Document And Entity Information
Document And Entity Information - shares | 3 Months Ended | |
Mar. 31, 2016 | Apr. 29, 2016 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Mar. 31, 2016 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q1 | |
Entity Registrant Name | Arlington Asset Investment Corp. | |
Entity Central Index Key | 1,209,028 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Trading Symbol | AI | |
Common Class A | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 22,879,431 | |
Common Class B | ||
Document Information [Line Items] | ||
Entity Common Stock, Shares Outstanding | 97,604 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
ASSETS | ||
Cash and cash equivalents | $ 43,184 | $ 36,987 |
Interest receivable | 9,808 | 11,936 |
Mortgage-backed securities, at fair value | 3,547,081 | 3,995,751 |
Derivative assets, at fair value | 5,587 | 12,991 |
Deferred tax assets, net | 101,480 | 97,530 |
Deposits | 81,768 | 29,429 |
Other assets | 2,381 | 18,315 |
Total assets | 3,791,289 | 4,202,939 |
Liabilities: | ||
Repurchase agreements | 3,062,381 | 2,834,780 |
Federal Home Loan Bank advances | 0 | 786,900 |
Interest payable | 1,365 | 2,436 |
Accrued compensation and benefits | 1,423 | 5,170 |
Dividend payable | 14,476 | 14,504 |
Derivative liabilities, at fair value | 44,719 | 553 |
Purchased securities payable | 158,261 | 0 |
Other liabilities | 1,502 | 1,132 |
Long-term debt | 73,489 | 73,433 |
Total liabilities | $ 3,357,616 | $ 3,718,908 |
Commitments and contingencies | ||
Stockholders’ Equity: | ||
Preferred stock, $0.01 par value, 25,000,000 shares authorized, none issued and outstanding | ||
Additional paid-in capital | $ 1,898,670 | $ 1,898,085 |
Accumulated other comprehensive income, net of taxes of $105 and $3,230, respectively | 7,461 | 12,371 |
Accumulated deficit | (1,472,688) | (1,426,655) |
Total stockholders’ equity | 433,673 | 484,031 |
Total liabilities and stockholders’ equity | 3,791,289 | 4,202,939 |
Private-Label MBS | ||
ASSETS | ||
Mortgage-backed securities, at fair value | 129,231 | 130,435 |
Liabilities: | ||
Repurchase agreements | 32,504 | 37,219 |
Agency MBS | ||
ASSETS | ||
Mortgage-backed securities, at fair value | 3,417,850 | 3,865,316 |
Liabilities: | ||
Repurchase agreements | 3,029,877 | 2,797,561 |
Common Class A | ||
Stockholders’ Equity: | ||
Common stock | 229 | 229 |
Common Class B | ||
Stockholders’ Equity: | ||
Common stock | $ 1 | $ 1 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
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) | $ 105 | $ 3,230 |
Common Class A | ||
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) | 22,879,431 | 22,874,819 |
Common stock, shares outstanding (in shares) | 22,879,431 | 22,874,819 |
Common Class B | ||
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) | 97,604 | 102,216 |
Common stock, shares outstanding (in shares) | 97,604 | 102,216 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Interest income | ||
Mortgage-backed securities | $ 25,460 | |
Other | $ 128 | 7 |
Total interest income | 28,754 | 30,510 |
Interest expense | ||
Short-term debt | 5,500 | 3,080 |
Long-term debt | 1,193 | 648 |
Total interest expense | 6,693 | 3,728 |
Net interest income | 22,061 | 26,782 |
Investment loss, net | ||
Realized gain on sale of available-for-sale investments, net | 3,348 | |
Other-than-temporary impairment charges | (99) | |
Gain on trading investments, net | 50,950 | 19,745 |
Loss from derivative instruments, net | (100,760) | (76,012) |
Other, net | 19 | 112 |
Total investment loss, net | (49,890) | (52,807) |
Other expenses | ||
Compensation and benefits | 2,564 | 2,412 |
Other expenses | 1,771 | 1,006 |
Total other expenses | 4,335 | 3,418 |
Loss before income taxes | (32,164) | (29,443) |
Income tax (benefit) provision | (546) | 12,742 |
Net loss | $ (31,618) | $ (42,185) |
Basic loss per share | $ (1.38) | $ (1.84) |
Diluted loss per share | $ (1.38) | $ (1.84) |
Weighted-average shares outstanding (in thousands) | ||
Basic | 22,994 | 22,973 |
Diluted | 22,994 | 22,973 |
Other comprehensive loss, net of taxes | ||
Unrealized gains (losses) on available-for-sale securities (net of taxes of $(3,164) and $(2,663), respectively) | $ (4,970) | $ (4,493) |
Reclassification | ||
Included in investment loss, net, related to sales of available-for-sale securities (net of taxes of $-0- and $(380), respectively) | (3,362) | |
Included in investment loss, net, related to other-than-temporary impairment charges on available-for-sale securities (net of taxes of $39 and $-0-, respectively) | 60 | |
Comprehensive loss | (36,528) | (50,040) |
Agency MBS | ||
Interest income | ||
Mortgage-backed securities | 25,655 | 25,460 |
Private-Label MBS | ||
Interest income | ||
Mortgage-backed securities | 2,971 | 5,043 |
Investment loss, net | ||
Gain on trading investments, net | $ 0 | $ 0 |
CONSOLIDATED STATEMENTS OF COM5
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Unaudited) (Parenthetical) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Statement Of Income And Comprehensive Income [Abstract] | ||
Unrealized gains (losses) for the period on available-for-sale securities, taxes | $ (3,164) | $ (2,663) |
Included in investment loss, net, related to sales of available-for-sale securities, taxes | 0 | (380) |
Included in investment loss, net, related to other-than-temporary impairment charges on available-for-sale securities, taxes | $ 39 | $ 0 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY (Unaudited) - USD ($) $ in Thousands | Total | Common StockCommon Class A | Common StockCommon Class B | Additional Paid-in Capital | Accumulated Other Comprehensive Income | Accumulated Deficit |
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 loss | (69,403) | (69,403) | ||||
Conversion of Class B common stock to Class A common stock (in shares) | 3,653 | (3,653) | ||||
Issuance of Class A common stock under stock-based compensation plans (in shares) | 97,651 | |||||
Repurchase of Class A common stock | (593) | (593) | ||||
Repurchase of Class A common stock (in shares) | (48,695) | |||||
Repurchase of Class A common stock under stock-based compensation plans | (572) | (572) | ||||
Repurchase of Class A common stock under stock-based compensation plans (in shares) | (38,712) | |||||
Stock-based compensation | 1,145 | 1,145 | ||||
Income tax benefit from stock-based compensation | 1,078 | 1,078 | ||||
Other comprehensive loss | (23,501) | (23,501) | ||||
Dividends declared | (69,397) | (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 | ||||
Net loss | (31,618) | (31,618) | ||||
Conversion of Class B common stock to Class A common stock (in shares) | 4,612 | (4,612) | ||||
Stock-based compensation | 517 | 517 | ||||
Income tax benefit from stock-based compensation | 68 | 68 | ||||
Other comprehensive loss | (4,910) | (4,910) | ||||
Dividends declared | (14,415) | (14,415) | ||||
Balances at Mar. 31, 2016 | $ 433,673 | $ 229 | $ 1 | $ 1,898,670 | $ 7,461 | $ (1,472,688) |
Balances (in shares) at Mar. 31, 2016 | 22,879,431 | 97,604 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Cash flows from operating activities: | ||
Net loss | $ (31,618) | $ (42,185) |
Adjustments to reconcile net loss to net cash provided by operating activities | ||
Net investment loss | 49,890 | 52,807 |
Net premium amortization on mortgage-backed securities | 5,328 | 3,758 |
Deferred tax provision | (824) | 12,132 |
Other | 517 | 111 |
Changes in operating assets | ||
Interest receivable | 2,128 | (568) |
Other assets | 2,051 | 823 |
Changes in operating liabilities | ||
Interest payable and other liabilities | (2,510) | (320) |
Accrued compensation and benefits | (3,747) | (4,505) |
Net cash provided by operating activities | 21,215 | 22,053 |
Cash flows from investing activities: | ||
Proceeds from sales of private-label mortgage-backed securities | 20,859 | |
Proceeds from sales of agency mortgage-backed securities | 933,927 | 51,751 |
Receipt of principal payments on private-label mortgage-backed securities | 785 | |
Receipt of principal payments on agency mortgage-backed securities | 93,459 | 88,980 |
Payments for derivatives and deposits, net | (101,528) | (77,378) |
Other | 15,764 | 39 |
Net cash provided by (used in) investing activities | 558,661 | (246,478) |
Cash flows from financing activities: | ||
Proceeds from repurchase agreements, net | 227,601 | 191,915 |
Repayments for Federal Home Loan Bank advances | (786,900) | |
Proceeds from long-term debt issuance, net | 34,188 | |
Excess tax benefits associated with stock-based awards | 68 | |
Dividends paid | (14,448) | (20,195) |
Net cash (used in) provided by financing activities | (573,679) | 205,908 |
Net increase (decrease) in cash and cash equivalents | 6,197 | (18,517) |
Cash and cash equivalents, beginning of period | 36,987 | 33,832 |
Cash and cash equivalents, end of period | 43,184 | 15,315 |
Supplemental cash flow information | ||
Cash payments for interest | 7,708 | 3,636 |
Private-Label MBS | ||
Cash flows from investing activities: | ||
Purchases of mortgage-backed securities | (5,357) | |
Agency MBS | ||
Cash flows from investing activities: | ||
Purchases of mortgage-backed securities | $ (377,604) | $ (331,514) |
Organization and Nature of Oper
Organization and Nature of Operations | 3 Months Ended |
Mar. 31, 2016 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Organization and Basis of Presentation | Note 1. Organization and Basis of Presentation 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 MBS.” The unaudited interim consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Article 10 of Regulation S-X. The Company’s unaudited interim consolidated financial statements and notes thereto should be read in conjunction with the Company’s audited annual consolidated financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2015. The Company’s consolidated financial statements 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 | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | Note 2. 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 March 31, 2016 and December 31, 2015, approximately 99% and 98%, 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. On January 1, 2016, the Company elected 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. Prior to January 1, 2016, interest income from trading agency MBS was reported based upon each security’s stated coupon rate (referred to by the Company as the “coupon rate method”). The interest method is applied at the individual security level based upon each security’s effective interest rate. The Company calculates each security’s effective interest rate at the time of purchase by solving for the discount rate that equates the present value of that security's remaining contractual cash flows (assuming no principal prepayments) to its purchase price. Because each security’s effective interest rate does not reflect an estimate of future prepayments, the Company refers to this manner of applying the interest method as the “contractual effective interest method.” When applying the contractual effective interest method to its investments in agency MBS, as principal prepayments occur, a proportional amount of the unamortized premium or discount is recognized in interest income such that the effective interest rate on the remaining security balance is unaffected. The Company believes that the application of the contractual effective interest method, relative to the coupon rate method, to its investments in trading agency MBS results in a reported interest income measure that better reflects the economic yield of its investments, including a better reflection of the economic effect of principal prepayments in the period in which those prepayments occur. In addition, the Company believes that this change in accounting policy enhances the comparability of its reported periodic financial results to those of its peers. The Company retrospectively applied this change in accounting policy to all historical periods. Because the Company accounts for its 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 did not have an effect on the Company’s historical consolidated balance sheets, net income, or comprehensive income. The change in accounting policy did, however, result in a reclassification between reported “gain (loss) on trading investments, net” and interest income on the Company’s historical consolidated statements of comprehensive income. As the Company’s agency MBS have generally been acquired at a premium to par value, historical reported interest income was reduced by periodic premium