity transactions to be accounted for as secured borrowings. In addition, this amendment requires separate accounting for a transfer of a financial asset executed contemporaneously with a repurchase agreement with the same counterparty (referred to as a “repurchase financing”). January 1, 2015 The adoption of this amendment did not have an effect on the Company’s consolidated financial statements. Recently Issued Accounting Guidance Not Yet Adopted ASU No. 2015-02, Amendments to the Consolidation Analysis (Topic 810) This amendment makes targeted changes to the current consolidation guidance and ends the deferral granted to investment companies from applying variable interest entity guidance. January 1, 2016 This amendment is not expected to have a material impact on the Company’s consolidated financial statements. ASU No. 2015-03, Simplifying the Presentation of Debt Issuance Costs (Subtopic 835-30) This amendment requires debt issuance costs to be presented in the balance sheet as a direct reduction from the associated debt liability rather than as a separate asset. January 1, 2016 The adoption of this amendment will result in a change solely to the balance sheet presentation of debt issuance costs. The resulting change in presentation will not have a material impact on the Company’s consolidated financial statements. ASU No. 2015-14, Revenue from Contracts with Customers (Topic 606) This amendment defers the effective date of ASU No. 2014-09 for all entities by one year. ASU No. 2014-09 requires entities to recognize revenue to depict the transfer of promised goods or services to customers in amounts that reflect the consideration to which the entity expects to be entitled in exchange for those goods or services. Revenue recognition with respect to financial instruments is not within the scope of ASU No. 2014-09. January 1, 2018 The Company does not expect that the adoption of ASU No. 2015-14 will have a material impact on its consolidated financial statements. ASU No. 2016-01, Recognition and Measurement of Financial Assets and Financial Liabilities (Subtopic 825-10) This amendment makes targeted changes to certain aspects of guidance applicable to financial assets and financial liabilities. The amendment primarily affects accounting for certain equity investments, financial liabilities measured under the fair value option, and certain financial instrument presentation and disclosure requirements. Accounting for investments in debt securities and financial liabilities not measured under the fair value option is largely unaffected by this amendment. January 1, 2018 The Company is currently evaluating the impact of this amendment on its consolidated financial statements. |
Summary of Significant Accoun25
Summary of Significant Accounting Policies (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share, Basic and Diluted [Table Text Block] | The following table presents the computations of basic and diluted earnings per share for the years ended December 31, 2015, 2014 and 2013: Year Ended December 31, 2015 2014 2013 (Shares in thousands) Basic Diluted Basic Diluted Basic Diluted Weighted-average shares outstanding common stock 23,002 23,002 20,043 20,043 15,990 15,990 Weighted-average shares outstanding performance share units and unvested restricted stock 354 199 Weighted average common and common equivalent shares outstanding 23,002 23,002 20,043 20,397 15,990 16,189 Net (loss) income $ (69,403 ) $ (69,403 ) $ 7,753 $ 7,753 $ 52,823 $ 52,823 Net (loss) income per common share $ (3.02 ) $ (3.02 ) $ 0.39 $ 0.38 $ 3.30 $ 3.26 |
Investments in Agency MBS (Tabl
Investments in Agency MBS (Tables) - Agency MBS [member] | 12 Months Ended |
Dec. 31, 2015 | |
Investments In Available For Sale Securities and trading securities [Table Text Block] | The following table provides the fair value of the Company’s available-for-sale and trading investments in agency MBS as of the dates indicated: Fair Value as of December 31, December 31, Agency MBS classified as: Available-for-sale $ 26 $ 40 Trading 3,865,290 3,414,300 Total $ 3,865,316 $ 3,414,340 |
Additional Information Realized Gain Loss On Investments [Table Text Block] | The following table provides additional information about the gains and losses recognized as a component of “investment loss, net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in agency MBS classified as trading securities: Year Ended December 31, 2015 2014 2013 Net (losses) gains recognized in earnings for: Agency MBS still held at period end $ (49,198) $ 82,801 $ (96,376) Agency MBS sold during the period (15,140) 1,351 (25,787) Total $ (64,338) $ 84,152 $ (122,163) |
Investments in Private-Label 27
Investments in Private-Label MBS (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Weighted Average Underlying Loan Characteristics Private Label Mbs [Table Text Block] | The prime and Alt-A residential mortgage loans that serve as collateral to the underlying REMIC securitization trusts of the Company’s private-label MBS had the following weighted average characteristics, based on face value, as of the dates indicated: December 31, 2015 December 31, 2014 Original loan-to-value 66 % 68 % Original FICO score 723 722 Three-month voluntary prepayment rate 6 % 8 % Three-month default rate 5 % 4 % Three-month loss severities 32 % 41 % |
Unrealized Gain (Loss) on Investments [Table Text Block] | Gross unrealized gains and losses accumulated in other comprehensive income for the Company’s investments in available-for-sale private-label MBS were the following as of the dates indicated: December 31, 2015 Amortized Cost (1) Unrealized Fair Value Gains Losses Private-label MBS $ 111,935 $ 15,601 $ $ 127,536 (1) Amortized cost includes net discounts of $52,620 at December 31, 2015. December 31, 2014 Amortized Cost (1) Unrealized Fair Value Gains Losses Private-label MBS $ 219,904 $ 47,533 $ $ 267,437 (1) Amortized cost includes net discounts of $133,333 at December 31, 2014. |
Realized Gain (Loss) on Investments [Table Text Block] | The following table presents the results of sales of available-for-sale private-label MBS for the periods indicated: Year Ended December 31, 2015 2014 2013 Proceeds from sales $ 130,138 $ 86,318 $ 69,337 Gross realized gains 18,145 17,397 17,458 Gross realized losses 420 140 |
Private Label Mbs Available For Sale Accretable Yield [Table Text Block] | The following table presents the changes in the accretable yield solely for available-for-sale private-label MBS for the years ended December 31, 2015 and 2014: Year Ended December 31, 2015 2014 Beginning balance $ 202,108 $ 326,330 Accretion (15,218 ) (25,617 ) Reclassifications, net (6,202 ) (21,848 ) Acquisitions Sales (95,636 ) (76,757 ) Ending balance $ 85,052 $ 202,108 |
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 private-label MBS held as of the dates indicated: Year Ended December 31, 2015 2014 Cumulative credit related other-than-temporary impairments, beginning balance $ 18,903 $ 23,663 Additions for: Securities for which other-than-temporary impairments have not previously occurred 2,417 420 Securities with previously recognized other-than-temporary impairments Reductions for sold or matured securities (7,303 ) (5,180 ) Cumulative credit related other-than-temporary impairments, ending balance $ 14,017 $ 18,903 |
Private-Label MBS [Member] | |
Investments In Available For Sale Securities and trading securities [Table Text Block] | The following table provides the fair value of the Company’s available-for-sale and trading investments in private-label MBS as of the dates indicated: Fair Value as of December 31, 2015 December 31, 2014 Private-label MBS classified as: Available-for-sale $ 127,536 $ 267,437 Trading 2,899 Total $ 130,435 $ 267,437 |
Additional Information Realized Gain Loss On Investments [Table Text Block] | The following table provides additional information about the gains and losses recognized as a component of “investment loss, net” for the periods indicated with respect to investments in private-label MBS classified as trading securities: Year Ended December 31, 2015 2014 2013 Net losses recognized in earnings for: Private-label MBS still held at period end $ (2 ) $ $ Private-label MBS sold during the period Total $ (2 ) $ $ |
Borrowings (Tables)
