Document And Entity Information
Document And Entity Information - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2016 | Feb. 10, 2017 | Jun. 30, 2016 | |
Document Information [Line Items] | |||
Document Type | 10-K | ||
Amendment Flag | false | ||
Document Period End Date | Dec. 31, 2016 | ||
Document Fiscal Year Focus | 2,016 | ||
Document Fiscal Period Focus | FY | ||
Entity Registrant Name | Arlington Asset Investment Corp. | ||
Entity Central Index Key | 1,209,028 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Filer Category | Accelerated Filer | ||
Entity Public Float | $ 293 | ||
Trading Symbol | AI | ||
Common Class A | |||
Document Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 23,628,167 | ||
Common Class B | |||
Document Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 0 |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
ASSETS | ||
Cash and cash equivalents | $ 54,794 | $ 36,987 |
Interest receivable | 11,646 | 11,936 |
Mortgage-backed securities, at fair value | 3,912,641 | 3,995,869 |
Derivative assets, at fair value | 74,889 | 12,991 |
Deferred tax assets, net | 73,432 | 97,530 |
Deposits, net | 11,149 | 29,429 |
Other assets | 3,003 | 18,197 |
Total assets | 4,141,554 | 4,202,939 |
Liabilities: | ||
Repurchase agreements | 3,649,102 | 2,834,780 |
Federal Home Loan Bank advances | 0 | 786,900 |
Interest payable | 3,434 | 2,436 |
Accrued compensation and benefits | 5,406 | 5,170 |
Dividend payable | 15,739 | 14,504 |
Derivative liabilities, at fair value | 9,554 | 553 |
Other liabilities | 1,247 | 1,132 |
Long-term debt | 73,656 | 73,433 |
Total liabilities | 3,758,138 | 3,718,908 |
Commitments and contingencies (Note 11) | ||
Stockholders’ Equity: | ||
Preferred stock, $0.01 par value, 25,000,000 shares authorized, none issued and outstanding | ||
Additional paid-in capital | 1,910,284 | 1,898,085 |
Accumulated other comprehensive income, net of taxes of $-0- and $3,230, respectively | 0 | 12,371 |
Accumulated deficit | (1,527,104) | (1,426,655) |
Total stockholders’ equity | 383,416 | 484,031 |
Total liabilities and stockholders’ equity | 4,141,554 | 4,202,939 |
Agency MBS | ||
ASSETS | ||
Mortgage-backed securities, at fair value | 3,911,375 | 3,865,316 |
Liabilities: | ||
Repurchase agreements | 3,649,102 | 2,797,561 |
Private-Label MBS | ||
ASSETS | ||
Mortgage-backed securities, at fair value | 1,266 | 130,553 |
Liabilities: | ||
Repurchase agreements | 37,219 | |
Common Class A | ||
Stockholders’ Equity: | ||
Common stock | 236 | 229 |
Common Class B | ||
Stockholders’ Equity: | ||
Common stock | $ 0 | $ 1 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Dec. 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) | $ 0 | $ 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) | 23,607,111 | 22,874,819 |
Common stock, shares outstanding (in shares) | 23,607,111 | 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) | 20,256 | 102,216 |
Common stock, shares outstanding (in shares) | 20,256 | 102,216 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Interest income | |||
Mortgage-backed securities | $ 105,914 | $ 79,930 | |
Other | $ 373 | 7 | 23 |
Total interest income | 105,336 | 121,263 | 105,577 |
Interest expense | |||
Short-term debt | 24,433 | 14,701 | 9,181 |
Long-term debt | 4,789 | 4,188 | 2,210 |
Total interest expense | 29,222 | 18,889 | 11,391 |
Net interest income | 76,114 | 102,374 | 94,186 |
Investment loss, net | |||
Realized gain on sale of available-for-sale investments, net | 4,777 | 17,725 | 17,257 |
Other-than-temporary impairment charges | (1,737) | (2,417) | (449) |
(Loss) gain on trading investments, net | (41,249) | (31,058) | 102,122 |
Loss from derivative instruments, net | (31,660) | (104,743) | (139,938) |
Other, net | 551 | 2,064 | 721 |
Total investment loss, net | (69,318) | (118,429) | (20,287) |
General and administrative expenses | |||
Compensation and benefits | 11,526 | 9,719 | 13,467 |
Other general and administrative expenses | 9,230 | 5,068 | 5,032 |
Total general and administrative expenses | 20,756 | 14,787 | 18,499 |
(Loss) income before income taxes | (13,960) | (30,842) | 55,400 |
Income tax provision | 27,387 | 38,561 | 47,647 |
Net (loss) income | $ (41,347) | $ (69,403) | $ 7,753 |
Basic (loss) earnings per share | $ (1.79) | $ (3.02) | $ 0.39 |
Diluted (loss) earnings per share | $ (1.79) | $ (3.02) | $ 0.38 |
Weighted-average shares outstanding (in thousands) | |||
Basic | 23,051 | 23,002 | 20,043 |
Diluted | 23,051 | 23,002 | 20,397 |
Other comprehensive (loss) income, net of taxes | |||
Unrealized gains (losses) on available-for-sale securities (net of taxes of $(3,946), $(4,281), and $633, respectively) | $ (6,197) | $ (7,033) | $ 995 |
Reclassification | |||
Included in investment loss, net, related to sales of available-for-sale securities (net of taxes of $40, $(5,095), and $(5,499), respectively) | (7,235) | (17,945) | (11,666) |
Included in investment loss, net, related to other-than-temporary impairment charges on available-for-sale securities (net of taxes of $676, $940, $175, respectively) | 1,061 | 1,477 | 274 |
Comprehensive loss | (53,718) | (92,904) | (2,644) |
Agency MBS | |||
Interest income | |||
Mortgage-backed securities | 97,053 | 105,914 | 79,930 |
Private-Label MBS | |||
Interest income | |||
Mortgage-backed securities | 7,910 | 15,342 | 25,624 |
Investment loss, net | |||
(Loss) gain on trading investments, net | $ (221) | $ 0 | $ 0 |
CONSOLIDATED STATEMENTS OF COM5
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (Parenthetical) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Statement Of Income And Comprehensive Income [Abstract] | |||
Unrealized gains (losses) for the period on available-for-sale securities, taxes | $ (3,946) | $ (4,281) | $ 633 |
Included in investment loss, net, related to sales of available-for-sale securities, taxes | 40 | (5,095) | (5,499) |
Included in investment loss, net, related to other-than-temporary impairment charges on available-for-sale securities, taxes | $ 676 | $ 940 | $ 175 |
CONSOLIDATED STATEMENTS OF CHAN
CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY - 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, 2013 | $ 553,271 | $ 160 | $ 6 | $ 1,727,398 | $ 46,269 | $ (1,220,562) |
Balances (in shares) at Dec. 31, 2013 | 16,047,965 | 554,055 | ||||
Net income (loss) | 7,753 | 7,753 | ||||
Conversion of Class B common stock to Class A common stock | $ 5 | $ (5) | ||||
Conversion of Class B common stock to Class A common stock (in shares) | 448,186 | (448,186) | ||||
Issuance of Class A common stock | 166,883 | $ 63 | 166,820 | |||
Issuance of Class A common stock (in shares) | 6,225,000 | |||||
Issuance of Class A common stock under stock-based compensation plans | $ 1 | (1) | ||||
Issuance of Class A common stock under stock-based compensation plans (in shares) | 194,247 | |||||
Repurchase of Class A common stock under stock-based compensation plans | (1,478) | (1,478) | ||||
Repurchase of Class A common stock under stock-based compensation plans (in shares) | (54,476) | |||||
Stock-based compensation | 3,813 | 3,813 | ||||
Income tax (provision) benefits from stock-based compensation | 475 | 475 | ||||
Other comprehensive loss | (10,397) | (10,397) | ||||
Dividends declared | (75,046) | (75,046) | ||||
Balances at Dec. 31, 2014 | 645,274 | $ 229 | $ 1 | 1,897,027 | 35,872 | (1,287,855) |
Balances (in shares) at Dec. 31, 2014 | 22,860,922 | 105,869 | ||||
Net income (loss) | (69,403) | (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 (provision) benefits 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 income (loss) | (41,347) | (41,347) | ||||
Conversion of Class B common stock to Class A common stock | $ 1 | $ (1) | ||||
Conversion of Class B common stock to Class A common stock (in shares) | 81,960 | (81,960) | ||||
Issuance of Class A common stock | 9,675 | $ 6 | 9,669 | |||
Issuance of Class A common stock (in shares) | 595,342 | |||||
Issuance of Class A common stock under stock-based compensation plans (in shares) | 73,457 | |||||
Repurchase of Class A common stock under stock-based compensation plans | (269) | (269) | ||||
Repurchase of Class A common stock under stock-based compensation plans (in shares) | (18,467) | |||||
Stock-based compensation | 2,974 | 2,974 | ||||
Income tax (provision) benefits from stock-based compensation | (175) | (175) | ||||
Other comprehensive loss | (12,371) | $ (12,371) | ||||
Dividends declared | (59,102) | (59,102) | ||||
Balances at Dec. 31, 2016 | $ 383,416 | $ 236 | $ 1,910,284 | $ (1,527,104) | ||
Balances (in shares) at Dec. 31, 2016 | 23,607,111 | 20,256 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Cash flows from operating activities | |||
Net (loss) income | $ (41,347) | $ (69,403) | $ 7,753 |
Adjustments to reconcile net (loss) income to net cash provided by operating activities | |||
Net investment loss, net | 69,318 | 118,429 | 20,287 |
Net premium amortization on mortgage-backed securities | 28,810 | 24,877 | 5,400 |
Deferred tax provision | 27,330 | 36,399 | 46,378 |
Other | 2,709 | 558 | 2,336 |
Changes in operating assets | |||
Interest receivable | 290 | (1,235) | (5,528) |
Other assets | 1,759 | 754 | (7,234) |
Changes in operating liabilities | |||
Interest payable and other liabilities | (531) | 1,456 | (340) |
Accrued compensation and benefits | 236 | (897) | 483 |
Net cash provided by operating activities | 88,574 | 110,938 | 69,535 |
Cash flows from investing activities | |||
Proceeds from sales of private-label mortgage-backed securities | 124,962 | 130,138 | 86,318 |
Proceeds from sales of agency mortgage-backed securities | 2,302,011 | 1,057,842 | 65,251 |
Receipt of principal payments on private-label mortgage-backed securities | 496 | 2,077 | 2,431 |
Receipt of principal payments on agency mortgage-backed securities | 495,852 | 467,770 | 212,055 |
Payments for derivatives and deposits, net | (66,278) | (109,225) | (150,031) |
Other | 15,855 | (14,112) | 353 |
Net cash used in investing activities | (49,820) | (509,263) | (1,814,618) |
Cash flows from financing activities | |||
Proceeds from (repayments of) repurchase agreements, net | 814,323 | (344,995) | 1,632,145 |
(Repayments of) proceeds from Federal Home Loan Bank advances, net | (786,900) | 786,900 | |
Proceeds from stock issuance, net | 9,675 | 167,148 | |
Proceeds from long-term debt issuance, net | 34,063 | ||
Excess tax (provisions) benefits associated with stock-based awards | (175) | 1,192 | 475 |
Dividends paid | (57,870) | (75,087) | (69,481) |
Repurchase of common stock | (593) | ||
Net cash (used in) provided by financing activities | (20,947) | 401,480 | 1,730,287 |
Net increase (decrease) in cash and cash equivalents | 17,807 | 3,155 | (14,796) |
Cash and cash equivalents, beginning of year | 36,987 | 33,832 | 48,628 |
Cash and cash equivalents, end of year | 54,794 | 36,987 | 33,832 |
Supplemental cash flow information | |||
Cash payments for interest | 28,000 | 17,353 | 10,959 |
Cash payments for taxes | 322 | 433 | 2,309 |
Non-cash investing activity: | |||
Receipt of non-public equity securities upon dissolution of investee fund | 619 | ||
Private-Label MBS | |||
Cash flows from investing activities | |||
Purchases of mortgage-backed securities | (5,357) | (2,870) | |
Agency MBS | |||
Cash flows from investing activities | |||
Purchases of mortgage-backed securities | $ (2,917,361) | $ (2,040,883) | $ (2,030,995) |
Organization and Nature of Oper
Organization and Nature of Operations | 12 Months Ended |
Dec. 31, 2016 | |
Organization Consolidation And Presentation Of Financial Statements [Abstract] | |
Organization and Basis of Presentation | Note 1. Organization and Nature of Operations 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 residential 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.” |
Basis of Presentation
Basis of Presentation | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Note 2. Basis of Presentation The consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States (“GAAP”) and include the accounts of Arlington Asset and all other entities in which the Company has a controlling financial interest. All intercompany accounts and transactions have been eliminated in consolidation. The preparation of financial statements in conformity with GAAP requires the Company to make estimates and assumptions that affect amounts reported in the consolidated financial statements. Although the Company bases these estimates and assumptions on historical experience and all other reasonably available information that the Company believes to be relevant under the circumstances, such estimates frequently require management to exercise significant subjective judgment about matters that are inherently uncertain. Actual results may differ from these estimates. Certain amounts in the consolidated financial statements and notes for prior periods have been reclassified to conform to the current year’s presentation. These reclassifications had no impact on the previously reported net income, other comprehensive income, total assets or total liabilities. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2016 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Note 3. Summary of Significant Accounting Policies Cash Equivalents Cash equivalents include demand deposits with banks, money market accounts and highly liquid investments with original maturities of three months or less. As of December 31, 2016 and 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 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 fiscal years ended December 31, 2015 and 2014: Year Ended December 31, 2015 2014 Interest income: agency mortgage-backed securities: As previously reported $ 139,244 $ 97,900 Retrospective adjustment (33,330 ) (17,970 ) As revised $ 105,914 $ 79,930 Gain (loss) on trading investments, net: As previously reported $ (64,388 ) $ 84,152 Retrospective adjustment 33,330 17,970 As revised $ (31,058 ) $ 102,122 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 were 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. 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: Year Ended December 31, (Shares in thousands) 2016 2015 2014 Basic weighted-average shares outstanding 23,051 23,002 20,043 Performance share units and unvested restricted stock — — 354 Diluted weighted-average shares outstanding 23,051 23,002 20,397 Net (loss) income $ (41,347 ) $ (69,403 ) $ 7,753 Basic (loss) earnings per common share $ (1.79 ) $ (3.02 ) $ 0.39 Diluted (loss) earnings per common share $ (1.79 ) $ (3.02 ) $ 0.38 The diluted loss per share for the years ended December 31, 2016 and 2015 did not include the antidilutive effect of 150,996 and 86,372 shares, respectively, of unvested shares of restricted stock and performance share units. Other Significant Accounting Policies The Company’s other significant accounting policies are described in the following notes: Investments in agency MBS, subsequent measurement Note 4 Investments in private-label MBS, subsequent measurement Note 5 Borrowings Note 6 To-be-announced agency MBS transactions, including “dollar rolls” Note 7 Derivative instruments Note 7 Balance sheet offsetting Note 8 Fair value measurements Note 9 Income taxes Note 10 Stock-based compensation Note 13 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. ASU No. 2016-13, Financial Instruments - Credit Losses (Topic 606) The amendments in this update require financial assets measured at amortized cost as well as available-for-sale debt securities to be measured for impairment on the basis of the net amount expected to be collected. Credit losses are to be recognized through an allowance for credit losses, which differs from the direct write-down of the amortized cost basis currently required for other-than-temporary impairments of investments in debt securities. This update also makes substantial changes to the manner in which interest income is to be recognized for financial assets acquired with a more-than-insignificant amount of credit deterioration since origination. This update will not affect the accounting for investments in debt securities that are classified as trading securities. January 1, 2019 A prospective transition approach is required for investments in debt securities for which an other-than-temporary impairment had been recognized before the effective date of the update. Accordingly, the effect of the adoption of this update on the Company's consolidated financial statements will depend, in large part, on the extent to which the Company holds available-for-sale debt securities as of January 1, 2019 (if any) for which other-than-temporary impairments had been previously recognized. As of December 31, 2016, the Company does not hold any investment securities designated as available-for-sale. ASU No. 2016-15, Statement of Cash Flows (Topic 230) This amendment was issued to reduce diversity in practice with respect to eight various statement of cash flow reporting issues for which existing GAAP is either unclear or does not provide specific guidance. January 1, 2018 The Company does not expect that the adoption of ASU No. 2016-15 will have a material impact on the classification of cash inflows or outflows within its consolidated statement of cash flows. |
Investments in Agency MBS
Investments in Agency MBS | 12 Months Ended |
Dec. 31, 2016 | |
Agency MBS | |
Investments in MBS | Note 4. Investments in Agency MBS The Company’s investments in agency MBS are reported in the accompanying consolidated balance sheets at fair value. As of December 31, 2016, 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 December 31, 2016 December 31, 2015 Agency MBS classified as: Available-for-sale $ — $ 26 Trading 3,911,375 3,865,290 Total $ 3,911,375 $ 3,865,316 Substantially all of the Company’s investments in agency MBS represent undivided (or “pass-through”) beneficial interests in specified pools of fixed-rate mortgage loans. As of December 31, 2016, the Company’s portfolio of investments in agency MBS also includes investments in inverse interest-only agency MBS with an aggregate fair value of $1,923. The Company’s investments in inverse interest-only agency MBS represent beneficial interests in a portion of the interest cash flows of an underlying pool of pass-through agency MBS collateralized by adjustable-rate mortgage loans. 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 gain loss, net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in agency MBS classified as trading securities: Year Ended December 31, 2016 2015 2014 Net (losses) gains recognized in earnings for: Agency MBS still held at period end $ (62,363 ) $ (26,543 ) $ 100,596 Agency MBS sold during the period 21,714 (4,465 ) 1,526 Total $ (40,649 ) $ (31,008 ) $ 102,122 The Company also invests in and finances fixed-rate agency MBS on a generic pool basis through sequential series of to-be-announced security transactions commonly referred to as “dollar rolls.” Dollar rolls are accounted for as a sequential series of derivative instruments. Refer to “Note 7. Derivative Instruments” for further information about dollar rolls. |
Investments in Private-Label MB
Investments in Private-Label MBS | 12 Months Ended |
Dec. 31, 2016 | |
Private-Label MBS | |