amortization, while periodic investment gains (losses) reported as a component of “gain (loss) on trading investments, net” were increased (decreased) by an equal and offsetting amount. The following table presents the effect of the Company’s retrospective application of the change in accounting policy to the annual and quarterly periods of fiscal year 2015: Fiscal Year 2015 Total Year Fourth Quarter Third Quarter Second Quarter First Quarter Interest income: agency mortgage-backed securities: As previously reported $ 139,244 $ 35,475 $ 37,325 $ 34,530 $ 31,914 Retrospective adjustment (33,330 ) (7,136 ) (9,336 ) (10,404 ) (6,454 ) As revised $ 105,914 $ 28,339 $ 27,989 $ 24,126 $ 25,460 Gain (loss) on trading investments, net: As previously reported $ (64,388 ) $ (43,383 ) $ 27,553 $ (61,849 ) $ 13,291 Retrospective adjustment 33,330 7,136 9,336 10,404 6,454 As revised $ (31,058 ) $ (36,247 ) $ 36,889 $ (51,445 ) $ 19,745 Effect to previously reported net income (loss) $ — $ — $ — $ — $ — 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 has elected to classify its investments in private-label MBS acquired in 2015 or later 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 Classified as: 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 or realization, or (ii) the occurrence of an other-than-temporary impairment. Other Significant Accounting Policies Certain of the Company’s other significant accounting policies are summarized in the following notes: Investments in agency MBS, subsequent measurement Note 3 Investments in private-label MBS, subsequent measurement Note 4 Borrowings Note 5 To-be-announced agency MBS transactions, including “dollar rolls” Note 6 Derivative instruments Note 6 Balance sheet offsetting Note 7 Fair value measurements Note 8 Refer to the Company’s 2015 Annual Report on Form 10-K for a complete inventory and summary of the Company’s significant accounting policies. 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 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 did not have an 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 resulted in an immaterial reclassification of unamortized debt issuance costs from the line item “other assets” to the line item “long-term debt” on the Company’s consolidated balance sheets. Recently Issued Accounting Guidance Not Yet Adopted 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. ASU No. 2016-02, Leases (Topic 842) This amendment replaces the existing lease accounting model with a revised model. The primary change effectuated by the revised lease accounting model is the recognition of lease assets and lease liabilities by lessees for those leases classified as operating leases. January 1, 2018 The Company is currently evaluating the impact of this amendment on its consolidated financial statements. ASU No. 2016-07, Simplifying the Transition to the Equity Method of Accounting (Topic 323) This amendment eliminates the requirement that when an investment qualifies for use of the equity method as a result of an increase in the level of ownership interest or degree of influence, an investor must adjust the investment, results of operations, and retained earnings retroactively on a step-by-step basis as if the equity method had been in effect during all previous periods that the investment had been held. January 1, 2017 The Company does not expect that the adoption of ASU No. 2016-07 will have a material impact on its consolidated financial statements. ASU No. 2016-09, Improvements to Employee Share-Based Payment Accounting (Topic 718) This amendment was issued with the objective of simplifying several aspects of the accounting for share-based payment transactions, including the income tax consequences, classification of awards as either equity or liabilities, and classification on the statement of cash flows. Some of the areas for simplification apply only to nonpublic entities. January 1, 2017 The Company is currently evaluating the impact of this amendment on its consolidated financial statements. |
Investments in Agency MBS
Investments in Agency MBS | 3 Months Ended |
Mar. 31, 2016 | |
Agency MBS | |
Investments in Agency MBS | Note 3. 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. 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 March 31, 2016 December 31, 2015 Agency MBS classified as: Available-for-sale $ 25 $ 26 Trading 3,417,825 3,865,290 Total $ 3,417,850 $ 3,865,316 All periodic changes in the fair value of trading agency MBS that are not attributed to interest income are recognized as a component of “investment loss, net” in the accompanying consolidated statements of comprehensive income. 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: Three Months Ended March 31, 2016 2015 Net gains recognized in earnings for: Agency MBS still held at period end $ 43,818 $ 19,181 Agency MBS sold during the period 7,001 564 Total $ 50,819 $ 19,745 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 6. Derivative Instruments” for further information about dollar rolls. |
Investments in Private-Label MB
Investments in Private-Label MBS | 3 Months Ended |
Mar. 31, 2016 | |
Private-Label MBS | |
Investments in Agency MBS | Note 4. 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 has elected to classify its investments in private-label MBS acquired in 2015 or later as trading securities. 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 March 31, 2016 December 31, 2015 Private-label MBS classified as: Available-for-sale $ 116,026 $ 127,536 Trading 13,205 2,899 Total $ 129,231 $ 130,435 As of March 31, 2016, the private-label MBS portfolio consists primarily 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. The senior class REMIC securities that serve as collateral to the Company’s investments in re-REMIC securities 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 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: March 31, 2016 December 31, 2015 Original loan-to-value 66 % 66 % Original FICO score 723 723 Three-month voluntary prepayment rate (annualized) 6.9 % 6.1 % Three-month default rate (annualized) 4.1 % 4.7 % Three-month loss severity rate (1) 46.3 % 36.9 % Three-month credit loss rate (annualized) (2) 1.9 % 1.7 % (1) Represents a “loss-given-default” rate. Private-label MBS collateral pools which experienced no defaults within the three-month historical period are excluded from the loss severity rate calculation. ( 2 ) Calculated as the three-month default rate multiplied by the three-month loss severity rate. 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. 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: March 31, 2016 Unpaid Principal Balance Net Discounts Amortized Cost Basis Unrealized Fair Value Gains Losses $ 156,093 $ (47,631 ) $ 108,462 $ 7,564 $ — $ 116,026 December 31, 2015 Unpaid Principal Balance Net Discounts Amortized Cost Basis Unrealized Fair Value Gains Losses $ 164,555 $ (52,620 ) $ 111,935 $ 15,601 $ — $ 127,536 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. The following table presents the results of sales of available-for-sale private-label MBS for the periods indicated: Three Months Ended March 31, 2016 2015 Proceeds from sales $ — $ 20,859 Gross realized gains — 3,348 Gross realized losses — — 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. The following table presents the changes in the accretable yield solely for available-for-sale private-label MBS for the three months ended March 31, 2016 and 2015: Three Months Ended March 31, 2016 2015 Beginning balance $ 85,052 $ 202,108 Accretion (2,573 ) (5,043 ) Reclassifications, net (11,966 ) (9,182 ) Eliminations in consolidation (3,515 ) — Sales — (12,585 ) Ending balance $ 66,998 $ 175,298 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 three months ended March 31, 2016, the Company recorded credit related other-than-temporary impairment charges of $99 as a component of “investment loss, net” on the consolidated statements of comprehensive income on certain available-for-sale private-label MBS. The Company recorded no other-than-temporary impairment charges on available-for-sale private-label MBS during the three months ended March 31, 2015. 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: Three Months Ended March 31, 2016 2015 Cumulative credit related other-than-temporary impairments, beginning balance $ 14,017 $ 18,903 Additions for: Securities for which other-than-temporary impairments have not previously occurred 99 — Securities with previously recognized other-than- temporary impairments — — Reductions for sold or matured securities — — Cumulative credit related other-than-temporary impairments, ending balance $ 14,116 $ 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. The following table provides additional information about the gains and losses recognized as a component of “investment gain (loss), net” for the periods indicated with respect to investments in private-label MBS classified as trading securities: Three Months Ended March 31, 2016 2015 Net gains recognized in earnings for: Private-label MBS still held at period end $ 137 $ — Private-label MBS sold during the period — — Total $ 137 $ — |
Borrowings
Borrowings | 3 Months Ended |
Mar. 31, 2016 | |
Debt Disclosure [Abstract] | |
Borrowings | Note 5. 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 March 31, 2016 and December 31, 2015, 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 March 31, 2016 and December 31, 2015: March 31, 2016 December 31, 2015 Pledged with agency MBS: Repurchase agreements outstanding $ 3,029,877 $ 2,797,561 Agency MBS collateral, at fair value 3,200,829 2,946,684 Net amount (1) 170,952 149,123 Weighted-average rate 0.66 % 0.61 % Weighted-average term to maturity 16.0 days 12.8 days Pledged with private-label MBS: Repurchase agreements outstanding $ 32,504 $ 37,219 Private-label MBS collateral, at fair value 57,463 70,511 Net amount (1) 24,959 33,292 Weighted-average rate 2.45 % 2.42 % Weighted-average term to maturity 2.9 days 16.9 days Total MBS: Repurchase agreements outstanding $ 3,062,381 $ 2,834,780 MBS collateral, at fair value 3,258,292 3,017,195 Net amount (1) 195,911 182,415 Weighted-average rate 0.68 % 0.64 % Weighted-average term to maturity 15.9 days 12.8 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. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings during the three months ended March 31, 2016 and 2015: March 31, 2016 March 31, 2015 Weighted-average outstanding balance during the three months ended $ 3,222,396 $ 3,219,172 Weighted-average rate during the three months ended 0.66 % 0.38 % 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 March 31, 2016 and December 31, 2015, Key Bridge had $2 and $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. 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 final rule’s effective date of February 19, 2016. In addition, Key Bridge is prohibited from obtaining new advances during the one year transition period. As of March 31, 2016, the Company repaid all of its outstanding FHLBC advances, funded primarily through proceeds obtained from traditional repurchase agreement financing arrangements. 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. Long-Term Debt As of March 31, 2016 and December 31, 2015, the Company had $73,489 and $73,433, respectively, of outstanding long-term debentures, net of unamortized debt issuance costs of $1,811 and $1,867, respectively. The Company’s long-term debentures consisted of the following as of the dates indicated: March 31, 2016 December 31, 2015 Senior Notes Due 2025 Senior Notes Due 2023 Trust Preferred Debt Senior Notes Due 2025 Senior Notes Due 2023 Trust Preferred Debt Outstanding Principal $ 35,300 $ 25,000 $ 15,000 $ 35,300 $ 25,000 $ 15,000 Annual Interest Rate 6.75 % 6.625 % LIBOR+ 2.25 - 3.00 % 6.75 % 6.625 % LIBOR+ 2.25 - 3.00 % Interest Payment Frequency Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Weighted-Average Interest Rate 6.75 % 6.625 % 3.37 % 6.75 % 6.625 % 3.07 % Maturity March 15, 2025 May 1, 2023 2033 - 2035 March 15, 2025 May 1, 2023 2033 - 2035 Early Redemption Date March 15, 2018 May 1, 2016 2008 - 2010 March 15, 2018 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 | 3 Months Ended |