Borrowings (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements [Table Text Block] | As of December 31, 2015 and 2014, the Company had no amount at risk with a single repurchase agreement counterparty or lender greater than 10% of equity. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings as of December 31, 2015 and December 31, 2014: December 31, 2015 December 31, 2014 Pledged with agency MBS: Repurchase agreements outstanding $ 2,797,561 $ 3,137,586 Agency MBS collateral, at fair value 2,946,684 3,300,383 Net amount (1) 149,123 162,797 Weighted-average rate 0.61 % 0.38 % Weighted-average term to maturity 12.8 days 14.0 days Pledged with private-label MBS: Repurchase agreements outstanding $ 37,219 $ 42,189 Private-label MBS collateral, at fair value 70,511 75,642 Net amount (1) 33,292 33,453 Weighted-average rate 2.42 % 1.98 % Weighted-average term to maturity 16.9 days 21.8 days Total MBS: Repurchase agreements outstanding $ 2,834,780 $ 3,179,775 MBS collateral, at fair value 3,017,195 3,376,025 Net amount (1) 182,415 196,250 Weighted-average rate 0.64 % 0.40 % Weighted-average term to maturity 12.8 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 years ended December 31, 2015 and 2014: December 31, 2015 December 31, 2014 Weighted-average outstanding balance $ 3,390,402 $ 2,438,479 Weighted-average rate 0.42 % 0.37 % |
Federal Home Loan Bank, Advances [Table Text Block] | The following table provides information regarding the Company’s outstanding FHLB advances as of December 31, 2015: December 31, 2015 Pledged with agency MBS: FHLB advances outstanding $ 786,900 Agency MBS collateral, at fair value 805,163 Net amount (1) 18,263 Weighted-average rate 0.36 % Weighted-average term to maturity 11.6 days (1) Net amount represents the value of collateral in excess of corresponding FHLB advance. The amount of collateral at-risk is limited to the outstanding FHLB advance and not the entire collateral balance. |
Schedule of Long-term Debt Instruments [Table Text Block] | As of December 31, 2015 and December 31, 2014, the Company had $75,300 and $40,000, respectively, of outstanding long-term debentures. The Company’s long-term debentures consisted of the following as of the dates indicated: December 31, 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+ 2.25 3.00 % 6.625 % LIBOR+ 2.25 3.00 % Interest Payment Frequency Quarterly Quarterly Quarterly Quarterly Quarterly Weighted-Average Interest Rate 6.75 % 6.625 % 3.07 % 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 Instruments (Tables)
Derivative Instruments (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments [Table Text Block] | December 31, 2015 December 31, 2014 Assets Liabilities Assets Liabilities Interest rate swaps $ 6,153 $ $ $ 10-year U.S. Treasury note futures 6,813 Eurodollar futures 751 (76,848) 10-year interest rate swap futures (47,460) Put options on Eurodollar futures 25 TBA commitments (553) 516 Total $ 12,991 $ (553) $ 1,267 $ (124,308) |
Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block] | For the years ended December 31, 2015 and 2014, the Company recorded net losses of $105,349 and $140,353, respectively, on its derivative instruments as a component of “investment gain (loss), net.” The following tables provide further information about the derivative gains and losses recognized within the periods indicated: For the Year Ended December 31, 2015 2014 Interest rate derivatives: Interest rate swaps accrual of periodic settlements, net (1) $ (1,282 ) $ Interest rate swaps unrealized gains, net 7,419 Eurodollar futures, net (60,090 ) (50,293 ) U.S. Treasury note futures, net 10,229 1,574 10-year interest rate swap futures and other, net (63,309 ) (97,412 ) Total interest rate derivative losses, net (107,033 ) (146,131 ) TBA commitments, net 1,684 5,778 Total derivative losses, net $ (105,349 ) $ (140,353 ) (1) Represents the periodic net interest settlement incurred during the period (often referred to as "net interest carry"). |
Derivative Instrument Volume Of Activity [Table Text Block] | For the Year Ended December 31, 2015 Beginning of Additions Scheduled Early End of Period Eurodollar futures $ 41,090,000 $ 11,841,000 $ (7,235,000) $ (45,696,000) $ 10-year interest rate swap futures 1,145,000 2,685,000 (3,130,000) (700,000) Interest rate swaps 1,500,000 1,500,000 2-year U.S. Treasury note futures 350,000 (350,000) 10-year U.S. Treasury note futures 3,020,000 (1,510,000) (175,000) 1,335,000 Put options on Eurodollar futures 6,000,000 (2,000,000) 4,000,000 Commitments to purchase (sell) MBS, net 200,000 2,782,544 (2,607,544) 375,000 For the Year Ended December 31, 2014 Beginning of Additions Scheduled Early End of Period Eurodollar futures $ 15,545,000 $ 25,585,000 $ (40,000) $ $ 41,090,000 10-year interest rate swap futures 666,500 2,635,000 (2,121,500) (35,000) 1,145,000 5-year U.S. Treasury note futures 100,000 (100,000) Commitments to purchase (sell) MBS, net 44,511 2,526,354 (2,370,865) 200,000 |
Derivative Instrument Cash Collateral [Table Text Block] | The following table presents information about the cash collateral posted by the Company in respect of its derivative instruments, which is included in the line item “deposits” in the accompanying consolidated balance sheets: For the Year Ended December 31, 2015 2014 Interest rate swaps $ 17,434 $ Eurodollar futures 96,147 U.S. Treasury note futures 11,197 10-year interest rate swap futures 64,280 TBA commitments 798 Total cash collateral posted $ 29,429 $ 160,427 |
Interest Rate Swap [Member] | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments [Table Text Block] | December 31, 2015 Notional Average Average Fair Value Years to maturity: Less than 2 years $ 750,000 1.04 % 1.9 $ 1,166 2 to 10 years 750,000 2.12 % 9.9 4,987 Total / weighted-average $ 1,500,000 1.58 % 5.9 $ 6,153 |
TBA Commitments [Member] | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments [Table Text Block] | The following tables present information about the Company’s TBA purchase and sale commitments as of the dates indicated: December 31, 2015 Notional Amount: Average Average Market Price Fair Value 30-year 3.5% coupon $ 275,000 $ 283,928 $ 283,469 $ (459 ) 30-year 4.0% coupon 100,000 105,883 105,789 (94 ) Total / weighted-average $ 375,000 $ 389,811 $ 389,258 $ (553 ) December 31, 2014 Notional Amount: Average Average Market Price Fair Value 30-year 4.0% coupon $ 200,000 $ 213,047 $ 213,563 $ 516 |
Offsetting of Financial Asset30
Offsetting of Financial Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Offsetting [Abstract] | |
Offsetting of Financial Assets and Liabilities [Table Text Block] | The following tables present information, as of the dates indicated, about the Company’s derivative instruments and short-term borrowing arrangements, including those subject to master netting (or similar) arrangements: As of December 31, 2015 Gross Amount Amount Offset Net Amount Gross Amount Not Offset in the Net Financial (1) Cash Collateral (2) Assets: Derivative instruments: Interest rate swaps $ 6,153 $ $ 6,153 $ $ $ 6,153 10-year U.S. Treasury note futures 6,813 6,813 6,813 Put options on Eurodollar futures 25 25 25 Total derivative instruments 12,991 12,991 12,991 Total assets $ 12,991 $ $ 12,991 $ $ $ 12,991 Liabilities: Derivative instruments: TBA commitments $ 553 $ $ 553 $ $ (387 ) $ 166 Total derivative instruments 553 553 (387 ) 166 Repurchase agreements 2,834,780 2,834,780 (2,834,780 ) Federal Home Loan Bank advances 786,900 786,900 (786,900 ) Total liabilities $ 3,622,233 $ $ 3,622,233 $ (3,621,680 ) $ (387 ) $ 166 As of December 31, 2014 Gross Amount Amount Offset Net Amount Gross Amount Not Offset in the Net Financial Instruments (1) Cash Collateral (2) Assets: Derivative instruments: Eurodollar futures $ 751 $ $ 751 $ (751 ) $ $ TBA commitments 516 516 516 Total derivative instruments 1,267 1,267 (751 ) 516 Total assets $ 1,267 $ $ 1,267 $ (751 ) $ $ 516 Liabilities: Derivative instruments: Eurodollar futures $ 76,848 $ $ 76,848 $ (751 ) $ (76,097 ) $ 10-year interest rate swap futures 47,460 47,460 (47,460 ) Total derivative instruments 124,308 124,308 (751 ) (123,557 ) Repurchase agreements 3,179,775 3,179,775 (3,179,775 ) Total liabilities $ 3,304,083 $ $ 3,304,083 $ (3,180,526 ) $ (123,557 ) $ (1) Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements or Federal Home Loan Bank advances that exceeds the associated liability presented in the consolidated balance sheets. (2) Does not include the amount of cash collateral pledged in respect of derivative instruments that exceeds the associated derivative liability presented in the consolidated balance sheets. |
Fair Value Measurements (Tables
Fair Value Measurements (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements, Recurring and Nonrecurring [Table Text Block] | The following tables set forth financial instruments measured at fair value by level within the fair value hierarchy as of December 31, 2015 and 2014. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. December 31, 2015 Total Level 1 Level 2 Level 3 MBS Trading: Agency MBS $ 3,865,290 $ $ 3,865,290 $ Private-label MBS 2,899 2,899 Total trading 3,868,189 3,865,290 2,899 Available-for-sale: Agency MBS 26 26 Private-label MBS 127,536 127,536 Total available-for-sale 127,562 26 127,536 Total MBS 3,995,751 3,865,316 130,435 Derivative assets 12,991 6,838 6,153 Derivative liabilities (553 ) (553 ) Interest-only MBS 118 118 Total $ 4,008,307 $ 6,838 $ 3,870,916 $ 130,553 December 31, 2014 Total Level 1 Level 2 Level 3 MBS Trading: Agency MBS $ 3,414,300 $ $ 3,414,300 $ Available-for-sale: Agency 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 1,267 751 516 Derivative liabilities (124,308 ) (124,308 ) Interest-only MBS 212 212 Total $ 3,558,948 $ (123,557 ) $ 3,414,856 $ 267,649 |