Investments in MBS | Note 5. Investments in Private-Label MBS The Company’s investments in private-label MBS are reported in the accompanying consolidated balance sheets at fair value. Investments in private-label MBS acquired prior to 2015 were 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 December 31, 2016 December 31, 2015 Private-label MBS classified as: Available-for-sale $ — $ 127,536 Trading 1,266 3,017 Total $ 1,266 $ 130,553 During the years ended December 31, 2016 and 2015, the private-label MBS portfolio consisted 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: December 31, 2016 December 31, 2015 Original loan-to-value 59 % 66 % Original FICO score 726 723 Three-month voluntary prepayment rate (annualized) 1.3 % 6.1 % Three-month default rate (annualized) 7.4 % 4.7 % Three-month loss severity rate (1) 96.5 % 36.9 % Three-month credit loss rate (annualized) (2) 7.1 % 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. As of December 31, 2016, the Company had no available-for-sale private-label MBS. The following table provides gross unrealized gains and losses accumulated in other comprehensive income for the Company’s investments in available-for-sale private-label MBS as of December 31, 2015: 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: Year Ended December 31, 2016 2015 2014 Proceeds from sales $ 113,983 $ 130,138 $ 86,318 Gross realized gains 5,819 18,145 17,397 Gross realized losses 1,042 420 140 Accretable Yield The excess of the Company’s estimate of undiscounted future cash flows expected to be collected over the security’s amortized cost basis represents that security’s accretable yield. The accretable yield is expected to be recognized as interest income over the remaining life of the security on a level-yield basis. The difference between undiscounted future contractual cash flows and undiscounted future expected cash flows represents the non-accretable difference. Based on actual payments received and/or changes in the estimate of future cash flows expected to be collected, the accretable yield and the non-accretable difference can change over time. Actual cash collections that exceed prior estimates and/or positive changes in the Company’s periodic estimate of expected future cash flows result in a reclassification of non-accretable difference to accretable yield. Conversely, actual cash collections that fall short of prior estimates and/or adverse changes in the Company’s periodic estimate of expected future cash flows result in a reclassification of accretable yield to non-accretable difference. The following table presents the changes in the accretable yield solely for available-for-sale private-label MBS for the periods indicated: Year Ended December 31, 2016 2015 Beginning balance $ 85,052 $ 202,108 Accretion (6,744 ) (15,218 ) Reclassifications, net (11,853 ) (6,202 ) Eliminations in consolidation (3,515 ) — Sales (62,940 ) (95,636 ) Ending balance $ — $ 85,052 Other-than-Temporary Impairments The Company evaluates available-for-sale MBS for other-than-temporary impairment on a quarterly basis. When the fair value of an available-for-sale security is less than its amortized cost at the quarterly reporting date, the security is considered impaired. Impairments determined to be other-than-temporary are recognized as a direct write-down to the security’s amortized cost basis with a corresponding charge recognized in earnings as a component of “investment gain (loss), net.” An impairment is considered other-than-temporary when (i) the Company intends to sell the impaired security, (ii) the Company more-likely-than not will be required to sell the impaired security prior to the recovery of its amortized cost basis, or (iii) a credit loss exists. A credit loss exists when the present value of the Company’s estimate of the cash flows expected to be collected from the security, discounted at the security’s existing effective interest rate, is less than the security’s amortized cost basis. If the Company intends to sell an impaired security or it more-likely-than-not will be required to sell an impaired security before recovery of its amortized cost basis, the Company writes-down the amortized cost basis of the security to an amount equal to the security’s fair value and recognizes a corresponding other-than-temporary impairment charge in earnings as a component of “investment gain (loss), net.” If a credit loss exists for an impaired security that the Company does not intend to sell nor will it likely be required to sell prior to recovery, the Company writes-down the amortized cost basis of the security to an amount equal to the present value of cash flows expected to be collected, discounted at the security’s existing effective interest rate, and recognizes a corresponding other-than-temporary impairment charge in earnings as a component of “investment gain (loss), net.” For the years ended December 31, 2016 and 2015, the Company recorded credit related other-than-temporary impairment charges of $1,737 and $2,417, respectively, as a component of “investment loss, net” on the consolidated statements of comprehensive income on certain available-for-sale private-label MBS. The following table presents a summary of cumulative credit related other-than-temporary impairment charges recognized on the available-for-sale private-label MBS held as of the dates indicated: Year Ended December 31, 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 1,737 2,417 Securities with previously recognized other-than-temporary impairments — — Reductions for sold or matured securities (15,754 ) (7,303 ) Cumulative credit related other-than-temporary impairments, ending balance $ — $ 14,017 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 loss, net” for the periods indicated with respect to investments in private-label MBS classified as trading securities: Year Ended December 31, 2016 2015 2014 Net losses recognized in earnings for: Private-label MBS still held at period end $ (379 ) $ (50 ) $ — Private-label MBS sold during the period (221 ) — — Total $ (600 ) $ (50 ) $ — |
Borrowings
Borrowings | 12 Months Ended |
Dec. 31, 2016 | |
Debt Disclosure [Abstract] | |
Borrowings | Note 6. Borrowings Repurchase Agreements The Company finances the purchase of MBS through repurchase agreements, which are accounted for as collateralized borrowing arrangements. In a repurchase transaction, the Company sells MBS to a counterparty under a master repurchase agreement in exchange for cash and concurrently agrees to repurchase the same security at a future date in an amount equal to the cash initially exchanged plus an agreed-upon amount of interest. MBS sold under agreements to repurchase remain on the Company’s consolidated balance sheets because the Company maintains effective control over such securities throughout the duration of the arrangement. Throughout the contractual term of a repurchase agreement, the Company recognizes a “repurchase agreement” liability on its consolidated balance sheets to reflect the obligation to repay to the counterparty the proceeds received upon the initial transfer of the MBS. The difference between the proceeds received by the Company upon the initial transfer of the MBS and the contractually agreed-upon repurchase price is recognized as interest expense over the term of the repurchase arrangement on a level-yield basis. Amounts borrowed pursuant to repurchase agreements are equal in value to a specified percentage of the fair value of the pledged collateral. The Company retains beneficial ownership of the pledged collateral throughout the term of the repurchase agreement. The counterparty to the repurchase agreements may require that the Company pledge additional securities or cash as additional collateral to secure borrowings when the value of the collateral declines. As of December 31, 2016 and 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 the dates indicated: December 31, 2016 December 31, 2015 Pledged with agency MBS: Repurchase agreements outstanding $ 3,649,102 $ 2,797,561 Agency MBS collateral, at fair value 3,851,269 2,946,684 Net amount (1) 202,167 149,123 Weighted-average rate 0.96 % 0.61 % Weighted-average term to maturity 19.3 days 12.8 days Pledged with private-label MBS: Repurchase agreements outstanding $ — $ 37,219 Private-label MBS collateral, at fair value — 70,511 Net amount (1) — 33,292 Weighted-average rate — 2.42 % Weighted-average term to maturity — 16.9 days Total MBS: Repurchase agreements outstanding $ 3,649,102 $ 2,834,780 MBS collateral, at fair value 3,851,269 3,017,195 Net amount (1) 202,167 182,415 Weighted-average rate 0.96 % 0.64 % Weighted-average term to maturity 19.3 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 years ended December 31, 2016 and 2015: December 31, 2016 December 31, 2015 Weighted-average outstanding balance $ 3,391,465 $ 3,390,402 Weighted-average rate 0.70 % 0.42 % Federal Home Loan Bank Advances In September 2015, the Company’s wholly-owned captive insurance subsidiary, Key Bridge Insurance, LLC (“Key Bridge”), was granted membership to the Federal Home Loan Bank of Cincinnati (“FHLBC”). The FHLBC, like each of the 11 regional Federal Home Loan Banks (collectively, the “FHLB”), is a cooperative that provides its member financial institutions with a number of financial products and services, including short and long-term secured borrowings that are known as “advances.” FHLBC advances may be collateralized by a number of real estate related assets, including agency MBS. As a member of the FHLBC, Key Bridge is required to acquire membership stock as well as activity-based stock (the amount of which is based upon a percentage of the dollar amount of its outstanding advances) in the FHLBC. As of December 31, 2016 and 2015, Key Bridge held $2 and $15,740 of capital stock in the FHLBC, respectively, which is included in “other assets” in the accompanying consolidated balance sheets. Similar to a repurchase agreement borrowing, the Company pledged 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 retained beneficial ownership of the pledged collateral throughout the term of the advance arrangement. The FHLBC held the right to require that the Company pledge additional collateral to secure borrowings when the value of the collateral declined. 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. During the first quarter of 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 the date indicated: 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 December 31, 2016 and 2015, the Company had $73,656 and $73,433, respectively, of outstanding long-term debentures, net of unamortized debt issuance costs of $1,644 and $1,867, respectively. The Company’s long-term debentures consisted of the following as of the dates indicated: December 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 % 3.63 % 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 | 12 Months Ended |
Dec. 31, 2016 | |
Derivative Instruments And Hedging Activities Disclosure [Abstract] | |
Derivative Instruments | Note 7. Derivative Instruments In the normal course of its operations, the Company is a party to financial instruments that are accounted for as derivative instruments. Derivative instruments are recorded at fair value as either “derivative assets” or “derivative liabilities” in the consolidated balance sheets, with all periodic changes in fair value reflected as a component of “investment gain (loss), net” in the consolidated statements of comprehensive income. Cash receipts or payments related to derivative instruments are classified as investing activities within 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. Receivables recognized for the right to reclaim cash initial and variation margin posted in respect of interest rate derivative instruments are included in the line item “deposits, net” in the accompanying consolidated balance sheets. In its consolidated balance sheets, the Company has elected to offset any payables recognized for the obligation to return cash variation margin received from an interest rate derivative instrument counterparty against receivables recognized for the right to reclaim cash initial margin posted by the Company to that same counterparty. 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 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 for settlement 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 underlying 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 for a forward settlement month are generally priced at a discount relative to TBA securities sold 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. In addition to transacting in net long positions in TBA securities for investment purposes, the Company may also, from time to time, transact in net sale (or “net short”) positions in TBA securities for the purpose of economically hedging a portion of the sensitivity of the fair value of the Company’s investments in agency MBS to changes in interest rates. Cash collateral posted by the Company with respect to TBA transactions is included in the line item “deposits, net” 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 specified agency MBS that do not qualify as regular-way security trades. Such commitments are also accounted for as derivative instruments. Derivative Instrument Population and Fair Value The following table presents the fair value of the Company’s derivative instruments as of the dates indicated: December 31, 2016 December 31, 2015 Assets Liabilities Assets Liabilities Interest rate swaps $ 63,315 $ (1,949 ) $ 6,153 $ — 10-year U.S. Treasury note futures — — 6,813 — Options on 10-year U.S. Treasury note futures 4,289 (3,906 ) — — Put options on Eurodollar futures — — 25 — TBA commitments 7,285 (3,699 ) — (553 ) Total $ 74,889 $ (9,554 ) $ 12,991 $ (553 ) Interest Rate Swaps The Company’s interest rate swap agreements 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 on the date of reset. The following table presents information about the Company’s interest rate swap agreements that were in effect as of December 31, 2016: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Remaining Life (Years) Fair Value Years to maturity: Less than 3 years $ 1,375,000 1.10 % 0.97 % 1.7 $ 6,470 3 to less than 7 years 350,000 1.84 % 1.00 % 3.7 (769 ) 7 to 10 years 1,600,000 1.93 % 0.96 % 9.2 50,511 Total / weighted-average $ 3,325,000 1.58 % 0.97 % 5.5 $ 56,212 The following table presents information about the Company’s forward-starting interest rate swap agreements that had yet to take effect as of December 31, 2016: Weighted-average: Notional Amount Fixed Pay Rate Term After Effective Date (Years) Fair Value Effective in September / October 2017 $ 375,000 1.13 % 2.0 $ 5,154 The following table presents information about the Company’s interest rate swap agreements as of December 31, 2015, all of which were in effect as of that date: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Remaining Life (Years) Fair Value Years to maturity: Less than 3 years $ 750,000 1.04 % 0.49 % 1.9 $ 1,166 3 to less than 7 years — — — — — 7 to 10 years 750,000 2.12 % 0.43 % 9.9 4,987 Total / weighted-average $ 1,500,000 1.58 % 0.46 % 5.9 $ 6,153 Options on 10-year U.S. Treasury Note Futures The Company has purchased and sold exchange-traded options on U.S. Treasury note futures contracts as of December 31, 2016 with the objective of hedging a portion of the interest rate sensitivity of the Company’s agency MBS portfolio. As of December 31, 2016, the Company holds put options which provide the Company with the right to sell 10-year U.S. Treasury note futures to a counterparty with an equivalent notional amount of $1,650,000 that were struck at a weighted average strike price that equates to a 10-year U.S. Treasury rate of approximately 2.77%. In addition, the Company has sold, or written, call options that provide a counterparty with the option to buy 10-year U.S. Treasury note futures from the Company with an equivalent notional amount of $1,000,000 that were struck at a weighted average strike price per contract that equates to a 10-year U.S. Treasury rate of approximately 2.24%. In order to limit its exposure on the sold call options from a significant decline in long-term interest rates, the Company also purchased contracts that provide the Company with the option to buy 10-year U.S. Treasury note futures from a counterparty with an equivalent notional amount of $1,000,000 as of December 31, 2016 that were struck at a weighted average strike price per contract that equates to a 10-year U.S. Treasury rate of approximately 2.12%. The options may be exercised at any time prior to their expiry, which occurs in the first quarter of 2017, and, if exercised, will be net settled in cash. Information about the Company’s outstanding put and call options on 10-year U.S. Treasury note futures contracts as of December 31, 2016 is as follows: Notional Amount Long/(Short) Weighted-average Strike Price Implied Strike Rate (1) Net Fair Value Purchased put options: January 2017 expiration $ 950,000 120.8 2.87 % $ 539 February 2017 expiration 700,000 122.6 2.64 % 3,281 Total / weighted average for purchased put options $ 1,650,000 121.6 2.77 % $ 3,820 Sold call options: January 2017 expiration $ (100,000 ) 126.0 2.25 % $ (141 ) February 2017 expiration (900,000 ) 126.0 2.24 % (3,765 ) Total / weighted average for sold call options $ (1,000,000 ) 126.0 2.24 % $ (3,906 ) Purchased call options: January 2017 expiration $ 1,000,000 127.1 2.12 % $ 469 $ 383 (1) The implied strike rate is estimated based upon the weighted average strike price per contract and the price of an equivalent 10-year U.S. Treasury note futures contract. 10-year U.S. Treasury Note Futures The Company’s 10-year U.S. Treasury note futures held as of December 31, 2015 were short positions with an aggregate notional amount of $1,335,000 that matured in March 2016. Upon the maturity date of these futures contracts, the Company had 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. The Company elected to net settle these contracts in cash. TBA Commitments The following tables present information about the Company’s TBA commitments as of the dates indicated: December 31, 2016 Notional Amount: Purchase (Sale) Commitment Contractual Forward Price Market Price Fair Value Dollar roll positions: 3.0% coupon purchase commitments $ 725,000 $ 718,887 $ 720,027 $ 1,140 3.5% coupon purchase commitments 25,000 25,586 25,613 27 3.5% coupon sale commitments (25,000 ) (25,602 ) (25,613 ) (11 ) Total dollar roll positions, net 725,000 718,871 720,027 1,156 TBA commitments serving as economic hedges: 3.5% coupon purchase commitments 600,000 608,601 614,719 6,118 3.5% coupon sale commitments (600,000 ) (611,031 ) (614,719 ) (3,688 ) Total economic hedges, net - (2,430 ) - 2,430 Total TBA commitments, net $ 725,000 $ 716,441 $ 720,027 $ 3,586 December 31, 2015 Notional Amount: Purchase (Sale) Commitment Contractual Forward Price Market Price Fair Value Dollar roll positions: 3.5% coupon purchase commitments $ 275,000 $ 283,928 $ 283,469 $ (459 ) 4.0% coupon purchase commitments 100,000 105,883 105,789 (94 ) Total TBA commitments, net $ 375,000 $ 389,811 $ 389,258 $ (553 ) Derivative Instrument Gains and Losses The following table provides information about the derivative gains and losses recognized within the periods indicated: For the Year Ended December 31, 2016 2015 Interest rate derivatives: Interest rate swaps: Net interest expense (1) $ (17,825 ) $ (1,282 ) Unrealized gains, net 57,206 7,419 Losses realized upon early termination (300 ) — Total interest rate swap gains, net 39,081 6,137 Eurodollar futures, net — (59,908 ) U.S. Treasury note futures, net (63,235 ) 10,344 Options on U.S. Treasury note futures, net 2,063 — 10-year interest rate swap futures and other, net (25 ) (63,000 ) Total interest rate derivative losses, net (22,116 ) (106,427 ) TBA and specified agency MBS commitments: TBA dollar roll income (2) 19,261 6,743 Other losses on agency MBS commitments, net (28,805 ) (5,059 ) Total (losses) gains on agency MBS commitments, net (9,544 ) 1,684 Total derivative losses, net $ (31,660 ) $ (104,743 ) (1) Represents the periodic net interest settlement incurred during the period (often referred to as "net interest carry"). (2) Represents the price discount of forward-settling TBA purchases relative to a contemporaneously executed “spot” TBA sale, which economically equates to net interest income that is earned ratably over the period beginning on the settlement date of the sale and ending on the settlement date of the forward-settling purchase. Derivative Instrument Activity The following tables summarize the volume of activity, in terms of notional amount, related to derivative instruments for the periods indicated: For the Year Ended December 31, 2016 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 1,500,000 $ 2,575,000 $ — $ (375,000 ) $ 3,700,000 10-year U.S. Treasury note futures 1,335,000 1,482,500 (2,230,000 ) (587,500 ) — Purchased put options on 10-year U.S. Treasury note futures — 11,214,500 (9,564,500 ) — 1,650,000 Sold call options on 10-year U.S. Treasury note futures — 3,450,000 (2,450,000 ) — 1,000,000 Purchased call options on 10-year U.S. Treasury note futures — 2,620,000 (1,620,000 ) — 1,000,000 Put options on Eurodollar futures 4,000,000 — (4,000,000 ) — — Commitments to purchase (sell) MBS, net 375,000 9,850,441 (9,500,441 ) — 725,000 For the Year Ended December 31, 2015 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Eurodollar futures $ 41,090,000 $ 11,841,000 $ (7,235,000 ) $ (45,696,000 ) $ — 10-year interest rate swap futures 1,145,000 2,685,000 (3,130,000 ) (700,000 ) — Interest rate swaps — 1,500,000 — — 1,500,000 2-year U.S. Treasury note futures — 350,000 (350,000 ) — — 10-year U.S. Treasury note futures — 3,020,000 (1,510,000 ) (175,000 ) 1,335,000 Put options on Eurodollar futures — 6,000,000 (2,000,000 ) — 4,000,000 Commitments to purchase (sell) MBS, net 200,000 2,782,544 (2,607,544 ) — 375,000 Cash Collateral Posted and Received for Derivative Instruments The following table presents information about the cash collateral posted and received by the Company in respect of its derivative instruments, which is included in the line item “deposits, net” in the accompanying consolidated balance sheets, for the dates indicated: December 31, 2016 December 31, 2015 Cash collateral posted for: Interest rate swaps $ 65,728 $ 17,434 Options on U.S. Treasury note futures 5,314 — U.S. Treasury note futures — 11,197 TBA commitments 1,474 798 Total cash collateral posted 72,516 29,429 Cash collateral received for interest rate swaps (61,367 ) — Total cash collateral posted, net $ 11,149 $ 29,429 |