Mar. 31, 2016 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | Note 6. 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 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: March 31, 2016 December 31, 2015 Assets Liabilities Assets Liabilities Interest rate swaps $ — $ (44,700 ) $ 6,153 $ — 10-year U.S. Treasury note futures 752 (19 ) 6,813 — Put options on 10-year U.S. Treasury note futures 781 — — — Put options on Eurodollar futures — — 25 — TBA commitments 4,054 — — (553 ) Total $ 5,587 $ (44,719 ) $ 12,991 $ (553 ) Interest Rate Swaps The following table presents information as of the date indicated about the Company’s interest rate swap agreements, 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: March 31, 2016 Notional Amount Average Fixed Pay Rate Average Remaining Maturity (Years) Fair Value Years to maturity: Less than 2 years $ 750,000 1.04 % 1.7 $ (4,983 ) 2 to 10 years 1,000,000 2.03 % 9.8 (39,717 ) Total / weighted-average $ 1,750,000 1.61 % 6.3 $ (44,700 ) December 31, 2015 Notional Amount Average Fixed Pay Rate Average Remaining Maturity (Years) 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 March 31, 2016 are short positions with an aggregate notional amount of $375,000 that mature in June 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. Put Options on 10-year U.S. Treasury Note Futures The Company’s put options on 10-year U.S. Treasury note futures held as of March 31, 2016 provide the Company with the right, but not the obligation, to sell underlying 10-year U.S. Treasury note futures contracts which have an aggregate notional amount of $2,000,000. These put options were acquired in exchange for aggregate option premiums of $2,656 and have a weighted-average strike price that equates to a 10-year U.S. Treasury note rate of approximately 2.45%. These options may be exercised at any time prior to their expiry, which occurs in May 2016, and, if exercised, will be settled in cash. TBA Transactions The following tables present information about the Company’s TBA purchase and sale commitments as of the dates indicated: March 31, 2016 Notional Amount: Net Purchase (Sale) Commitment Average Contractual Forward Price Average Market Price Fair Value 30-year 3.5% coupon $ 350,000 $ 364,073 $ 366,734 $ 2,661 30-year 4.0% coupon 340,000 361,717 363,110 1,393 Total $ 690,000 $ 725,790 $ 729,844 $ 4,054 December 31, 2015 Notional Amount: Net Purchase (Sale) Commitment Average Contractual Forward Price 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 $ 375,000 $ 389,811 $ 389,258 $ (553 ) Derivative Instrument Gains and Losses For the three months ended March 31, 2016 and 2015, the Company recorded net losses of $(100,760) and $(76,012), 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: Three Months Ended March 31, 2016 2015 Interest rate derivatives: Interest rate swaps - net interest expense (1) $ (3,997 ) $ — Interest rate swaps - unrealized losses, net (45,105 ) — Eurodollar futures, net — (39,794 ) U.S. Treasury note futures, net (61,077 ) (211 ) Put options on U.S. Treasury note futures, net (1,875 ) — 10-year interest rate swap futures and other, net (25 ) (37,154 ) Total interest rate derivative losses, net (112,079 ) (77,159 ) TBA commitments, net 11,319 1,147 Total derivative losses, net $ (100,760 ) $ (76,012 ) (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 Three Months Ended March 31, 2016 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 1,500,000 $ 250,000 $ — $ — $ 1,750,000 10-year U.S. Treasury note futures 1,335,000 868,500 (1,703,500 ) (125,000 ) 375,000 Put options on 10-year U.S. Treasury note futures — 2,000,000 — — 2,000,000 Put options on Eurodollar futures 4,000,000 — (4,000,000 ) — — Commitments to purchase (sell) MBS, net 375,000 1,500,000 (1,185,000 ) — 690,000 For the Three Months Ended March 31, 2015 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Eurodollar futures $ 41,090,000 $ 4,000,000 $ (2,365,000 ) $ — $ 42,725,000 10-year interest rate swap futures 1,145,000 480,000 (780,000 ) — 845,000 10-year U.S. Treasury note futures — 50,000 — — 50,000 Commitments to purchase (sell) MBS, net 200,000 317,544 (200,000 ) — 317,544 Cash Collateral Posted for Derivative Instruments The following table presents information about the cash collateral posted by the Company in respect to its derivative instruments, which is included in the line item “deposits” in the accompanying consolidated balance sheets, for the periods indicated: March 31, 2016 December 31, 2015 Interest rate swaps $ 77,088 $ 17,434 U.S. Treasury note futures 4,280 11,197 TBA commitments 400 798 Total cash collateral posted $ 81,768 $ 29,429 |
Offsetting of Financial Assets
Offsetting of Financial Assets and Liabilities | 3 Months Ended |
Mar. 31, 2016 | |
Offsetting [Abstract] | |
Offsetting of Financial Assets and Liabilities | Note 7. 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. 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 March 31, 2016 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (2) Assets: Derivative instruments: 10-year U.S. Treasury note futures $ 752 $ — $ 752 $ (19 ) $ — $ 733 Put options on U.S. Treasury note futures 781 — 781 — — 781 TBA commitments 4,054 — 4,054 — — 4,054 Total derivative instruments 5,587 — 5,587 (19 ) — 5,568 Total assets $ 5,587 $ — $ 5,587 $ (19 ) $ — $ 5,568 Liabilities: Derivative instruments: Interest rate swaps $ 44,700 $ — $ 44,700 $ — $ (44,700 ) $ — 10-year U.S. Treasury note futures 19 — 19 (19 ) — — Total derivative instruments 44,719 — 44,719 (19 ) (44,700 ) — Repurchase agreements 3,062,381 — 3,062,381 (3,062,381 ) — — Total liabilities $ 3,107,100 $ — $ 3,107,100 $ (3,062,400 ) $ (44,700 ) $ — As of December 31, 2015 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (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 (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 | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Note 8. 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 - The Company’s investments in agency MBS are classified within Level 2 of the fair value hierarchy. Inputs to fair value measurements of the Company’s investments in agency MBS include price estimates obtained from third-party pricing services. The inputs used in the fair value measurements performed by the third-party pricing services are based upon readily observable transactions for securities with similar characteristics (such as issuer/guarantor, coupon rate, stated maturity, and specified pool characteristics) occurring on the measurement date. The Company makes inquiries of the third party pricing sources to understand the significant inputs and assumptions used to determine prices. The Company reviews the various third-party fair value estimates and performs procedures to validate their reasonableness, including comparison to recent trading activity for similar securities and an overall review for consistency with market conditions observed as of the measurement date. Private-label MBS - The Company’s investments in private-label MBS are classified within Level 3 of the fair value hierarchy as private-label MBS trade infrequently and, therefore, the measurement of their fair value requires the use of significant unobservable inputs. In determining fair value, the Company primarily uses an income approach as well as market approaches. The Company utilizes present value techniques based on estimated cash flows of the instrument taking into consideration various assumptions derived by management based on their observations of assumptions used by market participants. These assumptions are corroborated by evidence such as historical collateral performance data, evaluation of historical collateral performance data for other securities with comparable or similar risk characteristics, and observed completed or pending transactions in similar instruments, when available. The significant inputs to the Company’s valuation process include collateral default, loss severity, prepayment, and discount rates (i.e., the rate of return demanded by market participants as of the measurement date). In general, significant increases (decreases) in default, loss severity, or discount rate assumptions, in isolation, would result in a significantly lower (higher) fair value measurement. However, significant increases (decreases) in prepayment rate assumptions, in isolation, may result in a significantly higher (lower) fair value measurement depending upon the instrument’s specific characteristics and the overall payment structure of the issuing securitization vehicle. It is difficult to generalize the interrelationships between these significant inputs as the actual results could differ considerably on an individual security basis. Therefore, each significant input is closely analyzed to ascertain its reasonableness for the Company’s purposes of fair value measurement. 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 - Exchange-traded derivative instruments, which include Eurodollar futures, U.S. Treasury note futures, interest rate swap futures, and options on futures, are classified within Level 1 of the fair value hierarchy as they are measured using quoted prices for identical instruments in liquid markets. Centrally cleared interest rate swaps - Centrally cleared interest rate swaps are classified within Level 2 of the fair value hierarchy. The fair values of centrally cleared interest rate swaps are measured using the daily valuations reported by the clearinghouse through which the instrument was cleared. In performing its end-of-day valuations, the clearinghouse constructs forward interest rate curves (for example, three-month LIBOR forward rates) from its specific observations of that day’s trading activity. The clearinghouse uses the applicable forward interest rate curve to develop a market-based forecast of future remaining contractually required cash flows for each interest rate swap. Each market-based cash flow forecast is then discounted using the overnight index swap rate curve (sourced from the Federal Reserve Bank of New York) to determine a net present value amount which represents the instrument’s fair value. The Company reviews the valuations reported by the clearinghouse on an ongoing basis and performs procedures using readily available market data to independently verify their reasonableness. Forward-settling purchases and sales of TBA securities – Forward-settling purchases and sales of TBA securities are classified within Level 2 of the fair value hierarchy. The fair value of each forward-settling TBA contract is measured using broker or dealer quotations, which are based upon readily observable transaction prices occurring on the measurement date for forward-settling contracts to buy or sell TBA securities with the same guarantor, contractual maturity, and coupon rate for delivery on the same forward settlement date as the contract under measurement. Other Long-term debt - As of March 31, 2016 and December 31, 2015, the Company’s long-term debt was $73,489 and $73,433, respectively, net of unamortized debt issuance costs, and consists of Senior Notes and trust preferred debt issued by the Company. The Company’s estimate of the fair value of long-term debt is $57,638 and $59,130 as of March 31, 2016 and December 31, 2015, respectively. The Company’s Senior Notes, which are publicly traded on the New York Stock Exchange, are classified within Level 1 of the fair value hierarchy. Trust preferred debt is classified within Level 2 of the fair value hierarchy as the fair value is estimated based on the quoted prices of the Company’s publicly traded Senior Notes. FHLBC capital stock - FHLBC capital stock is initially purchased at par and may only be transferred back to the FHLBC or to another FHLBC member, subject to approval by the FHLBC, also at par. Due to the restrictions placed on transferability, it is not practical to determine the fair value of FHLBC capital stock. The par value and carrying amount of the FHLBC capital stock included in the line item “other assets” on the Company’s consolidated balance sheets is $2 and $15,740 as of March 31, 2016 and December 31, 2015, respectively. Investments in equity securities of non-public companies and investment funds - As of March 31, 2016 and December 31, 2015, the Company had investments in equity securities and investment funds of $1,558 which are recorded at cost, net of impairments, and included in the line item “other assets” in the accompanying consolidated balance sheets. The Company’s estimate of the fair value of investments in equity securities and investment funds is $6,585 and $5,989 as of March 31, 2016 and December 31, 2015, respectively. Investments in equity securities and investment funds are classified within Level 3 of the fair value hierarchy. The fair values of the Company’s investments in equity securities and investment funds, which are measured at fair value for the purposes of disclosure only, are not