Fair Value Inputs, Assets, Quantitative Information [Table Text Block] | The following table provides information about the significant unobservable inputs used to measure the fair value of the Company’s private-label MBS as of the dates indicated: December 31, 2015 December 31, 2014 Weighted- average (1) Range Weighted- average (1) Range Discount rate 5.57 % 5.50 10.00 % 5.55 % 5.15 10.00 % Default rate 2.78 % 1.45 6.20 % 3.09 % 1.00 8.80 % Loss severity rate 45.84 % 35.00 65.00 % 42.25 % 29.23 57.50 % Prepayment rate 11.02 % 7.75 17.70 % 11.23 % 7.40 17.70 % (1) Based on face value. |
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Table Text Block] | The table below sets forth a summary of changes in the fair value and gains and losses of the Company’s Level 3 investments in private-label MBS that are measured at fair value on a recurring basis for the years ended December 31, 2015 and 2014. Year Ended December 31, 2015 2014 Beginning balance $ 267,437 $ 341,299 Total net gains (losses) Included in investment (loss) gain, net 15,725 17,243 Included in other comprehensive income (31,933 ) (15,091 ) Purchases 2,870 Sales (130,137 ) (86,318 ) Payments, net (8,849 ) (15,313 ) Accretion of discount 15,322 25,617 Ending balance $ 130,435 $ 267,437 Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date $ (2,420 ) $ (420 ) |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Income Tax Disclosure [Abstract] | |
Schedule of Deferred Tax Assets and Liabilities [Table Text Block] | 2015 2014 Net operating loss carry-forward $ 41,660 $ 60,467 Net unrealized losses on investments and derivatives 24,677 24,434 AMT credit 8,195 7,244 Stock-based compensation 2,004 1,515 Deferred net losses on designated derivatives 8,066 2,733 Other, net (34) 582 Capital loss carry-forward 93,625 52,860 Valuation allowance on capital loss carry-forward (80,663) (24,228) Deferred tax assets, net $ 97,530 $ 125,607 |
Schedule of Components of Income Tax Expense (Benefit) [Table Text Block] | 2015 2014 2013 Federal $ 32,613 $ 40,298 $ (22,918) State 5,948 7,349 (15,766) $ 38,561 $ 47,647 $ (38,684) Current $ 970 $ 796 $ (14,860) Deferred 37,591 46,851 (23,824) $ 38,561 $ 47,647 $ (38,684) |
Schedule of Effective Income Tax Rate Reconciliation [Table Text Block] | The provision (benefit) for income taxes results in effective tax rates that differ from the federal statutory rates. The reconciliation of the Company and its subsidiaries income tax attributable to net income computed at federal statutory rates the provision (benefit) for income taxes for the years ended December 31, 2015, 2014, and 2013 was as follows: 2015 2014 2013 Federal income tax at statutory rate $ (10,795) $ 19,390 $ 4,949 State income taxes, net of federal benefit (1,203) 2,161 849 Expiration of capital loss carry-forward 4,668 56,333 Reversal of unrecognized tax benefit related to uncertain tax position and related accrued interest and related AMT credits (11,028) Federal liability on state deferred tax assets 1,237 Losses on available-for sale MBS acquired prior to 2012 (3,987) (1,178) (2,441) Tax character adjustments (1,934) (1,656) Other, net 45 34 2,606 Valuation allowance 56,435 24,228 (91,189) Total income tax provision (benefit) $ 38,561 $ 47,647 $ (38,684) |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Contractual Obligation, Fiscal Year Maturity Schedule [Table Text Block] | The following table sets forth these contractual obligations by fiscal year: 2016 2017 2018 2019 2020 Thereafter Total Long-term debt maturities $ $ $ $ $ $ 75,300 $ 75,300 Minimum rental commitments 446 458 471 483 497 2,355 $ 446 $ 458 $ 471 $ 483 $ 497 $ 75,300 $ 77,655 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Equity [Abstract] | |
Equity Offerings [Table Text Block] | During the years ended December 31, 2014 and 2013, the Company completed public offerings as follows: Closing date of the offering March 13, 2013 March 28, 2014 September 8, 2014 Shares sold to public 3,000,000 2,750,000 2,750,000 Shares sold pursuant to the underwriter over-allotment 450,000 312,500 412,500 Total shares of Class A common stock 3,450,000 3,062,500 3,162,500 Public offering price per share $ 25.50 $ 27.40 $ 27.61 Net proceeds (1) $ 86,964 $ 81,669 $ 85,214 (1) Net of underwriting discounts and commissions and expenses. |
Schedule of Dividends Payable [Table Text Block] | The Board of Directors has approved and the Company has declared the following dividends in 2015: Quarter Ended Dividend Declaration Record Pay Date December 31 $ 0.625 December 17 December 31 January 29, 2016 September 30 0.625 September 17 September 30 October 30 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 Declaration Record 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 |
Long-Term Incentive Plan (Table
Long-Term Incentive Plan (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Disclosure of Compensation Related Costs, Share-based Payments [Abstract] | |
Share Based Compensation Performance Shares Grants Activity [Table Text Block] | The Compensation Committee of the Board of Directors of the Company approved the following PSU grants: December 31, 2015 2014 2013 Book Value PSUs granted 45,054 35,126 34,221 Book Value PSU grant date fair value per share $ 19.56 $ 27.26 $ 27.03 TSR PSUs granted 58,169 35,593 34,567 TSR PSU grant date fair value per share $ 15.15 $ 26.90 $ 26.76 |
Share Based Compensation Award Valuation Assumptions [Table Text Block] | The following assumptions, determined as of the date of grant, were used in the Monte Carlo simulation model to measure the grant date fair value per share of the Company’s TSR PSUs: TSR PSUs Granted in: 2015 2014 2013 Closing stock price on date of grant $ 19.56 $ 27.26 $ 27.03 Beginning average stock price on date of grant (1) $ 20.82 $ 27.68 $ 27.58 Expected volatility (2) 21.72 % 31.03 % 33.70 % Dividend yield (3) 0.00 % 0.00 % 0.00 % Risk-free rate (4) 1.08 % 0.90 % 0.65 % (1) Based upon the 30 trading days prior to and including the date of grant. (2) Based upon the most recent three-year volatility as of the date of grant. (3) Dividend equivalents are accrued during the performance period and deemed reinvested in additional stock units, which are to be paid out at the end of the performance period to the extent the underlying PSU is earned. Applying dividend yield assumption of 0.00% in the Monte Carlo simulation is mathematically equivalent to reinvesting dividends on a continuous basis and including the value of the dividends in the final payout. (4) Based upon the yield of a U.S. Treasury bond with a three-year maturity as of the date of grant. |
Schedule of Unvested Restricted Stock Units Roll Forward [Table Text Block] | The Company grants restricted common shares to employees that vest ratably over a three year period or cliff-vest after two to four years based on continued employment over these specified periods. A summary of these unvested restricted stock awards is presented below: Number of Weighted- Weighted- Share Balance as of December 31, 2012 34,835 $ 24.24 2.2 Granted 36,000 26.74 Forfeitures Vestitures (13,162) 24.65 Share Balance as of December 31, 2013 57,673 25.71 2.0 Granted 84,602 26.84 Forfeitures Vestitures (25,163) 25.64 Share Balance as of December 31, 2014 117,112 26.54 1.9 Granted 58,000 14.35 Forfeitures (6,668) 26.34 Vestitures (36,669) 25.63 Share Balance as of December 31, 2015 131,775 21.44 2.0 |
Share Based Compensation Restricted Stock Units Grants Activity [Table Text Block] | A summary of the RSUs grants is presented below: December 31, 2015 2014 2013 RSUs granted 25,506 15,521 15,616 Grant date fair value $ 20.78 $ 27.70 $ 27.53 |
Revisions to Previously Repor36
Revisions to Previously Reported Financial Statements (Tables) | 12 Months Ended |
Dec. 31, 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 periods indicated. As of or For the Year Ended December 31, 2014 As Previously Reported Adjustment As Revised Consolidated Balance Sheets: Deferred tax assets, net $ 122,365 $ 3,242 $ 125,607 Total assets 4,014,489 3,242 4,017,731 Accumulated other comprehensive income, net of taxes 42,793 (6,921 ) 35,872 Accumulated deficit (1,298,018 ) 10,163 (1,287,855 ) Total stockholders’ equity 642,032 3,242 645,274 Total liabilities and stockholders’ equity 4,014,489 3,242 4,017,731 Consolidated Statements of Comprehensive Income: Income tax provision $ 49,446 $ (1,799 ) $ 47,647 Net income 5,954 1,799 7,753 Comprehensive loss (4,443 ) 1,799 (2,644 ) Year Ended December 31, 2013 As Previously Reported Adjustment As Revised Consolidated Statements of Comprehensive Income: Income tax benefit $ (35,322 ) $ (3,362 ) $ (38,684 ) Net income 49,461 3,362 52,823 Other comprehensive income, net of taxes 14,184 (2,441 ) 11,743 Comprehensive income 63,645 921 64,566 Balances, December 31, 2012 As Previously Reported Adjustment As Revised Consolidated Statements of Changes in Equity: Accumulated other comprehensive income $ 39,006 $ (4,480 ) $ 34,526 Accumulated deficit (1,219,906 ) 5,002 (1,214,904 ) Total 457,293 522 457,815 |