Offsetting of Financial Assets
Offsetting of Financial Assets and Liabilities | 12 Months Ended |
Dec. 31, 2016 | |
Offsetting [Abstract] | |
Offsetting of Financial Assets and Liabilities | Note 8. Offsetting of Financial Assets and Liabilities The agreements that govern certain of the Company’s derivative instruments and collateralized 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 assets and liabilities as well as collateralized short-term financing arrangements on a gross basis. In its consolidated balance sheets, the Company has elected to offset any payables recognized for the obligation to return cash variation margin received from an interest rate derivative instrument counterparty against receivables recognized for the right to reclaim cash initial margin posted by the Company to that same counterparty; the net receivable due from interest rate derivative instrument counterparties is reflected in the line item “deposits, net” in the accompanying consolidated balance sheets. The following tables present information, as of the dates indicated, about the Company’s derivative instruments, short-term borrowing arrangements, and associated collateral, including those subject to master netting (or similar) arrangements: As of December 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: Options on U.S. Treasury note futures $ 4,289 $ — $ 4,289 $ (3,906 ) $ — $ 383 Interest rate swaps 63,315 — 63,315 (1,949 ) (61,366 ) — TBA commitments 7,285 — 7,285 — — 7,285 Total derivative instruments 74,889 — 74,889 (5,855 ) (61,366 ) 7,668 Deposits, net 72,516 (61,367 ) 11,149 — — 11,149 Total assets $ 147,405 $ (61,367 ) $ 86,038 $ (5,855 ) $ (61,366 ) $ 18,817 Liabilities: Derivative instruments: Options on U.S. Treasury note futures $ 3,906 $ — $ 3,906 $ (3,906 ) $ — $ — Interest rate swaps 1,949 — 1,949 (1,949 ) — — TBA commitments 3,699 — 3,699 — (1,474 ) 2,225 Total derivative instruments 9,554 — 9,554 (5,855 ) (1,474 ) 2,225 Deposits, net 61,367 (61,367 ) — — — — Repurchase agreements 3,649,102 — 3,649,102 (3,649,102 ) — — Total liabilities $ 3,720,023 $ (61,367 ) $ 3,658,656 $ (3,654,957 ) $ (1,474 ) $ 2,225 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 | 12 Months Ended |
Dec. 31, 2016 | |
Fair Value Disclosures [Abstract] | |
Fair Value Measurements | Note 9. Fair Value Measurements Fair Value of Financial Instruments The accounting principles related to fair value measurements define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial Accounting Standards Board Accounting Standards Codification 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 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. In determining fair value, third-party pricing services use a market approach. 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 collateral 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 the estimated future 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 required 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 December 31, 2016 and 2015, the carrying value of the Company’s long-term debt was $73,656 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 $66,489 and $59,130 as of December 31, 2016 and 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 December 31, 2016 and 2015, respectively. Investments in equity securities of non-public companies and investment funds - As of December 31, 2016 and 2015, the Company had investments in equity securities and investment funds with a carrying amount of $1,918 and $1,558, respectively, which are included in the line item “other assets” in the accompanying consolidated balance sheets. As of December 31, 2016, $533 of these investments represent securities for which the Company elected the “fair value option” at the time that the securities were initially recognized on the Company’s consolidated balance sheets; the Company measures the fair value of these securities on a recurring basis, recognizing the periodic change in fair value in earnings. The remaining $1,385 in investments in equity securities of non-public companies and investment funds as of December 31, 2016, and the entire population of such securities as of December 31, 2015, were measured at cost, net of impairments. The Company’s estimate of the fair value of investments in equity securities and investment funds is $6,034 and $5,989 as of December 31, 2016 and 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 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 the consideration of 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. Financial assets and liabilities for which carrying value approximates fair value - Cash and cash equivalents, deposits, net, 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 December 31, 2016 and 2015. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. December 31, 2016 Total Level 1 Level 2 Level 3 MBS Trading: Agency MBS $ 3,911,375 $ — $ 3,911,375 $ — Private-label MBS 1,266 — — 1,266 Total MBS 3,912,641 — 3,911,375 1,266 Derivative assets 74,889 4,289 70,600 — Derivative liabilities (9,554 ) (3,906 ) (5,648 ) — Other assets 533 — — 533 Total $ 3,978,509 $ 383 $ 3,976,327 $ 1,799 December 31, 2015 Total Level 1 Level 2 Level 3 MBS Trading: Agency MBS $ 3,865,290 $ — $ 3,865,290 $ — Private-label MBS 3,017 — — 3,017 Total trading 3,868,307 — 3,865,290 3,017 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 3,995,869 — 3,865,316 130,553 Derivative assets 12,991 6,838 6,153 — Derivative liabilities (553 ) — (553 ) — 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 years ended December 31, 2016 and 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: December 31, 2016 December 31, 2015 Weighted- average (1) Range Weighted- average (1) Range Discount rate 6.50 % 6.50 - 6.50 % 5.57 % 5.50 - 10.00 % Default rate 2.25 % 2.25 - 2.25 % 2.78 % 1.45 - 6.20 % Loss severity rate 45.00 % 45.00 - 45.00 % 45.84 % 35.00 - 65.00 % Total prepayment rate (including defaults) 10.25 % 10.25 - 10.25 % 11.02 % 7.75 - 17.70 % (1) Based on face value. The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 investments that are measured at fair value on a recurring basis for the periods indicated: Year Ended December 31, 2016 2015 Beginning balance $ 130,553 $ 267,649 Total net gains (losses) Included in investment loss, net 2,973 15,776 Included in other comprehensive income (15,601 ) (31,937 ) Purchases 5,357 2,870 Sales (124,962 ) (130,138 ) Payments, net (4,431 ) (9,009 ) Accretion of discount 7,910 15,342 Ending balance $ 1,799 $ 130,553 Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date $ (465 ) $ (2,468 ) |
Income Taxes
Income Taxes | 12 Months Ended |
Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | Note 10. Income Taxes Arlington Asset is subject to taxation as a corporation under Subchapter C of the Internal Revenue Code of 1986, as amended (the “Code”). As of December 31, 2016, the Company had net operating loss (“NOL”) carry-forwards of $95,725 that can be used to offset future taxable ordinary income. The Company’s NOL carry-forwards begin to expire in 2027. As of December 31, 2016, the Company had net capital loss (“NCL”) carry-forwards of $310,897 that can be used to offset future capital gains. The scheduled expirations of the Company’s NCL carry-forwards are $136,840 in 2019, $102,927 in 2020 and $71,130 in 2021. The Company is subject to federal alternative minimum tax (“AMT”) and state and local taxes on its taxable income and gains that are not offset by its NOL and NCL carry-forwards. Income taxes are provided for using the asset and liability method. Deferred tax assets and liabilities reflect the impact of temporary differences between the carrying amount of assets and liabilities pursuant to the application of GAAP and their respective tax bases and are stated at tax rates expected to be in effect when the taxes are actually paid or recovered. Deferred tax assets are also recorded for net operating loss carry-forwards, net capital loss carry-forwards and any tax credit carry-forwards. Deferred tax assets and liabilities consisted of the following as of dates indicated: 2016 2015 Net operating loss carry-forward $ 37,238 $ 41,660 Net unrealized losses on investments and derivatives 19,108 24,677 AMT credit 8,427 8,195 Stock-based compensation 2,426 2,004 Deferred net losses on designated derivatives 1,386 8,066 Other, net 208 (34 ) Capital loss carry-forward 120,939 93,625 Valuation allowance on capital loss carry-forward (116,300 ) (80,663 ) Deferred tax assets, net $ 73,432 $ 97,530 The provision for income taxes from operations consists of the following for the years ended December 31, 2016, 2015 and 2014: 2016 2015 2014 Federal $ 23,163 $ 32,613 $ 40,298 State 4,224 5,948 7,349 Total income tax provision $ 27,387 $ 38,561 $ 47,647 Current $ 232 $ 970 $ 796 Deferred 27,155 37,591 46,851 Total income tax provision $ 27,387 $ 38,561 $ 47,647 The provision for income taxes results in effective tax rates that differ from the federal statutory rates. The reconciliation of the Company and its subsidiaries’ income tax attributable to net income computed at federal statutory rates to the provision for income taxes for the years ended December 31, 2016, 2015, and 2014 were as follows: 2016 2015 2014 Federal income tax at statutory rate $ (4,886 ) $ (10,795 ) $ 19,390 State income taxes, net of federal benefit (544 ) (1,203 ) 2,161 Expiration of capital loss carry-forward — — 4,668 Losses on available-for sale MBS acquired prior to 2012 (2,838 ) (3,987 ) (1,178 ) Tax character adjustments — (1,934 ) (1,656 ) Other, net 18 45 34 Valuation allowance 35,637 56,435 24,228 Total income tax provision $ 27,387 $ 38,561 $ 47,647 A valuation allowance is provided against the deferred tax asset if, based on the Company’s evaluation, it is more-likely-than-not that some or all of the deferred tax assets will not be realized. All available evidence, both positive and negative, is considered to determine whether a valuation allowance for deferred tax assets is needed. Items considered in determining our valuation allowance include expectations of future earnings of the appropriate tax character, recent historical financial results, tax planning strategies, the length of statutory carry-forward periods and the expected timing of the reversal of temporary differences. As of December 31, 2016 and 2015, the Company provided a valuation allowance against the portion of its NCL carry-forwards for which the Company believes it is more likely than not that the benefits will not be realized prior to expiration. During the years ended December 31, 2016, 2015 and 2014, the Company recorded an increase to its valuation allowance of $35,637, $56,435 and $24,228, respectively. The increase in the valuation allowance was primarily due to the increase in the NCL carry-forwards from net capital losses generated during those periods primarily as a result of unrealized and realized net capital losses from certain of its derivative hedging instruments. The Company recognizes uncertain tax positions in the financial statements only when it is more-likely-than-not that the position will be sustained upon examination by the relevant taxing authority based on the technical merits of the position. A position that meets this standard is measured at the largest amount of benefit that will more-likely-than-not be realized upon settlement. A liability is established for differences between positions taken in a tax return and the financial statements. As of December 31, 2016 and 2015, the Company assessed the need for recording a provision for any uncertain tax position and has made the determination that such provision is not necessary. The Company is subject to examination by the IRS and state and local authorities in jurisdictions where the Company has significant business operations. The Company’s federal tax returns for 2013 and forward remain subject to examination by the IRS. As of December 31, 2016, there are no on-going examinations. |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2016 | |
Commitments And Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 11. Commitments and Contingencies Contractual Obligations The Company has contractual obligations to make future payments in connection with long-term debt and non-cancelable lease agreements. The following table sets forth these contractual obligations by fiscal year: 2017 2018 2019 2020 2021 Thereafter Total Long-term debt maturities $ — $ — $ — $ — $ — $ 75,300 $ 75,300 Minimum rental commitments 458 471 483 497 — — 1,909 $ 458 $ 471 $ 483 $ 497 $ — $ 75,300 $ 77,209 |
Shareholders' Equity
Shareholders' Equity | 12 Months Ended |
Dec. 31, 2016 | |
Equity [Abstract] | |
Stockholders' Equity | Note 12. Shareholders’ Equity The Company has authorized share capital of 450,000,000 shares of Class A common stock, par value $0.01 per share; 100,000,000 shares of Class B common stock, par value $0.01 per share; and 25,000,000 shares of undesignated preferred stock. Holders of the Class A and Class B common stock are entitled to one vote and three votes per share, respectively, on all matters voted upon by the shareholders. Shares of Class B common stock are convertible into shares of Class A common stock on a one-for-one basis at the option of the Company in certain circumstances including either (i) upon sale or other transfer, or (ii) at the time the holder of such shares of Class B common stock ceases to be employed by the Company. The Company’s Board of Directors has the authority, without further action by the shareholders, to issue preferred stock in one or more series and to fix the terms and rights of the preferred stock. Conversion of Class B Common Stock to Class A Common Stock On October 28, 2016, the Company entered into exchange agreements with each of the Company’s Executive Chairman and Chief Executive Officer to exchange all of their shares of Class B common stock for shares of the Company’s Class A common stock. During the years ended December 31, 2016 and 2015, holders of the Company's Class B common stock converted an aggregate of 81,960 and 3,653 shares of Class B common stock into 81,960 and 3,653 shares of Class A common stock, respectively. As of the filing of this Annual Report on Form 10-K, all remaining shares of Class B common stock had been exchanged for shares of the Company’s Class A common stock. Equity Distribution Agreements On May 24, 2013, we entered into separate equity distribution agreements (the “Equity Distribution Agreements”) with each of RBC Capital Markets, LLC, JMP Securities LLC, Ladenburg Thalmann & Co. Inc. and MLV & Co. LLC (the “Equity Sales Agents”), pursuant to which we may offer and sell, from time to time, up to 1,750,000 shares of the Company’s Class A common stock. Pursuant to the Equity Distribution Agreements, shares of our common stock may be offered and sold through the Equity Sales Agents in transactions that are deemed to be “at the market” offerings as defined in Rule 415 under the Securities Act of 1933, including sales made directly on the NYSE or sales made to or through a market maker other than on an exchange or, subject to the terms of a written notice from the Company, in privately negotiated transactions. During the year ended December 31, 2016, we issued 595,342 shares of Class A common stock at a weighted average public offering price of $16.57 per share for proceeds of $9,675, net of underwriting discounts and commissions. As of December 31, 2016, we had 1,154,658 shares of Class A common stock available for sale under the Equity Distribution Agreements. Equity Offerings During the year ended December 31, 2014, the Company completed public offerings as follows: Closing date of the offering March 28, 2014 September 8, 2014 Shares sold to public 2,750,000 2,750,000 Shares sold pursuant to the underwriter over-allotment 312,500 412,500 Total shares of Class A common stock 3,062,500 3,162,500 Public offering price per share $ 27.40 $ 27.61 Net proceeds (1) $ 81,669 $ 85,214 (1) Net of underwriting discounts and commissions and expenses. Share Repurchases The Company’s Board of Directors authorized a share repurchase program pursuant to which the Company may repurchase up to 2,000,000 shares of its 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. During the year ended December 31, 2015, the Company repurchased 48,695 shares of its Class A common stock at an average price of $12.15 per share for a total cost of $593. As of December 31, 2016, 1,951,305 shares of Class A common stock remain available for repurchases 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. 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 in 2016: Quarter Ended Dividend Amount Declaration Date Record Date Pay Date December 31 $ 0.625 December 16 December 30 January 31, 2017 September 30 0.625 September 15 September 30 October 31 June 30 0.625 June 17 June 30 July 29 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 |
Long-Term Incentive Plan
Long-Term Incentive Plan | 12 Months Ended |