readily determinable. Accordingly, for its investments in equity securities, the Company estimates fair value by estimating the enterprise value of the investee and then waterfalls the enterprise value over the investee’s securities in the order of their preference relative to one another. To estimate the enterprise value of the investee, the Company uses traditional valuation methodologies, including recent investments in or tender offers for the equity securities of the investee. For its investments in investment funds, the Company estimates fair value based upon the investee’s net asset value per share. Investments in interest-only MBS - The Company’s investments in interest-only MBS are included in the line item “other assets” on the Company’s consolidated balance sheets. The Company’s investments in interest-only MBS are classified within Level 3 of the fair value hierarchy because, like other private-label MBS, they are of an instrument type that trades infrequently and, accordingly, the measurement of fair value requires the use of significant unobservable inputs. The Company measures the fair value of its investments in interest-only MBS using a discounted cash flow technique consistent with that of its other investments in private-label MBS. Financial assets and liabilities for which carrying value approximates fair value - Cash and cash equivalents, deposits, receivables, repurchase agreements, FHLB advances, payables, and other assets and liabilities are reflected in the consolidated balance sheets at their cost, which, due to the short-term nature of these instruments and their limited inherent credit risk, approximates fair value. Fair Value Hierarchy Financial Instruments Measured at Fair Value on a Recurring Basis The following tables set forth financial instruments measured at fair value by level within the fair value hierarchy as of March 31, 2016 and December 31, 2015. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. March 31, 2016 Total Level 1 Level 2 Level 3 MBS Trading: Agency MBS $ 3,417,825 $ — $ 3,417,825 $ — Private-label MBS 13,205 — — 13,205 Total trading 3,431,030 — 3,417,825 13,205 Available-for-sale: Agency MBS 25 — 25 — Private-label MBS 116,026 — — 116,026 Total available-for-sale 116,051 — 25 116,026 Total MBS 3,547,081 — 3,417,850 129,231 Derivative assets 5,587 1,533 4,054 — Derivative liabilities (44,719 ) (19 ) (44,700 ) — Interest-only MBS 105 — — 105 Total $ 3,508,054 $ 1,514 $ 3,377,204 $ 129,336 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 There were no transfers of financial instruments into or out of Levels 1, 2 or 3 during the three months ended March 31, 2016 or the year ended December 31, 2015. Level 3 Financial Assets and Liabilities 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: March 31, 2016 December 31, 2015 Weighted- average (1) Range Weighted- average (1) Range Discount rate 5.47 % 2.20 - 10.00 % 5.57 % 5.50 - 10.00 % Default rate 3.19 % 1.45 - 6.20 % 2.78 % 1.45 - 6.20 % Loss severity rate 46.78 % 35.00 - 65.00 % 45.84 % 35.00 - 65.00 % Total prepayment rate (including defaults) 11.59 % 7.75 - 17.70 % 11.02 % 7.75 - 17.70 % (1) Based on face value. The tables below set 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 periods indicated. Three Months Ended March 31, 2016 2015 Beginning balance $ 130,435 $ 267,437 Total net gains (losses) Included in investment (loss) gain, net 38 3,432 Included in other comprehensive income (8,036 ) (10,905 ) Purchases 5,357 — Sales — (20,859 ) Payments, net (1,534 ) (3,131 ) Accretion of discount 2,971 5,043 Ending balance $ 129,231 $ 241,017 Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date $ 38 $ — |
Income Taxes
Income Taxes | 3 Months Ended |
Mar. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 9. Income Taxes Arlington Asset is subject to taxation as a corporation under Subchapter C of the Internal Revenue Code of 1986, as amended (the “Code”). The Company’s consolidated subsidiary, Rosslyn REIT Trust (“Rosslyn REIT”), operates to qualify as a real estate investment trust (“REIT”) under the Code. The investments of Rosslyn REIT primarily consist of a portion of the Company’s private-label MBS portfolio. Arlington Asset owns all of the common shares of Rosslyn REIT and all of the preferred shares of Rosslyn REIT are owned by outside investors. Rosslyn REIT periodically distributes all of its income to its shareholders. The Company’s agency MBS and remaining private-label MBS investment portfolios are held by Arlington Asset. The Company currently has net operating loss (“NOL”) and net capital loss (“NCL”) carry-forwards that can be applied against the Company’s current taxable ordinary income and net capital gains. As of March 31, 2016 and December 31, 2015, the Company had a net deferred tax asset of $101,480 and $97,530, respectively, net of a valuation allowance on NCL carry-forwards of $92,618 and $80,663, respectively. The Company continues to provide a valuation allowance against the portion of NCL carry-forwards for which the Company believes is more likely than not that the benefits will not be realized prior to expiration. During the three months ended March 31, 2016, the Company recorded an increase to its valuation allowance of $11,955. The increase in the valuation allowance was primarily due to realized and unrealized net capital losses generated during the period from certain of its exchange-traded derivative hedge instruments. The Company will continue to assess the need for a valuation allowance at each reporting date. As of March 31, 2016, the Company has assessed the need for recording a provision for any uncertain tax position and has made the determination that such provision is not necessary. The Company is subject to examination by the U.S. Internal Revenue Service (“IRS”) and state and local taxing jurisdictions where the Company has significant business operations. As of March 31, 2016, there are no on-going examinations. |
Earnings Per Share
Earnings Per Share | 3 Months Ended |
Mar. 31, 2016 | |
Earnings Per Share [Abstract] | |
Earnings Per Share | Note 10. Earnings Per Share Basic earnings per share includes no dilution and is computed by dividing net income or loss applicable to common stock by the weighted-average number of common shares outstanding for the respective period. Diluted earnings per share includes the impact of dilutive securities such as unvested shares of restricted stock and performance share units. The following tables present the computations of basic and diluted earnings (loss) per share for the periods indicated: Three Months Ended March 31, (Shares in thousands) 2016 2015 Basic weighted-average shares outstanding 22,994 22,973 Performance share units and unvested restricted stock — — Diluted weighted-average shares outstanding 22,994 22,973 Net loss $ (31,618 ) $ (42,185 ) Net loss per common share $ (1.38 ) $ (1.84 ) The diluted earnings per share for the three months ended March 31, 2016 and 2015 did not include the antidilutive effect of 46,156 and 123,242 shares, respectively, of unvested shares of restricted stock and performance share units. |
Shareholders' Equity
Shareholders' Equity | 3 Months Ended |
Mar. 31, 2016 | |
Equity [Abstract] | |
Stockholders’ Equity | Note 11. Stockholders’ Equity Dividends Pursuant to the Company’s variable dividend policy, the Board of Directors evaluates dividends on a quarterly basis and, in its sole discretion, approves the payment of dividends. The Company’s dividend payments, if any, may vary significantly from quarter to quarter. The Board of Directors has approved and the Company has declared and paid the following dividends to date in 2016: Quarter Ended Dividend Amount Declaration Date Record Date Pay Date March 31 $ 0.625 March 15 March 31 April 29 The Board of Directors approved and the Company declared and paid the following dividends for 2015: Quarter Ended Dividend Amount Declaration Date Record Date 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 Conversion of Class B Common Stock to Class A Common Stock During the three months ended March 31, 2016, holders of the Company’s common stock converted an aggregate of 4,612 shares of Class B common stock into 4,612 shares of Class A common stock. Holders of shares of Class A common stock are entitled to one vote for each share on all matters voted on by shareholders, and the holders of shares of Class B common stock are entitled to three votes per share on all matters voted on by shareholders. Under the Company’s Articles of Incorporation, shares of Class B common stock are convertible into shares of Class A common stock on a one-for-one basis. Share Repurchase Program 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 shares of Class A common stock (the “Repurchase Program”). 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. As of March 31, 2016, there remain available for repurchase 1,951,305 shares of Class A common stock under the Repurchase Program. 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. |
Summary of Significant Accoun19
Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2016 | |
Cash Equivalents | 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 March 31, 2016 and December 31, 2015, approximately 99% and 98%, 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 | 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 | Interest Income Recognition for Investments in Agency MBS Substantially all of the Company’s investments in agency MBS are classified as trading securities. On January 1, 2016, the Company elected 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. Prior to January 1, 2016, interest income from trading agency MBS was reported based upon each security’s stated coupon rate (referred to by the Company as the “coupon rate method”). The interest method is applied at the individual security level based upon each security’s effective interest rate. The Company calculates each security’s effective interest rate at the time of purchase by solving for the discount rate that equates the present value of that security's remaining contractual cash flows (assuming no principal prepayments) to its purchase price. Because each security’s effective interest rate does not reflect an estimate of future prepayments, the Company refers to this manner of applying the interest method as the “contractual effective interest method.” When applying the contractual effective interest method to its investments in agency MBS, as principal prepayments occur, a proportional amount of the unamortized premium or discount is recognized in interest income such that the effective interest rate on the remaining security balance is unaffected. The Company believes that the application of the contractual effective interest method, relative to the coupon rate method, to its investments in trading agency MBS results in a reported interest income measure that better reflects the economic yield of its investments, including a better reflection of the economic effect of principal prepayments in the period in which those prepayments occur. In addition, the Company believes that this change in accounting policy enhances the comparability of its reported periodic financial results to those of its peers. The Company retrospectively applied this change in accounting policy to all historical periods. Because the Company accounts for its 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 did not have an effect on the Company’s historical consolidated balance sheets, net income, or comprehensive income. The change in accounting policy did, however, result in a reclassification between reported “gain (loss) on trading investments, net” and interest income on the Company’s historical consolidated statements of comprehensive income. As the Company’s agency MBS have generally been acquired at a premium to par value, historical reported interest income was reduced by periodic premium amortization, while periodic investment gains (losses) reported as a component of “gain (loss) on trading investments, net” were increased (decreased) by an equal and offsetting amount. The following table presents the effect of the Company’s retrospective application of the change in accounting policy to the annual and quarterly periods of fiscal year 2015: Fiscal Year 2015 Total Year Fourth Quarter Third Quarter Second Quarter First Quarter Interest income: agency mortgage-backed securities: As previously reported $ 139,244 $ 35,475 $ 37,325 $ 34,530 $ 31,914 Retrospective adjustment (33,330 ) (7,136 ) (9,336 ) (10,404 ) (6,454 ) As revised $ 105,914 $ 28,339 $ 27,989 $ 24,126 $ 25,460 Gain (loss) on trading investments, net: As previously reported $ (64,388 ) $ (43,383 ) $ 27,553 $ (61,849 ) $ 13,291 Retrospective adjustment 33,330 7,136 9,336 10,404 6,454 As revised $ (31,058 ) $ (36,247 ) $ 36,889 $ (51,445 ) $ 19,745 Effect to previously reported net income (loss) $ — $ — $ — $ — $ — |