Quarterly Data (Unaudited) (Tab
Quarterly Data (Unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Quarterly Financial Information Disclosure [Abstract] | |
Schedule of Quarterly Financial Information [Table Text Block] | The sum of quarterly earnings per share amounts may not equal full year earnings per share amounts due to differing average outstanding shares amounts for the respective periods. Fiscal Year 2015 Total Fourth Third Second First Interest income $ 154,593 $ 38,364 $ 40,575 $ 38,690 $ 36,964 Interest expense 18,889 5,421 5,165 4,575 3,728 Net interest income 135,704 32,943 35,410 34,115 33,236 Investment loss, net (152,379) (5,674) (69,298) (18,036) (59,371) Other expenses 14,167 3,783 3,245 3,831 3,308 (Loss) income before income taxes (30,842) 23,486 (37,133) 12,248 (29,443) Income tax provision 38,561 4,675 15,497 5,647 12,742 Net (loss) income $ (69,403) $ 18,811 $ (52,630) $ 6,601 $ (42,185) Basic (loss) earnings per share $ (3.02) $ 0.82 $ (2.29) $ 0.29 $ (1.84) Diluted (loss) earnings per share $ (3.02) $ 0.82 $ (2.29) $ 0.29 $ (1.84) Fiscal Year 2014 Total Fourth Third Second First Interest income $ 123,547 $ 36,316 $ 33,301 $ 30,063 $ 23,867 Interest expense 11,391 3,454 2,976 2,676 2,285 Net interest income 112,156 32,862 30,325 27,387 21,582 Investment (loss) gain, net (38,687) (33,697) (6,982) 7,906 (5,914) Other expenses 18,069 4,480 5,054 4,380 4,155 Income (loss) before income taxes 55,400 (5,315) 18,289 30,913 11,513 Income tax provision 47,647 25,651 5,442 12,074 4,480 Net income (loss) $ 7,753 $ (30,966) $ 12,847 $ 18,839 $ 7,033 Basic earnings (loss) per share $ 0.39 $ (1.35) $ 0.62 $ 0.95 $ 0.42 Diluted earnings (loss) per share $ 0.38 $ (1.35) $ 0.61 $ 0.94 $ 0.41 |
Summary of Significant Accoun38
Summary of Significant Accounting Policies (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Basic | |||||||||||
Weighted-average shares outstanding common stock (in shares) | 23,002 | 20,043 | 15,990 | ||||||||
Weighted-average shares outstanding performance share units and unvested restricted stock (in shares) | 0 | 0 | 0 | ||||||||
Weighted average common and common equivalent shares outstanding (in shares) | 23,002 | 20,043 | 15,990 | ||||||||
Net (loss) income | $ (69,403) | $ 7,753 | $ 52,823 | ||||||||
Net (loss) income per common share (in dollars per share) | $ 0.82 | $ (2.29) | $ 0.29 | $ (1.84) | $ (1.35) | $ 0.62 | $ 0.95 | $ 0.42 | $ (3.02) | $ 0.39 | $ 3.3 |
Diluted | |||||||||||
Weighted-average shares outstanding common stock (in shares) | 23,002 | 20,043 | 15,990 | ||||||||
Weighted-average shares outstanding performance share units and unvested restricted stock (in shares) | 0 | 354 | 199 | ||||||||
Weighted average common and common equivalent shares outstanding (in shares) | 23,002 | 20,397 | 16,189 | ||||||||
Net (loss) income | $ (69,403) | $ 7,753 | $ 52,823 | ||||||||
Net (loss) income per common share (in dollars per share) | $ 0.82 | $ (2.29) | $ 0.29 | $ (1.84) | $ (1.35) | $ 0.61 | $ 0.94 | $ 0.41 | $ (3.02) | $ 0.38 | $ 3.26 |
Summary of Significant Accoun39
Summary of Significant Accounting Policies (Details Textual) - shares | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Antidilutive Securities Excluded from Computation of Earnings Per Share [Line Items] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 86,372 | |
Cash Equivalents Percentage Held in Us Government Backed Securities | 98.00% | 99.00% |
Investments in Agency MBS (Deta
Investments in Agency MBS (Details) - Agency MBS [member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Agency MBS classified as: | ||
Mortgage Backed Securities Fair Value Disclosure | $ 3,865,316 | $ 3,414,340 |
Trading Securities [Member] | ||
Agency MBS classified as: | ||
Mortgage Backed Securities Fair Value Disclosure | 3,865,290 | 3,414,300 |
Available-for-sale Securities [Member] | ||
Agency MBS classified as: | ||
Mortgage Backed Securities Fair Value Disclosure | $ 26 | $ 40 |
Investments in Agency MBS (De41
Investments in Agency MBS (Details 1) - Agency MBS [member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Net (losses) gains recognized in earnings for: | |||
Agency MBS still held at period end | $ (49,198) | $ 82,801 | $ (96,376) |
Agency MBS sold during the period | (15,140) | 1,351 | (25,787) |
Total | $ (64,338) | $ 84,152 | $ (122,163) |
Investments in Private-Label 42
Investments in Private-Label MBS (Details) - Private-Label MBS [Member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Private-label MBS classified as: | ||
Mortgage Backed Securities Fair Value Disclosure | $ 130,435 | $ 267,437 |
Trading Securities [Member] | ||
Private-label MBS classified as: | ||
Mortgage Backed Securities Fair Value Disclosure | 2,899 | 0 |
Available-for-sale Securities [Member] | ||
Private-label MBS classified as: | ||
Mortgage Backed Securities Fair Value Disclosure | $ 127,536 | $ 267,437 |
Investments in Private-Label 43
Investments in Private-Label MBS (Details 1) - Scores | Dec. 31, 2015 | Dec. 31, 2014 |
Underlying Collateral Quantitative Disclosures [Line Items] | ||
Original loan-to-value | 66.00% | 68.00% |
Original FICO score | 723 | 722 |
Three-month voluntary prepayment rate | 6.00% | 8.00% |
Three-month default rate | 5.00% | 4.00% |
Three-month loss severities | 32.00% | 41.00% |
Investments in Private-Label 44
Investments in Private-Label MBS (Details 2) - Private-label MBS [Member] - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | |||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost Basis | $ 111,935 | [1] | $ 219,904 | [2] |
Unrealized Gains | 15,601 | 47,533 | ||
Unrealized Losses | 0 | 0 | ||
Fair Value | $ 127,536 | $ 267,437 | ||
[1] | Amortized cost includes net discounts of $52,620 at December 31, 2015. | |||
[2] | Amortized cost includes net discounts of $133,333 at December 31, 2014. |
Investments in Private-Label 45
Investments in Private-Label MBS (Details 3) - Private-Label MBS [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Proceeds from Sales of Mortgage Backed Securities [Line Items] | |||
Proceeds from sales | $ 130,138 | $ 86,318 | $ 69,337 |
Gross realized gains | 18,145 | 17,397 | 17,458 |
Gross realized losses | $ 420 | $ 140 | $ 0 |
Investments in Private-Label 46
Investments in Private-Label MBS (Details 4) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value, Assets Measured On Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Beginning balance | $ 202,108 | $ 326,330 |
Accretion | (15,218) | (25,617) |
Reclassifications, net | (6,202) | (21,848) |
Acquisitions | 0 | 0 |
Sales | (95,636) | (76,757) |
Ending balance | $ 85,052 | $ 202,108 |
Investments in Private-Label 47
Investments in Private-Label MBS (Details 5) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Cumulative credit related other-than-temporary impairment, beginning balance | $ 18,903 | $ 23,663 |
Additions for: | ||
Securities for which other-than-temporary impairments have not previously occurred | 2,417 | 420 |
Securities with previously recognized other-than-temporary impairments | 0 | 0 |
Reductions | ||
Reductions for sold or matured securities | (7,303) | (5,180) |
Cumulative credit related other-than-temporary impairment, ending balance | $ 14,017 | $ 18,903 |
Investments in Private-Label 48
Investments in Private-Label MBS (Details 6) - Private-Label MBS [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Net losses recognized in earnings for: | |||
Private-label MBS still held at period end | $ (2) | $ 0 | $ 0 |
Private-label MBS sold during the period | 0 | 0 | 0 |
Total | $ (2) | $ 0 | $ 0 |
Investments in Private-Label 49
Investments in Private-Label MBS (Details Textual) - Private-Label MBS [Member] - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Financial Instrument Unamortized Discount Premium Net | $ 52,620 | $ 133,333 |
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net, Available-for-sale Securities | $ 2,417 | $ 420 |
Borrowings (Details)
Borrowings (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | ||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 2,834,780 | $ 3,179,775 | |
MBS collateral, at fair value | 3,017,195 | 3,376,025 | |
Net amount | [1] | $ 182,415 | $ 196,250 |
Weighted-average rate | 0.64% | 0.40% | |
Weighted-average term to maturity (in days) | 12.8 days | 14.1 days | |
Weighted-average outstanding balance | $ 3,390,402 | $ 2,438,479 | |
Weighted-average rate | 0.42% | 0.37% | |
Pledged with agency-backed MBS [Member] | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 2,797,561 | $ 3,137,586 | |
MBS collateral, at fair value | 2,946,684 | 3,300,383 | |
Net amount | [1] | $ 149,123 | $ 162,797 |
Weighted-average rate | 0.61% | 0.38% | |