Dec. 31, 2016 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Disclosure of Compensation Related Costs, Share-based Payments | Note 13. Long-Term Incentive Plan The Company provides its employees and its non-employee directors with long-term incentive compensation in the form of stock-based awards. On April 7, 2014, the Board of Directors adopted the Arlington Asset Investment Corp. 2014 Long-Term Incentive Plan (the “2014 Plan”), which was approved by the Company’s shareholders and became effective on July 15, 2014. Under the 2014 Plan, a maximum number of 2,000,000 shares of Class A common stock of the Company, subject to adjustment as set forth in the 2014 Plan, were authorized for issuance and may be issued to employees, directors, consultants and advisors of the Company and its affiliates. As of December 31, 2016, 1,861,983 shares remained available for issuance under the 2014 Plan. The 2014 Plan replaced the Arlington Asset Investment Corp. 2011 Long-Term Incentive Plan (the “2011 Plan”). No additional grants will be made under the 2011 Plan. However, previous grants under the 2011 Plan will remain in effect subject to the terms of the 2011 Plan and the applicable award agreement, and shares of Class A common stock may be issued under the 2011 Plan. The shares of Class A common stock to be issued under the 2011 Plan are subject to the achievement of performance measures and/or vesting. As of December 31, 2016, 269,283 shares remained available for issuance under the 2011 Plan. Under the 2014 Plan, the Compensation Committee of the Company’s Board of Directors may grant restricted stock, restricted stock units (“RSUs”), performance stock units (“PSUs”), stock options, stock appreciation rights (“SARs”) and/or other stock-based awards. However, no participant may be granted (i) stock options or SARs during any twelve-month period covering more than 300,000 shares or (ii) restricted stock, RSUs, PSUs and/or other stock-based awards denominated in shares that are intended to qualify as performance based compensation under Section 162(m) that permit the participant to earn more than 300,000 shares for each twelve months in the vesting or period on which performance is measured (“Performance Period”). These share limits are subject to adjustment in the event of any merger, reorganization, consolidation, recapitalization, stock dividend, stock split, reverse stock split, spin-off, extraordinary cash dividend or similar transaction or other change in corporate structure affecting the share. In addition, during any calendar year no participant may be granted performance awards that are denominated in cash and that are intended to qualify as performance based compensation under Section 162(m) under which more than $10,000 may be earned for each twelve months in the Performance Period. Each of the individual award limits described in this paragraph will be multiplied by two during the first calendar year in which the participant commences employment with the Company and its affiliates. The 2014 Plan will terminate on the tenth anniversary of its effective date unless sooner terminated by the Board of Directors. Stock-based compensation costs are initially measured at the estimated fair value of the awards on the grant date developed using appropriate valuation methodologies, as adjusted for estimates of future award forfeitures. Valuation methodologies used and subsequent expense recognition is dependent upon each award’s service and performance conditions. Excess tax benefits from the tax deduction of stock-based awards exceeding the stock-based compensation recorded in accordance with GAAP are recorded as an increase to additional paid-in capital. Conversely, if the tax deduction of stock-based awards is less than the stock-based compensation recorded in accordance with GAAP, it is recorded as a decrease to additional paid-in capital to the extent of previously accumulated excess tax benefits recorded in additional paid-in capital with any remaining amount recorded as additional income tax provision. The gross windfall tax benefit is presented in the consolidated statements of cash flows as financing cash inflows. Performance Stock Unit Awards Compensation costs for PSUs subject to nonmarket-based performance conditions (i.e. performance not predicated on changes in the Company’s stock price) are measured at the closing stock price on the dates of grant, adjusted for the probability of achieving certain benchmarks included in the performance metrics. These initial cost estimates are recognized as expense over the requisite performance periods, as adjusted for changes in estimated, and ultimately actual, performance and forfeitures. Compensation costs for components of PSUs subject to market-based performance conditions (i.e. performance predicated on changes in the Company’s stock price) are measured at the dates of grant using a Monte Carlo simulation model which incorporates into the valuation the inherent uncertainty regarding the achievement of the market-based performance metrics. These initial valuation amounts are recognized as expense over the requisite performance periods, subject only to adjustments for changes in estimated, and ultimately actual, forfeitures. The Company has granted performance stock units to executive officers of the Company that are convertible into shares of Class A common stock following the applicable performance periods. The performance goals established by the Compensation Committee are based on (i) the compound annualized growth in the Company’s book value per share ( i.e., book value change with such adjustments as determined and approved by the Compensation Committee plus dividends on a reinvested basis) during the applicable performance period (“Book Value PSUs’), and (ii) the compound annualized total shareholder return ( i.e., share price change plus dividends on a reinvested basis) during the applicable performance period (“TSR PSUs”). The Compensation Committee of the Board of Directors of the Company approved the following PSU grants for the periods indicated: December 31, 2016 2015 2014 Book Value PSUs granted 71,926 45,054 35,126 Book Value PSU grant date fair value per share $ 12.93 $ 19.56 $ 27.26 TSR PSUs granted 80,173 58,169 35,593 TSR PSU grant date fair value per share $ 11.60 $ 15.15 $ 26.90 For the Company’s Book Value PSUs, the grant date fair value per share is based on the close price on the date of grant. For the Company’s TSR PSUs, the grant date fair value per share is based on a Monte Carlo simulation model. The following assumptions, determined as of the date of grant, were used in the Monte Carlo simulation model to measure the grant date fair value per share of the Company’s TSR PSUs for the periods indicated: TSR PSUs Granted in: 2016 2015 2014 Closing stock price on date of grant $ 12.93 $ 19.56 $ 27.26 Beginning average stock price on date of grant (1) $ 13.40 $ 20.82 $ 27.68 Expected volatility (2) 24.78 % 21.72 % 31.03 % Dividend yield (3) 0.00 % 0.00 % 0.00 % Risk-free rate (4) 0.71 % 1.08 % 0.90 % (1) Based upon the 30 trading days prior to and including the date of grant. (2) Based upon the most recent three-year volatility as of the date of grant. (3) Dividend equivalents are accrued during the performance period and deemed reinvested in additional stock units, which are to be paid out at the end of the performance period to the extent the underlying PSU is earned. Applying dividend yield assumption of 0.00% in the Monte Carlo simulation is mathematically equivalent to reinvesting dividends on a continuous basis and including the value of the dividends in the final payout. (4) Based upon the yield of a U.S. Treasury bond with a three-year maturity as of the date of grant. The vesting of the PSUs is subject to both continued employment under the terms of the award agreement and the achievement of the Company performance goals established by the Compensation Committee. For PSU awards granted during the three years ended December 31, 2016, the Compensation Committee established a three-year performance period. The actual number of shares of Class A common stock that will be issued to each participant at the end of the applicable performance period will vary between 0% and 250% of the number of PSUs granted, depending on performance results. If the minimum threshold level of performance goals is not achieved, no PSUs are earned. To the extent the performance results are between the minimum threshold level and maximum level of performance goals, between 50% to 250% of the number of PSUs granted are earned. PSUs do not have any voting rights. No dividends are paid on outstanding PSUs during the applicable performance period. Instead, dividend equivalents are accrued on outstanding PSUs during the applicable performance period, deemed invested in shares of Class A common stock and are paid out in shares of Class A common stock at the end of the performance period to the extent that the underlying PSUs vest. Upon settlement, vested PSUs are converted into shares of the Company’s Class A common stock on a one-for-one basis. For the years ended December 31, 2016, 2015, and 2014, the Company recognized $1,266, $(560) and $2,457, respectively, of compensation expense related to PSU awards. For the year ended December 31, 2015, the compensation expense included a reversal of $1,474 of expense recognized in prior periods due to a reduction in the number of PSUs expected to vest based on deterioration in performance metrics. As of December 31, 2016 and 2015, the Company had unrecognized compensation expense related to PSU awards of $3,591 and $2,697, respectively. The unrecognized compensation expense as of December 31, 2016 is expected to be recognized over a weighted average period of 2.2 years. For the years ended December 31, 2015 and 2014, the intrinsic value of PSU awards that vested was $716 and $2,447, respectively. There were no PSU awards that vested for the year ended December 31, 2016. Employee Restricted Stock Awards Compensation costs for restricted stock awards subject only to service conditions are measured at the closing stock price on the dates of grant and are recognized as expense on a straight-line basis over the requisite service periods for the awards, as adjusted for changes in estimated, and ultimately actual, forfeitures. The Company grants restricted common shares to employees that vest ratably over a three-year period or cliff-vest after two to four years based on continued employment over these specified periods. A summary of these unvested restricted stock awards is presented below: Number of Shares Weighted-average Grant-date Fair Value Weighted- average Remaining Vested Period Share Balance as of December 31, 2013 57,673 $ 25.71 2.0 Granted 84,602 26.84 — Forfeitures — — — Vestitures (25,163 ) 25.64 — Share Balance as of December 31, 2014 117,112 26.54 1.9 Granted 58,000 14.35 — Forfeitures (6,668 ) 26.34 — Vestitures (36,669 ) 25.63 — Share Balance as of December 31, 2015 131,775 21.44 2.0 Granted 73,457 14.67 — Forfeitures — — — Vestitures (43,341 ) 21.04 — Share Balance as of December 31, 2016 161,891 18.47 1.4 For the years ended December 31, 2016, 2015, and 2014, the Company recognized $1,197, $1,207 and $927, respectively, of compensation expense related to restricted stock awards. As of December 31, 2016 and 2015, the Company had unrecognized compensation expense related to restricted stock awards of $1,512 and $1,631, respectively. The unrecognized compensation expense as of December 31, 2016 is expected to be recognized over a weighted average period of 1.4 years. For the years ended December 31, 2016, 2015 and 2014, the intrinsic value of restricted stock awards that vested were $630, $646 and $681, respectively. In addition, as part of the Company’s satisfaction of incentive compensation earned for past service under the Company’s variable compensation programs, employees may receive restricted Class A common stock in lieu of cash payments. These restricted Class A common stock shares are issued to an irrevocable trust and are not returnable to the Company. No such shares were issued in 2016, 2015 and 2014. As of December 31, 2016 and 2015, the Company had 9,155 vested shares of the undistributed restricted stock issued to the trust. Director Restricted Stock Units Compensation costs for RSU awards subject only to service conditions are measured at the closing stock price on the dates of grant and are recognized as expense on a straight-line basis over the requisite service periods for the awards, as adjusted for changes in estimated, and ultimately actual, forfeitures. Compensation costs for RSUs that do not require future service conditions are expensed immediately. The Company’s non-employee directors are compensated in both cash and RSUs. RSUs awarded under the Company’s 2014 Plan vest immediately on the award grant date and are convertible into shares of Class A common stock. For RSUs granted under the Company’s 2014 Plan and 2011 Plan, the RSUs are convertible into shares of Class A common stock at the later of the date the non-employee director ceases to be a member of the Company’s Board or the first anniversary of the grant date. For RSUs granted under prior long-term incentive plans, the RSUs are convertible into shares of Class A common stock one year after the non-employee director ceases to be a member of the Company’s Board. The RSUs do not have any voting rights but are entitled to cash dividend equivalent payments. As of December 31, 2016, the Company had 185,424 RSUs outstanding. A summary of the RSUs grants is presented below for the periods indicated: December 31, 2016 2015 2014 RSUs granted 37,007 25,506 15,521 Grant date fair value $ 13.78 $ 20.78 $ 27.70 The grant date fair value is based on the closing price of the Class A common stock on the New York Stock Exchange on the date of grant. For the years ended December 31, 2016, 2015 and 2014, the Company recognized $511, $496 and $430, respectively, of director fees related to these RSUs. |
Financial Instruments with Off-
Financial Instruments with Off-Balance-Sheet Risk and Credit Risk | 12 Months Ended |
Dec. 31, 2016 | |
Risks And Uncertainties [Abstract] | |
Concentration Risk Disclosure [Text Block] | Note 14. Financial Instruments with Off-Balance-Sheet Risk and Credit Risk As of December 31, 2016, the Company did not have any relationships with unconsolidated entities or financial partnerships, such as entities often referred to as structured finance, or special purpose or variable interest entities (“VIEs”), established for the purpose of facilitating off-balance sheet arrangements or other contractually narrow or limited purposes. The Company’s economic interests held in unconsolidated VIEs are limited in nature to those of a passive holder of MBS issued by securitization trusts; the Company was not involved in the design or creation of the securitization trusts which issued its investments in MBS. As of December 31, 2016, the Company had not consolidated for financial reporting purposes any securitization trusts as the Company does not have the power to direct the activities that most significantly impact the economic performance of such entities. Further, as of December 31, 2016, the Company had not guaranteed any obligations of unconsolidated entities or entered into any commitment or intent to provide funding to any such entities. |
Quarterly Data (Unaudited)
Quarterly Data (Unaudited) | 12 Months Ended |
Dec. 31, 2016 | |
Quarterly Financial Information Disclosure [Abstract] | |
Quarterly Financial Information [Text Block] | Note 15. Quarterly Data (Unaudited) The following tables set forth selected information for each of the fiscal quarters during the years ended December 31, 2016 and 2015. The selected quarterly data is derived from unaudited financial statements of the Company and has been prepared on the same basis as the annual, audited financial statements to include, in the opinion of management, all adjustments (consisting of only normal recurring adjustments) necessary for fair statement of the results for such periods. The sum of quarterly earnings per share amounts may not equal full year earnings per share amounts due to differing average outstanding shares amounts for the respective periods. Fiscal Year 2016 Total Year Fourth Quarter Third Quarter Second Quarter First Quarter Interest income $ 105,336 $ 24,577 $ 25,654 $ 26,351 $ 28,754 Interest expense 29,222 8,436 7,390 6,703 6,693 Net interest income 76,114 16,141 18,264 19,648 22,061 Investment (loss) gain, net (69,318 ) (31,203 ) 20,722 (8,947 ) (49,890 ) General and administrative expenses 20,756 4,119 4,630 7,672 4,335 (Loss) income before income taxes (13,960 ) (19,181 ) 34,356 3,029 (32,164 ) Income tax provision (benefit) 27,387 22,255 15,543 (9,865 ) (546 ) Net (loss) income $ (41,347 ) $ (41,436 ) $ 18,813 $ 12,894 $ (31,618 ) Basic (loss) earnings per share $ (1.79 ) $ (1.79 ) $ 0.82 $ 0.56 $ (1.38 ) Diluted (loss) earnings per share $ (1.79 ) $ (1.79 ) $ 0.81 $ 0.56 $ (1.38 ) Fiscal Year 2015 Total Year Fourth Quarter Third Quarter Second Quarter First Quarter Interest income $ 121,263 $ 31,228 $ 31,239 $ 28,286 $ 30,510 Interest expense 18,889 5,421 5,165 4,575 3,728 Net interest income 102,374 25,807 26,074 23,711 26,782 Investment (loss) gain, net (118,429 ) 1,653 (59,757 ) (7,518 ) (52,807 ) General and administrative expenses 14,787 3,974 3,450 3,945 3,418 (Loss) income before income taxes (30,842 ) 23,486 (37,133 ) 12,248 (29,443 ) Income tax provision 38,561 4,675 15,497 5,647 12,742 Net (loss) income $ (69,403 ) $ 18,811 $ (52,630 ) $ 6,601 $ (42,185 ) Basic (loss) earnings per share $ (3.02 ) $ 0.82 $ (2.29 ) $ 0.29 $ (1.84 ) Diluted (loss) earnings per share $ (3.02 ) $ 0.82 $ (2.29 ) $ 0.29 $ (1.84 ) |
Summary of Significant Accoun23
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 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 December 31, 2016 and 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 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 fiscal years ended December 31, 2015 and 2014: Year Ended December 31, 2015 2014 Interest income: agency mortgage-backed securities: As previously reported $ 139,244 $ 97,900 Retrospective adjustment (33,330 ) (17,970 ) As revised $ 105,914 $ 79,930 Gain (loss) on trading investments, net: As previously reported $ (64,388 ) $ 84,152 Retrospective adjustment 33,330 17,970 As revised $ (31,058 ) $ 102,122 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 were 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. |
Earnings Per Share | 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: Year Ended December 31, (Shares in thousands) 2016 2015 2014 Basic weighted-average shares outstanding 23,051 23,002 20,043 Performance share units and unvested restricted stock — — 354 Diluted weighted-average shares outstanding 23,051 23,002 20,397 Net (loss) income $ (41,347 ) $ (69,403 ) $ 7,753 Basic (loss) earnings per common share $ (1.79 ) $ (3.02 ) $ 0.39 Diluted (loss) earnings per common share $ (1.79 ) $ (3.02 ) $ 0.38 The diluted loss per share for the years ended December 31, 2016 and 2015 did not include the antidilutive effect of 150,996 and 86,372 shares, respectively, of unvested shares of restricted stock and performance share units. |
Other Significant Accounting Policies | Other Significant Accounting Policies The Company’s other significant accounting policies are described in the following notes: Investments in agency MBS, subsequent measurement Note 4 Investments in private-label MBS, subsequent measurement Note 5 Borrowings Note 6 To-be-announced agency MBS transactions, including “dollar rolls” Note 7 Derivative instruments Note 7 Balance sheet offsetting Note 8 Fair value measurements Note 9 Income taxes Note 10 Stock-based compensation Note 13 |