Interest Income Recognition for Investments in Private-Label MBS | 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 has elected to classify its investments in private-label MBS acquired in 2015 or later 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 Classified as: 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 | 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 or realization, or (ii) the occurrence of an other-than-temporary impairment. |
Other Significant Accounting Policies | Other Significant Accounting Policies Certain of the Company’s other significant accounting policies are summarized in the following notes: Investments in agency MBS, subsequent measurement Note 3 Investments in private-label MBS, subsequent measurement Note 4 Borrowings Note 5 To-be-announced agency MBS transactions, including “dollar rolls” Note 6 Derivative instruments Note 6 Balance sheet offsetting Note 7 Fair value measurements Note 8 Refer to the Company’s 2015 Annual Report on Form 10-K for a complete inventory and summary of the Company’s significant accounting policies. |
Recent Accounting Pronouncements | 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 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 did not have an 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 resulted in an immaterial reclassification of unamortized debt issuance costs from the line item “other assets” to the line item “long-term debt” on the Company’s consolidated balance sheets. Recently Issued Accounting Guidance Not Yet Adopted 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. ASU No. 2016-02, Leases (Topic 842) This amendment replaces the existing lease accounting model with a revised model. The primary change effectuated by the revised lease accounting model is the recognition of lease assets and lease liabilities by lessees for those leases classified as operating leases. January 1, 2018 The Company is currently evaluating the impact of this amendment on its consolidated financial statements. ASU No. 2016-07, Simplifying the Transition to the Equity Method of Accounting (Topic 323) This amendment eliminates the requirement that when an investment qualifies for use of the equity method as a result of an increase in the level of ownership interest or degree of influence, an investor must adjust the investment, results of operations, and retained earnings retroactively on a step-by-step basis as if the equity method had been in effect during all previous periods that the investment had been held. January 1, 2017 The Company does not expect that the adoption of ASU No. 2016-07 will have a material impact on its consolidated financial statements. ASU No. 2016-09, Improvements to Employee Share-Based Payment Accounting (Topic 718) This amendment was issued with the objective of simplifying several aspects of the accounting for share-based payment transactions, including the income tax consequences, classification of awards as either equity or liabilities, and classification on the statement of cash flows. Some of the areas for simplification apply only to nonpublic entities. January 1, 2017 The Company is currently evaluating the impact of this amendment on its consolidated financial statements. |
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. |
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. 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. |
Derivatives, 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. |
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: |
Agency MBS | |
Investment Security Purchases and Sales | 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. |
Private-Label MBS | |
Investment Security Purchases and Sales | 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 has elected to classify its investments in private-label MBS acquired in 2015 or later as trading securities. 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.” |
Summary of Significant Accoun20
Summary of Significant Accounting Policies (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Accounting Changes And Error Corrections [Abstract] | |
Effect of Company's Retrospective Application of Change in Accounting Policy | The following table presents the effect of the Company’s retrospective application of the change in accounting policy to the annual and quarterly periods of fiscal year 2015: Fiscal Year 2015 Total Year Fourth Quarter Third Quarter Second Quarter First Quarter Interest income: agency mortgage-backed securities: As previously reported $ 139,244 $ 35,475 $ 37,325 $ 34,530 $ 31,914 Retrospective adjustment (33,330 ) (7,136 ) (9,336 ) (10,404 ) (6,454 ) As revised $ 105,914 $ 28,339 $ 27,989 $ 24,126 $ 25,460 Gain (loss) on trading investments, net: As previously reported $ (64,388 ) $ (43,383 ) $ 27,553 $ (61,849 ) $ 13,291 Retrospective adjustment 33,330 7,136 9,336 10,404 6,454 As revised $ (31,058 ) $ (36,247 ) $ 36,889 $ (51,445 ) $ 19,745 Effect to previously reported net income (loss) $ — $ — $ — $ — $ — |
Investments in Agency MBS (Tabl
Investments in Agency MBS (Tables) - Agency MBS | 3 Months Ended |
Mar. 31, 2016 | |
Investments in Available for Sale Securities and Trading Securities | 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 March 31, 2016 December 31, 2015 Agency MBS classified as: Available-for-sale $ 25 $ 26 Trading 3,417,825 3,865,290 Total $ 3,417,850 $ 3,865,316 |
Additional Information Realized Gain Loss on Investments | 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: Three Months Ended March 31, 2016 2015 Net gains recognized in earnings for: Agency MBS still held at period end $ 43,818 $ 19,181 Agency MBS sold during the period 7,001 564 Total $ 50,819 $ 19,745 |
Investments in Private-Label 22
Investments in Private-Label MBS (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Weighted Average Underlying Loan Characteristics Private Label MBS | 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: March 31, 2016 December 31, 2015 Original loan-to-value 66 % 66 % Original FICO score 723 723 Three-month voluntary prepayment rate (annualized) 6.9 % 6.1 % Three-month default rate (annualized) 4.1 % 4.7 % Three-month loss severity rate (1) 46.3 % 36.9 % Three-month credit loss rate (annualized) (2) 1.9 % 1.7 % |
Unrealized Gain (Loss) on Investments | 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: March 31, 2016 Unpaid Principal Balance Net Discounts Amortized Cost Basis Unrealized Fair Value Gains Losses $ 156,093 $ (47,631 ) $ 108,462 $ 7,564 $ — $ 116,026 December 31, 2015 Unpaid Principal Balance Net Discounts Amortized Cost Basis Unrealized Fair Value Gains Losses $ 164,555 $ (52,620 ) $ 111,935 $ 15,601 $ — $ 127,536 |
Realized Gain (Loss) on Investments | The following table presents the results of sales of available-for-sale private-label MBS for the periods indicated: Three Months Ended March 31, 2016 2015 Proceeds from sales $ — $ 20,859 Gross realized gains — 3,348 Gross realized losses — — |
Other than Temporary Impairment, Credit Losses Recognized in Earnings | The Company recorded no other-than-temporary impairment charges on available-for-sale private-label MBS during the three months ended March 31, 2015. 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: Three Months Ended March 31, 2016 2015 Cumulative credit related other-than-temporary impairments, beginning balance $ 14,017 $ 18,903 Additions for: Securities for which other-than-temporary impairments have not previously occurred 99 — Securities with previously recognized other-than- temporary impairments — — Reductions for sold or matured securities — — Cumulative credit related other-than-temporary impairments, ending balance $ 14,116 $ 18,903 |
Private-Label MBS | |
Investments in Available for Sale Securities and Trading Securities | 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 March 31, 2016 December 31, 2015 Private-label MBS classified as: Available-for-sale $ 116,026 $ 127,536 Trading 13,205 2,899 Total $ 129,231 $ 130,435 |
Additional Information Realized Gain Loss on Investments | The following table provides additional information about the gains and losses recognized as a component of “investment gain (loss), net” for the periods indicated with respect to investments in private-label MBS classified as trading securities: Three Months Ended March 31, 2016 2015 Net gains recognized in earnings for: Private-label MBS still held at period end $ 137 $ — Private-label MBS sold during the period — — Total $ 137 $ — |
Private-Label MBS | Available-for-sale Securities | |
Private Label MBS Available for Sale Accretable Yield | The following table presents the changes in the accretable yield solely for available-for-sale private-label MBS for the three months ended March 31, 2016 and 2015: Three Months Ended March 31, 2016 2015 Beginning balance $ 85,052 $ 202,108 Accretion (2,573 ) (5,043 ) Reclassifications, net (11,966 ) (9,182 ) Eliminations in consolidation (3,515 ) — Sales — (12,585 ) Ending balance $ 66,998 $ 175,298 |
Borrowings (Tables)
Borrowings (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements | As of March 31, 2016 and December 31, 2015, 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 March 31, 2016 and December 31, 2015: March 31, 2016 December 31, 2015 Pledged with agency MBS: Repurchase agreements outstanding $ 3,029,877 $ 2,797,561 Agency MBS collateral, at fair value 3,200,829 2,946,684 Net amount (1) 170,952 149,123 Weighted-average rate 0.66 % 0.61 % Weighted-average term to maturity 16.0 days 12.8 days Pledged with private-label MBS: Repurchase agreements outstanding $ 32,504 $ 37,219 Private-label MBS collateral, at fair value 57,463 70,511 Net amount (1) 24,959 33,292 Weighted-average rate 2.45 % 2.42 % Weighted-average term to maturity 2.9 days 16.9 days Total MBS: Repurchase agreements outstanding $ 3,062,381 $ 2,834,780 MBS collateral, at fair value 3,258,292 3,017,195 Net amount (1) 195,911 182,415 Weighted-average rate 0.68 % 0.64 % Weighted-average term to maturity 15.9 days 12.8 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. The following table provides information regarding the Company’s outstanding repurchase agreement borrowings during the three months ended March 31, 2016 and 2015: March 31, 2016 March 31, 2015 Weighted-average outstanding balance during the three months ended $ 3,222,396 $ 3,219,172 Weighted-average rate during the three months ended 0.66 % 0.38 % |
Federal Home Loan Bank, Advances | 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 | As of March 31, 2016 and December 31, 2015, the Company had $73,489 and $73,433, respectively, of outstanding long-term debentures, net of unamortized debt issuance costs of $1,811 and $1,867, respectively. The Company’s long-term debentures consisted of the following as of the dates indicated: March 31, 2016 December 31, 2015 Senior Notes Due 2025 Senior Notes Due 2023 Trust Preferred Debt Senior Notes Due 2025 Senior Notes Due 2023 Trust Preferred Debt Outstanding Principal $ 35,300 $ 25,000 $ 15,000 $ 35,300 $ 25,000 $ 15,000 Annual Interest Rate 6.75 % 6.625 % LIBOR+ 2.25 - 3.00 % 6.75 % 6.625 % LIBOR+ 2.25 - 3.00 % Interest Payment Frequency Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Weighted-Average Interest Rate 6.75 % 6.625 % 3.37 % 6.75 % 6.625 % 3.07 % Maturity March 15, 2025 May 1, 2023 2033 - 2035 March 15, 2025 May 1, 2023 2033 - 2035 Early Redemption Date March 15, 2018 May 1, 2016 2008 - 2010 March 15, 2018 May 1, 2016 2008 - 2010 |
Derivative Instruments (Tables)
Derivative Instruments (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments | The following table presents the fair value of the Company’s derivative instruments as of the dates indicated: March 31, 2016 December 31, 2015 Assets Liabilities Assets Liabilities Interest rate swaps $ — $ (44,700 ) $ 6,153 $ — 10-year U.S. Treasury note futures 752 (19 ) 6,813 — Put options on 10-year U.S. Treasury note futures 781 — — — Put options on Eurodollar futures — — 25 — TBA commitments 4,054 — — (553 ) Total $ 5,587 $ (44,719 ) $ 12,991 $ (553 ) |
Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location | For the three months ended March 31, 2016 and 2015, the Company recorded net losses of $(100,760) and $(76,012), 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: Three Months Ended March 31, 2016 2015 Interest rate derivatives: Interest rate swaps - net interest expense (1) $ (3,997 ) $ — Interest rate swaps - unrealized losses, net (45,105 ) — Eurodollar futures, net — (39,794 ) U.S. Treasury note futures, net (61,077 ) (211 ) Put options on U.S. Treasury note futures, net (1,875 ) — 10-year interest rate swap futures and other, net (25 ) (37,154 ) Total interest rate derivative losses, net (112,079 ) (77,159 ) TBA commitments, net 11,319 1,147 Total derivative losses, net $ (100,760 ) $ (76,012 ) (1) Represents the periodic net interest settlement incurred during the period (often referred to as "net interest carry"). |
Derivative Instrument Volume of Activity | The following tables summarize the volume of activity, in terms of notional amount, related to derivative instruments for the periods indicated: For the Three Months Ended March 31, 2016 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 1,500,000 $ 250,000 $ — $ — $ 1,750,000 10-year U.S. Treasury note futures 1,335,000 868,500 (1,703,500 ) (125,000 ) 375,000 Put options on 10-year U.S. Treasury note futures — 2,000,000 — — 2,000,000 Put options on Eurodollar futures 4,000,000 — (4,000,000 ) — — Commitments to purchase (sell) MBS, net 375,000 1,500,000 (1,185,000 ) — 690,000 For the Three Months Ended March 31, 2015 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Eurodollar futures $ 41,090,000 $ 4,000,000 $ (2,365,000 ) $ — $ 42,725,000 10-year interest rate swap futures 1,145,000 480,000 (780,000 ) — 845,000 10-year U.S. Treasury note futures — 50,000 — — 50,000 Commitments to purchase (sell) MBS, net 200,000 317,544 (200,000 ) — 317,544 |
Derivative Instrument Cash Collateral | The following table presents information about the cash collateral posted by the Company in respect to its derivative instruments, which is included in the line item “deposits” in the accompanying consolidated balance sheets, for the periods indicated: March 31, 2016 December 31, 2015 Interest rate swaps $ 77,088 $ 17,434 U.S. Treasury note futures 4,280 11,197 TBA commitments 400 798 Total cash collateral posted $ 81,768 $ 29,429 |
Interest Rate Swap | |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments | The following table presents information as of the date indicated about the Company’s interest rate swap agreements, 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: March 31, 2016 Notional Amount Average Fixed Pay Rate Average Remaining Maturity (Years) Fair Value Years to maturity: Less than 2 years $ 750,000 1.04 % 1.7 $ (4,983 ) 2 to 10 years 1,000,000 2.03 % 9.8 (39,717 ) Total / weighted-average $ 1,750,000 1.61 % 6.3 $ (44,700 ) December 31, 2015 Notional Amount Average Fixed Pay Rate Average Remaining Maturity (Years) 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 | |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments | The following tables present information about the Company’s TBA purchase and sale commitments as of the dates indicated: March 31, 2016 Notional Amount: Net Purchase (Sale) Commitment Average Contractual Forward Price Average Market Price Fair Value 30-year 3.5% coupon $ 350,000 $ 364,073 $ 366,734 $ 2,661 30-year 4.0% coupon 340,000 361,717 363,110 1,393 Total $ 690,000 $ 725,790 $ 729,844 $ 4,054 December 31, 2015 Notional Amount: Net Purchase (Sale) Commitment Average Contractual Forward Price 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 $ 375,000 $ 389,811 $ 389,258 $ (553 ) |
Offsetting of Financial Asset25
Offsetting of Financial Assets and Liabilities (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Offsetting [Abstract] | |
Offsetting of Financial Assets and Liabilities | 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 March 31, 2016 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (1) Cash Collateral (2) Assets: Derivative instruments: 10-year U.S. Treasury note futures $ 752 $ — $ 752 $ (19 ) $ — $ 733 Put options on U.S. Treasury note futures 781 — 781 — — 781 TBA commitments 4,054 — 4,054 — — 4,054 Total derivative instruments 5,587 — 5,587 (19 ) — 5,568 Total assets $ 5,587 $ — $ 5,587 $ (19 ) $ — $ 5,568 Liabilities: Derivative instruments: Interest rate swaps $ 44,700 $ — $ 44,700 $ — $ (44,700 ) $ — 10-year U.S. Treasury note futures 19 — 19 (19 ) — — Total derivative instruments 44,719 — 44,719 (19 ) (44,700 ) — Repurchase agreements 3,062,381 — 3,062,381 (3,062,381 ) — — Total liabilities $ 3,107,100 $ — $ 3,107,100 $ (3,062,400 ) $ (44,700 ) $ — As of December 31, 2015 Gross Amount Recognized Amount Offset in the Consolidated Balance Sheets Net Amount Presented in the Consolidated Balance Sheets Gross Amount Not Offset in the Consolidated Balance Sheets Net Amount Financial Instruments (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 (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) | 3 Months Ended |
Mar. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements, Recurring and Nonrecurring | The following tables set forth financial instruments measured at fair value by level within the fair value hierarchy as of March 31, 2016 and December 31, 2015. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. March 31, 2016 Total Level 1 Level 2 Level 3 MBS Trading: Agency MBS $ 3,417,825 $ — $ 3,417,825 $ — Private-label MBS 13,205 — — 13,205 Total trading 3,431,030 — 3,417,825 13,205 Available-for-sale: Agency MBS 25 — 25 — Private-label MBS 116,026 — — 116,026 Total available-for-sale 116,051 — 25 116,026 Total MBS 3,547,081 — 3,417,850 129,231 Derivative assets 5,587 1,533 4,054 — Derivative liabilities (44,719 ) (19 ) (44,700 ) — Interest-only MBS 105 — — 105 Total $ 3,508,054 $ 1,514 $ 3,377,204 $ 129,336 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 |
Fair Value Inputs, Assets, Quantitative Information | 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: March 31, 2016 December 31, 2015 Weighted- average (1) Range Weighted- average (1) Range Discount rate 5.47 % 2.20 - 10.00 % 5.57 % 5.50 - 10.00 % Default rate 3.19 % 1.45 - 6.20 % 2.78 % 1.45 - 6.20 % Loss severity rate 46.78 % 35.00 - 65.00 % 45.84 % 35.00 - 65.00 % Total prepayment rate (including defaults) 11.59 % 7.75 - 17.70 % 11.02 % 7.75 - 17.70 % (1) Based on face value. |
Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings | The tables below set 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 periods indicated. Three Months Ended March 31, 2016 2015 Beginning balance $ 130,435 $ 267,437 Total net gains (losses) Included in investment (loss) gain, net 38 3,432 Included in other comprehensive income (8,036 ) (10,905 ) Purchases 5,357 — Sales — (20,859 ) Payments, net (1,534 ) (3,131 ) Accretion of discount 2,971 5,043 Ending balance $ 129,231 $ 241,017 Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date $ 38 $ — |
Earnings Per Share (Tables)
Earnings Per Share (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Earnings Per Share [Abstract] | |
Computations of Basic and Diluted Earnings (Loss) Per Share | The following tables present the computations of basic and diluted earnings (loss) per share for the periods indicated: Three Months Ended March 31, (Shares in thousands) 2016 2015 Basic weighted-average shares outstanding 22,994 22,973 Performance share units and unvested restricted stock — — Diluted weighted-average shares outstanding 22,994 22,973 Net loss $ (31,618 ) $ (42,185 ) Net loss per common share $ (1.38 ) $ (1.84 ) |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
Equity [Abstract] | |
Schedule of Dividends Payable | The Board of Directors has approved and the Company has declared and paid the following dividends to date in 2016: Quarter Ended Dividend Amount Declaration Date Record Date Pay Date March 31 $ 0.625 March 15 March 31 April 29 The Board of Directors approved and the Company declared and paid the following dividends for 2015: Quarter Ended Dividend Amount Declaration Date Record Date 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 |
Summary of Significant Accoun29
Summary of Significant Accounting Policies - Additional Information (Details) | Mar. 31, 2016 | Dec. 31, 2015 |
Earnings Per Share [Abstract] | ||
Cash Equivalents Percentage Held in Us Government Backed Securities | 99.00% | 98.00% |
Summary of Significant Accoun30
Summary of Significant Accounting Policies - Effect of Company Retrospective Application of Change in Accounting Policy (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2015 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||
Interest income: agency mortgage-backed securities | $ 28,339 | $ 27,989 | $ 24,126 | $ 25,460 | $ 105,914 | |
Gain (loss) on trading investments, net | $ 50,950 | (36,247) | 36,889 | (51,445) | 19,745 | (31,058) |
Net loss | $ (31,618) | (42,185) | (69,403) | |||
Scenario, Previously Reported [Member] | ||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||
Interest income: agency mortgage-backed securities | 35,475 | 37,325 | 34,530 | 31,914 | 139,244 | |
Gain (loss) on trading investments, net | (43,383) | 27,553 | (61,849) | 13,291 | (64,388) | |
Scenario, Retrospective Adjustment [Member] | ||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||||
Interest income: agency mortgage-backed securities | (7,136) | (9,336) | (10,404) | (6,454) | (33,330) | |
Gain (loss) on trading investments, net | $ 7,136 | $ 9,336 | $ 10,404 | $ 6,454 | $ 33,330 |
Investments in Agency MBS - Fai
Investments in Agency MBS - Fair Value of Available for Sale Securities and Trading investments in MBS (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Agency MBS classified as: | ||
Total | $ 3,547,081 | $ 3,995,751 |
Agency MBS | ||
Agency MBS classified as: | ||
Available-for-sale | 25 | 26 |
Trading | 3,417,825 | 3,865,290 |
Total | $ 3,417,850 | $ 3,865,316 |
Investments in Agency MBS - Add
Investments in Agency MBS - Additional Information About Gains and Losses Recognized with Respect to Investments in MBS classified as trading securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | ||||
Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2015 | |
Net gains recognized in earnings for: | ||||||
Gain on trading investments, net | $ 50,950 | $ (36,247) | $ 36,889 | $ (51,445) | $ 19,745 | $ (31,058) |
Private-Label MBS | ||||||
Net gains recognized in earnings for: | ||||||
MBS still held at period end | 137 | 0 | ||||
Gain on trading investments, net | 0 | 0 | ||||
Total | 137 | 0 | ||||
Agency MBS | ||||||
Net gains recognized in earnings for: | ||||||
MBS still held at period end | 43,818 | 19,181 | ||||
Gain on trading investments, net | 7,001 | 564 | ||||
Total | $ 50,819 | $ 19,745 |
Investments in Private-Label 33
Investments in Private-Label MBS - Fair Value of Available for Sale and Trading investments in MBS (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Private-label MBS classified as: | ||
Mortgage Backed Securities Fair Value Disclosure | $ 3,547,081 | $ 3,995,751 |
Private-Label MBS | ||
Private-label MBS classified as: | ||
Mortgage Backed Securities Fair Value Disclosure | 129,231 | 130,435 |
Private-Label MBS | Trading Securities | ||
Private-label MBS classified as: | ||
Mortgage Backed Securities Fair Value Disclosure | 13,205 | 2,899 |
Private-Label MBS | Available-for-sale Securities | ||
Private-label MBS classified as: | ||
Mortgage Backed Securities Fair Value Disclosure | $ 116,026 | $ 127,536 |
Investments in Private-Label 34
Investments in Private-Label MBS - Weighted Average Characteristics of Prime and Alt-A Residential Mortgage Loans that Serve as Collateral to Underlying REMIC Securitization Trusts MBS (Details) - Residential Mortgage - Score | Mar. 31, 2016 | Dec. 31, 2015 |
Underlying Collateral Quantitative Disclosures [Line Items] | ||
Original loan-to-value | 66.00% | 66.00% |
Original FICO score | 723 | 723 |
Three-month voluntary prepayment rate (annualized) | 6.90% | 6.10% |
Three-month default rate (annualized) | 4.10% | 4.70% |
Three-month loss severity rate | 46.30% | 36.90% |
Three-month credit loss rate (annualized) | 1.90% | 1.70% |
Investments in Private-Label 35
Investments in Private-Label MBS - Gross Unrealized Gains and Losses Accumulated in Other Comprehensive Income for Investments in Available-for-sale MBS (Details) - Private-label MBS - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Schedule of Available-for-sale Securities [Line Items] | ||
Unpaid Principal Balance | $ 156,093 | $ 164,555 |
Net Discounts | (47,631) | (52,620) |
Amortized Cost Basis | 108,462 | 111,935 |
Unrealized Gains | 7,564 | 15,601 |
Unrealized Losses | 0 | 0 |
Fair Value | $ 116,026 | $ 127,536 |