Weighted-average term to maturity (in days) | 12.8 days | 14.0 days | |
Pledged with private-label MBS [Member] | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 37,219 | $ 42,189 | |
MBS collateral, at fair value | 70,511 | 75,642 | |
Net amount | [1] | $ 33,292 | $ 33,453 |
Weighted-average rate | 2.42% | 1.98% | |
Weighted-average term to maturity (in days) | 16.9 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 | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | ||
Federal Home Loan Bank, Advances, Branch of FHLB Bank [Line Items] | |||
FHLB advances outstanding | $ 786,900 | $ 0 | |
Agency MBS collateral, at fair value | 805,163 | ||
Net amount | [1] | $ 18,263 | |
Weighted-average rate | 0.36% | ||
Weighted-average term to maturity | 11.6 days | ||
[1] | Net amount represents the value of collateral in excess of corresponding FHLB advance. The amount of collateral at-risk is limited to the outstanding FHLB advance and not the entire collateral balance. |
Borrowings (Details 2)
Borrowings (Details 2) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 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 | 3.07% | 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 | 12 Months Ended | ||
Mar. 18, 2015 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Debt Instrument [Line Items] | ||||
Long-term Debt | $ 75,300 | $ 40,000 | ||
Proceeds from Issuance of Long-term Debt | 34,063 | $ 0 | $ 24,038 | |
Federal Home Loan Bank Advances Capital Stock Acquired | $ 15,740 | |||
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, Interest Rate, Stated Percentage | 6.75% |
Derivative Instruments (Details
Derivative Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Derivative Assets | $ 12,991 | $ 1,267 |
Derivative Liabilities | (553) | (124,308) |
Interest Rate Swap [Member] | ||
Derivative Assets | 6,153 | 0 |
Derivative Liabilities | 0 | 0 |
10-year U.S. Treasury Note Futures [Member] | ||
Derivative Assets | 6,813 | 0 |
Derivative Liabilities | 0 | 0 |
Eurodollar futures [Member] | ||
Derivative Assets | 0 | 751 |
Derivative Liabilities | 0 | (76,848) |
10-year Interest Rate Swap Futures [Member] | ||
Derivative Assets | 0 | 0 |
Derivative Liabilities | 0 | (47,460) |
Put Options on Eurodollar Futures [Member] | ||
Derivative Assets | 25 | 0 |
Derivative Liabilities | 0 | 0 |
TBA Commitments [Member] | ||
Derivative Assets | 0 | 516 |
Derivative Liabilities | $ (553) | $ 0 |
Derivative Instruments (Detai55
Derivative Instruments (Details 1) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Fair Value | $ 12,991 | $ 1,267 | |
Interest Rate Swap [Member] | |||
Notional Amount | $ 0 | 1,145,000 | $ 666,500 |
Average Fixed Pay Rate | 1.58% | ||
Average Remaining Maturity (in years) | 5 years 10 months 24 days | ||
Fair Value | $ 6,153 | $ 0 | |
Interest Rate Swap [Member] | Less Than Two Year Maturity [Member] | |||
Notional Amount | $ 750,000 | ||
Average Fixed Pay Rate | 1.04% | ||
Average Remaining Maturity (in years) | 1 year 10 months 24 days | ||
Fair Value | $ 1,166 | ||
Interest Rate Swap [Member] | Two to Ten Year Maturity [Member] | |||
Notional Amount | $ 750,000 | ||
Average Fixed Pay Rate | 2.12% | ||
Average Remaining Maturity (in years) | 9 years 10 months 24 days | ||
Fair Value | $ 4,987 |
Derivative Instruments (Detai56
Derivative Instruments (Details 2) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Fair Value | $ (553) | $ (124,308) |
TBA Commitments [Member] | ||
Notional Amount: Net Purchase (Sale) Commitment | 375,000 | |
Average Contractual Forward Price | 389,811 | |
Average Market Price | 389,258 | |
Fair Value | (553) | 0 |
Thirty Years and Three Point Five Percent Coupon [Member] | TBA Commitments [Member] | ||
Notional Amount: Net Purchase (Sale) Commitment | 275,000 | |
Average Contractual Forward Price | 283,928 | |
Average Market Price | 283,469 | |
Fair Value | (459) | |
Thirty Years and Four Percent Coupon [Member] | TBA Commitments [Member] | ||
Notional Amount: Net Purchase (Sale) Commitment | 100,000 | 200,000 |
Average Contractual Forward Price | 105,883 | 213,047 |
Average Market Price | 105,789 | 213,563 |
Fair Value | $ (94) | $ 516 |
Derivative Instruments (Detai57
Derivative Instruments (Details 3) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Interest rate derivatives | $ (107,033) | $ (146,131) | ||
Total derivative losses | (105,349) | (140,353) | $ 58,003 | |
Interest Rate Swaps Accrual of Periodic Settlements [Member] | ||||
Interest rate derivatives | [1] | (1,282) | 0 | |
Interest Rate Swaps Unrealized Gains [Member] | ||||
Interest rate derivatives | 7,419 | 0 | ||
Eurodollar Futures [Member] | ||||
Interest rate derivatives | (60,090) | (50,293) | ||
10-year U.S. Treasury Note Futures [Member] | ||||
Interest rate derivatives | 10,229 | 1,574 | ||
10-year Interest Rate Swap Futures [Member] | ||||
Interest rate derivatives | (63,309) | (97,412) | ||
TBA Commitments [Member] | ||||
Total derivative losses | $ 1,684 | $ 5,778 | ||
[1] | Represents the periodic net interest settlement incurred during the period (often referred to as "net interest carry"). |
Derivative Instruments (Detai58
Derivative Instruments (Details 4) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Eurodollar Future [Member] | ||
Derivative [Line Items] | ||
Beginning of Period | $ 41,090,000 | $ 15,545,000 |
Additions | 11,841,000 | 25,585,000 |
Scheduled Settlements | (7,235,000) | (40,000) |
Early Terminations | (45,696,000) | 0 |
End of Period | 0 | 41,090,000 |
10-year interest rate swap futures [Member] | ||
Derivative [Line Items] | ||
Beginning of Period | 1,145,000 | 666,500 |
Additions | 2,685,000 | 2,635,000 |
Scheduled Settlements | (3,130,000) | (2,121,500) |
Early Terminations | (700,000) | (35,000) |
End of Period | 0 | 1,145,000 |
Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Beginning of Period | 0 | |
Additions | 1,500,000 | |
Scheduled Settlements | 0 | |
Early Terminations | 0 | |
End of Period | 1,500,000 | 0 |
2-year U.S. Treasury Note Futures [Member] | ||
Derivative [Line Items] | ||
Beginning of Period | 0 | |
Additions | 350,000 | |
Scheduled Settlements | (350,000) | |
Early Terminations | 0 | |
End of Period | 0 | 0 |
10-year U.S. Treasury note futures [Member] | ||
Derivative [Line Items] | ||
Beginning of Period | 0 | |
Additions | 3,020,000 | |
Scheduled Settlements | (1,510,000) | |
Early Terminations | (175,000) | |
End of Period | 1,335,000 | 0 |
Put Options on Eurodollar Futures [Member] | ||
Derivative [Line Items] | ||
Beginning of Period | 0 | |
Additions | 6,000,000 | |
Scheduled Settlements | (2,000,000) | |
Early Terminations | 0 | |
End of Period | 4,000,000 | 0 |
5-year U.S. Treasury note futures [Member] | ||
Derivative [Line Items] | ||
Beginning of Period | 0 | 100,000 |
Additions | 0 | |
Scheduled Settlements | (100,000) | |
Early Terminations | 0 | |
End of Period | 0 | |
Commitments To Purchase (sell) MBS [Member] | ||
Derivative [Line Items] | ||
Beginning of Period | 200,000 | 44,511 |
Additions | 2,782,544 | 2,526,354 |
Scheduled Settlements | (2,607,544) | (2,370,865) |
Early Terminations | 0 | 0 |
End of Period | $ 375,000 | $ 200,000 |
Derivative Instruments (Detai59
Derivative Instruments (Details 5) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Deposits | $ 29,429 | $ 160,427 |
US Treasury Notes Securities [Member] | ||
Deposits | 11,197 | 0 |
Interest Rate Swap [Member] | ||
Deposits | 17,434 | 0 |
Eurodollar Future [Member] | ||
Deposits | 0 | 96,147 |
10-year Interest Rate Swap Futures [Member] | ||
Deposits | 0 | 64,280 |
TBA Commitments [Member] | ||
Deposits | $ 798 | $ 0 |
Derivative Instruments (Detai60
Derivative Instruments (Details Textual) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Derivative [Line Items] | |||
Gain (Loss) on Derivative Instruments, Net, Pretax | $ (105,349) | $ (140,353) | $ 58,003 |
10-year U.S. Treasury note futures [Member] | |||
Derivative [Line Items] | |||
Notional Amount | $ 1,335,000 |
Offsetting of Financial Asset61
Offsetting of Financial Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | |
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | $ 12,991 | $ 1,267 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 12,991 | 1,267 | |
Derivative Asset, Financial Instruments | [1] | 0 | (751) |
Derivative Asset, Cash Collateral | [2] | 0 | 0 |
Derivative Asset, Net amount Total | 12,991 | 516 | |
Derivative instruments: | |||
Derivative Liablities, Gross Amount Recognized | 553 | 124,308 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liablities, Net Amount | 553 | 124,308 | |
Derivative Liablities, Financial Instruments | [1] | 0 | (751) |
Derivative Liabilities, Cash Collateral | [2] | (387) | (123,557) |
Derivative Liabilities, Net amount Total | 166 | 0 | |
Federal Home Loan Bank Advances [Member] | |||
Derivative instruments: | |||
Derivative Liablities, Gross Amount Recognized | 786,900 | ||
Derivative Liabilities, Amount Offset | 0 | ||