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. ASU No. 2016-13, Financial Instruments - Credit Losses (Topic 606) The amendments in this update require financial assets measured at amortized cost as well as available-for-sale debt securities to be measured for impairment on the basis of the net amount expected to be collected. Credit losses are to be recognized through an allowance for credit losses, which differs from the direct write-down of the amortized cost basis currently required for other-than-temporary impairments of investments in debt securities. This update also makes substantial changes to the manner in which interest income is to be recognized for financial assets acquired with a more-than-insignificant amount of credit deterioration since origination. This update will not affect the accounting for investments in debt securities that are classified as trading securities. January 1, 2019 A prospective transition approach is required for investments in debt securities for which an other-than-temporary impairment had been recognized before the effective date of the update. Accordingly, the effect of the adoption of this update on the Company's consolidated financial statements will depend, in large part, on the extent to which the Company holds available-for-sale debt securities as of January 1, 2019 (if any) for which other-than-temporary impairments had been previously recognized. As of December 31, 2016, the Company does not hold any investment securities designated as available-for-sale. ASU No. 2016-15, Statement of Cash Flows (Topic 230) This amendment was issued to reduce diversity in practice with respect to eight various statement of cash flow reporting issues for which existing GAAP is either unclear or does not provide specific guidance. January 1, 2018 The Company does not expect that the adoption of ASU No. 2016-15 will have a material impact on the classification of cash inflows or outflows within its consolidated statement of cash flows. |
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 as investing activities within 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 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 for settlement 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 underlying 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 collateralized 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 assets and liabilities as well as collateralized short-term financing arrangements on a gross basis. In its consolidated balance sheets, the Company has elected to offset any payables recognized for the obligation to return cash variation margin received from an interest rate derivative instrument counterparty against receivables recognized for the right to reclaim cash initial margin posted by the Company to that same counterparty; the net receivable due from interest rate derivative instrument counterparties is reflected in the line item “deposits, net” in the accompanying consolidated balance sheets. |
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 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 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. As of December 31, 2016, 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 were 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 Accoun24
Summary of Significant Accounting Policies (Tables) | 12 Months Ended |
Dec. 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 fiscal years ended December 31, 2015 and 2014: Year Ended December 31, 2015 2014 Interest income: agency mortgage-backed securities: As previously reported $ 139,244 $ 97,900 Retrospective adjustment (33,330 ) (17,970 ) As revised $ 105,914 $ 79,930 Gain (loss) on trading investments, net: As previously reported $ (64,388 ) $ 84,152 Retrospective adjustment 33,330 17,970 As revised $ (31,058 ) $ 102,122 Effect to previously reported net income (loss) $ — $ — |
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: Year Ended December 31, (Shares in thousands) 2016 2015 2014 Basic weighted-average shares outstanding 23,051 23,002 20,043 Performance share units and unvested restricted stock — — 354 Diluted weighted-average shares outstanding 23,051 23,002 20,397 Net (loss) income $ (41,347 ) $ (69,403 ) $ 7,753 Basic (loss) earnings per common share $ (1.79 ) $ (3.02 ) $ 0.39 Diluted (loss) earnings per common share $ (1.79 ) $ (3.02 ) $ 0.38 |
Investments in Agency MBS (Tabl
Investments in Agency MBS (Tables) - Agency MBS | 12 Months Ended |
Dec. 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 December 31, 2016 December 31, 2015 Agency MBS classified as: Available-for-sale $ — $ 26 Trading 3,911,375 3,865,290 Total $ 3,911,375 $ 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 gain loss, net” in the Company’s consolidated statements of comprehensive income for the periods indicated with respect to investments in agency MBS classified as trading securities: Year Ended December 31, 2016 2015 2014 Net (losses) gains recognized in earnings for: Agency MBS still held at period end $ (62,363 ) $ (26,543 ) $ 100,596 Agency MBS sold during the period 21,714 (4,465 ) 1,526 Total $ (40,649 ) $ (31,008 ) $ 102,122 |
Investments in Private-Label 26
Investments in Private-Label MBS (Tables) | 12 Months Ended |
Dec. 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: December 31, 2016 December 31, 2015 Original loan-to-value 59 % 66 % Original FICO score 726 723 Three-month voluntary prepayment rate (annualized) 1.3 % 6.1 % Three-month default rate (annualized) 7.4 % 4.7 % Three-month loss severity rate (1) 96.5 % 36.9 % Three-month credit loss rate (annualized) (2) 7.1 % 1.7 % |
Unrealized Gain (Loss) on Investments | The following table provides gross unrealized gains and losses accumulated in other comprehensive income for the Company’s investments in available-for-sale private-label MBS as of December 31, 2015: 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: Year Ended December 31, 2016 2015 2014 Proceeds from sales $ 113,983 $ 130,138 $ 86,318 Gross realized gains 5,819 18,145 17,397 Gross realized losses 1,042 420 140 |
Other than Temporary Impairment, Credit Losses Recognized in Earnings | The following table presents a summary of cumulative credit related other-than-temporary impairment charges recognized on the available-for-sale private-label MBS held as of the dates indicated: Year Ended December 31, 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 1,737 2,417 Securities with previously recognized other-than-temporary impairments — — Reductions for sold or matured securities (15,754 ) (7,303 ) Cumulative credit related other-than-temporary impairments, ending balance $ — $ 14,017 |
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 December 31, 2016 December 31, 2015 Private-label MBS classified as: Available-for-sale $ — $ 127,536 Trading 1,266 3,017 Total $ 1,266 $ 130,553 |
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” for the periods indicated with respect to investments in private-label MBS classified as trading securities: Year Ended December 31, 2016 2015 2014 Net losses recognized in earnings for: Private-label MBS still held at period end $ (379 ) $ (50 ) $ — Private-label MBS sold during the period (221 ) — — Total $ (600 ) $ (50 ) $ — |
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 periods indicated: Year Ended December 31, 2016 2015 Beginning balance $ 85,052 $ 202,108 Accretion (6,744 ) (15,218 ) Reclassifications, net (11,853 ) (6,202 ) Eliminations in consolidation (3,515 ) — Sales (62,940 ) (95,636 ) Ending balance $ — $ 85,052 |
Borrowings (Tables)
Borrowings (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Debt Disclosure [Abstract] | |
Schedule of Repurchase Agreements | As of December 31, 2016 and 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 the dates indicated: December 31, 2016 December 31, 2015 Pledged with agency MBS: Repurchase agreements outstanding $ 3,649,102 $ 2,797,561 Agency MBS collateral, at fair value 3,851,269 2,946,684 Net amount (1) 202,167 149,123 Weighted-average rate 0.96 % 0.61 % Weighted-average term to maturity 19.3 days 12.8 days Pledged with private-label MBS: Repurchase agreements outstanding $ — $ 37,219 Private-label MBS collateral, at fair value — 70,511 Net amount (1) — 33,292 Weighted-average rate — 2.42 % Weighted-average term to maturity — 16.9 days Total MBS: Repurchase agreements outstanding $ 3,649,102 $ 2,834,780 MBS collateral, at fair value 3,851,269 3,017,195 Net amount (1) 202,167 182,415 Weighted-average rate 0.96 % 0.64 % Weighted-average term to maturity 19.3 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 years ended December 31, 2016 and 2015: December 31, 2016 December 31, 2015 Weighted-average outstanding balance $ 3,391,465 $ 3,390,402 Weighted-average rate 0.70 % 0.42 % |
Federal Home Loan Bank, Advances | The following table provides information regarding the Company’s outstanding FHLB advances as of the date indicated: 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 December 31, 2016 and 2015, the Company had $73,656 and $73,433, respectively, of outstanding long-term debentures, net of unamortized debt issuance costs of $1,644 and $1,867, respectively. The Company’s long-term debentures consisted of the following as of the dates indicated: December 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 % 3.63 % 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) | 12 Months Ended |
Dec. 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: December 31, 2016 December 31, 2015 Assets Liabilities Assets Liabilities Interest rate swaps $ 63,315 $ (1,949 ) $ 6,153 $ — 10-year U.S. Treasury note futures — — 6,813 — Options on 10-year U.S. Treasury note futures 4,289 (3,906 ) — — Put options on Eurodollar futures — — 25 — TBA commitments 7,285 (3,699 ) — (553 ) Total $ 74,889 $ (9,554 ) $ 12,991 $ (553 ) |
Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location | The following table provides information about the derivative gains and losses recognized within the periods indicated: For the Year Ended December 31, 2016 2015 Interest rate derivatives: Interest rate swaps: Net interest expense (1) $ (17,825 ) $ (1,282 ) Unrealized gains, net 57,206 7,419 Losses realized upon early termination (300 ) — Total interest rate swap gains, net 39,081 6,137 Eurodollar futures, net — (59,908 ) U.S. Treasury note futures, net (63,235 ) 10,344 Options on U.S. Treasury note futures, net 2,063 — 10-year interest rate swap futures and other, net (25 ) (63,000 ) Total interest rate derivative losses, net (22,116 ) (106,427 ) TBA and specified agency MBS commitments: TBA dollar roll income (2) 19,261 6,743 Other losses on agency MBS commitments, net (28,805 ) (5,059 ) Total (losses) gains on agency MBS commitments, net (9,544 ) 1,684 Total derivative losses, net $ (31,660 ) $ (104,743 ) (1) Represents the periodic net interest settlement incurred during the period (often referred to as "net interest carry"). (2) Represents the price discount of forward-settling TBA purchases relative to a contemporaneously executed “spot” TBA sale, which economically equates to net interest income that is earned ratably over the period beginning on the settlement date of the sale and ending on the settlement date of the forward-settling purchase. |
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 Year Ended December 31, 2016 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Interest rate swaps $ 1,500,000 $ 2,575,000 $ — $ (375,000 ) $ 3,700,000 10-year U.S. Treasury note futures 1,335,000 1,482,500 (2,230,000 ) (587,500 ) — Purchased put options on 10-year U.S. Treasury note futures — 11,214,500 (9,564,500 ) — 1,650,000 Sold call options on 10-year U.S. Treasury note futures — 3,450,000 (2,450,000 ) — 1,000,000 Purchased call options on 10-year U.S. Treasury note futures — 2,620,000 (1,620,000 ) — 1,000,000 Put options on Eurodollar futures 4,000,000 — (4,000,000 ) — — Commitments to purchase (sell) MBS, net 375,000 9,850,441 (9,500,441 ) — 725,000 For the Year Ended December 31, 2015 Beginning of Period Additions Scheduled Settlements Early Terminations End of Period Eurodollar futures $ 41,090,000 $ 11,841,000 $ (7,235,000 ) $ (45,696,000 ) $ — 10-year interest rate swap futures 1,145,000 2,685,000 (3,130,000 ) (700,000 ) — Interest rate swaps — 1,500,000 — — 1,500,000 2-year U.S. Treasury note futures — 350,000 (350,000 ) — — 10-year U.S. Treasury note futures — 3,020,000 (1,510,000 ) (175,000 ) 1,335,000 Put options on Eurodollar futures — 6,000,000 (2,000,000 ) — 4,000,000 Commitments to purchase (sell) MBS, net 200,000 2,782,544 (2,607,544 ) — 375,000 |
Derivative Instrument Cash Collateral | The following table presents information about the cash collateral posted and received by the Company in respect of its derivative instruments, which is included in the line item “deposits, net” in the accompanying consolidated balance sheets, for the dates indicated: December 31, 2016 December 31, 2015 Cash collateral posted for: Interest rate swaps $ 65,728 $ 17,434 Options on U.S. Treasury note futures 5,314 — U.S. Treasury note futures — 11,197 TBA commitments 1,474 798 Total cash collateral posted 72,516 29,429 Cash collateral received for interest rate swaps (61,367 ) — Total cash collateral posted, net $ 11,149 $ 29,429 |
Put and Call Options on 10-year U.S. Treasury Note Futures | |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments | Information about the Company’s outstanding put and call options on 10-year U.S. Treasury note futures contracts as of December 31, 2016 is as follows: Notional Amount Long/(Short) Weighted-average Strike Price Implied Strike Rate (1) Net Fair Value Purchased put options: January 2017 expiration $ 950,000 120.8 2.87 % $ 539 February 2017 expiration 700,000 122.6 2.64 % 3,281 Total / weighted average for purchased put options $ 1,650,000 121.6 2.77 % $ 3,820 Sold call options: January 2017 expiration $ (100,000 ) 126.0 2.25 % $ (141 ) February 2017 expiration (900,000 ) 126.0 2.24 % (3,765 ) Total / weighted average for sold call options $ (1,000,000 ) 126.0 2.24 % $ (3,906 ) Purchased call options: January 2017 expiration $ 1,000,000 127.1 2.12 % $ 469 $ 383 (1) The implied strike rate is estimated based upon the weighted average strike price per contract and the price of an equivalent 10-year U.S. Treasury note futures contract. |
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 commitments as of the dates indicated: December 31, 2016 Notional Amount: Purchase (Sale) Commitment Contractual Forward Price Market Price Fair Value Dollar roll positions: 3.0% coupon purchase commitments $ 725,000 $ 718,887 $ 720,027 $ 1,140 3.5% coupon purchase commitments 25,000 25,586 25,613 27 3.5% coupon sale commitments (25,000 ) (25,602 ) (25,613 ) (11 ) Total dollar roll positions, net 725,000 718,871 720,027 1,156 TBA commitments serving as economic hedges: 3.5% coupon purchase commitments 600,000 608,601 614,719 6,118 3.5% coupon sale commitments (600,000 ) (611,031 ) (614,719 ) (3,688 ) Total economic hedges, net - (2,430 ) - 2,430 Total TBA commitments, net $ 725,000 $ 716,441 $ 720,027 $ 3,586 December 31, 2015 Notional Amount: Purchase (Sale) Commitment Contractual Forward Price Market Price Fair Value Dollar roll positions: 3.5% coupon purchase commitments $ 275,000 $ 283,928 $ 283,469 $ (459 ) 4.0% coupon purchase commitments 100,000 105,883 105,789 (94 ) Total TBA commitments, net $ 375,000 $ 389,811 $ 389,258 $ (553 ) |
Interest Rate Swap | |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments | The following table presents information about the Company’s interest rate swap agreements that were in effect as of December 31, 2016: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Remaining Life (Years) Fair Value Years to maturity: Less than 3 years $ 1,375,000 1.10 % 0.97 % 1.7 $ 6,470 3 to less than 7 years 350,000 1.84 % 1.00 % 3.7 (769 ) 7 to 10 years 1,600,000 1.93 % 0.96 % 9.2 50,511 Total / weighted-average $ 3,325,000 1.58 % 0.97 % 5.5 $ 56,212 The following table presents information about the Company’s interest rate swap agreements as of December 31, 2015, all of which were in effect as of that date: Weighted-average: Notional Amount Fixed Pay Rate Variable Receive Rate Remaining Life (Years) Fair Value Years to maturity: Less than 3 years $ 750,000 1.04 % 0.49 % 1.9 $ 1,166 3 to less than 7 years — — — — — 7 to 10 years 750,000 2.12 % 0.43 % 9.9 4,987 Total / weighted-average $ 1,500,000 1.58 % 0.46 % 5.9 $ 6,153 |
Forward-Starting Interest Rate Swap | |
Fair Value Balance Sheet Grouping Financial Statement Captions [Line Items] | |
Schedule of Derivative Instruments | The following table presents information about the Company’s forward-starting interest rate swap agreements that had yet to take effect as of December 31, 2016: Weighted-average: Notional Amount Fixed Pay Rate Term After Effective Date (Years) Fair Value Effective in September / October 2017 $ 375,000 1.13 % 2.0 $ 5,154 |
Offsetting of Financial Asset29
Offsetting of Financial Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 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, short-term borrowing arrangements, and associated collateral, including those subject to master netting (or similar) arrangements: As of December 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: Options on U.S. Treasury note futures $ 4,289 $ — $ 4,289 $ (3,906 ) $ — $ 383 Interest rate swaps 63,315 — 63,315 (1,949 ) (61,366 ) — TBA commitments 7,285 — 7,285 — — 7,285 Total derivative instruments 74,889 — 74,889 (5,855 ) (61,366 ) 7,668 Deposits, net 72,516 (61,367 ) 11,149 — — 11,149 Total assets $ 147,405 $ (61,367 ) $ 86,038 $ (5,855 ) $ (61,366 ) $ 18,817 Liabilities: Derivative instruments: Options on U.S. Treasury note futures $ 3,906 $ — $ 3,906 $ (3,906 ) $ — $ — Interest rate swaps 1,949 — 1,949 (1,949 ) — — TBA commitments 3,699 — 3,699 — (1,474 ) 2,225 Total derivative instruments 9,554 — 9,554 (5,855 ) (1,474 ) 2,225 Deposits, net 61,367 (61,367 ) — — — — Repurchase agreements 3,649,102 — 3,649,102 (3,649,102 ) — — Total liabilities $ 3,720,023 $ (61,367 ) $ 3,658,656 $ (3,654,957 ) $ (1,474 ) $ 2,225 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) | 12 Months Ended |
Dec. 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 December 31, 2016 and 2015. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. December 31, 2016 Total Level 1 Level 2 Level 3 MBS Trading: Agency MBS $ 3,911,375 $ — $ 3,911,375 $ — Private-label MBS 1,266 — — 1,266 Total MBS 3,912,641 — 3,911,375 1,266 Derivative assets 74,889 4,289 70,600 — Derivative liabilities (9,554 ) (3,906 ) (5,648 ) — Other assets 533 — — 533 Total $ 3,978,509 $ 383 $ 3,976,327 $ 1,799 December 31, 2015 Total Level 1 Level 2 Level 3 MBS Trading: Agency MBS $ 3,865,290 $ — $ 3,865,290 $ — Private-label MBS 3,017 — — 3,017 Total trading 3,868,307 — 3,865,290 3,017 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 3,995,869 — 3,865,316 130,553 Derivative assets 12,991 6,838 6,153 — Derivative liabilities (553 ) — (553 ) — 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: December 31, 2016 December 31, 2015 Weighted- average (1) Range Weighted- average (1) Range Discount rate 6.50 % 6.50 - 6.50 % 5.57 % 5.50 - 10.00 % Default rate 2.25 % 2.25 - 2.25 % 2.78 % 1.45 - 6.20 % Loss severity rate 45.00 % 45.00 - 45.00 % 45.84 % 35.00 - 65.00 % Total prepayment rate (including defaults) 10.25 % 10.25 - 10.25 % 11.02 % 7.75 - 17.70 % (1) Based on face value. |
Fair Value, Measured on Recurring Basis | The table below sets forth an attribution of the change in the fair value of the Company’s Level 3 investments that are measured at fair value on a recurring basis for the periods indicated: Year Ended December 31, 2016 2015 Beginning balance $ 130,553 $ 267,649 Total net gains (losses) Included in investment loss, net 2,973 15,776 Included in other comprehensive income (15,601 ) (31,937 ) Purchases 5,357 2,870 Sales (124,962 ) (130,138 ) Payments, net (4,431 ) (9,009 ) Accretion of discount 7,910 15,342 Ending balance $ 1,799 $ 130,553 Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date $ (465 ) $ (2,468 ) |