Investments in Private-Label 36
Investments in Private-Label MBS - Results of Sales of Available-for-sale MBS (Details) - Private-Label MBS - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Proceeds from sales | $ 0 | $ 20,859 |
Gross realized gains | 0 | 3,348 |
Gross realized losses | $ 0 | $ 0 |
Investments in Private-Label 37
Investments in Private-Label MBS - Changes in Accretable Yield Solely for Available-for-sale MBS (Details) - Available-for-sale Securities - Private-Label MBS - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||
Beginning balance | $ 85,052 | $ 202,108 |
Accretion | (2,573) | (5,043) |
Reclassifications, net | (11,966) | (9,182) |
Eliminations in consolidation | 0 | (12,585) |
Ending balance | 66,998 | 175,298 |
Consolidation, Eliminations | ||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||
Eliminations in consolidation | $ (3,515) | $ 0 |
Investments in Private-Label 38
Investments in Private-Label MBS - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Jun. 30, 2015 | |
Private-Label MBS | ||
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net, Available-for-sale Securities | $ 99 | $ 0 |
Investments in Private-Label 39
Investments in Private-Label MBS - Cumulative Credit Related Other than Temporary Impairment Charges Recognized on Available-for-sale MBS (Details) - Available-for-sale Securities - Private-Label MBS - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | ||
Cumulative credit related other-than-temporary impairments, beginning balance | $ 14,017 | $ 18,903 |
Additions for: | ||
Securities for which other-than-temporary impairments have not previously occurred | 99 | 0 |
Securities with previously recognized other-than-temporary impairments | 0 | 0 |
Reductions | ||
Reductions for sold or matured securities | 0 | 0 |
Cumulative credit related other-than-temporary impairments, ending balance | $ 14,116 | $ 18,903 |
Borrowings - Outstanding Repurc
Borrowings - Outstanding Repurchase Agreement Borrowings (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | ||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 3,062,381 | $ 2,834,780 | |
MBS collateral, at fair value | 3,258,292 | 3,017,195 | |
Net amount | [1] | $ 195,911 | $ 182,415 |
Weighted-average rate | 0.68% | 0.64% | |
Weighted-average term to maturity (in days) | 15.9 days | 12.8 days | |
Pledged with agency-backed MBS | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 3,029,877 | $ 2,797,561 | |
MBS collateral, at fair value | 3,200,829 | 2,946,684 | |
Net amount | [1] | $ 170,952 | $ 149,123 |
Weighted-average rate | 0.66% | 0.61% | |
Weighted-average term to maturity (in days) | 16.0 days | 12.8 days | |
Pledged with private-label MBS | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 32,504 | $ 37,219 | |
MBS collateral, at fair value | 57,463 | 70,511 | |
Net amount | [1] | $ 24,959 | $ 33,292 |
Weighted-average rate | 2.45% | 2.42% | |
Weighted-average term to maturity (in days) | 2.9 days | 16.9 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 - Information Regard
Borrowings - Information Regarding Outstanding Repurchase Agreement Borrowings During the Period (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Debt Disclosure [Abstract] | ||
Weighted-average outstanding balance during the three months ended | $ 3,222,396 | $ 3,219,172 |
Weighted-average rate during the three months ended | 0.66% | 0.38% |
Borrowings - Additional Informa
Borrowings - Additional Information (Details) - USD ($) $ in Thousands | Mar. 18, 2015 | Mar. 31, 2015 | Mar. 31, 2016 | Dec. 31, 2015 |
Debt Instrument [Line Items] | ||||
Federal Home Loan Bank Advances Capital Stock Acquired | $ 2 | $ 15,740 | ||
Long-term Debt | 73,489 | 73,433 | ||
Net of unamortized debt issuance costs | 1,811 | 1,867 | ||
Proceeds from Issuance of Long-term Debt | $ 34,188 | |||
Senior Notes Due In 2025 | ||||
Debt Instrument [Line Items] | ||||
Long-term Debt | $ 35,300 | $ 35,300 | $ 35,300 | |
Debt Instrument, Interest Rate, Stated Percentage | 6.75% | 6.75% | 6.75% | |
Proceeds from Issuance of Long-term Debt | $ 34,063 |
Borrowings - Borrowings - Outst
Borrowings - Borrowings - Outstanding FHLB advances (Details) - Federal Home Loan Bank of Cincinnati $ in Thousands | 12 Months Ended | |
Dec. 31, 2015USD ($) | ||
Federal Home Loan Bank Advances Branch Of F H L B Bank [Line Items] | ||
FHLB advances outstanding | $ 786,900 | |
Agency MBS collateral, at fair value | 805,163 | |
Net amount | $ 18,263 | [1] |
Weighted-average rate | 0.36% | |
Weighted-average term to maturity | 12 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 - Long-term Debt Ins
Borrowings - Long-term Debt Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | Mar. 18, 2015 | |
Senior Notes Due 2025 | |||
Debt Instrument [Line Items] | |||
Outstanding Principal | $ 35,300 | $ 35,300 | $ 35,300 |
Annual Interest Rate | 6.75% | 6.75% | 6.75% |
Interest Payment Frequency | Quarterly | Quarterly | |
Weighted-Average Interest Rate | 6.75% | 6.75% | |
Maturity | Mar. 15, 2025 | Mar. 15, 2025 | |
Early Redemption Date | Mar. 15, 2018 | Mar. 15, 2018 | |
Senior Notes Due 2023 | |||
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 | |
Trust Preferred Debt | |||
Debt Instrument [Line Items] | |||
Outstanding Principal | $ 15,000 | $ 15,000 | |
Interest Payment Frequency | Quarterly | Quarterly | |
Weighted-Average Interest Rate | 3.37% | 3.07% | |
Annual Interest Rate | LIBOR+ 2.25 - 3.00 % | LIBOR+ 2.25 - 3.00 % | |
Trust Preferred Debt | Minimum | |||
Debt Instrument [Line Items] | |||
Maturity | 2,033 | 2,033 | |
Early Redemption Date | 2,008 | 2,008 | |
Trust Preferred Debt | Maximum | |||
Debt Instrument [Line Items] | |||
Maturity | 2,035 | 2,035 | |
Early Redemption Date | 2,010 | 2,010 |
Derivative Instruments - Fair V
Derivative Instruments - Fair Value of Derivative Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Derivative Assets | $ 5,587 | $ 12,991 |
Derivative Liabilities | (44,719) | (553) |
Interest Rate Swap | ||
Derivative Assets | 0 | 6,153 |
Derivative Liabilities | (44,700) | 0 |
10-year U.S. Treasury Note Futures | ||
Derivative Assets | 752 | 6,813 |
Derivative Liabilities | (19) | 0 |
Put Options on 10-year U.S. Treasury Note Futures | ||
Derivative Assets | 781 | 0 |
Derivative Liabilities | 0 | 0 |
Put Options on Eurodollar Futures | ||
Derivative Assets | 0 | 25 |
Derivative Liabilities | 0 | 0 |
TBA Commitments | ||
Derivative Assets | 4,054 | 0 |
Derivative Liabilities | $ 0 | $ (553) |
Derivative Instruments - Intere
Derivative Instruments - Interest Rate Swap Agreements (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Fair Value | $ (44,719) | $ (553) |
Fair Value | 5,587 | 12,991 |
Interest Rate Swap | ||
Notional Amount | $ 1,750,000 | $ 1,500,000 |
Average Fixed Pay Rate | 1.61% | 1.58% |
Average Remaining Maturity (in years) | 6 years 3 months 18 days | 5 years 10 months 24 days |
Fair Value | $ (44,700) | $ 0 |
Fair Value | 0 | 6,153 |
Interest Rate Swap | Less Than Two Year Maturity | ||
Notional Amount | $ 750,000 | $ 750,000 |
Average Fixed Pay Rate | 1.04% | 1.04% |
Average Remaining Maturity (in years) | 1 year 8 months 12 days | 1 year 10 months 24 days |
Fair Value | $ (4,983) | |
Fair Value | $ 1,166 | |
Interest Rate Swap | Two to Ten Year Maturity | ||
Notional Amount | $ 1,000,000 | $ 750,000 |
Average Fixed Pay Rate | 2.03% | 2.12% |
Average Remaining Maturity (in years) | 9 years 9 months 18 days | 9 years 10 months 24 days |
Fair Value | $ (39,717) | |
Fair Value | $ 4,987 |
Derivative Instruments - Additi
Derivative Instruments - Additional Information - (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Derivative [Line Items] | |||
Gain (Loss) on Derivative Instruments, Net, Pretax | $ (100,760) | $ (76,012) | |
Put Options on 10-year U.S. Treasury Note Futures | |||
Derivative [Line Items] | |||
Notional Amount | 2,000,000 | $ 0 | |
Option premiums | $ 2,656 | ||
Weighted average strike price | 2.45% | ||
10-year U.S. Treasury note futures | |||
Derivative [Line Items] | |||
Notional Amount | $ 375,000 |
Derivative Instruments - TBA Pu
Derivative Instruments - TBA Purchase and Sale Commitments (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Fair Value | $ 5,587 | $ 12,991 |
Fair Value | (44,719) | (553) |
TBA Commitments | ||
Notional Amount: Net Purchase (Sale) Commitment | 690,000 | 375,000 |
Average Contractual Forward Price | 725,790 | 389,811 |
Average Market Price | 729,844 | 389,258 |
Fair Value | 4,054 | 0 |
Fair Value | 0 | (553) |
Thirty Years and Three Point Five Percent Coupon | TBA Commitments | ||
Notional Amount: Net Purchase (Sale) Commitment | 350,000 | 275,000 |
Average Contractual Forward Price | 364,073 | 283,928 |
Average Market Price | 366,734 | 283,469 |
Fair Value | 2,661 | |
Fair Value | (459) | |
Thirty Years and Four Percent Coupon | TBA Commitments | ||
Notional Amount: Net Purchase (Sale) Commitment | 340,000 | 100,000 |
Average Contractual Forward Price | 361,717 | 105,883 |
Average Market Price | 363,110 | 105,789 |
Fair Value | $ 1,393 | |
Fair Value | $ (94) |
Derivative Instruments - Deriva
Derivative Instruments - Derivative Gains and Losses Recognized Within the Periods (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Interest rate derivatives | $ (112,079) | $ (77,159) | |
Gain (Loss) on Derivative Instruments, Net, Pretax | (100,760) | (76,012) | |
Interest Rate Swaps Net Interest Expense | |||
Interest rate derivatives | [1] | (3,997) | 0 |
Interest Rate Swaps Unrealized Losses | |||
Interest rate derivatives | (45,105) | 0 | |
Eurodollar Futures | |||
Interest rate derivatives | 0 | (39,794) | |
Put Options on U.S. Treasury Note Futures | |||
Interest rate derivatives | (1,875) | 0 | |
10-year Interest Rate Swap Futures | |||
Interest rate derivatives | (25) | (37,154) | |
TBA Commitments | |||
Gain (Loss) on Derivative Instruments, Net, Pretax | 11,319 | 1,147 | |
U.S. Treasury Note Futures | |||
Interest rate derivatives | $ (61,077) | $ (211) | |
[1] | Represents the periodic net interest settlement incurred during the period (often referred to as "net interest carry"). |
Derivative Instruments - Volume
Derivative Instruments - Volume of Activity, in terms of Notional Amount, Related to Derivative Instruments (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Interest Rate Swap | ||
Derivative [Line Items] | ||
Beginning of Period | $ 1,500,000 | |
Additions | 250,000 | |
Scheduled Settlements | 0 | |
Early Terminations | 0 | |
End of Period | 1,750,000 | |
10-year U.S. Treasury Note Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 1,335,000 | $ 0 |
Additions | 868,500 | 50,000 |
Scheduled Settlements | (1,703,500) | 0 |
Early Terminations | (125,000) | 0 |
End of Period | 375,000 | 50,000 |
Put Options on 10-year U.S. Treasury Note Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 0 | |
Additions | 2,000,000 | |
Scheduled Settlements | 0 | |
Early Terminations | 0 | |
End of Period | 2,000,000 | |
Put Options on Eurodollar Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 4,000,000 | |
Additions | 0 | |
Scheduled Settlements | (4,000,000) | |
Early Terminations | 0 | |
End of Period | 0 | |
Commitments To Purchase (sell) MBS | ||
Derivative [Line Items] | ||
Beginning of Period | 375,000 | 200,000 |
Additions | 1,500,000 | 317,544 |
Scheduled Settlements | (1,185,000) | (200,000) |
Early Terminations | 0 | 0 |
End of Period | $ 690,000 | 317,544 |
Eurodollar Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 41,090,000 | |
Additions | 4,000,000 | |
Scheduled Settlements | (2,365,000) | |
Early Terminations | 0 | |
End of Period | 42,725,000 | |
10-year Interest Rate Swap Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 1,145,000 | |
Additions | 480,000 | |
Scheduled Settlements | (780,000) | |
Early Terminations | 0 | |
End of Period | $ 845,000 |
Derivative Instruments - Cash C
Derivative Instruments - Cash Collateral Posted in Respect of Derivative Instruments(Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Deposits | $ 81,768 | $ 29,429 |
U.S. Treasury Note Futures | ||
Deposits | 4,280 | 11,197 |
Interest Rate Swap | ||
Deposits | 77,088 | 17,434 |
TBA Commitments | ||
Deposits | $ 400 | $ 798 |
Derivative Instruments and Shor
Derivative Instruments and Short-term Borrowing Arrangements, including those Subject to Master Netting or Similar Arrangements (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 | |
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | $ 5,587 | $ 12,991 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 5,587 | 12,991 | |
Derivative Asset, Financial Instruments | [1] | (19) | 0 |