Derivative Liablities, Net Amount | 786,900 | ||
Derivative Liablities, Financial Instruments | [1] | (786,900) | |
Derivative Liabilities, Cash Collateral | [2] | 0 | |
Derivative Liabilities, Net amount Total | 0 | ||
Derivative Financial Instruments, Liabilities [Member] | |||
Derivative instruments: | |||
Derivative Liablities, Gross Amount Recognized | 3,622,233 | 3,304,083 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liablities, Net Amount | 3,622,233 | 3,304,083 | |
Derivative Liablities, Financial Instruments | [1] | (3,621,680) | (3,180,526) |
Derivative Liabilities, Cash Collateral | [2] | (387) | (123,557) |
Derivative Liabilities, Net amount Total | 166 | 0 | |
10-year U.S. Treasury note futures [Member] | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 6,813 | ||
Derivative Asset, Amount Offset | 0 | ||
Derivative Asset, Net Amount | 6,813 | ||
Derivative Asset, Financial Instruments | [1] | 0 | |
Derivative Asset, Cash Collateral | [2] | 0 | |
Derivative Asset, Net amount Total | 6,813 | ||
Repurchase Agreements [Member] | |||
Derivative instruments: | |||
Derivative Liablities, Gross Amount Recognized | 2,834,780 | 3,179,775 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liablities, Net Amount | 2,834,780 | 3,179,775 | |
Derivative Liablities, Financial Instruments | [1] | (2,834,780) | (3,179,775) |
Derivative Liabilities, Cash Collateral | [2] | 0 | 0 |
Derivative Liabilities, Net amount Total | 0 | 0 | |
Derivative Financial Instruments, Assets [Member] | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 12,991 | 1,267 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 12,991 | 1,267 | |
Derivative Asset, Financial Instruments | [1] | 0 | (751) |
Derivative Asset, Cash Collateral | [2] | 0 | 0 |
Derivative Asset, Net amount Total | 12,991 | 516 | |
Eurodollar Future [Member] | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 751 | ||
Derivative Asset, Amount Offset | 0 | ||
Derivative Asset, Net Amount | 0 | 751 | |
Derivative Asset, Financial Instruments | [1] | (751) | |
Derivative Asset, Cash Collateral | [2] | 0 | |
Derivative Asset, Net amount Total | 0 | ||
Derivative instruments: | |||
Derivative Liablities, Gross Amount Recognized | 76,848 | ||
Derivative Liabilities, Amount Offset | 0 | ||
Derivative Liablities, Net Amount | 0 | 76,848 | |
Derivative Liablities, Financial Instruments | [1] | (751) | |
Derivative Liabilities, Cash Collateral | [2] | (76,097) | |
Derivative Liabilities, Net amount Total | 0 | ||
Eurodollar Future [Member] | Put Option [Member] | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 25 | ||
Derivative Asset, Amount Offset | 0 | ||
Derivative Asset, Net Amount | 25 | ||
Derivative Asset, Financial Instruments | [1] | 0 | |
Derivative Asset, Cash Collateral | [2] | 0 | |
Derivative Asset, Net amount Total | 25 | ||
10-year interest rate swap futures [Member] | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 6,153 | ||
Derivative Asset, Amount Offset | 0 | ||
Derivative Asset, Net Amount | 0 | 0 | |
Derivative Asset, Financial Instruments | [1] | 0 | |
Derivative Asset, Cash Collateral | [2] | 0 | |
Derivative Asset, Net amount Total | 6,153 | ||
Derivative instruments: | |||
Derivative Liablities, Gross Amount Recognized | 47,460 | ||
Derivative Liabilities, Amount Offset | 0 | ||
Derivative Liablities, Net Amount | 0 | 47,460 | |
Derivative Liablities, Financial Instruments | [1] | 0 | |
Derivative Liabilities, Cash Collateral | [2] | (47,460) | |
Derivative Liabilities, Net amount Total | 0 | ||
TBA Commitments [Member] | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 516 | ||
Derivative Asset, Amount Offset | 0 | ||
Derivative Asset, Net Amount | 0 | 516 | |
Derivative Asset, Financial Instruments | [1] | 0 | |
Derivative Asset, Cash Collateral | [2] | 0 | |
Derivative Asset, Net amount Total | 516 | ||
Derivative instruments: | |||
Derivative Liablities, Gross Amount Recognized | 553 | ||
Derivative Liabilities, Amount Offset | 0 | ||
Derivative Liablities, Net Amount | 553 | $ 0 | |
Derivative Liablities, Financial Instruments | [1] | 0 | |
Derivative Liabilities, Cash Collateral | [2] | (387) | |
Derivative Liabilities, Net amount Total | $ 166 | ||
[1] | Does not include the fair value amount of financial instrument collateral pledged in respect of repurchase agreements or Federal Home Loan Bank advances that exceeds the associated liability presented in the consolidated balance sheets. | ||
[2] | Does not include the amount of cash collateral pledged in respect of derivative instruments that exceeds the associated derivative liability presented in the consolidated balance sheets. |
Fair Value Measurements (Detail
Fair Value Measurements (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
MBS, at fair value | ||
Trading, Agency MBS | $ 3,865,290 | $ 3,414,300 |
Trading, Private-label MBS | 2,899 | |
Total trading | 3,868,189 | |
Available-for-sale | ||
Agency MBS | 26 | 40 |
Private-label MBS | 127,536 | 267,437 |
Total available-for-sale | 127,562 | 267,477 |
Total MBS | 3,995,751 | 3,681,777 |
Derivative assets, at fair value | 12,991 | 1,267 |
Derivative liabilities, at fair value | (553) | (124,308) |
Interest-only MBS, at fair value | 118 | 212 |
Total | 4,008,307 | 3,558,948 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||
MBS, at fair value | ||
Trading, Agency MBS | 0 | 0 |
Trading, Private-label MBS | 0 | |
Total trading | 0 | |
Available-for-sale | ||
Agency MBS | 0 | 0 |
Private-label MBS | 0 | 0 |
Total available-for-sale | 0 | 0 |
Total MBS | 0 | 0 |
Derivative assets, at fair value | 6,838 | 751 |
Derivative liabilities, at fair value | 0 | (124,308) |
Interest-only MBS, at fair value | 0 | 0 |
Total | 6,838 | (123,557) |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||
MBS, at fair value | ||
Trading, Agency MBS | 3,865,290 | 3,414,300 |
Trading, Private-label MBS | 0 | |
Total trading | 3,865,290 | |
Available-for-sale | ||
Agency MBS | 26 | 40 |
Private-label MBS | 0 | 0 |
Total available-for-sale | 26 | 40 |
Total MBS | 3,865,316 | 3,414,340 |
Derivative assets, at fair value | 6,153 | 516 |
Derivative liabilities, at fair value | (553) | 0 |
Interest-only MBS, at fair value | 0 | 0 |
Total | 3,870,916 | 3,414,856 |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||
MBS, at fair value | ||
Trading, Agency MBS | 0 | 0 |
Trading, Private-label MBS | 2,899 | |
Total trading | 2,899 | |
Available-for-sale | ||
Agency MBS | 0 | 0 |
Private-label MBS | 127,536 | 267,437 |
Total available-for-sale | 127,536 | 267,437 |
Total MBS | 130,435 | 267,437 |
Derivative assets, at fair value | 0 | 0 |
Derivative liabilities, at fair value | 0 | 0 |
Interest-only MBS, at fair value | 118 | 212 |
Total | $ 130,553 | $ 267,649 |
Fair Value Measurements (Deta63
Fair Value Measurements (Details 1) - Private label MBS [Member] | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | |||
Discount rate | [1] | 5.57% | 5.55% |
Default rate | [1] | 2.78% | 3.09% |
Loss severity rate | [1] | 45.84% | 42.25% |
Prepayment rate | [1] | 11.02% | 11.23% |
Minimum [Member] | |||
Fair Value Inputs Assets Quantitative Information [Line Items] | |||
Discount rate | 5.50% | 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 | 6.20% | 8.80% | |
Loss severity rate | 65.00% | 57.50% | |
Prepayment rate | 17.70% | 17.70% | |
[1] | Based on face value. |
Fair Value Measurements (Deta64
Fair Value Measurements (Details 2) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | ||
Beginning balance | $ 267,437 | $ 341,299 |
Total net gains (losses) | ||
Included in investment (loss) gain, net | 15,725 | 17,243 |
Included in other comprehensive income | (31,933) | (15,091) |
Purchases | 2,870 | 0 |
Sales | (130,137) | (86,318) |
Payments, net | (8,849) | (15,313) |
Accretion of discount | 15,322 | 25,617 |
Ending balance | 130,435 | 267,437 |
Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date | $ (2,420) | $ (420) |
Fair Value Measurements (Deta65
Fair Value Measurements (Details Textual) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Long-term Debt, Fair Value | $ 59,130 | $ 39,200 |
Long-term Debt, Total | 75,300 | 40,000 |
Federal Home Loan Bank Advances Capital Stock Acquired | 15,740 | |
Interest In Non Public Equity Securities And Investment Funds | 1,558 | 1,625 |
Investments, Fair Value Disclosure, Total | $ 5,989 | $ 4,368 |
Income Taxes (Details)
Income Taxes (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Income Tax Disclosure [Line Items] | ||
Net operating loss carry-forward | $ 41,660 | $ 60,467 |
Net unrealized losses on investments and derivatives | 24,677 | 24,434 |
AMT credit | 8,195 | 7,244 |
Stock-based compensation | 2,004 | 1,515 |
Deferred net losses on designated derivatives | 8,066 | 2,733 |
Other, net | (34) | 582 |
Capital loss carry-forward | 93,625 | 52,860 |
Valuation allowance on capital loss carry-forward | (80,663) | (24,228) |
Deferred tax assets, net | $ 97,530 | $ 125,607 |