Income Taxes (Tables)
Income Taxes (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Income Tax Disclosure [Abstract] | |
Schedule of Deferred Tax Assets and Liabilities | Deferred tax assets and liabilities consisted of the following as of dates indicated: 2016 2015 Net operating loss carry-forward $ 37,238 $ 41,660 Net unrealized losses on investments and derivatives 19,108 24,677 AMT credit 8,427 8,195 Stock-based compensation 2,426 2,004 Deferred net losses on designated derivatives 1,386 8,066 Other, net 208 (34 ) Capital loss carry-forward 120,939 93,625 Valuation allowance on capital loss carry-forward (116,300 ) (80,663 ) Deferred tax assets, net $ 73,432 $ 97,530 |
Provision for Income Taxes | The provision for income taxes from operations consists of the following for the years ended December 31, 2016, 2015 and 2014: 2016 2015 2014 Federal $ 23,163 $ 32,613 $ 40,298 State 4,224 5,948 7,349 Total income tax provision $ 27,387 $ 38,561 $ 47,647 Current $ 232 $ 970 $ 796 Deferred 27,155 37,591 46,851 Total income tax provision $ 27,387 $ 38,561 $ 47,647 |
Schedule of Effective Income Tax Rate Reconciliation | The provision for income taxes results in effective tax rates that differ from the federal statutory rates. The reconciliation of the Company and its subsidiaries’ income tax attributable to net income computed at federal statutory rates to the provision for income taxes for the years ended December 31, 2016, 2015, and 2014 were as follows: 2016 2015 2014 Federal income tax at statutory rate $ (4,886 ) $ (10,795 ) $ 19,390 State income taxes, net of federal benefit (544 ) (1,203 ) 2,161 Expiration of capital loss carry-forward — — 4,668 Losses on available-for sale MBS acquired prior to 2012 (2,838 ) (3,987 ) (1,178 ) Tax character adjustments — (1,934 ) (1,656 ) Other, net 18 45 34 Valuation allowance 35,637 56,435 24,228 Total income tax provision $ 27,387 $ 38,561 $ 47,647 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Commitments And Contingencies Disclosure [Abstract] | |
Summary of Contractual Obligations by Fiscal Year | The following table sets forth these contractual obligations by fiscal year: 2017 2018 2019 2020 2021 Thereafter Total Long-term debt maturities $ — $ — $ — $ — $ — $ 75,300 $ 75,300 Minimum rental commitments 458 471 483 497 — — 1,909 $ 458 $ 471 $ 483 $ 497 $ — $ 75,300 $ 77,209 |
Shareholders' Equity (Tables)
Shareholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Equity [Abstract] | |
Equity Offerings | During the year ended December 31, 2014, the Company completed public offerings as follows: Closing date of the offering March 28, 2014 September 8, 2014 Shares sold to public 2,750,000 2,750,000 Shares sold pursuant to the underwriter over-allotment 312,500 412,500 Total shares of Class A common stock 3,062,500 3,162,500 Public offering price per share $ 27.40 $ 27.61 Net proceeds (1) $ 81,669 $ 85,214 |
Schedule of Dividends Payable | The Board of Directors has approved and the Company has declared and paid the following dividends in 2016: Quarter Ended Dividend Amount Declaration Date Record Date Pay Date December 31 $ 0.625 December 16 December 30 January 31, 2017 September 30 0.625 September 15 September 30 October 31 June 30 0.625 June 17 June 30 July 29 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 |
Long-Term Incentive Plan (Table
Long-Term Incentive Plan (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Disclosure Of Compensation Related Costs Sharebased Payments [Abstract] | |
Share Based Compensation Performance Shares Grants Activity | The Compensation Committee of the Board of Directors of the Company approved the following PSU grants for the periods indicated: December 31, 2016 2015 2014 Book Value PSUs granted 71,926 45,054 35,126 Book Value PSU grant date fair value per share $ 12.93 $ 19.56 $ 27.26 TSR PSUs granted 80,173 58,169 35,593 TSR PSU grant date fair value per share $ 11.60 $ 15.15 $ 26.90 |
Share Based Compensation Award Valuation Assumptions | The following assumptions, determined as of the date of grant, were used in the Monte Carlo simulation model to measure the grant date fair value per share of the Company’s TSR PSUs for the periods indicated: TSR PSUs Granted in: 2016 2015 2014 Closing stock price on date of grant $ 12.93 $ 19.56 $ 27.26 Beginning average stock price on date of grant (1) $ 13.40 $ 20.82 $ 27.68 Expected volatility (2) 24.78 % 21.72 % 31.03 % Dividend yield (3) 0.00 % 0.00 % 0.00 % Risk-free rate (4) 0.71 % 1.08 % 0.90 % (1) Based upon the 30 trading days prior to and including the date of grant. (2) Based upon the most recent three-year volatility as of the date of grant. (3) Dividend equivalents are accrued during the performance period and deemed reinvested in additional stock units, which are to be paid out at the end of the performance period to the extent the underlying PSU is earned. Applying dividend yield assumption of 0.00% in the Monte Carlo simulation is mathematically equivalent to reinvesting dividends on a continuous basis and including the value of the dividends in the final payout. (4) Based upon the yield of a U.S. Treasury bond with a three-year maturity as of the date of grant. |
Schedule of Unvested Restricted Stock Units Roll Forward | The Company grants restricted common shares to employees that vest ratably over a three-year period or cliff-vest after two to four years based on continued employment over these specified periods. A summary of these unvested restricted stock awards is presented below: Number of Shares Weighted-average Grant-date Fair Value Weighted- average Remaining Vested Period Share Balance as of December 31, 2013 57,673 $ 25.71 2.0 Granted 84,602 26.84 — Forfeitures — — — Vestitures (25,163 ) 25.64 — Share Balance as of December 31, 2014 117,112 26.54 1.9 Granted 58,000 14.35 — Forfeitures (6,668 ) 26.34 — Vestitures (36,669 ) 25.63 — Share Balance as of December 31, 2015 131,775 21.44 2.0 Granted 73,457 14.67 — Forfeitures — — — Vestitures (43,341 ) 21.04 — Share Balance as of December 31, 2016 161,891 18.47 1.4 |
Share Based Compensation Restricted Stock Units Grants Activity | A summary of the RSUs grants is presented below for the periods indicated: December 31, 2016 2015 2014 RSUs granted 37,007 25,506 15,521 Grant date fair value $ 13.78 $ 20.78 $ 27.70 |
Quarterly Data (Unaudited) (Tab
Quarterly Data (Unaudited) (Tables) | 12 Months Ended |
Dec. 31, 2016 | |
Quarterly Financial Information Disclosure [Abstract] | |
Schedule of Quarterly Financial Information [Table Text Block] | The sum of quarterly earnings per share amounts may not equal full year earnings per share amounts due to differing average outstanding shares amounts for the respective periods. Fiscal Year 2016 Total Year Fourth Quarter Third Quarter Second Quarter First Quarter Interest income $ 105,336 $ 24,577 $ 25,654 $ 26,351 $ 28,754 Interest expense 29,222 8,436 7,390 6,703 6,693 Net interest income 76,114 16,141 18,264 19,648 22,061 Investment (loss) gain, net (69,318 ) (31,203 ) 20,722 (8,947 ) (49,890 ) General and administrative expenses 20,756 4,119 4,630 7,672 4,335 (Loss) income before income taxes (13,960 ) (19,181 ) 34,356 3,029 (32,164 ) Income tax provision (benefit) 27,387 22,255 15,543 (9,865 ) (546 ) Net (loss) income $ (41,347 ) $ (41,436 ) $ 18,813 $ 12,894 $ (31,618 ) Basic (loss) earnings per share $ (1.79 ) $ (1.79 ) $ 0.82 $ 0.56 $ (1.38 ) Diluted (loss) earnings per share $ (1.79 ) $ (1.79 ) $ 0.81 $ 0.56 $ (1.38 ) Fiscal Year 2015 Total Year Fourth Quarter Third Quarter Second Quarter First Quarter Interest income $ 121,263 $ 31,228 $ 31,239 $ 28,286 $ 30,510 Interest expense 18,889 5,421 5,165 4,575 3,728 Net interest income 102,374 25,807 26,074 23,711 26,782 Investment (loss) gain, net (118,429 ) 1,653 (59,757 ) (7,518 ) (52,807 ) General and administrative expenses 14,787 3,974 3,450 3,945 3,418 (Loss) income before income taxes (30,842 ) 23,486 (37,133 ) 12,248 (29,443 ) Income tax provision 38,561 4,675 15,497 5,647 12,742 Net (loss) income $ (69,403 ) $ 18,811 $ (52,630 ) $ 6,601 $ (42,185 ) Basic (loss) earnings per share $ (3.02 ) $ 0.82 $ (2.29 ) $ 0.29 $ (1.84 ) Diluted (loss) earnings per share $ (3.02 ) $ 0.82 $ (2.29 ) $ 0.29 $ (1.84 ) |
Summary of Significant Accoun36
Summary of Significant Accounting Policies - Additional Information (Details) - shares | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Summary Of Significant Accounting Policies [Line Items] | ||
Cash Equivalents Percentage Held in Us Government Backed Securities | 99.00% | 98.00% |
Restricted Stock and Performance Shares | ||
Summary Of Significant Accounting Policies [Line Items] | ||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 150,996 | 86,372 |
Summary of Significant Accoun37
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 | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||||||||||
Interest income: agency mortgage-backed securities | $ 105,914 | $ 79,930 | |||||||||
Gain (loss) on trading investments, net | $ (41,249) | (31,058) | 102,122 | ||||||||
Net income (loss) | $ (41,436) | $ 18,813 | $ 12,894 | $ (31,618) | $ 18,811 | $ (52,630) | $ 6,601 | $ (42,185) | $ (41,347) | (69,403) | 7,753 |
Scenario, Previously Reported [Member] | |||||||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||||||||||
Interest income: agency mortgage-backed securities | 139,244 | 97,900 | |||||||||
Gain (loss) on trading investments, net | (64,388) | 84,152 | |||||||||
Scenario, Retrospective Adjustment [Member] | |||||||||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||||||||||
Interest income: agency mortgage-backed securities | (33,330) | (17,970) | |||||||||
Gain (loss) on trading investments, net | $ 33,330 | $ 17,970 |
Summary of Significant Accoun38
Summary of Significant Accounting Policies - 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 | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Earnings Per Share [Abstract] | |||||||||||
Basic weighted-average shares outstanding | 23,051 | 23,002 | 20,043 | ||||||||
Performance share units and unvested restricted stock | 354 | ||||||||||
Diluted weighted-average shares outstanding | 23,051 | 23,002 | 20,397 | ||||||||
Net (loss) income | $ (41,436) | $ 18,813 | $ 12,894 | $ (31,618) | $ 18,811 | $ (52,630) | $ 6,601 | $ (42,185) | $ (41,347) | $ (69,403) | $ 7,753 |
Basic (loss) earnings per share | $ (1.79) | $ 0.82 | $ 0.56 | $ (1.38) | $ 0.82 | $ (2.29) | $ 0.29 | $ (1.84) | $ (1.79) | $ (3.02) | $ 0.39 |
Diluted (loss) earnings per share | $ (1.79) | $ 0.81 | $ 0.56 | $ (1.38) | $ 0.82 | $ (2.29) | $ 0.29 | $ (1.84) | $ (1.79) | $ (3.02) | $ 0.38 |
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 | Dec. 31, 2016 | Dec. 31, 2015 |
Agency MBS classified as: | ||
Total | $ 3,912,641 | $ 3,995,869 |
Agency MBS | ||
Agency MBS classified as: | ||
Available-for-sale | 26 | |
Trading | 3,911,375 | 3,865,290 |
Total | $ 3,911,375 | $ 3,865,316 |
Investments in Agency MBS - Add
Investments in Agency MBS - Additional Information (Details) $ in Thousands | Dec. 31, 2016USD ($) |
Interest-only agency MBS | |
Trading securities | $ 1,923 |
Investments in Agency MBS - A41
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 | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Net (losses) gains recognized in earnings for: | |||
Gain (loss) on trading investments, net | $ (41,249) | $ (31,058) | $ 102,122 |
Agency MBS | |||
Net (losses) gains recognized in earnings for: | |||
Agency MBS still held at period end | (62,363) | (26,543) | 100,596 |
Gain (loss) on trading investments, net | 21,714 | (4,465) | 1,526 |
Total | $ (40,649) | $ (31,008) | $ 102,122 |
Investments in Private-Label 42
Investments in Private-Label MBS - Fair Value of Available for Sale and Trading investments in MBS (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Private-label MBS classified as: | ||
Mortgage Backed Securities Fair Value Disclosure | $ 3,912,641 | $ 3,995,869 |
Private-Label MBS | ||
Private-label MBS classified as: | ||
Mortgage Backed Securities Fair Value Disclosure | 1,266 | 130,553 |
Private-Label MBS | Trading Securities | ||
Private-label MBS classified as: | ||
Mortgage Backed Securities Fair Value Disclosure | $ 1,266 | 3,017 |
Private-Label MBS | Available-for-sale Securities | ||
Private-label MBS classified as: | ||
Mortgage Backed Securities Fair Value Disclosure | $ 127,536 |
Investments in Private-Label 43
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 | Dec. 31, 2016 | Dec. 31, 2015 |
Underlying Collateral Quantitative Disclosures [Line Items] | ||
Original loan-to-value | 59.00% | 66.00% |
Original FICO score | 726 | 723 |
Three-month voluntary prepayment rate (annualized) | 1.30% | 6.10% |
Three-month default rate (annualized) | 7.40% | 4.70% |
Three-month loss severity rate | 96.50% | 36.90% |
Three-month credit loss rate (annualized) | 7.10% | 1.70% |
Investments in Private-Label 44
Investments in Private-Label MBS - Additional Information (Details) - Private-Label MBS - USD ($) | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Available-for-sale | $ 0 | $ 127,536,000 |
Other than Temporary Impairment Losses, Investments, Portion Recognized in Earnings, Net, Available-for-sale Securities | $ 1,737,000 | $ 2,417,000 |
Investments in Private-Label 45
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 $ in Thousands | Dec. 31, 2015USD ($) |
Schedule of Available-for-sale Securities [Line Items] | |
Unpaid Principal Balance | $ 164,555 |
Net Discounts | (52,620) |
Amortized Cost Basis | 111,935 |
Unrealized Gains | 15,601 |
Unrealized Losses | 0 |
Fair Value | $ 127,536 |
Investments in Private-Label 46
Investments in Private-Label MBS - Results of Sales of Available-for-sale MBS (Details) - Private-Label MBS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Proceeds from sales | $ 113,983 | $ 130,138 | $ 86,318 |
Gross realized gains | 5,819 | 18,145 | 17,397 |
Gross realized losses | $ 1,042 | $ 420 | $ 140 |
Investments in Private-Label 47
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 | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||
Beginning balance | $ 85,052 | $ 202,108 |
Accretion | (6,744) | (15,218) |
Reclassifications, net | (11,853) | (6,202) |
Eliminations in consolidation | (62,940) | (95,636) |
Ending balance | 0 | 85,052 |
Consolidation, Eliminations | ||
Fair Value Assets Measured On Recurring Basis Unobservable Input Reconciliation [Line Items] | ||
Eliminations in consolidation | $ (3,515) | $ 0 |
Investments in Private-Label 48
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 | 12 Months Ended | |
Dec. 31, 2016 | Dec. 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 | 1,737 | 2,417 |
Securities with previously recognized other-than-temporary impairments | 0 | 0 |
Reductions | ||
Reductions for sold or matured securities | (15,754) | (7,303) |
Cumulative credit related other-than-temporary impairments, ending balance | $ 0 | $ 14,017 |
Investments in Private-Label 49
Investments in Private-Label MBS - Additional Information Realized Gain Loss on Investments (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Net (losses) gains recognized in earnings for: | |||
Gain (loss) on trading investments, net | $ (41,249) | $ (31,058) | $ 102,122 |
Private-Label MBS | |||
Net (losses) gains recognized in earnings for: | |||
MBS still held at period end | (379) | (50) | 0 |
Gain (loss) on trading investments, net | (221) | 0 | 0 |
Total | $ (600) | $ (50) | $ 0 |
Borrowings - Outstanding Repurc
Borrowings - Outstanding Repurchase Agreement Borrowings (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | ||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 3,649,102 | $ 2,834,780 | |
MBS collateral, at fair value | 3,851,269 | 3,017,195 | |
Net amount | [1] | $ 202,167 | $ 182,415 |
Weighted-average rate | 0.96% | 0.64% | |
Weighted-average term to maturity (in days) | 19 days | 13 days | |
Pledged with agency-backed MBS | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 3,649,102 | $ 2,797,561 | |
MBS collateral, at fair value | 3,851,269 | 2,946,684 | |
Net amount | [1] | $ 202,167 | $ 149,123 |
Weighted-average rate | 0.96% | 0.61% | |
Weighted-average term to maturity (in days) | 19 days | 13 days | |
Pledged with private-label MBS | |||
Repurchase Agreement Counterparty [Line Items] | |||
Repurchase agreements outstanding | $ 37,219 | ||
MBS collateral, at fair value | 70,511 | ||
Net amount | [1] | $ 33,292 | |
Weighted-average rate | 2.42% | ||
Weighted-average term to maturity (in days) | 17 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 | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Debt Disclosure [Abstract] | ||
Weighted-average outstanding balance | $ 3,391,465 | $ 3,390,402 |
Weighted-average rate | 0.70% | 0.42% |
Borrowings - Additional Informa
Borrowings - Additional Information (Details) - USD ($) $ in Thousands | Mar. 18, 2015 | Dec. 31, 2015 | Dec. 31, 2016 |
Debt Instrument [Line Items] | |||
Federal Home Loan Bank Advances Capital Stock Acquired | $ 15,740 | $ 2 | |
Long-term Debt | 73,433 | 73,656 | |
Net of unamortized debt issuance costs | 1,867 | 1,644 | |
Proceeds from Issuance of Long-term Debt | 34,063 | ||
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 term to maturity | 12 days | |
Weighted Average | ||
Federal Home Loan Bank Advances Branch Of F H L B Bank [Line Items] | ||
Weighted-average rate | 0.36% | |
[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 | 12 Months Ended | ||
Dec. 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 | 3.63% | 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 | Dec. 31, 2016 | Dec. 31, 2015 |
Derivative Assets | $ 74,889 | $ 12,991 |
Derivative Liabilities | (9,554) | (553) |
Interest Rate Swap and Forward Starting Interest Rate Swap | ||
Derivative Assets | 63,315 | 6,153 |
Derivative Liabilities | (1,949) | 0 |
10-year U.S. Treasury Note Futures | ||
Derivative Assets | 0 | 6,813 |
Derivative Liabilities | 0 | 0 |
Options on 10-year U.S. Treasury Note Futures | ||
Derivative Assets | 4,289 | 0 |
Derivative Liabilities | (3,906) | 0 |
Put Options on Eurodollar Futures | ||
Derivative Assets | 0 | 25 |
Derivative Liabilities | 0 | 0 |
TBA Commitments | ||
Derivative Assets | 7,285 | 0 |
Derivative Liabilities | $ (3,699) | $ (553) |
Derivative Instruments - Intere
Derivative Instruments - Interest Rate Swap Agreements (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Fair Value | $ 74,889 | $ 12,991 |
Fair Value | (9,554) | (553) |
Interest Rate Swap | ||
Notional Amount | $ 3,325,000 | $ 1,500,000 |
Weighted-average: Fixed Pay Rate | 1.58% | 1.58% |
Weighted-average: Variable Receive Rate | 0.97% | 0.46% |
Weighted-average: Remaining Life (in years) | 5 years 6 months | 5 years 10 months 24 days |
Fair Value | $ 56,212 | $ 6,153 |
Interest Rate Swap | Less Than Three Year Maturity | ||
Notional Amount | $ 1,375,000 | $ 750,000 |
Weighted-average: Fixed Pay Rate | 1.10% | 1.04% |
Weighted-average: Variable Receive Rate | 0.97% | 0.49% |
Weighted-average: Remaining Life (in years) | 1 year 8 months 12 days | 1 year 10 months 24 days |
Fair Value | $ 6,470 | $ 1,166 |
Interest Rate Swap | Three To Less Than Seven Years Maturity | ||
Notional Amount | $ 350,000 | $ 0 |
Weighted-average: Fixed Pay Rate | 1.84% | 0.00% |
Weighted-average: Variable Receive Rate | 1.00% | 0.00% |
Weighted-average: Remaining Life (in years) | 3 years 8 months 12 days | 0 years |
Fair Value | $ 0 | |
Fair Value | $ (769) | |
Interest Rate Swap | Seven To Ten Year Maturity | ||
Notional Amount | $ 1,600,000 | $ 750,000 |
Weighted-average: Fixed Pay Rate | 1.93% | 2.12% |