Derivative Asset, Cash Collateral | [2] | 0 | 0 |
Derivative Asset, Net amount Total | 5,568 | 12,991 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 44,719 | 553 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 44,719 | 553 | |
Derivative Liabilities, Financial Instruments | [1] | (19) | 0 |
Derivative Liabilities, Cash Collateral | [2] | (44,700) | (387) |
Derivative Liabilities, Net amount Total | 0 | 166 | |
Derivative Financial Instruments, Liabilities | |||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 3,107,100 | 3,622,233 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 3,107,100 | 3,622,233 | |
Derivative Liabilities, Financial Instruments | [1] | (3,062,400) | (3,621,680) |
Derivative Liabilities, Cash Collateral | [2] | (44,700) | (387) |
Derivative Liabilities, Net amount Total | 0 | 166 | |
Federal Home Loan Bank Advances | |||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 786,900 | ||
Derivative Liabilities, Amount Offset | 0 | ||
Derivative Liabilities, Net Amount | 786,900 | ||
Derivative Liabilities, Financial Instruments | [1] | (786,900) | |
Derivative Liabilities, Cash Collateral | [2] | 0 | |
Derivative Liabilities, Net amount Total | 0 | ||
Derivative Financial Instruments, Assets | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 5,587 | 12,991 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 5,587 | 12,991 | |
Derivative Asset, Financial Instruments | [1] | (19) | 0 |
Derivative Asset, Cash Collateral | [2] | 0 | 0 |
Derivative Asset, Net amount Total | 5,568 | 12,991 | |
U.S. Treasury note futures | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 752 | 6,813 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 752 | 6,813 | |
Derivative Asset, Financial Instruments | [1] | (19) | 0 |
Derivative Asset, Cash Collateral | [2] | 0 | 0 |
Derivative Asset, Net amount Total | 733 | 6,813 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 19 | ||
Derivative Liabilities, Amount Offset | 0 | ||
Derivative Liabilities, Net Amount | 19 | ||
Derivative Liabilities, Financial Instruments | [1] | (19) | |
Derivative Liabilities, Cash Collateral | [2] | 0 | |
Derivative Liabilities, Net amount Total | 0 | ||
U.S. Treasury note futures | Put Option | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 781 | ||
Derivative Asset, Amount Offset | 0 | ||
Derivative Asset, Net Amount | 781 | ||
Derivative Asset, Financial Instruments | [1] | 0 | |
Derivative Asset, Cash Collateral | [2] | 0 | |
Derivative Asset, Net amount Total | 781 | ||
Repurchase Agreements | |||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 3,062,381 | 2,834,780 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 3,062,381 | 2,834,780 | |
Derivative Liabilities, Financial Instruments | [1] | (3,062,381) | (2,834,780) |
Derivative Liabilities, Cash Collateral | [2] | 0 | 0 |
Derivative Liabilities, Net amount Total | 0 | 0 | |
TBA Commitments | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 4,054 | ||
Derivative Asset, Amount Offset | 0 | ||
Derivative Asset, Net Amount | 4,054 | 0 | |
Derivative Asset, Financial Instruments | [1] | 0 | |
Derivative Asset, Cash Collateral | [2] | 0 | |
Derivative Asset, Net amount Total | 4,054 | ||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 553 | ||
Derivative Liabilities, Amount Offset | 0 | ||
Derivative Liabilities, Net Amount | 0 | 553 | |
Derivative Liabilities, Financial Instruments | [1] | 0 | |
Derivative Liabilities, Cash Collateral | [2] | (387) | |
Derivative Liabilities, Net amount Total | 166 | ||
10-year interest rate swap futures | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 6,153 | ||
Derivative Asset, Amount Offset | 0 | ||
Derivative Asset, Net Amount | 6,153 | ||
Derivative Asset, Financial Instruments | [1] | 0 | |
Derivative Asset, Cash Collateral | [2] | 0 | |
Derivative Asset, Net amount Total | 6,153 | ||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 44,700 | ||
Derivative Liabilities, Amount Offset | 0 | ||
Derivative Liabilities, Net Amount | 44,700 | ||
Derivative Liabilities, Financial Instruments | [1] | 0 | |
Derivative Liabilities, Cash Collateral | [2] | (44,700) | |
Derivative Liabilities, Net amount Total | $ 0 | ||
Eurodollar Future | Put Option | |||
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 | ||
[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 - Addit
Fair Value Measurements - Additional Information (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Long-term Debt, Fair Value | $ 57,638 | $ 59,130 |
Long-term Debt, Total | 73,489 | 73,433 |
Federal Home Loan Bank Advances Capital Stock Acquired | 2 | 15,740 |
Private Equity Funds | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Investments in equity securities and investment funds, at cost | 1,558 | 1,558 |
Investments in equity securities and investment funds, fair value | $ 6,585 | $ 5,989 |
Fair Value Measurements - Finan
Fair Value Measurements - Financial Instruments Measured at Fair Value on a Recurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2016 | Dec. 31, 2015 |
Available-for-sale: | ||
Total | $ 3,547,081 | $ 3,995,751 |
Derivative assets, at fair value | 5,587 | 12,991 |
Derivative Liabilities | (44,719) | (553) |
Total | 3,508,054 | 4,008,307 |
Agency MBS | ||
MBS | ||
Total trading | 3,417,825 | 3,865,290 |
Available-for-sale: | ||
Available-for-sale | 25 | 26 |
Total | 3,417,850 | 3,865,316 |
Private-Label MBS | ||
MBS | ||
Total trading | 13,205 | 2,899 |
Available-for-sale: | ||
Available-for-sale | 116,026 | 127,536 |
Total | 129,231 | 130,435 |
MBS | ||
MBS | ||
Total trading | 3,431,030 | 3,868,189 |
Available-for-sale: | ||
Available-for-sale | 116,051 | 127,562 |
Interest-Only-Strip | ||
Available-for-sale: | ||
Interest-only MBS, at fair value | 105 | 118 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 1 | ||
Available-for-sale: | ||
Total | 0 | 0 |
Derivative assets, at fair value | 1,533 | 6,838 |
Derivative Liabilities | (19) | 0 |
Total | 1,514 | 6,838 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 2 | ||
Available-for-sale: | ||
Total | 3,417,850 | 3,865,316 |
Derivative assets, at fair value | 4,054 | 6,153 |
Derivative Liabilities | (44,700) | (553) |
Total | 3,377,204 | 3,870,916 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | ||
Available-for-sale: | ||
Total | 129,231 | 130,435 |
Derivative assets, at fair value | 0 | 0 |
Derivative Liabilities | 0 | 0 |
Total | 129,336 | 130,553 |
Fair Value, Measurements, Recurring | Agency MBS | Fair Value, Inputs, Level 1 | ||
MBS | ||
Total trading | 0 | 0 |
Available-for-sale: | ||
Available-for-sale | 0 | 0 |
Fair Value, Measurements, Recurring | Agency MBS | Fair Value, Inputs, Level 2 | ||
MBS | ||
Total trading | 3,417,825 | 3,865,290 |
Available-for-sale: | ||
Available-for-sale | 25 | 26 |
Fair Value, Measurements, Recurring | Agency MBS | Fair Value, Inputs, Level 3 | ||
MBS | ||
Total trading | 0 | 0 |
Available-for-sale: | ||
Available-for-sale | 0 | 0 |
Fair Value, Measurements, Recurring | Private-Label MBS | Fair Value, Inputs, Level 1 | ||
MBS | ||
Total trading | 0 | 0 |
Available-for-sale: | ||
Available-for-sale | 0 | 0 |
Fair Value, Measurements, Recurring | Private-Label MBS | Fair Value, Inputs, Level 2 | ||
MBS | ||
Total trading | 0 | 0 |
Available-for-sale: | ||
Available-for-sale | 0 | 0 |
Fair Value, Measurements, Recurring | Private-Label MBS | Fair Value, Inputs, Level 3 | ||
MBS | ||
Total trading | 13,205 | 2,899 |
Available-for-sale: | ||
Available-for-sale | 116,026 | 127,536 |
Fair Value, Measurements, Recurring | MBS | Fair Value, Inputs, Level 1 | ||
MBS | ||
Total trading | 0 | 0 |
Available-for-sale: | ||
Available-for-sale | 0 | 0 |
Fair Value, Measurements, Recurring | MBS | Fair Value, Inputs, Level 2 | ||
MBS | ||
Total trading | 3,417,825 | 3,865,290 |
Available-for-sale: | ||
Available-for-sale | 25 | 26 |
Fair Value, Measurements, Recurring | MBS | Fair Value, Inputs, Level 3 | ||
MBS | ||
Total trading | 13,205 | 2,899 |
Available-for-sale: | ||
Available-for-sale | 116,026 | 127,536 |
Fair Value, Measurements, Recurring | Interest-Only-Strip | Fair Value, Inputs, Level 1 | ||
Available-for-sale: | ||
Interest-only MBS, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Interest-Only-Strip | Fair Value, Inputs, Level 2 | ||
Available-for-sale: | ||
Interest-only MBS, at fair value | 0 | 0 |
Fair Value, Measurements, Recurring | Interest-Only-Strip | Fair Value, Inputs, Level 3 | ||
Available-for-sale: | ||
Interest-only MBS, at fair value | $ 105 | $ 118 |
Fair Value Measurements - Signi
Fair Value Measurements - Significant Unobservable Inputs Used to Measure Fair value on Private-Label Mortgage-Backed Securities (Details) - Pledged with private-label MBS | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | |||
Discount rate | [1] | 5.47% | 5.57% |
Default rate | [1] | 3.19% | 2.78% |
Loss severity rate | [1] | 46.78% | 45.84% |
Total prepayment rate (including defaults) | [1] | 11.59% | 11.02% |
Minimum | |||
Fair Value Inputs Assets Quantitative Information [Line Items] | |||
Discount rate | 2.20% | 5.50% | |
Default rate | 1.45% | 1.45% | |
Loss severity rate | 35.00% | 35.00% | |
Total prepayment rate (including defaults) | 7.75% | 7.75% | |
Maximum | |||
Fair Value Inputs Assets Quantitative Information [Line Items] | |||
Discount rate | 10.00% | 10.00% | |
Default rate | 6.20% | 6.20% | |
Loss severity rate | 65.00% | 65.00% | |
Total prepayment rate (including defaults) | 17.70% | 17.70% | |
[1] | Based on face value. |
Fair Value Measurements - Chang
Fair Value Measurements - Changes in Fair Value and Gains and Losses of Level 3 Investments in Private-label MBS that are Measured at Fair Value on Recurring Basis (Details) - Pledged with private-label MBS - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||
Beginning balance | $ 130,435 | $ 267,437 |
Total net gains (losses) Included in investment (loss) gain, net | 38 | 3,432 |
Total net gains (losses) Included in other comprehensive income | (8,036) | (10,905) |
Purchases | 5,357 | |
Sales | 0 | (20,859) |
Payments, net | (1,534) | (3,131) |
Accretion of discount | 2,971 | 5,043 |
Ending balance | 129,231 | $ 241,017 |
Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date | $ 38 |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
Income Tax Disclosure [Line Items] | ||
Deferred Tax Assets, Net | $ 101,480 | $ 97,530 |
Effective Income Tax Rate Reconciliation, Change in Deferred Tax Assets Valuation Allowance, Amount | 11,955 | |
NCL | ||
Income Tax Disclosure [Line Items] | ||
Deferred Tax Assets, Valuation Allowance | $ 92,618 | $ 80,663 |
Earnings Per Share - Computatio
Earnings Per Share - Computations of Basic and Diluted Earnings (Loss) Per Share (Details) - USD ($) $ / shares in Units, shares in Thousands, $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | Dec. 31, 2015 | |
Earnings Per Share [Abstract] | |||
Basic weighted-average shares outstanding | 22,994 | 22,973 | |
Diluted weighted-average shares outstanding | 22,994 | 22,973 | |
Net loss | $ (31,618) | $ (42,185) | $ (69,403) |
Net loss per common share | $ (1.38) | $ (1.84) |
Earnings Per Share - Additional
Earnings Per Share - Additional Information (Details) - shares | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Restricted Stock and Performance Shares | ||
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 46,156 | 123,242 |
Shareholders' Equity - Dividend
Shareholders' Equity - Dividends Declared and Paid (Details) - $ / shares | 3 Months Ended | ||||
Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | |
Equity [Abstract] | |||||
Dividend Amount (in dollars per share) | $ 0.625 | $ 0.625 | $ 0.625 | $ 0.875 | $ 0.875 |
Declaration Date | Mar. 15, 2016 | Dec. 17, 2015 | Sep. 17, 2015 | Jun. 17, 2015 | Mar. 10, 2015 |
Record Date | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 |
Pay Date | Apr. 29, 2016 | Jan. 29, 2016 | Oct. 30, 2015 | Jul. 31, 2015 | Apr. 30, 2015 |
Shareholders' Equity - Addition
Shareholders' Equity - Additional Information (Details) - shares | 3 Months Ended | |
Mar. 31, 2016 | Oct. 31, 2015 | |
Common Class A | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Stock Repurchase Program, Number of Shares Authorized to be Repurchased | 2,000,000 | |
Stock Repurchase Program, Remaining Number of Shares Authorized to be Repurchased | 1,951,305 | |
Common Class A | Common Stock | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Conversion of Stock, Shares Converted | 4,612 | |
Common Class B | Common Stock | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Conversion of Stock, Shares Converted | 4,612 |