Income Taxes (Details 1)
Income Taxes (Details 1) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Income Tax Disclosure [Line Items] | |||||||||||
Federal | $ 32,613 | $ 40,298 | $ (22,918) | ||||||||
State | 5,948 | 7,349 | (15,766) | ||||||||
Income tax (benefit) provision for federal and state | $ 4,675 | $ 15,497 | $ 5,647 | $ 12,742 | $ 25,651 | $ 5,442 | $ 12,074 | $ 4,480 | 38,561 | 47,647 | (38,684) |
Income Tax Expense (Benefit), Continuing Operations [Abstract] | |||||||||||
Current | 970 | 796 | (14,860) | ||||||||
Deferred | 37,591 | 46,851 | (23,824) | ||||||||
Income tax (benefit) provision for current and deferred | $ 4,675 | $ 15,497 | $ 5,647 | $ 12,742 | $ 25,651 | $ 5,442 | $ 12,074 | $ 4,480 | $ 38,561 | $ 47,647 | $ (38,684) |
Income Taxes (Details 2)
Income Taxes (Details 2) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Income Tax Disclosure [Line Items] | |||||||||||
Federal income tax at statutory rate | $ (10,795) | $ 19,390 | $ 4,949 | ||||||||
State income taxes, net of federal benefit | (1,203) | 2,161 | 849 | ||||||||
Expiration of capital loss carry-forward | 0 | 4,668 | 56,333 | ||||||||
Reversal of unrecognized tax benefit related to uncertain tax position and related accrued interest, and related AMT credits | 0 | 0 | (11,028) | ||||||||
Federal liability on state deferred tax assets | 0 | 0 | 1,237 | ||||||||
Losses on available-for sale MBS acquired prior to 2012 | (3,987) | (1,178) | (2,441) | ||||||||
Tax character adjustments | (1,934) | (1,656) | 0 | ||||||||
Other, net | 45 | 34 | 2,606 | ||||||||
Valuation allowance | 56,435 | 24,228 | (91,189) | ||||||||
Total income tax provision (benefit) | $ 4,675 | $ 15,497 | $ 5,647 | $ 12,742 | $ 25,651 | $ 5,442 | $ 12,074 | $ 4,480 | $ 38,561 | $ 47,647 | $ (38,684) |
Income Taxes (Details Textual)
Income Taxes (Details Textual) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2020 | Dec. 31, 2019 | |
Income Tax Disclosure [Line Items] | |||||
Capital Loss Carryforward Expiration | $ 107,090 | ||||
Operating Loss Carryforwards Expiration Period | 2,027 | ||||
Taxable Capital Gains | $ 68,041 | ||||
Effective Income Tax Rate Reconciliation, Change in Deferred Tax Assets Valuation Allowance, Amount | 56,435 | $ 24,228 | $ (91,189) | ||
Private Label Mortgage Backed Securities Contributed | 367,642 | ||||
Unrecognized Tax Benefits, Income Tax Penalties and Interest Accrued | 3,402 | ||||
Reversed Deferred Taxes Associated With Accrued Interest And Alternative Minimum Tax Credits | $ 5,184 | ||||
Tax Year 2009 [Member] | |||||
Income Tax Disclosure [Line Items] | |||||
Unrecognized Tax Benefits, Ending Balance | 12,810 | ||||
Scenario, Forecast [Member] | |||||
Income Tax Disclosure [Line Items] | |||||
Capital Loss Carryforward Expiration | $ 103,841 | $ 136,840 | |||
Capital Loss Carryforward [Member] | |||||
Income Tax Disclosure [Line Items] | |||||
Tax Credit Carryforward, Amount | $ 240,681 |
Commitments and Contingencies70
Commitments and Contingencies (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Long-term debt maturities | ||
2,016 | $ 0 | |
2,017 | 0 | |
2,018 | 0 | |
2,019 | 0 | |
2,020 | 0 | |
Thereafter | 75,300 | |
Total | 75,300 | $ 40,000 |
Minimum rental commitments | ||
2,016 | 446 | |
2,017 | 458 | |
2,018 | 471 | |
2,019 | 483 | |
2,020 | 497 | |
Thereafter | 0 | |
Total | 2,355 | |
Contractual Obligations | ||
2,016 | 446 | |
2,017 | 458 | |
2,018 | 471 | |
2,019 | 483 | |
2,020 | 497 | |
Thereafter | 75,300 | |
Total | $ 77,655 |
Shareholders' Equity (Details)
Shareholders' Equity (Details) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2014 | Dec. 31, 2013 | ||
Equity Offerings [Line Items] | |||
Closing date of the offering | Mar. 13, 2013 | ||
Shares sold to public (in shares) | 3,000,000 | ||
Shares sold pursuant to the underwriter over-allotment (in shares) | 450,000 | ||
Total shares of Class A common stock | 3,450,000 | ||
Public offering price per share (in dollars per share) | $ 25.50 | ||
Net proceeds | [1] | $ 86,964 | |
Public offering one [Member] | |||
Equity Offerings [Line Items] | |||
Closing date of the offering | Mar. 28, 2014 | ||
Shares sold to public (in shares) | 2,750,000 | ||
Shares sold pursuant to the underwriter over-allotment (in shares) | 312,500 | ||
Total shares of Class A common stock | 3,062,500 | ||
Public offering price per share (in dollars per share) | $ 27.40 | ||
Net proceeds | [1] | $ 81,669 | |
Public offering two [Member] | |||
Equity Offerings [Line Items] | |||
Closing date of the offering | Sep. 8, 2014 | ||
Shares sold to public (in shares) | 2,750,000 | ||
Shares sold pursuant to the underwriter over-allotment (in shares) | 412,500 | ||
Total shares of Class A common stock | 3,162,500 | ||
Public offering price per share (in dollars per share) | $ 27.61 | ||
Net proceeds | [1] | $ 85,214 | |
[1] | Net of underwriting discounts and commissions and expenses. |
Shareholders' Equity (Details 1
Shareholders' Equity (Details 1) - $ / shares | 3 Months Ended | |||||||
Dec. 31, 2015 | Sep. 30, 2015 | 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) | $ 0.625 | $ 0.625 | $ 0.875 | $ 0.875 | $ 0.875 | $ 0.875 | $ 0.875 | $ 0.875 |
Declaration Date | Dec. 17, 2015 | Sep. 17, 2015 | Jun. 17, 2015 | Mar. 10, 2015 | Dec. 18, 2014 | Sep. 17, 2014 | Jun. 11, 2014 | Mar. 13, 2014 |
Record Date | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 29, 2014 | Jun. 30, 2014 | Mar. 31, 2014 |
Pay Date | Jan. 29, 2016 | Oct. 30, 2015 | Jul. 31, 2015 | Apr. 30, 2015 | Jan. 30, 2015 | Oct. 31, 2014 | Jul. 31, 2014 | Apr. 30, 2014 |
Shareholders' Equity (Details T
Shareholders' Equity (Details Textual) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015USD ($)$ / sharesshares | Dec. 31, 2014$ / sharesshares | Oct. 31, 2015shares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Preferred Stock, Shares Authorized (In Shares) | 25,000,000 | 25,000,000 | |
Stock Repurchased During Period, Value | $ | $ 593 | ||
Common Class A [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Common Stock, Shares Authorized (In Shares) | 450,000,000 | 450,000,000 | |
Common Stock, Par or Stated Value Per Share | $ / shares | $ 0.01 | $ 0.01 | |
Stock Repurchase Program, Number of Shares Authorized to be Repurchased | 205,485 | 2,000,000 | |
Common Stock Voting Rights Per Share Owned | 1 | ||
Stock Repurchased During Period Average Price Per Share | $ / shares | $ 12.15 | ||
Stock Repurchase Program, Remaining Number of Shares Authorized to be Repurchased | 1,951,305 | ||
Common Class A [Member] | Common Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Conversion of Stock, Shares Converted | 3,653 | 448,186 | |
Stock Repurchased During Period, Shares | 48,695 | ||
Stock Repurchased During Period, Value | $ | $ 0 | ||
Common Class B [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Common Stock, Shares Authorized (In Shares) | 100,000,000 | 100,000,000 | |
Common Stock, Par or Stated Value Per Share | $ / shares | $ 0.01 | $ 0.01 | |
Common Stock Voting Rights Per Share Owned | 3 | ||
Common Class B [Member] | Common Stock [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Conversion of Stock, Shares Converted | 3,653 | 448,186 | |
Stock Repurchased During Period, Shares | 0 | ||
Stock Repurchased During Period, Value | $ | $ 0 |
Long-Term Incentive Plan (Detai
Long-Term Incentive Plan (Details) - $ / shares | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Shares granted (in shares) | 58,000 | 84,602 | 36,000 |
Grant date fair value per share | $ 14.35 | $ 26.84 | $ 26.74 |
Book Value PSUs [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Shares granted (in shares) | 45,054 | 35,126 | 34,221 |
Grant date fair value per share | $ 19.56 | $ 27.26 | $ 27.03 |
TSR PSUs [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Shares granted (in shares) | 58,169 | 35,593 | 34,567 |
Grant date fair value per share | $ 15.15 | $ 26.90 | $ 26.76 |
Long-Term Incentive Plan (Det75
Long-Term Incentive Plan (Details 1) - TSR PSUs [Member] - $ / shares | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Closing stock price on date of grant | $ 19.56 | $ 27.26 | $ 27.03 | |
Beginning average stock price on date of grant | [1] | $ 20.82 | $ 27.68 | $ 27.58 |
Expected volatility | [2] | 21.72% | 31.03% | 33.70% |
Dividend yield | [3] | 0.00% | 0.00% | 0.00% |
Risk-free rate | [4] | 1.08% | 0.90% | 0.65% |
[1] | Based upon the 30 trading days prior to and including the date of grant. | |||
[2] | Based upon the most recent three-year volatility as of the date of grant. | |||
[3] | Dividend equivalents are accrued during the performance period and deemed reinvested in additional stock units, which are to be paid out at the end of the performance period to the extent the underlying PSU is earned. Applying dividend yield assumption of 0.00% in the Monte Carlo simulation is mathematically equivalent to reinvesting dividends on a continuous basis and including the value of the dividends in the final payout. | |||