Weighted-average: Variable Receive Rate | 0.96% | 0.43% |
Weighted-average: Remaining Life (in years) | 9 years 2 months 12 days | 9 years 10 months 24 days |
Fair Value | $ 50,511 | $ 4,987 |
Forward-Starting Interest Rate Swap | Effective In September / October 2017 | ||
Notional Amount | $ 375,000 | |
Weighted-average: Fixed Pay Rate | 1.13% | |
Weighted-average: Remaining Life (in years) | 2 years | |
Fair Value | $ 5,154 |
Derivative Instruments - Additi
Derivative Instruments - Additional Information (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 |
10-year U.S. Treasury Note Futures | |||
Derivative [Line Items] | |||
Notional Amount | $ 0 | $ 1,335,000 | $ 0 |
10-year U.S. Treasury Note Futures | Purchased Put Options | |||
Derivative [Line Items] | |||
Notional Amount | $ 1,650,000 | ||
Weighted average strike price | 2.77% | ||
10-year U.S. Treasury Note Futures | Sold Call Options | |||
Derivative [Line Items] | |||
Notional Amount | $ 1,000,000 | ||
Weighted average strike price | 2.24% | ||
January Two Thousand Seventeen Expiration | Purchased Call Options | |||
Derivative [Line Items] | |||
Notional Amount | $ 1,000,000 | ||
Weighted average strike price | 2.12% |
Derivative Instruments - Outsta
Derivative Instruments - Outstanding Put and Call Options (Details) - 10-year U.S. Treasury Note Futures - USD ($) $ / shares in Units, $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | ||||
Notional Amount | $ 0 | $ 1,335,000 | $ 0 | |
Put Option | Long | ||||
Derivative [Line Items] | ||||
Notional Amount | $ 1,650,000 | |||
Weighted-average Strike Price | $ 121.6 | |||
Implied Strike Rate | [1] | 2.77% | ||
Net Fair Value | $ 3,820 | |||
Call Options | Long | ||||
Derivative [Line Items] | ||||
Net Fair Value | 383 | |||
Call Options | Short | ||||
Derivative [Line Items] | ||||
Notional Amount, Short | $ (1,000,000) | |||
Weighted-average Strike Price | $ 126 | |||
Implied Strike Rate | [1] | 2.24% | ||
Net Fair Value | $ (3,906) | |||
January Two Thousand Seventeen Expiration | Put Option | Long | ||||
Derivative [Line Items] | ||||
Notional Amount | $ 950,000 | |||
Weighted-average Strike Price | $ 120.8 | |||
Implied Strike Rate | [1] | 2.87% | ||
Net Fair Value | $ 539 | |||
January Two Thousand Seventeen Expiration | Call Options | Long | ||||
Derivative [Line Items] | ||||
Notional Amount | $ 1,000,000 | |||
Weighted-average Strike Price | $ 127.1 | |||
Implied Strike Rate | [1] | 2.12% | ||
Net Fair Value | $ 469 | |||
January Two Thousand Seventeen Expiration | Call Options | Short | ||||
Derivative [Line Items] | ||||
Notional Amount, Short | $ (100,000) | |||
Weighted-average Strike Price | $ 126 | |||
Implied Strike Rate | [1] | 2.25% | ||
Net Fair Value | $ (141) | |||
February 2017 Expiration | Put Option | Long | ||||
Derivative [Line Items] | ||||
Notional Amount | $ 700,000 | |||
Weighted-average Strike Price | $ 122.6 | |||
Implied Strike Rate | [1] | 2.64% | ||
Net Fair Value | $ 3,281 | |||
February 2017 Expiration | Call Options | Short | ||||
Derivative [Line Items] | ||||
Notional Amount, Short | $ (900,000) | |||
Weighted-average Strike Price | $ 126 | |||
Implied Strike Rate | [1] | 2.24% | ||
Net Fair Value | $ (3,765) | |||
[1] | The implied strike rate is estimated based upon the weighted average strike price per contract and the price of an equivalent 10-year U.S. Treasury note futures contract. |
Derivative Instruments - Outs59
Derivative Instruments - Outstanding Put and Call Options (Parenthetical) (Details) - 10-year U.S. Treasury Note Futures | 12 Months Ended |
Dec. 31, 2016 | |
January Two Thousand Seventeen Expiration | Put Option | Long | |
Derivative [Line Items] | |
Options maturity period | Jan. 31, 2017 |
January Two Thousand Seventeen Expiration | Call Options | Long | |
Derivative [Line Items] | |
Options maturity period | Jan. 31, 2017 |
January Two Thousand Seventeen Expiration | Call Options | Short | |
Derivative [Line Items] | |
Options maturity period | Jan. 31, 2017 |
February 2017 Expiration | Put Option | Long | |
Derivative [Line Items] | |
Options maturity period | Feb. 28, 2017 |
February 2017 Expiration | Call Options | Short | |
Derivative [Line Items] | |
Options maturity period | Feb. 28, 2017 |
Derivative Instruments - TBA Co
Derivative Instruments - TBA Commitments (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Fair Value | $ 74,889 | $ 12,991 |
Fair Value | (9,554) | (553) |
TBA Commitments | ||
Notional Amount: Purchase Commitment | 725,000 | 375,000 |
Contractual Forward Price | 716,441 | 389,811 |
Market Price | 720,027 | 389,258 |
Fair Value | 7,285 | 0 |
Fair Value | 3,586 | |
Fair Value | (3,699) | (553) |
TBA Commitments | Dollar Roll Positions Three Percent Coupon Purchase (Sale) Commitments | ||
Notional Amount: Purchase Commitment | 725,000 | |
Contractual Forward Price | 718,887 | |
Market Price | 720,027 | |
Fair Value | 1,140 | |
TBA Commitments | Dollar Roll Positions Three Point Five Percent Coupon Purchase (Sale) Commitments, Purchase | ||
Notional Amount: Purchase Commitment | 25,000 | 275,000 |
Contractual Forward Price | 25,586 | 283,928 |
Market Price | 25,613 | 283,469 |
Fair Value | 27 | |
Fair Value | (459) | |
TBA Commitments | Dollar Roll Positions Three Point Five Percent Coupon Purchase (Sale) Commitments, Sale | ||
Notional Amount: (Sale) Commitment | (25,000) | |
Contractual Forward Price | (25,602) | |
Market Price | (25,613) | |
Fair Value | (11) | |
TBA Commitments | Dollar Roll Positions | ||
Notional Amount: Purchase Commitment | 725,000 | |
Contractual Forward Price | 718,871 | |
Market Price | 720,027 | |
Fair Value | 1,156 | |
TBA Commitments | Economic Hedges Three Point Five Percent Coupon Purchase (Sale) Commitments, Purchase | ||
Notional Amount: Purchase Commitment | 600,000 | |
Contractual Forward Price | 608,601 | |
Market Price | 614,719 | |
Fair Value | 6,118 | |
TBA Commitments | Economic Hedges Three Point Five Percent Coupon Purchase (Sale) Commitments, Sale | ||
Notional Amount: (Sale) Commitment | (600,000) | |
Contractual Forward Price | (611,031) | |
Market Price | (614,719) | |
Fair Value | (3,688) | |
TBA Commitments | Economic Hedges | ||
Contractual Forward Price | (2,430) | |
Fair Value | $ 2,430 | |
TBA Commitments | Dollar Roll Positions Four Point Zero Percent Coupon Purchase Commitments | ||
Notional Amount: Purchase Commitment | 100,000 | |
Contractual Forward Price | 105,883 | |
Market Price | 105,789 | |
Fair Value | $ (94) |
Derivative Instruments - Deriva
Derivative Instruments - Derivative Gains and Losses Recognized Within the Periods (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Interest rate derivatives | $ (22,116) | $ (106,427) | ||
Total derivative losses, net | (31,660) | (104,743) | $ (139,938) | |
Interest Rate Swap Gains (Losses), Net | ||||
Interest rate derivatives | 39,081 | 6,137 | ||
Interest Rate Swaps Net Interest Expense | ||||
Interest rate derivatives | [1] | (17,825) | (1,282) | |
Interest Rate Swaps Unrealized Gains, Net | ||||
Interest rate derivatives | 57,206 | 7,419 | ||
Interest Rate Swaps Losses Realized Upon Early Termination | ||||
Interest rate derivatives | (300) | 0 | ||
Eurodollar Futures | ||||
Interest rate derivatives | 0 | (59,908) | ||
Options on US Treasury Note Futures | ||||
Interest rate derivatives | 2,063 | 0 | ||
10-year Interest Rate Swap Futures | ||||
Interest rate derivatives | (25) | (63,000) | ||
TBA Dollar Roll Income | ||||
Gains (losses) on agency commitments | [2] | 19,261 | 6,743 | |
Other losses on agency MBS commitments, net | ||||
Gains (losses) on agency commitments | (28,805) | (5,059) | ||
TBA and Specified Agency MBS Commitments | ||||
Gains (losses) on agency commitments | (9,544) | 1,684 | ||
U.S. Treasury Note Futures | ||||
Interest rate derivatives | $ (63,235) | $ 10,344 | ||
[1] | Represents the periodic net interest settlement incurred during the period (often referred to as "net interest carry"). | |||
[2] | Represents the price discount of forward-settling TBA purchases relative to a contemporaneously executed “spot” TBA sale, which economically equates to net interest income that is earned ratably over the period beginning on the settlement date of the sale and ending on the settlement date of the forward-settling purchase |
Derivative Instruments - Volume
Derivative Instruments - Volume of Activity, in terms of Notional Amount, Related to Derivative Instruments (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Interest Rate Swap and Forward Starting Interest Rate Swap | ||
Derivative [Line Items] | ||
Beginning of Period | $ 1,500,000 | $ 0 |
Additions | 2,575,000 | 1,500,000 |
Scheduled Settlements | 0 | 0 |
Early Terminations | (375,000) | 0 |
End of Period | 3,700,000 | 1,500,000 |
10-year U.S. Treasury Note Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 1,335,000 | 0 |
Additions | 1,482,500 | 3,020,000 |
Scheduled Settlements | (2,230,000) | (1,510,000) |
Early Terminations | (587,500) | (175,000) |
End of Period | 0 | 1,335,000 |
Purchased Put Options on 10-Year U.S. Treasury Note Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 0 | |
Additions | 11,214,500 | |
Scheduled Settlements | (9,564,500) | |
Early Terminations | 0 | |
End of Period | 1,650,000 | 0 |
Sold Call Options on Ten Year U.S. Treasury Note Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 0 | |
Additions | 3,450,000 | |
Scheduled Settlements | (2,450,000) | |
Early Terminations | 0 | |
End of Period | 1,000,000 | 0 |
Purchased Call Options on Ten Year U.S. Treasury Note Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 0 | |
Additions | 2,620,000 | |
Scheduled Settlements | (1,620,000) | |
Early Terminations | 0 | |
End of Period | 1,000,000 | 0 |
Put Options on Eurodollar Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 4,000,000 | 0 |
Additions | 0 | 6,000,000 |
Scheduled Settlements | (4,000,000) | (2,000,000) |
Early Terminations | 0 | 0 |
End of Period | 0 | 4,000,000 |
Commitments To Purchase (sell) MBS | ||
Derivative [Line Items] | ||
Beginning of Period | 375,000 | 200,000 |
Additions | 9,850,441 | 2,782,544 |
Scheduled Settlements | (9,500,441) | (2,607,544) |
Early Terminations | 0 | 0 |
End of Period | 725,000 | 375,000 |
Eurodollar Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 0 | 41,090,000 |
Additions | 11,841,000 | |
Scheduled Settlements | (7,235,000) | |
Early Terminations | (45,696,000) | |
End of Period | 0 | |
10-year Interest Rate Swap Futures | ||
Derivative [Line Items] | ||
Beginning of Period | 0 | 1,145,000 |
Additions | 2,685,000 | |
Scheduled Settlements | (3,130,000) | |
Early Terminations | (700,000) | |
End of Period | 0 | |
2-year U.S. Treasury note futures | ||
Derivative [Line Items] | ||
Beginning of Period | $ 0 | 0 |
Additions | 350,000 | |
Scheduled Settlements | (350,000) | |
Early Terminations | 0 | |
End of Period | $ 0 |
Derivative Instruments - Cash C
Derivative Instruments - Cash Collateral Posted and Received in Respect of Derivative Instruments(Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Cash collateral posted | $ 72,516 | $ 29,429 |
Cash collateral received for interest rate swaps | (61,367) | |
Total cash collateral posted, net | 11,149 | 29,429 |
U.S. Treasury Note Futures | ||
Cash collateral posted | 11,197 | |
Interest Rate Swap | ||
Cash collateral posted | 65,728 | 17,434 |
Options on US Treasury Note Futures | ||
Cash collateral posted | 5,314 | |
TBA Commitments | ||
Cash collateral posted | $ 1,474 | $ 798 |
Offsetting of Financial Asset64
Offsetting of Financial Assets and Liabilities - Derivative Instruments and Short-term Borrowing Arrangements, including those Subject to Master Netting or Similar Arrangements (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 | |
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | $ 74,889 | $ 12,991 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 74,889 | 12,991 | |
Derivative Asset, Financial Instruments | [1] | (5,855) | 0 |
Derivative Asset, Cash Collateral | [2] | (61,366) | 0 |
Derivative Asset, Net amount Total | 7,668 | 12,991 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 9,554 | 553 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 9,554 | 553 | |
Derivative Liabilities, Financial Instruments | [1] | (5,855) | 0 |
Derivative Liabilities, Cash Collateral | [2] | (1,474) | (387) |
Derivative Liabilities, Net amount Total | 2,225 | 166 | |
Derivative Financial Instruments, Liabilities | |||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 3,720,023 | 3,622,233 | |
Derivative Liabilities, Amount Offset | (61,367) | 0 | |
Derivative Liabilities, Net Amount | 3,658,656 | 3,622,233 | |
Derivative Liabilities, Financial Instruments | [1] | (3,654,957) | (3,621,680) |
Derivative Liabilities, Cash Collateral | [2] | (1,474) | (387) |
Derivative Liabilities, Net amount Total | 2,225 | 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 | 147,405 | 12,991 | |
Derivative Asset, Amount Offset | (61,367) | 0 | |
Derivative Asset, Net Amount | 86,038 | 12,991 | |
Derivative Asset, Financial Instruments | [1] | (5,855) | 0 |
Derivative Asset, Cash Collateral | [2] | (61,366) | 0 |
Derivative Asset, Net amount Total | 18,817 | 12,991 | |
U.S. Treasury Note Futures | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 6,813 | ||
Derivative Asset, Amount Offset | 0 | ||
Derivative Asset, Net Amount | 6,813 | ||
Derivative Asset, Financial Instruments | [1] | 0 | |
Derivative Asset, Cash Collateral | [2] | 0 | |
Derivative Asset, Net amount Total | 6,813 | ||
U.S. Treasury Note Futures | Option | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 4,289 | ||
Derivative Asset, Amount Offset | 0 | ||
Derivative Asset, Net Amount | 4,289 | ||
Derivative Asset, Financial Instruments | [1] | (3,906) | |
Derivative Asset, Cash Collateral | [2] | 0 | |
Derivative Asset, Net amount Total | 383 | ||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 3,906 | ||
Derivative Liabilities, Amount Offset | 0 | ||
Derivative Liabilities, Net Amount | 3,906 | ||
Derivative Liabilities, Financial Instruments | [1] | (3,906) | |
Derivative Liabilities, Cash Collateral | [2] | 0 | |
Derivative Liabilities, Net amount Total | 0 | ||
Deposits, net | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 72,516 | ||
Derivative Asset, Amount Offset | (61,367) | ||
Derivative Asset, Net Amount | 11,149 | ||
Derivative Asset, Financial Instruments | [1] | 0 | |
Derivative Asset, Cash Collateral | [2] | 0 | |
Derivative Asset, Net amount Total | 11,149 | ||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 61,367 | ||
Derivative Liabilities, Amount Offset | (61,367) | ||
Derivative Liabilities, Net Amount | 0 | ||
Derivative Liabilities, Financial Instruments | [1] | 0 | |
Derivative Liabilities, Cash Collateral | [2] | 0 | |
Derivative Liabilities, Net amount Total | 0 | ||
Repurchase Agreements | |||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 3,649,102 | 2,834,780 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 3,649,102 | 2,834,780 | |
Derivative Liabilities, Financial Instruments | [1] | (3,649,102) | (2,834,780) |
Derivative Liabilities, Cash Collateral | [2] | 0 | 0 |
Derivative Liabilities, Net amount Total | 0 | 0 | |
10-year Interest Rate Swap Futures | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 63,315 | 6,153 | |
Derivative Asset, Amount Offset | 0 | 0 | |
Derivative Asset, Net Amount | 63,315 | 6,153 | |
Derivative Asset, Financial Instruments | [1] | (1,949) | 0 |
Derivative Asset, Cash Collateral | [2] | (61,366) | 0 |
Derivative Asset, Net amount Total | 0 | 6,153 | |
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 1,949 | ||
Derivative Liabilities, Amount Offset | 0 | ||
Derivative Liabilities, Net Amount | 1,949 | ||
Derivative Liabilities, Financial Instruments | [1] | (1,949) | |
Derivative Liabilities, Cash Collateral | [2] | 0 | |
Derivative Liabilities, Net amount Total | 0 | ||
TBA Commitments | |||
Derivative instruments: | |||
Derivative Asset, Gross Amount Recognized | 7,285 | ||
Derivative Asset, Amount Offset | 0 | ||
Derivative Asset, Net Amount | 7,285 | 0 | |
Derivative Asset, Financial Instruments | [1] | 0 | |
Derivative Asset, Cash Collateral | [2] | 0 | |
Derivative Asset, Net amount Total | 7,285 | ||
Derivative instruments: | |||
Derivative Liabilities, Gross Amount Recognized | 3,699 | 553 | |
Derivative Liabilities, Amount Offset | 0 | 0 | |
Derivative Liabilities, Net Amount | 3,699 | 553 | |
Derivative Liabilities, Financial Instruments | [1] | 0 | 0 |
Derivative Liabilities, Cash Collateral | [2] | (1,474) | (387) |
Derivative Liabilities, Net amount Total | $ 2,225 | 166 | |
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 | Dec. 31, 2016 | Dec. 31, 2015 |
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Long-term debt, carrying value | $ 73,656 | $ 73,433 |
Long-term Debt, Fair Value | 66,489 | 59,130 |
Federal Home Loan Bank Advances Capital Stock Acquired | 2 | 15,740 |
Investments in equity securities and investment funds, fair value of other assets | 533 | |
Private Equity Funds | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | ||
Investments in equity securities and investment funds, at carrying amount | 1,918 | 1,558 |
Investments in equity securities and investment funds, fair value of other assets | 533 | |
Investments in equity securities and investment funds, at cost | 1,385 | |
Investments in equity securities and investment funds, fair value | $ 6,034 | $ 5,989 |
Fair Value Measurements - Finan
Fair Value Measurements - Financial Instruments Measured at Fair Value on a Recurring Basis (Details) - USD ($) | Dec. 31, 2016 | Dec. 31, 2015 |
Available-for-sale: | ||
Total | $ 3,912,641,000 | $ 3,995,869,000 |
Derivative assets, at fair value | 74,889,000 | 12,991,000 |
Derivative Liabilities | (9,554,000) | (553,000) |
Other assets | 533,000 | |
Total | 3,978,509,000 | 4,008,307,000 |
Agency MBS | ||
MBS | ||
Trading securities | 3,911,375,000 | 3,865,290,000 |
Available-for-sale: | ||
Available-for-sale | 26,000 | |
Total | 3,911,375,000 | 3,865,316,000 |
Private-Label MBS | ||
MBS | ||
Trading securities | 1,266,000 | 3,017,000 |
Available-for-sale: | ||
Available-for-sale | 0 | 127,536,000 |
Total | 1,266,000 | 130,553,000 |
MBS | ||
MBS | ||
Trading securities | 3,868,307,000 | |
Available-for-sale: | ||
Available-for-sale | 127,562,000 | |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 1 | ||
Available-for-sale: | ||
Total | 0 | 0 |
Derivative assets, at fair value | 4,289,000 | 6,838,000 |
Derivative Liabilities | (3,906,000) | 0 |
Other assets | 0 | |
Total | 383,000 | 6,838,000 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 2 | ||
Available-for-sale: | ||
Total | 3,911,375,000 | 3,865,316,000 |
Derivative assets, at fair value | 70,600,000 | 6,153,000 |
Derivative Liabilities | (5,648,000) | (553,000) |
Other assets | 0 | |
Total | 3,976,327,000 | 3,870,916,000 |
Fair Value, Measurements, Recurring | Fair Value, Inputs, Level 3 | ||
Available-for-sale: | ||
Total | 1,266,000 | 130,553,000 |
Derivative assets, at fair value | 0 | 0 |
Derivative Liabilities | 0 | 0 |
Other assets | 533,000 | |
Total | 1,799,000 | 130,553,000 |
Fair Value, Measurements, Recurring | Agency MBS | Fair Value, Inputs, Level 1 | ||
MBS | ||
Trading securities | 0 | 0 |
Available-for-sale: | ||
Available-for-sale | 0 | |
Fair Value, Measurements, Recurring | Agency MBS | Fair Value, Inputs, Level 2 | ||
MBS | ||
Trading securities | 3,911,375,000 | 3,865,290,000 |
Available-for-sale: | ||
Available-for-sale | 26,000 | |
Fair Value, Measurements, Recurring | Agency MBS | Fair Value, Inputs, Level 3 | ||
MBS | ||
Trading securities | 0 | 0 |
Available-for-sale: | ||
Available-for-sale | 0 | |
Fair Value, Measurements, Recurring | Private-Label MBS | Fair Value, Inputs, Level 1 | ||