[4] | Based upon the yield of a U.S. Treasury bond with a three-year maturity as of the date of grant. |
Long-Term Incentive Plan (Det76
Long-Term Incentive Plan (Details 2) - $ / shares | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Number of Shares | ||||
Share Balance (in shares) | 117,112 | 57,673 | 34,835 | |
Shares granted (in shares) | 58,000 | 84,602 | 36,000 | |
Forfeitures (in shares) | (6,668) | 0 | 0 | |
Vestitures (in shares) | (36,669) | (25,163) | (13,162) | |
Share Balance (in shares) | 131,775 | 117,112 | 57,673 | 34,835 |
Weighted-average Grant-date Fair Value | ||||
Balance (in dollars per share) | $ 26.54 | $ 25.71 | $ 24.24 | |
Granted (in dollars per share) | 14.35 | 26.84 | 26.74 | |
Forfeitures (in dollars per share) | 26.34 | 0 | 0 | |
Vestitures (in dollars per share) | 25.63 | 25.64 | 24.65 | |
Balance (in dollars per share) | $ 21.44 | $ 26.54 | $ 25.71 | $ 24.24 |
Weighted-average remaining vested period (in years) | 2 years | 1 year 10 months 24 days | 2 years | 2 years 2 months 12 days |
Long-Term Incentive Plan (Det77
Long-Term Incentive Plan (Details 3) - $ / shares | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
RSUs granted | 58,000 | 84,602 | 36,000 |
Grant date fair value per share | $ 14.35 | $ 26.84 | $ 26.74 |
Restricted Stock Units (RSUs) [Member] | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
RSUs granted | 25,506 | 15,521 | 15,616 |
Grant date fair value per share | $ 20.78 | $ 27.70 | $ 27.53 |
Long-Term Incentive Plan (Det78
Long-Term Incentive Plan (Details Textual) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Apr. 07, 2014 | Dec. 31, 2012 | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number, Beginning Balance | 131,775 | 117,112 | 57,673 | 34,835 | ||
Long Term Incentive Plan 2014 [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Maximum Number of Shares Per Employee | 300,000 | |||||
Long Term Incentive Plan 2014 [Member] | Stock Options and SARs [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Maximum Number of Shares Per Employee | 300,000 | |||||
ShareBased Compensation Arrangement By Share Based Payment Award Maximum Value Of Awards To Single Participant Not Settled In Shares | $ 10,000 | |||||
Long Term Incentive Plan 2014 [Member] | Common Class A [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Authorized | 2,000,000 | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant | 1,953,980 | |||||
Long Term Incentive Plan 2011 [Member] | Common Class A [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant | 269,283 | |||||
Restricted Stock Units (RSUs) [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Allocated Share-based Compensation Expense | $ 1,207 | $ 927 | $ 632 | |||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized, Total | $ 1,631 | 2,181 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Remaining Contractual Term | 2 years | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Aggregate Intrinsic Value, Vested | $ 646 | $ 681 | 329 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number, Beginning Balance | 9,155 | 9,155 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Number, Ending Balance | 148,417 | |||||
Allocated Share Based Compensation Expense For Director Fees | $ 496 | $ 430 | 430 | |||
Performance Stock Units [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Allocated Share-based Compensation Expense | (560) | 2,457 | $ 1,485 | |||
Allocated Share Based Compensation Expense Including Reversal | 1,474 | |||||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized, Total | $ 2,697 | 4,435 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Remaining Contractual Term | 2 years 2 months 12 days | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Aggregate Intrinsic Value, Vested | $ 716 | $ 2,447 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Fair Value Assumptions, Expected Dividend Rate | [1] | 0.00% | 0.00% | 0.00% | ||
Performance Stock Units [Member] | US Treasury Securities [Member] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Fair Value Assumptions, Expected Term | 3 years | |||||
[1] | Dividend equivalents are accrued during the performance period and deemed reinvested in additional stock units, which are to be paid out at the end of the performance period to the extent the underlying PSU is earned. Applying dividend yield assumption of 0.00% in the Monte Carlo simulation is mathematically equivalent to reinvesting dividends on a continuous basis and including the value of the dividends in the final payout. |
Revisions to Previously Repor79
Revisions to Previously Reported Financial Statements (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Consolidated Balance Sheets | ||||||||||||
Deferred tax assets, net | $ 97,530 | $ 125,607 | $ 97,530 | $ 125,607 | ||||||||
Total assets | 4,204,806 | 4,017,731 | 4,204,806 | 4,017,731 | ||||||||
Accumulated other comprehensive income, net of taxes | 12,371 | 35,872 | 12,371 | 35,872 | $ 34,526 | |||||||
Accumulated deficit | (1,426,655) | (1,287,855) | (1,426,655) | (1,287,855) | (1,214,904) | |||||||
Total stockholders’ equity | 484,031 | 645,274 | 484,031 | 645,274 | $ 553,271 | 457,815 | ||||||
Total liabilities and stockholders’ equity | 4,204,806 | 4,017,731 | 4,204,806 | 4,017,731 | ||||||||
Consolidated Statements of Comprehensive Income | ||||||||||||
Income tax provision (benefit) | 4,675 | $ 15,497 | $ 5,647 | $ 12,742 | 25,651 | $ 5,442 | $ 12,074 | $ 4,480 | 38,561 | 47,647 | (38,684) | |
Net income | $ 18,811 | $ (52,630) | $ 6,601 | $ (42,185) | (30,966) | $ 12,847 | $ 18,839 | $ 7,033 | (69,403) | 7,753 | 52,823 | |
Other comprehensive income, net of taxes | 11,743 | |||||||||||
Comprehensive income (loss) | $ (92,904) | (2,644) | 64,566 | |||||||||
Scenario, Previously Reported [Member] | ||||||||||||
Consolidated Balance Sheets | ||||||||||||
Deferred tax assets, net | 122,365 | 122,365 | ||||||||||
Total assets | 4,014,489 | 4,014,489 | ||||||||||
Accumulated other comprehensive income, net of taxes | 42,793 | 42,793 | 39,006 | |||||||||
Accumulated deficit | (1,298,018) | (1,298,018) | (1,219,906) | |||||||||
Total stockholders’ equity | 642,032 | 642,032 | 457,293 | |||||||||
Total liabilities and stockholders’ equity | 4,014,489 | 4,014,489 | ||||||||||
Consolidated Statements of Comprehensive Income | ||||||||||||
Income tax provision (benefit) | 49,446 | (35,322) | ||||||||||
Net income | 5,954 | 49,461 | ||||||||||
Other comprehensive income, net of taxes | 14,184 | |||||||||||
Comprehensive income (loss) | (4,443) | 63,645 | ||||||||||
Scenario, Adjustment [Member] | ||||||||||||
Consolidated Balance Sheets | ||||||||||||
Deferred tax assets, net | 3,242 | 3,242 | ||||||||||
Total assets | 3,242 | 3,242 | ||||||||||
Accumulated other comprehensive income, net of taxes | (6,921) | (6,921) | (4,480) | |||||||||
Accumulated deficit | 10,163 | 10,163 | 5,002 | |||||||||
Total stockholders’ equity | 3,242 | 3,242 | $ 522 | |||||||||
Total liabilities and stockholders’ equity | $ 3,242 | 3,242 | ||||||||||
Consolidated Statements of Comprehensive Income | ||||||||||||
Income tax provision (benefit) | (1,799) | (3,362) | ||||||||||
Net income | 1,799 | 3,362 | ||||||||||
Other comprehensive income, net of taxes | (2,441) | |||||||||||
Comprehensive income (loss) | $ 1,799 | $ 921 |
Quarterly Data (Unaudited) (Det
Quarterly Data (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2014 | Sep. 30, 2014 | Jun. 30, 2014 | Mar. 31, 2014 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Quarterly Financial Information Disclosure [Line Items] | |||||||||||
Interest income | $ 38,364 | $ 40,575 | $ 38,690 | $ 36,964 | $ 36,316 | $ 33,301 | $ 30,063 | $ 23,867 | $ 154,593 | $ 123,547 | $ 87,019 |
Interest expense | 5,421 | 5,165 | 4,575 | 3,728 | 3,454 | 2,976 | 2,676 | 2,285 | 18,889 | 11,391 | 8,529 |
Net interest income | 32,943 | 35,410 | 34,115 | 33,236 | 32,862 | 30,325 | 27,387 | 21,582 | 135,704 | 112,156 | 78,490 |
Investment loss, net | (5,674) | (69,298) | (18,036) | (59,371) | (33,697) | (6,982) | 7,906 | (5,914) | (152,379) | (38,687) | (47,760) |
Other expenses | 3,783 | 3,245 | 3,831 | 3,308 | 4,480 | 5,054 | 4,380 | 4,155 | 14,167 | 18,069 | 16,591 |
(Loss) income before income taxes | 23,486 | (37,133) | 12,248 | (29,443) | (5,315) | 18,289 | 30,913 | 11,513 | (30,842) | 55,400 | 14,139 |
Income tax provision | 4,675 | 15,497 | 5,647 | 12,742 | 25,651 | 5,442 | 12,074 | 4,480 | 38,561 | 47,647 | (38,684) |
Net (loss) income | $ 18,811 | $ (52,630) | $ 6,601 | $ (42,185) | $ (30,966) | $ 12,847 | $ 18,839 | $ 7,033 | $ (69,403) | $ 7,753 | $ 52,823 |
Basic earnings (loss) per share (in dollars per share) | $ 0.82 | $ (2.29) | $ 0.29 | $ (1.84) | $ (1.35) | $ 0.62 | $ 0.95 | $ 0.42 | $ (3.02) | $ 0.39 | $ 3.3 |
Diluted earnings (loss) per share (in dollars per share) | $ 0.82 | $ (2.29) | $ 0.29 | $ (1.84) | $ (1.35) | $ 0.61 | $ 0.94 | $ 0.41 | $ (3.02) | $ 0.38 | $ 3.26 |