MBS | ||
Trading securities | 0 | 0 |
Available-for-sale: | ||
Available-for-sale | 0 | |
Fair Value, Measurements, Recurring | Private-Label MBS | Fair Value, Inputs, Level 2 | ||
MBS | ||
Trading securities | 0 | 0 |
Available-for-sale: | ||
Available-for-sale | 0 | |
Fair Value, Measurements, Recurring | Private-Label MBS | Fair Value, Inputs, Level 3 | ||
MBS | ||
Trading securities | $ 1,266,000 | 3,017,000 |
Available-for-sale: | ||
Available-for-sale | 127,536,000 | |
Fair Value, Measurements, Recurring | MBS | Fair Value, Inputs, Level 1 | ||
MBS | ||
Trading securities | 0 | |
Available-for-sale: | ||
Available-for-sale | 0 | |
Fair Value, Measurements, Recurring | MBS | Fair Value, Inputs, Level 2 | ||
MBS | ||
Trading securities | 3,865,290,000 | |
Available-for-sale: | ||
Available-for-sale | 26,000 | |
Fair Value, Measurements, Recurring | MBS | Fair Value, Inputs, Level 3 | ||
MBS | ||
Trading securities | 3,017,000 | |
Available-for-sale: | ||
Available-for-sale | $ 127,536,000 |
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 | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | ||
Fair Value Inputs Assets Quantitative Information [Line Items] | |||
Discount rate | [1] | 6.50% | 5.57% |
Default rate | [1] | 2.25% | 2.78% |
Loss severity rate | [1] | 45.00% | 45.84% |
Total prepayment rate (including defaults) | [1] | 10.25% | 11.02% |
Minimum | |||
Fair Value Inputs Assets Quantitative Information [Line Items] | |||
Discount rate | 6.50% | 5.50% | |
Default rate | 2.25% | 1.45% | |
Loss severity rate | 45.00% | 35.00% | |
Total prepayment rate (including defaults) | 10.25% | 7.75% | |
Maximum | |||
Fair Value Inputs Assets Quantitative Information [Line Items] | |||
Discount rate | 6.50% | 10.00% | |
Default rate | 2.25% | 6.20% | |
Loss severity rate | 45.00% | 65.00% | |
Total prepayment rate (including defaults) | 10.25% | 17.70% | |
[1] | Based on face value. |
Fair Value Measurements - Chang
Fair Value Measurements - Change in Fair Value of Level 3 Investments that are Measured at Fair Value on Recurring Basis (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2016 | Dec. 31, 2015 | |
Fair Value Disclosures [Abstract] | ||
Beginning balance | $ 130,553 | $ 267,649 |
Total net gains (losses) Included in investment loss, net | 2,973 | 15,776 |
Total net gains (losses) Included in other comprehensive income | (15,601) | (31,937) |
Purchases | 5,357 | 2,870 |
Sales | (124,962) | (130,138) |
Payments, net | (4,431) | (9,009) |
Accretion of discount | 7,910 | 15,342 |
Ending balance | 1,799 | 130,553 |
Net unrealized gains (losses) included in earnings for the period for Level 3 assets still held at the reporting date | $ (465) | $ (2,468) |
Income Taxes - Additional Infor
Income Taxes - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Income Tax Disclosure [Line Items] | ||||||
Operating Loss Carryforwards | $ 95,725 | |||||
Operating Loss Carryforwards Expiration Period | 2,027 | |||||
Effective Income Tax Rate Reconciliation, Change in Deferred Tax Assets Valuation Allowance, Amount | $ 35,637 | $ 56,435 | $ 24,228 | |||
Capital Loss Carryforward [Member] | ||||||
Income Tax Disclosure [Line Items] | ||||||
Tax Credit Carryforward, Amount | $ 310,897 | |||||
Scenario, Forecast [Member] | ||||||
Income Tax Disclosure [Line Items] | ||||||
Capital Loss Carryforward Expiration | $ 71,130 | $ 102,927 | $ 136,840 |
Income Taxes - Schedule of Defe
Income Taxes - Schedule of Deferred Tax Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2016 | Dec. 31, 2015 |
Components Of Deferred Tax Assets And Liabilities [Abstract] | ||
Net operating loss carry-forward | $ 37,238 | $ 41,660 |
Net unrealized losses on investments and derivatives | 19,108 | 24,677 |
AMT credit | 8,427 | 8,195 |
Stock-based compensation | 2,426 | 2,004 |
Deferred net losses on designated derivatives | 1,386 | 8,066 |
Deferred tax assets, other | 208 | |
Deferred tax liabilities, other | (34) | |
Capital loss carry-forward | 120,939 | 93,625 |
Valuation allowance on capital loss carry-forward | (116,300) | (80,663) |
Deferred tax assets, net | $ 73,432 | $ 97,530 |
Income Taxes - Provision for In
Income Taxes - Provision for Income Taxes (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Income Tax Disclosure [Abstract] | |||||||||||
Federal | $ 23,163 | $ 32,613 | $ 40,298 | ||||||||
State | 4,224 | 5,948 | 7,349 | ||||||||
Total income tax provision | $ 22,255 | $ 15,543 | $ (9,865) | $ (546) | $ 4,675 | $ 15,497 | $ 5,647 | $ 12,742 | 27,387 | 38,561 | 47,647 |
Income Tax Expense (Benefit), Continuing Operations [Abstract] | |||||||||||
Current | 232 | 970 | 796 | ||||||||
Deferred | 27,155 | 37,591 | 46,851 | ||||||||
Total income tax provision | $ 22,255 | $ 15,543 | $ (9,865) | $ (546) | $ 4,675 | $ 15,497 | $ 5,647 | $ 12,742 | $ 27,387 | $ 38,561 | $ 47,647 |
Income Taxes - Schedule of Effe
Income Taxes - Schedule of Effective Income Tax Rate Reconciliation (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Income Tax Expense Benefit Continuing Operations Income Tax Reconciliation [Abstract] | |||||||||||
Federal income tax at statutory rate | $ (4,886) | $ (10,795) | $ 19,390 | ||||||||
State income taxes, net of federal benefit | (544) | (1,203) | 2,161 | ||||||||
Expiration of capital loss carry-forward | 0 | 0 | 4,668 | ||||||||
Losses on available-for sale MBS acquired prior to 2012 | (2,838) | (3,987) | (1,178) | ||||||||
Tax character adjustments | 0 | (1,934) | (1,656) | ||||||||
Other, net | 18 | 45 | 34 | ||||||||
Valuation allowance | 35,637 | 56,435 | 24,228 | ||||||||
Total income tax provision | $ 22,255 | $ 15,543 | $ (9,865) | $ (546) | $ 4,675 | $ 15,497 | $ 5,647 | $ 12,742 | $ 27,387 | $ 38,561 | $ 47,647 |
Commitments and Contingencies -
Commitments and Contingencies - Summary of Contractual Obligations by Fiscal Year (Details) $ in Thousands | Dec. 31, 2016USD ($) |
Long-term debt maturities | |
2,017 | $ 0 |
2,018 | 0 |
2,019 | 0 |
2,020 | 0 |
2,021 | 0 |
Thereafter | 75,300 |
Total | 75,300 |
Minimum rental commitments | |
2,017 | 458 |
2,018 | 471 |
2,019 | 483 |
2,020 | 497 |
2,021 | 0 |
Thereafter | 0 |
Total | 1,909 |
Contractual Obligations | |
2,017 | 458 |
2,018 | 471 |
2,019 | 483 |
2,020 | 497 |
2,021 | 0 |
Thereafter | 75,300 |
Total | $ 77,209 |
Shareholders' Equity - Addition
Shareholders' Equity - Additional Information (Details) $ / shares in Units, $ in Thousands | 12 Months Ended | |||
Dec. 31, 2016USD ($)$ / sharesshares | Dec. 31, 2015USD ($)$ / sharesshares | Dec. 31, 2014shares | May 24, 2013shares | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Preferred stock, shares authorized (in shares) | 25,000,000 | 25,000,000 | ||
Stock Repurchased During Period, Value | $ | $ 593 | |||
Common Class A | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Common stock, shares authorized (in shares) | 450,000,000 | 450,000,000 | ||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | ||
Common Stock Voting Rights Per Share Owned | 1 | |||
Stock Repurchase Program, Number of Shares Authorized to be Repurchased | 2,000,000 | |||
Stock Repurchased During Period Average Price Per Share | $ / shares | $ 12.15 | |||
Stock Repurchase Program, Remaining Number of Shares Authorized to be Repurchased | 1,951,305 | |||
Common Class A | Common Stock | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Conversion of Class B common stock to Class A common stock (in shares) | 81,960 | 3,653 | 448,186 | |
Issuance of Class A common stock (in shares) | 595,342 | 6,225,000 | ||
Repurchase of Class A common stock (in shares) | 48,695 | |||
Common Class A | Common Stock | Equity Distribution Agreements | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Number of Shares Offer and Sell | 1,154,658 | |||
Issuance of Class A common stock (in shares) | 595,342 | |||
Weighted Average Public Offering Price Per Share | $ / shares | $ 16.57 | |||
Net Proceeds Underwriting Discounts and Commissions | $ | $ 9,675 | |||
Common Class A | Common Stock | Maximum | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Number of Shares Offer and Sell | 1,750,000 | |||
Common Class B | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Common stock, shares authorized (in shares) | 100,000,000 | 100,000,000 | ||
Common stock, par value (in dollars per share) | $ / shares | $ 0.01 | $ 0.01 | ||
Common Stock Voting Rights Per Share Owned | 3 | |||
Common Class B | Common Stock | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Conversion of Class B common stock to Class A common stock (in shares) | (81,960) | (3,653) | (448,186) |
Shareholders' Equity - Equity O
Shareholders' Equity - Equity Offerings (Details) - USD ($) $ / shares in Units, $ in Thousands | Sep. 08, 2014 | Mar. 28, 2014 | |
Equity Offerings [Line Items] | |||
Total shares of Class A common stock | 3,162,500 | 3,062,500 | |
Public offering price per share | $ 27.61 | $ 27.40 | |
Net proceeds | [1] | $ 85,214 | $ 81,669 |
Public Offering | |||
Equity Offerings [Line Items] | |||
Shares sold to public | 2,750,000 | 2,750,000 | |
Over-Allotment Option | |||
Equity Offerings [Line Items] | |||
Shares sold pursuant to the underwriter over-allotment | 412,500 | 312,500 | |
[1] | Net of underwriting discounts and commissions and expenses. |
Shareholders' Equity - Dividend
Shareholders' Equity - Dividends Declared and Paid (Details) - $ / shares | 3 Months Ended | |||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | 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 | $ 0.625 | $ 0.625 | $ 0.625 | $ 0.875 | $ 0.875 |
Declaration Date | Dec. 16, 2016 | Sep. 15, 2016 | Jun. 17, 2016 | Mar. 15, 2016 | Dec. 17, 2015 | Sep. 17, 2015 | Jun. 17, 2015 | Mar. 10, 2015 |
Record Date | Dec. 30, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 |
Pay Date | Jan. 31, 2017 | Oct. 31, 2016 | Jul. 29, 2016 | Apr. 29, 2016 | Jan. 29, 2016 | Oct. 30, 2015 | Jul. 31, 2015 | Apr. 30, 2015 |
Long-Term Incentive Plan - Addi
Long-Term Incentive Plan - Additional Information (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Apr. 07, 2014 | Dec. 31, 2013 | ||
Performance Stock Units | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Allocated Share-based Compensation Expense (Income) | $ 1,266 | $ (560) | $ 2,457 | |||
Allocated Share Based Compensation Expense Including Reversal | 1,474 | |||||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized, Total | $ 3,591 | 2,697 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Remaining Contractual Term | 2 years 2 months 12 days | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Aggregate Intrinsic Value, Vested | $ 716 | $ 2,447 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Fair Value Assumptions, Expected Dividend Rate | [1] | 0.00% | 0.00% | 0.00% | ||
Performance Stock Units | Minimum | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Threshold percentage of performance goals | 50.00% | |||||
Performance Stock Units | Maximum | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Threshold percentage of performance goals | 250.00% | |||||
Restricted Stock Units (RSUs) | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Employee Service Share-based Compensation, Nonvested Awards, Compensation Cost Not yet Recognized, Total | $ 1,512 | $ 1,631 | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Weighted Average Remaining Contractual Term | 1 year 4 months 24 days | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Aggregate Intrinsic Value, Vested | $ 630 | 646 | $ 681 | |||
Allocated Share-based Compensation Expense | $ 1,197 | $ 1,207 | $ 927 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number, Beginning Balance | 161,891 | 131,775 | 117,112 | 57,673 | ||
Undistributed Restricted Stock Issued To Trust | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Equity Instruments Other than Options, Nonvested, Number, Beginning Balance | 9,155 | 9,155 | ||||
Restricted Stock Units (RSUs) | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Allocated Share-based Compensation Expense | $ 511 | $ 496 | $ 430 | |||
Share-based Compensation Arrangement by Share-based Payment Award, Options, Outstanding, Number, Ending Balance | 185,424 | |||||
Common Class A | Performance Stock Units | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Vesting period | 3 years | |||||
Common Class A | Performance Stock Units | Minimum | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Vesting percentage | 0.00% | |||||
Common Class A | Performance Stock Units | Maximum | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Vesting percentage | 250.00% | |||||
Long Term Incentive Plan 2014 | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Maximum Number of Shares Per Employee | 300,000 | |||||
Long Term Incentive Plan 2014 | Stock Options and SARs | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Maximum Number of Shares Per Employee | 300,000 | |||||
ShareBased Compensation Arrangement By Share Based Payment Award Maximum Value Of Awards To Single Participant Not Settled In Shares | $ 10,000 | |||||
Long Term Incentive Plan 2014 | Common Class A | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Authorized | 2,000,000 | |||||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant | 1,861,983 | |||||
Long Term Incentive Plan 2011 | Common Class A | ||||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||||
Share-based Compensation Arrangement by Share-based Payment Award, Number of Shares Available for Grant | 269,283 | |||||
[1] | Dividend equivalents are accrued during the performance period and deemed reinvested in additional stock units, which are to be paid out at the end of the performance period to the extent the underlying PSU is earned. Applying dividend yield assumption of 0.00% in the Monte Carlo simulation is mathematically equivalent to reinvesting dividends on a continuous basis and including the value of the dividends in the final payout. |
Long-Term Incentive Plan - Shar
Long-Term Incentive Plan - Share Based Compensation Performance Shares Grants Activity (Details) - $ / shares | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Book Value PSUs | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Shares granted (in shares) | 71,926 | 45,054 | 35,126 |
Grant date fair value per share | $ 12.93 | $ 19.56 | $ 27.26 |
TSR PSUs | |||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
Shares granted (in shares) | 80,173 | 58,169 | 35,593 |
Grant date fair value per share | $ 11.60 | $ 15.15 | $ 26.90 |
Long-Term Incentive Plan - Sh79
Long-Term Incentive Plan - Share Based Compensation Award Valuation Assumptions (Details) - TSR PSUs - $ / shares | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Closing stock price on date of grant | $ 12.93 | $ 19.56 | $ 27.26 | |
Beginning average stock price on date of grant | [1] | $ 13.40 | $ 20.82 | $ 27.68 |
Expected volatility | [2] | 24.78% | 21.72% | 31.03% |
Dividend yield | [3] | 0.00% | 0.00% | 0.00% |
Risk-free rate | [4] | 0.71% | 1.08% | 0.90% |
[1] | Based upon the 30 trading days prior to and including the date of grant. | |||
[2] | Based upon the most recent three-year volatility as of the date of grant. | |||
[3] | Dividend equivalents are accrued during the performance period and deemed reinvested in additional stock units, which are to be paid out at the end of the performance period to the extent the underlying PSU is earned. Applying dividend yield assumption of 0.00% in the Monte Carlo simulation is mathematically equivalent to reinvesting dividends on a continuous basis and including the value of the dividends in the final payout. | |||
[4] | Based upon the yield of a U.S. Treasury bond with a three-year maturity as of the date of grant. |
Long-Term Incentive Plan - Sh80
Long-Term Incentive Plan - Share Based Compensation Award Valuation Assumptions (Parenthetical) (Details) | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Trading period | 30 days | |||
TSR PSUs | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Fair Value Assumptions, Expected Dividend Rate | [1] | 0.00% | 0.00% | 0.00% |
US Treasury Securities | TSR PSUs | ||||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||||
Share-based Compensation Arrangement by Share-based Payment Award, Fair Value Assumptions, Expected Term | 3 years | |||
[1] | Dividend equivalents are accrued during the performance period and deemed reinvested in additional stock units, which are to be paid out at the end of the performance period to the extent the underlying PSU is earned. Applying dividend yield assumption of 0.00% in the Monte Carlo simulation is mathematically equivalent to reinvesting dividends on a continuous basis and including the value of the dividends in the final payout. |
Long-Term Incentive Plan - Sche
Long-Term Incentive Plan - Schedule of Unvested Restricted Stock Units Roll Forward (Details) - Restricted Stock Units (RSUs) - $ / shares | 12 Months Ended | |||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Number of Shares | ||||
Share Balance (in shares) | 131,775 | 117,112 | 57,673 | |
Shares granted (in shares) | 73,457 | 58,000 | 84,602 | |
Forfeitures (in shares) | 0 | (6,668) | 0 | |
Vestitures (in shares) | (43,341) | (36,669) | (25,163) | |
Share Balance (in shares) | 161,891 | 131,775 | 117,112 | 57,673 |
Weighted-average Grant-date Fair Value | ||||
Balance (in dollars per share) | $ 18.47 | $ 21.44 | $ 26.54 | $ 25.71 |
Granted (in dollars per share) | 14.67 | 14.35 | 26.84 | |
Forfeitures (in dollars per share) | 0 | 26.34 | 0 | |
Vestitures (in dollars per share) | $ 21.04 | $ 25.63 | $ 25.64 | |
Weighted-average remaining vested period (in years) | 1 year 4 months 24 days | 2 years | 1 year 10 months 24 days | 2 years |
Long-Term Incentive Plan - Sh82
Long-Term Incentive Plan - Share Based Compensation Restricted Stock Units Grants Activity (Details) - Restricted Stock Units (RSUs) - $ / shares | 12 Months Ended | ||
Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | |||
RSUs granted | 37,007 | 25,506 | 15,521 |
Grant date fair value per share | $ 13.78 | $ 20.78 | $ 27.70 |
Quarterly Data (Unaudited) (Det
Quarterly Data (Unaudited) (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | |||||||||
Dec. 31, 2016 | Sep. 30, 2016 | Jun. 30, 2016 | Mar. 31, 2016 | Dec. 31, 2015 | Sep. 30, 2015 | Jun. 30, 2015 | Mar. 31, 2015 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | |
Quarterly Financial Information Disclosure [Abstract] | |||||||||||
Interest income | $ 24,577 | $ 25,654 | $ 26,351 | $ 28,754 | $ 31,228 | $ 31,239 | $ 28,286 | $ 30,510 | $ 105,336 | $ 121,263 | $ 105,577 |
Interest expense | 8,436 | 7,390 | 6,703 | 6,693 | 5,421 | 5,165 | 4,575 | 3,728 | 29,222 | 18,889 | 11,391 |
Net interest income | 16,141 | 18,264 | 19,648 | 22,061 | 25,807 | 26,074 | 23,711 | 26,782 | 76,114 | 102,374 | 94,186 |
Investment (loss) gain, net | (31,203) | 20,722 | (8,947) | (49,890) | 1,653 | (59,757) | (7,518) | (52,807) | (69,318) | (118,429) | (20,287) |
General and administrative expenses | 4,119 | 4,630 | 7,672 | 4,335 | 3,974 | 3,450 | 3,945 | 3,418 | 20,756 | 14,787 | 18,499 |
(Loss) income before income taxes | (19,181) | 34,356 | 3,029 | (32,164) | 23,486 | (37,133) | 12,248 | (29,443) | (13,960) | (30,842) | |
Income tax provision (benefit) | 22,255 | 15,543 | (9,865) | (546) | 4,675 | 15,497 | 5,647 | 12,742 | 27,387 | 38,561 | 47,647 |
Net (loss) income | $ (41,436) | $ 18,813 | $ 12,894 | $ (31,618) | $ 18,811 | $ (52,630) | $ 6,601 | $ (42,185) | $ (41,347) | $ (69,403) | $ 7,753 |
Basic (loss) earnings per share | $ (1.79) | $ 0.82 | $ 0.56 | $ (1.38) | $ 0.82 | $ (2.29) | $ 0.29 | $ (1.84) | $ (1.79) | $ (3.02) | $ 0.39 |
Diluted (loss) earnings per share | $ (1.79) | $ 0.81 | $ 0.56 | $ (1.38) | $ 0.82 | $ (2.29) | $ 0.29 | $ (1.84) | $ (1.79) | $ (3.02) | $ 0.38 |